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Previous: TIAA SEPARATE ACCOUNT VA 1, NSAR-B, 1997-02-25 |
Next: COOPERATIVE BANKSHARES INC, S-8, 1997-02-25 |
ANNUAL REPORT
================================================================================
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
AUDITED FINANCIAL STATEMENTS
INCLUDING
STATEMENT OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
As required by the Investment Company Act of 1940, TIAA Separate Account VA-1
provides its contractowners with this year-end annual report of its financial
condition and portfolio holdings. A semi-annual report for TIAA Separate Account
VA-1 is also provided each year toward the end of August.
- --------------------------------------------------------------------------------
[TIAA-LOGO]
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
INDEX TO AUDITED FINANCIAL STATEMENTS
DECEMBER 31, 1996
Page
-----
Report of Management Responsibility ..................... 2
Report of Independent Auditors .......................... 3
Audited Financial Statements:
Statement of Assets and Liabilities ................... 4
Statement of Operations ............................... 5
Statements of Changes in Net Assets ................... 6
Notes to Financial Statements ......................... 7
Statement of Investments .............................. 10
[TIAA-LOGO]
-1-
<PAGE>
[TIAA LOGO]
- --------------------------------------------------------------------------------
REPORT OF MANAGEMENT RESPONSIBILITY
To the Contractowners of
TIAA Separate Account VA-1:
The accompanying financial statements of the Stock Index Account ("Account") of
TIAA Separate Account VA-1 ("VA-1") are the responsibility of management. They
have been prepared in accordance with generally accepted accounting principles
and have been presented fairly and objectively in accordance with such
principles.
Teachers Insurance and Annuity Association of America ("TIAA") has established
and maintains a strong system of internal controls designed to provide
reasonable assurance that assets are properly safeguarded and transactions are
properly executed in accordance with management's authorization, and to carry
out the ongoing responsibilities of management for reliable financial
statements. In addition, TIAA's internal audit personnel provide a continuing
review of the internal controls and operations of TIAA, including its seperate
account operations. The internal Auditor regularly reports to the Audit
Committee of the TIAA Board of Trustees and to the Management Committee of VA-1.
The accompanying financial statements have been audited by the independent
auditing firm of Deloitte & Touche LLP. The independent auditors' report, which
appears on the following page, expresses an independent opinion on the fairness
of presentation of these financial statements.
The Audit Committee of the TIAA Board of Trustees, consisting of trustees who
are not officers of TIAA, and the Management Committee of VA-1, the majority of
which are not officers of TIAA, meet regularly with management, representatives
of Deloitte & Touche LLP and internal auditing personnel to review matters
relating to financial reporting, internal controls and auditing.
/s/ Thomas W. Jones
-----------------------------------
Chairman of
Management Committee and President
/s/ Thomas G. Walsh
-----------------------------------
Manager and
Executive Vice President
/s/ Richard L. Gibbs
-----------------------------------
Principal Accounting Officer
and Executive Vice President
-2-
<PAGE>
[Deloitte & Touche LLP Letterhead]
-------------------------------------------------------
Two World Financial Center Telephone: (212) 436-2000
New York, New York 10281-1414 Facsimile: (212) 436-5000
REPORT OF INDEPENDENT AUDITORS
To the Contractowners and Management Committee of
TIAA Separate Account VA-1:
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of the Stock Index Account of TIAA Separate
Account VA-1 ("VA-1") as of December 31, 1996, and the related statements of
operations for the year then ended and of changes in net assets for each of the
years in the two year period then ended. These financial statements are the
responsibility of VA-1's management. Our responsibility is to express an opinion
on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned at December 31, 1996, by correspondence with
the custodians and brokers; where replies were not received from brokers, we
performed other auditing procedures. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material
respects, the financial position of the Stock Index Account of VA-1 at December
31, 1996, the results of its operations and the changes in its net assets for
the above-stated periods, in conformity with generally accepted accounting
principles.
/s/ Deloitte & Touche LLP
February 6, 1997
- ----------------
Deloitte Touche
Tohmatsu
International
- ----------------
-3-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments, at cost $235,212,131
Net unrealized appreciation of investments 48,682,049
------------
Investments, at value 283,894,180
Cash 494,960
Dividends and interest receivable 491,523
Receivable from securities transactions 945,510
Amounts due from General Account 66,034
------------
TOTAL ASSETS 285,892,207
------------
LIABILITIES
Payable for securities transactions 2,846,861
------------
TOTAL LIABILITIES 2,846,861
-----------
NET ASSETS--Accumulation Fund $283,045,346
============
NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6 6,767,696
============
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5 $41.82
============
</TABLE>
See notes to financial statements.
-4-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF OPERATIONS
Year Ended December 31, 1996
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Income:
Dividends $ 3,932,066
Interest 103,095
-----------
TOTAL INCOME 4,035,161
-----------
Expenses--Note 3:
Investment advisory charges 567,238
Administrative expenses 378,136
Mortality and expense risk charges 232,520
-----------
EXPENSES BEFORE WAIVER 1,177,894
Investment advisory charges waived--Note 3 (426,181)
-----------
NET EXPENSES 751,713
-----------
INVESTMENT INCOME--NET 3,283,448
-----------
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS--Note 4
Net realized gain on investments 2,455,871
Net change in unrealized appreciation on investments 32,294,163
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 34,750,034
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $38,033,482
===========
</TABLE>
See notes to financial statements.
-5-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Years Ended December 31,
----------------------------
1996 1995
----------- -------------
<S> <C> <C>
FROM OPERATIONS
Investment income--net $ 3,283,448 $ 1,146,430
Net realized gain on investments 2,455,871 481,973
Net change in unrealized appreciation on investments 32,294,163 16,241,820
------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 38,033,482 17,870,223
------------ ------------
FROM CONTRACTOWNER TRANSACTIONS
Premiums 144,253,413 61,534,705
TIAA seed money withdrawn--Note 1 (92,970) (33,252,105)
Contractowner transfers from fixed account 17,326,369 14,563,961
Withdrawals (5,711,031) (683,251)
Death benefits (391,510) (2,296)
------------ ------------
NET INCREASE IN NET ASSETS RESULTING
FROM CONTRACTOWNER TRANSACTIONS 155,384,271 42,161,014
----------- ------------
NET INCREASE IN NET ASSETS 193,417,753 60,031,237
NET ASSETS
Beginning of year 89,627,593 29,596,356
------------ ------------
End of year $283,045,346 $ 89,627,593
============ ============
</TABLE>
See notes to financial statements.
-6-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION
TIAA Separate Account VA-1 ("VA-1") is a segregated investment account of
Teachers Insurance and Annuity Association of America ("TIAA") and was organized
on February 16, 1994 under the insurance laws of the State of New York for the
purpose of issuing and funding variable annuity contracts. VA-1 was registered
with the Securities and Exchange Commission ("Commission") effective November 1,
1994 as an open-end, diversified management investment company under the
Investment Company Act of 1940. Currently, VA-1 consists of a single investment
portfolio, the Stock Index Account ("Account"), which invests in a diversified
portfolio of equity securities selected to track the overall United States stock
market.
The Account was established on October 3, 1994 with a $25,000,000 seed money
investment by TIAA. TIAA purchased 1,000,000 Accumulation Units of the Account
and such Units 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, 1996 all of TIAA's
Accumulation Units have been withdrawn and such 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.
-7-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (Continued)
NOTE 3--MANAGEMENT AGREEMENTS
Daily charges are deducted from the net assets of the Account for services
required to manage investments, administer the separate account and the
contracts, and to cover certain insurance risks borne by TIAA. The Investment
Management Agreement sets the investment advisory charge at an annual rate of
0.30% of the net assets of the Account. Currently, Advisors has agreed to waive
a portion of such fee, so that 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 December 31, 1996, the net unrealized appreciation on investments was
$48,682,049, consisting of gross unrealized appreciation of $53,776,637 and
gross unrealized depreciation of $5,094,588.
Purchases and sales of securities, other than short-term money market
instruments, for the year ended December 31, 1996, were $167,765,508 and
$8,516,651, respectively.
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the Account
is presented below.
<TABLE>
<CAPTION>
Years Ended October 3, 1994 (date
December 31, established) to
1996 1995 December 31, 1994
------- ------- ----------------------
<S> <C> <C> <C>
Per Accumulation Unit Data:
Investment income $ .807 $ .745 $ .206
Expenses .150 .170 .034
------- ------- -------
Investment income--net .657 .575 .172
Net realized and unrealized gain
on investments 6.755 8.565 .099
------- ------- -------
Net increase in Accumulation Unit Value 7.412 9.140 .271
Accumulation Unit Value:
Beginning of period 34.411 25.271 25.000
------- ------- -------
End of period $41.823 $34.411 $25.271
======= ======= =======
Total return 21.54% 36.17% 1.08%
Ratios to Average Net Assets:
Expenses (1) 0.40% 0.55% 0.13%
Investment income--net 1.74% 1.87% 0.68%
Portfolio turnover rate 4.55% 0.98% 0.04%
Thousands of Accumulation Units
outstanding at end of period 6,768 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).
-8-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (Concluded)
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
Years Ended December 31,
1996 1995
---------- ------------
<S> <C> <C>
Accumulation Units:
Credited for premiums 3,851,585 1,999,245
Credited (cancelled) for transfers and disbursements 311,506 (565,817)
Outstanding:
Beginning of year 2,604,605 1,171,177
--------- ---------
End of year 6,767,696 2,604,605
========= =========
</TABLE>
-9-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1996
SUMMARY
VALUE %
--------- ------
PREFERRED STOCK
HEALTHCARE--SERVICE $ 31,331 0.01%
-------- -----
TOTAL PREFERRED STOCK
(Cost $25,431) 31,331 0.01
-------- -----
COMMON STOCK
AEROSPACE 3,913,024 1.38
AIR TRANSPORTATION 1,505,178 0.53
AUTOMOTIVE & RELATED 6,487,346 2.29
BANKS 23,992,041 8.48
BEVERAGES 8,366,950 2.96
BROADCASTERS 2,144,661 0.76
BUSINESS SERVICES 4,172,825 1.47
CHEMICALS--MAJOR 6,000,173 2.12
CHEMICALS--SPECIALTY 2,815,378 0.99
COMMUNICATION EQUIPMENT & SERVICES 7,860,099 2.78
COMPUTER SERVICE 11,463,947 4.05
CONGLOMERATES 5,931,987 2.10
CONSTRUCTION--MATERIALS & BUILDERS 1,824,702 0.64
CONTAINERS 365,089 0.13
COSMETICS 1,960,112 0.69
ELECTRICAL EQUIPMENT 9,381,150 3.31
ELECTRICAL EQUIPMENT--COMPONENTS DIVERSIFIED 10,902,897 3.85
ELECTRICAL EQUIPMENT--INSTRUMENTS 1,107,847 0.39
ENVIRONMENTAL CONTROL 1,470,948 0.52
FINANCIAL--MISCELLANEOUS 12,003,932 4.24
FOODS 5,963,224 2.11
FOREST PRODUCTS 1,211,899 0.43
HEALTHCARE--DRUGS 16,434,419 5.81
HEALTHCARE--HOSPITAL SUPPLY 5,844,986 2.07
HEALTHCARE--OTHER 2,698,847 0.95
HEALTHCARE--SERVICE 5,241,811 1.85
HOUSEHOLD--CONSUMER ELECTRONICS 71,708 0.03
HOUSEHOLD--DURABLE GOODS 989,150 0.35
HOUSEHOLD--PRODUCTS 5,594,473 1.98
INSURANCE--BROKERS & OTHER 913,050 0.32
INSURANCE--LIFE 2,053,224 0.73
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY 8,557,255 3.02
LEISURE TIME 3,607,651 1.27
MACHINERY 4,067,153 1.44
METALS--ALUMINUM 649,336 0.23
METALS--GOLD 910,768 0.32
METALS--NON-FERROUS 697,660 0.25
METALS--STEEL 905,342 0.32
MISCELLANEOUS MATERIALS & COMMODITIES 31,950 0.01
OFFICE EQUIPMENT 10,061,415 3.55
PAPER 1,862,576 0.66
PETROLEUM--EXPLORATION & PRODUCTION 2,877,943 1.02
PETROLEUM--INTEGRATED 13,825,352 4.88
PETROLEUM--SERVICE 2,798,605 0.99
PHOTOGRAPHY 1,252,575 0.44
PROPERTY--REAL ESTATE 593,048 0.21
PUBLISHING--NEWSPAPER 1,466,777 0.52
PUBLISHING--OTHER 1,862,010 0.66
RAILROAD 2,427,857 0.86
RESTAURANTS & HOTELS 3,801,361 1.34
RETAIL--FOOD 1,952,482 0.69
RETAIL--GENERAL MERCHANDISE 10,376,164 3.66
TEXTILE & APPAREL 1,442,018 0.51
TOBACCO 5,000,848 1.77
TRUCKERS & SHIPPING 707,072 0.25
UTILITIES--ELECTRIC 10,360,741 3.66
UTILITIES--GAS & PIPELINE 3,941,450 1.39
UTILITIES--OTHER 23,000 0.01
UTILITIES--TELEPHONE 15,815,522 5.59
----------- -----
TOTAL COMMON STOCK
(Cost $233,886,895) 282,563,008 99.83
----------- -----
SHORT TERM INVESTMENTS
U.S. GOVERNMENTS & AGENCIES 1,299,604 0.46
--------- -----
TOTAL SHORT TERM INVESTMENTS
(Cost $1,299,805) 1,299,604 0.46
--------- -----
ROUNDING 237 0.00
-------- -----
TOTAL PORTFOLIO
(Cost $235,212,131) 283,894,180 100.30
----------- ------
OTHER ASSETS & LIABILITIES, NET (848,834) (0.30)
------------ ------
NET ASSETS $283,045,346 100.00%
============ ======
See notes to financial statements.
-10-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1996
SHARES VALUE
- -------- ------------
PREFERRED STOCK--0.01%
HEALTHCARE--SERVICE--0.01%
389 AETNA, INC CV 6.25% $ 30,876
3,500 o FRESENIUS MEDICAL CARE (CLASS D) 455
------------
31,331
------------
TOTAL PREFERRED STOCK
(Cost $25,431) 31,331
------------
COMMON STOCK--99.83%
AEROSPACE--1.38%
14,377 BOEING CO 1,529,353
2,400 EG & G, INC 48,300
2,300 GENERAL DYNAMICS CORP 162,150
4,200 GENERAL MOTORS CORP (CLASS H) 236,250
2,000 o HEXCEL CORP 32,500
6,796 LOCKHEED MARTIN CORP 621,834
6,400 MCDONNELL DOUGLAS CORP 409,600
2,100 NORTHROP GRUMMAN CORP 173,775
1,100 OEA, INC 50,325
1,800 o ORBITAL SCIENCES CORP 31,050
1,400 PRECISION CAST PARTS CORP 69,475
10,000 RAYTHEON CO 481,250
1,100 o ROHR, INC 24,887
1,900 o WYMAN-GORDON CO 42,275
------------
3,913,024
------------
AIR TRANSPORTATION--0.53%
1,550 AIR EXPRESS INTERNATIONAL CORP 49,987
1,100 AIRBORNE FREIGHT CORP 25,712
3,400 AMERICA WEST AIRLINES, INC (CLASS B) 53,975
3,500 o AMR CORP 308,437
1,100 ATLANTIC SOUTHEAST AIRLINES, INC 24,062
700 o ATLAS AIR, INC 33,425
2,025 COMAIR HOLDINGS, INC 48,600
1,400 o CONTINENTAL AIRLINES, INC (CLASS B) 39,550
2,800 DELTA AIRLINES, INC 198,450
1,000 EXPEDITORS INTERNATIONAL OF WASHINGTON 23,000
5,000 o FEDERAL EXPRESS CORP 222,500
3,000 o NORTHWEST AIRLINES CORP (CLASS A) 117,375
6,300 SOUTHWEST AIRLINES CO 139,387
2,400 o U.S. AIR GROUP, INC 56,100
2,500 o UAL CORP NEW 156,250
1,300 o VALUJET, INC 8,368
------------
1,505,178
------------
AUTOMOTIVE & RELATED--2.29%
1,600 o ALLEN GROUP, INC 35,600
1,200 o AMERICREDIT CORP 24,600
1,300 APOGEE ENTERPRISES, INC 51,675
1,300 ARVIN INDUSTRIES, INC 32,175
1,800 BANDAG, INC 85,275
1,400 BORG-WARNER AUTOMOTIVE, INC 53,900
900 BREED TECHNOLOGIES, INC 23,400
25,800 CHRYSLER CORP 851,400
2,800 COOPER TIRE & RUBBER CO 55,300
1,900 CUMMINS ENGINE CO, INC 87,400
4,600 DANA CORP 150,075
1,900 DANAHER CORP 88,587
2,800 EATON CORP 195,300
2,700 ECHLIN, INC 85,387
1,100 EXIDE CORP 25,300
1,800 FEDERAL-MOGUL CORP 39,600
47,800 FORD MOTOR CO 1,523,625
1,300 GENCORP, INC 23,562
31,226 GENERAL MOTORS CORP 1,740,849
4,900 GENUINE PARTS CO 218,050
6,000 GOODYEAR TIRE & RUBBER CO 308,250
3,200 HARLEY DAVIDSON, INC 150,400
70 HAYES WHEELS INTERNATIONAL, INC 2,695
2,700 o LEAR CORP 92,137
1,300 MODINE MANUFACTURING CO 34,775
3,500 o NAVISTAR INTERNATIONAL CORP 31,937
1,600 PACCAR, INC 108,800
2,100 POLARIS INDUSTRIES, INC 49,875
1,200 o RENTERS CHOICE, INC 17,400
900 o SAFESKIN CORP 43,875
3,100 SAFETY-KLEEN CORP 50,762
2,850 SNAP-ON, INC 101,531
1,100 STANDARD PRODUCTS CO 28,050
1,100 SUPERIOR INDUSTRIES INTERNATIONAL, INC 25,437
2,700 TRANSPRO, INC 24,637
1,400 WABASH NATIONAL CORP 25,725
------------
6,487,346
------------
BANKS--8.48%
2,900 AMSOUTH BANCORP 140,287
17,585 BANC ONE CORP 756,155
2,300 BANCORP HAWAII, INC 96,600
15,900 BANK OF NEW YORK CO, INC 536,625
14,900 BANKAMERICA CORP 1,486,275
6,135 BANKBOSTON CORP 394,173
3,100 BANKERS TRUST NEW YORK CORP 267,375
7,700 BARNETT BANKS, INC 316,662
6,400 BOATMENS BANCSHARES, INC 412,800
800 CAPITAL ONE FINANCIAL CORP 28,800
1,600 CCB FINANCIAL CORP 109,200
3,050 CENTRAL FIDELITY BANKS, INC 78,537
2,100 CHARTER ONE FINANCIAL, INC 88,200
17,820 CHASE MANHATTAN CORP NEW 1,590,435
19,846 CITICORP N.A. 2,044,138
2,400 CITY NATIONAL CORP 51,900
2,945 CNB BANCSHARES, INC 122,953
4,700 COMERICA, INC 246,162
8,897 CORESTATES FINANCIAL CORP 461,531
2,051 CRESTAR FINANCIAL CORP 152,543
1,900 CULLEN FROST BANKERS, INC 63,175
2,000 DAUPHIN DEPOSIT CORP 66,000
3,400 DEPOSIT GUARANTY CORP 105,400
4,600 o DIME BANCORP, INC 67,850
3,700 FIFTH THIRD BANCORP 232,406
1,800 FIRST AMERICAN CORP 103,725
5,526 FIRST BANK SYSTEM, INC 377,149
12,853 FIRST CHICAGO NBD CORP 690,848
2,060 FIRST COMMERCE CORP 80,082
2,594 FIRST COMMERCIAL CORP 96,302
See notes to financial statements.
-11-
<PAGE>
SHARES VALUE
- -------- ------------
BANKS--(continued)
2,860 FIRST FINANCIAL BANCORP $ 92,950
1,800 FIRST HAWAIIAN, INC 63,000
3,458 FIRST MICHIGAN BANK CORP 102,443
2,787 FIRST OF AMERICA BANK CORP 167,568
3,400 FIRST SECURITY CORP 114,750
3,000 FIRST TENNESSEE NATIONAL CORP 112,500
11,186 FIRST UNION CORP 827,764
3,000 FIRSTAR CORP NEW 157,500
2,500 FIRSTMERIT CORP 88,750
10,527 FLEET FINANCIAL GROUP, INC NEW 525,034
1,200 GREENPOINT FINANCIAL CORP 56,850
5,194 HIBERNIA CORP (CLASS A) 68,820
6,343 HUNTINGTON BANCSHARES, INC 167,296
700 o IMPERIAL BANCORP 16,800
1,400 o IMPERIAL CREDIT INDUSTRIES, INC 29,400
9,200 KEYCORP NEW 464,600
2,300 LONG ISLAND BANCORP, INC 80,500
3,200 MAGNA GROUP, INC 94,400
4,200 MARSHALL & ILSLEY CORP 145,425
5,450 MELLON BANK CORP 386,950
2,900 MERCANTILE BANCORP, INC 148,987
2,837 MERCANTILE BANKSHARES CORP 90,784
8,100 MORGAN (J.P.) & CO, INC 790,762
9,077 NATIONAL CITY CORP 407,330
1,100 NATIONAL COMMERCE BANCORP 42,075
11,740 NATIONSBANK CORP 1,147,585
1,700 NORTH FORK BANCORP, INC 60,562
4,800 NORTHERN TRUST CORP 174,000
15,100 NORWEST CORP 656,850
2,432 OLD KENT FINANCIAL CORP 116,128
3,162 OLD NATIONAL BANCORP 124,108
1,600 ONBANCORP, INC 59,400
2,875 ONE VALLEY BANCORP, INC 106,734
1,000 PEOPLES BANK OF BRIDGEPORT CO 28,875
2,400 PEOPLES HERITAGE FINANCIAL GROUP, INC 67,200
13,350 PNC BANK CORP 502,293
3,028 REGIONS FINANCIAL CORP 156,509
2,400 REPUBLIC NEW YORK CORP 195,900
900 RIGGS NATIONAL CORP 15,525
2,779 SIGNET BANKING CORP 85,454
4,825 SOUTHERN NATIONAL CORP 174,906
4,500 SOUTHTRUST CORP 156,937
5,375 SOVEREIGN BANCORP, INC 70,546
2,600 ST. PAUL BANCORP, INC 76,375
1,100 STANDARD FEDERAL BANCORP 62,562
1,400 STAR BANC CORP 128,625
3,500 STATE STREET BOSTON CORP 225,750
4,078 SUMMIT BANCORP 178,412
9,200 SUNTRUST BANKS, INC 453,100
5,100 SYNOVUS FINANCIAL CORP 163,837
6,629 U.S. BANCORP 297,890
2,532 UNION PLANTERS CORP 98,748
3,280 VALLEY NATIONAL BANCORP 84,050
7,100 WACHOVIA CORP NEW 401,150
2,970 WASHINGTON FEDERAL, INC 78,705
2,800 WASHINGTON MUTUAL, INC 121,275
3,824 WELLS FARGO & CO 1,031,524
2,000 WILMINGTON TRUST CORP 79,000
1,000 ZIONS BANCORP 104,000
------------
23,992,041
------------
BEVERAGES--2.96%
18,600 ANHEUSER BUSCH COS, INC 744,000
2,000 BROWN FORMAN, INC (CLASS B) 91,500
103,000 COCA COLA CO 5,420,375
3,000 COCA COLA ENTERPRISES, INC 145,500
2,000 COORS (ADOLPH) CO (CLASS B) 38,000
65,900 PEPSICO, INC 1,927,575
------------
8,366,950
------------
BROADCASTERS--0.76%
1,100 o AMERICAN RADIO SYSTEMS CORP 29,975
900 o BHC COMMUNICATIONS, INC (CLASS A) 91,237
2,000 o CLEAR CHANNEL COMMUNICATIONS, INC 72,250
10,989 COMCAST CORP (CLASS A) SPL 195,741
1,450 o EVERGREEN MEDIA CORP (CLASS A) 36,250
3,163 GAYLORD ENTERTAINMENT CO 72,353
3,000 o HERITAGE MEDIA CORP (CLASS A) NEW 33,750
4,800 o INFINITY BROADCASTING CORP (CLASS A) 161,400
1,400 o JACOR COMMUNICATIONS, INC WTS 9/18/01 2,800
1,300 o KING WORLD PRODUCTIONS, INC 47,937
6,475 o LIBERTY MEDIA GROUP (CLASS A) 184,942
1,200 o LIN TELEVISION CORP 50,700
6,300 SCRIPPS (E.W.) CO (CLASS A) 220,500
900 TCA CABLE TV, INC 27,112
2,580 o TCI SATELLITE ENTERTAINMENT (CLASS A) 25,477
26,800 o TELE-COMMUNICATIONS, INC (CLASS A) NEW 350,075
600 UNITED TELEVISION, INC 51,675
4,300 o VIACOM, INC (CLASS A) 148,350
9,000 o VIACOM, INC (CLASS B) 313,875
1,700 o WESTWOOD ONE, INC 28,262
------------
2,144,661
------------
BUSINESS SERVICES--1.47%
2,883 o ACCUSTAFF, INC 60,903
3,133 o ACNEILSEN CORP 47,386
2,700 ADVO, INC 37,800
2,000 o AFFILIATED COMPUTER SERVICES, INC (CLASS A) 59,500
1,200 o ALTERNATIVE RESOURCES CORP 20,850
3,300 o AMERICA ONLINE, INC 109,725
1,900 o APOLLO GROUP, INC (CLASS A) 63,531
800 o ASPEN TECHNOLOGY INC 64,200
1,900 AUTODESK, INC 53,200
2,300 BANTA CORP 52,612
4,100 BLOCK (H&R), INC 118,900
900 o CABLEVISION SYSTEMS CORP (CLASS A) 27,562
1,400 o CATALINA MARKETING CORP 77,175
1,500 o CHECKPOINT SYSTEMS, INC 37,125
500 o CIBER INC 15,000
1,600 CINTAS CORP 94,000
6,800 COGNIZANT CORP 224,400
1,100 o COMPUTER HORIZONS CORP 42,350
3,000 o COMPUTERVISION CORP 27,750
1,350 o CORESTAFF, INC 31,978
3,400 o CORPORATE EXPRESS, INC 100,087
3,500 o CORRECTIONS CORP OF AMERICA 107,187
1,000 o CREDENCE SYSTEMS CORP 20,125
3,400 DELUXE CORP 111,350
700 o DIALOGIC CORP 22,050
2,300 DIEBOLD, INC 144,612
2,047 o DOUBLETREE CORP 92,115
500 o ENCAD, INC 20,625
1,800 FIRST INDUSTRIAL REALTY TRUST, INC 54,675
See notes to financial statements.
-12-
<PAGE>
SHARES VALUE
- -------- ------------
BUSINESS SERVICES-(continued)
2,000 o FORE SYSTEMS, INC $ 65,750
1,600 o FRANKLIN QUEST CO 33,600
900 o FRITZ COS, INC 11,475
800 o GATEWAY 2000, INC 42,850
1,800 HARLAND (JOHN H.) CO 59,400
600 o HCIA, INC 20,700
800 o INSO CORP 31,800
1,300 o INTERIM SERVICES, INC 46,150
2,900 INTERPUBLIC GROUP OF COS, INC 137,750
700 o ITRON, INC 12,425
1,900 KELLY SERVICES, INC (CLASS A) 51,300
2,700 LIBERTY PROPERTY TRUST CO 69,525
3,000 MANPOWER, INC 97,500
1,775 o MCAFEE ASSOCIATES, INC 78,100
1,300 o MICRO WAREHOUSE, INC 15,275
1,600 o NATIONAL EDUCATION CORP 24,400
2,300 NATIONAL SERVICE INDUSTRIES, INC 85,962
5,000 o OFFICE DEPOT, INC 88,750
2,814 OLSTEN CORP 42,561
3,100 OMNICOM GROUP, INC 141,825
2,400 PAYCHEX, INC 123,450
1,700 PHH CORP 73,100
1,900 PITTSTON BRINKS GROUP CO 51,300
1,426 o PURE ATRIA CORP 35,293
800 o REMEDY CORP 43,000
2,600 o ROBERT HALF INTERNATIONAL, INC 89,375
3,200 SENSORMATIC ELECTRONICS CORP 53,600
9,500 SERVICE CORP INTERNATIONAL 266,000
2,000 o SUNGARD DATA SYSTEMS, INC 79,000
300 o SYLVAN LEARNING SYSTEMS, INC 8,550
700 o THERMOLASE CORP 11,025
1,600 o TRACOR, INC 34,000
1,900 TRUE NORTH COMMUNICATIONS, INC 41,562
2,100 o U.S. CELLULAR CORP 58,537
1,000 o VERIFONE, INC 29,500
600 o WACKENHUT CORRECTIONS CORP 12,000
1,000 WALLACE COMPUTER SERVICES, INC 34,500
700 o WIND RIVER SYSTEMS, INC 33,162
------------
4,172,825
------------
CHEMICALS--MAJOR--2.12%
4,400 AIR PRODUCTS & CHEMICALS, INC 304,150
1,800 ARCADIAN CORP 47,700
900 o CHEMFIRST, INC (W/I) 20,812
9,800 DOW CHEMICAL CO 768,075
23,000 DU PONT (E.I.) DE NEMOURS & CO 2,170,625
3,400 EASTMAN CHEMICAL CO 187,850
2,700 GOODRICH (B.F.) CO 109,350
4,200 HERCULES, INC 181,650
1,800 MISSISSIPPI CHEMICAL CORP 43,200
24,500 MONSANTO CO 952,437
1,700 o OAK TECHNOLOGY, INC 19,125
2,000 OLIN CORP 75,250
7,800 PPG INDUSTRIES, INC 437,775
6,400 PRAXAIR, INC 295,200
600 o QUINTILES TRANSNATIONAL CORP 39,750
1,700 ROHM & HAAS CO 138,762
5,100 UNION CARBIDE CORP 208,462
------------
6,000,173
------------
CHEMICALS--SPECIALTY--0.99%
2,400 o AIRGAS, INC 52,800
2,300 ALBEMARLE CORP 41,687
1,400 BETZDEARBORN, INC 81,900
2,700 CALGON CARBON CORP 33,075
1,700 COMMERCIAL METALS CO 51,212
3,100 CROMPTON & KNOWLES CORP 59,675
2,100 o CYTEC INDUSTRIES, INC 85,312
1,300 DEXTER CORP 41,437
2,400 ECOLAB, INC 90,300
4,450 ENGELHARD CORP 85,106
5,000 ETHYL CORP 48,125
1,200 FERRO CORP 34,050
1,800 FOSTER WHEELER CORP 66,825
600 FULLER (H.B.) CO 28,200
1,800 GEON CO 35,325
1,700 GEORGIA GULF CORP 45,687
3,800 GRACE (W.R.) & CO 196,650
2,600 GREAT LAKES CHEMICAL CORP 121,550
2,634 ICN PHARMACEUTICALS, INC NEW 51,692
2,780 IMC GLOBAL, INC 108,767
2,100 o INTERNATIONAL SPECIALTY PRODUCTS, INC 25,725
2,600 LAWTER INTERNATIONAL, INC 32,825
1,500 LOCTITE CORP 91,312
2,500 LUBRIZOL CORP 77,500
2,100 LYONDELL PETROCHEMICAL CO 46,200
3,200 MALLINCKRODT, INC 141,200
5,800 MORTON INTERNATIONAL, INC 236,350
1,900 o MYCOGEN CORP 40,850
3,100 NALCO CHEMICAL CORP 111,987
1,900 RAYCHEM CORP 152,237
3,825 RPM, INC 65,025
2,100 SCHULMAN (A.), INC 51,450
1,900 o SEALED AIR CORP 79,087
2,100 SIGMA ALDRICH CORP 131,118
2,000 TERRA INDUSTRIES, INC 29,500
1,000 THIOKOL CORP 44,750
1,500 WELLMAN, INC 25,687
2,400 WITCO CORP 73,200
---------
2,815,378
---------
COMMUNICATION EQUIPMENT & SERVICES--2.78%
5,266 o 360 COMMUNICATIONS CO 121,776
7,042 o 3COM CORP 516,706
1,150 ACC CORP 34,787
20,700 o AIRTOUCH COMMUNICATIONS, INC 522,675
2,450 o ANDREW CORP 130,003
1,300 o ANTEC CORP 11,700
1,000 o APAC TELESERVICES INC 38,375
1,900 o ARCH COMMUNICATIONS GROUP, INC 17,812
5,100 o ASCEND COMMUNICATIONS, INC 316,837
1,400 o AVID TECHNOLOGIES, INC 14,525
3,400 o BRINKER INTERNATIONAL, INC 54,400
1,300 o CABLE DESIGN TECHNOLOGIES CO 40,462
4,800 o CABLETRON SYSTEMS, INC 159,600
2,800 o CASCADE COMMUNICATIONS CORP 154,350
2,700 CENTURY TELEPHONE ENTERPRISES, INC 83,362
4,800 o CHYRON CORP 13,800
28,400 o CISCO SYSTEMS, INC 1,806,950
2,100 COMSAT CORP SERIES 1 51,712
9,300 CORNING, INC 430,125
See notes to financial statements.
-13-
<PAGE>
SHARES VALUE
- -------- ------------
COMMUNICATION EQUIPMENT &
SERVICES--(continued)
5,000 o DSC COMMUNICATIONS CORP $ 89,375
2,400 o DSP COMMUNICATIONS, INC 46,500
1,000 o DYNATECH CORP 44,250
1,300 o GENERAL DATACOMM INDUSTRIES, INC 13,650
3,700 o GEOTEK COMMUNICATIONS, INC 26,362
1,800 HARRIS CORP 123,525
1,000 o HIGHWAYMASTER COMMUNICATIONS, INC 18,125
1,100 o INTERCEL, INC 13,475
1,000 o INTERMEDIA COMMUNICATIONS, INC 25,750
1,600 o INTERNATIONAL CABLETEL, INC 40,400
700 o JACOR COMMUNICATIONS, INC 19,162
3,500 o LCI INTERNATIONAL, INC 75,250
700 o LEVEL ONE COMMUNICATIONS, INC 25,025
26,091 o LUCENT TECHNOLOGIES, INC 1,206,708
1,300 o MACROMEDIA, INC 23,400
500 o MASTEC, INC 26,500
4,044 o MFS COMMUNICATIONS CO, INC 220,398
1,700 o NETWORK EQUIPMENT TECHNOLOGIES, INC 28,050
2,300 o NEW WORLD COMMUNICATIONS GROUP, INC 58,075
12,000 o NOVELL, INC 113,625
2,000 o OCTEL COMMUNICATIONS CORP 35,000
1,300 o OMNIPOINT CORP 25,025
800 o P-COM, INC 23,700
4,800 o PAGING NETWORK, INC 73,200
2,800 o PAIRGAIN TECHNOLOGIES, INC 85,225
3,100 o PANAMSAT CORP 86,800
1,200 o PICTURETEL CORP NEW 31,200
1,400 o PMT SERVICES, INC 24,500
700 o PREMIERE TECHNOLOGIES INC 17,500
1,200 o PREMISYS COMMUNICATIONS, INC 40,500
2,200 o QUALCOMM, INC 87,725
1,400 o RENAISSANCE COMMUNICATIONS CORP 50,050
3,100 SCIENTIFIC-ATLANTA, INC 46,500
1,000 o SITEL CORP 14,125
2,000 o TECH DATA CORP 54,750
900 o TEL-SAVE HOLDINGS, INC 26,100
1,400 o TELE-COMMUNICATIONS INTERNATIONAL (CLASS A) 18,550
6,800 o TELLABS, INC 255,850
2,700 o VANGUARD CELLULAR SYSTEMS, INC 42,525
1,500 o WESTELL TECHNOLOGIES, INC (CLASS A) 34,312
1,400 o WINSTAR COMMUNICATIONS, INC 29,400
------------
7,860,099
------------
COMPUTER SERVICE--4.05%
3,200 o ACXIOM CORP 76,800
4,400 o ADAPTEC, INC 176,000
5,400 o ADC TELECOMMUNICATIONS, INC 168,075
2,700 ADOBE SYSTEMS, INC 100,912
2,250 o AMERICAN MANAGEMENT SYSTEMS, INC 55,125
2,000 o AUSPEX SYSTEMS, INC 23,250
11,800 AUTOMATIC DATA PROCESSING, INC 505,925
600 o AVANT CORP 19,050
7,302 o BAY NETWORKS, INC 152,429
900 o BBN CORP 20,250
400 o BDM INTERNATIONAL, INC 21,700
1,700 o BISYS GROUP, INC 63,006
4,200 o BMC SOFTWARE, INC 173,775
1,000 o BOSTON TECHNOLOGY, INC 28,750
1,000 o BRODERBUND SOFTWARE, INC 29,750
1,400 o C-CUBE MICROSYSTEMS, INC 51,712
3,825 o CADENCE DESIGN SYSTEMS, INC 152,043
1,700 o CAMBRIDGE TECHNOLOGY PARTNERS, INC 57,056
400 o CDW COMPUTER CENTERS, INC 23,725
2,700 o CERIDIAN CORP 109,350
2,100 o CHECKFREE CORP 35,962
1,200 o CITRIX SYSTEMS, INC 46,875
500 o CLARIFY INC 24,000
3,800 o COMPUSA, INC 78,375
12,000 COMPUTER ASSOCIATES INTERNATIONAL, INC 597,000
2,948 o COMPUTER SCIENCES CORP 242,104
1,700 o COMPUWARE CORP 85,212
900 o CYRIX CORP 15,975
1,000 o DIAMOND MULTIMEDIA SYSTEMS, INC 11,875
1,700 o DST SYSTEMS, INC 53,337
2,100 o ELECTRONIC ARTS, INC 62,868
13,700 ELECTRONIC DATA SYSTEMS CORP 592,525
8,800 o EMC CORP 291,500
1,000 o EMPLOYEE SOLUTIONS, INC 20,500
17,306 FIRST DATA CORP 631,669
2,300 o FISERV, INC 84,525
1,300 o FORTE SOFTWARE, INC 42,575
2,200 o GT INTERACTIVE SOFTWARE CORP 15,675
3,500 HBO & CO 207,812
1,200 o HMT TECHNOLOGY CORP 18,018
1,000 o HNC SOFTWARE 31,250
2,330 o IMATION CORP 65,531
6,100 o INFORMIX CORP 124,287
900 o INTEGRATED SYSTEMS, INC 23,400
2,500 o INTERGRAPH CORP 25,625
1,800 o INTUIT, INC 56,700
1,500 o LEARNING CO, INC 21,562
1,000 o LEGATO SYSTEMS, INC 32,625
1,300 o MEDIC COMPUTER SYSTEMS, INC 52,406
2,700 o MENTOR GRAPHICS CORP 26,325
1,750 o MICROCHIP TECHNOLOGY, INC 89,031
1,100 o MICRON ELECTRONICS, INC 21,381
34,400 o MICROSOFT CORP 2,842,300
1,600 NATIONAL DATA CORP 69,600
2,000 o NETMANAGE, INC 12,000
2,000 o NETSCAPE COMMUNICATIONS CORP 113,750
2,500 o NETWORK GENERAL CORP 75,625
1,000 o OBJECTIVE SYSTEMS INTEGRATORS, INC 23,875
20,850 o ORACLE CORP 870,487
5,500 o PARAMETRIC TECHNOLOGY CORP 282,562
3,000 o PEOPLESOFT, INC 143,812
1,200 o PHYSICIAN COMPUTER NETWORK, INC 10,200
1,100 o PIXAR INC 14,300
2,700 o PLATINUM TECHNOLOGY, INC 36,787
1,200 o POLICY MANAGEMENT SYSTEMS CORP 55,350
1,400 o PSINET, INC 15,225
1,700 o RATIONAL SOFTWARE CORP 67,256
1,800 o READ RITE CORP 45,450
4,300 REYNOLDS & REYNOLDS CO (CLASS A) 111,800
1,800 o SAFEGUARD SCIENTIFICS, INC 57,150
700 o SCOPUS TECHNOLOGY, INC 32,550
1,400 o SECURITY DYNAMICS TECHNOLOGIES, INC 44,100
1,000 SHARED MEDICAL SYSTEMS CORP 49,250
1,400 o SHIVA CORP 48,825
3,111 o STERLING COMMERCE INC 109,662
1,200 o STERLING SOFTWARE, INC 37,950
See notes to financial statements.
-14-
<PAGE>
SHARES VALUE
- -------- ------------
COMPUTER SERVICE--(continued)
1,200 o STRUCTURAL DYNAMICS RESEARCH CORP $ 24,000
3,100 o SYBASE, INC 51,731
2,600 o SYMANTEC CORP 37,700
1,800 o SYNOPSYS, INC 83,250
1,600 SYSTEM SOFTWARE ASSOCIATES, INC 17,000
1,000 o SYSTEMSOFT CORP 14,875
900 o TECHNOLOGY SOLUTIONS CO 37,350
1,400 o TRANSACTION SYSTEM ARCHITECTURE 46,550
1,700 o VANSTAR CORP 41,650
1,000 o VANTIVE CORP (THE) 31,250
600 o VERITAS SOFTWARE CORP 29,850
800 o VIASOFT INC 37,800
800 o VIDEOSERVER, INC 34,000
300 o VISIO CORP 14,850
900 o YAHOO INC 15,300
1,700 o ZEBRA TECHNOLOGY CORP 39,737
----------
11,463,947
----------
CONGLOMERATES--2.10%
5,300 ALCO STANDARD CORP 273,612
2,800 ALEXANDER & BALDWIN, INC 70,000
10,100 ALLIED SIGNAL, INC 676,700
1,600 AMERICAN FINANCIAL GROUP, INC 60,400
2,800 o ANIXTER INTERNATIONAL, INC 45,150
1,100 o BLYTH INDUSTRIES, INC 50,187
2,500 o COLTEC INDUSTRIES, INC 47,187
2,475 o CONCORD EFS, INC 69,918
2,600 o COPYTELE, INC 12,837
2,400 CRANE CO 69,600
5,000 ITT INDUSTRIES, INC 122,500
1,900 JOHNSON CONTROLS, INC 157,462
3,150 KEYSTONE FINANCIAL, INC 78,750
2,000 o LITTON INDUSTRIES, INC 95,250
3,000 LOEWS CORP 282,750
3,032 MARK IV INDUSTRIES, INC 68,599
1,800 o METROMEDIA INTERNATIONAL GROUP, INC 17,775
16,900 MINNESOTA MINING & MANUFACTURING CO 1,400,587
6,600 o ROCKWELL INTERNATIONAL CORP NEW 401,775
1,800 SCHULLER CORP 19,125
1,700 STANDEX INTERNATIONAL CORP 52,487
3,100 TEXTRON, INC 292,175
5,400 TRW, INC 267,300
5,900 TYCO INTERNATIONAL LTD 311,962
2,700 o U.S. INDUSTRIES, INC 92,812
10,600 UNITED TECHNOLOGIES CORP 699,600
4,000 VIAD CORP 66,000
5,100 WHITMAN CORP 116,662
600 ZEIGLER COAL HOLDING CO 12,825
---------
5,931,987
---------
CONSTRUCTION--MATERIALS &
BUILDERS--0.64%
2,100 ARMSTRONG WORLD INDUSTRIES, INC 145,950
2,500 BAY APARTMENT COMMUNITIES, INC 90,000
1,466 o CASTLE & COOKE, INC 23,272
1,200 o CDI CORP 34,050
1,500 CENTEX CORP 56,437
2,700 o CHAMPION ENTERPRISES, INC 52,650
3,906 CLAYTON HOMES, INC 52,731
1,200 o EAGLE HARDWARE & GARDEN, INC 24,900
1,400 FASTENAL CO 64,050
1,600 FLEETWOOD ENTERPRISES, INC 44,000
1,300 o JACOBS ENGINEERING GROUP, INC 30,712
2,700 KAUFMAN & BROAD HOME CORP 34,762
3,178 LAFARGE CORP 63,957
1,900 LENNAR CORP 51,775
2,779 MARTIN MARIETTA MATERIALS, INC 64,611
6,900 MASCO CORP 248,400
1,050 o MILLER INDUSTRIES, INC 21,000
2,000 OAKWOOD HOMES CORP 45,750
2,300 OWENS CORNING CO 98,037
1,900 PLY-GEM INDUSTRIES, INC 23,512
1,100 PULTE CORP 33,825
3,100 SHERWIN-WILLIAMS CO 173,600
3,664 SIMON DEBARTOLO GROUP, INC 113,584
1,700 o SOLA INTERNATIONAL, INC 64,600
2,100 o USG CORP 71,137
1,600 VULCAN MATERIALS CO 97,400
---------
1,824,702
---------
<PAGE>
CONTAINERS--0.13%
1,739 BALL CORP 45,214
4,000 CROWN CORK & SEAL CO, INC 217,500
4,500 o OWENS ILLINOIS, INC 102,375
----------
365,089
----------
COSMETICS--0.69%
5,500 AVON PRODUCTS, INC 314,187
18,200 GILLETTE CO 1,415,050
4,000 INTERNATIONAL FLAVORS &
FRAGRANCES, INC 180,000
1,000 LAUDER (ESTEE) CO (CLASS A) 50,875
----------
1,960,112
----------
ELECTRICAL EQUIPMENT--3.31%
3,400 o AMERICAN POWER CONVERSION CORP 92,650
2,400 AMETEK, INC 53,400
1,800 BELDEN, INC 66,600
4,800 DURACELL INTERNATIONAL, INC 335,400
9,100 EMERSON ELECTRIC CO 880,425
68,200 GENERAL ELECTRIC CO 6,743,275
2,100 GENERAL SIGNAL CORP 89,775
1,900 GRAINGER (W.W.), INC 152,475
5,100 HONEYWELL, INC 335,325
3,260 HUBBELL, INC (CLASS B) 140,995
2,999 THOMAS & BETTS CORP 133,080
18,000 WESTINGHOUSE ELECTRIC CORP 357,750
----------
9,381,150
----------
ELECTRICAL EQUIPMENT--COMPONENTS
DIVERSIFIED--3.85%
5,400 o ADVANCED MICRO DEVICES, INC 139,050
1,900 o ALTERA CORP 138,106
9,000 AMP, INC 345,375
1,800 o AMPHENOL CORP (CLASS A) 40,050
5,225 o ANALOG DEVICES, INC 176,996
2,400 o ARROW ELECTRONICS, INC 128,400
3,900 o ATMEL CORP 129,187
2,100 AVNET, INC 122,325
1,500 AVX CORP 32,250
2,600 BALDOR ELECTRIC CO 64,025
1,200 o CHIPS & TECHNOLOGIES, INC 21,900
2,800 o CIRRUS LOGIC, INC 43,400
1,200 o COMPUTER PRODUCTS, INC 23,400
1,000 o COMVERSE TECHNOLOGY, INC 37,812
See notes to financial statements.
-15-
<PAGE>
SHARES VALUE
- -------- ------------
ELECTRIC EQUIPMENT--COMPONENTS
DIVERSIFIED--(continued)
460 o CYBERGUARD CORP $ 5,577
3,200 o CYPRESS SEMICONDUCTOR CORP 45,200
2,000 DALLAS SEMICONDUCTOR CORP 46,000
1,900 o ESS TECHNOLOGY 53,437
1,200 o ETEC SYSTEMS, INC 45,900
1,300 FISHER SCIENTIFIC INTERNATIONAL, INC 61,262
5,500 o GENERAL INSTRUMENT CORP NEW 118,937
500 o HADCO CORP 24,500
3,600 o INTEGRATED DEVICE TECHNOLOGY, INC 49,050
35,500 INTEL CORP 4,648,281
2,200 o INTERNATIONAL RECTIFIER CORP 33,550
400 o JABIL CIRCUIT, INC 16,000
1,800 o KEMET CORP 41,850
1,600 o KENT ELECTRONICS CORP 41,200
1,400 o LAM RESEARCH CORP 39,375
1,400 o LATTICE SEMICONDUCTOR CORP 64,400
3,400 LINEAR TECHNOLOGY CO 149,175
5,000 o LSI LOGIC CORP 133,750
2,400 o MAGNETEK, INC 30,900
1,900 o MARSHALL INDUSTRIES, INC 58,187
2,800 o MAXIM INTEGRATED PRODUCTS 121,100
800 o MEMC ELECTRONIC MATERIALS, INC 18,000
2,100 METHODE ELECTRONICS, INC (CLASS A) 42,525
7,300 MICRON TECHNOLOGY, INC 212,612
3,656 MOLEX, INC 143,041
24,300 MOTOROLA, INC 1,491,412
5,500 o NATIONAL SEMICONDUCTOR CORP 134,062
1,400 o NEWPORT NEWS SHIPBUILDING, INC 21,000
1,000 o OAK INDUSTRIES, INC NEW 23,000
2,100 o S3, INC 34,125
900 o SANMINA CORP 50,850
1,000 o SIERRA SEMICONDUCTOR CORP 15,000
1,200 o SYMBOL TECHNOLOGIES, INC 53,100
1,400 o TCSI CORP 8,750
7,700 TEXAS INSTRUMENTS, INC 490,875
1,900 o TRIMBLE NAVIGATION LTD 21,850
3,500 o U.S. ROBOTICS CORP 252,000
1,100 o UCAR INTERNATIONAL INC 41,387
1,000 o UNIPHASE CORP 52,500
1,500 o VICOR CORP 25,031
2,575 o VISHAY INTERTECHNOLOGY, INC. 60,190
1,000 o VITESSE SEMICONDUCTOR CORP 45,500
1,900 o VLSI TECHNOLOGY, INC 45,362
1,400 o WATERS CORP 42,525
1,900 o WESTERN DIGITAL CORP 108,062
1,200 WYLE ELECTRONICS 47,400
3,300 o XILINX, INC 121,481
1,200 o ZILOG, INC 31,350
-----------
10,902,897
-----------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.39%
7,400 o APPLIED MATERIALS, INC 265,937
1,500 BECKMAN INSTRUMENTS, INC NEW 57,562
600 o COHERENT, INC 25,350
1,400 o DIONEX CORP 49,000
1,400 o ELECTRONICS FOR IMAGING, INC 115,150
1,000 o GENRAD, INC 23,250
1,700 o INPUT/OUTPUT, INC 31,450
2,100 o KLA INSTRUMENTS CORP 74,550
1,800 PERKIN-ELMER CORP 105,975
1,700 o SILICON VALLEY GROUP, INC 34,212
1,500 TEKTRONIX, INC 76,875
1,600 o TENCOR INSTRUMENTS 42,200
3,300 o TERADYNE, INC 80,437
700 o THERMO INSTRUMENT SYSTEMS, INC 23,187
1,500 VARIAN ASSOCIATES, INC 76,312
1,600 X RITE, INC 26,400
-----------
1,107,847
-----------
ENVIRONMENTAL CONTROL--0.52%
4,100 o ALLIED WASTE INDUSTRIES, INC 37,925
8,200 BROWNING FERRIS INDUSTRIES, INC 215,250
2,600 OGDEN CORP 48,750
6,100 o REPUBLIC INDUSTRIES, INC 190,243
1,950 o U.S. FILTER CORP 61,912
4,910 o U.S.A. WASTE SERVICES, INC 156,506
2,100 o UNITED WASTE SYSTEMS, INC 72,187
3,400 WHEELABRATOR TECHNOLOGIES, INC NEW 55,250
19,400 WMX TECHNOLOGIES, INC 632,925
-----------
1,470,948
-----------
<PAGE>
FINANCIAL--MISCELLANEOUS--4.24%
1,000 AAMES FINANCIAL CORP 35,875
2,100 ADVANTA CORP (CLASS A) 89,775
800 ALEX BROWN, INC 58,000
1,500 AMBAC, INC 99,562
19,500 AMERICAN EXPRESS CO 1,101,750
9,400 AMERICAN GENERAL CORP 384,225
1,600 o AMRESCO, INC 42,800
2,500 ASTORIA FINANCIAL CORP 92,187
1,700 AVALON PROPERTIES, INC 48,875
1,956 BEACON PROPERTIES CORP 71,638
5,228 BEAR STEARNS COS, INC 145,730
2,400 BENEFICIAL CORP 152,100
2,700 o CALIFORNIA FEDERAL BANCORP, INC 66,150
2,452 CAPSTEAD MORTGAGE CORP 58,848
2,300 CARR REALTY CORP 67,275
2,400 CASE CORP 130,800
4,000 o CATELLUS DEVELOPMENT CORP 45,500
500 o CITYSCAPE FINANCIAL CORP 13,125
2,000 CMAC INVESTMENT CORP 73,500
1,300 o COAST SAVINGS FINANCIAL, INC 47,612
1,500 COLLECTIVE BANCORP, INC 52,687
1,900 COMDISCO, INC 60,325
3,952 COUNTRYWIDE CREDIT INDUSTRIES, INC 113,126
1,000 o CREDIT ACCEPTANCE CORP 23,500
2,300 CWM MORTGAGE HOLDINGS, INC 49,450
6,100 DEAN WITTER, DISCOVER & CO 404,125
1,600 DEVELOPERS DIVERSIFIED REALTY CORP 59,400
1,800 DUKE REALTY INVESTMENTS, INC 69,300
240 o ECHELON INTERNATIONAL CORP 3,750
2,900 EDWARDS (A.G.), INC 97,512
800 o ENVOY CORP 30,000
2,400 EQUITY RESIDENTIAL PROPERTIES TRUST CO 99,000
7,200 FEDERAL HOME LOAN MORTGAGE CORP 792,900
43,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 1,601,750
3,100 FINANCIAL SECURITY
ASSURANCE HOLDINGS LTD 101,912
1,400 FINOVA GROUP, INC 89,950
2,750 FIRST FINANCIAL CORP (WISCONSIN) 67,375
4,900 FIRST USA, INC 169,662
See notes to financial statements.
-16-
<PAGE>
SHARES VALUE
- -------- ------------
FINANCIAL--MISCELLANEOUS--(continued)
4,218 FRANCHISE FINANCE CORP OF AMERICA $ 116,522
2,300 FRANKLIN RESOURCES, INC 157,262
3,420 FULTON FINANCIAL CORP 73,530
2,300 o GARTNER GROUP, INC (CLASS A) NEW 89,556
1,800 GENERAL GROWTH PROPERTIES, INC 58,050
3,400 o GLENDALE FEDERAL SAVINGS BANK, INC NEW 79,050
1,900 GOLDEN WEST FINANCIAL CORP 119,937
4,183 GREAT WESTERN FINANCIAL CORP 121,307
5,500 GREEN TREE FINANCIAL CORP 212,437
3,400 H.F. AHMANSON & CO 110,500
4,600 HEALTH AND RETIREMENT PROPERTY TRUST 89,125
2,100 HIGHWOODS PROPERTIES, INC 70,875
3,900 HOUSEHOLD INTERNATIONAL, INC 359,775
5,100 LEHMAN BROTHERS HOLDINGS, INC 160,012
1,900 LEUCADIA NATIONAL CORP 50,825
7,950 MBNA CORP 329,925
3,400 MEDITRUST CORP 136,000
5,850 MERCURY FINANCE CO 71,662
7,600 MERRILL LYNCH & CO, INC 619,400
2,734 MERRY LAND & INVESTMENT CO, INC 58,781
3,800 MORGAN STANLEY GROUP, INC 217,075
3,957 NEW PLAN REALTY TRUST 100,408
1,500 o OLYMPIC FINANCIAL LTD 21,562
3,200 PAINE WEBBER GROUP INC 90,000
1,700 PENNCORP FINANCIAL GROUP, INC 61,200
3,400 PIONEER GROUP, INC 80,750
1,100 PMI GROUP, INC 60,912
2,400 PRICE (T. ROWE) ASSOCIATES, INC 104,400
3,300 PUBLIC STORAGE, INC 102,300
1,000 QUICK & REILLY GROUP, INC 29,875
1,100 RESOURCE MORTGAGE CAPITAL CORP 32,312
3,200 ROOSEVELT FINANCIAL GROUP, INC 67,200
4,200 SALOMON, INC 197,925
4,600 SCHWAB (CHARLES) CORP 147,200
600 o SEACOR HOLDINGS, INC 37,800
2,700 SECURITY CAPITAL PACIFIC TRUST 61,762
2,100 SPIEKER PROPERTIES, INC 75,600
2,900 STORAGE USA, INC 109,112
2,200 STUDENT LOAN MARKETING ASSOCIATION 204,875
1,800 TCF FINANCIAL CORP 78,300
1,300 THE MONEY STORE, INC 35,912
3,100 TIG HOLDINGS, INC 105,012
3,400 UNITED ASSET MANAGEMENT CORP 90,525
1,300 UNITED COS FINANCIAL CORP 34,612
3,982 UNITED DOMINION REALTY TRUST CO 61,721
-----------
12,003,932
-----------
FOODS--2.11%
22,102 ARCHER DANIELS MIDLAND CO 486,244
5,400 CAMPBELL SOUP CO 433,350
1,900 CHIQUITA BRANDS INTERNATIONAL, INC 24,225
9,300 CONAGRA, INC 462,675
5,800 CPC INTERNATIONAL, INC 449,500
1,900 DEAN FOODS CO 61,275
2,000 DOLE FOOD, INC 67,750
800 DREYERS GRAND ICE CREAM, INC 23,200
804 EARTHGRAINS CO 42,009
2,500 FLOWERS INDUSTRIES, INC 53,750
6,500 GENERAL MILLS, INC 411,937
3,600 o GENERAL NUTRITION COS, INC 60,750
13,100 HEINZ (H.J.) CO 468,325
4,000 HERSHEY FOODS CORP 175,000
2,100 HORMEL FOODS CORP 56,700
4,100 IBP, INC 99,425
3,700 KELLOGG CO 242,812
1,900 LANCE, INC 34,200
3,600 MCCORMICK & CO, INC (NON-VOTE) 84,825
3,400 NABISCO HOLDINGS CORP (CLASS A) 132,175
1,300 NATURES SUNSHINE PRODUCTS, INC 23,400
2,800 PIONEER-HI-BRED INTERNATIONAL, INC 196,000
5,700 QUAKER OATS CO 217,312
2,500 o RALCORP HOLDINGS, INC 52,812
4,300 RALSTON PURINA CO 315,512
2,550 RICHFOOD HOLDINGS, INC 61,837
19,400 SARA LEE CORP 722,650
1,300 o SMITHFIELD FOODS, INC 49,400
779 SMITH'S FOOD & DRUG CENTERS, INC (CLASS B) 24,149
3,400 TYSON FOODS, INC 116,450
1,300 UNIVERSAL FOODS CORP 45,825
1,400 o WHOLE FOODS MARKET, INC 31,500
4,200 WRIGLEY (WM) JR CO 236,250
-----------
5,963,224
-----------
<PAGE>
FOREST PRODUCTS--0.43%
1,800 BOISE CASCADE CORP 57,150
3,100 CHAMPION INTERNATIONAL CORP 134,075
3,700 GEORGIA-PACIFIC CORP 266,400
4,800 LOUISIANA PACIFIC CORP 101,400
1,400 POTLATCH CORP 60,200
1,700 RAYONIER, INC 65,237
7,900 WEYERHAEUSER CO 374,262
2,200 WILLAMETTE INDUSTRIES, INC 153,175
-----------
1,211,899
-----------
HEALTHCARE--DRUGS--5.81%
1,100 o AGOURON PHARMACEUTICALS, INC 74,525
1,800 o ALLIANCE PHARMACEUTICAL CORP 24,525
3,700 o ALZA CORP 95,737
26,500 AMERICAN HOME PRODUCTS CORP 1,553,562
11,300 o AMGEN, INC 614,437
3,300 ARBOR DRUGS, INC 57,337
1,900 BERGEN BRUNSWIG CORP (CLASS A) 54,150
1,000 o BIO-TECHNOLOGY GENERAL CORP 13,125
3,200 o BIOGEN, INC 124,000
20,700 BRISTOL MYERS SQUIBB CO 2,251,125
2,900 o CENTOCOR, INC 103,675
1,200 o CEPHALON, INC 24,600
7,140 o CHIRON CORP 132,982
1,900 o DURA PHARMACEUTICALS, INC 90,725
708 o ELAN CORP PLC ADR 23,541
2,200 o FOREST LABORATORIES, INC 72,050
3,000 o GENZYME CORP (GENERAL DIVISION) 65,250
40 o GENZYME CORP (TISSUE REPAIR DIVISION) 285
1,800 o GILEAD SCIENCES, INC 45,000
1,900 o IMMUNEX CORP NEW 37,050
2,000 o INTERNEURON PHARMACEUTICALS, INC 52,000
1,600 o ISIS PHARMACEUTICALS, INC 28,800
4,400 IVAX CORP 45,100
1,300 JONES MEDICAL INDUSTRIES, INC 47,612
19,146 LILLY (ELI) & CO 1,397,658
2,000 o LIPOSOME CO, INC 38,250
1,400 o MATRIX PHARMACEUTICALS, INC 8,575
1,900 MCKESSON CORP NEW 106,400
-17-
<PAGE>
SHARES VALUE
- -------- ------------
HEALTHCARE--DRUGS--(continued)
50,300 MERCK & CO, INC $ 3,986,275
5,500 MYLAN LABORATORIES, INC 92,125
1,900 o NEXSTAR PHARMACEUTICALS, INC 28,500
26,500 PFIZER, INC 2,196,187
18,180 PHARMACIA & UPJOHN, INC 720,382
2,100 RHONE-POULNEC RORER, INC 164,062
1,400 o ROBERTS PHARMACEUTICAL CORP 15,750
1,200 o SCHERER (R.P.) CORP 60,300
15,400 SCHERING-PLOUGH CORP 997,150
1,600 o SEQUUS PHARMACEUTICALS, INC 25,600
1,200 o THERMEDICS, INC 21,750
1,400 o VERTEX PHARMACEUTICALS, INC 56,350
11,000 WARNER-LAMBERT CO 825,000
1,400 o WATSON PHARMACEUTICALS, INC 62,912
-----------
16,434,419
-----------
HEALTHCARE--HOSPITAL SUPPLY--2.07%
31,800 ABBOTT LABORATORIES CO 1,613,850
2,680 ALLEGIANCE CORP 74,035
2,300 BARD (C.R.), INC 64,400
10,800 BAXTER INTERNATIONAL, INC 442,800
5,200 BECTON DICKINSON & CO 225,550
900 DENTSPLY INTERNATIONAL, INC NEW 42,750
2,856 GUIDANT CORP 162,792
500 o GULF SOUTH MEDICAL SUPPLY, INC 12,812
1,500 o HAEMONETICS CORP 28,312
55,302 JOHNSON & JOHNSON CO 2,751,274
2,100 MILLIPORE CORP 86,887
2,500 o NEUROMEDICAL SYSTEMS, INC 33,125
3,600 OWENS & MINOR, INC NEW 36,900
1,900 o PATTERSON DENTAL CO 53,675
2,200 o PHYSICIAN SALES & SERVICE, INC 31,625
900 o SCHEIN (HENRY), INC 30,937
1,200 o SOFAMOR DANEK GROUP, INC 36,600
2,400 U.S. SURGICAL CORP 94,500
900 o VENTRITEX, INC 22,162
-----------
5,844,986
-----------
HEALTHCARE--OTHER--0.95%
900 o ACCESS HEALTH, INC 40,275
1,400 o ACUSON CORP 34,125
1,000 o ADVANCED TECHNOLOGY LABORATORIES, INC 31,000
1,900 o ADVANCED TISSUE SCIENCE CO 18,168
2,900 ALLERGAN, INC 103,312
1,600 o AMERICAN MEDICAL RESPONSE, INC 52,000
1,700 BALLARD MEDICAL PRODUCTS CO 31,662
2,000 BAUSCH & LOMB, INC 70,000
4,700 BIOMET, INC 71,087
4,200 o BOSTON SCIENTIFIC CORP 252,000
1,050 o CLINTRIALS INC 23,887
1,600 o COVENTRY CORP 14,825
3,671 o FRESENIUS MEDICAL CARE AG. ADR 103,246
1,500 o GENESIS HEALTH VENTURES, INC 46,687
2,200 HILLENBRAND INDUSTRIES, INC 79,750
1,400 o HUMAN GENOME SCIENCES, INC 57,050
1,600 o IDEXX LABORATORIES, INC 57,600
1,700 KINETIC CONCEPTS, INC 20,825
3,400 o MEDAPHIS CORP 38,037
9,800 MEDTRONIC, INC 666,400
1,500 MENTOR CORP 44,250
2,800 o NELLCOR PURITAN BENNETT, INC 61,250
4,800 PALL CORP 122,400
1,200 o PHYMATRIX CORP 17,100
1,800 o PHYSICIAN RELIANCE NETWORK, INC 13,950
1,600 o PLAYTEX PRODUCTS, INC 12,800
3,100 o ST. JUDE MEDICAL, INC 132,137
1,800 o STERIS CORP 78,300
2,600 STEWART ENTERPRISES, INC (CLASS A) 88,400
3,100 STRYKER CORP 92,612
2,850 o SUMMIT TECHNOLOGY, INC 15,675
1,900 o SUNRISE MEDICAL, INC 30,162
2,600 o SYBRON INTERNATIONAL CORP 85,800
600 o TARGET THERAPEUTICS, INC 25,200
900 o THERMO CARDIOSYSTEMS, INC 27,000
1,100 o VIVUS, INC 39,875
-----------
2,698,847
-----------
HEALTHCARE--SERVICE--1.85%
5,667 AETNA, INC 453,360
1,400 o AMERISOURCE HEALTH CORP (CLASS A) 67,550
2,000 o APRIA HEALTHCARE GROUP, INC 37,500
4,300 o BEVERLY ENTERPRISES CO 54,825
3,913 CARDINAL HEALTH, INC 227,932
1,500 o CERNER CORP 23,250
27,538 COLUMBIA/HCA HEALTHCARE CORP 1,122,173
2,000 o FHP INTERNATIONAL CORP 74,250
2,200 o FOUNDATION HEALTH CORP 69,850
1,750 o HEALTH CARE & RETIREMENT CORP 50,093
2,000 HEALTH CARE PROPERTY INVESTORS, INC 70,000
4,600 o HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) NEW 103,500
1,300 o HEALTH MANAGEMENT SYSTEMS, INC 18,200
2,200 o HEALTH SYSTEMS INTERNATIONAL, INC 54,450
1,700 o HEALTHCARE COMPARE CO 72,037
2,600 o HEALTHSOURCE, INC 34,125
6,400 o HEALTHSOUTH CORP 247,200
2,200 o HORIZON/CMS HEALTHCARE CORP 27,775
6,400 o HUMANA, INC 122,400
1,500 INTEGRATED HEALTH SERVICES, INC 36,562
2,000 INVACARE CORP 55,000
6,252 o LABORATORY CORP OF AMERICA HOLDINGS 17,974
260 o LABORATORY CORP OF AMERICA HOLDINGS
WTS 4/28/00 24
1,600 o LINCARE HOLDINGS, INC 65,600
1,500 o LIVING CENTERS OF AMERICA, INC 41,625
2,200 o MAGELLAN HEALTH SERVICES, INC 49,225
2,100 MANOR CARE, INC 56,700
2,600 o MARINER HEALTH GROUP, INC 21,775
900 o MAXICARE HEALTH PLANS, INC 20,025
5,130 o MEDPARTNERS, INC 107,730
1,500 o MID ATLANTIC MEDICAL SERVICES, INC 20,062
666 MORRISON HEALTH CARE, INC 9,823
1,500 o MULTICARE COS, INC 30,375
3,100 o NOVACARE, INC 34,100
1,100 o OCCUSYSTEMS, INC 29,700
3,400 OMEGA HEALTHCARE INVESTORS, INC 113,050
2,500 OMNICARE, INC 80,312
2,300 o ORNDA HEALTHCORP 67,275
1,000 o ORTHODONTIC CENTERS OF AMERICA, INC 16,000
3,300 o OXFORD HEALTH PLANS, INC 193,256
400 o PACIFICARE HEALTH SYSTEMS, INC (CLASS A) 32,500
800 o PACIFICARE HEALTH SYSTEMS, INC (CLASS B) 68,200
800 o PEDIATRIX MEDICAL GROUP, INC 29,600
See notes to financial statements.
-18-
<PAGE>
SHARES VALUE
- -------- ------------
HEALTHCARE--SERVICE--(continued)
2,600 o PHYCOR, INC $ 73,775
1,700 o PHYSICIAN CORP OF AMERICA 17,000
1,400 o PHYSICIANS RESOURCE GROUP INC 24,850
1,500 o RENAL TREATMENT CENTERS, INC 38,250
1,700 o ROTECH MEDICAL CORP 35,700
1,000 o SIERRA HEALTH SERVICES, INC 24,625
2,400 o SUN HEALTHCARE GROUP, INC 32,400
8,520 o TENET HEALTHCARE CORP 186,375
1,300 o TOTAL RENAL CARE HOLDINGS, INC 47,125
7,600 UNITED HEALTHCARE CORP 342,000
2,500 o UNIVERSAL HEALTH SERVICES, INC 71,562
2,500 o VALUE HEALTH, INC 48,750
2,241 o VENCOR, INC 70,871
2,100 o VIVRA, INC 58,012
1,267 o WELLPOINT HEALTH NETWORKS, INC 43,553
-----------
5,241,811
-----------
HOUSEHOLD--CONSUMER ELECTRONICS--0.03%
1,035 HARMAN INTERNATIONAL INDUSTRIES, INC 57,571
1,300 o ZENITH ELECTRONICS CORP 14,137
-----------
71,708
-----------
HOUSEHOLD--DURABLE GOODS--0.35%
1,200 BASSETT FURNITURE INDUSTRIES, INC 29,400
4,000 BLACK & DECKER CORP 120,500
1,800 o GENTEX CORP 36,225
4,200 LEGGETT & PLATT, INC 145,425
4,500 MAYTAG CO 88,875
6,300 NEWELL COS, INC 198,450
4,700 SHAW INDUSTRIES, INC 55,225
2,900 STANLEY WORKS CO 78,300
3,400 SUNBEAM CORP 87,550
3,200 WHIRLPOOL CORP 149,200
-----------
989,150
-----------
HOUSEHOLD--PRODUCTS--1.98%
1,600 APTARGROUP, INC 56,400
700 o BRIGHTPOINT, INC 20,825
1,400 CLOROX CO 140,525
5,800 COLGATE PALMOLIVE CO 535,050
5,000 DIAL CORP 73,750
2,100 FIRST BRANDS CORP 59,587
11,150 KIMBERLY-CLARK CORP 1,062,037
1,300 LANCASTER COLONY CORP 59,800
4,300 o PERRIGO CO 39,237
2,400 PREMARK INTERNATIONAL, INC 53,400
28,400 PROCTER & GAMBLE CO 3,053,000
6,400 RUBBERMAID, INC 145,600
2,100 o SCOTTS CO (CLASS A) 41,737
1,300 STANHOME, INC 34,450
1,600 TAMBRANDS, INC 65,400
2,400 TUPPERWARE CORP 128,700
600 o USA DETERGENTS INC 24,975
-----------
5,594,473
-----------
INSURANCE--BROKERS & OTHER--0.32%
600 o ABR INFORMATION SERVICES, INC 23,625
2,400 ALEXANDER & ALEXANDER SERVICES, INC 41,700
6,200 EQUIFAX, INC 189,875
1,600 GALLAGHER (ARTHUR J.) & CO 49,600
1,700 JOHN ALDEN FINANCIAL CORP 31,450
2,900 MARSH & MCLENNAN COS, INC 301,600
1,800 MBIA, INC 182,250
900 NORRELL CORP 24,525
2,300 o QUORUM HEALTH GROUP, INC 68,425
-----------
913,050
-----------
INSURANCE--LIFE--0.73%
2,100 o AMERIN CORP 54,075
4,100 AON CORP 254,712
900 BERKLEY (W.R.) CORP 45,675
3,516 CONSECO, INC 224,145
3,400 EQUITABLE COS, INC 83,725
3,200 JEFFERSON-PILOT CORP 181,200
200 o PAUL REVERE CORP 7,450
1,400 PROVIDENT COS, INC 67,725
4,200 PROVIDIAN CORP 215,775
2,600 RELIANCE GROUP HOLDINGS, INC 23,725
1,920 RELIASTAR FINANCIAL CORP 110,880
4,400 SUNAMERICA, INC 195,250
3,000 TORCHMARK CORP 151,500
3,000 UNUM CORP 216,750
2,600 USLIFE CORP 86,450
1,700 VESTA INSURANCE GROUP, INC 53,337
4,200 WESTERN NATIONAL CORP 80,850
-----------
2,053,224
-----------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--3.02%
2,700 20TH CENTURY INDUSTRIES 45,562
5,750 AFLAC, INC 245,812
1,800 ALLIED GROUP, INC 58,725
2,400 ALLMERICA FINANCIAL CORP 80,400
2,800 ALLMERICA PROPERTY & CASUALTY COS, INC 85,050
17,278 ALLSTATE CORP 999,964
1,500 AMERICAN BANKERS INSURANCE GROUP, INC 76,687
16,100 AMERICAN INTERNATIONAL GROUP, INC 1,742,825
7,400 CHUBB CORP 397,750
3,300 CIGNA CORP 450,862
2,696 CINCINNATI FINANCIAL CORP 174,903
3,000 EVEREST REINSURANCE HOLDINGS, INC 86,250
1,650 FREMONT GENERAL CORP 51,150
3,100 GENERAL REINSURANCE CORP 489,025
1,820 o HIGHLANDS INSURANCE GROUP, INC 36,855
1,400 HORACE MANN EDUCATORS CORP 56,525
1,300 o INSURANCE AUTO AUCTIONS, INC 12,350
5,000 ITT HARTFORD GROUP, INC 337,500
4,300 LINCOLN NATIONAL CORP 225,750
700 MERCURY GENERAL CORP NEW 36,750
2,300 MGIC INVESTMENT CORP 174,800
1,500 NAC RE CORP 50,812
1,700 OHIO CASUALTY CORP 60,350
4,300 OLD REPUBLIC INTERNATIONAL CORP 115,025
2,000 PROGRESSIVE CORP 134,750
5,400 SAFECO CORP 212,962
1,700 SELECTIVE INSURANCE GROUP, INC 64,600
3,100 ST. PAUL COS, INC 181,737
3,000 TRANSAMERICA CORP 237,000
26,200 TRAVELERS GROUP, INC 1,188,825
2,300 TRAVELERS/AETNA PROPERTY CASUALTY CORP 81,362
2,400 o UICI 78,000
1,900 UNITRIN, INC 105,925
4,900 USF&G CORP 102,287
2,500 ZURICH REINSURANCE CENTRE HOLDINGS, INC 78,125
-----------
8,557,255
-----------
See notes to financial statements.
-19-
<PAGE>
SHARES VALUE
- -------- ------------
LEISURE TIME--1.27%
600 o ANCHOR GAMING CO $ 24,150
3,200 ARCTIC CAT, INC 31,600
1,800 AUTHENTIC FITNESS CORP 21,600
2,600 o BOYD GAMING CORP 21,450
4,300 BRUNSWICK CORP 103,200
2,700 CALLAWAY GOLF CO 77,625
600 CARNIVAL CORP (CLASS A) 19,800
1,460 o CHRIS CRAFT INDUSTRIES, INC 61,137
4,100 o CIRCUS CIRCUS ENTERPRISES, INC 140,937
27,478 DISNEY (WALT) CO 1,913,155
1,100 o GALOOB TOYS, INC 15,400
1,400 o GRAND CASINOS, INC 18,900
2,000 o GTECH HOLDINGS CORP 64,000
4,400 o HARRAHS ENTERTAINMENT, INC 87,450
3,000 HASBRO, INC 116,625
1,100 o HOLLYWOOD ENTERTAINMENT CORP 20,350
4,900 INTERNATIONAL GAME TECHNOLOGY CO 89,425
2,000 JOSTENS, INC 42,250
11,193 MATTEL, INC 310,605
7,900 o MIRAGE RESORT, INC 170,837
2,100 OUTBOARD MARINE CORP 34,650
1,950 o PLAYERS INTERNATIONAL, INC 10,481
500 o PRIMADONNA RESORTS, INC 8,500
1,500 o REGAL CINEMAS, INC 46,125
1,500 SHOWBOAT, INC 25,875
600 o SODAK GAMING, INC 9,225
700 o SPEEDWAY MOTORSPORTS, INC 14,700
2,700 o SPELLING ENTERTAINMENT GROUP, INC 19,912
1,900 o STATION CASINOS, INC 19,237
1,200 STRUM, RUGER & CO, INC 23,250
1,600 o TRUMP HOTEL & CASINO RESORT, INC 19,200
1,300 o WMS INDUSTRIES, INC 26,000
-----------
3,607,651
-----------
MACHINERY--1.44%
2,700 AGCO CORP 77,287
1,400 BRIGGS & STRATTON CORP 61,600
7,800 CATERPILLAR, INC 586,950
2,000 CINCINNATI MILACRON, INC 43,750
1,400 o COGNEX CORP 25,900
1,021 o COOPER CAMERON CORP 78,106
3,735 COOPER INDUSTRIES, INC 157,336
10,800 DEERE & CO 438,750
1,100 DELTA & PINE LAND CO 35,200
4,600 DOVER CORP 231,150
1,700 DURIRON CO, INC 46,112
2,300 FEDERAL SIGNAL CORP 59,512
1,500 o FMC CORP NEW 105,187
2,100 GIDDINGS & LEWIS, INC 27,037
1,700 GOULDS PUMPS, INC 38,993
1,300 GREENFIELD INDUSTRIES, INC 39,812
2,300 HARNISCHFEGER INDUSTRIES, INC 110,687
1,200 HARSCO CORP 82,200
1,500 IDEX CORP 59,812
4,200 ILLINOIS TOOL WORKS, INC 335,475
4,300 INGERSOLL-RAND CO 191,350
1,900 JLG INDUSTRIES, INC 30,400
1,300 KAYDON CORP 61,262
1,821 KENNAMETAL, INC 70,791
1,900 KEYSTONE INTERNATIONAL, INC 38,237
1,600 MASCOTECH, INC 26,200
1,100 o MOLTEN METAL TECHNOLOGY, INC 12,925
700 o NOVELLUS SYSTEMS, INC 37,931
3,200 PARKER-HANNIFIN CORP 124,000
1,600 STEWART & STEVENSON SERVICES, INC 46,600
2,500 SUNDSTRAND CORP 106,250
1,300 TECUMSEH PRODUCTS CO (CLASS A) 74,587
5,975 o THERMO ELECTRON CORP 246,468
1,737 TIMKEN CO 79,684
2,000 TRINITY INDUSTRIES, INC 75,000
1,900 TRINOVA CORP 69,112
1,000 o ULTRATECH STEPPER, INC 23,750
2,000 YORK INTERNATIONAL CORP 111,750
-----------
4,067,153
-----------
METALS--ALUMINUM--0.23%
1,500 o ACX TECHNOLOGIES, INC 29,812
1,600 o ALUMAX, INC 53,400
6,500 ALUMINUM CO OF AMERICA 414,375
1,900 o KAISER ALUMINUN CORP 22,087
2,300 REYNOLDS METALS CO 129,662
-----------
649,336
-----------
<PAGE>
METALS--GOLD--0.32%
3,800 o AMAX GOLD, INC 24,225
11,500 BATTLE MOUNTAIN GOLD CO 79,062
3,000 COEUR DALENE MINES CORP 45,375
3,900 FREEPORT MCMORAN COPPER &
GOLD, INC (CLASS A) 109,687
3,963 FREEPORT-MCMORAN COPPER &
GOLD INC, (CLASS B) 118,394
1,400 o GETCHELL GOLD CORP 53,725
7,800 HOMESTAKE MINING CO 111,150
1,100 NEWMONT GOLD CO 48,125
4,700 NEWMONT MINING CORP 210,325
7,200 o SANTA FE PACIFIC GOLD CORP 110,700
------------
910,768
------------
METALS--NON-FERROUS--0.25%
2,100 ASARCO, INC 52,237
1,700 BMC INDUSTRIES, INC 53,550
1,600 o COLEMAN CO, INC 22,000
3,900 CYPRUS AMAX MINERALS CO 91,162
1,100 FREEPORT-MCMORAN, INC 35,337
3,100 o HECLA MINING CO 17,437
2,800 MAPCO, INC 95,200
1,800 MINERALS TECHNOLOGIES, INC 73,800
500 o OREGON METALLURICAL CORP 16,125
2,900 PHELPS DODGE CORP 195,750
700 o RMI TITANIUM CO 19,687
1,400 o STILLWATER MINING CO 25,375
------------
697,660
------------
METALS--STEEL--0.32%
1,300 AK STEEL HOLDINGS CORP 51,512
4,987 ALLEGHENY TELEDYNE, INC 114,701
5,300 o BETHLEHEM STEEL CORP 47,700
2,400 BIRMINGHAM STEEL CORP 45,600
1,000 CARPENTER TECHNOLOGY CORP 36,625
1,950 HANNA (M.A.) CO 42,656
2,400 INLAND STEEL INDUSTRIES, INC 48,000
1,700 J & L SPECIALTY STEEL, INC 19,337
4,500 LTV CORP NEW 53,437
See notes to financial statements.
-20-
<PAGE>
SHARES VALUE
- -------- ------------
METALS--STEEL--(continued)
3,500 NUCOR CORP $ 178,500
1,400 OREGON STEEL MILLS, INC 23,450
4,600 UNR INDUSTRIES, INC 27,600
3,300 USX-US STEEL GROUP, INC 103,537
1,500 o WOLVERINE TUBE, INC 52,875
3,300 WORTHINGTON INDUSTRIES, INC 59,812
------------
905,342
------------
MISCELLANEOUS MATERIALS &
COMMODITIES--0.01%
1,600 o OAKLEY, INC 17,400
400 o ZOLTEK COS, INC 14,550
------------
31,950
------------
OFFICE EQUIPMENT--3.55%
3,800 o AMDAHL CORP 46,075
5,100 o APPLE COMPUTER, INC 106,462
1,500 o APPLIED MAGNETICS CORP 44,812
1,200 o ASPECT TELECOMMUNICATIONS CORP 76,200
4,600 AVERY DENNISON CORP 162,725
700 o BOISE CASCADE OFFICE PRODUCTS CORP 14,700
11,400 o COMPAQ COMPUTER CORP 846,450
2,400 o DATA GENERAL CORP 34,800
6,000 o DELL COMPUTER CORP 318,750
6,300 o DIGITAL EQUIPMENT CORP 229,162
800 o FILENET CORP 25,600
34,000 HEWLETT-PACKARD CO 1,708,500
1,200 HON INDUSTRIES, INC 39,600
800 o IN FOCUS SYSTEMS, INC 17,300
21,700 INTERNATIONAL BUSINESS MACHINES CORP 3,276,700
4,800 o IOMEGA CORP 83,400
2,300 o KOMAG, INC 62,387
3,400 o LEXMARK INTERNATIONAL GROUP (CLASS A) 93,925
1,200 MILLER (HERMAN), INC 67,950
6,600 PITNEY BOWES, INC 359,700
2,500 o QUANTUM CORP 71,562
1,400 o SCI SYSTEMS, INC 62,475
8,748 o SEAGATE TECHNOLOGY, INC 345,546
2,200 o SEQUENT COMPUTER SYSTEMS, INC 39,050
7,208 o SILICON GRAPHICS, INC 183,804
2,000 o SOLECTRON CORP 106,750
2,500 o STORAGE TECHNOLOGY CORP 119,062
1,800 o STRATUS COMPUTER, INC 49,050
15,600 o SUN MICROSYSTEMS, INC 400,725
5,300 o TANDEM COMPUTERS, INC 72,875
1,600 o U.S. OFFICE PRODUCTS CO 54,600
8,400 o UNISYS CORP 56,700
3,500 o VIKING OFFICE PRODUCTS, INC 93,406
2,400 o WANG LABORATORIES, INC 48,600
14,100 XEROX CORP 742,012
------------
10,061,415
------------
PAPER--0.66%
1,500 ALBANY INTERNATIONAL CORP
(CLASS A) NEW 34,687
2,500 BEMIS, INC 92,187
1,700 BOWATER, INC 63,962
1,800 CARAUSTAR INDUSTRIES, INC 59,850
1,100 CHESAPEAKE CORP 34,512
1,400 CONSOLIDATED PAPERS, INC 68,775
1,360 o CROWN VANTAGE, INC 11,560
1,800 o FORT HOWARD CORP 49,837
2,000 GLATFELTER (P.H.) CO 36,000
11,914 INTERNATIONAL PAPER CO 481,027
3,500 JAMES RIVER CORP OF VIRGINIA 115,937
1,400 o JEFFERSON SMURFIT CORP 22,487
2,800 LONGVIEW FIBRE CO 51,450
2,100 MEAD CORP 122,062
2,600 PENTAIR, INC 83,850
3,965 SONOCO PRODUCTS CO 102,594
3,200 STONE CONTAINER CORP 47,600
2,300 TEMPLE-INLAND, INC 124,487
2,600 UNION CAMP CORP 124,150
1,500 WAUSAU PAPER MILLS CO 27,750
3,750 WESTVACO CORP 107,812
------------
1,862,576
------------
PETROLEUM--EXPLORATION &
PRODUCTION--1.02%
3,500 AMERADA HESS CORP 202,562
2,100 ANADARKO PETROLEUM CORP 135,975
3,400 APACHE CORP 120,275
2,300 ASHLAND, INC 100,912
1,500 o BARNETT RESOURCES CORP 63,937
1,400 o BENTON OIL & GAS CO 31,675
5,000 BURLINGTON RESOURCES, INC 251,875
700 o CHESAPEAKE ENERGY CORP 38,937
1,300 DEVON ENERGY CORP 45,175
1,200 o ENERGY VENTURES, INC 61,050
2,400 ENRON OIL & GAS CO 60,600
900 o FALCON DRILLING CO, INC 35,325
900 o FLORES & RUCKS, INC 47,925
2,000 KERR-MCGEE CORP 144,000
1,400 LOUISIANA LAND & EXPLORATION CO 75,075
2,700 MITCHELL ENERGY & DEVELOPMENT CORP
(CLASS A) 60,412
1,900 MURPHY OIL CORP 105,687
2,800 o NEWFIELD EXPLORATION CO 72,800
1,700 NOBLE AFFILIATES, INC 81,387
1,000 o NUEVO ENERGY CO 52,000
5,000 o ORYX ENERGY CO 123,750
1,800 PARKER & PARSLEY PETROLEUM CO 66,150
2,100 PENNZOIL CO 118,650
1,400 POGO PRODUCING CO 66,150
5,000 o SANTA FE ENERGY RESOURCES, INC 69,375
2,600 o SEAGULL ENERGY CORP 57,200
1,800 SNYDER OIL CORP 31,275
800 SOUTHDOWN INC 24,900
800 o SWIFT ENERGY CO 23,900
10,614 UNION PACIFIC RESOURCES GROUP, INC 310,459
3,400 UNION TEXAS PETROLEUM HOLDINGS, INC 76,075
1,500 o UNITED MERIDIAN CORP 77,625
1,300 VINTAGE PETROLEUM, INC 44,850
------------
2,877,943
------------
PETROLEUM--INTEGRATED--4.88%
20,100 AMOCO CORP 1,618,050
6,300 ATLANTIC RICHFIELD CO 834,750
27,000 CHEVRON CORP 1,755,000
51,600 EXXON CORP 5,056,800
16,300 MOBIL CORP 1,992,675
13,200 OCCIDENTAL PETROLEUM CORP 308,550
8,400 PHILLIPS PETROLEUM CO 371,700
2,200 QUAKER STATE OIL REFINING CORP 31,075
3,800 SUN CO, INC 92,625
See notes to financial statements.
-21-
<PAGE>
SHARES VALUE
- -------- ------------
PETROLEUM--INTEGRATED--(continued)
10,800 TEXACO, INC $ 1,059,750
10,345 UNOCAL CORP 420,265
11,900 USX-MARATHON GROUP, INC NEW 284,112
------------
13,825,352
------------
PETROLEUM--SERVICE--0.99%
5,900 BAKER HUGHES, INC 203,550
1,400 o BJ SERVICES CO 71,400
3,200 CABOT CORP 80,400
1,800 CAMCO INTERNATIONAL, INC 83,025
900 o DIAMOND OFFSHORE DRILLING, INC 51,300
6,900 DRESSER INDUSTRIES, INC 213,900
2,800 o ENSCO INTERNATIONAL, INC 135,800
3,400 FLUOR CORP 213,350
1,600 o GLOBAL INDUSTRIES LTD 29,800
2,200 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC 48,675
5,500 o GLOBAL MARINE, INC NEW 113,437
4,716 HALLIBURTON CO 284,139
1,300 HELMERICH & PAYNE, INC 67,762
1,900 o MARINE DRILLING CO, INC 37,406
4,200 o NABORS INDUSTRIES, INC 80,850
4,200 o NOBLE DRILLING CORP 83,475
2,400 o PARKER DRILLING CO 23,100
1,700 o PRIDE PETROLEUM SERVICES, INC 39,525
2,300 o READING & BATES CORP 60,950
3,000 o ROWAN COS, INC 67,875
1,900 o SMITH INTERNATIONAL, INC 85,262
2,600 TIDEWATER, INC 117,650
1,916 TOSCO CORP 151,603
700 TRANSOCEAN OFFSHORE, INC 43,837
2,000 o TUBOSCOPE VETCO INTERNATIONAL CORP 31,000
3,426 ULTRAMAR DIAMOND SHAMROCK CORP 108,347
1,100 o VARCO INTERNATIONAL, INC 25,437
1,000 VASTAR RESOURCES, INC 38,000
2,200 o WEATHERFORD ENTERRA, INC 66,000
2,000 o WESTERN ATLAS, INC 141,750
------------
2,798,605
------------
PHOTOGRAPHY--0.44%
14,100 EASTMAN KODAK CO 1,131,525
1,800 POLAROID CORP 78,300
600 o PRESSTEK, INC 42,750
------------
1,252,575
------------
PROPERTY--REAL ESTATE--0.21%
1,600 CRESCENT REAL ESTATE EQUITIES, INC 84,400
2,200 HOSPITALITY PROPERTIES TRUST 63,800
2,000 KIMCO REALTY CORP 69,750
1,100 PATRIOT AMERICAN HOSPITALITY 47,437
2,100 SECURITY CAPITAL INDUSTRIAL TRUST 44,887
3,300 TAUBMAN CENTERS, INC 42,487
2,100 o TOLL BROTHERS, INC 40,950
3,100 WASHINGTON REAL ESTATE INVESTMENT TRUST 54,250
1,900 WEINGARTEN REALTY INVESTORS, INC 77,187
2,800 WELLSFORD RESIDENTIAL PROPERTY TRUST 67,900
------------
593,048
------------
PUBLISHING--NEWSPAPER--0.52%
2,100 BELO (A.H.) CORP SERIES A 73,237
1,600 CENTRAL NEWSPAPERS, INC (CLASS A) 70,400
3,591 o COX COMMUNICATIONS, INC (CLASS A) NEW 83,041
2,500 DOW JONES & CO, INC 84,687
5,700 GANNETT CO, INC 426,787
3,000 HOLLINGER INTERNATIONAL, INC 34,500
3,700 KNIGHT-RIDDER, INC 141,525
4,000 NEW YORK TIMES CO (CLASS A) 152,000
3,800 TIMES MIRROR CO (SERIES A) NEW 189,050
2,200 TRIBUNE CO NEW 173,525
1,800 o VALASSIS COMMUNICATIONS, INC 38,025
------------
1,466,777
------------
PUBLISHING--OTHER--0.66%
3,500 AMERICAN GREETINGS CORP (CLASS A) 99,312
4,700 DONNELLEY (R.R.) & SONS CO 147,462
7,100 DUN & BRADSTREET CORP 168,625
2,300 HARCOURT GENERAL, INC 106,087
1,200 HOUGHTON MIFFLIN CO 67,950
8,600 o K-III COMMUNICATIONS CORP 92,450
2,900 xo MARVEL ENTERTAINMENT GROUP, INC 5,437
4,200 MCGRAW HILL COS, INC 193,725
1,100 MEREDITH CORP 58,025
<PAGE>
4,000 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) 161,000
700 o SCHOLASTIC CORP 47,075
19,063 TIME WARNER, INC 714,862
------------
1,862,010
------------
RAILROAD--0.86%
6,240 BURLINGTON NORTHERN SANTA FE CORP 538,980
2,603 CONRAIL, INC 259,323
9,000 CSX CORP 380,250
2,600 ILLINOIS CENTRAL CORP SERIES A 83,200
1,600 KANSAS CITY SOUTHERN INDUSTRIES, INC 72,000
5,200 NORFOLK SOUTHERN CORP 455,000
8,982 UNION PACIFIC CORP 540,042
2,500 o WISCONSIN CENTRAL TRANSIT CORP 99,062
------------
2,427,857
------------
RESTAURANTS & HOTELS--1.34%
1,500 APPLE SOUTH, INC 20,250
1,600 APPLEBEES INTERNATIONAL, INC 44,000
2,500 o AZTAR CORP 17,500
2,800 BOB EVANS FARMS, INC 37,800
2,700 o BOSTON CHICKEN, INC 96,862
2,900 o BUFFETS, INC 26,462
2,100 o CHOICE HOTELS INTERNATIONAL, INC 37,012
1,200 CKE RESTAURANTS, INC 43,200
2,800 CRACKER BARREL OLD COUNTRY STORE, INC 71,050
7,500 DARDEN RESTAURANTS, INC 65,625
2,200 o EXTENDED STAY AMERICA, INC 44,275
2,800 FELCOR SUITE HOTELS, INC 99,050
5,400 o HFS INC 322,650
7,800 HILTON HOTELS CORP 203,775
339 o HOMESTEAD VILLAGE, INC 6,102
227 o HOMESTEAD VILLAGE, INC WTS 1,844
6,600 o HOST MARRIOTT CORP 105,600
2,760 o HOST MARRIOTT SERVICES CORP 25,185
4,900 o ITT CORP (NEW) 212,537
2,575 LA QUINTA INNS, INC 49,246
1,400 o LANDRYS SEAFOOD RESTAURANTS, INC 29,925
1,400 o LONE STAR STEAKHOUSE & SALOON, INC 37,450
1,800 LUBYS CAFETERIA, INC 35,775
4,300 MARRIOTT INTERNATIONAL, INC 237,575
28,700 MCDONALDS CORP 1,298,675
800 o MGM GRAND, INC 27,900
See notes to financial statements.
-22-
<PAGE>
SHARES VALUE
- -------- ------------
RESTAURANTS & HOTELS--(continued)
350 MORRISON FRESH COOKING, INC $ 1,618
2,200 o OUTBACK STEAKHOUSE, INC 58,850
900 o PAPA JOHNS INTERNATIONAL, INC 30,375
2,400 o PRIME HOSPITALITY CORP 38,700
2,450 o PROMUS HOTEL CORP 72,581
900 o RAINFOREST CAFE, INC 21,150
1,200 RUBY TUESDAY, INC 22,200
3,200 o RYANS FAMILY STEAK HOUSES, INC 22,000
7,300 SYSCO CORP 238,162
4,800 WENDYS INTERNATIONAL, INC 98,400
------------
3,801,361
------------
RETAIL--FOOD--0.69%
9,100 ALBERTSONS, INC 324,187
4,700 AMERICAN STORES CO NEW 192,112
39 o BRUNOS, INC 672
2,206 FLEMING COS, INC 38,053
14,200 FOOD LION, INC (CLASS B) 143,775
2,400 GIANT FOOD, INC (CLASS A) 82,800
1,200 GREAT ATLANTIC & PACIFIC TEA CO, INC 38,250
1,600 HANNAFORD BROTHERS, INC 54,400
4,600 o KROGER CO 213,900
3,000 RUDDICK CORP 42,000
9,900 o SAFEWAY, INC NEW 423,225
6,500 o SOUTHLAND CORP 19,296
3,400 o STARBUCKS CORP 97,325
3,200 SUPERVALU, INC 90,800
1,300 o VONS COS, INC 77,837
3,600 WINN DIXIE STORES, INC 113,850
------------
1,952,482
------------
RETAIL--GENERAL MERCHANDISE--3.66%
6,000 o AUTOZONE, INC 165,000
600 o BABY SUPERSTORE, INC 14,400
1,200 o BARNES & NOBLE, INC 32,400
2,000 o BED BATH & BEYOND, INC 48,500
1,100 o BEST BUY, INC 11,687
1,700 o BORDERS GROUP, INC 60,987
2,400 xo CALDOR CORP 2,700
2,100 CASEYS GENERAL STORES, INC 39,375
4,100 o CHARMING SHOPPES, INC 20,756
4,000 CIRCUIT CITY STORES, INC 120,500
2,250 CLAIRES STORES, INC 29,250
2,875 o CONSOLIDATED STORES CORP 92,718
14,072 o CUC INTERNATIONAL, INC 334,210
4,100 CVS CORP 169,637
8,800 DAYTON HUDSON CORP 345,400
900 o DEPARTMENT 56, INC 22,275
4,700 DILLARD DEPARTMENT STORES, INC (CLASS A) 145,112
3,743 DOLLAR GENERAL CORP 119,776
1,200 o DOLLAR TREE STORES, INC 45,900
2,157 o ECKERD CORP 69,024
1,000 ETHAN ALLEN INTERIORS, INC 38,500
2,100 FAMILY DOLLAR STORES, INC 42,787
8,270 o FEDERATED DEPARTMENT STORES, INC 282,213
2,400 FINGERHUT COS, INC 29,400
1,465 o FOOTSTAR, INC 36,441
4,200 o FURNITURE BRANDS INTERNATIONAL, INC 58,800
8,800 GAP, INC 265,100
1,100 o GYMBOREE CORP 25,162
4,200 HECHINGER CO (CLASS A) 8,662
2,600 HEILIG MEYERS CO 42,250
19,700 HOME DEPOT, INC 987,462
1,125 o HSN, INC 26,718
2,800 INTIMATE BRANDS, INC (CLASS A) 47,600
1,900 o JONES APPAREL GROUP, INC 71,012
18,700 o K MART CORP 194,012
2,200 o KOHLS CORP 86,350
800 o LANDS END, INC 21,200
8,546 LIMITED, INC 157,032
5,800 LOWES COS, INC 205,900
1,100 o MAC FRUGALS BARGAINS CLOSE-OUTS, INC 28,737
10,200 MAY DEPARTMENT STORES CO 476,850
900 o MENS WAREHOUSE, INC 22,050
1,200 MERCANTILE STORES CO, INC 59,250
1,500 o MEYER (FRED), INC 53,250
3,000 o MUSICLAND STORES CORP 4,500
900 o NEIMAN-MARCUS GROUP, INC 22,950
2,300 NORDSTROM, INC 81,506
5,650 o OFFICEMAX, INC 60,031
2,024 o PAYLESS SHOESOURCE, INC 75,900
7,500 PENNEY, (J.C.) CO, INC 365,625
2,500 PEP BOYS MANNY, MOE, & JACK CO 76,875
4,900 o PETSMART, INC 107,187
2,300 PIER 1 IMPORTS, INC 40,537
8,300 o PRICE/COSTCO, INC 208,537
1,100 o PROFFITTS, INC 40,562
2,100 o REVCO (D.S.), INC NEW 77,700
600 o REXALL SUNDOWN, INC 16,312
5,510 RITE AID CORP 219,022
1,300 ROSS STORES, INC 65,000
2,700 ROUSE CO 85,725
13,800 SEARS ROEBUCK & CO 636,525
5,000 o SERVICE MERCHANDISE, INC 21,250
2,900 o SHOPKO STORES, INC 43,500
3,300 SOTHEBYS HOLDINGS, INC (CLASS A) 61,462
7,050 o STAPLES, INC 127,340
800 o STEIN MART, INC 16,200
2,800 STRIDE RITE CORP 28,000
2,400 o SUNGLASS HUT INTERNATIONAL, INC 17,400
900 TALBOTS, INC 25,762
2,600 TANDY CORP 114,400
1,650 o THE SPORTS AUTHORITY, INC 35,887
1,400 TIFFANY & CO NEW 51,275
3,800 TJX COS, INC NEW 180,025
10,300 o TOYS R US, INC 309,000
1,500 o WABAN, INC 39,000
58,600 WAL-MART STORES, INC 1,340,475
10,000 WALGREEN CO 400,000
600 o WEST MARINE, INC 16,950
1,200 o WILLIAMS-SONOMA, INC 43,650
5,300 o WOOLWORTH CORP 115,937
2,500 o ZALE CORP 47,812
------------
10,376,164
------------
TEXTILE & APPAREL--0.51%
1,000 o ANN TAYLOR STORES CORP 17,500
4,500 o BURLINGTON INDUSTRIES, INC 49,500
3,200 o FRUIT OF THE LOOM, INC (CLASS A) 121,200
1,050 o JUST FOR FEET, INC 27,562
2,500 KELLWOOD CO 50,000
2,800 LIZ CLAIBORNE, INC 108,150
1,400 o MOHAWK INDUSTRIES, INC 30,800
See notes to financial statements.
-23-
<PAGE>
SHARES VALUE
- -------- ------------
TEXTILE & APPAREL--(continued)
1,800 o NAUTICA ENTERPRISES, INC $ 45,450
5,300 NIKE, INC (CLASS B) 316,675
1,200 o NINE WEST GROUP, INC 55,650
2,507 REEBOK INTERNATIONAL LTD 105,294
1,700 RUSSELL CORP 50,575
1,200 ST. JOHN KNITS, INC 52,200
2,700 UNIFI, INC 86,737
2,300 VF CORP 155,250
2,400 WARNACO GROUP, INC (CLASS A) 71,100
1,400 o WESTPOINT STEVENS, INC 41,825
1,950 WOLVERINE WORLD WIDE, INC 56,550
------------
1,442,018
------------
TOBACCO--1.77%
7,100 AMERICAN BRANDS, INC 352,337
33,900 PHILIP MORRIS COS, INC 3,817,987
13,201 RJR NABISCO HOLDINGS CORP 448,834
1,440 SCHWEITZER-MAUDUIT INTERNATIONAL, INC 45,540
2,200 UNIVERSAL CORP 70,675
8,200 UST, INC 265,475
------------
5,000,848
------------
TRUCKERS & SHIPPING--0.25%
2,500 o AMERICAN FREIGHTWAYS CORP 27,812
1,600 APL LTD 37,800
1,400 CALIBER SYSTEM, INC 26,950
2,300 CNF TRANSPORTATION, INC 51,175
1,150 o CONSOLIDATED FREIGHTWAYS CORP 10,206
1,800 HUNT (J.B.) TRANSPORT SERVICES, INC 25,200
1,800 PITTSTON BURLINGTON GROUP CO 36,000
2,200 ROADWAY EXPRESS, INC 42,625
5,500 ROLLINS TRUCK LEASING CORP 69,437
3,300 RYDER SYSTEM, INC 92,812
3,500 SHURGARD STORAGE CENTERS, INC 103,687
1,500 o SWIFT TRANSPORTATION CO, INC 35,250
2,100 USFREIGHTWAYS CORP 57,618
2,600 WERNER ENTERPRISES, INC 47,125
1,000 XTRA CORP 43,375
------------
707,072
------------
UTILITIES--ELECTRIC--3.66%
2,400 o AES CORP 111,600
5,200 ALLEGHENY POWER SYSTEMS, INC 157,950
7,000 AMERICAN ELECTRIC POWER CO, INC 287,875
3,500 ATLANTIC ENERGY, INC 59,937
5,900 BALTIMORE GAS & ELECTRIC CO 157,825
2,900 BOSTON EDISON CO 77,937
5,700 CAROLINA POWER & LIGHT CO 208,050
10,100 CENTERIOR ENERGY CORP 108,575
7,200 CENTRAL & SOUTH WEST CORP 184,500
4,200 CENTRAL MAINE POWER CO 48,825
6,500 CINERGY CORP 216,937
5,448 CITIZENS UTILITIES CO (CLASS B) 60,609
3,800 CMS ENERGY CORP 127,775
9,200 CONSOLIDATED EDISON CO OF
NEW YORK, INC 269,100
3,900 DELMARVA POWER & LIGHT CO 79,462
7,000 DOMINION RESOURCES, INC 269,500
4,000 DPL, INC 98,000
3,400 DQE, INC 98,600
5,400 DTE ENERGY CO 174,825
8,200 DUKE POWER CO 379,250
2,700 EASTERN UTILITIES ASSOCIATION CO 46,912
17,200 EDISON INTERNATIONAL CO 341,850
4,300 ENOVA CORP 97,825
8,700 ENTERGY CORP NEW 241,425
3,600 FLORIDA PROGRESS CORP 116,100
7,000 FPL GROUP, INC 322,000
4,900 GPU, INC 164,762
1,700 HAWAIIAN ELECTRIC INDUSTRIES, INC 61,412
8,500 HOUSTON INDUSTRIES, INC 192,312
2,600 IDAHO POWER CO 80,925
1,900 IES INDUSTRIES, INC 56,762
3,500 ILLINOVA CORP 96,250
3,500 IPALCO ENTERPRISES, INC 95,375
2,400 KANSAS CITY POWER & LIGHT CO 68,400
4,500 LONG ISLAND LIGHTING CO 99,562
3,900 LOUISVILLE GAS & ELECTRIC ENERGY CORP 95,550
5,800 MIDAMERICAN ENERGY HOLDINGS CO 92,075
2,700 MONTANA POWER CO 57,712
3,300 NEVADA POWER CO 67,650
2,900 NEW ENGLAND ELECTRIC SYSTEMS CO 101,137
3,500 NEW YORK STATE ELECTRIC & GAS CORP 75,687
7,300 o NIAGARA MOHAWK POWER CORP 72,087
2,300 NIPSCO INDUSTRIES, INC 91,137
6,000 NORTHEAST UTILITIES CO 79,500
2,900 NORTHERN STATES POWER CO 133,037
6,000 OHIO EDISON CO 136,500
1,900 OKLAHOMA GAS & ELECTRIC CO 79,325
16,500 PACIFIC GAS & ELECTRIC CO 346,500
11,600 PACIFICORP 237,800
8,900 PECO ENERGY CO 224,725
3,700 PINNACLE WEST CAPITAL CORP 117,475
2,200 PORTLAND GENERAL CORP 92,400
4,300 POTOMAC ELECTRIC POWER CO 110,725
6,100 PP&L RESOURCES, INC 140,300
2,800 PUBLIC SERVICE CO OF COLORADO 108,850
3,000 PUBLIC SERVICE CO OF NEW MEXICO 58,875
9,500 PUBLIC SERVICE ENTERPRISE GROUP, INC 258,875
3,500 PUGET SOUND POWER & LIGHT CO 84,000
2,900 ROCHESTER GAS & ELECTRIC CORP 55,462
4,400 SCANA CORP 117,700
2,900 SIERRA PACIFIC RESOURCES 83,375
27,000 SOUTHERN CO 610,875
2,100 SOUTHWESTERN PUBLIC SERVICE CO 74,287
5,200 TECO ENERGY, INC 125,450
8,800 TEXAS UTILITIES CO 358,600
1,600 o TUCSON ELECTRIC POWER CO 26,600
8,900 UNICOM CORP 241,412
3,800 UNION ELECTRIC CO 146,300
1,800 UNITED ILLUMINATING CO 56,475
2,527 UTILICORP UNITED, INC 68,229
3,200 WASHINGTON WATER POWER CO 59,600
2,800 WESTERN RESOURCES, INC 86,450
4,800 WISCONSIN ENERGY CORP 129,000
------------
10,360,741
------------
UTILITIES--GAS & PIPELINE--1.39%
2,800 AGL RESOURCES, INC 59,150
3,600 o AMERICAN STANDARD COS, INC 137,700
3,100 AMERICAN WATER WORKS CO, INC 63,937
1,200 o BLACK BOX CORP 49,500
2,300 BROOKLYN UNION GAS CO 69,287
2,100 CABOT OIL & GAS CORP (CLASS A) 35,962
See notes to financial statements.
-24-
<PAGE>
SHARES VALUE
- -------- ------------
UTILITIES--GAS & PIPELINE--(continued)
2,300 o CALENERGY, INC $ 77,337
3,900 COASTAL CORP 190,612
2,400 COLUMBIA GAS SYSTEMS, INC 152,700
3,900 CONSOLIDATED NATURAL GAS CO 215,475
2,051 EL PASO NATURAL GAS CO NEW 103,575
8,600 ENRON CORP 370,875
2,900 ENSERCH CORP 66,700
1,900 EQUITABLE RESOURCES, INC 56,525
2,100 INDIANA ENERGY, INC 51,187
1,300 o IONICS, INC 62,400
1,400 KN ENERGY, INC 54,950
3,000 MCN CORP 86,625
1,600 NATIONAL FUEL GAS CO 66,000
5,200 NGC CORP 120,900
2,200 NICOR, INC 78,650
5,124 NORAM ENERGY CORP 78,781
2,850 NORTHWEST NATURAL GAS CO 68,400
1,329 ONEOK, INC 39,870
3,400 PACIFIC ENTERPRISES, INC 103,275
6,200 PANENERGY CORP 279,000
1,800 PEOPLES ENERGY CORP 60,975
3,107 PIEDMONT NATURAL GAS CO, INC 72,626
1,300 o PRIMARK CORP 32,175
1,900 QUESTAR CORP 69,825
3,500 SONAT, INC 180,250
7,000 o TENNECO, INC NEW 315,875
1,737 UGI CORP NEW 38,865
2,200 VALERO ENERGY CORP 62,975
2,300 WASHINGTON ENERGY CO 47,437
2,100 WICOR, INC 75,337
6,553 WILLIAMS COS, INC 245,737
------------
3,941,450
------------
UTILITIES--OTHER--0.01%
800 o BILLING INFORMATION CONCEPTS CORP 23,000
------------
UTILITIES--TELEPHONE--5.59%
800 o ADTRAN, INC 33,200
2,900 ALIANT COMMUNICATIONS, INC 49,300
8,000 ALLTEL CORP 251,000
22,400 AMERITECH CORP NEW 1,358,000
67,000 AT & T CORP 2,914,500
17,700 BELL ATLANTIC CORP 1,146,075
41,100 BELLSOUTH CORP 1,659,412
1,200 o C-TEC CORP 29,100
3,000 CINCINNATI BELL, INC 184,875
6,800 FRONTIER CORP 153,850
2,625 o GLENAYRE TECHNOLOGIES, INC 56,601
39,500 GTE CORP 1,797,250
28,900 MCI COMMUNICATIONS CORP 944,668
2,900 o MOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP 24,650
6,200 o NEXTEL COMMUNICATIONS, INC (CLASS A) 80,987
18,000 NYNEX CORP 866,250
17,200 PACIFIC TELESIS GROUP CO 632,100
25,100 SBC COMMUNICATIONS, INC 1,298,925
2,900 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP 112,737
17,600 SPRINT CORP 701,800
3,026 TELEPHONE & DATA SYSTEMS, INC 109,692
1,700 o U.S. LONG DISTANCE CORP 13,600
19,200 U.S. WEST COMMUNICATIONS GROUP, INC 619,200
19,500 o U.S. WEST MEDIA GROUP, INC 360,750
16,000 o WORLDCOM, INC 417,000
------------
15,815,522
------------
TOTAL COMMON STOCK
(Cost $233,886,895) 282,563,008
------------
SHORT TERM INVESTMENTS--0.46%
U.S. GOVERNMENTS & AGENCIES--0.46%
$1,300,000 FEDERAL HOME LOAN MORTGAGE CORP
5.400% 1/2/97 1,299,604
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,299,805) 1,299,604
------------
ROUNDING 237
------------
TOTAL PORTFOLIO
(Cost $235,212,131) $283,894,180
============
- ----------
o Non-Income Producing
xIn Bankruptcy
See notes to financial statements.
-25-
<PAGE>
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VA-1AFIN-2/97
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE ANNUAL
REPORT AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL
STATEMENTS.
</LEGEND>
<CIK> 0000923524
<NAME> TIAA SEPARATE ACCOUNT VA-1
<MULTIPLIER> 1
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 235,212,131
<INVESTMENTS-AT-VALUE> 283,894,180
<RECEIVABLES> 1,503,067
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 494,960
<TOTAL-ASSETS> 285,892,207
<PAYABLE-FOR-SECURITIES> 2,846,861
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 2,846,861
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 6,767,696
<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> 283,045,346
<DIVIDEND-INCOME> 3,932,066
<INTEREST-INCOME> 103,095
<OTHER-INCOME> 0
<EXPENSES-NET> (751,713)
<NET-INVESTMENT-INCOME> 3,283,448
<REALIZED-GAINS-CURRENT> 2,455,871
<APPREC-INCREASE-CURRENT> 32,294,163
<NET-CHANGE-FROM-OPS> 38,033,482
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 4,163,091
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 193,417,753
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 567,238
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,177,894
<AVERAGE-NET-ASSETS> 188,831,216
<PER-SHARE-NAV-BEGIN> 34.411
<PER-SHARE-NII> .657
<PER-SHARE-GAIN-APPREC> 6.755
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 41.823
<EXPENSE-RATIO> .400
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
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