SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
FINANCIAL STATEMENTS (Unaudited)
INCLUDING
STATEMENT OF INVESTMENTS
JUNE 30, 1997
- --------------------------------------------------------------------------------
As required by the Investment Company Act of 1940, TIAA Separate Account VA-1
provides its contractowners with this semi-annual report of its financial
condition and portfolio holdings. An annual report for TIAA Separate Account
VA-1 is also provided each year towards the end of February.
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TIAA
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<PAGE>
[INTENTIONALLY LEFT BLANK]
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
INDEX TO UNAUDITED FINANCIAL STATEMENTS
JUNE 30, 1997
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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, 1997
<TABLE>
<S> <C>
ASSETS
Investments, at cost .......................................... $316,272,235
Net unrealized appreciation of investments .................... 101,220,042
------------
Investments, at value ......................................... 417,492,277
Cash ......................................................... 109,767
Dividends and interest receivable ............................. 489,624
Amounts due from General Account .............................. 727,813
------------
TOTAL ASSETS 418,819,481
------------
LIABILITIES
Payable for securities transactions ........................... 1,997,604
------------
TOTAL LIABILITIES 1,997,604
------------
NET ASSETS--Accumulation Fund ................................. $416,821,877
============
NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6 ........ 8,478,866
=========
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5 ................. $49.16
======
</TABLE>
See notes to financial statements.
-2-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF OPERATIONS (Unaudited)
SIX MONTHS ENDED JUNE 30, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME
Income:
Dividends ................................................... $ 3,061,854
Interest ................................................... 55,685
-----------
TOTAL INCOME 3,117,539
-----------
Expenses--Note 3:
Investment advisory charges ................................. 512,318
Administrative expenses .................................... 341,525
Mortality and expense risk charges ........................... 170,794
-----------
EXPENSES BEFORE WAIVER 1,024,637
Investment advisory charges waived--Note 3 .................. (392,763)
-----------
NET EXPENSES 631,874
-----------
INVESTMENT INCOME--NET 2,485,665
-----------
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS--Note 4
Net realized gain on investments ........................... 1,969,249
Net change in unrealized appreciation on investments ........ 52,537,993
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 54,507,242
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $56,992,907
===========
</TABLE>
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, 1997 1996
--------------- ----------------
(Unaudited)
<S> <C> <C>
FROM OPERATIONS
Investment income--net ...................................... $ 2,485,665 $ 3,283,448
Net realized gain on investments ............................ 1,969,249 2,455,871
Net change in unrealized appreciation on investments ........ 52,537,993 32,294,163
------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 56,992,907 38,033,482
------------ ------------
FROM CONTRACTOWNER TRANSACTIONS
Premiums .................................................... 77,156,994 144,253,413
Contractowner transfers from fixed account .................. 5,374,587 17,326,369
TIAA seed money withdrawn ................................... (92,970)
Withdrawals ................................................. (5,373,639) (5,711,031)
Death benefits .............................................. (374,318) (391,510)
------------ ------------
NET INCREASE IN NET ASSETS RESULTING
FROM CONTRACTOWNER TRANSACTIONS 76,783,624 155,384,271
------------ ------------
NET INCREASE IN NET ASSETS 133,776,531 193,417,753
NET ASSETS
Beginning of year ........................................... 283,045,346 89,627,593
------------ ------------
End of period ............................................... $416,821,877 $283,045,346
============ ============
</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. By early 1996, all of TIAA's Accumulation
Units had been withdrawn.
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 preparation of financial statements may require management to make
estimates and assumptions that affect the reported amounts of assets,
liabilities, income, expenses and related disclosures. Actual results may
differ from those estimates. 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 the daily deduction is equivalent to an annual
charge of 0.07% 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 equivalent
to an annual rate of 0.10% of the net assets of the Account.
NOTE 4--INVESTMENTS
At June 30, 1997, the net unrealized appreciation on investments was
$101,220,042, consisting of gross unrealized appreciation of $107,460,660 and
gross unrealized depreciation of $6,240,618.
Purchases and sales of securities, other than short-term money market
instruments, for the six months ended June 30, 1997, were $79,960,262 and
$2,269,605, respectively.
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the
Account is presented below.
<TABLE>
<CAPTION>
Six Months
Ended Years Ended October 3, 1994
June 30, December 31, (date established) to
1997 1996 1995 December 31, 1994
------------ ------------ ------------ ----------------------
(Unaudited)
<S> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income ............................... $ .405 $ .807 $ .745 $ .206
Expenses ........................................ .082 .150 .170 .034
-------- -------- -------- --------
Investment income--net .......................... .323 .657 .575 .172
Net realized and unrealized gain on investments 7.014 6.755 8.565 .099
-------- -------- -------- --------
Net increase in Accumulation Unit Value ......... 7.337 7.412 9.140 .271
Accumulation Unit Value:
Beginning of period ............................. 41.823 34.411 25.271 25.000
-------- -------- -------- --------
End of period ................................... $ 49.160 $ 41.823 $ 34.411 $ 25.271
======== ======== ======== ========
Total return ..................................... 17.54% 21.54% 36.17% 1.08%
Ratios to Average Net Assets:
Expenses (1) .................................... 0.18% 0.40% 0.55% 0.13%
Investment income--net .......................... 0.72% 1.74% 1.87% 0.68%
Portfolio turnover rate .......................... 0.66% 4.55% 0.98% 0.04%
Thousands of Accumulation Units
outstanding at end of period .................... 8,479 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).
-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, 1997 1996
--------------- -------------
(Unaudited)
<S> <C> <C>
Accumulation Units:
Credited for premiums ....................................... 1,730,725 3,851,585
Credited (cancelled) for transfers and disbursements ........ (19,555) 311,506
Outstanding:
Beginning of year .......................................... 6,767,696 2,604,605
--------- ---------
End of period .............................................. 8,478,866 6,767,696
========= =========
</TABLE>
-7-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT (Unaudited)
JUNE 30, 1997
SUMMARY BY INDUSTRY
VALUE %
-------------- -------
PREFERRED STOCK
HEALTHCARE--SERVICE .................... $ 36,669 0.01%
------------ -------
TOTAL PREFERRED STOCK
(Cost $25,431) ........................ 36,669 0.01
------------ -------
COMMON STOCK
AEROSPACE .............................. 5,172,775 1.24
AIR TRANSPORTATION ..................... 2,230,264 0.54
AUTOMOTIVE & RELATED ................... 9,310,900 2.23
BANKS .................................. 36,415,105 8.74
BEVERAGES .............................. 13,232,579 3.17
BROADCASTERS ........................... 2,804,005 0.67
BUSINESS SERVICES ...................... 5,772,501 1.38
CHEMICALS--MAJOR ....................... 9,031,584 2.17
CHEMICALS--SPECIALTY ................... 3,480,802 0.84
COMMUNICATION EQUIPMENT & SERVICES ..... 10,378,266 2.49
COMPUTER SERVICE ....................... 16,632,824 3.99
CONGLOMERATES .......................... 8,364,454 2.01
CONSTRUCTION--MATERIALS & BUILDERS ..... 2,677,732 0.64
CONTAINERS ............................. 495,098 0.12
COSMETICS .............................. 3,576,345 0.86
ELECTRICAL EQUIPMENT ................... 14,472,975 3.47
ELECTRICAL EQUIPMENT--
COMPONENTS DIVERSIFIED ............... 15,019,529 3.60
ELECTRICAL EQUIPMENT--INSTRUMENTS ...... 2,032,568 0.49
ENVIRONMENTAL CONTROL .................. 2,058,495 0.49
FINANCIAL--MISCELLANEOUS ............... 18,336,406 4.40
FOODS .................................. 8,754,778 2.10
FOREST PRODUCTS ........................ 1,742,717 0.42
HEALTHCARE--DRUGS ...................... 27,518,039 6.60
HEALTHCARE--HOSPITAL SUPPLY ............ 4,833,016 1.16
HEALTHCARE--OTHER ...................... 7,924,385 1.90
HEALTHCARE--SERVICE .................... 7,351,112 1.76
HOUSEHOLD--CONSUMER ELECTRONICS ........ 58,955 0.01
HOUSEHOLD--DURABLE GOODS ............... 1,578,192 0.38
HOUSEHOLD--PRODUCTS .................... 8,670,584 2.08
INSURANCE--BROKERS & OTHER ............. 1,360,274 0.33
INSURANCE--LIFE ........................ 3,166,627 0.76
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY .................. 13,741,454 3.30
LEISURE TIME ........................... 5,202,326 1.25
MACHINERY .............................. 6,389,023 1.53
METALS--ALUMINUM ....................... 1,048,281 0.25
METALS--GOLD ........................... 885,740 0.21%
METALS--NON-FERROUS .................... 925,342 0.22
METALS--STEEL .......................... 1,278,855 0.31
MISCELLANEOUS MATERIALS &
COMMODITIES .......................... 71,274 0.02
OFFICE EQUIPMENT ....................... 15,348,604 3.68
PAPER .................................. 2,665,897 0.64
PETROLEUM--
EXPLORATION & PRODUCTION ............. 3,258,104 0.78
PETROLEUM--INTEGRATED .................. 20,339,650 4.88
PETROLEUM--SERVICE ..................... 4,183,242 1.00
PHOTOGRAPHY ............................ 1,522,900 0.37
PROPERTY--REAL ESTATE .................. 826,324 0.20
PUBLISHING--NEWSPAPER .................. 2,259,691 0.54
PUBLISHING--OTHER ...................... 2,771,591 0.67
RAILROAD ............................... 3,081,069 0.74
RESTAURANTS & HOTELS ................... 5,219,320 1.25
RETAIL--FOOD ........................... 2,658,038 0.64
RETAIL--GENERAL MERCHANDISE ............ 16,314,160 3.91
TEXTILE & APPAREL ...................... 1,991,338 0.48
TOBACCO ................................ 7,231,413 1.74
TRUCKERS & SHIPPING .................... 970,818 0.23
UTILITIES--ELECTRIC .................... 13,476,722 3.23
UTILITIES--GAS & PIPELINE .............. 4,638,230 1.11
UTILITIES--OTHER ....................... 45,337 0.01
UTILITIES--TELEPHONE ................... 21,957,068 5.27
------------ -------
TOTAL COMMON STOCK
(Cost $313,546,804) ................... 414,755,697 99.50
------------ -------
SHORT TERM INVESTMENTS
U.S. GOVERNMENT & AGENCIES ............. 2,699,568 0.65
------------ -------
TOTAL SHORT TERM INVESTMENTS
(Cost $2,700,000) ..................... 2,699,568 0.65
------------ -------
ROUNDING ............................... 343 0.00
------------ -------
TOTAL PORTFOLIO
(Cost $316,272,235) ................... 417,492,277 100.16
------------ -------
OTHER ASSETS & LIABILITIES, NET .......... (670,400) (0.16)
------------ -------
NET ASSETS .............................. $416,821,877 100.00%
============ =======
See notes to financial statements.
-8-
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT (Unaudited)
JUNE 30, 1997
SHARES VALUE
- -------- ------------
PREFERRED STOCK--0.01%
HEALTHCARE--SERVICE--0.01%
389 AETNA, INC 6.25% (CLASS C) .................... $ 36,468
3,500 [degree] FRESENIUS MEDICAL CARE (CLASS D) ..... 201
------------
36,669
------------
TOTAL PREFERRED STOCK
(Cost $25,431) ................................ 36,669
------------
COMMON STOCK--99.50%
AEROSPACE--1.24%
1,200 AAR CORP ...................................... 38,775
700 [degree] ALLIANT TECHSYSTEMS, INC ............. 38,500
36,554 BOEING CO ..................................... 1,939,646
2,900 EG & G, INC ................................... 65,250
2,600 GENERAL DYNAMICS CORP ......................... 195,000
5,600 GENERAL MOTORS CORP (CLASS H) ................. 323,400
2,100 [degree] HEXCEL CORP .......................... 36,225
8,496 LOCKHEED MARTIN CORP .......................... 879,867
7,600 MCDONNELL DOUGLAS CORP ........................ 520,600
2,500 NORTHROP GRUMMAN CORP ......................... 219,531
1,100 [degree] OEA, INC ............................. 43,450
3,000 [degree] ORBITAL SCIENCES CORP ................ 47,625
1,400 PRECISION CAST PARTS CORP ..................... 83,475
1,400 PRIMEX TECHNOLOGIES, INC ...................... 29,925
12,300 RAYTHEON CO ................................... 627,300
1,500 [degree] ROHR, INC ............................ 32,906
1,900 [degree] WYMAN-GORDON CO ...................... 51,300
------------
5,172,775
------------
AIR TRANSPORTATION--0.54%
1,950 AIR EXPRESS INTERNATIONAL CORP ................ 77,515
1,100 AIRBORNE FREIGHT CORP ......................... 46,062
3,400 [degree] AMERICA WEST HOLDINGS CORP (CLASS B).. 49,300
4,800 [degree] AMR CORP ............................. 444,000
1,600 ASA HOLDINGS, INC ............................. 45,800
700 [degree] ATLAS AIR, INC ....................... 24,150
1,100 [degree] BE AEROSPACE, INC. ................... 34,787
2,025 COMAIR HOLDINGS, INC .......................... 56,067
2,000 [degree] CONTINENTAL AIRLINES, INC (CLASS B)... 69,875
3,800 DELTA AIRLINES, INC ........................... 311,600
400 [degree] EAGLE USA AIRFREIGHT, INC ............ 10,850
1,000 EXPEDITORS INTERNATIONAL OF
WASHINGTON ................................... 28,375
5,900 [degree] FEDERAL EXPRESS CORP ................. 340,725
3,800 [degree] NORTHWEST AIRLINES CORP (CLASS A) .... 138,225
7,800 SOUTHWEST AIRLINES CO ......................... 201,825
3,100 [degree] UAL CORP NEW ......................... 221,843
3,200 [degree] US AIRWAYS GROUP, INC ................ 112,000
2,500 [degree] VALUJET, INC ......................... 17,265
------------
2,230,264
------------
AUTOMOTIVE & RELATED--2.23%
1,600 [degree] ALLEN TELECOM, INC ................... 33,200
1,800 [degree] AMERICREDIT CORP ..................... 37,800
2,600 APOGEE ENTERPRISES, INC ....................... 55,900
1,300 ARVIN INDUSTRIES, INC ......................... 35,425
5,684 [degree] AUTOLIV, INC ......................... 222,386
1,800 BANDAG, INC ................................... 88,200
1,400 BORG-WARNER AUTOMOTIVE, INC ................... 75,687
900 BREED TECHNOLOGIES, INC ....................... 20,700
31,200 CHRYSLER CORP ................................. 1,023,750
3,300 COOPER TIRE & RUBBER CO ....................... 72,600
1,900 CUMMINS ENGINE CO, INC ........................ 134,068
5,300 DANA CORP ..................................... 201,400
1,900 DANAHER CORP .................................. 96,543
1,000 [degree] DETROIT DIESEL CORP .................. 23,937
1,100 DONALDSON CO, INC ............................. 41,800
3,500 EATON CORP .................................... 305,593
3,200 ECHLIN, INC ................................... 115,200
1,100 EXIDE CORP .................................... 24,131
1,800 FEDERAL-MOGUL CORP ............................ 63,000
1,000 [degree] FOAMEX INTERNATIONAL, INC ............ 13,125
61,800 FORD MOTOR CO ................................. 2,332,950
1,300 GENCORP, INC .................................. 30,062
38,826 GENERAL MOTORS CORP ........................... 2,162,122
8,550 GENUINE PARTS CO .............................. 289,631
7,700 GOODYEAR TIRE & RUBBER CO ..................... 487,506
1,000 GRACO, INC .................................... 30,125
4,100 HARLEY DAVIDSON, INC .......................... 196,543
740 [degree] HAYES WHEELS INTERNATIONAL, INC ...... 23,495
1,300 [degree] KIRBY CORP ........................... 23,725
3,400 [degree] LEAR CORP ............................ 150,875
2,200 MODINE MANUFACTURING CO ....................... 65,450
4,300 [degree] NAVISTAR INTERNATIONAL CORP .......... 74,175
3,200 PACCAR, INC ................................... 148,600
2,500 POLARIS INDUSTRIES, INC ....................... 81,406
1,700 [degree] RENTERS CHOICE, INC .................. 33,787
1,800 [degree] SAFESKIN CORP ........................ 52,987
3,700 SAFETY-KLEEN CORP ............................. 62,437
1,400 SMITH (A.O.) CORP ............................. 49,787
3,250 SNAP-ON, INC .................................. 127,968
700 [degree] SPX CORP ............................. 45,368
1,100 STANDARD PRODUCTS CO .......................... 27,775
1,400 SUPERIOR INDUSTRIES INTERNATIONAL, INC ........ 37,100
700 [degree] TOWER AUTOMOTIVE, INC ................ 30,100
2,700 TRANSPRO, INC ................................. 23,456
1,400 WABASH NATIONAL CORP .......................... 39,025
------------
9,310,900
------------
BANKS--8.74%
1,300 ALBANK FINANCIAL CORP ......................... 51,350
4,350 AMSOUTH BANCORP ............................... 164,484
1,900 ASSOCIATED BANC-CORP .......................... 75,050
30,396 BANC ONE CORP ................................. 1,472,306
20,300 BANK OF NEW YORK CO, INC ...................... 883,050
37,600 BANKAMERICA CORP .............................. 2,427,550
7,635 BANKBOSTON CORP ............................... 550,197
4,300 BANKERS TRUST NEW YORK CORP ................... 374,100
9,300 BARNETT BANKS, INC ............................ 488,250
5,658 BB&T CORPORATION .............................. 254,610
800 CAPITAL ONE FINANCIAL CORP .................... 30,200
1,600 CCB FINANCIAL CORP ............................ 117,000
3,550 CENTRAL FIDELITY BANKS, INC ................... 126,025
2,100 CENTURA BANKS, INC ............................ 96,337
2,500 CHARTER ONE FINANCIAL, INC .................... 134,687
22,520 CHASE MANHATTAN CORP NEW ...................... 2,185,847
24,646 CITICORP CO ................................... 2,971,383
2,400 CITY NATIONAL CORP ............................ 57,750
See notes to financial statements.
-9-
<PAGE>
SHARES VALUE
- ---------- -------------
BANKS--(continued)
2,945 CNB BANCSHARES, INC ............................. $ 119,272
2,700 COLONIAL BANCGROUP, INC ......................... 65,475
5,700 COMERICA, INC ................................... 387,600
900 COMMERCE BANCORP, INC ........................... 34,875
2,200 COMMERCE BANCSHARES, INC ........................ 99,550
1,700 COMMUNITY FIRST BANKSHARES, INC ................. 65,237
3,600 COMPASS BANCSHARES, INC ......................... 121,050
10,497 CORESTATES FINANCIAL CORP ....................... 564,213
4,266 CRESTAR FINANCIAL CORP .......................... 165,840
1,900 CULLEN FROST BANKERS, INC ....................... 80,512
2,400 DAUPHIN DEPOSIT CORP ............................ 106,950
3,400 DEPOSIT GUARANTY CORP ........................... 107,100
5,200 DIME BANCORP, INC ............................... 91,000
4,300 FIFTH THIRD BANCORP ............................. 352,868
3,600 FIRST AMERICAN CORP ............................. 138,150
6,826 FIRST BANK SYSTEM, INC .......................... 582,769
16,153 FIRST CHICAGO NBD CORP .......................... 977,256
2,507 FIRST COMMERCE CORP ............................. 110,308
2,628 FIRST COMMERCIAL CORP ........................... 108,076
2,860 FIRST FINANCIAL BANCORP ......................... 115,115
2,200 FIRST HAWAIIAN, INC ............................. 75,075
3,677 FIRST MICHIGAN BANK CORP ........................ 111,229
1,500 FIRST MIDWEST BANCORP, INC ...................... 47,531
4,848 FIRST OF AMERICA BANK CORP ...................... 221,796
6,000 FIRST SECURITY CORP ............................. 163,875
3,900 FIRST TENNESSEE NATIONAL CORP ................... 187,200
14,545 FIRST UNION CORP ................................ 1,345,412
1,800 FIRST VIRGINIA BANKS, INC ....................... 108,562
6,600 FIRSTAR CORP .................................... 201,300
2,500 FIRSTMERIT CORP ................................. 120,000
13,527 FLEET FINANCIAL GROUP, INC ...................... 855,582
1,500 GREENPOINT FINANCIAL CORP ....................... 99,843
6,667 HIBERNIA CORP (CLASS A) ......................... 92,921
1,500 HUBCO, INC ...................................... 43,500
7,743 HUNTINGTON BANCSHARES, INC ...................... 227,450
1,670 [degree] IMPERIAL BANCORP ....................... 48,221
1,400 [degree] IMPERIAL CREDIT INDUSTRIES, INC ........ 28,787
11,700 KEYCORP ......................................... 653,737
2,300 LONG ISLAND BANCORP, INC ........................ 83,518
700 [degree] MAF BANCORP, INC ....................... 29,312
3,200 MAGNA GROUP, INC ................................ 111,200
4,500 MARSHALL & ILSLEY CORP .......................... 182,812
13,100 MELLON BANK CORP ................................ 591,137
4,152 MERCANTILE BANCORP, INC ......................... 252,234
2,837 MERCANTILE BANKSHARES CORP ...................... 113,480
10,100 MORGAN (J.P.) & CO, INC ......................... 1,054,187
11,351 NATIONAL CITY CORP .............................. 595,927
3,800 NATIONAL COMMERCE BANCORP ....................... 83,600
40,632 NATIONSBANK CORP ................................ 2,620,764
4,400 NORTH FORK BANCORP, INC ......................... 94,050
5,700 NORTHERN TRUST CORP ............................. 275,737
19,200 NORWEST CORP .................................... 1,080,000
2,553 OLD KENT FINANCIAL CORP ......................... 137,862
3,763 OLD NATIONAL BANCORP ............................ 165,572
1,600 ONBANCORP, INC .................................. 81,600
2,875 ONE VALLEY BANCORP, INC ......................... 120,750
2,700 PACIFIC CENTURY FINANCIAL CORP .................. 124,875
1,500 PEOPLES BANK OF BRIDGEPORT CO ................... 38,812
2,400 PEOPLES HERITAGE FINANCIAL GROUP, INC ........... 90,900
17,150 PNC BANK CORP ................................... 713,868
1,000 [degree] QUEENS COUNTY BANCORP, INC ............. 45,500
1,700 RCSB FINANCIAL, INC ............................. 81,387
6,856 REGIONS FINANCIAL CORP .......................... 216,821
2,700 REPUBLIC NEW YORK CORP .......................... 290,250
1,600 RIGGS NATIONAL CORP ............................. 33,000
3,216 SIGNET BANKING CORP ............................. 115,776
4,900 SOUTHTRUST CORP ................................. 202,737
6,450 SOVEREIGN BANCORP, INC .......................... 98,362
3,250 ST. PAUL BANCORP, INC ........................... 107,656
4,600 STAR BANC CORP .................................. 194,350
8,400 STATE STREET CORP ............................... 388,500
4,978 SUMMIT BANCORP .................................. 249,522
10,900 SUNTRUST BANKS, INC ............................. 600,181
1,400 SUSQUEHANNA BANCSHARES, INC ..................... 54,950
8,850 SYNOVUS FINANCIAL CORP .......................... 243,928
2,700 TRUSTMARK CORP .................................. 75,600
7,929 U.S. BANCORP .................................... 508,447
1,300 U.S. TRUST CORP ................................. 61,262
3,472 UNION PLANTERS CORP ............................. 180,110
1,600 UNITED CAROLINA BANCSHARES CORP ................. 83,200
1,300 UST CORP ........................................ 29,087
3,759 VALLEY NATIONAL BANCORP ......................... 101,962
8,300 WACHOVIA CORP ................................... 483,993
3,267 WASHINGTON FEDERAL, INC ......................... 83,921
3,100 WASHINGTON MUTUAL, INC .......................... 185,225
4,624 WELLS FARGO & CO ................................ 1,246,168
1,100 [degree] WESTAMERICA BANCORP .................... 83,600
2,000 WILMINGTON TRUST CORP ........................... 91,500
4,000 ZIONS BANCORP ................................... 150,500
-----------
36,415,105
-----------
BEVERAGES--3.17%
23,700 ANHEUSER BUSCH COS, INC ......................... 993,918
2,700 BROWN FORMAN, INC (CLASS B) ..................... 131,793
128,800 COCA COLA CO .................................... 8,694,000
11,600 COCA COLA ENTERPRISES, INC ...................... 266,800
2,900 COORS (ADOLPH) CO (CLASS B) ..................... 77,212
81,700 PEPSICO, INC .................................... 3,068,856
-----------
13,232,579
-----------
BROADCASTERS--0.67%
1,300 [degree] AMERICAN RADIO SYSTEMS CORP ............ 51,837
900 BHC COMMUNICATIONS, INC (CLASS A) ............... 107,550
2,400 [degree] CLEAR CHANNEL COMMUNICATIONS, INC ...... 147,600
12,989 COMCAST CORP (CLASS A) SPL ...................... 277,639
2,050 [degree] EVERGREEN MEDIA CORP (CLASS A) ......... 91,481
3,463 GAYLORD ENTERTAINMENT CO ........................ 79,865
1,800 HARTE-HANKS COMMUNICATIONS, INC ................. 53,100
3,000 [degree] HERITAGE MEDIA CORP (CLASS A) .......... 56,625
1,400 [degree] JACOR COMMUNICATIONS, INC WTS 9/18/01 .. 4,900
1,700 KING WORLD PRODUCTIONS, INC ..................... 59,500
11,812 [degree] LIBERTY MEDIA GROUP (CLASS A) .......... 280,535
1,200 [degree] LIN TELEVISION CORP .................... 52,950
6,300 SCRIPPS (E.W.) CO (CLASS A) ..................... 262,237
1,000 TCA CABLE TV, INC ............................... 37,625
5,480 [degree] TCI SATELLITE ENTERTAINMENT (CLASS A)... 43,155
38,000 [degree] TELE-COMMUNICATIONS, INC (CLASS A) ..... 565,250
600 UNITED TELEVISION, INC .......................... 59,400
See notes to financial statements.
-10-
<PAGE>
SHARES VALUE
- ---------- ------------
BROADCASTERS--(continued)
4,300 [degree] VIACOM, INC (CLASS A) ....................... $ 126,581
12,400 [degree] VIACOM, INC (CLASS B) ....................... 372,000
2,300 [degree] WESTWOOD ONE, INC ........................... 74,175
------------
2,804,005
------------
BUSINESS SERVICES--1.38%
2,883 [degree] ACCUSTAFF, INC .............................. 68,291
3,633 [degree] ACNEILSEN CORP .............................. 71,297
2,700 [degree] ADVO, INC ................................... 43,875
2,000 [degree] AFFILIATED COMPUTER SERVICES, INC (CLASS A) 56,000
1,200 [degree] ALTERNATIVE RESOURCES CORP .................. 24,450
5,500 [degree] AMERICA ONLINE, INC ......................... 305,937
2,700 [degree] APOLLO GROUP, INC (CLASS A) ................. 95,175
1,600 [degree] ASPEN TECHNOLOGY INC ........................ 60,200
2,300 AUTODESK, INC ........................................ 88,118
2,300 BANTA CORP ........................................... 62,387
5,800 BLOCK (H&R), INC ..................................... 187,050
900 [degree] CABLEVISION SYSTEMS CORP (CLASS A) .......... 48,150
1,400 [degree] CATALINA MARKETING CORP ..................... 67,375
900 CENTRAL PARKING CORP. ................................ 31,331
1,900 [degree] CHECKPOINT SYSTEMS, INC ..................... 30,518
900 [degree] CIBER INC ................................... 30,768
1,600 CINTAS CORP .......................................... 110,000
8,700 COGNIZANT CORP ....................................... 352,350
1,650 [degree] COMPUTER HORIZONS CORP ...................... 56,512
4,100 [degree] COMPUTERVISION CORP ......................... 18,962
1,350 [degree] CORESTAFF, INC .............................. 36,450
7,300 [degree] CORPORATE EXPRESS, INC ...................... 105,393
4,200 [degree] CORRECTIONS CORP OF AMERICA ................. 166,950
1,500 [degree] CREDENCE SYSTEMS CORP ....................... 44,906
4,100 DELUXE CORP .......................................... 139,912
2,300 [degree] DEVRY, INC .................................. 62,100
700 [degree] DIALOGIC CORP ............................... 18,637
3,650 DIEBOLD, INC ......................................... 142,350
2,647 [degree] DOUBLETREE CORP ............................. 108,857
500 [degree] ENCAD, INC .................................. 20,750
800 [degree] EQUITY CORP INTERNATIONAL ................... 19,350
2,100 FIRST INDUSTRIAL REALTY TRUST, INC ................... 61,425
2,000 [degree] FORE SYSTEMS, INC ........................... 27,250
1,600 [degree] FRANKLIN COVEY CO ........................... 40,500
900 [degree] FRITZ COS, INC .............................. 8,718
1,400 [degree] HA-LO INDUSTRIES, INC ....................... 33,075
1,800 HARLAND (JOHN H.) CO ................................. 41,062
600 [degree] HCIA, INC ................................... 20,100
800 [degree] INSO CORP ................................... 16,450
1,300 [degree] INTERIM SERVICES, INC ....................... 57,850
3,500 INTERPUBLIC GROUP OF COS, INC ........................ 214,593
700 [degree] ITRON, INC .................................. 18,112
2,300 KELLY SERVICES, INC (CLASS A) ........................ 72,162
2,700 LIBERTY PROPERTY TRUST CO ............................ 67,162
3,900 MANPOWER, INC ........................................ 173,550
800 [degree] MANUGISTICS GROUP, INC ...................... 35,600
2,075 [degree] MCAFEE ASSOCIATES, INC ...................... 130,984
1,300 [degree] MICRO WAREHOUSE, INC ........................ 22,262
700 [degree] NATIONAL INSTRUMENTS CORP ................... 24,675
2,500 NATIONAL SERVICE INDUSTRIES, INC ..................... 121,718
7,300 [degree] OFFICE DEPOT, INC ........................... 141,893
3,314 OLSTEN CORP .......................................... 64,415
3,800 OMNICOM GROUP, INC ................................... 234,175
4,500 PAYCHEX, INC ......................................... 171,000
2,200 PITTSTON BRINKS GROUP CO ............................. 66,000
1,300 [degree] PREPAID LEGAL SERVICES, INC ................. 27,462
700 [degree] PRI AUTOMATION, INC ......................... 26,556
1,426 [degree] PURE ATRIA CORP ............................. 20,142
800 [degree] REMEDY CORP ................................ 32,000
3,400 [degree] ROBERT HALF INT'L, INC ...................... 160,012
1,300 ROLLINS, INC ........................................ 26,162
4,200 SENSORMATIC ELECTRONICS CORP ......................... 54,075
12,300 SERVICE CORP INT'L .................................. 404,362
2,000 [degree] SUNGARD DATA SYSTEMS, INC ................... 93,000
1,300 [degree] SYLVAN LEARNING SYSTEMS, INC ................ 44,200
1,200 [degree] THERMOLASE CORP ............................. 16,875
1,200 TOTAL SYSTEM SERVICES, INC ........................... 29,175
1,600 [degree] TRACOR, INC ................................ 40,200
1,900 TRUE NORTH COMMUNICATIONS, INC ...................... 47,025
2,100 [degree] U.S. CELLULAR CORP .......................... 62,212
2,100 VALSPAR CORP ........................................ 62,212
600 [degree] WACKENHUT CORRECTIONS CORP ................. 17,475
1,000 WALLACE COMPUTER SERVICES, INC ...................... 30,062
1,050 [degree] WIND RIVER SYSTEMS, INC .................... 40,162
-----------
5,772,501
-----------
CHEMICALS--MAJOR--2.17%
5,900 AIR PRODUCTS & CHEMICALS, INC ........................ 479,375
800 ARCO CHEMICAL CO ..................................... 38,050
1,300 CHEMFIRST, INC ....................................... 35,262
12,200 DOW CHEMICAL CO ..................................... 1,062,925
58,400 DU PONT (E.I.) DE NEMOURS & CO ...................... 3,671,900
4,200 EASTMAN CHEMICAL CO .................................. 266,700
2,900 GOODRICH (B.F.) CO .................................. 125,606
5,700 HERCULES, INC ........................................ 272,887
1,800 MISSISSIPPI CHEMICAL CORP ............................ 37,350
30,900 MONSANTO CO .......................................... 1,330,631
1,700 [degree] OAK TECHNOLOGY, INC ......................... 16,575
2,600 OLIN CORP ........................................... 101,562
9,400 PPG INDUSTRIES, INC .................................. 546,375
8,200 PRAXAIR, INC ........................................ 459,200
1,200 [degree] QUINTILES TRANSNATIONAL CORP ................ 83,550
2,300 ROHM & HAAS CO ....................................... 207,143
6,300 UNION CARBIDE CORP .................................. 296,493
-----------
9,031,584
-----------
CHEMICALS--SPECIALTY--0.84%
3,000 [degree] AIRGAS, INC ................................ 59,437
2,300 ALBEMARLE CORP ....................................... 48,443
1,400 BETZDEARBORN, INC .................................... 92,400
2,700 CALGON CARBON CORP .................................. 37,462
2,200 COMMERCIAL METALS CO ................................. 70,950
3,700 CROMPTON & KNOWLES CORP .............................. 82,325
2,500 [degree] CYTEC INDUSTRIES, INC ....................... 93,437
1,300 DEXTER CORP .......................................... 41,600
3,000 ECOLAB, INC .......................................... 143,250
4,850 ENGELHARD CORP ....................................... 101,546
5,000 ETHYL CORP ........................................... 46,250
1,500 FERRO CORP ........................................... 55,593
2,200 FOSTER WHEELER CORP .................................. 89,100
802 FULLER (H.B.) CO ..................................... 44,110
1,800 GEON CO .............................................. 36,450
1,700 GEORGIA GULF CORP .................................... 49,406
4,100 GRACE (W.R.) & CO .................................... 226,012
3,300 GREAT LAKES CHEMICAL CORP ............................ 172,837
2,634 ICN PHARMACEUTICALS, INC ............................ 75,562
3,880 IMC GLOBAL, INC ..................................... 135,800
See notes to financial statements.
-11-
<PAGE>
SHARES VALUE
- ---------- ----------
CHEMICALS--SPECIALTY--(continued)
2,100 [degree] INTERNATIONAL SPECIALTY PRODUCTS, INC $ 29,531
2,600 LAWTER INTERNATIONAL, INC ............................ 32,825
3,200 LUBRIZOL CORP ........................................ 134,200
2,500 LYONDELL PETROCHEMICAL CO ............................ 54,531
4,000 MALLINCKRODT, INC ................................... 152,000
7,600 MORTON INTERNATIONAL, INC ............................ 229,425
1,900 [degree] MYCOGEN CORP ................................ 37,287
3,200 NALCO CHEMICAL CORP .................................. 123,600
1,900 OM GROUP, INC ........................................ 62,937
425 POTASH CORP OF SASKATCHEWAN, INC (U.S.)............... 31,901
2,500 RAYCHEM CORP ......................................... 185,937
4,325 RPM, INC ............................................ 79,471
2,100 SCHULMAN (A.), INC ................................... 51,712
2,100 [degree] SEALED AIR CORP ............................. 99,750
5,600 SIGMA ALDRICH CORP ................................... 196,350
2,600 TERRA INDUSTRIES, INC ................................ 30,225
1,300 THIOKOL CORP ......................................... 91,000
2,000 WELLMAN, INC ......................................... 34,750
3,200 WITCO CORP ........................................... 121,400
----------
3,480,802
----------
COMMUNICATION EQUIPMENT &
SERVICES--2.49%
6,666 [degree] 360 COMMUNICATIONS CO ....................... 114,155
17,342 [degree] 3COM CORP ................................... 780,390
1,150 [degree] ACC CORP .................................... 35,506
26,100 [degree] AIRTOUCH COMMUNICATIONS, INC ................ 714,487
5,475 [degree] ANDREW CORP ................................. 153,984
2,000 [degree] ANTEC CORP .................................. 23,500
1,000 [degree] APAC TELESERVICES INC ....................... 19,437
2,800 [degree] ARCH COMMUNICATIONS GROUP, INC .............. 21,350
6,100 [degree] ASCEND COMMUNICATIONS, INC .................. 240,187
1,400 [degree] AVID TECHNOLOGIES, INC ...................... 36,925
4,000 [degree] BRINKER INTERNATIONAL, INC .................. 57,000
1,300 [degree] CABLE DESIGN TECHNOLOGIES CO ................ 38,268
5,600 [degree] CABLETRON SYSTEMS, INC ...................... 158,550
3,400 [degree] CASCADE COMMUNICATIONS CORP ................. 93,925
3,300 CENTURY TELEPHONE ENTERPRISES, INC ................... 111,168
1,600 [degree] CHYRON CORP ................................. 7,200
34,300 [degree] CISCO SYSTEMS, INC .......................... 2,302,387
2,800 COMSAT CORP SERIES 1 ................................. 66,675
11,400 CORNING, INC ......................................... 634,125
800 [degree] DIGITAL MICROWAVE CORP ...................... 24,000
6,000 [degree] DSC COMMUNICATIONS CORP ..................... 133,500
2,400 [degree] DSP COMMUNICATIONS, INC ..................... 26,400
1,000 [degree] DYNATECH CORP ............................... 35,750
1,300 [degree] GENERAL DATACOMM INDUSTRIES, INC ............ 9,262
3,700 [degree] GEOTEK COMMUNICATIONS, INC .................. 20,118
2,100 HARRIS CORP .......................................... 176,400
1,500 [degree] HIGHWAYMASTER COMMUNICATIONS, INC ........... 22,875
2,600 [degree] INTERCEL, INC ............................... 36,075
1,500 [degree] INTERMEDIA COMMUNICATIONS, INC .............. 48,562
1,700 [degree] INTERNATIONAL FAMILY ENTERTAINMENT INC ...... 58,437
700 [degree] JACOR COMMUNICATIONS, INC ................... 26,775
4,800 [degree] LCI INTERNATIONAL, INC ...................... 105,000
1,100 [degree] LEVEL ONE COMMUNICATIONS, INC ............... 42,281
33,191 LUCENT TECHNOLOGIES, INC ............................. 2,391,826
1,500 [degree] MACROMEDIA, INC ............................. 12,937
750 [degree] MASTEC, INC ................................. 35,484
1,700 [degree] NETWORK EQUIPMENT TECHNOLOGIES, INC ......... 30,600
18,900 [degree] NOVELL, INC ................................. 131,118
1,600 [degree] NTL, INC .................................... 39,800
3,400 [degree] OCTEL COMMUNICATIONS CORP ................... 79,687
1,300 [degree] OMNIPOINT CORP .............................. 21,612
800 [degree] P-COM, INC .................................. 26,400
5,400 [degree] PAGING NETWORK, INC ......................... 47,418
3,600 [degree] PAIRGAIN TECHNOLOGIES, INC .................. 55,800
1,769 [degree] PANAMSAT CORP ............................... 51,301
1,700 [degree] PICTURETEL CORP ............................. 16,150
2,000 [degree] PMT SERVICES, INC ........................... 30,500
1,100 [degree] PREMIERE TECHNOLOGIES, INC .................. 28,600
1,200 [degree] PREMISYS COMMUNICATIONS, INC ................ 18,900
3,200 [degree] QUALCOMM, INC ............................... 162,800
4,100 SCIENTIFIC-ATLANTA, INC .............................. 89,687
1,000 [degree] SITEL CORP .................................. 20,625
2,500 [degree] TECH DATA CORP .............................. 78,593
1,800 [degree] TEL-SAVE HOLDINGS, INC ...................... 27,450
1,400 [degree] TELE-COMMUNICATIONS INT'L (CLASS A) ......... 21,612
8,800 [degree] TELLABS, INC ................................ 491,700
2,700 [degree] VANGUARD CELLULAR SYSTEMS, INC .............. 36,787
1,500 [degree] WESTELL TECHNOLOGIES, INC (CLASS A) ......... 37,500
1,400 [degree] WINSTAR COMMUNICATIONS, INC ................. 18,725
-----------
10,378,266
-----------
COMPUTER SERVICE--3.99%
1,000 [degree] ACTEL CORP .................................. 17,062
3,200 [degree] ACXIOM CORP ................................. 65,600
5,700 [degree] ADAPTEC, INC ................................ 198,075
7,300 [degree] ADC TELECOMMUNICATIONS, INC ................. 243,637
3,100 ADOBE SYSTEMS, INC ................................... 108,693
2,250 [degree] AMERICAN MANAGEMENT SYSTEMS, INC ............ 60,187
2,000 [degree] AUSPEX SYSTEMS, INC ......................... 19,250
15,400 AUTOMATIC DATA PROCESSING, INC ....................... 723,800
1,000 [degree] AVANT CORP .................................. 32,312
1,900 [degree] BANCTEC, INC ................................ 49,281
9,202 [degree] BAY NETWORKS, INC ........................... 244,428
1,800 [degree] BDM INTERNATIONAL, INC ...................... 41,400
1,100 [degree] BELL & HOWELL CO ............................ 33,893
2,100 [degree] BISYS GROUP, INC ............................ 87,675
5,400 [degree] BMC SOFTWARE, INC ........................... 299,025
1,500 [degree] BOSTON TECHNOLOGY, INC ...................... 44,343
1,000 [degree] BRODERBUND SOFTWARE, INC .................... 24,687
1,400 [degree] C-CUBE MICROSYSTEMS, INC .................... 24,587
4,925 [degree] CADENCE DESIGN SYSTEMS, INC ................. 164,987
1,700 [degree] CAMBRIDGE TECHNOLOGY PARTNERS, INC .......... 54,400
400 [degree] CDW COMPUTER CENTERS, INC ................... 21,225
4,100 [degree] CERIDIAN CORP ............................... 173,225
2,100 [degree] CHECKFREE CORP. ............................. 37,012
2,000 [degree] CITRIX SYSTEMS, INC ......................... 87,750
900 [degree] CLARIFY INC ................................. 10,181
4,700 [degree] COMPUSA, INC ................................ 101,050
14,300 COMPUTER ASSOCIATES INTERNATIONAL, INC ............... 796,331
3,848 [degree] COMPUTER SCIENCES CORP ...................... 277,537
1,000 COMPUTER TASK GROUP, INC ............................. 37,250
4,000 [degree] COMPUWARE CORP .............................. 191,000
1,000 [degree] CSG SYSTEMS INTERNATIONAL, INC .............. 30,875
900 [degree] CYRIX CORP .................................. 19,237
1,500 [degree] DECISIONONE CORP ............................ 34,125
2,000 [degree] DIAMOND MULTIMEDIA SYSTEMS, INC ............. 14,375
1,200 [degree] DOCUMENTUM, INC ............................. 29,850
1,900 [degree] DST SYSTEMS, INC ............................ 63,293
2,500 [degree] ELECTRONIC ARTS, INC ........................ 84,062
See notes to financial statements.
- 12 -
<PAGE>
SHARES VALUE
- ---------- -------------
COMPUTER SERVICE--(continued)
17,500 ELECTRONIC DATA SYSTEMS CORP ..................... $ 717,500
12,500 [degree] EMC CORP ................................ 487,500
1,000 [degree] EMPLOYEE SOLUTIONS, INC ................. 5,562
21,706 FIRST DATA CORP .................................. 953,707
2,300 [degree] FISERV, INC ............................. 102,637
1,300 [degree] FORTE SOFTWARE, INC ..................... 17,468
2,200 [degree] GT INTERACTIVE SOFTWARE CORP ............ 26,125
800 [degree] HARBINGER CORP .......................... 22,400
4,700 HBO & CO ......................................... 323,712
1,900 [degree] HMT TECHNOLOGY CORP ..................... 24,581
1,000 [degree] HNC SOFTWARE ............................ 38,125
2,330 [degree] IMATION CORP ............................ 61,453
9,500 [degree] INFORMIX CORP ........................... 85,500
1,300 [degree] INTEGRATED SYSTEMS, INC ................. 15,275
3,500 [degree] INTERGRAPH CORP ......................... 29,750
2,200 [degree] INTUIT, INC ............................. 50,462
1,800 [degree] KEANE, INC .............................. 93,600
1,500 [degree] LEARNING CO, INC ........................ 14,062
500 [degree] LEARNING TREE INTERNATIONAL, INC ........ 22,187
1,000 [degree] LEGATO SYSTEMS, INC ..................... 18,500
1,300 [degree] MEDIC COMPUTER SYSTEMS, INC ............. 28,925
3,500 [degree] MENTOR GRAPHICS CORP .................... 32,375
2,625 [degree] MICROCHIP TECHNOLOGY, INC ............... 78,093
1,100 [degree] MICRON ELECTRONICS, INC ................. 19,593
41,400 [degree] MICROSOFT CORP .......................... 5,231,925
1,600 NATIONAL DATA CORP ............................... 69,300
5,487 [degree] NCR CORP ................................ 163,238
2,000 [degree] NETMANAGE, INC .......................... 5,875
2,400 [degree] NETSCAPE COMMUNICATIONS CORP ............ 76,950
1,000 [degree] NETWORK APPLIANCE, INC .................. 38,000
2,500 [degree] NETWORK GENERAL CORP .................... 37,187
1,600 [degree] OBJECTIVE SYSTEMS INTEGRATORS, INC ...... 13,800
26,250 [degree] ORACLE CORP ............................. 1,322,343
6,800 [degree] PARAMETRIC TECHNOLOGY CORP .............. 289,425
4,100 [degree] PEOPLESOFT, INC ......................... 216,275
1,200 [degree] PHYSICIAN COMPUTER NETWORK, INC ......... 8,100
1,100 [degree] PIXAR, INC .............................. 17,325
2,700 [degree] PLATINUM TECHNOLOGY, INC ................ 35,775
1,200 [degree] POLICY MANAGEMENT SYSTEMS CORP .......... 56,400
1,400 [degree] PSINET, INC ............................. 10,500
2,300 [degree] RATIONAL SOFTWARE CORP .................. 38,668
2,200 [degree] READ RITE CORP .......................... 45,925
4,300 REYNOLDS & REYNOLDS CO (CLASS A) ................. 67,725
1,800 [degree] SAFEGUARD SCIENTIFICS, INC .............. 57,262
400 [degree] SAPIENT CORP ............................ 19,800
1,050 [degree] SCOPUS TECHNOLOGY, INC .................. 23,493
1,800 [degree] SECURITY DYNAMICS TECHNOLOGIES, INC ..... 66,375
1,300 SHARED MEDICAL SYSTEMS CORP ...................... 70,200
1,400 [degree] SHIVA CORP .............................. 14,612
4,111 [degree] STERLING COMMERCE, INC .................. 135,149
1,600 [degree] STERLING SOFTWARE, INC .................. 50,000
1,700 [degree] STRUCTURAL DYNAMICS RESEARCH CORP ....... 44,625
3,800 [degree] SYBASE, INC ............................. 56,525
2,600 [degree] SYMANTEC CORP ........................... 50,700
2,400 [degree] SYNOPSYS, INC ........................... 88,200
1,600 [degree] SYSTEM SOFTWARE ASSOCIATES, INC ......... 12,200
1,000 [degree] SYSTEMSOFT CORP ......................... 10,750
900 [degree] TECHNOLOGY SOLUTIONS CO ................. 35,550
1,800 [degree] TRANSACTION SYSTEM ARCHITECTURE ......... 62,100
1,700 [degree] VANSTAR CORP ............................ 24,012
1,000 [degree] VANTIVE CORP (THE) ...................... 28,250
600 [degree] VERITAS SOFTWARE CORP ................... 30,150
800 [degree] VIASOFT, INC ............................ 40,600
800 [degree] VIDEOSERVER, INC ........................ 10,600
700 [degree] VISIO CORP .............................. 49,350
1,100 [degree] XIRCOM, INC ............................. 13,681
900 [degree] YAHOO, INC .............................. 31,725
1,700 [degree] ZEBRA TECHNOLOGY CORP ................... 47,387
------------
16,632,824
------------
CONGLOMERATES--2.01%
3,300 ALEXANDER & BALDWIN, INC ......................... 86,212
12,800 ALLIED SIGNAL, INC ............................... 1,075,200
2,000 AMERICAN FINANCIAL GROUP, INC .................... 84,875
2,800 [degree] ANIXTER INTERNATIONAL, INC .............. 48,125
1,800 APARTMENT INVESTMENT & MANAGEMENT CO ............. 50,850
1,650 [degree] BLYTH INDUSTRIES, INC ................... 55,687
1,900 BRADY (W.H.) CO (CLASS A) ........................ 55,100
2,500 [degree] COLTEC INDUSTRIES, INC .................. 48,750
2,875 [degree] CONCORD EFS, INC ........................ 74,390
3,600 [degree] COPYTELE, INC ........................... 19,575
2,400 CRANE CO ......................................... 100,350
6,200 ITT INDUSTRIES, INC .............................. 159,650
1,800 JOHNS MANVILLE CORP .............................. 21,262
4,400 JOHNSON CONTROLS, INC ............................ 180,675
3,750 KEYSTONE FINANCIAL, INC .......................... 117,187
2,000 [degree] LITTON INDUSTRIES, INC .................. 96,625
3,600 LOEWS CORP ....................................... 360,450
3,708 MARK IV INDUSTRIES, INC .......................... 88,992
2,700 [degree] METROMEDIA INTERNATIONAL GROUP, INC ..... 34,087
21,400 MINNESOTA MINING & MANUFACTURING CO .............. 2,182,800
8,700 ROCKWELL INTERNATIONAL CORP ...................... 513,300
2,100 STANDEX INTERNATIONAL CORP ....................... 63,000
7,000 TEXTRON, INC ..................................... 464,625
6,800 TRW, INC ......................................... 386,325
7,600 TYCO INTERNATIONAL LTD ........................... 528,675
2,700 [degree] U.S. INDUSTRIES, INC .................... 96,187
13,500 UNITED TECHNOLOGIES CORP ......................... 1,120,500
4,600 VIAD CORP ........................................ 88,550
5,600 WHITMAN CORP ..................................... 134,400
1,200 ZEIGLER COAL HOLDING CO .......................... 28,050
------------
8,364,454
------------
CONSTRUCTION--MATERIALS &
BUILDERS--0.64%
2,400 ARMSTRONG WORLD INDUSTRIES, INC .................. 176,100
2,500 BAY APARTMENT COMMUNITIES, INC ................... 92,500
2,400 [degree] CALMAT CO ............................... 51,600
1,600 CARLISLE COS, INC ................................ 55,800
3,866 [degree] CASTLE & COOKE, INC ..................... 64,030
1,200 [degree] CDI CORP ................................ 50,025
1,700 CENTEX CORP ...................................... 69,062
2,700 [degree] CHAMPION ENTERPRISES, INC ............... 40,500
5,206 CLAYTON HOMES, INC ............................... 74,185
1,200 [degree] EAGLE HARDWARE & GARDEN, INC ............ 27,450
1,400 FASTENAL CO ...................................... 68,600
1,600 FLEETWOOD ENTERPRISES, INC ....................... 47,700
3,100 HORTON (D.R.), INC ............................... 32,162
See notes to financial statements.
- 13 -
<PAGE>
SHARES VALUE
- ---------- ------------
CONSTRUCTION--MATERIALS &
BUILDERS--(continued)
1,600 [degree] JACOBS ENGINEERING GROUP, INC ........... $ 43,000
2,700 KAUFMAN & BROAD HOME CORP ........................ 47,418
3,205 LAFARGE CORP ..................................... 78,522
2,200 LENNAR CORP ...................................... 70,262
3,079 MARTIN MARIETTA MATERIALS, INC ................... 99,682
8,500 MASCO CORP ....................................... 354,875
1,500 MEDUSA CORP ...................................... 57,562
1,450 [degree] MILLER INDUSTRIES, INC .................. 23,200
2,600 OAKWOOD HOMES CORP ............................... 62,400
2,700 OWENS CORNING CO ................................. 116,437
2,200 PLY-GEM INDUSTRIES, INC .......................... 39,875
1,600 PULTE CORP ....................................... 55,300
500 [degree] SECURITY CAPITAL CORP ................... 47,250
7,700 SHERWIN-WILLIAMS CO .............................. 237,737
4,964 SIMON DEBARTOLO GROUP, INC ....................... 158,848
1,700 [degree] SOLA INTERNATIONAL, INC ................. 56,950
1,600 TEXAS INDUSTRIES, INC ............................ 42,500
2,600 [degree] USG CORP ................................ 94,900
1,800 VULCAN MATERIALS CO .............................. 141,300
------------
2,677,732
------------
CONTAINERS--0.12%
2,059 BALL CORP ........................................ 61,898
4,800 CROWN CORK & SEAL CO, INC ........................ 256,500
5,700 [degree] OWENS ILLINOIS, INC ..................... 176,700
------------
495,098
------------
COSMETICS--0.86%
2,500 ALBERTO CULVER CO (CLASS B) ...................... 70,000
6,400 AVON PRODUCTS, INC ............................... 451,600
28,939 GILLETTE CO ...................................... 2,741,970
4,900 INTERNATIONAL FLAVORS & FRAGRANCES, INC .......... 247,450
1,300 LAUDER (ESTEE) CO (CLASS A) ...................... 65,325
------------
3,576,345
------------
ELECTRICAL EQUIPMENT--3.47%
3,900 [degree] AMERICAN POWER CONVERSION CORP .......... 74,100
2,400 AMETEK, INC ...................................... 56,400
1,800 BELDEN, INC ...................................... 61,312
23,100 EMERSON ELECTRIC CO .............................. 1,271,943
170,400 GENERAL ELECTRIC CO .............................. 11,139,900
2,900 GENERAL SIGNAL CORP .............................. 126,512
2,200 GRAINGER (W.W.), INC ............................. 172,012
6,400 HONEYWELL, INC ................................... 485,600
3,260 HUBBELL, INC (CLASS B) ........................... 143,440
2,999 THOMAS & BETTS CORP .............................. 157,634
33,908 WESTINGHOUSE ELECTRIC CORP ....................... 784,122
------------
14,472,975
------------
ELECTRICAL EQUIPMENT--COMPONENTS
DIVERSIFIED--3.60%
7,700 [degree] ADVANCED MICRO DEVICES, INC ............. 277,200
4,500 [degree] ALTERA CORP ............................. 227,250
11,300 AMP, INC ......................................... 471,775
500 [degree] ANADIGICS, INC .......................... 15,500
8,966 [degree] ANALOG DEVICES, INC ..................... 238,159
2,700 [degree] ARROW ELECTRONICS, INC .................. 143,437
5,100 [degree] ATMEL CORP .............................. 142,800
2,400 AVNET, INC ....................................... 138,000
1,500 AVX CORP ......................................... 40,500
2,600 BALDOR ELECTRIC CO ............................... 76,862
1,500 [degree] BURR BROWN CORP ......................... 51,750
1,200 [degree] CHIPS & TECHNOLOGIES, INC ............... 12,450
4,900 [degree] CIRRUS LOGIC, INC ....................... 51,450
1,700 [degree] COMPUTER PRODUCTS, INC .................. 42,500
1,000 [degree] COMVERSE TECHNOLOGY, INC ................ 52,000
460 [degree] CYBERGUARD CORP ......................... 4,082
3,800 [degree] CYPRESS SEMICONDUCTOR CORP .............. 55,100
2,000 DALLAS SEMICONDUCTOR CORP ........................ 78,500
1,900 [degree] ESS TECHNOLOGY .......................... 25,531
1,200 [degree] ETEC SYSTEMS, INC ....................... 51,450
1,500 FISHER SCIENTIFIC INTERNATIONAL, INC ............. 71,250
6,900 [degree] GENERAL INSTRUMENT CORP ................. 172,500
500 [degree] HADCO CORP .............................. 32,750
900 [degree] HUTCHINSON TECHNOLOGY, INC .............. 21,937
4,300 [degree] INTEGRATED DEVICE TECHNOLOGY, INC ....... 45,150
42,700 INTEL CORP ....................................... 6,055,393
3,100 [degree] INTERNATIONAL RECTIFIER CORP ............ 57,737
400 [degree] JABIL CIRCUIT, INC ...................... 33,550
2,300 [degree] KEMET CORP .............................. 57,212
1,600 [degree] KENT ELECTRONICS CORP ................... 58,700
1,400 [degree] LAM RESEARCH CORP ....................... 51,887
1,400 [degree] LATTICE SEMICONDUCTOR CORP .............. 79,100
3,800 LINEAR TECHNOLOGY CO ............................. 196,650
1,500 [degree] LITTLEFUSE, INC ......................... 42,375
800 LOGICON, INC ..................................... 42,400
6,700 [degree] LSI LOGIC CORP .......................... 214,400
2,400 [degree] MAGNETEK, INC ........................... 39,900
1,900 [degree] MARSHALL INDUSTRIES, INC ................ 70,775
3,200 [degree] MAXIM INTEGRATED PRODUCTS ............... 182,000
1,200 [degree] MEMC ELECTRONIC MATERIALS, INC .......... 39,300
2,100 METHODE ELECTRONICS, INC (CLASS A) ............... 41,737
8,700 [degree] MICRON TECHNOLOGY, INC .................. 347,456
5,070 MOLEX, INC ....................................... 185,055
31,600 MOTOROLA, INC .................................... 2,401,600
800 [degree] MRV COMMUNICATIONS, INC ................. 23,600
7,500 [degree] NATIONAL SEMICONDUCTOR CORP ............. 229,687
1,000 [degree] OAK INDUSTRIES, INC ..................... 28,750
1,800 [degree] PMC-SIERRA, INC ......................... 47,250
2,700 [degree] S3, INC ................................. 29,700
1,200 [degree] SANMINA CORP ............................ 76,200
800 [degree] SMART MODULAR TECHNOLOGIES, INC ......... 27,000
2,000 SYMBOL TECHNOLOGIES, INC ......................... 67,250
1,400 [degree] TCSI CORP ............................... 7,350
10,200 TEXAS INSTRUMENTS, INC ........................... 857,437
1,900 [degree] TRIMBLE NAVIGATION LTD .................. 33,725
1,100 [degree] UCAR INTERNATIONAL, INC ................. 50,325
1,000 [degree] UNIPHASE CORP ........................... 58,250
600 [degree] UNITRODE CORP ........................... 30,225
2,000 [degree] VICOR CORP .............................. 45,000
3,018 [degree] VISHAY INTERTECHNOLOGY, INC ............. 87,333
1,500 [degree] VITESSE SEMICONDUCTOR CORP .............. 49,031
2,400 [degree] VLSI TECHNOLOGY, INC .................... 56,700
1,800 [degree] WATERS CORP ............................. 64,575
4,800 [degree] WESTERN DIGITAL CORP .................... 151,800
1,200 WYLE ELECTRONICS ................................. 47,400
3,700 [degree] XILINX, INC ............................. 181,531
1,700 [degree] ZILOG, INC .............................. 32,300
------------
15,019,529
------------
See notes to financial statements.
-14-
<PAGE>
SHARES VALUE
- ---------- -----------
ELECTRICAL EQUIPMENT--
INSTRUMENTS--0.49%
9,300 [degree] APPLIED MATERIALS, INC .................. $ 658,556
1,500 BECKMAN INSTRUMENTS, INC ......................... 72,375
900 [degree] BERG ELECTRICS CORP ..................... 32,343
800 [degree] COHERENT, INC ........................... 35,600
1,100 [degree] DESTEC ENERGY, INC ...................... 23,718
1,400 [degree] DIONEX CORP ............................. 71,750
2,800 [degree] ELECTRONICS FOR IMAGING, INC ............ 132,300
1,700 [degree] GENRAD, INC ............................. 38,462
500 [degree] IDX SYSTEMS CORP ........................ 17,250
2,300 [degree] INPUT/OUTPUT, INC ....................... 41,687
4,100 [degree] KLA INSTRUMENTS CORP .................... 199,875
1,100 [degree] KULICHE & SOFFA INDUSTRIES, INC ......... 35,715
2,400 PERKIN-ELMER CORP ................................ 190,950
1,700 [degree] SILICON VALLEY GROUP, INC ............... 44,837
1,800 TEKTRONIX, INC ................................... 108,000
4,500 [degree] TERADYNE, INC ........................... 176,625
900 [degree] THERMO INSTRUMENT SYSTEMS, INC .......... 27,450
1,500 VARIAN ASSOCIATES, INC ........................... 81,375
2,300 X RITE, INC ...................................... 43,700
-------------
2,032,568
-------------
ENVIRONMENTAL CONTROL--0.49%
5,000 [degree] ALLIED WASTE INDUSTRIES, INC ........... 86,875
10,700 BROWNING FERRIS INDUSTRIES, INC .................. 355,775
1,100 [degree] CULLIGAN WATER TECHNOLOGIES, INC ........ 49,225
2,600 OGDEN CORP ....................................... 56,550
8,300 [degree] REPUBLIC INDUSTRIES, INC ................ 206,462
3,150 [degree] U.S. FILTER CORP ....................... 85,837
7,010 [degree] U.S.A. WASTE SERVICES, INC .............. 270,761
2,500 [degree] UNITED WASTE SYSTEMS, INC .............. 102,500
24,270 WASTE MANAGEMENT, INC ............................ 779,673
4,200 WHEELABRATOR TECHNOLOGIES, INC ................... 64,837
-------------
2,058,495
-------------
FINANCIAL--MISCELLANEOUS--4.40%
1,500 AAMES FINANCIAL CORP ............................ 27,750
2,400 ADVANTA CORP (CLASS A) ........................... 88,200
1,500 ALEX BROWN, INC .................................. 105,937
1,700 AMBAC, INC ....................................... 129,837
24,800 AMERICAN EXPRESS CO .............................. 1,847,600
13,977 AMERICAN GENERAL CORP ............................ 667,401
1,600 [degree] AMRESCO, INC ............................ 34,400
2,000 [degree] ARCADIA FINANCIAL LTD ................... 18,375
2,500 ASTORIA FINANCIAL CORP ........................... 118,750
2,930 BEACON PROPERTIES CORP ........................... 97,788
7,324 BEAR STEARNS COS, INC ............................ 250,389
2,700 BENEFICIAL CORP .................................. 191,868
270 [degree] CALIFORNIA FEDERAL BANCORP (SCLP) ....... 4,556
2,581 CAPSTEAD MORTGAGE CORP ........................... 63,718
2,900 CARR AMERICA REALTY CORP ......................... 83,375
2,800 CASE CORP ........................................ 192,850
4,800 [degree] CATELLUS DEVELOPMENT CORP .............. 87,000
500 [degree] CITYSCAPE FINANCIAL CORP ................ 9,968
2,000 CMAC INVESTMENT CORP ............................ 95,500
1,300 [degree] COAST SAVINGS FINANCIAL, INC ........... 59,068
1,900 COLLECTIVE BANCORP, INC ......................... 85,262
3,450 COMDISCO, INC .................................... 89,700
1,700 COMMERCIAL FEDERAL CORP ......................... 63,112
400 [degree] CONTIFINANCIAL CORP .................... 14,600
5,776 COUNTRYWIDE CREDIT INDUSTRIES, INC ............... 180,139
1,600 [degree] CREDIT ACCEPTANCE CORP .................. 20,600
4,000 CWM MORTGAGE HOLDINGS, INC ....................... 95,750
1,000 [degree] DELPHI FINANCIAL GROUP, INC ............. 38,500
1,800 DEVELOPERS DIVERSIFIED REALTY CORP ............... 72,000
800 DONALDSON, LUFKIN, & JENRETTE, INC ............... 47,800
1,824 DUKE REALTY INVESTMENTS, INC ..................... 73,872
3,400 DYNEX CAPITAL, INC ............................... 47,387
1,140 [degree] ECHELON INTERNATIONAL CORP .............. 26,006
3,300 EDWARDS (A.G.), INC .............................. 141,075
900 ENHANCE FINANCIAL SERVICES GROUP, INC ............ 39,487
800 [degree] ENVOY CORP .............................. 26,600
4,750 EQUITY RESIDENTIAL PROPERTIES TRUST CO ........... 225,625
36,900 FEDERAL HOME LOAN MORTGAGE CORP .................. 1,268,437
55,600 FEDERAL NATIONAL MORTGAGE ASSOCIATION ............ 2,425,550
3,100 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD ........ 120,706
1,700 FINOVA GROUP, INC ................................ 130,050
2,750 FIRST FINANCIAL CORP (WISCONSIN) ................. 80,781
800 [degree] FIRSTPLUS FINANCIAL GROUP, INC .......... 27,200
4,370 FRANCHISE FINANCE CORP OF AMERICA ................ 113,893
4,050 FRANKLIN RESOURCES, INC .......................... 293,878
4,422 FULTON FINANCIAL CORP ............................ 119,394
2,300 [degree] GARTNER GROUP, INC (CLASS A) ............ 82,656
2,400 GENERAL GROWTH PROPERTIES, INC ................... 80,400
3,400 [degree] GLENDALE FEDERAL SAVINGS BANK, INC ...... 88,825
2,500 GOLDEN WEST FINANCIAL CORP ....................... 175,000
6,511 GREAT WESTERN FINANCIAL CORP ..................... 349,966
7,400 GREEN TREE FINANCIAL CORP ........................ 263,625
4,600 H.F. AHMANSON & CO ............................... 197,800
6,300 HEALTH AND RETIREMENT PROPERTY TRUST ............. 118,518
2,900 HIGHWOODS PROPERTIES, INC ........................ 92,800
5,102 HOUSEHOLD INTERNATIONAL, INC ..................... 599,166
1,300 LEGG MASON, INC .................................. 69,956
6,200 LEHMAN BROTHERS HOLDINGS, INC .................... 251,100
2,300 [degree] LEUCADIA NATIONAL CORP .................. 71,156
16,325 MBNA CORP ........................................ 597,903
4,300 MEDITRUST CORP ................................... 171,462
6,450 [degree] MERCURY FINANCE CO ...................... 15,721
19,900 MERRILL LYNCH & CO, INC .......................... 1,186,537
3,351 MERRY LAND & INVESTMENT CO, INC .................. 72,674
23,455 MORGAN STANLEY, DEAN WITTER, DISCOVER ............ 1,010,030
5,272 NEW PLAN REALTY TRUST ............................ 116,313
3,800 PAINE WEBBER GROUP, INC .......................... 133,000
5,700 PENNCORP FINANCIAL GROUP, INC .................... 219,450
3,400 PIONEER GROUP, INC ............................... 78,200
1,400 PMI GROUP, INC ................................... 87,325
2,700 PRICE (T. ROWE) ASSOCIATES, INC .................. 139,387
4,800 PUBLIC STORAGE, INC .............................. 140,400
1,500 QUICK & REILLY GROUP, INC ........................ 34,875
2,300 REALTY INCOME CORP ............................... 60,375
3,200 ROOSEVELT FINANCIAL GROUP, INC ................... 70,400
5,600 SALOMON, INC ..................................... 311,500
6,000 SCHWAB (CHARLES) CORP ............................ 244,125
900 [degree] SEACOR SMIT, INC ........................ 47,081
2,700 SECURITY CAPITAL PACIFIC TRUST ................... 61,762
400 SIRROM CAPITAL CORP .............................. 13,800
2,300 SPIEKER PROPERTIES, INC .......................... 80,931
700 [degree] SPS TRANSACTION SERVICES, INC ........... 12,950
2,900 STORAGE USA, INC ................................. 110,925
2,700 STUDENT LOAN MARKETING ASSOCIATION ............... 342,900
1,800 TCF FINANCIAL CORP ............................... 88,875
1,700 THE MONEY STORE, INC ............................. 48,768
3,300 TIG HOLDINGS, INC ................................ 103,125
See notes to financial statements.
- 15 -
<PAGE>
SHARES VALUE
- ---------- -------------
FINANCIAL--MISCELLANEOUS--(continued)
4,000 UNITED ASSET MANAGEMENT CORP ....................... $ 113,250
1,600 UNITED COS FINANCIAL CORP .......................... 45,200
6,658 UNITED DOMINION REALTY TRUST, INC .................. 94,460
-------------
18,336,406
-------------
FOODS--2.10%
29,102 ARCHER DANIELS MIDLAND CO .......................... 683,897
13,200 CAMPBELL SOUP CO ................................... 660,000
2,800 CHIQUITA BRANDS INTERNATIONAL, INC ................. 38,500
11,700 CONAGRA, INC ....................................... 750,262
7,400 CPC INTERNATIONAL, INC ............................. 683,112
2,200 DEAN FOODS CO ...................................... 88,825
2,400 DOLE FOOD, INC ..................................... 102,600
800 DREYERS GRAND ICE CREAM, INC ....................... 31,600
804 EARTHGRAINS CO ..................................... 52,712
5,550 FLOWERS INDUSTRIES, INC ............................ 93,309
8,107 GENERAL MILLS, INC ................................. 527,968
4,100 [degree] GENERAL NUTRITION COS, INC ................ 114,800
17,000 HEINZ (H.J.) CO .................................... 784,125
5,000 HERSHEY FOODS CORP ................................. 276,562
2,700 HORMEL FOODS CORP .................................. 72,562
6,100 IBP, INC ........................................... 141,825
100 INTERSTATE BAKERIES CORP ........................... 5,931
100 [degree] JP FOODSERVICE, INC ....................... 2,868
4,600 KELLOGG CO ......................................... 393,875
1,900 LANCE, INC ......................................... 36,337
4,000 MCCORMICK & CO, INC (NON-VTG) ...................... 101,000
4,500 NABISCO HOLDINGS CORP (CLASS A) .................... 179,437
1,300 NATURES SUNSHINE PRODUCTS, INC ..................... 23,562
3,700 PIONEER-HI-BRED INTERNATIONAL, INC ................. 296,000
7,100 QUAKER OATS CO ..................................... 318,612
2,500 [degree] RALCORP HOLDINGS, INC ..................... 36,875
5,200 RALSTON PURINA CO .................................. 427,375
2,550 RICHFOOD HOLDINGS, INC ............................. 66,300
25,300 SARA LEE CORP ...................................... 1,053,112
1,300 [degree] SMITHFIELD FOODS, INC ..................... 79,950
1,179 [degree] SMITH'S FOOD & DRUG CENTERS, INC (CLASS B). 63,223
6,400 TYSON FOODS, INC ................................... 122,400
1,500 UNIVERSAL FOODS CORP ............................... 57,187
1,400 [degree] WHOLE FOODS MARKET, INC ................... 46,375
5,100 WRIGLEY (WM) JR CO ................................. 341,700
-------------
8,754,778
-------------
FOREST PRODUCTS--0.42%
2,600 BOISE CASCADE CORP ................................. 91,812
4,100 CHAMPION INTERNATIONAL CORP ........................ 226,525
4,600 GEORGIA-PACIFIC CORP ............................... 392,725
6,100 LOUISIANA PACIFIC CORP ............................. 128,862
1,800 POTLATCH CORP ...................................... 81,450
2,300 RAYONIER, INC ...................................... 96,743
10,300 WEYERHAEUSER CO .................................... 535,600
2,700 WILLAMETTE INDUSTRIES, INC ......................... 189,000
-------------
1,742,717
-------------
HEALTHCARE--DRUGS--6.60%
2,400 [degree] ADVANCED TISSUE SCIENCE CO ................ 30,900
1,100 [degree] AGOURON PHARMACEUTICALS, INC .............. 88,962
900 [degree] ALKERMES, INC ............................. 13,050
3,600 ALLERGAN, INC ...................................... 114,525
1,800 [degree] ALLIANCE PHARMACEUTICAL CORP .............. 18,112
4,800 [degree] ALZA CORP ................................. 139,200
33,200 AMERICAN HOME PRODUCTS CORP ........................ 2,539,800
13,800 [degree] AMGEN, INC ................................ 802,125
1,800 [degree] AMYLIN PHARMACEUTICALS, INC ............... 24,750
3,300 ARBOR DRUGS, INC ................................... 66,412
2,875 BERGEN BRUNSWIG CORP (CLASS A) ..................... 80,140
3,800 [degree] BIO-TECHNOLOGY GENERAL CORP ............... 51,300
4,200 [degree] BIOGEN, INC ............................... 142,275
51,700 BRISTOL MYERS SQUIBB CO ............................ 4,187,700
3,700 [degree] CENTOCOR, INC ............................. 114,931
1,200 [degree] CEPHALON, INC ............................. 13,800
9,240 [degree] CHIRON CORP ............................... 192,885
1,050 [degree] CLINTRIALS, INC ........................... 12,600
1,600 [degree] COLUMBIA LABORATORIES, INC ................ 26,200
2,300 [degree] DURA PHARMACEUTICALS, INC ................. 91,712
708 [degree] ELAN CORP PLC ADR ......................... 32,037
2,200 [degree] FOREST LABORATORIES, INC .................. 91,162
4,000 [degree] GENZYME CORP (GENERAL DIVISION) ........... 111,000
40 [degree] GENZYME CORP (TISSUE REPAIR DIVISION) ..... 405
1,800 [degree] GILEAD SCIENCES, INC ...................... 49,725
900 [degree] IDEC PHARMACEUTICALS CORP ................. 21,825
1,900 [degree] IMMUNEX CORP .............................. 68,875
2,000 [degree] INTERNEURON PHARMACEUTICALS, INC .......... 40,250
1,600 [degree] ISIS PHARMACEUTICALS, INC ................. 23,300
6,100 [degree] IVAX CORP ................................. 68,243
1,300 JONES MEDICAL INDUSTRIES, INC ...................... 61,750
1,400 LIFE TECHNOLOGIES, INC ............................. 38,850
23,946 LILLY (ELI) & CO ................................... 2,617,597
2,000 [degree] LIPOSOME CO, INC .......................... 17,875
2,500 [degree] MATRIX PHARMACEUTICALS, INC ............... 16,718
63,000 MERCK & CO, INC .................................... 6,520,500
6,500 MYLAN LABORATORIES, INC ............................ 95,875
1,900 [degree] NEXSTAR PHARMACEUTICALS, INC .............. 27,075
1,400 [degree] PAREXEL INTERNATIONAL CORP ................ 44,450
33,200 PFIZER, INC ........................................ 3,967,400
23,280 PHARMACIA & UPJOHN, INC ............................ 808,980
700 [degree] PROTEIN DESIGN LABORATORIES, INC .......... 19,950
2,400 RHONE-POULNEC RORER, INC ........................... 218,100
1,400 [degree] ROBERTS PHARMACEUTICAL CORP ............... 15,662
1,200 [degree] SCHERER (R.P.) CORP ....................... 61,950
37,600 SCHERING-PLOUGH CORP ............................... 1,800,100
1,700 [degree] SEPRACOR, INC ............................. 43,881
2,200 [degree] SEQUUS PHARMACEUTICALS, INC ............... 14,025
1,400 [degree] VERTEX PHARMACEUTICALS, INC ............... 53,550
14,000 WARNER-LAMBERT CO .................................. 1,739,500
1,800 [degree] WATSON PHARMACEUTICALS, INC ............... 76,050
-------------
27,518,039
-------------
HEALTHCARE--HOSPITAL SUPPLY--1.16%
69,102 JOHNSON & JOHNSON CO ............................... 4,448,441
1,900 MCKESSON CORP ...................................... 147,250
2,600 MILLIPORE CORP ..................................... 114,400
3,300 U.S. SURGICAL CORP ................................. 122,925
-------------
4,833,016
-------------
HEALTHCARE--OTHER--1.90%
40,000 ABBOTT LABORATORIES CO ............................. 2,670,000
900 [degree] ACCESS HEALTH, INC ........................ 22,050
1,400 [degree] ACUSON CORP ............................... 32,200
1,000 [degree] ADVANCED TECHNOLOGY LABORATORIES, INC ..... 43,000
3,280 ALLEGIANCE CORP .................................... 89,380
1,400 ARROW INTERNATIONAL, INC ........................... 40,950
1,700 BALLARD MEDICAL PRODUCTS CO ........................ 34,106
3,100 BARD (C.R.), INC ................................... 112,568
See notes to financial statements.
- 16 -
<PAGE>
SHARES VALUE
- ---------- ------------
HEALTHCARE--OTHER--(continued)
2,500 BAUSCH & LOMB, INC ................................. $ 117,809
13,900 BAXTER INTERNATIONAL, INC .......................... 726,275
6,600 BECTON DICKINSON & CO .............................. 334,125
5,900 [degree] BIOMET, INC ............................... 109,887
5,542 [degree] BOSTON SCIENTIFIC CORP .................... 340,486
1,800 [degree] COVENTRY CORP ............................. 27,225
500 [degree] CYTYC CORP ................................ 13,562
1,200 DENTSPLY INTERNATIONAL, INC ........................ 58,800
1,900 [degree] GENESIS HEALTH VENTURES, INC .............. 64,125
3,856 GUIDANT CORP ....................................... 327,760
1,600 [degree] GULF SOUTH MEDICAL SUPPLY, INC ............ 31,200
1,500 [degree] HAEMONETICS CORP .......................... 28,687
2,600 HILLENBRAND INDUSTRIES, INC ........................ 123,500
1,400 [degree] HUMAN GENOME SCIENCES, INC ................ 46,550
2,000 [degree] IDEXX LABORATORIES, INC ................... 24,875
1,700 KINETIC CONCEPTS, INC .............................. 30,600
5,200 [degree] MEDAPHIS CORP ............................. 52,325
12,200 MEDTRONIC, INC ..................................... 988,200
1,500 MENTOR CORP ........................................ 44,437
3,600 [degree] NELLCOR PURITAN BENNETT, INC .............. 65,250
2,500 [degree] NEUROMEDICAL SYSTEMS, INC ................. 13,828
3,600 OWENS & MINOR, INC ................................. 53,775
6,600 PALL CORP .......................................... 153,450
1,900 [degree] PATTERSON DENTAL CO ....................... 65,193
1,100 [degree] PHARMACEUTICAL PRODUCT DEVELOPMENT .... ... 24,200
1,200 [degree] PHYMATRIX CORP ............................ 18,450
1,800 [degree] PHYSICIAN RELIANCE NETWORK, INC ........... 16,875
2,200 [degree] PHYSICIAN SALES & SERVICE, INC ............ 41,800
2,500 [degree] PLAYTEX PRODUCTS, INC ..................... 23,437
1,762 [degree] QUEST DIAGNOSTICS, INC .................... 36,231
900 [degree] SCHEIN (HENRY), INC ....................... 28,125
1,200 [degree] SOFAMOR DANEK GROUP, INC .................. 54,900
4,250 [degree] ST. JUDE MEDICAL, INC ..................... 165,750
1,800 [degree] STERIS CORP ............................... 67,275
2,900 STEWART ENTERPRISES, INC (CLASS A) ................. 121,800
3,900 [degree] STRYKER CORP .............................. 136,012
2,850 [degree] SUMMIT TECHNOLOGY, INC .................... 18,881
1,900 [degree] SUNRISE MEDICAL, INC ...................... 28,737
3,100 [degree] SYBRON INTERNATIONAL CORP ................. 123,612
1,900 [degree] THERMEDICS, INC ........................... 29,806
900 [degree] THERMO CARDIOSYSTEMS, INC ................. 23,400
800 [degree] THERMOTREX CORP ........................... 19,950
2,200 [degree] VIVUS, INC ................................ 52,387
344 [degree] VITALINK PHARMACY SERVICES, INC ........... 6,579
-------------
7,924,385
-------------
HEALTHCARE--SERVICE--1.76%
7,467 AETNA, INC ......................................... 764,434
1,800 [degree] AMERISOURCE HEALTH CORP (CLASS A) ......... 89,775
1,000 [degree] ANALYSTS INTERNATIONAL CORP ............... 33,500
2,700 [degree] APRIA HEALTHCARE GROUP, INC ............... 47,925
5,600 [degree] BEVERLY ENTERPRISES CO .................... 91,000
5,373 CARDINAL HEALTH, INC ............................... 307,604
1,500 [degree] CERNER CORP ............................... 31,500
35,438 COLUMBIA/HCA HEALTHCARE CORP ....................... 1,393,156
3,725 [degree] COVANCE, INC .............................. 71,939
900 FAIR ISSAC & CO, INC ............................... 40,106
6,600 [degree] FOUNDATION HEALTH SYSTEMS (CLASS A) ... ... 200,062
2,150 [degree] HEALTH CARE & RETIREMENT CORP ............. 71,756
2,600 HEALTH CARE PROPERTY INVESTORS, INC ................ 91,650
5,600 [degree] HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) .......................................... 159,600
1,300 [degree] HEALTH MANAGEMENT SYSTEMS, INC ............ 5,931
1,700 [degree] HEALTHCARE COMPARE CO ..................... 89,037
16,300 [degree] HEALTHSOUTH CORP .......................... 406,481
2,800 [degree] HORIZON/CMS HEALTHCARE CORP ............... 56,175
8,900 [degree] HUMANA, INC ............................... 205,812
1,500 [degree] INTEGRATED HEALTH SERVICES, INC ........... 57,750
2,200 INVACARE CORP ...................................... 51,425
6,252 [degree] LABORATORY CORP OF AMERICA HOLDINGS ....... 16,411
260 [degree] LABORATORY CORP OF AMERICA HOLDINGS
WTS 4/28/00 ....................................... 16
1,600 [degree] LINCARE HOLDINGS, INC ..................... 68,800
1,500 [degree] LIVING CENTERS OF AMERICA, INC ............ 59,250
2,200 [degree] MAGELLAN HEALTH SERVICES, INC ............. 64,900
2,400 MANOR CARE, INC .................................... 78,300
2,600 [degree] MARINER HEALTH GROUP, INC ................. 40,137
900 [degree] MAXICARE HEALTH PLANS, INC ................ 20,137
8,574 [degree] MEDPARTNERS, INC .......................... 185,412
2,200 [degree] MID ATLANTIC MEDICAL SERVICES, INC ........ 34,237
1,566 MORRISON HEALTH CARE, INC .......................... 24,958
1,500 [degree] MULTICARE COS, INC ........................ 41,062
3,100 [degree] NOVACARE, INC ............................. 43,012
1,500 [degree] OCCUSYSTEMS, INC .......................... 43,500
3,400 OMEGA HEALTHCARE INVESTORS, INC .................... 111,137
3,700 OMNICARE, INC ...................................... 116,087
1,000 [degree] ORTHODONTIC CENTERS OF AMERICA, INC ....... 18,187
3,900 [degree] OXFORD HEALTH PLANS, INC .................. 279,825
512 [degree] PACIFICARE HEALTH SYSTEMS, INC (CLASS A) .. 31,008
1,252 [degree] PACIFICARE HEALTH SYSTEMS, INC (CLASS B) .. 79,971
800 [degree] PEDIATRIX MEDICAL GROUP, INC .............. 36,650
3,000 [degree] PHYCOR, INC ............................... 103,312
2,500 [degree] PHYSICIAN CORP OF AMERICA ................. 15,937
1,400 [degree] PHYSICIANS RESOURCE GROUP INC ............. 12,600
1,800 [degree] RENAL TREATMENT CENTERS, INC .............. 48,375
2,200 [degree] ROTECH MEDICAL CORP ....................... 44,137
1,000 [degree] SIERRA HEALTH SERVICES, INC ............... 31,250
2,700 [degree] SUN HEALTHCARE GROUP, INC ................. 56,193
15,925 [degree] TENET HEALTHCARE CORP ..................... 470,782
1,300 [degree] TOTAL RENAL CARE HOLDINGS, INC ............ 52,243
9,800 UNITED HEALTHCARE CORP ............................. 509,600
2,500 [degree] UNIVERSAL HEALTH SERVICES, INC ............ 96,250
2,700 [degree] VALUE HEALTH, INC ......................... 54,675
2,941 [degree] VENCOR, INC ............................... 124,257
1,567 [degree] WELLPOINT HEALTH NETWORKS, INC ............ 71,886
-------------
7,351,112
-------------
HOUSEHOLD--CONSUMER
ELECTRONICS--0.01%
1,035 HARMAN INTERNATIONAL INDUSTRIES, INC ............... 43,599
1,300 [degree] ZENITH ELECTRONICS CORP ................... 15,356
-------------
58,955
-------------
HOUSEHOLD--DURABLE GOODS--0.38%
1,700 BASSETT FURNITURE INDUSTRIES, INC .................. 48,131
5,000 BLACK & DECKER CORP ................................ 185,937
1,800 [degree] GENTEX CORP................................ 35,550
1,000 LA-Z-BOY, INC ...................................... 36,000
5,000 LEGGETT & PLATT, INC .............................. 215,000
1,000 LIBBEY, INC ....................................... 35,000
4,900 MAYTAG CO .......................................... 128,012
8,200 NEWELL COS, INC .................................... 324,925
See notes to financial statements.
- 17 -
<PAGE>
SHARES VALUE
- ---------- ------------
HOUSEHOLD--DURABLE GOODS--(continued)
6,000 SHAW INDUSTRIES, INC ....................... $ 63,750
3,500 STANLEY WORKS CO ........................... 140,000
4,200 SUNBEAM CORP ............................... 158,550
3,800 WHIRLPOOL CORP ............................. 207,337
------------
1,578,192
------------
HOUSEHOLD--PRODUCTS--2.08%
1,600 APTARGROUP, INC ............................ 72,400
875 [degree] BRIGHTPOINT, INC .................. 28,492
500 [degree] CHICAGO MINIATURE LAMP, INC ....... 12,437
1,000 CHURCH & DWIGHT CO, INC .................... 26,750
1,800 CLOROX CO .................................. 237,600
14,800 COLGATE PALMOLIVE CO ....................... 965,700
5,000 DIAL CORP .................................. 78,125
2,500 FIRST BRANDS CORP .......................... 57,343
28,600 KIMBERLY-CLARK CORP ........................ 1,422,850
1,300 LANCASTER COLONY CORP ...................... 62,887
4,300 [degree] PERRIGO CO ........................ 53,750
3,300 PREMARK INTERNATIONAL, INC ................. 88,275
35,300 PROCTER & GAMBLE CO ........................ 4,986,125
8,000 RUBBERMAID, INC ............................ 238,000
2,100 [degree] SCOTTS CO (CLASS A) ............... 60,900
1,600 STANHOME, INC .............................. 52,600
2,000 TAMBRANDS, INC ............................. 99,750
3,300 TUPPERWARE CORP ............................ 120,450
600 [degree] USA DETERGENTS, INC ............... 6,150
------------
8,670,584
------------
INSURANCE--BROKERS & OTHER--0.33%
1,200 [degree] ABR INFORMATION SERVICES, INC ..... 34,800
1,200 ACORDIA, INC ............................... 48,000
7,600 EQUIFAX, INC ............................... 282,625
1,800 GALLAGHER (ARTHUR J.) & CO ................. 67,950
1,700 JOHN ALDEN FINANCIAL CORP .................. 35,593
7,400 MARSH & MCLENNAN COS, INC .................. 528,175
2,100 MBIA, INC .................................. 236,906
900 NORRELL CORP ............................... 29,700
2,700 [degree] QUORUM HEALTH GROUP, INC .......... 96,525
------------
1,360,274
------------
INSURANCE--LIFE--0.76%
2,085 [degree] AEGON N.V. ARS .................... 146,080
2,100 [degree] AMERIN CORP ....................... 50,925
7,050 AON CORP ................................... 364,837
900 BERKLEY (W.R.) CORP ........................ 52,987
8,332 CONSECO, INC ............................... 308,284
3,700 EQUITABLE COS, INC ......................... 123,025
1,600 EQUITABLE OF IOWA COS ...................... 89,600
3,600 JEFFERSON-PILOT CORP ....................... 251,550
1,100 LIBERTY CORP ............................... 44,825
700 LIFE RE CORP ............................... 32,637
1,800 PRESIDENTIAL LIFE CORP ..................... 34,875
1,800 PROTECTIVE LIFE CORP ....................... 90,450
2,550 PROVIDENT COS, INC ......................... 136,425
4,800 [degree] PROVIDIAN FINANCIAL CORP .......... 154,200
1,100 REINSURANCE GROUP OF AMERICA, INC .......... 63,250
3,400 RELIANCE GROUP HOLDINGS, INC ............... 40,375
2,242 RELIASTAR FINANCIAL CORP ................... 163,946
5,700 SUNAMERICA, INC ............................ 277,875
3,600 TORCHMARK CORP ............................. 256,500
6,900 UNUM CORP .................................. 289,800
1,700 VESTA INSURANCE GROUP, INC ................. 73,525
4,500 WESTERN NATIONAL CORP ...................... 120,656
------------
3,166,627
------------
INSURANCE--MULTI-LINE,
PROPERTY & CASUALTY--3.30%
2,700 20TH CENTURY INDUSTRIES .................... 56,700
6,850 AFLAC, INC ................................. 323,662
1,800 ALLIED GROUP, INC .......................... 68,400
2,800 ALLMERICA FINANCIAL CORP ................... 111,650
3,400 ALLMERICA PROPERTY & CASUALTY COS, INC 111,350
21,578 ALLSTATE CORP .............................. 1,575,194
1,500 AMERICAN BANKERS INSURANCE GROUP, INC 94,875
20,200 AMERICAN INTERNATIONAL GROUP, INC .......... 3,017,375
900 CAPITAL RE CORP ............................ 48,150
400 CAPMAC HOLDINGS, INC ....................... 13,450
8,900 CHUBB CORP ................................. 595,187
3,800 CIGNA CORP ................................. 674,500
2,996 CINCINNATI FINANCIAL CORP .................. 236,684
500 [degree] CNA FINANCIAL CORP ................ 52,718
3,000 EVEREST REINSURANCE HOLDINGS, INC .......... 118,875
900 FIRST AMERICAN FINANCIAL CORP .............. 35,100
1,650 FREMONT GENERAL CORP ....................... 66,412
600 FRONTIER INSURANCE GROUP, INC .............. 38,850
4,100 GENERAL REINSURANCE CORP ................... 746,200
6,000 HARTFORD FINANCIAL SERVICES GROUP, INC . 496,500
1,500 HCC INSURANCE HOLDINGS, INC ................ 40,031
1,820 [degree] HIGHLANDS INSURANCE GROUP, INC . 36,627
1,400 HORACE MANN EDUCATORS CORP ................. 68,600
1,100 HSB GROUP, INC ............................. 58,712
1,300 [degree] INSURANCE AUTO AUCTIONS, INC ...... 12,350
5,100 LINCOLN NATIONAL CORP ...................... 328,312
700 MERCURY GENERAL CORP ....................... 50,925
5,800 MGIC INVESTMENT CORP ....................... 278,037
1,500 NAC RE CORP ................................ 72,562
1,700 OHIO CASUALTY CORP ......................... 74,800
5,000 OLD REPUBLIC INTERNATIONAL CORP ............ 151,562
1,000 ORION CAPITAL CORP ......................... 73,750
2,300 PROGRESSIVE CORP ........................... 200,100
6,800 SAFECO CORP ................................ 317,475
1,700 SELECTIVE INSURANCE GROUP, INC ............. 82,343
3,700 ST. PAUL COS, INC .......................... 282,125
3,700 TRANSAMERICA CORP .......................... 346,181
600 TRANSATLANTIC HOLDINGS, INC ................ 59,550
33,700 TRAVELERS GROUP, INC ....................... 2,125,206
3,900 TRAVELERS PROPERTY CASUALTY CORP ........... 155,512
2,400 [degree] UICI .............................. 70,800
600 [degree] UNITED WISCONSIN SERVICES, INC .... 20,212
1,900 UNITRIN, INC ............................... 115,900
5,800 USF&G CORP ................................. 139,200
2,500 [degree] ZURICH REINSURANCE CENTRE
HOLDINGS, INC .............................. 98,750
-------------
13,741,454
-------------
LEISURE TIME--1.25%
600 [degree] ANCHOR GAMING CO .................. 28,650
3,200 ARCTIC CAT, INC ............................ 33,200
1,222 [degree] ASCENT ENTERTAINMENT GROUP, INC ... 11,150
1,800 AUTHENTIC FITNESS CORP ..................... 22,725
3,000 [degree] BOYD GAMING CORP .................. 17,250
5,200 BRUNSWICK CORP ............................. 162,500
3,800 CALLAWAY GOLF CO ........................... 134,900
600 CARNIVAL CORP (CLASS A) .................... 24,750
1,503 [degree] CHRIS CRAFT INDUSTRIES, INC ....... 72,519
See notes to financial statements.
- 18 -
<PAGE>
SHARES VALUE
- ---------- -------------
LEISURE TIME--(continued)
5,200 [degree] CIRCUS CIRCUS ENTERPRISES, INC ..... $ 128,050
35,378 DISNEY (WALT) CO ............................ 2,839,084
1,100 [degree] GALOOB TOYS, INC ................... 20,762
2,200 [degree] GRAND CASINOS, INC ................. 32,450
2,300 [degree] GTECH HOLDINGS CORP ................ 74,175
4,900 [degree] HARRAHS ENTERTAINMENT, INC ......... 88,200
5,900 HASBRO, INC ................................. 167,412
1,100 [degree] HOLLYWOOD ENTERTAINMENT CORP ....... 25,162
5,900 INTERNATIONAL GAME TECHNOLOGY CO ............ 104,725
2,400 JOSTENS, INC ................................ 64,200
1,300 K2, INC ..................................... 41,193
1,300 KIMBALL INTERNATIONAL, INC (CLASS B) ........ 52,325
14,793 MATTEL, INC ................................. 501,112
9,700 [degree] MIRAGE RESORT, INC ................. 244,925
2,100 OUTBOARD MARINE CORP ........................ 37,275
2,950 [degree] PLAYERS INTERNATIONAL, INC ......... 8,850
1,200 [degree] PRIMADONNA RESORTS, INC ............ 23,175
1,900 [degree] REGAL CINEMAS, INC ................. 62,700
1,500 SHOWBOAT, INC ............................... 26,156
600 [degree] SODAK GAMING, INC .................. 8,850
700 [degree] SPEEDWAY MOTORSPORTS, INC .......... 15,225
2,700 [degree] SPELLING ENTERTAINMENT GROUP, INC . 18,562
1,900 [degree] STATION CASINOS, INC ............... 15,912
1,700 STRUM, RUGER & CO, INC ...................... 33,362
2,300 [degree] TRUMP HOTEL & CASINO RESORT, INC . 24,725
325 [degree] WHG RESORTS & CASINO, INC .......... 3,534
1,300 [degree] WMS INDUSTRIES, INC ................ 32,581
-------------
5,202,326
-------------
MACHINERY--1.53%
1,900 AEROQUIP-VICKERS, INC ....................... 89,775
3,100 AGCO CORP ................................... 111,406
9,700 CATERPILLAR, INC ............................ 1,041,537
2,400 CINCINNATI MILACRON, INC .................... 62,250
1,900 [degree] COGNEX CORP ........................ 50,350
2,042 [degree] COOPER CAMERON CORP ................ 95,463
4,835 COOPER INDUSTRIES, INC ...................... 240,541
13,400 DEERE & CO .................................. 735,325
1,666 DELTA & PINE LAND CO ........................ 59,351
5,800 DOVER CORP .................................. 356,700
2,100 DURCO INTERNATIONAL, INC .................... 61,425
2,700 FEDERAL SIGNAL CORP ......................... 67,837
1,500 [degree] FMC CORP ........................... 119,156
1,200 GATX CORP ................................... 69,300
2,700 GIDDINGS & LEWIS, INC ....................... 56,362
1,700 GREENFIELD INDUSTRIES, INC .................. 45,900
2,500 HARNISCHFEGER INDUSTRIES, INC ............... 103,750
3,000 HARSCO CORP ................................. 121,500
2,250 IDEX CORP ................................... 74,250
10,400 ILLINOIS TOOL WORKS, INC .................... 519,350
5,700 INGERSOLL-RAND CO ........................... 351,975
2,500 JLG INDUSTRIES, INC ......................... 34,062
1,300 KAYDON CORP ................................. 64,512
1,836 KENNAMETAL, INC ............................. 78,948
2,400 KEYSTONE INTERNATIONAL, INC ................. 83,250
700 MANITOWOC, INC .............................. 32,725
2,100 MASCOTECH, INC .............................. 43,837
1,100 [degree] MOLTEN METAL TECHNOLOGY, INC ....... 5,500
2,900 NEWPORT NEWS SHIPBUILDING, INC .............. 56,368
1,300 NORDSON CORP ................................ 83,525
1,000 [degree] NOVELLUS SYSTEMS, INC .............. 86,500
4,000 PARKER-HANNIFIN CORP ........................ 242,750
1,200 [degree] REXEL, INC ......................... 22,200
1,300 ROPER INDUSTRIES, INC ....................... 67,437
2,500 STEWART & STEVENSON SERVICES, INC ........... 65,000
3,200 SUNDSTRAND CORP ............................. 172,800
1,700 TECUMSEH PRODUCTS CO (CLASS A) .............. 101,787
2,200 TELEFLEX, INC ............................... 68,750
7,875 [degree] THERMO ELECTRON CORP ............... 270,703
1,200 [degree] THERMO FIBERTEK, INC ............... 12,300
3,514 TIMKEN CO ................................... 124,966
1,000 [degree] TRIMAS CORP ........................ 28,125
2,400 TRINITY INDUSTRIES, INC ..................... 76,200
1,000 [degree] ULTRATECH STEPPER, INC ............. 22,875
2,400 YORK INTERNATIONAL CORP ..................... 110,400
-------------
6,389,023
-------------
METALS--ALUMINUM--0.25%
1,500 [degree] ACX TECHNOLOGIES, INC .............. 33,750
2,700 [degree] ALUMAX, INC ........................ 102,431
8,200 ALUMINUM CO OF AMERICA ...................... 618,075
1,900 [degree] KAISER ALUMINUN CORP ............... 23,275
3,800 REYNOLDS METALS CO .......................... 270,750
-------------
1,048,281
-------------
METALS--GOLD--0.21%
3,800 [degree] AMAX GOLD, INC ..................... 23,275
11,500 BATTLE MOUNTAIN GOLD CO ..................... 65,406
3,000 [degree] COEUR DALENE MINES CORP ............ 38,812
3,900 FREEPORT-MCMORAN COPPER & GOLD, INC
(CLASS A) .................................. 114,075
4,663 FREEPORT-MCMORAN COPPER & GOLD INC,
(CLASS B) .................................. 145,135
1,400 [degree] GETCHELL GOLD CORP ................. 49,175
7,800 HOMESTAKE MINING CO ......................... 101,887
1,100 NEWMONT GOLD CO ............................. 43,931
7,796 NEWMONT MINING CORP ......................... 304,044
-------------
885,740
-------------
METALS--NON-FERROUS--0.22%
2,600 ASARCO, INC ................................. 79,625
1,700 BMC INDUSTRIES, INC ......................... 58,225
1,600 [degree] COLEMAN CO, INC .................... 27,600
5,400 CYPRUS AMAX MINERALS CO ..................... 132,300
1,100 FREEPORT-MCMORAN, INC ....................... 31,762
3,100 [degree] HECLA MINING CO .................... 16,662
3,100 MAPCO, INC .................................. 97,650
1,800 MINERALS TECHNOLOGIES, INC .................. 67,500
900 [degree] OREGON METALLURICAL CORP ........... 25,312
3,500 PHELPS DODGE CORP ........................... 298,156
1,200 REGAL-BELOIT CORP ........................... 31,425
700 [degree] RMI TITANIUM CO .................... 19,075
1,800 [degree] STILLWATER MINING CO ............... 40,050
-------------
925,342
-------------
METALS--STEEL--0.31%
1,300 AK STEEL HOLDINGS CORP ...................... 57,362
6,787 ALLEGHENY TELEDYNE, INC ..................... 183,249
1,400 [degree] ARMCO, INC ......................... 5,425
6,400 [degree] BETHLEHEM STEEL CORP ............... 66,800
2,400 BIRMINGHAM STEEL CORP ....................... 37,200
1,000 CARPENTER TECHNOLOGY CORP ................... 45,750
900 CLEVELAND CLIFFS, INC ....................... 36,675
2,350 HANNA (M.A.) CO ............................. 67,709
See notes to financial statements.
- 19 -
<PAGE>
SHARES VALUE
- ---------- ------------
METALS--STEEL--(continued)
2,400 INLAND STEEL INDUSTRIES, INC .................. $ 62,700
2,700 J & L SPECIALTY STEEL, INC .................... 32,400
5,400 LTV CORP ...................................... 76,950
4,500 NUCOR CORP .................................... 254,250
1,400 OREGON STEEL MILLS, INC ....................... 27,912
5,600 [degree] UNR INDUSTRIES, INC .................. 38,500
4,300 USX-US STEEL GROUP, INC ....................... 150,768
1,500 [degree] WOLVERINE TUBE, INC .................. 41,812
5,100 WORTHINGTON INDUSTRIES, INC ................... 93,393
-------------
1,278,855
-------------
MISCELLANEOUS MATERIALS &
COMMODITIES--0.02%
1,142 DELTIC TIMBER CORP ............................ 33,474
1,600 [degree] OAKLEY, INC .......................... 22,500
400 [degree] ZOLTEK COS, INC ...................... 15,300
-------------
71,274
-------------
OFFICE EQUIPMENT--3.68%
3,800 [degree] AMDAHL CORP .......................... 33,487
6,700 [degree] APPLE COMPUTER, INC .................. 95,475
1,500 [degree] APPLIED MAGNETICS CORP ............... 33,937
3,300 [degree] ASPECT TELECOMMUNICATIONS CORP ....... 73,425
5,400 AVERY DENNISON CORP ........................... 216,675
700 [degree] BOISE CASCADE OFFICE PRODUCTS CORP . 11,900
14,600 [degree] COMPAQ COMPUTER CORP ................. 1,449,050
2,400 [degree] DATA GENERAL CORP .................... 62,400
7,200 [degree] DELL COMPUTER CORP ................... 845,550
8,300 [degree] DIGITAL EQUIPMENT CORP ............... 294,131
800 [degree] FILENET CORP ......................... 11,600
2,200 [degree] GATEWAY 2000, INC .................... 71,362
44,400 HEWLETT-PACKARD CO ............................ 2,486,400
1,200 HON INDUSTRIES, INC ........................... 53,100
7,800 IKON OFFICE SOLUTIONS, INC .................... 194,512
800 [degree] IN FOCUS SYSTEMS, INC ................ 20,500
52,100 INTERNATIONAL BUSINESS MACHINES CORP .......... 4,698,768
5,900 [degree] IOMEGA CORP .......................... 117,262
2,700 [degree] KOMAG, INC ........................... 44,212
3,400 [degree] LEXMARK INTERNATIONAL GROUP (CLASS A) 103,275
2,400 MILLER (HERMAN), INC .......................... 86,400
1,700 [degree] PAXAR CORP ........................... 32,087
7,800 PITNEY BOWES, INC ............................. 542,100
5,800 [degree] QUANTUM CORP ......................... 117,812
1,400 [degree] SCI SYSTEMS, INC ..................... 89,250
13,248 [degree] SEAGATE TECHNOLOGY, INC .............. 466,164
2,200 [degree] SEQUENT COMPUTER SYSTEMS, INC ........ 46,337
9,508 [degree] SILICON GRAPHICS, INC ................ 142,620
2,300 [degree] SOLECTRON CORP ....................... 161,143
3,200 [degree] STORAGE TECHNOLOGY CORP .............. 142,400
1,800 [degree] STRATUS COMPUTER, INC ................ 90,000
19,500 [degree] SUN MICROSYSTEMS, INC ................ 725,765
6,700 [degree] TANDEM COMPUTERS, INC ................ 135,675
2,100 [degree] U.S. OFFICE PRODUCTS CO .............. 64,181
12,100 [degree] UNISYS CORP .......................... 92,262
4,300 [degree] VIKING OFFICE PRODUCTS, INC .......... 81,700
2,400 [degree] WANG LABORATORIES, INC ............... 51,150
17,300 XEROX CORP .................................... 1,364,537
-------------
15,348,604
-------------
PAPER--0.64%
1,800 ALBANY INTERNATIONAL CORP (CLASS A) ........... 40,500
2,900 BEMIS, INC .................................... 125,425
2,300 BOWATER, INC .................................. 106,375
1,200 [degree] BUCKEYE CELLULOSE CORP ............... 40,500
1,800 CARAUSTAR INDUSTRIES, INC ..................... 62,325
1,400 CHESAPEAKE CORP ............................... 47,250
1,400 CONSOLIDATED PAPERS, INC ...................... 75,600
1,360 [degree] CROWN VANTAGE, INC ................... 10,200
1,800 [degree] FORT HOWARD CORP ..................... 91,125
2,000 GLATFELTER (P.H.) CO .......................... 40,000
15,614 INTERNATIONAL PAPER CO ........................ 758,254
3,700 JAMES RIVER CORP OF VIRGINIA .................. 136,900
1,400 [degree] JEFFERSON SMURFIT CORP ............... 22,400
3,400 LONGVIEW FIBRE CO ............................. 56,525
2,600 MEAD CORP ..................................... 161,850
2,600 PENTAIR, INC .................................. 85,475
4,865 SONOCO PRODUCTS CO ............................ 148,078
4,400 [degree] STONE CONTAINER CORP ................. 62,975
2,900 TEMPLE-INLAND, INC ............................ 156,600
3,400 UNION CAMP CORP ............................... 170,000
3,850 UNISOURCE WORLDWIDE, INC ...................... 61,600
2,000 WAUSAU PAPER MILLS CO ......................... 37,750
5,350 WESTVACO CORP ................................. 168,190
-------------
2,665,897
-------------
PETROLEUM--
EXPLORATION & PRODUCTION--0.78%
4,600 AMERADA HESS CORP ............................. 255,587
2,700 ANADARKO PETROLEUM CORP ....................... 162,000
4,300 APACHE CORP ................................... 139,750
1,700 [degree] BARNETT RESOURCES CORP ............... 50,893
500 [degree] BELCO OIL & GAS CORP ................. 10,718
1,900 [degree] BENTON OIL & GAS CO .................. 28,500
1,400 [degree] BROWN (TOM), INC ..................... 29,750
6,300 BURLINGTON RESOURCES, INC ..................... 277,987
2,000 CHESAPEAKE ENERGY CORP ........................ 19,625
1,300 DEVON ENERGY CORP ............................. 47,775
3,400 ENRON OIL & GAS CO ............................ 61,625
900 [degree] ENSERCH EXPLORATION, INC ............. 9,843
2,400 [degree] EVI, INC ............................. 100,800
900 [degree] FALCON DRILLING CO, INC .............. 51,862
1,200 [degree] FOREST OIL CORP ...................... 17,625
4,400 [degree] HARKEN ENERGY CORP ................... 30,800
1,000 KCS ENERGY, INC ............................... 20,375
2,600 KERR-MCGEE CORP ............................... 164,775
1,800 LOUISIANA LAND & EXPLORATION CO ............... 102,825
2,700 MITCHELL ENERGY & DEVELOPMENT CORP
(CLASS A) .................................... 54,675
2,600 MURPHY OIL CORP ............................... 126,750
2,800 [degree] NEWFIELD EXPLORATION CO .............. 56,000
2,500 NOBLE AFFILIATES, INC ......................... 96,718
1,000 [degree] NUEVO ENERGY CO ...................... 41,000
900 [degree] OCEAN ENERGY, INC .................... 41,625
6,000 [degree] ORYX ENERGY CO ....................... 126,750
1,800 PARKER & PARSLEY PETROLEUM CO ................. 63,675
2,700 PENNZOIL CO ................................... 207,225
1,700 POGO PRODUCING CO ............................. 65,768
5,000 [degree] SANTA FE ENERGY RESOURCES, INC ....... 73,437
3,100 [degree] SEAGULL ENERGY CORP .................. 54,250
1,800 SNYDER OIL CORP ............................... 33,075
See notes to financial statements.
- 20 -
<PAGE>
SHARES VALUE
- ---------- -------------
PETROLEUM--
EXPLORATION & PRODUCTION--(continued)
1,300 SOUTHDOWN, INC ................................. $ 56,712
800 [degree] SWIFT ENERGY CO ....................... 19,100
1,200 [degree] TEJAS GAS CORP ........................ 47,100
12,814 UNION PACIFIC RESOURCES GROUP, INC ............. 318,748
4,700 UNION TEXAS PETROLEUM HOLDINGS, INC ............ 98,406
1,800 [degree] UNITED MERIDIAN CORP .................. 54,000
1,300 VINTAGE PETROLEUM, INC ......................... 39,975
-------------
3,258,104
-------------
PETROLEUM--INTEGRATED--4.88%
25,500 AMOCO CORP ..................................... 2,216,906
3,100 ASHLAND, INC ................................... 143,762
16,600 ATLANTIC RICHFIELD CO .......................... 1,170,300
34,000 CHEVRON CORP ................................... 2,513,875
128,900 EXXON CORP ..................................... 7,927,350
600 [degree] FORCENERGY GAS EXPLORATION, INC ....... 18,225
41,000 MOBIL CORP ..................................... 2,864,875
17,700 OCCIDENTAL PETROLEUM CORP ...................... 443,606
10,700 PHILLIPS PETROLEUM CO .......................... 468,125
2,800 QUAKER STATE OIL REFINING CORP ................. 42,700
4,200 SUN CO, INC .................................... 130,200
13,400 TEXACO, INC .................................... 1,457,250
13,049 UNOCAL CORP .................................... 506,464
15,100 USX-MARATHON GROUP, INC ........................ 436,012
-------------
20,339,650
-------------
PETROLEUM--SERVICE--1.00%
300 [degree] ATWOOD OCEANICS, INC .................. 20,100
7,000 BAKER HUGHES, INC .............................. 270,812
1,800 [degree] BJ SERVICES CO ........................ 96,525
3,900 CABOT CORP ..................................... 110,662
1,800 CAMCO INTERNATIONAL, INC ....................... 98,550
800 [degree] CLIFFS DRILLING CO .................... 29,200
1,950 CROSS TIMBERS OIL CO ........................... 37,537
1,200 [degree] DIAMOND OFFSHORE DRILLING, INC ........ 93,750
8,800 DRESSER INDUSTRIES, INC ........................ 327,800
3,500 [degree] ENSCO INTERNATIONAL, INC .............. 184,625
4,400 FLUOR CORP ..................................... 242,825
2,200 [degree] GLOBAL INDUSTRIAL TECHNOLOGIES, INC ... 45,100
1,600 [degree] GLOBAL INDUSTRIES LTD ................. 37,375
6,700 [degree] GLOBAL MARINE, INC .................... 155,775
6,416 HALLIBURTON CO ................................. 508,468
1,300 HELMERICH & PAYNE, INC ......................... 74,912
3,100 [degree] MARINE DRILLING CO, INC ............... 60,837
4,800 [degree] NABORS INDUSTRIES, INC ................ 120,000
1,600 [degree] NEWPARK RESOURCES, INC ................ 54,000
1,600 [degree] NL INDUSTRIES, INC .................... 23,200
6,400 [degree] NOBLE DRILLING CORP ................... 144,400
3,200 [degree] PARKER DRILLING CO .................... 35,600
3,300 [degree] PRIDE INTERNATIONAL, INC .............. 79,200
3,800 [degree] READING & BATES CORP .................. 101,650
3,800 [degree] ROWAN COS, INC ........................ 107,112
1,900 [degree] SMITH INTERNATIONAL, INC .............. 115,425
3,000 TIDEWATER, INC ................................. 132,000
7,148 TOSCO CORP ..................................... 213,993
1,700 TRANSOCEAN OFFSHORE, INC (U.S.) ................ 123,462
2,700 [degree] TUBOSCOPE VETCO INTERNATIONAL CORP .... 53,662
4,226 ULTRAMAR DIAMOND SHAMROCK CORP ................. 137,873
1,100 [degree] VARCO INTERNATIONAL, INC .............. 35,475
1,000 VASTAR RESOURCES, INC .......................... 35,062
2,800 [degree] WEATHERFORD ENTERRA, INC .............. 107,800
2,300 [degree] WESTERN ATLAS, INC .................... 168,475
-------------
4,183,242
-------------
PHOTOGRAPHY--0.37%
17,200 EASTMAN KODAK CO ............................... 1,320,100
600 [degree] PHOTRONICS, INC ....................... 28,650
2,200 POLAROID CORP .................................. 122,100
600 [degree] PRESSTEK, INC ........................ 52,050
-------------
1,522,900
-------------
PROPERTY--REAL ESTATE--0.20%
2,300 AVALON PROPERTIES, INC ......................... 65,837
4,300 CRESCENT REAL ESTATE EQUITIES, INC ............. 136,525
400 [degree] CRESECENT OPERATING, INC .............. 4,800
2,200 HOSPITALITY PROPERTIES TRUST ................... 67,375
2,400 KIMCO REALTY CORP ............................. 76,200
3,000 PATRIOT AMERICAN HOSPITALITY ................... 76,500
2,600 [degree] RECKSON ASSOCIATES REALTY CORP ........ 59,800
700 REDWOOD TRUST, INC ............................. 32,725
2,100 SECURITY CAPITAL INDUSTRIAL TRUST .............. 45,150
4,000 TAUBMAN CENTERS, INC ........................... 53,000
3,100 [degree] TOLL BROTHERS, INC .................... 56,962
3,100 WASHINGTON REAL ESTATE INVESTMENT TRUST ........ 55,025
2,100 WEINGARTEN REALTY INVESTORS, INC .............. 88,725
700 [degree] WELLSFORD REAL PROPERTIES, INC ........ 7,700
-------------
826,324
-------------
PUBLISHING--NEWSPAPER--0.54%
2,100 BELO (A.H.) CORP SERIES A ...................... 87,412
1,600 CENTRAL NEWSPAPERS, INC (CLASS A) .............. 114,600
3,591 [degree] COX COMMUNICATIONS, INC (CLASS A) NEW . 86,184
2,500 DOW JONES & CO, INC ............................ 100,468
7,300 GANNETT CO, INC ................................ 720,875
3,000 HOLLINGER INTERNATIONAL, INC ................... 33,562
4,500 KNIGHT-RIDDER, INC ............................. 220,781
800 MEDIA GENERAL, INC (CLASS A) ................... 32,000
5,400 NEW YORK TIMES CO (CLASS A) .................... 267,300
3,335 NEWS CORP LTD ADR (LTD-VTG) .................... 52,109
4,200 TIMES MIRROR CO (SERIES A) .................... 232,050
5,600 TRIBUNE CO ..................................... 269,150
1,800 [degree] VALASSIS COMMUNICATIONS, INC ......... 43,200
-------------
2,259,691
-------------
PUBLISHING--OTHER--0.67%
1,100 [degree] AMERICAN BUSINESS INFORMATION, INC .... 23,925
4,000 AMERICAN GREETINGS CORP (CLASS A) .............. 148,500
900 [degree] BOWNE & CO, INC ....................... 31,387
5,300 DONNELLEY (R.R.) & SONS CO .................... 194,112
8,300 DUN & BRADSTREET CORP .......................... 217,875
3,100 HARCOURT GENERAL, INC .......................... 147,637
1,200 HOUGHTON MIFFLIN CO ............................ 80,100
8,600 [degree] K-III COMMUNICATIONS CORP ............. 103,200
2,900 x [degree] MARVEL ENTERTAINMENT GROUP, INC ..... 6,887
5,100 MCGRAW HILL COS, INC .......................... 299,943
2,800 MEREDITH CORP .................................. 81,200
5,100 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VTG) ........................... 146,306
1,000 [degree] SCHOLASTIC CORP ....................... 35,000
24,446 TIME WARNER, INC ............................... 1,179,519
3,200 [degree] WORLD COLOR PRESS, INC ................ 76,000
-------------
2,771,591
-------------
See notes to financial statements.
- 21 -
<PAGE>
SHARES VALUE
- ---------- ------------
RAILROAD--0.74%
8,140 BURLINGTON NORTHERN SANTA FE CORP .............. $ 731,582
11,200 CSX CORP ....................................... 621,600
3,100 ILLINOIS CENTRAL CORP SERIES A ................. 108,306
1,700 KANSAS CITY SOUTHERN INDUSTRIES, INC ........... 109,650
6,300 NORFOLK SOUTHERN CORP .......................... 634,725
10,882 UNION PACIFIC CORP ............................. 767,181
2,900 [degree] WISCONSIN CENTRAL TRANSIT CORP ........ 108,025
-------------
3,081,069
-------------
RESTAURANTS & HOTELS--1.25%
2,100 APPLE SOUTH, INC ............................... 32,025
2,000 [degree] APPLEBEES INTERNATIONAL, INC .......... 53,500
3,500 [degree] AZTAR CORP ............................ 24,718
3,400 BOB EVANS FARMS, INC .......................... 57,587
4,300 [degree] BOSTON CHICKEN, INC ................... 60,200
1,000 [degree] BRISTOL HOTEL CO ...................... 38,500
3,100 [degree] BUFFETS, INC .......................... 26,156
2,800 [degree] CHOICE HOTELS INTERNATIONAL, INC ...... 47,425
1,800 CKE RESTAURANTS, INC .......................... 56,925
3,200 CRACKER BARREL OLD COUNTRY STORE, INC 84,800
8,500 DARDEN RESTAURANTS, INC ....................... 77,031
2,800 [degree] EXTENDED STAY AMERICA, INC ............ 44,100
2,800 FELCOR SUITE HOTELS, INC ....................... 104,300
2,400 [degree] FOODMAKER, INC ........................ 39,300
8,532 [degree] HFS, INC .............................. 494,856
10,200 HILTON HOTELS CORP ............................. 270,937
1,139 [degree] HOMESTEAD VILLAGE, INC ................ 20,359
227 [degree] HOMESTEAD VILLAGE, INC WTS 10/29/97 ... 1,929
8,200 [degree] HOST MARRIOTT CORP .................... 146,062
2,760 [degree] HOST MARRIOTT SERVICES CORP ........... 32,430
5,900 [degree] ITT CORP .............................. 360,268
3,075 LA QUINTA INNS, INC ............................ 67,265
1,400 [degree] LANDRYS SEAFOOD RESTAURANTS, INC ...... 32,200
1,800 [degree] LONE STAR STEAKHOUSE & SALOON, INC .... 46,800
1,800 LUBYS CAFETERIA, INC .......................... 35,887
5,200 MARRIOTT INTERNATIONAL, INC .................... 319,150
35,300 MCDONALDS CORP ................................ 1,705,431
800 [degree] MGM GRAND, INC ........................ 29,600
3,650 MORRISON FRESH COOKING, INC .................... 16,881
2,700 [degree] OUTBACK STEAKHOUSE, INC ............... 65,306
1,300 [degree] PAPA JOHNS INTERNATIONAL, INC ......... 47,775
2,400 [degree] PRIME HOSPITALITY CORP ............... 47,400
2,650 [degree] PROMUS HOTEL CORP ..................... 102,687
900 [degree] RAINFOREST CAFE, INC .................. 22,837
1,200 [degree] RED ROOF INNS, INC .................... 21,600
1,200 [degree] RUBY TUESDAY, INC ..................... 26,925
4,100 [degree] RYANS FAMILY STEAK HOUSES, INC ........ 35,106
600 SBARRO, INC ................................... 16,650
8,900 SYSCO CORP ..................................... 324,850
7,000 WENDYS INTERNATIONAL, INC ...................... 181,562
-------------
5,219,320
-------------
RETAIL--FOOD--0.64%
11,100 ALBERTSONS, INC ................................ 405,150
6,100 AMERICAN STORES CO ............................. 301,187
39 [degree] BRUNOS, INC ........................... 448
2,711 FLEMING COS, INC ............................... 48,798
21,300 FOOD LION, INC (CLASS B) ....................... 153,093
2,900 GIANT FOOD, INC (CLASS A) ...................... 94,612
1,200 GREAT ATLANTIC & PACIFIC TEA CO, INC ........... 32,625
1,800 HANNAFORD BROTHERS, INC ....................... 64,012
11,600 [degree] KROGER CO ............................. 336,400
400 [degree] QUALITY FOOD CENTERS, INC ............ 15,200
3,000 RUDDICK CORP ................................... 49,500
1,800 [degree] RYKOFF-SEXTON, INC .................... 41,962
13,152 [degree] SAFEWAY, INC .......................... 606,636
9,100 [degree] SOUTHLAND CORP ........................ 30,428
3,800 [degree] STARBUCKS CORP ........................ 147,962
3,500 SUPERVALU, INC ................................ 120,750
1,800 VALMONT INDUSTRIES ............................. 34,200
4,700 WINN DIXIE STORES, INC ......................... 175,075
-------------
2,658,038
-------------
RETAIL--GENERAL MERCHANDISE--3.91%
7,500 [degree] AUTOZONE, INC ......................... 176,718
1,500 [degree] BARNES & NOBLE, INC ................... 64,500
2,400 [degree] BED BATH & BEYOND, INC ................ 72,900
1,100 [degree] BEST BUY, INC ......................... 16,362
4,200 [degree] BORDERS GROUP, INC .................... 101,325
1,100 [degree] BURLINGTON COAT FACTORY WAREHOUSE
CORP ......................................... 21,450
2,400 x [degree] CALDOR CORP ......................... 3,450
2,000 [degree] CARSON PIRIE SCOTT & CO ............... 63,500
2,700 CASEYS GENERAL STORES, INC ..................... 58,134
5,100 [degree] CHARMING SHOPPES, INC ................. 26,615
4,800 CIRCUIT CITY STORES-CIRCUIT CITY GROUP ......... 170,700
2,750 CLAIRES STORES, INC ............................ 48,125
4,593 [degree] CONSOLIDATED STORES CORP .............. 159,606
9,400 [degree] COSTCO COMPANIES, INC ................. 309,025
19,772 [degree] CUC INTERNATIONAL, INC ................ 510,364
6,956 [degree] CVS CORP .............................. 356,495
11,200 DAYTON HUDSON CORP ............................. 595,700
1,300 [degree] DEPARTMENT 56, INC .................... 28,843
6,000 DILLARDS, INC (CLASS A) ........................ 207,750
5,678 DOLLAR GENERAL CORP ............................ 212,925
1,200 [degree] DOLLAR TREE STORES, INC ............... 60,450
1,000 ETHAN ALLEN INTERIORS, INC ..................... 57,000
2,100 FAMILY DOLLAR STORES, INC ...................... 57,225
10,470 [degree] FEDERATED DEPARTMENT STORES, INC ...... 363,832
2,400 FINGERHUT COS, INC ............................. 41,850
1,965 [degree] FOOTSTAR, INC ......................... 51,335
4,200 [degree] FURNITURE BRANDS INTERNATIONAL, INC. .. 81,375
11,000 GAP, INC ....................................... 427,625
1,000 [degree] GLOBAL DIRECTMAIL CORP ................ 26,062
2,000 [degree] GYMBOREE CORP ......................... 48,000
4,200 [degree] HECHINGER CO (CLASS A) ................ 8,925
2,600 HEILIG MEYERS CO ............................... 51,025
25,800 HOME DEPOT, INC ................................ 1,778,587
2,625 [degree] HSN, INC .............................. 82,031
2,800 INTIMATE BRANDS, INC (CLASS A) ................. 58,800
1,900 [degree] JONES APPAREL GROUP, INC .............. 90,725
29,000 [degree] K MART CORP ........................... 355,250
2,600 [degree] KOHLS CORP ............................ 137,637
1,100 [degree] LANDS END, INC ........................ 32,587
10,946 LIMITED, INC ................................... 221,656
1,700 LONGS DRUG STORES CORP ......................... 44,518
7,700 LOWES COS, INC ................................. 285,862
1,400 [degree] MAC FRUGALS BARGAINS CLOSE-OUTS, INC .. 38,150
13,400 MAY DEPARTMENT STORES CO ....................... 633,150
900 [degree] MENS WAREHOUSE, INC ................... 28,350
1,200 MERCANTILE STORES CO, INC ...................... 75,525
1,500 [degree] MEYER (FRED), INC ..................... 77,531
1,000 [degree] MICHAELS STORES, INC .................. 21,187
See notes to financial statements.
- 22 -
<PAGE>
SHARES VALUE
- ---------- -------------
RETAIL--GENERAL MERCHANDISE--(continued)
1,000 [degree] MSC INDUSTRIAL DIRECT CO (CLASS A).. $ 40,125
3,000 [degree] MUSICLAND STORES CORP .............. 8,062
900 [degree] NEIMAN-MARCUS GROUP, INC ........... 23,625
2,700 NORDSTROM, INC .............................. 132,468
6,350 [degree] OFFICEMAX, INC ..................... 91,678
2,224 [degree] PAYLESS SHOESOURCE, INC ............ 121,625
11,145 PENNEY, (J.C.) CO, INC ...................... 581,629
2,900 PEP BOYS MANNY, MOE, & JACK CO .............. 98,781
1,500 [degree] PETCO ANIMAL SUPPLIES, INC ......... 45,000
5,400 [degree] PETSMART, INC ...................... 62,100
2,800 PIER 1 IMPORTS, INC ......................... 74,200
1,100 [degree] PROFFITTS, INC ..................... 48,262
1,100 [degree] REGIS CORP ......................... 25,987
1,000 [degree] REXALL SUNDOWN, INC ................ 39,000
6,110 RITE AID CORP ............................... 304,736
2,600 ROSS STORES, INC ............................ 84,987
4,600 ROUSE CO .................................... 135,700
700 RUSS BERRIE & CO, INC ....................... 15,356
600 [degree] SAMSONITE CORP ..................... 26,475
17,700 SEARS ROEBUCK & CO .......................... 951,375
6,800 [degree] SERVICE MERCHANDISE, INC ........... 20,400
2,900 [degree] SHOPKO STORES, INC ................. 73,950
3,300 SOTHEBYS HOLDINGS, INC (CLASS A) ............ 55,687
8,650 [degree] STAPLES, INC ....................... 201,112
800 [degree] STEIN MART, INC .................... 24,000
2,800 STRIDE RITE CORP ............................ 36,050
3,400 [degree] SUNGLASS HUT INTERNATIONAL, INC . 21,462
900 TALBOTS, INC ................................ 30,600
2,600 TANDY CORP .................................. 145,600
2,250 [degree] THE SPORTS AUTHORITY, INC .......... 43,734
1,600 TIFFANY & CO ................................ 73,900
10,000 TJX COS, INC ................................ 263,750
13,287 [degree] TOYS R US, INC ..................... 465,045
1,500 [degree] WABAN, INC ......................... 48,281
73,600 WAL-MART STORES, INC ........................ 2,488,600
12,600 WALGREEN CO ................................. 675,675
900 [degree] WEST MARINE, INC ................... 23,175
1,200 [degree] WILLIAMS-SONOMA, INC ............... 51,300
7,100 [degree] WOOLWORTH CORP ..................... 170,400
2,500 [degree] ZALE CORP .......................... 49,531
-------------
16,314,160
-------------
TEXTILE & APPAREL--0.48%
1,000 [degree] ANN TAYLOR STORES CORP ............. 19,500
4,500 [degree] BURLINGTON INDUSTRIES, INC ......... 54,000
4,100 [degree] FRUIT OF THE LOOM, INC (CLASS A) . 127,100
1,800 G & K SERVICES, INC (CLASS A) ............... 67,050
1,050 [degree] JUST FOR FEET, INC ................. 18,309
2,500 KELLWOOD CO ................................. 69,375
4,000 LIZ CLAIBORNE, INC .......................... 186,500
1,400 [degree] MOHAWK INDUSTRIES, INC ............. 31,850
2,200 [degree] NAUTICA ENTERPRISES, INC ........... 58,162
6,700 NIKE, INC (CLASS B) ......................... 391,112
1,400 [degree] NINE WEST GROUP, INC ............... 53,462
2,507 [degree] REEBOK INTERNATIONAL LTD ........... 117,672
2,000 RUSSELL CORP ................................ 59,250
1,300 SPRING INDUSTRIES, INC ...................... 68,575
1,200 ST. JOHN KNITS, INC ......................... 64,800
3,200 UNIFI, INC .................................. 119,600
2,900 VF CORP ..................................... 245,775
3,000 WARNACO GROUP, INC (CLASS A) ................ 95,625
1,400 [degree] WESTPOINT STEVENS, INC ............. 54,775
2,925 WOLVERINE WORLD WIDE, INC ................... 88,846
-------------
1,991,338
-------------
TOBACCO--1.74%
5,700 DIMON, INC .................................. 151,050
8,700 FORTUNE BRANDS, INC ......................... 324,618
8,400 [degree] GALLAHER GROUP PLC-ADR ............. 154,875
300 MAFCO CONSOLIDATED GROUP, INC ............... 10,050
126,500 PHILIP MORRIS COS, INC ...................... 5,613,437
17,001 RJR NABISCO HOLDINGS CORP ................... 561,033
1,840 SCHWEITZER-MAUDUIT INTERNATIONAL, INC . 69,000
2,200 UNIVERSAL CORP .............................. 69,850
10,000 UST, INC .................................... 277,500
-------------
7,231,413
-------------
TRUCKERS & SHIPPING--0.23%
2,500 [degree] AMERICAN FREIGHTWAYS CORP .......... 39,062
1,600 APL LTD ..................................... 50,000
1,400 CALIBER SYSTEM, INC ......................... 52,150
2,300 CNF TRANSPORTATION, INC ..................... 74,175
2,250 [degree] CONSOLIDATED FREIGHTWAYS CORP ...... 36,843
835 [degree] HALTER MARINE GROUP, INC ........... 20,040
500 [degree] HEARTLAND EXPRESS, INC ............. 11,750
1,800 HUNT (J.B.) TRANSPORT SERVICES, INC ......... 26,775
2,000 [degree] OMI, INC ........................... 19,125
1,800 PITTSTON BURLINGTON GROUP CO ................ 50,625
2,200 ROADWAY EXPRESS, INC ........................ 51,425
5,500 ROLLINS TRUCK LEASING CORP .................. 81,812
4,000 RYDER SYSTEM, INC ........................... 132,000
4,000 SHURGARD STORAGE CENTERS, INC ............... 112,000
1,500 [degree] SWIFT TRANSPORTATION CO, INC ....... 44,250
2,100 USFREIGHTWAYS CORP .......................... 54,337
2,600 WERNER ENTERPRISES, INC ..................... 50,375
1,000 XTRA CORP ................................... 43,937
900 [degree] YELLOW CORP ........................ 20,137
-------------
970,818
-------------
UTILITIES--ELECTRIC--3.23%
2,700 [degree] AES CORP ........................... 191,025
6,100 ALLEGHENY POWER SYSTEMS, INC ................ 162,793
9,200 AMERICAN ELECTRIC POWER CO, INC ............. 386,400
3,500 ATLANTIC ENERGY, INC ........................ 58,843
7,600 BALTIMORE GAS & ELECTRIC CO ................. 202,825
2,900 BOSTON EDISON CO ............................ 76,487
7,000 CAROLINA POWER & LIGHT CO ................... 251,125
10,100 CENTERIOR ENERGY CORP ....................... 112,993
9,900 CENTRAL & SOUTH WEST CORP ................... 210,375
1,500 CENTRAL HUDSON GAS & ELECTRIC CORP .......... 51,656
1,800 [degree] CENTRAL LOUISIANA ELECTRIC, INC . 50,625
4,900 CENTRAL MAINE POWER CO ...................... 60,637
1,100 CILCORP, INC ................................ 45,306
7,600 CINERGY CORP ................................ 264,575
1,600 CIPSCO, INC ................................. 58,500
7,274 [degree] CITIZENS UTILITIES CO (CLASS B) . 58,192
4,200 CMS ENERGY CORP ............................. 148,050
2,900 COMMONWEALTH ENERGY SYSTEM CO ............... 69,418
11,600 CONSOLIDATED EDISON CO OF NEW YORK, INC ..... 341,475
3,900 DELMARVA POWER & LIGHT CO ................... 74,343
9,600 DOMINION RESOURCES, INC ..................... 351,600
4,700 DPL, INC .................................... 115,737
3,800 DQE, INC .................................... 107,350
See notes to financial statements.
- 23 -
<PAGE>
SHARES VALUE
- ---------- ------------
UTILITIES--ELECTRIC--(continued)
7,400 DTE ENERGY CO ............................... $ 204,425
17,633 DUKE ENERGY CORP ............................ 845,281
2,700 EASTERN UTILITIES ASSOCIATION CO ............ 49,275
21,500 EDISON INTERNATIONAL CO ..................... 534,812
4,800 ENOVA CORP .................................. 115,500
11,400 ENTERGY CORP ................................ 312,075
5,200 FLORIDA PROGRESS CORP ....................... 162,825
8,800 FPL GROUP, INC .............................. 405,350
5,700 GPU, INC .................................... 204,487
1,700 HAWAIIAN ELECTRIC INDUSTRIES, INC ........... 65,662
8,900 HOUSTON INDUSTRIES, INC ..................... 190,793
2,600 IDAHO POWER CO .............................. 81,575
1,900 IES INDUSTRIES, INC ......................... 56,050
4,400 ILLINOVA CORP ............................... 96,800
3,100 IPALCO ENTERPRISES, INC ..................... 96,875
2,400 KANSAS CITY POWER & LIGHT CO ................ 68,550
1,700 KU ENERGY CORP .............................. 58,012
6,200 LONG ISLAND LIGHTING CO ..................... 142,600
4,100 LOUISVILLE GAS & ELECTRIC ENERGY CORP ....... 90,456
1,400 MDU RESOURCES GROUP, INC .................... 33,600
5,800 MIDAMERICAN ENERGY HOLDINGS CO .............. 100,412
1,700 MINNESOTA POWER & LIGHT CO .................. 51,637
3,200 MONTANA POWER CO ............................ 74,200
3,300 NEVADA POWER CO ............................. 70,125
3,100 NEW ENGLAND ELECTRIC SYSTEMS CO ............. 114,700
3,900 NEW YORK STATE ELECTRIC & GAS CORP .......... 81,412
9,100 [degree] NIAGARA MOHAWK POWER CORP .......... 77,918
2,900 NIPSCO INDUSTRIES, INC ...................... 119,806
7,400 NORTHEAST UTILITIES CO ...................... 70,762
3,300 NORTHERN STATES POWER CO .................... 170,775
2,300 OGE ENERGY CORP ............................. 104,650
7,400 OHIO EDISON CO .............................. 161,412
1,900 ORANGE & ROCKLAND UTILITY, INC .............. 63,887
15,200 PACIFICORP .................................. 334,400
11,400 PECO ENERGY CO .............................. 239,400
21,100 PG&E CORP ................................... 511,675
4,100 PINNACLE WEST CAPITAL CORP .................. 123,256
2,200 PORTLAND GENERAL CORP ....................... 87,312
5,500 POTOMAC ELECTRIC POWER CO ................... 127,187
8,500 PP&L RESOURCES, INC ......................... 169,468
3,200 PUBLIC SERVICE CO OF COLORADO ............... 132,800
3,500 PUBLIC SERVICE CO OF NEW MEXICO ............. 62,562
11,500 PUBLIC SERVICE ENTERPRISE GROUP, INC ........ 287,500
5,478 PUGET SOUND ENERGY, INC ..................... 145,167
2,900 ROCHESTER GAS & ELECTRIC CORP ............... 61,081
5,200 SCANA CORP .................................. 129,025
2,900 SIERRA PACIFIC RESOURCES .................... 92,800
34,600 SOUTHERN CO ................................. 756,875
2,300 SOUTHWESTERN PUBLIC SERVICE CO .............. 90,418
5,200 TECO ENERGY, INC ............................ 132,925
10,900 TEXAS UTILITIES CO .......................... 375,368
1,600 [degree] TUCSON ELECTRIC POWER CO ........... 23,200
11,900 UNICOM CORP ................................. 264,775
4,900 UNION ELECTRIC CO ........................... 184,668
1,800 UNITED ILLUMINATING CO ...................... 55,575
2,300 UNITED WATER RESOURCES, INC ................. 44,562
2,914 UTILICORP UNITED, INC ....................... 84,870
4,000 WASHINGTON WATER POWER CO ................... 78,500
3,100 WESTERN RESOURCES, INC ...................... 100,556
5,800 WISCONSIN ENERGY CORP ....................... 144,275
2,100 WPL HOLDINGS, INC ........................... 58,668
1,900 WPS RESOURCES CORP .......................... 50,825
-------------
13,476,722
-------------
UTILITIES--GAS & PIPELINE--1.11%
2,800 AGL RESOURCES, INC .......................... 57,750
4,000 [degree] AMERICAN STANDARD COS, INC ......... 179,000
3,500 AMERICAN WATER WORKS CO, INC ................ 74,812
1,400 [degree] BLACK BOX CORP ..................... 56,350
2,600 BROOKLYN UNION GAS CO ....................... 74,425
2,100 CABOT OIL & GAS CORP (CLASS A) .............. 37,012
2,500 [degree] CALENERGY, INC ..................... 95,000
5,100 COASTAL CORP ................................ 271,256
2,700 COLUMBIA GAS SYSTEMS, INC ................... 176,175
4,600 CONSOLIDATED NATURAL GAS CO ................. 247,537
1,400 EASTERN ENTERPRISES CO ...................... 48,562
2,351 EL PASO NATURAL GAS CO ...................... 129,305
10,800 ENRON CORP .................................. 440,775
4,300 ENSERCH CORP ................................ 95,675
1,900 EQUITABLE RESOURCES, INC .................... 53,912
2,500 INDIANA ENERGY, INC ......................... 61,093
1,300 [degree] IONICS, INC ........................ 59,150
1,400 KN ENERGY, INC .............................. 58,975
3,300 MCN ENERGY GROUP, INC ....................... 101,062
2,000 NATIONAL FUEL GAS CO ........................ 83,875
1,700 NEW JERSEY RESOURCES CORP ................... 53,337
8,900 NGC CORP .................................... 137,393
2,200 NICOR, INC .................................. 78,925
5,751 NORAM ENERGY CORP ........................... 87,702
2,850 NORTHWEST NATURAL GAS CO .................... 74,634
1,355 ONEOK, INC .................................. 43,614
4,000 PACIFIC ENTERPRISES, INC .................... 134,500
1,800 PEOPLES ENERGY CORP ......................... 67,387
3,188 PIEDMONT NATURAL GAS CO, INC ................ 81,891
1,500 [degree] PRIMARK CORP ....................... 39,937
1,900 QUESTAR CORP ................................ 76,712
4,300 SONAT, INC .................................. 220,375
2,800 SOUTHWEST GAS CORP .......................... 55,650
8,700 TENNECO, INC ................................ 393,131
1,300 [degree] TRIARC COS, INC .................... 26,487
1,737 UGI CORP .................................... 38,431
2,400 VALERO ENERGY CORP .......................... 87,000
2,700 WASHINGTON GAS LIGHT CO ..................... 67,837
900 WESTERN GAS RESOURCES, INC .................. 17,550
2,500 WICOR, INC .................................. 97,343
8,153 WILLIAMS COS, INC ........................... 356,693
-------------
4,638,230
-------------
UTILITIES--OTHER--0.01%
1,300 [degree] BILLING INFORMATION CONCEPTS CORP .. 45,337
-------------
UTILITIES--TELEPHONE--5.27%
800 [degree] ADTRAN, INC ........................ 19,800
2,900 ALIANT COMMUNICATIONS, INC .................. 56,550
9,900 ALLTEL CORP ................................. 331,031
28,100 AMERITECH CORP .............................. 1,909,043
84,300 AT & T CORP ................................. 2,955,768
22,700 BELL ATLANTIC CORP .......................... 1,722,362
51,300 BELLSOUTH CORP .............................. 2,379,037
1,200 [degree] C-TEC CORP ......................... 41,850
7,200 CINCINNATI BELL, INC ........................ 226,800
8,800 FRONTIER CORP ............................... 175,450
See notes to financial statements.
- 24 -
<PAGE>
SHARES VALUE
- ---------- ------------
UTILITIES--TELEPHONE--(continued)
3,125 [degree] GLENAYRE TECHNOLOGIES, INC ......... $ 51,171
49,200 GTE CORP .................................... 2,158,650
36,100 MCI COMMUNICATIONS CORP ..................... 1,381,953
3,900 [degree] MOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP ......................... 55,818
7,500 [degree] NEXTEL COMMUNICATIONS, INC (CLASS A) 142,031
22,500 NYNEX CORP .................................. 1,296,562
47,409 SBC COMMUNICATIONS, INC ..................... 2,933,431
3,500 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP ................... 136,062
22,700 SPRINT CORP ................................. 1,194,587
3,444 TELEPHONE & DATA SYSTEMS, INC ............... 130,656
1,700 [degree] U.S. LONG DISTANCE CORP ............ 29,325
25,000 U.S. WEST COMMUNICATIONS GROUP, INC ......... 942,187
28,800 [degree] U.S. WEST MEDIA GROUP, INC ......... 583,200
34,492 [degree] WORLDCOM, INC ...................... 1,103,744
-------------
21,957,068
-------------
TOTAL COMMON STOCK
(Cost $313,546,804) ........................ 414,755,697
-------------
PRINCIPAL VALUE
- ------------ -------------
SHORT TERM INVESTMENTS--0.65%
U.S. GOVERNMENT & AGENCIES--0.65%
$2,700,000 FEDERAL HOME LOAN BANKS
5.300%, 07/1/97 ........................ $ 2,699,568
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $2,700,000) ....................... 2,699,568
------------
ROUNDING ............................... 343
------------
TOTAL PORTFOLIO
(Cost $316,272,235) ..................... $417,492,277
=============
--------
[degree] NON-INCOME PRODUCING
x IN BANKRUPTCY
See notes to financial statements.
-25-
<PAGE>
[LOGO] E Printed on recycled paper
VA-1SAFIN-8/97
- ------
TIAA
- ------
|Teachers Insurance and
|Annuity Association
|730 Third Avenue
|New York, NY 10017-3206
----------------
BULK RATE
U.S. POSTAGE
PAID
PERMIT #20
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----------------
<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
<MULTIPLIER> 1
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<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> JUN-30-1997
<INVESTMENTS-AT-COST> 316,272,235
<INVESTMENTS-AT-VALUE> 417,492,277
<RECEIVABLES> 1,217,437
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 109,767
<TOTAL-ASSETS> 418,819,481
<PAYABLE-FOR-SECURITIES> 1,997,604
<SENIOR-LONG-TERM-DEBT> 0
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<NET-INVESTMENT-INCOME> 2,485,665
<REALIZED-GAINS-CURRENT> 1,969,249
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<NET-CHANGE-FROM-OPS> 56,992,907
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
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<NUMBER-OF-SHARES-SOLD> 1,730,725
<NUMBER-OF-SHARES-REDEEMED> (19,555)
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<NET-CHANGE-IN-ASSETS> 133,776,531
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