SEMI-ANNUAL REPORT
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
FINANCIAL STATEMENTS (Unaudited)
INCLUDING STATEMENT OF INVESTMENTS
JUNE 30, 1996
<PAGE>
[BLANK PAGE]
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
INDEX TO UNAUDITED FINANCIAL STATEMENTS
June 30, 1996
Page
----
Statement of Assets and Liabilities ........................................ 2
Statement of Operations .................................................... 3
Statements of Changes in Net Assets ........................................ 4
Notes to Financial Statements .............................................. 5
Statement of Investments ................................................... 8
-1-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 1996
ASSETS
Investments, at cost ......................................... $165,374,700
Net unrealized appreciation of investments ................... 26,456,351
------------
Investments, at value ........................................ 191,831,051
Cash ......................................................... 566,629
Dividends and interest receivable ............................ 315,603
Receivable from securities transactions ...................... 2,500,000
Amounts due from General Account ............................. 414,523
------------
TOTAL ASSETS 195,627,806
------------
LIABILITIES
Payable for securities transactions .......................... 5,130,241
------------
TOTAL LIABILITIES 5,130,241
------------
NET ASSETS--Accumulation Fund ................................. $190,497,565
============
NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6 ....... 5,055,252
============
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5 ................ $37.68
============
See notes to financial statements.
-2-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF OPERATIONS (Unaudited)
SIX MONTHS ENDED JUNE 30, 1996
INVESTMENT INCOME
Income:
Dividends ................................................... $ 1,491,894
Interest .................................................... 59,099
-----------
TOTAL INCOME 1,550,993
-----------
Expenses--Note 3:
Investment advisory ......................................... 211,478
Administrative .............................................. 140,977
Mortality and expense risk charges .......................... 113,919
-----------
EXPENSES BEFORE WAIVER 466,374
Investment advisory charges waived--Note 3 .................. (153,442)
-----------
NET EXPENSES 312,932
-----------
INVESTMENT INCOME--NET 1,238,061
-----------
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS--Note 4
Net realized gain on investments ........................... 717,365
Net change in unrealized appreciation on investments ....... 10,068,465
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 10,785,830
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $12,023,891
===========
See notes to financial statements.
-3-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Year Ended
Ended December 31,
June 30, 1996 1995
------------- -------------
(Unaudited)
<S> <C> <C>
FROM OPERATIONS
Investment income--net ................................. $ 1,238,061 $ 1,146,430
Net realized gain on investments ....................... 717,365 481,973
Net change in unrealized appreciation on investments ... 10,068,465 16,241,820
------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 12,023,891 17,870,223
------------ ------------
FROM CONTRACTOWNER TRANSACTIONS
Premiums ............................................... 73,061,341 61,534,705
TIAA seed money withdrawn--Note 1 ...................... (92,970) (33,252,105)
Contractowner transfers from fixed account ............. 18,299,103 14,563,961
Withdrawals ............................................ (2,344,274) (683,251)
Death benefits ......................................... (77,119) (2,296)
------------ ------------
INCREASE IN NET ASSETS RESULTING
FROM CONTRACTOWNER TRANSACTIONS 88,846,081 42,161,014
------------ ------------
NET INCREASE IN NET ASSETS 100,869,972 60,031,237
NET ASSETS
Beginning of year ...................................... 89,627,593 29,596,356
------------ ------------
End of period .......................................... $190,497,565 $ 89,627,593
============ ============
</TABLE>
See notes to financial statements.
-4-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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 shared in the pro rata investment experience of the Account and
were 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. At December 31, 1995, TIAA retained 2,685
Accumulation Units, with a total value of $92,402. During the six months ended
June 30, 1996, TIAA's remaining Accumulation Units were withdrawn at prevailing
daily net asset values and the withdrawals for both 1995 and 1996 are reflected
in the accompanying financial statements.
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.
-5-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(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 effective April 1, 1996 the daily deduction is
equivalent to an annual charge of 0.07% of the net assets of the Account. Prior
to April 1, 1996, this daily deduction was 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 for bearing certain
mortality and expense risks in connection with the contracts. Effective April 1,
1996, this daily charge is equivalent to an annual rate of 0.10% of the net
assets of the Account. Prior to April 1, 1996, this daily charge was equivalent
to an annual rate of 0.25% of the net assets of the Account.
NOTE 4--INVESTMENTS
At June 30, 1996, the net unrealized appreciation on investments was
$26,456,351, consisting of gross unrealized appreciation of $29,066,378 and
gross unrealized depreciation of $2,610,027.
Purchases and sales of securities, other than short-term money market
instruments, for the six months ended June 30, 1996, were $91,074,733 and
$524,984, respectively.
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the Account
is presented below.
<TABLE>
<CAPTION>
Six Months Year Ended October 3, 1994
Ended December 31, (date established) to
June 30, 1996 1995 December 31, 1994
------------- ------------ ---------------------
(Unaudited)
<S> <C> <C> <C>
Per Accumulation Unit Data:
Investment income ..................................................... $ .454 $ .745 $ .206
Expenses .............................................................. .137 .170 .034
------- ------- -------
Investment income--net ................................................ .317 .575 .172
Net realized and unrealized gain on investments ....................... 2.955 8.565 .099
------- ------- -------
Net increase in Accumulation Unit Value ............................... 3.272 9.140 .271
Accumulation Unit Value:
Beginning of period ................................................... 34.411 25.271 25.000
------- ------- -------
End of period ......................................................... $37.683 $34.411 $25.271
======= ======= =======
Total Return ........................................................... 9.51% 36.17% 1.08%
Ratios to Average Net Assets:
Expenses (1) .......................................................... 0.22% 0.55% 0.13%
Investment income--net ................................................ 0.77% 1.87% 0.68%
Portfolio turnover rate ................................................ 0.37% 0.98% 0.04%
Thousands of Accumulation Units outstanding at end
of period ............................................................ 5,055 2,605 1,171
</TABLE>
(1) Advisors has agreed to waive a portion of its investment advisory fee.
Without this waiver, the Account's expense ratio for the periods listed
would have been higher (see Note 3 of the notes to financial statements).
-6-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (Unaudited)--(Concluded)
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
Six Months Year Ended
Ended December 31,
June 30, 1996 1995
------------ -------------
(Unaudited)
<S> <C> <C>
Accumulation Units:
Credited for premiums ................................................... 2,014,063 1,999,245
Credited (cancelled) for transfers and disbursements .................... 436,584 (565,817)
Outstanding:
Beginning of year ...................................................... 2,604,605 1,171,177
---------- ----------
End of period .......................................................... 5,055,252 2,604,605
========== ==========
</TABLE>
-7-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT (Unaudited)
JUNE 30, 1996
SUMMARY
VALUE %
----------- ------
BONDS
CORPORATE BONDS
FINANCIAL--MISCELLANEOUS ....................... $ 327 0.00%
----------- ------
TOTAL BONDS
(Cost $327) .................................... 327 0.00
----------- ------
PREFERRED STOCK
CONGLOMERATES ................................... 799 0.00
----------- ------
TOTAL PREFERRED STOCK
(Cost $550) ..................................... 799 0.00
----------- ------
COMMON STOCK
AEROSPACE ....................................... 2,609,614 1.37
AIR TRANSPORTATION .............................. 1,033,824 0.54
AUTOMOTIVE & RELATED ............................ 4,770,997 2.50
BANKS ........................................... 14,331,600 7.52
BEVERAGES ....................................... 6,171,774 3.24
BROADCASTERS .................................... 1,746,827 0.92
BUSINESS SERVICES ............................... 2,811,241 1.48
CHEMICALS--MAJOR ................................ 3,968,749 2.08
CHEMICALS--SPECIALTY ............................ 2,245,612 1.18
COMMUNICATION EQUIPMENT & SERVICES .............. 4,225,937 2.22
COMPUTER SERVICE ................................ 6,666,467 3.50
CONGLOMERATES ................................... 3,820,545 2.01
CONSTRUCTION--MATERIALS & BUILDERS .............. 1,222,255 0.64
CONTAINERS ...................................... 224,717 0.12
COSMETICS ....................................... 1,196,524 0.63
ELECTRICAL EQUIPMENT ............................ 6,219,774 3.26
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ........................ 5,568,586 2.92
ELECTRICAL EQUIPMENT--INSTRUMENTS ............... 762,011 0.40
ENVIRONMENTAL CONTROL ........................... 1,151,449 0.60
FINANCIAL--MISCELLANEOUS ........................ 7,505,226 3.94
FOODS ........................................... 4,302,198 2.26
FOREST PRODUCTS ................................. 936,600 0.49
HEALTHCARE--DRUGS ............................... 10,818,041 5.68
HEALTHCARE--HOSPITAL SUPPLY ..................... 4,192,107 2.20
HEALTHCARE--OTHER ............................... 1,906,135 1.00
HEALTHCARE--SERVICE ............................. 3,124,019 1.64
HOUSEHOLD--CONSUMER ELECTRONICS ................. 56,885 0.03
HOUSEHOLD--DURABLE GOODS ........................ 802,373 0.42
HOUSEHOLD--PRODUCTS ............................. 2,993,312 1.57
INSURANCE--BROKERS & OTHER ...................... 684,212 0.36
INSURANCE--LIFE ................................. 1,163,060 0.61
<PAGE>
VALUE %
----------- ------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY ........................... $ 5,827,865 3.06%
LEISURE TIME .................................... 2,864,168 1.50
MACHINERY ....................................... 3,023,843 1.59
METALS--ALUMINIUM ............................... 451,812 0.24
METALS--GOLD .................................... 502,432 0.26
METALS--NON-FERROUS ............................. 581,237 0.31
METALS--STEEL ................................... 600,552 0.32
OFFICE EQUIPMENT ................................ 5,979,743 3.14
PAPER ........................................... 2,038,532 1.07
PETROLEUM--
EXPLORATION & PRODUCTION ...................... 1,627,934 0.85
PETROLEUM--INTEGRATED ........................... 9,316,058 4.89
PETROLEUM--SERVICE .............................. 1,707,201 0.90
PHOTOGRAPHY ..................................... 915,150 0.48
PROPERTY--REAL ESTATE ........................... 358,662 0.19
PUBLISHING--NEWSPAPER ........................... 1,027,867 0.54
PUBLISHING--OTHER ............................... 1,456,266 0.76
RAILROAD ........................................ 1,847,309 0.97
RESTAURANTS & HOTELS ............................ 2,715,328 1.43
RETAIL--FOOD .................................... 1,423,320 0.75
RETAIL--GENERAL MERCHANDISE ..................... 7,718,166 4.05
TEXTILE & APPAREL ............................... 992,047 0.52
TOBACCO ......................................... 3,597,718 1.89
TRUCKERS & SHIPPING ............................. 464,985 0.24
UTILITIES--ELECTRIC ............................. 8,283,600 4.35
UTILITIES--GAS & PIPELINE ....................... 2,572,910 1.35
UTILITIES--TELEPHONE ............................ 12,802,665 6.72
----------- ------
TOTAL COMMON STOCK
(Cost $163,473,823) ............................. 189,930,041 99.70
----------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ................................ 1,899,710 1.00
----------- ------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,900,000) ............................... 1,899,710 1.00
----------- ------
ROUNDING ......................................... 174 0.00
----------- ------
TOTAL PORTFOLIO
(Cost $165,374,700) ............................. 191,831,051 100.70
----------- ------
OTHER ASSETS & LIABILITIES, NET ................. (1,333,486) (0.70
----------- ------
NET ASSETS ....................................... $190,497,565 100.00%
============ ======
See notes to financial statements.
-8-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT (Unaudited)
JUNE 30, 1996
PRINCIPAL VALUE
- --------- -----
BONDS--0.00%
CORPORATE BONDS--0.00%
FINANCIAL--MISCELLANEOUS--0.00%
$1,200 EVEREN CAPITAL CORP
13.5%, 09/15/07 $ 327
----------
TOTAL BONDS
(Cost $327) $ 327
----------
Shares
- ------
PREFERRED STOCK--0.00%
CONGLOMERATES--0.00%
52 TELEDYNE, INC SERIES E ......................... $ 799
----------
TOTAL PREFERRED STOCK
(Cost $550) .................................... $ 799
----------
COMMON STOCK--99.70%
AEROSPACE--1.37%
10,300 BOEING CO .................................... $ 897,387
1,800 EG & G, INC .................................. 38,475
1,700 GENERAL DYNAMICS CORP ........................ 105,400
3,200 GENERAL MOTORS CORP (CLASS H) ................ 192,400
5,378 LOCKHEED MARTIN CORP ......................... 451,752
6,300 MCDONNELL DOUGLAS CORP ....................... 305,550
1,200 NORTHROP GRUMMAN CORP ........................ 81,750
1,100 (degree)OEA, INC ..................................... 41,250
2,800 (degree)ORBITAL SCIENCES CORP ........................ 45,500
800 PRECISION CASTPARTS CORP ..................... 34,400
7,400 RAYTHEON CO .................................. 382,025
1,900 (degree)WYMAN-GORDON CO .............................. 33,725
---------
2,609,614
---------
AIR TRANSPORTATION--0.54%
1,550 (degree)AIR EXPRESS INTERNATIONAL CORP ............... 43,787
2,600 (degree)AMERICA WEST AIRLINES, INC (CLASS B) ......... 57,200
2,200 (degree)AMR CORP ..................................... 200,200
900 ATLANTIC SOUTHEAST AIRLINES, INC ............. 25,425
3,525 COMAIR HOLDINGS, INC ......................... 95,175
700 (degree)CONTINENTAL AIRLINES, INC (CLASS B) .......... 43,225
1,500 DELTA AIRLINES, INC .......................... 124,500
1,800 (degree)FEDERAL EXPRESS CORP ......................... 147,600
2,300 (degree)NORTHWEST AIRLINES CORP (CLASS A) ............ 90,850
4,300 SOUTHWEST AIRLINES CO ........................ 125,237
1,500 (degree)UAL CORP (NEW) ............................... 80,625
---------
1,033,824
---------
AUTOMOTIVE & RELATED--2.50%
1,600 (degree)ALLEN GROUP, INC ............................. 34,800
1,300 ARVIN INDUSTRIES, INC ........................ 28,925
1,400 BANDAG, INC .................................. 67,200
1,400 BORG-WARNER AUTOMOTIVE, INC .................. 55,300
10,000 CHRYSLER CORP ................................ 620,000
2,800 COOPER TIRE & RUBBER CO ...................... 62,300
1,500 CUMMINS ENGINE CO, INC ....................... 60,562
3,000 DANA CORP .................................... 93,000
1,300 DANAHER CORP ................................. 56,550
2,400 EATON CORP ................................... 140,700
<PAGE>
SHARES VALUE
- ------ -----
AUTOMOTIVE & RELATED--(continued)
1,900 ECHLIN, INC .................................. $ 71,962
1,400 FEDERAL-MOGUL CORP ........................... 25,725
36,600 FORD MOTOR CO ................................ 1,184,925
23,726 GENERAL MOTORS CORP .......................... 1,242,649
3,700 GENUINE PARTS CO ............................. 169,275
4,600 GOODYEAR TIRE & RUBBER CO .................... 221,950
2,400 HARLEY DAVIDSON, INC ......................... 98,700
700 HAYES WHEELS INTERNATIONAL, INC .............. 22,225
3,100 (degree)LEAR CORP .................................... 109,275
1,300 MODINE MANUFACTURING CO ...................... 34,450
2,400 (degree)NAVISTAR INTERNATIONAL CORP .................. 23,700
1,300 PACCAR, INC .................................. 63,700
1,800 POLARIS INDUSTRIES, INC ...................... 61,425
3,000 SAFETY-KLEEN CORP ............................ 52,500
1,500 SNAP-ON, INC ................................. 71,062
1,100 STANDARD PRODUCTS CO ......................... 25,575
1,100 SUPERIOR INDUSTRIES INTERNATIONAL, INC ....... 29,150
2,700 TRANSPRO, INC ................................ 18,562
1,400 WABASH NATIONAL CORP ......................... 24,850
---------
4,770,997
---------
BANKS--7.52%
1,800 AMSOUTH BANCORP .............................. 65,025
13,185 BANC ONE CORP ................................ 448,290
1,900 BANCORP HAWAII, INC .......................... 68,400
3,195 BANK OF BOSTON CORP .......................... 158,152
6,200 BANK OF NEW YORK CO, INC ..................... 317,750
10,700 BANKAMERICA CORP ............................. 810,525
2,200 BANKERS TRUST NEW YORK CORP .................. 162,525
2,700 BARNETT BANKS, INC ........................... 164,700
500 BAYBANKS, INC ................................ 53,875
4,800 BOATMENS BANCSHARES, INC ..................... 192,600
1,100 CAPITAL ONE FINANCIAL CORP ................... 31,350
1,400 CCB FINANCIAL CORP ........................... 71,750
2,250 CENTRAL FIDELITY BANKS, INC .................. 51,187
3,800 CHARTER ONE FINANCIAL, INC ................... 132,525
11,920 CHASE MANHATTAN CORP (NEW) ................... 841,850
14,446 (degree)CITICORP CO .................................. 1,193,600
2,400 CITY NATIONAL CORP ........................... 37,800
705 CNB BANCSHARES, INC .......................... 20,180
3,600 COMERICA, INC ................................ 160,650
6,898 CORESTATES FINANCIAL CORP .................... 265,573
1,422 CRESTAR FINANCIAL CORP ....................... 75,899
2,000 DAUPHIN DEPOSIT CORP ......................... 57,000
1,700 DEPOSIT GUARANTY CORP ........................ 74,800
2,800 (degree)DIME BANCORP, INC ............................ 36,400
2,700 FIFTH THIRD BANCORP .......................... 145,800
1,100 FIRST AMERICAN CORP .......................... 46,337
3,926 FIRST BANK SYSTEM, INC ....................... 227,708
9,953 FIRST CHICAGO NBD CORP ....................... 389,411
1,623 FIRST COMMERCE CORP .......................... 57,413
2,443 FIRST COMMERCIAL CORP ........................ 75,122
2,600 FIRST FINANCIAL BANCORP ...................... 83,850
2,563 FIRST MICHIGAN BANK CORP ..................... 80,734
2,441 FIRST OF AMERICA BANK CORP ................... 109,234
See notes to financial statements.
-9-
<PAGE>
SHARES VALUE
- ------ -----
BANKS--(continued)
2,900 FIRST SECURITY CORP .......................... $ 69,600
3,000 FIRST TENNESSEE NATIONAL CORP ................ 91,875
8,314 FIRST UNION CORP ............................. 506,114
2,100 FIRSTAR CORP (NEW) ........................... 96,862
2,500 FIRSTMERIT CORP .............................. 79,375
8,227 FLEET FINANCIAL GROUP, INC (NEW) ............. 357,874
1,200 GREENPOINT FINANCIAL CORP .................... 33,900
4,727 HIBERNIA CORP (CLASS A) ...................... 51,406
4,389 HUNTINGTON BANCSHARES, INC ................... 104,787
7,500 KEYCORP (NEW) ................................ 290,625
2,000 LONG ISLAND BANCORP, INC ..................... 61,125
3,200 MAGNA GROUP, INC ............................. 76,800
3,400 MARSHALL & ILSLEY CORP ....................... 94,350
3,850 MELLON BANK CORP ............................. 219,450
1,900 MERCANTILE BANCORP, INC ...................... 84,550
2,337 MERCANTILE BANKSHARES CORP ................... 59,593
5,700 MORGAN (J.P.) & CO, INC ...................... 482,362
7,227 NATIONAL CITY CORP ........................... 253,848
1,100 NATIONAL COMMERCE BANCORP .................... 34,650
9,140 NATIONSBANK CORP ............................. 755,192
1,700 NORTH FORK BANCORP, INC ...................... 44,412
1,800 NORTHERN TRUST CORP .......................... 103,950
10,800 NORWEST CORP ................................. 376,650
1,632 OLD KENT FINANCIAL CORP ...................... 63,852
2,726 OLD NATIONAL BANCORP ......................... 100,862
1,400 ONBANCORP, INC ............................... 45,850
2,300 ONE VALLEY BANCORP, INC ...................... 79,350
1,000 PEOPLES BANK OF BRIDGEPORT CO ................ 22,250
2,400 (degree)PEOPLES HERITAGE FINANCIAL GROUP, INC ........ 48,900
10,350 PNC BANK CORP ................................ 307,912
2,128 REGIONS FINANCIAL CORP ....................... 99,484
1,200 REPUBLIC NEW YORK CORP ....................... 74,700
1,940 SIGNET BANKING CORP .......................... 45,105
3,769 SOUTHERN NATIONAL CORP ....................... 119,665
3,100 SOUTHTRUST CORP .............................. 87,187
4,375 SOVEREIGN BANCORP, INC ....................... 43,750
2,200 ST. PAUL BANCORP, INC ........................ 50,600
1,000 STAR BANC CORP ............................... 67,375
2,500 STATE STREET BOSTON CORP ..................... 127,500
3,278 SUMMIT BANCORP ............................... 115,139
6,900 SUNTRUST BANKS, INC .......................... 255,300
3,900 SYNOVUS FINANCIAL CORP ....................... 84,337
4,529 U.S. BANCORP ................................. 163,610
1,900 UNION PLANTERS CORP .......................... 57,712
2,680 VALLEY NATIONAL BANCORP ...................... 68,340
5,400 WACHOVIA CORP NEW ............................ 236,250
2,970 WASHINGTON FEDERAL, INC ...................... 60,885
2,000 WASHINGTON MUTUAL, INC ....................... 59,750
2,924 WELLS FARGO & CO ............................. 698,470
1,600 WILMINGTON TRUST CORP ........................ 51,900
800 ZIONS BANCORP ................................ 58,200
---------
14,331,600
---------
BEVERAGES--3.24%
7,100 ANHEUSER BUSCH COS, INC ...................... 532,500
1,800 BROWN FORMAN, INC (CLASS B) .................. 72,000
77,100 COCA COLA CO ................................. 3,768,262
2,600 COCA COLA ENTERPRISES, INC ................... 90,025
2,000 COORS ADOLPH CO (CLASS B) .................... 35,750
47,300 PEPSICO, INC ................................. 1,673,237
---------
6,171,774
---------
<PAGE>
SHARES VALUE
- ------ -----
BROADCASTERS--0.92%
900 (degree)BHC COMMUNICATIONS, INC (CLASS A) ............ $ 87,975
1,400 (degree)CITICASTERS, INC ............................. 43,750
900 (degree)CLEAR CHANNEL COMMUNICATIONS, INC ............ 74,137
7,900 COMCAST CORP (CLASS A) SPL ................... 146,150
700 (degree)EVERGREEN MEDIA CORP (CLASS A) ............... 29,925
2,163 GAYLORD ENTERTAINMENT CO ..................... 61,104
1,200 (degree)HERITAGE MEDIA CORP (CLASS A) (NEW) .......... 47,850
3,100 (degree)INFINITY BROADCASTING CORP (CLASS A) ......... 93,000
1,300 (degree)KING WORLD PRODUCTIONS, INC .................. 47,287
5,275 (degree)LIBERTY MEDIA GROUP (CLASS A) ................ 139,787
1,200 (degree)LIN TELEVISION CORP .......................... 43,200
1,200 (degree)SCRIPPS (E.W.) CO (CLASS A) .................. 55,950
900 TCA CABLE TV, INC ............................ 27,225
20,400 (degree)TELE-COMMUNICATIONS, INC (CLASS A) (NEW) ..... 369,750
3,400 TURNER BROADCASTING SYSTEMS, INC (CLASS B) ... 93,500
400 UNITED TELEVISION, INC ....................... 39,200
4,300 (degree)VIACOM, INC (CLASS A) ........................ 163,937
4,200 (degree)VIACOM, INC (CLASS B) ........................ 163,275
1,300 (degree)WESTWOOD ONE, INC ............................ 19,825
---------
1,746,827
---------
BUSINESS SERVICES--1.48%
1,800 ADVO, INC .................................... 18,675
1,600 (degree)AMERICA ONLINE, INC .......................... 70,000
500 (degree)ATRIA SOFTWARE, INC .......................... 25,000
1,400 AUTODESK, INC ................................ 41,825
1,700 BANTA CORP ................................... 42,925
3,400 BLOCK (H&R), INC ............................. 110,925
900 (degree)CABLEVISION SYSTEMS CORP (CLASS A) ........... 41,625
800 (degree)CAREER HORIZON, INC .......................... 28,000
700 (degree)CATALINA MARKETING CORP ...................... 64,050
1,200 (degree)CHECKPOINT SYSTEMS, INC ...................... 41,250
1,100 CINTAS CORP .................................. 58,850
700 (degree)COMPUTER HORIZONS CORP ....................... 27,650
2,500 (degree)COMPUTERVISION CORP .......................... 25,000
2,300 (degree)CORPORATE EXPRESS, INC ....................... 92,000
1,100 (degree)CORRECTIONS CORP OF AMERICA .................. 77,000
2,600 DELUXE CORP .................................. 92,300
1,800 DIEBOLD, INC ................................. 86,850
1,800 FIRST INDUSTRIAL REALTY TRUST, INC ........... 42,300
1,600 (degree)FORE SYSTEM, INC ............................. 57,800
1,200 (degree)FRANKLIN QUEST CO ............................ 24,900
900 (degree)FRITZ COS, INC ............................... 29,025
500 (degree)GATEWAY 2000, INC ............................ 17,000
1,800 HARLAND (JOHN H.) CO ......................... 44,325
2,600 IDEON GROUP, INC ............................. 35,100
500 (degree)INSO CORP .................................... 26,187
900 (degree)INTERIM SERVICES, INC ........................ 38,700
2,500 INTERPUBLIC GROUP OF COS, INC ................ 117,187
700 (degree)ITRON, INC ................................... 19,862
1,900 KELLY SERVICES, INC (CLASS A) ................ 55,575
2,000 LIBERTY PROPERTY TRUST CO .................... 39,750
2,700 MANPOWER, INC ................................ 105,975
750 (degree)MCAFEE ASSOCIATES, INC ....................... 36,750
1,300 (degree)MICRO WAREHOUSE, INC ......................... 26,000
1,900 NATIONAL SERVICE INDUSTRIES, INC ............. 74,337
4,200 (degree)OFFICE DEPOT, INC ............................ 85,575
1,950 OLSTEN CORP .................................. 57,281
2,700 OMNICOM GROUP, INC ........................... 125,550
1,800 PAYCHEX, INC ................................. 86,625
See notes to financial statements.
-10-
<PAGE>
SHARES VALUE
- ------ -----
BUSINESS SERVICES--(continued)
1,100 PHH CORP ..................................... $ 62,700
2,000 (degree)ROBERT HALF INTERNATIONAL, INC ............... 55,750
2,700 SENSORMATIC ELECTRONICS CORP ................. 44,212
3,500 SERVICE CORP INTERNATIONAL ................... 201,250
2,100 (degree)STRATACOM, INC ............................... 118,125
1,600 (degree)SUNGARD DATA SYSTEMS, INC .................... 64,200
1,900 TRUE NORTH COMMUNICATIONS, INC ............... 42,275
2,100 (degree)U.S. CELLULAR CORP ........................... 65,100
900 (degree)VERIFONE, INC ................................ 38,025
500 WALLACE COMPUTER SERVICES, INC ............... 29,875
---------
2,811,241
---------
CHEMICALS--MAJOR--2.08%
3,300 AIR PRODUCTS & CHEMICALS, INC ................ 190,575
7,300 DOW CHEMICAL CO .............................. 554,800
17,000 DU PONT (E.I.) DE NEMOURS & CO ............... 1,345,125
2,500 EASTMAN CHEMICAL CO .......................... 152,187
1,900 GOODRICH (B.F.) CO ........................... 71,012
3,300 HERCULES, INC ................................ 182,325
1,200 MISSISSIPPI CHEMICAL CORP .................... 24,000
18,000 MONSANTO CO .................................. 585,000
800 (degree)OAK TECHNOLOGY, INC .......................... 7,500
800 OLIN CORP .................................... 71,400
6,400 PPG INDUSTRIES, INC .......................... 312,000
4,700 PRAXAIR, INC ................................. 198,575
1,900 ROHM & HAAS CO ............................... 119,225
3,900 UNION CARBIDE CORP ........................... 155,025
---------
3,968,749
---------
CHEMICALS--SPECIALTY--1.18%
3,600 (degree)AIRGAS, INC .................................. 68,400
1,700 ALBEMARLE CORP ............................... 31,025
1,100 BETZ LABORATORIES, INC ....................... 48,262
1,700 COMMERCIAL METALS CO ......................... 56,525
1,800 CROMPTON & KNOWLES CORP ...................... 30,150
700 (degree)CYTEC INDUSTRIES, INC ........................ 59,850
2,100 ECOLAB, INC .................................. 69,300
3,150 ENGELHARD CORP ............................... 72,450
3,000 ETHYL CORP ................................... 28,875
1,200 FERRO CORP ................................... 31,800
1,400 FOSTER WHEELER CORP .......................... 62,825
1,500 GEON CO ...................................... 33,750
1,400 GEORGIA GULF CORP ............................ 40,950
3,100 (degree)GRACE (W.R.) & CO ............................ 219,712
2,300 GREAT LAKES CHEMICAL CORP .................... 143,175
1,734 ICN PHARMACEUTICALS, INC (NEW) ............... 40,315
2,780 IMC GLOBAL, INC .............................. 104,597
1,100 LOCTITE CORP ................................. 51,150
2,200 LUBRIZOL CORP ................................ 66,825
1,500 LYONDELL PETROCHEMICAL CO .................... 36,187
2,500 MALLINCKRODT GROUP, INC ...................... 97,187
1,500 MILLIPORE CORP ............................... 62,812
4,600 MORTON INTERNATIONAL, INC .................... 171,350
1,300 (degree)MYCOGEN CORP ................................. 19,500
2,200 NALCO CHEMICAL CORP .......................... 69,300
1,600 RAYCHEM CORP ................................. 115,000
3,325 RPM, INC ..................................... 51,953
1,600 SCHULMAN A, INC .............................. 39,200
1,400 (degree)SEALED AIR CORP .............................. 47,075
1,800 SIGMA ALDRICH CORP ........................... 96,300
2,400 (degree)STERLING CHEMICALS, INC ...................... 27,900
<PAGE>
SHARES VALUE
- ------ -----
CHEMICALS--SPECIALTY--(continued)
2,000 TERRA INDUSTRIES, INC ........................ $ 24,750
800 THIOKOL CORP ................................. 31,600
1,000 WELLMAN, INC ................................. 23,375
2,100 WITCO CORP ................................... 72,187
---------
2,245,612
---------
COMMUNICATION EQUIPMENT
& SERVICES--2.22%
4,066 (degree)360 COMMUNICIATIONS CO ....................... 97,584
5,242 (degree)3COM CORP .................................... 239,821
15,500 (degree)AIRTOUCH COMMUNICATIONS, INC ................. 437,875
2,050 (degree)ANDREW CORP .................................. 110,187
1,300 (degree)ANTEC CORP ................................... 20,637
1,900 (degree)ARCH COMMUNICATIONS GROUP, INC ............... 35,387
2,900 (degree)ASCEND COMMUNICATIONS, INC ................... 163,125
1,400 (degree)AVID TECHNOLOGIES, INC ....................... 25,900
2,400 (degree)BRINKER INTERNATIONAL, INC ................... 36,000
900 (degree)CABLE DESIGN TECHNOLOGIES CO ................. 29,475
1,800 (degree)CABLETRON SYSTEMS, INC ....................... 123,525
2,700 (degree)CASCADE COMMUNICATIONS CORP .................. 183,600
1,800 CENTURY TELEPHONE ENTERPRISES, INC ........... 57,375
17,700 (degree)CISCO SYSTEMS, INC ........................... 1,002,262
1,700 COMSAT CORP SERIES 1 ......................... 44,200
6,800 CORNING, INC ................................. 260,950
3,500 (degree)DSC COMMUNICATIONS CORP ...................... 105,437
1,000 (degree)DYNATECH CORP ................................ 32,500
1,300 (degree)GENERAL DATACOMM INDUSTRIES, INC ............. 17,550
2,000 (degree)GEOTEK COMMUNICATIONS, INC ................... 27,375
1,300 HARRIS CORP .................................. 79,300
700 (degree)INTERCEL, INC ................................ 14,000
1,600 (degree)INTERNATIONAL DAIRY QUEEN, INC (CLASS A) ..... 47,200
2,900 (degree)LCI INTERNATIONAL, INC ....................... 90,987
1,300 (degree)MACROMEDIA, INC .............................. 28,437
500 (degree)MASTEC, INC .................................. 12,625
1,700 (degree)MFS COMMUNICATIONS CO, INC ................... 63,962
1,300 (degree)NETWORK EQUIPMENT TECHNOLOGIES, INC .......... 27,625
3,300 (degree)NEW WORLD COMMUNICATIONS GROUP, INC .......... 48,262
9,900 (degree)NOVELL, INC .................................. 137,362
2,000 (degree)OCTEL COMMUNICATIONS CORP .................... 39,500
3,500 (degree)PAGING NETWORK, INC .......................... 84,000
600 (degree)PAIRGAIN TECHNOLOGIES, INC ................... 37,200
1,400 (degree)PICTURETEL CORP NEW .......................... 55,125
800 (degree)PREMISYS COMMUNICATIONS, INC ................. 48,800
1,400 (degree)QUALCOMM, INC ................................ 74,375
2,500 SCIENTIFIC-ATLANTA, INC ...................... 38,750
2,100 (degree)TECH DATA CORP ............................... 45,675
2,500 (degree)TELLABS, INC ................................. 167,187
1,600 (degree)VANGUARD CELLULAR SYSTEMS, INC ............... 34,800
---------
4,225,937
---------
COMPUTER SERVICE--3.50%
1,800 (degree)ACXIOM CORP .................................. 61,425
1,700 (degree)ADAPTEC, INC ................................. 80,537
2,000 (degree)ADC TELECOMMUNICATIONS, INC .................. 90,000
2,100 ADOBE SYSTEMS, INC ........................... 75,337
1,950 (degree)AMERICAN MANAGEMENT SYSTEMS, INC ............. 57,037
1,600 (degree)AUSPEX SYSTEMS, INC .......................... 24,000
9,400 AUTOMATIC DATA PROCESSING, INC ............... 363,075
5,502 (degree)BAY NETWORKS, INC ............................ 141,676
1,900 (degree)BISYS GROUP, INC ............................. 71,725
1,500 (degree)BMC SOFTWARE, INC ............................ 89,625
500 (degree)BRODERBUND SOFTWARE, INC ..................... 16,125
See notes to financial statements.
-11-
<PAGE>
SHARES VALUE
- ------ -----
COMPUTER SERVICE--(continued)
1,600 (degree)C-CUBE MICROSYSTEMS, INC ..................... $ 52,800
2,325 (degree)CADENCE DESIGN SYSTEMS, INC .................. 78,468
1,500 (degree)CAMBRIDGE TECHNOLOGY PARTNERS, INC ........... 45,750
2,100 (degree)CERIDIAN CORP ................................ 106,050
1,200 (degree)CHEYENNE SOFTWARE, INC ....................... 23,100
1,200 (degree)COMPUSA, INC ................................. 40,950
5,800 COMPUTER ASSOCIATES INTERNATIONAL, INC ....... 413,250
1,600 (degree)COMPUTER SCIENCES CORP ....................... 119,600
1,200 (degree)COMPUWARE CORP ............................... 47,400
1,200 (degree)CONTINUM, INC ................................ 69,600
900 (degree)CYRIX CORP ................................... 15,525
1,700 (degree)ELECTRONIC ARTS, INC ......................... 45,475
9,600 (degree)ELECTRONIC DATA SYSTEMS CORP ................. 516,000
6,300 (degree)EMC CORP ..................................... 117,337
6,103 FIRST DATA CORP .............................. 485,951
1,800 (degree)FISERV, INC .................................. 54,000
2,600 HBO & CO ..................................... 176,150
4,400 (degree)INFORMIX CORP ................................ 99,000
1,900 (degree)INTERGRAPH CORP .............................. 23,037
1,300 (degree)INTUIT, INC .................................. 61,425
300 (degree)MEDIC COMPUTER SYSTEMS, INC .................. 24,337
2,700 (degree)MENTOR GRAPHICS CORP ......................... 43,875
1,350 (degree)MICROCHIP TECHNOLOGY, INC .................... 33,412
10,600 (degree)MICROSOFT CORP ............................... 1,273,325
1,700 NATIONAL DATA CORP ........................... 58,225
1,400 (degree)NETMANAGE, INC ............................... 15,400
2,000 (degree)NETWORK GENERAL CORP ......................... 43,000
15,550 (degree)ORACLE CORP .................................. 613,253
3,700 (degree)PARAMETRIC TECHNOLOGY CORP ................... 160,487
900 (degree)PEOPLESOFT, INC .............................. 64,125
900 (degree)PHYSICIAN COMPUTER NETWORK, INC .............. 10,406
2,700 (degree)PLATINUM TECHNOLOGY, INC ..................... 40,837
600 (degree)POLICY MANAGEMENT SYSTEMS CORP ............... 30,000
500 (degree)RATIONAL SOFTWARE CORP ....................... 26,875
1,500 (degree)READ-RITE CORP ............................... 21,187
1,500 REYNOLDS & REYNOLDS CO (CLASS A) ............. 79,875
400 (degree)SECURITY DYNAMICS TECHNOLOGIES, INC .......... 32,900
700 SHARED MEDICAL SYSTEMS CORP .................. 44,975
1,000 (degree)SHIVA CORP ................................... 80,000
600 (degree)SIERRA ON-LINE, INC .......................... 26,325
1,300 (degree)SOFTKEY INTERNATIONAL, INC ................... 24,618
1,000 (degree)STERLING SOFTWARE, INC ....................... 77,000
1,000 (degree)STRUCTURAL DYNAMICS RESEARCH CORP ............ 22,000
2,000 (degree)SYBASE, INC .................................. 47,250
2,000 (degree)SYMANTEC CORP ................................ 25,000
1,400 (degree)SYNOPSYS, INC ................................ 55,650
200 (degree)SYSTEMSOFT CORP .............................. 9,400
1,200 (degree)ZEBRA TECHNOLOGY CORP ........................ 21,300
---------
6,666,467
---------
CONGLOMERATES--2.01%
3,800 ALCO STANDARD CORP ........................... 171,950
2,300 ALEXANDER & BALDWIN, INC ..................... 55,487
8,600 ALLIED SIGNAL, INC ........................... 491,275
1,300 AMERICAN FINANCIAL GROUP, INC ................ 39,162
2,200 (degree)ANIXTER INTERNATIONAL, INC ................... 32,725
2,300 (degree)COLTEC INDUSTRIES, INC ....................... 32,775
1,650 (degree)CONCORD EFS, INC ............................. 58,575
2,600 (degree)COPYTELE, INC ................................ 22,750
1,200 CRANE CO ..................................... 49,200
3,700 ITT INDUSTRIES, INC .......................... 92,962
<PAGE>
SHARES VALUE
- ------ -----
CONGLOMERATES--(continued)
1,300 JOHNSON CONTROLS, INC ........................ $ 90,350
1,700 KEYSTONE FINANCIAL, INC ...................... 56,950
1,500 (degree)LITTON INDUSTRIES, INC ....................... 65,250
2,500 LOEWS CORP ................................... 197,187
2,132 MARK IV INDUSTRIES, INC ...................... 48,236
12,500 MINNESOTA MINING & MANUFACTURING CO .......... 862,500
5,000 ROCKWELL INTERNATIONAL CORP .................. 286,250
1,700 STANDEX INTERNATIONAL CORP ................... 48,450
1,500 TELEDYNE, INC ................................ 54,187
2,100 TEXTRON, INC ................................. 167,737
2,200 TRW, INC ..................................... 197,725
4,800 TYCO INTERNATIONAL LTD ....................... 195,600
3,600 UNITED TECHNOLOGIES CORP ..................... 414,000
3,700 WHITMAN CORP ................................. 89,262
---------
3,820,545
---------
CONSTRUCTION--MATERIALS & BUILDERS--0.64%
1,300 ARMSTRONG WORLD INDUSTRIES, INC .............. 74,912
466 (degree)CASTLE & COOKE, INC .......................... 7,456
1,200 CENTEX CORP .................................. 37,350
2,200 (degree)CHAMPION ENTERPRISES, INC .................... 45,925
2,625 CLAYTON HOMES, INC ........................... 52,500
2,300 DEBARTOLO REALTY CORP ........................ 37,087
1,400 FASTENAL CO .................................. 60,900
1,600 FLEETWOOD ENTERPRISES, INC ................... 49,600
1,300 (degree)JACOBS ENGINEERING GROUP, INC ................ 34,287
2,700 KAUFMAN & BROAD HOME CORP .................... 39,150
2,547 LAFARGE CORP ................................. 51,576
1,100 LENNAR CORP .................................. 27,500
5,300 MASCO CORP ................................... 160,325
2,400 OAKWOOD HOMES CORP ........................... 49,500
1,900 (degree)OWENS CORNING CO ............................. 81,700
1,900 PLY-GEM INDUSTRIES, INC ...................... 25,887
1,100 PULTE CORP ................................... 29,425
2,400 SHERWIN-WILLIAMS CO .......................... 111,600
3,300 SIMON PROPERTY GROUP, INC .................... 80,850
1,700 (degree)SOLA INTERNATIONAL, INC ...................... 48,875
1,600 (degree)USG CORP ..................................... 44,600
1,200 VULCAN MATERIALS CO .......................... 71,250
---------
1,222,255
---------
CONTAINERS--0.12%
1,218 BALL CORP .................................... 35,017
2,900 CROWN CORK & SEAL CO, INC .................... 130,500
3,700 (degree)OWENS ILLINOIS, INC .......................... 59,200
---------
224,717
---------
COSMETICS--0.63%
4,900 AVON PRODUCTS, INC ........................... 221,112
13,500 GILLETTE CO .................................. 842,062
2,800 INTERNATIONAL FLAVORS & FRAGRANCES, INC ...... 133,350
---------
1,196,524
---------
ELECTRICAL EQUIPMENT--3.26%
2,400 (degree)AMERICAN POWER CONVERSION CORP ............... 24,600
1,800 BALDOR ELECTRIC CO ........................... 40,500
1,800 BELDEN, INC .................................. 54,000
1,200 (degree)COMPUTER PRODUCTS, INC ....................... 20,550
3,600 DURACELL INTERNATIONAL, INC .................. 155,250
6,800 EMERSON ELECTRIC CO .......................... 614,550
1,100 EXIDE CORP ................................... 26,675
51,000 GENERAL ELECTRIC CO .......................... 4,411,500
See notes to financial statements.
-12-
<PAGE>
SHARES VALUE
- ------ -----
ELECTRIC EQUIPMENT--(continued)
2,100 GENERAL SIGNAL CORP .......................... $ 79,537
1,300 GRAINGER (W.W.), INC ......................... 100,750
3,800 HONEYWELL, INC ............................... 207,100
1,430 HUBBELL, INC (CLASS B) ....................... 94,737
2,400 (degree)MAGNETEK, INC ................................ 23,100
900 (degree)SANMINA CORP ................................. 24,300
1,000 (degree)SYMBOL TECHNOLOGIES, INC ..................... 44,500
1,900 THOMAS & BETTS CORP .......................... 71,250
12,100 WESTINGHOUSE ELECTRIC CORP ................... 226,875
----------
6,219,774
----------
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED--2.92%
4,100 (degree)ADVANCED MICRO DEVICES, INC .................. 55,862
1,500 (degree)ALTERA CORP .................................. 57,000
6,800 AMP, INC ..................................... 272,850
1,400 (degree)AMPHENOL CORP (CLASS A) ...................... 32,200
3,825 (degree)ANALOG DEVICES, INC .......................... 97,537
1,600 (degree)ARROW ELECTRONICS, INC ....................... 69,000
2,600 (degree)ATMEL CORP ................................... 78,325
1,500 AVNET, INC ................................... 63,187
2,000 (degree)CIRRUS LOGIC, INC ............................ 35,000
460 (degree)CYBERGUARD CORP .............................. 7,935
2,600 (degree)CYPRESS SEMICONDUCTOR CORP ................... 31,200
1,500 DALLAS SEMICONDUCTOR CORP .................... 27,187
1,300 FISHER SCIENTIFIC INTERNATIONAL, INC ......... 48,750
4,100 (degree)GENERAL INSTRUMENT CORP NEW .................. 118,387
2,400 (degree)INTEGRATED DEVICE TECHNOLOGY, INC ............ 25,500
25,200 INTEL CORP ................................... 1,850,625
1,600 (degree)INTERNATIONAL RECTIFIER CORP ................. 25,800
1,800 (degree)KEMET CORP ................................... 36,000
1,400 (degree)KENT ELECTRONICS CORP ........................ 43,750
700 (degree)LAM RESEARCH CORP ............................ 18,200
800 (degree)LATTICE SEMICONDUCTOR ........................ 19,300
2,300 LINEAR TECHNOLOGY CO ......................... 69,000
3,800 (degree)LSI LOGIC CORP ............................... 98,800
1,900 (degree)MARSHALL INDUSTRIES, INC ..................... 53,200
2,000 (degree)MAXIM INTEGRATED PRODUCTS .................... 54,625
1,900 METHODE ELECTRONICS, INC (CLASS A) ........... 32,300
5,000 MICRON TECHNOLOGY, INC ....................... 129,375
2,956 MOLEX, INC ................................... 93,853
18,100 MOTOROLA, INC ................................ 1,138,037
4,000 (degree)NATIONAL SEMICONDUCTOR CORP .................. 62,000
2,100 (degree)S3, INC ...................................... 25,856
5,800 TEXAS INSTRUMENTS, INC ....................... 289,275
1,300 (degree)TRIMBLE NAVIGATION LTD ....................... 25,025
2,300 (degree)U.S. ROBOTICS CORP ........................... 196,650
1,500 (degree)VICOR CORP ................................... 34,875
2,075 (degree)VISHAY INTERTECHNOLOGY, INC .................. 49,021
600 (degree)VITESSE SEMICONDUCTOR CORP ................... 14,400
1,100 (degree)VLSI TECHNOLOGY, INC ......................... 15,262
1,600 (degree)WESTERN DIGITAL CORP ......................... 41,800
900 WYLE ELECTRONICS ............................. 29,812
2,300 (degree)XILINX, INC .................................. 73,025
1,200 (degree)ZILOG, INC ................................... 28,800
----------
5,568,586
----------
ELECTRICAL EQUIPMENT--INSTRUMENTS--0.40%
5,500 (degree)APPLIED MATERIALS, INC ....................... 167,750
1,300 BECKMAN INSTRUMENTS, INC (NEW) ............... 49,400
500 (degree)COHERENT, INC ................................ 26,000
<PAGE>
SHARES VALUE
- ------ -----
ELECTRIC EQUIPMENT--INSTRUMENTS--(continued)
900 (degree)DIONEX CORP .................................. $ 29,025
1,600 (degree)ELECTRONICS FOR IMAGING, INC ................. 111,000
1,500 (degree)INPUT/OUTPUT, INC ............................ 48,562
1,500 (degree)KLA INSTRUMENT CORP .......................... 34,875
3,300 (degree)LORAL SPACE & COMMUNICATIONS LTD ............. 44,962
1,400 PERKIN-ELMER CORP ............................ 67,550
1,100 (degree)SILICON VALLEY GROUP, INC .................... 20,625
1,100 TEKTRONIX, INC ............................... 49,225
1,100 (degree)TENCOR INSTRUMENTS ........................... 20,762
2,400 (degree)TERADYNE, INC ................................ 41,400
600 VARIAN ASSOCIATES, INC ....................... 31,050
1,300 X RITE, INC .................................. 19,825
----------
762,011
----------
ENVIRONMENTAL CONTROL--0.60%
3,300 (degree)ALLIED WASTE INDUSTRIES, INC ................. 29,287
6,400 BROWNING FERRIS INDUSTRIES, INC .............. 185,600
3,000 OGDEN CORP ................................... 54,375
4,100 (degree)REPUBLIC INDUSTRIES, INC ..................... 119,412
1,100 (degree)SANIFILL, INC ................................ 54,175
1,300 (degree)U.S. FILTER CORP ............................. 45,175
2,200 (degree)U.S.A. WASTE SERVICES, INC ................... 65,175
2,400 (degree)UNITED WASTE SYSTEMS, INC .................... 77,400
2,800 WHEELABRATOR TECHNOLOGIES, INC (NEW) ......... 42,700
14,600 WMX TECHNOLOGIES, INC ........................ 478,150
----------
1,151,449
----------
FINANCIAL--MISCELLANEOUS--3.94%
1,400 ADVANTA CORP (CLASS A) ....................... 71,400
800 ALEX BROWN, INC .............................. 45,200
1,500 (degree)AMBAC, INC ................................... 78,187
15,200 AMERICAN EXPRESS CO .......................... 678,300
6,800 AMERICAN GENERAL CORP ........................ 247,350
1,600 (degree)AMRESCO, INC ................................. 27,400
2,500 ASTORIA FINANCIAL CORP ....................... 67,812
1,700 BEACON PROPERTIES CORP ....................... 43,562
3,228 BEAR STEARNS COS, INC ........................ 76,261
1,800 BENEFICIAL CORP .............................. 101,025
2,200 (degree)CAL FED BANCORP, INC ......................... 40,150
1,300 CAPSTEAD MORTGAGE CORP ....................... 36,237
4,000 (degree)CATELLUS DEVELOPMENT CORP .................... 36,500
1,000 CMAC INVESTMENT CORP ......................... 57,500
1,500 COLLECTIVE BANCORP, INC ...................... 35,437
1,800 COMDISCO, INC ................................ 47,925
2,931 COUNTRYWIDE CREDIT INDUSTRIES, INC ........... 72,542
2,300 CWM MORTGAGE HOLDINGS, INC ................... 39,100
4,400 DEAN WITTER DISCOVER & CO .................... 251,900
1,600 DEVELOPERS DIVERSIFIED REALTY CORP ........... 51,000
1,300 DUKE REALTY INVESTMENTS, INC ................. 39,325
2,100 EDWARDS (A.G.), INC .......................... 56,962
2,000 EQUITY RESIDENTIAL PROPERTIES TRUST CO ....... 65,750
5,500 FEDERAL HOME LOAN MORTGAGE CORP .............. 470,250
33,600 FEDERAL NATIONAL MORTGAGE ASSOCIATION ........ 1,125,600
2,500 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD .... 68,437
1,100 FINOVA GROUP, INC ............................ 53,625
2,200 FIRST FINANCIAL CORP (WISCONSIN) ............. 49,500
1,900 FIRST USA, INC ............................... 104,500
3,665 FRANCHISE FINANCE CORP OF AMERICA ............ 84,295
1,700 FRANKLIN RESOURCES, INC ...................... 103,700
See notes to financial statements.
-13-
<PAGE>
SHARES VALUE
- ------ -----
FINANCIAL--MISCELLANEOUS--(continued)
3,420 FULTON FINANCIAL CORP ........................ $ 64,552
1,500 (degree)GARTNER GROUP, INC (CLASS A) (NEW) ........... 54,937
1,800 GENERAL GROWTH PROPERTIES, INC ............... 43,425
2,800 (degree)GLENDALE FEDERAL SAVINGS BANK, INC (NEW) ..... 50,750
1,400 GOLDEN WEST FINANCIAL CORP ................... 78,400
2,815 GREAT WESTERN FINANCIAL CORP ................. 67,208
4,900 GREEN TREE FINANCIAL CORP .................... 153,125
3,400 H.F. AHMANSON & CO ........................... 91,800
2,900 HEALTH AND RETIREMENT PROPERTY TRUST ......... 50,025
3,000 HOUSEHOLD INTERNATIONAL, INC ................. 228,000
3,600 LEHMAN BROTHERS HOLDINGS, INC ................ 89,100
5,950 MBNA CORP .................................... 169,575
1,900 (degree)MEDAPHIS CORP ................................ 75,525
2,600 MEDITRUST CORP ............................... 86,775
4,650 MERCURY FINANCE CO ........................... 59,287
5,100 MERRILL LYNCH & CO, INC ...................... 332,137
1,300 MERRY LAND & INVESTMENT CO, INC .............. 27,300
2,900 MORGAN STANLEY GROUP, INC .................... 142,462
2,952 NEW PLAN REALTY TRUST ........................ 62,361
1,100 (degree)OLYMPIC FINANCIAL LTD ........................ 25,300
3,000 PAINE WEBBER GROUP INC ....................... 71,250
1,700 PENNCORP FINANCIAL GROUP, INC ................ 53,975
1,800 PIONEER GROUP, INC ........................... 48,150
800 PMI GROUP, INC ............................... 34,000
2,000 PRICE (T. ROWE) ASSOCIATES, INC .............. 61,500
2,000 PUBLIC STORAGE, INC .......................... 41,250
900 QUICK & REILLY GROUP, INC .................... 29,250
3,200 ROOSEVELT FINANCIAL GROUP, INC ............... 61,600
3,300 SALOMON, INC ................................. 145,200
3,400 SCHWAB (CHARLES) CORP ........................ 83,300
2,700 SECURITY CAPITAL PACIFIC TRUST ............... 58,725
2,100 SPIEKER PROPERTIES, INC ...................... 57,225
2,400 STORAGE USA, INC ............................. 77,400
1,700 STUDENT LOAN MARKETING ASSOCIATION ........... 125,800
1,800 TCF FINANCIAL CORP ........................... 59,850
1,100 THE MONEY STORE, INC ......................... 24,337
1,900 TIG HOLDINGS, INC ............................ 55,100
2,000 UNITED ASSET MANAGEMENT CORP ................. 49,000
1,300 UNITED COS FINANCIAL CORP .................... 44,200
3,154 UNITED DOMINION REALTY TRUST CO .............. 45,338
----------
7,505,226
----------
FOODS--2.26%
16,317 ARCHER DANIELS MIDLAND CO .................... 312,062
4,100 CAMPBELL SOUP CO ............................. 289,050
2,109 CARDINAL HEALTH, INC ......................... 152,111
1,500 CHIQUITA BRANDS INTERNATIONAL, INC ........... 19,500
7,100 CONAGRA, INC ................................. 322,162
4,600 CPC INTERNATIONAL, INC ....................... 331,200
1,800 DEAN FOODS CO ................................ 44,550
1,500 DOLE FOOD, INC ............................... 64,500
800 DREYERS GRAND ICE CREAM, INC ................. 25,200
804 (degree)EARTHGRAINS CO ............................... 26,331
2,500 FLOWERS INDUSTRIES, INC ...................... 40,312
4,900 GENERAL MILLS, INC ........................... 267,050
2,900 (degree)GENERAL NUTRITION COS, INC ................... 50,750
9,300 HEINZ (H.J.) CO .............................. 282,487
1,700 HERSHEY FOODS CORP ........................... 124,737
1,800 (degree)HORMEL FOODS CORP ............................ 48,150
2,900 IBP, INC ..................................... 80,112
3,800 KELLOGG CO ................................... 278,350
<PAGE>
SHARES VALUE
- ------ -----
FOODS--(continued)
1,900 LANCE, INC ................................... $ 31,350
3,100 MCCORMICK & CO, INC .......................... 68,587
2,800 NABISCO HOLDINGS CORP (CLASS A) .............. 99,050
300 (degree)NATURES SUNSHINE PRODUCTS, INC ............... 7,650
2,200 PIONEER-HI-BRED INTERNATIONAL, INC ........... 116,325
4,400 QUAKER OATS CO ............................... 150,150
2,500 (degree)RALCORP HOLDINGS, INC ........................ 51,562
3,100 RALSTON PURINA GROUP ......................... 198,787
1,700 RICHFOOD HOLDINGS, INC ....................... 55,250
14,100 SARA LEE CORP ................................ 456,487
1,000 (degree)SMITHFIELD FOODS, INC ........................ 25,250
679 SMITH'S FOOD & DRUG CENTERS, INC (CLASS B) ... 16,211
2,600 TYSON FOODS, INC ............................. 71,175
1,200 UNIVERSAL FOODS CORP ......................... 44,250
3,000 WRIGLEY (WM) JR CO ........................... 151,500
----------
4,302,198
----------
FOREST PRODUCTS--0.49%
1,800 BOISE CASCADE CORP ........................... 65,925
2,300 CHAMPION INTERNATIONAL CORP .................. 96,025
3,100 GEORGIA-PACIFIC CORP ......................... 220,100
4,000 LOUISIANA PACIFIC CORP ....................... 88,500
1,200 POTLATCH CORP ................................ 46,950
1,500 RAYONIER, INC ................................ 57,000
6,000 WEYERHAEUSER CO .............................. 255,000
1,800 WILLAMETTE INDUSTRIES, INC ................... 107,100
----------
936,600
----------
HEALTHCARE--DRUGS--5.68%
1,300 (degree)ALLIANCE PHARMACEUTICAL CORP ................. 21,450
2,400 (degree)ALZA CORP .................................... 65,700
18,800 AMERICAN HOME PRODUCTS CORP .................. 1,130,350
7,900 (degree)AMGEN, INC ................................... 426,600
2,200 ARBOR DRUGS, INC ............................. 45,925
1,200 (degree)ATHENA NEUROSCIENCES, INC .................... 20,550
1,500 BERGEN BRUNSWIG CORP (CLASS A) ............... 41,625
1,000 (degree)BIOGEN, INC .................................. 54,875
15,400 BRISTOL MYERS SQUIBB CO ...................... 1,386,000
2,100 (degree)CENTOCOR, INC ................................ 62,737
1,000 (degree)CEPHALON, INC ................................ 19,750
585 (degree)CHIRON CORP .................................. 57,330
600 (degree)DURA PHARMACEUTICALS, INC .................... 33,600
1,800 (degree)FOREST LABORATORIES, INC ..................... 69,525
1,200 (degree)GENZYME CORP ................................. 60,300
40 (degree)GENZYME CORP (TISSUE REPAIR DIVISION) ........ 470
1,300 (degree)GILEAD SCIENCES, INC ......................... 32,825
1,900 (degree)IMMUNEX CORP NEW ............................. 25,887
1,300 (degree)INTERNEURON PHARMACEUTICALS, INC ............. 39,000
1,600 (degree)ISIS PHARMACEUTICALS, INC .................... 30,000
3,100 IVAX CORP .................................... 49,212
14,446 LILLY (ELI) & CO ............................. 938,990
1,500 (degree)LIPOSOME CO, INC ............................. 28,125
1,200 (degree)MATRIX PHARMACEUTICALS, INC .................. 21,600
1,600 MCKESSON CORP NEW ............................ 76,200
38,100 MERCK & CO, INC .............................. 2,462,212
3,900 MYLAN LABORATORIES, INC ...................... 67,275
1,000 (degree)NEXSTAR PHARMACEUTICALS, INC ................. 22,250
20,200 PFIZER, INC .................................. 1,441,775
13,780 PHARMACIA & UPJOHN, INC ...................... 611,487
1,300 RHONE-POULENC RORER, INC ..................... 87,262
See notes to financial statements.
-14-
<PAGE>
SHARES VALUE
- ------ -----
HEALTHCARE--DRUGS--(continued)
1,400 (degree)ROBERTS PHARMACEUTICAL CORP .................. $ 28,175
1,000 (degree)SCHERER (R.P.) CORP .......................... 45,375
11,600 SCHERING-PLOUGH CORP ......................... 727,900
1,100 (degree)SEQUUS PHARMACEUTICALS, INC .................. 21,879
1,200 (degree)THERMEDICS, INC .............................. 30,000
800 (degree)VERTEX PHARMACEUTICALS, INC .................. 24,300
8,300 WARNER-LAMBERT CO ............................ 456,500
1,400 (degree)WATSON PHARMACEUTICALS, INC .................. 53,025
----------
10,818,041
----------
HEALTHCARE--HOSPITAL SUPPLY--2.20%
24,100 ABBOTT LABORATORIES CO ....................... 1,048,350
1,800 BARD (C.R.), INC ............................. 61,200
8,600 BAXTER INTERNATIONAL, INC .................... 406,350
2,100 BECTON DICKINSON & CO ........................ 168,525
900 DENTSPLY INTERNATIONAL, INC (NEW) ............ 38,250
4,456 GUIDANT CORP ................................. 219,458
800 (degree)HAEMONETICS CORP ............................. 14,600
41,002 JOHNSON & JOHNSON CO ......................... 2,029,599
2,800 OWENS & MINOR, INC (NEW) ..................... 32,550
1,900 (degree)PATTERSON DENTAL CO .......................... 68,875
1,100 (degree)PHYSICIAN SALES & SERVICE, INC ............... 26,675
900 (degree)SOFAMOR DANEK GROUP, INC ..................... 24,975
1,700 U.S. SURGICAL CORP ........................... 52,700
----------
4,192,107
----------
HEALTHCARE--OTHER--1.00%
500 (degree)ACCESS HEALTH, INC ........................... 23,625
1,400 (degree)ACUSON CORP .................................. 22,400
1,900 (degree)ADVANCED TISSUE SCIENCE CO ................... 30,637
2,900 ALLERGAN, INC ................................ 113,825
1,800 (degree)AMERICAN MEDICAL RESPONSE, INC ............... 63,450
1,700 (degree)BALLARD MEDICAL PRODUCTS CO .................. 32,512
1,600 BAUSCH & LOMB, INC ........................... 68,000
3,900 (degree)BIOMET, INC .................................. 56,062
3,200 (degree)BOSTON SCIENTIFIC CORP ....................... 144,000
2,600 (degree)CAREMARK INTERNATIONAL, INC .................. 65,650
1,300 (degree)COVENTRY CORP ................................ 20,475
1,500 (degree)GENESIS HEALTH VENTURES, INC ................. 47,062
900 HILLENBRAND INDUSTRIES, INC .................. 33,525
900 (degree)HUMAN GENOME SCIENCES, INC ................... 33,075
1,600 (degree)IDEXX LABORATORIES, INC ...................... 62,800
6,900 MEDTRONIC, INC ............................... 386,400
1,200 MENTOR CORP .................................. 30,600
1,100 (degree)NELLCOR PURITAN BENNETT, INC ................. 53,350
2,200 (degree)OXFORD HEALTH PLANS, INC ..................... 90,475
3,700 PALL CORP .................................... 89,262
1,600 (degree)PLAYTEX PRODUCTS, INC ........................ 15,000
800 (degree)QUANTUM HEALTH RESOURCES, INC ................ 13,600
2,100 (degree)ST. JUDE MEDICAL, INC ........................ 70,350
1,600 (degree)STERIS CORP .................................. 51,200
2,100 STEWART ENTERPRISES, INC (CLASS A) ........... 65,625
2,600 (degree)STRYKER CORP ................................. 59,150
1,450 (degree)SUMMIT TECHNOLOGY, INC ....................... 20,300
1,300 (degree)SUNRISE MEDICAL, INC ......................... 25,025
2,600 (degree)SYBRON INTERNATIONAL CORP .................... 65,000
1,200 (degree)THERMO CARDIOSYSTEMS, INC .................... 53,700
----------
1,906,135
----------
HEALTHCARE--SERVICE--1.64%
1,400 (degree)APRIA HEALTHCARE GROUP, INC .................. 43,925
2,900 (degree)BEVERLY ENTERPRISES CO ....................... 34,800
<PAGE>
SHARES VALUE
- ------ -----
HEALTHCARE--SERVICE--(continued)
1,200 (degree)CERNER CORP .................................. $ 25,650
13,792 COLUMBIA/HCA HEALTHCARE CORP ................. 736,148
800 (degree)COMMUNITY HEALTH SYSTEMS, INC ................ 41,400
1,500 (degree)FHP INTERNATIONAL CORP ....................... 41,062
1,300 (degree)FOUNDATION HEALTH CORP ....................... 46,637
1,350 (degree)HEALTH CARE & RETIREMENT CORP ................ 32,062
2,000 HEALTH CARE PROPERTY INVESTORS, INC .......... 67,500
3,600 (degree)HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) (NEW) ............................. 72,900
900 (degree)HEALTH MANAGEMENT SYSTEMS, INC ............... 28,575
1,800 (degree)HEALTH SYSTEMS INTERNATIONAL, INC ............ 48,825
1,300 (degree)HEALTHCARE COMPARE CO ........................ 63,375
2,000 (degree)HEALTHSOURCE, INC ............................ 35,000
4,300 (degree)HEALTHSOUTH CORP ............................. 154,800
2,200 (degree)HORIZON/CMS HEALTHCARE CORP .................. 28,325
4,500 (degree)HUMANA, INC .................................. 80,437
1,500 (degree)INTEGRATED HEALTH SERVICES, INC .............. 35,625
1,600 INVACARE CORP ................................ 37,600
5,252 (degree)LABORATORY CORP OF AMERICA HOLDINGS .......... 39,390
260 (degree)LABORATORY CORP OF AMERICA HOLDINGS
WTS 4/28/00 ................................. 130
1,200 (degree)LINCARE HOLDINGS, INC ........................ 47,100
1,000 (degree)LIVING CENTERS OF AMERICA, INC ............... 34,375
1,400 (degree)MAGELLAN HEALTH SERVICES, INC ................ 30,100
1,500 MANOR CARE, INC .............................. 59,062
500 (degree)MARINER HEALTH GROUP, INC .................... 9,187
900 (degree)MAXICARE HEALTH PLANS, INC ................... 16,987
1,000 (degree)MEDPARTNERS/MULLIKIN, INC .................... 20,875
1,200 (degree)MID ATLANTIC MEDICAL SERVICES, INC ........... 17,100
350 MORRISON FRESH COOKING, INC .................. 1,837
466 MORRISON HEALTH CARE, INC .................... 6,524
3,100 (degree)NOVACARE, INC ................................ 23,637
3,200 OMEGA HEALTHCARE INVESTORS, INC .............. 88,400
1,400 OMNICARE, INC ................................ 37,100
1,600 (degree)ORNDA HEALTHCORP ............................. 38,400
400 (degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS A) ..... 26,400
500 (degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS B) ..... 33,875
1,800 (degree)PHYCOR, INC .................................. 68,400
1,700 (degree)PHYSICIAN CORP OF AMERICA .................... 22,525
1,700 (degree)SUN HEALTHCARE GROUP, INC .................... 24,225
6,420 (degree)TENET HEALTHCARE CORP ........................ 137,227
4,500 U.S. HEALTHCARE, INC ......................... 247,500
4,900 UNITED HEALTHCARE CORP ....................... 247,450
700 (degree)UNIVERSAL HEALTH SERVICES, INC ............... 18,287
1,700 (degree)VALUE HEALTH, INC ............................ 40,162
1,741 (degree)VENCOR, INC .................................. 53,100
1,800 (degree)VIVRA, INC ................................... 59,175
667 (degree)WELLPOINT HEALTH NETWORKS, INC ............... 20,843
----------
3,124,019
----------
HOUSEHOLD--CONSUMER ELECTRONICS--0.03%
835 (degree)HARMAN INTERNATIONAL INDUSTRIES, INC ......... 41,123
1,300 (degree)ZENITH ELECTRONICS CORP ...................... 15,762
----------
56,885
----------
HOUSEHOLD--DURABLE GOODS--0.42%
1,200 BASSETT FURNITURE INDUSTRIES, INC ............ 32,100
2,500 BLACK & DECKER CORP .......................... 96,562
2,600 (degree)BOYD GAMING CORP ............................. 39,000
1,800 (degree)GENTEX CORP .................................. 35,100
3,200 LEGGETT & PLATT, INC ......................... 88,800
See notes to financial statements.
-15-
<PAGE>
SHARES VALUE
- ------ -----
HOUSEHOLD--DURABLE GOODS--(continued)
3,500 MAYTAG CO .................................... $ 73,062
4,700 NEWELL COS, INC .............................. 143,937
4,500 SHAW INDUSTRIES, INC ......................... 59,062
2,400 STANLEY WORKS CO ............................. 71,400
3,000 SUNBEAM CORP ................................. 44,250
2,400 WHIRLPOOL CORP ............................... 119,100
----------
802,373
----------
HOUSEHOLD--PRODUCTS--1.57%
1,600 APTARGROUP, INC .............................. 48,400
1,100 CLOROX CO .................................... 97,487
4,300 COLGATE PALMOLIVE CO ......................... 364,425
3,000 DIAL CORP .................................... 85,875
1,700 FIRST BRANDS CORP ............................ 45,900
1,000 LANCASTER COLONY CORP ........................ 37,375
3,000 (degree)PERRIGO CO ................................... 33,750
2,900 PREMARK INTERNATIONAL, INC ................... 53,650
21,000 PROCTER & GAMBLE CO .......................... 1,903,125
5,100 RUBBERMAID, INC .............................. 138,975
1,900 (degree)SCOTTS CO (CLASS A) .......................... 33,250
1,300 STANHOME, INC ................................ 34,450
1,200 TAMBRANDS, INC ............................... 49,050
1,600 (degree)TUPPERWARE CORP .............................. 67,600
----------
2,993,312
----------
INSURANCE--BROKERS & OTHER--0.36%
2,000 ALEXANDER & ALEXANDER SERVICES, INC .......... 39,500
5,000 EQUIFAX, INC ................................. 131,250
1,500 GALLAGHER (ARTHUR J.) & CO ................... 48,000
1,000 JOHN ALDEN FINANCIAL CORP .................... 22,125
1,000 LIFE PARTNERS GROUP, INC ..................... 22,750
2,600 MARSH & MCLENNAN COS, INC .................... 250,900
1,400 MBIA, INC .................................... 109,025
2,300 (degree)QUORUM HEALTH GROUP, INC ..................... 60,662
----------
684,212
----------
INSURANCE--LIFE--0.61%
2,800 AON CORP ..................................... 142,100
700 BERKLEY (W.R.) CORP .......................... 29,225
1,700 CONSECO, INC ................................. 68,000
2,800 EQUITABLE COS, INC ........................... 69,650
2,000 FIRST COLONY CORP ............................ 62,000
2,400 JEFFERSON-PILOT CORP ......................... 123,900
100 PROVIDENT COMPANIES, INC ..................... 3,700
2,900 PROVIDIAN CORP ............................... 124,337
1,500 RELIASTAR FINANCIAL CORP ..................... 64,687
1,550 SUNAMERICA, INC .............................. 87,575
2,300 TORCHMARK CORP ............................... 100,625
2,400 UNUM CORP .................................... 149,400
1,700 USLIFE CORP .................................. 55,887
1,300 VESTA INSURANCE GROUP, INC ................... 43,387
2,100 WESTERN NATIONAL CORP ........................ 38,587
----------
1,163,060
----------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--3.06%
2,000 (degree)20TH CENTURY INDUSTRIES ...................... 33,250
3,500 (degree)AETNA LIFE & CASUALTY CO ..................... 250,250
4,550 AFLAC, INC ................................... 135,931
2,600 ALLMERICA PROPERTY & CASUALTY COS, INC ....... 70,200
13,178 ALLSTATE CORP ................................ 601,246
1,600 AMERICAN BANKERS INSURANCE GROUP, INC ........ 69,800
<PAGE>
SHARES VALUE
- ------ -----
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--(continued)
12,400 AMERICAN INTERNATIONAL GROUP, INC ............ $1,222,950
1,700 AMERICAN RE CORP ............................. 76,287
5,400 CHUBB CORP ................................... 269,325
2,200 CIGNA CORP ................................... 259,325
2,096 CINCINNATI FINANCIAL CORP .................... 120,258
1,650 FREMONT GENERAL CORP ......................... 37,950
2,600 GENERAL REINSURANCE CORP ..................... 395,850
1,320 (degree)HIGHLANDS INSURANCE GROUP, INC ............... 24,750
1,000 HORACE MANN EDUCATORS CORP ................... 31,750
1,300 (degree)INSURANCE AUTO AUCTIONS, INC ................. 13,000
3,700 ITT HARTFORD GROUP, INC ...................... 197,025
3,500 LINCOLN NATIONAL CORP ........................ 161,875
700 MERCURY GENERAL CORP (NEW) ................... 30,625
1,800 MGIC INVESTMENT CORP ......................... 101,025
1,700 NAC RE CORP .................................. 56,950
1,300 OHIO CASUALTY CORP ........................... 45,175
3,300 (degree)OLD REPUBLIC INTERNATIONAL CORP .............. 70,950
2,300 PROGRESSIVE CORP ............................. 106,375
4,000 SAFECO CORP .................................. 141,500
1,700 SELECTIVE INSURANCE GROUP, INC ............... 55,250
2,800 ST. PAUL COS, INC NOTES ...................... 149,800
2,100 TRANSAMERICA CORP ............................ 170,100
14,750 TRAVELERS GROUP, INC ......................... 672,968
1,900 (degree)UNITED INSURANCE COS, INC .................... 43,225
1,600 UNITRIN, INC ................................. 75,200
3,600 USF&G CORP ................................... 58,950
2,500 (degree)ZURICH REINSURANCE CENTRE HOLDINGS, INC ...... 78,750
----------
5,827,865
----------
LEISURE TIME--1.50%
3,200 ARCTCO, INC .................................. 40,000
1,800 AUTHENTIC FITNESS CORP ....................... 33,525
1,800 (degree)BALLY ENTERTAINMENT CORP ..................... 49,500
3,300 BRUNSWICK CORP ............................... 66,000
1,900 CALLAWAY GOLF CO ............................. 63,175
1,500 CARNIVAL CORP (CLASS A) ...................... 43,312
1,060 (degree)CHRIS CRAFT INDUSTRIES, INC .................. 46,640
3,100 (degree)CIRCUS CIRCUS ENTERPRISES, INC ............... 127,100
21,178 DISNEY (WALT) CO ............................. 1,331,566
1,400 (degree)GRAND CASINOS, INC ........................... 36,050
1,400 (degree)GTECH HOLDINGS CORP .......................... 41,475
3,000 (degree)HARRAHS ENTERTAINMENT, INC ................... 84,750
2,300 HASBRO, INC .................................. 82,225
1,100 (degree)HOLLYWOOD ENTERTAINMENT CORP ................. 17,050
4,200 INTERNATIONAL GAME TECHNOLOGY CO ............. 70,875
1,600 (degree)ITT CORP (NEW) ............................... 106,000
2,000 JOSTENS, INC ................................. 39,500
8,593 MATTEL, INC .................................. 245,974
2,700 (degree)MIRAGE RESORT, INC ........................... 145,800
40 (degree)NATIONAL LODGING CORP ........................ 640
1,600 OUTBOARD MARINE CORP ......................... 29,000
1,950 (degree)PLAYERS INTERNATIONAL, INC ................... 19,012
500 (degree)PRIMADONNA RESORTS, INC ...................... 11,500
1,000 (degree)REGAL CINEMAS, INC ........................... 45,750
1,500 SHOWBOAT, INC ................................ 45,187
2,000 (degree)SPELLING ENTERTAINMENT GROUP, INC ............ 15,250
1,900 (degree)STATION CASINOS, INC ......................... 27,312
----------
2,864,168
----------
See notes to financial statements.
-16-
<PAGE>
SHARES VALUE
- ------ -----
MACHINERY--1.59%
1,600 AGCO CORP .................................... $ 44,400
1,200 (degree)BJ SERVICES CO ............................... 42,150
1,400 BRIGGS & STRATTON CORP ....................... 57,575
6,000 CATERPILLAR, INC ............................. 406,500
1,500 CINCINNATI MILACRON, INC ..................... 36,000
1,400 (degree)COGNEX CORP .................................. 22,575
1,121 (degree)COOPER CAMERON CORP .......................... 49,043
3,335 COOPER INDUSTRIES, INC ....................... 138,402
8,200 DEERE & CO ................................... 328,000
1,100 DELTA & PINE LAND CO ......................... 46,475
3,600 DOVER CORP ................................... 166,050
1,400 DURIRON, INC ................................. 33,600
1,800 FEDERAL SIGNAL CORP .......................... 42,300
1,000 (degree)FMC CORP (NEW) ............................... 65,250
1,700 GIDDINGS & LEWIS, INC ........................ 27,625
1,200 GOULDS PUMPS, INC ............................ 30,750
1,300 GREENFIELD INDUSTRIES, INC ................... 42,900
1,400 HARNISCHFEGER INDUSTRIES, INC ................ 46,550
900 HARSCO CORP .................................. 60,525
1,500 IDEX CORP .................................... 57,000
2,900 ILLINOIS TOOL WORKS, INC ..................... 196,112
3,400 INGERSOLL-RAND CO ............................ 148,750
500 JLG INDUSTRIES, INC .......................... 37,125
1,100 KAYDON CORP .................................. 47,300
1,009 KENNAMETAL, INC .............................. 34,306
1,400 KEYSTONE INTERNATIONAL, INC .................. 29,050
1,300 MASCOTECH, INC ............................... 19,175
400 (degree)NOVELLUS SYSTEMS, INC ........................ 14,400
2,600 PARKER-HANNIFIN CORP ......................... 110,175
1,600 STEWART & STEVENSON SERVICES, INC ............ 36,400
2,100 SUNDSTRAND CORP .............................. 76,912
1,300 TECUMSEH PRODUCTS CO (CLASS A) ............... 69,875
4,075 (degree)THERMO ELECTRON CORP ......................... 169,621
1,318 TIMKEN CO .................................... 51,072
1,700 TRINITY INDUSTRIES, INC ...................... 57,800
1,400 TRINOVA CORP ................................. 46,725
1,200 (degree)VARITY CORP NEW .............................. 57,750
1,500 YORK INTERNATIONAL CORP ...................... 77,625
----------
3,023,843
----------
METALS--ALUMINIUM--0.24%
1,000 (degree)ACX TECHNOLOGIES, INC ........................ 19,875
1,600 (degree)ALUMAX, INC .................................. 48,600
4,500 ALUMINUM CO OF AMERICA ....................... 258,187
1,900 (degree)KAISER ALUMINUN CORP ......................... 20,900
2,000 REYNOLDS METALS CO ........................... 104,250
----------
451,812
----------
METALS--GOLD--0.26%
3,800 (degree)AMAX GOLD, INC ............................... 20,900
2,800 BATTLE MOUNTAIN GOLD CO ...................... 20,300
1,800 COEUR DALENE MINES CORP ...................... 33,075
3,900 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A). 116,512
1,263 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS B). 40,258
1,400 (degree)GETCHELL GOLD CORP ........................... 46,200
4,500 HOMESTAKE MINING CO .......................... 77,062
3,000 NEWMONT MINING CORP .......................... 148,125
----------
502,432
----------
<PAGE>
SHARES VALUE
- ------ -----
METALS--NON-FERROUS--0.31%
2,000 ASARCO, INC .................................. $ 55,250
1,100 BMC INDUSTRIES, INC .......................... 31,625
800 (degree)COLEMAN CO, INC .............................. 33,900
3,800 CYPRUS AMAX MINERALS CO ...................... 85,975
1,200 FREEPORT MCMORAN, INC ........................ 42,600
2,500 (degree)HECLA MINING CO .............................. 17,500
1,100 MAPCO, INC ................................... 62,012
1,400 MINERALS TECHNOLOGIES, INC ................... 47,950
2,000 PHELPS DODGE CORP ............................ 124,750
1,600 PITTSTON BRINKS GROUP CO ..................... 46,600
1,400 (degree)STILLWATER MINING CO ......................... 33,075
----------
581,237
----------
METALS--STEEL--0.32%
1,100 AK STEEL HOLDINGS CORP ....................... 43,037
1,500 ALLEGHENY LUDLUM CORP ........................ 28,312
3,900 (degree)BETHLEHEM STEEL CORP ......................... 46,312
1,800 BIRMINGHAM STEEL CORP ........................ 29,475
800 CARPENTER TECHNOLOGY CORP .................... 25,600
1,950 HANNA (M.A.) CO .............................. 40,706
1,900 INLAND STEEL INDUSTRIES, INC ................. 37,287
1,700 J & L SPECIALTY STEEL, INC ................... 25,287
3,000 LTV CORP (NEW) ............................... 34,125
2,700 NUCOR CORP ................................... 136,687
1,400 OREGON STEEL MILLS, INC ...................... 19,250
2,900 USX-US STEEL GROUP, INC ...................... 82,287
2,500 WORTHINGTON INDUSTRIES, INC .................. 52,187
----------
600,552
----------
OFFICE EQUIPMENT--3.14%
3,000 (degree)AMDAHL CORP .................................. 32,250
4,300 (degree)APPLE COMPUTER, INC .......................... 90,300
900 (degree)ASPECT TELECOMMUNICATIONS CORP ............... 44,550
1,500 AVERY DENNISON CORP .......................... 82,312
8,000 (degree)COMPAQ COMPUTER CORP ......................... 394,000
908 (degree)CRAY RESEARCH, INC ........................... 21,905
1,600 (degree)DATA GENERAL CORP ............................ 20,800
2,000 (degree)DELL COMPUTER CORP ........................... 101,750
4,700 (degree)DIGITAL EQUIPMENT CORP ....................... 211,500
600 (degree)FILENET CORP ................................. 21,900
12,200 HEWLETT-PACKARD CO ........................... 1,215,425
400 (degree)IN FOCUS SYSTEMS, INC ........................ 9,700
17,100 INTERNATIONAL BUSINESS MACHINES CORP ......... 1,692,900
3,600 (degree)IOMEGA CORP .................................. 104,400
1,500 (degree)KOMAG, INC ................................... 39,562
1,100 MILLER (HERMAN), INC ......................... 33,687
5,000 PITNEY BOWES, INC ............................ 238,750
2,100 (degree)QUANTUM CORP ................................. 30,712
1,000 (degree)SCI SYSTEMS, INC ............................. 40,625
3,174 (degree)SEAGATE TECHNOLOGY, INC ...................... 142,830
1,900 (degree)SEQUENT COMPUTER SYSTEMS, INC ................ 25,650
5,200 (degree)SILICON GRAPHICS, INC ........................ 124,800
1,700 (degree)SOLECTRON CORP ............................... 64,387
1,700 (degree)STORAGE TECHNOLOGY CORP ...................... 65,025
1,000 (degree)STRATUS COMPUTER, INC ........................ 29,000
5,500 (degree)SUN MICROSYSTEMS, INC ........................ 323,812
4,500 (degree)TANDEM COMPUTERS, INC ........................ 55,687
5,900 (degree)UNISYS CORP .................................. 42,037
2,700 (degree)VIKING OFFICE PRODUCTS, INC .................. 84,712
See notes to financial statements.
-17-
<PAGE>
SHARES VALUE
- ------ -----
OFFICE EQUIPMENT--(continued)
2,600 (degree)WANG LABORATORIES, INC ....................... $ 49,075
10,200 XEROX CORP ................................... 545,700
----------
5,979,743
----------
PAPER--1.07%
1,500 ALBANY INTERNATIONAL CORP (CLASS A) (NEW) .... 33,937
1,400 (degree)BED BATH & BEYOND, INC ....................... 37,450
2,000 BEMIS, INC ................................... 70,000
1,400 BOWATER, INC ................................. 52,675
1,800 CARAUSTAR INDUSTRIES, INC .................... 47,700
1,100 CHESAPEAKE CORP .............................. 28,875
1,000 CONSOLIDATED PAPERS, INC ..................... 52,000
1,260 (degree)CROWN VANTAGE, INC ........................... 18,270
1,300 (degree)FORT HOWARD CORP ............................. 25,837
1,300 GLATFELTER (P.H.) CO ......................... 23,887
8,914 INTERNATIONAL PAPER CO ....................... 328,703
2,100 JAMES RIVER CORP OF VIRGINIA ................. 55,387
2,300 (degree)JEFFERSON SMURFIT CORP ....................... 25,012
8,350 KIMBERLY-CLARK CORP .......................... 645,037
2,300 LONGVIEW FIBRE CO ............................ 39,100
1,600 MEAD CORP .................................... 83,000
1,800 PENTAIR, INC ................................. 54,000
2,865 SONOCO PRODUCTS CO ........................... 81,294
2,900 STONE CONTAINER CORP ......................... 39,875
1,700 TEMPLE-INLAND, INC ........................... 79,475
2,300 UNION CAMP CORP .............................. 112,125
1,000 WAUSAU PAPER MILLS CO ........................ 19,750
2,850 WESTVACO CORP ................................ 85,143
----------
2,038,532
----------
PETROLEUM--
EXPLORATION & PRODUCTION--0.85%
2,500 AMERADA HESS CORP ............................ 134,062
1,600 ANADARKO PETROLEUM CORP ...................... 92,800
2,600 APACHE CORP .................................. 85,475
2,300 ASHLAND, INC ................................. 91,137
1,500 (degree)BARNETT RESOURCES CORP ....................... 44,625
4,000 BURLINGTON RESOURCES, INC .................... 172,000
1,300 ENRON OIL & GAS CO ........................... 36,237
1,700 KERR-MCGEE CORP .............................. 103,487
1,100 LOUISIANA LAND & EXPLORATION CO .............. 63,387
2,700 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) . 51,975
1,500 MURPHY OIL CORP .............................. 68,062
1,200 (degree)NEWFIELD EXPLORATION CO ...................... 46,650
1,700 NOBLE AFFILIATES, INC ........................ 64,175
1,000 (degree)NUEVO ENERGY CO .............................. 32,250
4,200 (degree)ORYX ENERGY CO ............................... 68,250
1,400 PARKER & PARSLEY PETROLEUM CO ................ 38,850
2,100 PENNZOIL CO .................................. 97,125
1,400 POGO PRODUCING CO ............................ 53,375
5,000 (degree)SANTA FE ENERGY RESOURCES, INC ............... 59,375
1,200 (degree)SEAGULL ENERGY CORP .......................... 30,000
1,100 (degree)TRITON ENERGY LTD ............................ 53,487
2,400 UNION TEXAS PETROLEUM HOLDINGS, INC .......... 46,800
1,700 (degree)UNITED MERIDIAN CORP ......................... 61,200
1,300 VINTAGE PETROLEUM, INC ....................... 33,150
----------
1,627,934
----------
<PAGE>
SHARES VALUE
- ------ -----
PETROLEUM--INTEGRATED--4.89%
14,700 AMOCO CORP ................................... $1,063,912
4,900 ATLANTIC RICHFIELD CO ........................ 580,650
20,100 CHEVRON CORP ................................. 1,185,900
1,300 DIAMOND SHAMROCK, INC ........................ 37,537
38,300 EXXON CORP ................................... 3,327,312
12,200 MOBIL CORP ................................... 1,367,925
10,100 OCCIDENTAL PETROLEUM CORP .................... 249,975
6,300 PHILLIPS PETROLEUM CO ........................ 263,812
2,200 QUAKER STATE OIL REFINING CORP ............... 33,000
2,900 SUN CO, INC .................................. 88,087
8,100 TEXACO, INC .................................. 679,387
7,747 UNOCAL CORP .................................. 261,461
8,800 USX-MARATHON GROUP, INC (NEW) ................ 177,100
----------
9,316,058
----------
PETROLEUM--SERVICE--0.90%
4,700 BAKER HUGHES, INC ............................ 154,512
2,300 CABOT CORP ................................... 56,350
1,600 CAMCO INTERNATIONAL, INC ..................... 54,200
5,400 DRESSER INDUSTRIES, INC ...................... 159,300
1,900 (degree)ENSCO INTERNATIONAL, INC ..................... 61,750
2,700 FLUOR CORP ................................... 176,512
1,700 (degree)GLOBAL INDUSTRIAL TECHNOLOGIES, INC .......... 27,200
800 (degree)GLOBAL INDUSTRIES LTD ........................ 23,800
5,500 (degree)GLOBAL MARINE, INC NEW ....................... 76,312
3,400 HALLIBURTON CO ............................... 188,700
1,100 HELMERICH & PAYNE, INC ....................... 40,287
3,400 (degree)NABORS INDUSTRIES, INC ....................... 55,250
3,700 (degree)NOBLE DRILLING CORP .......................... 51,337
2,000 (degree)READING & BATES CORP ......................... 44,250
3,500 (degree)ROWAN COS, INC ............................... 51,625
1,100 (degree)SMITH INTERNATIONAL, INC ..................... 33,137
1,000 SONAT OFFSHORE DRILLING, INC ................. 50,500
2,200 TIDEWATER, INC ............................... 96,525
1,716 TOSCO CORP ................................... 86,229
1,500 ULTRAMAR CORP ................................ 43,500
1,000 VASTAR RESOURCES, INC ........................ 37,375
1,900 (degree)WEATHERFORD ENTERRA, INC ..................... 57,000
1,400 (degree)WESTERN ATLAS, INC ........................... 81,550
----------
1,707,201
----------
PHOTOGRAPHY--0.48%
10,700 EASTMAN KODAK CO ............................. 831,925
1,400 POLAROID CORP ................................ 63,875
300 (degree)PRESSTEK, INC ................................ 19,350
----------
915,150
----------
PROPERTY--REAL ESTATE--0.19%
1,600 KIMCO REALTY CORP ............................ 45,200
3,300 TAUBMAN CENTERS, INC ......................... 36,712
1,600 (degree)TOLL BROTHERS, INC ........................... 26,200
3,100 WASHINGTON REAL ESTATE INVESTMENT TRUST ...... 51,925
3,500 WEINGARTEN REALTY INVESTORS, INC ............. 135,625
2,800 WELLSFORD RESIDENTIAL PROPERTY TRUST ......... 63,000
----------
358,662
----------
PUBLISHING--NEWSPAPER--0.54%
1,700 BELO (A.H.) CORP SERIES A .................... 63,325
1,600 CENTRAL NEWSPAPERS, INC (CLASS A) ............ 60,000
1,791 (degree)COX COMMUNICATIONS, INC (CLASS A) (NEW) ...... 38,730
See notes to financial statements.
-18-
<PAGE>
SHARES VALUE
- ------ -----
PUBLISHING--NEWSPAPER--(continued)
1,900 DOW JONES & CO, INC .......................... $ 79,325
4,200 GANNETT CO, INC .............................. 297,150
1,500 KNIGHT-RIDDER, INC ........................... 108,750
3,100 NEW YORK TIMES CO (CLASS A) .................. 101,137
3,200 TIMES MIRROR CO (SERIES A) (NEW) ............. 139,200
1,600 TRIBUNE CO (NEW) ............................. 116,200
1,300 (degree)VALASSIS COMMUNICATIONS, INC ................. 24,050
----------
1,027,867
----------
PUBLISHING--OTHER--0.76%
2,600 AMERICAN GREETINGS CORP (CLASS A) ............ 71,175
4,500 DONNELLEY (R.R.) & SONS CO ................... 156,937
5,200 DUN & BRADSTREET CORP ........................ 325,000
1,800 HARCOURT GENERAL, INC ........................ 90,000
600 HOUGHTON MIFFLIN CO .......................... 29,850
3,200 MCGRAW HILL COS, INC ......................... 146,400
1,400 (degree)MEREDITH CORP ................................ 58,450
3,200 READER'S DIGEST ASSOCIATION, INC (CLASS A)
(NON-VTG) .................................... 136,000
700 (degree)SCHOLASTIC CORP .............................. 43,400
10,167 TIME WARNER, INC ............................. 399,054
----------
1,456,266
----------
RAILROAD--0.97%
4,540 BURLINGTON NORTHERN SANTA FE CORP ............ 367,172
2,400 CONRAIL, INC ................................. 159,300
6,900 CSX CORP ..................................... 332,925
1,900 ILLINOIS CENTRAL CORP SERIES A ............... 53,912
1,200 KANSAS CITY SOUTHERN INDUSTRIES, INC ......... 51,450
3,700 NORFOLK SOUTHERN CORP ........................ 313,575
2,700 (degree)SOUTHERN PACIFIC RAIL CORP ................... 67,500
6,200 UNION PACIFIC CORP ........................... 433,225
2,100 (degree)WISCONSIN CENTRAL TRANSIT CORP ............... 68,250
----------
1,847,309
----------
RESTAURANTS & HOTELS--1.43%
1,500 APPLE SOUTH, INC ............................. 40,125
1,600 (degree)APPLEBEES INTERNATIONAL, INC ................. 51,800
2,500 (degree)AZTAR CORP ................................... 28,750
2,800 BOB EVANS FARMS, INC ......................... 47,600
1,900 (degree)BOSTON CHICKEN, INC .......................... 61,750
2,300 (degree)BUFFETS, INC ................................. 28,175
2,300 CRACKER BARREL OLD COUNTRY STORE, INC ........ 55,775
5,300 DARDEN RESTAURANTS, INC ...................... 56,975
1,200 FELCOR SUITE HOTELS, INC ..................... 36,600
3,700 (degree)HFS INC ...................................... 259,000
1,000 HILTON HOTELS CORP ........................... 112,500
5,400 (degree)HOST MARRIOTT CORP ........................... 70,875
2,760 (degree)HOST MARRIOTT SERVICES CORP .................. 20,010
1,450 LA QUINTA INNS, INC .......................... 48,575
1,000 (degree)LONE STAR STEAKHOUSE SALOON, INC ............. 37,750
1,300 LUBYS CAFETERIA, INC ......................... 30,550
4,100 MARRIOTT INTERNATIONAL, INC .................. 220,375
21,300 MCDONALDS CORP ............................... 995,775
800 (degree)MGM GRAND, INC ............................... 31,900
1,600 (degree)OUTBACK STEAKHOUSE, INC ...................... 55,175
600 (degree)PAPA JOHNS INTERNATIONAL, INC ................ 29,250
2,400 (degree)PRIME HOSPITALITY CORP ....................... 39,600
2,050 (degree)PROMUS HOTEL CORP ............................ 60,731
1,200 RUBY TUESDAY, INC ............................ 27,150
2,700 (degree)RYANS FAMILY STEAK HOUSES, INC ............... 24,975
<PAGE>
SHARES VALUE
- ------ -----
RESTAURANTS & HOTELS--(continued)
5,100 SYSCO CORP ................................... $ 174,675
3,700 WENDYS INTERNATIONAL, INC .................... 68,912
----------
2,715,328
----------
RETAIL--FOOD--0.75%
6,700 ALBERTSONS, INC .............................. 277,212
3,800 AMERICAN STORES CO, (NEW) .................... 156,750
39 (degree)BRUNOS, INC .................................. 541
2,202 FLEMING COS, INC ............................. 31,653
11,000 FOOD LION, INC (CLASS B) ..................... 85,250
2,200 GIANT FOOD, INC (CLASS A) .................... 78,925
1,300 GREAT ATLANTIC & PACIFIC TEA CO, INC ......... 42,737
700 HANNAFORD BROTHERS, INC ...................... 22,837
3,200 (degree)KROGER CO .................................... 126,400
2,400 RUDDICK CORP ................................. 29,400
6,500 (degree)SAFEWAY, INC NEW ............................. 214,500
6,500 (degree)SOUTHLAND CORP ............................... 19,703
2,200 (degree)STARBUCKS CORP ............................... 62,150
1,400 (degree)STOP & SHOP COS, INC (NEW) ................... 46,725
2,100 SUPERVALU, INC ............................... 66,150
1,600 (degree)VONS COS, INC ................................ 59,800
2,900 WINN DIXIE STORES, INC ....................... 102,587
----------
1,423,320
----------
RETAIL--GENERAL MERCHANDISE--4.05%
4,100 (degree)AUTOZONE, INC ................................ 142,475
600 (degree)BARNES & NOBLE, INC .......................... 21,525
1,100 (degree)BEST BUY, INC ................................ 25,162
1,700 (degree)BORDERS GROUP, INC ........................... 54,825
2,400 (degree)CALDOR CORP .................................. 6,300
1,800 CASEYS GENERAL STORES, INC ................... 35,775
3,300 (degree)CHARMING SHOPPES, INC ........................ 23,306
3,100 CIRCUIT CITY STORES, INC ..................... 111,987
1,700 CLAIRES STORES, INC .......................... 46,962
1,600 (degree)CONSOLIDATED STORES CORP ..................... 58,800
6,100 (degree)CUC INTERNATIONAL, INC ....................... 216,550
2,200 DAYTON HUDSON CORP ........................... 226,875
900 (degree)DEPARTMENT 56, INC ........................... 20,362
3,400 DILLARD DEPARTMENT STORES (CLASS A) .......... 124,100
2,743 DOLLAR GENERAL CORP .......................... 80,232
2,600 (degree)ECKERD CORP .................................. 58,825
1,600 FAMILY DOLLAR STORES, INC .................... 27,800
6,670 (degree)FEDERATED DEPARTMENT STORES, INC ............. 227,613
1,800 FINGERHUT COS, INC ........................... 28,125
4,200 (degree)FURNITURE BRANDS INTERNATIONAL, INC .......... 46,200
7,300 GAP, INC ..................................... 234,512
1,100 (degree)GYMBOREE CORP ................................ 33,550
2,500 HECHINGER CO (CLASS A) ....................... 10,937
1,600 HEILIG MEYERS CO ............................. 38,400
14,300 HOME DEPOT, INC .............................. 772,200
1,900 (degree)HOME SHOPPING NETWORK, INC ................... 22,800
700 (degree)JONES APPAREL GROUP, INC ..................... 34,387
15,700 (degree)K MART CORP .................................. 194,287
2,200 (degree)KOHLS CORP ................................... 80,575
7,046 LIMITED, INC ................................. 151,489
4,500 LOWES COS, INC ............................... 162,562
1,100 (degree)MAC FRUGALS BARGAINS CLOSE-OUT, INC .......... 19,525
7,500 MAY DEPARTMENT STORES CO ..................... 328,125
3,200 MELVILLE CORP ................................ 129,600
900 MERCANTILE STORES CO, INC .................... 52,762
1,100 (degree)MEYER (FRED), INC ............................ 32,312
See notes to financial statements.
-19-
<PAGE>
SHARES VALUE
- ------ -----
RETAIL--GENERAL MERCHANDISE--(continued)
3,800 (degree)MUSICLAND STORES CORP ........................ $ 12,350
1,500 NORDSTROM, INC ............................... 66,750
2,500 (degree)OFFICEMAX, INC ............................... 59,687
1,524 (degree)PAYLESS SHOESOURCE, INC ...................... 48,387
5,700 PENNEY, (J.C.) CO, INC ....................... 299,250
1,900 PEP BOYS- MANNY, MOE, & JACK CO .............. 64,600
1,950 (degree)PETSMART, INC ................................ 93,112
2,300 PIER 1 IMPORTS, INC .......................... 34,212
6,300 (degree)PRICE/COSTCO, INC ............................ 136,237
1,100 (degree)PROFFITTS, INC ............................... 39,050
1,800 (degree)REVCO (D.S.), INC NEW ........................ 42,975
2,900 RITE AID CORP ................................ 86,275
1,100 ROSS STORES, INC ............................. 38,225
2,100 (degree)ROUSE CO ..................................... 54,337
10,900 SEARS ROEBUCK & CO ........................... 530,012
4,000 (degree)SERVICE MERCHANDISE, INC ..................... 22,500
3,300 SOTHEBYS HOLDINGS, INC (CLASS A) ............. 47,850
4,550 (degree)STAPLES, INC ................................. 88,725
2,100 STRIDE RITE CORP ............................. 17,325
1,800 (degree)SUNGLASS HUT INTERNATIONAL, INC .............. 43,875
900 TALBOTS, INC ................................. 29,137
1,800 TANDY CORP ................................... 85,275
1,100 (degree)THE SPORTS AUTHORITY, INC .................... 36,025
700 TIFFANY & CO (NEW) ........................... 51,100
2,200 TJX COS, INC (NEW) ........................... 74,250
7,600 (degree)TOYS R US, INC ............................... 216,600
1,500 (degree)WABAN, INC ................................... 35,812
41,500 WAL-MART STORES, INC ......................... 1,053,062
7,900 WALGREEN CO .................................. 264,650
900 (degree)WILLIAMS-SONOMA, INC ......................... 21,262
4,500 (degree)WOOLWORTH CORP ............................... 101,250
2,500 (degree)ZALE CORP .................................... 42,187
----------
7,718,166
----------
TEXTILE & APPAREL--0.52%
1,300 (degree)ANN TAYLOR STORES CORP ....................... 26,325
2,900 (degree)BURLINGTON INDUSTRIES, INC ................... 40,962
2,500 (degree)FRUIT OF THE LOOM, INC (CLASS A) ............. 63,750
2,000 KELLWOOD CO .................................. 36,750
2,200 LIZ CLAIBORNE, INC ........................... 76,175
1,400 (degree)MOHAWK INDUSTRIES, INC ....................... 24,850
1,800 (degree)NAUTICA ENTERPRISES, INC ..................... 51,750
2,000 NIKE, INC (CLASS B) .......................... 205,500
1,000 (degree)NINE WEST GROUP, INC ......................... 51,125
1,900 REEBOK INTERNATIONAL LTD ..................... 63,887
1,700 RUSSELL CORP ................................. 46,962
500 (degree)TOMMY HILFIGER CORP .......................... 26,812
1,900 UNIFI, INC ................................... 53,437
1,700 VF CORP ...................................... 101,362
2,000 WARNACO GROUP, INC (CLASS A) ................. 51,500
1,200 (degree)WESTPOINT STEVENS, INC ....................... 28,650
1,300 WOLVERINE WORLD WIDE, INC .................... 42,250
----------
992,047
----------
TOBACCO--1.89%
5,600 AMERICAN BRANDS, INC ......................... 254,100
26,300 PHILIP MORRIS COS, INC ....................... 2,735,200
9,501 RJR NABISCO HOLDINGS CORP .................... 294,531
940 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ........ 26,437
1,800 UNIVERSAL CORP ............................... 47,700
7,000 UST, INC ..................................... 239,750
----------
3,597,718
----------
<PAGE>
SHARES VALUE
- ------ -----
TRUCKERS & SHIPPING--0.24%
1,500 (degree)AMERICAN FREIGHTWAYS CORP .................... $ 16,687
900 APL LTD ...................................... 23,512
900 CALIBER SYSTEM, INC .......................... 30,600
1,200 CONSOLIDATED FREIGHTWAYS, INC ................ 25,350
700 HUNT (J.B.) TRANSPORT SERVICES, INC .......... 14,612
1,300 PITTSTON BURLINGTON GROUP CO ................. 28,112
1,600 ROADWAY EXPRESS, INC ......................... 22,600
5,500 ROLLINS TRUCK LEASING CORP ................... 57,062
2,800 RYDER SYSTEMS, INC ........................... 78,750
1,800 SHURGARD STORAGE CENTERS, INC ................ 45,450
1,600 USFREIGHTWAYS CORP ........................... 31,200
1,800 WERNER ENTERPRISES, INC ...................... 46,800
1,000 XTRA CORP .................................... 44,250
----------
464,985
----------
UTILITIES--ELECTRIC--4.35%
2,600 (degree)AES CORP ..................................... 73,450
3,200 ALLEGHENY POWER SYSTEMS, INC ................. 98,800
5,300 AMERICAN ELECTRIC POWER CO, INC .............. 225,912
2,900 ATLANTIC ENERGY, INC ......................... 52,925
4,300 BALTIMORE GAS & ELECTRIC CO .................. 122,012
2,000 BOSTON EDISON CO ............................. 51,000
4,300 CAROLINA POWER & LIGHT CO .................... 163,400
10,500 CENTERIOR ENERGY CORP ........................ 77,437
5,700 CENTRAL & SOUTH WEST CORP .................... 165,300
2,900 CENTRAL MAINE POWER CO ....................... 42,050
4,400 CINERGY CORP ................................. 140,800
5,279 (degree)CITIZENS UTILITIES CO (CLASS B) .............. 61,368
2,900 CMS ENERGY CORP .............................. 89,537
6,900 CONSOLIDATED EDISON CO OF NEW YORK, INC ...... 201,825
2,900 DELMARVA POWER & LIGHT CO .................... 60,900
5,400 DOMINION RESOURCES, INC ...................... 216,000
3,500 DPL, INC ..................................... 85,312
2,500 DQE, INC ..................................... 68,750
4,700 DTE ENERGY CO ................................ 145,112
6,100 DUKE POWER CO ................................ 312,625
2,700 EASTERN UTILITIES ASSOCIATION CO ............. 52,987
13,200 EDISON INTERNATIONAL CO ...................... 232,650
3,700 ENOVA CORP ................................... 85,562
6,600 ENTERGY CORP (NEW) ........................... 187,275
2,900 FLORIDA PROGRESS CORP ........................ 100,775
5,400 FPL GROUP, INC ............................... 248,400
3,800 GENERAL PUBLIC UTILITIES CORP ................ 133,950
1,700 HAWAIIAN ELECTRIC INDUSTRIES, INC ............ 60,350
7,200 HOUSTON INDUSTRIES, INC ...................... 177,300
2,600 IDAHO POWER CO ............................... 80,925
1,900 IES INDUSTRIES, INC .......................... 56,762
2,800 ILLINOVA CORP ................................ 80,500
2,300 IPALCO ENTERPRISES, INC ...................... 60,375
2,100 KANSAS CITY POWER & LIGHT CO ................. 57,750
3,600 LONG ISLAND LIGHTING CO ...................... 60,300
3,100 LOUISVILLE GAS & ELECTRIC ENERGY CORP ........ 70,912
4,000 MIDAMERICAN ENERGY CO ........................ 69,000
2,300 MONTANA POWER CO ............................. 51,175
3,300 NEVADA POWER CO .............................. 72,600
2,100 NEW ENGLAND ELECTRIC SYSTEMS CO .............. 76,387
2,600 NEW YORK STATE ELECTRIC & GAS CORP ........... 63,375
6,000 (degree)NIAGARA MOHAWK POWER CORP .................... 46,500
1,900 NIPSCO INDUSTRIES, INC ....................... 76,475
See notes to financial statements.
-20-
<PAGE>
SHARES VALUE
- ------ -----
4,900 NORTHEAST UTILITIES CO ....................... $ 65,537
2,500 NORTHERN STATES POWER CO ..................... 123,437
5,000 OHIO EDISON CO ............................... 109,375
1,300 OKLAHOMA GAS & ELECTRIC CO ................... 51,512
12,500 PACIFIC GAS & ELECTRIC CO .................... 290,625
8,500 PACIFICORP ................................... 189,125
6,300 PECO ENERGY CO ............................... 163,800
2,700 PINNACLE WEST CAPITAL CORP ................... 82,012
1,900 PORTLAND GENERAL CORP ........................ 58,662
3,700 POTOMAC ELECTRIC POWER CO .................... 98,050
4,800 PP&L RESOURCES, INC .......................... 113,400
2,300 PUBLIC SERVICE CO OF COLORADO ................ 84,525
3,000 PUBLIC SERVICE CO OF NEW MEXICO .............. 61,500
7,300 PUBLIC SERVICE ENTERPRISE GROUP, INC ......... 199,837
3,100 PUGET SOUND POWER & LIGHT CO ................. 75,175
2,400 ROCHESTER GAS & ELECTRIC CORP ................ 51,600
3,400 SCANA CORP ................................... 95,625
2,900 SIERRA PACIFIC RESOURCES ..................... 73,587
20,300 SOUTHERN CO .................................. 499,887
1,800 SOUTHWESTERN PUBLIC SERVICE CO ............... 58,725
4,600 TECO ENERGY, INC ............................. 116,150
6,800 TEXAS UTILITIES CO ........................... 290,700
7,200 UNICOM CORP .................................. 200,700
3,000 UNION ELECTRIC CO ............................ 120,750
1,800 UNITED ILLUMINATING CO ....................... 67,275
2,150 UTILICORP UNITED, INC ........................ 59,393
2,700 WASHINGTON WATER POWER CO .................... 50,287
2,300 WESTERN RESOURCES, INC ....................... 68,712
3,700 WISCONSIN ENERGY CORP ........................ 106,837
----------
8,283,600
----------
UTILITIES--GAS & PIPELINE--1.35%
2,400 AGL RESOURCES, INC ........................... 45,300
2,800 (degree)AMERICAN STANDARD COS, INC ................... 92,400
1,900 BROOKLYN UNION GAS CO ........................ 51,775
2,100 CABOT OIL & GAS CORP (CLASS A) ............... 36,487
2,000 (degree)CALENERGY, INC ............................... 51,000
1,800 COASTAL CORP ................................. 75,150
1,800 COLUMBIA GAS SYSTEMS, INC .................... 93,825
2,800 CONSOLIDATED NATURAL GAS CO .................. 146,300
1,400 EL PASO NATURAL GAS CO (NEW) ................. 53,900
6,200 ENRON CORP ................................... 253,425
2,400 ENSERCH CORP ................................. 52,200
1,600 EQUITABLE RESOURCES, INC ..................... 45,200
2,100 INDIANA ENERGY, INC .......................... 60,112
1,300 (degree)IONICS, INC .................................. 61,100
3,000 MCN CORP ..................................... 73,125
1,800 NICOR, INC ................................... 51,075
3,900 NORAM ENERGY CORP ............................ 42,412
1,900 NORTHWEST NATURAL GAS CO ..................... 66,500
1,300 ONEOK, INC ................................... 32,500
2,600 PACIFIC ENTERPRISES, INC ..................... 77,025
4,300 PANENERGY CORP ............................... 141,362
1,400 PEOPLES ENERGY CORP .......................... 46,900
3,042 PIEDMONT NATURAL GAS CO, INC ................. 70,346
<PAGE>
SHARES VALUE
- ------ -----
1,100 (degree)PRIMARK CORP ................................. $ 35,887
1,500 QUESTAR CORP ................................. 51,000
3,100 SONAT, INC ................................... 139,500
5,400 TENNECO, INC ................................. 276,075
1,337 UGI CORP (NEW) ............................... 29,414
1,800 VALERO ENERGY CORP ........................... 45,000
2,300 WASHINGTON ENERGY CO ......................... 45,425
2,100 WICOR, INC ................................... 79,275
3,069 WILLIAMS COS, INC ............................ 151,915
-----------
2,572,910
-----------
UTILITIES--TELEPHONE--6.72%
500 (degree)ADTRAN, INC .................................. 35,437
6,000 ALLTEL CORP .................................. 184,500
17,200 AMERITECH CORP (NEW) ......................... 1,021,250
49,100 AT & T CORP .................................. 3,044,200
13,700 BELL ATLANTIC CORP ........................... 873,375
31,500 BELLSOUTH CORP ............................... 1,334,812
1,200 (degree)C-TEC CORP ................................... 35,700
2,100 CINCINNATI BELL, INC ......................... 109,462
5,100 FRONTIER CORP ................................ 156,187
1,925 (degree)GLENAYRE TECHNOLOGIES, INC ................... 96,250
30,200 GTE CORP ..................................... 1,351,450
2,200 LINCOLN TELECOMMUNICATIONS CO ................ 36,025
22,000 MCI COMMUNICATIONS CORP ...................... 563,750
2,200 (degree)MOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP .. 32,175
4,800 (degree)NEXTEL COMMUNICATIONS, INC (CLASS A) ......... 91,500
13,800 NYNEX CORP ................................... 655,500
13,200 PACIFIC TELESIS GROUP CO ..................... 445,500
18,800 SBC COMMUNICATIONS, INC ...................... 925,900
2,600 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP . 109,200
12,300 SPRINT CORP .................................. 516,600
2,114 TELEPHONE & DATA SYSTEMS, INC ................ 95,130
14,800 U.S. WEST COMMUNICATIONS GROUP, INC .......... 471,750
15,300 (degree)U.S. WEST MEDIA GROUP, INC ................... 279,225
6,100 (degree)WORLDCOM, INC ................................ 337,787
-----------
12,802,665
-----------
TOTAL COMMON STOCK
(Cost $163,473,823) ......................... 189,930,041
-----------
PRINCIPAL
- ---------
SHORT TERM INVESTMENTS--1.00%
COMMERCIAL PAPER--1.00%
$1,900,000 CORPORATE ASSET FUNDING CORP
5.6%, 07/01/96 1,899,710
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,900,000) 1,899,710
------------
ROUNDING 174
------------
TOTAL PORTFOLIO
Cost $165,374,700) $191,831,051
============
- ---------
(degree)NON-INCOME PRODUCING
See notes to financial statements.
-21-
<PAGE>
[TIAA LOGO]
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[LOGO] Printed on recycled paper
VA-1SAFIN-6/96
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from the semi-annual report
and is qualified in its entirety by reference to
such financial statements.
</LEGEND>
<CIK> 0000923524
<NAME> TIAA SEPARATE ACCOUNT VA-1
<SERIES>
<NUMBER> 001
<NAME> SEMIANNUAL
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-START> JAN-01-1996
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 165,374,700
<INVESTMENTS-AT-VALUE> 191,831,051
<RECEIVABLES> 3,230,126
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 566,629
<TOTAL-ASSETS> 195,627,806
<PAYABLE-FOR-SECURITIES> 5,130,241
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 5,130,241
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 5,055,252
<SHARES-COMMON-PRIOR> 2,604,605
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 190,497,565
<DIVIDEND-INCOME> 1,491,894
<INTEREST-INCOME> 59,099
<OTHER-INCOME> 0
<EXPENSES-NET> (312,932)
<NET-INVESTMENT-INCOME> 1,238,061
<REALIZED-GAINS-CURRENT> 717,365
<APPREC-INCREASE-CURRENT> 10,068,465
<NET-CHANGE-FROM-OPS> 12,023,891
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,450,647
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 100,869,972
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 211,478
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 466,374
<AVERAGE-NET-ASSETS> 141,099,031
<PER-SHARE-NAV-BEGIN> 34.411
<PER-SHARE-NII> .317
<PER-SHARE-GAIN-APPREC> 2.955
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 37.683
<EXPENSE-RATIO> .220
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
