ANNUAL REPORT
==============================================================================
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
AUDITED FINANCIAL STATEMENTS
INCLUDING
STATEMENT OF INVESTMENTS
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
As required by the Investment Company Act of 1940, TIAA Separate Account VA-1
provides its contractowners with this year-end annual report of its financial
condition and portfolio holdings. A semi-annual report for TIAA Separate
Account VA-1 is also provided each year toward the end of August.
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TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
INDEX TO AUDITED FINANCIAL STATEMENTS
DECEMBER 31, 1995
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<TABLE>
<CAPTION>
Page
----
<S> <C>
Report of Management Responsibility .................................. 2
Report of Independent Auditors ....................................... 3
Audited Financial Statements: .......................................
Statement of Assets and Liabilities ................................. 4
Statement of Operations ............................................. 5
Statements of Changes in Net Assets ................................. 6
Notes to Financial Statements ....................................... 7
Statement of Investments ............................................ 10
</TABLE>
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1
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[TIAA-LOGO]
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REPORT OF MANAGEMENT RESPONSIBILITY
To the Contractowners of
TIAA Separate Account VA-1:
The accompanying financial statements of the Stock Index Account ("Account") of
TIAA Separate Account VA-1 ("VA-1") are the responsibility of management. They
have been prepared in accordance with generally accepted accounting principles
and have been presented fairly and objectively in accordance with such
principles.
Teachers Insurance and Annuity Association of America ("TIAA") has established
and maintains a strong system of internal controls designed to provide
reasonable assurance that assets are properly safeguarded and transactions are
properly executed in accordance with management's authorization, and to carry
out the ongoing responsibilities of management for reliable financial
statements. In addition, TIAA's internal audit personnel provide a continuing
review of the internal controls and operations of TIAA, including its separate
account operations. The internal Auditor regularly reports to the Audit
Committee of the TIAA Board of Trustees and to the Management Committee of
VA-1.
The accompanying financial statements have been audited by the independent
auditing firm of Deloitte & Touche LLP. The independent auditors' report, which
appears on the following page, expresses an independent opinion on the fairness
of presentation of these financial statements.
The Audit Committee of the TIAA Board of Trustees, consisting of trustees who
are not officers of TIAA, and the Management Committee of VA-1, the majority of
which are not officers of TIAA, meet regularly with management, representatives
of Deloitte & Touche LLP and internal auditing personnel to review matters
relating to financial reporting, internal controls and auditing.
/s/ Thomas W. Jones
-------------------------------------
Chairman of
Management Committee and President
/s/ Thomas G. Walsh
-------------------------------------
Manager and
Executive Vice President
/s/ Richard L. Gibb
-------------------------------------
Principal Accounting Officer
and Executive Vice President
2
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[Deloitte & Touche LLP-Letterhead/Logo]
-------------------------------------------------------
Two World Financial Center Telephone: (212) 436-2000
New York, New York 10281-1414 Facsimile: (212) 436-5000
REPORT OF INDEPENDENT AUDITORS
To the Contractowners and Management Committee of
TIAA Separate Account VA-1:
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of the Stock Index Account of TIAA Separate
Account VA-1 ("VA-1") as of December 31, 1995, and the related statements of
operations and of changes in net assets for the year then ended and of changes
in net assets for the period October 3, 1994 (date established) to December 31,
1994. These financial statements are the responsibility of VA-1's management.
Our responsibility is to express an opinion on these financial statements 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 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 at December 31, 1995, by
correspondence with the custodians and brokers; where replies were not received
from brokers, we performed other auditing 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, such financial statements present fairly, in all material
respects, the financial position of the Stock Index Account of VA-1 at December
31, 1995, the results of its operations and the changes in its net assets for
the above-stated periods, in conformity with generally accepted accounting
principles.
/s/ Deloitte & Touche LLP
February 6, 1996
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Deloitte Touche
Tohmatsu
International
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3
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TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments, at cost................................... $72,207,438
Net unrealized appreciation of investments............. 16,387,886
-----------
Investments, at value.................................. 88,595,324
Cash................................................... 32,280
Dividends and interest receivable...................... 168,815
Amounts due from General Account....................... 831,907
-----------
TOTAL ASSETS 89,628,326
-----------
LIABILITIES
Payable for investment advisory services............... 733
-----------
TOTAL LIABILITIES 733
-----------
NET ASSETS--Accumulation Fund........................... $89,627,593
===========
NUMBER OF ACCUMULATION UNITS
OUTSTANDING--Notes 5 and 6............................ 2,604,605
===========
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5.......... $34.41
======
</TABLE>
See notes to financial statements.
4
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TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF OPERATIONS
Year Ended December 31, 1995
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Income:
Dividends......................................... $ 1,436,608
Interest.......................................... 46,587
-----------
TOTAL INCOME 1,483,195
-----------
Expenses--Note 3:
Investment advisory............................... 186,937
Administrative.................................... 122,454
Mortality and expense risk charges................ 153,073
-----------
TOTAL EXPENSES BEFORE WAIVER 462,464
Fees paid indirectly.............................. (3,245)
-----------
NET EXPENSES BEFORE WAIVER 459,219
Investment advisory charges waived--Note 3........ (122,454)
-----------
NET EXPENSES 336,765
-----------
INVESTMENT INCOME--NET 1,146,430
-----------
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS--Note 4
Net realized gain on investments................... 481,973
Net change in unrealized appreciation on
investments........................................ 16,241,820
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 16,723,793
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $17,870,223
===========
</TABLE>
See notes to financial statements.
5
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TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended October 3, 1994
December 31, (date established) to
1995 December 31, 1994
----------- ---------------------
<S> <C> <C>
FROM OPERATIONS
Investment income--net.............................. $ 1,146,430 $ 177,834
Net realized gain on investments.................... 481,973 1,811
Net change in unrealized appreciation on investments 16,241,820 146,066
----------- -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 17,870,223 325,711
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FROM CONTRACTOWNER TRANSACTIONS
TIAA seed money contributed (withdrawn)--Note 1.... (33,252,105) 25,000,000
Premiums........................................... 61,534,705 2,654,030
Contractowner transfers from fixed account......... 14,563,961 1,616,615
Withdrawals........................................ (683,251)
Death benefits..................................... (2,296)
----------- -----------
INCREASE IN NET ASSETS RESULTING
FROM CONTRACTOWNER TRANSACTIONS 42,161,014 29,270,645
----------- -----------
NET INCREASE IN NET ASSETS 60,031,237 29,596,356
NET ASSETS
Beginning of period................................ 29,596,356 --
----------- -----------
End of period...................................... $89,627,593 $29,596,356
=========== ===========
</TABLE>
See notes to financial statements.
6
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TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION
TIAA Separate Account VA-1 ("VA-1") is a segregated investment account of
Teachers Insurance and Annuity Association of America ("TIAA") and was
organized on February 16, 1994 under the insurance laws of the State of New
York for the purpose of issuing and funding variable annuity contracts. VA-1
was registered with the Securities and Exchange Commission ("Commission")
effective November 1, 1994 as an open-end, diversified management investment
company under the Investment Company Act of 1940. Currently, VA-1 consists of a
single investment portfolio, the Stock Index Account ("Account"), which invests
in a diversified portfolio of equity securities selected to track the overall
United States stock market.
The Account was established on October 3, 1994 with a $25,000,000 seed money
investment by TIAA. TIAA purchased 1,000,000 Accumulation Units of the Account
and such Units share in the pro rata investment experience of the Account and
are subject to the same valuation procedures and expense deductions as all
other Accumulation Units in the Account. On November 14, 1994, VA-1 began to
offer Accumulation Units of the Account to participants other than TIAA. On
October 2, 1995, TIAA began to withdraw its Accumulation Units from the Account
at prevailing daily net asset values and these withdrawals are reflected in the
accompanying financial statements. At December 31, 1995, TIAA retained 2,685
Accumulation Units, with a total value of $92,402.
Teachers Advisors, Inc. ("Advisors"), an indirect subsidiary of TIAA which is
registered with the Commission as an investment adviser, provides investment
advisory services for VA-1 pursuant to an Investment Management Agreement
between TIAA, Advisors and VA-1. TIAA provides all administrative services for
VA-1 pursuant to an Administrative Services Agreement with VA-1. The contracts
are distributed primarily by Teachers Personal Investors Services, Inc.
("TPIS"), also an indirect subsidiary of TIAA, which is registered with the
Commission as a broker-dealer and is a member of the National Association of
Securities Dealers, Inc.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Account, which are in conformity with generally accepted
accounting principles.
Valuation of Investments: Securities listed or traded on any United States
national securities exchange are valued at the last sales price as of the close
of the principal securities exchange on which such securities are traded or, if
there is no sale, at the mean of the last bid and asked prices on such
exchange. Securities traded only in the over-the-counter market and quoted in
the NASDAQ National Market System are valued at the last sales price, or at the
mean of the last bid and asked prices if no sale is reported. All other
over-the-counter securities are valued at the mean of the last bid and asked
prices. Short-term money market instruments are stated at market value.
Portfolio securities for which market quotations are not readily available are
valued at fair value as determined in good faith under the direction of and in
accordance with the responsibilities of the Management Committee of VA-1.
Accounting for Investments: Securities transactions are accounted for as of the
date the securities are purchased or sold (trade date). Interest income is
recorded as earned and, for short-term money market instruments, includes
accrual of discount and amortization of premium. Dividend income is recorded on
the ex-dividend date. Realized gains and losses on security transactions are
accounted for on the average cost basis.
Federal Income Taxes: Based on provisions of the Internal Revenue Code, no
federal taxes are attributable to the net investment experience of the Account.
7
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (Continued)
NOTE 3--MANAGEMENT AGREEMENTS
Daily charges are deducted from the net assets of the Account for services
required to manage investments, administer the separate account and the
contracts, and to cover certain insurance risks borne by TIAA. The Investment
Management Agreement sets the investment advisory charge at an annual rate of
0.30% of the net assets of the Account. Currently, Advisors has agreed to waive
a portion of such fee, so that the daily deduction is equivalent to an annual
charge of 0.10% of the net assets of the Account. The Administrative Services
Agreement sets the administrative expense charge at an annual rate of 0.20% of
the net assets of the Account. TIAA also imposes a daily charge equivalent to
an annual rate of 0.25% of the net assets of the Account for bearing certain
mortality and expense risks in connection with the contracts.
Advisors and TPIS generally pay directly for all third-party services provided
for the benefit of the Account. "Soft- dollar" arrangements for brokerage and
other services are generally not utilized by the Account. However, certain
custodial fees are reduced based on the level of average cash balances on
deposit with a custodian bank during the period. The amount by which custodial
fees were reduced under these expense offset agreements is reflected in the
accompanying Statement of Operations as "Fees paid indirectly".
NOTE 4--INVESTMENTS
At December 31, 1995, the net unrealized appreciation on investments was
$16,387,886, consisting of gross unrealized appreciation of $17,765,654 and
gross unrealized depreciation of $1,377,768.
Purchases and sales of securities, other than short-term money market
instruments, for the year ended December 31, 1995, were $43,023,069 and
$598,181, respectively.
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the
Account is presented below.
<TABLE>
<CAPTION>
Year Ended October 3, 1994
December 31 date established) to
1995 December 31, 1994
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<S> <C> <C>
Per Accumulation Unit Data:
Investment income................................... $ .745 $ .206
Expense charges..................................... .170 .034
------- -------
Investment income--net.............................. .575 .172
Net realized and unrealized gain on investments..... 8.565 .099
------- -------
Net increase in Accumulation Unit Value............. 9.140 .271
Accumulation Unit Value:
Beginning of period................................. 25.271 25.000
------- -------
End of period....................................... $34.411 $25.271
======= =======
Ratios to Average Net Assets:
Expenses............................................ 0.55% 0.13%
Investment income--net.............................. 1.87% 0.68%
Portfolio turnover rate.............................. 0.98% 0.04%
Thousands of Accumulation Units outstanding
at end of period................................... 2,605 1,171
</TABLE>
8
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (Concluded)
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
Year Ended October 3, 1994
December (date established)
31, to
1995 December 31, 1994
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<S> <C> <C>
Accumulation Units:
Credited for premiums............................. 1,999,245 1,106,440
Credited (cancelled) for transfers and
disbursements.................................... (565,817) 64,737
Outstanding:
Beginning of period.............................. 1,171,177 --
--------- ---------
End of period.................................... 2,604,605 1,171,177
========= =========
</TABLE>
9
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1995
SUMMARY
<TABLE>
<CAPTION>
VALUE %
----------- ------
<S> <C> <C>
PREFERRED STOCK
CONGLOMERATES $ 589 0.00%
FINANCIAL--MISCELLANEOUS 294 0.00
----------- ------
TOTAL PREFERRED STOCK
(Cost $754) 883 0.00
----------- ------
COMMON STOCK
AEROSPACE 1,192,523 1.33
AIR TRANSPORTATION 466,805 0.52
AUTOMOTIVE & RELATED 2,297,946 2.56
BANKS 6,579,588 7.34
BEVERAGES 2,527,849 2.82
BROADCASTERS 1,048,972 1.17
BUSINESS SERVICES 1,220,797 1.36
CHEMICALS--MAJOR 1,855,585 2.07
CHEMICALS--SPECIALTY 1,061,389 1.18
COMMUNICATION EQUIPMENT &
SERVICES 1,706,832 1.91
COMPUTER SERVICE 2,721,643 3.04
CONGLOMERATES 1,783,749 1.99
CONSTRUCTION--MATERIALS &
BUILDERS 648,136 0.72
CONTAINERS 97,122 0.11
COSMETICS 502,500 0.56
ELECTRICAL EQUIPMENT 2,771,871 3.09
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED 2,697,489 3.01
ELECTRICAL
EQUIPMENT--INSTRUMENTS 472,161 0.53
ENVIRONMENTAL CONTROL 375,274 0.42
FINANCIAL--MISCELLANEOUS 3,170,569 3.54
FOODS 2,220,930 2.48
FOREST PRODUCTS 511,549 0.57
HEALTHCARE--DRUGS 4,793,837 5.35
HEALTHCARE--HOSPITAL SUPPLY 2,024,002 2.26
HEALTHCARE--OTHER 1,217,397 1.36
HEALTHCARE--SERVICE 1,799,860 2.01
HOUSEHOLD--CONSUMER ELECTRONICS 29,491 0.03
HOUSEHOLD--DURABLE GOODS 423,062 0.47
HOUSEHOLD--PRODUCTS 1,416,235 1.58
INSURANCE--BROKERS & OTHER 425,075 0.48
INSURANCE--LIFE 541,862 0.61
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY 2,796,924 3.12
LEISURE TIME 1,200,366 1.34
MACHINERY 1,405,459 1.57
METALS--ALUMINIUM 207,649 0.23
METALS--GOLD 189,683 0.21
METALS--NON-FERROUS 299,611 0.33
METALS--STEEL 286,650 0.32
OFFICE EQUIPMENT 2,925,186 3.26
PAPER 1,030,734 1.15
PETROLEUM--
EXPLORATION & PRODUCTION 719,723 0.80
PETROLEUM--INTEGRATED 4,457,290 4.97
PETROLEUM--SERVICE 721,998 0.81
PHOTOGRAPHY 406,400 0.45
PROPERTY--REAL ESTATE 258,000 0.29
PUBLISHING--NEWSPAPER 411,084 0.46
PUBLISHING--OTHER 767,948 0.86
RAILROAD 870,957 0.97
RESTAURANTS & HOTELS 1,131,654 1.26
RETAIL--FOOD 655,652 0.73
RETAIL--GENERAL MERCHANDISE 3,229,926 3.60
TEXTILE & APPAREL 421,299 0.47
TOBACCO 1,635,817 1.83
TRUCKERS & SHIPPING 186,037 0.21
UTILITIES--ELECTRIC 4,080,113 4.55
UTILITIES--GAS & PIPELINE 1,142,818 1.28
UTILITIES--TELEPHONE 6,553,239 7.31
----------- ------
TOTAL COMMON STOCK
(Cost $72,206,684) 88,594,317 98.85
----------- ------
ROUNDING 124 0.00
----------- -------
TOTAL PORTFOLIO
(Cost $72,207,438) 88,595,324 98.85
OTHER ASSETS & LIABILITIES, NET 1,032,269 1.15
----------- -------
NET ASSETS $89,627,593 100.00%
=========== ======
</TABLE>
See notes to financial statements.
10
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1995
<TABLE>
<CAPTION>
SHARES VALUE
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<S> <C> <C>
PREFERRED STOCK--0.00%
CONGLOMERATES--0.00%
41 TELEDYNE, INC SERIES E $ 589
----------
FINANCIAL--MISCELLANEOUS--0.00%
12 EVEREN CAPITAL CORP SERIES A 294
----------
TOTAL PREFERRED STOCK
(Cost $754) 883
----------
COMMON STOCK--98.85%
AEROSPACE--1.33%
5,300 BOEING CO 415,387
1,500 EG & G, INC 36,375
800 GENERAL DYNAMICS CORP 47,300
1,900 GENERAL MOTORS CORP (CLASS H) 93,337
2,678 LOCKHEED MARTIN CORP 211,562
1,600 MCDONNELL DOUGLAS CORP 147,200
600 NORTHROP GRUMMAN CORP 38,400
1,100 OEA, INC 32,862
3,600 RAYTHEON CO 170,100
-----------
1,192,523
-----------
AIR TRANSPORTATION--0.52%
950 AIR EXPRESS INTERNATIONAL CORP 21,850
1,100 o AMR CORP 81,675
2,250 COMAIR HOLDINGS, INC 60,468
1,000 DELTA AIRLINES, INC 73,875
900 o FEDERAL EXPRESS CORP 66,487
1,300 o NORTHWEST AIRLINES CORP (CLASS A) 66,300
2,600 SOUTHWEST AIRLINES CO 60,450
200 o UAL CORP NEW 35,700
-----------
466,805
-----------
AUTOMOTIVE & RELATED--2.56%
1,200 ALLEN GROUP, INC 26,850
700 BANDAG, INC 37,887
1,000 BORG-WARNER AUTOMOTIVE, INC 32,000
5,700 CHRYSLER CORP 315,637
1,600 COOPER TIRE & RUBBER CO 39,400
800 CUMMINS ENGINE CO, INC 29,600
1,600 DANA CORP 46,800
1,000 DANAHER CORP 31,750
1,200 EATON CORP 64,350
1,200 o ECHLIN, INC 43,800
17,300 FORD MOTOR CO 501,700
11,726 GENERAL MOTORS CORP 620,012
1,700 GENUINE PARTS CO 69,700
2,400 GOODYEAR TIRE & RUBBER CO 108,900
1,300 HARLEY DAVIDSON, INC 37,375
700 HAYES WHEELS INTERNATIONAL, INC 17,937
1,900 o LEAR SEATING CORP 55,100
900 MODINE MANUFACTURING CO 21,600
2,000 o NAVISTAR INTERNATIONAL CORP 21,000
700 PACCAR, INC 29,487
1,200 POLARIS INDUSTRIES, INC 35,250
2,500 SAFETY-KLEEN CORP 39,062
900 SNAP-ON, INC 40,725
500 STANDARD PRODUCTS CO 8,812
300 TRANSPRO, INC 3,187
900 WABASH NATIONAL CORP 20,025
----------
2,297,946
----------
BANKS--7.34%
1,800 AMSOUTH BANCORP 72,675
5,600 BANC ONE CORP 211,400
1,200 BANCORP HAWAII, INC 43,050
2,053 BANK OF BOSTON CORP 94,951
3,000 BANK OF NEW YORK CO, INC 146,250
1,400 BANK SOUTH CORP 42,525
5,700 BANKAMERICA CORP 369,075
1,200 BANKERS TRUST NEW YORK CORP 79,800
1,300 BARNETT BANKS, INC 76,700
500 BAYBANKS, INC 49,125
1,800 BOATMENS BANCSHARES, INC 73,575
1,100 CAPITAL ONE FINANCIAL CORP 26,262
1,000 CCB FINANCIAL CORP 55,500
3,800 CHARTER ONE FINANCIAL, INC 116,375
2,758 CHASE MANHATTAN CORP 167,203
3,800 CHEMICAL BANKING CORP 223,250
6,246 CITICORP 420,043
105 o CNB BANCSHARES INC 2,992
1,800 COMERICA, INC 72,225
2,100 CORESTATES FINANCIAL CORP 79,537
802 CRESTAR FINANCIAL CORP 47,418
1,200 DEPOSIT GUARANTY CORP 53,400
600 FIFTH THIRD BANCORP 43,950
1,212 FIRST AMERICAN BANK CORP 53,782
2,020 FIRST BANK SYSTEM, INC 100,242
4,453 FIRST CHICAGO NBD CORP 175,893
807 FIRST COMMERCE CORP 25,824
1,819 FIRST COMML CORP 60,027
1,333 FIRST FIDELITY BANCORP NEW 100,474
500 FIRST FINANCIAL BANCORP 17,625
1,200 FIRST INTERSTATE BANCORP 163,800
1,000 FIRST MICHIGAN BANK CORP 27,750
1,200 FIRST SECURITY CORP 46,200
500 FIRST TENNESSEE NATIONAL CORP 30,250
2,500 FIRST UNION CORP 139,062
1,000 FIRSTAR CORP NEW 39,625
800 FIRSTIER FINANCIAL, INC 35,200
1,600 FIRSTMERIT CORP 48,000
4,006 FLEET FINANCIAL GROUP, INC NEW 163,244
1,947 HUNTINGTON BANCSHARES, INC 46,728
2,900 KEYCORP NEW 105,125
1,900 MAGNA GROUP, INC 45,125
2,200 MARSHALL & ILSLEY CORP 57,200
1,850 MELLON BANK CORP 99,437
1,000 MERCANTILE BANCORP, INC 46,000
2,000 MERCANTILE BANKSHARES CORP 55,750
1,114 MERIDIANBANCORP, INC 51,801
1,000 MIDLANTIC CORP 65,625
2,600 MORGAN (J.P.) & CO, INC 208,650
2,067 NATIONAL CITY CORP 68,469
1,100 NATIONAL COMMERCE BANCORP 28,875
4,124 NATIONSBANK CORP 287,133
1,000 NORTHERN TRUST CORP 56,000
See notes to financial statements.
11
<PAGE>
<CAPTION>
SHARES VALUE
- --------- ------------
<S> <C> <C>
BANKS--(continued)
4,500 NORWEST CORP $ 148,500
1,155 OLD KENT FINANCIAL CORP 47,499
1,900 OLD NATIONAL BANCORP 66,025
300 ONE VALLEY BANCORP OF WEST
VIRGINIA 9,375
3,400 PNC BANK CORP 109,650
1,700 PREMIER BANCORP, INC 39,737
600 REGIONS FINANCIAL CORP 25,800
500 REPUBLIC NEW YORK CORP 31,062
1,116 SIGNET BANKING CORP 26,505
1,850 SOUTHERN NATIONAL CORP 48,562
1,800 SOUTHTRUST CORP 46,125
2,200 ST. PAUL BANCORP, INC 56,100
600 STAR BANC CORP 35,700
1,300 STATE STREET BOSTON CORP 58,500
2,420 SUMMIT BANCORP 76,230
1,500 SUNTRUST BANKS, INC 102,750
1,200 SYNOVUS FINANCIAL CORP 34,200
2,529 U.S. BANCORP 85,037
1,100 UJB FINANCIAL CORP 39,325
1,600 UNION PLANTERS CORP 51,000
1,600 VALLEY NATIONAL BANCORP 40,000
2,500 WACHOVIA CORP NEW 114,375
2,700 WASHINGTON FEDERAL, INC 69,187
510 WELLS FARGO & CO 110,160
900 WILMINGTON TRUST CORP 27,787
800 ZIONS BANCORP 64,200
----------
6,579,588
----------
BEVERAGES--2.82%
3,400 ANHEUSER BUSCH COS, INC 227,375
900 BROWN FORMAN, INC (CLASS B) 32,850
20,200 COCA COLA CO 1,499,850
2,100 COCA COLA ENTERPRISES, INC 56,175
1,100 COORS ADOLPH CO (CLASS B) 24,337
12,300 PEPSICO, INC 687,262
----------
2,527,849
----------
BROADCASTERS--1.17%
500 o BHC COMMUNICATIONS, INC (CLASS A) 47,250
1,600 CAPITAL CITIES/ABC, INC 197,400
600 o CLEAR CHANNEL COMMUNICATIONS, INC 26,475
4,300 COMCAST CORP (CLASS A) SPL 78,206
1,260 GAYLORD ENTERTAINMENT CO 34,965
800 o HERITAGE MEDIA CORP (CLASS A) NEW 20,500
1,000 o INFINITY BROADCASTING CORP (CLASS A) 37,250
500 o KING WORLD PRODUCTIONS, INC 19,437
2,275 o LIBERTY MEDIA GROUP CLASS A 61,140
500 o LIN TELEVISION CORP 14,875
10,400 o TELE-COMMUNICATIONS, INC (CLASS A) NEW 206,700
2,200 TURNER BROADCASTING SYSTEMS, INC
(CLASS B) 57,200
400 UNITED TELEVISION, INC 36,100
4,300 o VIACOM, INC (CLASS A) 197,262
300 o VIACOM, INC (CLASS B) 14,212
----------
1,048,972
----------
BUSINESS SERVICES--1.36%
1,200 o AMERICA ONLINE, INC 45,000
900 AUTODESK, INC 30,825
1,800 BLOCK (H&R), INC 72,900
700 o CATALINA MARKETING CORP 43,925
800 CINTAS CORP 35,600
500 o CORPORATE EXPRESS, INC 15,062
1,300 DELUXE CORP 37,700
900 DIEBOLD, INC 49,837
1,200 o FRANKLIN QUEST CO 23,400
1,800 HARLAND (JOHN H.) CO 37,575
1,200 IDEON GROUP, INC 12,150
1,500 INTERPUBLIC GROUP OF COS, INC 65,062
1,200 KELLY SERVICES, INC (CLASS A) 33,300
1,600 MANPOWER, INC 45,000
600 o MICRO WAREHOUSE, INC 25,950
1,500 NATIONAL SERVICE INDUSTRIES, INC 48,562
2,400 o OFFICE DEPOT, INC 47,400
900 OLSTEN CORP 35,550
1,000 OMNICOM GROUP, INC 37,250
1,200 PAYCHEX, INC 59,850
1,100 PHH CORP 51,425
1,000 o ROBERT HALF INTERNATIONAL, INC 41,875
1,300 SENSORMATIC ELECTRONICS CORP 22,587
1,700 SERVICE CORP INTERNATIONAL 74,800
900 o STRATACOM, INC 66,150
1,600 o SUNGARD DATA SYSTEMS, INC 45,600
1,900 TRUE NORTH COMMUNICATIONS, INC 35,150
1,600 o U.S. CELLULAR CORP 54,000
500 WALLACE COMPUTER SERVICES, INC 27,312
----------
1,220,797
----------
CHEMICALS--MAJOR--2.07%
1,800 AIR PRODUCTS & CHEMICALS, INC 94,950
4,100 DOW CHEMICAL CO 288,537
8,900 DU PONT (E.I.) DE NEMOURS & CO 621,887
1,500 EASTMAN CHEMICAL CO 93,937
800 GOODRICH (B.F.) CO 54,500
1,900 HERCULES, INC 107,112
1,600 MONSANTO CO 196,000
500 OLIN CORP 37,125
3,300 PPG INDUSTRIES, INC 150,975
2,500 PRAXAIR, INC 84,062
800 ROHM & HAAS CO 51,500
2,000 UNION CARBIDE CORP 75,000
----------
1,855,585
----------
CHEMICALS--SPECIALTY--1.18%
1,200 o AIRGAS, INC 39,900
1,500 ALBEMARLE CORP 29,062
700 BETZ LABORATORIES, INC 28,700
1,500 COMMERCIAL METALS CO 37,125
1,300 CROMPTON & KNOWLES CORP 17,225
700 o CYTEC INDUSTRIES, INC 43,662
1,200 ECOLAB, INC 36,000
1,350 ENGELHARD CORP 29,362
800 FOSTER WHEELER CORP 34,000
1,200 GEON CO 29,250
700 GEORGIA GULF CORP 21,525
1,000 GREAT LAKES CHEMICAL CORP 72,000
1,434 ICN PHARMACEUTICALS, INC NEW 27,604
1,200 IMC GLOBAL, INC 49,050
500 LOCTITE CORP 23,750
1,200 LUBRIZOL CORP 33,450
800 LYONDELL PETROCHEMICAL CO 18,300
1,000 MILLIPORE CORP 41,125
2,300 MORTON INTERNATIONAL, INC 82,512
See notes to financial statements.
12
<PAGE>
<CAPTION>
SHARES VALUE
- --------- ------------
<S> <C> <C>
CHEMICALS--SPECIALTY--(continued)
1,200 NALCO CHEMICAL CORP $ 36,150
800 RAYCHEM CORP 45,500
2,125 RPM, INC 35,062
700 SCHULMAN A, INC 15,750
1,400 o SEALED AIR CORP 39,375
1,100 SIGMA ALDRICH CORP 54,450
1,600 o STERLING CHEMICALS, INC 13,000
800 THIOKOL CORP 27,100
800 VIGORO CORP 49,400
1,000 WELLMAN, INC 22,750
1,000 WITCO CORP 29,250
----------
1,061,389
----------
COMMUNICATION EQUIPMENT &
SERVICES--1.91%
3,342 o 3COM CORP 155,820
8,500 o AIRTOUCH COMMUNICATIONS, INC 240,125
800 o ANDREW CORP 30,600
500 o ANTEC CORP 9,000
1,200 o ASCEND COMMUNICATIONS INC 97,350
1,800 o BRINKER INTERNATIONAL, INC 27,225
900 o CABLETRON SYSTEMS, INC 72,900
900 o CASCADE COMMUNICATIONS CORP 76,725
1,100 CENTURY TELEPHONE ENTERPRISES, INC 34,925
4,600 o CISCO SYSTEMS, INC 343,275
1,200 COMSAT CORP SERIES 1 22,350
3,600 CORNING, INC 115,200
2,000 o DSC COMMUNICATIONS CORP 73,750
600 o GENERAL DATACOMM INDUSTRIES, INC 10,275
700 HARRIS CORP 38,237
2,400 o LCI INTERNATIONAL, INC 49,200
600 o MFS COMMUNICATIONS CO, INC 31,950
2,000 o NEW WORLD COMMUNICATIONS GROUP, INC 35,000
5,400 o NOVELL, INC 76,950
1,000 o PAGING NETWORK, INC 24,375
800 o QUALCOMM, INC 34,400
1,600 SCIENTIFIC-ATLANTA, INC 24,000
1,600 o TECH DATA CORP 24,000
1,600 o TELLABS, INC 59,200
----------
1,706,832
----------
COMPUTER SERVICE--3.04%
100 o ACXIOM CORP 2,737
1,200 o ADAPTEC, INC 49,200
1,200 o ADC TELECOMMUNICATIONS, INC 43,800
1,200 ADOBE SYSTEMS, INC 74,400
1,300 o AMERICAN MANAGEMENT SYSTEMS, INC 39,000
2,100 AUTOMATIC DATA PROCESSING, INC 155,925
3,202 o BAY NETWORKS, INC 131,682
1,200 o BISYS GROUP, INC 36,900
1,000 o BMC SOFTWARE, INC 42,750
1,350 o CADENCE DESIGN SYSTEMS, INC 56,700
1,000 o CERIDIAN CORP 41,250
3,300 COMPUTER ASSOCIATES INTERNATIONAL, INC 187,687
1,000 o COMPUTER SCIENCES CORP 70,250
1,000 o ELECTRONIC ARTS 26,125
3,200 o EMC CORP 49,200
3,403 FIRST DATA CORP 227,575
1,100 o FISERV, INC 33,000
4,700 GENERAL MOTORS CORP (CLASS E) 244,400
700 HBO & CO 53,637
1,900 o INTERGRAPH CORP 29,925
800 o INTUIT, INC 62,400
950 o MICROCHIP TECHNOLOGY, INC 34,675
5,600 o MICROSOFT CORP 491,400
1,200 NATIONAL DATA CORP 29,700
5,600 o ORACLE CORP 237,300
1,100 o PARAMETRIC TECHNOLOGY CORP 73,150
1,100 o READ-RITE CORP 25,575
1,000 REYNOLDS & REYNOLDS CO (CLASS A) 38,875
1,000 o STERLING SOFTWARE, INC 62,375
1,300 o SYBASE, INC 46,800
1,000 o SYMANTEC CORP 23,250
----------
2,721,643
----------
CONGLOMERATES--1.99%
2,000 ALCO STANDARD CORP 91,250
1,800 ALEXANDER & BALDWIN, INC 41,400
4,600 ALLIED SIGNAL, INC 218,500
900 AMERICAN FINANCIAL GROUP, INC 27,562
1,100 o CONCORD EFS, INC 46,475
1,600 ITT INDUSTRIES, INC 38,400
700 JOHNSON CONTROLS, INC 48,125
1,500 KEYSTONE FINANCIAL, INC 45,000
500 o LITTON INDUSTRIES, INC 22,250
1,200 LOEWS CORP 94,050
1,245 MARK IV INDUSTRIES, INC 24,588
6,300 MINNESOTA MINING & MANUFACTURING CO 417,375
2,500 ROCKWELL INTERNATIONAL CORP 132,187
900 STANDEX INTERNATIONAL CORP 29,475
1,100 TELEDYNE, INC 28,187
1,000 TEXTRON, INC 67,500
1,100 TRW, INC 85,250
2,600 TYCO INTERNATIONAL LTD 92,625
1,800 UNITED TECHNOLOGIES CORP 170,775
2,700 WHITMAN CORP 62,775
----------
1,783,749
----------
CONSTRUCTION--MATERIALS &
BUILDERS--0.72%
700 ARMSTRONG WORLD INDUSTRIES, INC 43,400
266 o CASTLE & COOKE, INC 4,455
900 CENTEX CORP 31,275
2,625 CLAYTON HOMES, INC 56,109
1,400 FASTENAL CO 59,150
1,000 FLEETWOOD ENTERPRISES, INC 25,750
2,700 KAUFMAN & BROAD HOME CORP 40,162
1,624 LAFARGE CORP 30,450
2,900 MASCO CORP 90,987
900 OAKWOOD HOMES CORP 34,537
1,200 o OWENS CORNING FIBERGLAS CORP NEW 53,850
400 PLY-GEM INDUSTRIES, INC 6,500
1,100 PULTE CORP 36,987
1,200 SHERWIN-WILLIAMS CO 48,900
1,100 o SIMON PROPERTY GROUP, INC 26,812
1,000 o USG CORP 30,000
500 VULCAN MATERIALS CO 28,812
----------
648,136
----------
CONTAINERS--0.11%
609 BALL CORP 16,747
1,300 o CROWN CORK & SEAL CO, INC 54,275
1,800 o OWENS ILLINOIS, INC 26,100
----------
97,122
----------
See notes to financial statements.
13
<PAGE>
<CAPTION>
SHARES VALUE
- --------- ------------
<S> <C> <C>
COSMETICS--0.56%
1,200 AVON PRODUCTS, INC $ 90,450
6,800 GILLETTE CO 354,450
1,200 INTERNATIONAL FLAVORS &
FRAGRANCES, INC 57,600
----------
502,500
----------
ELECTRICAL EQUIPMENT--3.09%
1,900 o AMERICAN POWER CONVERSION CORP 18,050
1,500 BALDOR ELECTRIC CO 30,187
1,300 BELDEN, INC 33,475
1,900 DURACELL INTERNATIONAL, INC 98,325
3,400 EMERSON ELECTRIC CO 277,950
800 EXIDE CORP 36,700
26,500 GENERAL ELECTRIC CO 1,908,000
700 GRAINGER (W.W.), INC 46,375
2,100 HONEYWELL, INC 102,112
1,130 HUBBELL, INC (CLASS B) 74,297
1,200 o MAGNETEK, INC 9,750
600 THOMAS & BETTS CORP 44,250
5,600 WESTINGHOUSE ELECTRIC CORP 92,400
----------
2,771,871
----------
ELECTRICAL EQUIPMENT--COMPONENTS
DIVERSIFIED--3.01%
1,700 o ADVANCED MICRO DEVICES, INC 28,050
900 o ALTERA CORP 44,775
3,400 AMP, INC 130,475
1,100 o AMPHENOL CORP (CLASS A) 26,675
1,350 o ANALOG DEVICES, INC 47,756
900 o ARROW ELECTRONICS, INC 38,812
1,500 o ATMEL CORP 33,562
800 AVNET, INC 35,800
1,200 o CIRRUS LOGIC, INC 23,700
2,200 o CYPRESS SEMICONDUCTOR CORP 28,050
1,200 DALLAS SEMICONDUCTOR CORP 24,900
900 FISHER SCIENTIFIC INTERNATIONAL, INC 30,037
2,300 o GENERAL INSTRUMENT CORP NEW 53,762
20 o HARRIS COMPUTER SYSTEMS CORP 270
1,400 o INTEGRATED DEVICE TECHNOLOGY, INC 18,025
13,500 INTEL CORP 766,125
1,600 o INTERNATIONAL RECTIFIER CORP 40,000
1,200 o KEMET CORP 28,650
700 o LAM RESEARCH CORP 32,025
1,400 LINEAR TECHNOLOGY CO 54,950
2,200 o LSI LOGIC CORP 72,050
1,400 o MAXIM INTEGRATED PRODUCTS 53,900
2,800 MICRON TECHNOLOGY, INC 110,950
1,656 MOLEX, INC 52,578
9,400 MOTOROLA, INC 535,800
2,100 o NATIONAL SEMICONDUCTOR CORP 46,725
3,100 TEXAS INSTRUMENTS, INC 160,425
600 o U.S. ROBOTICS CORP 52,650
1,100 o VISHAY INTERTECHNOLOGY, INC 34,650
900 o VLSI TECHNOLOGY, INC 16,312
1,500 o XILINX, INC 45,750
800 o ZILOG, INC 29,300
----------
2,697,489
----------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.53%
3,000 o APPLIED MATERIALS, INC 118,125
700 o INPUT/OUTPUT, INC 40,425
1,000 o KLA INSTRUMENT CORP 26,062
3,000 LORAL CORP 106,125
800 PERKIN-ELMER CORP 30,200
800 o SILICON VALLEY GROUP, INC 20,200
700 TEKTRONIX, INC 34,387
600 o TENCOR INSTRUMENTS 14,625
1,400 o TERADYNE, INC 35,000
600 VARIAN ASSOCIATES, INC 28,650
1,300 X RITE, INC 18,362
----------
472,161
----------
ENVIRONMENTAL CONTROL--0.42%
3,300 BROWNING FERRIS INDUSTRIES, INC 97,350
1,100 o SANIFILL, INC 36,712
1,700 o U.S.A. WASTE SERVICES, INC 32,087
7,000 WMX TECHNOLOGIES, INC 209,125
----------
375,274
----------
FINANCIAL--MISCELLANEOUS--3.54%
1,100 ADVANTA CORP (CLASS A) 42,075
3,100 AHMANSON (H.F.) & CO 82,150
1,200 AMBAC, INC 56,250
7,700 AMERICAN EXPRESS CO 318,587
3,200 AMERICAN GENERAL CORP 111,600
1,575 BEAR STEARNS COS, INC 31,303
800 BENEFICIAL CORP 37,300
2,214 COUNTRYWIDE CREDIT INDUSTRIES, INC 48,154
2,200 DEAN WITTER DISCOVER & CO 103,400
800 DUKE REALTY INVESTMENTS, INC 25,100
1,000 EDWARDS (A.G.), INC 23,875
2,800 FEDERAL HOME LOAN MORTGAGE CORP 233,800
4,100 FEDERAL NATIONAL MORTGAGE
ASSOCIATION 508,912
1,600 FINANCIAL SECURITY
ASSURANCE HOLDINGS LTD 39,800
900 FINOVA GROUP, INC 43,425
2,200 FIRST FINANCIAL CORP (WISCONSIN) 50,600
1,000 FIRST USA, INC 44,375
2,000 FRANCHISE FINANCE CORP OF AMERICA 45,250
1,000 FRANKLIN RESOURCES, INC 50,375
1,700 FULTON FINANCIAL CORP 35,275
1,100 GOLDEN WEST FINANCIAL CORP 60,775
2,785 GREAT WESTERN FINANCIAL CORP 71,017
2,600 GREEN TREE FINANCIAL CORP 68,575
1,400 HEALTH AND RETIREMENT PROPERTY
TRUST 22,750
1,700 HOUSEHOLD INTERNATIONAL, INC 100,512
2,000 LEHMAN BROTHERS HOLDINGS, INC 42,500
2,100 MBNA CORP 77,437
1,200 o MEDAPHIS CORP 44,400
1,300 MEDITRUST CORP 45,337
2,550 MERCURY FINANCE CO 33,787
2,800 MERRILL LYNCH & CO, INC 142,800
800 MORGAN STANLEY GROUP, INC 64,500
700 NEW PLAN REALTY TRUST 15,312
1,800 PAINE WEBBER GROUP INC 36,000
1,500 PIONEER GROUP, INC 40,875
500 PMI GROUP, INC 22,625
600 PRICE (T. ROWE) ASSOCIATES, INC 29,550
1,700 SALOMON, INC 60,350
2,100 SCHWAB (CHARLES) CORP 42,262
100 SECURITY CAPITAL PACIFIC TRUST 1,975
1,300 STORAGE USA, INC 42,412
See notes to financial statements.
14
<PAGE>
<CAPTION>
SHARES VALUE
- --------- ------------
<S> <C> <C>
FINANCIAL--MISCELLANEOUS--(continued)
1,200 STUDENT LOAN MARKETING
ASSOCIATION $ 79,050
1,800 TCF FINANCIAL CORP 59,625
900 UNITED ASSET MANAGEMENT CORP 34,537
----------
3,170,569
----------
FOODS--2.48%
8,917 o ARCHER DANIELS MIDLAND CO 160,506
2,200 CAMPBELL SOUP CO 132,000
900 CARDINAL HEALTH, INC 49,275
3,900 CONAGRA, INC 160,875
2,200 CPC INTERNATIONAL, INC 150,975
1,000 DEAN FOODS CO 27,500
800 DOLE FOOD, INC 28,000
800 DREYERS GRAND ICE CREAM, INC 26,600
1,800 FLOWERS INDUSTRIES, INC 21,825
2,600 GENERAL MILLS, INC 150,150
2,000 o GENERAL NUTRITION COS, INC 46,000
5,400 HEINZ (H.J.) CO 178,875
900 HERSHEY FOODS CORP 58,500
900 IBP, INC 45,450
1,900 KELLOGG CO 146,775
2,000 MCCORMICK & CO, INC 48,250
1,400 NABISCO HOLDINGS CORP (CLASS A) 45,675
1,300 PIONEER-HI-BRED INTERNATIONAL, INC 72,312
2,300 QUAKER OATS CO 79,350
1,500 RALCORP HOLDINGS, INC 36,375
1,500 RALSTON PURINA GROUP 93,562
1,400 RICHFOOD HOLDINGS, INC 37,450
7,800 SARA LEE CORP 248,625
700 o SMITHFIELD FOODS, INC 22,225
900 SMITH'S FOOD & DRUG CENTERS, INC
(CLASS B) 22,725
1,400 TYSON FOODS, INC 36,575
1,800 WRIGLEY (WM) JR CO 94,500
----------
2,220,930
----------
FOREST PRODUCTS--0.57%
1,100 BOISE CASCADE CORP 38,087
1,400 CHAMPION INTERNATIONAL CORP 58,800
1,500 GEORGIA-PACIFIC CORP 102,937
2,200 LOUISIANA PACIFIC CORP 53,350
700 POTLATCH CORP 28,000
1,200 RAYONIER, INC 40,050
3,100 WEYERHAEUSER CO 134,075
1,000 WILLAMETTE INDUSTRIES, INC 56,250
----------
511,549
----------
HEALTHCARE--DRUGS--5.35%
1,900 o ALZA CORP 47,025
4,900 AMERICAN HOME PRODUCTS CORP 475,300
4,500 o AMGEN, INC 267,187
1,700 ARBOR DRUGS, INC 35,700
600 o BIOGEN, INC 36,900
7,700 BRISTOL MYERS SQUIBB CO 661,237
385 o CHIRON CORP 42,542
1,000 o FOREST LABORATORIES, INC 45,250
800 o GENZYME CORP 49,900
40 o GENZYME CORP (TISSUE REPAIR DIVISION) 635
1,900 IVAX CORP 54,150
5,046 LILLY (ELI) & CO 283,837
700 MCKESSON CORP NEW 35,437
19,400 MERCK & CO, INC 1,275,550
2,600 MYLAN LABORATORIES, INC 61,100
10,100 PFIZER, INC 636,300
3,480 o PHARMACIA & UPJOHN, INC 134,850
700 RHONE-POULENC RORER, INC 37,275
700 o ROBERTS PHARMACEUTICAL CORP 12,425
700 o SCHERER (R.P.) CORP 34,387
6,000 SCHERING-PLOUGH CORP 328,500
2,000 WARNER-LAMBERT CO 194,250
900 o WATSON PHARMACEUTICALS, INC 44,100
----------
4,793,837
----------
HEALTHCARE--HOSPITAL SUPPLY--2.26%
12,200 ABBOTT LABORATORIES 509,350
1,000 BARD (C.R.), INC 32,250
4,300 BAXTER INTERNATIONAL, INC 180,062
900 BECTON DICKINSON & CO 67,500
1,600 o C-CUBE MICROSYSTEMS, INC 100,000
4,456 GUIDANT CORP 188,266
10,200 JOHNSON & JOHNSON 873,375
2,300 OWENS & MINOR, INC NEW 29,325
1,100 o PYXIS CORP 16,087
1,300 U.S. SURGICAL CORP 27,787
----------
2,024,002
----------
HEALTHCARE--OTHER--1.36%
2,000 ALLERGAN, INC 65,000
1,800 o AMERICAN MEDICAL RESPONSE, INC 58,500
900 BAUSCH & LOMB, INC 35,662
2,400 o BIOMET, INC 42,900
1,600 o BOSTON SCIENTIFIC CORP 78,400
1,500 CAREMARK INTERNATIONAL, INC 27,187
400 o CORDIS CORP 40,200
1,000 o GENESIS HEALTH VENTURES, INC 36,500
1,600 o IDEXX LABORATORIES, INC 75,200
2,400 o INFORMIX CORP 72,000
3,800 MEDTRONIC, INC 212,325
800 o NELLCOR PURITAN BENNETT, INC 46,400
700 o OXFORD HEALTH PLANS, INC 51,712
2,100 PALL CORP 56,437
600 o QUANTUM HEALTH RESOURCES, INC 5,887
1,200 o ST. JUDE MEDICAL, INC 51,600
1,300 STEWART ENTERPRISES, INC (CLASS A) 48,100
900 STRYKER CORP 47,250
1,050 o SUMMIT TECHNOLOGY, INC 35,437
900 o SUNRISE MEDICAL, INC 16,650
2,200 o SYBRON INTERNATIONAL CORP 52,250
800 o THERMO CARDIOSYSTEMS, INC 61,800
----------
1,217,397
----------
HEALTHCARE--SERVICE--2.01%
800 o APRIA HEALTHCARE GROUP, INC 22,600
2,200 o BEVERLY ENTERPRISES 23,375
1,200 o CERNER CORP 24,600
7,092 COLUMBIA/HCA HEALTHCARE CORP 359,919
800 o COMMUNITY HEALTH SYSTEMS, INC 28,500
1,100 o FHP INTERNATIONAL CORP 31,350
800 o FOUNDATION HEALTH CORP 34,400
800 o HEALTH CARE & RETIREMENT CORP 28,000
1,000 HEALTH CARE PROPERTY INVESTORS, INC 35,125
1,500 o HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) NEW 39,187
1,300 o HEALTH SYSTEMS INTERNATIONAL, INC 41,762
See notes to financial statements.
15
<PAGE>
<CAPTION>
SHARES VALUE
- --------- ------------
<S> <C> <C>
HEALTHCARE--SERVICE--(continued)
700 o HEALTHCARE COMPARE CO $ 30,450
1,400 o HEALTHSOURCE, INC 50,400
1,500 o HEALTHSOUTH CORP 43,687
1,100 o HORIZON/CMS HEALTHCARE CORP 27,775
3,000 o HUMANA, INC 82,125
1,000 INTEGRATED HEALTH SERVICES, INC 25,000
1,200 INVACARE CORP 30,300
1,852 o LABORATORY CORP OF AMERICA
HOLDINGS 17,362
260 o LABORATORY CORP OF AMERICA
HOLDINGS WTS 4/28/00 178
900 o LINCARE HOLDINGS, INC 22,500
800 MANOR CARE, INC 28,000
1,200 o MID ATLANTIC MEDICAL SERVICES, INC 29,100
2,800 OMEGA HEALTHCARE INVESTORS, INC 74,550
600 o ORNDA HEALTHCORP 13,950
400 o PACIFICARE HEALTH SYSTEMS, INC
(CLASS A) 34,800
500 o PACIFICARE HEALTH SYSTEMS, INC
(CLASS B) 43,500
1,200 o PHYCOR, INC 60,675
800 o PHYSICIAN CORP OF AMERICA 13,600
3,120 o TENET HEALTHCARE CORP 64,740
25 o TRANSPORT HOLDINGS, INC (CLASS A) 1,018
2,700 U.S. HEALTHCARE, INC 125,550
2,700 UNITED HEALTHCARE CORP 176,850
1,100 o VALUE HEALTH, INC 30,250
841 o VENCOR, INC 27,332
1,800 o VIVRA, INC 45,225
1,000 o WELLPOINT HEALTH NETWORKS, INC
(CLASS A) 32,125
----------
1,799,860
----------
HOUSEHOLD--CONSUMER
ELECTRONICS--0.03%
735 HARMAN INTERNATIONAL INDUSTRIES, INC 29,491
----------
HOUSEHOLD--DURABLE GOODS--0.47%
800 BASSETT FURNITURE INDUSTRIES, INC 18,600
1,500 BLACK & DECKER CORP 52,875
1,600 o BOYD GAMING CORP 18,600
1,600 LEGGETT & PLATT, INC 38,800
2,200 MAYTAG CO 44,550
3,100 NEWELL COS, INC 80,212
2,500 SHAW INDUSTRIES, INC 36,875
800 STANLEY WORKS 41,200
1,800 SUNBEAM CORP 27,450
1,200 WHIRLPOOL CORP 63,900
----------
423,062
----------
HOUSEHOLD--PRODUCTS--1.58%
1,200 APTARGROUP, INC 44,850
700 CLOROX CO 50,137
2,100 COLGATE PALMOLIVE CO 147,525
1,400 DIAL CORP 41,475
700 FIRST BRANDS CORP 33,337
1,900 o PERRIGO CO 22,562
1,100 PREMARK INTERNATIONAL, INC 55,687
10,700 PROCTER & GAMBLE CO 888,100
2,900 RUBBERMAID, INC 73,950
1,300 o SCOTTS CO (CLASS A) 25,187
700 TAMBRANDS, INC 33,425
----------
1,416,235
----------
INSURANCE--BROKERS & OTHER--0.48%
1,300 ALEXANDER & ALEXANDER SERVICES, INC 24,700
3,200 EQUIFAX, INC 68,400
800 GALLAGHER (ARTHUR J.) & CO 29,800
1,600 o ITT HARTFORD GROUP, INC 77,400
1,000 JOHN ALDEN FINANCIAL CORP 20,875
1,200 MARSH & MCLENNAN COS, INC 106,500
800 MBIA, INC 60,000
1,700 o QUORUM HEALTH GROUP, INC 37,400
----------
425,075
----------
INSURANCE--LIFE--0.61%
1,600 AON CORP 79,800
1,600 o EQUITABLE COS, INC 38,400
1,500 FIRST COLONY CORP 38,062
1,500 JEFFERSON-PILOT CORP 69,750
1,800 PROVIDIAN CORP 73,350
800 RELIASTAR FINANCIAL CORP 35,500
1,050 o SUNAMERICA, INC 49,875
1,100 TORCHMARK CORP 49,775
1,300 UNUM CORP 71,500
1,200 USLIFE CORP 35,850
----------
541,862
----------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--3.12%
1,800 AETNA LIFE & CASUALTY CO 124,650
1,800 AFLAC, INC 78,075
1,200 ALLMERICA PROPERTY & CASUALTY COS, INC 32,400
6,678 ALLSTATE CORP 274,632
1,000 AMERICAN BANKERS INSURANCE GROUP, INC 39,000
5,900 AMERICAN INTERNATIONAL GROUP, INC 545,750
600 AMERICAN RE CORP 24,525
1,300 CHUBB CORP 125,775
1,000 CIGNA CORP 103,250
835 CINCINNATI FINANCIAL CORP 54,483
1,100 FREMONT GENERAL CORP 40,425
600 GEICO CORP 41,925
1,200 GENERAL REINSURANCE CORP 186,000
800 o INSURANCE AUTO AUCTIONS, INC 8,600
402 KEMPER CORP 19,949
1,700 LINCOLN NATIONAL CORP 91,375
700 MERCURY GENERAL CORP NEW 33,425
1,200 MGIC INVESTMENT CORP 65,100
900 NAC RE CORP 32,400
1,200 OHIO CASUALTY CORP 46,500
1,400 OLD REPUBLIC INTERNATIONAL CORP 49,700
1,300 PROGRESSIVE CORP 63,537
1,800 SAFECO CORP 62,100
1,000 SELECTIVE INSURANCE GROUP, INC 35,500
1,100 ST. PAUL COS, INC NOTES 61,187
1,100 TRANSAMERICA CORP 80,162
5,100 TRAVELERS GROUP, INC 320,662
1,400 o UNITED INSURANCE COS, INC 26,425
1,100 UNITRIN, INC 52,800
2,200 o USF&G CORP 37,125
1,300 ZURICH REINSURANCE
CENTRE HLDNGS, INC 39,487
----------
2,796,924
----------
LEISURE TIME--1.34%
1,400 ARCTCO, INC 18,200
2,300 BRUNSWICK CORP 55,200
See notes to financial statements.
16
<PAGE>
<CAPTION>
SHARES VALUE
- --------- ------------
<S> <C> <C>
LEISURE TIME--(continued)
1,900 CALLAWAY GOLF CO $ 42,987
1,500 CARNIVAL CORP (CLASS A) 36,562
1,030 o CHRIS CRAFT INDUSTRIES, INC 44,547
1,900 o CIRCUS CIRCUS ENTERPRISES, INC 52,962
600 o COBRA GOLF, INC 21,375
8,200 DISNEY (WALT) CO 483,800
1,800 o HARRAHS ENTERTAINMENT, INC 43,650
1,500 HASBRO, INC 46,500
2,900 INTERNATIONAL GAME TECHNOLOGY 31,537
1,600 o ITT CORP (NEW) 84,800
1,200 JOSTENS, INC 29,100
3,575 MATTEL, INC 109,931
1,800 o MIRAGE RESORT, INC 62,100
40 o NATIONAL GAMING CORP 475
1,300 OUTBOARD MARINE CORP 26,487
950 o PLAYERS INTERNATIONAL, INC 10,153
-----------
1,200,366
-----------
MACHINERY--1.57%
500 AGCO CORP 25,500
1,200 o BJ SERVICES CO 34,800
3,200 CATERPILLAR, INC 188,000
800 CINCINNATI MILACRON, INC 21,000
1,400 o COGNEX CORP 48,650
821 o COOPER CAMERON CORP 29,145
935 COOPER INDUSTRIES, INC 34,361
4,200 DEERE & CO 148,050
1,800 DOVER CORP 66,375
1,000 DURIRON, INC 23,375
1,200 FEDERAL SIGNAL CORP 31,050
900 GREENFIELD INDUSTRIES, INC 28,125
1,100 HARNISCHFEGER INDUSTRIES, INC 36,575
600 HARSCO CORP 34,875
900 IDEX CORP 36,675
1,600 ILLINOIS TOOL WORKS, INC 94,400
1,600 INGERSOLL-RAND CO 56,200
900 KAYDON CORP 27,337
600 KENNAMETAL, INC 19,050
1,500 PARKER-HANNIFIN CORP 51,375
800 STEWART & STEVENSON SERVICES, INC 20,200
700 SUNDSTRAND CORP 49,262
900 TECUMSEH PRODUCTS CO (CLASS A) 46,575
1,550 o THERMO ELECTRON CORP 80,600
806 TIMKIN CO 30,829
900 TRINITY INDUSTRIES, INC 28,350
1,000 TRINOVA CORP 28,625
800 o VARITY CORP NEW 29,700
1,200 YORK INTERNATIONAL CORP 56,400
-----------
1,405,459
-----------
METALS--ALUMINIUM--0.23%
800 o ALUMAX, INC 24,500
2,500 ALUMINUM CO OF AMERICA 132,187
900 REYNOLDS METALS CO 50,962
----------
207,649
----------
METALS--GOLD--0.21%
2,200 o AMAX GOLD, INC 15,950
1,400 BATTLE MOUNTAIN GOLD CO 11,900
1,400 FREEPORT MCMORAN COPPER & GOLD,
INC (CLASS A) 39,200
1,263 FREEPORT-MCMORAN COPPER & GOLD,
INC (CLASS B) 35,521
2,100 HOMESTAKE MINING CO 32,812
1,200 NEWMONT MINING CORP 54,300
----------
189,683
----------
METALS--NON-FERROUS--0.33%
1,200 ASARCO, INC 38,400
1,900 CYPRUS AMAX MINERALS CO 49,637
300 FREEPORT MCMORAN, INC 11,100
1,700 o HECLA MINING CO 11,687
1,700 o MAGMA COPPER CO 47,387
600 MAPCO, INC 32,775
1,100 MINERALS TECHNOLOGIES INC 40,150
1,100 PHELPS DODGE CORP 68,475
----------
299,611
----------
METALS--STEEL--0.32%
2,600 o BETHLEHEM STEEL CORP 36,400
1,200 BIRMINGHAM STEEL CORP 17,850
1,200 INLAND STEEL INDUSTRIES, INC 30,150
2,200 o LTV CORP NEW 30,250
1,400 NUCOR CORP 79,975
900 OREGON STEEL MILLS 12,600
1,500 USX-U.S. STEEL GROUP 46,125
1,600 WORTHINGTON INDUSTRIES, INC 33,300
----------
286,650
----------
OFFICE EQUIPMENT--3.26%
2,800 o AMDAHL CORP 23,800
2,200 APPLE COMPUTER, INC 70,125
800 AVERY DENNISON CORP 40,100
4,200 o COMPAQ COMPUTER CORP 201,600
1,000 o CRAY RESEARCH, INC 24,750
1,600 o DATA GENERAL CORP 22,000
1,400 o DELL COMPUTER CORP 48,475
2,800 o DIGITAL EQUIPMENT CORP 179,550
6,300 HEWLETT-PACKARD CO 527,625
9,200 INTERNATIONAL BUSINESS MACHINES CORP 844,100
500 o KOMAG, INC 23,062
1,100 MILLER (HERMAN), INC 33,000
2,500 PITNEY BOWES, INC 117,500
1,200 o QUANTUM CORP 19,350
900 o SCI SYSTEMS, INC 27,900
1,300 o SEAGATE TECHNOLOGY, INC 61,750
1,200 o SEQUENT COMPUTER SYSTEMS, INC 17,400
3,000 o SILICON GRAPHICS, INC 82,500
800 o SOLECTRON CORP 35,300
1,100 o STORAGE TECHNOLOGY CORP 26,262
3,400 o SUN MICROSYSTEMS, INC 155,125
2,800 o TANDEM COMPUTERS, INC 29,750
3,400 o UNISYS CORP 19,125
800 o VIKING OFFICE PRODUCTS, INC 37,200
1,500 o WANG LABORATORIES, INC 24,937
1,700 XEROX CORP 232,900
----------
2,925,186
----------
PAPER--1.15%
700 ALBANY INTERNATIONAL CORP
(CLASS A) NEW 12,687
2,000 BEMIS, INC 51,250
See notes to financial statements.
17
<PAGE>
<CAPTION>
SHARES VALUE
- --------- ------------
<S> <C> <C>
PAPER--(continued)
1,000 BOWATER, INC $ 35,500
600 CONSOLIDATED PAPERS, INC 33,675
160 o CROWN VANTAGE, INC 2,280
800 FEDERAL PAPER BOARD CO, INC 41,500
3,800 INTERNATIONAL PAPER CO 143,925
1,600 JAMES RIVER CORP OF VIRGINIA 38,600
4,350 KIMBERLY-CLARK CORP 359,962
1,500 LONGVIEW FIBRE CO 24,375
900 MEAD CORP 47,025
900 PENTAIR, INC 44,775
1,365 SONOCO PRODUCTS CO 35,831
1,800 STONE CONTAINER CORP 25,875
800 TEMPLE-INLAND, INC 35,300
1,100 UNION CAMP CORP 52,387
1,650 WESTVACO CORP 45,787
----------
1,030,734
----------
PETROLEUM--EXPLORATION
& PRODUCTION--0.80%
1,500 AMERADA HESS CORP 79,500
1,200 ANADARKO PETROLEUM CORP 64,950
500 APACHE CORP 14,750
800 ASHLAND, INC 28,100
2,300 BURLINGTON RESOURCES, INC 90,275
600 KERR-MCGEE CORP 38,100
1,000 LOUISIANA LAND & EXPLORATION CO 42,875
2,000 MITCHELL ENERGY & DEVELOPMENT CORP
(CLASS A) 37,000
800 MURPHY OIL CORP 33,200
1,200 o NEWFIELD EXPLORATION CO 32,400
1,100 NOBLE AFFILIATES, INC 32,862
1,100 o ORYX ENERGY CO 14,712
700 PARKER & PARSLEY PETROLEUM CO 15,400
1,300 PENNZOIL CO 54,925
1,000 POGO PRODUCING CO 28,250
3,100 o SANTA FE ENERGY RESOURCES, INC 29,837
1,200 o SEAGULL ENERGY CORP 26,700
400 o TRITON ENERGY CORP 22,950
1,700 UNION TEXAS PETROLEUM HOLDINGS, INC 32,937
----------
719,723
----------
PETROLEUM--INTEGRATED--4.97%
7,400 AMOCO CORP 531,875
2,300 ATLANTIC RICHFIELD CO 254,725
10,500 CHEVRON CORP 551,250
900 DIAMOND SHAMROCK, INC 23,287
19,700 EXXON CORP 1,578,462
6,300 MOBIL CORP 705,600
5,100 OCCIDENTAL PETROLEUM CORP 109,012
2,900 PHILLIPS PETROLEUM CO 98,962
1,800 SUN CO, INC 49,275
4,300 TEXACO, INC 337,550
4,180 UNOCAL CORP 121,742
4,900 USX-MARATHON GROUP, INC NEW 95,550
----------
4,457,290
----------
PETROLEUM--SERVICE--0.81%
2,600 BAKER HUGHES, INC 63,375
800 CABOT CORP 43,100
1,300 CAMCO INTERNATIONAL, INC 36,400
2,900 DRESSER INDUSTRIES, INC 70,687
1,400 FLUOR CORP 92,400
1,900 HALLIBURTON CO 96,187
3,400 o NABORS INDUSTRIES, INC 37,825
2,700 o NOBLE DRILLING CORP 24,300
3,500 o ROWAN COS, INC 34,562
1,000 SONAT OFFSHORE DRILLING, INC 44,750
1,300 TIDEWATER, INC 40,950
700 TOSCO CORP 26,687
1,500 ULTRAMAR CORP 38,625
1,000 VASTAR RESOURCES, INC 31,750
800 o WESTERN ATLAS, INC 40,400
----------
721,998
----------
PHOTOGRAPHY--0.45%
5,500 EASTMAN KODAK CO 368,500
800 POLAROID CORP 37,900
----------
406,400
----------
PROPERTY--REAL ESTATE--0.29%
3,300 TAUBMAN CENTERS, INC 33,000
1,200 o TOLL BROTHERS, INC 27,600
3,500 WEINGARTEN REALTY INVESTORS, INC 133,000
2,800 WELLSFORD RESIDENTIAL PROPERTY
TRUST 64,400
----------
258,000
----------
PUBLISHING--NEWSPAPER--0.46%
900 BELO (A.H.) CORP SERIES A 31,275
900 CENTRAL NEWSPAPERS, INC (CLASS A) 28,237
991 o COX COMMUNICATIONS, INC (CLASS A)
NEW 19,324
900 DOW JONES & CO, INC 35,887
1,800 GANNETT CO, INC 110,475
500 KNIGHT-RIDDER, INC 31,250
1,300 NEW YORK TIMES CO (CLASS A) 38,512
1,700 TIMES MIRROR CO (SERIES A) NEW 57,587
700 TRIBUNE CO NEW 42,787
900 o VALASSIS COMMUNICATIONS, INC 15,750
----------
411,084
----------
PUBLISHING--OTHER--0.86%
1,500 AMERICAN GREETINGS CORP (CLASS A) 41,437
2,100 DONNELLEY (R.R.) & SONS CO 82,687
2,300 DUN & BRADSTREET CORP 148,925
1,000 HARCOURT GENERAL, INC 41,875
600 HOUGHTON MIFFLIN CO 25,800
600 MCGRAW HILL COS, INC 52,275
1,400 MEREDITH CORP 58,625
1,400 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) 71,750
500 o SCHOLASTIC CORP 38,875
5,431 TIME WARNER, INC 205,699
----------
767,948
----------
RAILROAD--0.97%
2,040 BURLINGTON NORTHERN SANTA FE CORP 159,120
1,300 CONRAIL, INC 91,000
2,800 CSX CORP 127,750
600 ILLINOIS CENTRAL CORP SERIES A 23,025
700 KANSAS CITY SOUTHERN INDUSTRIES, INC 32,025
1,900 NORFOLK SOUTHERN CORP 150,812
1,800 o SOUTHERN PACIFIC RAIL CORP 43,200
3,000 UNION PACIFIC CORP 198,000
700 o WISCONSIN CENTRAL TRANSIT CORP 46,025
----------
870,957
See notes to financial statements.
18
<PAGE>
<CAPTION>
SHARES VALUE
- --------- ------------
<S> <C> <C>
RESTAURANTS & HOTELS--1.26%
1,100 APPLE SOUTH, INC $ 23,650
1,200 APPLEBEES INTERNATIONAL, INC 27,300
1,600 o BOSTON CHICKEN, INC 51,400
1,700 o BUFFETS, INC 23,375
1,300 CRACKER BARREL OLD COUNTRY STORE, INC 22,425
2,700 DARDEN RESTAURANTS, INC 32,062
900 o HFS INC 73,575
700 HILTON HOTELS CORP 43,050
2,800 o HOST MARRIOTT CORP 37,100
1,050 LA QUINTA INNS, INC 28,743
2,200 MARRIOTT INTERNATIONAL, INC 84,150
10,900 MCDONALDS CORP 491,862
1,400 MORRISON RESTAURANTS, INC 19,600
1,550 o PROMUS HOTEL CORP 34,487
2,900 SYSCO CORP 94,250
2,100 WENDYS INTERNATIONAL, INC 44,625
----------
1,131,654
----------
RETAIL--FOOD--0.73%
3,700 ALBERTSONS, INC 121,637
1,800 AMERICAN STORES CO, NEW 48,150
39 o BRUNOS, INC 409
5,900 FOOD LION, INC (CLASS B) 33,556
1,800 GIANT FOOD, INC (CLASS A) 56,700
1,300 GREAT ATLANTIC & PACIFIC TEA CO, INC 29,900
1,400 o KROGER CO 52,500
2,400 RUDDICK CORP 27,600
1,700 o SAFEWAY, INC NEW 87,550
2,200 o STARBUCKS CORP 46,200
1,000 o STOP & SHOP COS, INC NEW 23,125
1,000 SUPERVALU, INC 31,500
1,600 o VONS COS, INC 45,200
1,400 WINN DIXIE STORES, INC 51,625
----------
655,652
----------
RETAIL--GENERAL MERCHANDISE--3.60%
2,600 o AUTOZONE, INC 75,075
600 o BARNES & NOBLE, INC 17,400
700 o BEST BUY, INC 11,375
1,300 o BORDERS GROUP, INC 24,050
800 xo CALDOR CORP 2,600
3,200 CHARMING SHOPPES, INC 9,200
1,500 CIRCUIT CITY STORES, INC 41,437
1,300 o CONSOLIDATED STORES CORP 28,275
3,000 o CUC INTERNATIONAL, INC 102,375
900 DAYTON HUDSON CORP 67,500
900 o DEPARTMENT 56, INC 34,537
1,700 DILLARD DEPARTMENT STORES (CLASS A) 48,450
1,575 DOLLAR GENERAL CORP 32,681
1,000 o ECKERD CORP 44,625
3,570 o FEDERATED DEPARTMENT STORES, INC 98,175
1,900 GAP, INC 79,800
1,100 o GYMBOREE CORP 22,687
1,500 HECHINGER CO (CLASS A) 6,562
1,300 HEILIG MEYERS CO 23,887
7,500 HOME DEPOT, INC 359,062
7,100 K MART CORP 51,475
600 o KOHLS CORP 31,500
4,200 LIMITED, INC 72,975
2,300 LOWES COS, INC 77,050
3,600 MAY DEPARTMENT STORES CO 152,100
1,900 MELVILLE CORP 58,425
1,300 o MUSICLAND STORES CORP 5,525
900 NORDSTROM, INC 36,450
1,800 o OFFICEMAX, INC 40,275
2,900 PENNEY, (J.C.) CO, INC 138,112
1,200 PEP BOYS-MANNY, MOE & JACK 30,750
1,250 o PETSMART, INC 38,750
3,400 o PRICE/COSTCO, INC 51,850
1,400 o REVCO (D.S.), INC NEW 39,550
2,200 RITE AID CORP 75,350
2,100 ROUSE CO 42,787
5,900 SEARS ROEBUCK & CO 230,100
1,800 o STAPLES, INC 43,875
1,800 STRIDE RITE CORP 13,500
1,800 o SUNGLASS HUT INTERNATIONAL, INC 42,750
1,200 TANDY CORP 49,800
1,900 TJX COS, INC NEW 35,862
4,000 o TOYS R US, INC 87,000
21,400 WAL-MART STORES, INC 478,825
4,100 WALGREEN CO 122,487
900 o WILLIAMS-SONOMA, INC 16,650
2,800 WOOLWORTH CORP 36,400
----------
3,229,926
----------
TEXTILE & APPAREL--0.47%
1,300 o ANN TAYLOR STORES CORP 13,325
1,600 o FRUIT OF THE LOOM, INC (CLASS A) 39,000
1,600 KELLWOOD CO 32,600
1,400 LIZ CLAIBORNE, INC 38,850
900 o NAUTICA ENTERPRISES, INC 39,375
1,000 NIKE, INC (CLASS B) 69,625
1,000 o NINE WEST GROUP, INC 37,500
1,200 REEBOK INTERNATIONAL LTD 33,900
900 RUSSELL CORP 24,975
500 o TOMMY HILFIGER CORP 21,187
1,300 UNIFI, INC 28,762
800 VF CORP 42,200
----------
421,299
----------
TOBACCO--1.83%
2,900 AMERICAN BRANDS, INC 129,412
13,000 PHILIP MORRIS COS, INC 1,176,500
5,301 RJR NABISCO HOLDINGS CORP 163,668
240 o SCHWEITZER-MAUDUIT INTL, INC 5,550
1,800 UNIVERSAL CORP 43,875
3,500 UST, INC 116,812
----------
1,635,817
----------
TRUCKERS & SHIPPING--0.21%
1,100 o AMERICAN FREIGHTWAYS CORP 11,412
900 AMERICAN PRESIDENT COS LTD 20,700
600 ROADWAY SERVICES, INC 29,325
2,800 ROLLINS TRUCK LEASING CORP 31,150
1,600 RYDER SYSTEMS, INC 39,600
300 SHURGARD STORAGE CENTERS, INC 8,100
1,000 WERNER ENTERPRISES, INC 20,250
600 XTRA CORP 25,500
----------
186,037
----------
UTILITIES--ELECTRIC--4.55%
1,800 o AES CORP 42,975
2,300 ALLEGHENY POWER SYSTEMS, INC 65,837
See notes to financial statements.
19
<PAGE>
<CAPTION>
SHARES VALUE
- --------- ------------
<S> <C> <C>
UTILITIES--ELECTRIC--(continued)
2,800 AMERICAN ELECTRIC POWER CO, INC $ 113,400
2,900 ATLANTIC ENERGY, INC 55,825
2,000 BALTIMORE GAS & ELECTRIC CO 57,000
2,300 CAROLINA POWER & LIGHT CO 79,350
5,100 CENTERIOR ENERGY CORP 45,262
2,300 CENTRAL & SOUTH WEST CORP 64,112
3,100 CINERGY CORP 94,937
3,562 o CITIZENS UTILITIES CO (CLASS B) 44,970
1,700 CMS ENERGY CORP 50,787
3,500 CONSOLIDATED EDISON CO
OF NEW YORK, INC 112,000
2,200 DETROIT EDISON CO 75,900
2,800 DOMINION RESOURCES, INC 115,500
1,500 DPL, INC 37,125
1,200 DQE, INC 36,900
2,700 DUKE POWER CO 127,912
2,700 EASTERN UTILITIES ASSOCIATES 63,787
3,100 ENTERGY CORP NEW 90,675
1,800 FLORIDA PROGRESS CORP 63,675
2,400 FPL GROUP, INC 111,300
1,500 GENERAL PUBLIC UTILITIES CORP 51,000
2,800 HOUSTON INDUSTRIES, INC 67,900
2,600 IDAHO POWER CO 78,000
400 IES INDUSTRIES, INC 10,600
2,100 ILLINOVA CORP 63,000
1,500 KANSAS CITY POWER & LIGHT CO 39,187
2,600 LONG ISLAND LIGHTING CO 42,575
2,300 MIDAMERICAN ENERGY CO 38,525
3,300 NEVADA POWER CO 73,425
1,100 NEW ENGLAND ELECTRIC SYSTEMS CO 43,587
1,500 NEW YORK STATE ELECTRIC & GAS CORP 38,812
4,000 NIAGARA MOHAWK POWER CORP 38,500
1,600 NORTHEAST UTILITIES CO 39,000
1,000 NORTHERN STATES POWER CO 49,125
2,400 OHIO EDISON CO 56,400
6,700 PACIFIC GAS & ELECTRIC CO 190,112
4,200 PACIFICORP 89,250
2,700 PECO ENERGY CO 81,337
1,700 PINNACLE WEST CAPITAL CORP 48,875
1,700 POTOMAC ELECTRIC POWER CO 44,625
2,700 PP&L RESOURCES, INC 67,500
1,400 PUBLIC SERVICE CO OF COLORADO 49,525
3,000 o PUBLIC SERVICE CO OF NEW MEXICO 52,875
3,200 PUBLIC SERVICE ENTERPRISE GROUP, INC 98,000
3,100 PUGET SOUND POWER & LIGHT CO 72,075
1,500 SAN DIEGO GAS & ELECTRIC CO 35,625
1,200 SCANA CORP 34,350
6,300 SCE CORP 111,825
10,000 SOUTHERN CO 246,250
2,100 TECO ENERGY, INC 53,812
3,600 TEXAS UTILITIES CO 148,050
2,800 UNICOM CORP 91,700
1,300 UNION ELECTRIC CO 54,275
1,800 UNITED ILLUMINATING CO 67,275
1,400 UTILICORP UNITED, INC 41,125
1,800 WASHINGTON WATER POWER CO 31,500
900 WESTERN RESOURCES, INC 30,037
2,000 WISCONSIN ENERGY CORP 61,250
----------
4,080,113
----------
UTILITIES--GAS & PIPELINE--1.28%
1,300 o AMERICAN STANDARD COS, INC 36,400
2,400 ATLANTA GAS LIGHT CO 47,400
800 CABOT OIL & GAS CORP (CLASS A) 11,700
1,500 o COASTAL CORP 55,875
700 o COLUMBIA GAS SYSTEMS, INC 30,712
2,000 CONSOLIDATED NATURAL GAS CO 90,750
1,400 EL PASO NATURAL GAS CO NEW 39,725
3,100 ENRON CORP 118,187
1,600 ENSERCH CORP 26,000
1,600 INDIANA ENERGY INC 38,200
300 o IONICS, INC 13,050
1,100 MCN CORP 25,575
1,800 NICOR, INC 49,500
900 NORTHWEST NATURAL GAS CO 29,700
1,500 PACIFIC ENTERPRISES, INC 42,375
2,500 PANHANDLE EASTERN CORP 69,687
1,300 PIEDMONT NATURAL GAS CO, INC 30,225
1,000 QUESTAR CORP 33,500
1,300 SONAT, INC 46,312
2,700 TENNECO, INC 133,987
1,119 UGI CORP NEW 23,219
1,500 VALERO ENERGY CORP 36,750
1,400 WICOR, INC 45,150
1,569 WILLIAMS COS, INC 68,839
----------
1,142,818
----------
UTILITIES--TELEPHONE--7.31%
3,300 ALLTEL CORP 97,350
8,900 AMERITECH CORP NEW 525,100
24,400 AT & T CORP 1,579,900
6,800 o BELL ATLANTIC CORP 454,750
15,200 BELLSOUTH CORP 661,200
1,800 CINCINNATI BELL, INC 62,550
4,700 FRONTIER CORP 141,000
750 o GLENAYRE TECHNOLOGIES, INC 46,687
15,000 GTE CORP 660,000
11,100 MCI COMMUNICATIONS CORP 289,987
1,300 o MOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP 27,787
2,800 o NEXTEL COMMUNICATIONS, INC (CLASS A) 41,300
6,700 NYNEX CORP 361,800
6,800 PACIFIC TELESIS GROUP 228,650
9,200 SBC COMMUNICATIONS, INC 529,000
2,200 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP 87,450
5,500 SPRINT CORP 219,312
1,208 TELEPHONE & DATA SYSTEMS, INC 47,716
7,500 o U.S. WEST COMMUNICATIONS GROUP 268,125
7,500 o U.S. WEST MEDIA GROUP 142,500
2,300 WORLDCOM, INC 81,075
----------
6,553,239
----------
TOTAL COMMON STOCK
(Cost $72,206,684) 88,594,317
-----------
ROUNDING 124
-----------
TOTAL PORTFOLIO
(Cost $72,207,438) $88,595,324
-----------
</TABLE>
- ------------
o NON-INCOME PRODUCING
x IN BANKRUPTCY
See notes to financial statements.
20
<PAGE>
Teachers Insurance and Annuity Association
730 Third Avenue
[TIAA-LOGO] New York, NY 10017-3206
212/490-9000
[Recycle-LOGO] Printed on recycled paper
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE ANNUAL
REPORT AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL
STATEMENTS.
</LEGEND>
<CIK> 0000923524
<NAME> TIAA SEPARATE ACCOUNT VA-1
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> DEC-31-1995
<INVESTMENTS-AT-COST> 72,207,438
<INVESTMENTS-AT-VALUE> 88,595,324
<RECEIVABLES> 1,000,722
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 32,280
<TOTAL-ASSETS> 89,628,326
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 733
<TOTAL-LIABILITIES> 733
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 2,604,605
<SHARES-COMMON-PRIOR> 1,171,177
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 89,627,593
<DIVIDEND-INCOME> 1,436,608
<INTEREST-INCOME> 46,587
<OTHER-INCOME> 0
<EXPENSES-NET> 336,765
<NET-INVESTMENT-INCOME> 1,146,430
<REALIZED-GAINS-CURRENT> 481,973
<APPREC-INCREASE-CURRENT> 16,241,820
<NET-CHANGE-FROM-OPS> 17,870,223
<EQUALIZATION> 0
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<DISTRIBUTIONS-OF-GAINS> 0
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<NUMBER-OF-SHARES-REDEEMED> 565,817
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 60,031,237
<ACCUMULATED-NII-PRIOR> 0
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<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 186,937
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 462,464
<AVERAGE-NET-ASSETS> 61,314,170
<PER-SHARE-NAV-BEGIN> 25.271
<PER-SHARE-NII> .575
<PER-SHARE-GAIN-APPREC> 8.565
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 34.411
<EXPENSE-RATIO> .005
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
