<PAGE>
Semi-Annual Report
------------------------------------------------------------
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
Financial Statements (Unaudited)
including
Statement of Investments
-------------
June 30, 1999
[LOGO]
As required by the Investment Company Act of 1940, TIAA
Separate Account VA-1 provides its contractowners with this
semi-annual report of its financial condition and portfolio
holdings. An annual report for TIAA Separate Account VA-1 is
also provided each year toward the end of February.
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
INDEX TO UNAUDITED FINANCIAL STATEMENTS
JUNE 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Page
----
<S> <C>
Statement of Assets and Liabilities............... 2
Statement of Operations........................... 3
Statements of Changes in Net Assets............... 4
Notes to Financial Statements..................... 5
Statement of Investments.......................... 8
</TABLE>
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 1999
(amounts in thousands, except per accumulation unit amount)
<TABLE>
<S> <C>
ASSETS
Investments, at cost............................ $604,969
Net unrealized appreciation of investments...... 296,318
--------
Investments, at value........................... 901,287
Cash............................................ 404
Dividends and interest receivable............... 830
Amounts due from General Account................ 479
Receivable from securities transactions......... 1,146
--------
TOTAL ASSETS 904,146
--------
LIABILITIES
Payable for securities transactions............. 2,320
--------
TOTAL LIABILITIES 2,320
--------
NET ASSETS--Accumulation Fund..................... $901,826
--------
--------
NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5
and 6........................................... 11,972
--------
--------
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5.... $ 75.33
--------
--------
</TABLE>
See notes to financial statements.
2
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF OPERATIONS (Unaudited)
SIX MONTHS ENDED JUNE 30, 1999
(amounts in thousands)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income:
Interest...................................... $ 103
Dividends..................................... 5,334
-------
TOTAL INCOME 5,437
-------
Expenses--Note 3:
Investment advisory charges................... 1,219
Administrative expenses....................... 812
Mortality and expense risk charges............ 406
-------
EXPENSES BEFORE WAIVER 2,437
Investment advisory charges waived--Note 3.... (934)
-------
NET EXPENSES 1,503
-------
INVESTMENT INCOME--NET 3,934
-------
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS--Note 4
Net realized gain on investments.............. 27,135
Net change in unrealized appreciation on
investments................................. 54,260
-------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 81,395
-------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $85,329
-------
-------
</TABLE>
See notes to financial statements.
3
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
(amounts in thousands)
<TABLE>
<CAPTION>
Six
Months
Ended Year Ended
June 30, December 31,
1999 1998
-------- -------------
<S> <C> <C>
<CAPTION>
(Unaudited)
<S> <C> <C>
FROM OPERATIONS
Investment income--net................ $ 3,934 $ 7,390
Net realized gain on investments...... 27,135 31,091
Net change in unrealized appreciation
on investments...................... 54,260 97,186
-------- -------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 85,329 135,667
-------- -------------
FROM CONTRACTOWNER TRANSACTIONS
Premiums.............................. 67,425 135,735
Net contractowner transfers from (to)
fixed account....................... 4,385 (36,831)
Withdrawals........................... (11,813) (16,442)
Death benefits........................ (1,482) (3,878)
-------- -------------
NET INCREASE IN NET ASSETS RESULTING
FROM CONTRACTOWNER TRANSACTIONS 58,515 78,584
-------- -------------
NET INCREASE IN NET ASSETS 143,844 214,251
NET ASSETS
Beginning of year................... 757,982 543,731
-------- -------------
End of period....................... $901,826 $ 757,982
-------- -------------
-------- -------------
</TABLE>
See notes to financial statements.
4
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1--ORGANIZATION
TIAA Separate Account VA-1 ("VA-1") is a segregated investment account of
Teachers Insurance and Annuity Association of America ("TIAA") and was organized
on February 16, 1994 under the insurance laws of the State of New York for the
purpose of issuing and funding variable annuity contracts. VA-1 was registered
with the Securities and Exchange Commission ("Commission") effective November 1,
1994 as an open-end, diversified management investment company under the
Investment Company Act of 1940. Currently, VA-1 consists of a single investment
portfolio, the Stock Index Account (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 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.
5
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- (Continued)
NOTE 4--INVESTMENTS
At June 30, 1999, the net unrealized appreciation on investments was
$296,317,816, consisting of gross unrealized appreciation of $307,787,727 and
gross unrealized depreciation of $11,469,911.
Purchases and sales of securities, other than short-term money market
instruments, for the six months ended June 30, 1999, were $355,900,666 and
$294,016,659, respectively.
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the Account
is presented below.
<TABLE>
<CAPTION>
October 3, 1994
Six Months (date
Ended Years Ended December 31, established) to
June 30, 1999 ---------------------------------- December 31, 1994
(1) 1998 1997 1996 1995 (1)
------------- ------- ------- ------- ------------------------
<S> <C> <C> <C> <C> <C> <C>
<CAPTION>
(Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income......................................... $ .469 $ .908 $ .847 $ .807 $ .745 $ .206
Expenses.................................................. .130 .223 .182 .150 .170 .034
------------- ------- ------- ------- ------- -------
Investment income--net.................................... .339 .685 .665 .657 .575 .172
Net realized and unrealized gain on investments........... 6.981 12.407 12.429 6.755 8.565 .099
------------- ------- ------- ------- ------- -------
Net increase in
Accumulation Unit Value................................. 7.320 13.092 13.094 7.412 9.140 .271
Accumulation Unit Value:
Beginning of period..................................... 68.009 54.917 41.823 34.411 25.271 25.000
------------- ------- ------- ------- ------- -------
End of period........................................... $75.329 $68.009 $54.917 $41.823 $34.411 $25.271
------------- ------- ------- ------- ------- -------
------------- ------- ------- ------- ------- -------
Total return................................................ 10.76% 23.84% 31.31% 21.54% 36.17% 1.08%
Ratio to Average Net Assets:
Expenses (2).............................................. 0.18% 0.37% 0.37% 0.40% 0.55% 0.13%
Investment income--net.................................... 0.48% 1.14% 1.36% 1.74% 1.87% 0.68%
Portfolio turnover rate..................................... 36.05% 45.93% 2.39% 4.55% 0.98% 0.04%
Thousands of Accumulation Units outstanding at end of
period.................................................... 11,972 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).
6
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- (Concluded)
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 1999 December 31, 1998
---------------- --------------------
<S> <C> <C>
<CAPTION>
(Unaudited)
<S> <C> <C>
Accumulation Units:
Credited for premiums................. 954,175 2,250,490
Cancelled for transfers and
disbursements....................... (127,758) (1,006,137)
Outstanding:
Beginning of year................... 11,145,401 9,901,048
---------------- ----------
End of period....................... 11,971,818 11,145,401
---------------- ----------
---------------- ----------
</TABLE>
7
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT (Unaudited)
JUNE 30, 1999
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........................... 22 0.00
INSTRUMENTS AND RELATED PRODUCTS.... 0 0.00
INSURANCE CARRIERS.................. 29 0.00
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS.......................... 143 0.02
-------- ------
TOTAL PREFERRED STOCK
(COST $148)......................... 194 0.02
-------- ------
COMMON STOCK
AGRICULTURAL PRODUCTION-CROPS....... 647 0.07
AGRICULTURAL SERVICES............... 14 0.00
AMUSEMENT AND RECREATION SERVICES... 868 0.10
APPAREL AND ACCESSORY STORES........ 5,402 0.60
APPAREL AND OTHER TEXTILE PRODUCTS.. 1,089 0.12
AUTO REPAIR, SERVICES AND PARKING... 505 0.06
AUTOMOTIVE DEALERS AND SERVICE
STATIONS.......................... 916 0.10
BUILDING MATERIALS AND GARDEN
SUPPLIES.......................... 8,753 0.97
BUSINESS SERVICES................... 70,438 7.81
CHEMICALS AND ALLIED PRODUCTS....... 107,951 11.97
COAL MINING......................... 29 0.00
COMMUNICATIONS...................... 108,916 12.08
DEPOSITORY INSTITUTIONS............. 72,479 8.04
EATING AND DRINKING PLACES.......... 7,407 0.82
EDUCATIONAL SERVICES................ 319 0.04
ELECTRIC, GAS, AND SANITARY
SERVICES.......................... 32,983 3.66
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT......................... 72,904 8.08
ENGINEERING AND MANAGEMENT
SERVICES.......................... 1,784 0.20
FABRICATED METAL PRODUCTS........... 6,449 0.71
FOOD AND KINDRED PRODUCTS........... 30,253 3.35
FOOD STORES......................... 6,275 0.70
FORESTRY............................ 111 0.01
FURNITURE AND FIXTURES.............. 2,289 0.25
FURNITURE AND HOMEFURNISHINGS
STORES............................ 2,957 0.33
GENERAL BUILDING CONTRACTORS........ 796 0.09
GENERAL MERCHANDISE STORES.......... 20,711 2.30
HEALTH SERVICES..................... 3,973 0.44
HEAVY CONSTRUCTION, EXCEPT
BUILDING.......................... 441 0.05
HOLDING AND OTHER INVESTMENT
OFFICES........................... 8,203 0.91
<CAPTION>
VALUE %
-------- ------
<S> <C> <C>
HOTELS AND OTHER LODGING PLACES..... $ 2,761 0.31%
INDUSTRIAL MACHINERY AND
EQUIPMENT......................... 69,912 7.75
INSTRUMENTS AND RELATED PRODUCTS.... 20,529 2.28
INSURANCE AGENTS, BROKERS AND
SERVICE........................... 1,640 0.18
INSURANCE CARRIERS.................. 45,039 4.99
LEATHER AND LEATHER PRODUCTS........ 174 0.02
LEGAL SERVICES...................... 57 0.01
LOCAL AND INTERURBAN PASSENGER
TRANSIT........................... 60 0.01
LUMBER AND WOOD PRODUCTS............ 2,093 0.23
METAL MINING........................ 1,246 0.14
MISCELLANEOUS MANUFACTURING
INDUSTRIES........................ 4,078 0.45
MISCELLANEOUS RETAIL................ 8,404 0.93
MOTION PICTURES..................... 10,223 1.13
NONDEPOSITORY INSTITUTIONS.......... 18,776 2.08
NONMETALLIC MINERALS, EXCEPT FUELS.. 512 0.06
OIL AND GAS EXTRACTION.............. 7,172 0.80
PAPER AND ALLIED PRODUCTS........... 7,956 0.88
PERSONAL SERVICES................... 1,288 0.14
PETROLEUM AND COAL PRODUCTS......... 32,203 3.57
PRIMARY METAL INDUSTRIES............ 3,711 0.41
PRINTING AND PUBLISHING............. 8,032 0.89
RAILROAD TRANSPORTATION............. 3,972 0.44
REAL ESTATE......................... 595 0.07
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS.......................... 4,125 0.46
SECURITY AND COMMODITY BROKERS...... 13,085 1.45
SOCIAL SERVICES..................... 58 0.01
SPECIAL TRADE CONTRACTORS........... 16 0.00
STONE, CLAY, AND GLASS PRODUCTS..... 2,661 0.30
TEXTILE MILL PRODUCTS............... 823 0.09
TOBACCO PRODUCTS.................... 7,699 0.85
TRANSPORTATION BY AIR............... 4,724 0.52
TRANSPORTATION EQUIPMENT............ 27,120 3.01
TRANSPORTATION SERVICES............. 637 0.07
TRUCKING AND WAREHOUSING............ 845 0.09
WATER TRANSPORTATION................ 325 0.04
WHOLESALE TRADE-DURABLE GOODS....... 1,926 0.21
WHOLESALE TRADE-NONDURABLE GOODS.... 6,503 0.72
-------- ------
TOTAL COMMON STOCK
(COST $600,568)..................... 896,842 99.45
-------- ------
SHORT TERM INVESTMENT
U.S. GOVERNMENT AGENCY.............. 4,249 0.47
-------- ------
TOTAL SHORT TERM INVESTMENT
(COST $4,250)....................... 4,249 0.47
-------- ------
TOTAL PORTFOLIO
(COST $604,969)..................... 901,287 99.94
OTHER ASSETS & LIABILITIES, NET..... 539 0.06
-------- ------
NET ASSETS............................ $901,826 100.00%
-------- ------
-------- ------
</TABLE>
See notes to financial statements.
8
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT (Unaudited)
JUNE 30, 1999
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (000)
- ---------- ---------
<C> <S> <C>
BONDS--0.00%
CORPORATE BONDS--0.00%
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.00%
$ 1,950 - UGLY DUCKLING CORP (SUB DEB)
12.000%, 10/23/03............................................................ $ 2
---------
TOTAL CORPORATE BONDS
(COST $3)..................................................................... 2
---------
TOTAL BONDS
(COST $3)..................................................................... 2
---------
<CAPTION>
SHARES
- ----------
<C> <S> <C>
PREFERRED STOCK--0.02%
HOLDING AND OTHER INVESTMENT OFFICES--0.00%
503 SUPERIOR TRUST I SERIES A..................................................... 22
---------
INSTRUMENTS AND RELATED PRODUCTS--0.00%
3,500 - FRESENIUS MEDICAL CARE (CLASS D).............................................. 0
---------
INSURANCE CARRIERS--0.00%
389 AETNA, INC SERIES C........................................................... 29
---------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.02%
2,280 SEALED AIR CORP (CLASS A)..................................................... 143
---------
TOTAL PREFERRED STOCK
(COST $148)................................................................... 194
---------
COMMON STOCK--99.45%
AGRICULTURAL PRODUCTION--CROPS--0.07%
1,500 DELTA & PINE LAND CO.......................................................... 47
15,400 PIONEER-HI-BRED INTERNATIONAL, INC............................................ 600
---------
647
---------
AGRICULTURAL SERVICES--0.00%
1,000 - CADIZ, INC.................................................................... 9
400 - VETERINARY CENTERS OF AMERICA, INC............................................ 5
---------
14
---------
AMUSEMENT AND RECREATION SERVICES--0.10%
1,200 - AMERICAN SKIING CO............................................................ 5
10,400 - AMF BOWLING, INC.............................................................. 88
3,000 - BALLY TOTAL FITNESS HOLDINGS CORP............................................. 85
4,500 - BOYD GAMING CORP.............................................................. 32
1,700 - CHAMPIONSHIP AUTO RACING TEAMS, INC........................................... 51
200 CHURCHILL DOWNS, INC.......................................................... 7
200 - FAMILY GOLF CENTERS, INC...................................................... 2
2,400 - FLORIDA PANTHERS HOLDINGS, INC................................................ 26
9,800 - HARRAH'S ENTERTAINMENT, INC................................................... 216
2,400 - HOLLYWOOD PARK, INC........................................................... 41
1,300 - INTERNATIONAL SPEEDWAY CORP (CLASS A)......................................... 62
625 - LAKES GAMING, INC............................................................. 7
6,500 - MIRAGE RESORT, INC............................................................ 109
50 - PLAYERS INTERNATIONAL, INC.................................................... 0
400 - SFX ENTERTAINMENT, INC (CLASS A).............................................. 26
300 - SPEEDWAY MOTORSPORTS, INC..................................................... 12
2,400 - STATION CASINOS, INC.......................................................... 49
1,400 - WESTWOOD ONE, INC............................................................. 50
---------
868
---------
APPAREL AND ACCESSORY STORES--0.60%
7,764 - ABERCROMBIE & FITCH CO (CLASS A).............................................. 373
2,100 - AMERICAN EAGLE OUTFITTERS, INC................................................ 96
1,100 - ANN TAYLOR STORES CORP........................................................ 50
500 - BUCKLE, INC................................................................... 14
20 BURLINGTON COAT FACTORY WAREHOUSE CORP........................................ 0
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
2,800 CATO CORP (CLASS A)........................................................... $ 33
7,400 - CHARMING SHOPPES, INC......................................................... 45
1,300 - CHILDRENS PLACE RETAIL STORES................................................. 53
4,000 CLAIRES STORES, INC........................................................... 103
2,500 - FINISH LINE, INC (CLASS A).................................................... 28
3,800 - FOOTSTAR, INC................................................................. 141
1,000 - GADZOOKS, INC................................................................. 16
50,612 GAP, INC...................................................................... 2,550
3,800 - GENESCO, INC.................................................................. 55
400 - GOODYS FAMILY CLOTHING, INC................................................... 5
500 - GYMBOREE CORP................................................................. 5
2,100 INTIMATE BRANDS, INC (CLASS A)................................................ 99
50 - JUST FOR FEET, INC............................................................ 0
5,151 LIMITED, INC.................................................................. 234
1,050 - MENS WAREHOUSE, INC........................................................... 27
4,800 NORDSTROM, INC................................................................ 161
3,150 - PACIFIC SUNWEAR CALIFORNIA, INC............................................... 77
2,800 - PAYLESS SHOESOURCE, INC....................................................... 150
4,300 ROSS STORES, INC.............................................................. 217
900 - STEIN MART, INC............................................................... 8
24,700 TJX COS, INC.................................................................. 823
300 - URBAN OUTFITTERS, INC......................................................... 8
1,100 - WET SEAL, INC (CLASS A)....................................................... 31
---------
5,402
---------
APPAREL AND OTHER TEXTILE PRODUCTS--0.12%
600 AUTHENTIC FITNESS CORP........................................................ 11
300 - COLUMBIA SPORTSWEAR CO........................................................ 5
2,300 - DONNA KARAN INTERNATIONAL, INC................................................ 23
3,600 - HARTMARX CORP................................................................. 15
8,002 - JONES APPAREL GROUP, INC...................................................... 275
900 KELLWOOD CO................................................................... 24
3,600 LIZ CLAIBORNE, INC............................................................ 131
1,600 - NAUTICA ENTERPRISES, INC...................................................... 27
2,000 OSHKOSH B'GOSH, INC (CLASS A)................................................. 42
400 - OXFORD INDUSTRIES, INC........................................................ 11
500 PHILLIPS VAN HEUSEN CORP...................................................... 5
200 PILLOWTEX CORP................................................................ 3
2,800 - POLO RALPH LAUREN CORP........................................................ 53
2,800 - QUIKSILVER, INC............................................................... 73
5,700 VF CORP....................................................................... 244
5,500 WARNACO GROUP, INC (CLASS A).................................................. 147
---------
1,089
---------
AUTO REPAIR, SERVICES AND PARKING--0.06%
2,400 - AVIS RENT A CAR, INC.......................................................... 70
900 - BUDGET GROUP, INC............................................................. 11
50 CENTRAL PARKING CORP.......................................................... 2
2,800 - DOLLAR THRIFTY AUTOMOTIVE GROUP, INC.......................................... 65
600 HERTZ CORP (CLASS A).......................................................... 37
1,333 MIDAS, INC.................................................................... 38
8,250 ROLLINS TRUCK LEASING CORP.................................................... 92
7,300 RYDER SYSTEM, INC............................................................. 190
---------
505
---------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.10%
23,600 - AUTONATION, INC............................................................... 420
8,200 - AUTOZONE, INC................................................................. 247
2,900 - COPART, INC................................................................... 62
2,500 - CSK AUTO CORP................................................................. 68
</TABLE>
See notes to financial statements. 9
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
AUTOMOTIVE DEALERS AND SERVICE STATIONS--(CONTINUED)
1,300 - OREILLY AUTOMOTIVE, INC....................................................... $ 65
2,500 - PEP BOYS MANNY, MOE, & JACK CO................................................ 54
---------
916
---------
BUILDING MATERIALS AND GARDEN SUPPLIES--0.97%
2,400 FASTENAL CO................................................................... 126
111,800 HOME DEPOT, INC............................................................... 7,204
25,100 LOWES COS, INC................................................................ 1,423
---------
8,753
---------
BUSINESS SERVICES--7.81%
2,200 AARON RENTS, INC.............................................................. 49
400 - ABACUS DIRECT CORP............................................................ 37
3,800 - ACCLAIM ENTERTAINMENT, INC.................................................... 24
500 - ACKERLEY GROUP, INC........................................................... 9
4,133 - ACNEILSEN CORP................................................................ 125
4,760 - ACXIOM CORP................................................................... 119
200 - ADMINSTAFF, INC............................................................... 3
4,800 ADOBE SYSTEMS, INC............................................................ 394
700 - ADVENT SOFTWARE, INC.......................................................... 47
2,400 - ADVO, INC..................................................................... 50
4,000 - AFFILIATED COMPUTER SERVICES, INC (CLASS A)................................... 203
2,400 - ALTERNATIVE RESOURCES CORP.................................................... 17
78,201 AMERICA ONLINE, INC........................................................... 8,641
5,650 - AMERICAN MANAGEMENT SYSTEMS, INC.............................................. 181
1,800 ANALYSTS INTERNATIONAL CORP................................................... 26
600 - ANSWERTHINK CONSULTING GROUP.................................................. 15
1,000 - APAC TELESERVICES, INC........................................................ 3
1,800 - ASPECT DEVELOPMENT, INC....................................................... 33
700 AUTODESK, INC................................................................. 21
41,095 AUTOMATIC DATA PROCESSING, INC................................................ 1,808
900 - AVANT CORP.................................................................... 11
900 - AVT CORP...................................................................... 34
1,500 - AXENT TECHNOLOGIES, INC....................................................... 17
1,220 - AZTEC TECHNOLOGY PARTNERS, INC................................................ 2
100 - BARRA, INC.................................................................... 3
4,100 - BEA SYSTEMS, INC.............................................................. 117
900 - BISYS GROUP, INC.............................................................. 53
16,400 - BMC SOFTWARE, INC............................................................. 886
2,000 - BORG-WARNER SECURITY CORP..................................................... 41
1,500 - BROADVISION, INC.............................................................. 111
16,800 - CADENCE DESIGN SYSTEMS, INC................................................... 214
1,700 - CAMBRIDGE TECHNOLOGY PARTNERS, INC............................................ 30
600 - CARIBINER INTERNATIONAL, INC.................................................. 4
700 - CATALINA MARKETING CORP....................................................... 64
2,700 - CCC INFORMATION SERVICES GROUP, INC........................................... 35
1,500 - CDI CORP...................................................................... 51
7,100 - CENTURY BUSINESS SERVICES, INC................................................ 103
7,400 - CERIDIAN CORP................................................................. 242
100 - CERNER CORP................................................................... 2
2,500 - CHECKFREE HOLDINGS CORP....................................................... 69
1,300 - CHOICEPOINT, INC.............................................................. 87
2,800 - CIBER, INC.................................................................... 54
5,300 - CITRIX SYSTEMS, INC........................................................... 299
1,200 - CLARIFY, INC.................................................................. 50
5,100 - CMGI, INC..................................................................... 582
2,600 - CNET, INC..................................................................... 150
6,200 - COMDISCO, INC................................................................. 159
2,100 - COMPLETE BUSINESS SOLUTIONS, INC.............................................. 38
32,800 COMPUTER ASSOCIATES INTERNATIONAL, INC........................................ 1,804
1,250 - COMPUTER HORIZONS CORP........................................................ 17
11,496 - COMPUTER SCIENCES CORP........................................................ 795
1,300 COMPUTER TASK GROUP, INC...................................................... 22
24,600 - COMPUWARE CORP................................................................ 783
700 - CONCORD COMMUNICATIONS, INC................................................... 32
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
12,800 - CONVERGYS CORP................................................................ $ 246
900 - CORT BUSINESS SERVICES CORP................................................... 22
2,100 - COTELLIGENT, INC.............................................................. 16
5,600 - CSG SYSTEMS INTERNATIONAL, INC................................................ 147
5,860 - CYBERGUARD CORP............................................................... 7
800 - DATA DIMENSIONS, INC.......................................................... 3
1,800 - DATASTREAM SYSTEMS, INC....................................................... 29
1,200 - DBT ONLINE, INC............................................................... 39
1,200 - DELTEK SYSTEMS, INC........................................................... 12
1,700 - DENDRITE INTERNATIONAL, INC................................................... 61
2,300 - DOUBLECLICK, INC.............................................................. 211
2,186 - DST SYSTEMS, INC.............................................................. 137
1,300 - EARTHLINK NETWORK, INC........................................................ 80
4,700 - ELECTRONIC ARTS, INC.......................................................... 255
25,600 ELECTRONIC DATA SYSTEMS CORP.................................................. 1,448
4,300 - ELECTRONICS FOR IMAGING, INC.................................................. 221
5,500 - EMPLOYEE SOLUTIONS, INC....................................................... 7
200 - ENGINEERING ANIMATION, INC.................................................... 4
4,500 - EPICOR SOFTWARE CORP.......................................................... 33
8,900 EQUIFAX, INC.................................................................. 318
4,950 - EXCITE AT HOME................................................................ 267
1,300 - FACTSET RESEARCH SYSTEMS, INC................................................. 74
1,700 FAIR ISSAC & CO, INC.......................................................... 60
1,100 - FILENET CORP.................................................................. 13
32,506 FIRST DATA CORP............................................................... 1,591
7,675 - FISERV, INC................................................................... 240
60 - FORTE SOFTWARE, INC........................................................... 1
1,500 - GENESYS TELECOMMUNICATIONS
LABORATORIES, INC........................................................... 38
3,400 GERBER SCIENTIFIC, INC........................................................ 75
2,400 - GETTY IMAGES, INC............................................................. 45
1,100 - GREAT PLAINS SOFTWARE, INC.................................................... 52
2,200 - GT INTERACTIVE SOFTWARE CORP.................................................. 8
4,900 - GTECH HOLDINGS CORP........................................................... 115
4,000 - HARBINGER CORP................................................................ 50
800 - HNC SOFTWARE.................................................................. 25
30 - HYPERION SOLUTIONS CORP....................................................... 1
900 - I2 TECHNOLOGIES, INC.......................................................... 39
2,230 - IMATION CORP.................................................................. 55
1,900 - IMRGLOBAL CORP................................................................ 37
24,000 IMS HEALTH, INC............................................................... 750
400 - INACOM CORP................................................................... 5
2,000 - INDUSTRI-MATEMATIK INTERNATIONAL CORP......................................... 5
1,300 - INFORMATION ARCHITECTS CORP................................................... 3
14,000 - INFORMIX CORP................................................................. 119
2,700 - INFOSEEK CORP................................................................. 129
3,500 - INFOUSA, INC (CLASS B)........................................................ 30
1,000 - INKTOMI CORP.................................................................. 132
450 - INSPIRE INSURANCE SOLUTIONS, INC.............................................. 7
1,000 - INTEGRATED SYSTEMS, INC....................................................... 12
400 - INTELLIGROUP, INC............................................................. 3
5,800 - INTERGRAPH CORP............................................................... 45
2,500 - INTERIM SERVICES, INC......................................................... 52
3,300 - INTERNATIONAL NETWORK SERVICES................................................ 133
1,900 - INTERNATIONAL TELECOMMUNICATIONS.............................................. 30
800 INTERPOOL, INC................................................................ 10
8,802 INTERPUBLIC GROUP OF COS, INC................................................. 762
3,200 - INTUIT, INC................................................................... 288
1,200 - ISS GROUP, INC................................................................ 45
500 - J.D. EDWARDS & CO............................................................. 9
1,100 JACK HENRY & ASSOCIATES, INC.................................................. 43
1,200 - JDA SOFTWARE GROUP, INC....................................................... 11
2,800 - KEANE, INC.................................................................... 63
2,800 KELLY SERVICES, INC (CLASS A)................................................. 90
2,500 - LABOR READY, INC.............................................................. 81
</TABLE>
10 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
BUSINESS SERVICES--(CONTINUED)
2,550 - LAMAR ADVERTISING CO (CLASS A)................................................ $ 104
900 - LEASING SOLUTIONS, INC........................................................ 1
2,500 - LEGATO SYSTEMS, INC........................................................... 144
1,300 - LHS GROUP, INC................................................................ 43
3,300 - LYCOS, INC.................................................................... 303
3,100 - MACROMEDIA, INC............................................................... 109
5,800 MANPOWER, INC................................................................. 131
2,600 - MANUGISTICS GROUP, INC........................................................ 38
700 - MAPICS, INC................................................................... 7
3,300 - MASTECH CORP.................................................................. 61
700 MCGRATH RENTCORP.............................................................. 14
400 - MEDICAL MANAGER CORP.......................................................... 18
4,100 - MEDQUIST, INC................................................................. 179
1,300 - MEMBERWORKS, INC.............................................................. 38
6,800 - MENTOR GRAPHICS CORP.......................................................... 87
660 - MERANT PLC ADR................................................................ 13
3,100 - MERCURY INTERACTIVE CORP...................................................... 110
3,050 - METAMOR WORLDWIDE, INC........................................................ 73
1,000 - METRO INFORMATION SERVICES, INC............................................... 17
600 - MICROMUSE, INC................................................................ 30
257,458 - MICROSOFT CORP................................................................ 23,219
2,200 - MINDSPRING ENTERPRISES, INC................................................... 97
9,483 - MODIS PROFESSIONAL SERVICES................................................... 130
4 - MOMENTUM BUSINESS APPLICANTS, INC............................................. 0
2,600 NATIONAL COMPUTER SYSTEMS, INC................................................ 88
2,900 NATIONAL DATA CORP............................................................ 124
1,200 - NCO GROUP, INC................................................................ 46
4,100 - NETWORK APPLIANCE, INC........................................................ 229
500 - NETWORK SOLUTIONS, INC........................................................ 40
8,499 - NETWORKS ASSOCIATES, INC...................................................... 125
900 - NEW ERA OF NETWORKS, INC...................................................... 40
2,200 - NIELSEN MEDIA RESEARCH........................................................ 64
600 NORRELL CORP.................................................................. 11
5,700 - NOVA CORP (GEORGIA)........................................................... 143
4,300 - NOVACARE EMPLOYEE SERVICES, INC............................................... 12
22,500 - NOVELL, INC................................................................... 596
1,600 - OBJECTIVE SYSTEMS INTEGRATORS, INC............................................ 4
5,700 OLSTEN CORP................................................................... 36
11,400 OMNICOM GROUP, INC............................................................ 912
700 - ON ASSIGNMENT, INC............................................................ 18
2,900 - OPEN MARKET, INC.............................................................. 41
83,112 - ORACLE CORP................................................................... 3,086
5,100 - OUTDOOR SYSTEMS, INC.......................................................... 186
16,410 - PARAMETRIC TECHNOLOGY CORP.................................................... 228
18,450 PAYCHEX, INC.................................................................. 588
2,600 - PAYMENTECH, INC............................................................... 66
700 - PEGASYSTEMS, INC.............................................................. 7
9,200 - PEOPLESOFT, INC............................................................... 159
2,600 - PEREGRINE SYSTEMS, INC........................................................ 67
800 - PERSONNEL GROUP OF AMERICA, INC............................................... 8
4,200 #- PHYSICIAN COMPUTER NETWORK, INC............................................... 1
4,900 PITTSTON BRINKS GROUP CO...................................................... 131
2,300 - POLICY MANAGEMENT SYSTEMS CORP................................................ 69
1,900 - PREVIEW TRAVEL, INC........................................................... 42
6,300 #- PROCURENET, INC............................................................... 1
2,950 - PROGRESS SOFTWARE CORP........................................................ 83
200 - PROJECT SOFTWARE & DEVELOPMENT, INC........................................... 6
5,200 - PSINET, INC................................................................... 228
1,100 - QRS CORP...................................................................... 86
3,300 - QUADRAMED CORP................................................................ 27
6,683 - RATIONAL SOFTWARE CORP........................................................ 220
1,200 - REALNETWORKS, INC............................................................. 83
1,400 - REMEDY CORP................................................................... 38
1,700 - RENT WAY, INC................................................................. 42
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
300 - RENT-A-CENTER, INC............................................................ $ 7
1,800 - RENTAL SERVICE CORP........................................................... 52
5,400 - ROBERT HALF INTERNATIONAL, INC................................................ 140
3,100 ROLLINS, INC.................................................................. 49
1,300 - ROMAC INTERNATIONAL, INC...................................................... 12
2,700 - SABRE GROUP HOLDINGS, INC..................................................... 186
4,600 - SAFETY-KLEEN CORP............................................................. 83
1,200 - SAGA SYSTEMS, INC............................................................. 15
600 - SAPIENT CORP.................................................................. 34
1,500 SEI INVESTMENT CO............................................................. 132
2,400 SHARED MEDICAL SYSTEMS CORP................................................... 157
4,492 - SIEBEL SYSTEMS, INC........................................................... 298
4,700 - SITEL CORP.................................................................... 14
5,200 - SNYDER COMMUNICATIONS, INC.................................................... 170
1,000 - SOS STAFFING SERVICES, INC.................................................... 5
1,300 SOTHEBYS HOLDINGS, INC (CLASS A).............................................. 50
900 - SPORTSLINE U.S.A., INC........................................................ 32
1,200 - SPR, INC...................................................................... 6
1,600 - SS&C TECHNOLOGIES, INC........................................................ 12
800 - STAFFMARK, INC................................................................ 8
6,600 - STERLING COMMERCE, INC........................................................ 241
5,700 - STERLING SOFTWARE, INC........................................................ 152
3,600 - STRUCTURAL DYNAMICS RESEARCH CORP............................................. 67
54,500 - SUN MICROSYSTEMS, INC......................................................... 3,754
8,200 - SUNGARD DATA SYSTEMS, INC..................................................... 283
7,300 - SYBASE, INC................................................................... 80
1,700 - SYKES ENTERPRISES, INC........................................................ 57
3,900 - SYMANTEC CORP................................................................. 99
3,900 - SYNOPSYS, INC................................................................. 215
800 - SYNTEL, INC................................................................... 7
2,500 - SYSTEMS & COMPUTER TECHNOLOGY CORP............................................ 36
4,500 - SYSTEMSOFT CORP............................................................... 0
1,975 - TECHNOLOGY SOLUTIONS CO....................................................... 21
1,900 - TELETECH HOLDINGS, INC........................................................ 19
1,500 - TMP WORLDWIDE, INC............................................................ 95
1,000 TOTAL SYSTEM SERVICES, INC.................................................... 19
1,500 - TRANSACTION SYSTEM ARCHITECTURE............................................... 59
5,000 TRUE NORTH COMMUNICATIONS, INC................................................ 150
4,670 - UNITED RENTALS, INC........................................................... 138
5,500 - USWEB CORP.................................................................... 122
4,800 - VALASSIS COMMUNICATIONS, INC.................................................. 176
1,100 - VANTIVE CORP.................................................................. 13
500 - VERIO, INC.................................................................... 35
400 - VERISIGN, INC................................................................. 35
3,375 - VERITAS SOFTWARE CORP......................................................... 320
1,200 - VIASOFT, INC.................................................................. 4
1,800 - VISIO CORP.................................................................... 69
1,000 - WACKENHUT CORP SERIES A....................................................... 30
700 - WEST TELESERVICES CORP........................................................ 7
375 - WIND RIVER SYSTEMS, INC....................................................... 6
2,000 - XTRA CORP..................................................................... 92
10,400 - YAHOO, INC.................................................................... 1,791
2,900 - YOUNG & RUBICAM, INC.......................................................... 132
---------
70,438
---------
CHEMICALS AND ALLIED PRODUCTS--11.97%
111,000 ABBOTT LABORATORIES CO........................................................ 5,051
6,300 - ADVANCED TISSUE SCIENCE CO.................................................... 20
14,900 AIR PRODUCTS & CHEMICALS, INC................................................. 600
3,300 ALBEMARLE CORP................................................................ 76
4,300 ALBERTO CULVER CO (CLASS B)................................................... 114
1,900 - ALKERMES, INC................................................................. 44
4,300 ALLERGAN, INC................................................................. 477
95 - ALLERGAN SPECIALTY THERAPEUTICS, INC (CLASS A)................................ 1
2,300 - ALLIANCE PHARMACEUTICAL CORP.................................................. 6
2,900 ALPHARMA, INC (CLASS A)....................................................... 103
</TABLE>
See notes to financial statements. 11
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
CHEMICALS AND ALLIED PRODUCTS--(CONTINUED)
3,600 - ALZA CORP..................................................................... $ 183
90,900 AMERICAN HOME PRODUCTS CORP................................................... 5,227
38,040 - AMGEN, INC.................................................................... 2,316
1,800 - ANDRX CORP.................................................................... 139
2,700 ARCH CHEMICALS, INC........................................................... 66
2,000 - AVIRON, INC................................................................... 58
18,000 AVON PRODUCTS, INC............................................................ 999
4,000 - AXYS PHARMACEUTICALS, INC..................................................... 14
1,900 - BIO-TECHNOLOGY GENERAL CORP................................................... 12
10,200 - BIOGEN, INC................................................................... 656
1,800 - BIOMATRIX, INC................................................................ 39
400 BLOCK DRUG, INC (CLASS A)..................................................... 17
144,300 BRISTOL MYERS SQUIBB CO....................................................... 10,164
6,900 CABOT CORP.................................................................... 167
5,400 CALGON CARBON CORP............................................................ 32
4,000 CAMBREX CORP.................................................................. 105
800 - CARBIDE/GRAPHITE GROUP, INC................................................... 11
3,700 CARTER WALLACE, INC........................................................... 67
4,000 - CELL GENESYS, INC............................................................. 17
5,100 - CENTOCOR, INC................................................................. 238
4,400 - CEPHALON, INC................................................................. 76
400 - CHATTEM, INC.................................................................. 13
1,300 - CHIREX, INC................................................................... 42
5,640 - CHIRON CORP................................................................... 117
1,100 CHURCH & DWIGHT CO, INC....................................................... 48
5,400 CLOROX CO..................................................................... 577
20,400 COLGATE PALMOLIVE CO.......................................................... 2,015
1,900 - COLUMBIA LABORATORIES, INC.................................................... 16
4,000 - COR THERAPEUTICS, INC......................................................... 59
1,700 - COULTER PHARMACEUTICAL, INC................................................... 38
800 - CREATIVE BIOMOLECULES, INC.................................................... 3
60 - CRESCENDO PHARMACEUTICALS CORP................................................ 1
7,200 - CROMPTON & KNOWLES CORP....................................................... 141
4,900 - CYTEC INDUSTRIES, INC......................................................... 156
2,300 DEXTER CORP................................................................... 94
600 DIAGNOSTIC PRODUCTS CORP...................................................... 17
6,000 DIAL CORP..................................................................... 223
15,200 DOW CHEMICAL CO............................................................... 1,929
79,769 DU PONT (E.I.) DE NEMOURS & CO................................................ 5,449
2,800 - DURA PHARMACEUTICALS, INC..................................................... 33
4,000 EASTMAN CHEMICAL CO........................................................... 207
9,900 ECOLAB, INC................................................................... 432
500 - EMISPHERE TECHNOLOGIES, INC................................................... 4
1,950 FERRO CORP.................................................................... 54
3,600 - FMC CORP...................................................................... 246
4,100 - FOREST LABORATORIES, INC...................................................... 190
2,000 - FUISZ TECHNOLOGIES LTD........................................................ 7
1,411 FULLER (H.B.) CO.............................................................. 96
6,100 - GENZYME CORP (GENERAL DIVISION)............................................... 296
160 - GENZYME CORP (TISSUE REPAIR DIVISION)......................................... 0
86 - GENZYME-MOLECULAR ONCOLOGY.................................................... 0
3,600 GEON CO....................................................................... 116
3,100 - GILEAD SCIENCES, INC.......................................................... 162
12,400 - GRACE W.R. & CO............................................................... 228
3,000 GREAT LAKES CHEMICAL CORP..................................................... 138
200 - GUILFORD PHARMACEUTICALS, INC................................................. 3
2,750 HANNA (M.A.) CO............................................................... 45
8,200 HERCULES, INC................................................................. 322
2,800 - HESKA CORP.................................................................... 6
2,700 - HUMAN GENOME SCIENCES, INC.................................................... 107
6,151 ICN PHARMACEUTICALS, INC...................................................... 198
4,000 - ICOS CORP..................................................................... 163
1,100 - IDEC PHARMACEUTICALS CORP..................................................... 85
1,300 - IDEXX LABORATORIES, INC....................................................... 30
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
9,100 IMC GLOBAL, INC............................................................... $ 160
666 - IMC GLOBAL, INC WTS 12/22/00.................................................. 0
1,900 - IMCLONE SYSTEMS, INC.......................................................... 48
1,500 - IMMUNE RESPONSE CORP.......................................................... 8
3,000 - IMMUNEX CORP.................................................................. 382
400 - INHALE THERAPEUTIC SYSTEMS.................................................... 10
2,100 - INTERNATIONAL SPECIALTY PRODUCTS, INC......................................... 21
200 - INTERNEURON PHARMACEUTICALS, INC.............................................. 1
4,300 INTERNATIONAL FLAVORS & FRAGRANCES, INC....................................... 191
4,000 - ISIS PHARMACEUTICALS, INC..................................................... 41
9,200 - IVAX CORP..................................................................... 130
97,202 JOHNSON & JOHNSON CO.......................................................... 9,526
600 JONES PHARMACEUTICAL, INC..................................................... 24
2,200 - KV PHARMACEUTICAL CO (CLASS B)................................................ 35
9,100 LAUDER (ESTEE) CO (CLASS A)................................................... 456
1,900 - LIGAND PHARMACEUTICALS CO (CLASS A)........................................... 21
64,992 LILLY (ELI) & CO.............................................................. 4,655
3,700 LILLY INDUSTRIES, INC (CLASS A)............................................... 69
4,700 - LIPOSOME CO, INC.............................................................. 90
5,200 LUBRIZOL CORP................................................................. 142
1,300 MACDERMID, INC................................................................ 60
3,100 - MACROCHEM CORP (DELAWARE)..................................................... 18
9,600 MALLINCKRODT, INC............................................................. 349
2,800 - MATRIX PHARMACEUTICALS, INC................................................... 12
700 - MCWHORTER TECHNOLOGIES, INC................................................... 10
1,750 - MEDICIS PHARMACEUTICAL CORP (CLASS A)......................................... 44
4,300 - MEDIMMUNE, INC................................................................ 291
169,400 MERCK & CO, INC............................................................... 12,536
400 MILLENNIUM CHEMICAL, INC...................................................... 9
3,100 - MILLENNIUM PHARMACEUTICALS, INC............................................... 112
1,600 MINERALS TECHNOLOGIES, INC.................................................... 89
1,000 - MIRAVANT MEDICAL TECHNOLOGY................................................... 7
200 MISSISSIPPI CHEMICAL CORP..................................................... 2
50,200 MONSANTO CO................................................................... 1,980
8,800 MYLAN LABORATORIES, INC....................................................... 233
1,800 - NABI, INC..................................................................... 5
5,900 NALCO CHEMICAL CORP........................................................... 306
1,900 NATURES SUNSHINE PRODUCTS, INC................................................ 20
1,900 - NBTY, INC..................................................................... 12
200 NCH CORP...................................................................... 10
1,000 - NEOPROBE CORP................................................................. 1
2,000 - NEUROGEN CORP................................................................. 29
800 - NEXSTAR PHARMACEUTICALS, INC.................................................. 16
275 - OCTEL CORP.................................................................... 3
525 - ORGANOGENESIS, INC............................................................ 5
11,300 - PERRIGO CO.................................................................... 86
92,400 PFIZER, INC................................................................... 10,141
34,480 PHARMACIA & UPJOHN, INC....................................................... 1,959
1,800 - PHARMACYCLICS, INC............................................................ 50
12,700 PPG INDUSTRIES, INC........................................................... 750
10,100 PRAXAIR, INC.................................................................. 494
95,100 PROCTER & GAMBLE CO........................................................... 8,488
800 - PROTEIN DESIGN LABORATORIES, INC.............................................. 18
1,700 - REGENERON PHARMACEUTICALS, INC................................................ 13
1,100 - REVLON, INC (CLASS A)......................................................... 33
4,000 - REXALL SUNDOWN, INC........................................................... 49
3,200 - ROBERTS PHARMACEUTICAL CORP................................................... 78
9,200 ROHM & HAAS CO................................................................ 394
4,031 RPM, INC...................................................................... 57
800 - SCHEIN PHARMACEUTICAL, INC.................................................... 10
105,800 SCHERING-PLOUGH CORP.......................................................... 5,607
3,500 SCHULMAN (A.), INC............................................................ 60
2,200 - SCOTTS CO (CLASS A)........................................................... 105
1,400 - SEROLOGICALS CORP............................................................. 11
12,800 SHERWIN-WILLIAMS CO........................................................... 355
</TABLE>
12 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
CHEMICALS AND ALLIED PRODUCTS--(CONTINUED)
5,000 - SICOR, INC.................................................................... $ 21
11,900 SIGMA ALDRICH CORP............................................................ 410
1,000 STEPAN CO..................................................................... 25
1,700 - SUGEN, INC.................................................................... 50
2,000 - SUPERGEN, INC................................................................. 31
3,200 - TECHNE CORP................................................................... 81
700 - THERAGENICS CORP.............................................................. 5
1,200 - THERMOLASE CORP............................................................... 2
2,800 - TRANSKARYOTIC THERAPIES, INC.................................................. 92
3,400 - TRIANGLE PHARMACEUTICALS, INC................................................. 61
1,400 - TWINLAB CORP.................................................................. 12
600 - U.S.A. DETERGENTS, INC........................................................ 4
7,400 UNION CARBIDE CORP............................................................ 361
3,700 VALSPAR CORP.................................................................. 141
1,000 - VERTEX PHARMACEUTICALS, INC................................................... 24
2,600 - VICAL, INC.................................................................... 32
2,000 - VIROPHARMA, INC............................................................... 15
59,118 WARNER-LAMBERT CO............................................................. 4,101
5,300 - WATSON PHARMACEUTICALS, INC................................................... 186
600 WELLMAN, INC.................................................................. 10
2,000 WEST PHARMACEUTICAL SERVICES.................................................. 79
3,500 WITCO CORP.................................................................... 70
1,500 - ZILA, INC..................................................................... 5
500 - ZONAGEN, INC.................................................................. 5
---------
107,951
---------
COAL MINING--0.00%
2,100 ARCH COAL, INC................................................................ 29
---------
COMMUNICATIONS--12.08%
1,600 - @ENTERTAINMENT, INC........................................................... 30
3,300 - ADELPHIA COMMUNICATIONS CORP (CLASS A)........................................ 210
1,700 - AERIAL COMMUNICATIONS, INC.................................................... 23
100 - ALCATEL S.A. ADR.............................................................. 3
1,800 ALIANT COMMUNICATIONS, INC.................................................... 83
15,746 ALLTEL CORP................................................................... 1,126
3,000 - AMERICAN MOBILE SATELLITE CORP................................................ 49
81,500 AMERITECH CORP................................................................ 5,990
700 - ARCH COMMUNICATIONS GROUP, INC................................................ 6
4,522 - ASCENT ENTERTAINMENT GROUP, INC............................................... 64
2,800 - ASSOCIATED GROUP, INC (CLASS A)............................................... 182
233,415 AT & T CORP................................................................... 13,027
78,182 - AT & T CORP - LIBERTY MEDIA GROUP (CLASS A)................................... 2,873
118,110 BELL ATLANTIC CORP............................................................ 7,721
151,200 BELLSOUTH CORP................................................................ 7,088
200 - BHC COMMUNICATIONS, INC (CLASS A)............................................. 26
8,300 - CABLEVISION SYSTEMS CORP (CLASS A)............................................ 581
2,600 - CAPSTAR BROADCASTING CORP (CLASS A)........................................... 71
54,606 - CBS CORP...................................................................... 2,372
1,300 - CD RADIO, INC................................................................. 40
1,000 - CELLULAR COMMUNICATIONS OF PUERTO RICO........................................ 29
10,275 CENTURYTEL, INC............................................................... 408
5,600 - CHANCELLOR MEDIA CORP (CLASS A)............................................... 309
49 - CHRIS CRAFT INDUSTRIES, INC................................................... 2
8,600 CINCINNATI BELL, INC.......................................................... 214
15,013 - CLEAR CHANNEL COMMUNICATIONS, INC............................................. 1,035
400 - COM21, INC.................................................................... 7
50,978 COMCAST CORP (CLASS A) SPECIAL................................................ 1,959
200 - COMMONWEALTH TELEPHONE ENTERPRISES............................................ 8
200 COMSAT CORP SERIES 1.......................................................... 7
3,600 - CONCENTRIC NETWORK CORP....................................................... 143
6,800 - COX COMMUNICATIONS, INC (CLASS A)............................................. 250
900 - COX RADIO, INC (CLASS A)...................................................... 49
3,000 - E.SPIRE COMMUNICATIONS, INC................................................... 32
200 - ELECTRIC LIGHTWAVE, INC (CLASS A)............................................. 3
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
100 - EMMIS COMMUNICATIONS (CLASS A)................................................ $ 5
1,700 - EXODUS COMMUNICATIONS, INC.................................................... 204
3,000 - FOX ENTERTAINMENT GROUP, INC.................................................. 81
9,600 FRONTIER CORP................................................................. 566
154 GAYLORD ENTERTAINMENT CO...................................................... 5
4,500 - GENERAL COMMUNICATIONS (CLASS A).............................................. 31
4,500 - GLOBAL TELESYSTEMS GROUP, INC................................................. 365
71,300 GTE CORP...................................................................... 5,401
4,500 - HEARST-ARGYLE TELEVISION, INC................................................. 108
3,300 - HIGHWAYMASTER COMMUNICATIONS, INC............................................. 5
2,900 - HISPANIC BROADCASTING CORP.................................................... 220
3,800 - ICG COMMUNICATIONS, INC....................................................... 81
1,600 - IDT CORP...................................................................... 36
3,000 - INFINITY BROADCASTING CORP (CLASS A).......................................... 89
2,600 - INTERMEDIA COMMUNICATIONS, INC................................................ 78
3,200 - ITC DELTACOM, INC............................................................. 90
1,200 - IXC COMMUNICATIONS, INC....................................................... 47
1,400 - JACOR COMMUNICATIONS, INC WTS 09/18/01........................................ 15
1,700 - JONES INTERCABLE, INC (CLASS A)............................................... 83
50 - LEAP WIRELESS INTERNATIONAL, INC.............................................. 1
23,700 - LEVEL 3 COMMUNICATIONS, INC................................................... 1,423
218,506 LUCENT TECHNOLOGIES, INC...................................................... 14,735
134,183 - MCI WORLDCOM, INC............................................................. 11,548
2,200 - MCLEODUSA, INC (CLASS A)...................................................... 121
45,300 - MEDIA ONE GROUP, INC.......................................................... 3,369
4,800 - METROCALL, INC................................................................ 13
2,800 - METROMEDIA FIBER NETWORK (CLASS A)............................................ 101
300 - MGC COMMUNICATIONS, INC....................................................... 8
9,700 - NEXTEL COMMUNICATIONS, INC (CLASS A).......................................... 487
3,800 - NEXTLINK COMMUNICATIONS, INC.................................................. 283
1,000 NORTH PITTSBURGH SYSTEMS, INC................................................. 17
5,400 - NTL, INC...................................................................... 465
200 - PACIFIC GATEWAY EXCHANGE, INC................................................. 6
5,000 - PAGEMART WIRELESS, INC (CLASS A).............................................. 38
13,500 - PAGING NETWORK, INC........................................................... 65
769 - PANAMSAT CORP................................................................. 30
300 - PEGASUS COMMUNICATIONS CORP................................................... 12
2,600 - POWERTEL, INC................................................................. 78
1,800 - PREMIERE TECHNOLOGIES, INC.................................................... 21
2,900 - PRIMUS TELECOMMUNICATIONS GROUP, INC.......................................... 65
9,846 - QWEST COMMUNICATIONS INTERNATIONAL, INC....................................... 326
2,600 - RCN CORP...................................................................... 108
146,596 SBC COMMUNICATIONS, INC....................................................... 8,503
3,200 - SKYTEL COMMUNICATIONS, INC.................................................... 67
2,400 - SMARTALK TELESERVICES, INC.................................................... 0
47,900 SPRINT CORP (FON GROUP)....................................................... 2,530
23,250 - SPRINT CORP (PCS GROUP)....................................................... 1,328
700 - STAR TELECOMMUNICATIONS, INC.................................................. 5
4,800 - TALK.COM, INC................................................................. 54
3,500 TCA CABLE TV, INC............................................................. 194
9,880 - TCI SATELLITE ENTERTAINMENT (CLASS A)......................................... 29
2,003 TELEPHONE & DATA SYSTEMS, INC................................................. 146
900 - TELIGENT, INC................................................................. 54
1,900 - TV GUIDE, INC................................................................. 70
600 - U.S. LEC CORP (CLASS A)....................................................... 14
2,900 - U.S. SATELLITE BROADCASTING, INC (CLASS A).................................... 53
36,811 U.S. WEST, INC................................................................ 2,163
5,750 - U.S.A. NETWORKS, INC.......................................................... 231
2,600 - UNITED INTERNATIONAL HOLDINGS, INC............................................ 176
2,200 - UNIVISION COMMUNICATIONS, INC................................................. 145
600 X- USN COMMUNICATIONS, INC.................................................... 0
7,400 - VIACOM, INC (CLASS A)......................................................... 327
30,700 - VIACOM, INC (CLASS B)......................................................... 1,351
20,750 - VODAFONE GROUP PLC ADR........................................................ 4,088
5,200 - VOICESTREAM WIRELESS CORP..................................................... 148
</TABLE>
See notes to financial statements. 13
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
COMMUNICATIONS--(CONTINUED)
3,200 - WAVO CORP..................................................................... $ 20
7,000 - WESTERN WIRELESS CORP (CLASS A)............................................... 189
3,100 - WINSTAR COMMUNICATIONS, INC................................................... 151
700 - YOUNG BROADCASTING, INC (CLASS A)............................................. 30
---------
108,916
---------
DEPOSITORY INSTITUTIONS--8.04%
4,700 AMCORE FINANCIAL, INC......................................................... 108
18,412 AMSOUTH BANCORP............................................................... 427
9,140 ASSOCIATED BANC-CORP.......................................................... 379
4,645 ASTORIA FINANCIAL CORP........................................................ 204
1,000 BANCFIRST OHIO CORP........................................................... 25
7,500 BANCORPSOUTH, INC............................................................. 136
3,800 BANCWEST CORP................................................................. 141
130,895 BANK OF AMERICA CORP.......................................................... 9,596
47,400 BANK OF NEW YORK CO, INC...................................................... 1,739
88,633 BANK ONE CORP................................................................. 5,279
3,300 - BANK PLUS CORP................................................................ 18
2,800 BANK UNITED CORP (CLASS A).................................................... 113
800 BANKATLANTIC BANCORP, INC (CLASS B)........................................... 7
21,070 BANKBOSTON CORP............................................................... 1,077
2,800 BANKNORTH GROUP, INC.......................................................... 92
1,100 - BANKUNITED FINANCIAL CORP (CLASS A)........................................... 11
3,300 BAY VIEW CAPITAL CORP......................................................... 68
17,748 BB&T CORP..................................................................... 651
2,090 BRENTON BANKS, INC............................................................ 32
900 BROOKLINE BANCORP, INC........................................................ 10
1,000 BSB BANCORP, INC.............................................................. 27
1,300 BT FINANCIAL CORP............................................................. 32
800 CATHAY BANCORP, INC........................................................... 34
4,700 CCB FINANCIAL CORP............................................................ 249
440 - CENTENNIAL BANCORP............................................................ 6
1,100 XCENTURA BANKS, INC........................................................... 62
18,122 CHARTER ONE FINANCIAL, INC.................................................... 504
65,640 CHASE MANHATTAN CORP.......................................................... 5,686
500 CHEMICAL FINANCIAL CORP....................................................... 17
2,400 CHITTENDEN CORP............................................................... 75
2,000 CITIZENS BANKING CORP (MICHIGAN).............................................. 60
88 CITY HOLDINGS CO.............................................................. 3
5,700 CITY NATIONAL CORP............................................................ 213
300 - CNB BANCSHARES, INC........................................................... 17
3,900 COLONIAL BANCGROUP, INC....................................................... 54
12,500 COMERICA, INC................................................................. 743
5,738 COMMERCE BANCSHARES, INC...................................................... 231
50 COMMERCIAL FEDERAL CORP....................................................... 1
1,200 COMMUNITY BANK SYSTEM, INC.................................................... 30
6,800 COMMUNITY FIRST BANKSHARES, INC............................................... 162
1,540 COMMUNITY TRUST BANCORP, INC.................................................. 36
8,550 COMPASS BANCSHARES, INC....................................................... 233
6,962 - CONCORD EFS, INC.............................................................. 295
400 CORUS BANKSHARES, INC......................................................... 13
8,800 CULLEN FROST BANKERS, INC..................................................... 243
10,200 DIME BANCORP, INC............................................................. 205
2,000 DIME COMMUNITY BANCORP, INC................................................... 47
330 DOWNEY FINANCIAL CORP......................................................... 7
400 F & M BANCORP, INC (WISCONSIN)................................................ 15
600 FARMERS CAPITAL BANK CORP..................................................... 21
13,850 FIFTH THIRD BANCORP........................................................... 922
4,002 FIRST AMERICAN CORP........................................................... 166
300 FIRST BANCORP (PUERTO RICO)................................................... 7
1,200 FIRST CHARTER CORP............................................................ 30
100 FIRST CITIZENS BANCSHARES, INC (CLASS A)...................................... 8
500 FIRST COMMERCE BANCSHARES, INC................................................ 12
101 - FIRST FINANCIAL BANCORP....................................................... 2
1,500 FIRST INDIANA CORP............................................................ 32
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
200 FIRST LIBERTY FINANCIAL CORP.................................................. $ 6
200 - FIRST REPUBLIC BANK........................................................... 6
11,300 FIRST SECURITY CORP........................................................... 308
400 FIRST SENTINEL BANCORP, INC................................................... 4
6,500 FIRST TENNESSEE NATIONAL CORP................................................. 249
69,769 FIRST UNION CORP.............................................................. 3,279
3,300 FIRST VIRGINIA BANKS, INC..................................................... 162
1,500 FIRST WASHINGTON BANCORP, INC................................................. 30
300 FIRST WESTERN BANCORP, INC.................................................... 10
49,620 FIRSTAR CORP.................................................................. 1,389
1,200 - FIRSTFED FINANCIAL CORP....................................................... 23
2,500 FIRSTMERIT CORP............................................................... 70
49,334 FLEET FINANCIAL GROUP, INC.................................................... 2,189
800 FRONTIER FINANCIAL CORP....................................................... 20
9,099 FULTON FINANCIAL CORP......................................................... 188
800 GBC BANCORP................................................................... 16
500 - GOLD BANC CORP, INC........................................................... 7
12,100 - GOLDEN STATE BANCORP, INC..................................................... 266
3,400 - GOLDEN STATE BANCORP, INC WTS 01/01/01........................................ 4
6,700 GOLDEN WEST FINANCIAL CORP.................................................... 657
1,500 GRAND PREMIER FINANCIAL, INC.................................................. 19
7,300 GREENPOINT FINANCIAL CORP..................................................... 240
1,200 - HAMILTON BANCORP, INC......................................................... 29
1,000 HANCOCK HOLDINGS CO........................................................... 45
1,200 HARRIS FINANCIAL, INC......................................................... 13
12,600 HIBERNIA CORP (CLASS A)....................................................... 198
5,502 HUDSON UNITED BANCORP......................................................... 168
14,930 HUNTINGTON BANCSHARES, INC.................................................... 523
4,340 - IMPERIAL BANCORP.............................................................. 86
8,900 INDEPENDENCE COMMUNITY BANK CORP.............................................. 120
1,800 INDEPENDENT BANK CORP......................................................... 28
250 INTERWEST BANCORP, INC........................................................ 6
500 IRWIN FINANCIAL CORP.......................................................... 10
1,200 JSB FINANCIAL, INC............................................................ 61
33,160 KEYCORP....................................................................... 1,065
50 KEYSTONE FINANCIAL, INC....................................................... 1
1,000 - LOCAL FINANCIAL CORP.......................................................... 10
358 M & T BANK CORP............................................................... 197
75 MAF BANCORP, INC.............................................................. 2
6,759 MARSHALL & ILSLEY CORP........................................................ 435
51,255 MBNA CORP..................................................................... 1,570
34,200 MELLON BANK CORP.............................................................. 1,244
7,991 MERCANTILE BANCORP, INC....................................................... 456
1,855 MERCANTILE BANKSHARES CORP.................................................... 66
300 MERCHANTS NEW YORK BANCORP, INC............................................... 10
600 MID-AMERICA BANCORP........................................................... 15
13,300 MORGAN (J.P.) & CO, INC....................................................... 1,869
2,200 NATIONAL BANCORP OF ALASKA, INC............................................... 58
23,803 NATIONAL CITY CORP............................................................ 1,559
1,500 NATIONAL COMMERCE BANCORP..................................................... 33
1,100 - NATIONAL PROCESSING, INC...................................................... 11
14,448 NORTH FORK BANCORP, INC....................................................... 308
4,900 NORTHERN TRUST CORP........................................................... 475
2,100 OCEAN FINANCIAL CORP.......................................................... 38
3,100 - OCWEN ASSET INVESTMENT........................................................ 14
5,450 OLD KENT FINANCIAL CORP....................................................... 228
2,193 OLD NATIONAL BANCORP.......................................................... 66
193 ONE VALLEY BANCORP, INC....................................................... 7
1,100 PACIFIC CAPITAL BANCORP....................................................... 35
11,700 PACIFIC CENTURY FINANCIAL CORP................................................ 252
900 PARK NATIONAL CORP............................................................ 90
3,400 PEOPLES BANCORP, INC.......................................................... 34
1,968 PEOPLES HERITAGE FINANCIAL GROUP, INC......................................... 37
2,700 - PFF BANCORP, INC.............................................................. 51
25,250 PNC BANK CORP................................................................. 1,455
</TABLE>
14 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
DEPOSITORY INSTITUTIONS--(CONTINUED)
15,054 POPULAR, INC.................................................................. $ 456
200 - PRIME BANCSHARES, INC......................................................... 4
400 - PROVIDENT BANKSHARES CORP..................................................... 9
4,200 PROVIDENT FINANCIAL GROUP..................................................... 184
11,600 PROVIDIAN FINANCIAL CORP...................................................... 1,085
50 QUEENS COUNTY BANCORP, INC.................................................... 2
15,459 REGIONS FINANCIAL CORP........................................................ 594
400 RELIANCE BANCORP, INC......................................................... 11
5,202 REPUBLIC BANCORP, INC......................................................... 79
9,100 REPUBLIC NEW YORK CORP........................................................ 621
900 REPUBLIC SECURITY FINANCIAL CORP.............................................. 8
200 RICHMOND COUNTY FINANCIAL CORP................................................ 4
1,500 RIGGS NATIONAL CORP........................................................... 31
5,600 ROSLYN BANCORP, INC........................................................... 96
100 S & T BANCORP, INC............................................................ 3
800 SANDY SPRING BANCORP, INC..................................................... 22
2,000 - SILICON VALLEY BANCSHARES..................................................... 50
7,400 SKY FINANCIAL GROUP, INC...................................................... 202
11,250 SOUTHTRUST CORP............................................................... 432
5,340 SOVEREIGN BANCORP, INC........................................................ 65
75 ST. PAUL BANCORP, INC......................................................... 2
9,800 STATE STREET CORP............................................................. 837
3,300 STATEN ISLAND BANCORP, INC.................................................... 59
1,000 STERLING BANCORP.............................................................. 19
100 STERLING BANCSHARES, INC...................................................... 1
500 STERLING FINANCIAL CORP....................................................... 17
15,667 SUMMIT BANCORP................................................................ 655
19,962 SUNTRUST BANKS, INC........................................................... 1,386
6,350 SUSQUEHANNA BANCSHARES, INC................................................... 112
9,000 SYNOVUS FINANCIAL CORP........................................................ 179
8,800 TCF FINANCIAL CORP............................................................ 245
2,500 TEXAS REGIONAL BANCSHARES, INC (CLASS A)...................................... 68
2,400 TRUST CO OF NEW JERSEY........................................................ 56
7,600 TRUSTMARK CORP................................................................ 174
53,836 U.S. BANCORP.................................................................. 1,830
2,500 U.S. TRUST CORP............................................................... 231
2,500 UMB FINANCIAL CORP............................................................ 107
14,750 UNION PLANTERS CORP........................................................... 659
5,900 UNIONBANCAL CORP.............................................................. 213
1,600 UST CORP...................................................................... 48
6,922 VALLEY NATIONAL BANCORP....................................................... 199
13,736 WACHOVIA CORP................................................................. 1,175
9,342 WASHINGTON FEDERAL, INC....................................................... 210
47,108 WASHINGTON MUTUAL, INC........................................................ 1,666
700 WASHINGTON TRUST BANCORP, INC................................................. 13
5,100 WEBSTER FINANCIAL CORP........................................................ 138
118,440 WELLS FARGO CO................................................................ 5,063
300 WESBANCO, INC................................................................. 9
2,400 WEST COAST BANCORP (OREGON)................................................... 42
1,100 WESTAMERICA BANCORP........................................................... 40
900 WESTERNBANK PUERTO RICO....................................................... 12
1,400 WHITNEY HOLDINGS CORP......................................................... 56
600 XWILSHIRE FINANCIAL SERVICES, INC............................................. 0
4,200 ZIONS BANCORP................................................................. 267
---------
72,479
---------
EATING AND DRINKING PLACES--0.82%
4,100 - APPLEBEES INTERNATIONAL, INC.................................................. 124
7,100 BOB EVANS FARMS, INC.......................................................... 141
8,300 X- BOSTON CHICKEN, INC........................................................ 5
6,500 - BRINKER INTERNATIONAL, INC.................................................... 177
2,100 CBRL GROUP, INC............................................................... 36
2,900 - CEC ENTERTAINMENT, INC........................................................ 123
2,000 CKE RESTAURANTS, INC.......................................................... 33
12,400 DARDEN RESTAURANTS, INC....................................................... 270
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
2,000 - DAVE & BUSTERS, INC........................................................... $ 58
5,200 - FOODMAKER, INC................................................................ 148
7,149 HOST MARRIOTT CORP (NEW)...................................................... 85
2,800 - IHOP CORP (NEW)............................................................... 67
1,400 - LANDRYS SEAFOOD RESTAURANTS, INC.............................................. 11
4,800 - LONE STAR STEAKHOUSE & SALOON, INC............................................ 47
3,900 LUBYS, INC.................................................................... 59
15,500 MARRIOTT INTERNATIONAL (CLASS A).............................................. 579
95,200 MCDONALD'S CORP............................................................... 3,933
66 MORRISON HEALTH CARE, INC..................................................... 2
1,200 - NPC INTERNATIONAL, INC........................................................ 18
3,950 - OUTBACK STEAKHOUSE, INC....................................................... 155
900 - PAPA JOHNS INTERNATIONAL, INC................................................. 40
1,900 - PLANET HOLLYWOOD, INC (CLASS A)............................................... 1
50 - RAINFOREST CAFE, INC.......................................................... 0
5,200 RUBY TUESDAY, INC............................................................. 99
6,300 - RYANS FAMILY STEAK HOUSES, INC................................................ 73
3,200 - SONIC CORP.................................................................... 104
1,000 - THE CHEESECAKE FACTORY CO..................................................... 31
10,940 - TRICON GLOBAL RESTAURANTS, INC................................................ 592
1,460 - U.S. FOODSERVICE, INC......................................................... 62
4,300 VIAD CORP..................................................................... 133
7,100 WENDYS INTERNATIONAL, INC..................................................... 201
---------
7,407
---------
EDUCATIONAL SERVICES--0.04%
1,900 - APOLLO GROUP, INC (CLASS A)................................................... 50
4,500 - DEVRY, INC.................................................................... 101
3,000 - EDUCATION MANAGEMENT CORP..................................................... 62
800 - LEARNING TREE INTERNATIONAL, INC.............................................. 9
3,550 - SYLVAN LEARNING SYSTEMS, INC.................................................. 97
---------
319
---------
ELECTRIC, GAS, AND SANITARY SERVICES--3.66%
7,400 - AES CORP...................................................................... 430
7,100 AGL RESOURCES, INC............................................................ 131
16,600 ALLEGHENY ENERGY, INC......................................................... 532
2,800 ALLIANT ENERGY CORP........................................................... 79
10,400 - ALLIED WASTE INDUSTRIES, INC.................................................. 205
13,260 AMEREN CORP................................................................... 509
12,700 AMERICAN ELECTRIC POWER CO, INC............................................... 477
300 AMERICAN WATER WORKS CO, INC.................................................. 9
17,400 - AQUA ALLIANCE, INC............................................................ 17
1,040 ATMOS ENERGY CORP............................................................. 26
4,100 AVISTA CORP................................................................... 67
2,400 BEC ENERGY.................................................................... 99
3,300 BLACK HILLS CORP.............................................................. 76
11,400 BROWNING FERRIS INDUSTRIES, INC............................................... 490
700 - CALIFORNIA WATER SERVICE GROUP................................................ 18
1,500 - CALPINE CORP.................................................................. 81
10,300 CAROLINA POWER & LIGHT CO..................................................... 441
1,100 - CASELLA WASTE SYSTEMS, INC (CLASS A).......................................... 29
23,200 CENTRAL & SOUTH WEST CORP..................................................... 542
1,300 CENTRAL HUDSON GAS & ELECTRIC CORP............................................ 55
100 CILCORP, INC.................................................................. 6
16,800 CINERGY CORP.................................................................. 538
1,580 - CITIZENS UTILITIES CO (CLASS B)............................................... 18
2,026 CMP GROUP, INC................................................................ 53
5,300 CMS ENERGY CORP............................................................... 222
17,000 COASTAL CORP.................................................................. 680
7,800 COLUMBIA ENERGY GROUP......................................................... 489
100 COMMONWEALTH ENERGY SYSTEM CO................................................. 4
15,425 CONECTIV, INC................................................................. 377
537 CONECTIV, INC (CLASS A)....................................................... 23
500 CONNECTICUT ENERGY CORP....................................................... 19
12,400 CONSOLIDATED EDISON CO OF N.Y., INC........................................... 561
</TABLE>
See notes to financial statements. 15
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED)
9,200 CONSOLIDATED NATURAL GAS CO................................................... $ 559
18,800 CONSTELLATION ENERGY GROUP.................................................... 557
13,100 DOMINION RESOURCES, INC....................................................... 567
3,500 DPL, INC...................................................................... 64
300 DQE, INC...................................................................... 12
16,100 DTE ENERGY CO................................................................. 644
24,633 DUKE ENERGY CORP.............................................................. 1,339
1,600 EASTERN ENTERPRISES CO........................................................ 64
29,300 EDISON INTERNATIONAL CO....................................................... 784
8,302 EL PASO ENERGY CORP........................................................... 292
4,400 ENERGEN CORP.................................................................. 82
5,400 ENERGY EAST CORP.............................................................. 140
12,300 ENTERGY CORP.................................................................. 384
5,700 EQUITABLE RESOURCES, INC...................................................... 215
21,602 FIRSTENERGY CORP.............................................................. 670
10,300 FLORIDA PROGRESS CORP......................................................... 426
9,700 FPL GROUP, INC................................................................ 530
16,300 GPU, INC...................................................................... 688
1,600 HAWAIIAN ELECTRIC INDUSTRIES, INC............................................. 57
4,600 IDACORP, INC.................................................................. 145
1,600 - ILLINOVA CORP................................................................. 44
5,133 INDIANA ENERGY, INC........................................................... 109
10,500 KANSAS CITY POWER & LIGHT CO.................................................. 268
11,000 - KELLEY OIL & GAS CORP......................................................... 2
3,400 - KEYSPAN CORP.................................................................. 90
3,000 LACLEDE GAS CO................................................................ 70
18,100 LOUISVILLE GAS & ELECTRIC ENERGY CORP......................................... 380
6,000 MCN ENERGY GROUP, INC......................................................... 125
5,900 MDU RESOURCES GROUP, INC...................................................... 135
2,500 - MIDAMERICAN ENERGY HOLDINGS CO................................................ 87
6,100 X- MOLTEN METAL TECHNOLOGY, INC............................................... 0
1,100 MONTANA POWER CO.............................................................. 78
6,700 NATIONAL FUEL GAS CO.......................................................... 325
100 NEVADA POWER CO............................................................... 3
11,985 NEW CENTURY ENERGIES, INC..................................................... 465
400 NEW JERSEY RESOURCES CORP..................................................... 15
8,400 - NIAGARA MOHWAK HOLDINGS, INC.................................................. 135
8,200 NICOR, INC.................................................................... 312
2,400 - NISOURCE, INC................................................................. 62
3,200 - NORTHEAST UTILITIES CO........................................................ 57
18,500 NORTHERN STATES POWER CO...................................................... 447
150 NORTHWEST NATURAL GAS CO...................................................... 4
2,900 NORTHWESTERN CORP............................................................. 70
2,200 NUI CORP...................................................................... 55
13,700 OGE ENERGY CORP............................................................... 325
1,980 ONEOK, INC.................................................................... 63
2,800 ORANGE & ROCKLAND UTILITY, INC................................................ 164
500 OTTER TAIL POWER CO........................................................... 19
500 PACIFICORP.................................................................... 9
21,300 PECO ENERGY CO................................................................ 892
5,100 PEOPLES ENERGY CORP........................................................... 192
27,429 PG&E CORP..................................................................... 891
99 PIEDMONT NATURAL GAS CO, INC.................................................. 3
6,300 PINNACLE WEST CAPITAL CORP.................................................... 254
600 POTOMAC ELECTRIC POWER CO..................................................... 18
17,394 PP&L RESOURCES, INC........................................................... 535
3,200 PUBLIC SERVICE CO OF NEW MEXICO............................................... 64
14,600 PUBLIC SERVICE ENTERPRISE GROUP, INC.......................................... 597
10,178 PUGET SOUND ENERGY, INC....................................................... 244
12,800 QUESTAR CORP.................................................................. 245
28,203 RELIANT ENERGY, INC........................................................... 779
6,300 ROCHESTER GAS & ELECTRIC CORP................................................. 167
7,600 SCANA CORP.................................................................... 178
32,118 SEMPRA ENERGY................................................................. 727
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
5,800 SONAT, INC.................................................................... $ 192
1,300 SOUTH JERSEY INDUSTRIES, INC.................................................. 37
44,700 SOUTHERN CO................................................................... 1,185
700 - SOUTHWESTERN ENERGY CO........................................................ 7
1,100 - SUPERIOR SERVICES, INC........................................................ 29
16,400 TECO ENERGY, INC.............................................................. 373
29,767 TEXAS UTILITIES CO............................................................ 1,228
1,500 TNP ENTERPRISES, INC.......................................................... 54
5,637 UGI CORP...................................................................... 114
11,700 UNICOM CORP................................................................... 451
1,200 - UNISOURCE ENERGY CORP HOLDINGS CO............................................. 14
800 UNITED ILLUMINATING CO........................................................ 34
12,305 UTILICORP UNITED, INC......................................................... 299
3,800 WASHINGTON GAS LIGHT CO....................................................... 99
40,934 - WASTE MANAGEMENT, INC......................................................... 2,200
3,700 WESTERN GAS RESOURCES, INC.................................................... 59
4,300 WESTERN RESOURCES, INC........................................................ 114
800 WICOR, INC.................................................................... 22
27,329 WILLIAMS COS, INC............................................................. 1,163
2,800 WISCONSIN ENERGY CORP......................................................... 70
300 WPS RESOURCES CORP............................................................ 9
100 YANKEE ENERGY SYSTEMS, INC.................................................... 4
---------
32,983
---------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--8.08%
1,000 - AAVID THERMAL TECHNOLOGIES, INC............................................... 23
900 - ACTEL CORP.................................................................... 13
10,400 - ADC TELECOMMUNICATIONS, INC................................................... 474
1,400 - ADTRAN, INC................................................................... 51
600 - ADVANCED ENERGY INDUSTRIES, INC............................................... 24
4,000 - ADVANCED FIBRE COMMUNICATIONS................................................. 63
1,500 - ADVANCED LIGHTING TECHNOLOGIES, INC........................................... 14
8,600 - ADVANCED MICRO DEVICES, INC................................................... 155
7,608 ALLEGHENY TELEDYNE, INC....................................................... 172
800 - ALLEN TELECOM, INC............................................................ 9
14,400 - ALTERA CORP................................................................... 530
10,600 - AMERICAN POWER CONVERSION CORP................................................ 213
7,400 - AMERICAN TOWER SYSTEMS (CLASS A).............................................. 178
5,500 AMETEK, INC................................................................... 127
4,700 - AMKOR TECHNOLOGY, INC......................................................... 48
800 - AMPHENOL CORP (CLASS A)....................................................... 32
12,200 - ANALOG DEVICES, INC........................................................... 612
9,175 - ANDREW CORP................................................................... 174
1,500 - ANTEC CORP.................................................................... 48
800 - APPLIED MAGNETICS CORP........................................................ 2
1,200 - APPLIED MICRO CIRCUITS CORP................................................... 99
4,000 - ARTESYN TECHNOLOGIES, INC..................................................... 89
3,900 - ASPECT TELECOMMUNICATIONS CORP................................................ 38
6,400 - ATMEL CORP.................................................................... 168
300 - AVX CORP...................................................................... 7
466 BALDOR ELECTRIC CO............................................................ 9
600 - BENCHMARK ELECTRONICS, INC.................................................... 22
4,700 BMC INDUSTRIES, INC........................................................... 48
700 - BROADCOM CORP (CLASS A)....................................................... 101
450 - BURR BROWN CORP............................................................... 16
1,100 C&D TECHNOLOGIES, INC......................................................... 34
5,200 - CELLNET DATA SYSTEMS, INC..................................................... 47
1,100 - CHECKPOINT SYSTEMS, INC....................................................... 10
8,300 - CIENA CORP.................................................................... 251
5,000 - COMMSCOPE, INC................................................................ 154
5,212 - COMVERSE TECHNOLOGY, INC...................................................... 394
6,000 - CONEXANT SYSTEMS, INC......................................................... 348
4,800 COOPER INDUSTRIES, INC........................................................ 250
1,500 CTS CORP...................................................................... 105
7,300 - CYPRESS SEMICONDUCTOR CORP.................................................... 120
2,500 DALLAS SEMICONDUCTOR CORP..................................................... 126
</TABLE>
16 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED)
3,600 - DIGITAL MICROWAVE CORP........................................................ $ 46
3,500 - DII GROUP, INC................................................................ 131
2,400 - DSP COMMUNICATIONS, INC....................................................... 69
600 - ECHOSTAR COMMUNICATIONS CORP (CLASS A)........................................ 92
1,400 - ELECTRO SCIENTIFIC INDUSTRIES, INC............................................ 58
28,300 EMERSON ELECTRIC CO........................................................... 1,779
700 - EXCEL SWITCHING CORP.......................................................... 21
400 EXIDE CORP.................................................................... 6
3,900 - GENERAL DATACOMM INDUSTRIES, INC.............................................. 10
236,900 GENERAL ELECTRIC CO........................................................... 26,770
8,800 - GENERAL INSTRUMENT CORP....................................................... 374
25 - GENERAL SEMICONDUCTOR, INC.................................................... 0
17,200 X- GEOTEK COMMUNICATIONS, INC................................................. 0
4,925 - GLENAYRE TECHNOLOGIES, INC.................................................... 18
1,000 - HADCO CORP.................................................................... 40
2,235 HARMAN INTERNATIONAL INDUSTRIES, INC.......................................... 98
7,000 HARRIS CORP................................................................... 274
1,000 HELIX TECHNOLOGY CORP......................................................... 24
4,000 - HMT TECHNOLOGY CORP........................................................... 10
1,200 - HOLOPHANE CORP................................................................ 46
3,100 HUBBELL, INC (CLASS B)........................................................ 141
500 - HUTCHINSON TECHNOLOGY, INC.................................................... 14
700 INNOVEX, INC.................................................................. 10
11,000 - INTEGRATED DEVICE TECHNOLOGY, INC............................................. 120
245,000 INTEL CORP.................................................................... 14,578
1,300 INTER-TEL, INC................................................................ 24
500 - INTERDIGITAL COMMUNICATIONS CORP.............................................. 2
200 - INTERNATIONAL RECTIFIER CORP.................................................. 3
600 - ITI TECHNOLOGIES, INC......................................................... 14
1,900 - ITRON, INC.................................................................... 16
3,200 - JABIL CIRCUIT, INC............................................................ 144
1,400 - KEMET CORP.................................................................... 32
3,800 - KOMAG, INC.................................................................... 13
1,000 - L-3 COMMINUCATIONS HOLDINGS, INC.............................................. 48
2,100 - LATTICE SEMICONDUCTOR CORP.................................................... 131
1,975 - LEVEL ONE COMMUNICATIONS, INC................................................. 97
10,800 LINEAR TECHNOLOGY CO.......................................................... 726
3,100 - LITTLEFUSE, INC............................................................... 60
300 - LO-JACK CORP.................................................................. 3
10,900 - LSI LOGIC CORP................................................................ 503
7,800 - MAXIM INTEGRATED PRODUCTS..................................................... 519
5,400 MAYTAG CO..................................................................... 376
2,900 - MEMC ELECTRONIC MATERIALS, INC................................................ 35
1,600 - METHODE ELECTRONICS, INC (CLASS A)............................................ 37
800 - MICREL, INC................................................................... 59
5,125 - MICROCHIP TECHNOLOGY, INC..................................................... 243
14,400 - MICRON TECHNOLOGY, INC........................................................ 581
2,800 - MMC NETWORKS, INC............................................................. 125
4,237 MOLEX, INC.................................................................... 157
1,200 - MOOG, INC (CLASS A)........................................................... 41
45,600 MOTOROLA, INC................................................................. 4,321
500 - MRV COMMUNICATIONS, INC....................................................... 7
100 NATIONAL PRESTO INDUSTRIES, INC............................................... 4
11,400 - NATIONAL SEMICONDUCTOR CORP................................................... 289
6,600 NATIONAL SERVICE INDUSTRIES, INC.............................................. 238
900 - NATURAL MICROSYSTEMS CORP..................................................... 9
900 - OAK INDUSTRIES, INC........................................................... 39
6,300 - OAK TECHNOLOGY, INC........................................................... 23
4,700 - P-COM, INC.................................................................... 25
2,100 - PAIRGAIN TECHNOLOGIES, INC.................................................... 24
1,500 PARK ELECTROCHEMICAL CORP..................................................... 43
500 - PARKERVISION, INC............................................................. 18
900 - PHOTRONICS, INC............................................................... 22
1,600 - PICTURETEL CORP............................................................... 13
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
3,200 PITTWAY CORP (CLASS A)........................................................ $ 109
800 - PLANTRONICS, INC.............................................................. 52
1,800 - PLEXUS CORP................................................................... 54
5,600 - PMC-SIERRA, INC............................................................... 330
1,900 - POLYCOM, INC.................................................................. 74
700 - POWERWAVE TECHNOLOGIES, INC................................................... 23
4,200 - PREMISYS COMMUNICATIONS, INC.................................................. 31
1,500 - QLOGIC CORP................................................................... 198
9,200 - QUALCOMM, INC................................................................. 1,320
800 - RAMBUS, INC................................................................... 74
6,000 RAYCHEM CORP.................................................................. 222
1,900 - RAYOVAC CORP.................................................................. 43
3,400 - READ RITE CORP................................................................ 21
600 - RECOTON CORP.................................................................. 5
500 - REMEC, INC.................................................................... 8
6,500 - S3, INC....................................................................... 59
3,700 - SANMINA CORP.................................................................. 281
1,500 - SAWTEK, INC................................................................... 69
3,900 - SCI SYSTEMS, INC.............................................................. 185
6,300 SCIENTIFIC-ATLANTA, INC....................................................... 227
400 - SCM MICROSYSTEMS, INC......................................................... 19
2,000 - SDL, INC...................................................................... 102
900 - SEMTECH CORP.................................................................. 47
3,100 - SENSORMATIC ELECTRONICS CORP.................................................. 43
400 - SILICONIX, INC................................................................ 14
2,250 - SLI, INC...................................................................... 61
15,600 - SOLECTRON CORP................................................................ 1,040
2,600 STEWART & STEVENSON SERVICES, INC............................................. 40
13,700 - SUNBEAM CORP.................................................................. 109
1,600 TECHNITROL, INC............................................................... 52
2,900 TELEFLEX, INC................................................................. 126
26,600 - TELLABS, INC.................................................................. 1,797
28,800 TEXAS INSTRUMENTS, INC........................................................ 4,176
7,799 THOMAS & BETTS CORP........................................................... 369
500 THOMAS INDUSTRIES, INC........................................................ 10
4,600 - UCAR INTERNATIONAL, INC....................................................... 116
3,000 - UNIPHASE CORP................................................................. 498
1,900 - UNITRODE CORP................................................................. 55
800 - VARIAN SEMICONDUCTOR EQUIPMENT ASSOCIATION.................................... 14
1,700 - VICOR CORP.................................................................... 36
7,000 - VISHAY INTERTECHNOLOGY, INC................................................... 147
6,200 - VITESSE SEMICONDUCTOR CORP.................................................... 418
2,300 - WESTELL TECHNOLOGIES, INC (CLASS A)........................................... 16
4,900 WHIRLPOOL CORP................................................................ 363
500 WOODWARD GOVERNOR CO.......................................................... 13
3,400 - WORLD ACCESS, INC............................................................. 48
10,300 - XILINX, INC................................................................... 590
1,300 X- ZENITH ELECTRONICS CORP.................................................... 1
1,000 - ZOLTEK COS, INC............................................................... 8
---------
72,904
---------
ENGINEERING AND MANAGEMENT SERVICES--0.20%
700 - AHL SERVICES, INC............................................................. 17
200 BLOUNT INTERNATIONAL, INC..................................................... 5
4,200 - CATALYTICA, INC............................................................... 59
100 - DATA TRANSMISSION NETWORK CORP................................................ 3
1,000 - DIAMOND TECHNOLOGY PARTNERS, INC (CLASS A).................................... 22
10,600 DUN & BRADSTREET CORP......................................................... 376
2,600 EG & G, INC................................................................... 93
1,800 - F.Y.I., INC................................................................... 56
2,700 - FIRST CONSULTING GROUP, INC................................................... 29
3,800 - GARTNER GROUP, INC (CLASS A).................................................. 78
1,600 - INCYTE PHARMACEUTICALS, INC................................................... 42
200 - JACOBS ENGINEERING GROUP, INC................................................. 8
1,000 - KENDLE INTERNATIONAL, INC..................................................... 16
500 - LASON, INC.................................................................... 25
</TABLE>
See notes to financial statements. 17
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
ENGINEERING AND MANAGEMENT SERVICES--(CONTINUED)
1,400 - MAXIMUS, INC.................................................................. $ 40
3,200 - MEDAPHIS CORP................................................................. 18
200 - META GROUP, INC............................................................... 3
2,500 - METZLER GROUP, INC............................................................ 69
17,000 X- NEUROMEDICAL SYSTEMS, INC.................................................. 1
2,900 - NFO WORLDWIDE, INC............................................................ 41
300 - PHARMACEUTICAL PRODUCT DEVELOPMENT............................................ 8
5,697 - QUINTILES TRANSNATIONAL CORP.................................................. 239
15,600 SERVICEMASTER CO.............................................................. 293
2,700 - STAFF LEASING, INC............................................................ 35
400 STONE & WEBSTER, INC.......................................................... 11
1,000 - SUPERIOR CONSULTANT HOLDINGS CORP............................................. 25
1,400 TEJON RANCH CO................................................................ 35
693 - TETRA TECH, INC............................................................... 11
2,000 - URS CORP...................................................................... 59
2,100 - WHITTMAN HART, INC............................................................ 67
---------
1,784
---------
FABRICATED METAL PRODUCTS--0.71%
100 - ALLIANT TECHSYSTEMS, INC...................................................... 9
1,311 BALL CORP..................................................................... 55
2,400 CHART INDUSTRIES, INC......................................................... 19
5,900 CRANE CO...................................................................... 185
11,700 CROWN CORK & SEAL CO, INC..................................................... 333
79,978 GILLETTE CO................................................................... 3,279
900 - GULF ISLAND FABRICATION, INC.................................................. 11
4,000 HARSCO CORP................................................................... 128
2,200 MARK IV INDUSTRIES, INC....................................................... 46
26,000 MASCO CORP.................................................................... 751
1,900 - METALS U.S.A., INC............................................................ 24
600 - NCI BUILDING SYSTEMS, INC..................................................... 13
300 - NORTEK, INC................................................................... 9
7,300 PARKER-HANNIFIN CORP.......................................................... 334
1,000 PRIMEX TECHNOLOGIES, INC...................................................... 22
9,800 ROCKWELL INTERNATIONAL CORP................................................... 595
3,900 - ROHN INDUSTRIES, INC.......................................................... 5
1,000 - SHAW GROUP, INC............................................................... 16
600 - SIMPSON MANUFACTURING CO, INC................................................. 29
7,400 SNAP-ON, INC.................................................................. 268
1,300 - SPS TECHNOLOGIES, INC......................................................... 49
3,600 STANLEY WORKS CO.............................................................. 116
5,100 - TOWER AUTOMOTIVE, INC......................................................... 130
1,200 - WYMAN-GORDON CO............................................................... 23
---------
6,449
---------
FOOD AND KINDRED PRODUCTS--3.35%
1,800 - AGRIBRANDS INTERNATIONAL, INC................................................. 71
2,100 - AMERICAN ITALIAN PASTA CO (CLASS A)........................................... 64
33,200 ANHEUSER BUSCH COS, INC....................................................... 2,355
30,164 ARCHER DANIELS MIDLAND CO..................................................... 466
2,200 - BERINGER WINE ESTATES HOLDINGS, INC (CLASS B)................................. 92
21,800 BESTFOODS, INC................................................................ 1,079
2,400 - BOSTON BEER CO, INC (CLASS A)................................................. 19
1,900 BROWN FORMAN, INC (CLASS B)................................................... 124
12,900 CAMPBELL SOUP CO.............................................................. 598
1,200 - CANANDAIGUA BRANDS, INC (CLASS A)............................................. 63
5,500 CHIQUITA BRANDS INTERNATIONAL, INC............................................ 50
164,300 COCA COLA CO.................................................................. 10,269
18,500 COCA COLA ENTERPRISES, INC.................................................... 550
38,000 CONAGRA, INC.................................................................. 1,012
1,500 COORS (ADOLPH) CO (CLASS B)................................................... 74
6,175 CORN PRODUCTS INTERNATIONAL, INC.............................................. 188
4,300 DEAN FOODS CO................................................................. 179
6,000 DOLE FOOD, INC................................................................ 176
100 DREYERS GRAND ICE CREAM, INC.................................................. 2
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
3,116 EARTHGRAINS CO................................................................ $ 80
100 FARMER BROTHERS CO............................................................ 20
7,750 FLOWERS INDUSTRIES, INC....................................................... 168
10,407 GENERAL MILLS, INC............................................................ 836
1,100 - HAIN FOOD GROUP, INC.......................................................... 23
24,600 HEINZ (H.J.) CO............................................................... 1,233
4,000 HERSHEY FOODS CORP............................................................ 238
5,200 HORMEL FOODS CORP............................................................. 209
9,300 IBP, INC...................................................................... 221
200 IMPERIAL SUGAR CO............................................................. 1
4,000 - INTERNATIONAL HOME FOODS, INC................................................. 74
4,300 INTERSTATE BAKERIES CORP...................................................... 96
3,500 - KEEBLER FOODS CO.............................................................. 106
13,500 KELLOGG CO.................................................................... 446
4,450 LANCASTER COLONY CORP......................................................... 154
3,600 LANCE, INC.................................................................... 56
5,400 MCCORMICK & CO, INC (NON-VOTE)................................................ 170
25,501 NABISCO GROUP HOLDINGS........................................................ 499
1,100 NABISCO HOLDINGS CORP (CLASS A)............................................... 48
103,900 PEPSICO, INC.................................................................. 4,020
600 PILGRIMS PRIDE CORP (CLASS B)................................................. 18
10,000 QUAKER OATS CO................................................................ 664
1,200 - RALCORP HOLDINGS, INC......................................................... 19
19,800 RALSTON PURINA CO............................................................. 603
800 RIVIANA FOODS, INC............................................................ 15
300 - ROBERT MONDAVI CORP (CLASS A)................................................. 11
62,000 SARA LEE CORP................................................................. 1,407
4,200 - SMITHFIELD FOODS, INC......................................................... 140
200 SMUCKER, (J.M.) CO (CLASS A).................................................. 4
3,000 - SUIZA FOODS CORP.............................................................. 126
2,200 TCBY ENTERPRISES, INC......................................................... 13
4,496 TOOTSIE ROLL INDUSTRIES, INC.................................................. 174
17,700 TYSON FOODS, INC.............................................................. 398
8,400 UNIVERSAL FOODS CORP.......................................................... 177
80 - VLASIC FOODS INTERNATIONAL, INC............................................... 1
8,500 WHITMAN CORP.................................................................. 153
200 WORTHINGTON FOODS, INC........................................................ 3
2,201 WRIGLEY (WM) JR CO............................................................ 198
---------
30,253
---------
FOOD STORES--0.70%
15,700 - 7-ELEVEN, INC................................................................. 35
27,036 ALBERTSONS, INC............................................................... 1,394
39 X- BRUNOS, INC................................................................ 0
31,100 FOOD LION, INC (CLASS B)...................................................... 360
3,400 - GENERAL NUTRITION COS, INC.................................................... 79
3,000 GREAT ATLANTIC & PACIFIC TEA CO, INC.......................................... 101
2,700 HANNAFORD BROTHERS, INC....................................................... 144
57,608 - KROGER CO..................................................................... 1,609
1,600 RUDDICK CORP.................................................................. 32
36,004 - SAFEWAY, INC.................................................................. 1,782
11,000 - STARBUCKS CORP................................................................ 413
1,900 WEIS MARKETS, INC............................................................. 74
700 - WHOLE FOODS MARKET, INC....................................................... 34
1,700 - WILD OATS MARKETS, INC........................................................ 52
4,500 WINN DIXIE STORES, INC........................................................ 166
---------
6,275
---------
FORESTRY--0.01%
2,400 GEORGIA-PACIFIC CORP (TIMBER GROUP)........................................... 61
1,000 RAYONIER, INC................................................................. 50
---------
111
---------
FURNITURE AND FIXTURES--0.25%
800 - BUSH INDUSTRIES, INC (CLASS A)................................................ 13
3,600 ETHAN ALLEN INTERIORS, INC.................................................... 136
4,200 - FURNITURE BRANDS INTERNATIONAL, INC........................................... 117
</TABLE>
18 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
FURNITURE AND FIXTURES--(CONTINUED)
5,600 HON INDUSTRIES, INC........................................................... $ 163
5,800 KIMBALL INTERNATIONAL, INC (CLASS B).......................................... 98
1,200 - KNOLL, INC.................................................................... 32
2,000 LA-Z-BOY, INC................................................................. 46
5,900 - LEAR CORP..................................................................... 294
11,500 LEGGETT & PLATT, INC.......................................................... 320
6,400 MILLER (HERMAN), INC.......................................................... 134
14,500 NEWELL RUBBERMAID, INC........................................................ 674
2,800 - OSULLIVAN INDUSTRIES HOLDINGS, INC............................................ 48
1,500 STEELCASE, INC................................................................ 30
10,850 U.S. INDUSTRIES, INC.......................................................... 184
---------
2,289
---------
FURNITURE AND HOMEFURNISHINGS STORES--0.33%
8,800 - BED BATH & BEYOND, INC........................................................ 339
11,700 - BEST BUY, INC................................................................. 790
2,279 - CDNOW, INC.................................................................... 40
6,700 CIRCUIT CITY STORES-CIRCUIT CITY GROUP........................................ 623
3,200 - COMPUSA, INC.................................................................. 24
1,300 - GUITAR CENTER, INC............................................................ 14
1,400 HAVERTY FURNITURE COS, INC.................................................... 49
3,500 HEILIG MEYERS CO.............................................................. 24
3,600 - LINENS N THINGS, INC.......................................................... 158
4,500 - MUSICLAND STORES CORP......................................................... 40
8,000 PIER 1 IMPORTS, INC........................................................... 90
13,800 TANDY CORP.................................................................... 674
2,550 - TRANS WORLD ENTERTAINMENT CORP................................................ 29
1,800 - WILLIAMS-SONOMA, INC.......................................................... 63
---------
2,957
---------
GENERAL BUILDING CONTRACTORS--0.09%
8,200 CENTEX CORP................................................................... 308
300 - CROSSMAN COMMUNITIES, INC..................................................... 9
2,100 HILLENBRAND INDUSTRIES, INC................................................... 91
4,300 HORTON (D.R.), INC............................................................ 71
1,400 KAUFMAN & BROAD HOME CORP..................................................... 35
1,900 LENNAR CORP................................................................... 46
500 - NVR, INC...................................................................... 26
3,200 PULTE CORP.................................................................... 74
2,200 RYLAND GROUP, INC............................................................. 65
2,300 STANDARD-PACIFIC CORP......................................................... 30
1,700 - TOLL BROTHERS, INC............................................................ 36
200 - WEBB (DEL) CORP............................................................... 5
---------
796
---------
GENERAL MERCHANDISE STORES--2.30%
5,500 - BJS WHOLESALE CLUB, INC....................................................... 165
2,400 X- CALDOR CORP................................................................ 0
6,900 CASEYS GENERAL STORES, INC.................................................... 104
5,900 - CONSOLIDATED STORES CORP...................................................... 159
2,100 - COST PLUS, INC................................................................ 96
14,900 - COSTCO COS, INC............................................................... 1,193
30,400 DAYTON HUDSON CORP............................................................ 1,976
6,600 DILLARDS, INC (CLASS A)....................................................... 232
16,000 DOLLAR GENERAL CORP........................................................... 464
5,050 - DOLLAR TREE STORES, INC....................................................... 222
8,100 FAMILY DOLLAR STORES, INC..................................................... 194
16,570 - FEDERATED DEPARTMENT STORES, INC.............................................. 877
2,400 - HARCOURT GENERAL, INC......................................................... 124
39,000 - K MART CORP................................................................... 641
11,300 - KOHLS CORP.................................................................... 872
22,100 MAY DEPARTMENT STORES CO...................................................... 903
5,600 - NEIMAN-MARCUS GROUP, INC...................................................... 144
14,345 PENNEY, (J.C.) CO, INC........................................................ 697
8,400 - SAKS, INC..................................................................... 243
30,800 SEARS ROEBUCK & CO............................................................ 1,373
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
900 X- SERVICE MERCHANDISE, INC................................................... $ 0
3,000 - SHOPKO STORES, INC............................................................ 109
100 - VALUE CITY DEPARTMENT STORES, INC............................................. 1
6,200 - VENATOR GROUP, INC............................................................ 65
204,300 WAL-MART STORES, INC.......................................................... 9,857
---------
20,711
---------
HEALTH SERVICES--0.44%
100 - ADVANCE PARADIGM, INC......................................................... 6
1,800 - AMERICAN HOMEPATIENT, INC..................................................... 3
2,600 - AMERIPATH, INC................................................................ 22
4,300 - APRIA HEALTHCARE GROUP, INC................................................... 73
12,200 - BEVERLY ENTERPRISES, INC...................................................... 98
1,600 - CAREMATRIX CORP............................................................... 20
1,700 - CENTENNIAL HEALTHCARE CORP.................................................... 9
50 - CLINTRIALS, INC............................................................... 0
47,838 COLUMBIA/HCA HEALTHCARE CORP.................................................. 1,091
1,500 - CONCENTRA MANAGED CARE, INC................................................... 22
5,500 - COVANCE, INC.................................................................. 132
5,000 - COVENTRY HEALTH CARE, INC..................................................... 55
900 - ENZO BIOCHEMICAL, INC......................................................... 9
4,400 - EXPRESS SCRIPTS, INC.......................................................... 265
1,400 X- FPA MEDICAL MANAGEMENT, INC................................................ 0
4,100 - GENESIS HEALTH VENTURES, INC.................................................. 12
3,000 - HCR MANOR CARE................................................................ 73
13,800 - HEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) (NEW).............................................................. 155
1,500 - HEALTHPLAN SERVICES CORP...................................................... 10
35,660 - HEALTHSOUTH CORP.............................................................. 533
4,800 HOOPER HOLMES, INC............................................................ 98
77 - INTEGRATED HEALTH SERVICES, INC............................................... 1
2,400 - LABORATORY CORP OF AMERICA HOLDINGS........................................... 7
260 - LABORATORY CORP OF AMERICA HOLDINGS
WTS 04/28/00................................................................. 0
63 - LCA-VISION, INC............................................................... 1
2,728 - LIFEPOINT HOSPITALS, INC...................................................... 37
5,300 - LINCARE HOLDINGS, INC......................................................... 133
100 - LTC HEALTHCARE, INC........................................................... 0
1,200 - MAGELLAN HEALTH SERVICES, INC................................................. 12
4,900 - MARINER POST-ACUTE NETWORK, INC............................................... 2
4,500 - MEDPARTNERS, INC.............................................................. 34
1,100 - NATIONAL HEALTHCARE CORP...................................................... 9
10,800 - NOVACARE, INC................................................................. 16
500 - ORTHODONTIC CENTERS OF AMERICA, INC........................................... 7
300 - PEDIATRIX MEDICAL GROUP, INC.................................................. 6
6,100 - PHYCOR, INC................................................................... 45
6,600 - PHYSICIANS RESOURCE GROUP, INC................................................ 7
1,400 - PROVINCE HEALTHCARE CO........................................................ 27
5,262 - QUEST DIAGNOSTICS, INC........................................................ 144
8,550 - QUORUM HEALTH GROUP, INC...................................................... 107
2,250 - RENAL CARE GROUP, INC......................................................... 58
1,700 - SUN HEALTHCARE GROUP, INC..................................................... 1
19,325 - TENET HEALTHCARE CORP......................................................... 359
4,500 - TOTAL RENAL CARE HOLDINGS, INC................................................ 70
2,728 - TRIAD HOSPITALS, INC.......................................................... 37
300 - UNITED PAYORS & UNITED PROVIDERS, INC......................................... 7
2,200 - UNIVERSAL HEALTH SERVICES, INC................................................ 105
4,580 - US ONCOLOGY, INC.............................................................. 55
---------
3,973
---------
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.05%
1,300 - DYCOM INDUSTRIES, INC......................................................... 73
6,100 FLUOR CORP.................................................................... 247
500 FOSTER WHEELER CORP........................................................... 7
450 GRANITE CONSTRUCTION, INC..................................................... 13
1,900 - INSITUFORM TECHNOLOGIES, INC (CLASS A)........................................ 41
</TABLE>
See notes to financial statements. 19
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
HEAVY CONSTRUCTION, EXCEPT BUILDING--(CONTINUED)
1,600 - MASTEC, INC................................................................... $ 45
1,500 - MORRSION KNUDSEN CORP......................................................... 15
---------
441
---------
HOLDING AND OTHER INVESTMENT OFFICES--0.91%
3,900 - AMB PROPERTY CORP............................................................. 92
500 - AMERCO........................................................................ 11
1,800 AMLI RESIDENTIAL PROPERTIES TRUST............................................. 40
8,245 APARTMENT INVESTMENT & MANAGEMENT CO.......................................... 352
9,200 ARCHSTONE COMMUNITIES TRUST................................................... 202
1,200 AVALONBAY COMMUNITIES, INC.................................................... 44
3,900 BEDFORD PROPERTY INVESTORS, INC............................................... 70
6,300 BERKSHIRE REALTY CO, INC...................................................... 73
8,700 BOSTON PROPERTIES, INC........................................................ 312
3,000 BOYKIN LODGING CO............................................................. 46
582 BRADLEY REAL ESTATE, INC...................................................... 12
3,600 BRANDYWINE REALTY TRUST....................................................... 71
7,800 CAMDEN PROPERTY TRUST......................................................... 216
3,000 CAPITAL AUTOMOTIVE REIT....................................................... 40
9,139 CAPSTEAD MORTGAGE CORP........................................................ 50
12,400 CARRAMERICA REALTY CORP....................................................... 310
600 CENTERTRUST RETAIL PROPERTIES, INC............................................ 7
1,800 CHATEAU PROPERTIES, INC....................................................... 54
1,300 - COAST FEDERAL LITIGATION CONTINGENT RTS....................................... 1
4,200 COLONIAL PROPERTIES TRUST..................................................... 119
13,900 CORNERSTONE PROPERTIES, INC................................................... 221
4,358 COUSINS PROPERTIES, INC....................................................... 147
7,100 CRESCENT REAL ESTATE EQUITIES CO.............................................. 169
400 - CRESECENT OPERATING, INC...................................................... 3
3,000 CROWN AMERICAN REALTY TRUST................................................... 22
97 DUKE REALTY INVESTMENTS, INC.................................................. 2
3,179 - DYNEX CAPITAL, INC............................................................ 6
2,900 EASTGROUP PROPERTIES, INC..................................................... 58
2,300 ENTERTAINMENT PROPERTIES TRUST................................................ 41
800 EQUITY INNS, INC.............................................................. 7
33,050 EQUITY OFFICE PROPERTIES TRUST................................................ 847
12,478 EQUITY RESIDENTIAL PROPERTIES TRUST CO........................................ 562
4,900 FEDERAL REALTY INVESTMENT TRUST............................................... 112
8,600 FELCOR LODGING TRUST, INC..................................................... 178
6,100 FIRST INDUSTRIAL REALTY TRUST, INC............................................ 167
2,380 - FIRST UNION REAL ESTATE INVESTMENTS........................................... 11
100 GENERAL GROWTH PROPERTIES, INC................................................ 4
2,300 GLIMCHER REALTY TRUST......................................................... 37
2,600 GREAT LAKES REIT, INC......................................................... 42
1,200 HEALTH CARE PROPERTY INVESTORS, INC........................................... 35
400 HIGHWOODS PROPERTIES, INC..................................................... 11
1,200 - HOSPITALITY PROPERTIES TRUST.................................................. 33
4,500 - HRPT PROPERTIES TRUST......................................................... 69
5,700 IMPERIAL CREDIT COMMERCIAL MORTGAGE
INVESTMENT CORP.............................................................. 62
5,724 INDYMAC MORTGAGE HOLDINGS, INC................................................ 92
3,400 INNKEEPERS U.S.A. TRUST....................................................... 34
1,000 IRT PROPERTY CO............................................................... 10
500 JDN REALTY CORP............................................................... 11
4,500 KILROY REALTY CORP............................................................ 110
1,200 - KIMCO REALTY CORP............................................................. 47
2,000 LASALLE HOTEL PROPERTIES...................................................... 31
2,000 LASER MORTGAGE MANAGEMENT, INC................................................ 7
500 LIBERTY PROPERTY TRUST CO..................................................... 12
4,600 MACK-CALI REALTY CORP......................................................... 142
2,799 MEDITRUST CORP................................................................ 37
3,800 MERISTAR HOSPITALITY CORP..................................................... 85
285 - MERRY LAND PROPERTIES, INC.................................................... 1
205 MILLS CORP.................................................................... 4
300 NATIONAL GOLF PROPERTIES, INC................................................. 7
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
3,600 NATIONAL HEALTH INVESTORS, INC................................................ $ 82
695 NEW PLAN EXCEL REALTY TRUST................................................... 13
2,700 PACIFIC GULF PROPERTIES, INC.................................................. 61
800 PARKWAY PROPERTIES, INC....................................................... 27
1,800 PENNSYLVANIA REAL ESTATE INVESTMENT TRUST..................................... 38
300 POST PROPERTIES, INC.......................................................... 12
6,800 PRENTISS PROPERTIES TRUST..................................................... 160
700 - PRIME GROUP REALTY TRUST...................................................... 12
2,500 PRISON REALTY TRUST, INC...................................................... 25
1,810 PROLOGIS TRUST................................................................ 37
5,300 PUBLIC STORAGE, INC........................................................... 148
900 REALTY INCOME CORP............................................................ 21
5,200 RECKSON ASSOCIATES REALTY CORP................................................ 122
700 - REDWOOD TRUST, INC............................................................ 12
3,900 RFS HOTEL INVESTORS, INC...................................................... 49
4,000 SHURGARD STORAGE CENTERS, INC................................................. 109
7,200 SIMON PROPERTY GROUP, INC..................................................... 183
1,400 SOVRAN SELF STORAGE, INC...................................................... 38
6,500 SPIEKER PROPERTIES, INC....................................................... 253
3,400 STARWOOD FINANCIAL TRUST...................................................... 211
2,700 STORAGE U.S.A., INC........................................................... 86
600 SUMMIT PROPERTIES, INC........................................................ 12
500 - SUN COMMUNITIES, INC.......................................................... 18
2,100 SUNSTONE HOTEL INVESTORS, INC................................................. 18
900 - TANGER FACTORY OUTLET CENTERS, INC............................................ 23
3,792 THORNBURG MORTGAGE ASSET CORP................................................. 38
2,500 TOWN & COUNTRY TRUST.......................................................... 45
10,027 UNITED DOMINION REALTY TRUST, INC............................................. 118
841 VENTAS, INC................................................................... 5
8,600 VORNADO REALTY TRUST.......................................................... 304
200 WALDEN RESIDENTIAL PROPERTIES, INC............................................ 4
6,000 WASHINGTON REAL ESTATE INVESTMENT TRUST....................................... 102
1,600 WEEKS CORP.................................................................... 49
3,400 WEINGARTEN REALTY INVESTORS, INC.............................................. 142
600 - WELLSFORD REAL PROPERTIES, INC................................................ 6
700 WESTERN INVESTMENT REAL ESTATE TRUST.......................................... 8
900 WESTFIELD AMERICA, INC........................................................ 14
---------
8,203
---------
HOTELS AND OTHER LODGING PLACES--0.31%
6,600 - AZTAR CORP.................................................................... 61
50 - BRISTOL HOTELS & RESORTS, INC................................................. 0
58,738 - CENDANT CORP.................................................................. 1,204
5,900 - CHOICE HOTELS INTERNATIONAL, INC.............................................. 117
1,900 - CRESTLINE CAPITAL CORP........................................................ 32
9,600 - EXTENDED STAY AMERICA, INC.................................................... 115
7,300 HILTON HOTELS CORP............................................................ 104
65 - INTERSTATE HOTELS CORP........................................................ 0
4,600 - LODGIAN, INC.................................................................. 30
5,800 - MANDALAY RESORT GROUP......................................................... 123
1,900 - MERISTAR HOTELS & RESORTS, INC................................................ 7
1,400 - MGM GRAND, INC................................................................ 69
12,900 - PARK PLACE ENTERTAINMENT...................................................... 125
4,600 - PRIME HOSPITALITY CORP........................................................ 55
4,968 - PROMUS HOTEL CORP............................................................. 154
4,600 - RED ROOF INNS, INC............................................................ 83
14,600 STARWOOD HOTELS & RESORTS WORLDWIDE........................................... 446
1,300 - SUNTERRA CORP................................................................. 18
1,300 - TRUMP HOTEL & CASINO RESORT, INC.............................................. 6
200 - VISTANA, INC.................................................................. 3
1,971 - WYNDHAM INTERNATIONAL, INC.................................................... 9
---------
2,761
---------
INDUSTRIAL MACHINERY AND EQUIPMENT--7.75%
26,642 - 3COM CORP..................................................................... 711
300 - 3DFX INTERACTIVE, INC......................................................... 5
</TABLE>
20 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
INDUSTRIAL MACHINERY AND EQUIPMENT--(CONTINUED)
8,400 - ADAPTEC, INC.................................................................. $ 297
5,200 AGCO CORP..................................................................... 59
6,900 - AMERICAN STANDARD COS, INC.................................................... 331
11,200 - APPLE COMPUTER, INC........................................................... 519
28,000 - APPLIED MATERIALS, INC........................................................ 2,069
1,800 APPLIED POWER, INC (CLASS A).................................................. 49
2,200 - ASTEC INDUSTRIES, INC......................................................... 90
500 - ATMI, INC..................................................................... 15
19,315 BAKER HUGHES, INC............................................................. 647
900 - BANCTEC, INC.................................................................. 16
2,300 - BELL & HOWELL CO.............................................................. 87
5,300 BLACK & DECKER CORP........................................................... 335
900 - BLACK BOX CORP................................................................ 45
7,500 BRUNSWICK CORP................................................................ 209
3,400 - C-CUBE MICROSYSTEMS, INC...................................................... 108
10,600 - CABLETRON SYSTEMS, INC........................................................ 138
5,900 CASE CORP..................................................................... 284
23,600 CATERPILLAR, INC.............................................................. 1,416
3,900 - CIRRUS LOGIC, INC............................................................. 35
234,577 - CISCO SYSTEMS, INC............................................................ 15,086
5,100 - COLTEC INDUSTRIES, INC........................................................ 111
1,000 COLUMBUS MCKINNON CORP........................................................ 24
121,084 COMPAQ COMPUTER CORP.......................................................... 2,868
2,000 - COOPER CAMERON CORP........................................................... 74
3,400 CUMMINS ENGINE CO, INC........................................................ 194
3,400 - CYLINK CORP................................................................... 13
3,300 - DATA GENERAL CORP............................................................. 48
14,900 DEERE & CO.................................................................... 590
153,186 - DELL COMPUTER CORP............................................................ 5,668
1,400 DETROIT DIESEL CORP........................................................... 34
3,400 - DIAMOND MULTIMEDIA SYSTEMS, INC............................................... 14
6,650 DIEBOLD, INC.................................................................. 191
2,100 - DIGI INTERNATIONAL, INC....................................................... 22
1,100 DONALDSON CO, INC............................................................. 27
13,400 DOVER CORP.................................................................... 469
2,900 - ELECTROGLAS, INC.............................................................. 58
74,100 - EMC CORP...................................................................... 4,076
600 - ETEC SYSTEMS, INC............................................................. 20
4,500 FEDDERS CORP.................................................................. 30
5,900 FLOWSERVE CORP................................................................ 112
2,400 - GARDNER DENVER, INC........................................................... 39
5,000 - GATEWAY, INC.................................................................. 295
500 GLEASON CORP.................................................................. 8
1,800 GRACO, INC.................................................................... 53
400 HARDINGE, INC................................................................. 7
2,200 X- HARNISCHFEGER INDUSTRIES, INC.............................................. 4
63,900 HEWLETT-PACKARD CO............................................................ 6,422
6,200 HUSSMANN INTERNATIONAL, INC................................................... 103
1,200 - HYPERCOM CORP................................................................. 11
2,050 IDEX CORP..................................................................... 67
11,850 INGERSOLL-RAND CO............................................................. 766
134,300 INTERNATIONAL BUSINESS MACHINES CORP.......................................... 17,358
16,000 - IOMEGA CORP................................................................... 79
2,000 JLG INDUSTRIES, INC........................................................... 41
300 KAYDON CORP................................................................... 10
3,503 KENNAMETAL, INC............................................................... 109
2,100 - KRONOS, INC................................................................... 96
1,000 - KULICHE & SOFFA INDUSTRIES, INC............................................... 27
3,500 - LAM RESEARCH CORP............................................................. 163
10,000 - LEXMARK INTERNATIONAL GROUP (CLASS A)......................................... 661
6,300 LINCOLN ELECTRIC HOLDINGS CO.................................................. 129
400 LINDSAY MANUFACTURING CO...................................................... 7
600 - LUFKIN INDUSTRIES, INC........................................................ 12
1,875 MANITOWOC, INC................................................................ 78
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
2,100 - MICROS SYSTEMS, INC........................................................... $ 71
1,100 MILACRON, INC................................................................. 20
4,400 - MTI TECHNOLOGY CORP........................................................... 57
600 NACCO INDUSTRIES, INC (CLASS A)............................................... 44
1,050 - NATIONAL INSTRUMENTS CORP..................................................... 42
100 NORDSON CORP.................................................................. 6
2,500 - NOVELLUS SYSTEMS, INC......................................................... 171
4,000 PALL CORP..................................................................... 89
4,100 PENTAIR, INC.................................................................. 188
17,000 PITNEY BOWES, INC............................................................. 1,092
2,600 - PRESSTEK, INC................................................................. 19
700 - PRI AUTOMATION, INC........................................................... 25
11,800 - QUANTUM CORP.................................................................. 285
600 ROBBINS & MYERS, INC.......................................................... 13
3,500 ROPER INDUSTRIES, INC......................................................... 112
1,773 - SANDISK CORP.................................................................. 80
1,500 SAUER, INC.................................................................... 16
1,800 SCOTSMAN INDUSTRIES, INC...................................................... 39
20,048 - SEAGATE TECHNOLOGY, INC....................................................... 514
1,400 - SECURITY DYNAMICS TECHNOLOGIES, INC........................................... 30
5,100 - SEQUENT COMPUTER SYSTEMS, INC................................................. 91
11,700 - SILICON GRAPHICS, INC......................................................... 192
3,400 - SMITH INTERNATIONAL, INC...................................................... 148
1,900 - SPECIALTY EQUIPMENT COS, INC.................................................. 56
752 - SPEEDFAM-IPEC, INC............................................................ 12
1,800 - SPLASH TECHNOLOGY HOLDINGS, INC............................................... 13
1,700 STANDEX INTERNATIONAL CORP.................................................... 47
300 STARRETT (L.S.) CO (CLASS A).................................................. 8
6,900 - STORAGE TECHNOLOGY CORP....................................................... 157
6,300 SYMBOL TECHNOLOGIES, INC...................................................... 232
3,200 TECUMSEH PRODUCTS CO (CLASS A)................................................ 194
1,600 TENNANT CO.................................................................... 51
16,500 TENNECO, INC.................................................................. 394
1,900 - TEREX CORP.................................................................... 58
900 - THERMO FIBERTEK, INC.......................................................... 6
5,429 TIMKEN CO..................................................................... 106
700 TORO CO....................................................................... 28
1,200 - ULTRATECH STEPPER, INC........................................................ 18
21,208 - UNISYS CORP................................................................... 826
1,300 - UNOVA, INC.................................................................... 21
8,400 - VARCO INTERNATIONAL, INC...................................................... 92
1,200 - VISUAL NETWORKS, INC.......................................................... 38
7,600 - WESTERN DIGITAL CORP.......................................................... 49
2,600 - XIRCOM, INC................................................................... 78
6,800 YORK INTERNATIONAL CORP....................................................... 291
1,400 - ZEBRA TECHNOLOGY CORP......................................................... 54
---------
69,912
---------
INSTRUMENTS AND RELATED PRODUCTS--2.28%
3,100 - ACUSON CORP................................................................... 53
1,600 - AFFYMETRIX, INC............................................................... 79
1,900 - ANACOMP, INC.................................................................. 32
100 ANALOGIC CORP................................................................. 3
400 ARROW INTERNATIONAL, INC...................................................... 10
2,500 - AVID TECHNOLOGIES, INC........................................................ 40
700 - BACOU U.S.A., INC............................................................. 12
2,700 BARD (C.R.), INC.............................................................. 129
2,600 BAUSCH & LOMB, INC............................................................ 199
18,500 BAXTER INTERNATIONAL, INC..................................................... 1,122
4,200 BECKMAN COULTER, INC.......................................................... 204
17,100 BECTON DICKINSON & CO......................................................... 513
200 - BIO-RAD LABORATORIES, INC (CLASS A)........................................... 5
6,400 - BIOMET, INC................................................................... 254
20,500 - BOSTON SCIENTIFIC CORP........................................................ 901
4,400 - CHYRON CORP................................................................... 7
2,700 - COGNEX CORP................................................................... 85
</TABLE>
See notes to financial statements. 21
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
INSTRUMENTS AND RELATED PRODUCTS--(CONTINUED)
2,800 - COHERENT, INC................................................................. $ 52
300 COHU, INC..................................................................... 11
300 - COLE NATIONAL CORP (CLASS A).................................................. 2
800 - CONMED CORP................................................................... 25
1,800 COOPER COS, INC............................................................... 45
1,800 - CREDENCE SYSTEMS CORP......................................................... 67
700 - CUBIC CORP.................................................................... 17
3,300 - CYMER, INC.................................................................... 83
1,200 - CYTYC CORP.................................................................... 23
800 - DATASCOPE CORP................................................................ 26
7,600 DENTSPLY INTERNATIONAL, INC................................................... 219
1,200 - DIONEX CORP................................................................... 49
850 - DYNATECH CORP................................................................. 3
24,600 EASTMAN KODAK CO.............................................................. 1,667
1,400 - FOSSIL, INC................................................................... 68
2,300 - GENRAD, INC................................................................... 48
1,091 - GENZYME SURGICAL PRODUCTS..................................................... 5
23,024 - GUIDANT CORP.................................................................. 1,184
3,100 - HANGER ORTHOPEDIC GROUP, INC.................................................. 44
9,700 HONEYWELL, INC................................................................ 1,124
400 - IMATRON, INC.................................................................. 1
1,600 INVACARE CORP................................................................. 43
6,300 JOHNSON CONTROLS, INC......................................................... 437
6,800 - KLA-TENCOR CORP............................................................... 441
900 - LIFECORE BIOMEDICAL, INC...................................................... 10
2,400 - LITTON INDUSTRIES, INC........................................................ 172
900 - MAXXIM MEDICAL, INC........................................................... 21
40,328 MEDTRONIC, INC................................................................ 3,141
500 MENTOR CORP................................................................... 9
4,600 - METTLER-TOLEDO INTERNATIONAL, INC............................................. 114
3,100 MILLIPORE CORP................................................................ 126
200 MINE SAFETY APPLIANCE CO...................................................... 13
600 - MINIMED, INC.................................................................. 46
900 MOVADO GROUP, INC............................................................. 23
1,400 - NOVOSTE CORP.................................................................. 29
1,600 - OCULAR SCIENCES, INC.......................................................... 28
2,300 - OEC MEDICAL SYSTEMS, INC...................................................... 56
1,250 - PE CORP-CELERA GENOMICS GROUP................................................. 20
2,600 PE CORP-PE BIOSYSTEMS GROUP................................................... 298
600 - PERCLOSE, INC................................................................. 29
1,500 - PINNACLE SYSTEMS, INC......................................................... 50
1,900 POLAROID CORP................................................................. 52
4,018 RAYTHEON CO (CLASS A)......................................................... 277
18,400 RAYTHEON CO (CLASS B)......................................................... 1,295
2,200 - RESMED, INC................................................................... 73
1,200 - RESPIRONICS, INC.............................................................. 18
1,700 - SEPRACOR, INC................................................................. 138
33 - SONOSITE, INC................................................................. 1
7,488 - ST. JUDE MEDICAL, INC......................................................... 267
4,900 - STERIS CORP................................................................... 95
3,900 - STRYKER CORP.................................................................. 234
350 - SUMMIT TECHNOLOGY, INC........................................................ 8
1,100 - SUNRISE MEDICAL, INC.......................................................... 8
8,500 - SYBRON INTERNATIONAL CORP..................................................... 234
4,450 TEKTRONIX, INC................................................................ 134
5,800 - TERADYNE, INC................................................................. 416
700 - THERMEDICS, INC............................................................... 7
300 - THERMO BIOANALYSIS CORP....................................................... 5
300 - THERMO CARDIOSYSTEMS, INC..................................................... 3
7,875 - THERMO ELECTRON CORP.......................................................... 158
25 - THERMO INSTRUMENT SYSTEMS, INC................................................ 0
1,100 - THERMOQUEST CORP.............................................................. 15
1,200 - THERMOTREX CORP............................................................... 9
3,700 - TRIMBLE NAVIGATION LTD........................................................ 48
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
800 - VEECO INSTRUMENTS, INC........................................................ $ 27
600 - VENTANA MEDICAL SYSTEMS, INC.................................................. 11
4,600 - VISX, INC..................................................................... 364
5,500 - VIVUS, INC.................................................................... 14
3,600 - WATERS CORP................................................................... 191
1,800 - WESLEY JESSEN VISIONCARE, INC................................................. 58
2,200 X RITE, INC................................................................... 14
46,400 XEROX CORP.................................................................... 2,741
2,000 - XOMED SURGICAL PRODUCTS, INC.................................................. 97
---------
20,529
---------
INSURANCE AGENTS, BROKERS AND SERVICE--0.18%
1,900 BALDWIN & LYONS, INC (CLASS B)................................................ 45
800 BLANCH (E.W.) HOLDINGS, INC................................................... 55
900 - BROWN & BROWN, INC............................................................ 34
1,300 - FIRST HEALTH GROUP CORP....................................................... 28
600 HILB, ROGAL & HAMILTON CO..................................................... 13
19,400 MARSH & MCLENNAN COS, INC..................................................... 1,465
---------
1,640
---------
INSURANCE CARRIERS--4.99%
2,200 20TH CENTURY INDUSTRIES....................................................... 42
10,867 AETNA, INC.................................................................... 972
20,700 AFLAC, INC.................................................................... 991
600 - ALFA CORP..................................................................... 12
610 - ALLEGHANY CORP (DELAWARE)..................................................... 113
6,500 - ALLMERICA FINANCIAL CORP...................................................... 395
58,356 ALLSTATE CORP................................................................. 2,094
5,500 AMBAC FINANCIAL GROUP, INC.................................................... 314
300 - AMERICAN ANNUITY GROUP, INC................................................... 7
1,500 AMERICAN BANKERS INSURANCE GROUP, INC......................................... 82
2,800 AMERICAN FINANCIAL GROUP, INC................................................. 95
17,640 AMERICAN GENERAL CORP......................................................... 1,330
91,524 AMERICAN INTERNATIONAL GROUP, INC............................................. 10,714
1,100 - AMERICAN MEDICAL SECURITY GROUP............................................... 9
300 - AMERICAN NATIONAL INSURANCE CO................................................ 21
2,600 AMERUS LIFE HOLDINGS, INC (CLASS A)........................................... 70
17,775 AON CORP...................................................................... 733
350 BERKLEY (W.R.) CORP........................................................... 9
1,600 CAPITAL RE CORP............................................................... 26
2,300 CHICAGO TITLE CORP............................................................ 82
11,300 CHUBB CORP.................................................................... 785
13,800 CIGNA CORP.................................................................... 1,228
14,088 CINCINNATI FINANCIAL CORP..................................................... 529
254,294 CITIGROUP, INC................................................................ 12,079
1,900 - CNA FINANCIAL CORP............................................................ 77
23,513 CONSECO, INC.................................................................. 716
1,800 ENHANCE FINANCIAL SERVICES GROUP, INC......................................... 36
7,200 EQUITABLE COS, INC............................................................ 482
4,800 EVEREST REINSURANCE HOLDINGS, INC............................................. 157
400 EXECUTIVE RISK, INC........................................................... 34
2,000 FBL FINANCIAL GROUP, INC (CLASS A)............................................ 39
500 FIDELITY NATIONAL FINANCIAL, INC.............................................. 11
2,800 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD..................................... 146
2,500 FIRST AMERICAN FINANCIAL CORP................................................. 45
2,900 FOREMOST CORP OF AMERICA...................................................... 64
6,400 - FOUNDATION HEALTH SYSTEMS (CLASS A)........................................... 96
300 FREMONT GENERAL CORP.......................................................... 6
5,100 FRONTIER INSURANCE GROUP, INC................................................. 78
600 - GUARANTEE LIFE COS, INC....................................................... 15
700 HARLEYSVILLE GROUP, INC....................................................... 14
15,300 HARTFORD FINANCIAL SERVICES GROUP, INC........................................ 892
1,700 HARTFORD LIFE, INC (CLASS A).................................................. 89
600 HCC INSURANCE HOLDINGS, INC................................................... 14
320 - HIGHLANDS INSURANCE GROUP, INC................................................ 3
2,900 HORACE MANN EDUCATORS CORP.................................................... 79
</TABLE>
22 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
INSURANCE CARRIERS--(CONTINUED)
7,900 - HUMANA, INC................................................................... $ 102
8,150 JEFFERSON-PILOT CORP.......................................................... 539
1,000 KANSAS CITY LIFE INSURANCE CO................................................. 43
600 LIBERTY CORP.................................................................. 33
500 LIFE U.S.A. HOLDINGS, INC..................................................... 10
15,800 LINCOLN NATIONAL CORP......................................................... 827
4,000 LOEWS CORP.................................................................... 317
1,600 - MAXICARE HEALTH PLANS, INC.................................................... 8
4,941 MBIA, INC..................................................................... 320
900 MERCURY GENERAL CORP.......................................................... 31
12,000 MGIC INVESTMENT CORP.......................................................... 584
2,800 MMI COS, INC.................................................................. 47
1,800 NATIONWIDE FINANCIAL SERVICES, INC (CLASS A).................................. 81
11,400 OLD REPUBLIC INTERNATIONAL CORP............................................... 197
400 ORION CAPITAL CORP............................................................ 14
8,300 - OXFORD HEALTH PLANS, INC...................................................... 129
3,964 - PACIFICARE HEALTH SYSTEMS, INC (CLASS A)...................................... 285
600 - PENN TREATY AMERICAN CORP..................................................... 14
4,100 - PENNCORP FINANCIAL GROUP, INC................................................. 2
3,700 PMI GROUP, INC................................................................ 232
1,000 PRESIDENTIAL LIFE CORP........................................................ 20
2,500 PROGRESSIVE CORP.............................................................. 363
2,000 PROTECTIVE LIFE CORP.......................................................... 66
4,100 PROVIDENT COS, INC............................................................ 164
5,526 RADIAN GROUP, INC............................................................. 270
4,725 REINSURANCE GROUP OF AMERICA, INC............................................. 167
4,752 RELIASTAR FINANCIAL CORP...................................................... 208
1,700 - RISK CAPITAL HOLDINGS, INC.................................................... 23
2,500 SAFECO CORP................................................................... 110
2,100 SCPIE HOLDINGS, INC........................................................... 69
4,700 SELECTIVE INSURANCE GROUP, INC................................................ 90
450 - SIERRA HEALTH SERVICES, INC................................................... 6
14,322 ST. PAUL COS, INC............................................................. 456
2,200 STATE AUTO FINANCIAL CORP..................................................... 30
2,000 STEWART INFORMATION SERVICES CORP............................................. 42
10,800 TORCHMARK CORP................................................................ 369
8,100 TRANSAMERICA CORP............................................................. 608
5,800 TRAVELERS PROPERTY CASUALTY CORP.............................................. 227
1,200 TRENWICK GROUP, INC........................................................... 30
2,300 - TRIAD GUARANTY, INC........................................................... 41
2,600 - TRIGON HEALTHCARE, INC........................................................ 95
2,100 - UICI.......................................................................... 58
100 UNITED FIRE & CASULTY CO...................................................... 3
14,200 UNITED HEALTHCARE CORP........................................................ 889
400 - UNITRIN, INC.................................................................. 16
8,500 UNUM CORP..................................................................... 465
1,100 VESTA INSURANCE GROUP, INC.................................................... 5
4,500 - WELLPOINT HEALTH NETWORKS, INC................................................ 382
900 WHITE MOUNTAINS INSURANCE..................................................... 127
---------
45,039
---------
LEATHER AND LEATHER PRODUCTS--0.02%
2,800 BROWN SHOE CO, INC............................................................ 61
679 - SAMSONITE CORP................................................................ 3
5,400 STRIDE RITE CORP.............................................................. 56
800 - TIMBERLAND CO................................................................. 54
25 WOLVERINE WORLD WIDE, INC..................................................... 0
---------
174
---------
LEGAL SERVICES--0.01%
2,100 - PREPAID LEGAL SERVICES, INC................................................... 57
---------
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
LOCAL AND INTERURBAN PASSENGER TRANSIT--0.01%
1,200 - COACH U.S.A., INC............................................................. $ 50
1,000 - RURAL/METRO CORP.............................................................. 10
---------
60
---------
LUMBER AND WOOD PRODUCTS--0.23%
1,300 CAVALIER HOMES, INC........................................................... 11
4,200 - CHAMPION ENTERPRISES, INC..................................................... 78
8,407 CLAYTON HOMES, INC............................................................ 96
1,242 DELTIC TIMBER CORP............................................................ 33
11,800 GEORGIA-PACIFIC CORP (PACKAGING GROUP)........................................ 559
17,500 LOUISIANA PACIFIC CORP........................................................ 416
450 - PALM HARBOR HOMES, INC........................................................ 11
100 TJ INTERNATIONAL, INC......................................................... 3
2,500 UNIVERSAL FOREST PRODUCTS, INC................................................ 54
12,100 WEYERHAEUSER CO............................................................... 832
---------
2,093
---------
METAL MINING--0.14%
16,200 - BATTLE MOUNTAIN GOLD CO....................................................... 39
1,800 CLEVELAND CLIFFS, INC......................................................... 58
12,000 CYPRUS AMAX MINERALS CO....................................................... 182
16,363 - FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B)................................. 294
7,900 - HECLA MINING CO............................................................... 16
9,700 HOMESTAKE MINING CO........................................................... 79
10,700 NEWMONT MINING CORP........................................................... 213
4,800 PHELPS DODGE CORP............................................................. 297
40 - PLACER DOME, INC.............................................................. 0
200 SOUTHERN PERU COPPER CORP..................................................... 3
2,000 - STILLWATER MINING CO.......................................................... 65
---------
1,246
---------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.45%
1,900 - BLYTH INDUSTRIES, INC......................................................... 65
2,600 BRADY CORP (CLASS A).......................................................... 85
5,100 CALLAWAY GOLF CO.............................................................. 75
11,750 HASBRO, INC................................................................... 328
1,700 - HEXCEL CORP................................................................... 17
4,800 INTERNATIONAL GAME TECHNOLOGY CO.............................................. 89
6,100 JOSTENS, INC.................................................................. 128
200 K2, INC....................................................................... 2
2,700 - LYDALL, INC................................................................... 31
81 - MARVEL ENTERPRISES WTS 10/02/02............................................... 0
138 - MARVEL ENTERPRISES WTS 10/02/02 (CLASS C)..................................... 0
30,089 MATTEL, INC................................................................... 795
26,800 MINNESOTA MINING & MANUFACTURING CO........................................... 2,330
2,000 ONEIDA LTD.................................................................... 56
1,500 RUSS BERRIE & CO, INC......................................................... 37
1,500 - STEINWAY MUSICAL INSTRUMENTS, INC............................................. 40
---------
4,078
---------
MISCELLANEOUS RETAIL--0.93%
6,600 - AMAZON.COM, INC............................................................... 826
3,200 - BARNES & NOBLE, INC........................................................... 88
700 - BARNETT, INC.................................................................. 5
200 BLAIR CORP.................................................................... 5
4,100 - BORDERS GROUP, INC............................................................ 65
1,700 CASH AMERICA INTERNATIONAL, INC............................................... 22
1,000 - CDW COMPUTER CENTERS, INC..................................................... 44
1,000 - COLDWATER CREEK, INC.......................................................... 20
6,100 - CORPORATE EXPRESS, INC........................................................ 43
29,342 CVS CORP...................................................................... 1,489
600 - ENESCO GROUP, INC............................................................. 14
1,100 FRIEDMANS, INC (CLASS A)...................................................... 10
2,600 - GARDEN RIDGE CORP............................................................. 12
700 HANCOCK FABRICS, INC.......................................................... 3
</TABLE>
See notes to financial statements. 23
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
MISCELLANEOUS RETAIL--(CONTINUED)
16,100 - HANOVER DIRECT, INC........................................................... $ 45
2,500 - INSIGHT ENTERPRISES, INC...................................................... 62
300 - LONGS DRUG STORES CORP........................................................ 10
3,100 - MICHAELS STORES, INC.......................................................... 95
1,600 - MICRO WAREHOUSE, INC.......................................................... 29
1,200 - NCS HEALTHCARE, INC (CLASS A)................................................. 7
24,300 - OFFICE DEPOT, INC............................................................. 536
7,150 - OFFICEMAX, INC................................................................ 86
5,000 OMNICARE, INC................................................................. 63
600 - PARTY CITY CORP............................................................... 2
3,700 - PETCO ANIMAL SUPPLIES, INC.................................................... 58
4,500 - PETSMART, INC................................................................. 46
16,120 RITE AID CORP................................................................. 397
3,600 - SCHEIN (HENRY), INC........................................................... 114
34,262 - STAPLES, INC.................................................................. 1,060
1,600 - SUNGLASS HUT INTERNATIONAL, INC............................................... 28
1,100 - SYSTEMAX, INC................................................................. 14
5,050 - THE SPORTS AUTHORITY, INC..................................................... 22
2,700 TIFFANY & CO.................................................................. 261
23,087 - TOYS R US, INC................................................................ 478
3,025 - U.S. OFFICE PRODUCTS CO....................................................... 16
73,700 WALGREEN CO................................................................... 2,165
4,100 - ZALE CORP..................................................................... 164
---------
8,404
---------
MOTION PICTURES--1.13%
148,534 - DISNEY (WALT) CO.............................................................. 4,577
900 - GC COS, INC................................................................... 32
3,100 - HOLLYWOOD ENTERTAINMENT CORP.................................................. 61
4,400 - KING WORLD PRODUCTIONS, INC................................................... 153
2,600 - METRO-GOLDWYN-MAYER, INC...................................................... 47
8,900 - METROMEDIA INTERNATIONAL GROUP, INC........................................... 67
600 - ON COMMAND CORP............................................................... 11
1,300 - PIXAR, INC.................................................................... 56
71,013 TIME WARNER, INC.............................................................. 5,219
---------
10,223
---------
NONDEPOSITORY INSTITUTIONS--2.08%
1,500 - AAMES FINANCIAL CORP.......................................................... 2
3,725 ADVANTA CORP (CLASS A)........................................................ 67
33,200 AMERICAN EXPRESS CO........................................................... 4,320
3,000 - AMERICREDIT CORP.............................................................. 48
6,800 - ARCADIA FINANCIAL LTD......................................................... 53
51,316 ASSOCIATES FIRST CAPITAL CORP................................................. 2,274
14,200 CAPITAL ONE FINANCIAL CORP.................................................... 791
2,500 CHARTER MUNICIPAL MORTGAGE ACCEPTANCE......................................... 32
800 CIT GROUP, INC (CLASS A)...................................................... 23
2,100 X- CITYSCAPE FINANCIAL CORP................................................... 0
1,100 - CONTIFINANCIAL CORP........................................................... 4
8,919 COUNTRYWIDE CREDIT INDUSTRIES, INC............................................ 381
2,100 - CREDIT ACCEPTANCE CORP........................................................ 13
100 DORAL FINANCIAL CORP.......................................................... 2
200 - FEDERAL AGRICULTURE MORTGAGE CORP............................................. 14
76,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION......................................... 5,197
1,300 - FINANCIAL FEDERAL CORP........................................................ 29
3,516 FINOVA GROUP, INC............................................................. 185
200 - FIRST SIERRA FINANCIAL, INC................................................... 5
4,500 - FIRSTPLUS FINANCIAL GROUP, INC................................................ 1
51,400 FREDDIE MAC................................................................... 2,981
400 - HEALTHCARE FINANCIAL PARTNERS, INC............................................ 14
35,438 HOUSEHOLD INTERNATIONAL, INC.................................................. 1,679
1,000 - IMC MORTGAGE CO............................................................... 0
6,700 LEUCADIA NATIONAL CORP........................................................ 170
600 - LONG BEACH FINANCIAL CORP..................................................... 9
4,238 METRIS COS, INC............................................................... 173
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
19 - MFN FINANCIAL CORP............................................................ $ 0
22 - MFN FINANCIAL CORP WTS 03/23/02 SERIES A...................................... 0
22 - MFN FINANCIAL CORP WTS 03/23/03 SERIES B...................................... 0
22 - MFN FINANCIAL CORP WTS 03/23/04 SERIES C...................................... 0
25 - OMEGA WORLDWIDE, INC.......................................................... 0
300 RESOURCE AMERICA, INC (CLASS A)............................................... 4
5,750 SLM HOLDINGS CORP............................................................. 263
6,700 - UNICAPITAL CORP............................................................... 42
2,200 X- UNITED COS FINANCIAL CORP.................................................. 0
---------
18,776
---------
NONMETALLIC MINERALS, EXCEPT FUELS--0.06%
4,100 AMCOL INTERNATIONAL CORP...................................................... 59
1,700 JOHNS MANVILLE CORP........................................................... 22
4,700 MARTIN MARIETTA MATERIALS, INC................................................ 277
3,200 VULCAN MATERIALS CO........................................................... 154
---------
512
---------
OIL AND GAS EXTRACTION--0.80%
5,200 ANADARKO PETROLEUM CORP....................................................... 191
8,400 APACHE CORP................................................................... 328
700 - ATWOOD OCEANICS, INC.......................................................... 22
1,200 - BELCO OIL & GAS CORP.......................................................... 8
4,700 - BENTON OIL & GAS CO........................................................... 9
3,400 - BJ SERVICES CO................................................................ 100
4,200 - BROWN (TOM), INC.............................................................. 65
10,749 BURLINGTON RESOURCES, INC..................................................... 465
700 - CAL DIVE INTERNATIONAL, INC................................................... 21
2,900 - CHESAPEAKE ENERGY CORP........................................................ 9
4,300 - COMSTOCK RESOURCES, INC....................................................... 14
4,525 CROSS TIMBERS OIL CO.......................................................... 67
1,700 DEVON ENERGY CORP............................................................. 61
6,700 DIAMOND OFFSHORE DRILLING, INC................................................ 190
231 - EAGLE GEOPHYSICAL, INC........................................................ 0
7,149 - EEX CORP...................................................................... 50
2,400 - ENRON OIL & GAS CO............................................................ 49
15,400 ENSCO INTERNATIONAL, INC...................................................... 307
1,400 X- FORCENERGY GAS EXPLORATION, INC............................................ 1
5,900 - FOREST OIL CORP............................................................... 74
700 - FRIEDE GOLDMAN INTERNATIONAL, INC............................................. 10
2,500 - GLOBAL INDUSTRIES LTD......................................................... 32
14,200 - GLOBAL MARINE, INC............................................................ 219
25,800 - GREY WOLF, INC................................................................ 65
28,132 HALLIBURTON CO................................................................ 1,273
400 - HANOVER COMPRESSOR CO......................................................... 13
100 - HARKEN ENERGY CORP............................................................ 0
5,700 HELMERICH & PAYNE, INC........................................................ 136
500 - HOUSTON EXPLORATION CO........................................................ 9
200 - HS RESOURCES, INC............................................................. 3
2,000 KCS ENERGY, INC............................................................... 1
9,447 KERR-MCGEE CORP............................................................... 474
10,100 - KEY ENERGY SERVICES, INC...................................................... 36
2,600 - LOUIS DREYFUS NATURAL GAS CORP................................................ 56
3,300 - MARINE DRILLING CO, INC....................................................... 45
263 - MCMORAN EXPLORATION CO........................................................ 6
1,700 - MERIDIAN RESOURCE CORP........................................................ 7
900 MITCHELL ENERGY & DEVELOPMENT CORP
(CLASS A)................................................................... 17
5,100 - NABORS INDUSTRIES, INC........................................................ 125
400 - NEWFIELD EXPLORATION CO....................................................... 11
2,800 NOBLE AFFILIATES, INC......................................................... 79
8,100 - NOBLE DRILLING CORP........................................................... 159
2,800 - NUEVO ENERGY CO............................................................... 37
28,800 OCCIDENTAL PETROLEUM CORP..................................................... 608
8,000 - OCEAN ENERGY, INC (NEW)....................................................... 77
2,100 - OCEANEERING INTERNATIONAL, INC................................................ 34
</TABLE>
24 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
OIL AND GAS EXTRACTION--(CONTINUED)
11,000 - PARKER DRILLING CO............................................................ $ 36
2,500 - PATTERSON ENERGY, INC......................................................... 25
12,300 - PIONEER NATURAL RESOURCES CO.................................................. 135
600 - POGO PRODUCING CO............................................................. 11
300 - POOL ENERGY SERVICES CO....................................................... 6
100 - PRIDE INTERNATIONAL, INC...................................................... 1
14,300 - R & B FALCON CORP............................................................. 134
5,800 RANGE RESOURCES CORP.......................................................... 36
2,100 - ROWAN COS, INC................................................................ 39
12,000 - SANTA FE SNYDER CORP.......................................................... 92
16 SCHLUMBERGER LTD.............................................................. 1
2,600 - SEITEL, INC................................................................... 42
1,200 ST. MARY LAND & EXPLORATION CO................................................ 25
800 - STONE ENERGY CORP............................................................. 34
3,700 - SUPERIOR ENERGY SERVICES, INC................................................. 19
2,600 - SYNTROLEUM CORP............................................................... 23
6,000 - TITAN EXPLORATION, INC........................................................ 30
486 - TOTAL FINA WTS 08/05/03....................................................... 11
1,700 - TRANSMONTAIGNE, INC........................................................... 21
7,300 TRANSOCEAN OFFSHORE, INC...................................................... 192
2,600 X- TRANSTEXAS GAS CORP........................................................ 2
2,600 - TUBOSCOPE, INC................................................................ 36
20,914 UNION PACIFIC RESOURCES GROUP, INC............................................ 341
400 - UTI ENERGY CORP............................................................... 7
1,200 VASTAR RESOURCES, INC......................................................... 63
1,900 - VERITAS DGC, INC.............................................................. 35
1,900 - VINTAGE PETROLEUM, INC........................................................ 20
5,230 - WEATHERFORD INTERNATIONAL..................................................... 192
---------
7,172
---------
PAPER AND ALLIED PRODUCTS--0.88%
1,300 - ACX TECHNOLOGIES, INC......................................................... 21
5,000 - AMERICAN PAD & PAPER CO....................................................... 10
7,100 AVERY DENNISON CORP........................................................... 429
2,400 BEMIS, INC.................................................................... 95
2,800 BOISE CASCADE CORP............................................................ 120
300 BOWATER, INC.................................................................. 14
4,100 - BUCKEYE TECHNOLOGIES, INC..................................................... 62
1,400 CARAUSTAR INDUSTRIES, INC..................................................... 35
4,900 CHAMPION INTERNATIONAL CORP................................................... 235
3,300 CHESAPEAKE CORP............................................................... 124
60 - CROWN VANTAGE, INC............................................................ 0
4,300 - EARTHSHELL CORP............................................................... 30
19,325 FORT JAMES CORP............................................................... 732
8,000 - GAYLORD CONTAINER CO.......................................................... 64
4,300 GLATFELTER (P.H.) CO.......................................................... 63
300 GREIF BROTHERS CORP (CLASS A)................................................. 8
29,464 INTERNATIONAL PAPER CO........................................................ 1,488
3,200 - IVEX PACKAGING CORP........................................................... 70
40,900 KIMBERLY-CLARK CORP........................................................... 2,331
1,600 LONGVIEW FIBRE CO............................................................. 25
4,000 - MAIL-WELL, INC................................................................ 65
6,500 MEAD CORP..................................................................... 271
1,900 - PLAYTEX PRODUCTS, INC......................................................... 30
300 REPUBLIC GROUP, INC........................................................... 5
600 ROCK-TENN CO (CLASS A)........................................................ 10
340 SCHWEITZER-MAUDUIT INTERNATIONAL, INC......................................... 5
2,300 - SHOREWOOD PACKAGING CORP...................................................... 42
9,053 - SMURFIT-STONE CONTAINER CORP.................................................. 186
10,631 SONOCO PRODUCTS CO............................................................ 318
4,800 ST. JOE CO.................................................................... 130
4,800 TEMPLE-INLAND, INC............................................................ 328
6,900 WAUSAU-MOSINEE PAPER CORP..................................................... 124
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
4,500 WESTVACO CORP................................................................. $ 131
7,700 WILLAMETTE INDUSTRIES, INC.................................................... 355
---------
7,956
---------
PERSONAL SERVICES--0.14%
9,200 BLOCK (H&R), INC.............................................................. 460
1,200 - CARRIAGE SERVICES, INC (CLASS A).............................................. 23
6,300 CINTAS CORP................................................................... 423
2,000 - COINMACH LAUNDRY CORP......................................................... 25
600 - CPI CORP...................................................................... 20
1,050 REGIS CORP.................................................................... 20
15,100 SERVICE CORP INTERNATIONAL.................................................... 291
1,400 UNIFIRST CORP................................................................. 26
---------
1,288
---------
PETROLEUM AND COAL PRODUCTS--3.57%
3,800 AMERADA HESS CORP............................................................. 226
5,800 ASHLAND, INC.................................................................. 233
22,400 ATLANTIC RICHFIELD CO......................................................... 1,872
47,800 CHEVRON CORP.................................................................. 4,550
2,200 ELCOR CORP.................................................................... 96
177,300 EXXON CORP.................................................................... 13,674
2,200 - FRONTIER OIL CORP............................................................. 15
58,800 MOBIL CORP.................................................................... 5,821
1,500 MURPHY OIL CORP............................................................... 73
1,000 PENNZENERGY CO................................................................ 17
2,440 PENNZOIL-QUAKER STATE CO...................................................... 37
13,700 PHILLIPS PETROLEUM CO......................................................... 689
4,700 SUNOCO, INC................................................................... 142
42,816 TEXACO, INC................................................................... 2,676
16,848 TOSCO CORP.................................................................... 437
12,626 ULTRAMAR DIAMOND SHAMROCK CORP................................................ 275
14,609 UNOCAL CORP................................................................... 579
19,300 USX-MARATHON GROUP, INC....................................................... 628
6,300 VALERO ENERGY CORP............................................................ 135
1,100 WD-40 CO...................................................................... 28
---------
32,203
---------
PRIMARY METAL INDUSTRIES--0.41%
800 - AFC CABLE SYSTEMS, INC........................................................ 28
700 AK STEEL HOLDINGS CORP........................................................ 16
25,580 ALCOA, INC.................................................................... 1,583
500 - ALPINE GROUP, INC............................................................. 8
2,900 - ARMCO, INC.................................................................... 19
6,200 ASARCO, INC................................................................... 117
4,100 BELDEN, INC................................................................... 98
6,300 - BETHLEHEM STEEL CORP.......................................................... 48
1,300 BIRMINGHAM STEEL CORP......................................................... 5
50 - CABLE DESIGN TECHNOLOGIES CO.................................................. 1
3,300 CARPENTER TECHNOLOGY CORP..................................................... 94
1,100 - CITATION CORP................................................................. 18
700 COMMONWEALTH INDUSTRIES, INC.................................................. 9
800 - ENCORE WIRE CORP.............................................................. 7
6,300 ENGELHARD CORP................................................................ 143
2,100 GENERAL CABLE CORP............................................................ 34
1,000 GIBRALTAR STEEL CORP.......................................................... 25
2,100 IMCO RECYCLING, INC........................................................... 36
1,500 INTERMET CORP................................................................. 23
3,700 - LONE STAR TECHNOLOGIES, INC................................................... 66
12,200 LTV CORP...................................................................... 82
200 MATTHEWS INTERNATIONAL CORP (CLASS A)......................................... 6
600 - MAXXAM, INC................................................................... 39
4,100 - MUELLER INDUSTRIES, INC....................................................... 139
600 NATIONAL STEEL CORP (CLASS B)................................................. 5
3,300 - NS GROUP, INC................................................................. 31
5,300 NUCOR CORP.................................................................... 251
1,100 OREGON STEEL MILLS, INC....................................................... 15
</TABLE>
See notes to financial statements. 25
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
PRIMARY METAL INDUSTRIES--(CONTINUED)
100 PRECISION CAST PARTS CORP..................................................... $ 4
2,300 QUANEX CORP................................................................... 66
1,300 REYNOLDS METALS CO............................................................ 77
1,861 RYERSON TULL, INC............................................................. 42
600 - STEEL DYNAMICS, INC........................................................... 9
800 SUPERIOR TELECOM, INC......................................................... 20
2,600 - TEXAS INDUSTRIES, INC......................................................... 101
7,400 USX-US STEEL GROUP, INC....................................................... 200
900 - WHX CORP...................................................................... 6
1,300 - WOLVERINE TUBE, INC........................................................... 33
12,600 WORTHINGTON INDUSTRIES, INC................................................... 207
---------
3,711
---------
PRINTING AND PUBLISHING--0.89%
500 AMERICAN BUSINESS PRODUCTS, INC............................................... 8
4,400 AMERICAN GREETINGS CORP (CLASS A)............................................. 133
4,900 - BANTA CORP.................................................................... 103
18,100 BELO (A.H.) CORP SERIES A..................................................... 356
2,100 - BIG FLOWER HOLDINGS, INC...................................................... 67
1,700 BOWNE & CO, INC............................................................... 22
2,800 CENTRAL NEWSPAPERS, INC (CLASS A)............................................. 105
1,500 - CONSOLIDATED GRAPHICS, INC.................................................... 75
1,000 - CSS INDUSTRIES, INC........................................................... 28
600 - DAY RUNNER, INC............................................................... 7
8,000 DELUXE CORP................................................................... 312
4,600 DONNELLEY (R.R.) & SONS CO.................................................... 170
2,200 DOW JONES & CO, INC........................................................... 117
500 - FRANKLIN COVEY CO............................................................. 4
22,100 GANNETT CO, INC............................................................... 1,577
2,200 HARLAND (JOHN H.) CO.......................................................... 44
4,200 HARTE-HANKS, INC.............................................................. 114
100 HOLLINGER INTERNATIONAL, INC.................................................. 1
1,000 HOUGHTON MIFFLIN CO........................................................... 47
3,800 KNIGHT-RIDDER, INC............................................................ 209
7,500 LEE ENTERPRISES, INC.......................................................... 229
1,300 MCCLATCHY CO (CLASS A)........................................................ 43
15,800 MCGRAW HILL COS, INC.......................................................... 852
2,838 MEDIA GENERAL, INC (CLASS A).................................................. 145
5,400 MEREDITH CORP................................................................. 187
1,000 MERRILL CORP.................................................................. 15
9,100 NEW YORK TIMES CO (CLASS A)................................................... 335
82 NEWS CORP LTD................................................................. 3
475 - PAXAR CORP.................................................................... 4
2,500 PENTON MEDIA, INC............................................................. 61
7,100 - PRIMEDIA, INC................................................................. 120
200 - PULITZER, INC................................................................. 10
2,460 - R.H. DONNELLEY CORP........................................................... 48
6,300 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE)........................................................ 250
7,800 REYNOLDS & REYNOLDS CO (CLASS A).............................................. 182
1,600 SCHAWK, INC (CLASS A)......................................................... 14
200 - SCHOLASTIC CORP............................................................... 10
4,500 SCRIPPS (E.W.) CO (CLASS A)................................................... 214
2,100 STANDARD REGISTER, INC........................................................ 65
3,000 TIMES MIRROR CO SERIES A...................................................... 178
8,800 TRIBUNE CO.................................................................... 767
5,500 WALLACE COMPUTER SERVICES, INC................................................ 138
800 WASHINGTON POST CO (CLASS B).................................................. 430
6,800 WILEY (JOHN) & SONS, INC (CLASS A)............................................ 120
213 - WORKFLOW MANAGEMENT, INC...................................................... 3
4,000 - WORLD COLOR PRESS, INC........................................................ 110
---------
8,032
---------
RAILROAD TRANSPORTATION--0.44%
36,920 BURLINGTON NORTHERN SANTA FE CORP............................................. 1,145
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
50 CANADIAN NATIONAL RAILWAY CO.................................................. $ 3
11,500 CSX CORP...................................................................... 521
1,800 FLORIDA EAST COAST INDUSTRIES, INC............................................ 80
8,700 KANSAS CITY SOUTHERN INDUSTRIES, INC.......................................... 555
20,500 NORFOLK SOUTHERN CORP......................................................... 618
17,682 UNION PACIFIC CORP............................................................ 1,031
1,000 - WISCONSIN CENTRAL TRANSIT CORP................................................ 19
---------
3,972
---------
REAL ESTATE--0.07%
10,600 ARDEN REALTY GROUP, INC....................................................... 261
1,000 - AVATAR HOLDINGS, INC.......................................................... 19
2,666 - CASTLE & COOKE, INC........................................................... 47
2,900 - CATELLUS DEVELOPMENT CORP..................................................... 45
2,300 - CB RICHARD ELLIS SERVICES GROUP, INC.......................................... 57
40 - ECHELON INTERNATIONAL CORP.................................................... 1
1,000 - FAIRFIELD COMMUNITIES, INC.................................................... 16
900 FOREST CITY ENTERPRISES, INC (CLASS A)........................................ 25
2,000 - GRUBB & ELLIS CO.............................................................. 10
33 - INSIGNIA FINANCIAL GROUP, INC................................................. 0
400 - JONES LANG LA SALLE........................................................... 12
300 LNR PROPERTY CORP............................................................. 6
1,100 - PRICE ENTERPRISES, INC........................................................ 8
2,064 - RECKSON SERVICES INDUSTRIES, INC.............................................. 31
1,000 ROUSE CO...................................................................... 25
800 STEWART ENTERPRISES, INC (CLASS A)............................................ 12
1,200 - TRAMMELL CROW CO.............................................................. 20
---------
595
---------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.46%
3,500 APTARGROUP, INC............................................................... 105
4,000 ARMSTRONG WORLD INDUSTRIES, INC............................................... 231
1,300 CARLISLE COS, INC............................................................. 63
4,300 COOPER TIRE & RUBBER CO....................................................... 102
3,000 FURON CO...................................................................... 57
8,500 GOODYEAR TIRE & RUBBER CO..................................................... 500
14,600 ILLINOIS TOOL WORKS, INC...................................................... 1,197
3,100 MYERS INDUSTRIES, INC......................................................... 62
8,700 NIKE, INC (CLASS B)........................................................... 551
6,800 PREMARK INTERNATIONAL, INC.................................................... 255
1,300 - REEBOK INTERNATIONAL LTD...................................................... 24
3,900 - SAFESKIN CORP................................................................. 47
5,072 - SEALED AIR CORP............................................................... 329
8,560 - SOLUTIA, INC.................................................................. 182
2,200 SPARTECH CORP................................................................. 70
1,400 - SYNETIC, INC.................................................................. 96
800 TREDEGAR CORP................................................................. 17
8,600 TUPPERWARE CORP............................................................... 219
1,000 WYNNS INTERNATIONAL, INC...................................................... 18
---------
4,125
---------
SECURITY AND COMMODITY BROKERS--1.45%
400 ADVEST GROUP, INC............................................................. 8
3,000 - AFFILIATED MANAGERS GROUP, INC................................................ 91
1,500 - AMERITRADE HOLDINGS CORP (CLASS A)............................................ 159
9,155 BEAR STEARNS COS, INC......................................................... 428
1,900 CONNING CORP.................................................................. 31
600 - DAIN RAUSCHER CORP............................................................ 32
500 - DONALDSON, LUFKIN & JENRETTE, INC............................................. 30
700 DUFF & PHELPS CREDIT RATING CO................................................ 47
14,400 - E TRADE GROUP, INC............................................................ 575
3,000 EATON VANCE CORP.............................................................. 103
10,950 EDWARDS (A.G.), INC........................................................... 353
300 EVEREN CAPITAL CORP........................................................... 9
2,500 FEDERATED INVESTMENTS, INC.................................................... 45
13,800 FRANKLIN RESOURCES, INC....................................................... 561
600 - FRIEDMAN, BILLINGS, RAMSEY GROUP, INC......................................... 7
</TABLE>
26 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
SECURITY AND COMMODITY BROKERS--(CONTINUED)
1,600 - HAMBRECHT & QUIST GROUP....................................................... $ 59
1,659 INVESTMENT TECHNOLOGY GROUP, INC.............................................. 54
200 JEFFERIES GROUP, INC.......................................................... 6
1,000 JOHN NUVEEN CO (CLASS A)...................................................... 43
2,000 LEGG MASON, INC............................................................... 77
9,500 LEHMAN BROTHERS HOLDINGS, INC................................................. 591
22,600 MERRILL LYNCH & CO, INC....................................................... 1,807
40,755 MORGAN STANLEY, DEAN WITTER, & CO............................................. 4,177
9,500 PAINE WEBBER GROUP, INC....................................................... 444
2,700 PHOENIX INVESTMENT PARTNERS LTD............................................... 23
7,500 PRICE (T. ROWE) ASSOCIATES, INC............................................... 288
4,450 RAYMOND JAMES FINANCIAL CORP.................................................. 107
23,600 SCHWAB (CHARLES) CORP......................................................... 2,593
900 SOUTHWEST SECURITIES GROUP, INC............................................... 65
1,000 - THE GOLDMAN SACHS GROUP, INC.................................................. 72
800 UNITED ASSET MANAGEMENT CORP.................................................. 18
6,500 WADDELL & REED FINANCIAL, INC (CLASS A)....................................... 178
157 WADDELL & REED FINANCIAL, INC (CLASS B)....................................... 4
---------
13,085
---------
SOCIAL SERVICES--0.01%
1,100 - CAPITAL SENIOR LIVING CORP.................................................... 11
200 - RES-CARE, INC................................................................. 5
1,200 - SUNRISE ASSISTED LIVING, INC.................................................. 42
---------
58
---------
SPECIAL TRADE CONTRACTORS--0.00%
400 - COMFORT SYSTEMS U.S.A., INC................................................... 7
700 - GROUP MAINTENANCE AMERICA CORP................................................ 9
---------
16
---------
STONE, CLAY, AND GLASS PRODUCTS--0.30%
300 AMERON INTERNATIONAL CORP..................................................... 13
1,600 CENTEX CONSTRUCTION PRODUCTS, INC............................................. 55
15,900 CORNING, INC.................................................................. 1,115
2,800 - DAL-TILE INTERNATIONAL, INC................................................... 32
500 - DEPARTMENT 56, INC............................................................ 13
800 - DUPONT PHOTOMASKS, INC........................................................ 38
500 FLORIDA ROCK INDUSTRIES, INC.................................................. 23
1,200 - GIANT CEMENT HOLDINGS, INC.................................................... 27
6,025 LAFARGE CORP.................................................................. 214
2,700 LIBBEY, INC................................................................... 78
1,100 LONE STAR INDUSTRIES, INC..................................................... 41
9,200 OWENS CORNING CO.............................................................. 316
10,500 - OWENS ILLINOIS, INC........................................................... 343
500 PUERTO RICAN CEMENT CO, INC................................................... 17
2,520 SOUTHDOWN, INC................................................................ 162
3,100 USG CORP...................................................................... 174
---------
2,661
---------
TEXTILE MILL PRODUCTS--0.09%
2,981 - ALBANY INTERNATIONAL CORP (CLASS A)........................................... 62
1,600 - BURLINGTON INDUSTRIES, INC.................................................... 15
2,400 COLLINS & AIKMAN CORP......................................................... 18
2,500 - CONE MILLS CORP............................................................... 15
1,700 - DAN RIVER, INC (CLASS A)...................................................... 13
3,400 INTERFACE, INC (CLASS A)...................................................... 29
4,200 - MOHAWK INDUSTRIES, INC........................................................ 128
3,900 - POLYMER GROUP, INC............................................................ 46
2,700 - RUSSELL CORP.................................................................. 53
13,000 - SHAW INDUSTRIES, INC.......................................................... 215
1,700 SPRING INDUSTRIES, INC........................................................ 74
300 - UNIFI, INC.................................................................... 6
5,000 WESTPOINT STEVENS, INC......................................................... 149
---------
823
---------
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
TOBACCO PRODUCTS--0.85%
1,100 - GENERAL CIGAR HOLDINGS, INC (CLASS A)......................................... $ 9
171,800 PHILIP MORRIS COS, INC........................................................ 6,904
8,500 - RJR REYNOLDS TOBACCO HOLDINGS, INC............................................ 268
17,700 UST, INC...................................................................... 518
---------
7,699
---------
TRANSPORTATION BY AIR--0.52%
2,800 AIRBORNE FREIGHT CORP......................................................... 78
1,000 - AIRNET SYSTEMS, INC........................................................... 14
7,100 - AIRTRAN HOLDINGS, INC......................................................... 41
2,600 - ALASKA AIR GROUP, INC......................................................... 109
3,600 - AMERICA WEST HOLDINGS CORP (CLASS B).......................................... 68
11,500 - AMR CORP...................................................................... 785
200 - AVIALL, INC................................................................... 4
3,480 COMAIR HOLDINGS, INC.......................................................... 72
5,500 - CONTINENTAL AIRLINES, INC (CLASS B)........................................... 207
12,300 DELTA AIRLINES, INC........................................................... 709
22,040 - FDX CORP...................................................................... 1,196
400 - MESA AIR GROUP, INC........................................................... 3
2,000 - NORTHWEST AIRLINES CORP (CLASS A)............................................. 65
3,700 - OFFSHORE LOGISTICS, INC....................................................... 41
3,400 OGDEN CORP.................................................................... 92
1,200 PITTSTON BAX GROUP............................................................ 11
900 SKYWEST, INC.................................................................. 22
25,001 SOUTHWEST AIRLINES CO......................................................... 778
8,600 - TRANS WORLD AIRLINES, INC..................................................... 42
6,500 - U.S. AIRWAYS GROUP, INC....................................................... 283
1,600 - UAL CORP...................................................................... 104
---------
4,724
---------
TRANSPORTATION EQUIPMENT--3.01%
900 - AFTERMARKET TECHNOLOGY CORP................................................... 10
39,900 ALLIED SIGNAL, INC............................................................ 2,514
700 ARCTIC CAT, INC............................................................... 6
3,300 ARVIN INDUSTRIES, INC......................................................... 125
5,984 AUTOLIV, INC.................................................................. 181
700 - BE AEROSPACE, INC............................................................. 13
74,354 BOEING CO..................................................................... 3,286
2,400 BORG-WARNER AUTOMOTIVE, INC................................................... 132
900 - BREED TECHNOLOGIES, INC....................................................... 2
4,000 CLARCOR, INC.................................................................. 77
100 COACHMEN INDUSTRIES, INC...................................................... 2
4,200 CORDANT TECHNOLOGIES, INC..................................................... 190
10,024 DANA CORP..................................................................... 462
5,800 DANAHER CORP.................................................................. 337
3,000 - DELCO REMY INTERNATIONAL, INC (CLASS A)....................................... 33
39,282 DELPHI AUTOMOTIVE SYSTEMS CORP................................................ 729
6,000 EATON CORP.................................................................... 552
2,100 FEDERAL SIGNAL CORP........................................................... 44
4,100 FEDERAL-MOGUL CORP............................................................ 213
3,500 FLEETWOOD ENTERPRISES, INC.................................................... 93
81,200 FORD MOTOR CO................................................................. 4,583
4,100 GENCORP, INC.................................................................. 104
9,600 GENERAL DYNAMICS CORP......................................................... 658
49,026 GENERAL MOTORS CORP........................................................... 3,236
6,300 - GENERAL MOTORS CORP (CLASS H)................................................. 354
6,700 - GENTEX CORP................................................................... 188
8,650 GOODRICH (B.F.) CO............................................................ 368
5,500 - GULFSTREAM AEROSPACE CORP..................................................... 372
2,300 - HALTER MARINE GROUP, INC...................................................... 15
11,900 HARLEY DAVIDSON, INC.......................................................... 647
2,500 - HAYES LEMMERZ INTERNATIONAL, INC.............................................. 73
6,200 ITT INDUSTRIES, INC........................................................... 236
1,800 - KELLSTROM INDUSTRIES, INC..................................................... 33
19,792 LOCKHEED MARTIN CORP.......................................................... 737
</TABLE>
See notes to financial statements. 27
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
TRANSPORTATION EQUIPMENT--(CONTINUED)
4,500 MASCOTECH, INC................................................................ $ 76
8,866 MERITOR AUTOMOTIVE, INC....................................................... 226
1,300 - MONACO COACH CORP............................................................. 55
4,450 - MOTIVEPOWER INDUSTRIES, INC................................................... 80
1,700 - NATIONAL R.V. HOLDINGS, INC................................................... 41
5,500 - NAVISTAR INTERNATIONAL CORP................................................... 275
1,100 - NEWPORT NEWS SHIPBUILDING, INC................................................ 32
7,077 NORTHROP GRUMMAN CORP......................................................... 469
1,100 - ORBITAL SCIENCES CORP......................................................... 26
7,000 PACCAR, INC................................................................... 374
3,000 POLARIS INDUSTRIES, INC....................................................... 131
2,100 REGAL-BELOIT CORP............................................................. 50
2,800 SIMPSON INDUSTRIES, INC....................................................... 29
2,400 SMITH (A.O.) CORP............................................................. 67
1,803 - SPX CORP...................................................................... 151
300 STANDARD MOTOR PRODUCTS, INC (CLASS A)........................................ 7
1,200 STANDARD PRODUCTS CO.......................................................... 31
700 - STONERIDGE, INC............................................................... 9
200 SUPERIOR INDUSTRIES INTERNATIONAL, INC........................................ 5
9,900 TEXTRON, INC.................................................................. 815
1,200 THOR INDUSTRIES, INC.......................................................... 34
5,200 TRINITY INDUSTRIES, INC....................................................... 174
1,300 - TRISTAR AEROSPACE CO.......................................................... 11
2,000 - TRIUMPH GROUP, INC............................................................ 51
7,700 TRW, INC...................................................................... 423
37,229 UNITED TECHNOLOGIES CORP...................................................... 2,669
2,750 VARLEN CORP................................................................... 111
300 - WABASH NATIONAL CORP.......................................................... 6
1,900 WESTINGHOUSE AIR BRAKE CO..................................................... 49
1,700 WINNEBAGO INDUSTRIES, INC..................................................... 38
---------
27,120
---------
TRANSPORTATION SERVICES--0.07%
325 AIR EXPRESS INTERNATIONAL CORP................................................ 8
1,800 C.H. ROBINSON WORLDWIDE, INC.................................................. 66
500 - EAGLE U.S.A. AIRFREIGHT, INC.................................................. 21
2,400 EXPEDITORS INTERNATIONAL OF WASHINGTON........................................ 65
5,000 GALILEO INTERNATIONAL, INC.................................................... 267
5,200 GATX CORP..................................................................... 198
610 - NAVIGANT INTERNATIONAL, INC................................................... 5
700 - U.S. EXPRESS ENTERPRISES, INC (CLASS A)....................................... 7
---------
637
---------
TRUCKING AND WAREHOUSING--0.09%
2,500 - AMERICAN FREIGHTWAYS CORP..................................................... 49
3,400 ARNOLD INDUSTRIES, INC........................................................ 52
2,400 CNF TRANSPORTATION, INC....................................................... 92
50 - CONSOLIDATED FREIGHTWAYS CORP................................................. 1
1,000 - COVENANT TRANSPORT, INC (CLASS A)............................................. 16
800 - DISPATCH MANAGEMENT SERVICES CORP............................................. 2
3,300 HUNT (J.B.) TRANSPORT SERVICES, INC........................................... 54
2,000 - IRON MOUNTAIN, INC............................................................ 57
1,800 - LANDSTAR SYSTEM, INC.......................................................... 65
1,500 - M.S. CARRIERS, INC............................................................ 44
900 - PIERCE LEAHY CORP............................................................. 22
2,200 ROADWAY EXPRESS, INC.......................................................... 43
975 - SWIFT TRANSPORTATION CO, INC.................................................. 21
3,400 USFREIGHTWAYS CORP............................................................ 157
4,950 WERNER ENTERPRISES, INC....................................................... 103
3,800 - YELLOW CORP................................................................... 67
---------
845
---------
WATER TRANSPORTATION--0.04%
200 ALEXANDER & BALDWIN, INC...................................................... 4
600 - AMERICAN CLASSIC VOYAGES CO................................................... 14
500 - KIRBY CORP.................................................................... 11
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
950 - MARINE TRANSPORT CORP......................................................... $ 3
400 OVERSEAS SHIPHOLDING GROUP, INC............................................... 5
9,200 TIDEWATER, INC................................................................ 281
1,000 - TRICO MARINE SERVICES, INC.................................................... 7
---------
325
---------
WHOLESALE TRADE-DURABLE GOODS--0.21%
1,500 - ACTION PERFORMANCE COS, INC................................................... 50
1,000 - ANICOM, INC................................................................... 11
600 - ANIXTER INTERNATIONAL, INC.................................................... 11
800 APPLIED INDUSTRIAL TECHNOLOGIES, INC.......................................... 15
2,500 - ARROW ELECTRONICS, INC........................................................ 48
800 AVNET, INC.................................................................... 37
1,700 BRIGGS & STRATTON CORP........................................................ 98
650 - BRIGHTPOINT, INC.............................................................. 4
800 CASTLE (A.M.) & CO............................................................ 14
5,500 - CELLSTAR CORP................................................................. 43
2,200 COMMERCIAL METALS CO.......................................................... 63
1,900 - FISHER SCIENTIFIC INTERNATIONAL, INC.......................................... 42
4,400 GENUINE PARTS CO.............................................................. 154
6,300 GRAINGER (W.W.), INC.......................................................... 339
800 - HA-LO INDUSTRIES, INC......................................................... 8
3,300 - HANDLEMAN CO.................................................................. 39
2,300 HUGHES SUPPLY, INC............................................................ 68
11,800 IKON OFFICE SOLUTIONS, INC.................................................... 177
3,000 - INGRAM MICRO, INC (CLASS A)................................................... 77
1,000 LAWSON PRODUCTS, INC.......................................................... 25
14,100 - MERISEL, INC.................................................................. 32
1,000 - METAL MANAGEMENT, INC......................................................... 2
800 - MICROAGE, INC................................................................. 3
1,600 - MSC INDUSTRIAL DIRECT CO (CLASS A)............................................ 16
700 - NATIONAL-OILWELL, INC......................................................... 10
3,400 OWENS & MINOR, INC............................................................ 37
2,250 - PATTERSON DENTAL CO........................................................... 78
800 - PEC ISRAEL ECONOMIC CORP...................................................... 25
500 - POMEROY COMPUTER RESOURCES, INC............................................... 7
2,800 - PSS WORLD MEDICAL, INC........................................................ 31
1,100 RELIANCE STEEL & ALUMINUM CO.................................................. 43
1,900 - SAFEGUARD SCIENTIFICS, INC.................................................... 118
3,300 - TECH DATA CORP................................................................ 126
200 - VWR SCIENTIFIC PRODUCTS CORP.................................................. 7
220 WESCO FINANCIAL CORP.......................................................... 68
---------
1,926
---------
WHOLESALE TRADE-NONDURABLE GOODS--0.72%
2,100 - AIRGAS, INC................................................................... 26
5,000 - AMERISOURCE HEALTH CORP (CLASS A)............................................. 128
1,200 - BARNETT RESOURCES CORP........................................................ 46
11,725 BERGEN BRUNSWIG CORP (CLASS A)................................................ 202
2,050 BINDLEY WESTERN INDUSTRIES, INC............................................... 47
2,100 - BOISE CASCADE OFFICE PRODUCTS CORP............................................ 25
20,464 CARDINAL HEALTH, INC.......................................................... 1,312
300 - CENTRAL GARDEN & PET CO....................................................... 3
1,600 - DAISYTEK INTERNATIONAL CORP................................................... 26
1,400 DIMON, INC.................................................................... 7
22,861 ENRON CORP.................................................................... 1,835
10,600 FORTUNE BRANDS, INC........................................................... 439
33 HERBALIFE INTERNATIONAL, INC (CLASS A)........................................ 0
2,566 HERBALIFE INTERNATIONAL, INC (CLASS B)........................................ 22
1,500 HUNT CORP..................................................................... 12
2,900 INTERNATIONAL MULTIFOODS CORP................................................. 65
1,100 - KENNETH COLE PRODUCTIONS, INC................................................. 31
19,097 MCKESSON HBOC, INC............................................................ 613
4,500 - NU SKIN ENTERPRISES, INC (CLASS A)............................................ 90
1,900 - PERFORMANCE FOOD GROUP CO..................................................... 52
1,200 - PLAINS RESOURCES, INC......................................................... 23
</TABLE>
28 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ---------- ---------
<C> <S> <C>
WHOLESALE TRADE-NONDURABLE GOODS--(CONTINUED)
42 - PRIORITY HEALTHCARE CORP (CLASS A)............................................ $ 1
2,250 - PRIORITY HEALTHCARE CORP (CLASS B)............................................ 78
1,100 RICHFOOD HOLDINGS, INC........................................................ 19
78 - SCHOOL SPECIALTY, INC......................................................... 1
5,700 - SCIOS, INC.................................................................... 19
20,000 SUPERVALU, INC................................................................ 514
22,700 SYSCO CORP.................................................................... 677
1,900 TERRA INDUSTRIES, INC......................................................... 8
600 - U.S.A. FLORAL PRODUCTS, INC................................................... 5
8,600 UNISOURCE WORLDWIDE, INC...................................................... 104
2,900 - UNITED STATIONERS, INC........................................................ 64
800 VALHI, INC.................................................................... 9
---------
6,503
---------
TOTAL COMMON STOCK
(COST $600,568)............................................................... 896,842
---------
</TABLE>
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (000)
- ---------- ---------
<C> <S> <C>
SHORT TERM INVESTMENT--0.47%
U.S. GOVERNMENT AGENCY--0.47%
$4,250,000 FEDERAL HOME LOAN BANK
4.490% 07/01/99............................................................... $ 4,249
---------
TOTAL SHORT TERM INVESTMENT
(COST $4,250)................................................................. 4,249
---------
TOTAL PORTFOLIO
(COST $604,969)............................................................... $ 901,287
---------
---------
</TABLE>
- ---------------
- 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 June
30, 1999, the value of these securities amounted to $1,995 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
PROCURENET, INC 04/19/99 544
-------------
$ 28,562
-------------
-------------
</TABLE>
See notes to financial statements. 29
<PAGE>
TEACHERS INSURANCE AND
ANNUITY ASSOCIATION
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