<PAGE>
Annual Report
- --------------------------------------------------------------------------------
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
Audited Financial Statements
including
Statement of Investments
----------------
December 31, 1999
TIAA [Logo]
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
INDEX TO AUDITED FINANCIAL STATEMENTS
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Page
----
<S> <C>
Report of Management Responsibility ........... 2
Report of Independent Auditors ................ 3
Audited Financial Statements:
Statement of Assets and Liabilities ......... 4
Statement of Operations ..................... 5
Statements of Changes in Net Assets ......... 6
Notes to Financial Statements ............... 7
Statement of Investments .................... 9
</TABLE>
<PAGE>
[TIAA LOGO]
- --------------------------------------------------------------------------------
REPORT OF MANAGEMENT RESPONSIBILITY
To the Contractowners of
TIAA Separate Account VA-1:
The accompanying financial statements of the Stock Index Account of TIAA
Separate Account VA-1 ("VA-1") are the responsibility of management. They have
been prepared in accordance with accounting principles generally accepted in
the United States and have been presented fairly and objectively in accordance
with such principles.
Teachers Insurance and Annuity Association of America ("TIAA") has established
and maintains a strong system of internal controls designed to provide
reasonable assurance that assets are properly safeguarded and transactions are
properly executed in accordance with management's authorization, and to carry
out the ongoing responsibilities of management for reliable financial
statements. In addition, TIAA's internal audit personnel provide a continuing
review of the internal controls and operations of TIAA, including its separate
account operations.
The accompanying financial statements have been audited by the independent
auditing firm of Ernst & Young LLP. The independent auditors' report, which
appears on the following page, expresses an independent opinion on the fairness
of presentation of these financial statements.
The Audit Committee of the TIAA Board of Trustees, consisting of trustees who
are not officers of TIAA, and the Management Committee of VA-1, the majority of
which are not officers of TIAA, meet regularly with management, representatives
of Ernst & Young LLP and internal audit personnel to review matters relating to
/s/ Thomas G. Walsh
------------------------------------
President
and Chief Executive Officer
/s/ Richard Mills
------------------------------------
Executive Vice President and
Chief Financial Officer
2
<PAGE>
[Logo] Ernst & Young LLP 787 Seventh Avenue Phone 212 773 3000
New York, New York 10019
REPORT OF INDEPENDENT AUDITORS
To the Contractowners and Management Committee of
TIAA Separate Account VA-1:
We have audited the accompanying statement of assets and liabilities of the
Stock Index Account of TIAA Separate Account VA-1 ("VA-1"), including the
statement of investments, as of December 31, 1999, and the related statement of
operations for the year then ended and the statements of changes in net assets
for each of the two years in the period then ended. These financial statements
are the responsibility of VA-1's management. Our responsibility is to express
an opinion on these financial statements based on our audits. The condensed
financial information for the year ended December 31, 1996 and the periods
prior thereto were audited by other auditors, whose report dated February 6,
1997 expressed an unqualified opinion on such condensed financial information.
We conducted our audits in accordance with auditing standards generally
accepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1999, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of the Stock Index Account of
VA-1 at December 31, 1999, the results of its operations for the year then
ended and the changes in its net assets for each of the two years in the period
then ended, in conformity with accounting principles generally accepted in the
United States.
/s/ Ernst & Young LLP
February 4, 2000
Ernst & Young LLP is a member of Ernst & Young International, Ltd.
3
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
(amounts in thousands, except per accumulation unit amount)
<TABLE>
<S> <C>
ASSETS
Investments, at cost ........................................... $ 665,685
Net unrealized appreciation of investments ..................... 367,131
-----------
Investments, at value .......................................... 1,032,816
Cash ........................................................... 476
Dividends and interest receivable .............................. 993
Receivable from securities transactions ........................ 6
-----------
TOTAL ASSETS 1,034,291
-----------
LIABILITIES
Payable for securities transactions ............................ 1,139
Amounts due to General Account ................................. 598
-----------
TOTAL LIABILITIES 1,737
-----------
NET ASSETS--Accumulation Fund ................................... $ 1,032,554
===========
NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6 ......... 12,630
===========
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5 .................. $ 81.75
===========
</TABLE>
See notes to financial statements.
4
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 1999
(amounts in thousands)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income:
Interest ..................................................... $ 220
Dividends .................................................... 11,288
--------
TOTAL INCOME 11,508
--------
Expenses--Note 3:
Investment advisory charges .................................. 2,615
Administrative expenses ...................................... 1,744
Mortality and expense risk charges ........................... 872
--------
EXPENSES BEFORE WAIVER 5,231
Investment advisory charges waived--Note 3 ................... (2,005)
--------
NET EXPENSES 3,226
--------
INVESTMENT INCOME--NET 8,282
--------
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS--Note 4
Net realized gain on investments ............................. 33,295
Net change in unrealized appreciation on investments ......... 125,074
--------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 158,369
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $166,651
========
</TABLE>
See notes to financial statements.
5
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
(amounts in thousands)
<TABLE>
<CAPTION>
Years Ended December 31,
-----------------------------
1999 1998
-------------- ------------
<S> <C> <C>
FROM OPERATIONS
Investment income--net ....................................... $ 8,282 $ 7,390
Net realized gain on investments ............................. 33,295 31,091
Net change in unrealized appreciation on investments ......... 125,074 97,186
---------- ---------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 166,651 135,667
---------- ---------
FROM CONTRACTOWNER TRANSACTIONS
Premiums ..................................................... 130,503 135,735
Net contractowner transfers (to) from fixed account .......... 4,267 (36,831)
Withdrawals and death benefits ............................... (26,849) (20,320)
---------- ---------
NET INCREASE IN NET ASSETS RESULTING
FROM CONTRACTOWNER TRANSACTIONS 107,921 78,584
---------- ---------
NET INCREASE IN NET ASSETS 274,572 214,251
NET ASSETS
Beginning of year ............................................ 757,982 543,731
---------- ---------
End of year .................................................. $1,032,554 $ 757,982
========== =========
</TABLE>
See notes to financial statements.
6
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION
TIAA Separate Account VA-1 ("VA-1") is a segregated investment account of
Teachers Insurance and Annuity Association of America ("TIAA") and was
organized on February 16, 1994 under the insurance laws of the State of New
York for the purpose of issuing and funding variable annuity contracts. VA-1
was registered with the Securities and Exchange Commission ("Commission")
effective November 1, 1994 as an open-end, diversified management investment
company under the Investment Company Act of 1940. Currently, VA-1 consists of a
single investment portfolio, the Stock Index Account ("Account"), which invests
in a diversified portfolio of equity securities selected to track the overall
United States stock market.
Teachers Advisors, Inc. ("Advisors"), an indirect subsidiary of TIAA, which is
registered with the Commission as an investment adviser, provides investment
advisory services for VA-1 pursuant to an Investment Management Agreement
between TIAA, Advisors and VA-1. TIAA provides all administrative services for
VA-1 pursuant to an Administrative Services Agreement with VA-1. The contracts
are distributed primarily by Teachers Personal Investors Services, Inc.
("TPIS"), also an indirect subsidiary of TIAA, which is registered with the
Commission as a broker-dealer and is a member of the National Association of
Securities Dealers, Inc.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements may require management to make
estimates and assumptions that affect the reported amounts of assets,
liabilities, income, expenses and related disclosures. Actual results may
differ from those estimates. The following is a summary of the significant
accounting policies consistently followed by the Account, which are in
conformity with accounting principles generally accepted in the United States.
Valuation of Investments: Securities listed or traded on any United States
national securities exchange are valued at the last sale 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 sale 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 securities transactions are
accounted for on the average cost basis.
Federal Income Taxes: Based on provisions of the Internal Revenue Code, no
federal taxes are attributable to the net investment experience of the Account.
NOTE 3--MANAGEMENT AGREEMENTS
Daily charges are deducted from the net assets of the Account for services
required to manage investments, administer the separate account and the
contracts, and to cover certain insurance risks borne by TIAA. The Investment
Management Agreement sets the investment advisory charge at an annual rate of
0.30% of the net assets of the Account. Currently, Advisors has agreed to waive
a portion of such fee, so that the daily deduction is equivalent to an annual
charge of 0.07% of the net assets of the Account. The Administrative Services
Agreement sets the administrative expense charge at an annual rate of 0.20% of
the net assets of the Account. TIAA also imposes a daily charge for bearing
certain mortality and expense risks in connection with the contracts equivalent
to an annual rate of 0.10% of the net assets of the Account.
7
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STOCK INDEX ACCOUNT
NOTES TO FINANCIAL STATEMENTS (Concluded)
NOTE 4--INVESTMENTS
At December 31, 1999, the net unrealized appreciation on investments was
$367,130,676, consisting of gross unrealized appreciation of $408,796,778 and
gross unrealized depreciation of $41,666,102.
Purchases and sales of securities, other than short-term money market
instruments, for the year ended December 31, 1999, were $445,205,509 and
$328,569,867, respectively.
NOTE 5--CONDENSED FINANCIAL INFORMATION
Selected condensed financial information for an Accumulation Unit of the
Account is presented below.
<TABLE>
<CAPTION>
Years Ended December 31,
--------------------------------------------------------------------------------
1999 1998 1997 1996 1995
------------ -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income .................. $ .961 $ .908 $ .847 $ .807 $ .745
Expenses ........................... .270 .223 .182 .150 .170
--------- --------- --------- --------- ---------
Investment income--net ............. .691 .685 .665 .657 .575
Net realized and unrealized gain
on investments ................... 13.051 12.407 12.429 6.755 8.565
--------- --------- --------- --------- ---------
Net increase in
Accumulation Unit Value ........... 13.742 13.092 13.094 7.412 9.140
Accumulation Unit Value:
Beginning of year ................. 68.009 54.917 41.823 34.411 25.271
--------- --------- --------- --------- ---------
End of year ....................... $ 81.751 $ 68.009 $ 54.917 $ 41.823 $ 34.411
========= ========= ========= ========= =========
Total return ........................ 20.21% 23.84% 31.31% 21.54% 36.17%
Ratio to Average Net Assets:
Expenses (1) ....................... 0.37% 0.37% 0.37% 0.40% 0.55%
Investment income--net ............. 0.95% 1.14% 1.36% 1.74% 1.87%
Portfolio turnover rate ............. 37.93% 45.93% 2.39% 4.55% 0.98%
Thousands of Accumulation Units
outstanding at end of year ......... 12,630 11,145 9,901 6,768 2,605
</TABLE>
(1) Advisors has agreed to waive a portion of its investment advisory fee.
Without this waiver, the Account's expense ratio for the periods listed
would have been higher (see Note 3).
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
Years Ended December 31,
--------------------------------
1999 1998
-------------- ---------------
<S> <C> <C>
Accumulation Units:
Credited for premiums ........................................ 1,798,810 2,250,490
Credited (cancelled) for transfers and disbursements ......... (313,740) (1,006,137)
Outstanding:
Beginning of year ........................................... 11,145,401 9,901,048
---------- ----------
End of year ................................................. 12,630,471 11,145,401
========== ==========
</TABLE>
8
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1999
SUMMARY BY INDUSTRY
(000)
<TABLE>
<CAPTION>
VALUE %
---------- ------
<S> <C> <C>
BONDS
CORPORATE BONDS
AUTOMOTIVE DEALERS AND SERVICE STATIONS $ 2 0.00%
---------- -----
REAL ESTATE ................................. 4 0.00
---------- -----
TOTAL CORPORATE BONDS
(Cost $7) ................................... 6 0.00
---------- -----
TOTAL BONDS
(Cost $7) ................................... 6 0.00
---------- -----
PREFERRED STOCK
FURNITURE AND FIXTURES ...................... 1 0.00
HOLDING AND OTHER INVESTMENT OFFICES ........ 17 0.00
INSTRUMENTS AND RELATED PRODUCTS ............ 0 0.00
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS ................................... 115 0.01
---------- -----
TOTAL PREFERRED STOCK
(Cost $127) ................................. 133 0.01
---------- -----
COMMON STOCK
AGRICULTURAL SERVICES ....................... 15 0.00
AMUSEMENT AND RECREATION SERVICES ........... 965 0.09
APPAREL AND ACCESSORY STORES ................ 5,099 0.49
APPAREL AND OTHER TEXTILE PRODUCTS .......... 748 0.07
AUTO REPAIR, SERVICES AND PARKING ........... 554 0.05
AUTOMOTIVE DEALERS AND SERVICE STATIONS ..... 704 0.07
BUILDING MATERIALS AND GARDEN SUPPLIES ...... 13,548 1.31
BUSINESS SERVICES ........................... 126,177 12.22
CHEMICALS AND ALLIED PRODUCTS ............... 112,004 10.85
COAL MINING ................................. 24 0.00
COMMUNICATIONS .............................. 124,106 12.02
DEPOSITORY INSTITUTIONS ..................... 62,560 6.06
EATING AND DRINKING PLACES .................. 6,808 0.66
EDUCATIONAL SERVICES ........................ 305 0.03
ELECTRIC, GAS, AND SANITARY SERVICES ........ 27,396 2.65
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT ..... 119,068 11.53
ENGINEERING AND MANAGEMENT SERVICES ......... 1,967 0.19
FABRICATED METAL PRODUCTS ................... 6,043 0.59
FOOD AND KINDRED PRODUCTS ................... 30,124 2.92
FOOD STORES ................................. 4,493 0.44
FORESTRY .................................... 78 0.01
FURNITURE AND FIXTURES ...................... 1,822 0.18
FURNITURE AND HOMEFURNISHINGS STORES ........ 2,629 0.25
GENERAL BUILDING CONTRACTORS ................ 651 0.06
GENERAL MERCHANDISE STORES .................. 24,440 2.37
HEALTH SERVICES ............................. 3,792 0.37
HEAVY CONSTRUCTION, EXCEPT BUILDING ......... 536 0.05
HOLDING AND OTHER INVESTMENT OFFICES ........ 7,324 0.71
HOTELS AND OTHER LODGING PLACES ............. 1,187 0.11
</TABLE>
<TABLE>
<CAPTION>
VALUE %
---------- -----
<S> <C> <C>
INDUSTRIAL MACHINERY AND EQUIPMENT .......... $ 93,404 9.05%
INSTRUMENTS AND RELATED PRODUCTS ............ 19,169 1.86
INSURANCE AGENTS, BROKERS AND SERVICE ....... 1,931 0.19
INSURANCE CARRIERS .......................... 44,525 4.31
LEATHER AND LEATHER PRODUCTS ................ 164 0.02
LEGAL SERVICES .............................. 50 0.00
LOCAL AND INTERURBAN PASSENGER TRANSIT ...... 4 0.00
LUMBER AND WOOD PRODUCTS .................... 2,564 0.25
METAL MINING ................................ 1,175 0.11
MISCELLANEOUS MANUFACTURING INDUSTRIES ...... 4,488 0.43
MISCELLANEOUS RETAIL ........................ 7,768 0.75
MOTION PICTURES ............................. 11,875 1.15
NONDEPOSITORY INSTITUTIONS .................. 18,200 1.76
NONMETALLIC MINERALS, EXCEPT FUELS .......... 477 0.05
OIL AND GAS EXTRACTION ...................... 7,980 0.77
PAPER AND ALLIED PRODUCTS ................... 8,361 0.81
PERSONAL SERVICES ........................... 819 0.08
PETROLEUM AND COAL PRODUCTS ................. 35,042 3.39
PRIMARY METAL INDUSTRIES .................... 4,312 0.42
PRINTING AND PUBLISHING ..................... 8,219 0.80
RAILROAD TRANSPORTATION ..................... 3,329 0.32
REAL ESTATE ................................. 411 0.04
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS ................................... 3,620 0.35
SECURITY AND COMMODITY BROKERS .............. 15,396 1.49
SOCIAL SERVICES ............................. 35 0.00
SPECIAL TRADE CONTRACTORS ................... 43 0.00
STONE, CLAY, AND GLASS PRODUCTS ............. 3,462 0.34
TEXTILE MILL PRODUCTS ....................... 733 0.07
TOBACCO PRODUCTS ............................ 4,956 0.48
TRANSPORTATION BY AIR ....................... 3,935 0.38
TRANSPORTATION EQUIPMENT .................... 27,414 2.66
TRANSPORTATION SERVICES ..................... 548 0.05
TRUCKING AND WAREHOUSING .................... 893 0.09
WATER TRANSPORTATION ........................ 378 0.04
WHOLESALE TRADE-DURABLE GOODS ............... 1,923 0.19
WHOLESALE TRADE-NONDURABLE GOODS ............ 5,855 0.57
---------- ------
TOTAL COMMON STOCK
(Cost $661,498) ............................. 1,028,625 99.62
---------- ------
SHORT TERM INVESTMENT
U.S. GOVERNMENT AGENCY ...................... 4,052 0.39
---------- ------
TOTAL SHORT TERM INVESTMENT
(Cost $4,053) ............................... 4,052 0.39
---------- ------
TOTAL PORTFOLIO
(Cost $665,685) ............................. 1,032,816 100.02
OTHER ASSETS & LIABILITIES, NET .............. (262) ( 0.02)
---------- ------
NET ASSETS .................................. $1,032,554 100.00%
========== ======
</TABLE>
See notes to financial statements.
9
<PAGE>
TIAA SEPARATE ACCOUNT VA-1
STATEMENT OF INVESTMENTS--STOCK INDEX ACCOUNT
DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL VALUE (000)
- ----------- ------------
<S> <C> <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
----------
REAL ESTATE--0.00%
EXCEL LEGACY
3,000 9.000%, 01/01/04 ............................... 3
1,000 10.000%, 01/10/04 ............................... 1
----------
4
----------
TOTAL CORPORATE BONDS
(Cost $7) ..................................... 6
----------
TOTAL BONDS
(Cost $7) ..................................... 6
----------
SHARES
------
PREFERRED STOCK--0.01%
FURNITURE AND FIXTURES--0.00%
2,800 * OSULLIVAN INDUSTRIES HOLDINGS, INC .............. 1
----------
HOLDING AND OTHER INVESTMENT OFFICES--0.00%
503 SUPERIOR TRUST SERIES A ......................... 17
----------
INSTRUMENTS AND RELATED PRODUCTS--0.00%
3,500 * FRESENIUS MEDICAL CARE (CLASS D) ................ 0
----------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.01%
2,280 SEALED AIR CORP (CLASS A) ....................... 115
----------
TOTAL PREFERRED STOCK
(Cost $127) ..................................... 133
----------
COMMON STOCK--99.62%
AGRICULTURAL SERVICES--0.00%
1,000 * CADIZ, INC ...................................... 10
400 * VETERINARY CENTERS OF AMERICA, INC .............. 5
----------
15
----------
AMUSEMENT AND RECREATION SERVICES--0.09%
15,285 * AMF BOWLING, INC ................................ 48
1,400 * ANCHOR GAMING CO ................................ 61
3,500 * ARGOSY GAMING CORP .............................. 54
3,000 * BALLY TOTAL FITNESS HOLDINGS CORP ............... 80
2,400 * BOCA RESORTS, INC (CLASS A) ..................... 23
4,500 * BOYD GAMING CORP ................................ 26
1,700 * CHAMPIONSHIP AUTO RACING TEAMS, INC ............. 39
9,800 * HARRAH'S ENTERTAINMENT, INC ..................... 259
2,400 * HOLLYWOOD PARK, INC ............................. 54
1,300 INTERNATIONAL SPEEDWAY CORP (CLASS A) ........... 65
25 * LAKES GAMING, INC ............................... 0
5,600 * MIRAGE RESORTS, INC ............................. 86
50 * PLAYERS INTERNATIONAL, INC ...................... 0
50 * SFX ENTERTAINMENT, INC (CLASS A) ................ 2
2,400 * STATION CASINOS, INC ............................ 54
1,500 * WESTWOOD ONE, INC ............................... 114
----------
965
----------
APPAREL AND ACCESSORY STORES--0.49%
7,764 * ABERCROMBIE & FITCH CO (CLASS A) ................ 207
2,100 * AMERICAN EAGLE OUTFITTERS, INC .................. 95
1,100 * ANN TAYLOR STORES CORP .......................... 38
500 * BUCKLE, INC ..................................... 7
620 BURLINGTON COAT FACTORY WAREHOUSE CORP .......... 9
2,800 CATO CORP (CLASS A) ............................. 35
7,400 * CHARMING SHOPPES, INC ........................... 49
2,100 * CHILDRENS PLACE RETAIL STORES ................... 35
5,800 CLAIRES STORES, INC ............................. 130
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ---------- ------------
<S> <C> <C>
2,500 * FINISH LINE, INC (CLASS A) ....................... $ 14
4,000 * FOOTSTAR, INC .................................... 122
800 * GADZOOKS, INC .................................... 8
53,712 GAP, INC ......................................... 2,471
22,700 * GENESCO, INC ..................................... 295
400 * GOODYS FAMILY CLOTHING, INC ...................... 2
500 * GYMBOREE CORP .................................... 3
2,100 INTIMATE BRANDS, INC (CLASS A) ................... 91
8,451 LIMITED, INC ..................................... 366
1,050 * MEN'S WEARHOUSE, INC ............................. 31
3,800 NORDSTROM, INC ................................... 100
4,850 * PACIFIC SUNWEAR CALIFORNIA, INC .................. 155
2,800 * PAYLESS SHOESOURCE, INC .......................... 132
8,600 ROSS STORES, INC ................................. 154
200 * SHOE CARNIVAL, INC ............................... 2
24,700 TJX COS, INC ..................................... 505
1,207 * TOO, INC ......................................... 21
300 * URBAN OUTFITTERS, INC ............................ 9
1,100 * WET SEAL, INC (CLASS A) .......................... 13
----------
5,099
----------
APPAREL AND OTHER TEXTILE PRODUCTS--0.07%
300 * COLUMBIA SPORTSWEAR CO ........................... 6
8,002 * JONES APPAREL GROUP, INC ......................... 217
3,600 LIZ CLAIBORNE, INC ............................... 135
1,600 * NAUTICA ENTERPRISES, INC ......................... 18
1,400 OSHKOSH B'GOSH, INC (CLASS A) .................... 29
400 OXFORD INDUSTRIES, INC ........................... 8
500 PHILLIPS VAN HEUSEN CORP ......................... 4
200 PILLOWTEX CORP ................................... 1
2,800 * POLO RALPH LAUREN CORP ........................... 48
2,800 * QUIKSILVER, INC .................................. 43
5,700 VF CORP .......................................... 171
5,500 WARNACO GROUP, INC (CLASS A) ..................... 68
----------
748
----------
AUTO REPAIR, SERVICES AND PARKING--0.05%
1,000 * AUTOWEB.COM, INC ................................. 11
2,400 * AVIS RENT A CAR, INC ............................. 61
900 * BUDGET GROUP, INC ................................ 8
50 CENTRAL PARKING CORP ............................. 1
4,500 * DOLLAR THRIFTY AUTOMOTIVE GROUP, INC ............. 108
1,200 HERTZ CORP (CLASS A) ............................. 60
1,333 MIDAS, INC ....................................... 29
8,250 ROLLINS TRUCK LEASING CORP ....................... 98
7,300 RYDER SYSTEM, INC ................................ 178
----------
554
----------
AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.07%
19,600 * AUTONATION, INC .................................. 181
8,200 * AUTOZONE, INC .................................... 265
2,900 * COPART, INC ...................................... 126
2,500 * CSK AUTO CORP .................................... 44
700 * LITHIA MOTORS, INC (CLASS A) ..................... 13
2,400 * OREILLY AUTOMOTIVE, INC .......................... 52
2,500 PEP BOYS MANNY, MOE, & JACK CO ................... 23
----------
704
----------
BUILDING MATERIALS AND GARDEN SUPPLIES--1.31%
2,400 FASTENAL CO ...................................... 108
174,150 HOME DEPOT, INC .................................. 11,940
25,100 LOWES COS, INC ................................... 1,500
----------
13,548
----------
</TABLE>
10 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ --------------
<S> <C> <C>
BUSINESS SERVICES--12.22%
500 * 24/7 MEDIA, INC ................................... $ 28
2,200 AARON RENTS, INC .................................. 39
3,000 * ABOUT.COM, INC .................................... 269
4,800 * ACCLAIM ENTERTAINMENT, INC ........................ 25
4,133 * ACNEILSEN CORP .................................... 102
500 * ACTIVISION, INC ................................... 8
1,400 * ACTUATE CORP ...................................... 60
4,760 * ACXIOM CORP ....................................... 114
800 * ADFORCE, INC ...................................... 57
100 * ADMINSTAFF, INC ................................... 3
10,400 ADOBE SYSTEMS, INC ................................ 699
1,350 * ADVENT SOFTWARE, INC .............................. 87
2,400 * ADVO, INC ......................................... 57
4,200 * AFFILIATED COMPUTER SERVICES, INC (CLASS A) ....... 193
1,040 * AMDOCS LTD ........................................ 36
168,302 * AMERICA ONLINE, INC ............................... 12,696
7,650 * AMERICAN MANAGEMENT SYSTEMS, INC .................. 240
3,300 ANALYSTS INTERNATIONAL CORP ....................... 41
5,200 * ANSWERTHINK CONSULTING GROUP ...................... 178
1,000 * APAC CUSTOMER SERVICES, INC ....................... 14
300 * APPLIEDTHEORY CORP ................................ 8
300 * ARDENT SOFTWARE, INC .............................. 12
2,700 * ASHTON TECHNOLOGY GROUP, INC ...................... 17
1,800 * ASPECT DEVELOPMENT, INC ........................... 123
400 * AUTOBYTEL.COM, INC ................................ 6
41,095 AUTOMATIC DATA PROCESSING, INC .................... 2,214
1,100 * AVT CORP .......................................... 52
1,500 * AXENT TECHNOLOGIES, INC ........................... 32
1,220 * AZTEC TECHNOLOGY PARTNERS, INC .................... 6
100 * BARRA, INC ........................................ 3
11,200 * BEA SYSTEMS, INC .................................. 783
800 * BEYOND.COM CORP ................................... 6
600 * BINDVIEW DEVELOPMENT CORP ......................... 30
900 * BISYS GROUP, INC .................................. 59
16,400 * BMC SOFTWARE, INC ................................. 1,311
600 * BOTTOMLINE TECHNOLOGIES, INC ...................... 22
3,500 * BROADVISION, INC .................................. 595
1,800 * BROCADE COMMUNICATIONS SYSTEMS, INC ............... 319
1,000 * BURNS INTERNATIONAL SERVICES ...................... 11
16,800 * CADENCE DESIGN SYSTEMS, INC ....................... 403
1,000 * CAIS INTERNET, INC ................................ 36
1,700 * CAMBRIDGE TECHNOLOGY PARTNERS, INC ................ 45
300 * CAREERBUILDER, INC ................................ 2
700 * CATALINA MARKETING CORP ........................... 81
2,700 * CCC INFORMATION SERVICES GROUP, INC ............... 46
1,500 * CDI CORP .......................................... 36
55,047 * CENDANT CORP ...................................... 1,462
5,500 * CENTURY BUSINESS SERVICES, INC .................... 46
7,400 * CERIDIAN CORP ..................................... 160
2,500 * CHECKFREE HOLDINGS CORP ........................... 261
1,200 * CHOICEPOINT, INC .................................. 50
2,800 * CIBER, INC ........................................ 77
5,300 * CITRIX SYSTEMS, INC ............................... 652
1,900 * CLARIFY, INC ...................................... 239
5,400 * CMGI, INC ......................................... 1,495
2,700 * CNET, INC ......................................... 153
500 * COGNIZANT TECHNOLOGY SOLUTIONS .................... 55
6,200 COMDISCO, INC ..................................... 231
3,600 * COMPLETE BUSINESS SOLUTIONS, INC .................. 90
32,500 COMPUTER ASSOCIATES INTERNATIONAL, INC ............ 2,273
50 * COMPUTER HORIZONS CORP ............................ 1
1,500 * COMPUTER NETWORK TECHNOLOGY CORP .................. 34
11,496 * COMPUTER SCIENCES CORP ............................ 1,088
1,300 COMPUTER TASK GROUP, INC .......................... 19
31,700 * COMPUWARE CORP .................................... 1,181
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
1,700 * CONCORD COMMUNICATIONS, INC ....................... $ 75
2,500 * CONVERGYS CORP .................................... 77
900 * CORT BUSINESS SERVICES CORP ....................... 16
1,200 * COSTAR GROUP ...................................... 43
2,100 * COTELLIGENT, INC .................................. 11
1,000 * CRITICAL PATH, INC ................................ 94
7,700 * CSG SYSTEMS INTERNATIONAL, INC .................... 307
1,100 * CTC COMMUNICATIONS GROUP .......................... 43
1,600 * CYBERCASH, INC .................................... 15
5,860 * CYBERGUARD CORP ................................... 23
500 * DATA BROADCASTING CORP ............................ 4
800 * DATA DIMENSIONS, INC .............................. 2
2,700 * DATASTREAM SYSTEMS, INC ........................... 66
1,200 * DBT ONLINE, INC ................................... 29
200 * DELTEK SYSTEMS, INC ............................... 3
4,200 * DENDRITE INTERNATIONAL, INC ....................... 142
800 * DIGITAL RIVER, INC ................................ 27
900 * DOCUMENTUM, INC ................................... 54
2,050 * DOUBLECLICK, INC .................................. 519
2,186 * DST SYSTEMS, INC .................................. 167
1,300 * EARTHLINK NETWORK, INC ............................ 55
1,100 * EARTHWEB, INC ..................................... 55
2,300 * EBAY, INC ......................................... 288
1,600 * ECLIPSYS CORP ..................................... 41
5,300 * ELECTRONIC ARTS, INC .............................. 445
28,400 ELECTRONIC DATA SYSTEMS CORP ...................... 1,901
4,300 * ELECTRONICS FOR IMAGING, INC ...................... 250
5,500 * EMPLOYEE SOLUTIONS, INC ........................... 4
500 * ENTRUST TECHNOLOGIES, INC ......................... 30
4,500 * EPICOR SOFTWARE CORP .............................. 23
8,900 EQUIFAX, INC ...................................... 210
300 * EXCHANGE APPLICATIONS, INC ........................ 17
8,850 * EXCITE AT HOME .................................... 379
1,300 FACTSET RESEARCH SYSTEMS, INC ..................... 104
1,700 FAIR ISSAC & CO, INC .............................. 90
5,500 * FILENET CORP ...................................... 140
37,506 FIRST DATA CORP ................................... 1,850
7,675 * FISERV, INC ....................................... 294
2,624 * GARTNER GROUP, INC (CLASS B) ...................... 36
1,500 * GENESYS TELECOMMUNICATIONS LABORATORIES, INC ...... 81
3,400 GERBER SCIENTIFIC, INC ............................ 75
2,400 * GETTY IMAGES, INC ................................. 117
3,450 * GO.COM ............................................ 82
1,900 * GO2NET, INC ....................................... 165
1,400 * GREAT PLAINS SOFTWARE, INC ........................ 105
2,200 * GT INTERACTIVE SOFTWARE CORP ...................... 4
4,900 * GTECH HOLDINGS CORP ............................... 108
4,000 * HARBINGER CORP .................................... 127
1,299 * HEALTHEON/WEBMD CORP .............................. 49
1,100 * HNC SOFTWARE ...................................... 116
530 * HYPERION SOLUTIONS CORP ........................... 23
2,300 * I2 TECHNOLOGIES, INC .............................. 449
2,230 * IMATION CORP ...................................... 75
1,900 * IMRGLOBAL CORP .................................... 24
24,000 IMS HEALTH, INC ................................... 653
1,500 * INACOM CORP ....................................... 11
2,000 * INDUSTRI-MATEMATIK INTERNATIONAL CORP ............. 12
2,400 * INFOCURE CORP ..................................... 75
1,300 * INFORMATION ARCHITECTS CORP ....................... 13
17,000 * INFORMIX CORP ..................................... 194
2,700 * INFOSPACE.COM, INC ................................ 578
3,500 * INFOUSA, INC ...................................... 49
3,800 * INKTOMI CORP ...................................... 337
400 * INTELLIGROUP, INC ................................. 10
5,800 * INTERGRAPH CORP ................................... 27
2,500 * INTERIM SERVICES, INC ............................. 62
</TABLE>
See notes to financial statements.
11
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
BUSINESS SERVICES--(Continued)
180 * INTERNET CAPITAL GROUP, INC .................. $ 31
800 INTERPOOL, INC ............................... 6
17,604 INTERPUBLIC GROUP OF COS, INC ................ 1,016
1,400 * INTERVU, INC ................................. 147
14,700 * INTUIT, INC .................................. 881
2,200 * ISS GROUP, INC ............................... 156
3,700 * IVILLAGE, INC ................................ 75
1,100 JACK HENRY & ASSOCIATES, INC ................. 59
1,500 * JDA SOFTWARE GROUP, INC ...................... 25
1,000 * JUNO ONLINE SERVICES, INC .................... 36
2,800 * KEANE, INC ................................... 89
2,800 KELLY SERVICES, INC (CLASS A) ................ 70
3,750 * LABOR READY, INC ............................. 45
2,550 * LAMAR ADVERTISING CO (CLASS A) ............... 154
2,200 * LEARN2.COM, INC .............................. 7
900 x * LEASING SOLUTIONS, INC ....................... 0
5,000 * LEGATO SYSTEMS, INC .......................... 344
1,300 * LHS GROUP, INC ............................... 32
6,200 * LYCOS, INC ................................... 493
4,600 * MACROMEDIA, INC .............................. 336
1,600 * MACROVISION CORP ............................. 118
5,800 MANPOWER, INC ................................ 218
2,600 * MANUGISTICS GROUP, INC ....................... 84
700 * MAPICS, INC .................................. 9
200 * MAPQUEST.COM, INC ............................ 5
200 * MARIMBA, INC ................................. 9
3,300 * MASTECH CORP ................................. 82
700 MCGRATH RENTCORP ............................. 12
500 * MEDIA METRIX, INC ............................ 18
4,100 * MEDQUIST, INC ................................ 106
1,300 * MEMBERWORKS, INC ............................. 43
11,500 * MENTOR GRAPHICS CORP ......................... 152
60 * MERANT PLC ADR ............................... 2
3,900 * MERCURY INTERACTIVE CORP ..................... 421
1,000 * MESSAGEMEDIA, INC ............................ 14
1,000 * METRO INFORMATION SERVICES, INC .............. 24
1,500 * MICROMUSE, INC ............................... 255
287,758 * MICROSOFT CORP ............................... 33,596
3,300 * MICROSTRATEGY, INC ........................... 693
2,200 * MINDSPRING ENTERPRISES, INC .................. 58
500 * MODEM MEDIA POPPE TYSON, INC ................. 35
9,483 * MODIS PROFESSIONAL SERVICES .................. 135
4 * MOMENTUM BUSINESS APPLICATIONS, INC .......... 0
1,000 * MPATH INTERACTIVE, INC ....................... 27
3,300 NATIONAL COMPUTER SYSTEMS, INC ............... 124
2,900 NATIONAL DATA CORP ........................... 98
700 * NBC INTERNET, INC ............................ 54
4,700 * NCO GROUP, INC ............................... 142
2,100 * NEFF CORP .................................... 13
600 * NETOPIA, INC ................................. 33
9,000 * NETWORK APPLIANCE, INC ....................... 748
2,100 * NETWORK PERIPHERALS, INC ..................... 99
1,500 * NETWORK SOLUTIONS, INC ....................... 326
8,499 * NETWORKS ASSOCIATES, INC ..................... 227
2,100 * NEW ERA OF NETWORKS, INC ..................... 100
5,700 * NOVA CORP (GEORGIA) .......................... 180
22,500 * NOVELL, INC .................................. 899
1,600 * OBJECTIVE SYSTEMS INTEGRATORS, INC ........... 11
7,700 OLSTEN CORP .................................. 87
11,000 OMNICOM GROUP, INC ........................... 1,100
700 * ON ASSIGNMENT, INC ........................... 21
1,600 * ONEMAIN.COM, INC ............................. 24
2,900 * OPEN MARKET, INC ............................. 131
85,612 * ORACLE CORP .................................. 9,594
16,410 * PARAMETRIC TECHNOLOGY CORP ................... 444
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
18,450 PAYCHEX, INC ................................. $ 738
400 * PCORDER.COM, INC ............................. 20
600 * PEGASYSTEMS, INC ............................. 7
8,200 * PEOPLESOFT, INC .............................. 175
1,466 * PER SE TECHNOLOGIES, INC ..................... 12
3,700 * PEREGRINE SYSTEMS, INC ....................... 311
2,900 * PEROT SYSTEMS CORP (CLASS A) ................. 55
1,900 * PERSONNEL GROUP OF AMERICA, INC .............. 19
400 * PERVASIVE SOFTWARE, INC ...................... 7
4,200 # * PHYSICIAN COMPUTER NETWORK, INC .............. 0
5,800 PITTSTON BRINKS GROUP CO ..................... 128
2,300 * POLICY MANAGEMENT SYSTEMS CORP ............... 59
2,200 * PORTAL SOFTWARE, INC ......................... 226
1,900 * PREVIEW TRAVEL, INC .......................... 99
6,400 * PRICELINE.COM, INC ........................... 303
6,300 # * PROCURENET, INC .............................. 1
2,950 * PROGRESS SOFTWARE CORP ....................... 167
600 * PROJECT SOFTWARE & DEVELOPMENT, INC .......... 33
2,900 * PROXICOM, INC ................................ 361
5,480 * PSINET, INC .................................. 338
1,750 * QRS CORP ..................................... 184
3,300 * QUADRAMED CORP ............................... 29
1,400 * RARE MEDIUM GROUP, INC ....................... 48
6,683 * RATIONAL SOFTWARE CORP ....................... 328
900 * RAZORFISH, INC ............................... 86
2,200 * REALNETWORKS, INC ............................ 265
800 * REDBACK NETWORKS, INC ........................ 142
3,500 * REMEDY CORP .................................. 166
1,900 * RENT WAY, INC ................................ 36
1,200 * RENT-A-CENTER, INC ........................... 24
5,400 * ROBERT HALF INTERNATIONAL, INC ............... 154
3,100 ROLLINS, INC ................................. 47
1,500 * ROMAC INTERNATIONAL, INC ..................... 20
200 * RSA SECURITY, INC ............................ 16
2,700 * SABRE HOLDINGS CORP .......................... 138
4,600 * SAFETY-KLEEN CORP ............................ 52
1,200 * SAGA SYSTEMS, INC ............................ 24
400 * SAGENT TECHNOLOGY, INC ....................... 12
400 * SALESLOGIX CORP .............................. 16
1,300 * SANCHEZ COMPUTER ASSOCIATES, INC ............. 54
3,000 * SANTA CRUZ OPERATION, INC .................... 91
2,000 * SAPIENT CORP ................................. 282
3,600 * SCIENT CORP .................................. 311
2,000 SEI INVESTMENT CO ............................ 238
400 * SERENA SOFTWARE, INC ......................... 12
2,400 SHARED MEDICAL SYSTEMS CORP .................. 122
8,984 * SIEBEL SYSTEMS, INC .......................... 755
1,000 * SILKNET SOFTWARE, INC ........................ 166
18,800 * SITEL CORP ................................... 132
5,200 * SNYDER COMMUNICATIONS, INC ................... 100
1,100 * SOFTNET SYSTEMS, INC ......................... 28
600 SOTHEBYS HOLDINGS, INC (CLASS A) ............. 18
1,900 * SOURCE MEDIA, INC ............................ 35
1,500 * SPORTSLINE.COM ............................... 75
700 * SPR, INC ..................................... 4
700 * SPYGLASS, INC ................................ 27
800 * STAFFMARK, INC ............................... 6
900 * STARMEDIA NETWORK, INC ....................... 36
6,600 * STERLING COMMERCE, INC ....................... 225
5,700 * STERLING SOFTWARE, INC ....................... 180
4,900 * STRUCTURAL DYNAMICS RESEARCH CORP ............ 62
117,636 * SUN MICROSYSTEMS, INC ........................ 9,109
8,200 * SUNGARD DATA SYSTEMS, INC .................... 195
10,500 * SYBASE, INC .................................. 179
1,700 * SYKES ENTERPRISES, INC ....................... 75
3,900 * SYMANTEC CORP ................................ 229
</TABLE>
12 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------- ----------
<S> <C> <C>
BUSINESS SERVICES--(Continued)
4,100 * SYNOPSYS, INC ........................................... $ 274
800 * SYNTEL, INC ............................................. 13
3,500 * SYSTEMS & COMPUTER TECHNOLOGY CORP ...................... 57
4,500 * SYSTEMSOFT CORP ......................................... 0
1,975 * TECHNOLOGY SOLUTIONS CO ................................. 65
1,900 * TELETECH HOLDINGS, INC .................................. 64
2,000 * THEGLOBE.COM, INC ....................................... 17
3,000 * THQ, INC ................................................ 70
2,300 * TICKETMASTER ONLINE-CITYSEARCH, INC ..................... 88
1,500 * TMP WORLDWIDE, INC ...................................... 213
1,000 TOTAL SYSTEM SERVICES, INC .............................. 16
800 * TRANSACTION SYSTEM ARCHITECTURE ......................... 22
5,000 TRUE NORTH COMMUNICATIONS, INC .......................... 223
1,000 * TSI INTERNATIONAL SOFTWARE LTD .......................... 57
700 * UNIGRAPHICS SOLUTIONS, INC .............................. 19
5,470 * UNITED RENTALS, INC ..................................... 94
95 * US INTERACTIVE, INC ..................................... 4
300 * USINTERNETWORKING, INC .................................. 21
8,100 * USWEB CORP .............................................. 360
4,800 * VALASSIS COMMUNICATIONS, INC ............................ 203
7,200 * VERIO, INC .............................................. 333
4,800 * VERISIGN, INC ........................................... 917
18,375 * VERITAS SOFTWARE CORP ................................... 2,630
4,400 * VERITY, INC ............................................. 187
2,200 * VERTICALNET, INC ........................................ 361
1,200 * VIASOFT, INC ............................................ 7
4,600 * VIGNETTE CORP ........................................... 750
1,800 * VISIO CORP .............................................. 86
2,000 WACKENHUT CORP SERIES A ................................. 30
1,000 * WAVE SYSTEMS CORP (CLASS A) ............................. 12
1,000 * WEBTRENDS CORP .......................................... 81
700 * WEST TELESERVICES CORP .................................. 17
75 * WIND RIVER SYSTEMS, INC ................................. 3
2,000 * XTRA CORP ............................................... 85
9,231 * YAHOO, INC .............................................. 3,994
4,500 YOUNG & RUBICAM, INC .................................... 318
----------
126,177
----------
CHEMICALS AND ALLIED PRODUCTS--10.85%
111,810 ABBOTT LABORATORIES CO .................................. 4,060
1,000 * ABGENIX, INC ............................................ 133
300 * ADVANCED TISSUE SCIENCE CO .............................. 1
14,900 AIR PRODUCTS & CHEMICALS, INC ........................... 500
3,300 ALBEMARLE CORP .......................................... 63
4,300 ALBERTO CULVER CO (CLASS B) ............................. 111
2,700 * ALKERMES, INC ........................................... 133
95 * ALLERGAN SPECIALTY THERAPEUTICS, INC (CLASS A) .......... 1
8,600 ALLERGAN, INC ........................................... 428
3,400 ALPHARMA, INC (CLASS A) ................................. 105
3,600 * ALZA CORP ............................................... 125
97,700 AMERICAN HOME PRODUCTS CORP ............................. 3,853
82,080 * AMGEN, INC .............................................. 4,930
4,700 * ANDRX CORP .............................................. 199
2,700 ARCH CHEMICALS, INC ..................................... 57
2,000 * AVIRON, INC ............................................. 32
19,600 AVON PRODUCTS, INC ...................................... 647
1,900 * BIO-TECHNOLOGY GENERAL CORP ............................. 29
10,600 * BIOGEN, INC ............................................. 896
1,800 * BIOMATRIX, INC .......................................... 35
119 * BIOVAIL CORP INTERNATIONAL .............................. 11
309 BLOCK DRUG, INC (CLASS A) ............................... 10
149,800 BRISTOL MYERS SQUIBB CO ................................. 9,615
6,900 CABOT CORP .............................................. 141
800 CALGON CARBON CORP ...................................... 5
4,000 CAMBREX CORP ............................................ 138
200 * CARBIDE/GRAPHITE GROUP, INC ............................. 1
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ --------------
<S> <C> <C>
400 * CAREMARK RX, INC ........................................ $ 2
3,700 CARTER WALLACE, INC ..................................... 66
1,200 * CELL PATHWAYS, INC ...................................... 11
4,400 * CEPHALON, INC ........................................... 152
2,400 * CHIREX, INC ............................................. 35
5,640 * CHIRON CORP ............................................. 239
4,000 CHURCH & DWIGHT CO, INC ................................. 107
9,695 CK WITCO CORP ........................................... 130
15,200 CLOROX CO ............................................... 766
42,800 COLGATE PALMOLIVE CO .................................... 2,782
4,000 * COR THERAPEUTICS, INC ................................... 108
1,000 * CORIXA CORP ............................................. 17
2,600 * COULTER PHARMACEUTICALS, INC ............................ 59
800 * CREATIVE BIOMOLECULES, INC .............................. 4
60 * CRESCENDO PHARMACEUTICALS CORP .......................... 1
500 * CYGNUS, INC ............................................. 9
4,900 * CYTEC INDUSTRIES, INC ................................... 113
2,300 DEXTER CORP ............................................. 91
700 DIAGNOSTIC PRODUCTS CORP ................................ 17
6,000 DIAL CORP ............................................... 146
18,700 DOW CHEMICAL CO ......................................... 2,499
77,591 DU PONT (E.I.) DE NEMOURS & CO .......................... 5,111
2,800 * DURA PHARMACEUTICALS, INC ............................... 39
900 * DURAMED PHARMACEUTICALS, INC ............................ 6
4,000 EASTMAN CHEMICAL CO ..................................... 191
9,900 ECOLAB, INC ............................................. 387
1,950 FERRO CORP .............................................. 43
3,600 * FMC CORP ................................................ 206
5,700 * FOREST LABORATORIES, INC ................................ 350
1,420 FULLER (H.B.) CO ........................................ 79
6,100 * GENZYME CORP (GENERAL DIVISION) ......................... 275
160 * GENZYME CORP (TISSUE REPAIR DIVISION) ................... 0
91 * GENZYME SURGICAL PRODUCTS ............................... 1
86 * GENZYME-MOLECULAR ONCOLOGY .............................. 1
3,600 GEON CO ................................................. 117
3,002 * GILEAD SCIENCES, INC .................................... 162
18,200 * GRACE W.R. & CO ......................................... 253
3,000 GREAT LAKES CHEMICAL CORP ............................... 115
200 * GUILFORD PHARMACEUTICALS, INC ........................... 3
2,750 HANNA (M.A.) CO ......................................... 30
8,200 HERCULES, INC ........................................... 229
2,800 * HESKA CORP .............................................. 6
2,500 * HUMAN GENOME SCIENCES, INC .............................. 382
6,151 ICN PHARMACEUTICALS, INC ................................ 156
4,000 * ICOS CORP ............................................... 117
2,200 * IDEC PHARMACEUTICALS CORP ............................... 216
1,300 * IDEXX LABORATORIES, INC ................................. 21
9,100 IMC GLOBAL, INC ......................................... 149
666 * IMC GLOBAL, INC WTS 12/22/00 ............................ 0
1,900 * IMCLONE SYSTEMS, INC .................................... 75
700 * IMMUNE RESPONSE CORP .................................... 3
6,000 * IMMUNEX CORP ............................................ 657
400 * INHALE THERAPEUTIC SYSTEMS .............................. 17
2,100 * INTERNATIONAL SPECIALTY PRODUCTS, INC ................... 19
200 * INTERNEURON PHARMACEUTICALS, INC ........................ 1
4,300 INTERNATIONAL FLAVORS & FRAGRANCES, INC ................. 162
4,000 * ISIS PHARMACEUTICALS, INC ............................... 25
9,200 * IVAX CORP ............................................... 237
107,760 JOHNSON & JOHNSON CO .................................... 10,035
1,800 JONES PHARMACEUTICAL, INC ............................... 78
900 * KING PHARMACEUTICALS, INC ............................... 50
1,800 * KV PHARMACEUTICAL CO (CLASS B) .......................... 39
11,400 LAUDER (ESTEE) CO (CLASS A) ............................. 575
72,492 LILLY (ELI) & CO ........................................ 4,821
3,700 LILLY INDUSTRIES, INC (CLASS A) ......................... 50
4,500 * LIPOSOME CO, INC ........................................ 55
</TABLE>
See notes to financial statements. 13
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
CHEMICALS AND ALLIED PRODUCTS--(Continued)
5,200 LUBRIZOL CORP ...................................... $ 161
1,300 MACDERMID, INC ..................................... 53
2,400 * MACROCHEM CORP (DELAWARE) .......................... 10
11,000 MALLINCKRODT, INC .................................. 350
100 * MATRIX PHARMACEUTICALS, INC ........................ 0
800 * MEDCO RESEARCH, INC ................................ 24
1,750 * MEDICIS PHARMACEUTICAL CORP (CLASS A) .............. 74
4,300 * MEDIMMUNE, INC ..................................... 713
180,600 MERCK & CO, INC .................................... 12,111
3,400 * MILLENNIUM PHARMACEUTICALS, INC .................... 415
1,600 MINERALS TECHNOLOGIES, INC ......................... 64
200 MISSISSIPPI CHEMICAL CORP .......................... 1
49,000 MONSANTO CO ........................................ 1,746
8,800 MYLAN LABORATORIES, INC ............................ 222
800 * NABI, INC .......................................... 4
1,900 NATURES SUNSHINE PRODUCTS, INC ..................... 15
1,900 * NBTY, INC .......................................... 22
200 NCH CORP ........................................... 9
1,000 * NEOPROBE CORP ...................................... 0
2,000 * NEUROGEN CORP ...................................... 33
275 * OCTEL CORP ......................................... 3
4,100 OMNOVA SOLUTIONS, INC .............................. 32
525 * ORGANOGENESIS, INC ................................. 5
18,500 * PERRIGO CO ......................................... 148
293,500 PFIZER, INC ........................................ 9,520
35,515 PHARMACIA & UPJOHN, INC ............................ 1,598
1,100 * PHARMACYCLICS, INC ................................. 45
12,700 PPG INDUSTRIES, INC ................................ 795
10,100 PRAXAIR, INC ....................................... 508
102,500 PROCTER & GAMBLE CO ................................ 11,230
1,700 * REGENERON PHARMACEUTICALS, INC ..................... 22
4,000 * REXALL SUNDOWN, INC ................................ 41
7,400 ROHM & HAAS CO ..................................... 301
4,031 RPM, INC ........................................... 41
400 * SANGSTAT MEDICAL CORP .............................. 12
800 * SCHEIN PHARMACEUTICAL, INC ......................... 10
112,700 SCHERING-PLOUGH CORP ............................... 4,755
3,500 SCHULMAN (A.), INC ................................. 57
2,200 * SCOTTS CO (CLASS A) ................................ 89
1,800 * SEPRACOR, INC ...................................... 179
1,400 * SEROLOGICALS CORP .................................. 8
12,800 SHERWIN-WILLIAMS CO ................................ 269
4,274 * SHIRE PHARMACEUTICALS CORP ......................... 124
5,000 * SICOR, INC ......................................... 39
14,100 SIGMA ALDRICH CORP ................................. 424
1,000 STEPAN CO .......................................... 23
2,600 * SUPERGEN, INC ...................................... 76
3,200 * TECHNE CORP ........................................ 176
1,400 * THERAGENICS CORP ................................... 13
1,200 * THERMOLASE CORP .................................... 2
2,400 * TRANSKARYOTIC THERAPIES, INC ....................... 92
3,400 * TRIANGLE PHARMACEUTICALS, INC ...................... 44
1,400 * TWINLAB CORP ....................................... 11
600 * U.S.A. DETERGENTS, INC ............................. 2
6,000 UNION CARBIDE CORP ................................. 401
3,700 VALSPAR CORP ....................................... 155
1,733 * VENTIV HEALTH, INC ................................. 16
1,000 * VERTEX PHARMACEUTICALS, INC ........................ 35
2,600 * VICAL, INC ......................................... 78
63,118 WARNER-LAMBERT CO .................................. 5,172
5,300 * WATSON PHARMACEUTICALS, INC ........................ 190
600 WELLMAN, INC ....................................... 11
2,000 WEST PHARMACEUTICAL SERVICES ....................... 62
1,500 * ZILA, INC .......................................... 4
500 * ZONAGEN, INC ....................................... 2
----------
112,004
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ ------------
<S> <C> <C>
COAL MINING--0.00%
2,100 ARCH COAL, INC ..................................... $ 24
----------
COMMUNICATIONS--12.02%
1,700 * ADELPHIA BUSINESS SOLUTIONS, INC ................... 82
5,000 * ADELPHIA COMMUNICATIONS CORP (CLASS A) ............. 328
2,100 * ADVANCED COMMUNICATIONS GROUP ...................... 29
3,500 * ADVANCED RADIO TELECOM CORP ........................ 84
1,700 * AERIAL COMMUNICATIONS, INC ......................... 103
100 ALCATEL S.A. ADR ................................... 5
3,600 * ALLEGIANCE TELECOM, INC ............................ 332
19,152 ALLTEL CORP ........................................ 1,584
2,300 * AMERICAN MOBILE SATELLITE CORP ..................... 48
10,436 * AMFM, INC .......................................... 817
700 * ARCH COMMUNICATIONS GROUP, INC ..................... 5
7,950 * ARCH COMMUNICATIONS GROUP, INC
WTS 09/01/03 ....................................... 4
4,522 * ASCENT ENTERTAINMENT GROUP, INC .................... 57
2,800 * ASSOCIATED GROUP, INC (CLASS A) .................... 256
241,815 AT & T CORP ........................................ 12,272
82,782 * AT & T CORP-LIBERTY MEDIA GROUP (CLASS A) .......... 4,698
119,510 BELL ATLANTIC CORP ................................. 7,357
146,900 BELLSOUTH CORP ..................................... 6,877
300 * BHC COMMUNICATIONS, INC (CLASS A) .................. 48
8,600 BROADWING, INC ..................................... 317
9,000 * CABLEVISION SYSTEMS CORP (CLASS A) ................. 680
58,170 * CBS CORP ........................................... 3,719
10,275 CENTURYTEL, INC .................................... 487
149 * CHRIS CRAFT INDUSTRIES, INC ........................ 11
200 * CITADEL COMMUNICATIONS CORP ........................ 13
17,313 * CLEAR CHANNEL COMMUNICATIONS, INC .................. 1,545
1,400 * CLEAR CHANNEL COMMUNICATIONS, INC
WTS 09/18/01 ....................................... 22
2,900 * COM21, INC ......................................... 65
55,278 COMCAST CORP (CLASS A) SPECIAL ..................... 2,795
200 * COMMONWEALTH TELEPHONE ENTERPRISES ................. 11
91 COMSAT CORP SERIES 1 ............................... 2
4,200 * CONCENTRIC NETWORK CORP ............................ 129
5,000 * COVAD COMMUNICATIONS GROUP ......................... 280
8,417 * COX COMMUNICATIONS, INC (CLASS A) .................. 433
900 * COX RADIO, INC (CLASS A) ........................... 90
1,500 * CROWN CASTLE INTERNATIONAL CORP .................... 48
1,100 * CUMULUS MEDIA, INC ................................. 56
4,000 * E.SPIRE COMMUNICATIONS, INC ........................ 23
1,500 * ELECTRIC LIGHTWAVE, INC (CLASS A) .................. 28
700 * EMMIS COMMUNICATIONS (CLASS A) ..................... 87
1,100 * ENTERCOM COMMUNICATIONS CORP ....................... 73
11,800 * EXODUS COMMUNICATIONS, INC ......................... 1,048
6,500 * FOX ENTERTAINMENT GROUP, INC ....................... 162
54 GAYLORD ENTERTAINMENT CO ........................... 2
4,500 * GENERAL COMMUNICATIONS (CLASS A) ................... 20
50 * GLOBAL CROSSING LTD ................................ 3
11,000 * GLOBAL TELESYSTEMS GROUP, INC ...................... 381
78,200 GTE CORP ........................................... 5,518
3,800 * HEARST-ARGYLE TELEVISION, INC ...................... 101
3,300 * HIGHWAYMASTER COMMUNICATIONS, INC .................. 7
2,900 * HISPANIC BROADCASTING CORP ......................... 267
1,600 * IDT CORP ........................................... 30
19,150 * INFINITY BROADCASTING CORP (CLASS A) ............... 693
2,600 * INTERMEDIA COMMUNICATIONS, INC ..................... 101
1,600 * INTRAWARE, INC ..................................... 128
3,200 * ITC DELTACOM, INC .................................. 88
2,500 * JONES INTERCABLE, INC (CLASS A) .................... 173
700 * LAUNCH MEDIA, INC .................................. 13
1,450 * LEAP WIRELESS INTERNATIONAL, INC ................... 114
20,400 * LEVEL 3 COMMUNICATIONS, INC ........................ 1,670
2,800 * LIBERTY DIGITAL, INC (CLASS A) ..................... 208
237,381 LUCENT TECHNOLOGIES, INC ........................... 17,759
214,813 * MCI WORLDCOM, INC .................................. 11,399
</TABLE>
14 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- -------------- -----------
<S> <C> <C>
COMMUNICATIONS--(Continued)
4,800 * MCLEODUSA, INC (CLASS A) .......................... $ 283
45,300 * MEDIA ONE GROUP, INC .............................. 3,480
7,297 * METROMEDIA FIBER NETWORK (CLASS A) ................ 350
100 * MGC COMMUNICATIONS, INC ........................... 5
14,300 * NEXTEL COMMUNICATIONS, INC (CLASS A) .............. 1,475
8,600 * NEXTLINK COMMUNICATIONS, INC ...................... 714
1,000 NORTH PITTSBURGH SYSTEMS, INC ..................... 15
900 * NORTHEAST OPTIC NETWORK, INC ...................... 56
300 * NORTHPOINT COMMUNICATIONS GROUP, INC .............. 7
8,750 * NTL, INC .......................................... 1,092
1,900 * OMNIPOINT CORP .................................... 229
190 * PAC WEST TELECOMM, INC ............................ 5
200 * PACIFIC GATEWAY EXCHANGE, INC ..................... 3
58,300 * PAGING NETWORK, INC ............................... 47
4,869 * PANAMSAT CORP ..................................... 289
2,700 * PAXSON COMMUNICATIONS CORP ........................ 32
1,300 * PEGASUS COMMUNICATIONS CORP ....................... 127
3,700 * POWERTEL, INC ..................................... 371
4,200 * PREMIERE TECHNOLOGIES, INC ........................ 29
8,200 * PRIMUS TELECOMMUNICATIONS GROUP, INC .............. 314
12,946 * QWEST COMMUNICATIONS INTERNATIONAL , INC .......... 557
400 * RADIO ONE, INC .................................... 37
6,400 * RCN CORP .......................................... 310
5,600 * RHYTHMS NETCONNECTIONS, INC ....................... 174
266,266 SBC COMMUNICATIONS, INC ........................... 12,980
1,800 * SIRIUS SATELLITE RADIO, INC ....................... 80
2,400 * SMARTALK TELESERVICES, INC ........................ 0
51,600 SPRINT CORP (FON GROUP) ........................... 3,473
17,950 * SPRINT CORP (PCS GROUP) ........................... 1,840
700 * STAR TELECOMMUNICATIONS, INC ...................... 6
4,800 * TALK.COM, INC ..................................... 85
70 * TALK.COM, INC RTS ................................. 0
9,880 * TCI SATELLITE ENTERTAINMENT (CLASS A) ............. 158
2,707 TELEPHONE & DATA SYSTEMS, INC ..................... 341
1,200 * TELIGENT, INC ..................................... 74
3,100 * TIME WARNER TELECOM, INC .......................... 155
1,000 * TV GUIDE, INC ..................................... 43
600 * U.S. LEC CORP (CLASS A) ........................... 19
42,411 U.S. WEST, INC .................................... 3,054
5,750 * U.S.A. NETWORKS, INC .............................. 318
7,800 * UNITEDGLOBALCOM, INC (CLASS A) .................... 551
5,500 * UNIVISION COMMUNICATIONS, INC ..................... 562
600 x * USN COMMUNICATIONS, INC ........................... 0
7,400 * VIACOM, INC (CLASS A) ............................. 447
36,100 * VIACOM, INC (CLASS B) ............................. 2,182
900 * VIATEL, INC ....................................... 48
6,900 * VOICESTREAM WIRELESS CORP ......................... 982
3,200 * WAVO CORP ......................................... 12
6,100 * WESTERN WIRELESS CORP (CLASS A) ................... 407
6,200 * WINSTAR COMMUNICATIONS, INC ....................... 467
700 * YOUNG BROADCASTING, INC (CLASS A) ................. 36
----------
124,106
----------
DEPOSITORY INSTITUTIONS--6.06%
4,700 AMCORE FINANCIAL, INC ................................ 113
32,554 AMSOUTH BANCORP ...................................... 629
9,140 ASSOCIATED BANC-CORP ................................. 313
4,645 ASTORIA FINANCIAL CORP ............................... 141
600 BANCFIRST CORP ....................................... 20
900 BANCFIRST OHIO CORP .................................. 21
7,500 BANCORPSOUTH, INC .................................... 122
8,400 BANCWEST CORP ........................................ 164
136,095 BANK OF AMERICA CORP ................................. 6,830
55,600 BANK OF NEW YORK CO, INC ............................. 2,224
95,533 BANK ONE CORP ........................................ 3,063
2,800 BANK UNITED CORP (CLASS A) ........................... 76
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
120 BANKATLANTIC BANCORP, INC (CLASS A) .................. $ 0
800 BANKATLANTIC BANCORP, INC (CLASS B) .................. 4
2,800 BANKNORTH GROUP, INC ................................. 75
100 * BANKUNITED FINANCIAL CORP (CLASS A) .................. 1
3,300 BAY VIEW CAPITAL CORP ................................ 47
17,922 BB&T CORP ............................................ 491
2,090 BRENTON BANKS, INC ................................... 21
900 BROOKLINE BANCORP, INC ............................... 9
1,000 BSB BANCORP, INC ..................................... 19
1,050 BT FINANCIAL CORP .................................... 23
800 CATHAY BANCORP, INC .................................. 33
5,900 CCB FINANCIAL CORP ................................... 257
462 * CENTENNIAL BANCORP ................................... 5
1,100 CENTURA BANKS, INC ................................... 49
19,102 CHARTER ONE FINANCIAL, INC ........................... 365
66,140 CHASE MANHATTAN CORP ................................. 5,138
500 CHEMICAL FINANCIAL CORP .............................. 16
2,400 CHITTENDEN CORP ...................................... 71
2,521 CITIZENS BANKING CORP (MICHIGAN) ..................... 56
88 CITY HOLDINGS CO ..................................... 1
5,700 CITY NATIONAL CORP ................................... 188
6,000 COLONIAL BANCGROUP, INC .............................. 62
13,500 COMERICA, INC ........................................ 630
6,339 COMMERCE BANCSHARES, INC ............................. 215
50 COMMERCIAL FEDERAL CORP .............................. 1
6,800 COMMUNITY FIRST BANKSHARES, INC ...................... 107
1,540 COMMUNITY TRUST BANCORP, INC ......................... 31
8,550 COMPASS BANCSHARES, INC .............................. 191
14,043 * CONCORD EFS, INC ..................................... 362
400 CORUS BANKSHARES, INC ................................ 10
8,800 CULLEN FROST BANKERS, INC ............................ 227
10,200 DIME BANCORP, INC .................................... 154
2,000 DIME COMMUNITY BANCORP, INC .......................... 37
330 DOWNEY FINANCIAL CORP ................................ 7
600 FARMERS CAPITAL BANK CORP ............................ 18
17,314 FIFTH THIRD BANCORP .................................. 1,270
300 FIRST BANCORP (PUERTO RICO) .......................... 6
100 FIRST CITIZENS BANCSHARES, INC (CLASS A) ............. 7
500 FIRST COMMERCE BANCSHARES, INC ....................... 10
111 FIRST FINANCIAL BANCORP .............................. 2
1,500 FIRST INDIANA CORP ................................... 33
12,300 FIRST SECURITY CORP .................................. 314
400 FIRST SENTINEL BANCORP, INC .......................... 3
6,500 FIRST TENNESSEE NATIONAL CORP ........................ 185
76,696 FIRST UNION CORP ..................................... 2,517
3,300 FIRST VIRGINIA BANKS, INC ............................ 142
1,500 FIRST WASHINGTON BANCORP, INC ........................ 22
66,329 FIRSTAR CORP ......................................... 1,401
1,200 * FIRSTFED FINANCIAL CORP .............................. 17
2,500 FIRSTMERIT CORP ...................................... 58
72,889 FLEETBOSTON FINANCIAL CORP ........................... 2,537
1,600 FRONTIER FINANCIAL CORP .............................. 32
9,099 FULTON FINANCIAL CORP ................................ 164
800 GBC BANCORP .......................................... 15
500 GOLD BANC CORP, INC .................................. 5
12,100 * GOLDEN STATE BANCORP, INC ............................ 209
3,400 * GOLDEN STATE BANCORP, INC WTS 12/31/00 ............... 3
18,900 GOLDEN WEST FINANCIAL CORP ........................... 633
1,500 GRAND PREMIER FINANCIAL, INC ......................... 22
200 GREATER BAY BANCORP .................................. 9
7,300 GREENPOINT FINANCIAL CORP ............................ 174
1,200 * HAMILTON BANCORP, INC ................................ 21
1,000 HANCOCK HOLDINGS CO .................................. 39
1,200 HARRIS FINANCIAL, INC ................................ 9
12,816 HIBERNIA CORP (CLASS A) .............................. 136
6,594 HUDSON UNITED BANCORP ................................ 169
</TABLE>
See notes to financial statements. 15
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
DEPOSITORY INSTITUTIONS--(Continued)
16,423 HUNTINGTON BANCSHARES, INC ........................ $ 392
4,340 * IMPERIAL BANCORP .................................. 105
8,900 INDEPENDENCE COMMUNITY BANK CORP .................. 111
1,813 INDEPENDENT BANK CORP ............................. 23
200 INTERNATIONAL BANCSHARES CORP ..................... 9
250 INTERWEST BANCORP, INC ............................ 5
500 IRWIN FINANCIAL CORP .............................. 9
1,200 JSB FINANCIAL, INC ................................ 62
33,160 KEYCORP ........................................... 734
1,250 KEYSTONE FINANCIAL, INC ........................... 26
1,000 * LOCAL FINANCIAL CORP .............................. 10
690 M & T BANK CORP ................................... 286
75 MAF BANCORP, INC .................................. 2
6,759 MARSHALL & ILSLEY CORP ............................ 425
60,755 MBNA CORP ......................................... 1,656
34,200 MELLON FINANCIAL CORP ............................. 1,165
1,955 MERCANTILE BANKSHARES CORP ........................ 62
600 MERCHANTS NEW YORK BANCORP, INC ................... 10
1,000 MIDWEST BANC HOLDING, INC ......................... 14
13,900 MORGAN (J.P.) & CO, INC ........................... 1,760
2,200 NATIONAL BANCORP OF ALASKA, INC ................... 62
48,519 NATIONAL CITY CORP ................................ 1,149
1,500 NATIONAL COMMERCE BANCORP ......................... 34
1,100 * NATIONAL PROCESSING, INC .......................... 10
14,448 NORTH FORK BANCORP, INC ........................... 253
9,800 NORTHERN TRUST CORP ............................... 519
2,100 OCEANFIRST FINANCIAL CORP ......................... 36
5,450 OLD KENT FINANCIAL CORP ........................... 193
2,216 OLD NATIONAL BANCORP .............................. 72
193 ONE VALLEY BANCORP, INC ........................... 6
1,100 PACIFIC CAPITAL BANCORP ........................... 34
11,700 PACIFIC CENTURY FINANCIAL CORP .................... 219
945 PARK NATIONAL CORP ................................ 91
1,968 PEOPLES HERITAGE FINANCIAL GROUP, INC ............. 30
2,700 PFF BANCORP, INC .................................. 52
27,550 PNC BANK CORP ..................................... 1,226
15,206 POPULAR, INC ...................................... 425
200 PRIME BANCSHARES, INC ............................. 5
400 PROVIDENT BANKSHARES CORP ......................... 7
3,500 PROVIDENT FINANCIAL GROUP ......................... 126
14,200 PROVIDIAN FINANCIAL CORP .......................... 1,293
50 QUEENS COUNTY BANCORP, INC ........................ 1
15,459 REGIONS FINANCIAL CORP ............................ 388
400 RELIANCE BANCORP, INC ............................. 14
5,722 REPUBLIC BANCORP, INC ............................. 69
9,100 REPUBLIC NEW YORK CORP ............................ 655
900 REPUBLIC SECURITY FINANCIAL CORP .................. 6
200 RICHMOND COUNTY FINANCIAL CORP .................... 4
1,500 RIGGS NATIONAL CORP ............................... 20
5,600 ROSLYN BANCORP, INC ............................... 104
100 S & T BANCORP, INC ................................ 2
900 * S1 CORP ........................................... 70
800 SANDY SPRING BANCORP, INC ......................... 22
3,200 * SILICON VALLEY BANCSHARES ......................... 158
100 SIMMONS FIRST NATIONAL CORP (CLASS A) ............. 3
9,452 SKY FINANCIAL GROUP, INC .......................... 190
12,750 SOUTHTRUST CORP ................................... 482
8,060 SOVEREIGN BANCORP, INC ............................ 60
10,800 STATE STREET CORP ................................. 789
3,300 STATEN ISLAND BANCORP, INC ........................ 59
100 STERLING BANCSHARES, INC .......................... 1
625 STERLING FINANCIAL CORP ........................... 19
15,667 SUMMIT BANCORP .................................... 480
22,962 SUNTRUST BANKS, INC ............................... 1,580
6,350 SUSQUEHANNA BANCSHARES, INC ....................... 101
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------- -----------
<S> <C> <C>
12,800 SYNOVUS FINANCIAL CORP ............................ $ 254
15,100 TCF FINANCIAL CORP ................................ 376
1,700 * TELEBANC FINANCIAL CORP ........................... 44
2,500 TEXAS REGIONAL BANCSHARES, INC (CLASS A) .......... 73
2,400 TRUST CO OF NEW JERSEY ............................ 55
7,600 TRUSTMARK CORP .................................... 164
53,836 U.S. BANCORP ...................................... 1,282
2,500 U.S. TRUST CORP ................................... 200
2,750 UMB FINANCIAL CORP ................................ 104
14,750 UNION PLANTERS CORP ............................... 582
9,751 UNIONBANCAL CORP .................................. 385
1,600 UST CORP .......................................... 51
6,922 VALLEY NATIONAL BANCORP ........................... 194
900 W HOLDING CO, INC ................................. 9
15,236 WACHOVIA CORP ..................................... 1,036
9,342 WASHINGTON FEDERAL, INC ........................... 185
47,122 WASHINGTON MUTUAL, INC ............................ 1,225
700 WASHINGTON TRUST BANCORP, INC ..................... 12
5,100 WEBSTER FINANCIAL CORP ............................ 120
124,440 WELLS FARGO CO .................................... 5,032
2,640 WEST COAST BANCORP (OREGON) ....................... 36
1,100 WESTAMERICA BANCORP ............................... 31
1,400 WHITNEY HOLDINGS CORP ............................. 52
4,600 ZIONS BANCORP ..................................... 272
----------
62,560
----------
EATING AND DRINKING PLACES--0.66%
1,000 * ADVANTICA RESTAURANT GROUP, INC ................... 2
4,100 APPLEBEES INTERNATIONAL, INC ...................... 121
7,100 BOB EVANS FARMS, INC .............................. 110
8,300 x * BOSTON CHICKEN, INC ............................... 1
6,500 * BRINKER INTERNATIONAL, INC ........................ 156
2,100 CBRL GROUP, INC ................................... 20
4,350 * CEC ENTERTAINMENT, INC ............................ 123
2,000 CKE RESTAURANTS, INC .............................. 12
12,400 DARDEN RESTAURANTS, INC ........................... 225
2,000 * DAVE & BUSTERS, INC ............................... 16
7,149 HOST MARRIOTT CORP (NEW) .......................... 59
2,800 * IHOP CORP (NEW) ................................... 47
5,200 * JACK IN THE BOX, INC .............................. 108
5,100 * LANDRYS SEAFOOD RESTAURANTS, INC .................. 44
4,800 * LONE STAR STEAKHOUSE & SALOON, INC ................ 43
3,900 LUBYS, INC ........................................ 44
15,400 MARRIOTT INTERNATIONAL (CLASS A) .................. 486
102,600 MCDONALD'S CORP ................................... 4,136
866 MORRISON MANAGEMENT SPECIALISTS, INC .............. 19
1,400 * O'CHARLEY'S, INC .................................. 18
3,950 * OUTBACK STEAKHOUSE, INC ........................... 102
900 * PAPA JOHNS INTERNATIONAL, INC ..................... 23
1,900 x * PLANET HOLLYWOOD, INC (CLASS A) ................... 0
50 * RAINFOREST CAFE, INC .............................. 0
5,200 RUBY TUESDAY, INC ................................. 95
6,300 * RYANS FAMILY STEAK HOUSES, INC .................... 54
3,200 * SONIC CORP ........................................ 91
1,000 * THE CHEESECAKE FACTORY CO ......................... 35
10,940 * TRICON GLOBAL RESTAURANTS, INC .................... 423
2,920 * U.S. FOODSERVICE, INC ............................. 49
7,100 WENDY'S INTERNATIONAL, INC ........................ 146
----------
6,808
----------
EDUCATIONAL SERVICES--0.03%
2,900 * APOLLO GROUP, INC (CLASS A) ....................... 58
100 * CAREER EDUCATION CORP ............................. 4
5,800 * DEVRY, INC ........................................ 108
3,000 * EDUCATION MANAGEMENT CORP ......................... 42
1,600 * ITT EDUCATIONAL SERVICES, INC ..................... 25
800 * LEARNING TREE INTERNATIONAL, INC .................. 22
</TABLE>
16 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
EDUCATIONAL SERVICES--(Continued)
3,550 * SYLVAN LEARNING SYSTEMS, INC ..................... $ 46
----------
305
----------
ELECTRIC, GAS, AND SANITARY SERVICES--2.65%
9,300 * AES CORP ......................................... 695
6,400 AGL RESOURCES, INC ............................... 109
16,600 ALLEGHENY ENERGY, INC ............................ 447
2,800 ALLIANT ENERGY CORP .............................. 77
13,200 * ALLIED WASTE INDUSTRIES, INC ..................... 116
13,260 AMEREN CORP ...................................... 434
12,700 AMERICAN ELECTRIC POWER CO, INC .................. 408
302 AMERICAN WATER WORKS CO, INC ..................... 6
1,065 ATMOS ENERGY CORP ................................ 22
4,100 AVISTA CORP ...................................... 63
3,300 BLACK HILLS CORP ................................. 73
700 CALIFORNIA WATER SERVICE GROUP ................... 21
900 * CALPINE CORP ..................................... 58
10,300 CAROLINA POWER & LIGHT CO ........................ 314
500 CASCADE NATURAL GAS CORP ......................... 8
1,100 * CASELLA WASTE SYSTEMS, INC (CLASS A) ............. 21
23,200 CENTRAL & SOUTH WEST CORP ........................ 464
1,300 CH ENERGY GROUP, INC ............................. 43
16,800 CINERGY CORP ..................................... 405
8,680 * CITIZENS UTILITIES CO (CLASS B) .................. 123
1,600 CLECO CORP ....................................... 51
2,043 CMP GROUP, INC ................................... 56
5,300 CMS ENERGY CORP .................................. 165
17,000 COASTAL CORP ..................................... 602
7,800 COLUMBIA ENERGY GROUP ............................ 493
15,425 CONECTIV, INC .................................... 259
537 CONECTIV, INC (CLASS A) .......................... 16
500 CONNECTICUT ENERGY CORP .......................... 19
13,900 CONSOLIDATED EDISON CO OF NEW YORK, INC .......... 480
9,200 CONSOLIDATED NATURAL GAS CO ...................... 597
19,600 CONSTELLATION ENERGY GROUP ....................... 568
13,100 DOMINION RESOURCES, INC .......................... 514
3,500 DPL, INC ......................................... 61
300 DQE, INC ......................................... 10
17,200 DTE ENERGY CO .................................... 540
24,633 DUKE ENERGY CORP ................................. 1,235
1,600 EASTERN ENTERPRISES CO ........................... 92
31,300 EDISON INTERNATIONAL CO .......................... 820
14,102 EL PASO ENERGY CORP .............................. 547
4,400 ENERGEN CORP ..................................... 79
5,400 ENERGY EAST CORP ................................. 112
12,300 ENTERGY CORP ..................................... 317
5,700 EQUITABLE RESOURCES, INC ......................... 190
21,602 FIRSTENERGY CORP ................................. 490
10,300 FLORIDA PROGRESS CORP ............................ 436
15,000 FPL GROUP, INC ................................... 642
15,800 GPU, INC ......................................... 473
1,600 HAWAIIAN ELECTRIC INDUSTRIES, INC ................ 46
4,600 IDACORP, INC ..................................... 123
200 ILLINOVA CORP .................................... 7
5,133 INDIANA ENERGY, INC .............................. 91
10,500 KANSAS CITY POWER & LIGHT CO ..................... 232
4,900 KEYSPAN CORP ..................................... 114
3,000 LACLEDE GAS CO ................................... 65
18,100 LOUISVILLE GAS & ELECTRIC ENERGY CORP ............ 316
6,000 MCN ENERGY GROUP, INC ............................ 143
5,900 MDU RESOURCES GROUP, INC ......................... 118
2,500 * MIDAMERICAN ENERGY HOLDINGS CO ................... 84
6,100 x * MOLTEN METAL TECHNOLOGY, INC ..................... 0
1,000 MONTANA POWER CO ................................. 36
7,000 NATIONAL FUEL GAS CO ............................. 326
11,985 NEW CENTURY ENERGIES, INC ........................ 364
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
400 NEW JERSEY RESOURCES CORP ........................ $ 16
2,600 * NEWPARK RESOURCES, INC ........................... 16
8,400 * NIAGARA MOHAWK HOLDINGS, INC ..................... 117
8,200 NICOR, INC ....................................... 267
2,400 NISOURCE, INC .................................... 43
3,200 NORTHEAST UTILITIES CO ........................... 66
18,500 NORTHERN STATES POWER CO ......................... 361
150 NORTHWEST NATURAL GAS CO ......................... 3
2,900 NORTHWESTERN CORP ................................ 64
1,772 NSTAR ............................................ 72
2,200 NUI CORP ......................................... 58
13,700 OGE ENERGY CORP .................................. 260
1,980 ONEOK, INC ....................................... 50
500 OTTER TAIL POWER CO .............................. 19
20,300 PECO ENERGY CO ................................... 705
5,500 PEOPLES ENERGY CORP .............................. 184
27,429 PG&E CORP ........................................ 562
101 PIEDMONT NATURAL GAS CO, INC ..................... 3
6,300 PINNACLE WEST CAPITAL CORP ....................... 193
600 POTOMAC ELECTRIC POWER CO ........................ 14
17,394 PP&L RESOURCES, INC .............................. 398
3,200 PUBLIC SERVICE CO OF NEW MEXICO .................. 52
18,900 PUBLIC SERVICE ENTERPRISE GROUP, INC ............. 658
10,178 PUGET SOUND ENERGY, INC .......................... 197
15,200 QUESTAR CORP ..................................... 228
28,603 RELIANT ENERGY, INC .............................. 654
1,500 * REPUBLIC SERVICES, INC (CLASS A) ................. 22
6,300 RGS ENERGY GROUP, INC ............................ 130
7,600 SCANA CORP ....................................... 204
4,118 SCOTTISH POWER PLC ADR ........................... 115
29,818 SEMPRA ENERGY .................................... 518
1,300 SOUTH JERSEY INDUSTRIES, INC ..................... 37
44,700 SOUTHERN CO ...................................... 1,050
700 SOUTHWESTERN ENERGY CO ........................... 5
1,200 * STERICYCLE, INC .................................. 23
16,400 TECO ENERGY, INC ................................. 304
27,367 TEXAS UTILITIES CO ............................... 973
1,500 TNP ENTERPRISES, INC ............................. 62
700 * U.S. LIQUIDS, INC ................................ 6
5,637 UGI CORP ......................................... 115
11,700 UNICOM CORP ...................................... 392
1,200 * UNISOURCE ENERGY CORP HOLDINGS CO ................ 13
800 UNITED ILLUMINATING CO ........................... 41
12,674 UTILICORP UNITED, INC ............................ 246
3,800 WASHINGTON GAS LIGHT CO .......................... 105
52,634 WASTE MANAGEMENT, INC ............................ 905
2,800 WESTERN GAS RESOURCES, INC ....................... 37
4,300 WESTERN RESOURCES, INC ........................... 73
800 WICOR, INC ....................................... 23
27,329 WILLIAMS COS, INC ................................ 835
2,800 WISCONSIN ENERGY CORP ............................ 54
300 WPS RESOURCES CORP ............................... 8
100 YANKEE ENERGY SYSTEMS, INC ....................... 4
----------
27,396
----------
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--11.53%
1,000 * AAVID THERMAL TECHNOLOGIES, INC .................. 25
900 * ACTEL CORP ....................................... 22
800 * ADAPTIVE BROADBAND CORP .......................... 59
10,900 * ADC TELECOMMUNICATIONS, INC ...................... 791
1,400 * ADTRAN, INC ...................................... 72
1,100 * ADVANCED ENERGY INDUSTRIES, INC .................. 54
4,000 * ADVANCED FIBRE COMMUNICATIONS .................... 179
200 * ADVANCED LIGHTING TECHNOLOGIES, INC .............. 1
8,600 * ADVANCED MICRO DEVICES, INC ...................... 249
1,100 * AEROFLEX, INC .................................... 11
3,500 * ALLIANCE SEMICONDUCTOR CORP ...................... 58
</TABLE>
See notes to financial statements. 17
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ ----------
<S> <C> <C>
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(Continued)
1,300 * ALPHA INDUSTRIES, INC ........................... $ 75
14,100 * ALTERA CORP ..................................... 699
10,600 * AMERICAN POWER CONVERSION CORP .................. 280
2,000 * AMERICAN SUPERCONDUCTOR CORP .................... 56
7,400 * AMERICAN TOWER SYSTEMS (CLASS A) ................ 226
100 * AMERICAN XTAL TECHNOLOGY, INC ................... 2
5,500 AMETEK, INC ..................................... 105
18,100 * AMKOR TECHNOLOGY, INC ........................... 511
800 * AMPHENOL CORP (CLASS A) ......................... 53
2,300 * ANADIGICS, INC .................................. 109
13,200 * ANALOG DEVICES, INC ............................. 1,228
1,800 * ANCOR COMMUNICATIONS, INC ....................... 122
9,375 * ANDREW CORP ..................................... 178
1,500 * ANTEC CORP ...................................... 55
800 * APPLIED MAGNETICS CORP .......................... 0
2,600 * APPLIED MICRO CIRCUITS CORP ..................... 331
4,000 * ARTESYN TECHNOLOGIES, INC ....................... 84
3,900 * ASPECT COMMUNICATIONS CORP ...................... 153
12,800 * ATMEL CORP ...................................... 378
300 AVX CORP ........................................ 15
9,100 BMC INDUSTRIES, INC ............................. 44
3,500 * BROADCOM CORP (CLASS A) ......................... 953
900 * BROOKTROUT, INC ................................. 17
2,025 * BURR BROWN CORP ................................. 73
1,100 C&D TECHNOLOGIES, INC ........................... 47
1,000 * C-COR.NET CORP .................................. 77
100 * CARRIER ACCESS CORP ............................. 7
700 * CATAPULT COMMUNICATIONS CORP .................... 7
7,000 * CELLNET DATA SYSTEMS, INC ....................... 8
9,400 * CIENA CORP ...................................... 541
5,000 * COMMSCOPE, INC .................................. 202
4,712 * COMVERSE TECHNOLOGY, INC ........................ 682
12,000 * CONEXANT SYSTEMS, INC ........................... 797
4,800 COOPER INDUSTRIES, INC .......................... 194
3,600 * COPPER MOUNTAIN NETWORKS, INC ................... 176
800 * CREE RESEARCH, INC .............................. 68
4,300 CTS CORP ........................................ 324
7,300 * CYPRESS SEMICONDUCTOR CORP ...................... 236
2,500 DALLAS SEMICONDUCTOR CORP ....................... 161
3,500 * DII GROUP, INC .................................. 248
1,900 * E-TEK DYNAMICS, INC ............................. 256
5,500 * ECHOSTAR COMMUNICATIONS CORP (CLASS A) .......... 536
800 * EMCORE CORP ..................................... 27
31,500 EMERSON ELECTRIC CO ............................. 1,807
4,100 * ESS TECHNOLOGY, INC ............................. 91
300 * EXAR CORP ....................................... 18
2,600 * EXECUTONE INFORMATION SYSTEMS, INC .............. 14
400 EXIDE CORP ...................................... 3
600 * GENERAL DATACOMM INDUSTRIES, INC ................ 4
253,702 GENERAL ELECTRIC CO ............................. 39,260
9,800 * GENERAL INSTRUMENT CORP ......................... 833
25 * GENERAL SEMICONDUCTOR, INC ...................... 0
17,200 x * GEOTEK COMMUNICATIONS, INC ...................... 0
4,925 * GLENAYRE TECHNOLOGIES, INC ...................... 56
1,400 * GLOBIX CORP ..................................... 84
1,000 * HADCO CORP ...................................... 51
2,535 HARMAN INTERNATIONAL INDUSTRIES, INC ............ 142
1,400 * HARMONIC LIGHTWAVES, INC ........................ 133
4,600 HARRIS CORP ..................................... 123
1,000 HELIX TECHNOLOGY CORP ........................... 45
1,300 * HI / FN, INC .................................... 50
1,000 * HMT TECHNOLOGY CORP ............................. 4
3,100 HUBBELL, INC (CLASS B) .......................... 84
1,000 * INET TECHNOLOGIES, INC .......................... 70
700 INNOVEX, INC .................................... 7
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
11,600 * INTEGRATED DEVICE TECHNOLOGY, INC ............... $ 336
257,798 INTEL CORP ...................................... 21,220
2,800 INTER-TEL, INC .................................. 70
1,800 * INTERNATIONAL RECTIFIER CORP .................... 47
4,700 * INTERVOICE-BRITE, INC ........................... 109
100 * IPC COMMUNICATIONS, INC ......................... 7
600 * ITI TECHNOLOGIES, INC ........................... 18
500 * ITRON, INC ...................................... 3
3,200 * JABIL CIRCUIT, INC .............................. 234
16,600 * JDS UNIPHASE CORP ............................... 2,678
1,500 * KEMET CORP ...................................... 68
9,600 * KOMAG, INC ...................................... 30
1,600 * L-3 COMMUNICATIONS HOLDINGS, INC ................ 67
2,800 * LASERSIGHT, INC ................................. 28
4,200 * LATTICE SEMICONDUCTOR CORP ...................... 198
10,800 LINEAR TECHNOLOGY CO ............................ 773
8,100 * LITTLEFUSE, INC ................................. 197
300 * LO-JACK CORP .................................... 2
400 LSI INDUSTRIES, INC ............................. 9
11,000 * LSI LOGIC CORP .................................. 743
300 * MAKER COMMUNICATIONS, INC ....................... 13
19,400 * MAXIM INTEGRATED PRODUCTS ....................... 915
5,400 MAYTAG CO ....................................... 259
2,900 * MEMC ELECTRONIC MATERIALS, INC .................. 36
2,100 METHODE ELECTRONICS, INC (CLASS A) .............. 67
1,700 * METRICOM, INC ................................... 134
1,600 * MICREL, INC ..................................... 91
5,225 * MICROCHIP TECHNOLOGY, INC ....................... 358
17,200 * MICRON TECHNOLOGY, INC .......................... 1,337
2,800 * MMC NETWORKS, INC ............................... 96
4,237 MOLEX, INC ...................................... 240
800 * MOOG, INC (CLASS A) ............................. 22
48,300 MOTOROLA, INC ................................... 7,112
11,900 * NATIONAL SEMICONDUCTOR CORP ..................... 509
6,600 NATIONAL SERVICE INDUSTRIES, INC ................ 195
1,500 * NEOMAGIC CORP ................................... 16
2,400 * NVIDIA CORP ..................................... 113
900 * OAK INDUSTRIES, INC ............................. 96
1,500 PARK ELECTROCHEMICAL CORP ....................... 40
500 * PARKERVISION, INC ............................... 15
900 * PHOTRONICS, INC ................................. 26
1,600 * PICTURETEL CORP ................................. 7
3,200 PITTWAY CORP (CLASS A) .......................... 143
4,900 * PLANTRONICS, INC ................................ 351
1,800 * PLEXUS CORP ..................................... 79
5,000 * PMC-SIERRA, INC ................................. 802
3,000 * POLYCOM, INC .................................... 191
200 * POWER-ONE, INC .................................. 9
1,700 * POWERWAVE TECHNOLOGIES, INC ..................... 99
1,900 * QLOGIC CORP ..................................... 304
43,600 * QUALCOMM, INC ................................... 7,679
800 * RAMBUS, INC ..................................... 54
1,900 * RAYOVAC CORP .................................... 36
7,100 * READ RITE CORP .................................. 34
600 * RECOTON CORP .................................... 5
3,000 * RF MICRO DEVICES, INC ........................... 205
7,900 * S3, INC ......................................... 91
1,350 * SALTON, INC ..................................... 45
3,700 * SANMINA CORP .................................... 370
3,000 * SAWTEK, INC ..................................... 200
6,500 * SCI SYSTEMS, INC ................................ 534
6,300 SCIENTIFIC-ATLANTA, INC ......................... 350
2,900 * SCM MICROSYSTEMS, INC ........................... 185
2,400 * SDL, INC ........................................ 523
4,000 * SEMTECH CORP .................................... 209
3,100 * SENSORMATIC ELECTRONICS CORP .................... 54
</TABLE>
18 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(Continued)
400 * SILICONIX, INC ......................................... $ 53
2,250 * SLI, INC ............................................... 31
16,518 * SOLECTRON CORP ......................................... 1,571
2,600 STEWART & STEVENSON SERVICES, INC ...................... 31
15,400 * SUNBEAM CORP ........................................... 64
1,600 TECHNITROL, INC ........................................ 71
28,400 * TELLABS, INC ........................................... 1,823
2,700 * TERAYON COMMUNCIATION SYSTEMS, INC ..................... 170
61,408 TEXAS INSTRUMENTS, INC ................................. 5,949
7,799 THOMAS & BETTS CORP .................................... 249
500 THOMAS INDUSTRIES, INC ................................. 10
3,400 * TITAN CORP ............................................. 160
1,400 * TRANSWITCH CORP ........................................ 102
1,600 * TRIQUINT SEMICONDUCTOR, INC ............................ 178
1,200 * TUT SYSTEMS, INC ....................................... 64
7,000 * UCAR INTERNATIONAL, INC ................................ 125
800 * VARIAN SEMICONDUCTOR EQUIPMENT ASSOCIATES,
INC ................................................... 27
1,700 * VICOR CORP ............................................. 69
7,000 * VISHAY INTERTECHNOLOGY, INC ............................ 221
12,400 * VITESSE SEMICONDUCTOR CORP ............................. 650
380 * WATER PIK TECHNOLOGIES, INC ............................ 4
9,700 * WEBLINK WIRELESS, INC .................................. 150
2,300 * WESTELL TECHNOLOGIES, INC (CLASS A) .................... 25
4,900 WHIRLPOOL CORP ......................................... 319
500 WOODWARD GOVERNOR CO ................................... 14
3,400 * WORLD ACCESS, INC ...................................... 65
20,600 * XILINX, INC ............................................ 937
1,300 ZENITH ELECTRONICS CORP ................................ 0
700 * ZIXIT CORP ............................................. 28
1,800 * ZOMAX, INC ............................................. 81
----------
119,068
----------
ENGINEERING AND MANAGEMENT SERVICES--0.19%
700 * AHL SERVICES, INC ...................................... 15
4,200 * CATALYTICA, INC ........................................ 57
700 * CHARLES RIVER ASSOCIATES ............................... 23
1,300 * CIRCLE.COM ............................................. 16
5,500 * COVANCE, INC ........................................... 59
100 * DATA TRANSMISSION NETWORK CORP ......................... 2
1,500 * DIAMOND TECHNOLOGY PARTNERS, INC (CLASS A) ............. 129
10,600 DUN & BRADSTREET CORP .................................. 313
1,800 * F.Y.I., INC ............................................ 61
2,700 * FIRST CONSULTING GROUP, INC ............................ 42
2,600 * FLYCAST COMMUNICATIONS CORP ............................ 338
3,303 GARTNER GROUP, INC (CLASS A) ........................... 50
450 * INSPIRE INSURANCE SOLUTIONS, INC ....................... 2
400 * IT GROUP, INC .......................................... 4
200 * JACOBS ENGINEERING GROUP, INC .......................... 7
800 * KENDLE INTERNATIONAL, INC .............................. 8
500 * LASON, INC ............................................. 6
1,300 * MARKETING SERVICES GROUP ............................... 22
1,400 * MAXIMUS, INC ........................................... 48
200 * META GROUP, INC ........................................ 4
2,500 * NAVIGANT CONSULTING CO ................................. 27
17,000 x * NEUROMEDICAL SYSTEMS, INC .............................. 1
2,900 * NFO WORLDWIDE, INC ..................................... 65
300 * PHARMACEUTICAL PRODUCT DEVELOPMENT ..................... 4
200 * PROBUSINESS SERVICES, INC .............................. 7
1,650 * PROFIT RECOVERY GROUP INTERNATIONAL .................... 44
6,697 * QUINTILES TRANSNATIONAL CORP ........................... 125
15,600 SERVICEMASTER CO ....................................... 192
2,700 * STAFF LEASING, INC ..................................... 26
400 STONE & WEBSTER, INC ................................... 7
1,000 * SUPERIOR CONSULTANT HOLDINGS CORP ...................... 14
1,300 TEJON RANCH CO ......................................... 31
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ ----------
<S> <C> <C>
1,086 * TELEDYNE TECHNOLOGIES, INC ................................ $ 10
3,093 * TETRA TECH, INC ........................................... 48
2,000 * URS CORP .................................................. 43
2,100 * WHITTMAN HART, INC ........................................ 113
100 * XCEED, INC ................................................ 4
----------
1,967
----------
FABRICATED METAL PRODUCTS--0.59%
100 * ALLIANT TECHSYSTEMS, INC .................................. 6
300 * ALLTRISTA CORP ............................................ 7
1,320 BALL CORP ................................................. 52
1,800 BUTLER MANUFACTURING CO ................................... 40
2,400 CHART INDUSTRIES, INC ..................................... 10
5,900 CRANE CO .................................................. 117
11,700 CROWN CORK & SEAL CO, INC ................................. 262
81,478 GILLETTE CO ............................................... 3,356
800 * GULF ISLAND FABRICATION, INC .............................. 8
4,000 HARSCO CORP ............................................... 127
2,200 MARK IV INDUSTRIES, INC ................................... 39
26,000 MASCO CORP ................................................ 660
1,900 * METALS U.S.A., INC ........................................ 16
600 * NCI BUILDING SYSTEMS, INC ................................. 11
300 * NORTEK, INC ............................................... 8
7,300 PARKER-HANNIFIN CORP ...................................... 375
1,000 PRIMEX TECHNOLOGIES, INC .................................. 21
9,800 ROCKWELL INTERNATIONAL CORP ............................... 469
2,400 * ROHN INDUSTRIES, INC ...................................... 7
600 * SIMPSON MANUFACTURING CO, INC ............................. 26
7,400 SNAP-ON, INC .............................................. 197
1,300 * SPS TECHNOLOGIES, INC ..................................... 42
3,600 STANLEY WORKS CO .......................................... 108
5,100 * TOWER AUTOMOTIVE, INC ..................................... 79
----------
6,043
----------
FOOD AND KINDRED PRODUCTS--2.92%
1,800 * AGRIBRANDS INTERNATIONAL, INC ............................. 83
2,100 * AMERICAN ITALIAN PASTA CO (CLASS A) ....................... 65
34,200 ANHEUSER-BUSCH COS, INC ................................... 2,424
31,672 ARCHER DANIELS MIDLAND CO ................................. 386
2,200 * BERINGER WINE ESTATES HOLDINGS, INC (CLASS B) ............. 88
24,000 BESTFOODS, INC ............................................ 1,262
2,700 BROWN FORMAN, INC (CLASS B) ............................... 155
20,600 CAMPBELL SOUP CO .......................................... 797
1,500 * CANANDAIGUA BRANDS, INC (CLASS A) ......................... 77
5,500 CHIQUITA BRANDS INTERNATIONAL, INC ........................ 26
177,800 COCA COLA CO .............................................. 10,357
18,500 COCA COLA ENTERPRISES, INC ................................ 372
41,600 CONAGRA, INC .............................................. 939
1,500 COORS (ADOLPH) CO (CLASS B) ............................... 79
6,775 CORN PRODUCTS INTERNATIONAL, INC .......................... 222
4,300 DEAN FOODS CO ............................................. 171
2,000 * DEL MONTE FOODS CO ........................................ 25
6,000 DOLE FOOD, INC ............................................ 98
100 DREYERS GRAND ICE CREAM, INC .............................. 2
6,416 EARTHGRAINS CO ............................................ 103
100 FARMER BROTHERS CO ........................................ 16
12,550 FLOWERS INDUSTRIES, INC ................................... 200
10,600 FORTUNE BRANDS, INC ....................................... 350
19,614 GENERAL MILLS, INC ........................................ 701
1,100 * HAIN FOOD GROUP, INC ...................................... 25
24,600 HEINZ (H.J.) CO ........................................... 979
4,000 HERSHEY FOODS CORP ........................................ 190
5,200 HORMEL FOODS CORP ......................................... 211
9,300 IBP, INC .................................................. 167
13,000 * INTERNATIONAL HOME FOODS, INC ............................. 226
4,300 INTERSTATE BAKERIES CORP .................................. 78
3,600 * KEEBLER FOODS CO .......................................... 101
</TABLE>
See notes to financial statements. 19
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ ------------
<S> <C> <C>
FOOD AND KINDRED PRODUCTS--(Continued)
13,500 KELLOGG CO ...................................... $ 416
4,450 LANCASTER COLONY CORP ........................... 147
3,600 LANCE, INC ...................................... 36
5,400 MCCORMICK & CO, INC (NON-VOTE) .................. 161
25,501 NABISCO GROUP HOLDINGS .......................... 271
1,100 NABISCO HOLDINGS CORP (CLASS A) ................. 35
7,600 PEPSI BOTTLING GROUP, INC ....................... 126
109,800 PEPSICO, INC .................................... 3,870
300 PILGRIMS PRIDE CORP (CLASS A) ................... 2
600 PILGRIMS PRIDE CORP (CLASS B) ................... 5
10,000 QUAKER OATS CO .................................. 656
1,200 * RALCORP HOLDINGS, INC ........................... 24
22,500 RALSTON PURINA CO ............................... 627
800 RIVIANA FOODS, INC .............................. 14
1,500 * ROBERT MONDAVI CORP (CLASS A) ................... 52
62,000 SARA LEE CORP ................................... 1,368
4,200 * SMITHFIELD FOODS, INC ........................... 101
200 SMUCKER, (J.M.) CO (CLASS A) .................... 4
3,000 * SUIZA FOODS CORP ................................ 119
2,200 TCBY ENTERPRISES, INC ........................... 8
4,496 TOOTSIE ROLL INDUSTRIES, INC .................... 148
19,900 TYSON FOODS, INC ................................ 323
8,400 UNIVERSAL FOODS CORP ............................ 171
480 * VLASIC FOODS INTERNATIONAL, INC ................. 3
8,500 WHITMAN CORP .................................... 114
4,201 WRIGLEY (WM) JR CO .............................. 348
----------
30,124
----------
FOOD STORES--0.44%
15,700 * 7-ELEVEN, INC ................................... 28
29,536 ALBERTSONS, INC ................................. 953
39 x * BRUNO'S SUPERMARKETS, INC ....................... 0
7,866 DELHAIZE AMERICA, INC (CLASS B) ................. 164
3,100 GREAT ATLANTIC & PACIFIC TEA CO, INC ............ 86
2,500 HANNAFORD BROTHERS, INC ......................... 173
57,608 * KROGER CO ....................................... 1,087
600 RUDDICK CORP .................................... 9
40,004 * SAFEWAY, INC .................................... 1,423
8,600 * STARBUCKS CORP .................................. 209
1,900 WEIS MARKETS, INC ............................... 83
7,650 * WILD OATS MARKETS, INC .......................... 170
4,500 WINN DIXIE STORES, INC .......................... 108
----------
4,493
----------
FORESTRY--0.01%
2,400 GEORGIA-PACIFIC CORP (TIMBER GROUP) ............. 59
400 RAYONIER, INC ................................... 19
----------
78
----------
FURNITURE AND FIXTURES--0.18%
800 BUSH INDUSTRIES, INC (CLASS A) .................. 14
3,600 ETHAN ALLEN INTERIORS, INC ...................... 115
4,200 * FURNITURE BRANDS INTERNATIONAL, INC ............. 92
5,600 HON INDUSTRIES, INC ............................. 123
4,800 KIMBALL INTERNATIONAL, INC (CLASS B) ............ 79
2,000 LA-Z-BOY, INC ................................... 34
5,900 * LEAR CORP ....................................... 189
11,500 LEGGETT & PLATT, INC ............................ 247
6,400 MILLER (HERMAN), INC ............................ 147
15,900 NEWELL RUBBERMAID, INC .......................... 461
3,600 STEELCASE, INC .................................. 43
19,850 U.S. INDUSTRIES, INC ............................ 278
----------
1,822
----------
FURNITURE AND HOME FURNISHINGS STORES--0.25%
8,800 * BED BATH & BEYOND, INC .......................... 306
11,700 * BEST BUY, INC ................................... 587
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
2,279 * CDNOW, INC ...................................... $ 23
14,600 CIRCUIT CITY STORES-CIRCUIT CITY GROUP .......... 658
3,200 * COMPUSA, INC .................................... 16
1,900 * CYBERIAN OUTPOST, INC ........................... 19
1,300 * GUITAR CENTER, INC .............................. 13
2,800 HAVERTY FURNITURE COS, INC ...................... 35
3,500 HEILIG MEYERS CO ................................ 10
3,600 * LINENS 'N THINGS, INC ........................... 107
4,500 * MUSICLAND STORES CORP ........................... 38
8,000 PIER 1 IMPORTS, INC ............................. 51
13,800 TANDY CORP ...................................... 679
2,550 * TRANS WORLD ENTERTAINMENT CORP .................. 27
1,300 * WILLIAMS-SONOMA, INC ............................ 60
----------
2,629
----------
GENERAL BUILDING CONTRACTORS--0.06%
8,200 CENTEX CORP ..................................... 202
400 * CROSSMANN COMMUNITIES, INC ...................... 6
2,100 HILLENBRAND INDUSTRIES, INC ..................... 67
4,300 HORTON (D.R.), INC .............................. 59
1,400 KAUFMAN & BROAD HOME CORP ....................... 34
1,900 LENNAR CORP ..................................... 31
700 * NVR, INC ........................................ 33
3,200 PULTE CORP ...................................... 72
2,500 RYLAND GROUP, INC ............................... 58
2,400 STANDARD-PACIFIC CORP ........................... 26
3,100 * TOLL BROTHERS, INC .............................. 58
200 * WEBB (DEL) CORP ................................. 5
----------
651
----------
GENERAL MERCHANDISE STORES--2.37%
5,500 * BJ'S WHOLESALE CLUB, INC ........................ 201
2,400 x * CALDOR CORP ..................................... 0
7,400 CASEYS GENERAL STORES, INC ...................... 77
2,900 * CONSOLIDATED STORES CORP ........................ 47
3,150 * COST PLUS, INC .................................. 112
16,100 * COSTCO WHOLESALE CORP ........................... 1,469
32,100 DAYTON HUDSON CORP .............................. 2,357
3,800 DILLARDS, INC (CLASS A) ......................... 77
14,500 DOLLAR GENERAL CORP ............................. 330
5,050 * DOLLAR TREE STORES, INC ......................... 245
8,100 FAMILY DOLLAR STORES, INC ....................... 132
21,070 * FEDERATED DEPARTMENT STORES, INC ................ 1,065
2,400 HARCOURT GENERAL, INC ........................... 97
39,000 * K MART CORP ..................................... 392
12,100 * KOHLS CORP ...................................... 873
23,000 MAY DEPARTMENT STORES CO ........................ 742
4,100 * NEIMAN MARCUS GROUP, INC (CLASS A) .............. 115
723 * NEIMAN MARCUS GROUP, INC (CLASS B) .............. 19
15,645 PENNEY, (J.C.) CO, INC .......................... 312
8,400 * SAKS, INC ....................................... 131
28,200 SEARS ROEBUCK & CO .............................. 858
900 x * SERVICE MERCHANDISE, INC ........................ 0
3,000 * SHOPKO STORES, INC .............................. 69
100 * VALUE CITY DEPARTMENT STORES, INC ............... 2
6,200 * VENATOR GROUP, INC .............................. 43
212,300 WAL-MART STORES, INC ............................ 14,675
----------
24,440
----------
HEALTH SERVICES--0.37%
1,800 * AMERICAN HOMEPATIENT, INC ....................... 1
2,600 * AMERIPATH, INC .................................. 21
4,300 * APRIA HEALTHCARE GROUP, INC ..................... 77
12,200 * BEVERLY ENTERPRISES, INC ........................ 53
1,600 * CAREMATRIX CORP ................................. 4
1,700 * CENTENNIAL HEALTHCARE CORP ...................... 5
50 * CLINTRIALS, INC ................................. 0
47,838 COLUMBIA/HCA HEALTHCARE CORP .................... 1,402
</TABLE>
20 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
HEALTH SERVICES--(Continued)
5,000 * COVENTRY HEALTH CARE, INC ........................... $ 34
2,600 * EXPRESS SCRIPTS, INC ................................ 166
1,400 x * FPA MEDICAL MANAGEMENT, INC ......................... 0
13,800 * HEALTH MANAGEMENT ASSOCIATES, INC (CLASS A)
(NEW) ............................................... 185
39,860 * HEALTHSOUTH CORP .................................... 214
4,800 HOOPER HOLMES, INC .................................. 124
77 * INTEGRATED HEALTH SERVICES, INC ..................... 0
2,400 * LABORATORY CORP OF AMERICA HOLDINGS ................. 9
260 * LABORATORY CORP OF AMERICA HOLDINGS
WTS 04/28/00 ........................................ 0
1,800 * LASER VISION CENTERS, INC ........................... 19
4,163 * LCA-VISION, INC ..................................... 20
2,728 * LIFEPOINT HOSPITALS, INC ............................ 32
5,300 * LINCARE HOLDINGS, INC ............................... 184
100 * LTC HEALTHCARE, INC ................................. 0
1,200 * MAGELLAN HEALTH SERVICES, INC ....................... 8
3,000 * MANOR CARE, INC ..................................... 48
4,900 * MARINER POST-ACUTE NETWORK, INC ..................... 0
4,500 * MATRIA HEALTHCARE, INC .............................. 19
1,100 * NATIONAL HEALTHCARE CORP ............................ 6
200 * NOVACARE, INC ....................................... 0
500 * ORTHODONTIC CENTERS OF AMERICA, INC ................. 6
300 * PEDIATRIX MEDICAL GROUP, INC ........................ 2
6,100 * PHYCOR, INC ......................................... 11
6,600 * PHYSICIANS RESOURCE GROUP, INC ...................... 2
1,400 * PROVINCE HEALTHCARE CO .............................. 27
5,162 * QUEST DIAGNOSTICS, INC .............................. 158
28,950 * QUORUM HEALTH GROUP, INC ............................ 270
2,250 * RENAL CARE GROUP, INC ............................... 53
1,700 x * SUN HEALTHCARE GROUP, INC ........................... 0
19,325 * TENET HEALTHCARE CORP ............................... 454
4,500 * TOTAL RENAL CARE HOLDINGS, INC ...................... 30
2,728 * TRIAD HOSPITALS, INC ................................ 41
300 * UNITED PAYORS & UNITED PROVIDERS, INC ............... 5
2,200 * UNIVERSAL HEALTH SERVICES, INC ...................... 79
4,580 * US ONCOLOGY, INC .................................... 23
----------
3,792
----------
HEAVY CONSTRUCTION, EXCEPT BUILDING--0.05%
1,300 * DYCOM INDUSTRIES, INC ............................... 57
6,100 FLUOR CORP .......................................... 280
500 FOSTER WHEELER CORP ................................. 4
450 GRANITE CONSTRUCTION, INC ........................... 8
3,600 * INSITUFORM TECHNOLOGIES, INC (CLASS A) .............. 102
1,900 * MASTEC, INC ......................................... 85
----------
536
----------
HOLDING AND OTHER INVESTMENT OFFICES--0.71%
3,900 AMB PROPERTY CORP ................................... 78
500 * AMERCO .............................................. 13
1,800 AMLI RESIDENTIAL PROPERTIES TRUST ................... 36
8,245 APARTMENT INVESTMENT & MANAGEMENT CO ................ 328
13,600 ARCHSTONE COMMUNITIES TRUST ......................... 279
2,500 AVALONBAY COMMUNITIES, INC .......................... 86
3,900 BEDFORD PROPERTY INVESTORS, INC ..................... 67
8,700 BOSTON PROPERTIES, INC .............................. 271
3,000 BOYKIN LODGING CO ................................... 33
607 BRADLEY REAL ESTATE, INC ............................ 11
3,600 BRANDYWINE REALTY TRUST ............................. 59
7,800 CAMDEN PROPERTY TRUST ............................... 214
3,000 CAPITAL AUTOMOTIVE REIT ............................. 37
9,139 CAPSTEAD MORTGAGE CORP .............................. 38
12,400 CARRAMERICA REALTY CORP ............................. 262
700 CENTER TRUST, INC ................................... 7
1,800 CHATEAU PROPERTIES, INC ............................. 47
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
1,300 * COAST FEDERAL LITIGATION CONTINGENT RTS ............. $ 2
4,200 COLONIAL PROPERTIES TRUST ........................... 97
13,400 CORNERSTONE PROPERTIES, INC ......................... 196
4,469 COUSINS PROPERTIES, INC ............................. 152
7,100 CRESCENT REAL ESTATE EQUITIES CO .................... 130
400 * CRESECENT OPERATING, INC ............................ 1
3,000 CROWN AMERICAN REALTY TRUST ......................... 17
5 DUKE-WEEKS REALTY CORP .............................. 0
794 * DYNEX CAPITAL, INC .................................. 5
2,900 EASTGROUP PROPERTIES, INC ........................... 54
2,300 ENTERTAINMENT PROPERTIES TRUST ...................... 30
29,650 EQUITY OFFICE PROPERTIES TRUST ...................... 730
14,178 EQUITY RESIDENTIAL PROPERTIES TRUST CO .............. 605
4,900 FEDERAL REALTY INVESTMENT TRUST ..................... 92
8,600 FELCOR LODGING TRUST, INC ........................... 151
6,100 FIRST INDUSTRIAL REALTY TRUST, INC .................. 167
480 FIRST UNION REAL ESTATE INVESTMENTS ................. 2
100 GENERAL GROWTH PROPERTIES, INC ...................... 3
2,300 GLIMCHER REALTY TRUST ............................... 30
2,600 GREAT LAKES REIT, INC ............................... 37
1,200 HEALTH CARE PROPERTY INVESTORS, INC ................. 29
400 HIGHWOODS PROPERTIES, INC ........................... 9
1,200 HOSPITALITY PROPERTIES TRUST ........................ 23
4,500 HRPT PROPERTIES TRUST ............................... 41
5,700 IMPERIAL CREDIT COMMERCIAL MORTGAGE
INVESTMENT CORP ..................................... 65
6,212 INDYMAC MORTGAGE HOLDINGS, INC ...................... 79
3,300 INNKEEPERS U.S.A. TRUST ............................. 27
1,800 IRT PROPERTY CO ..................................... 14
500 JDN REALTY CORP ..................................... 8
4,500 KILROY REALTY CORP .................................. 99
2,000 KIMCO REALTY CORP ................................... 68
2,000 LASALLE HOTEL PROPERTIES ............................ 23
500 LIBERTY PROPERTY TRUST CO ........................... 12
4,600 MACK-CALI REALTY CORP ............................... 120
1,199 MEDITRUST CORP PAIRED ............................... 7
3,800 MERISTAR HOSPITALITY CORP ........................... 61
285 * MERRY LAND PROPERTIES, INC .......................... 1
215 MILLS CORP .......................................... 4
3,600 NATIONAL HEALTH INVESTORS, INC ...................... 54
728 NEW PLAN EXCEL REALTY TRUST ......................... 12
2,700 PACIFIC GULF PROPERTIES, INC ........................ 55
800 PARKWAY PROPERTIES, INC ............................. 23
1,800 PENNSYLVANIA REAL ESTATE INVESTMENT TRUST ........... 26
1,610 POST PROPERTIES, INC ................................ 62
6,800 PRENTISS PROPERTIES TRUST ........................... 143
700 PRIME GROUP REALTY TRUST ............................ 11
700 PRISON REALTY TRUST, INC ............................ 4
1,810 PROLOGIS TRUST ...................................... 35
6,100 PUBLIC STORAGE, INC ................................. 138
1,900 REALTY INCOME CORP .................................. 39
5,200 RECKSON ASSOCIATES REALTY CORP ...................... 107
709 REDWOOD TRUST, INC .................................. 9
3,900 RFS HOTEL INVESTORS, INC ............................ 41
1,000 ROUSE CO ............................................ 21
450 SENIOR HOUSING PROPERTIES TRUST ..................... 6
4,000 SHURGARD STORAGE CENTERS, INC ....................... 93
7,200 SIMON PROPERTY GROUP, INC ........................... 165
1,400 SOVRAN SELF STORAGE, INC ............................ 27
6,500 SPIEKER PROPERTIES, INC ............................. 237
4,178 STARWOOD FINANCIAL TRUST ............................ 71
2,700 STORAGE U.S.A., INC ................................. 82
613 SUMMIT PROPERTIES, INC .............................. 11
500 SUN COMMUNITIES, INC ................................ 16
900 TANGER FACTORY OUTLET CENTERS, INC .................. 19
3,985 THORNBURG MORTGAGE ASSET CORP ....................... 33
</TABLE>
See notes to financial statements. 21
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
HOLDING AND OTHER INVESTMENT OFFICES--(Continued)
2,500 TOWN & COUNTRY TRUST ................................. $ 45
10,536 UNITED DOMINION REALTY TRUST, INC .................... 104
841 VENTAS, INC .......................................... 4
8,600 VORNADO REALTY TRUST ................................. 280
205 WALDEN RESIDENTIAL PROPERTIES, INC ................... 4
6,000 WASHINGTON REAL ESTATE INVESTMENT TRUST .............. 90
3,400 WEINGARTEN REALTY INVESTORS, INC ..................... 132
3,100 * WELLSFORD REAL PROPERTIES, INC ....................... 26
700 WESTERN PROPERTIES TRUST ............................. 7
900 WESTFIELD AMERICA, INC ............................... 11
200 WHITE MOUNTAINS INSURANCE ............................ 24
----------
7,324
----------
HOTELS AND OTHER LODGING PLACES--0.11%
10,500 * AZTAR CORP ........................................... 114
50 * BRISTOL HOTELS & RESORTS, INC ........................ 0
5,900 * CHOICE HOTELS INTERNATIONAL, INC ..................... 101
1,900 * CRESTLINE CAPITAL CORP ............................... 39
9,600 * EXTENDED STAY AMERICA, INC ........................... 73
12,927 HILTON HOTELS CORP ................................... 124
65 * INTERSTATE HOTELS CORP ............................... 0
4,600 * LODGIAN, INC ......................................... 23
2,400 * MANDALAY RESORT GROUP ................................ 48
846 * MGM GRAND, INC ....................................... 43
15,100 * PARK PLACE ENTERTAINMENT CORP ........................ 189
4,800 * PRIME HOSPITALITY CORP ............................... 42
14,693 STARWOOD HOTELS & RESORTS WORLDWIDE .................. 345
1,500 * SUNTERRA CORP ........................................ 17
9,771 * WYNDHAM INTERNATIONAL, INC ........................... 29
----------
1,187
----------
INDUSTRIAL MACHINERY AND EQUIPMENT--9.05%
28,042 * 3COM CORP ............................................ 1,318
8,400 * ADAPTEC, INC ......................................... 419
2,400 * ADVANCED DIGITAL INFORMATION CORP .................... 117
5,200 AGCO CORP ............................................ 70
6,900 * AMERICAN STANDARD COS, INC ........................... 317
1,300 * APEX, INC ............................................ 42
12,400 * APPLE COMPUTER, INC .................................. 1,275
30,500 * APPLIED MATERIALS, INC ............................... 3,864
1,800 APPLIED POWER, INC (CLASS A) ......................... 66
2,200 * ASTEC INDUSTRIES, INC ................................ 41
700 * ATMI, INC ............................................ 23
2,500 * AUSPEX SYSTEMS, INC .................................. 26
19,315 BAKER HUGHES, INC .................................... 407
2,300 * BELL & HOWELL CO ..................................... 73
5,300 BLACK & DECKER CORP .................................. 277
800 * BLACK BOX CORP ....................................... 54
16,600 BRUNSWICK CORP ....................................... 369
3,400 * C-CUBE MICROSYSTEMS, INC ............................. 212
10,600 * CABLETRON SYSTEMS, INC ............................... 276
23,600 CATERPILLAR, INC ..................................... 1,111
5,100 * CIRRUS LOGIC, INC .................................... 68
247,077 * CISCO SYSTEMS, INC ................................... 26,468
1,000 COLUMBUS MCKINNON CORP ............................... 10
127,484 COMPAQ COMPUTER CORP ................................. 3,450
400 * CONCURRENT COMPUTER CORP ............................. 7
2,000 * COOPER CAMERON CORP .................................. 98
7,600 CUMMINS ENGINE CO, INC ............................... 367
500 * CYBEX COMPUTER PRODUCTS CORP ......................... 20
400 * CYLINK CORP .......................................... 5
14,900 DEERE & CO ........................................... 646
158,486 * DELL COMPUTER CORP ................................... 8,083
1,400 DETROIT DIESEL CORP .................................. 27
6,650 DIEBOLD, INC ......................................... 156
1,100 DONALDSON CO, INC .................................... 26
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ ------------
<S> <C> <C>
13,800 DOVER CORP ........................................... $ 626
2,900 * ELECTROGLAS, INC ..................................... 74
77,850 * EMC CORP ............................................. 8,505
1,600 * EMULEX CORP .......................................... 180
3,500 * EXTREME NETWORKS, INC ................................ 292
4,500 FEDDERS CORP ......................................... 25
5,900 FLOWSERVE CORP ....................................... 100
3,000 * FSI INTERNATIONAL, INC ............................... 35
2,400 * GARDNER DENVER, INC .................................. 40
10,600 * GATEWAY, INC ......................................... 764
100 GLEASON CORP ......................................... 2
2,600 * GLOBAL IMAGING SYSTEMS, INC .......................... 32
1,800 GRACO, INC ........................................... 65
2,200 x * HARNISCHFEGER INDUSTRIES, INC ........................ 1
68,400 HEWLETT-PACKARD CO ................................... 7,793
5,400 HUSSMANN INTERNATIONAL, INC .......................... 81
1,200 * HYPERCOM CORP ........................................ 12
2,050 IDEX CORP ............................................ 62
6,000 * IN FOCUS SYSTEMS, INC ................................ 139
11,850 INGERSOLL-RAND CO .................................... 652
137,100 INTERNATIONAL BUSINESS MACHINES CORP ................. 14,807
15,200 * IOMEGA CORP .......................................... 51
4,900 JLG INDUSTRIES, INC .................................. 78
3,548 KENNAMETAL, INC ...................................... 119
2,100 * KRONOS, INC .......................................... 126
1,100 * KULICHE & SOFFA INDUSTRIES, INC ...................... 47
4,200 * LAM RESEARCH CORP .................................... 469
11,000 * LEXMARK INTERNATIONAL GROUP (CLASS A) ................ 996
6,300 LINCOLN ELECTRIC HOLDINGS CO ......................... 130
400 LINDSAY MANUFACTURING CO ............................. 7
600 LUFKIN INDUSTRIES, INC ............................... 9
1,875 MANITOWOC, INC ....................................... 64
2,400 * MAXTOR CORP .......................................... 17
200 * MICRON ELECTRONICS, INC .............................. 2
2,100 * MICROS SYSTEMS, INC .................................. 155
1,100 MILACRON, INC ........................................ 17
4,800 * MTI TECHNOLOGY CORP .................................. 177
2,000 NACCO INDUSTRIES, INC (CLASS A) ...................... 111
2,475 * NATIONAL INSTRUMENTS CORP ............................ 95
3,300 * NOVELLUS SYSTEMS, INC ................................ 404
6,900 PALL CORP ............................................ 149
4,100 PENTAIR, INC ......................................... 158
19,300 PITNEY BOWES, INC .................................... 932
300 * PRESSTEK, INC ........................................ 4
200 * PROXIM, INC .......................................... 22
11,800 * QUANTUM CORP-DLT & STORAGE SYSTEMS GROUP ............. 178
5,900 * QUANTUM CORP-HARD DISK DRIVE GROUP ................... 41
600 ROBBINS & MYERS, INC ................................. 14
4,000 ROPER INDUSTRIES, INC ................................ 151
1,873 * SANDISK CORP ......................................... 180
1,500 SAUER, INC ........................................... 14
20,048 * SEAGATE TECHNOLOGY, INC .............................. 933
12,600 * SILICON GRAPHICS, INC ................................ 124
1,600 * SILICON VALLEY GROUP, INC ............................ 28
3,800 * SMITH INTERNATIONAL, INC ............................. 189
1,900 * SPECIALTY EQUIPMENT COS, INC ......................... 45
752 * SPEEDFAM-IPEC, INC ................................... 10
300 * SPLASH TECHNOLOGY HOLDINGS, INC ...................... 3
1,700 STANDEX INTERNATIONAL CORP ........................... 36
6,900 * STORAGE TECHNOLOGY CORP .............................. 127
6,300 SYMBOL TECHNOLOGIES, INC ............................. 400
3,200 TECUMSEH PRODUCTS CO (CLASS A) ....................... 151
1,600 TENNANT CO ........................................... 52
3,280 * TENNECO AUTOMOTIVE, INC .............................. 31
2,500 * TEREX CORP ........................................... 69
900 * THERMO FIBERTEK, INC ................................. 6
</TABLE>
22 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ ------------
<S> <C> <C>
INDUSTRIAL MACHINERY AND EQUIPMENT--(Continued)
5,429 TIMKEN CO ......................................... $ 111
700 TORO CO ........................................... 26
800 TYCO INTERNATIONAL LTD ............................ 31
1,200 * ULTRATECH STEPPER, INC ............................ 19
21,208 * UNISYS CORP ....................................... 677
1,300 * UNOVA, INC ........................................ 17
8,400 * VARCO INTERNATIONAL, INC .......................... 86
2,700 * VISUAL NETWORKS, INC .............................. 214
100 WATKINS-JOHNSON CO ................................ 4
7,600 * WESTERN DIGITAL CORP .............................. 32
8,600 * XIRCOM, INC ....................................... 645
9,200 YORK INTERNATIONAL CORP ........................... 252
1,600 * ZEBRA TECHNOLOGY CORP ............................. 94
----------
93,404
----------
INSTRUMENTS AND RELATED PRODUCTS--1.86%
3,100 * ACUSON CORP ....................................... 39
1,800 * AFFYMETRIX, INC ................................... 305
1,200 * ANACOMP, INC ...................................... 22
400 ARROW INTERNATIONAL, INC .......................... 12
3,800 * AVID TECHNOLOGIES, INC ............................ 50
700 * BACOU U.S.A., INC ................................. 11
2,700 BARD (C.R.), INC .................................. 143
1,200 BAUSCH & LOMB, INC ................................ 82
21,600 BAXTER INTERNATIONAL, INC ......................... 1,357
4,200 BECKMAN COULTER, INC .............................. 214
17,100 BECTON DICKINSON & CO ............................. 457
400 * BIO-RAD LABORATORIES, INC (CLASS A) ............... 9
6,400 BIOMET, INC ....................................... 256
21,000 * BOSTON SCIENTIFIC CORP ............................ 459
1,000 * BRITESMILE, INC ................................... 8
3,500 * CHYRON CORP ....................................... 5
3,600 * COGNEX CORP ....................................... 140
2,800 * COHERENT, INC ..................................... 75
600 COHU, INC ......................................... 19
300 COLE NATIONAL CORP (CLASS A) ...................... 2
1,800 * CONMED CORP ....................................... 47
2,500 COOPER COS, INC ................................... 75
2,100 * CREDENCE SYSTEMS CORP ............................. 182
700 CUBIC CORP ........................................ 15
800 * CYBERONICS, INC ................................... 13
2,300 * CYMER, INC ........................................ 106
2,600 * CYTYC CORP ........................................ 159
800 DATASCOPE CORP .................................... 32
7,800 DENTSPLY INTERNATIONAL, INC ....................... 184
1,200 * DIONEX CORP ....................................... 49
850 * DYNATECH CORP ..................................... 6
24,200 EASTMAN KODAK CO .................................. 1,603
2,100 * FOSSIL, INC ....................................... 49
2,400 * GENRAD, INC ....................................... 39
23,565 * GUIDANT CORP ...................................... 1,108
3,100 * HANGER ORTHOPEDIC GROUP, INC ...................... 31
400 * IMATRON, INC ...................................... 1
1,600 INVACARE CORP ..................................... 32
6,300 JOHNSON CONTROLS, INC ............................. 358
6,800 * KLA-TENCOR CORP ................................... 757
400 * LIFECORE BIOMEDICAL, INC .......................... 8
2,400 * LITTON INDUSTRIES, INC ............................ 120
4,700 * LTX CORP .......................................... 105
2,525 * MEDICAL MANAGER CORP .............................. 213
86,850 MEDTRONIC, INC .................................... 3,165
500 MENTOR CORP ....................................... 13
4,600 * METTLER-TOLEDO INTERNATIONAL, INC ................. 176
3,100 MILLIPORE CORP .................................... 120
200 MINE SAFETY APPLIANCE CO .......................... 13
300 * MINIMED, INC ...................................... 22
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ ------------
<S> <C> <C>
1,500 MOVADO GROUP, INC ................................. $ 33
1,400 * NOVOSTE CORP ...................................... 23
1,600 * OCULAR SCIENCES, INC .............................. 30
600 OPTICAL COATING LABORATORIES, INC ................. 178
3,250 * PE CORP-CELERA GENOMICS GROUP ..................... 484
6,100 PE CORP-PE BIOSYSTEMS GROUP ....................... 734
2,600 PERKINELMER, INC .................................. 108
2,200 * PINNACLE SYSTEMS, INC ............................. 90
4,018 RAYTHEON CO (CLASS A) ............................. 100
24,000 RAYTHEON CO (CLASS B) ............................. 638
2,600 * RESMED, INC ....................................... 109
1,200 * RESPIRONICS, INC .................................. 10
33 * SONOSITE, INC ..................................... 1
7,488 * ST. JUDE MEDICAL, INC ............................. 230
4,900 * STERIS CORP ....................................... 51
3,900 STRYKER CORP ...................................... 272
1,950 * SUMMIT TECHNOLOGY, INC ............................ 23
1,100 * SUNRISE MEDICAL, INC .............................. 7
4,100 * SUNRISE TECHNOLOGY INTERNATIONAL, INC ............. 48
8,500 * SYBRON INTERNATIONAL CORP ............... ....... 210
9,150 TEKTRONIX, INC .................................... 356
2,900 TELEFLEX, INC ..................................... 91
11,600 * TERADYNE, INC ..................................... 766
700 * THERMEDICS, INC ................................... 4
300 * THERMO BIOANALYSIS CORP ........................... 6
300 * THERMO CARDIOSYSTEMS, INC ......................... 2
7,875 * THERMO ELECTRON CORP .............................. 118
25 * THERMO INSTRUMENT SYSTEMS, INC .................... 0
1,100 * THERMOQUEST CORP .................................. 11
3,700 * TRIMBLE NAVIGATION LTD ............................ 80
700 * VARIAN, INC ....................................... 16
400 * VEECO INSTRUMENTS, INC ............................ 19
600 * VENTANA MEDICAL SYSTEMS, INC ...................... 15
6,000 * VISX, INC ......................................... 311
2,300 * WATERS CORP ....................................... 122
5,800 * WESLEY JESSEN VISIONCARE, INC ..................... 220
52,300 XEROX CORP ........................................ 1,187
----------
19,169
----------
INSURANCE AGENTS, BROKERS AND SERVICE--0.19%
1,900 BALDWIN & LYONS, INC (CLASS B) .................... 42
1,500 CRAWFORD & CO (CLASS B) ........................... 20
300 * FIRST HEALTH GROUP CORP ........................... 8
5,308 * HOMEFED CORP ...................................... 5
19,400 MARSH & MCLENNAN COS, INC ......................... 1,856
----------
1,931
----------
INSURANCE CARRIERS--4.31%
1,040 ACE LTD ........................................... 17
13,085 AETNA, INC ........................................ 730
20,700 AFLAC, INC ........................................ 977
600 ALFA CORP ......................................... 10
610 * ALLEGHANY CORP (DELAWARE) ......................... 113
6,500 ALLMERICA FINANCIAL CORP .......................... 362
58,356 ALLSTATE CORP ..................................... 1,401
5,500 AMBAC FINANCIAL GROUP, INC ........................ 287
300 AMERICAN ANNUITY GROUP, INC ....................... 5
2,800 AMERICAN FINANCIAL GROUP, INC ..................... 74
20,840 AMERICAN GENERAL CORP ............................. 1,581
101,455 AMERICAN INTERNATIONAL GROUP, INC ................. 10,970
300 AMERICAN NATIONAL INSURANCE CO .................... 19
2,600 AMERUS LIFE HOLDINGS, INC (CLASS A) ............... 60
17,775 AON CORP .......................................... 711
14,400 AXA FINANCIAL, INC ................................ 488
350 BERKLEY (W.R.) CORP ............................... 7
2,300 CHICAGO TITLE CORP ................................ 106
10,594 CHUBB CORP ........................................ 597
</TABLE>
See notes to financial statements. 23
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
INSURANCE CARRIERS--(Continued)
13,800 CIGNA CORP ............................................ $ 1,112
14,088 CINCINNATI FINANCIAL CORP ............................. 439
259,494 CITIGROUP, INC ........................................ 14,418
1,900 * CNA FINANCIAL CORP .................................... 74
23,513 CONSECO, INC .......................................... 420
1,800 ENHANCE FINANCIAL SERVICES GROUP, INC ................. 29
2,000 ERIE INDEMNITY CO (CLASS A) ........................... 65
4,800 EVEREST REINSURANCE HOLDINGS, INC ..................... 107
600 * FARM FAMILY HOLDINGS, INC ............................. 25
2,000 FBL FINANCIAL GROUP, INC (CLASS A) .................... 40
500 FIDELITY NATIONAL FINANCIAL, INC ...................... 7
2,800 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD ............. 146
2,500 FIRST AMERICAN FINANCIAL CORP ......................... 31
2,900 FOREMOST CORP OF AMERICA .............................. 82
6,400 * FOUNDATION HEALTH SYSTEMS (CLASS A) ................... 64
300 FREMONT GENERAL CORP .................................. 2
5,100 FRONTIER INSURANCE GROUP, INC ......................... 18
700 HARLEYSVILLE GROUP, INC ............................... 10
15,300 HARTFORD FINANCIAL SERVICES GROUP, INC ................ 725
1,700 HARTFORD LIFE, INC (CLASS A) .......................... 75
600 HCC INSURANCE HOLDINGS, INC ........................... 8
7,900 * HUMANA, INC ........................................... 65
8,150 JEFFERSON-PILOT CORP .................................. 556
1,000 KANSAS CITY LIFE INSURANCE CO ......................... 34
600 LIBERTY CORP .......................................... 25
15,800 LINCOLN NATIONAL CORP ................................. 632
4,700 LOEWS CORP ............................................ 285
1,600 * MAXICARE HEALTH PLANS, INC ............................ 5
4,941 MBIA, INC ............................................. 261
900 MERCURY GENERAL CORP .................................. 20
13,700 MGIC INVESTMENT CORP .................................. 825
2,800 MMI COS, INC .......................................... 24
300 MONY GROUP, INC ....................................... 9
100 * NATIONAL WESTERN LIFE INSURANCE CO .................... 7
5,100 NATIONWIDE FINANCIAL SERVICES, INC (CLASS A) .......... 142
11,400 OLD REPUBLIC INTERNATIONAL CORP ....................... 155
9,400 * OXFORD HEALTH PLANS, INC .............................. 119
4,564 * PACIFICARE HEALTH SYSTEMS, INC (CLASS A) .............. 242
600 * PENN TREATY AMERICAN CORP ............................. 9
4,100 * PENNCORP FINANCIAL GROUP, INC ......................... 2
800 * PHILADELPHIA CONSOLIDATED HOLDINGS CORP ............... 12
1,000 PMA CAPITAL CORP (CLASS A) ............................ 20
8,400 PMI GROUP, INC ........................................ 410
900 PRESIDENTIAL LIFE CORP ................................ 17
220 * PROFESSIONALS GROUP, INC .............................. 5
4,400 PROGRESSIVE CORP ...................................... 322
2,000 PROTECTIVE LIFE CORP .................................. 64
1,700 PXRE GROUP LTD ........................................ 22
5,526 RADIAN GROUP, INC ..................................... 264
3,025 REINSURANCE GROUP OF AMERICA, INC ..................... 84
4,797 RELIASTAR FINANCIAL CORP .............................. 188
1,700 * RISK CAPITAL HOLDINGS, INC ............................ 21
500 RLI CORP .............................................. 17
3,300 SAFECO CORP ........................................... 82
2,100 SCPIE HOLDINGS, INC ................................... 67
4,700 SELECTIVE INSURANCE GROUP, INC ........................ 81
450 * SIERRA HEALTH SERVICES, INC ........................... 3
16,522 ST. PAUL COS, INC ..................................... 557
2,200 STATE AUTO FINANCIAL CORP ............................. 20
2,000 STEWART INFORMATION SERVICES CORP ..................... 27
10,800 TORCHMARK CORP ........................................ 314
5,800 TRAVELERS PROPERTY CASUALTY CORP ...................... 199
1,500 TRENWICK GROUP, INC ................................... 25
4,600 * TRIAD GUARANTY, INC ................................... 105
2,600 * TRIGON HEALTHCARE, INC ................................ 77
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ ------------
<S> <C> <C>
2,100 * UICI .................................................. $ 22
200 UNITED FIRE & CASULTY CO .............................. 5
15,100 UNITED HEALTHCARE CORP ................................ 802
1,000 UNITRIN, INC .......................................... 38
15,093 UNUMPROVIDENT CORP .................................... 484
1,100 VESTA INSURANCE GROUP, INC ............................ 4
4,300 * WELLPOINT HEALTH NETWORKS, INC ........................ 284
220 WESCO FINANCIAL CORP .................................. 54
----------
44,525
----------
LEATHER AND LEATHER PRODUCTS--0.02%
2,800 BROWN SHOE CO, INC .................................... 40
679 * SAMSONITE CORP ........................................ 4
5,400 STRIDE RITE CORP ...................................... 35
1,600 * TIMBERLAND CO ......................................... 85
25 WOLVERINE WORLD WIDE, INC ............................. 0
----------
164
----------
LEGAL SERVICES--0.00%
2,100 * PREPAID LEGAL SERVICES, INC ........................... 50
----------
LOCAL AND INTERURBAN PASSENGER TRANSIT--0.00%
1,000 * RURAL/METRO CORP ...................................... 4
----------
LUMBER AND WOOD PRODUCTS--0.25%
4,200 * CHAMPION ENTERPRISES, INC ............................. 36
8,407 CLAYTON HOMES, INC .................................... 77
1,242 DELTIC TIMBER CORP .................................... 27
18,500 GEORGIA-PACIFIC CORP (PACKING GROUP) .................. 939
20,800 LOUISIANA PACIFIC CORP ................................ 296
350 * PALM HARBOR HOMES, INC ................................ 6
100 TJ INTERNATIONAL, INC ................................. 4
2,500 UNIVERSAL FOREST PRODUCTS, INC ........................ 37
15,900 WEYERHAEUSER CO ....................................... 1,142
----------
2,564
----------
METAL MINING--0.11%
16,200 * BATTLE MOUNTAIN GOLD CO ............................... 33
2,000 CLEVELAND CLIFFS, INC ................................. 62
18,263 * FREEPORT-MCMORAN COPPER & GOLD, INC
(CLASS B) ............................................. 386
10,700 NEWMONT MINING CORP ................................... 262
6,241 PHELPS DODGE CORP ..................................... 419
40 PLACER DOME, INC (U.S.) ............................... 0
400 * STILLWATER MINING CO .................................. 13
----------
1,175
----------
MISCELLANEOUS MANUFACTURING INDUSTRIES--0.43%
1,900 * BLYTH INDUSTRIES, INC ................................. 47
2,600 BRADY CORP (CLASS A) .................................. 88
5,100 CALLAWAY GOLF CO ...................................... 90
12,750 HASBRO, INC ........................................... 243
1,700 * HEXCEL CORP ........................................... 9
4,800 INTERNATIONAL GAME TECHNOLOGY CO ...................... 98
6,100 JOSTENS, INC .......................................... 148
200 K2, INC ............................................... 2
2,800 * LYDALL, INC ........................................... 19
81 * MARVEL ENTERPRISES (CLASS A) WTS 10/02/01 ............. 0
138 * MARVEL ENTERPRISES (CLASS C) WTS 10/02/02 ............. 0
30,389 MATTEL, INC ........................................... 399
32,900 MINNESOTA MINING & MANUFACTURING CO ................... 3,220
2,400 ONEIDA LTD ............................................ 52
1,000 * RACING CHAMPIONS CORP ................................. 4
1,500 RUSS BERRIE & CO, INC ................................. 39
1,500 * STEINWAY MUSICAL INSTRUMENTS, INC ..................... 30
----------
4,488
----------
MISCELLANEOUS RETAIL--0.75%
12,900 * AMAZON.COM, INC ....................................... 982
3,200 * BARNES & NOBLE, INC ................................... 66
</TABLE>
24 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ ------------
<S> <C> <C>
MISCELLANEOUS RETAIL--(Continued)
1,300 * BARNESANDNOBLE.COM, INC .............................. $ 18
700 * BARNETT, INC ......................................... 7
200 BLAIR CORP ........................................... 3
4,100 * BORDERS GROUP, INC ................................... 66
1,600 * CDW COMPUTER CENTERS, INC ............................ 126
500 * COLDWATER CREEK, INC ................................. 10
29,342 CVS CORP ............................................. 1,172
1,751 * EGGHEAD.COM, INC ..................................... 28
600 ENESCO GROUP, INC .................................... 7
3,200 * ETOYS, INC ........................................... 84
700 HANCOCK FABRICS, INC ................................. 2
16,100 * HANOVER DIRECT, INC .................................. 58
2,500 * INSIGHT ENTERPRISES, INC ............................. 102
700 * ITURF, INC ........................................... 9
300 LONGS DRUG STORES CORP ............................... 8
5,200 * MICHAELS STORES, INC ................................. 148
1,600 * MICRO WAREHOUSE, INC ................................. 30
24,300 * OFFICE DEPOT, INC .................................... 266
4,150 * OFFICEMAX, INC ....................................... 23
5,000 OMNICARE, INC ........................................ 60
600 * PARTY CITY CORP ...................................... 1
3,700 * PETCO ANIMAL SUPPLIES, INC ........................... 55
4,500 * PETSMART, INC ........................................ 26
17,020 RITE AID CORP ........................................ 190
3,600 * SCHEIN (HENRY), INC .................................. 48
34,262 * STAPLES, INC ......................................... 711
1,600 * SUNGLASS HUT INTERNATIONAL, INC ...................... 18
1,100 * SYSTEMAX, INC ........................................ 9
600 * THE SPORTS AUTHORITY, INC ............................ 1
5,400 TIFFANY & CO ......................................... 482
23,087 * TOYS R US, INC ....................................... 330
3,025 * U.S. OFFICE PRODUCTS CO .............................. 9
1,000 * VALUEVISION INTERNATIONAL, INC ....................... 57
80,600 WALGREEN CO .......................................... 2,358
4,100 * ZALE CORP ............................................ 198
----------
7,768
----------
MOTION PICTURES--1.15%
3,300 * AMC ENTERTAINMENT, INC ............................... 28
900 * CARMIKE CINEMAS, INC (CLASS A) ....................... 7
164,034 DISNEY (WALT) CO ..................................... 4,798
900 * GC COS, INC .......................................... 23
4,100 * HOLLYWOOD ENTERTAINMENT CORP ......................... 59
2,500 * LOWES CINEPLEX ENTERTAINMENT CORP .................... 15
5,444 * METRO-GOLDWYN-MAYER, INC ............................. 128
10,400 * METROMEDIA INTERNATIONAL GROUP, INC .................. 49
1,800 * ON COMMAND CORP ...................................... 33
1,300 * PIXAR, INC ........................................... 46
92,344 TIME WARNER, INC ..................................... 6,689
----------
11,875
----------
NONDEPOSITORY INSTITUTIONS--1.76%
1,500 * AAMES FINANCIAL CORP ................................. 1
3,425 ADVANTA CORP (CLASS A) ............................... 63
35,700 AMERICAN EXPRESS CO .................................. 5,935
3,000 * AMERICREDIT CORP ..................................... 56
6,800 * ARCADIA FINANCIAL LTD ................................ 30
52,416 ASSOCIATES FIRST CAPITAL CORP ........................ 1,438
14,200 CAPITAL ONE FINANCIAL CORP ........................... 684
2,500 CHARTER MUNICIPAL MORTGAGE ACCEPTANCE ................ 29
800 CIT GROUP, INC (CLASS A) ............................. 17
2,100 x * CITYSCAPE FINANCIAL CORP ............................. 0
1,900 * CONTIFINANCIAL CORP .................................. 0
8,971 COUNTRYWIDE CREDIT INDUSTRIES, INC ................... 227
1,100 * CREDIT ACCEPTANCE CORP ............................... 4
100 DORAL FINANCIAL CORP ................................. 1
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
600 * FEDERAL AGRICULTURE MORTGAGE CORP .................... $ 12
76,200 FEDERAL NATIONAL MORTGAGE ASSOCIATION ................ 4,758
1,300 * FINANCIAL FEDERAL CORP ............................... 30
1,900 * FINET.COM, INC ....................................... 2
3,516 FINOVA GROUP, INC .................................... 125
900 * FIRST SIERRA FINANCIAL, INC .......................... 15
4,500 * FIRSTPLUS FINANCIAL GROUP, INC ....................... 0
52,800 FREDDIE MAC .......................................... 2,485
2,219 HELLER FINANCIAL, INC ................................ 45
35,441 HOUSEHOLD INTERNATIONAL, INC ......................... 1,320
1,000 * IMC MORTGAGE CO ...................................... 0
500 * IMPERIAL CREDIT INDUSTRIES, INC ...................... 3
7,500 LEUCADIA NATIONAL CORP ............................... 173
10,838 METRIS COS, INC ...................................... 387
19 * MFN FINANCIAL CORP ................................... 0
22 * MFN FINANCIAL CORP WTS SERIES A 03/23/02 ............. 0
22 * MFN FINANCIAL CORP WTS SERIES B 03/23/03 ............. 0
22 * MFN FINANCIAL CORP WTS SERIES C 03/23/04 ............. 0
2,400 * NEXTCARD, INC ........................................ 69
25 * OMEGA WORLDWIDE, INC ................................. 0
300 RESOURCE AMERICA, INC (CLASS A) ...................... 2
6,250 SLM HOLDINGS CORP .................................... 264
6,700 * UNICAPITAL CORP ...................................... 25
2,200 x * UNITED COS FINANCIAL CORP ............................ 0
----------
18,200
----------
NONMETALLIC MINERALS, EXCEPT FUELS--0.05%
7,000 AMCOL INTERNATIONAL CORP ............................. 113
3,100 JOHNS MANVILLE CORP .................................. 43
4,700 MARTIN MARIETTA MATERIALS, INC ....................... 193
3,200 VULCAN MATERIALS CO .................................. 128
----------
477
----------
OIL AND GAS EXTRACTION--0.77%
5,200 ANADARKO PETROLEUM CORP .............................. 177
8,400 APACHE CORP .......................................... 310
700 * ATWOOD OCEANICS, INC ................................. 27
1,100 * BASIN EXPLORATION, INC ............................... 19
1,200 * BELCO OIL & GAS CORP ................................. 7
4,000 * BENTON OIL & GAS CO .................................. 8
3,400 * BJ SERVICES CO ....................................... 142
4,200 * BROWN (TOM), INC ..................................... 56
10,749 BURLINGTON RESOURCES, INC ............................ 355
700 CABOT OIL & GAS CORP (CLASS A) ....................... 11
700 * CAL DIVE INTERNATIONAL, INC .......................... 23
12,800 * CHESAPEAKE ENERGY CORP ............................... 30
400 * COMSTOCK RESOURCES, INC .............................. 1
1,100 * CONTOUR ENERGY CO .................................... 1
5,425 CROSS TIMBERS OIL CO ................................. 49
3,347 DEVON ENERGY CORP (NEW) .............................. 110
6,700 DIAMOND OFFSHORE DRILLING, INC ....................... 205
231 x * EAGLE GEOPHYSICAL, INC ............................... 0
7,149 * EEX CORP ............................................. 21
15,400 ENSCO INTERNATIONAL, INC ............................. 352
3,500 EOG RESOURCES, INC ................................... 61
1,400 x * FORCENERGY GAS EXPLORATION, INC ...................... 1
4,900 * FOREST OIL CORP ...................................... 65
2,866 * FRIEDE GOLDMAN HALTER, INC ........................... 20
2,500 * GLOBAL INDUSTRIES LTD ................................ 22
14,200 * GLOBAL MARINE, INC ................................... 236
25,800 * GREY WOLF, INC ....................................... 74
32,832 HALLIBURTON CO ....................................... 1,321
400 * HANOVER COMPRESSOR CO ................................ 15
14,000 * HARKEN ENERGY CORP ................................... 11
5,700 HELMERICH & PAYNE, INC ............................... 124
500 * HOUSTON EXPLORATION CO ............................... 10
2,100 * HS RESOURCES, INC .................................... 36
</TABLE>
See notes to financial statements. 25
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ ------------
<S> <C> <C>
OIL AND GAS EXTRACTION--(Continued)
2,000 * KCS ENERGY, INC ....................................... $ 2
10,547 KERR-MCGEE CORP ....................................... 654
24,500 * KEY ENERGY SERVICES, INC .............................. 127
3,300 * LOUIS DREYFUS NATURAL GAS CORP ........................ 60
2,700 * MARINE DRILLING CO, INC ............................... 61
1,263 * MCMORAN EXPLORATION CO ................................ 27
1,700 * MERIDIAN RESOURCE CORP ................................ 5
900 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) .......... 20
5,100 * NABORS INDUSTRIES, INC ................................ 158
2,200 * NEWFIELD EXPLORATION CO ............................... 59
2,800 NOBLE AFFILIATES, INC ................................. 60
8,100 * NOBLE DRILLING CORP ................................... 265
2,800 * NUEVO ENERGY CO ....................................... 53
28,800 OCCIDENTAL PETROLEUM CORP ............................. 623
8,200 * OCEAN ENERGY, INC (NEW) ............................... 64
2,100 * OCEANEERING INTERNATIONAL, INC ........................ 31
11,800 * PARKER DRILLING CO .................................... 38
5,800 * PATTERSON ENERGY, INC ................................. 75
15,600 * PIONEER NATURAL RESOURCES CO .......................... 139
2,100 POGO PRODUCING CO ..................................... 43
900 * PRIDE INTERNATIONAL, INC .............................. 13
14,300 * R & B FALCON CORP ..................................... 189
2,100 * ROWAN COS, INC ........................................ 46
700 RPC, INC .............................................. 4
12,000 * SANTA FE SNYDER CORP .................................. 96
16 SCHLUMBERGER LTD ...................................... 1
2,600 * SEITEL, INC ........................................... 18
1,200 ST. MARY LAND & EXPLORATION CO ........................ 30
1,500 * STONE ENERGY CORP ..................................... 53
4,700 * SYNTROLEUM CORP ....................................... 38
600 * TITAN EXPLORATION, INC ................................ 3
486 * TOTAL FINA WTS 08/05/03 ............................... 14
7,303 * TRANSOCEAN SEDCO FOREX, INC ........................... 246
2,600 x * TRANSTEXAS GAS CORP ................................... 1
3,500 * TUBOSCOPE, INC ........................................ 56
20,914 UNION PACIFIC RESOURCES GROUP, INC .................... 267
400 * UTI ENERGY CORP ....................................... 9
3,000 VASTAR RESOURCES, INC ................................. 177
1,900 * VERITAS DGC, INC ...................................... 27
1,900 * VINTAGE PETROLEUM, INC ................................ 23
5,130 * WEATHERFORD INTERNATIONAL ............................. 205
----------
7,980
----------
PAPER AND ALLIED PRODUCTS--0.81%
1,300 * ACX TECHNOLOGIES, INC ................................. 14
5,000 * AMERICAN PAD & PAPER CO ............................... 1
7,100 AVERY DENNISON CORP ................................... 517
2,400 BEMIS, INC ............................................ 84
2,800 BOISE CASCADE CORP .................................... 113
1,600 BOWATER, INC .......................................... 87
4,100 * BUCKEYE TECHNOLOGIES, INC ............................. 61
1,400 CARAUSTAR INDUSTRIES, INC ............................. 34
5,900 CHAMPION INTERNATIONAL CORP ........................... 365
3,800 CHESAPEAKE CORP ....................................... 116
60 * CROWN VANTAGE, INC .................................... 0
4,300 * EARTHSHELL CORP ....................................... 18
19,325 FORT JAMES CORP ....................................... 529
4,300 GLATFELTER (P.H.) CO .................................. 63
300 GREIF BROTHERS CORP (CLASS A) ......................... 9
30,364 INTERNATIONAL PAPER CO ................................ 1,714
3,200 * IVEX PACKAGING CORP ................................... 32
40,900 KIMBERLY-CLARK CORP ................................... 2,669
1,600 LONGVIEW FIBRE CO ..................................... 23
4,000 * MAIL-WELL, INC ........................................ 54
6,500 MEAD CORP ............................................. 282
1,900 * PLAYTEX PRODUCTS, INC ................................. 29
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ ------------
<S> <C> <C>
300 REPUBLIC GROUP, INC ................................... $ 5
600 ROCK-TENN CO (CLASS A) ................................ 9
340 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ................. 5
2,300 * SHOREWOOD PACKAGING CORP .............................. 44
9,053 * SMURFIT-STONE CONTAINER CORP .......................... 222
10,631 SONOCO PRODUCTS CO .................................... 242
4,800 ST. JOE CO ............................................ 117
4,800 TEMPLE-INLAND, INC .................................... 317
6,900 WAUSAU-MOSINEE PAPER CORP ............................. 81
4,500 WESTVACO CORP ......................................... 147
7,700 WILLAMETTE INDUSTRIES, INC ............................ 358
----------
8,361
----------
PERSONAL SERVICES--0.08%
9,200 BLOCK (H&R), INC ...................................... 403
1,200 * CARRIAGE SERVICES, INC (CLASS A) ...................... 7
6,300 CINTAS CORP ........................................... 335
600 CPI CORP .............................................. 14
1,250 REGIS CORP ............................................ 24
2,600 SERVICE CORP INTERNATIONAL ............................ 18
1,400 UNIFIRST CORP ......................................... 18
----------
819
----------
PETROLEUM AND COAL PRODUCTS--3.39%
8,500 AMERADA HESS CORP ..................................... 482
5,800 ASHLAND, INC .......................................... 191
26,400 ATLANTIC RICHFIELD CO ................................. 2,284
52,500 CHEVRON CORP .......................................... 4,548
31,152 CONOCO, INC (CLASS B) ................................. 775
3,450 ELCOR CORP ............................................ 104
267,257 EXXON MOBIL CORP ...................................... 21,531
1,500 MURPHY OIL CORP ....................................... 86
2,440 PENNZOIL-QUAKER STATE CO .............................. 25
13,700 PHILLIPS PETROLEUM CO ................................. 644
4,700 SUNOCO, INC ........................................... 110
42,416 TEXACO, INC ........................................... 2,304
16,848 TOSCO CORP ............................................ 458
16,726 ULTRAMAR DIAMOND SHAMROCK CORP ........................ 379
14,765 UNOCAL CORP ........................................... 496
19,300 USX-MARATHON GROUP, INC ............................... 476
6,300 * VALERO ENERGY CORP .................................... 125
1,100 WD-40 CO .............................................. 24
----------
35,042
----------
PRIMARY METAL INDUSTRIES--0.42%
1,810 AK STEEL HOLDINGS CORP ................................ 34
25,580 ALCOA, INC ............................................ 2,123
3,804 ALLEGHENY TECHNOLOGIES, INC ........................... 85
500 * ALPINE GROUP, INC ..................................... 6
4,100 BELDEN, INC ........................................... 86
9,300 * BETHLEHEM STEEL CORP .................................. 78
50 * CABLE DESIGN TECHNOLOGIES CO .......................... 1
3,300 CARPENTER TECHNOLOGY CORP ............................. 91
300 COMMONWEALTH INDUSTRIES, INC .......................... 4
800 * ENCORE WIRE CORP ...................................... 6
6,300 ENGELHARD CORP ........................................ 119
2,100 GENERAL CABLE CORP .................................... 16
1,000 GIBRALTAR STEEL CORP .................................. 23
2,100 IMCO RECYCLING, INC ................................... 27
1,500 INTERMET CORP ......................................... 17
3,700 * LONE STAR TECHNOLOGIES, INC ........................... 103
12,200 LTV CORP .............................................. 50
200 MATTHEWS INTERNATIONAL CORP (CLASS A) ................. 6
1,300 * MAVERICK TUBE CORP .................................... 32
600 * MAXXAM, INC ........................................... 26
4,100 * MUELLER INDUSTRIES, INC ............................... 149
600 NATIONAL STEEL CORP (CLASS B) ......................... 4
7,100 NUCOR CORP ............................................ 389
</TABLE>
26 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ --------------
<S> <C> <C>
PRIMARY METAL INDUSTRIES--(Continued)
1,100 OREGON STEEL MILLS, INC ........................... $ 9
100 PRECISION CAST PARTS CORP ......................... 3
2,700 QUANEX CORP ....................................... 69
1,700 REYNOLDS METALS CO ................................ 130
1,861 RYERSON TULL, INC ................................. 36
800 * STEEL DYNAMICS, INC ............................... 13
800 SUPERIOR TELECOM, INC ............................. 12
2,600 TEXAS INDUSTRIES, INC ............................. 111
200 TITAN INTERNATIONAL, INC .......................... 1
7,400 USX-US STEEL GROUP, INC ........................... 244
12,600 WORTHINGTON INDUSTRIES, INC ....................... 209
----------
4,312
----------
PRINTING AND PUBLISHING--0.80%
4,400 AMERICAN GREETINGS CORP (CLASS A) ................. 104
4,400 BANTA CORP ........................................ 99
16,500 BELO (A.H.) CORP SERIES A ......................... 315
2,800 CENTRAL NEWSPAPERS, INC (CLASS A) ................. 110
1,500 * CONSOLIDATED GRAPHICS, INC ........................ 22
1,000 * CSS INDUSTRIES, INC ............................... 21
600 * DAY RUNNER, INC ................................... 2
9,900 DELUXE CORP ....................................... 272
8,000 DONNELLEY (R.R.) & SONS CO ........................ 199
2,200 DOW JONES & CO, INC ............................... 150
24,500 GANNETT CO, INC ................................... 1,998
2,200 HARLAND (JOHN H.) CO .............................. 40
4,200 HARTE-HANKS, INC .................................. 91
3,800 KNIGHT-RIDDER, INC ................................ 226
7,500 LEE ENTERPRISES, INC .............................. 240
1,300 MCCLATCHY CO (CLASS A) ............................ 56
15,800 MCGRAW HILL COS, INC .............................. 974
2,856 MEDIA GENERAL, INC (CLASS A) ...................... 149
5,400 MEREDITH CORP ..................................... 225
9,100 NEW YORK TIMES CO (CLASS A) ....................... 447
82 NEWS CORP LTD ..................................... 3
475 * PAXAR CORP ........................................ 4
2,500 PENTON MEDIA, INC ................................. 60
7,100 * PRIMEDIA, INC ..................................... 117
60 * R.H. DONNELLEY CORP ............................... 1
2,100 READER'S DIGEST ASSOCIATION, INC (CLASS A)
(NON-VOTE) ........................................ 61
7,800 REYNOLDS & REYNOLDS CO (CLASS A) .................. 176
1,600 SCHAWK, INC (CLASS A) ............................. 14
200 * SCHOLASTIC CORP ................................... 12
7,200 SCRIPPS (E.W.) CO (CLASS A) ....................... 323
100 STANDARD REGISTER, INC ............................ 2
1,400 TIMES MIRROR CO SERIES A .......................... 94
1,000 * TOPPS, INC ........................................ 10
17,600 TRIBUNE CO ........................................ 969
4,900 WALLACE COMPUTER SERVICES, INC .................... 81
800 WASHINGTON POST CO (CLASS B) ...................... 445
6,400 WILEY (JOHN) & SONS, INC (CLASS A) ................ 107
13 * WORKFLOW MANAGEMENT, INC .......................... 0
----------
8,219
----------
RAILROAD TRANSPORTATION--0.32%
38,120 BURLINGTON NORTHERN SANTA FE CORP ................. 924
100 CANADIAN NATIONAL RAILWAY CO ...................... 3
11,000 CSX CORP .......................................... 345
2,000 FLORIDA EAST COAST INDUSTRIES, INC ................ 84
10,100 KANSAS CITY SOUTHERN INDUSTRIES, INC .............. 754
20,200 NORFOLK SOUTHERN CORP ............................. 414
17,682 UNION PACIFIC CORP ................................ 771
2,500 * WISCONSIN CENTRAL TRANSIT CORP .................... 34
----------
3,329
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
REAL ESTATE--0.04%
9,900 ARDEN REALTY GROUP, INC ........................... $ 199
100 * AVATAR HOLDINGS, INC .............................. 2
2,466 * CASTLE & COOKE, INC ............................... 31
2,900 * CATELLUS DEVELOPMENT CORP ......................... 37
2,300 * CB RICHARD ELLIS SERVICES GROUP, INC .............. 28
40 * ECHELON INTERNATIONAL CORP ........................ 1
1,000 * FAIRFIELD COMMUNITIES, INC ........................ 11
900 FOREST CITY ENTERPRISES, INC (CLASS A) ............ 25
500 * GRUBB & ELLIS CO .................................. 2
33 * INSIGNIA FINANCIAL GROUP, INC ..................... 0
400 * JONES LANG LA SALLE ............................... 5
300 LNR PROPERTY CORP ................................. 6
1,000 * PINNACLE HOLDINGS, INC ............................ 42
64 * RECKSON SERVICES INDUSTRIES, INC .................. 4
800 STEWART ENTERPRISES, INC (CLASS A) ................ 4
1,200 * TRAMMELL CROW CO .................................. 14
----------
411
----------
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.35%
3,500 APTARGROUP, INC ................................... 88
8,400 ARMSTRONG WORLD INDUSTRIES, INC ................... 280
700 BANDAG, INC ....................................... 18
1,300 CARLISLE COS, INC ................................. 47
4,300 COOPER TIRE & RUBBER CO ........................... 67
7,300 GOODYEAR TIRE & RUBBER CO ......................... 206
21,388 ILLINOIS TOOL WORKS, INC .......................... 1,445
2,970 MYERS INDUSTRIES, INC ............................. 47
9,500 NIKE, INC (CLASS B) ............................... 471
16,400 * PACTIV CORP ....................................... 174
1,300 * REEBOK INTERNATIONAL LTD .......................... 11
3,900 * SAFESKIN CORP ..................................... 47
5,072 * SEALED AIR CORP ................................... 263
8,560 SOLUTIA, INC ...................................... 132
2,200 SPARTECH CORP ..................................... 71
800 TREDEGAR CORP ..................................... 17
13,100 TUPPERWARE CORP ................................... 222
1,000 WYNNS INTERNATIONAL, INC .......................... 14
----------
3,620
----------
SECURITY AND COMMODITY BROKERS--1.49%
400 ADVEST GROUP, INC ................................. 7
4,200 * AFFILIATED MANAGERS GROUP, INC .................... 170
5,600 * AMERITRADE HOLDINGS CORP (CLASS A) ................ 121
9,612 BEAR STEARNS COS, INC ............................. 411
1,900 CONNING CORP ...................................... 16
600 DAIN RAUSCHER CORP ................................ 28
1,400 * DLJ DIRECT ........................................ 19
2,000 DONALDSON, LUFKIN & JENRETTE, INC ................. 97
500 DUFF & PHELPS CREDIT RATING CO .................... 44
12,800 * E TRADE GROUP, INC ................................ 334
3,000 EATON VANCE CORP .................................. 114
10,850 EDWARDS (A.G.), INC ............................... 348
6,400 FEDERATED INVESTORS INC ........................... 128
13,800 FRANKLIN RESOURCES, INC ........................... 442
600 * FRIEDMAN, BILLINGS, RAMSEY GROUP, INC ............. 5
1,659 INVESTMENT TECHNOLOGY GROUP, INC .................. 48
200 JEFFERIES GROUP, INC (NEW) ........................ 4
1,000 JOHN NUVEEN CO (CLASS A) .......................... 36
4,700 * KNIGHT/TRIMARK GROUP, INC ......................... 216
2,500 LEGG MASON, INC ................................... 91
10,100 LEHMAN BROTHERS HOLDINGS, INC ..................... 855
25,100 MERRILL LYNCH & CO, INC ........................... 2,096
42,555 MORGAN STANLEY, DEAN WITTER, & CO ................. 6,075
9,500 PAINE WEBBER GROUP, INC ........................... 369
2,700 PHOENIX INVESTMENT PARTNERS LTD ................... 22
7,500 PRICE (T. ROWE) ASSOCIATES, INC ................... 277
</TABLE>
See notes to financial statements.
27
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ -----------
<S> <C> <C>
SECURITY AND COMMODITY BROKERS--(Continued)
6,750 RAYMOND JAMES FINANCIAL CORP .......................... $ 126
48,400 SCHWAB (CHARLES) CORP ................................. 1,857
2,090 SOUTHWEST SECURITIES GROUP, INC ....................... 57
8,100 THE GOLDMAN SACHS GROUP, INC .......................... 763
800 UNITED ASSET MANAGEMENT CORP .......................... 15
7,400 WADDELL & REED FINANCIAL, INC (CLASS A) ............... 201
157 WADDELL & REED FINANCIAL, INC (CLASS B) ............... 4
----------
15,396
----------
SOCIAL SERVICES--0.00%
1,700 * BRIGHT HORIZON FAMILY SOLUTIONS, INC .................. 32
200 * RES-CARE, INC ......................................... 3
----------
35
SPECIAL TRADE CONTRACTORS--0.00%
400 * COMFORT SYSTEMS U.S.A., INC ........................... 3
300 * EMCOR GROUP, INC ...................................... 5
700 * GROUP MAINTENANCE AMERICA CORP ........................ 7
1,000 * QUANTA SERVICES, INC .................................. 28
----------
43
----------
STONE, CLAY, AND GLASS PRODUCTS--0.34%
100 AMERON INTERNATIONAL CORP ............................. 4
1,600 CENTEX CONSTRUCTION PRODUCTS, INC ..................... 62
17,900 CORNING, INC .......................................... 2,308
500 * DEPARTMENT 56, INC .................................... 11
2,000 * DUPONT PHOTOMASKS, INC ................................ 97
500 FLORIDA ROCK INDUSTRIES, INC .......................... 17
6,093 LAFARGE CORP .......................................... 168
2,700 LIBBEY, INC ........................................... 78
9,200 OWENS CORNING CO ...................................... 178
10,500 * OWENS ILLINOIS, INC ................................... 263
2,520 SOUTHDOWN, INC ........................................ 130
3,100 USG CORP .............................................. 146
----------
3,462
----------
TEXTILE MILL PRODUCTS--0.07%
3,040 * ALBANY INTERNATIONAL CORP (CLASS A) (NEW) ............. 47
2,400 COLLINS & AIKMAN CORP ................................. 14
300 * CONE MILLS CORP ....................................... 1
1,700 * DAN RIVER, INC (CLASS A) .............................. 9
3,400 INTERFACE, INC (CLASS A) .............................. 20
4,200 * MOHAWK INDUSTRIES, INC ................................ 111
3,800 POLYMER GROUP, INC .................................... 69
3,000 RUSSELL CORP .......................................... 50
15,900 SHAW INDUSTRIES, INC .................................. 245
1,700 SPRING INDUSTRIES, INC ................................ 68
300 * UNIFI, INC ............................................ 4
5,400 WESTPOINT STEVENS, INC ................................ 95
----------
733
----------
TOBACCO PRODUCTS--0.48%
183,800 PHILIP MORRIS COS, INC ................................ 4,262
8,500 RJR REYNOLDS TOBACCO HOLDINGS, INC .................... 150
21,600 UST, INC .............................................. 544
----------
4,956
----------
TRANSPORTATION BY AIR--0.38%
2,800 AIRBORNE FREIGHT CORP ................................. 62
1,000 * AIRNET SYSTEMS, INC ................................... 7
7,100 * AIRTRAN HOLDINGS, INC ................................. 32
2,600 * ALASKA AIR GROUP, INC ................................. 91
3,600 * AMERICA WEST HOLDINGS CORP (CLASS B) .................. 75
11,500 * AMR CORP .............................................. 771
200 * AVIALL, INC ........................................... 2
5,500 * CONTINENTAL AIRLINES, INC (CLASS B) ................... 244
12,400 DELTA AIRLINES, INC ................................... 618
22,040 * FDX CORP .............................................. 902
400 * MESA AIR GROUP, INC ................................... 2
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ ------------
<S> <C> <C>
600 * MESABA HOLDINGS, INC .................................. $ 7
2,000 * NORTHWEST AIRLINES CORP (CLASS A) ..................... 45
3,700 * OFFSHORE LOGISTICS, INC ............................... 35
3,400 OGDEN CORP ............................................ 41
1,200 PITTSTON BAX GROUP .................................... 13
900 SKYWEST, INC .......................................... 25
37,501 SOUTHWEST AIRLINES CO ................................. 607
8,600 * TRANS WORLD AIRLINES, INC ............................. 24
6,500 * U.S. AIRWAYS GROUP, INC ............................... 208
1,600 * UAL CORP .............................................. 124
----------
3,935
----------
TRANSPORTATION EQUIPMENT--2.66%
2,900 * ABC RAIL PRODUCTS CORP ................................ 24
900 * AFTERMARKET TECHNOLOGY CORP ........................... 11
700 ARCTIC CAT, INC ....................................... 7
4,100 ARVIN INDUSTRIES, INC ................................. 116
4,184 AUTOLIV, INC .......................................... 122
700 * BE AEROSPACE, INC ..................................... 6
74,354 BOEING CO ............................................. 3,090
2,400 BORG-WARNER AUTOMOTIVE, INC ........................... 97
900 x * BREED TECHNOLOGIES, INC ............................... 0
4,000 CLARCOR, INC .......................................... 72
6,900 CORDANT TECHNOLOGIES, INC ............................. 228
10,024 DANA CORP ............................................. 300
5,800 DANAHER CORP .......................................... 280
3,000 * DELCO REMY INTERNATIONAL, INC (CLASS A) ............... 25
39,282 DELPHI AUTOMOTIVE SYSTEMS CORP ........................ 619
8,000 EATON CORP ............................................ 581
2,100 FEDERAL SIGNAL CORP ................................... 34
4,100 FEDERAL-MOGUL CORP .................................... 83
3,500 FLEETWOOD ENTERPRISES, INC ............................ 72
89,300 FORD MOTOR CO ......................................... 4,772
4,100 GENCORP, INC .......................................... 40
13,900 GENERAL DYNAMICS CORP ................................. 733
51,126 GENERAL MOTORS CORP ................................... 3,716
10,600 * GENERAL MOTORS CORP (CLASS H) ......................... 1,018
5,900 * GENTEX CORP ........................................... 164
9,206 GOODRICH (B.F.) CO .................................... 253
11,900 HARLEY DAVIDSON, INC .................................. 762
2,500 * HAYES LEMMERZ INTERNATIONAL, INC ...................... 44
58,787 HONEYWELL INTERNATIONAL, INC .......................... 3,354
13,500 ITT INDUSTRIES, INC ................................... 451
1,800 * KELLSTROM INDUSTRIES, INC ............................. 16
24,292 LOCKHEED MARTIN CORP .................................. 531
4,500 MASCOTECH, INC ........................................ 57
8,866 MERITOR AUTOMOTIVE, INC ............................... 172
2,750 * MONACO COACH CORP ..................................... 70
1,600 * NATIONAL R.V. HOLDINGS, INC ........................... 31
5,500 * NAVISTAR INTERNATIONAL CORP ........................... 261
7,677 NORTHROP GRUMMAN CORP ................................. 415
450 OSHKOSH TRUCK CORP .................................... 13
9,900 PACCAR, INC ........................................... 439
3,000 POLARIS INDUSTRIES, INC ............................... 109
2,100 REGAL-BELOIT CORP ..................................... 43
2,800 SIMPSON INDUSTRIES, INC ............................... 32
2,400 SMITH (A.O.) CORP ..................................... 53
1,703 * SPX CORP .............................................. 138
700 * STONERIDGE, INC ....................................... 11
200 SUPERIOR INDUSTRIES INTERNATIONAL, INC ................ 5
9,900 TEXTRON, INC .......................................... 759
1,200 THOR INDUSTRIES, INC .................................. 37
5,200 TRINITY INDUSTRIES, INC ............................... 148
1,100 * TRIUMPH GROUP, INC .................................... 27
7,700 TRW, INC .............................................. 400
37,229 UNITED TECHNOLOGIES CORP .............................. 2,420
800 WABASH NATIONAL CORP .................................. 12
5,101 WESTINGHOUSE AIR BRAKE CO ............................. 91
</TABLE>
28 See notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- ------ --------------
<S> <C> <C>
TRANSPORTATION EQUIPMENT--(Continued)
2,500 WINNEBAGO INDUSTRIES, INC ........................... $ 50
----------
27,414
----------
TRANSPORTATION SERVICES--0.05%
25 AIR EXPRESS INTERNATIONAL CORP ...................... 1
1,800 C.H. ROBINSON WORLDWIDE, INC ........................ 72
900 * EAGLE U.S.A. AIRFREIGHT, INC ........................ 39
2,400 EXPEDITORS INTERNATIONAL OF WASHINGTON .............. 105
5,000 GALILEO INTERNATIONAL, INC .......................... 150
5,200 GATX CORP ........................................... 176
10 * NAVIGANT INTERNATIONAL, INC ......................... 0
700 * U.S. EXPRESS ENTERPRISES, INC (CLASS A) ............. 5
----------
548
----------
TRUCKING AND WAREHOUSING--0.09%
2,700 * AMERICAN FREIGHTWAYS CORP ........................... 44
3,400 ARNOLD INDUSTRIES, INC .............................. 48
2,900 CNF TRANSPORTATION, INC ............................. 100
50 * CONSOLIDATED FREIGHTWAYS CORP ....................... 0
1,000 * COVENANT TRANSPORT, INC (CLASS A) ................... 17
800 * DISPATCH MANAGEMENT SERVICES CORP ................... 2
3,300 HUNT (J.B.) TRANSPORT SERVICES, INC ................. 46
2,000 * IRON MOUNTAIN, INC .................................. 79
1,800 * LANDSTAR SYSTEM, INC ................................ 77
1,500 * M.S. CARRIERS, INC .................................. 36
900 * PIERCE LEAHY CORP ................................... 39
2,200 ROADWAY EXPRESS, INC ................................ 48
975 * SWIFT TRANSPORTATION CO, INC ........................ 17
4,300 USFREIGHTWAYS CORP .................................. 206
4,950 WERNER ENTERPRISES, INC ............................. 70
3,800 * YELLOW CORP ......................................... 64
----------
893
----------
WATER TRANSPORTATION--0.04%
200 ALEXANDER & BALDWIN, INC ............................ 5
600 * AMERICAN CLASSIC VOYAGES CO ......................... 21
500 * KIRBY CORP .......................................... 10
950 * MARINE TRANSPORT CORP ............................... 2
400 OVERSEAS SHIPHOLDING GROUP, INC ..................... 6
9,200 TIDEWATER, INC ...................................... 331
400 * TRICO MARINE SERVICES, INC .......................... 3
----------
378
----------
WHOLESALE TRADE-DURABLE GOODS--0.19%
1,400 * ACTION PERFORMANCE COS, INC ......................... 16
4,500 * ANICOM, INC ......................................... 19
600 * ANIXTER INTERNATIONAL, INC .......................... 12
800 APPLIED INDUSTRIAL TECHNOLOGIES, INC ................ 13
5,100 * ARROW ELECTRONICS, INC .............................. 129
1,175 AVNET, INC .......................................... 71
1,000 * BOYDS COLLECTION LTD ................................ 7
1,700 BRIGGS & STRATTON CORP .............................. 91
50 * BRIGHTPOINT, INC .................................... 1
800 CASTLE (A.M.) & CO .................................. 9
1,600 * CELLSTAR CORP ....................................... 16
5,600 COMMERCIAL METALS CO ................................ 190
1,900 * FISHER SCIENTIFIC INTERNATIONAL, INC ................ 69
5,000 GENUINE PARTS CO .................................... 124
5,700 GRAINGER (W.W.), INC ................................ 273
800 * HA-LO INDUSTRIES, INC ............................... 6
3,500 * HANDLEMAN CO ........................................ 47
1,311 * HUTTIG BUILDING PRODUCTS, INC ....................... 6
11,800 IKON OFFICE SOLUTIONS, INC .......................... 80
3,500 * INGRAM MICRO, INC (CLASS A) ......................... 46
4,600 * LANIER WORLDWIDE, INC ............................... 18
1,000 LAWSON PRODUCTS, INC ................................ 23
14,100 * MERISEL, INC ........................................ 19
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE (000)
- -------------- --------------
<S> <C> <C>
1,000 * METAL MANAGEMENT, INC ............................... $ 4
800 * MICROAGE, INC ....................................... 3
1,600 * MSC INDUSTRIAL DIRECT CO (CLASS A) .................. 21
3,400 OWENS & MINOR, INC .................................. 30
2,250 * PATTERSON DENTAL CO ................................. 96
800 * PSS WORLD MEDICAL, INC .............................. 8
1,650 RELIANCE STEEL & ALUMINUM CO ........................ 39
2,100 * SAFEGUARD SCIENTIFICS, INC .......................... 340
3,300 * TECH DATA CORP ...................................... 90
800 * WESCO INTERNATIONAL, INC ............................ 7
----------
1,923
----------
WHOLESALE TRADE-NONDURABLE GOODS--0.57%
2,100 * AIRGAS, INC ......................................... 20
5,000 * AMERISOURCE HEALTH CORP (CLASS A) ................... 76
2,100 * BARNETT RESOURCES CORP .............................. 62
10,825 BERGEN BRUNSWIG CORP (CLASS A) ...................... 90
4,350 BINDLEY WESTERN INDUSTRIES, INC ..................... 66
2,100 * BOISE CASCADE OFFICE PRODUCTS CORP .................. 32
20,464 CARDINAL HEALTH, INC ................................ 980
1,600 * DAISYTEK INTERNATIONAL CORP ......................... 37
49,922 ENRON CORP .......................................... 2,215
33 HERBALIFE INTERNATIONAL, INC (CLASS A) .............. 0
2,566 HERBALIFE INTERNATIONAL, INC (CLASS B) .............. 34
500 HUNT CORP ........................................... 5
4,800 INTERNATIONAL MULTIFOODS CORP ....................... 64
200 * KENNETH COLE PRODUCTIONS, INC ....................... 9
21,097 MCKESSON HBOC, INC .................................. 476
4,500 * NU SKIN ENTERPRISES, INC (CLASS A) .................. 41
1,900 * PERFORMANCE FOOD GROUP CO ........................... 46
1,200 * PLAINS RESOURCES, INC ............................... 15
42 * PRIORITY HEALTHCARE CORP (CLASS A) .................. 1
650 * PRIORITY HEALTHCARE CORP (CLASS B) .................. 19
4,278 * SCHOOL SPECIALTY, INC ............................... 65
19,806 SUPERVALU, INC ...................................... 396
1,900 * SYNCOR INTERNATIONAL CORP ........................... 55
22,700 SYSCO CORP .......................................... 909
2,400 TERRA INDUSTRIES, INC ............................... 4
600 * U.S.A. FLORAL PRODUCTS, INC ......................... 1
4,500 * UNITED STATIONERS, INC .............................. 129
800 VALHI, INC .......................................... 8
----------
5,855
----------
TOTAL COMMON STOCK
(Cost $661,498) .................................... 1,028,625
----------
PRINCIPAL
- ------------
SHORT TERM INVESTMENT--0.39%
U.S. GOVERNMENT AGENCY--0.39%
$4,100,000 FEDERAL HOME LOAN MORTGAGE CORP (FHLMC)
5.550%, 03/16/00 .................................... 4,052
----------
TOTAL SHORT TERM INVESTMENT
(Cost $4,053) ...................................... 4,052
----------
TOTAL PORTFOLIO
(Cost $665,685) .................................... $1,032,816
==========
</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
December 31, 1999, the value of these securities amounted to $987 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>
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