Annual Report
- --------------------------------------------------------------------------------
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
Audited Financial Statements
including
Statement of Investments
----------------
December 31, 1998
[TIAA LOGO]
As required by the Investment Company Act of 1940, TIAA Separate
Account VA-1 provides its contractowners with this annual report of
its financial condition and portfolio holdings. A semi-annual report
for TIAA Separate Account VA-1 is also provided each year toward the
end of August.
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
INDEX TO AUDITED FINANCIAL STATEMENTS
DECEMBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Page
-----
Report of Management Responsibility ........... 2
Report of Independent Auditors ................ 3
Audited Financial Statements:
Statement of Assets and Liabilities ......... 4
Statement of Operations ..................... 5
Statements of Changes in Net Assets ......... 6
Notes to Financial Statements ............... 7
Statement of Investments .................... 9
</TABLE>
<PAGE>
[TIAA LOGO]
- --------------------------------------------------------------------------------
REPORT OF MANAGEMENT RESPONSIBILITY
To the Contractowners of
TIAA Separate Account VA-1:
The accompanying financial statements of the Stock Index Account of TIAA
Separate Account VA-1 ("VA-1") are the responsibility of management. They have
been prepared in accordance with generally accepted accounting principles and
have been presented fairly and objectively in accordance with such principles.
Teachers Insurance and Annuity Association of America ("TIAA") has established
and maintains a strong system of internal controls designed to provide
reasonable assurance that assets are properly safeguarded and transactions are
properly executed in accordance with management's authorization, and to carry
out the ongoing responsibilities of management for reliable financial
statements. In addition, TIAA's internal audit personnel provide a continuing
review of the internal controls and operations of TIAA, including its separate
account operations.
The accompanying financial statements 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 audit personnel to review matters relating to
financial reporting, internal controls and auditing.
/s/ Thomas G. Walsh
---------------------------------
President
and Chief Executive Officer
/s/ Richard L. Gibbs
---------------------------------
Chief Financial Officer
and Executive Vice President
2
<PAGE>
[LETTERHEAD OF ERNST & YOUNG LLP]
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, 1998, and the related statements of
operations for the year then ended and of changes in net assets for each of the
two years in the period then ended. These financial statements are the
responsibility of VA-1's management. Our responsibility is to express an
opinion on these financial statements based on our audits. The condensed
financial information for the year ended December 31, 1996 and the periods
prior thereto were audited by other auditors, whose report dated February 6,
1997 expressed an unqualified opinion on such condensed financial information.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements. Our
procedures included confirmation of securities owned at December 31, 1998, 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 audits provide 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, 1998, the results of its operations for the year then
ended and the changes in its net assets for each of the two years in the period
then ended, in conformity with generally accepted accounting principles.
/s/ Ernst & Young LLP
February 5, 1999
Ernst & Young LLP is a member of Ernst & Young International, Ltd.
3
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
(amounts in thousands, except per accumulation unit amount)
<TABLE>
<S> <C>
ASSETS
Investments, at cost ........................................... $ 514,100
Net unrealized appreciation of investments ..................... 242,057
---------
Investments, at value .......................................... 756,157
Cash ........................................................... 789
Dividends and interest receivable .............................. 871
Amounts due from General Account ............................... 593
Receivable from securities transactions ........................ 7,882
---------
TOTAL ASSETS 766,292
---------
LIABILITIES
Payable for securities transactions ............................ 8,310
---------
TOTAL LIABILITIES 8,310
---------
NET ASSETS--Accumulation Fund ................................... $ 757,982
=========
NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6 ......... 11,145
=========
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5 .................. $ 68.01
=========
</TABLE>
See notes to financial statements.
4
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 1998
(amounts in thousands)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income:
Interest ..................................................... $ 130
Dividends .................................................... 9,662
--------
TOTAL INCOME 9,792
--------
Expenses--Note 3:
Investment advisory charges .................................. 1,948
Administrative expenses ...................................... 1,299
Mortality and expense risk charges ........................... 649
--------
EXPENSES BEFORE WAIVER 3,896
Investment advisory charges waived--Note 3 ................... (1,494)
--------
NET EXPENSES 2,402
--------
INVESTMENT INCOME--NET 7,390
--------
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS--Note 4
Net realized gain on investments ............................. 31,091
Net change in unrealized appreciation on investments ......... 97,186
--------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 128,277
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $135,667
========
</TABLE>
See notes to financial statements.
5
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
(amounts in thousands)
<TABLE>
<CAPTION>
Years Ended December 31,
---------------------------
1998 1997
------------ ------------
<S> <C> <C>
FROM OPERATIONS
Investment income--net ....................................... $ 7,390 $ 5,695
Net realized gain on investments ............................. 31,091 7,108
Net change in unrealized appreciation on investments ......... 97,186 96,189
--------- ---------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 135,667 108,992
--------- ---------
FROM CONTRACTOWNER TRANSACTIONS
Premiums ..................................................... 135,735 154,463
Net contractowner transfers (to) from fixed account .......... (36,831) 9,216
Withdrawals .................................................. (16,442) (10,917)
Death benefits ............................................... (3,878) (1,068)
--------- ---------
NET INCREASE IN NET ASSETS RESULTING
FROM CONTRACTOWNER TRANSACTIONS 78,584 151,694
--------- ---------
NET INCREASE IN NET ASSETS 214,251 260,686
NET ASSETS
Beginning of year ............................................ 543,731 283,045
--------- ---------
End of year .................................................. $ 757,982 $ 543,731
========= =========
</TABLE>
See notes to financial statements.
6
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION
TIAA Separate Account VA-1 ("VA-1") is a segregated investment account of
Teachers Insurance and Annuity Association of America ("TIAA") and was
organized on February 16, 1994 under the insurance laws of the State of New
York for the purpose of issuing and funding variable annuity contracts. VA-1
was registered with the Securities and Exchange Commission ("Commission")
effective November 1, 1994 as an open-end, diversified management investment
company under the Investment Company Act of 1940. Currently, VA-1 consists of a
single investment portfolio, the Stock Index Account (the "Account"), which
invests in a diversified portfolio of equity securities selected to track the
overall United States stock market.
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 income 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>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (Concluded)
NOTE 4--INVESTMENTS
At December 31, 1998, the net unrealized appreciation on investments was
$242,057,448, consisting of gross unrealized appreciation of $256,727,054 and
gross unrealized depreciation of $14,669,606.
Purchases and sales of securities, other than short-term money market
instruments, for the year ended December 31, 1998, were $378,601,401 and
$295,621,045, respectively.
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the
Account is presented below.
<TABLE>
<CAPTION>
Years Ended December 31, October 3, 1994
------------------------------------------------------------- (date established) to
1998 1997 1996 1995 December 31, 1994 (1)
------------- ------------- ------------- ------------- ----------------------
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income .................... $ .908 $ .847 $ .807 $ .745 $ .206
Expenses ............................. .223 .182 .150 .170 .034
-------- -------- -------- -------- --------
Investment income--net ............... .685 .665 .657 .575 .172
Net realized and unrealized gain
on investments ....................... 12.407 12.429 6.755 8.565 .099
-------- -------- -------- -------- --------
Net increase in
Accumulation Unit Value ............. 13.092 13.094 7.412 9.140 .271
Accumulation Unit Value:
Beginning of period ................. 54.917 41.823 34.411 25.271 25.000
-------- -------- -------- -------- --------
End of period ....................... $ 68.009 $ 54.917 $ 41.823 $ 34.411 $ 25.271
======== ======== ======== ======== ========
Total return .......................... 23.84% 31.31% 21.54% 36.17% 1.08%
Ratios to Average Net Assets:
Expenses (2) ......................... 0.37% 0.37% 0.40% 0.55% 0.13%
Investment income--net ............... 1.14% 1.36% 1.74% 1.87% 0.68%
Portfolio turnover rate ............... 45.93% 2.39% 4.55% 0.98% 0.04%
Thousands of Accumulation Units
outstanding at end of period ......... 11,145 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).
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
8
<TABLE>
<CAPTION>
Years Ended December 31,
------------------------------
1998 1997
--------------- ------------
<S> <C> <C>
Accumulation Units:
Credited for premiums ............................. 2,250,490 3,195,114
Cancelled for transfers and disbursements ......... (1,006,137) (61,762)
Outstanding:
Beginning of year ................................ 9,901,048 6,767,696
---------- ---------
End of year ...................................... 11,145,401 9,901,048
========== =========
</TABLE>
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1998
SUMMARY BY INDUSTRY
(000)
<TABLE>
<CAPTION>
VALUE %
-------- -------
<S> <C> <C>
BONDS
CORPORATE BONDS
AUTOMOTIVE DEALERS AND SERVICE STATIONS $ 2 0.00%
-------- ------
TOTAL CORPORATE BONDS
(Cost $3) .................................. 2 0.00
-------- ------
TOTAL BONDS
(Cost $3) .................................. 2 0.00
-------- ------
PREFERRED STOCK
HOLDING AND OTHER INVESTMENT OFFICES ....... 16 0.00
INSTRUMENTS AND RELATED PRODUCTS ........... 0 0.00
INSURANCE CARRIERS ......................... 30 0.00
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS .................................. 118 0.02
-------- ------
TOTAL PREFERRED STOCK
(Cost $150) ................................ 164 0.02
-------- ------
COMMON STOCK
AGRICULTURAL PRODUCTION--CROPS ............. 167 0.02
AGRICULTURAL SERVICES ...................... 27 0.00
AMUSEMENT AND RECREATION SERVICES .......... 604 0.08
APPAREL AND ACCESSORY STORES ............... 4,237 0.56
APPAREL AND OTHER TEXTILE PRODUCTS ......... 967 0.13
AUTO REPAIR, SERVICES AND PARKING .......... 487 0.06
AUTOMOTIVE DEALERS AND SERVICE STATIONS 547 0.07
BUILDING MATERIALS AND GARDEN SUPPLIES ..... 8,005 1.06
BUSINESS SERVICES .......................... 54,605 7.20
CHEMICALS AND ALLIED PRODUCTS .............. 98,730 13.02
COAL MINING ................................ 14 0.00
COMMUNICATIONS ............................. 81,710 10.78
DEPOSITORY INSTITUTIONS .................... 63,472 8.37
EATING AND DRINKING PLACES ................. 6,565 0.87
EDUCATIONAL SERVICES ....................... 351 0.05
ELECTRIC, GAS, AND SANITARY SERVICES ....... 32,377 4.27
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT 58,357 7.70
ENGINEERING AND MANAGEMENT SERVICES ........ 1,776 0.23
FABRICATED METAL PRODUCTS .................. 6,763 0.89
FOOD AND KINDRED PRODUCTS .................. 30,807 4.06
FOOD STORES ................................ 5,375 0.71
FORESTRY ................................... 5 0.00
FURNITURE AND FIXTURES ..................... 1,065 0.14
FURNITURE AND HOMEFURNISHINGS STORES ....... 2,004 0.26
GENERAL BUILDING CONTRACTORS ............... 707 0.09
GENERAL MERCHANDISE STORES ................. 16,782 2.21
HEALTH SERVICES ............................ 4,384 0.58
HEAVY CONSTRUCTION, EXCEPT BUILDING ........ 183 0.02
HOLDING AND OTHER INVESTMENT OFFICES ....... 8,130 1.07
HOTELS AND OTHER LODGING PLACES ............ 1,203 0.16
INDUSTRIAL MACHINERY AND EQUIPMENT ......... 56,355 7.43
</TABLE>
<TABLE>
<CAPTION>
VALUE %
-------- -------
<S> <C> <C>
INSTRUMENTS AND RELATED PRODUCTS ........... $ 16,029 2.11%
INSURANCE AGENTS, BROKERS AND SERVICE ...... 741 0.10
INSURANCE CARRIERS ......................... 37,125 4.90
LEATHER AND LEATHER PRODUCTS ............... 46 0.01
LEGAL SERVICES ............................. 7 0.00
LOCAL AND INTERURBAN PASSENGER TRANSIT 63 0.01
LUMBER AND WOOD PRODUCTS ................... 1,283 0.17
METAL MINING ............................... 937 0.12
MISCELLANEOUS MANUFACTURING
INDUSTRIES ................................ 533 0.07
MISCELLANEOUS RETAIL ....................... 7,867 1.04
MOTION PICTURES ............................ 4,704 0.62
NONDEPOSITORY INSTITUTIONS ................. 17,266 2.28
NONMETALLIC MINERALS, EXCEPT FUELS ......... 357 0.05
OIL AND GAS EXTRACTION ..................... 3,968 0.53
PAPER AND ALLIED PRODUCTS .................. 6,819 0.90
PERSONAL SERVICES .......................... 1,713 0.23
PETROLEUM AND COAL PRODUCTS ................ 31,599 4.17
PRIMARY METAL INDUSTRIES ................... 2,655 0.35
PRINTING AND PUBLISHING .................... 11,052 1.46
RAILROAD TRANSPORTATION .................... 3,344 0.44
REAL ESTATE ................................ 231 0.03
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS .................................. 4,068 0.54
SECURITY AND COMMODITY BROKERS ............. 7,919 1.05
SOCIAL SERVICES ............................ 24 0.00
SPECIAL TRADE CONTRACTORS .................. 88 0.01
STONE, CLAY, AND GLASS PRODUCTS ............ 993 0.13
TEXTILE MILL PRODUCTS ...................... 541 0.07
TOBACCO PRODUCTS ........................... 9,357 1.23
TRANSPORTATION BY AIR ...................... 3,991 0.53
TRANSPORTATION EQUIPMENT ................... 23,046 3.04
TRANSPORTATION SERVICES .................... 948 0.13
TRUCKING AND WAREHOUSING ................... 661 0.09
WATER TRANSPORTATION ....................... 417 0.06
WHOLESALE TRADE-DURABLE GOODS .............. 1,557 0.21
WHOLESALE TRADE-NONDURABLE GOODS ........... 4,882 0.65
-------- ------
TOTAL COMMON STOCK
(Cost $511,548) ............................ 753,592 99.42
-------- ------
SHORT TERM INVESTMENT
U.S. GOVERNMENT AGENCY ..................... 2,399 0.32
-------- ------
TOTAL SHORT TERM INVESTMENT
(Cost $2,399) .............................. 2,399 0.32
-------- ------
TOTAL PORTFOLIO
(Cost $514,100) ............................ 756,157 99.76
OTHER ASSETS & LIABILITIES, NET ............. 1,825 0.24
-------- ------
NET ASSETS .................................. $757,982 100.00%
======== ======
</TABLE>
See notes to financial statements.
9
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1998
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (000)
- --------- -------
<S> <C> <C>
BONDS--0.00%
CORPORATE BONDS--0.00%
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.00%
$ 1,950 o UGLY DUCKLING CORP (SUB DEB)
12.000%, 10/23/03 .............................. $ 2
--------
TOTAL CORPORATE BONDS
(Cost $3) ...................................... 2
--------
TOTAL BONDS
(Cost $3) ...................................... 2
--------
SHARES
- ------
PREFERRED STOCK--0.02%
HOLDING AND OTHER INVESTMENT OFFICES--0.00%
445 APARTMENT INVESTMENT & MANAGEMENT CO
SERIES E ....................................... 16
--------
INSTRUMENTS AND RELATED PRODUCTS--0.00%
3,500 o FRESENIUS MEDICAL CARE (CLASS D) ............... 0
--------
INSURANCE CARRIERS--0.00%
389 AETNA, INC SERIES C ............................ 30
--------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.02%
2,280 SEALED AIR CORP (CLASS A) ...................... 118
--------
TOTAL PREFERRED STOCK
(Cost $150) .................................... 164
--------
COMMON STOCK--99.42%
AGRICULTURAL PRODUCTION--CROPS--0.02%
6,200 PIONEER-HI-BRED INTERNATIONAL, INC ............. 167
--------
AGRICULTURAL SERVICES--0.00%
3,600 o CADIZ, INC ..................................... 27
--------
AMUSEMENT AND RECREATION SERVICES--0.08%
1,200 o AMERICAN SKIING CO ............................. 9
7,200 o AMF BOWLING, INC ............................... 37
1,200 o ANCHOR GAMING CO ............................... 68
700 o BALLY TOTAL FITNESS HOLDINGS CORP .............. 17
3,000 o BOYD GAMING CORP ............................... 10
1,100 CHURCHILL DOWNS, INC ........................... 36
900 o FAMILY GOLF CENTERS, INC ....................... 18
2,800 o FLORIDA PANTHERS HOLDINGS, INC ................. 26
6,500 o GRAND CASINOS, INC ............................. 52
16,100 o HARRAH'S ENTERTAINMENT, INC .................... 253
1,300 o HOLLYWOOD PARK, INC ............................ 11
100 o INTERNATIONAL SPEEDWAY CORP (CLASS A ) ......... 4
50 o PLAYERS INTERNATIONAL, INC ..................... 0
600 o RIO HOTEL & CASINO, INC ........................ 10
900 o SPEEDWAY MOTORSPORTS, INC ...................... 26
900 o WESTWOOD ONE, INC .............................. 27
------
604
------
APPAREL AND ACCESSORY STORES--0.56%
8,482 o ABERCROMBIE & FITCH CO (CLASS A) ............... 600
2,100 o AMERICAN EAGLE OUTFITTERS, INC ................. 140
3,000 o ANN TAYLOR STORES CORP ......................... 118
600 o BUCKLE, INC .................................... 14
20 BURLINGTON COAT FACTORY WAREHOUSE CORP ......... 0
2,800 CATO CORP (CLASS A) ............................ 28
2,100 o CHILDRENS PLACE RETAIL STORES .................. 53
1,000 o FINISH LINE, INC (CLASS A) ..................... 8
36,475 GAP, INC ....................................... 2,052
2,000 o GYMBOREE CORP .................................. 13
250 o JUST FOR FEET, INC ............................. 4
50 o MENS WAREHOUSE, INC ............................ 2
7,900 ROSS STORES, INC ............................... 311
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
1,600 o STEIN MART, INC ................................ $ 11
29,100 TJX COS, INC ................................... 844
1,300 o WET SEAL, INC (CLASS A) ........................ 39
------
4,237
--------
APPAREL AND OTHER TEXTILE PRODUCTS--0.13%
600 AUTHENTIC FITNESS CORP ......................... 11
2,200 o DONNA KARAN INTERNATIONAL, INC ................. 17
10,000 o FRUIT OF THE LOOM, INC (CLASS A) ............... 138
4,400 o HARTMARX CORP .................................. 25
14,400 o JONES APPAREL GROUP, INC ....................... 318
3,500 KELLWOOD CO .................................... 88
4,800 o NAUTICA ENTERPRISES, INC ....................... 72
1,700 PHILLIPS VAN HEUSEN CORP ....................... 12
400 PILLOWTEX CORP ................................. 11
1,700 o QUIKSILVER, INC ................................ 51
300 VF CORP ........................................ 14
8,300 WARNACO GROUP, INC (CLASS A) ................... 210
------
967
------
AUTO REPAIR, SERVICES AND PARKING--0.06%
4,600 o AVIS RENT A CAR, INC ........................... 111
50 CENTRAL PARKING CORP ........................... 2
1,400 o DOLLAR THRIFTY AUTOMOTIVE GROUP, INC ........... 18
200 HERTZ CORP (CLASS A) ........................... 9
2,633 MIDAS, INC ..................................... 82
8,250 ROLLINS TRUCK LEASING CORP ..................... 122
5,500 RYDER SYSTEM, INC .............................. 143
------
487
------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.07%
12,000 o AUTOZONE, INC .................................. 395
900 o COPART, INC .................................... 29
3,100 o CSK AUTO CORP .................................. 83
800 o DISCOUNT AUTO PARTS, INC ....................... 18
500 o GROUP 1 AUTOMOTIVE, INC ........................ 13
900 o WEST MARINE, INC ............................... 9
------
547
------
BUILDING MATERIALS AND GARDEN SUPPLIES--1.06%
3,800 o EAGLE HARDWARE & GARDEN, INC ................... 124
105,300 HOME DEPOT, INC ................................ 6,443
28,100 LOWES COS, INC ................................. 1,438
------
8,005
------
BUSINESS SERVICES--7.20%
1,100 AARON RENTS, INC ............................... 17
1,000 o ABACUS DIRECT CORP ............................. 46
600 o ABR INFORMATION SERVICES, INC .................. 12
6,900 o ACCLAIM ENTERTAINMENT, INC ..................... 85
600 o ACKERLEY GROUP, INC ............................ 11
9,633 o ACNEILSEN CORP ................................. 272
5,060 o ACXIOM CORP .................................... 157
10,700 ADOBE SYSTEMS, INC ............................. 500
3,600 o ADVO, INC ...................................... 95
4,400 o AFFILIATED COMPUTER SERVICES, INC (CLASS A) .... 198
2,400 o ALTERNATIVE RESOURCES CORP ..................... 26
33,400 AMERICA ONLINE, INC ............................ 5,344
7,150 o AMERICAN MANAGEMENT SYSTEMS, INC ............... 286
400 ANALYSTS INTERNATIONAL CORP .................... 8
600 o ANSWERTHINK CONSULTING GROUP ................... 16
1,000 o APAC TELESERVICES, INC ......................... 4
8,880 o ASCEND COMMUNICATIONS, INC ..................... 584
1,700 o ASPECT DEVELOPMENT, INC ........................ 75
6,800 AUTODESK, INC .................................. 290
</TABLE>
See notes to financial statements.
10
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
BUSINESS SERVICES--(Continued)
15,800 AUTOMATIC DATA PROCESSING, INC ................. $1,267
4,700 o AVANT CORP ..................................... 75
600 o AXENT TECHNOLOGIES, INC ........................ 18
1,220 o AZTEC TECHNOLOGY PARTNERS, INC ................. 4
100 o BARRA, INC ..................................... 2
6,900 o BMC SOFTWARE, INC .............................. 307
800 o BORG-WARNER SECURITY CORP ...................... 15
40 o BRC HOLDINGS, INC .............................. 1
6,300 o BUILDING ONE SERVICE ........................... 132
1,300 o CADENCE DESIGN SYSTEMS, INC .................... 39
500 o CAMBRIDGE TECHNOLOGY PARTNERS, INC ............. 11
1,700 o CARIBINER INTERNATIONAL, INC ................... 16
300 o CATALINA MARKETING CORP ........................ 21
200 o CENTURY BUSINESS SERVICES, INC ................. 3
3,000 o CERIDIAN CORP .................................. 209
4,300 o CERNER CORP .................................... 115
2,900 o CHECKFREE HOLDINGS CORP ........................ 68
1,300 CHEMED CORP .................................... 44
2,400 o CHOICEPOINT, INC ............................... 155
500 o CIBER, INC ..................................... 14
100 o CITRIX SYSTEMS, INC ............................ 10
1,800 o CMGI, INC ...................................... 192
1,000 o COMDISCO, INC .................................. 17
36,800 COMPUTER ASSOCIATES INTERNATIONAL, INC ......... 1,569
4,850 o COMPUTER HORIZONS CORP ......................... 129
6,096 o COMPUTER SCIENCES CORP ......................... 393
2,200 COMPUTER TASK GROUP, INC ....................... 60
15,800 o COMPUWARE CORP ................................. 1,234
1,800 o CONCORD COMMUNICATIONS, INC .................... 102
1,800 o COTELLIGENT, INC ............................... 38
4,300 o CSG SYSTEMS INTERNATIONAL, INC ................. 340
5,860 o CYBERGUARD CORP ................................ 12
800 o DATA DIMENSIONS, INC ........................... 7
400 o DATA PROCESSING RESOURCES CORP ................. 12
1,000 o DATASTREAM SYSTEMS, INC ........................ 12
500 o DBT ONLINE, INC ................................ 12
2,000 o DOCUMENTUM, INC ................................ 107
2,200 o DOUBLECLICK, INC ............................... 100
186 o DST SYSTEMS, INC ............................... 11
26,600 ELECTRONIC DATA SYSTEMS CORP ................... 1,337
8,500 o ELECTRONICS FOR IMAGING, INC ................... 342
5,500 o EMPLOYEE SOLUTIONS, INC ........................ 14
1,200 o ENGINEERING ANIMATION, INC ..................... 65
300 o ENVOY CORP ..................................... 17
9,300 EQUIFAX, INC ................................... 318
300 o EXCITE, INC .................................... 13
700 o FACTSET RESEARCH SYSTEMS, INC .................. 43
1,500 FAIR ISSAC & CO, INC ........................... 69
1,100 o FILENET CORP ................................... 13
42,506 FIRST DATA CORP ................................ 1,347
50 o FISERV, INC .................................... 3
500 o FORE SYSTEMS, INC .............................. 9
3,460 o FORTE SOFTWARE, INC ............................ 20
1,000 o GENESYS TELECOMMUNICATIONS LABORATORIES, INC ... 22
1,400 o GEOTEL COMMUNICATIONS CORP ..................... 52
800 GERBER SCIENTIFIC, INC ......................... 19
1,100 o GETTY IMAGES, INC .............................. 19
2,200 o GT INTERACTIVE SOFTWARE CORP ................... 11
43,225 HBO & CO ....................................... 1,240
2,000 o HEALTH MANAGEMENT SYSTEMS, INC ................. 16
2,200 o HNC SOFTWARE ................................... 89
30 o HYPERION SOLUTIONS CORP ........................ 1
5,930 o IMATION CORP ................................... 104
1,900 o IMRGLOBAL CORP ................................. 56
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
8,000 IMS HEALTH, INC ................................ $ 604
2,700 o INDUS INTERNATIONAL, INC ....................... 19
2,000 o INDUSTRI-MATEMATIK INTERNATIONAL CORP .......... 10
25,200 o INFORMIX CORP .................................. 249
1,100 o INFOUSA, INC (CLASS A) ......................... 5
1,500 o INFOUSA, INC (CLASS B) ......................... 8
1,500 o INPRISE CORP ................................... 8
450 o INSPIRE INSURANCE SOLUTIONS, INC ............... 8
3,000 o INTERGRAPH CORP ................................ 17
3,100 o INTERNATIONAL NETWORK SERVICES ................. 206
1,900 o INTERNATIONAL TELECOMMUNICATIONS ............... 28
2,100 INTERPOOL, INC ................................. 35
4,502 INTERPUBLIC GROUP OF COS, INC .................. 359
6,200 o J.D. EDWARDS & CO .............................. 176
200 JACK HENRY & ASSOCIATES, INC ................... 10
1,200 o JDA SOFTWARE GROUP, INC ........................ 12
7,300 o KEANE, INC ..................................... 292
2,300 KELLY SERVICES, INC (CLASS A) .................. 73
1,600 o LABOR READY, INC ............................... 32
150 o LAMAR ADVERTISING CO (CLASS A) ................. 6
10,180 o LEARNING CO, INC ............................... 264
900 o LEASING SOLUTIONS, INC ......................... 4
3,400 o MACROMEDIA, INC ................................ 115
13,300 MANPOWER, INC .................................. 335
1,000 o MANUGISTICS GROUP, INC ......................... 13
2,200 o MAPICS, INC .................................... 36
1,800 o MASTECH CORP ................................... 52
700 MCGRATH RENTCORP ............................... 15
3,800 o MEDQUIST, INC .................................. 150
9,300 o MENTOR GRAPHICS CORP ........................... 79
1,900 o MERCURY INTERACTIVE CORP ....................... 120
4,750 o METAMOR WORLDWIDE, INC ......................... 119
800 o METRO INFORMATION SERVICES, INC ................ 24
660 o MICRO FOCUS GROUP PLC ADR ...................... 6
1,100 o MICROMUSE, INC ................................. 21
120,529 o MICROSOFT CORP ................................. 16,716
300 o MINDSPRING ENTERPRISES, INC .................... 18
883 o MODIS PROFESSIONAL SERVICES .................... 13
1,300 NATIONAL DATA CORP ............................. 63
700 o NCO GROUP, INC ................................. 32
7,300 o NETMANAGE, INC ................................. 13
13 o NETSCAPE COMMUNICATIONS CORP ................... 1
2,200 o NETWORK APPLIANCE, INC ......................... 99
500 o NETWORK SOLUTIONS, INC (CLASS A) ............... 65
3,199 o NETWORKS ASSOCIATES, INC ....................... 212
9,200 NIELSEN MEDIA RESEARCH ......................... 166
600 NORRELL CORP ................................... 9
100 o NOVA CORP (GEORGIA) ............................ 3
4,200 o NOVACARE EMPLOYEE SERVICES, INC ................ 23
37,900 o NOVELL, INC .................................... 687
1,600 o OBJECTIVE SYSTEMS INTEGRATORS, INC ............. 7
9,814 OLSTEN CORP .................................... 72
11,000 OMNICOM GROUP, INC ............................. 638
500 o ON ASSIGNMENT, INC ............................. 17
59,275 o ORACLE CORP .................................... 2,556
32,210 o PARAMETRIC TECHNOLOGY CORP ..................... 523
17,300 PAYCHEX, INC ................................... 890
2,600 o PAYMENTECH, INC ................................ 48
1,700 o PEGASUS SYSTEMS, INC ........................... 61
700 o PEGASYSTEMS, INC ............................... 3
200 o PEOPLESOFT, INC ................................ 4
400 o PEREGRINE SYSTEMS, INC ......................... 19
2,600 o PERSONNEL GROUP OF AMERICA, INC ................ 46
4,200 o PHYSICIAN COMPUTER NETWORK, INC ................ 0
13,000 (#)o PLATINUM TECHNOLOGY, INC ....................... 249
6,000 o POLICY MANAGEMENT SYSTEMS CORP ................. 303
</TABLE>
See notes to financial statements.
11
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
BUSINESS SERVICES--(Continued)
2,750 o PROGRESS SOFTWARE CORP .......................... $ 93
900 o PROJECT SOFTWARE & DEVELOPMENT, INC ............ 30
800 o QRS CORP ....................................... 38
2,200 o QUADRAMED CORP ................................. 45
8,383 o RATIONAL SOFTWARE CORP ......................... 222
100 o REALNETWORKS, INC .............................. 4
1,300 o REMEDY CORP .................................... 18
2,700 o RENT WAY, INC .................................. 66
1,900 o RENTERS CHOICE, INC ............................ 60
14,700 o ROBERT HALF INTERNATIONAL, INC ................. 657
2,000 ROLLINS, INC ................................... 35
5,100 o ROMAC INTERNATIONAL, INC ....................... 113
4,400 o SABRE GROUP HOLDINGS, INC ...................... 196
2,000 o SAFETY-KLEEN CORP .............................. 28
200 o SAPIENT CORP ................................... 11
2,100 SEI INVESTMENT CO .............................. 209
1,100 SHARED MEDICAL SYSTEMS CORP .................... 55
9,292 o SIEBEL SYSTEMS, INC ............................ 315
4,700 o SITEL CORP ..................................... 11
7,700 o SNYDER COMMUNICATIONS, INC ..................... 260
700 o SOFTWARE AG. SYSTEMS, INC ...................... 13
2,300 o STAFFMARK, INC ................................. 51
10,800 o STERLING SOFTWARE, INC ......................... 292
5,100 o STRUCTURAL DYNAMICS RESEARCH CORP .............. 101
21,200 o SUN MICROSYSTEMS, INC .......................... 1,815
7,500 o SYBASE, INC .................................... 56
2,600 o SYKES ENTERPRISES, INC ......................... 79
800 o SYNTEL, INC .................................... 9
4,500 o SYSTEMSOFT CORP ................................ 1
3,000 o TCSI CORP ...................................... 6
75 o TECHNOLOGY SOLUTIONS CO ........................ 1
2,000 o TELETECH HOLDINGS, INC ......................... 21
2,000 o TMP WORLDWIDE, INC ............................. 84
6,000 TRUE NORTH COMMUNICATIONS, INC ................. 161
4,570 o UNITED RENTALS, INC ............................ 151
10,000 o USWEB CORP ..................................... 264
6,000 o VALASSIS COMMUNICATIONS, INC ................... 310
800 o VANSTAR CORP ................................... 7
4,300 o VANTIVE CORP ................................... 34
500 o VERISIGN, INC .................................. 30
75 o VERITAS SOFTWARE CORP .......................... 4
1,200 o VIASOFT, INC ................................... 8
1,300 o VINCAM GROUP, INC .............................. 23
300 o VOLT INFORMATION SCIENCES, INC ................. 7
3,800 o WANG LABORATORIES, INC ......................... 105
2,500 o WEST TELESERVICES CORP ......................... 24
1,150 o WIND RIVER SYSTEMS, INC ........................ 54
4,800 o YAHOO, INC ..................................... 1,137
2,700 o YOUNG & RUBICAM, INC ........................... 87
------
54,605
------
CHEMICALS AND ALLIED PRODUCTS--13.02%
108,900 ABBOTT LABORATORIES CO ......................... 5,336
3,400 o ADVANCED TISSUE SCIENCE CO ..................... 9
25,100 AIR PRODUCTS & CHEMICALS, INC .................. 1,004
2,500 ALBEMARLE CORP ................................. 59
5,700 ALBERTO CULVER CO (CLASS B) .................... 152
995 o ALLERGAN SPECIALTY THERAPEUTICS, INC (CLASS A) . 9
6,900 ALLERGAN, INC .................................. 447
2,300 o ALLIANCE PHARMACEUTICAL CORP ................... 8
2,400 ALPHARMA, INC (CLASS A) ........................ 85
81,700 AMERICAN HOME PRODUCTS CORP .................... 4,601
20,720 o AMGEN, INC ..................................... 2,167
10,200 o AMYLIN PHARMACEUTICALS, INC .................... 5
1,200 o APHTON CORP .................................... 15
100 o AVIRON, INC .................................... 3
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
8,300 AVON PRODUCTS, INC ............................. $ 367
2,100 o AXYS PHARMACEUTICALS, INC ...................... 12
1,400 o BARR LABORATORIES, INC ......................... 67
2,000 o BIO-TECHNOLOGY GENERAL CORP .................... 14
9,400 o BIOGEN, INC .................................... 780
1,300 BLOCK DRUG, INC (CLASS A) ...................... 56
65,700 BRISTOL MYERS SQUIBB CO ........................ 8,791
400 CAMBREX CORP ................................... 10
1,300 o CARBIDE/GRAPHITE GROUP, INC .................... 19
3,700 CARTER WALLACE, INC ............................ 73
1,000 o CELL GENESYS, INC .............................. 6
300 o CENTOCOR, INC .................................. 14
2,600 o CEPHALON, INC .................................. 23
1,500 o CHATTEM, INC ................................... 72
340 o CHIRON CORP .................................... 9
6,200 CLOROX CO ...................................... 724
16,000 COLGATE PALMOLIVE CO ........................... 1,486
4,600 o COLUMBIA LABORATORIES, INC ..................... 14
200 o COR THERAPEUTICS, INC .......................... 3
1,500 o COULTER PHARMACEUTICAL, INC .................... 45
800 o CREATIVE BIOMOLECULES, INC ..................... 3
60 o CRESCENDO PHARMACEUTICALS CORP ................. 1
12,300 o CROMPTON & KNOWLES CORP ........................ 254
3,100 DEXTER CORP .................................... 97
1,700 DIAGNOSTIC PRODUCTS CORP ....................... 53
600 DIAL CORP ...................................... 17
10,900 DOW CHEMICAL CO ................................ 991
69,669 DU PONT (E.I.) DE NEMOURS & CO ................. 3,697
2,500 ECOLAB, INC .................................... 90
500 o EMISPHERE TECHNOLOGIES, INC .................... 8
6,150 FERRO CORP ..................................... 160
4,600 o FMC CORP ....................................... 258
1,500 o FUISZ TECHNOLOGIES LTD ......................... 19
11 FULLER (H.B.) CO ............................... 1
11,900 o GENSIA SICOR, INC .............................. 54
160 o GENZYME CORP (TISSUE REPAIR DIVISION) .......... 0
86 o GENZYME-MOLECULAR ONCOLOGY ..................... 0
3,300 GEON CO ........................................ 76
4,300 GEORGIA GULF CORP .............................. 69
200 o GILEAD SCIENCES, INC ........................... 8
12,400 o GRACE W.R. & CO ................................ 195
2,400 o GUILFORD PHARMACEUTICALS, INC .................. 34
7,550 HANNA (M.A.) CO ................................ 93
16,300 HERCULES, INC .................................. 446
3,700 o HUMAN GENOME SCIENCES, INC ..................... 132
51 ICN PHARMACEUTICALS, INC ....................... 1
5,900 o ICOS CORP ...................................... 176
2,900 o IDEC PHARMACEUTICALS CORP ...................... 136
1,680 IMC GLOBAL, INC ................................ 36
666 o IMC GLOBAL, INC WTS 12/22/00 ................... 0
700 o IMCLONE SYSTEMS, INC ........................... 6
3,800 o IMMUNE RESPONSE CORP ........................... 41
2,900 o IMMUNEX CORP ................................... 365
2,100 o INTERNATIONAL SPECIALTY PRODUCTS, INC .......... 28
3,000 o INTERNEURON PHARMACEUTICALS, INC ............... 10
4,000 o ISIS PHARMACEUTICALS, INC ...................... 52
16,000 o IVAX CORP ...................................... 199
88,302 JOHNSON & JOHNSON CO ........................... 7,406
100 JONES PHARMACEUTICAL, INC ...................... 4
2,200 o KV PHARMACEUTICAL CO (CLASS B) ................. 46
5,900 LAUDER (ESTEE) CO (CLASS A) .................... 504
3,400 LAWTER INTERNATIONAL, INC ...................... 40
1,500 LEARONAL, INC .................................. 51
63,292 LILLY (ELI) & CO ............................... 5,625
3,700 LILLY INDUSTRIES, INC (CLASS A) ................ 74
6,400 o LIPOSOME CO, INC ............................... 99
</TABLE>
See notes to financial statements.
12
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
CHEMICALS AND ALLIED PRODUCTS--(Continued)
9,200 LUBRIZOL CORP .................................. $ 236
800 o MACROCHEM CORP (DELAWARE) ...................... 7
12,000 MALLINCKRODT, INC .............................. 370
5,300 o MATRIX PHARMACEUTICALS, INC .................... 14
700 o MCWHORTER TECHNOLOGIES, INC .................... 16
3,100 o MEDICIS PHARMACEUTICAL CORP (CLASS A) .......... 185
3,900 o MEDIMMUNE, INC ................................. 388
77,700 MERCK & CO, INC ................................ 11,475
13,100 MILLENNIUM CHEMICAL, INC ....................... 260
2,500 o MILLENNIUM PHARMACEUTICALS, INC ................ 65
500 MINERALS TECHNOLOGIES, INC ..................... 20
1,400 o MIRAVANT MEDICAL TECHNOLOGY .................... 18
3,100 MISSISSIPPI CHEMICAL CORP ...................... 43
33,800 MONSANTO CO .................................... 1,606
20,100 MORTON INTERNATIONAL, INC ...................... 492
21,300 MYLAN LABORATORIES, INC ........................ 671
1,800 o NABI, INC ...................................... 5
6,700 NALCO CHEMICAL CORP ............................ 208
2,800 NATURES SUNSHINE PRODUCTS, INC ................. 43
1,000 o NEOPROBE CORP .................................. 1
1,700 o NEUROGEN CORP .................................. 30
3,400 o NEXSTAR PHARMACEUTICALS, INC ................... 31
875 o OCTEL CORP ..................................... 12
7,600 OLIN CORP ...................................... 215
25 o ORGANOGENESIS, INC ............................. 0
9,100 o PERRIGO CO ..................................... 80
84,500 PFIZER, INC .................................... 10,599
27,680 PHARMACIA & UPJOHN, INC ........................ 1,567
1,100 o PHARMACYCLICS, INC ............................. 28
11,800 PPG INDUSTRIES, INC ............................ 687
22,000 PRAXAIR, INC ................................... 776
93,400 PROCTER & GAMBLE CO ............................ 8,529
3,100 o PROTEIN DESIGN LABORATORIES, INC ............... 72
2,200 o REGENERON PHARMACEUTICALS, INC ................. 16
1,100 o REVLON, INC (CLASS A) .......................... 18
4,400 o ROBERTS PHARMACEUTICAL CORP .................... 96
18,700 ROHM & HAAS CO ................................. 563
31 RPM, INC ....................................... 0
100,000 SCHERING-PLOUGH CORP ........................... 5,525
5,800 SCHULMAN (A.), INC ............................. 132
700 o SEQUUS PHARMACEUTICALS, INC .................... 14
8,500 SHERWIN-WILLIAMS CO ............................ 250
7,400 SIGMA ALDRICH CORP ............................. 217
1,100 STEPAN CO ...................................... 29
400 o SUGEN, INC ..................................... 6
500 o TECHNE CORP .................................... 11
4,200 o THERAGENICS CORP ............................... 71
1,200 o THERMOLASE CORP ................................ 5
2,800 o TRIANGLE PHARMACEUTICALS, INC .................. 38
600 o TWINLAB CORP ................................... 8
1,500 o U.S. BIOSCIENCE, INC ........................... 11
600 o U.S.A. DETERGENTS, INC ......................... 4
400 UNION CARBIDE CORP ............................. 17
2,000 o VICAL, INC ..................................... 28
58,800 WARNER-LAMBERT CO .............................. 4,421
4,700 o WATSON PHARMACEUTICALS, INC .................... 296
600 WELLMAN, INC ................................... 6
6,000 o ZILA, INC ...................................... 59
------
98,730
------
COAL MINING--0.00%
800 ARCH COAL, INC ................................. 14
------
COMMUNICATIONS--10.78%
700 o ENTERTAINMENT, INC ............................. 5
3,100 o ADELPHIA COMMUNICATIONS CORP (CLASS A) ......... 142
38,000 o AIRTOUCH COMMUNICATIONS, INC ................... 2,741
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
100 o ALCATEL S.A. ADR ............................... $ 2
5,400 ALIANT COMMUNICATIONS, INC ..................... 221
17,546 ALLTEL CORP .................................... 1,049
71,000 AMERITECH CORP ................................. 4,500
4,600 o ARCH COMMUNICATIONS GROUP, INC ................. 7
4,922 o ASCENT ENTERTAINMENT GROUP, INC ................ 36
1,200 o ASSOCIATED GROUP, INC (CLASS A) ................ 52
123,071 AT & T CORP .................................... 9,261
111,210 BELL ATLANTIC CORP ............................. 5,894
140,000 BELLSOUTH CORP ................................. 6,983
14,700 o CABLEVISION SYSTEMS CORP (CLASS A) ............. 738
5,200 o CAPSTAR BROADCASTING CORP (CLASS A) ............ 119
45,106 CBS CORP ....................................... 1,477
2,300 o CD RADIO, INC .................................. 79
150 o CELLULAR COMMUNICATIONS INTERNATIONAL , INC .... 10
1,100 o CELLULAR COMMUNICATIONS OF PUERTO RICO ......... 20
2,500 o CENTENNIAL CELLULAR CORP (CLASS A) ............. 103
300 o CENTURY COMMUNICATIONS CORP (CLASS A) .......... 10
4,050 CENTURY TELEPHONE ENTERPRISES, INC ............. 273
48 o CHRIS CRAFT INDUSTRIES, INC .................... 2
17,900 CINCINNATI BELL, INC ........................... 677
5,240 o CLEAR CHANNEL COMMUNICATIONS, INC .............. 286
25,389 COMCAST CORP (CLASS A) SPECIAL ................. 1,490
200 COMSAT CORP SERIES 1 .......................... 7
1,400 o COX RADIO, INC (CLASS A) ....................... 59
1,200 o EMMIS COMMUNICATIONS (CLASS A) ................. 52
2,100 o EXODUS COMMUNICATIONS, INC ..................... 135
600 FRONTIER CORP .................................. 20
154 GAYLORD ENTERTAINMENT CO ....................... 5
5,900 o GENERAL COMMUNICATION (CLASS A) ................ 24
200 o GLOBAL TELESYSTEMS GROUP, INC .................. 11
70,600 GTE CORP ....................................... 4,589
9,100 o HEARST-ARGYLE TELEVISION, INC .................. 300
6,400 o HEFTEL BROADCASTING CORP (CLASS A) ............. 315
3,300 o HIGHWAYMASTER COMMUNICATIONS, INC .............. 4
7,400 o ICG COMMUNICATIONS, INC ........................ 159
1,800 o IDT CORP ....................................... 28
200 o IXC COMMUNICATIONS, INC ........................ 7
1,400 o JACOR COMMUNICATIONS, INC WTS 09/18/01 ......... 11
2,000 o JONES INTERCABLE, INC (CLASS A) ................ 71
2,550 o LEAP WIRELESS INTERNATIONAL, INC ............... 18
28,000 o LEVEL 3 COMMUNICATIONS, INC .................... 1,208
14,100 o LIBERTY MEDIA GROUP (CLASS A) .................. 649
85,482 LUCENT TECHNOLOGIES, INC ....................... 9,403
118,983 o MCI WORLDCOM, INC .............................. 8,537
2,300 o MCLEODUSA, INC (CLASS A) ....................... 72
32,700 o MEDIA ONE GROUP, INC ........................... 1,537
1,500 o METROCALL, INC ................................. 7
8,700 o NEXTLINK COMMUNICATIONS, INC ................... 247
1,000 NORTH PITTSBURGH SYSTEMS, INC .................. 13
6,800 o NTL, INC ....................................... 384
5,000 o PAGEMART WIRELESS, INC (CLASS A) ............... 28
13,900 o PAGING NETWORK, INC ............................ 65
69 o PANAMSAT CORP .................................. 3
700 o PEGASUS COMMUNICATIONS CORP .................... 18
1,000 o POWERTEL, INC .................................. 14
5,600 o PREMIERE TECHNOLOGIES, INC ..................... 41
323 o QWEST COMMUNICATIONS INTERNATIONAL , INC ....... 16
1,000 o RCN CORP ....................................... 18
130,196 SBC COMMUNICATIONS, INC ........................ 6,982
9,400 o SKYTEL COMMUNICATIONS, INC ..................... 208
2,400 o SMARTALK TELESERVICES, INC ..................... 6
18,600 SPRINT CORP (FON GROUP) ........................ 1,565
28,950 o SPRINT CORP (PCS GROUP) ........................ 669
3,000 TCA CABLE TV, INC .............................. 107
12,380 o TCI SATELLITE ENTERTAINMENT (CLASS A) .......... 18
</TABLE>
See notes to financial statements.
13
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
COMMUNICATIONS--(Continued)
28,766 o TELE-COMMUNICATIONS, INC (CLASS A) ............. $ 1,591
42,468 o TELECOM-TCI VENTURES GROUP (CLASS A) ........... 1,001
4,602 o TELEGLOBE, INC (U.S.A.) ........................ 166
78 TELEPHONE & DATA SYSTEMS, INC .................. 4
5,800 o U.S. SATELLITE BROADCASTING, INC (CLASS A) ..... 80
39,711 U.S. WEST, INC ................................. 2,566
8,150 o U.S.A. NETWORKS, INC ........................... 270
6,800 o UNITED INTERNATIONAL HOLDINGS, INC ............. 131
500 UNITED TELEVISION, INC ......................... 58
3,500 o UNIVISION COMMUNICATIONS, INC .................. 127
600 o USN COMMUNICATIONS, INC ........................ 0
3,700 o VIACOM, INC (CLASS A) .......................... 272
18,300 o VIACOM, INC (CLASS B) .......................... 1,354
12,700 o WESTERN WIRELESS CORP (CLASS A) ................ 279
100 o YOUNG BROADCASTING, INC (CLASS A) .............. 4
------
81,710
------
DEPOSITORY INSTITUTIONS--8.37%
500 ALABAMA NATIONAL BANCORP ....................... 13
6,675 AMSOUTH BANCORP ................................ 305
2,800 ANCHOR BANCORP WISCONSIN, INC .................. 67
10,540 ASSOCIATED BANC-CORP ........................... 360
8,845 ASTORIA FINANCIAL CORP ......................... 405
1,000 BANCFIRST OHIO CORP ............................ 30
7,500 BANCORPSOUTH, INC .............................. 135
3,600 BANCWEST CORP .................................. 173
41,900 BANK OF NEW YORK CO, INC ....................... 1,686
86,533 BANK ONE CORP .................................. 4,419
4,700 BANK UNITED CORP (CLASS A) ..................... 184
110,895 BANKAMERICA CORP ............................... 6,668
800 BANKATLANTIC BANCORP, INC (CLASS B) ............ 6
19,670 BANKBOSTON CORP ................................ 766
5,445 BANKERS TRUST CORP ............................. 465
2,500 BANKNORTH GROUP, INC ........................... 94
15,448 BB&T CORP ...................................... 623
300 o BOK FINANCIAL CORP ............................. 14
1,900 BRENTON BANKS, INC ............................. 32
700 BROOKLINE BANCORP, INC ......................... 8
600 BSB BANCORP, INC ............................... 20
1,500 BT FINANCIAL CORP .............................. 41
800 CATHAY BANCORP, INC ............................ 33
3,200 CCB FINANCIAL CORP ............................. 182
1,500 o CENTENNIAL BANCORP ............................. 28
100 CENTURA BANKS, INC ............................. 7
8,422 CHARTER ONE FINANCIAL, INC ..................... 234
62,240 CHASE MANHATTAN CORP ........................... 4,236
500 CHEMICAL FINANCIAL CORP ........................ 17
2,400 CHITTENDEN CORP ................................ 77
500 CITY HOLDINGS CO ............................... 16
4,900 CITY NATIONAL CORP ............................. 204
15,500 COMERICA, INC .................................. 1,057
3,238 COMMERCE BANCSHARES, INC ....................... 138
50 COMMERCIAL FEDERAL CORP ........................ 1
700 COMMUNITY BANK SYSTEM, INC ..................... 21
1,500 COMMUNITY FIRST BANKSHARES, INC ................ 32
1,400 COMMUNITY TRUST BANCORP, INC ................... 33
11,600 COMPASS BANCSHARES, INC ........................ 442
362 o CONCORD EFS, INC ............................... 15
1,100 CORUS BANKSHARES, INC .......................... 35
2,461 CRESTAR FINANCIAL CORP ......................... 177
4,400 CULLEN FROST BANKERS, INC ...................... 241
700 D & N FINANCIAL CORP ........................... 17
18,900 DIME BANCORP, INC .............................. 500
2,000 DIME COMMUNITY BANCORP, INC .................... 41
3,130 DOWNEY FINANCIAL CORP .......................... 80
1,500 F & M BANCORP, INC (WISCONSIN) ................. 45
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
1,000 F & M NATIONAL CORP ............................ $ 30
2,000 F.N.B. CORP .................................... 57
600 FARMERS CAPITAL BANK CORP ...................... 23
12,250 FIFTH THIRD BANCORP ............................ 874
15,532 FIRST AMERICAN CORP ............................ 689
4,100 FIRST BANCORP (PUERTO RICO) .................... 124
1,700 FIRST CHARTER CORP ............................. 29
500 FIRST COMMERCE BANCSHARES, INC ................. 14
101 o FIRST FINANCIAL BANCORP ........................ 3
1,500 FIRST INDIANA CORP ............................. 30
200 FIRST LIBERTY FINANCIAL CORP ................... 4
300 o FIRST REPUBLIC BANK ............................ 8
3,200 FIRST SECURITY CORP ............................ 75
400 FIRST SENTINEL BANCORP, INC .................... 3
16,000 FIRST TENNESSEE NATIONAL CORP .................. 609
67,313 FIRST UNION CORP ............................... 4,093
200 FIRST VIRGINIA BANKS, INC ...................... 9
1,900 FIRST WASHINGTON BANCORP, INC .................. 46
300 FIRST WESTERN BANCORP, INC ..................... 10
9,440 FIRSTAR CORP ................................... 880
2,200 FIRSTMERIT CORP ................................ 59
900 FLAGSTAR BANCORP, INC .......................... 24
46,834 FLEET FINANCIAL GROUP, INC ..................... 2,093
300 o FRONTIER FINANCIAL CORP ........................ 14
10,527 FULTON FINANCIAL CORP .......................... 237
1,600 GBC BANCORP .................................... 41
3,400 o GOLDEN STATE BANCORP, INC WTS 01/01/01 ......... 16
3,800 GOLDEN WEST FINANCIAL CORP ..................... 348
1,500 GRAND PREMIER FINANCIAL, INC ................... 18
13,100 GREENPOINT FINANCIAL CORP ...................... 460
1,200 o HAMILTON BANCORP, INC .......................... 32
1,500 HANCOCK HOLDINGS CO ............................ 68
1,200 HARRIS FINANCIAL, INC .......................... 16
25,822 HIBERNIA CORP (CLASS A) ........................ 449
800 HORIZON BANCORP, INC ........................... 27
6,402 HUBCO, INC ..................................... 193
16,430 HUNTINGTON BANCSHARES, INC ..................... 494
600 INDEPENDENCE COMMUNITY BANK CORP ............... 10
450 INTERWEST BANCORP, INC ......................... 10
1,900 IRWIN FINANCIAL CORP ........................... 52
1,100 JSB FINANCIAL, INC ............................. 60
42,160 KEYCORP ........................................ 1,349
6,150 KEYSTONE FINANCIAL, INC ........................ 228
98 M & T BANK CORP ................................ 51
75 MAF BANCORP, INC ............................... 2
5,759 MARSHALL & ILSLEY CORP ......................... 337
59,155 MBNA CORP ...................................... 1,475
12,100 MELLON BANK CORP ............................... 832
12,791 MERCANTILE BANCORP, INC ........................ 590
11,955 MERCANTILE BANKSHARES CORP ..................... 460
300 MERCHANTS NEW YORK BANCORP, INC ................ 11
600 MID-AMERICA BANCORP ............................ 16
8,300 MORGAN (J.P.) & CO, INC ........................ 872
2,500 NATIONAL BANCORP OF ALASKA, INC ................ 84
26,624 NATIONAL CITY CORP ............................. 1,930
19,048 NORTH FORK BANCORP, INC ........................ 456
2,200 NORTHERN TRUST CORP ............................ 192
1,000 OCEAN FINANCIAL CORP ........................... 17
5,991 OLD KENT FINANCIAL CORP ........................ 279
4,067 OLD NATIONAL BANCORP ........................... 227
5,293 ONE VALLEY BANCORP, INC ........................ 174
2,300 PACIFIC CAPITAL BANCORP ........................ 59
13,100 PACIFIC CENTURY FINANCIAL CORP ................. 319
6,000 PEOPLES BANCORP, INC ........................... 65
68 PEOPLES HERITAGE FINANCIAL GROUP, INC .......... 1
1,700 o PFF BANCORP, INC ............................... 27
</TABLE>
See notes to financial statements.
14
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
DEPOSITORY INSTITUTIONS--(Continued)
27,050 PNC BANK CORP .................................. $ 1,464
1,190 POPULAR, INC ................................... 40
1,000 PROVIDENT BANKSHARES CORP ...................... 25
13,900 PROVIDIAN FINANCIAL CORP ....................... 1,043
950 QUEENS COUNTY BANCORP, INC ..................... 28
10,758 REGIONS FINANCIAL CORP ......................... 434
600 RELIANCE BANCORP, INC .......................... 17
3,200 REPUBLIC BANCORP, INC .......................... 44
4,500 REPUBLIC NEW YORK CORP ......................... 205
1,300 REPUBLIC SECURITY FINANCIAL CORP ............... 16
3,300 RICHMOND COUNTY FINANCIAL CORP ................. 53
3,200 RIGGS NATIONAL CORP ............................ 65
7,100 ROSLYN BANCORP, INC ............................ 153
800 SANDY SPRING BANCORP, INC ...................... 24
3,100 o SILICON VALLEY BANCSHARES ...................... 53
13,150 SOUTHTRUST CORP ................................ 486
300 o SOUTHWEST BANCORP OF TEXAS, INC ................ 5
1,340 SOVEREIGN BANCORP, INC ......................... 19
75 ST. PAUL BANCORP, INC .......................... 2
5,600 STATE STREET CORP .............................. 390
100 STATEN ISLAND BANCORP, INC ..................... 2
2,800 STERLING BANCSHARES, INC ....................... 42
500 STERLING FINANCIAL CORP ........................ 21
19,567 SUMMIT BANCORP ................................. 855
17,300 SUNTRUST BANKS, INC ............................ 1,323
50 SUSQUEHANNA BANCSHARES, INC .................... 1
200 SYNOVUS FINANCIAL CORP ......................... 5
9,400 TCF FINANCIAL CORP ............................. 227
800 TEXAS REGIONAL BANCSHARES, INC (CLASS A) ....... 20
700 TR FINANCIAL CORP .............................. 28
2,100 TRUST CO OF NEW JERSEY ......................... 51
7,600 TRUSTMARK CORP ................................. 172
43,336 U.S. BANCORP ................................... 1,538
3,100 U.S. TRUST CORP ................................ 236
10,959 UNION PLANTERS CORP ............................ 497
5,400 UNIONBANCAL CORP ............................... 184
6,500 UST CORP ....................................... 153
8,198 VALLEY NATIONAL BANCORP ........................ 231
9,836 WACHOVIA CORP .................................. 860
6,993 WASHINGTON FEDERAL, INC ........................ 187
29,708 WASHINGTON MUTUAL, INC ......................... 1,134
700 WASHINGTON TRUST BANCORP, INC .................. 15
101,440 WELLS FARGO CO ................................. 4,051
300 WESBANCO, INC .................................. 9
1,500 WEST COAST BANCORP (OREGON) .................... 32
300 WESTAMERICA BANCORP ............................ 11
2,900 WESTERN BANCORP ................................ 85
1,000 WESTERNBANK PUERTO RICO ........................ 16
3,000 WHITNEY HOLDINGS CORP .......................... 113
------
63,472
------
EATING AND DRINKING PLACES--0.87%
2,700 APPLEBEES INTERNATIONAL, INC ................... 56
2,100 AVADO BRANDS, INC .............................. 17
6,200 BOB EVANS FARMS, INC ........................... 162
8,300 (X)o BOSTON CHICKEN, INC ............................ 3
11,000 o BRINKER INTERNATIONAL, INC ..................... 318
6,800 o BUFFETS, INC ................................... 81
2,900 o CEC ENTERTAINMENT, INC ......................... 80
3,403 CKE RESTAURANTS, INC ........................... 100
100 CRACKER BARREL OLD COUNTRY STORE, INC .......... 2
22,700 DARDEN RESTAURANTS, INC ........................ 409
2,100 o DAVE & BUSTERS, INC ............................ 48
5,600 o FOODMAKER, INC ................................. 124
27,000 HOST MARRIOTT CORP (NEW) ....................... 373
3,060 o HOST MARRIOTT SERVICES CORP .................... 32
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
1,200 o IHOP CORP NEW .................................. $ 48
1,400 o LANDRYS SEAFOOD RESTAURANTS, INC ............... 11
1,800 o LONE STAR STEAKHOUSE & SALOON, INC ............. 17
3,000 LUBYS CAFETERIA, INC ........................... 46
4,200 MARRIOTT INTERNATIONAL (CLASS A) ............... 122
45,300 MCDONALD'S CORP ................................ 3,471
666 MORRISON HEALTH CARE, INC ...................... 13
3,400 o PAPA JOHNS INTERNATIONAL, INC .................. 150
1,900 o PLANET HOLLYWOOD, INC (CLASS A) ................ 4
50 o RAINFOREST CAFE, INC ........................... 0
700 o RARE HOSPITALITY INTERNATIONAL, INC ............ 10
5,200 RUBY TUESDAY, INC .............................. 111
6,300 o RYANS FAMILY STEAK HOUSES, INC ................. 78
2,100 o SODEXHO MARRIOTT SERVICES, INC ................. 58
3,200 o SONIC CORP ..................................... 80
10,740 o TRICON GLOBAL RESTAURANTS, INC ................. 538
60 o U.S. FOODSERVICE, INC .......................... 3
------
6,565
------
EDUCATIONAL SERVICES--0.05%
5,100 o DEVRY, INC ..................................... 156
800 o LEARNING TREE INTERNATIONAL, INC ............... 7
6,150 o SYLVAN LEARNING SYSTEMS, INC ................... 188
------
351
------
ELECTRIC, GAS, AND SANITARY SERVICES--4.27%
9,500 AGL RESOURCES, INC ............................. 219
19,000 ALLEGHENY ENERGY, INC .......................... 656
15,900 o ALLIED WASTE INDUSTRIES, INC ................... 376
17,760 AMEREN CORP .................................... 758
20,900 AMERICAN ELECTRIC POWER CO, INC ................ 984
500 AMERICAN STATES WATER CO ....................... 14
300 AMERICAN WATER WORKS CO, INC ................... 10
8,000 o AQUA ALLIANCE, INC ............................. 17
4,900 ATMOS ENERGY CORP .............................. 158
22,100 BALTIMORE GAS & ELECTRIC CO .................... 682
7,900 BEC ENERGY ..................................... 325
16,300 BROWNING FERRIS INDUSTRIES, INC ................ 464
6,600 o CALENERGY, INC ................................. 229
600 o CALPINE CORP ................................... 15
3,100 CAROLINA POWER & LIGHT CO ...................... 146
700 o CASELLA WASTE SYSTEMS, INC (CLASS A) ........... 26
27,300 CENTRAL & SOUTH WEST CORP ...................... 749
2,800 CENTRAL HUDSON GAS & ELECTRIC CORP ............. 125
100 CILCORP, INC ................................... 6
21,100 CINERGY CORP ................................... 725
80 o CITIZENS UTILITIES CO (CLASS B) ................ 1
26 CMP GROUP, INC ................................. 0
17,800 COASTAL CORP ................................... 622
12,200 COLUMBIA ENERGY GROUP .......................... 705
300 COMMONWEALTH ENERGY SYSTEM CO .................. 12
16,225 CONECTIV, INC .................................. 398
537 CONECTIV, INC (CLASS A) ........................ 21
600 CONNECTICUT ENERGY CORP ........................ 18
13,500 CONSOLIDATED EDISON CO OF N.Y., INC ............ 714
13,300 CONSOLIDATED NATURAL GAS CO .................... 718
600 CTG RESOURCES, INC ............................. 16
5,900 DOMINION RESOURCES, INC ........................ 276
200 DQE, INC ....................................... 9
18,400 DTE ENERGY CO .................................. 789
19,033 DUKE ENERGY CORP ............................... 1,219
5,600 DYNEGY, INC .................................... 61
3,700 EASTERN ENTERPRISES CO ......................... 162
300 o EASTERN ENVIRONMENTAL SERVICES, INC ............ 9
27,500 EDISON INTERNATIONAL CO ........................ 767
5,402 EL PASO ENERGY CORP ............................ 188
3,300 ENERGEN CORP ................................... 64
15,661 ENRON CORP ..................................... 894
</TABLE>
See notes to financial statements.
15
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
ELECTRIC, GAS, AND SANITARY SERVICES--(Continued)
5,300 ENTERGY CORP ................................... $ 165
200 ETOWN CORP ..................................... 9
27,402 FIRSTENERGY CORP ............................... 892
5,200 FLORIDA PROGRESS CORP .......................... 233
8,400 FPL GROUP, INC ................................. 518
17,100 GPU, INC ....................................... 756
5,200 HAWAIIAN ELECTRIC INDUSTRIES, INC .............. 209
17,903 HOUSTON INDUSTRIES, INC ........................ 575
6,100 IDACORP, INC ................................... 221
4,933 INDIANA ENERGY, INC ............................ 121
12,250 INTERSTATE ENERGY CORP ......................... 395
10,000 KANSAS CITY POWER & LIGHT CO ................... 296
2,300 LACLEDE GAS CO ................................. 62
12,600 MCN ENERGY GROUP, INC .......................... 240
6,100 (X)o MOLTEN METAL TECHNOLOGY, INC ................... 0
200 MONTANA POWER CO ............................... 11
6,400 NATIONAL FUEL GAS CO ........................... 289
8,500 NEVADA POWER CO ................................ 221
385 NEW CENTURY ENERGIES, INC ...................... 19
100 o NEWPARK RESOURCES, INC ......................... 1
7,800 NICOR, INC ..................................... 330
5,100 o NORTHEAST UTILITIES CO ......................... 82
23,300 NORTHERN STATES POWER CO ....................... 647
150 NORTHWEST NATURAL GAS CO ....................... 4
2,400 NORTHWESTERN CORP .............................. 63
300 NUI CORP ....................................... 8
8,100 OGDEN CORP ..................................... 203
12,300 OGE ENERGY CORP ................................ 357
2,233 ONEOK, INC ..................................... 81
2,800 ORANGE & ROCKLAND UTILITY, INC ................. 160
200 OTTER TAIL POWER CO ............................ 8
2,900 PACIFICORP ..................................... 61
11,500 PECO ENERGY CO ................................. 479
5,700 PEOPLES ENERGY CORP ............................ 227
27,429 PG&E CORP ...................................... 864
97 PIEDMONT NATURAL GAS CO, INC ................... 4
1,300 PINNACLE WEST CAPITAL CORP ..................... 55
18,800 POTOMAC ELECTRIC POWER CO ...................... 495
23,394 PP&L RESOURCES, INC ............................ 652
15,900 PUBLIC SERVICE ENTERPRISE GROUP, INC ........... 636
7,778 PUGET SOUND ENERGY, INC ........................ 217
13,800 QUESTAR CORP ................................... 267
3,586 o REPUBLIC INDUSTRIES, INC ....................... 53
6,300 ROCHESTER GAS & ELECTRIC CORP .................. 197
4,200 SCANA CORP ..................................... 135
29,918 SEMPRA ENERGY .................................. 759
2,200 SIERRA PACIFIC RESOURCES ....................... 84
700 SONAT, INC ..................................... 19
700 SOUTH JERSEY INDUSTRIES, INC ................... 18
34,700 SOUTHERN CO .................................... 1,008
17,367 TEXAS UTILITIES CO ............................. 811
1,700 TNP ENTERPRISES, INC ........................... 64
5,437 UGI CORP ....................................... 129
13,200 UNICOM CORP .................................... 509
900 o UNISOURCE ENERGY CORP HOLDINGS CO .............. 12
400 UNITED ILLUMINATING CO ......................... 21
8,956 UTILICORP UNITED, INC .......................... 329
4,400 WASHINGTON GAS LIGHT CO ........................ 119
9,300 WASHINGTON WATER POWER CO ...................... 179
36,342 WASTE MANAGEMENT, INC .......................... 1,694
1,700 WESTERN GAS RESOURCES, INC ..................... 10
17,129 WILLIAMS COS, INC .............................. 534
5,700 WISCONSIN ENERGY CORP .......................... 179
400 WPS RESOURCES CORP ............................. 14
700 YANKEE ENERGY SYSTEMS, INC ..................... 20
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
32,377
--------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--7.70%
300 o AAVID THERMAL TECHNOLOGIES, INC ................ $ 5
3,000 o ACTEL CORP ..................................... 60
500 o ADTRAN, INC .................................... 9
1,000 o ADVANCED FIBRE COMMUNICATIONS .................. 11
800 o ADVANCED LIGHTING TECHNOLOGIES, INC ............ 8
14,900 o ADVANCED MICRO DEVICES, INC .................... 431
1,200 AEROQUIP-VICKERS, INC .......................... 36
8 ALLEGHENY TELEDYNE, INC ........................ 0
1,600 o ALLEN TELECOM, INC ............................. 11
5,500 o ALTERA CORP .................................... 335
13,300 o AMERICAN POWER CONVERSION CORP ................. 644
12,560 AMP, INC ....................................... 654
900 o ANADIGICS, INC ................................. 10
11,075 o ANDREW CORP .................................... 183
600 o ANTEC CORP ..................................... 12
800 o APPLIED MAGNETICS CORP ......................... 5
200 o APPLIED MICRO CIRCUITS CORP .................... 7
200 o ARTESYN TECHNOLOGIES, INC ...................... 3
400 o ASPECT TELECOMMUNICATIONS CORP ................. 7
16,300 o ATMEL CORP ..................................... 250
466 BALDOR ELECTRIC CO ............................. 9
1,000 o BENCHMARK ELECTRONICS, INC ..................... 37
2,300 BMC INDUSTRIES, INC ............................ 14
500 o BROADCOM CORP (CLASS A) ........................ 60
150 o BURR BROWN CORP ................................ 4
2,000 C&D TECHNOLOGIES, INC .......................... 55
4,600 o CELLNET DATA SYSTEMS, INC ...................... 23
1,000 o COMMSCOPE, INC ................................. 17
7,275 o COMVERSE TECHNOLOGY, INC ....................... 517
1,235 COOPER INDUSTRIES, INC ......................... 59
1,800 CTS CORP ....................................... 78
14,000 o CYPRESS SEMICONDUCTOR CORP ..................... 116
2,800 o DIGITAL MICROWAVE CORP ......................... 19
700 o DII GROUP, INC ................................. 16
23,600 EMERSON ELECTRIC CO ............................ 1,428
1,900 o ESS TECHNOLOGY ................................. 10
700 o EXCEL SWITCHING CORP ........................... 27
400 EXIDE CORP ..................................... 7
3,900 o GENERAL DATACOMM INDUSTRIES, INC ............... 9
224,000 GENERAL ELECTRIC CO ............................ 22,862
200 o GENERAL INSTRUMENT CORP ........................ 7
3,425 o GENERAL SEMICONDUCTOR, INC ..................... 28
17,200 (X)o GEOTEK COMMUNICATIONS, INC ..................... 0
25 o GLENAYRE TECHNOLOGIES, INC ..................... 0
2,200 o HADCO CORP ..................................... 77
35 HARMAN INTERNATIONAL INDUSTRIES, INC ........... 1
200 HARRIS CORP .................................... 7
1,060 HUBBELL, INC (CLASS B) ......................... 40
400 o INTEGRATED DEVICE TECHNOLOGY, INC .............. 2
115,500 INTEL CORP ..................................... 13,694
500 INTER-TEL, INC ................................. 12
6,700 o INTERDIGITAL COMMUNICATIONS CORP ............... 31
1,400 o ITI TECHNOLOGIES, INC .......................... 43
2,400 o ITRON, INC ..................................... 17
3,400 o JABIL CIRCUIT, INC ............................. 254
100 o KEMET CORP ..................................... 1
7,400 o KOMAG, INC ..................................... 77
500 KUHLMAN CORP ................................... 19
900 o L-3 COMMUNICATIONS HOLDINGS, INC ............... 42
3,700 o LATTICE SEMICONDUCTOR CORP ..................... 170
175 o LEVEL ONE COMMUNICATIONS, INC .................. 6
4,300 LINEAR TECHNOLOGY CO ........................... 385
1,300 o MAGNETEK, INC .................................. 15
7,700 MAYTAG CO ...................................... 479
1,900 o MEMC ELECTRONIC MATERIALS, INC ................. 16
</TABLE>
See notes to financial statements.
16
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
ELECTRONIC & OTHER ELECTRIC EQUIPMENT--(Continued)
5,625 o MICROCHIP TECHNOLOGY, INC ...................... $ 208
6,800 o MICRON TECHNOLOGY, INC ......................... 344
5,000 o MMC NETWORKS, INC .............................. 66
11,237 MOLEX, INC ..................................... 428
900 o MOOG, INC (CLASS A) ............................ 35
46,500 MOTOROLA, INC .................................. 2,839
2,400 o MRV COMMUNICATIONS, INC ........................ 15
1,100 NATIONAL PRESTO INDUSTRIES, INC ................ 47
26,102 o NATIONAL SEMICONDUCTOR CORP .................... 352
6,800 NATIONAL SERVICE INDUSTRIES, INC ............... 258
2,500 o NEOMAGIC CORP .................................. 55
100 o OAK INDUSTRIES, INC ............................ 4
2,700 o OAK TECHNOLOGY, INC ............................ 9
2,800 o P-COM, INC ..................................... 11
900 PARK ELECTROCHEMICAL CORP ...................... 26
2,700 PITTWAY CORP (CLASS A) ......................... 89
2,700 o PLANTRONICS, INC ............................... 232
2,400 o PLEXUS CORP .................................... 81
1,300 o PMC-SIERRA, INC ................................ 82
2,500 o POLYCOM, INC ................................... 56
900 o PREMISYS COMMUNICATIONS, INC ................... 8
10,400 o QUALCOMM, INC .................................. 539
13,000 RAYCHEM CORP ................................... 420
4,100 o RAYOVAC CORP ................................... 109
7,000 o READ RITE CORP ................................. 103
700 o RECOTON CORP ................................... 13
9,500 o RELTEC CORP .................................... 211
3,300 o REMEC, INC ..................................... 59
2,200 o S3, INC ........................................ 16
6,800 o SANMINA CORP ................................... 425
2,000 o SAWTEK, INC .................................... 35
8,500 o SCI SYSTEMS, INC ............................... 491
1,800 o SCM MICROSYSTEMS, INC .......................... 128
2,000 o SEMTECH CORP ................................... 72
7,900 o SENSORMATIC ELECTRONICS CORP ................... 55
4,200 o SMART MODULAR TECHNOLOGIES, INC ................ 117
11,400 o SOLECTRON CORP ................................. 1,059
13,600 SUNBEAM CORP ................................... 95
2,000 TECHNITROL, INC ................................ 64
5,700 o TEKELEC ........................................ 94
1,100 TELEFLEX, INC .................................. 50
17,200 o TELLABS, INC ................................... 1,179
30,700 TEXAS INSTRUMENTS, INC ......................... 2,627
9,499 THOMAS & BETTS CORP ............................ 411
1,900 THOMAS INDUSTRIES, INC ......................... 37
6,300 o UCAR INTERNATIONAL, INC ........................ 112
100 o UNIPHASE CORP .................................. 7
1,800 o VICOR CORP ..................................... 16
1,300 o VISHAY INTERTECHNOLOGY, INC .................... 19
12,000 o VITESSE SEMICONDUCTOR CORP ..................... 548
2,000 o VLSI TECHNOLOGY, INC ........................... 22
3,500 o WESTELL TECHNOLOGIES, INC (CLASS A) ............ 17
5,900 o XILINX, INC .................................... 384
5,600 o XYLAN CORP ..................................... 98
1,300 (X)o ZENITH ELECTRONICS CORP ........................ 0
1,000 o ZOLTEK COS, INC ................................ 9
------
58,357
------
ENGINEERING AND MANAGEMENT SERVICES--0.23%
900 o AHL SERVICES, INC .............................. 28
200 BLOUNT INTERNATIONAL, INC ...................... 5
7,900 o CATALYTICA, INC ................................ 142
600 o DATA TRANSMISSION NETWORK CORP ................. 17
1,100 o DIAMOND TECH PARTNERS, INC (CLASS A) ........... 21
11,200 DUN & BRADSTREET CORP .......................... 354
1,800 o F.Y.I., INC .................................... 58
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
400 o INCYTE PHARMACEUTICALS, INC .................... $ 15
3,600 o JACOBS ENGINEERING GROUP, INC .................. 147
1,000 o MAXIMUS, INC ................................... 37
4,800 o MEDAPHIS CORP .................................. 16
1,300 o META GROUP, INC ................................ 39
1,800 o METZLER GROUP, INC ............................. 88
17,000 o NEUROMEDICAL SYSTEMS, INC ...................... 4
600 o NFO WORLDWIDE, INC ............................. 7
700 o PHARMACEUTICAL PRODUCT DEVELOPMENT ............. 21
400 o PROFIT RECOVERY GROUP INTERNATIONAL ............ 15
9,600 o QUINTILES TRANSNATIONAL CORP ................... 512
200 SERVICEMASTER CO ............................... 4
2,700 o STAFF LEASING, INC ............................. 31
400 STONE & WEBSTER, INC ........................... 13
600 TEJON RANCH CO ................................. 12
75 o TETRA TECH, INC ................................ 2
2,000 o URS CORP ....................................... 47
400 o WACKENHUT CORRECTIONS CORP ..................... 11
4,700 o WHITTMAN HART, INC ............................. 130
------
1,776
------
FABRICATED METAL PRODUCTS--0.89%
1,300 o AMERICAN SAFETY RAZOR CO ....................... 16
610 BALL CORP ...................................... 28
2,000 BARNES GROUP, INC .............................. 58
500 CHART INDUSTRIES, INC .......................... 4
1,600 o COLEMAN CO, INC ................................ 15
3,700 CRANE CO ....................................... 112
1,000 CROWN CORK & SEAL CO, INC ...................... 31
82,578 GILLETTE CO .................................... 3,990
35,700 MASCO CORP ..................................... 1,026
2,500 o MILLER INDUSTRIES, INC ......................... 11
200 o NCI BUILDING SYSTEMS, INC ...................... 6
300 o NORTEK, INC .................................... 8
18,050 PARKER-HANNIFIN CORP ........................... 591
300 PRIMEX TECHNOLOGIES, INC ....................... 13
9,000 ROCKWELL INTERNATIONAL CORP .................... 437
3,900 o ROHN INDUSTRIES, INC ........................... 13
600 o SIMPSON MANUFACTURING CO, INC .................. 22
2,500 SNAP-ON, INC ................................... 87
200 o SPS TECHNOLOGIES, INC .......................... 11
2,700 STRUM, RUGER & CO, INC ......................... 32
7,500 o TOWER AUTOMOTIVE, INC .......................... 187
1,600 VALMONT INDUSTRIES ............................. 22
2,600 WATTS INDUSTRIES, INC (CLASS A) ................ 43
------
6,763
------
FOOD AND KINDRED PRODUCTS--4.06%
1,400 o AGRIBRANDS INTERNATIONAL, INC .................. 42
2,500 o AMERICAN ITALIAN PASTA CO (CLASS A) ............ 66
34,800 ANHEUSER BUSCH COS, INC ........................ 2,284
59,564 ARCHER DANIELS MIDLAND CO ...................... 1,024
1,000 o BERINGER WINE ESTATES HOLDINGS, INC (CLASS B) .. 45
22,400 BESTFOODS, INC ................................. 1,193
2,400 o BOSTON BEER CO, INC (CLASS A) .................. 20
8,300 CAMPBELL SOUP CO ............................... 457
2,300 o CANANDAIGUA BRANDS, INC (CLASS A) .............. 133
1,000 CHIQUITA BRANDS INTERNATIONAL, INC ............. 10
153,300 COCA COLA CO ................................... 10,252
25,100 COCA COLA ENTERPRISES, INC ..................... 897
35,200 CONAGRA, INC ................................... 1,109
400 COORS (ADOLPH) CO (CLASS B) .................... 23
5,975 CORN PRODUCTS INTERNATIONAL, INC ............... 181
6,500 DEAN FOODS CO .................................. 265
7,700 DOLE FOOD, INC ................................. 231
400 DREYERS GRAND ICE CREAM, INC ................... 6
7,016 EARTHGRAINS CO ................................. 217
100 FARMER BROTHERS CO ............................. 21
</TABLE>
See notes to financial statements.
17
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
FOOD AND KINDRED PRODUCTS--(Continued)
750 FLOWERS INDUSTRIES, INC ........................ $ 18
14,607 GENERAL MILLS, INC ............................. 1,136
24,500 HEINZ (H.J.) CO ................................ 1,387
317 HERSHEY FOODS CORP ............................. 20
7,200 HORMEL FOODS CORP .............................. 236
13,500 IBP, INC ....................................... 393
200 IMPERIAL HOLLY CORP ............................ 2
4,000 o INTERNATIONAL HOME FOODS, INC .................. 68
6,900 INTERSTATE BAKERIES CORP ....................... 182
3,100 o KEEBLER FOODS CO ............................... 117
3,800 KELLOGG CO ..................................... 130
5,950 LANCASTER COLONY CORP .......................... 191
300 LANCE, INC ..................................... 6
200 MCCORMICK & CO, INC (NON-VOTE) ................. 7
2,200 MICHAEL FOODS, INC ............................. 66
1,700 NABISCO HOLDINGS CORP (CLASS A) ................ 71
89,500 PEPSICO, INC ................................... 3,664
8,900 QUAKER OATS CO ................................. 530
400 o RALCORP HOLDINGS, INC .......................... 7
28,300 RALSTON PURINA CO .............................. 916
800 RIVIANA FOODS, INC ............................. 20
15,601 RJR NABISCO HOLDINGS CORP ...................... 463
1,200 o ROBERT MONDAVI CORP (CLASS A) .................. 49
56,000 SARA LEE CORP .................................. 1,579
5,400 o SMITHFIELD FOODS, INC .......................... 183
4,400 SMUCKER (J.M.) CO (CLASS A) .................... 109
2,700 o SUIZA FOODS CORP ............................... 138
3,866 TOOTSIE ROLL INDUSTRIES, INC ................... 151
1,200 o TRIARC COS, INC ................................ 19
8,600 UNIVERSAL FOODS CORP ........................... 236
4,180 o VLASIC FOODS INTERNATIONAL, INC ................ 100
300 WHITMAN CORP ................................... 8
200 WORTHINGTON FOODS, INC ......................... 4
1,401 WRIGLEY (WM) JR CO ............................. 125
------
30,807
------
FOOD STORES--0.71%
17,500 ALBERTSONS, INC ................................ 1,115
8,700 AMERICAN STORES CO ............................. 321
39 (X)o BRUNOS, INC .................................... 0
54,500 FOOD LION, INC (CLASS B) ....................... 548
2,800 GREAT ATLANTIC & PACIFIC TEA CO, INC ........... 83
16,800 o KROGER CO ...................................... 1,016
37,404 o SAFEWAY, INC ................................... 2,279
7,000 o SOUTHLAND CORP ................................. 13
------
5,375
------
FORESTRY--0.00%
200 GEORGIA-PACIFIC CORP (TIMBER GROUP) ............ 5
------
FURNITURE AND FIXTURES--0.14%
900 BASSETT FURNITURE INDUSTRIES, INC .............. 22
8,300 HON INDUSTRIES, INC ............................ 199
5,800 KIMBALL INTERNATIONAL, INC (CLASS B) ........... 110
2,400 o KNOLL, INC ..................................... 71
12,100 MILLER (HERMAN), INC ........................... 325
2,000 STEELCASE, INC ................................. 33
16,350 U.S. INDUSTRIES, INC ........................... 305
------
1,065
------
FURNITURE AND HOMEFURNISHINGS STORES--0.26%
16,000 o BED BATH & BEYOND, INC ......................... 546
3,500 o BEST BUY, INC .................................. 215
1,200 o CDNOW, INC ..................................... 22
300 CIRCUIT CITY STORES-CIRCUIT CITY GROUP ......... 15
15,700 o COMPUSA, INC ................................... 205
1,100 HAVERTY FURNITURE COS, INC ..................... 23
1,100 o LINENS N THINGS, INC ........................... 44
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
5,700 o MUSICLAND STORES CORP .......................... $ 85
300 o N2K, INC ....................................... 4
15,400 PIER 1 IMPORTS, INC ............................ 149
15,700 TANDY CORP ..................................... 647
2,550 o TRANS WORLD ENTERTAINMENT CORP ................. 49
------
2,004
------
GENERAL BUILDING CONTRACTORS--0.09%
9,900 CENTEX CORP .................................... 446
600 o CROSSMAN COMMUNITIES, INC ...................... 17
200 HILLENBRAND INDUSTRIES, INC .................... 11
800 KAUFMAN & BROAD HOME CORP ...................... 23
5,000 LENNAR CORP .................................... 126
1,500 o NVR, INC ....................................... 72
200 PULTE CORP ..................................... 6
200 RYLAND GROUP, INC .............................. 6
------
707
------
GENERAL MERCHANDISE STORES--2.21%
3,700 o AMES DEPARTMENT STORES, INC .................... 100
800 o BJS WHOLESALE CLUB, INC ........................ 37
2,400 (X)o CALDOR CORP .................................... 1
8,800 CASEYS GENERAL STORES, INC ..................... 115
800 o COST PLUS, INC ................................. 25
9,100 o COSTCO COS, INC ................................ 657
22,300 DAYTON HUDSON CORP ............................. 1,210
1,200 DILLARDS, INC (CLASS A) ........................ 34
8,550 o DOLLAR TREE STORES, INC ........................ 374
1,700 FAMILY DOLLAR STORES, INC ...................... 37
22,370 o FEDERATED DEPARTMENT STORES, INC ............... 974
5,204 o FRED MEYER, INC ................................ 314
59,600 o K MART CORP .................................... 913
3,500 o KOHLS CORP ..................................... 215
9,400 MAY DEPARTMENT STORES CO ....................... 568
4,600 o NEIMAN-MARCUS GROUP, INC ....................... 115
18,045 PENNEY (J.C.) CO, INC .......................... 846
22,800 o SAKS, INC ...................................... 720
32,900 SEARS ROEBUCK & CO ............................. 1,398
900 o SERVICE MERCHANDISE, INC ....................... 0
4,200 o SHOPKO STORES, INC ............................. 140
98,100 WAL-MART STORES, INC ........................... 7,989
------
16,782
------
HEALTH SERVICES--0.58%
1,100 o ADVANCE PARADIGM, INC .......................... 39
1,800 o AMERICAN HOMEPATIENT, INC ...................... 3
4,600 o AMERICAN ONCOLOGY RESOURCES, INC ............... 67
6,900 o APRIA HEALTHCARE GROUP, INC .................... 62
1,800 o BEVERLY ENTERPRISES, INC ....................... 12
1,600 o CAREMATRIX CORP ................................ 49
1,700 o CENTENNIAL HEALTHCARE CORP ..................... 26
3,850 o CLINTRIALS, INC ................................ 15
27,138 COLUMBIA/HCA HEALTHCARE CORP ................... 672
600 o CONCENTRA MANAGED CARE, INC .................... 6
2,000 o CURATIVE HEALTH SERVICES, INC .................. 67
1,800 o ENZO BIOCHEMICAL, INC .......................... 19
400 o EXPRESS SCRIPTS, INC ........................... 27
1,400 (X)o FPA MEDICAL MANAGEMENT, INC .................... 0
31,717 o HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) NEW .................................. 686
31,660 o HEALTHSOUTH CORP ............................... 489
77 o INTEGRATED HEALTH SERVICES, INC ................ 1
13,752 o LABORATORY CORP OF AMERICA HOLDINGS ............ 19
260 o LABORATORY CORP OF AMERICA HOLDINGS
WTS 04/28/00 ................................... 0
2,463 o LCA-VISION, INC ................................ 3
6,900 o LINCARE HOLDINGS, INC .......................... 280
100 o LTC HEALTHCARE, INC ............................ 0
</TABLE>
See notes to financial statements.
18
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
HEALTH SERVICES--(Continued)
2,400 o MAGELLAN HEALTH SERVICES, INC .................. $ 20
10,130 o MARINER POST-ACUTE NETWORK, INC ................ 46
32,374 o MEDPARTNERS, INC ............................... 170
3,500 o NOVACARE, INC .................................. 9
2,500 o PEDIATRIX MEDICAL GROUP, INC ................... 150
12,800 o PHYCOR, INC .................................... 87
4,600 o PHYSICIAN RELIANCE NETWORK, INC ................ 60
6,600 o PHYSICIANS RESOURCE GROUP, INC ................. 0
1,400 o PROVINCE HEALTHCARE CO ......................... 50
62 o QUEST DIAGNOSTICS, INC ......................... 1
50 o QUORUM HEALTH GROUP, INC ....................... 1
6,650 o RENAL CARE GROUP, INC .......................... 192
1,700 o SUN HEALTHCARE GROUP, INC ...................... 11
35,425 o TENET HEALTHCARE CORP .......................... 930
69 o TOTAL RENAL CARE HOLDINGS, INC ................. 2
2,200 o UNITED PAYORS & UNITED PROVIDERS, INC .......... 63
200 o UNIVERSAL HEALTH SERVICES, INC ................. 10
8,941 o VENCOR, INC .................................... 40
------
4,384
------
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.02%
300 FLUOR CORP ..................................... 13
6,600 FOSTER WHEELER CORP ............................ 87
450 GRANITE CONSTRUCTION, INC ...................... 15
3,500 o INSITUFORM TECHNOLOGIES, INC (CLASS A) ......... 51
1,700 o MORRSION KNUDSEN CORP .......................... 17
------
183
------
HOLDING AND OTHER INVESTMENT OFFICES--1.07%
1,600 ALEXANDRIA REAL ESTATE EQUITIES, INC ........... 50
12,100 AMB PROPERTY CORP .............................. 266
800 AMERICAN HEALTH PROPERTIES, INC ................ 17
2,000 AMLI RESIDENTIAL PROPERTIES TRUST .............. 45
15,472 ARCHSTONE COMMUNITIES TRUST .................... 313
2,100 BEDFORD PROPERTY INVESTORS, INC ................ 35
300 BERKSHIRE REALTY CO, INC ....................... 3
70 BRADLEY REAL ESTATE, INC ....................... 1
3,000 CAPITAL AUTOMOTIVE REIT ........................ 45
8,539 CAPSTEAD MORTGAGE CORP ......................... 35
3,700 CBL & ASSOCIATES PROPERTIES, INC ............... 96
300 CCA PRISON REALTY TRUST ........................ 6
2,900 CENTERPOINT PROPERTIES CORP .................... 98
3,700 CHATEAU PROPERTIES, INC ........................ 108
300 CHELSEA GCA REALTY, INC ........................ 11
1,300 o COAST FEDERAL LITIGATION CONTINGENT RTS ........ 9
1,000 COMMERCIAL NET LEASE REALTY, INC ............... 13
10,200 CORNERSTONE PROPERTIES, INC .................... 159
3,044 COUSINS PROPERTIES, INC ........................ 98
400 o CRESECENT OPERATING, INC ....................... 2
3,000 CROWN AMERICAN REALTY TRUST .................... 23
9,600 DEVELOPERS DIVERSIFIED REALTY CORP ............. 170
13,283 DUKE REALTY INVESTMENTS, INC ................... 309
1,979 DYNEX CAPITAL, INC ............................. 9
900 EASTGROUP PROPERTIES, INC ...................... 17
2,300 ENTERTAINMENT PROPERTIES TRUST ................. 39
33,050 EQUITY OFFICE PROPERTIES TRUST ................. 793
8,178 EQUITY RESIDENTIAL PROPERTIES TRUST CO ......... 331
1,500 ESSEX PROPERTY TRUST, INC ...................... 45
6,000 FEDERAL REALTY INVESTMENT TRUST ................ 142
4,166 FRANCHISE FINANCE CORP OF AMERICA .............. 100
6,000 GENERAL GROWTH PROPERTIES, INC ................. 227
500 HEALTH CARE PROPERTY INVESTORS, INC ............ 15
600 HIGHWOODS PROPERTIES, INC ...................... 15
2,600 o HOME PROPERTIES OF NEW YORK, INC ............... 67
100 o IMPAC MORTGAGE HOLDINGS, INC ................... 0
5,700 IMPERIAL CREDIT COMMERCIAL MORTGAGE
INVESTMENT CORP ................................ 53
445 INDYMAC MORTGAGE HOLDINGS, INC ................. 5
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
4,200 IRT PROPERTY CO ................................ $ 42
5,000 JDN REALTY CORP ................................ 108
2,100 JP REALTY, INC ................................. 41
6,800 KIMCO REALTY CORP .............................. 270
7,800 LIBERTY PROPERTY TRUST CO ...................... 192
1,000 LTC PROPERTIES, INC ............................ 17
4,200 MACERICH CO (THE) .............................. 108
400 MACK-CALI REALTY CORP .......................... 12
99 MEDITRUST CORP PAIRED .......................... 1
5,200 MERIDIAN INDUSTRIAL TRUST, INC ................. 122
7,500 MERISTAR HOSPITALITY CORP ...................... 139
285 o MERRY LAND PROPERTIES, INC ..................... 1
2,200 MGI PROPERTIES, INC ............................ 61
3,100 MID-AMERICA APARTMENT COMMUNITIES, INC ......... 70
1,200 NATIONAL GOLF PROPERTIES, INC .................. 35
3,200 NATIONAL HEALTH INVESTORS, INC ................. 79
10,421 NEW PLAN EXCEL REALTY TRUST .................... 231
2,100 PACIFIC GULF PROPERTIES, INC ................... 42
1,837 PATRIOT AMERICAN HOSPITALITY, INC .............. 11
800 o PEC ISRAEL ECONOMIC CORP ....................... 23
3,600 POST PROPERTIES, INC ........................... 138
6,800 PRIME RETAIL, INC .............................. 67
11,590 PROLOGIS TRUST ................................. 240
12,300 PUBLIC STORAGE, INC ............................ 333
4,300 REALTY INCOME CORP ............................. 107
6,600 RECKSON ASSOCIATES REALTY CORP ................. 146
1,000 REDWOOD TRUST, INC ............................. 14
2,200 REGENCY REALTY CORP ............................ 49
500 RFS HOTEL INVESTORS, INC ....................... 6
1,000 SAUL CENTERS, INC .............................. 16
4,500 SHURGARD STORAGE CENTERS, INC .................. 116
500 SL GREEN REALTY CORP ........................... 11
2,000 o SOVRAN SELF STORAGE, INC ....................... 50
600 SPIEKER PROPERTIES, INC ........................ 21
3,300 STARWOOD FINANCIAL TRUST ....................... 198
2,800 STORAGE U.S.A., INC ............................ 90
600 o SUMMIT PROPERTIES, INC ......................... 10
2,400 SUN COMMUNITIES, INC ........................... 84
6,500 TAUBMAN CENTERS, INC ........................... 89
1,500 o THORNBURG MORTGAGE ASSET CORP .................. 11
2,500 TOWN & COUNTRY TRUST ........................... 40
796 UNITED DOMINION REALTY TRUST, INC .............. 8
1,500 URBAN SHOPPING CENTERS, INC .................... 49
8,941 o VENTAS, INC .................................... 109
9,800 VORNADO REALTY TRUST ........................... 331
2,100 o WALDEN RESIDENTIAL PROPERTIES, INC ............. 43
6,000 WASHINGTON REAL ESTATE INVESTMENT TRUST ........ 112
4,100 WEINGARTEN REALTY INVESTORS, INC ............... 183
1,000 WESTERN INVESTMENT REAL ESTATE TRUST ........... 12
4,200 WESTFIELD AMERICA, INC ......................... 72
------
8,130
------
HOTELS AND OTHER LODGING PLACES--0.16%
6,600 o AZTAR CORP ..................................... 33
1,350 o BRISTOL HOTELS & RESORTS, INC .................. 8
37,338 o CENDANT CORP ................................... 712
6,100 o CHOICE HOTELS INTERNATIONAL, INC ............... 83
1,300 o CIRCUS CIRCUS ENTERPRISES, INC ................. 15
2,700 o CRESTLINE CAPITAL CORP ......................... 39
11,700 o EXTENDED STAY AMERICA, INC ..................... 123
3,800 o MARCUS CORP .................................... 62
1,900 o MERISTAR HOTELS & RESORTS, INC ................. 5
1,200 o PRIMADONNA RESORTS, INC ........................ 11
768 o PROMUS HOTEL CORP .............................. 25
3,500 o RED ROOF INNS, INC ............................. 59
4,000 o SUNBURST HOSPITALITY CORP ...................... 17
2,800 o TRUMP HOTEL & CASINO RESORT, INC ............... 11
------
1,203
------
</TABLE>
See notes to financial statements.
19
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
INDUSTRIAL MACHINERY AND EQUIPMENT--7.43%
32,242 o 3COM CORP ...................................... $ 1,445
16,400 o ADAPTEC, INC ................................... 288
9,800 AGCO CORP ...................................... 77
400 o AMERICAN STANDARD COS, INC ..................... 14
18,300 o APPLE COMPUTER, INC ............................ 749
33,100 o APPLIED MATERIALS, INC ......................... 1,413
500 APPLIED POWER, INC (CLASS A) ................... 19
1,200 o ASTEC INDUSTRIES, INC .......................... 67
1,600 o AUSPEX SYSTEMS, INC ............................ 7
12,715 BAKER HUGHES, INC .............................. 225
100 o BANCTEC, INC ................................... 1
2,300 o BELL & HOWELL CO ............................... 87
11,000 BLACK & DECKER CORP ............................ 617
16,100 BRUNSWICK CORP ................................. 398
5,600 o C-CUBE MICROSYSTEMS, INC ....................... 152
2,200 o CABLETRON SYSTEMS, INC ......................... 18
4,800 CASE CORP ...................................... 105
15,600 CATERPILLAR, INC ............................... 718
11,000 o CIRRUS LOGIC, INC .............................. 108
108,725 o CISCO SYSTEMS, INC ............................. 10,091
8,000 o COLTEC INDUSTRIES, INC ......................... 156
1,500 COLUMBUS MCKINNON CORP ......................... 27
110,484 COMPAQ COMPUTER CORP ........................... 4,633
9,000 o COPYTELE, INC .................................. 12
5,600 CUMMINS ENGINE CO, INC ......................... 199
4,500 DEERE & CO ..................................... 149
77,293 o DELL COMPUTER CORP ............................. 5,657
1,400 o DETROIT DIESEL CORP ............................ 29
700 o DIALOGIC CORP .................................. 14
5,900 o DIAMOND MULTIMEDIA SYSTEMS, INC ................ 38
11,450 DIEBOLD, INC ................................... 409
300 o DIGI INTERNATIONAL, INC ........................ 3
200 DONALDSON CO, INC .............................. 4
4,400 DOVER CORP ..................................... 161
38,000 o EMC CORP ....................................... 3,230
2,900 o ESTERLINE CORP ................................. 63
2,100 o FEDDERS CORP ................................... 12
6,400 FLOWSERVE CORP ................................. 106
900 GRACO, INC ..................................... 27
400 HARDINGE, INC .................................. 7
200 HARNISCHFEGER INDUSTRIES, INC .................. 2
53,800 HEWLETT-PACKARD CO ............................. 3,675
8,300 HUSSMANN INTERNATIONAL, INC .................... 161
1,200 o HYPERCOM CORP .................................. 12
50 IDEX CORP ...................................... 1
400 o IN FOCUS SYSTEMS, INC .......................... 4
12,050 INGERSOLL-RAND CO .............................. 566
60,200 INTERNATIONAL BUSINESS MACHINES CORP ........... 11,122
600 o IONICS, INC .................................... 18
900 JLG INDUSTRIES, INC ............................ 14
268 KENNAMETAL, INC ................................ 6
600 o KULICHE & SOFFA INDUSTRIES, INC ................ 11
1,000 o LAM RESEARCH CORP .............................. 18
5,300 o LEXMARK INTERNATIONAL GROUP (CLASS A) .......... 533
600 LINCOLN ELECTRIC HOLDINGS CO ................... 13
300 LINDSAY MANUFACTURING CO ....................... 4
50 MANITOWOC, INC ................................. 2
500 o MICROS SYSTEMS, INC ............................ 16
6,400 MILACRON, INC .................................. 123
27,700 MINNESOTA MINING & MANUFACTURING CO ............ 1,970
1,000 NACCO INDUSTRIES, INC (CLASS A) ................ 92
50 o NATIONAL INSTRUMENTS CORP ...................... 2
100 NORDSON CORP ................................... 5
5,600 o NOVELLUS SYSTEMS, INC .......................... 277
20,400 PALL CORP ...................................... 516
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
5,875 o PAXAR CORP ..................................... $ 53
1,500 PENTAIR, INC ................................... 60
12,500 PITNEY BOWES, INC .............................. 826
2,000 o PRESSTEK, INC .................................. 14
2,700 ROPER INDUSTRIES, INC .......................... 55
29,348 o SEAGATE TECHNOLOGY, INC ........................ 888
7,100 o SEQUENT COMPUTER SYSTEMS, INC .................. 86
3,800 o SHIVA CORP ..................................... 21
10,900 o SILICON GRAPHICS, INC .......................... 140
1,400 o SILICON VALLEY GROUP, INC ...................... 18
50 o SLI, INC ....................................... 1
1,800 o SPECIALTY EQUIPMENT COS, INC ................... 49
800 o SPEEDFAM INTERNATIONAL, INC .................... 14
1,500 o SPLASH TECHNOLOGY HOLDINGS, INC ................ 11
200 STANDEX INTERNATIONAL CORP ..................... 5
500 STARRETT (L.S.) CO (CLASS A) ................... 17
16,800 o STORAGE TECHNOLOGY CORP ........................ 597
6,600 SYMBOL TECHNOLOGIES, INC ....................... 422
2,800 TECUMSEH PRODUCTS CO (CLASS A) ................. 131
1,600 TENNANT CO ..................................... 64
22,500 TENNECO, INC ................................... 766
2,500 o TEREX CORP ..................................... 71
8,329 TIMKEN CO ...................................... 157
232 TYCO INTERNATIONAL LTD ......................... 18
17,510 o U.S. FILTER CORP ............................... 401
9,208 o UNISYS CORP .................................... 317
500 o UNOVA, INC ..................................... 9
1,300 o VARCO INTERNATIONAL, INC ....................... 10
3,300 o VISUAL NETWORKS, INC ........................... 124
600 o XIRCOM, INC .................................... 20
6,800 YORK INTERNATIONAL CORP ........................ 278
500 o ZEBRA TECHNOLOGY CORP .......................... 14
------
56,355
------
INSTRUMENTS AND RELATED PRODUCTS--2.11%
3,400 o ADAC LABORATORIES, INC ......................... 68
300 o AFFYMETRIX, INC ................................ 7
2,600 o ALARIS MEDICAL, INC ............................ 15
400 o ANALOGIC CORP .................................. 15
1,900 ARROW INTERNATIONAL, INC ....................... 60
6,500 o ARTERIAL VASCULAR ENGINEERING, INC ............. 341
3,800 o AVID TECHNOLOGIES, INC ......................... 89
700 o BACOU U.S.A., INC .............................. 15
3,100 BAUSCH & LOMB, INC ............................. 186
13,500 BAXTER INTERNATIONAL, INC ...................... 868
4,300 BECKMAN COULTER, INC ........................... 233
8,100 BECTON DICKINSON & CO .......................... 346
3,700 o BOSTON SCIENTIFIC CORP ......................... 99
9,300 o CHYRON CORP .................................... 17
700 o CLOSURE MEDICAL CORP ........................... 21
1,600 o COHERENT, INC .................................. 20
1,100 o COLE NATIONAL CORP (CLASS A) ................... 19
1,200 o CONMED CORP .................................... 40
800 o CREDENCE SYSTEMS CORP .......................... 15
900 o CYMER, INC ..................................... 13
2,400 o CYTYC CORP ..................................... 62
7,100 DENTSPLY INTERNATIONAL, INC .................... 183
1,100 o DIONEX CORP .................................... 40
850 o DYNATECH CORP .................................. 2
27,000 EASTMAN KODAK CO ............................... 1,944
300 o FOSSIL, INC .................................... 9
3,800 o GENRAD, INC .................................... 60
13,612 GUIDANT CORP ................................... 1,501
800 o HAEMONETICS CORP ............................... 18
3,000 o HANGER ORTHOPEDIC GROUP, INC ................... 68
13,500 HONEYWELL, INC ................................. 1,017
7,900 o IMATRON, INC ................................... 11
</TABLE>
See notes to financial statements.
20
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
INSTRUMENTS AND RELATED PRODUCTS--(Continued)
3,000 INVACARE CORP .................................. $ 72
6,900 JOHNSON CONTROLS, INC .......................... 407
2,200 o MAXXIM MEDICAL, INC ............................ 65
36,240 MEDTRONIC, INC ................................. 2,691
1,200 MENTOR CORP .................................... 28
6,300 o METTLER-TOLEDO INTERNATIONAL, INC .............. 177
200 o MINE SAFETY APPLIANCE CO ....................... 14
700 MOVADO GROUP, INC .............................. 19
1,300 o NOVOSTE CORP ................................... 37
1,000 o OCULAR SCIENCES, INC ........................... 27
2,300 o OEC MEDICAL SYSTEMS, INC ....................... 72
300 o PERCLOSE, INC .................................. 10
300 o PINNACLE SYSTEMS, INC .......................... 11
5,300 POLAROID CORP .................................. 99
4,018 RAYTHEON CO (CLASS A) .......................... 208
11,400 RAYTHEON CO (CLASS B) .......................... 607
2,400 o RESMED, INC .................................... 109
1,100 o SABRATEK CORP .................................. 18
1,000 o SCOTT TECHNOLOGIES, INC ........................ 17
200 o SEPRACOR, INC .................................. 18
2,700 o SOFAMOR DANEK GROUP, INC ....................... 329
1,033 o SONOSITE, INC .................................. 11
14,088 o ST. JUDE MEDICAL, INC .......................... 390
11,400 o STERIS CORP .................................... 324
350 o SUMMIT TECHNOLOGY, INC ......................... 2
2,800 o SUNRISE MEDICAL, INC ........................... 35
200 o SYBRON INTERNATIONAL CORP ...................... 5
7,750 TEKTRONIX, INC ................................. 233
700 o THERMEDICS, INC ................................ 8
300 o THERMO CARDIOSYSTEMS, INC ...................... 3
75 o THERMO ELECTRON CORP ........................... 1
1,125 o THERMO INSTRUMENT SYSTEMS, INC ................. 17
1,100 o THERMOQUEST CORP ............................... 14
1,200 o THERMOTREX CORP ................................ 10
2,000 o TRIMBLE NAVIGATION LTD ......................... 15
300 o VEECO INSTRUMENTS, INC ......................... 16
600 o VENTANA MEDICAL SYSTEMS, INC ................... 13
2,200 o VISX, INC ...................................... 192
2,200 o VIVUS, INC ..................................... 6
1,800 o WESLEY JESSEN VISIONCARE, INC .................. 50
2,200 X RITE, INC .................................... 17
18,900 XEROX CORP ..................................... 2,230
------
16,029
------
INSURANCE AGENTS, BROKERS AND SERVICE--0.10%
1,900 BALDWIN & LYONS, INC (CLASS B) ................. 47
200 BLANCH (E.W.) HOLDINGS, INC .................... 9
100 o FIRST HEALTH GROUP CORP ........................ 2
2,000 HILB, ROGAL & HAMILTON CO ...................... 40
11,000 MARSH & MCLENNAN COS, INC ...................... 643
------
741
------
INSURANCE CARRIERS--4.90%
600 20TH CENTURY INDUSTRIES ........................ 14
7,267 AETNA, INC ..................................... 571
26,600 AFLAC, INC ..................................... 1,170
700 o ALLEGHANY CORP (DELAWARE) ...................... 132
61,556 ALLSTATE CORP .................................. 2,378
6,500 AMBAC FINANCIAL GROUP, INC ..................... 391
400 AMERICAN BANKERS INSURANCE GROUP, INC .......... 19
2,300 AMERICAN FINANCIAL GROUP, INC .................. 101
12,140 AMERICAN GENERAL CORP .......................... 947
74,475 AMERICAN INTERNATIONAL GROUP, INC .............. 7,196
1,100 AMERICAN MEDICAL SECURITY GROUP ................ 16
200 AMERICAN NATIONAL INSURANCE CO ................. 17
3,800 o AMERIN CORP .................................... 90
6,050 AON CORP ....................................... 335
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
3,200 ARM FINANCIAL GROUP, INC (CLASS A) ............. $ 71
350 BERKLEY (W.R.) CORP ............................ 12
15 o BERKSHIRE HATHAWAY, INC (CLASS A) .............. 1,050
22 o BERKSHIRE HATHAWAY, INC (CLASS B) .............. 52
1,100 CHARTWELL RE CORP .............................. 26
200 CHICAGO TITLE CORP ............................. 9
5,200 CHUBB CORP ..................................... 337
18,300 CIGNA CORP ..................................... 1,415
15,188 CINCINNATI FINANCIAL CORP ...................... 556
146,763 CITIGROUP, INC ................................. 7,265
3,700 CMAC INVESTMENT CORP ........................... 170
17,813 CONSECO, INC ................................... 544
3,400 ENHANCE FINANCIAL SERVICES GROUP, INC .......... 102
9,500 EQUITABLE COS, INC ............................. 550
7,600 EVEREST REINSURANCE HOLDINGS, INC .............. 296
300 EXECUTIVE RISK, INC ............................ 16
4,900 FBL FINANCIAL GROUP, INC (CLASS A) ............. 119
3,300 FIDELITY NATIONAL FINANCIAL, INC ............... 101
3,200 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD ...... 174
8,650 FIRST AMERICAN FINANCIAL CORP .................. 278
2,900 FOREMOST CORP OF AMERICA ....................... 61
9,200 FREMONT GENERAL CORP ........................... 228
1,100 HARLEYSVILLE GROUP, INC ........................ 28
8,300 HARTFORD FINANCIAL SERVICES GROUP, INC ......... 455
4,200 HARTFORD LIFE, INC (CLASS A) ................... 245
520 o HIGHLANDS INSURANCE GROUP, INC ................. 7
1,600 o HUMANA, INC .................................... 29
12,150 JEFFERSON-PILOT CORP ........................... 911
500 o KANSAS CITY LIFE INSURANCE CO .................. 41
2,500 LANDAMERICA FINANCIAL GROUP, INC ............... 140
1,700 LIBERTY CORP ................................... 84
400 LIBERTY FINANCIAL COS, INC ..................... 11
2,300 LIFE U.S.A. HOLDINGS, INC ...................... 30
3,100 LINCOLN NATIONAL CORP .......................... 254
8,600 LOEWS CORP ..................................... 845
1,600 o MAXICARE HEALTH PLANS, INC ..................... 9
1,141 MBIA, INC ...................................... 75
400 MERCURY GENERAL CORP ........................... 18
16,500 MGIC INVESTMENT CORP ........................... 657
700 o MID ATLANTIC MEDICAL SERVICES, INC ............. 7
100 NATIONWIDE FINANCIAL SERVICES, INC (CLASS A) ... 5
13,500 o OXFORD HEALTH PLANS, INC ....................... 201
512 o PACIFICARE HEALTH SYSTEMS, INC (CLASS A) ....... 37
6,052 o PACIFICARE HEALTH SYSTEMS, INC (CLASS B) ....... 481
500 o PENN TREATY AMERICAN CORP ...................... 13
4,100 PENNCORP FINANCIAL GROUP, INC .................. 4
3,500 PMI GROUP, INC ................................. 173
3,700 PRESIDENTIAL LIFE CORP ......................... 74
5,000 PROGRESSIVE CORP ............................... 847
2,500 PROTECTIVE LIFE CORP ........................... 100
3,950 REINSURANCE GROUP OF AMERICA, INC .............. 277
8,200 RELIANCE GROUP HOLDINGS, INC ................... 106
13,611 RELIASTAR FINANCIAL CORP ....................... 628
1,300 o RISK CAPITAL HOLDINGS, INC ..................... 28
1,300 RLI CORP ....................................... 43
1,900 SAFECO CORP .................................... 82
500 SCPIE HOLDINGS, INC ............................ 15
4,700 SELECTIVE INSURANCE GROUP, INC ................. 95
450 o SIERRA HEALTH SERVICES, INC .................... 9
4,822 ST. PAUL COS, INC .............................. 168
1,000 STEWART INFORMATION SERVICES CORP .............. 58
9,883 SUNAMERICA, INC ................................ 802
6,300 TIG HOLDINGS, INC .............................. 98
8,200 TORCHMARK CORP ................................. 290
900 TRANSAMERICA CORP .............................. 104
6,700 TRAVELERS PROPERTY CASUALTY CORP ............... 208
</TABLE>
See notes to financial statements.
21
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
INSURANCE CARRIERS--(Continued)
1,600 TRENWICK GROUP, INC ............................ $ 52
1,600 o TRIAD GUARANTY, INC ............................ 35
500 o TRIGON HEALTHCARE, INC ......................... 19
100 UNITED FIRE & CASULTY CO ....................... 3
18,300 UNITED HEALTHCARE CORP ......................... 788
1,800 UNITED WISCONSIN SERVICES, INC ................. 16
10,200 UNUM CORP ...................................... 595
1,100 VESTA INSURANCE GROUP, INC ..................... 7
100 o WELLPOINT HEALTH NETWORKS, INC ................. 9
------
37,125
------
LEATHER AND LEATHER PRODUCTS--0.01%
800 o NINE WEST GROUP, INC ........................... 12
679 o SAMSONITE CORP ................................. 4
1,800 STRIDE RITE CORP ............................... 16
300 o TIMBERLAND CO .................................. 14
25 WOLVERINE WORLD WIDE, INC ...................... 0
------
46
------
LEGAL SERVICES--0.00%
200 o PREPAID LEGAL SERVICES, INC .................... 7
------
LOCAL AND INTERURBAN PASSENGER TRANSIT--0.01%
7,100 o GREYHOUND LINES, INC ........................... 42
1,900 o RURAL/METRO CORP ............................... 21
------
63
------
LUMBER AND WOOD PRODUCTS--0.17%
800 o AMERICAN HOMESTAR CORP ......................... 12
1,200 CAVALIER HOMES, INC ............................ 14
16,507 CLAYTON HOMES, INC ............................. 228
542 DELTIC TIMBER CORP ............................. 11
11,000 GEORGIA-PACIFIC CORP (PACKAGING GROUP) ......... 644
450 o PALM HARBOR HOMES, INC ......................... 11
1,000 SKYLINE CORP ................................... 33
1,500 UNIVERSAL FOREST PRODUCTS, INC ................. 30
5,900 WEYERHAEUSER CO ................................ 300
------
1,283
------
METAL MINING--0.12%
1,800 CLEVELAND CLIFFS, INC .......................... 73
3,000 o COEUR DALENE MINES CORP ........................ 14
15,700 CYPRUS AMAX MINERALS CO ........................ 157
25,963 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) .. 271
400 o GETCHELL GOLD CORP ............................. 11
6,700 o HECLA MINING CO ................................ 24
8,804 o KINROSS GOLD CORP .............................. 20
10,900 NEWMONT MINING CORP ............................ 197
4,100 SOUTHERN PERU COPPER CORP ...................... 39
3,200 o STILLWATER MINING CO ........................... 131
------
937
------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.07%
5,250 o BLYTH INDUSTRIES, INC .......................... 164
2,600 BRADY CORP (CLASS A) ........................... 70
600 o HEXCEL CORP .................................... 5
100 INTERNATIONAL GAME TECHNOLOGY CO ............... 2
6,300 JOSTENS, INC ................................... 165
1,300 K2, INC ........................................ 13
900 o LYDALL, INC .................................... 11
3,093 MATTEL, INC .................................... 71
400 RUSS BERRIE & CO, INC .......................... 9
200 o STEINWAY MUSICAL INSTRUMENTS, INC .............. 5
2,400 o WMS INDUSTRIES, INC ............................ 18
------
533
------
MISCELLANEOUS RETAIL--1.04%
1,000 o AMAZON.COM, INC ................................ 321
700 o BARNETT, INC ................................... 10
700 BLAIR CORP ..................................... 16
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
10,200 o BORDERS GROUP, INC ............................. $ 254
500 CASH AMERICA INTERNATIONAL, INC ................ 8
1,100 o CDW COMPUTER CENTERS, INC ...................... 106
1,000 o COLDWATER CREEK, INC ........................... 14
25,642 CVS CORP ....................................... 1,410
1,000 o GARDEN RIDGE CORP .............................. 9
2,200 o GLOBAL DIRECTMAIL CORP ......................... 51
2,200 o INSIGHT ENTERPRISES, INC ....................... 112
500 o LANDS END, INC ................................. 13
4,200 o MICHAELS STORES, INC ........................... 76
200 o MICRO WAREHOUSE, INC ........................... 7
17,300 o OFFICE DEPOT, INC .............................. 639
50 o OFFICEMAX, INC ................................. 1
14,600 OMNICARE, INC .................................. 507
600 o PARTY CITY CORP ................................ 9
3,500 o PETCO ANIMAL SUPPLIES, INC ..................... 35
9,820 RITE AID CORP .................................. 487
27,675 o STAPLES, INC ................................... 1,209
2,250 o THE SPORTS AUTHORITY, INC ...................... 12
1,087 o TOYS R US, INC ................................. 18
4,625 o U.S. OFFICE PRODUCTS CO ........................ 18
39,800 WALGREEN CO .................................... 2,331
6,000 o ZALE CORP ...................................... 194
------
7,867
------
MOTION PICTURES--0.62%
1,000 o AMC ENTERTAINMENT, INC ......................... 21
150,234 DISNEY (WALT) CO ............................... 4,507
4,800 o HOLLYWOOD ENTERTAINMENT CORP ................... 131
700 o KING WORLD PRODUCTIONS, INC .................... 21
100 o PIXAR, INC ..................................... 4
2,700 o SPELLING ENTERTAINMENT GROUP, INC .............. 20
------
4,704
------
NONDEPOSITORY INSTITUTIONS--2.28%
1,500 AAMES FINANCIAL CORP ........................... 5
1,125 ADVANTA CORP (CLASS A) ......................... 15
34,000 AMERICAN EXPRESS CO ............................ 3,477
9,900 o AMERICREDIT CORP ............................... 137
1,600 o AMRESCO, INC ................................... 14
2,300 o ARCADIA FINANCIAL LTD .......................... 8
44,116 ASSOCIATES FIRST CAPITAL CORP .................. 1,869
6,200 CAPITAL ONE FINANCIAL CORP ..................... 713
400 CHARTER MUNICIPAL MORTGAGE ACCEPTANCE .......... 5
2,100 (X)o CITYSCAPE FINANCIAL CORP ....................... 0
1,300 CONNING CORP ................................... 27
1,100 o CONTIFINANCIAL CORP ............................ 8
3,200 COUNTRYWIDE CREDIT INDUSTRIES, INC ............. 161
100 o CREDIT ACCEPTANCE CORP ......................... 1
5,100 DORAL FINANCIAL CORP ........................... 113
74,800 FEDERAL NATIONAL MORTGAGE ASSOCIATION .......... 5,535
1,500 o FINANCIAL FEDERAL CORP ......................... 37
3,400 FINOVA GROUP, INC .............................. 183
4,500 o FIRSTPLUS FINANCIAL GROUP, INC ................. 12
1,700 o FRANCHISE MORTGAGE ACCEPTANCE CO ............... 13
51,400 FREDDIE MAC .................................... 3,312
800 FUND AMERICAN ENTERPRISES HOLDINGS, INC ........ 112
400 o HEALTHCARE FINANCIAL PARTNERS, INC ............. 16
22,736 HOUSEHOLD INTERNATIONAL, INC ................... 901
1,000 o IMC MORTGAGE CO ................................ 0
6,700 o LEUCADIA NATIONAL CORP ......................... 211
2,000 o LONG BEACH FINANCIAL CORP ...................... 15
6,450 (X)o MERCURY FINANCE CO ............................. 0
3,219 METRIS COS, INC ................................ 162
3,325 o OMEGA WORLDWIDE, INC ........................... 15
300 RESOURCE AMERICA, INC (CLASS A) ................ 3
100 SIRROM CAPITAL CORP ............................ 0
</TABLE>
See notes to financial statements.
22
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
NONDEPOSITORY INSTITUTIONS--(Continued)
3,350 SLM HOLDINGS CORP .............................. $ 161
2,500 o UNICAPITAL CORP ................................ 18
2,200 UNITED COS FINANCIAL CORP ...................... 7
------
17,266
------
NONMETALLIC MINERALS, EXCEPT FUELS--0.05%
2,400 AMCOL INTERNATIONAL CORP ....................... 24
300 CALMAT CO ...................................... 9
4,779 MARTIN MARIETTA MATERIALS, INC ................. 297
425 POTASH CORP OF SASKATCHEWAN, INC ............... 27
------
357
------
OIL AND GAS EXTRACTION--0.53%
10,300 APACHE CORP .................................... 261
800 o ATWOOD OCEANICS, INC ........................... 14
900 o BELCO OIL & GAS CORP ........................... 5
2,800 o BENTON OIL & GAS CO ............................ 8
600 o BROWN (TOM), INC ............................... 6
2,849 BURLINGTON RESOURCES, INC ...................... 102
1,200 CABOT OIL & GAS CORP (CLASS A) ................. 18
2,900 CHESAPEAKE ENERGY CORP ......................... 3
6,425 CROSS TIMBERS OIL CO ........................... 48
7,700 DIAMOND OFFSHORE DRILLING, INC ................. 182
2,849 o EEX CORP ....................................... 20
24,100 ENSCO INTERNATIONAL, INC ....................... 258
1,400 o FORCENERGY GAS EXPLORATION, INC ................ 4
5,700 o FOREST OIL CORP ................................ 48
700 o FRIEDE GOLDMAN INTERNATIONAL, INC .............. 8
900 o GLOBAL MARINE, INC ............................. 8
11,800 o GREY WOLF, INC ................................. 10
33,632 HALLIBURTON CO ................................. 996
3,500 o HANOVER COMPRESSOR CO .......................... 90
100 o HARKEN ENERGY CORP ............................. 0
500 o HOUSTON EXPLORATION CO ......................... 10
2,000 KCS ENERGY, INC ................................ 6
7,700 KERR-MCGEE CORP ................................ 295
263 o MCMORAN EXPLORATION CO ......................... 4
1,200 o NABORS INDUSTRIES, INC ......................... 16
400 o NEWFIELD EXPLORATION CO ........................ 8
2,600 o NUEVO ENERGY CO ................................ 30
1,200 OCCIDENTAL PETROLEUM CORP ...................... 20
1,500 o OCEAN ENERGY, INC .............................. 9
3,400 o OCEANEERING INTERNATIONAL, INC ................. 51
400 o ORYX ENERGY CO ................................. 5
9,000 o PARKER DRILLING CO ............................. 29
1,900 o PATTERSON ENERGY, INC .......................... 8
16,200 PIONEER NATURAL RESOURCES CO ................... 142
300 o POOL ENERGY SERVICES CO ........................ 3
100 o PRIDE INTERNATIONAL, INC ....................... 1
1,500 o RANGE RESOURCES CORP ........................... 5
10,400 o ROWAN COS, INC ................................. 104
800 o SANTA FE ENERGY RESOURCES, INC ................. 6
16 SCHLUMBERGER LTD ............................... 1
3,600 o SEITEL, INC .................................... 45
1,700 ST. MARY LAND & EXPLORATION CO ................. 31
2,100 o STONE ENERGY CORP .............................. 60
1,330 o SWIFT ENERGY CO ................................ 10
2,000 o SYNTROLEUM CORP ................................ 12
4,300 o TITAN EXPLORATION, INC ......................... 28
3,700 o TRANSMONTAIGNE, INC ............................ 56
11,800 TRANSOCEAN OFFSHORE, INC ....................... 316
2,600 o TRANSTEXAS GAS CORP ............................ 7
7,200 o TUBOSCOPE, INC ................................. 59
41,414 UNION PACIFIC RESOURCES GROUP, INC ............. 375
2,800 VASTAR RESOURCES, INC .......................... 121
330 o WEATHERFORD INTERNATIONAL ...................... 6
------
3,968
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
PAPER AND ALLIED PRODUCTS--0.90%
1,500 o ACX TECHNOLOGIES, INC .......................... $ 20
5,000 o AMERICAN PAD & PAPER CO ........................ 8
200 AVERY DENNISON CORP ............................ 9
8,700 BOISE CASCADE CORP ............................. 270
16,100 CHAMPION INTERNATIONAL CORP .................... 652
500 CHESAPEAKE CORP ................................ 18
3,960 o CROWN VANTAGE, INC ............................. 9
4,300 o EARTHSHELL CORP ................................ 51
24,725 FORT JAMES CORP ................................ 989
7,700 o GAYLORD CONTAINER CO ........................... 47
4,100 GLATFELTER (P.H.) CO ........................... 51
300 GREIF BROTHERS CORP (CLASS A) .................. 9
16,547 INTERNATIONAL PAPER CO ......................... 742
3,000 o IVEX PACKAGING CORP ............................ 70
41,000 KIMBERLY CLARK CORP ............................ 2,235
600 LONGVIEW FIBRE CO .............................. 7
700 o PLAYTEX PRODUCTS, INC .......................... 11
400 REPUBLIC GROUP, INC ............................ 8
1,800 ROCK-TENN CO (CLASS A) ......................... 30
340 SCHWEITZER-MAUDUIT INTERNATIONAL, INC .......... 5
53 o SMURFIT-STONE CONTAINER CORP ................... 1
11,131 SONOCO PRODUCTS CO ............................. 330
3,700 ST. JOE CORP ................................... 87
1,800 TEMPLE-INLAND, INC ............................. 107
9,900 UNION CAMP CORP ................................ 668
9,100 WAUSAU-MOSINEE PAPER CORP ...................... 161
6,700 WILLAMETTE INDUSTRIES, INC ..................... 224
------
6,819
------
PERSONAL SERVICES--0.23%
13,600 BLOCK (H&R), INC ............................... 612
10,700 CINTAS CORP .................................... 754
2,000 o COINMACH LAUNDRY CORP .......................... 26
600 CPI CORP ....................................... 16
100 o EQUITY CORP INTERNATIONAL ...................... 3
7,800 SERVICE CORP INTERNATIONAL ..................... 297
200 UNIFIRST CORP .................................. 5
------
1,713
------
PETROLEUM AND COAL PRODUCTS--4.17%
58,024 AMOCO CORP ..................................... 3,423
11,400 ASHLAND, INC ................................... 551
16,200 ATLANTIC RICHFIELD CO .......................... 1,057
46,600 CHEVRON CORP ................................... 3,865
400 ELCOR CORP ..................................... 13
167,600 EXXON CORP ..................................... 12,256
55,000 MOBIL CORP ..................................... 4,792
2,400 MURPHY OIL CORP ................................ 99
8,000 PENNZENERGY CO ................................. 131
12,840 o PENNZOIL-QUAKER STATE CO ....................... 190
600 o PETROFINA S.A. WTS 08/02/03 .................... 5
23,000 PHILLIPS PETROLEUM CO .......................... 980
13,800 SUNOCO, INC .................................... 498
43,116 TEXACO, INC .................................... 2,280
25,348 TOSCO CORP ..................................... 656
14,926 ULTRAMAR DIAMOND SHAMROCK CORP ................. 362
4,245 UNOCAL CORP .................................... 124
8,200 USX-MARATHON GROUP, INC ........................ 247
2,500 VALERO ENERGY CORP ............................. 53
600 WD-40 CO ....................................... 17
------
31,599
------
PRIMARY METAL INDUSTRIES--0.35%
700 o AFC CABLE SYSTEMS, INC ......................... 24
7,240 ALUMINUM CO OF AMERICA ......................... 540
5,100 ASARCO, INC .................................... 77
4,150 o CABLE DESIGN TECHNOLOGIES CO ................... 77
2,700 CARPENTER TECHNOLOGY CORP ...................... 92
</TABLE>
See notes to financial statements.
23
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
PRIMARY METAL INDUSTRIES--(Continued)
100 o CITATION CORP .................................. $ 1
500 o CURTISS WRIGHT CORP ............................ 19
1,300 o ENCORE WIRE CORP ............................... 12
12,250 ENGELHARD CORP ................................. 239
87 o ESSEX INTERNATIONAL, INC ....................... 3
900 GENERAL CABLE CORP ............................. 18
2,200 IMCO RECYCLING, INC ............................ 34
261 INLAND STEEL INDUSTRIES, INC ................... 4
1,900 o KAISER ALUMINUN CORP ........................... 9
1,800 o LONE STAR TECHNOLOGIES, INC .................... 18
9,800 LTV CORP ....................................... 57
200 MATTHEWS INTERNATIONAL CORP (CLASS A) .......... 6
300 o MAXXAM, INC .................................... 17
5,900 o MUELLER INDUSTRIES, INC ........................ 120
1,500 NATIONAL STEEL CORP (CLASS B) .................. 11
11,200 NUCOR CORP ..................................... 484
100 PRECISION CAST PARTS CORP ...................... 4
2,300 QUANEX CORP .................................... 52
3,000 REYNOLDS METALS CO ............................. 158
1,100 o RTI INTERNATIONAL METALS ....................... 15
5,000 o STEEL DYNAMICS, INC ............................ 59
2,000 TITANIUM METALS CORP ........................... 17
14,800 USX-US STEEL GROUP, INC ........................ 340
1,700 o WHX CORP ....................................... 17
10,500 WORTHINGTON INDUSTRIES, INC .................... 131
------
2,655
------
PRINTING AND PUBLISHING--1.46%
1,800 AMERICAN BUSINESS PRODUCTS, INC ................ 42
10,800 AMERICAN GREETINGS CORP (CLASS A) .............. 443
700 o APPLIED GRAPHICS TECHNOLOGIES, INC ............. 12
9,900 BELO (A.H.) CORP SERIES A ...................... 197
400 o BIG FLOWER HOLDINGS, INC ....................... 9
3,400 CENTRAL NEWSPAPERS, INC (CLASS A) .............. 243
500 o CONSOLIDATED GRAPHICS, INC ..................... 34
1,000 o CSS INDUSTRIES, INC ............................ 30
600 o DAY RUNNER, INC ................................ 9
13,100 DELUXE CORP .................................... 479
8,300 DOW JONES & CO, INC ............................ 399
2,900 o FRANKLIN COVEY CO .............................. 49
24,500 GANNETT CO, INC ................................ 1,580
300 o GIBSON GREETINGS, INC .......................... 4
5,200 HARLAND (JOHN H.) CO ........................... 82
100 HOLLINGER INTERNATIONAL, INC ................... 1
5,600 KNIGHT-RIDDER, INC ............................. 286
7,500 LEE ENTERPRISES, INC ........................... 236
2,900 (X)o MARVEL ENTERTAINMENT GROUP, INC ................ 0
2,900 MCGRAW HILL COS, INC ........................... 295
425 MEDIA GENERAL, INC (CLASS A) ................... 23
800 MEREDITH CORP .................................. 30
7,800 NEW YORK TIMES CO (CLASS A) .................... 271
82 NEWS CORP LTD .................................. 2
600 PENTON MEDIA, INC .............................. 12
2,900 o PETERSEN COS, INC (CLASS A) .................... 98
24,300 o PRIMEDIA, INC .................................. 286
560 R.H. DONNELLEY CORP ............................ 8
700 READER'S DIGEST ASSOCIATION, INC (CLASS A)
(NON-VOTE) ..................................... 18
12,700 REYNOLDS & REYNOLDS CO (CLASS A) ............... 291
200 o SCHOLASTIC CORP ................................ 11
1,300 SCRIPPS (E.W.) CO (CLASS A) .................... 65
60,718 TIME WARNER, INC ............................... 3,768
12,200 TRIBUNE CO ..................................... 805
6,500 WALLACE COMPUTER SERVICES, INC ................. 171
900 WASHINGTON POST CO (CLASS B) ................... 520
900 WILEY (JOHN) & SONS, INC (CLASS A) ............. 43
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
813 o WORKFLOW MANAGEMENT, INC ....................... $ 5
6,400 o WORLD COLOR PRESS, INC ......................... 195
------
11,052
------
RAILROAD TRANSPORTATION--0.44%
42,720 BURLINGTON NORTHERN SANTA FE CORP .............. 1,442
50 CANADIAN NATIONAL RAILWAY CO ................... 3
6,300 CSX CORP ....................................... 261
1,800 FLORIDA EAST COAST INDUSTRIES, INC ............. 63
1,500 KANSAS CITY SOUTHERN INDUSTRIES, INC ........... 74
14,300 NORFOLK SOUTHERN CORP .......................... 453
22,882 UNION PACIFIC CORP ............................. 1,031
1,000 o WISCONSIN CENTRAL TRANSIT CORP ................. 17
------
3,344
------
REAL ESTATE--0.03%
2,666 o CASTLE & COOKE, INC ............................ 39
1,000 o CATELLUS DEVELOPMENT CORP ...................... 14
300 o CB RICHARD ELLIS SERVICES GROUP, INC ........... 5
40 o ECHELON INTERNATIONAL CORP ..................... 1
300 o FAIRFIELD COMMUNITIES, INC ..................... 3
2,000 o GRUBB & ELLIS CO ............................... 16
1,933 o INSIGNIA FINANCIAL GROUP, INC .................. 23
100 o LASALLE PARTNERS, INC .......................... 3
4,800 LNR PROPERTY CORP .............................. 96
2,064 o RECKSON SERVICES INDUSTRIES, INC ............... 9
1,000 STEWART ENTERPRISES, INC (CLASS A) ............. 22
------
231
------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.54%
5,100 APTARGROUP, INC ................................ 143
1,600 ARMSTRONG WORLD INDUSTRIES, INC ................ 97
5,400 FIRST BRANDS CORP .............................. 213
3,000 FURON CO ....................................... 51
12,250 GOODRICH (B.F.) CO ............................. 439
7,600 GOODYEAR TIRE & RUBBER CO ...................... 383
15,900 ILLINOIS TOOL WORKS, INC ....................... 922
200 MYERS INDUSTRIES, INC .......................... 6
14,800 NIKE, INC (CLASS B) ............................ 600
8,500 PREMARK INTERNATIONAL, INC ..................... 294
7,300 o SAFESKIN CORP .................................. 176
772 o SEALED AIR CORP ................................ 39
19,160 SOLUTIA, INC ................................... 429
1,400 SPARTECH CORP .................................. 31
100 o SYNETIC, INC ................................... 4
3,000 TREDEGAR INDUSTRIES, INC ....................... 68
8,100 TUPPERWARE CORP ................................ 133
1,800 WYNNS INTERNATIONAL, INC ....................... 40
------
4,068
------
SECURITY AND COMMODITY BROKERS--1.05%
2,900 o AFFILIATED MANAGERS GROUP, INC ................. 87
400 o AMERITRADE HOLDINGS CORP (CLASS A) ............. 13
5,500 BEAR STEARNS COS, INC .......................... 206
100 DUFF & PHELPS CREDIT RATING CO ................. 5
1,100 o E TRADE GROUP, INC ............................. 51
4,800 EATON VANCE CORP ............................... 100
15,450 EDWARDS (A.G.), INC ............................ 576
2,100 EVEREN CAPITAL CORP ............................ 48
1,800 FEDERATED INVESTMENTS, INC ..................... 33
3,200 FRANKLIN RESOURCES, INC ........................ 102
2,100 FREEDOM SECURITIES CORP ........................ 32
3,900 o FRIEDMAN, BILLINGS, RAMSEY GROUP, INC .......... 25
600 o HAMBRECHT & QUIST GROUP ........................ 14
2,200 JEFFERIES GROUP, INC ........................... 109
1,000 JOHN NUVEEN CO (CLASS A) ....................... 37
1,600 LEGG MASON, INC ................................ 51
15,100 LEHMAN BROTHERS HOLDINGS, INC .................. 665
16,100 MERRILL LYNCH & CO, INC ........................ 1,075
</TABLE>
See notes to financial statements.
24
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
SECURITY AND COMMODITY BROKERS--(Continued)
40,055 MORGAN STANLEY, DEAN WITTER, & CO .............. $ 2,844
200 PAINE WEBBER GROUP, INC ........................ 8
6,000 PHOENIX INVESTMENT PARTNERS LTD ................ 51
5,850 RAYMOND JAMES FINANCIAL CORP ................... 124
28,600 SCHWAB (CHARLES) CORP .......................... 1,607
1,700 SOUTHWEST SECURITIES GROUP, INC ................ 34
700 UNITED ASSET MANAGEMENT CORP ................... 18
157 WADDELL & REED FINANCIAL, INC (CLASS B) ........ 4
------
7,919
------
SOCIAL SERVICES--0.00%
1,700 o CAPITAL SENIOR LIVING CORP ..................... 24
------
SPECIAL TRADE CONTRACTORS--0.01%
3,500 APOGEE ENTERPRISES, INC ........................ 39
4,000 o GROUP MAINTENANCE AMERICA CORP ................. 49
------
88
------
STONE, CLAY, AND GLASS PRODUCTS--0.13%
7,400 CORNING, INC ................................... 333
4,800 o DAL-TILE INTERNATIONAL, INC .................... 50
2,700 o DEPARTMENT 56, INC ............................. 101
2 LAFARGE CORP ................................... 0
300 LIBBEY, INC .................................... 9
1,700 NEWELL COS, INC ................................ 70
9,000 OWENS CORNING CO ............................... 319
800 o OWENS ILLINOIS, INC ............................ 25
500 PUERTO RICAN CEMENT CO, INC .................... 17
220 SOUTHDOWN, INC ................................. 13
1,100 USG CORP ....................................... 56
------
993
------
TEXTILE MILL PRODUCTS--0.07%
2,981 ALBANY INTERNATIONAL CORP (CLASS A) NEW ........ 56
800 o COLLINS & AIKMAN CORP .......................... 4
200 o DAN RIVER, INC (CLASS A) ....................... 2
800 o GUILFORD MILLS, INC ............................ 13
5,100 o MOHAWK INDUSTRIES, INC ......................... 215
2,700 o POLYMER GROUP, INC ............................. 27
500 ST. JOHN KNITS, INC ............................ 13
6,700 o WESTPOINT STEVENS, INC ......................... 211
------
541
------
TOBACCO PRODUCTS--1.23%
7,200 FORTUNE BRANDS, INC ............................ 228
1,600 o GENERAL CIGAR HOLDINGS, INC (CLASS A) .......... 14
169,000 PHILIP MORRIS COS, INC ......................... 9,042
2,100 UST, INC ....................................... 73
------
9,357
------
TRANSPORTATION BY AIR--0.53%
7,000 AIRBORNE FREIGHT CORP .......................... 252
2,500 o AIRTRAN HOLDINGS, INC .......................... 7
500 o ALASKA AIR GROUP, INC .......................... 22
17,300 o AMR CORP ....................................... 1,027
1,500 o ATLAS AIR, INC ................................. 73
300 o AVIALL, INC .................................... 4
87 COMAIR HOLDINGS, INC ........................... 3
400 o CONTINENTAL AIRLINES, INC (CLASS B) ............ 13
15,700 DELTA AIRLINES, INC ............................ 816
8,920 o FDX CORP ....................................... 794
1,000 o MESA AIR GROUP, INC ............................ 8
400 o MIDWEST EXPRESS HOLDINGS, INC .................. 11
3,500 o OFFSHORE LOGISTICS, INC ........................ 42
1,800 PITTSTON BAX GROUP ............................. 20
12,901 SOUTHWEST AIRLINES CO .......................... 289
9,500 o TRANS WORLD AIRLINES, INC ...................... 46
10,500 o U.S. AIRWAYS GROUP, INC ........................ 546
300 o UAL CORP ....................................... 18
------
3,991
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
TRANSPORTATION EQUIPMENT--3.04%
300 o AFTERMARKET TECHNOLOGY CORP .................... $ 2
29,300 ALLIED SIGNAL, INC ............................. 1,298
4,200 ARCTIC CAT, INC ................................ 43
16,684 AUTOLIV, INC ................................... 620
1,500 o AVONDALE INDUSTRIES, INC ....................... 44
4,500 o BE AEROSPACE, INC .............................. 95
71,554 BOEING CO ...................................... 2,334
3,600 BORG-WARNER AUTOMOTIVE, INC .................... 201
900 o BREED TECHNOLOGIES, INC ........................ 7
2,200 COACHMEN INDUSTRIES, INC ....................... 58
6,000 CORDANT TECHNOLOGIES, INC ...................... 225
20,024 DANA CORP ...................................... 818
8,300 DANAHER CORP ................................... 451
2,200 o DELCO REMY INTERNATIONAL , INC (CLASS A) ....... 22
9,800 EATON CORP ..................................... 693
70,400 FORD MOTOR CO .................................. 4,132
5,700 GENCORP, INC ................................... 142
5,800 GENERAL DYNAMICS CORP .......................... 340
49,226 GENERAL MOTORS CORP ............................ 3,523
500 o GENTEX CORP .................................... 10
11,400 o GULFSTREAM AEROSPACE CORP ...................... 607
17,300 HARLEY DAVIDSON, INC ........................... 820
200 o HAYES LEMMERZ INTERNATIONAL, INC ............... 6
1,900 o KELLSTROM INDUSTRIES, INC ...................... 55
7,296 LOCKHEED MARTIN CORP ........................... 618
6,200 MASCOTECH, INC ................................. 106
11,166 MERITOR AUTOMOTIVE, INC ........................ 237
1,300 o MONACO COACH CORP .............................. 34
100 o MOTIVEPOWER INDUSTRIES, INC .................... 3
300 o NATIONAL R.V. HOLDINGS, INC .................... 8
11,000 o NAVISTAR INTERNATIONAL CORP .................... 314
5,877 NORTHROP GRUMMAN CORP .......................... 430
1,100 OEA, INC ....................................... 13
11,400 PACCAR, INC .................................... 469
3,400 POLARIS INDUSTRIES, INC ........................ 133
3,100 REGAL-BELOIT CORP .............................. 71
2,100 SMITH (A.O.) CORP .............................. 52
103 o SPX CORP ....................................... 7
1,000 STANDARD MOTOR PRODUCTS, INC (CLASS A) ......... 24
700 STANDARD PRODUCTS CO ........................... 14
1,900 o STONERIDGE, INC ................................ 43
9,100 SUNDSTRAND CORP ................................ 472
3,400 SUPERIOR INDUSTRIES INTERNATIONAL, INC ......... 95
8,700 TEXTRON, INC ................................... 661
300 THOR INDUSTRIES, INC ........................... 8
7,200 TRINITY INDUSTRIES, INC ........................ 277
2,000 o TRIUMPH GROUP, INC ............................. 64
3,100 TRW, INC ....................................... 174
18,700 UNITED TECHNOLOGIES CORP ....................... 2,034
2,750 VARLEN CORP .................................... 63
700 o WALBRO CORP .................................... 4
2,700 WESTINGHOUSE AIR BRAKE CO ...................... 66
400 WINNEBAGO INDUSTRIES, INC ...................... 6
------
23,046
------
TRANSPORTATION SERVICES--0.13%
25 AIR EXPRESS INTERNATIONAL CORP ................. 1
6,800 C.H. ROBINSON WORLDWIDE, INC ................... 176
900 o FRITZ COS, INC ................................. 10
10,500 GALILEO INTERNATIONAL, INC ..................... 457
7,900 GATX CORP ...................................... 299
610 o NAVIGANT INTERNATIONAL, INC .................... 5
------
948
------
</TABLE>
See notes to financial statements.
25
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
TRUCKING AND WAREHOUSING--0.09%
2,500 o AMERICAN FREIGHTWAYS CORP ...................... $ 29
2,200 ARNOLD INDUSTRIES, INC ......................... 35
800 CNF TRANSPORTATION, INC ........................ 30
4,350 o CONSOLIDATED FREIGHTWAYS CORP .................. 69
1,000 o COVENANT TRANSPORT, INC (CLASS A) .............. 18
800 o DISPATCH MANAGEMENT SERVICES CORP .............. 3
1,100 o HEARTLAND EXPRESS, INC ......................... 19
300 HUNT (J.B.) TRANSPORT SERVICES, INC ............ 7
100 o IRON MOUNTAIN, INC ............................. 4
1,500 o LANDSTAR SYSTEM, INC ........................... 61
400 o M.S. CARRIERS, INC ............................. 13
1,200 o PIERCE LEAHY CORP .............................. 31
2,200 ROADWAY EXPRESS, INC ........................... 32
3,950 o SWIFT TRANSPORTATION CO, INC ................... 111
4,300 USFREIGHTWAYS CORP ............................. 125
50 WERNER ENTERPRISES, INC ........................ 1
3,800 o YELLOW CORP .................................... 73
------
661
------
WATER TRANSPORTATION--0.06%
6,000 ALEXANDER & BALDWIN, INC ....................... 140
500 o KIRBY CORP ..................................... 10
950 o MARINE TRANSPORT CORP .......................... 2
6,100 o OMI CORP (NEW) ................................. 20
1,400 OVERSEAS SHIPHOLDING GROUP, INC ................ 22
9,600 TIDEWATER, INC ................................. 223
------
417
------
WHOLESALE TRADE-DURABLE GOODS--0.21%
2,300 o ACTION PERFORMANCE COS, INC .................... 81
1,500 o ANICOM, INC .................................... 14
1,000 o ANIXTER INTERNATIONAL, INC ..................... 20
14,700 o ARROW ELECTRONICS, INC ......................... 392
100 o AVIATION SALES CO .............................. 4
50 o BRIGHTPOINT, INC ............................... 1
1,200 CASTLE (A.M.) & CO ............................. 18
4,300 o CHS ELECTRONICS, INC ........................... 73
800 COMMERCIAL METALS CO ........................... 22
6,000 o FISHER SCIENTIFIC INTERNATIONAL, INC ........... 120
450 GENUINE PARTS CO ............................... 15
4,300 o HANDLEMAN CO ................................... 60
20,700 IKON OFFICE SOLUTIONS, INC ..................... 177
1,000 LAWSON PRODUCTS, INC ........................... 23
6,600 o MERISEL, INC ................................... 16
3,400 OWENS & MINOR, INC ............................. 54
50 o PATTERSON DENTAL CO ............................ 2
1,500 o POMEROY COMPUTER RESOURCES, INC ................ 34
300 RELIANCE STEEL & ALUMINUM CO ................... 8
8,500 o TECH DATA CORP ................................. 342
200 o VWR SCIENTIFIC PRODUCTS CORP ................... 3
220 WESCO FINANCIAL CORP ........................... 78
------
1,557
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------ --------
<S> <C> <C>
WHOLESALE TRADE-NONDURABLE GOODS--0.65%
7,700 o AIRGAS, INC .................................... $ 69
300 o AMERISOURCE HEALTH CORP (CLASS A) .............. 20
900 o BARNETT RESOURCES CORP ......................... 22
16,550 BERGEN BRUNSWIG CORP (CLASS A) ................. 577
63 BINDLEY WESTERN INDUSTRIES, INC ................ 3
700 o BOISE CASCADE OFFICE PRODUCTS CORP ............. 9
18,264 CARDINAL HEALTH, INC ........................... 1,386
600 o DAISYTEK INTERNATIONAL CORP .................... 11
200 DIMON, INC ..................................... 1
21 FLEMING COS, INC ............................... 0
33 HERBALIFE INTERNATIONAL, INC (CLASS A) ......... 0
1,566 HERBALIFE INTERNATIONAL, INC (CLASS B) ......... 18
300 HUNT CORP ...................................... 3
2,800 INTERNATIONAL MULTIFOODS CORP .................. 72
800 o KENNETH COLE PRODUCTIONS, INC .................. 15
10,400 MCKESSON CORP NEW .............................. 822
5,500 o NATIONAL-OILWELL, INC .......................... 62
1,600 o NU SKIN ENTERPRISES, INC (CLASS A) ............. 38
1,100 o PERFORMANCE FOOD GROUP CO ...................... 31
3,549 o PHARMERICA, INC ................................ 21
1,800 o PRIORITY HEALTHCARE CORP (CLASS B) ............. 93
678 o SCHOOL SPECIALTY, INC .......................... 14
20,400 SUPERVALU, INC ................................. 571
22,000 SYSCO CORP ..................................... 582
1,900 TERRA INDUSTRIES, INC .......................... 12
500 o U.S.A. FLORAL PRODUCTS, INC .................... 6
10,750 UNISOURCE WORLDWIDE, INC ....................... 78
6,000 o UNITED STATIONERS, INC ......................... 156
5,400 o UNIVERSAL CORP ................................. 190
------
4,882
------
TOTAL COMMON STOCK
(Cost $511,548) ................................ 753,592
-------
PRINCIPAL
- ---------
SHORT TERM INVESTMENT--0.32%
U.S. GOVERNMENT AGENCY--0.32%
$2,400,000 FEDERAL HOME LOAN MORTGAGE CORP
4.250% 1/4/99 .................................. 2,399
-------
TOTAL SHORT TERM INVESTMENT
(Cost $2,399) .................................. 2,399
-------
TOTAL PORTFOLIO
(Cost $514,100) ................................ $756,157
========
</TABLE>
- ------------------
o Non-income producing
X In bankruptcy
# Restricted Securities--Investment in securities not registered under the
Securities Act of 1933 or not publicly traded in foreign markets. At
December 31, 1998, the value of these securities amounted to $131 or 0.00%
of net assets.
Additional information on each restricted security is as follows:
<TABLE>
<CAPTION>
ACQUISITION ACQUISITION
SECURITY DATE COST
- --------------------- ------------- ------------
<S> <C> <C>
Physician Computer
Network, Inc 06/04/96 $28,018
=======
</TABLE>
See notes to financial statements.
26
<PAGE>
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