<PAGE> 1
ANNUAL REPORT
- --------------------------------------------------------------------------------
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
AUDITED FINANCIAL STATEMENTS
INCLUDING
STATEMENT OF INVESTMENTS
DECEMBER 31, 1997
As required by the Investment Company Act of 1940, TIAA Separate
Account VA-1 provides its contractowners with this year-end report
of its financial condition and portfolio holdings. A semi-annual
report for TIAA Separate Account VA-1 is also provided each year
toward the end of August.
[TIAA LOGO]
<PAGE> 2
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
INDEX TO AUDITED FINANCIAL STATEMENTS
DECEMBER 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAGE
-----
<S> <C>
Report of Management Responsibility.......................................... 2
Report of Independent Auditors............................................... 3
Audited Financial Statements:
Statement of Assets and Liabilities....................................... 4
Statement of Operations................................................... 5
Statements of Changes in Net Assets....................................... 6
Notes to Financial Statements............................................. 7
Statement of Investments.................................................. 9
</TABLE>
[TIAA LOGO]
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<PAGE> 3
[TIAA LOGO]
- --------------------------------------------------------------------------------
REPORT OF MANAGEMENT RESPONSIBILITY
To the Contractowners of
TIAA Separate Account VA-1:
The accompanying financial statements of the Stock Index Account ("Account") of
TIAA Separate Account VA-1 ("VA-1") are the responsibility of management. They
have been prepared in accordance with generally accepted accounting principles
and have been presented fairly and objectively in accordance with such
principles.
Teachers Insurance and Annuity Association of America ("TIAA") has established
and maintains a strong system of internal controls designed to provide
reasonable assurance that assets are properly safeguarded and transactions are
property executed in accordance with management's authorization, and to carry
out the ongoing responsibilities of management for reliable financial
statements. In addition, TIAA's internal audit personnel provide a continuing
review of the internal controls and operations of TIAA, including its separate
account operations. The internal Auditor regularly reports to the Audit
Committee of the TIAA Board of Trustees and to the Management Committee of VA-1.
The accompanying financial statements for 1997 have been audited by the
independent auditing firm of Ernst & Young LLP. The independent auditors'
report, which appears on the following page, expresses an independent opinion on
the fairness of presentation of these financial statements.
The Audit Committee of the TIAA Board of Trustees, consisting of trustees who
are not officers of TIAA, and the Management Committee of VA-1, the majority of
which are not officers of TIAA, meet regularly with management, representatives
of Ernst & Young LLP and internal auditing personnel to review matters relating
to financial reporting, internal controls and auditing.
[SIG]
----------------------------------
Chairman of
Management Committee and President
[SIG]
----------------------------------
Principal Accounting Officer
and Executive Vice President
- 2 -
<PAGE> 4
[ERNST & YOUNG LLP LETTERHEAD]
REPORT OF INDEPENDENT AUDITORS
To the Contractowners and Management Committee of
TIAA Separate Account VA-1:
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of the Stock Index Account of TIAA Separate
Account VA-1 ("VA-1") as of December 31, 1997, and the related statements of
operations and changes in net assets for the year then ended. These financial
statements are the responsibility of VA-1's management. Our responsibility is to
express an opinion on these financial statements based on our audit. The
statement of changes in net assets for the year ended December 31, 1996 and the
condensed financial information for the year then ended and periods prior
thereto were audited by other auditors whose report dated February 6, 1997
expressed an unqualified opinion on the statement and condensed financial
information.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned at December 31, 1997, by correspondence with
the custodians and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of the Stock Index Account of VA-1
at December 31, 1997, the results of its operations and the changes in its net
assets for the year then ended, in conformity with generally accepted accounting
principles.
ERNST & YOUNG LLP
February 6, 1998
Ernst & Young LLP is a member of Ernst & Young International, Ltd.
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<PAGE> 5
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
(amounts in thousands, except per accumulation unit amounts)
<TABLE>
<S> <C>
ASSETS
Investments, at cost......................................................... $399,428
Net unrealized appreciation of investments................................... 144,871
--------
Investments, at value........................................................ 544,299
Cash......................................................................... 140
Dividends and interest receivable............................................ 736
Receivable from securities transactions...................................... 14
--------
TOTAL ASSETS 545,189
--------
LIABILITIES
Payable for securities transactions.......................................... 1,112
Amounts due to General Account............................................... 346
--------
TOTAL LIABILITIES 1,458
--------
NET ASSETS--Accumulation Fund.................................................. $543,731
========
THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6..................... 9,901
=====
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5................................. $54.92
======
</TABLE>
See notes to financial statements.
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<PAGE> 6
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 1997
(amounts in thousands)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income:
Interest................................................................ $ 133
Dividends............................................................... 7,116
--------
TOTAL INCOME 7,249
--------
Expenses--Note 3:
Investment advisory charges............................................. 1,259
Administrative expenses................................................. 840
Mortality and expense risk charges...................................... 420
--------
EXPENSES BEFORE WAIVER 2,519
Investment advisory charges waived--Note 3.............................. (965)
--------
NET EXPENSES 1,554
--------
INVESTMENT INCOME--NET 5,695
--------
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS--Note 4
Net realized gain on investments........................................ 7,108
Net change in unrealized appreciation on investments.................... 96,189
--------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 103,297
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $108,992
========
</TABLE>
See notes to financial statements.
- 5 -
<PAGE> 7
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
(amounts in thousands)
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-------------------------
1997 1996
-------- --------
<S> <C> <C>
FROM OPERATIONS
Investment income--net..................................... $ 5,695 $ 3,283
Net realized gain on investments........................... 7,108 2,456
Net change in unrealized appreciation on investments....... 96,189 32,294
-------- --------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 108,992 38,033
-------- --------
FROM CONTRACTOWNER TRANSACTIONS
Premiums................................................... 154,463 144,253
Net contractowner transfers from fixed account............. 9,216 17,326
TIAA seed money withdrawn.................................. -- (93)
Withdrawals................................................ (10,917) (5,711)
Death benefits............................................. (1,068) (391)
-------- --------
NET INCREASE IN NET ASSETS RESULTING
FROM CONTRACTOWNER TRANSACTIONS 151,694 155,384
-------- --------
NET INCREASE IN NET ASSETS 260,686 193,417
NET ASSETS
Beginning of year.......................................... 283,045 89,628
-------- --------
End of year................................................ $543,731 $283,045
======== ========
</TABLE>
See notes to financial statements.
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<PAGE> 8
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION
TIAA Separate Account VA-1 ("VA-1") is a segregated investment account of
Teachers Insurance and Annuity Association of America ("TIAA") and was organized
on February 16, 1994 under the insurance laws of the State of New York for the
purpose of issuing and funding variable annuity contracts. VA-1 was registered
with the Securities and Exchange Commission ("Commission") effective November 1,
1994 as an open-end, diversified management investment company under the
Investment Company Act of 1940. Currently, VA-1 consists of a single investment
portfolio, the Stock Index Account ("Account"), which invests in a diversified
portfolio of equity securities selected to track the overall United States stock
market.
The Account was established on October 3, 1994 with a $25,000,000 seed money
investment by TIAA. TIAA purchased 1,000,000 Accumulation Units of the Account
and such Units shared in the pro rata investment experience of the Account and
were subject to the same valuation procedures and expense deductions as all
other Accumulation Units in the Account. On November 14, 1994, VA-1 began to
offer Accumulation Units of the Account to participants other than TIAA. On
October 2, 1995, TIAA began to withdraw its Accumulation Units from the Account
at prevailing daily net asset values. 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
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.
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.
- 7 -
<PAGE> 9
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
NOTE 4--INVESTMENTS
At December 31, 1997, the net unrealized appreciation on investments was
$144,871,385, consisting of gross unrealized appreciation of $155,367,267 and
gross unrealized depreciation of $10,495,882.
Purchases and sales of securities, other than short-term money market
instruments, for the year ended December 31, 1997, were $166,548,014 and
$9,939,008, respectively.
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the Account
is presented below.
<TABLE>
<CAPTION>
OCTOBER 3, 1994
YEARS ENDED DECEMBER 31, (DATE ESTABLISHED)
--------------------------------- TO
1997 1996 1995 DECEMBER 31, 1994(1)
------- ------- ------- --------------------
<S> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment Income..................... $ .847 $ .807 $ .745 $ .206
Expenses.............................. .182 .150 .170 .034
------- ------- ------- -------
Investment income--net................ .665 .657 .575 .172
Net realized and unrealized gain on
investments........................ 12.429 6.755 8.565 .099
------- ------- ------- -------
Net increase in Accumulation Unit
Value.............................. 13.094 7.412 9.140 .271
Accumulation Unit Value:
Beginning of period................ 41.823 34.411 25.271 25.000
------- ------- ------- -------
End of period...................... $54.917 $41.823 $34.411 $ 25.271
======= ======= ======= =======
Total return............................ 31.31% 21.54% 36.17% 1.08%
Ratios to Average Net Assets:
Expenses (2).......................... 0.37% 0.40% 0.55% 0.13%
Investment income--net................ 1.36% 1.74% 1.87% 0.68%
Portfolio turnover rate................. 2.39% 4.55% 0.98% 0.04%
Thousands of Accumulation Units
outstanding at end of period.......... 9,901 6,768 2,605 1,171
</TABLE>
(1) The percentages shown for this period are not annualized.
(2) 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).
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------
1997 1996
--------- ---------
<S> <C> <C>
Accumulation Units:
Credited for premiums......................................... 3,195,114 3,851,585
Credited (cancelled) for transfers and disbursements.......... (61,762) 311,506
Outstanding:
Beginning of year.......................................... 6,767,696 2,604,605
--------- ---------
End of year................................................ 9,901,048 6,767,696
========= =========
</TABLE>
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<PAGE> 10
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1997
SUMMARY BY INDUSTRY
(000)
<TABLE>
<CAPTION>
VALUE %
-------- ------
<S> <C> <C>
PREFERRED STOCK
LIFE INSURANCE..................... $ 28 0.01%
MEDICAL INSTRUMENTS AND SUPPLIES... 0 0.00
-------- ----
TOTAL PREFERRED STOCK
(Cost $25)........................ 28 0.01
-------- ----
COMMON STOCK
ADVERTISING........................ 1,126 0.21
AGRICULTURAL CHEMICALS............. 536 0.10
AIR TRANSPORTATION, SCHEDULED...... 3,257 0.60
AIRCRAFT AND PARTS................. 6,317 1.16
AIRPORTS, FLYING FIELDS, AND
SERVICES......................... 11 0.00
APPAREL, PIECE GOODS, AND NOTIONS.. 421 0.08
AUTO AND HOME SUPPLY STORES........ 84 0.02
AUTOMOBILE PARKING................. 61 0.01
AUTOMOTIVE RENTALS, NO DRIVERS..... 443 0.08
AUTOMOTIVE SERVICES, EXCEPT
REPAIR........................... 73 0.01
BAKERY PRODUCTS.................... 332 0.06
BEAUTY SHOPS....................... 33 0.01
BEVERAGES.......................... 14,831 2.73
BITUMINOUS COAL AND LIGNITE
MINING........................... 26 0.00
BLANKBOOKS AND BOOKBINDING......... 183 0.03
BLAST FURNACE AND BASIC STEEL
PRODUCTS......................... 1,940 0.36
BOAT DEALERS....................... 20 0.00
BOOKS.............................. 621 0.11
BROADWOVEN FABRIC MILLS, COTTON.... 192 0.04
BROADWOVEN FABRIC MILLS,
MANMADE.......................... 109 0.02
BUSINESS CREDIT INSTITUTIONS....... 538 0.10
CABLE AND OTHER PAY TV SERVICES.... 2,330 0.43
CARPENTRY AND FLOOR WORK........... 51 0.01
CARPETS AND RUGS................... 78 0.01
CASH GRAINS........................ 174 0.03
CEMENT, HYDRAULIC.................. 214 0.04
CHEMICAL AND FERTILIZER MINERALS... 35 0.01
CHEWING AND SMOKING TOBACCO........ 336 0.06
CHILDREN'S AND INFANTS' WEAR
STORES........................... 55 0.01
CIGARETTES......................... 6,643 1.22
CIGARS............................. 34 0.01
COMBINATION UTILITY SERVICES....... 6,634 1.22
COMMERCIAL BANKS................... 49,066 9.02
COMMERCIAL PRINTING................ 398 0.07
COMMUNICATIONS EQUIPMENT........... 6,260 1.15
COMMUNICATIONS SERVICES, NEC....... 240 0.04
COMPUTER AND DATA PROCESSING
SERVICES......................... 20,829 3.83
COMPUTER AND OFFICE EQUIPMENT...... 23,791 4.38
CONCRETE, GYPSUM, AND PLASTER
PRODUCTS......................... 197 0.04
CONSTRUCTION AND RELATED
MACHINERY........................ 2,593 0.48
COPPER ORES........................ 88 0.02
CREDIT REPORTING AND COLLECTION.... 864 0.16
CRUSHED AND BROKEN STONE........... 317 0.06
CUTLERY, HANDTOOLS, AND
HARDWARE......................... 3,815 0.70
DAIRY PRODUCTS..................... 182 0.03
DEEP SEA FOREIGN TRANSPORTATION OF
FREIGHT.......................... 205 0.04
DEPARTMENT STORES.................. 7,452 1.37
DRUG STORES AND PROPRIETARY
STORES........................... 2,191 0.40
DRUGS.............................. 39,522 7.27
DRUGS, PROPRIETARIES, AND
SUNDRIES......................... 2,169 0.40
EATING AND DRINKING PLACES......... 3,436 0.63
ELECTRIC DISTRIBUTION EQUIPMENT.... 1,783 0.33
ELECTRIC LIGHTING AND WIRING
EQUIPMENT........................ 242 0.04
ELECTRIC SERVICES.................. 13,205 2.43
ELECTRICAL GOODS................... 1,127 0.21
ELECTRICAL INDUSTRIAL APPARATUS.... 2,364 0.43
ELECTRICAL WORK.................... 18 0.00
ELECTRONIC COMPONENTS AND
ACCESSORIES...................... 13,443 2.47
ENGINEERING AND ARCHITECTURAL
SERVICES......................... 41 0.01
ENGINES AND TURBINES............... 773 0.14
FABRICATED RUBBER PRODUCTS, NEC.... 318 0.06
FABRICATED STRUCTURAL METAL
PRODUCTS......................... 202 0.04
FAMILY CLOTHING STORES............. 1,041 0.19
FARM AND GARDEN MACHINERY.......... 1,275 0.23
FARM-PRODUCT RAW MATERIALS......... 183 0.03
FEDERAL AND FEDERALLY-SPONSORED
CREDIT AGENCIES.................. 5,783 1.06
FIRE, MARINE, AND CASUALTY
INSURANCE........................ 5,063 0.93
FLAT GLASS......................... 594 0.11
FOOTWEAR EXCEPT, RUBBER............ 174 0.03
FREIGHT TRANSPORTATION
ARRANGEMENT...................... 162 0.03
FUNERAL SERVICE AND CREMATORIES.... 742 0.14
FURNITURE AND HOME FURNISHINGS
STORES........................... 439 0.08
GAS PRODUCTION AND DISTRIBUTION.... 3,054 0.56
GENERAL INDUSTRIAL MACHINERY....... 1,692 0.31
GLASS AND GLASSWARE, PRESSED OR
BLOWN............................ 1,110 0.20
GOLD AND SILVER ORES............... 647 0.12
GRAIN MILL PRODUCTS................ 4,013 0.74
GREETING CARDS..................... 157 0.03
GROCERIES AND RELATED PRODUCTS..... 1,311 0.24
GROCERY STORES..................... 3,116 0.57
</TABLE>
See notes to financial statements.
- 9 -
<PAGE> 11
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1997
SUMMARY BY INDUSTRY (CONTINUED)
(000)
<TABLE>
<CAPTION>
VALUE %
-------- ----
<S> <C> <C>
GUIDED MISSILES, SPACE VEHICLES AND
PARTS............................ $ 1,467 0.27%
HARDWARE, PLUMBING AND HEATING
EQUIPMENT........................ 69 0.01
HEALTH AND ALLIED SERVICES, NEC.... 1,755 0.32
HEAVY CONSTRUCTION, EXCEPT
HIGHWAY.......................... 257 0.05
HOLDING OFFICES.................... 1,221 0.22
HOME HEALTH CARE SERVICES.......... 74 0.01
HORTICULTURAL SPECIALTIES.......... 440 0.08
HOSPITALS.......................... 2,357 0.43
HOTELS AND MOTELS.................. 3,838 0.71
HOUSEHOLD APPLIANCE STORES......... 164 0.03
HOUSEHOLD APPLIANCES............... 14,968 2.75
HOUSEHOLD AUDIO AND VIDEO
EQUIPMENT........................ 7 0.00
HOUSEHOLD FURNITURE................ 432 0.08
INDUSTRIAL INORGANIC CHEMICALS..... 2,425 0.45
INDUSTRIAL MACHINERY, NEC.......... 121 0.02
INDUSTRIAL ORGANIC CHEMICALS....... 633 0.12
INSURANCE AGENTS, BROKERS, AND
SERVICE.......................... 1,564 0.29
INSURANCE CARRIERS, NEC............ 454 0.08
IRON ORES.......................... 60 0.01
JEWELRY, SILVERWARE, AND PLATED
WARE............................. 131 0.02
KNITTING MILLS..................... 140 0.03
LANDSCAPE AND HORTICULTURAL
SERVICES......................... 41 0.01
LAUNDRY, CLEANING, AND GARMENT
SERVICES......................... 368 0.07
LEAD AND ZINC ORES................. 25 0.00
LEATHER TANNING AND FINISHING...... 82 0.02
LEGAL SERVICES..................... 65 0.01
LIFE INSURANCE..................... 17,769 3.27
LOGGING............................ 59 0.01
LUGGAGE............................ 44 0.01
LUMBER AND CONSTRUCTION
MATERIALS........................ 442 0.08
LUMBER AND OTHER BUILDING
MATERIALS........................ 3,058 0.56
MACHINERY, EQUIPMENT, AND
SUPPLIES......................... 47 0.01
MAILING, REPRODUCTION AND
STENOGRAPHIC SERVICES............ 93 0.02
MANAGEMENT AND PUBLIC
RELATIONS........................ 531 0.10
MANIFOLD BUSINESS FORMS............ 135 0.02
MEASURING AND CONTROLLING
DEVICES.......................... 2,576 0.47
MEAT PRODUCTS...................... 1,283 0.24
MEDICAL AND DENTAL LABORATORIES.... 50 0.01
MEDICAL INSTRUMENTS AND
SUPPLIES......................... 10,295 1.89
MEDICAL SERVICE AND HEALTH
INSURANCE........................ 1,438 0.26
MEN'S AND BOYS' CLOTHING STORES.... 31 0.01
MEN'S AND BOYS' FURNISHINGS........ 617 0.11
MEN'S AND BOYS' SUITS AND COATS.... 75 0.01
METAL CANS AND SHIPPING
CONTAINERS....................... 429 0.08
METAL FORGINGS AND STAMPINGS....... 685 0.13
METALS AND MINERALS, EXCEPT
PETROLEUM........................ 104 0.02
METALWORKING MACHINERY............. 400 0.07
MISCELLANEOUS AMUSEMENT, RECREATION
SERVICES......................... 493 0.09
MISCELLANEOUS APPAREL AND ACCESSORY
STORES........................... 344 0.06
MISCELLANEOUS APPAREL AND
ACCESSORIES...................... 63 0.01
MISCELLANEOUS BUSINESS SERVICES.... 1,275 0.23
MISCELLANEOUS CHEMICAL PRODUCTS.... 1,179 0.22
MISCELLANEOUS CONVERTED PAPER
PRODUCTS......................... 2,785 0.51
MISCELLANEOUS DURABLE GOODS........ 648 0.12
MISCELLANEOUS ELECTRICAL EQUIPMENT
AND SUPPLIES..................... 214 0.04
MISCELLANEOUS EQUIPMENT RENTAL AND
LEASING.......................... 65 0.01
MISCELLANEOUS FABRICATED METAL
PRODUCTS......................... 716 0.13
MISCELLANEOUS FOOD AND KINDRED
PRODUCTS......................... 192 0.04
MISCELLANEOUS FOOD STORES.......... 268 0.05
MISCELLANEOUS GENERAL MERCHANDISE
STORES........................... 272 0.05
MISCELLANEOUS INVESTING............ 6,860 1.26
MISCELLANEOUS MANUFACTURES......... 524 0.10
MISCELLANEOUS METAL ORES........... 30 0.01
MISCELLANEOUS NONDURABLE GOODS..... 122 0.02
MISCELLANEOUS NONMETALLIC MINERAL
PRODUCTS......................... 2,060 0.38
MISCELLANEOUS NONMETALLIC
MINERALS......................... 26 0.00
MISCELLANEOUS PERSONAL SERVICES.... 282 0.05
MISCELLANEOUS PETROLEUM AND COAL
PRODUCTS......................... 2,175 0.40
MISCELLANEOUS PLASTICS PRODUCTS,
NEC.............................. 4,142 0.76
MISCELLANEOUS SHOPPING GOOD
STORES........................... 1,268 0.23
MISCELLANEOUS TRANSPORTATION
EQUIPMENT........................ 109 0.02
MOBILE HOME DEALERS................ 93 0.02
MORTGAGE BANKERS AND BROKERS....... 2,741 0.50
MOTION PICTURE PRODUCTION AND
SERVICES......................... 4,743 0.87
MOTION PICTURE THEATERS............ 223 0.04
</TABLE>
See notes to financial statements.
- 10 -
<PAGE> 12
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1997
SUMMARY BY INDUSTRY (CONTINUED)
(000)
<TABLE>
<CAPTION>
VALUE %
-------- ----
<S> <C> <C>
MOTOR VEHICLES AND EQUIPMENT....... $ 10,471 1.93%
MOTOR VEHICLES, PARTS, AND
SUPPLIES......................... 359 0.07
MOTORCYCLES, BICYCLES, AND PARTS... 249 0.05
NATURAL GAS LIQUIDS................ 394 0.07
NEW AND USED CAR DEALERS........... 261 0.05
NEWSPAPERS......................... 3,317 0.61
NONFERROUS FOUNDRIES (CASTINGS).... 99 0.02
NONFERROUS ROLLING AND DRAWING..... 471 0.09
NONSTORE RETAILERS................. 1,440 0.26
NURSING AND PERSONAL CARE
FACILITIES....................... 469 0.09
OFFICE FURNITURE................... 480 0.09
OFFICES AND CLINICS OF MEDICAL
DOCTORS.......................... 388 0.07
OFFICES AND CLINICS OF DENTISTS.... 33 0.01
OFFICES OF OTHER HEALTH
PRACTITIONERS.................... 19 0.00
OIL AND GAS EXTRACTION............. 20,438 3.76
OIL AND GAS FIELD SERVICES......... 4,113 0.76
OPERATIVE BUILDERS................. 348 0.06
OPHTHALMIC GOODS................... 172 0.03
ORDNANCE AND ACCESSORIES, NEC...... 113 0.02
PAINT, GLASS, AND WALLPAPER
STORES........................... 31 0.01
PAINTS AND ALLIED PRODUCTS......... 544 0.10
PAPER AND PAPER PRODUCTS........... 862 0.16
PAPER MILLS........................ 1,341 0.25
PAPERBOARD CONTAINERS AND BOXES.... 95 0.02
PAPERBOARD MILLS................... 939 0.17
PASSENGER TRANSPORTATION
ARRANGEMENT...................... 2,622 0.48
PENSION, HEALTH, AND WELFARE
FUNDS............................ 33 0.01
PERIODICALS........................ 2,077 0.38
PERSONAL CREDIT INSTITUTIONS....... 1,407 0.26
PERSONNEL SUPPLY SERVICES.......... 1,329 0.24
PETROLEUM AND PETROLEUM PRODUCTS... 988 0.18
PETROLEUM REFINING................. 6,291 1.16
PHOTOGRAPHIC EQUIPMENT AND
SUPPLIES......................... 2,757 0.51
PIPELINES, EXCEPT NATURAL GAS...... 176 0.03
PLASTICS MATERIALS AND
SYNTHETICS....................... 4,848 0.89
PLUMBING AND HEATING, EXCEPT
ELECTRIC......................... 541 0.10
POULTRY AND EGGS................... 197 0.04
PRESERVED FRUITS AND VEGETABLES.... 4,835 0.89
PRIMARY NONFERROUS METALS.......... 1,422 0.26
PRODUCERS, ORCHESTRAS,
ENTERTAINERS..................... 85 0.02
PRODUCTS OF PURCHASED GLASS........ 145 0.03
PROFESSIONAL AND COMMERCIAL
EQUIPMENT........................ 506 0.09
RADIO AND TELEVISION
BROADCASTING..................... 2,003 0.37
RADIO, TELEVISION, AND COMPUTER
STORES........................... 764 0.14
RAILROADS.......................... 3,616 0.66
REAL ESTATE OPERATORS AND
LESSORS.......................... 256 0.05
REFRIGERATION AND SERVICE
MACHINERY........................ 668 0.12
RENTAL OF RAILROAD CARS............ 116 0.02
RESEARCH AND TESTING SERVICES...... 626 0.12
RESIDENTIAL BUILDING
CONSTRUCTION..................... 367 0.07
RETAIL STORES, NEC................. 127 0.02
SAND AND GRAVEL.................... 95 0.02
SANITARY SERVICES.................. 2,301 0.42
SAVINGS INSTITUTIONS............... 4,147 0.76
SAWMILLS AND PLANING MILLS......... 1,211 0.22
SCHOOLS AND EDUCATIONAL SERVICES,
NEC.............................. 104 0.02
SCREW MACHINE PRODUCTS, BOLTS,
ETC.............................. 275 0.05
SEARCH AND NAVIGATION EQUIPMENT.... 1,269 0.23
SECURITY AND COMMODITY SERVICES.... 1,647 0.31
SECURITY BROKERS AND DEALERS....... 5,272 0.97
SHIP AND BOAT BUILDING AND
REPAIRING........................ 413 0.08
SHOE STORES........................ 203 0.04
SOAP, CLEANERS, AND TOILET GOODS... 9,746 1.79
SOCIAL SERVICES, NEC............... 157 0.03
SPECIAL INDUSTRY MACHINERY......... 1,496 0.28
STRUCTURAL CLAY PRODUCTS........... 48 0.01
SUBDIVIDERS AND DEVELOPERS......... 96 0.02
SUGAR AND CONFECTIONERY
PRODUCTS......................... 899 0.17
SURETY INSURANCE................... 841 0.15
TELEPHONE COMMUNICATIONS........... 37,825 6.96
TIRES AND INNER TUBES.............. 970 0.18
TITLE INSURANCE.................... 153 0.03
TOYS AND SPORTING GOODS............ 1,029 0.19
TRUCKING AND COURIER SERVICES,
EXCEPT AIR....................... 586 0.11
VARIETY STORES..................... 1,126 0.21
VIDEO TAPE RENTAL.................. 22 0.00
VOCATIONAL SCHOOLS................. 96 0.02
WATER SUPPLY....................... 188 0.03
WATER TRANSPORTATION OF FREIGHT,
NEC.............................. 35 0.01
WATER TRANSPORTATION SERVICES...... 176 0.03
WOMEN'S ACCESSORY AND SPECIALTY
STORES........................... 420 0.08
WOMEN'S AND MISSES' OUTERWEAR...... 270 0.05
WOMEN'S CLOTHING STORES............ 178 0.03
</TABLE>
See notes to financial statements.
- 11 -
<PAGE> 13
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1997
SUMMARY BY INDUSTRY (CONTINUED)
(000)
<TABLE>
<CAPTION>
VALUE %
-------- ----
<S> <C> <C>
WOOD BUILDINGS AND MOBILE HOMES.... $ 72 0.01%
YARN AND THREAD MILLS.............. 203 0.04
-------- ----
TOTAL COMMON STOCK
(Cost $397,604)................... 542,473 99.76
-------- ----
SHORT TERM INVESTMENTS
U.S. GOVERNMENT AND AGENCIES....... 1,798 0.33
-------- ----
TOTAL SHORT TERM INVESTMENTS
(Cost $1799)...................... 1,798 0.33
TOTAL PORTFOLIO
(Cost $399,428)................... $544,299 100.10
-------- ------
OTHER ASSETS AND LIABILITIES, NET... (568) (0.10)
-------- ------
NET ASSETS.......................... $543,731 100.00%
======== ======
</TABLE>
See notes to financial statements.
- 12 -
<PAGE> 14
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
PREFERRED STOCK--0.01%
LIFE INSURANCE--0.01%
389 AETNA, INC 6.25% (CLASS C)........ $ 28
--------
MEDICAL INSTRUMENTS AND
SUPPLIES--0.00%
3,500 DEGREES FRESENIUS MEDICAL CARE
(CLASS D)........................ 0
--------
TOTAL PREFERRED STOCK
(Cost $25)........................ 28
--------
COMMON STOCK--99.76%
ADVERTISING--0.21%
1,400 DEGREES CATALINA MARKETING CORP... 65
7,350 INTERPUBLIC GROUP OF COS, INC..... 366
1,000 DEGREES LAMAR ADVERTISING CO
(CLASS A)........................ 40
9,600 OMNICOM GROUP, INC................ 407
1,100 DEGREES OUTDOOR SYSTEMS, INC...... 42
1,100 DEGREES SNYDER COMMUNICATIONS,
INC.............................. 40
1,900 TRUE NORTH COMMUNICATIONS, INC.... 47
1,000 DEGREES UNIVERSAL OUTDOOR
HOLDINGS, INC.................... 52
1,800 DEGREES VALASSIS COMMUNICATIONS,
INC.............................. 67
--------
1,126
--------
AGRICULTURAL CHEMICALS--0.10%
1,700 DEGREES FMC CORP.................. 114
422 DEGREES FREEPORT-MCMORAN SULPHUR,
INC.............................. 5
7,080 IMC GLOBAL, INC................... 232
666 DEGREES IMC GLOBAL, INC WTS
12/22/00......................... 3
2,700 MISSISSIPPI CHEMICAL CORP......... 49
1,900 DEGREES MYCOGEN CORP.............. 36
3,200 DEGREES SCOTTS CO (CLASS A)....... 97
--------
536
--------
AIR TRANSPORTATION,
SCHEDULED--0.60%
2,925 AIR EXPRESS INTERNATIONAL CORP.... 89
3,400 DEGREES AMERICA WEST HOLDINGS CORP
(CLASS B)........................ 63
5,200 DEGREES AMR CORP.................. 668
1,600 ASA HOLDINGS, INC................. 46
700 DEGREES ATLAS AIR, INC............ 17
3,887 COMAIR HOLDINGS, INC.............. 94
3,000 DEGREES CONTINENTAL AIRLINES, INC
(CLASS B)........................ 144
4,200 DELTA AIRLINES, INC............... 500
7,200 DEGREES FEDERAL EXPRESS CORP...... 440
4,600 DEGREES NORTHWEST AIRLINES CORP
(CLASS A)........................ 220
1,800 PITTSTON BURLINGTON GROUP CO...... 47
13,050 SOUTHWEST AIRLINES CO............. 321
3,600 DEGREES UAL CORP.................. 333
4,400 DEGREES US AIRWAYS GROUP, INC..... 275
--------
3,257
--------
AIRCRAFT AND PARTS--1.16%
2,500 DEGREES AIRTRAN HOLDINGS, INC..... 10
30,300 ALLIED SIGNAL, INC................ 1,180
2,000 DEGREES BE AEROSPACE, INC......... 54
60,954 BOEING CO......................... 2,983
900 BREED TECHNOLOGIES, INC........... 16
4,700 DEGREES GULFSTREAM AEROSPACE
CORP............................. 137
3,177 NORTHROP GRUMMAN CORP............. 365
1,100 OEA, INC.......................... 32
8,100 TEXTRON, INC...................... 506
14,200 UNITED TECHNOLOGIES CORP.......... 1,034
--------
6,317
--------
AIRPORTS, FLYING FIELDS, AND
SERVICES--0.00%
400 DEGREES EAGLE USA AIRFREIGHT,
INC.............................. 11
--------
APPAREL, PIECE GOODS, AND
NOTIONS--0.08%
1,320 BURLINGTON COAT FACTORY WAREHOUSE
CORP............................. 22
8,100 NIKE, INC (CLASS B)............... 318
2,807 DEGREES REEBOK INTERNATIONAL
LTD.............................. 81
--------
421
--------
AUTO AND HOME SUPPLY STORES--0.02%
3,500 PEP BOYS MANNY, MOE, & JACK CO.... 84
--------
AUTOMOBILE PARKING--0.01%
1,350 CENTRAL PARKING CORP.............. 61
--------
AUTOMOTIVE RENTALS, NO
DRIVERS--0.08%
800 DEGREES BUDGET GROUP, INC......... 28
1,800 HERTZ CORP (CLASS A).............. 72
1,700 DEGREES RENTERS CHOICE, INC....... 35
5,500 ROLLINS TRUCK LEASING CORP........ 98
4,600 RYDER SYSTEM, INC................. 151
1,000 XTRA CORP......................... 59
--------
443
--------
AUTOMOTIVE SERVICES, EXCEPT
REPAIR--0.01%
1,400 BORG-WARNER AUTOMOTIVE, INC....... 73
--------
BAKERY PRODUCTS--0.06%
3,000 INTERSTATE BAKERIES CORP.......... 112
1,900 LANCE, INC........................ 50
3,500 NABISCO HOLDINGS CORP (CLASS A)... 170
--------
332
--------
BEAUTY SHOPS--0.01%
1,300 REGIS CORP........................ 33
--------
BEVERAGES--2.73%
27,200 ANHEUSER BUSCH COS, INC........... 1,197
1,600 BROWN FORMAN, INC (CLASS B)....... 88
1,000 DEGREES CANANDAIGUA BRANDS, INC
(CLASS A)........................ 55
</TABLE>
See notes to financial statements.
- 13 -
<PAGE> 15
<TABLE>
<CAPTION>
VALUE
SHARES (000)
----------- --------
<C> <S> <C>
BEVERAGES--(continued)
137,800 COCA COLA CO...................... $ 9,181
13,100 COCA COLA ENTERPRISES, INC........ 466
2,900 COORS (ADOLPH) CO (CLASS B)....... 96
9,800 FORTUNE BRANDS, INC............... 363
92,900 PEPSICO, INC...................... 3,385
--------
14,831
--------
BITUMINOUS COAL AND LIGNITE
MINING--0.00%
1,600 ZEIGLER COAL HOLDINGS CO.......... 26
--------
BLANKBOOKS AND BOOKBINDING--0.03%
3,700 DELUXE CORP....................... 128
2,500 DEGREES FRANKLIN COVEY CO......... 55
--------
183
--------
BLAST FURNACE AND BASIC STEEL
PRODUCTS--0.36%
3,200 AK STEEL HOLDINGS CORP............ 57
6,787 ALLEGHENY TELEDYNE, INC........... 176
6,300 DEGREES ARMCO, INC................ 31
6,400 DEGREES BETHLEHEM STEEL CORP...... 55
5,100 BIRMINGHAM STEEL CORP............. 80
1,600 CARPENTER TECHNOLOGY CORP......... 77
3,600 INLAND STEEL INDUSTRIES, INC...... 62
2,700 J & L SPECIALTY STEEL, INC........ 27
1,800 DEGREES LONE STAR TECHNOLOGIES,
INC.............................. 51
5,600 LTV CORP.......................... 55
5,200 NUCOR CORP........................ 251
2,900 OREGON STEEL MILLS, INC........... 62
2,900 DEGREES STEEL DYNAMICS, INC....... 46
1,600 TEXAS INDUSTRIES, INC............. 72
17,800 USX-MARATHON GROUP, INC........... 601
4,900 USX-US STEEL GROUP, INC........... 153
5,100 WORTHINGTON INDUSTRIES, INC....... 84
--------
1,940
--------
BOAT DEALERS--0.00%
900 DEGREES WEST MARINE, INC.......... 20
--------
BOOKS--0.11%
2,300 BANTA CORP........................ 62
2,400 HOUGHTON MIFFLIN CO............... 92
5,800 MCGRAW HILL COS, INC.............. 429
1,000 DEGREES SCHOLASTIC CORP........... 38
--------
621
--------
BROADWOVEN FABRIC MILLS,
COTTON--0.04%
4,500 DEGREES BURLINGTON INDUSTRIES,
INC.............................. 62
1,300 DEGREES TRIARC COS, INC........... 35
2,000 DEGREES WESTPOINT STEVENS, INC.... 95
--------
192
--------
BROADWOVEN FABRIC MILLS,
MANMADE--0.02%
1,800 ALBANY INTERNATIONAL CORP (CLASS
A)............................... 41
1,300 SPRING INDUSTRIES, INC............ 68
--------
109
--------
BUSINESS CREDIT INSTITUTIONS--0.10%
3,700 DEGREES ARCADIA FINANCIAL LTD..... 28
3,900 ASSOCIATES FIRST CAPITAL CORP..... 277
500 CAPITAL ONE FINANCIAL CORP........ 27
3,400 FINOVA GROUP, INC................. 169
1,500 TOTAL SYSTEM SERVICES, INC........ 37
--------
538
--------
CABLE AND OTHER PAY TV
SERVICES--0.43%
3,722 DEGREES ASCENT ENTERTAINMENT
GROUP, INC....................... 39
300 DEGREES CABLE MICHIGAN, INC....... 7
900 DEGREES CABLEVISION SYSTEMS CORP
(CLASS A)........................ 86
21,289 COMCAST CORP (CLASS A) SPECIAL.... 672
3,991 DEGREES COX COMMUNICATIONS, INC
(CLASS A)........................ 160
1,150 DEGREES MASTEC, INC............... 26
1,769 DEGREES PANAMSAT CORP............. 76
1,600 TCA CABLE TV, INC................. 74
6,980 DEGREES TCI SATELLITE
ENTERTAINMENT (CLASS A).......... 48
27,066 DEGREES TELE-COMMUNICATIONS, INC
(CLASS A)........................ 756
13,634 DEGREES TELECOM-TCI VENTURES GROUP
(CLASS A)........................ 386
--------
2,330
--------
CARPENTRY AND FLOOR WORK--0.01%
2,200 GEON CO........................... 51
--------
CARPETS AND RUGS--0.01%
6,700 SHAW INDUSTRIES, INC.............. 78
--------
CASH GRAINS--0.03%
2,300 DEKALB GENETICS CORP (CLASS B).... 90
2,754 DELTA & PINE LAND CO.............. 84
--------
174
--------
CEMENT, HYDRAULIC--0.04%
1,900 CENTEX CONSTRUCTION PRODUCTS,
INC.............................. 57
1,500 MEDUSA CORP....................... 63
1,600 SOUTHDOWN, INC.................... 94
--------
214
--------
CHEMICAL AND FERTILIZER
MINERALS--0.01%
425 POTASH CORP OF SASKATCHEWAN, INC.. 35
--------
CHEWING AND SMOKING TOBACCO--0.06%
9,100 UST, INC.......................... 336
--------
CHILDREN'S AND INFANTS' WEAR
STORES--0.01%
2,000 DEGREES GYMBOREE CORP............. 55
--------
CIGARETTES--1.22%
146,600 PHILIP MORRIS COS, INC............ 6,643
--------
</TABLE>
See notes to financial statements.
- 14 -
<PAGE> 16
<TABLE>
<CAPTION>
VALUE
SHARES (000)
----------- --------
<C> <S> <C>
CIGARS--0.01%
1,600 DEGREES GENERAL CIGAR HOLDINGS,
INC (CLASS A).................... $ 34
--------
COMBINATION UTILITY SERVICES--1.22%
8,500 BALTIMORE GAS & ELECTRIC CO....... 290
1,900 CENTRAL HUDSON GAS & ELECTRIC
CORP............................. 83
10,266 CENTRAL MAINE POWER CO............ 157
1,200 CILCORP, INC...................... 59
2,000 CIPSCO, INC....................... 89
11,091 DEGREES CITIZENS UTILITIES CO
(CLASS B)........................ 107
13,600 CONSOLIDATED EDISON CO OF NEW
YORK, INC........................ 558
5,300 DELMARVA POWER & LIGHT CO......... 122
23,500 EDISON INTERNATIONAL CO........... 639
6,200 ENOVA CORP........................ 168
3,700 IPALCO ENTERPRISES, INC........... 155
4,200 KANSAS CITY POWER & LIGHT CO...... 124
7,200 LONG ISLAND LIGHTING CO........... 217
5,800 MIDAMERICAN ENERGY HOLDINGS CO.... 128
4,100 MONTANA POWER CO.................. 130
6,285 NEW CENTURY ENERGIES, INC......... 301
4,600 NEW YORK STATE ELECTRIC & GAS
CORP............................. 163
9,100 DEGREES NIAGARA MOHAWK POWER
CORP............................. 96
3,600 NIPSCO INDUSTRIES, INC............ 178
4,100 NORTHERN STATES POWER CO.......... 239
6,400 ORANGE & ROCKLAND UTILITY, INC.... 298
16,700 PACIFICORP........................ 456
12,300 PECO ENERGY CO.................... 298
3,500 PUBLIC SERVICE CO OF NEW MEXICO... 83
13,300 PUBLIC SERVICE ENTERPRISE GROUP,
INC.............................. 421
2,900 ROCHESTER GAS & ELECTRIC CORP..... 99
6,300 SCANA CORP........................ 189
2,900 SIERRA PACIFIC RESOURCES.......... 109
6,000 UNION ELECTRIC CO................. 260
2,997 UTILICORP UNITED, INC............. 116
5,500 WASHINGTON WATER POWER CO......... 134
3,900 WESTERN RESOURCES, INC............ 168
--------
6,634
--------
COMMERCIAL BANKS--9.02%
4,450 AMSOUTH BANCORP................... 242
4,192 ASSOCIATED BANC CORP.............. 231
35,196 BANC ONE CORP..................... 1,912
1,900 BANCORPSOUTH, INC................. 90
23,000 BANK OF NEW YORK CO, INC.......... 1,330
42,600 BANKAMERICA CORP.................. 3,110
8,635 BANKBOSTON CORP................... 811
5,645 BANKERS TRUST NEW YORK CORP....... 635
11,900 BARNETT BANKS, INC................ 855
7,174 BB&T CORP......................... 460
1,600 CCB FINANCIAL CORP................ 172
2,100 CENTURA BANKS, INC................ 145
26,520 CHASE MANHATTAN CORP.............. 2,904
28,946 CITICORP CO....................... 3,660
2,400 CITIZENS BANKING CORP............. 83
2,400 CITY NATIONAL CORP................ 89
3,092 DEGREES CNB BANCSHARES, INC....... 149
3,200 COLONIAL BANCGROUP, INC........... 110
6,000 COMERICA, INC..................... 542
3,400 COMMERCE BANCORP, INC............. 173
2,310 COMMERCE BANCSHARES, INC.......... 157
1,700 DEGREES COMMUNITY FIRST
BANKSHARES, INC.................. 91
4,200 COMPASS BANCSHARES, INC........... 184
11,997 CORESTATES FINANCIAL CORP......... 961
6,334 CRESTAR FINANCIAL CORP............ 361
1,900 CULLEN FROST BANKERS, INC......... 115
2,800 DEPOSIT GUARANTY.................. 159
2,100 F & M NATIONAL CORP............... 72
7,200 FIFTH THIRD BANCORP............... 589
3,633 FIRST AMERICAN CORP............... 181
18,753 FIRST CHICAGO NBD CORP............ 1,566
2,528 FIRST COMMERCE CORP............... 170
2,789 FIRST COMMERCIAL CORP............. 164
200 FIRST COMMONWEALTH FINANCIAL
CORP............................. 7
100 FIRST EMPIRE STATE CORP........... 47
2,646 FIRST FINANCIAL BANCORP........... 128
2,200 FIRST HAWAIIAN, INC............... 87
1,500 FIRST MIDWEST BANCORP, INC........ 66
5,109 FIRST OF AMERICA BANK CORP........ 394
7,000 FIRST SECURITY CORP............... 293
3,900 FIRST TENNESSEE NATIONAL CORP..... 260
3,500 FIRST VIRGINIA BANKS, INC......... 181
6,900 FIRSTAR CORP...................... 293
5,000 FIRSTMERIT CORP................... 142
15,327 FLEET FINANCIAL GROUP, INC........ 1,149
4,525 FRANCHISE FINANCE CORP OF
AMERICA.......................... 122
2,300 GREENPOINT FINANCIAL CORP......... 167
2,575 HUBCO, INC........................ 101
12,755 HUNTINGTON BANCSHARES, INC........ 459
1,670 DEGREES IMPERIAL BANCORP.......... 82
13,000 KEYCORP........................... 921
3,750 KEYSTONE FINANCIAL, INC........... 151
3,200 MAGNA GROUP, INC.................. 146
6,059 MARSHALL & ILSLEY CORP............ 376
25,737 MBNA CORP......................... 703
15,300 MELLON BANK CORP.................. 928
7,596 MERCANTILE BANCORP, INC........... 467
4,255 MERCANTILE BANKSHARES CORP........ 166
10,700 MORGAN (J.P.) & CO, INC........... 1,208
12,527 NATIONAL CITY CORP................ 824
3,800 NATIONAL COMMERCE BANCORP......... 134
44,432 NATIONSBANK CORP.................. 2,702
4,400 NORTH FORK BANCORP, INC........... 148
6,500 NORTHERN TRUST CORP............... 453
45,500 NORWEST CORP...................... 1,757
5,106 OLD KENT FINANCIAL CORP........... 202
3,802 OLD NATIONAL BANCORP.............. 184
1,600 ONBANCORP, INC.................... 113
3,493 ONE VALLEY BANCORP, INC........... 135
5,400 PACIFIC CENTURY FINANCIAL CORP.... 134
500 PARK NATIONAL CORP................ 44
</TABLE>
See notes to financial statements.
- 15 -
<PAGE> 17
<TABLE>
<CAPTION>
VALUE
SHARES (000)
----------- --------
<C> <S> <C>
COMMERCIAL BANKS--(continued)
2,400 PEOPLES HERITAGE FINANCIAL GROUP,
INC.............................. $ 110
19,050 PNC BANK CORP..................... 1,087
4,100 POPULAR, INC...................... 203
2,800 DEGREES PROVIDENT FINANCIAL
GROUP............................ 136
3,900 QUEENS COUNTY BANCORP, INC........ 158
7,756 REGIONS FINANCIAL CORP............ 327
3,100 REPUBLIC NEW YORK CORP............ 354
1,600 RIGGS NATIONAL CORP............... 43
5,500 SOUTHTRUST CORP................... 349
5,100 STAR BANC CORP.................... 293
9,400 STATE STREET CORP................. 547
10,467 SUMMIT BANCORP.................... 557
12,400 SUNTRUST BANKS, INC............... 885
2,300 SUSQUEHANNA BANCSHARES, INC....... 88
8,850 SYNOVUS FINANCIAL CORP............ 290
2,700 TRUSTMARK CORP.................... 125
14,912 U.S. BANCORP...................... 1,669
1,900 U.S. TRUST CORP................... 119
4,125 UNION PLANTERS CORP............... 280
3,759 VALLEY NATIONAL BANCORP........... 148
11,436 WACHOVIA CORP..................... 928
4,724 WELLS FARGO & CO.................. 1,604
1,100 WESTAMERICA BANCORP............... 112
2,000 WILMINGTON TRUST CORP............. 125
4,000 ZIONS BANCORP..................... 182
--------
49,066
--------
COMMERCIAL PRINTING--0.07%
1,300 DEGREES APPLIED GRAPHICS
TECHNOLOGIES, INC................ 69
2,100 BOWNE & CO, INC................... 84
5,400 DONNELLEY (R.R.) & SONS CO........ 201
2,100 HARLAND (JOHN H.) CO.............. 44
--------
398
--------
COMMUNICATIONS EQUIPMENT--1.15%
20,842 DEGREES 3COM CORP................. 728
7,900 DEGREES ADC TELECOMMUNICATIONS,
INC.............................. 330
3,900 DEGREES ADVANCED FIBRE
COMMUNICATIONS................... 114
2,900 ALIANT COMMUNICATIONS, INC........ 91
5,475 DEGREES ANDREW CORP............... 131
3,000 DEGREES ANTEC CORP................ 47
3,300 DEGREES ASPECT TELECOMMUNICATIONS
CORP............................. 69
1,700 DEGREES BILLING INFORMATION
CONCEPTS CORP.................... 82
1,500 DEGREES BOSTON TECHNOLOGY, INC.... 38
1,600 DEGREES CHYRON CORP............... 7
6,100 DEGREES CIENA CORP................ 373
2,800 DEGREES DIGITAL MICROWAVE CORP.... 41
6,900 DEGREES DSC COMMUNICATIONS CORP... 166
2,400 DEGREES DSP COMMUNICATIONS, INC... 29
2,439 DEGREES EXCEL COMMUNICATIONS,
INC.............................. 35
3,500 FEDERAL SIGNAL CORP............... 76
4,800 DEGREES GENERAL DATACOMM
INDUSTRIES, INC.................. 23
11,700 DEGREES GEOTEK COMMUNICATIONS,
INC.............................. 18
4,125 DEGREES GLENAYRE TECHNOLOGIES,
INC.............................. 41
5,000 HARRIS CORP....................... 229
6,200 DEGREES ITT CORP.................. 514
7,000 ITT INDUSTRIES, INC............... 220
36,300 MOTOROLA, INC..................... 2,071
1,700 DEGREES NETWORK EQUIPMENT
TECHNOLOGIES, INC................ 25
6,900 DEGREES NEXTLEVEL SYSTEMS, INC.... 123
2,800 DEGREES P-COM, INC................ 48
3,600 DEGREES PAIRGAIN TECHNOLOGIES,
INC.............................. 70
2,200 DEGREES PICTURETEL CORP........... 14
1,000 PITTWAY CORP (CLASS A)............ 70
1,100 DEGREES POWERWAVE TECHNOLOGIES,
INC.............................. 18
2,100 DEGREES PREMISYS COMMUNICATIONS,
INC.............................. 55
4,100 SCIENTIFIC-ATLANTA, INC........... 69
3,800 DEGREES SHIVA CORP................ 33
2,400 SYMBOL TECHNOLOGIES, INC.......... 91
1,400 DEGREES TCSI CORP................. 11
1,600 DEGREES TEKELEC................... 49
1,400 DEGREES TELE-COMMUNICATIONS
INTERNATIONAL (CLASS A).......... 25
3,500 DEGREES WESTELL TECHNOLOGIES, INC
(CLASS A)........................ 45
2,700 DEGREES XYLAN CORP................ 41
--------
6,260
--------
COMMUNICATIONS SERVICES, NEC--0.04%
3,700 COMSAT CORP SERIES 1.............. 90
2,000 DEGREES MCLEODUSA, INC (CLASS A).. 64
2,600 WPL HOLDINGS, INC................. 86
--------
240
--------
COMPUTER AND DATA PROCESSING
SERVICES--3.83%
3,200 DEGREES ACXIOM CORP............... 62
4,200 ADOBE SYSTEMS, INC................ 173
2,600 DEGREES AFFILIATED COMPUTER
SERVICES, INC (CLASS A).......... 68
1,800 DEGREES AFFYMETRIX, INC........... 56
6,300 DEGREES AMERICA ONLINE, INC....... 562
2,650 DEGREES AMERICAN MANAGEMENT
SYSTEMS, INC..................... 52
1,500 ANALYSTS INTERNATIONAL CORP....... 52
1,600 DEGREES ASPEN TECHNOLOGY, INC..... 55
2,600 AUTODESK, INC..................... 96
17,400 AUTOMATIC DATA PROCESSING, INC.... 1,068
1,900 DEGREES AVANT CORP................ 32
1,000 DEGREES BEA SYSTEMS, INC.......... 17
2,100 DEGREES BISYS GROUP, INC.......... 70
6,200 DEGREES BMC SOFTWARE, INC......... 407
1,600 DEGREES BRODERBUND SOFTWARE, INC.. 41
11,450 DEGREES CADENCE DESIGN SYSTEMS,
INC.............................. 281
2,500 DEGREES CAMBRIDGE TECHNOLOGY
PARTNERS, INC.................... 104
4,500 DEGREES CERIDIAN CORP............. 206
1,500 DEGREES CERNER CORP............... 32
2,600 DEGREES CHECKPOINT SYSTEMS, INC... 46
980 DEGREES CHOICEPOINT, INC.......... 47
900 DEGREES CIBER, INC................ 52
4,900 DEGREES CIRRUS LOGIC, INC......... 52
1,600 DEGREES CITRIX SYSTEMS, INC....... 122
1,900 DEGREES CLARIFY, INC.............. 22
</TABLE>
See notes to financial statements.
- 16 -
<PAGE> 18
<TABLE>
<CAPTION>
VALUE
SHARES (000)
----------- --------
<C> <S> <C>
COMPUTER AND DATA PROCESSING
SERVICES--(continued)
3,750 COMDISCO, INC..................... $ 125
1,000 DEGREES COMPUSERVE CORP........... 12
25,000 COMPUTER ASSOCIATES INTERNATIONAL,
INC.............................. 1,322
1,650 DEGREES COMPUTER HORIZONS CORP.... 75
4,548 DEGREES COMPUTER SCIENCES CORP.... 380
1,300 COMPUTER TASK GROUP, INC.......... 46
4,100 DEGREES COMPUTERVISION CORP....... 16
8,900 DEGREES COMPUWARE CORP............ 285
2,550 DEGREES CORESTAFF, INC............ 68
1,700 DEGREES CSG SYSTEMS INTERNATIONAL,
INC.............................. 68
6,060 DEGREES CYBERGUARD CORP........... 34
700 DEGREES DIALOGIC CORP............. 31
1,200 DEGREES DOCUMENTUM, INC........... 51
2,000 DEGREES DST SYSTEMS, INC.......... 85
2,000 DEGREES E TRADE GROUP, INC........ 46
3,100 DEGREES ELECTRONIC ARTS, INC...... 117
19,700 ELECTRONIC DATA SYSTEMS CORP...... 866
3,400 DEGREES ELECTRONICS FOR IMAGING,
INC.............................. 57
1,700 DEGREES ENVOY CORP................ 50
1,800 DEGREES FILENET CORP.............. 54
23,606 FIRST DATA CORP................... 690
3,500 DEGREES FISERV, INC............... 172
5,200 DEGREES FORE SYSTEMS, INC......... 79
3,800 DEGREES FORTE SOFTWARE, INC....... 29
2,200 DEGREES GT INTERACTIVE SOFTWARE
CORP............................. 14
2,900 DEGREES GTECH HOLDINGS CORP....... 93
1,600 DEGREES HARBINGER CORP............ 45
12,000 HBO & CO.......................... 576
1,100 DEGREES HCIA, INC................. 13
2,300 DEGREES HEALTH MANAGEMENT SYSTEMS,
INC.............................. 14
1,000 DEGREES HNC SOFTWARE.............. 43
1,000 DEGREES HYPERION SOFTWARE CORP.... 36
600 DEGREES I2 TECHNOLOGIES, INC...... 32
500 DEGREES IDX SYSTEMS CORP.......... 19
1,500 DEGREES INDUSTRI-MATEMATIK
INTERNATIONAL CORP............... 44
2,300 DEGREES INSO CORP................. 27
1,300 DEGREES INTEGRATED SYSTEMS, INC... 18
2,000 DEGREES INTERNATIONAL NETWORK
SERVICES......................... 46
2,200 DEGREES INTUIT, INC............... 91
2,200 DEGREES ITRON, INC................ 40
4,300 DEGREES KEANE, INC................ 175
2,200 DEGREES LEARNING CO, INC.......... 35
1,000 DEGREES LEGATO SYSTEMS, INC....... 44
500 DEGREES LHS GROUP, INC............ 30
2,500 DEGREES MACROMEDIA, INC........... 21
1,400 DEGREES MANUGISTICS GROUP, INC.... 62
3,500 DEGREES MENTOR GRAPHICS CORP...... 34
46,200 DEGREES MICROSOFT CORP............ 5,971
1,600 DEGREES MIDWAY GAMES, INC......... 29
2,000 NATIONAL DATA CORP................ 72
2,250 DEGREES NATIONAL INSTRUMENTS
CORP............................. 65
5,000 DEGREES NETMANAGE, INC............ 14
3,037 DEGREES NETSCAPE COMMUNICATIONS
CORP............................. 74
4,433 DEGREES NETWORKS ASSOCIATES,
INC.............................. 234
20,700 DEGREES NOVELL, INC............... 155
46,375 DEGREES ORACLE CORP............... 1,035
7,700 DEGREES PARAMETRIC TECHNOLOGY
CORP............................. 365
5,100 PAYCHEX, INC...................... 258
700 DEGREES PEGASYSTEMS, INC.......... 14
9,400 DEGREES PEOPLESOFT, INC........... 367
2,700 DEGREES PHYSICIAN COMPUTER
NETWORK, INC..................... 11
4,200 DEGREES PLATINUM TECHNOLOGY,
INC.............................. 119
1,200 DEGREES POLICY MANAGEMENT SYSTEMS
CORP............................. 83
1,600 DEGREES PROTEIN DESIGN
LABORATORIES, INC................ 64
2,600 DEGREES PSINET, INC............... 13
1,400 DEGREES REMEDY CORP............... 29
800 DEGREES SAPIENT CORP.............. 49
2,050 DEGREES SCOPUS TECHNOLOGY, INC.... 25
2,000 DEGREES SECURITY DYNAMICS
TECHNOLOGIES, INC................ 72
1,600 SHARED MEDICAL SYSTEMS CORP....... 106
2,000 DEGREES SIEBEL SYSTEMS, INC....... 84
5,411 DEGREES STERLING COMMERCE, INC.... 208
2,000 DEGREES STERLING SOFTWARE, INC.... 82
2,300 DEGREES STRUCTURAL DYNAMICS
RESEARCH CORP.................... 52
4,700 DEGREES SUNGARD DATA SYSTEMS,
INC.............................. 146
5,000 DEGREES SYBASE, INC............... 67
800 DEGREES SYKES ENTERPRISES, INC.... 16
3,600 DEGREES SYMANTEC CORP............. 79
3,200 DEGREES SYNOPSYS, INC............. 114
1,600 DEGREES SYSTEM SOFTWARE
ASSOCIATES, INC.................. 14
1,000 DEGREES SYSTEMS & COMPUTER
TECHNOLOGY CORP.................. 50
1,000 DEGREES SYSTEMSOFT CORP........... 6
2,250 DEGREES TECHNOLOGY SOLUTIONS CO... 59
1,800 DEGREES TRANSACTION SYSTEM
ARCHITECTURE..................... 68
2,000 DEGREES USCS INTERNATIONAL, INC... 34
2,600 DEGREES VANSTAR CORP.............. 29
1,000 DEGREES VANTIVE CORP.............. 25
1,650 DEGREES VERITAS SOFTWARE CORP..... 84
1,200 DEGREES VIASOFT, INC.............. 51
1,400 DEGREES VISIO CORP................ 54
1,850 DEGREES WIND RIVER SYSTEMS, INC... 73
1,350 DEGREES YAHOO, INC................ 93
1,700 DEGREES ZILOG, INC................ 32
--------
20,829
--------
COMPUTER AND OFFICE
EQUIPMENT--4.38%
1,400 DEGREES ADTRAN, INC............... 39
7,700 DEGREES APPLE COMPUTER, INC....... 101
10,080 DEGREES ASCEND COMMUNICATIONS,
INC.............................. 247
6,800 DEGREES AUSPEX SYSTEMS, INC....... 68
3,700 DEGREES BANCTEC, INC.............. 99
11,802 DEGREES BAY NETWORKS, INC......... 302
1,600 DEGREES BELL & HOWELL CO.......... 39
6,600 DEGREES CABLETRON SYSTEMS, INC.... 99
62,250 DEGREES CISCO SYSTEMS, INC........ 3,470
43,317 COMPAQ COMPUTER CORP.............. 2,445
1,600 DEGREES COMVERSE TECHNOLOGY,
INC.............................. 62
3,775 DEGREES CONCORD EFS, INC.......... 94
7,100 DEGREES COPYTELE, INC............. 25
2,400 DEGREES DATA GENERAL CORP......... 42
</TABLE>
See notes to financial statements.
- 17 -
<PAGE> 19
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
COMPUTER AND OFFICE
EQUIPMENT--(continued)
16,900 DEGREES DELL COMPUTER CORP........ $ 1,420
2,200 DEGREES DIAMOND MULTIMEDIA
SYSTEMS, INC..................... 20
4,350 DIEBOLD, INC...................... 220
9,100 DEGREES DIGITAL EQUIPMENT CORP.... 337
1,000 DEGREES DYNATECH CORP............. 47
30,400 DEGREES EMC CORP.................. 834
2,100 DEGREES ENCAD, INC................ 58
3,800 DEGREES GATEWAY 2000, INC......... 124
49,800 HEWLETT-PACKARD CO................ 3,113
2,900 DEGREES HMT TECHNOLOGY CORP....... 38
4,030 DEGREES IMATION CORP.............. 64
800 DEGREES IN FOCUS SYSTEMS, INC..... 24
3,500 DEGREES INTERGRAPH CORP........... 35
59,300 INTERNATIONAL BUSINESS MACHINES
CORP............................. 6,201
13,600 DEGREES IOMEGA CORP............... 169
4,600 DEGREES LEXMARK INTERNATIONAL
GROUP (CLASS A).................. 175
2,000 DEGREES LITTON INDUSTRIES, INC.... 115
3,225 DEGREES MICROCHIP TECHNOLOGY,
INC.............................. 97
1,100 DEGREES MICRON ELECTRONICS, INC... 10
287 DEGREES NCR CORP.................. 8
1,500 DEGREES NEOMAGIC CORP............. 19
2,000 DEGREES NETWORK APPLIANCE, INC.... 71
8,800 PITNEY BOWES, INC................. 791
6,700 DEGREES QUANTUM CORP.............. 134
4,483 DEGREES RATIONAL SOFTWARE CORP.... 51
3,300 REYNOLDS & REYNOLDS CO (CLASS A).. 61
2,100 DEGREES SAFEGUARD SCIENTIFICS,
INC.............................. 66
14,648 DEGREES SEAGATE TECHNOLOGY, INC... 282
3,200 DEGREES SEQUENT COMPUTER SYSTEMS,
INC.............................. 64
10,708 DEGREES SILICON GRAPHICS, INC..... 133
6,400 DEGREES SOLECTRON CORP............ 266
3,800 DEGREES STORAGE TECHNOLOGY CORP... 235
1,800 DEGREES STRATUS COMPUTER, INC..... 68
23,100 DEGREES SUN MICROSYSTEMS, INC..... 921
12,100 DEGREES UNISYS CORP............... 168
1,300 DEGREES VIDEOSERVER, INC.......... 21
2,400 DEGREES WANG LABORATORIES, INC.... 53
5,400 DEGREES WESTERN DIGITAL CORP...... 87
5,900 DEGREES XIRCOM, INC............... 59
--------
23,791
--------
CONCRETE, GYPSUM, AND PLASTER
PRODUCTS--0.04%
2,028 LAFARGE CORP...................... 60
2,800 DEGREES USG CORP.................. 137
--------
197
--------
CONSTRUCTION AND RELATED
MACHINERY--0.48%
9,500 BAKER HUGHES, INC................. 414
2,300 CAMCO INTERNATIONAL, INC.......... 146
23,100 CATERPILLAR, INC.................. 1,122
13,800 DOVER CORP........................ 499
2,400 DEGREES EVI, INC.................. 124
2,200 DEGREES GLOBAL INDUSTRIAL
TECHNOLOGIES, INC................ 37
2,900 HARNISCHFEGER INDUSTRIES, INC..... 102
3,200 JLG INDUSTRIES, INC............... 45
1,750 MANITOWOC, INC.................... 57
2,200 DEGREES VARCO INTERNATIONAL,
INC.............................. 47
--------
2,593
--------
COPPER ORES--0.02%
5,700 CYPRUS AMAX MINERALS CO........... 88
--------
CREDIT REPORTING AND
COLLECTION--0.16%
3,933 DEGREES ACNEILSEN CORP............ 96
9,500 COGNIZANT CORP.................... 423
9,800 DUN & BRADSTREET CORP............. 303
3,000 DEGREES PMT SERVICES, INC......... 42
--------
864
--------
CRUSHED AND BROKEN STONE--0.06%
3,079 MARTIN MARIETTA MATERIALS, INC.... 113
2,000 VULCAN MATERIALS CO............... 204
--------
317
--------
CUTLERY, HANDTOOLS, AND
HARDWARE--0.70%
34,339 GILLETTE CO....................... 3,449
3,850 SNAP-ON, INC...................... 168
4,200 STANLEY WORKS CO.................. 198
--------
3,815
--------
DAIRY PRODUCTS--0.03%
2,400 DEAN FOODS CO..................... 143
1,600 DREYERS GRAND ICE CREAM, INC...... 39
--------
182
--------
DEEP SEA FOREIGN TRANSPORTATION OF
FREIGHT--0.04%
3,300 ALEXANDER & BALDWIN, INC.......... 90
7,500 DEGREES OMI, INC.................. 69
2,100 OVERSEAS SHIPHOLDING GROUP, INC... 46
--------
205
--------
DEPARTMENT STORES--1.37%
2,400 x DEGREES CALDOR CORP............. 1
2,000 DEGREES CARSON PIRIE SCOTT & CO... 100
13,300 DAYTON HUDSON CORP................ 898
6,000 DILLARDS, INC (CLASS A)........... 212
12,370 DEGREES FEDERATED DEPARTMENT
STORES, INC...................... 533
5,874 DEGREES FRED MEYER, INC........... 214
4,000 DEGREES KOHLS CORP................ 273
14,500 MAY DEPARTMENT STORES CO.......... 764
1,200 MERCANTILE STORES CO, INC......... 73
1,500 DEGREES NEIMAN-MARCUS GROUP,
INC.............................. 45
13,145 PENNEY, (J.C.) CO, INC............ 793
3,000 DEGREES PROFFITTS, INC............ 85
3,100 ROSS STORES, INC.................. 113
84,900 WAL-MART STORES, INC.............. 3,348
--------
7,452
--------
</TABLE>
See notes to financial statements.
- 18 -
<PAGE> 20
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
DRUG STORES AND PROPRIETARY
STORES--0.40%
4,450 ARBOR DRUGS, INC.................. $ 82
10,256 CVS CORP.......................... 657
2,500 LONGS DRUG STORES CORP............ 80
7,410 DEGREES RITE AID CORP............. 435
344 DEGREES VITALINK PHARMACY
SERVICES, INC.................... 8
29,600 WALGREEN CO....................... 929
--------
2,191
--------
DRUGS--7.27%
47,200 ABBOTT LABORATORIES CO............ 3,095
2,600 DEGREES ALKERMES, INC............. 52
3,580 ALLEGIANCE CORP................... 127
3,900 ALLERGAN, INC..................... 131
3,300 DEGREES ALLIANCE PHARMACEUTICAL
CORP............................. 24
39,500 AMERICAN HOME PRODUCTS CORP....... 3,022
5,800 DEGREES AMYLIN PHARMACEUTICALS,
INC.............................. 32
1,300 DEGREES BARR LABORATORIES, INC.... 44
16,400 BAXTER INTERNATIONAL, INC......... 827
3,800 DEGREES BIO-TECHNOLOGY GENERAL
CORP............................. 41
4,200 DEGREES BIOGEN, INC............... 153
61,100 BRISTOL MYERS SQUIBB CO........... 5,782
4,500 DEGREES CENTOCOR, INC............. 150
10,440 DEGREES CHIRON CORP............... 177
4,925 DEGREES COVANCE, INC.............. 98
2,760 DEGREES CRESCENDO PHARMACEUTICALS
CORP............................. 32
2,900 DEGREES DURA PHARMACEUTICALS,
INC.............................. 133
908 DEGREES ELAN CORP PLC ADR......... 46
2,800 DEGREES FOREST LABORATORIES,
INC.............................. 138
5,000 DEGREES GENZYME CORP (GENERAL
DIVISION)........................ 139
160 DEGREES GENZYME CORP
(TISSUE REPAIR DIVISION)......... 1
1,800 DEGREES GILEAD SCIENCES, INC...... 69
2,634 ICN PHARMACEUTICALS, INC.......... 129
2,000 DEGREES IDEXX LABORATORIES, INC... 32
2,100 DEGREES INTERNATIONAL SPECIALTY
PRODUCTS, INC.................... 31
2,000 DEGREES INTERNEURON
PHARMACEUTICALS, INC............. 19
6,100 DEGREES IVAX CORP................. 41
1,900 JONES MEDICAL INDUSTRIES, INC..... 73
55,992 LILLY (ELI) & CO.................. 3,898
4,600 MALLINCKRODT, INC................. 175
4,508 MARK IV INDUSTRIES, INC........... 99
3,500 DEGREES MATRIX PHARMACEUTICALS,
INC.............................. 12
800 DEGREES MEDICIS PHARMACEUTICAL
CORP (CLASS A)................... 41
8,574 DEGREES MEDPARTNERS, INC.......... 192
72,800 MERCK & CO, INC................... 7,735
7,600 MYLAN LABORATORIES, INC........... 159
1,900 DEGREES NEXSTAR PHARMACEUTICALS,
INC.............................. 22
1,400 DEGREES PAREXEL INTERNATIONAL
CORP............................. 52
4,300 DEGREES PERRIGO CO................ 58
79,200 PFIZER, INC....................... 5,905
2,100 DEGREES PHARMACEUTICAL PRODUCT
DEVELOPMENT...................... 32
30,480 PHARMACIA & UPJOHN, INC........... 1,116
3,000 DEGREES QUINTILES TRANSNATIONAL
CORP............................. 115
3,300 DEGREES ROBERTS PHARMACEUTICAL
CORP............................. 32
44,600 SCHERING-PLOUGH CORP.............. 2,771
1,700 DEGREES SEPRACOR, INC............. 68
3,200 DEGREES SEQUUS PHARMACEUTICALS,
INC.............................. 24
1,900 DEGREES TWINLAB CORP.............. 47
2,200 DEGREES VERTEX PHARMACEUTICALS,
INC.............................. 73
16,800 WARNER-LAMBERT CO................. 2,083
5,400 DEGREES WATSON PHARMACEUTICALS,
INC.............................. 175
--------
39,522
--------
DRUGS, PROPRIETARIES, AND
SUNDRIES--0.40%
1,800 DEGREES AMERISOURCE HEALTH CORP
(CLASS A)........................ 105
15,800 DEGREES AMGEN, INC................ 855
3,175 BERGEN BRUNSWIG CORP (CLASS A).... 134
6,573 CARDINAL HEALTH, INC.............. 494
333 DEGREES HERBALIFE INTERNATIONAL,
INC (CLASS A).................... 7
666 DEGREES HERBALIFE INTERNATIONAL,
INC (CLASS B).................... 14
1,800 DEGREES IMMUNEX CORP.............. 97
2,400 MCKESSON CORP..................... 260
2,400 DEGREES NBTY, INC................. 80
3,000 DEGREES REXALL SUNDOWN, INC....... 91
900 DEGREES SCHEIN (HENRY), INC....... 32
--------
2,169
--------
EATING AND DRINKING PLACES--0.63%
2,100 APPLE SOUTH, INC.................. 28
2,000 APPLEBEES INTERNATIONAL, INC...... 36
4,300 DEGREES BOSTON CHICKEN, INC....... 28
5,100 DEGREES BRINKER INTERNATIONAL,
INC.............................. 82
3,100 DEGREES BUFFETS, INC.............. 29
3,000 CKE RESTAURANTS, INC.............. 126
3,200 CRACKER BARREL OLD COUNTRY STORE,
INC.............................. 107
8,500 DARDEN RESTAURANTS, INC........... 106
2,800 DEGREES FOODMAKER, INC............ 42
1,400 DEGREES LANDRYS SEAFOOD
RESTAURANTS, INC................. 34
1,800 DEGREES LONE STAR STEAKHOUSE &
SALOON, INC...................... 32
1,800 LUBYS CAFETERIA, INC.............. 32
41,100 MCDONALDS CORP.................... 1,963
5,066 MORRISON HEALTH CARE, INC......... 101
3,650 MORRISON RESTAURANTS, INC......... 9
2,700 DEGREES OUTBACK STEAKHOUSE, INC... 78
1,300 DEGREES PAPA JOHNS INTERNATIONAL,
INC.............................. 45
1,900 DEGREES PLANET HOLLYWOOD, INC
(CLASS A)........................ 25
900 DEGREES RAINFOREST CAFE, INC...... 30
1,200 DEGREES RUBY TUESDAY, INC......... 31
4,100 DEGREES RYANS FAMILY STEAK HOUSES,
INC.............................. 35
1,500 SBARRO, INC....................... 39
8,740 DEGREES TRICON GLOBAL RESTAURANTS,
INC.............................. 254
6,000 WENDYS INTERNATIONAL, INC......... 144
--------
3,436
--------
ELECTRIC DISTRIBUTION
EQUIPMENT--0.33%
42,806 CBS CORP.......................... 1,260
6,235 COOPER INDUSTRIES, INC............ 306
4,500 DEGREES LITTLEFUSE, INC........... 112
</TABLE>
See notes to financial statements.
- 19 -
<PAGE> 21
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
ELECTRIC DISTRIBUTION
EQUIPMENT--(continued)
3,100 DEGREES MAGNETEK, INC............. $ 60
1,500 DEGREES OAK INDUSTRIES, INC....... 45
--------
1,783
--------
ELECTRIC LIGHTING AND WIRING
EQUIPMENT--0.04%
500 DEGREES CHICAGO MINIATURE LAMP,
INC.............................. 17
3,399 THOMAS & BETTS CORP............... 161
3,300 VALMONT INDUSTRIES................ 64
--------
242
--------
ELECTRIC SERVICES--2.43%
8,700 DEGREES AES CORP.................. 406
7,100 ALLEGHENY ENERGY, INC............. 231
10,600 AMERICAN ELECTRIC POWER CO, INC... 547
4,300 ATLANTIC ENERGY, INC.............. 91
3,200 BOSTON EDISON CO.................. 121
3,100 DEGREES CALENERGY, INC............ 89
8,500 CAROLINA POWER & LIGHT CO......... 361
11,500 CENTRAL & SOUTH WEST CORP......... 311
2,300 CENTRAL LOUISIANA ELECTRIC, INC... 74
8,500 CINERGY CORP...................... 326
5,300 CMS ENERGY CORP................... 234
5,800 COMMONWEALTH ENERGY SYSTEM CO..... 193
10,600 DOMINION RESOURCES, INC........... 451
6,000 DPL, INC.......................... 173
4,800 DQE, INC.......................... 169
8,600 DTE ENERGY CO..................... 298
21,433 DUKE ENERGY CORP.................. 1,187
8,200 EASTERN UTILITIES ASSOCIATION
CO............................... 215
12,900 ENTERGY CORP...................... 386
14,602 DEGREES FIRSTENERGY CORP.......... 423
5,200 FLORIDA PROGRESS CORP............. 204
9,300 FPL GROUP, INC.................... 550
7,200 GPU, INC.......................... 303
2,300 HAWAIIAN ELECTRIC INDUSTRIES,
INC.............................. 94
17,603 HOUSTON INDUSTRIES, INC........... 470
2,600 IDAHO POWER CO.................... 98
4,400 ILLINOVA CORP..................... 119
2,900 KU ENERGY CORP.................... 114
4,100 LOUISVILLE GAS & ELECTRIC ENERGY
CORP............................. 101
2,800 MINNESOTA POWER & LIGHT CO........ 122
4,200 NEVADA POWER CO................... 112
4,200 NEW ENGLAND ELECTRIC SYSTEMS CO... 180
9,800 NORTHEAST UTILITIES CO............ 116
2,700 OGE ENERGY CORP................... 148
24,529 PG&E CORP......................... 747
4,800 PINNACLE WEST CAPITAL CORP........ 203
7,200 POTOMAC ELECTRIC POWER CO......... 186
9,300 PP&L RESOURCES, INC............... 223
5,478 PUGET SOUND ENERGY, INC........... 165
39,500 SOUTHERN CO....................... 1,022
7,000 TECO ENERGY, INC.................. 197
13,567 TEXAS UTILITIES CO................ 564
1,600 DEGREES TUCSON ELECTRIC POWER
CO............................... 29
2,637 UGI CORP.......................... 77
12,400 UNICOM CORP....................... 381
1,800 UNITED ILLUMINATING CO............ 83
7,400 WISCONSIN ENERGY CORP............. 213
2,900 WPS RESOURCES CORP................ 98
--------
13,205
--------
ELECTRICAL GOODS--0.21%
6,200 DEGREES ARROW ELECTRONICS, INC.... 201
1,400 DEGREES AVID TECHNOLOGIES, INC.... 37
2,600 AVNET, INC........................ 172
900 DEGREES CELLSTAR CORP............. 18
2,400 GRAINGER (W.W.), INC.............. 233
3,225 DEGREES HSN, INC.................. 166
1,900 DEGREES KENT ELECTRONICS CORP..... 48
1,900 DEGREES MARSHALL INDUSTRIES,
INC.............................. 57
2,700 DEGREES OAK TECHNOLOGY, INC....... 18
3,500 DEGREES QUALCOMM, INC............. 177
--------
1,127
--------
ELECTRICAL INDUSTRIAL
APPARATUS--0.43%
4,900 DEGREES AMERICAN POWER CONVERSION
CORP............................. 116
2,400 AMETEK, INC....................... 65
3,466 BALDOR ELECTRIC CO................ 75
26,000 EMERSON ELECTRIC CO............... 1,467
2,500 STEWART & STEVENSON SERVICES,
INC.............................. 64
8,875 DEGREES THERMO ELECTRON CORP...... 395
2,500 DEGREES UCAR INTERNATIONAL, INC... 100
2,000 DEGREES VICOR CORP................ 54
1,000 DEGREES ZOLTEK COS, INC........... 28
--------
2,364
--------
ELECTRICAL WORK--0.00%
1,200 DEGREES MEMC ELECTRONIC MATERIALS,
INC.............................. 18
--------
ELECTRONIC COMPONENTS AND
ACCESSORIES--2.47%
4,000 DEGREES ACTEL CORP................ 51
6,800 DEGREES ADAPTEC, INC.............. 252
1,300 DEGREES ADVANCED ENERGY
INDUSTRIES, INC.................. 19
8,100 DEGREES ADVANCED MICRO DEVICES,
INC.............................. 145
4,900 DEGREES ALTERA CORP............... 162
12,900 AMP, INC.......................... 542
1,100 DEGREES ANADIGICS, INC............ 33
9,666 DEGREES ANALOG DEVICES, INC....... 268
5,700 DEGREES ATMEL CORP................ 106
1,500 AVX CORP.......................... 28
2,400 DEGREES BERG ELECTRICS CORP....... 55
1,400 DEGREES BLACK BOX CORP............ 50
2,300 BMC INDUSTRIES, INC............... 37
1,200 DEGREES CHIPS & TECHNOLOGIES,
INC.............................. 17
800 DEGREES COHERENT, INC............. 28
1,700 DEGREES COMPUTER PRODUCTS, INC.... 38
5,200 DEGREES CYPRESS SEMICONDUCTOR
CORP............................. 44
2,000 DALLAS SEMICONDUCTOR CORP......... 82
1,600 DEGREES DII GROUP, INC............ 44
1,900 DEGREES ESS TECHNOLOGY............ 14
3,725 DEGREES GENERAL SEMICONDUCTOR,
INC.............................. 43
600 DEGREES HADCO CORP................ 27
</TABLE>
See notes to financial statements.
- 20 -
<PAGE> 22
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
ELECTRONIC COMPONENTS AND
ACCESSORIES--(continued)
1,335 HARMAN INTERNATIONAL INDUSTRIES,
INC.............................. $ 57
4,300 DEGREES INTEGRATED DEVICE
TECHNOLOGY, INC.................. 41
101,100 INTEL CORP........................ 7,102
3,100 DEGREES INTERNATIONAL RECTIFIER
CORP............................. 37
800 DEGREES JABIL CIRCUIT, INC........ 32
2,300 DEGREES KEMET CORP................ 45
1,400 DEGREES LATTICE SEMICONDUCTOR
CORP............................. 66
1,650 DEGREES LEVEL ONE COMMUNICATIONS,
INC.............................. 47
4,500 LINEAR TECHNOLOGY CO.............. 259
8,400 DEGREES LSI LOGIC CORP............ 166
7,000 DEGREES MAXIM INTEGRATED
PRODUCTS......................... 242
2,100 METHODE ELECTRONICS, INC (CLASS
A)............................... 34
800 DEGREES MICREL, INC............... 22
9,800 DEGREES MICRON TECHNOLOGY, INC.... 255
5,337 MOLEX, INC........................ 171
1,400 DEGREES MRV COMMUNICATIONS, INC... 33
8,702 DEGREES NATIONAL SEMICONDUCTOR
CORP............................. 226
1,600 DEGREES OBJECTIVE SYSTEMS
INTEGRATORS, INC................. 13
1,800 DEGREES PMC-SIERRA, INC........... 56
500 DEGREES RAMBUS, INC............... 23
3,100 DEGREES READ RITE CORP............ 49
3,200 DEGREES S3, INC................... 16
1,000 DEGREES SANDISK CORP.............. 20
1,200 DEGREES SANMINA CORP.............. 81
700 DEGREES SAWTEK, INC............... 18
3,700 DEGREES SCI SYSTEMS, INC.......... 161
2,300 DEGREES SILICON VALLEY GROUP,
INC.............................. 52
1,600 DEGREES SMART MODULAR
TECHNOLOGIES, INC................ 37
800 DEGREES SPEEDFAM INTERNATIONAL,
INC.............................. 21
10,200 DEGREES TELLABS, INC.............. 539
23,500 TEXAS INSTRUMENTS, INC............ 1,058
1,600 DEGREES UNITRODE CORP............. 34
3,018 DEGREES VISHAY INTERTECHNOLOGY,
INC.............................. 71
2,300 DEGREES VITESSE SEMICONDUCTOR
CORP............................. 87
2,400 DEGREES VLSI TECHNOLOGY, INC...... 57
3,700 DEGREES XILINX, INC............... 130
--------
13,443
--------
ENGINEERING AND ARCHITECTURAL
SERVICES--0.01%
1,600 DEGREES JACOBS ENGINEERING GROUP,
INC.............................. 41
--------
ENGINES AND TURBINES--0.14%
6,400 BRUNSWICK CORP.................... 194
2,000 CUMMINS ENGINE CO, INC............ 118
1,400 DEGREES DETROIT DIESEL CORP....... 33
10,200 DRESSER INDUSTRIES, INC........... 428
--------
773
--------
FABRICATED RUBBER PRODUCTS,
NEC--0.06%
2,200 CARLISLE COS, INC................. 94
4,900 DEGREES FOAMEX INTERNATIONAL,
INC.............................. 53
1,900 GENCORP, INC...................... 48
4,800 STANDARD PRODUCTS CO.............. 123
--------
318
--------
FABRICATED STRUCTURAL METAL
PRODUCTS--0.04%
3,150 DEGREES MILLER INDUSTRIES, INC.... 34
4,300 TRANSPRO, INC..................... 39
2,900 TRINITY INDUSTRIES, INC........... 129
--------
202
--------
FAMILY CLOTHING STORES--0.19%
19,050 GAP, INC.......................... 675
3,000 NORDSTROM, INC.................... 181
4,300 DEGREES SAKS HOLDINGS, INC........ 89
2,000 DEGREES STAGE STORES, INC......... 75
800 DEGREES STEIN MART, INC........... 21
--------
1,041
--------
FARM AND GARDEN MACHINERY--0.23%
3,800 AGCO CORP......................... 111
4,500 CASE CORP......................... 272
15,300 DEERE & CO........................ 892
--------
1,275
--------
FARM-PRODUCT RAW MATERIALS--0.03%
2,900 DIMON, INC........................ 76
2,600 UNIVERSAL CORP.................... 107
--------
183
--------
FEDERAL AND FEDERALLY-SPONSORED
CREDIT AGENCIES--1.06%
63,700 FEDERAL NATIONAL MORTGAGE
ASSOCIATION...................... 3,635
41,600 FREDDIE MAC....................... 1,745
2,900 SLM HOLDING CORP.................. 403
--------
5,783
--------
FIRE, MARINE, AND CASUALTY
INSURANCE--0.93%
2,700 ALLIED GROUP, INC................. 77
23,578 ALLSTATE CORP..................... 2,143
2,000 AMERICAN FINANCIAL GROUP, INC..... 81
2,000 ARGONAUT GROUP, INC............... 68
1,600 CITIZENS CORP..................... 46
1,700 COMMERCE GROUP, INC............... 55
2,000 FRONTIER INSURANCE GROUP, INC..... 46
6,400 HARTFORD FINANCIAL SERVICES GROUP,
INC.............................. 599
2,000 HCC INSURANCE HOLDINGS, INC....... 43
2,800 HORACE MANN EDUCATORS CORP........ 80
1,100 HSB GROUP, INC.................... 61
300 DEGREES MARKEL CORP............... 47
2,000 MERCURY GENERAL CORP.............. 111
1,500 NAC RE CORP....................... 73
3,000 PROGRESSIVE CORP.................. 360
7,800 SAFECO CORP....................... 380
4,700 ST. PAUL COS, INC................. 386
3,300 TIG HOLDINGS, INC................. 110
</TABLE>
See notes to financial statements.
- 21 -
<PAGE> 23
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
FIRE, MARINE, AND CASUALTY
INSURANCE--(continued)
1,200 TRANSATLANTIC HOLDINGS, INC....... $ 86
6,600 USF&G CORP........................ 146
1,100 VESTA INSURANCE GROUP, INC........ 65
--------
5,063
--------
FLAT GLASS--0.11%
10,400 PPG INDUSTRIES, INC............... 594
--------
FOOTWEAR EXCEPT, RUBBER--0.03%
3,165 DEGREES FOOTSTAR, INC............. 85
1,800 DEGREES NINE WEST GROUP, INC...... 47
3,500 STRIDE RITE CORP.................. 42
--------
174
--------
FREIGHT TRANSPORTATION
ARRANGEMENT--0.03%
1,400 AIRBORNE FREIGHT CORP............. 87
1,600 EXPEDITORS INTERNATIONAL OF
WASHINGTON....................... 62
900 DEGREES FRITZ COS, INC............ 13
--------
162
--------
FUNERAL SERVICE AND
CREMATORIES--0.14%
2,600 DEGREES EQUITY CORP
INTERNATIONAL.................... 60
14,800 SERVICE CORP INTERNATIONAL........ 547
2,900 STEWART ENTERPRISES, INC (CLASS
A)............................... 135
--------
742
--------
FURNITURE AND HOME FURNISHINGS
STORES--0.08%
2,400 DEGREES BED BATH & BEYOND, INC.... 92
2,000 ETHAN ALLEN INTERIORS, INC........ 77
3,800 HEILIG MEYERS CO.................. 46
1,800 DEGREES LINENS N THINGS, INC...... 79
4,200 PIER 1 IMPORTS, INC............... 95
1,200 DEGREES WILLIAMS-SONOMA, INC...... 50
--------
439
--------
GAS PRODUCTION AND
DISTRIBUTION--0.56%
4,300 AGL RESOURCES, INC................ 88
2,424 ATMOS ENERGY CORP................. 73
5,600 COASTAL CORP...................... 347
3,251 EL PASO NATURAL GAS CO............ 216
2,200 EQUITABLE RESOURCES, INC.......... 78
2,500 INDIANA ENERGY, INC............... 82
2,600 KEYSPAN ENERGY CORP............... 96
1,900 KN ENERGY, INC.................... 103
4,800 MCN ENERGY GROUP, INC............. 194
2,000 MDU RESOURCES GROUP, INC.......... 63
2,000 NATIONAL FUEL GAS CO.............. 97
7,100 NGC CORP.......................... 124
2,700 NICOR, INC........................ 114
2,850 NORTHWEST NATURAL GAS CO.......... 88
1,580 ONEOK, INC........................ 64
2,000 PEOPLES ENERGY CORP............... 79
3,264 PIEDMONT NATURAL GAS CO, INC...... 117
1,500 DEGREES PRIMARK CORP.............. 61
4,900 SONAT, INC........................ 224
5,900 SOUTHWEST GAS CORP................ 110
2,700 WASHINGTON GAS LIGHT CO........... 84
1,700 WESTERN GAS RESOURCES, INC........ 38
18,106 WILLIAMS COS, INC................. 514
--------
3,054
--------
GENERAL INDUSTRIAL MACHINERY--0.31%
3,500 DEGREES COLTEC INDUSTRIES, INC.... 81
1,400 DONALDSON CO, INC................. 63
2,200 FEDERAL-MOGUL CORP................ 89
2,800 FLOWSERVE CORP.................... 78
2,900 GENERAL SIGNAL CORP............... 122
2,200 GRACO, INC........................ 82
2,850 IDEX CORP......................... 99
9,750 INGERSOLL-RAND CO................. 395
2,600 KAYDON CORP....................... 85
1,300 NORDSON CORP...................... 60
7,400 PALL CORP......................... 153
2,600 ROPER INDUSTRIES, INC............. 73
3,800 SUNDSTRAND CORP................... 191
3,529 TIMKEN CO......................... 121
--------
1,692
--------
GLASS AND GLASSWARE, PRESSED OR
BLOWN--0.20%
13,600 CORNING, INC...................... 505
500 DEGREES DUPONT PHOTOMASKS, INC.... 17
1,300 LANCASTER COLONY CORP............. 73
2,400 LIBBEY, INC....................... 91
2,700 OWENS CORNING CO.................. 92
7,300 DEGREES OWENS ILLINOIS, INC....... 277
1,700 DEGREES SOLA INTERNATIONAL, INC... 55
--------
1,110
--------
GOLD AND SILVER ORES--0.12%
3,800 DEGREES AMAX GOLD, INC............ 9
12,800 BATTLE MOUNTAIN GOLD CO........... 75
3,000 DEGREES COEUR DALENE MINES CORP... 27
3,900 FREEPORT MCMORAN COPPER & GOLD,
INC (CLASS A).................... 60
5,463 FREEPORT MCMORAN COPPER & GOLD,
INC (CLASS B).................... 86
2,200 DEGREES GETCHELL GOLD CORP........ 53
7,800 HOMESTAKE MINING CO............... 69
600 NEWMONT GOLD CO................... 18
8,496 NEWMONT MINING CORP............... 250
--------
647
--------
GRAIN MILL PRODUCTS--0.74%
32,357 ARCHER DANIELS MIDLAND CO......... 702
8,300 CPC INTERNATIONAL, INC............ 896
9,407 GENERAL MILLS, INC................ 674
13,600 KELLOGG CO........................ 675
8,500 QUAKER OATS CO.................... 448
2,500 DEGREES RALCORP HOLDINGS, INC..... 42
6,200 RALSTON PURINA CO................. 576
--------
4,013
--------
</TABLE>
See notes to financial statements.
- 22 -
<PAGE> 24
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
GREETING CARDS--0.03%
4,000 AMERICAN GREETINGS CORP (CLASS A). $ 157
--------
GROCERIES AND RELATED
PRODUCTS--0.24%
1,608 EARTHGRAINS CO.................... 76
2,717 FLEMING COS, INC.................. 37
5,550 FLOWERS INDUSTRIES, INC........... 114
4,900 DEGREES GENERAL NUTRITION COS,
INC.............................. 167
3,160 DEGREES JP FOODSERVICE, INC....... 117
3,450 RICHFOOD HOLDINGS, INC............ 97
1,200 DEGREES SUIZA FOODS CORP.......... 71
3,900 SUPERVALU, INC.................... 163
10,300 SYSCO CORP........................ 469
--------
1,311
--------
GROCERY STORES--0.57%
12,700 ALBERTSONS, INC................... 602
13,600 AMERICAN STORES CO................ 280
39 DEGREES BRUNOS, INC............... 0
21,300 FOOD LION, INC (CLASS B).......... 176
3,800 GIANT FOOD, INC (CLASS A)......... 128
1,200 GREAT ATLANTIC & PACIFIC TEA CO,
INC.............................. 36
2,300 HANNAFORD BROTHERS, INC........... 100
13,200 DEGREES KROGER CO................. 488
700 DEGREES QUALITY FOOD CENTERS,
INC.............................. 47
14,052 DEGREES SAFEWAY, INC.............. 889
9,100 DEGREES SOUTHLAND CORP............ 19
1,100 WEIS MARKETS, INC................. 39
1,400 DEGREES WHOLE FOODS MARKET, INC... 72
5,500 WINN DIXIE STORES, INC............ 240
--------
3,116
--------
GUIDED MISSILES, SPACE VEHICLES AND
PARTS--0.27%
10,096 LOCKHEED MARTIN CORP.............. 994
3,000 DEGREES ORBITAL SCIENCES CORP..... 89
7,200 TRW, INC.......................... 384
--------
1,467
--------
HARDWARE, PLUMBING AND HEATING
EQUIPMENT--0.01%
1,800 FASTENAL CO....................... 69
--------
HEALTH AND ALLIED SERVICES,
NEC--0.32%
1,500 DEGREES ACCESS HEALTH, INC........ 44
1,800 DEGREES BUCKEYE TECHNOLOGIES,
INC.............................. 83
23,098 DEGREES HEALTHSOUTH CORP.......... 641
1,700 DEGREES LINCARE HOLDINGS, INC..... 97
2,200 DEGREES MID ATLANTIC MEDICAL
SERVICES, INC.................... 28
3,500 DEGREES NOVACARE, INC............. 46
4,800 OMNICARE, INC..................... 149
4,049 DEGREES PHARMERICA, INC........... 42
1,500 DEGREES RENAL CARE GROUP, INC..... 48
1,800 DEGREES RENAL TREATMENT CENTERS,
INC.............................. 65
10,300 UNITED HEALTHCARE CORP............ 512
--------
1,755
--------
HEAVY CONSTRUCTION, EXCEPT
HIGHWAY--0.05%
4,600 FLUOR CORP........................ 172
5,000 DEGREES GLOBAL INDUSTRIES LTD..... 85
--------
257
--------
HOLDING OFFICES--0.22%
3,800 AMBAC FINANCIAL GROUP, INC........ 175
3,000 EVEREST REINSURANCE HOLDINGS,
INC.............................. 124
8,344 HIBERNIA CORP (CLASS A)........... 157
900 DEGREES SEACOR SMIT, INC.......... 54
5,900 SIGMA ALDRICH CORP................ 235
10,300 TENNECO, INC...................... 407
2,500 UST CORP.......................... 69
--------
1,221
--------
HOME HEALTH CARE SERVICES--0.01%
3,800 DEGREES APRIA HEALTHCARE GROUP,
INC.............................. 51
2,100 DEGREES MAXICARE HEALTH PLANS,
INC.............................. 23
--------
74
--------
HORTICULTURAL SPECIALTIES--0.08%
4,100 PIONEER-HI-BRED INTERNATIONAL,
INC.............................. 440
--------
HOSPITALS--0.43%
38,038 COLUMBIA/HCA HEALTHCARE CORP...... 1,127
8,400 DEGREES HEALTH MANAGEMENT
ASSOCIATES, INC (CLASS A)........ 212
8,900 DEGREES HUMANA, INC............... 185
800 DEGREES PEDIATRIX MEDICAL GROUP,
INC.............................. 34
17,925 DEGREES TENET HEALTHCARE CORP..... 594
2,500 DEGREES UNIVERSAL HEALTH SERVICES,
INC.............................. 126
3,241 DEGREES VENCOR, INC............... 79
--------
2,357
--------
HOTELS AND MOTELS--0.71%
6,600 DEGREES AZTAR CORP................ 41
2,000 DEGREES BRISTOL HOTEL CO.......... 58
1,900 DEGREES CAPSTAR HOTEL CO.......... 65
47,138 DEGREES CENDANT CORP.............. 1,620
3,600 DEGREES CHOICE HOTELS
INTERNATIONAL, INC............... 58
4,300 DEGREES EXTENDED STAY AMERICA,
INC.............................. 53
2,200 DEGREES GRAND CASINOS, INC........ 30
6,100 DEGREES HARRAHS ENTERTAINMENT,
INC.............................. 115
11,000 HILTON HOTELS CORP................ 327
10,400 DEGREES HOST MARRIOTT CORP........ 204
2,760 DEGREES HOST MARRIOTT SERVICES
CORP............................. 41
1,800 DEGREES INTERSTATE HOTELS CO...... 63
3,675 LA QUINTA INNS, INC............... 71
6,100 MARRIOTT INTERNATIONAL, INC....... 422
1,200 DEGREES MGM GRAND, INC............ 43
1,200 DEGREES PRIMADONNA RESORTS, INC... 20
3,200 DEGREES PRIME HOSPITALITY CORP.... 65
5,468 DEGREES PROMUS HOTEL CORP......... 230
2,500 DEGREES RED ROOF INNS, INC........ 38
1,500 SHOWBOAT, INC..................... 44
1,500 DEGREES SIGNATURE RESORTS, INC.... 33
1,900 DEGREES STATION CASINOS, INC...... 19
1,200 DEGREES SUNBURST HOSPITALITY
CORP............................. 12
</TABLE>
See notes to financial statements.
- 23 -
<PAGE> 25
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
HOTELS AND MOTELS--(continued)
2,800 DEGREES TRUMP HOTEL & CASINO
RESORT, INC...................... $ 19
2,300 DEGREES VAIL RESORTS, INC......... 60
2,125 DEGREES WHG RESORTS & CASINO,
INC.............................. 47
1,000 DEGREES WYNDHAM HOTEL CORP........ 40
--------
3,838
--------
HOUSEHOLD APPLIANCE STORES--0.03%
3,900 SUNBEAM CORP...................... 164
--------
HOUSEHOLD APPLIANCES--2.75%
198,300 GENERAL ELECTRIC CO............... 14,550
5,600 MAYTAG CO......................... 209
3,800 WHIRLPOOL CORP.................... 209
--------
14,968
--------
HOUSEHOLD AUDIO AND VIDEO
EQUIPMENT--0.00%
1,300 DEGREES ZENITH ELECTRONICS CORP... 7
--------
HOUSEHOLD FURNITURE--0.08%
1,700 BASSETT FURNITURE INDUSTRIES,
INC.............................. 51
4,200 DEGREES FURNITURE BRANDS
INTERNATIONAL, INC............... 86
1,200 LA-Z-BOY, INC..................... 52
5,800 LEGGETT & PLATT, INC.............. 243
--------
432
--------
INDUSTRIAL INORGANIC
CHEMICALS--0.45%
5,900 AIR PRODUCTS & CHEMICALS, INC..... 485
3,000 DEGREES AIRGAS, INC............... 42
2,300 ALBEMARLE CORP.................... 55
8,300 CALGON CARBON CORP................ 89
6,150 ENGELHARD CORP.................... 107
2,300 GEORGIA GULF CORP................. 70
4,200 GRACE (W.R.) & CO................. 338
3,300 GREAT LAKES CHEMICAL CORP......... 148
1,900 DEGREES KAISER ALUMINUM CORP...... 17
5,200 MILLENNIUM CHEMICAL, INC.......... 123
1,800 MINERALS TECHNOLOGIES, INC........ 82
1,600 DEGREES NL INDUSTRIES, INC........ 22
3,200 OLIN CORP......................... 150
9,000 PRAXAIR, INC...................... 405
6,800 UNION CARBIDE CORP................ 292
--------
2,425
--------
INDUSTRIAL MACHINERY, NEC--0.02%
1,200 APPLIED POWER, INC (CLASS A)...... 83
2,300 DEGREES UNOVA, INC................ 38
--------
121
--------
INDUSTRIAL ORGANIC CHEMICALS--0.12%
700 ARCO CHEMICAL CO.................. 33
4,500 CROMPTON & KNOWLES CORP........... 119
7,200 ETHYL CORP........................ 55
3,700 LUBRIZOL CORP..................... 136
1,900 OM GROUP, INC..................... 70
2,300 ROHM & HAAS CO.................... 220
--------
633
--------
INSURANCE AGENTS, BROKERS, AND
SERVICE--0.29%
4,206 ALLMERICA FINANCIAL CORP.......... 210
8,550 AON CORP.......................... 501
1,350 BERKLEY (W.R.) CORP............... 59
2,200 GALLAGHER (ARTHUR J.) & CO........ 76
8,400 MARSH & MCLENNAN COS, INC......... 626
3,400 SELECTIVE INSURANCE GROUP, INC.... 92
--------
1,564
--------
INSURANCE CARRIERS, NEC--0.08%
4,800 MBIA, INC......................... 321
4,500 WESTERN NATIONAL CORP............. 133
--------
454
--------
IRON ORES--0.01%
1,300 CLEVELAND CLIFFS, INC............. 60
--------
JEWELRY, SILVERWARE, AND PLATED
WARE--0.02%
2,400 JOSTENS, INC...................... 55
2,100 TIFFANY & CO...................... 76
--------
131
--------
KNITTING MILLS--0.03%
2,500 GUILFORD MILLS, INC............... 68
1,800 ST. JOHN KNITS, INC............... 72
--------
140
--------
LANDSCAPE AND HORTICULTURAL
SERVICES--0.01%
2,000 ROLLINS, INC...................... 41
--------
LAUNDRY, CLEANING, AND GARMENT
SERVICES--0.07%
3,800 CINTAS CORP....................... 148
1,800 G & K SERVICES, INC (CLASS A)..... 76
2,900 NATIONAL SERVICE INDUSTRIES,
INC.............................. 144
--------
368
--------
LEAD AND ZINC ORES--0.00%
5,000 DEGREES HECLA MINING CO........... 25
--------
LEATHER TANNING AND
FINISHING--0.02%
3,625 WOLVERINE WORLD WIDE, INC......... 82
--------
LEGAL SERVICES--0.01%
1,900 DEGREES PREPAID LEGAL SERVICES,
INC.............................. 65
--------
LIFE INSURANCE--3.27%
2,700 20TH CENTURY INDUSTRIES........... 70
8,467 AETNA, INC........................ 597
2,600 AMERICAN BANKERS INSURANCE GROUP,
INC.............................. 119
14,377 AMERICAN GENERAL CORP............. 777
36,250 AMERICAN INTERNATIONAL GROUP,
INC.............................. 3,942
1,000 AMERUS LIFE HOLDINGS, INC (CLASS
A)............................... 37
</TABLE>
See notes to financial statements.
- 24 -
<PAGE> 26
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
LIFE INSURANCE--(continued)
10,000 CHUBB CORP........................ $ 756
4,300 CIGNA CORP........................ 744
3,296 CINCINNATI FINANCIAL CORP......... 464
10,932 CONSECO, INC...................... 497
2,400 DEGREES DELPHI FINANCIAL GROUP,
INC.............................. 108
5,200 EQUITABLE COS, INC................ 259
1,650 FREMONT GENERAL CORP.............. 90
4,700 GENERAL REINSURANCE CORP.......... 996
2,100 HARTFORD LIFE, INC (CLASS A)...... 95
2,820 DEGREES HIGHLANDS INSURANCE GROUP,
INC.............................. 80
4,300 JEFFERSON-PILOT CORP.............. 335
1,700 JOHN ALDEN FINANCIAL CORP......... 41
1,100 LIBERTY CORP...................... 51
1,400 LIBERTY FINANCIAL COS, INC........ 53
900 LIFE RE CORP...................... 59
6,000 LINCOLN NATIONAL CORP............. 469
4,100 LOEWS CORP........................ 435
800 NATIONWIDE FINANCIAL SERVICES, INC
(CLASS A)........................ 29
1,700 OHIO CASUALTY CORP................ 76
5,400 OLD REPUBLIC INTERNATIONAL CORP... 201
2,000 ORION CAPITAL CORP................ 93
5,800 PENNCORP FINANCIAL GROUP, INC..... 207
3,800 PRESIDENTIAL LIFE CORP............ 77
1,800 PROTECTIVE LIFE CORP.............. 108
4,200 DEGREES PROVIDENT COS, INC........ 162
4,900 PROVIDIAN FINANCIAL CORP.......... 221
3,050 REINSURANCE GROUP OF AMERICA,
INC.............................. 130
3,400 RELIANCE GROUP HOLDINGS, INC...... 48
5,525 RELIASTAR FINANCIAL CORP.......... 228
11,250 SUNAMERICA, INC................... 481
8,300 TORCHMARK CORP.................... 349
69,898 TRAVELERS GROUP, INC.............. 3,766
2,400 DEGREES UICI...................... 84
8,000 UNUM CORP......................... 435
--------
17,769
--------
LOGGING--0.01%
2,142 DELTIC TIMBER CORP................ 59
--------
LUGGAGE--0.01%
1,400 DEGREES SAMSONITE CORP............ 44
--------
LUMBER AND CONSTRUCTION
MATERIALS--0.08%
5,300 GEORGIA PACIFIC CORP
(PACKAGING GROUP)................ 322
5,300 DEGREES GEORGIA-PACIFIC CORP
(TIMBER GROUP)................... 120
--------
442
--------
LUMBER AND OTHER BUILDING
MATERIALS--0.56%
1,500 DEGREES EAGLE HARDWARE & GARDEN,
INC.............................. 29
44,400 HOME DEPOT, INC................... 2,614
8,700 LOWES COS, INC.................... 415
--------
3,058
--------
MACHINERY, EQUIPMENT, AND
SUPPLIES--0.01%
1,200 AAR CORP.......................... 47
--------
MAILING, REPRODUCTION AND
STENOGRAPHIC SERVICES--0.02%
3,600 DEGREES ADVO, INC................. 70
1,100 DEGREES AMERICAN BUSINESS
INFORMATION, INC (CLASS A)....... 12
1,100 DEGREES AMERICAN BUSINESS
INFORMATION, INC (CLASS B)....... 11
--------
93
--------
MANAGEMENT AND PUBLIC
RELATIONS--0.10%
2,100 DEGREES ABR INFORMATION SERVICES,
INC.............................. 50
5,200 DEGREES CORRECTIONS CORP OF
AMERICA.......................... 193
2,600 DEGREES GARTNER GROUP, INC
(CLASS A)........................ 97
5,200 DEGREES MEDAPHIS CORP............. 34
1,200 DEGREES WACKENHUT CORRECTIONS
CORP............................. 32
4,200 WHEELABRATOR TECHNOLOGIES, INC.... 67
1,700 DEGREES WHITTMAN HART, INC........ 58
--------
531
--------
MANIFOLD BUSINESS FORMS--0.02%
1,200 STANDARD REGISTER, INC............ 42
2,400 WALLACE COMPUTER SERVICES, INC.... 93
--------
135
--------
MEASURING AND CONTROLLING
DEVICES--0.47%
1,600 DEGREES ALLEN TELECOM, INC........ 30
1,800 BECKMAN INSTRUMENTS, INC.......... 72
1,500 DEGREES BURR BROWN CORP........... 48
2,300 DEGREES C-CUBE MICROSYSTEMS,
INC.............................. 38
1,900 DEGREES COGNEX CORP............... 52
1,500 DEGREES CREDENCE SYSTEMS CORP..... 44
2,000 DEGREES CYMER, INC................ 30
1,400 DEGREES DIONEX CORP............... 70
2,900 EG & G, INC....................... 60
2,500 DEGREES ELECTROGLAS, INC.......... 39
1,500 FISHER SCIENTIFIC INTERNATIONAL,
INC.............................. 72
1,700 DEGREES GENRAD, INC............... 51
1,500 DEGREES HAEMONETICS CORP.......... 21
7,600 HONEYWELL, INC.................... 521
2,300 DEGREES INPUT/OUTPUT, INC......... 68
5,000 JOHNSON CONTROLS, INC............. 239
5,200 DEGREES KLA-TENCOR CORP........... 201
1,400 LIFE TECHNOLOGIES, INC............ 47
2,600 MILLIPORE CORP.................... 88
2,600 PERKIN-ELMER CORP................. 185
3,150 TEKTRONIX, INC.................... 125
4,900 DEGREES TERADYNE, INC............. 157
1,125 DEGREES THERMO INSTRUMENT SYSTEMS,
INC.............................. 39
1,100 DEGREES THERMOQUEST CORP.......... 20
2,000 DEGREES UNIPHASE CORP............. 83
1,800 DEGREES WATERS CORP............... 68
5,900 X RITE, INC....................... 108
--------
2,576
--------
</TABLE>
See notes to financial statements.
- 25 -
<PAGE> 27
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
MEAT PRODUCTS--0.24%
3,400 BOB EVANS FARMS, INC.............. $ 75
2,800 CHIQUITA BRANDS INTERNATIONAL,
INC.............................. 46
28,900 CONAGRA, INC...................... 948
6,100 IBP, INC.......................... 128
2,600 DEGREES SMITHFIELD FOODS, INC..... 86
--------
1,283
--------
MEDICAL AND DENTAL
LABORATORIES--0.01%
2,962 DEGREES QUEST DIAGNOSTICS, INC.... 50
--------
MEDICAL INSTRUMENTS AND
SUPPLIES--1.89%
1,400 DEGREES ACUSON CORP............... 23
5,200 DEGREES ALZA CORP................. 165
1,400 ARROW INTERNATIONAL, INC.......... 52
2,100 DEGREES ARTERIAL VASCULAR
ENGINEERING, INC................. 137
2,500 DEGREES ATL ULTRASOUND, INC....... 115
2,400 BALLARD MEDICAL PRODUCTS CO....... 58
3,500 BARD (C.R.), INC.................. 110
6,800 BECTON DICKINSON & CO............. 340
5,900 BIOMET, INC....................... 151
7,442 DEGREES BOSTON SCIENTIFIC CORP.... 341
1,900 DEGREES CYTYC CORP................ 47
2,400 DENTSPLY INTERNATIONAL, INC....... 73
1,400 DEPUY, INC........................ 40
8,912 GUIDANT CORP...................... 555
2,200 INVACARE CORP..................... 48
81,602 JOHNSON & JOHNSON CO.............. 5,376
28,300 MEDTRONIC, INC.................... 1,480
1,500 MENTOR CORP....................... 55
1,300 DEGREES SAFESKIN CORP............. 74
1,500 DEGREES SOFAMOR DANEK GROUP,
INC.............................. 98
5,350 DEGREES ST. JUDE MEDICAL, INC..... 163
2,100 DEGREES STERIS CORP............... 101
4,700 STRYKER CORP...................... 175
3,850 DEGREES SUMMIT TECHNOLOGY, INC.... 17
4,400 DEGREES SUNRISE MEDICAL, INC...... 68
3,100 DEGREES SYBRON INTERNATIONAL
CORP............................. 146
1,900 DEGREES THERMEDICS, INC........... 31
4,500 U.S. SURGICAL CORP................ 132
2,000 VARIAN ASSOCIATES, INC............ 101
2,200 DEGREES VIVUS, INC................ 23
--------
10,295
--------
MEDICAL SERVICE AND HEALTH
INSURANCE--0.26%
7,950 AFLAC, INC........................ 406
500 DEGREES CNA FINANCIAL CORP........ 64
2,500 DEGREES CONCENTRA MANAGED CARE,
INC.............................. 84
2,800 DEGREES COVENTRY CORP............. 43
6,500 DEGREES FOUNDATION HEALTH SYSTEMS
(CLASS A)........................ 145
1,400 DEGREES FPA MEDICAL MANAGEMENT,
INC.............................. 26
4,500 DEGREES OXFORD HEALTH PLANS,
INC.............................. 70
512 DEGREES PACIFICARE HEALTH SYSTEMS,
INC (CLASS A).................... 26
1,952 DEGREES PACIFICARE HEALTH SYSTEMS,
INC (CLASS B).................... 102
2,700 DEGREES PHYMATRIX CORP............ 43
4,950 DEGREES QUORUM HEALTH GROUP,
INC.............................. 129
3,900 TRAVELERS PROPERTY CASUALTY
CORP............................. 172
3,100 DEGREES TRIGON HEALTHCARE, INC.... 81
900 UNITED WISCONSIN SERVICES, INC.... 23
567 DEGREES WELLPOINT HEALTH NETWORKS,
INC.............................. 24
--------
1,438
--------
MEN'S AND BOYS' CLOTHING
STORES--0.01%
900 DEGREES MENS WAREHOUSE, INC....... 31
--------
MEN'S AND BOYS' FURNISHINGS--0.11%
1,800 AUTHENTIC FITNESS CORP............ 33
4,100 DEGREES FRUIT OF THE LOOM, INC
(CLASS A)........................ 105
2,500 RUSSELL CORP...................... 66
6,400 VF CORP........................... 294
3,800 WARNACO GROUP, INC (CLASS A)...... 119
--------
617
--------
MEN'S AND BOYS' SUITS AND
COATS--0.01%
2,500 KELLWOOD CO....................... 75
--------
METAL CANS AND SHIPPING
CONTAINERS--0.08%
2,076 BALL CORP......................... 73
7,100 CROWN CORK & SEAL CO, INC......... 356
--------
429
--------
METAL FORGINGS AND STAMPINGS--0.13%
2,100 DEGREES HEXCEL CORP............... 52
2,100 MASCOTECH, INC.................... 39
9,600 ROCKWELL INTERNATIONAL CORP....... 502
1,300 DEGREES TOWER AUTOMOTIVE, INC..... 55
1,900 DEGREES WYMAN-GORDON CO........... 37
--------
685
--------
METALS AND MINERALS, EXCEPT
PETROLEUM--0.02%
3,100 COMMERCIAL METALS CO.............. 98
20 WESCO FINANCIAL CORP.............. 6
--------
104
--------
METALWORKING MACHINERY--0.07%
5,000 BLACK & DECKER CORP............... 195
2,400 CINCINNATI MILACRON, INC.......... 62
1,848 KENNAMETAL, INC................... 96
2,100 DEGREES MOHAWK INDUSTRIES, INC.... 46
6,100 x DEGREES MOLTEN METAL TECHNOLOGY,
INC.............................. 1
--------
400
--------
</TABLE>
See notes to financial statements.
- 26 -
<PAGE> 28
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
MISCELLANEOUS AMUSEMENT, RECREATION
SERVICES--0.09%
600 DEGREES ANCHOR GAMING CO.......... $ 33
3,000 DEGREES BOYD GAMING CORP.......... 20
600 CARNIVAL CORP (CLASS A)........... 33
5,300 DEGREES CIRCUS CIRCUS ENTERPRISES,
INC.............................. 109
10,100 DEGREES MIRAGE RESORT, INC........ 230
1,000 DEGREES PREMIER PARKS, INC........ 41
1,100 DEGREES SPEEDWAY MOTORSPORTS,
INC.............................. 27
--------
493
--------
MISCELLANEOUS APPAREL AND ACCESSORY
STORES--0.06%
10,000 TJX COS, INC...................... 344
--------
MISCELLANEOUS APPAREL AND
ACCESSORIES--0.01%
2,700 DEGREES NAUTICA ENTERPRISES,
INC.............................. 63
--------
MISCELLANEOUS BUSINESS
SERVICES--0.23%
1,000 DEGREES APAC TELESERVICES, INC.... 14
1,000 DEGREES CARIBINER INTERNATIONAL,
INC.............................. 45
3,300 DEGREES CHECKFREE CORP............ 89
9,100 EQUIFAX, INC...................... 322
900 FAIR ISSAC & CO, INC.............. 30
2,000 DEGREES HEALTHCARE COMPARE CO..... 102
1,500 DEGREES INTERMEDIA COMMUNICATIONS,
INC.............................. 91
2,700 DEGREES METROMEDIA INTERNATIONAL
GROUP, INC....................... 26
1,200 DEGREES NOVA CORP................. 30
6,400 DEGREES PAGING NETWORK, INC....... 69
1,200 DEGREES PAYMENTECH, INC........... 18
2,400 PITTSTON BRINKS GROUP CO.......... 97
8,150 DEGREES PLAYERS INTERNATIONAL,
INC.............................. 26
4,700 DEGREES SITEL CORP................ 43
3,300 SOTHEBYS HOLDINGS, INC (CLASS A).. 61
700 DEGREES SPS TRANSACTION SERVICES,
INC.............................. 16
1,300 DEGREES SYLVAN LEARNING SYSTEMS,
INC.............................. 51
2,000 DEGREES TELETECH HOLDINGS, INC.... 23
6,300 VIAD CORP......................... 122
--------
1,275
--------
MISCELLANEOUS CHEMICAL
PRODUCTS--0.22%
1,700 BETZDEARBORN, INC................. 104
4,200 CABOT CORP........................ 116
3,000 DEGREES CYTEC INDUSTRIES, INC..... 141
807 FULLER (H.B.) CO.................. 40
8,000 MORTON INTERNATIONAL, INC......... 275
4,000 NALCO CHEMICAL CORP............... 158
1,600 DEGREES SCHERER (R.P.) CORP....... 98
2,300 DEGREES SMITH INTERNATIONAL,
INC.............................. 141
1,300 THIOKOL CORP...................... 106
--------
1,179
--------
MISCELLANEOUS CONVERTED PAPER
PRODUCTS--0.51%
2,700 DEGREES AMERICAN PAD & PAPER CO... 26
6,100 AVERY DENNISON CORP............... 273
3,200 BEMIS, INC........................ 141
4,960 DEGREES CROWN VANTAGE, INC........ 35
2,500 FIRST BRANDS CORP................. 67
7,325 FORT JAMES CORP................... 280
33,200 KIMBERLY-CLARK CORP............... 1,637
1,500 DEGREES MAIL-WELL, INC............ 61
3,375 DEGREES PAXAR CORP................ 50
4,500 DEGREES PLAYTEX PRODUCTS, INC..... 46
4,865 SONOCO PRODUCTS CO................ 169
--------
2,785
--------
MISCELLANEOUS DURABLE GOODS--0.12%
13,000 DEGREES COSTCO COS, INC........... 580
2,600 DEGREES HA-LO INDUSTRIES, INC..... 68
--------
648
--------
MISCELLANEOUS ELECTRICAL EQUIPMENT
AND SUPPLIES--0.04%
1,500 DEGREES APPLIED MAGNETICS CORP.... 17
1,900 EXIDE CORP........................ 49
1,200 DEGREES HUTCHINSON TECHNOLOGY,
INC.............................. 26
2,700 DEGREES KOMAG, INC................ 40
2,100 KUHLMAN CORP...................... 82
--------
214
--------
MISCELLANEOUS EQUIPMENT RENTAL AND
LEASING--0.01%
2,800 DEGREES ANIXTER INTERNATIONAL,
INC.............................. 46
800 DEGREES US RENTALS, INC........... 19
--------
65
--------
MISCELLANEOUS FABRICATED METAL
PRODUCTS--0.13%
1,900 AEROQUIP-VICKERS, INC............. 93
2,500 CRANE CO.......................... 108
3,100 HARSCO CORP....................... 134
6,650 PARKER-HANNIFIN CORP.............. 305
2,500 POLARIS INDUSTRIES, INC........... 76
--------
716
--------
MISCELLANEOUS FOOD AND KINDRED
PRODUCTS--0.04%
4,000 MCCORMICK & CO, INC (NON-VOTE).... 112
1,900 UNIVERSAL FOODS CORP.............. 80
--------
192
--------
MISCELLANEOUS FOOD STORES--0.05%
3,800 NATURES SUNSHINE PRODUCTS, INC.... 99
4,400 DEGREES STARBUCKS CORP............ 169
--------
268
--------
MISCELLANEOUS GENERAL MERCHANDISE
STORES--0.05%
2,700 CASEYS GENERAL STORES, INC........ 69
5,597 DOLLAR GENERAL CORP............... 203
--------
272
--------
MISCELLANEOUS INVESTING--1.26%
3,300 APARTMENT INVESTMENT & MANAGEMENT
CO............................... 121
3,400 ARDEN REALTY GROUP, INC........... 105
3,900 AVALON PROPERTIES, INC............ 121
3,500 BAY APARTMENT COMMUNITIES, INC.... 137
3,600 BRE PROPERTIES, INC (CLASS A)..... 101
</TABLE>
See notes to financial statements.
- 27 -
<PAGE> 29
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
MISCELLANEOUS
INVESTING--(continued)
3,600 CAMDEN PROPERTY TRUST............. $ 112
3,666 CAPSTEAD MORTGAGE CORP............ 73
4,100 CARRAMERICA REALTY CORP........... 130
3,900 CHATEAU PROPERTIES, INC........... 123
4,000 DEGREES CORNERSTONE PROPERTIES,
INC.............................. 77
3,400 COUSINS PROPERTIES, INC........... 100
6,300 CRESCENT REAL ESTATE EQUITIES,
INC.............................. 248
400 DEGREES CRESECENT OPERATING,
INC.............................. 10
3,000 DEVELOPERS DIVERSIFIED REALTY
CORP............................. 115
5,349 DUKE REALTY INVESTMENTS, INC...... 130
4,779 DYNEX CAPITAL, INC................ 64
3,440 DEGREES ECHELON INTERNATIONAL
CORP............................. 77
4,950 DEGREES EQUITY OFFICE PROPERTIES
TRUST............................ 156
5,250 EQUITY RESIDENTIAL PROPERTIES
TRUST CO......................... 265
3,100 FEDERAL REALTY INVESTMENT TRUST... 80
2,800 FELCOR SUITE HOTELS, INC.......... 99
3,300 FIRST INDUSTRIAL REALTY TRUST,
INC.............................. 119
3,100 GENERAL GROWTH PROPERTIES, INC.... 112
3,300 DEGREES GLENBOROUGH REALTY TRUST,
INC.............................. 98
7,600 HEALTH AND RETIREMENT PROPERTY
TRUST............................ 152
3,700 HEALTH CARE PROPERTY INVESTORS,
INC.............................. 140
3,100 HIGHWOODS PROPERTIES, INC......... 115
3,166 DEGREES HOMESTEAD VILLAGE, INC.... 48
3,000 HOSPITALITY PROPERTIES TRUST...... 99
4,153 INMC MORTGAGE HOLDINGS, INC....... 97
2,500 KILROY REALTY CORP................ 72
2,800 KIMCO REALTY CORP................. 99
4,600 LIBERTY PROPERTY TRUST CO......... 131
2,200 LNR PROPERTY CORP................. 52
900 MACERICH CO....................... 26
3,300 MACK-CALI REALTY CORP............. 135
2,767 DEGREES MEDITRUST CORP PAIRED..... 101
4,694 MERRY LAND & INVESTMENT CO, INC... 107
2,600 NATIONAL HEALTH INVESTORS, INC.... 109
3,800 NATIONWIDE HEALTH PROPERTIES,
INC.............................. 97
5,748 NEW PLAN REALTY TRUST............. 147
4,300 OMEGA HEALTHCARE INVESTORS, INC... 166
2,498 PATRIOT AMERICAN HOSPITALITY,
INC.............................. 72
2,500 POST PROPERTIES, INC.............. 102
3,200 PRENTISS PROPERTIES TRUST......... 89
4,800 PUBLIC STORAGE, INC............... 141
3,400 REALTY INCOME CORP................ 86
4,000 RECKSON ASSOCIATES REALTY CORP.... 102
1,800 REDWOOD TRUST, INC................ 37
2,187 SECURITY CAPITAL ATLANTIC, INC.... 46
355 DEGREES SECURITY CAPITAL GROUP,
INC WTS 09/18/98................. 2
4,790 SECURITY CAPITAL INDUSTRIAL
TRUST............................ 119
3,685 SECURITY CAPITAL PACIFIC TRUST.... 89
4,000 SHURGARD STORAGE CENTERS, INC..... 116
7,264 SIMON DEBARTOLO GROUP, INC........ 237
3,300 SPIEKER PROPERTIES, INC........... 141
3,600 STORAGE USA, INC.................. 144
7,400 TAUBMAN CENTERS, INC.............. 96
2,800 TRINET CORPORATE REALTY TRUST,
INC.............................. 108
9,147 UNITED DOMINION REALTY TRUST,
INC.............................. 127
4,200 VORNADO REALTY TRUST.............. 197
5,200 WASHINGTON REAL ESTATE INVESTMENT
TRUST............................ 87
2,500 DEGREES WELLSFORD REAL PROPERTIES,
INC.............................. 39
1,000 WESTFIELD AMERICA, INC............ 17
--------
6,860
--------
MISCELLANEOUS MANUFACTURES--0.10%
2,500 ARMSTRONG WORLD INDUSTRIES, INC... 187
1,950 DEGREES BLYTH INDUSTRIES, INC..... 58
1,900 BRADY (W.H.) CO (CLASS A)......... 59
6,400 INTERNATIONAL GAME TECHNOLOGY
CO............................... 162
200 NACCO INDUSTRIES, INC (CLASS A)... 21
1,600 DEGREES SODAK GAMING, INC......... 10
1,300 DEGREES WMS INDUSTRIES, INC....... 27
--------
524
--------
MISCELLANEOUS METAL ORES--0.01%
1,800 DEGREES STILLWATER MINING CO...... 30
--------
MISCELLANEOUS NONDURABLE
GOODS--0.02%
1,700 DEGREES DEPARTMENT 56, INC........ 49
1,500 RUSS BERRIE & CO, INC............. 39
2,600 TERRA INDUSTRIES, INC............. 34
--------
122
--------
MISCELLANEOUS NONMETALLIC MINERAL
PRODUCTS--0.38%
25,100 MINNESOTA MINING & MANUFACTURING
CO............................... 2,060
--------
MISCELLANEOUS NONMETALLIC
MINERALS--0.00%
2,600 JOHNS MANVILLE CORP............... 26
--------
MISCELLANEOUS PERSONAL
SERVICES--0.05%
6,000 BLOCK (H&R), INC.................. 269
1,200 DEGREES THERMOLASE CORP........... 13
--------
282
--------
</TABLE>
See notes to financial statements.
- 28 -
<PAGE> 30
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
MISCELLANEOUS PETROLEUM AND COAL
PRODUCTS--0.40%
5,000 AMERADA HESS CORP................. $ 274
32,116 DEGREES TEXACO, INC............... 1,746
3,800 WITCO CORP........................ 155
--------
2,175
--------
MISCELLANEOUS PLASTICS PRODUCTS,
NEC--0.76%
1,600 APTARGROUP, INC................... 89
13,800 DOW CHEMICAL CO................... 1,401
36,000 MONSANTO CO....................... 1,512
3,600 PREMARK INTERNATIONAL, INC........ 104
5,400 RAYCHEM CORP...................... 233
9,100 RUBBERMAID, INC................... 228
2,100 SCHULMAN (A.), INC................ 53
2,900 DEGREES SEALED AIR CORP........... 179
6,560 SOLUTIA, INC...................... 175
1,500 DEGREES SYNETIC, INC.............. 55
700 TREDEGAR INDUSTRIES, INC.......... 46
2,400 TUPPERWARE CORP................... 67
--------
4,142
--------
MISCELLANEOUS SHOPPING GOOD
STORES--0.23%
500 DEGREES AMAZON.COM, INC........... 30
3,000 DEGREES BARNES & NOBLE, INC....... 100
4,500 DEGREES BORDERS GROUP, INC........ 141
1,500 DEGREES MICHAELS STORES, INC...... 44
9,100 DEGREES OFFICE DEPOT, INC......... 218
7,050 DEGREES OFFICEMAX, INC............ 100
2,250 DEGREES THE SPORTS AUTHORITY,
INC.............................. 33
16,787 DEGREES TOYS R US, INC............ 528
3,200 DEGREES ZALE CORP................. 74
--------
1,268
--------
MISCELLANEOUS TRANSPORTATION
EQUIPMENT--0.02%
4,200 ARCTIC CAT, INC................... 41
1,600 FLEETWOOD ENTERPRISES, INC........ 68
--------
109
--------
MOBILE HOME DEALERS--0.02%
2,800 OAKWOOD HOMES CORP................ 93
--------
MORTGAGE BANKERS AND BROKERS--0.50%
1,500 AAMES FINANCIAL CORP.............. 19
2,100 DEGREES CITYSCAPE FINANCIAL
CORP............................. 1
300 DEGREES CONTIFINANCIAL CORP....... 8
6,304 COUNTRYWIDE CREDIT INDUSTRIES,
INC.............................. 270
34,551 FIRST UNION CORP.................. 1,771
7,500 GREEN TREE FINANCIAL CORP......... 196
2,200 DEGREES HOMESIDE, INC............. 61
2,100 DEGREES IMPERIAL CREDIT
INDUSTRIES, INC.................. 43
1,400 PMI GROUP, INC.................... 101
1,600 PULTE CORP........................ 67
900 SIRROM CAPITAL CORP............... 47
2,200 UNITED COS FINANCIAL CORP......... 34
1,900 UNITRIN, INC...................... 123
--------
2,741
--------
MOTION PICTURE PRODUCTION AND
SERVICES--0.87%
41,478 DISNEY (WALT) CO.................. 4,109
1,700 KING WORLD PRODUCTIONS, INC....... 98
13,612 DEGREES LIBERTY MEDIA GROUP (CLASS
A)............................... 493
1,100 DEGREES PIXAR, INC................ 24
2,700 DEGREES SPELLING ENTERTAINMENT
GROUP, INC....................... 19
--------
4,743
--------
MOTION PICTURE THEATERS--0.04%
3,100 HARCOURT GENERAL, INC............. 170
1,900 DEGREES REGAL CINEMAS, INC........ 53
--------
223
--------
MOTOR VEHICLES AND EQUIPMENT--1.93%
1,300 ARVIN INDUSTRIES, INC............. 43
5,884 AUTOLIV, INC...................... 193
35,000 CHRYSLER CORP..................... 1,232
6,300 DANA CORP......................... 299
2,100 DANAHER CORP...................... 133
4,700 EATON CORP........................ 419
3,900 ECHLIN, INC....................... 141
68,400 FORD MOTOR CO..................... 3,330
42,926 GENERAL MOTORS CORP............... 2,602
6,100 GENERAL MOTORS CORP (CLASS H)..... 225
2,440 DEGREES HAYES LEMMERZ
INTERNATIONAL, INC............... 68
12,000 ILLINOIS TOOL WORKS, INC.......... 722
4,300 DEGREES LEAR CORP................. 204
3,066 MERITOR AUTOMOTIVE, INC........... 65
2,200 MODINE MANUFACTURING CO........... 75
4,600 DEGREES NAVISTAR INTERNATIONAL
CORP............................. 114
4,200 PACCAR, INC....................... 221
2,700 REGAL-BELOIT CORP................. 80
1,400 SMITH (A.O.) CORP................. 59
900 SPX CORP.......................... 62
1,400 SUPERIOR INDUSTRIES INTERNATIONAL,
INC.............................. 38
2,800 TELEFLEX, INC..................... 106
1,400 WABASH NATIONAL CORP.............. 40
--------
10,471
--------
MOTOR VEHICLES, PARTS, AND
SUPPLIES--0.07%
10,150 GENUINE PARTS CO.................. 344
1,300 DEGREES INSURANCE AUTO AUCTIONS,
INC.............................. 15
--------
359
--------
MOTORCYCLES, BICYCLES, AND
PARTS--0.05%
9,100 HARLEY DAVIDSON, INC.............. 249
--------
NATURAL GAS LIQUIDS--0.07%
3,000 COLUMBIA GAS SYSTEMS, INC......... 236
2,100 NEW JERSEY RESOURCES CORP......... 84
1,200 DEGREES TEJAS GAS CORP............ 74
--------
394
--------
NEW AND USED CAR DEALERS--0.05%
9,000 DEGREES AUTOZONE, INC............. 261
--------
</TABLE>
See notes to financial statements.
- 29 -
<PAGE> 31
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
NEWSPAPERS--0.61%
2,400 BELO (A.H.) CORP SERIES A......... $ 135
900 CENTRAL NEWSPAPERS, INC (CLASS A). 67
3,200 DOW JONES & CO, INC............... 172
16,600 GANNETT CO, INC................... 1,026
2,200 HARTE-HANKS COMMUNICATIONS, INC... 82
2,500 HOLLINGER INTERNATIONAL, INC...... 35
3,800 DEGREES JOURNAL REGISTER CO....... 80
5,100 KNIGHT-RIDDER, INC................ 265
2,900 LEE ENTERPRISES, INC.............. 86
800 MEDIA GENERAL, INC (CLASS A)...... 33
5,400 NEW YORK TIMES CO (CLASS A)....... 357
7,482 NEWS CORP LTD ADR (LTD-VOTE)...... 149
2,800 SCRIPPS (E.W.) CO (CLASS A)....... 136
4,400 TIMES MIRROR CO SERIES A.......... 271
6,000 TRIBUNE CO........................ 374
100 WASHINGTON POST CO (CLASS B)...... 49
--------
3,317
--------
NONFERROUS FOUNDRIES
(CASTINGS)--0.02%
2,800 STANDEX INTERNATIONAL CORP........ 99
--------
NONFERROUS ROLLING AND
DRAWING--0.09%
1,800 BELDEN, INC....................... 63
1,300 DEGREES CABLE DESIGN TECHNOLOGIES
CO............................... 51
2,300 DEGREES COMMSCOPE, INC............ 31
1,000 DEGREES ESSEX INTERNATIONAL,
INC.............................. 30
1,700 DEGREES GENERAL CABLE CORP........ 62
1,300 DEGREES MUELLER INDUSTRIES, INC... 77
2,100 DEGREES OREGON METALLURGICAL
CORP............................. 70
2,000 DEGREES RMI TITANIUM CO........... 40
1,500 DEGREES WOLVERINE TUBE, INC....... 47
--------
471
--------
NONSTORE RETAILERS--0.26%
600 DEGREES BRYLANE, INC.............. 30
400 DEGREES CDW COMPUTER CENTERS,
INC.............................. 21
2,900 FINGERHUT COS, INC................ 62
1,000 DEGREES GLOBAL DIRECTMAIL CORP.... 17
1,100 DEGREES LANDS END, INC............ 39
2,800 DEGREES MICRO WAREHOUSE, INC...... 39
1,400 DEGREES MSC INDUSTRIAL DIRECT CO
(CLASS A)........................ 59
22,000 SEARS ROEBUCK & CO................ 996
11,800 DEGREES SERVICE MERCHANDISE,
INC.............................. 25
1,600 STANHOME, INC..................... 41
5,100 DEGREES VIKING OFFICE PRODUCTS,
INC.............................. 111
--------
1,440
--------
NURSING AND PERSONAL CARE
FACILITIES--0.09%
100 DEGREES ALTERNATIVE LIVING
SERVICES, INC.................... 3
5,600 DEGREES BEVERLY ENTERPRISES,
INC.............................. 73
2,200 DEGREES GENESIS HEALTH VENTURES,
INC.............................. 58
2,750 DEGREES HEALTH CARE & RETIREMENT
CORP............................. 111
2,457 DEGREES LCA-VISION, INC........... 3
2,900 MANOR CARE, INC................... 102
2,600 DEGREES MARINER HEALTH GROUP,
INC.............................. 42
2,130 DEGREES PARAGON HEALTH NETWORK,
INC.............................. 42
800 DEGREES SUNRISE ASSISTED LIVING,
INC.............................. 35
--------
469
--------
OFFICE FURNITURE--0.09%
1,200 HON INDUSTRIES, INC............... 71
2,600 KIMBALL INTERNATIONAL, INC
(CLASS B)........................ 48
1,200 DEGREES KNOLL, INC................ 39
3,000 MILLER (HERMAN), INC.............. 164
5,250 U.S. INDUSTRIES, INC.............. 158
--------
480
--------
OFFICES AND CLINICS OF MEDICAL
DOCTORS--0.07%
2,200 DEGREES MAGELLAN HEALTH SERVICES,
INC.............................. 47
3,800 DEGREES PHYCOR, INC............... 103
3,200 DEGREES PHYSICIAN SALES & SERVICE,
INC.............................. 69
4,100 DEGREES PHYSICIANS RESOURCE GROUP,
INC.............................. 18
1,900 DEGREES SIERRA HEALTH SERVICES,
INC.............................. 64
3,166 DEGREES TOTAL RENAL CARE HOLDINGS,
INC.............................. 87
--------
388
--------
OFFICES AND CLINICS OF
DENTISTS--0.01%
2,000 DEGREES ORTHODONTIC CENTERS OF
AMERICA, INC..................... 33
--------
OFFICES OF OTHER HEALTH
PRACTITIONERS--0.00%
1,800 DEGREES PHYSICIAN RELIANCE
NETWORK, INC..................... 19
--------
OIL AND GAS EXTRACTION--3.76%
29,600 AMOCO CORP........................ 2,520
3,400 ANADARKO PETROLEUM CORP........... 206
5,200 APACHE CORP....................... 182
3,800 ASHLAND, INC...................... 204
2,000 DEGREES BARNETT RESOURCES CORP.... 61
900 DEGREES BELCO OIL & GAS CORP...... 17
2,600 DEGREES BROWN (TOM), INC.......... 50
10,045 BURLINGTON RESOURCES, INC......... 450
3,000 CABOT OIL & GAS CORP (CLASS A).... 58
2,900 CHESAPEAKE ENERGY CORP............ 22
5,200 CONSOLIDATED NATURAL GAS CO....... 315
2,350 CROSS TIMBERS OIL CO.............. 59
1,500 DEVON ENERGY CORP................. 58
7,347 DEGREES EEX CORP.................. 67
3,400 ENRON OIL & GAS CO................ 72
150,000 EXXON CORP........................ 9,178
1,400 DEGREES FORCENERGY GAS
EXPLORATION, INC................. 37
3,200 DEGREES FOREST OIL CORP........... 53
7,000 DEGREES GREY WOLF, INC............ 38
1,500 HELMERICH & PAYNE, INC............ 102
2,000 KCS ENERGY, INC................... 42
2,800 KERR-MCGEE CORP................... 177
1,600 DEGREES LOUIS DREYFUS NATURAL GAS
CORP............................. 30
3,900 MITCHELL ENERGY & DEVELOPMENT CORP
(CLASS A)........................ 115
47,700 MOBIL CORP........................ 3,443
2,800 DEGREES NEWFIELD EXPLORATION CO... 65
3,200 NOBLE AFFILIATES, INC............. 113
1,400 DEGREES NUEVO ENERGY CO........... 57
</TABLE>
See notes to financial statements.
- 30 -
<PAGE> 32
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
OIL AND GAS EXTRACTION--(continued)
20,400 OCCIDENTAL PETROLEUM CORP......... $ 598
6,900 DEGREES ORYX ENERGY CO............ 176
12,700 PHILLIPS PETROLEUM CO............. 618
4,200 DEGREES PIONEER NATURAL RESOURCES
CO............................... 122
1,900 POGO PRODUCING CO................. 56
2,100 QUESTAR CORP...................... 94
1,500 DEGREES RUTHERFORD-MORAN OIL
CORP............................. 27
6,400 DEGREES SANTA FE ENERGY RESOURCES,
INC.............................. 72
3,400 DEGREES SEAGULL ENERGY CORP....... 70
3,500 SNYDER OIL CORP................... 64
2,830 DEGREES SWIFT ENERGY CO........... 60
2,300 DEGREES TRANSTEXAS GAS CORP....... 34
14,714 UNION PACIFIC RESOURCES GROUP,
INC.............................. 357
4,700 UNION TEXAS PETROLEUM HOLDINGS,
INC.............................. 98
1,000 VASTAR RESOURCES, INC............. 36
2,600 VINTAGE PETROLEUM, INC............ 49
2,500 WICOR, INC........................ 116
--------
20,438
--------
OIL AND GAS FIELD SERVICES--0.76%
1,200 DEGREES ATWOOD OCEANICS, INC...... 57
1,900 DEGREES BENTON OIL & GAS CO....... 25
2,200 DEGREES BJ SERVICES CO............ 158
1,000 DEGREES CLIFFS DRILLING CO........ 50
4,200 DIAMOND OFFSHORE DRILLING, INC.... 202
8,400 ENSCO INTERNATIONAL, INC.......... 281
4,800 DEGREES FALCON DRILLING CO, INC... 168
8,700 DEGREES GLOBAL MARINE, INC........ 213
15,932 HALLIBURTON CO.................... 827
3,100 DEGREES MARINE DRILLING CO, INC... 64
5,900 DEGREES NABORS INDUSTRIES, INC.... 185
6,000 DEGREES NEWPARK RESOURCES, INC.... 105
7,200 DEGREES NOBLE DRILLING CORP....... 221
900 DEGREES OCEAN ENERGY, INC......... 44
4,800 PACIFIC ENTERPRISES, INC.......... 181
4,500 DEGREES PARKER DRILLING CO........ 55
700 DEGREES PATTERSON ENERGY, INC..... 27
3,300 DEGREES POOL ENERGY SERVICES CO... 73
3,300 DEGREES PRIDE INTERNATIONAL,
INC.............................. 83
4,100 DEGREES READING & BATES CORP...... 172
4,400 DEGREES ROWAN COS, INC............ 134
5,800 TRANSOCEAN OFFSHORE, INC.......... 279
3,200 DEGREES TUBOSCOPE, INC............ 77
2,200 DEGREES UNITED MERIDIAN CORP...... 62
1,300 DEGREES VERITAS DGC, INC.......... 51
3,400 DEGREES WEATHERFORD ENTERRA,
INC.............................. 149
2,300 DEGREES WESTERN ATLAS, INC........ 170
--------
4,113
--------
OPERATIVE BUILDERS--0.06%
1,700 CENTEX CORP....................... 107
1,600 DEGREES FAIRFIELD COMMUNITIES,
INC.............................. 71
2,400 HILLENBRAND INDUSTRIES, INC....... 123
2,200 LENNAR CORP....................... 47
--------
348
--------
OPHTHALMIC GOODS--0.03%
2,900 BAUSCH & LOMB, INC................ 115
1,900 DEGREES COLE NATIONAL CORP
(CLASS A)........................ 57
--------
172
--------
ORDNANCE AND ACCESSORIES,
NEC--0.02%
1,000 DEGREES ALLIANT TECHSYSTEMS,
INC.............................. 56
1,600 DEGREES COLEMAN CO, INC........... 26
1,700 STRUM, RUGER & CO, INC............ 31
--------
113
--------
PAINT, GLASS, AND WALLPAPER
STORES--0.01%
2,600 APOGEE ENTERPRISES, INC........... 31
--------
PAINTS AND ALLIED PRODUCTS--0.10%
1,500 DEXTER CORP....................... 65
2,250 FERRO CORP........................ 55
6,531 RPM, INC.......................... 100
8,900 SHERWIN-WILLIAMS CO............... 247
2,400 VALSPAR CORP...................... 77
--------
544
--------
PAPER AND PAPER PRODUCTS--0.16%
700 DEGREES BOISE CASCADE OFFICE
PRODUCTS CORP.................... 10
7,300 DEGREES CORPORATE EXPRESS, INC.... 94
8,300 IKON OFFICE SOLUTIONS, INC........ 233
9,650 DEGREES STAPLES, INC.............. 268
6,450 DEGREES U.S. OFFICE PRODUCTS CO... 127
5,050 UNISOURCE WORLDWIDE, INC.......... 72
1,200 DEGREES UNITED STATIONERS, INC.... 58
--------
862
--------
PAPER MILLS--0.25%
2,300 BOWATER, INC...................... 102
5,600 CHAMPION INTERNATIONAL CORP....... 254
1,200 CONSOLIDATED PAPERS, INC.......... 64
2,000 GLATFELTER (P.H.) CO.............. 37
3,400 LONGVIEW FIBRE CO................. 52
5,700 MEAD CORP......................... 160
2,800 PENTAIR, INC...................... 101
1,500 POTLATCH CORP..................... 65
2,240 SCHWEITZER-MAUDUIT INTERNATIONAL,
INC.............................. 83
4,000 UNION CAMP CORP................... 215
2,000 WAUSAU-MOSINEE PAPER CORP......... 40
5,350 WESTVACO CORP..................... 168
--------
1,341
--------
PAPERBOARD CONTAINERS AND
BOXES--0.02%
1,500 DEGREES ACX TECHNOLOGIES, INC..... 37
5,600 DEGREES STONE CONTAINER CORP...... 58
--------
95
--------
</TABLE>
See notes to financial statements.
- 31 -
<PAGE> 33
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
PAPERBOARD MILLS--0.17%
1,800 CARAUSTAR INDUSTRIES, INC......... $ 62
1,400 CHESAPEAKE CORP................... 48
17,514 INTERNATIONAL PAPER CO............ 755
1,400 DEGREES JEFFERSON SMURFIT CORP.... 20
600 ST. JOE CORP...................... 54
--------
939
--------
PASSENGER TRANSPORTATION
ARRANGEMENT--0.48%
28,700 AMERICAN EXPRESS CO............... 2,561
2,100 DEGREES SABRE GROUP HOLDINGS,
INC.............................. 61
--------
2,622
--------
PENSION, HEALTH, AND WELFARE
FUNDS--0.01%
1,500 AMERICAN ANNUITY GROUP, INC....... 33
--------
PERIODICALS--0.38%
2,900 x DEGREES MARVEL ENTERTAINMENT
GROUP, INC....................... 1
2,800 MEREDITH CORP..................... 100
8,600 DEGREES PRIMEDIA, INC............. 109
4,500 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE)............. 106
27,031 TIME WARNER, INC.................. 1,676
3,200 DEGREES WORLD COLOR PRESS, INC.... 85
--------
2,077
--------
PERSONAL CREDIT INSTITUTIONS--0.26%
2,400 ADVANTA CORP (CLASS A)............ 63
2,200 DEGREES AMERICREDIT CORP.......... 61
2,900 BENEFICIAL CORP................... 241
1,600 DEGREES CREDIT ACCEPTANCE CORP.... 12
1,500 DEGREES FIRSTPLUS FINANCIAL GROUP,
INC.............................. 58
6,403 HOUSEHOLD INTERNATIONAL, INC...... 817
2,300 LEUCADIA NATIONAL CORP............ 79
6,450 DEGREES MERCURY FINANCE CO........ 4
500 METRIS COS, INC................... 17
2,600 THE MONEY STORE, INC.............. 55
--------
1,407
--------
PERSONNEL SUPPLY SERVICES--0.24%
4,983 DEGREES ACCUSTAFF, INC............ 115
1,200 DEGREES ALTERNATIVE RESOURCES
CORP............................. 28
1,200 DEGREES CDI CORP.................. 55
6,000 DEGREES EMPLOYEE SOLUTIONS, INC... 26
3,400 DEGREES INTERIM SERVICES, INC..... 88
2,300 KELLY SERVICES, INC (CLASS A)..... 69
4,400 MANPOWER, INC..................... 155
9,300 NEWELL COS, INC................... 395
1,100 NORRELL CORP...................... 22
4,114 OLSTEN CORP....................... 62
1,100 DEGREES REGISTRY, INC............. 50
5,400 DEGREES ROBERT HALF INTERNATIONAL,
INC.............................. 216
900 DEGREES VOLT INFORMATION SCIENCES,
INC.............................. 48
--------
1,329
--------
PETROLEUM AND PETROLEUM
PRODUCTS--0.18%
17,461 ENRON CORP........................ 726
8,600 DEGREES HARKEN ENERGY CORP........ 60
2,500 LYONDELL PETROCHEMICAL CO......... 66
2,800 DEGREES NATIONAL-OILWELL, INC..... 96
2,800 QUAKER STATE OIL REFINING CORP.... 40
--------
988
--------
PETROLEUM REFINING--1.16%
19,000 ATLANTIC RICHFIELD CO............. 1,522
39,600 CHEVRON CORP...................... 3,049
600 FINA, INC (CLASS A)............... 38
2,600 MURPHY OIL CORP................... 141
2,700 PENNZOIL CO....................... 180
4,200 SUN CO, INC....................... 177
9,748 TOSCO CORP........................ 369
5,326 ULTRAMAR DIAMOND SHAMROCK CORP.... 170
14,689 UNOCAL CORP....................... 570
2,400 VALERO ENERGY CORP................ 75
--------
6,291
--------
PHOTOGRAPHIC EQUIPMENT AND
SUPPLIES--0.51%
19,500 EASTMAN KODAK CO.................. 1,186
2,400 POLAROID CORP..................... 117
19,700 XEROX CORP........................ 1,454
--------
2,757
--------
PIPELINES, EXCEPT NATURAL
GAS--0.03%
3,800 MAPCO, INC........................ 176
--------
PLASTICS MATERIALS AND
SYNTHETICS--0.89%
69,300 DU PONT (E.I.) DE NEMOURS & CO.... 4,162
4,400 EASTMAN CHEMICAL CO............... 262
2,850 HANNA (M.A.) CO................... 72
5,700 HERCULES, INC..................... 285
2,600 LAWTER INTERNATIONAL, INC......... 28
2,000 WELLMAN, INC...................... 39
--------
4,848
--------
PLUMBING AND HEATING, EXCEPT
ELECTRIC--0.10%
9,800 MASCO CORP........................ 499
8,100 ROHN INDUSTRIES, INC.............. 42
--------
541
--------
POULTRY AND EGGS--0.04%
9,600 TYSON FOODS, INC.................. 197
--------
PRESERVED FRUITS AND
VEGETABLES--0.89%
15,600 CAMPBELL SOUP CO.................. 907
3,866 DEGREES CASTLE & COOKE, INC....... 65
2,800 DOLE FOOD, INC.................... 128
22,200 HEINZ (H.J.) CO................... 1,128
2,700 HORMEL FOODS CORP................. 88
18,601 RJR NABISCO HOLDINGS CORP......... 698
</TABLE>
See notes to financial statements.
- 32 -
<PAGE> 34
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
PRESERVED FRUITS AND
VEGETABLES--(continued)
29,200 SARA LEE CORP..................... $ 1,644
6,800 WHITMAN CORP...................... 177
--------
4,835
--------
PRIMARY NONFERROUS METALS--0.26%
3,100 DEGREES ALUMAX, INC............... 105
9,400 ALUMINUM CO OF AMERICA............ 662
2,600 ASARCO, INC....................... 58
3,400 PHELPS DODGE CORP................. 212
1,500 PRECISION CAST PARTS CORP......... 90
4,200 REYNOLDS METALS CO................ 252
1,500 DEGREES TITANIUM METALS CORP...... 43
--------
1,422
--------
PRODUCERS, ORCHESTRAS,
ENTERTAINERS--0.02%
2,300 DEGREES WESTWOOD ONE, INC......... 85
--------
PRODUCTS OF PURCHASED GLASS--0.03%
3,300 DEGREES GENTEX CORP............... 89
1,300 DEGREES MEDIMMUNE, INC............ 56
--------
145
--------
PROFESSIONAL AND COMMERCIAL
EQUIPMENT--0.09%
1,900 DEGREES CHS ELECTRONICS, INC...... 33
1,600 DEGREES GULF SOUTH MEDICAL SUPPLY,
INC.............................. 60
2,900 DEGREES INGRAM MICRO, INC
(CLASS A)........................ 84
4,400 OWENS & MINOR, INC................ 64
1,900 DEGREES PATTERSON DENTAL CO....... 86
1,600 DEGREES SPINE-TECH, INC........... 82
2,500 DEGREES TECH DATA CORP............ 97
--------
506
--------
RADIO AND TELEVISION
BROADCASTING--0.37%
1,300 DEGREES AMERICAN RADIO SYSTEMS
CORP............................. 69
900 BHC COMMUNICATIONS, INC
(CLASS A)........................ 117
3,550 DEGREES CHANCELLOR MEDIA CORP
(CLASS A)........................ 265
1,503 DEGREES CHRIS CRAFT INDUSTRIES,
INC.............................. 79
3,400 DEGREES CLEAR CHANNEL
COMMUNICATIONS, INC.............. 270
2,354 GAYLORD ENTERTAINMENT CO.......... 75
1,100 DEGREES HEFTEL BROADCASTING CORP
(CLASS A)........................ 51
2,500 DEGREES JACOR COMMUNICATIONS,
INC.............................. 133
1,400 DEGREES JACOR COMMUNICATIONS, INC
WTS 9/18/01...................... 9
1,200 DEGREES LIN TELEVISION CORP....... 65
600 UNITED TELEVISION, INC............ 62
500 DEGREES UNIVISION COMMUNICATIONS,
INC.............................. 35
4,300 DEGREES VIACOM, INC (CLASS A)..... 176
14,400 DEGREES VIACOM, INC (CLASS B)..... 597
--------
2,003
--------
RADIO, TELEVISION, AND COMPUTER
STORES--0.14%
2,100 DEGREES BEST BUY, INC............. 77
5,800 CIRCUIT CITY STORES-CIRCUIT CITY
GROUP............................ 206
5,400 DEGREES COMPUSA, INC.............. 167
9,500 DEGREES INFORMIX CORP............. 45
3,000 DEGREES MUSICLAND STORES CORP..... 22
6,400 TANDY CORP........................ 247
--------
764
--------
RAILROADS--0.66%
9,240 BURLINGTON NORTHERN SANTA FE
CORP............................. 859
12,900 CSX CORP.......................... 697
100 FLORIDA EAST COAST INDUSTRIES,
INC.............................. 10
2,500 IES INDUSTRIES, INC............... 92
4,500 ILLINOIS CENTRAL CORP SERIES A.... 153
6,600 KANSAS CITY SOUTHERN INDUSTRIES,
INC.............................. 210
22,600 NORFOLK SOUTHERN CORP............. 696
13,082 UNION PACIFIC CORP................ 817
3,500 DEGREES WISCONSIN CENTRAL TRANSIT
CORP............................. 82
--------
3,616
--------
REAL ESTATE OPERATORS AND
LESSORS--0.05%
4,000 ROUSE CO.......................... 131
2,800 WEINGARTEN REALTY INVESTORS, INC.. 125
--------
256
--------
REFRIGERATION AND SERVICE
MACHINERY--0.12%
4,600 DEGREES AMERICAN STANDARD COS,
INC.............................. 176
1,952 DEGREES CULLIGAN WATER
TECHNOLOGIES, INC................ 98
1,400 EASTERN ENTERPRISES CO............ 63
2,000 TECUMSEH PRODUCTS CO (CLASS A).... 98
4,350 DEGREES U.S. FILTER CORP.......... 130
2,600 YORK INTERNATIONAL CORP........... 103
--------
668
--------
RENTAL OF RAILROAD CARS--0.02%
1,600 GATX CORP......................... 116
--------
RESEARCH AND TESTING
SERVICES--0.12%
2,400 DEGREES ADVANCED TISSUE SCIENCE
CO............................... 30
2,200 DEGREES AGOURON PHARMACEUTICALS,
INC.............................. 65
2,600 DEGREES CEPHALON, INC............. 30
4,550 DEGREES CLINTRIALS, INC........... 36
2,100 DEGREES COLUMBIA LABORATORIES,
INC.............................. 33
2,000 DEGREES HUMAN GENOME SCIENCES,
INC.............................. 80
2,500 DEGREES ICOS CORP................. 46
1,100 DEGREES IDEC PHARMACEUTICALS
CORP............................. 38
1,200 DEGREES INCYTE PHARMACEUTICALS,
INC.............................. 54
3,600 DEGREES ISIS PHARMACEUTICALS,
INC.............................. 44
6,252 DEGREES LABORATORY CORP OF AMERICA
HOLDINGS......................... 11
</TABLE>
See notes to financial statements.
- 33 -
<PAGE> 35
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
RESEARCH AND TESTING
SERVICES--(continued)
260 DEGREES LABORATORY CORP OF AMERICA
HOLDINGS WTS 4/28/00............. $ 0
2,500 DEGREES LIPOSOME CO, INC.......... 12
8,500 DEGREES NEUROMEDICAL SYSTEMS,
INC.............................. 24
1,300 DEGREES THERMO CARDIOSYSTEMS,
INC.............................. 35
800 DEGREES THERMOTREX CORP........... 18
2,000 DEGREES TRANSKARYOTIC THERAPIES,
INC.............................. 70
--------
626
--------
RESIDENTIAL BUILDING
CONSTRUCTION--0.07%
5,206 CLAYTON HOMES, INC................ 94
3,900 HORTON (D.R.), INC................ 68
2,700 KAUFMAN & BROAD HOME CORP......... 61
2,400 DEGREES TOLL BROTHERS, INC........ 64
3,900 DEGREES WALTER INDUSTRIES, INC.... 80
--------
367
--------
RETAIL STORES, NEC--0.02%
2,500 DEGREES PETCO ANIMAL SUPPLIES,
INC.............................. 60
6,400 DEGREES PETSMART, INC............. 46
3,400 DEGREES SUNGLASS HUT
INTERNATIONAL, INC............... 21
--------
127
--------
SAND AND GRAVEL--0.02%
3,400 CALMAT CO......................... 95
--------
SANITARY SERVICES--0.42%
6,000 DEGREES ALLIED WASTE INDUSTRIES,
INC.............................. 140
12,100 BROWNING FERRIS INDUSTRIES, INC... 448
7,000 DEGREES LAIDLAW ENVIRONMENTAL
SERVICES, INC.................... 34
3,700 OGDEN CORP........................ 104
18,800 DEGREES REPUBLIC INDUSTRIES,
INC.............................. 438
10,297 DEGREES U.S.A. WASTE SERVICES,
INC.............................. 404
26,670 WASTE MANAGEMENT, INC............. 733
--------
2,301
--------
SAVINGS INSTITUTIONS--0.76%
3,500 ALBANK FINANCIAL CORP............. 180
2,500 ASTORIA FINANCIAL CORP............ 139
2,300 BANK UNITED CORP (CLASS A)........ 113
900 CFX CORP.......................... 27
4,249 CHARTER ONE FINANCIAL, INC........ 268
3,200 CHEMFIRST, INC.................... 90
1,300 DEGREES COAST SAVINGS FINANCIAL,
INC.............................. 89
2,550 COMMERCIAL FEDERAL CORP........... 91
6,100 DIME BANCORP, INC................. 185
500 DOWNEY FINANCIAL CORP............. 14
3,400 DEGREES GOLDEN STATE BANCORP,
INC.............................. 127
2,800 GOLDEN WEST FINANCIAL CORP........ 274
5,800 H.F. AHMANSON & CO................ 388
2,300 LONG ISLAND BANCORP, INC.......... 114
2,850 MAF BANCORP, INC.................. 101
2,100 NEW YORK BANCORP, INC............. 83
2,400 DEGREES OCWEN FINANCIAL CORP...... 61
2,300 PEOPLES BANK OF BRIDGEPORT CO..... 87
4,000 ROSLYN BANCORP, INC............... 93
7,450 SOVEREIGN BANCORP, INC............ 155
4,875 ST. PAUL BANCORP, INC............. 128
4,800 TCF FINANCIAL CORP................ 163
3,267 WASHINGTON FEDERAL, INC........... 103
15,059 WASHINGTON MUTUAL, INC............ 961
1,700 WEBSTER FINANCIAL CORP............ 113
--------
4,147
--------
SAWMILLS AND PLANING MILLS--0.22%
2,600 BOISE CASCADE CORP................ 79
5,800 LOUISIANA PACIFIC CORP............ 110
2,000 RAYONIER, INC..................... 85
3,400 TEMPLE-INLAND, INC................ 178
11,400 WEYERHAEUSER CO................... 559
6,200 WILLAMETTE INDUSTRIES, INC........ 200
--------
1,211
--------
SCHOOLS AND EDUCATIONAL SERVICES,
NEC--0.02%
2,200 DEGREES APOLLO GROUP, INC
(CLASS A)........................ 104
--------
SCREW MACHINE PRODUCTS, BOLTS,
ETC.--0.05%
4,260 HUBBELL, INC (CLASS B)............ 210
1,900 TRIMAS CORP....................... 65
--------
275
--------
SEARCH AND NAVIGATION
EQUIPMENT--0.23%
1,400 PRIMEX TECHNOLOGIES, INC.......... 47
6,228 RAYTHEON CO (CLASS A)............. 307
14,100 RAYTHEON CO (CLASS B)............. 712
4,200 SENSORMATIC ELECTRONICS CORP...... 69
1,600 DEGREES TRACOR, INC............... 49
3,900 DEGREES TRIMBLE NAVIGATION LTD.... 85
--------
1,269
--------
SECURITY AND COMMODITY
SERVICES--0.31%
2,800 DEGREES AMRESCO, INC.............. 85
3,100 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD..................... 150
5,050 FRANKLIN RESOURCES, INC........... 439
4,422 FULTON FINANCIAL CORP............. 144
3,400 PIONEER GROUP, INC................ 96
3,100 PRICE (T. ROWE) ASSOCIATES, INC... 195
700 SEI INVESTMENT CO................. 29
3,700 TRANSAMERICA CORP................. 394
4,700 UNITED ASSET MANAGEMENT CORP...... 115
--------
1,647
--------
SECURITY BROKERS AND DEALERS--0.97%
9,024 BEAR STEARNS COS, INC............. 429
800 DONALDSON, LUFKIN, & JENRETTE,
INC.............................. 64
5,750 EDWARDS (A.G.), INC............... 229
1,300 DEGREES HAMBRECHT & QUIST GROUP... 47
600 DEGREES JEFFERIES GROUP, INC...... 25
1,733 DEGREES LEGG MASON, INC........... 97
7,800 LEHMAN BROTHERS HOLDINGS, INC..... 398
20,400 MERRILL LYNCH & CO, INC........... 1,488
1,300 MORGAN KEEGAN, INC................ 33
27,155 MORGAN STANLEY, DEAN WITTER,
DISCOVER......................... 1,606
</TABLE>
See notes to financial statements.
- 34 -
<PAGE> 36
<TABLE>
<CAPTION>
VALUE
SHARES (000)
----------- --------
<C> <S> <C>
SECURITY BROKERS AND
DEALERS--(continued)
6,900 PAINE WEBBER GROUP, INC........... $ 238
1,800 QUICK & REILLY GROUP, INC......... 77
1,900 RAYMOND JAMES FINANCIAL, CORP..... 75
11,100 SCHWAB (CHARLES) CORP............. 466
--------
5,272
--------
SHIP AND BOAT BUILDING AND
REPAIRING--0.08%
3,500 GENERAL DYNAMICS CORP............. 303
1,252 DEGREES HALTER MARINE GROUP,
INC.............................. 36
2,900 NEWPORT NEWS SHIPBUILDING, INC.... 74
--------
413
--------
SHOE STORES--0.04%
2,050 DEGREES JUST FOR FEET, INC........ 27
2,624 DEGREES PAYLESS SHOESOURCE, INC... 176
--------
203
--------
SOAP, CLEANERS, AND TOILET
GOODS--1.79%
1,800 ALBERTO CULVER CO (CLASS B)....... 58
7,400 AVON PRODUCTS, INC................ 454
2,700 CHURCH & DWIGHT CO, INC........... 76
4,400 CLOROX CO......................... 348
17,400 COLGATE PALMOLIVE CO.............. 1,279
7,000 DIAL CORP......................... 146
3,500 ECOLAB, INC....................... 194
6,100 INTERNATIONAL FLAVORS &
FRAGRANCES, INC.................. 314
2,200 LAUDER (ESTEE) CO (CLASS A)....... 113
82,800 PROCTER & GAMBLE CO............... 6,608
800 DEGREES REVLON, INC (CLASS A)..... 28
4,500 SAFETY-KLEEN CORP................. 123
600 DEGREES USA DETERGENTS, INC....... 5
--------
9,746
--------
SOCIAL SERVICES, NEC--0.03%
2,977 INTEGRATED HEALTH SERVICES, INC... 93
3,300 DEGREES SUN HEALTHCARE GROUP,
INC.............................. 64
--------
157
--------
SPECIAL INDUSTRY MACHINERY--0.28%
22,200 DEGREES APPLIED MATERIALS, INC.... 669
3,542 DEGREES COOPER CAMERON CORP....... 216
1,200 DEGREES ETEC SYSTEMS, INC......... 56
2,500 FOSTER WHEELER CORP............... 68
1,400 DEGREES IONICS, INC............... 55
2,100 DEGREES KULICHE & SOFFA
INDUSTRIES, INC.................. 39
1,800 DEGREES LAM RESEARCH CORP......... 53
2,000 DEGREES NOVELLUS SYSTEMS, INC..... 65
1,600 DEGREES OAKLEY, INC............... 15
2,700 DEGREES PHOTRONICS, INC........... 65
2,000 DEGREES PRESSTEK, INC............. 52
1,000 DEGREES PRI AUTOMATION, INC....... 29
1,200 DEGREES THERMO FIBERTEK, INC...... 15
2,400 DEGREES ULTRATECH STEPPER, INC.... 48
1,700 DEGREES ZEBRA TECHNOLOGY CORP..... 51
--------
1,496
--------
STRUCTURAL CLAY PRODUCTS--0.01%
3,900 DEGREES DAL-TILE INTERNATIONAL,
INC.............................. 48
--------
SUBDIVIDERS AND DEVELOPERS--0.02%
4,800 DEGREES CATELLUS DEVELOPMENT
CORP............................. 96
--------
SUGAR AND CONFECTIONERY
PRODUCTS--0.17%
5,700 HERSHEY FOODS CORP................ 353
1,100 TOOTSIE ROLL INDUSTRIES, INC...... 69
6,000 WRIGLEY (WM) JR CO................ 477
--------
899
--------
SURETY INSURANCE--0.15%
2,100 DEGREES AMERIN CORP............... 59
900 CAPITAL RE CORP................... 56
1,800 CAPMAC HOLDINGS, INC.............. 63
1,800 CMAC INVESTMENT CORP.............. 109
1,600 ENHANCE FINANCIAL SERVICES GROUP,
INC.............................. 95
6,900 MGIC INVESTMENT CORP.............. 459
--------
841
--------
TELEPHONE COMMUNICATIONS--6.96%
7,766 DEGREES 360 COMMUNICATIONS CO..... 157
1,150 DEGREES ACC CORP.................. 58
30,600 DEGREES AIRTOUCH COMMUNICATIONS,
INC.............................. 1,272
11,200 ALLTEL CORP....................... 460
33,000 AMERITECH CORP.................... 2,657
5,800 DEGREES ARCH COMMUNICATIONS GROUP,
INC.............................. 30
98,700 AT & T CORP....................... 6,045
47,255 BELL ATLANTIC CORP................ 4,300
60,100 BELLSOUTH CORP.................... 3,384
3,750 DEGREES BRIGHTPOINT, INC.......... 52
2,700 DEGREES BROOKS FIBER PROPERTIES,
INC.............................. 149
3,500 CENTURY TELEPHONE ENTERPRISES,
INC.............................. 174
8,000 CINCINNATI BELL, INC.............. 248
1,300 DEGREES COMMONWEALTH TELEPHONE
ENTERPRISES...................... 34
9,200 FRONTIER CORP..................... 221
57,500 GTE CORP.......................... 3,004
2,200 DEGREES HIGHWAYMASTER
COMMUNICATIONS, INC.............. 13
2,000 DEGREES IXC COMMUNICATIONS, INC... 63
7,224 DEGREES LCI INTERNATIONAL, INC.... 222
39,591 LUCENT TECHNOLOGIES, INC.......... 3,162
36,100 MCI COMMUNICATIONS CORP........... 1,546
3,900 DEGREES MOBILE TELECOMMUNICATIONS
TECHNOLOGIES CORP................ 86
13,400 DEGREES NEXTEL COMMUNICATIONS, INC
(CLASS A)........................ 348
2,100 DEGREES NTL, INC.................. 59
2,300 DEGREES OMNIPOINT CORP............ 53
900 DEGREES PACIFIC GATEWAY EXCHANGE,
INC.............................. 48
2,600 DEGREES POWERTEL, INC............. 44
1,100 DEGREES PREMIERE TECHNOLOGIES,
INC.............................. 30
1,200 DEGREES RCN CORP.................. 41
55,909 SBC COMMUNICATIONS, INC........... 4,095
3,600 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP.......... 181
26,000 SPRINT CORP....................... 1,524
2,800 DEGREES TEL-SAVE HOLDINGS, INC.... 56
3,460 TELEPHONE & DATA SYSTEMS, INC..... 161
2,000 DEGREES TELEPORT COMMUNICATIONS
GROUP, INC (CLASS A)............. 110
2,100 DEGREES U.S. CELLULAR CORP........ 65
</TABLE>
See notes to financial statements.
- 35 -
<PAGE> 37
<TABLE>
<CAPTION>
VALUE
SHARES (000)
---------- --------
<C> <S> <C>
TELEPHONE
COMMUNICATIONS--(continued)
28,600 U.S. WEST COMMUNICATIONS GROUP,
INC.............................. $ 1,291
36,700 DEGREES U.S. WEST MEDIA GROUP,
INC.............................. 1,060
2,700 DEGREES VANGUARD CELLULAR SYSTEMS,
INC.............................. 34
2,500 DEGREES WEST TELESERVICES CORP.... 30
2,400 DEGREES WINSTAR COMMUNICATIONS,
INC.............................. 60
40,492 DEGREES WORLDCOM, INC............. 1,198
--------
37,825
--------
TIRES AND INNER TUBES--0.18%
1,800 BANDAG, INC....................... 96
4,600 COOPER TIRE & RUBBER CO........... 112
4,550 GOODRICH (B.F.) CO................ 189
9,000 GOODYEAR TIRE & RUBBER CO......... 573
--------
970
--------
TITLE INSURANCE--0.03%
200 DEGREES ALLEGHANY CORP
(DELAWARE)....................... 57
1,300 FIRST AMERICAN FINANCIAL CORP..... 96
--------
153
--------
TOYS AND SPORTING GOODS--0.19%
4,600 CALLAWAY GOLF CO.................. 131
1,100 DEGREES GALOOB TOYS, INC.......... 11
6,800 HASBRO, INC....................... 214
2,300 K2, INC........................... 52
17,393 MATTEL, INC....................... 621
--------
1,029
--------
TRUCKING AND COURIER SERVICES,
EXCEPT AIR--0.11%
2,500 DEGREES AMERICAN FREIGHTWAYS
CORP............................. 25
1,400 CALIBER SYSTEM, INC............... 68
2,900 CNF TRANSPORTATION, INC........... 111
5,750 DEGREES CONSOLIDATED FREIGHTWAYS
CORP............................. 78
500 DEGREES HEARTLAND EXPRESS, INC.... 13
1,800 HUNT (J.B.) TRANSPORT SERVICES,
INC.............................. 34
2,200 ROADWAY EXPRESS, INC.............. 49
1,500 DEGREES SWIFT TRANSPORTATION CO,
INC.............................. 49
2,100 US FREIGHTWAYS CORP............... 68
2,600 WERNER ENTERPRISES, INC........... 53
1,500 DEGREES YELLOW CORP............... 38
--------
586
--------
VARIETY STORES--0.21%
2,800 DEGREES BJS WHOLESALE CLUB, INC... 88
5,393 DEGREES CONSOLIDATED STORES
CORP............................. 237
1,800 DEGREES DOLLAR TREE STORES, INC... 74
3,800 FAMILY DOLLAR STORES, INC......... 111
1,900 DEGREES HOMEBASE, INC............. 15
29,000 DEGREES K MART CORP............... 335
1,400 DEGREES MAC FRUGALS BARGAINS
CLOSE-OUTS, INC.................. 58
2,900 DEGREES SHOPKO STORES, INC........ 63
7,100 DEGREES WOOLWORTH CORP............ 145
--------
1,126
--------
VIDEO TAPE RENTAL--0.00%
2,100 DEGREES HOLLYWOOD ENTERTAINMENT
CORP............................. 22
--------
VOCATIONAL SCHOOLS--0.02%
2,300 DEGREES DEVRY, INC................ 73
800 DEGREES LEARNING TREE
INTERNATIONAL, INC............... 23
--------
96
--------
WATER SUPPLY--0.03%
4,400 AMERICAN WATER WORKS CO, INC...... 120
3,500 UNITED WATER RESOURCES, INC....... 68
--------
188
--------
WATER TRANSPORTATION OF FREIGHT,
NEC--0.01%
1,800 DEGREES KIRBY CORP................ 35
--------
WATER TRANSPORTATION
SERVICES--0.03%
3,200 TIDEWATER, INC.................... 176
--------
WOMEN'S ACCESSORY AND SPECIALTY
STORES--0.08%
3,350 CLAIRES STORES, INC............... 65
1,000 DEGREES GOODYS FAMILY CLOTHING,
INC.............................. 27
12,846 LIMITED, INC...................... 328
--------
420
--------
WOMEN'S AND MISSES'
OUTERWEAR--0.05%
2,100 DEGREES JONES APPAREL GROUP,
INC.............................. 90
4,300 LIZ CLAIBORNE, INC................ 180
--------
270
--------
WOMEN'S CLOTHING STORES--0.03%
1,600 DEGREES ANN TAYLOR STORES CORP.... 21
7,400 DEGREES CHARMING SHOPPES, INC..... 35
4,400 INTIMATE BRANDS, INC (CLASS A).... 106
900 TALBOTS, INC...................... 16
--------
178
--------
WOOD BUILDINGS AND MOBILE
HOMES--0.01%
3,500 DEGREES CHAMPION ENTERPRISES,
INC.............................. 72
--------
YARN AND THREAD MILLS--0.04%
3,000 RUDDICK CORP...................... 52
3,700 UNIFI, INC........................ 151
--------
203
--------
TOTAL COMMON STOCK
(Cost $397,604)................... 542,473
--------
<CAPTION>
PRINCIPAL
---------
<C> <S> <C>
SHORT TERM INVESTMENTS--0.33%
U.S. GOVERNMENT & AGENCIES--0.33%
$1,800,000 FEDERAL HOME LOAN BANK
4.900 1/7/98..................... 1,798
--------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,799)..................... 1,798
--------
TOTAL PORTFOLIO
(Cost $399,428)................... $544,299
========
</TABLE>
- ---------------
DEGREES Non-income producing
x In bankruptcy
See notes to financial statements.
- 36 -
<PAGE> 38
<TABLE>
<CAPTION>
<S> <C> <C>
TEACHERS INSURANCE AND
ANNUITY ASSOCIATION
[TIAA LOGO] 730 Third Avenue STANDARD
New York, NY 10017-3206 US POSTAGE
PAID
TIAA-CREF
</TABLE>
(RECYCLE LOGO)
Printed on recycled paper
VA-1AFIN-2/98
