GREAT LAKES FUND, INC.
Statement of Assets and Liabilities
June 30, 1996
(Unaudited)
Assets
Investments, at value (@ cost $748,545,442.84) $947,879,213
Cash 5,757
Dividends receivable 1,405,845
Interest receivable 60,667
Prepaid expenses 29,837
Deferred organization cost, net 26,897
Total Assets 949,408,216
Liabilities
AMPS dividends payable (note 4) 1,246,618
Accrued expenses 238,328
Notes payable (note 5) 318,000
Accrued interest expense 9,363
Total Liabilities 1,812,310
Net Assets $947,595,906
Net assets are represented by:
Series A Auction Market Preferred Stock, $.01 par value at liquidation
preference $100,000 per share, 1,000 shares authorized, issued and
outstanding 100,000,000
Series B Auction Market Preferred Stock, $.01 par value at liquidation
preference $100,000 per share, 1,000 shares authorized, issued and
outstanding 100,000,000
Series C Auction Market Preferred Stock, $.01 par value at liquidation
preference $100,000 per share, 1,000 shares authorized, issued and
outstanding 100,000,000
Series D Auction Market Preferred Stock, $.01 par value at liquidation
preference $100,000 per share, 500 shares authorized, issued and
outstanding 50,000,000
Series E Auction Market Preferred Stock, $.01 par value at liquidation
preference $100,000 per share, 500 shares authorized, issued and
outstanding 50,000,000
Common stock at par value, $.01 per share, 199,996,000 shares authorized,
37,508,445.64 shares issued and outs 375,084
Additional paid-in capital 347,886,977
Net unrealized appreciation of investments 199,333,845
Net Assets $947,595,906
Net asset value per common $14.60
See accompanying notes to the financial statements.
GREAT LAKES FUND, INC.
Statement of Operations
For the period from January 1, 1996 to June 30, 1996
and for the period May 1, 1995 to December 31, 1995
(Unaudited)
Investment income:
Dividend income $9,781,226
Interest income 245,060
Total investment income 10,026,286
Expenses:
Broker dealer fee 435,113
Legal fees 101,780
Rating agencies fees 73,960
Independent accountants 15,913
Auction agent fee 16,161
Custody / administration fees (note 2) 65,142
Directors fees and expenses 5,370
Interest expense 15,921
Insurance 6,883
Investment management fee (note 2) 45,749
Other expenses 787
Amortization of organizational costs 3,509
Total expenses 786,287
Net investment income 9,239,999
Net realized and unrealized gains on investments:
Net realized gain on investments:
Proceeds from sales $77,612,911
Cost of securities (74,183,125)
3,429,786
Unrealized appreciation of investments:
Beginning of period 122,961,827
End of period 199,333,845
Increase in net unrealized appreciation
of investments 76,372,018
Net increase in net assets
resulting from operations $89,041,803
See accompanying notes to the financial statements.
GREAT LAKES FUND, INC.
Statement of Changes in Net Assets
For the period from January 1, 1996 to June 30, 1996
and for the period May 1, 1995 to December 31, 1995
(Unaudited)
For the six For the period
months ended May 1, 1995 to
June 30, 1996 December 31,
(Unaudited) 1995
From operations:
Net investment income $9,239,999 $10,839,941
Net realized gain on investments 3,429,786 296,278
Net change in unrealized appreciation
on investment 76,372,018 122,961,827
Increase in net assets
resulting from operations 89,041,803 134,098,046
Dividends to stockholders from net investment income:
Auction market preferred stock (7,480,230) (8,874,439)
Common stock (1,759,769) (1,965,502)
(9,239,999) (10,839,941)
Dividends to stockholders from net realized gains
Auction market preferred stock 0 0
Common stock (3,411,195) (314,870)
(314,870)
Decrease in net assets resulting
from dividends to stockholders (12,651,194) (11,154,811)
Increase (decrease) from capital share transactions:
Return on capital (44,829,034) 0
Auction market preferred stock 50,000,000 350,000,000
Common stock 0 393,091,096
5,170,966 743,091,096
Total increase in net asset 81,561,575 866,034,331
Net assets:
Beginning of period 866,034,331 0
End of period $947,595,906 $866,034,331
See accompanying notes to the financial statements
GREAT LAKES FUND, INC.
Financial Highlights
For the period from January 1, 1996 to June 30, 1996
and for the period May 1, 1995 to December 31, 1995
(Unaudited)
For the six For the period
months ended May 1, 1995 to
June 30, 1996 December 31,
(Unaudited) 1995
For a share of common stock outstanding throughout the period:
Net asset value, beginning of period $13.77 $10.00
Net investment income 0.25 0.33
Net gains on investments
realized and unrealized 2.13 3.76
Total from investment operations 2.38 4.09
Less distributions from net investment income and net realized gains:
Common share equivalent of dividends paid
to AMPS holders (0.20) (0.27)
Dividends paid to common shareholders (0.14) (0.05)
Return on capital (1.21) 0.00
Total distributions (1.55) (0.32)
Net asset value, end of period $14.60 $13.77
Total investment return 17.26% 40.90%*
Net assets at end of period (000s) $547,596 $516,034
Ratio of expenses to average net assets applicable to common
shares 0.09% 0.10%
Ratio of net investment income to average net assets applicable
to common shares + 0.25% 0.23%
Portfolio turnover 0.84% 2.22%
+Net investment income is adjusted for distributions paid to AMPS holders.
*Total investment return for the period; not annualized.
See accompanying notes to financial statements.
GREAT LAKES FUND, INC.
Notes to the Financial Statements
June 30, 1996
(1) Organization and Significant Accounting Policies
The Great Lakes Fund, Inc. (the "Fund") is registered as a
diversified, closed-end management investment company under the
Investment Company Act of 1940, as amended. The Fund commenced
investment operations on May 1, 1995.
The Fund's objective is long-term capital appreciation with income as
a secondary objective. The Fund's investments consist primarily of
common stocks of large and medium capitalization U.S. companies.
In May 1995, the Fund sold $200 million of Auction Market Preferred
Stock ("AMPS") and purchased securities with an aggregate fair value
of $449,301,107 from a collective trust fund for employee benefit
plans in exchange for 24,930,110.7 shares of common stock and $200
million in cash.
The following is a summary of significant accounting policies
consistently followed by the Fund in preparation of its financial
statements.
(a) Security Valuation
Investments in securities traded on a national securities
exchange (or reported on the Nasdaq national market) are valued
at the last reported sales price on the primary exchange.
Temporary investments are valued at amortized cost which
approximates fair value.
(b) Security Transactions
Security transactions are accounted for on a trade date basis.
The cost of securities sold is determined using the identified
cost method. Dividend income is recorded on ex-dividend date.
(c) Federal Income Taxes
It is the Fund's policy to comply with the requirements of the
Internal Revenue Code applicable to regulated investment
companies and distribute its taxable income to shareholders.
Therefore, no provision for Federal income tax is required.
(d) Distribution of Income and Gains
The Fund distributes substantially all of its taxable income in
excess of the dividends paid to the preferred stockholders to the
common stockholder. Dividends to the common stockholder are
declared and paid at least annually. Net capital gains, if any,
are generally distributed annually.
(e) Reclassification Policy
It is the Fund's policy to reclassify certain amounts to
conform to the current year's presentation when necessary.
(f) Use of Estimates
Estimates and assumptions are required to be made regarding
assets, liabilities and changes in net assets resulting from
operations when financial statements are prepared. Changes in
the economic environment, financial markets and any other
parameters used in determining these estimates could cause
actual results to differ from these amounts.
(2) Related Party Transactions
A collective trust fund for employee benefit plans is the sole common
stockholder of the Fund. Certain officers and directors of the Fund
are affiliated with the common stockholder. No fees or expenses were
paid to the affiliated officers and directors.
During the six months ended June 30, 1996, and the year ended
December 31, 1995, dividends paid to the common stockholder were
$5,170,964 and $2,280,372, respectively.
During the six months ended June 30, 1996, the Fund made a return of
capital dividend to the common shareholders in the amount of
$44,829,034.
Comerica Bank serves as both custodian and administrator for the
Fund. An affiliate of Comerica Bank serves as investment advisor to
the Fund. The annual investment management fee is 0.01% of
average equity investments. The management fee is calculated and
accrued on a monthly basis.
(3) Investment Transactions
The aggregate cost of securities purchased and the aggregate proceeds
of securities sold, for the six months ended June 30, 1996 were
$7,624,366 and $27,612,911, respectively.
As of June 30, 1996 based on cost for Federal income tax purposes,
the aggregate gross unrealized appreciation and depreciation for all
securities were $208,744,922 and $9,411,077, respectively.
(4) Auction Market Preferred Stock
In June 1996, the Fund issued $50 million of Auction Market Preferred
Stock ("AMPS").
The Fund has outstanding at June 30, 1996, 1000 shares each of Series
A, Series B and Series C and 500 shares each of Series D and Series E
AMPS at a liquidation value of $100,000 per share. Dividends are
cumulative from the date of original issue and are paid every 49 days at
a rate set through a Dutch Auction. The AMPS rates in effect on
June 30, 1996 were 4.1%, 4.05%, 4.05%, 4.03% and 4.175% for Series A,
Series B, Series C, Series D and Series E, respectively.
Each series of AMPS is redeemable at the option of the Fund in whole,
but not in part, at a price of $100,000 per share plus accumulated and
unpaid dividends. The Fund is subject to certain asset coverage tests,
and the AMPS are subject to mandatory redemption if the tests are not
met.
In addition, the AMPS are subject to mandatory redemption if the Fund
ceases to qualify as a regulated investment company or if Merrill Lynch
Pierce, Fenner & Smith Incorporated ceases to be the broker dealer.
The liquidation value under mandatory redemption of the AMPS is $100,000
per share plus accumulated and unpaid dividends.
(5) Notes Payable
As of June 30, 1996, the Fund had $318,000 of principal notes
outstanding to investors. The notes due on May 8, 2020, bear
interest at a floating rate. The interest rate, which resets
annually, is set at the one-year U.S. Treasury bill rate plus 3.50%.
As of June 30, 1996, the Fund was paying interest at 9% per annum.
GREAT LAKES FUND
Portfolio of Investments
June 30, 1996
No. of Market
Shares Value
Common Stock
BUILDING AND CONSTRUCTION 1.38%
BUILDING MATERIALS
18,200 CHAMPION INTERNATIONAL CORP 759,850
16,700 GEORGIA PACIFIC CORP 1,185,700
73,000 HOME DEPOT 3,942,000
14,600 LOUISIANA PACIFIC CORP 323,025
24,000 MASCO CORP 726,000
13,400 OWENS CORNING 576,200
CONSTRUCTION EQUIPMENT
7,400 GIDDINGS & LEWIS 120,250
PAINT AND FLAT GLASS
36,500 PPG INDUSTRIES INC 1,779,375
17,800 SHERWIN WILLIAMS CO 827,700
INDUSTRIAL CHEMICALS
8,100 GREAT LAKES CHEMICAL CORP 504,225
12,200 ROHM & HAAS CO 765,550
MISCELLANEOUS
17,600 FLUOR CORP 1,150,600
7,800 FOSTER WHEELER CORP 350,025
7,400 KAUFMAN & BROAD HOME CORP 107,300
TOTAL BUILDING AND CONSTRUCTION $13,117,800
CHEMICALS AND DRUGS 13.27%
CHEMICALS
19,900 AIR PRODUCTS & CHEMICALS INC 1,149,225
56,000 AMGEN INC 3,024,000
23,400 BOSTON SCIENTIFIC CORP 1,053,000
42,600 DOW CHEMICAL CO 3,237,600
124,700 DUPONT DENEMOURS & CO 9,866,888
15,900 EASTMAN CHEMICAL CO 967,913
39,950 ENGLEHARD CORP 918,850
7,200 FMC CORP-NEW 469,800
17,400 GRACE WR & CO 1,233,225
23,800 HERCULES INC 1,314,950
115,500 MONSANTO CO 3,753,750
31,100 MORTON INTERNATIONAL 1,158,475
13,700 NALCO CHEM CO 431,550
27,700 PRAXIAIR INC 1,170,325
11,700 SIGMA-ALDRICH CORP 625,950
28,000 UNION CARBIDE CORP 1,113,000
DRUGS
170,900 ABBOT LABS 7,434,150
12,100 ALZA CORP CLASS A 331,238
132,200 AMERICAN HOME PRODUCTS 7,948,525
101,000 BRISTOL MYERS SQUIBB CO 9,090,000
281,200 JOHNSON & JOHNSON 13,919,400
113,300 LILLY ELI & CO 7,364,500
230,200 MERCK & CO., INC 14,876,675
46,520 PHARMACIA & UPJOHN INC 2,064,325
120,100 PFIZER INC 8,572,138
68,700 SCHERING PLOUGH 4,310,925
43,600 WALGREEN CO 1,460,600
COSMETICS
5,800 ALBERTO CULVER CO CLASS B 268,975
27,200 AVON PRODUCTS INC 1,227,400
20,400 INTL FLAVORS & FRAGRANCES 971,550
HEALTH PRODUCTS/CARE
9,700 ALLERGAN INC 380,725
10,600 BARD CR INC 360,400
12,400 BAUSCH & LOMB 527,000
56,400 BAXTER INTL INC. 2,664,900
12,800 BECTON DICKINSON & CO 1,027,200
23,100 BEVERLY ENTERPRISES INC 277,200
113,200 COLUMBIA/HCA HEALTHCARE 6,042,050
9,400 COMMUNITY PSYCHIATRIC CENTERS 89,300
15,200 MALLINCKRODT GROUP INC 590,900
42,300 TENET HEALTHCARE CORP 904,162
13,800 UNITED HEALTHCARE CORP 696,900
11,400 U S HEALTH CARE INC 627,000
10,800 U S SURGICAL 334,800
TOTAL CHEMICALS AND DRUGS 125,851,439
CONSUMER PRODUCTS 14.40%
CONFECTIONS AND BEVERAGES
45,000 ANHEUSER-BUSCH COS 3,375,000
12,800 BROWN FORMAN INC CLASS B 512,000
480,200 COCA COLA CO 23,469,775
24,900 NEWELL CO. 762,562
330,500 PEPSICO INC 11,691,438
900 SEAGRAM LTD 30,262
CONTAINERS
9,800 AVERY DENNISON CORP 537,775
5,700 BALL CORP 163,875
12,900 CROWN CORK & SEAL INC 580,500
12,700 STONE CONTAINER 174,625
9,600 TEMPLE INLAND INC 448,800
PACKAGED FOOD
97,230 ARCHER DANIELS MIDLAND CO 1,859,524
30,600 CPC INTL INC 2,203,200
49,000 CAMPBELL SOUP CO 3,454,500
46,000 CONAGRA 2,087,250
7,300 COORS ADOLPH CO CL B 130,487
30,100 GENERAL MILLS INC 1,640,450
79,000 HEINZ H J CO 2,399,625
16,800 HERSHEY FOODS CORP 1,232,700
45,800 KELLOGG CO 3,354,850
12,500 PIONEER HI BRED INTL INC 660,938
27,900 QUAKER OATS CO 952,087
18,400 RALSTON-PURINA GROUP 1,179,900
98,300 SARA LEE CORP 3,182,463
38,100 SYSCO CORP 1,304,925
21,200 WRIGLEY WM JR CO 1,070,600
PAPER
11,200 AMERICAN GREETINGS CL A 306,600
8,200 BEMIS CO 287,000
4,000 BOISE CASCADE CORP 146,500
59,412 INTERNATIONAL PAPER CO 2,190,817
17,300 JAMES RIVER CORP 456,288
57,788 KIMBERLY CLARK CORP 4,464,123
8,700 MEAD CORP 451,312
5,600 POTLATCH CORP 219,100
12,100 UNION CAMP CORP 589,875
30,300 WEYERHAEUSER CO 1,287,750
PRINTING AND PUBLISHING
5,700 JOSTENS INC 112,575
6,700 KNIGHT-RIDDER INC 485,750
19,800 MCGRAW-HILL CO INC 905,850
4,400 MEREDITH CORP 183,700
15,400 NEW YORK TIMES CO CL A 502,425
65,800 TIME WARNER INC 2,582,650
17,500 TIMES MIRROR CO CL A NEW 761,250
13,400 TRIBUNE CO 973,175
19,650 WESTVACO CORP 587,044
RECREATIONAL EQUIPMENT
12,500 BALLY ENTRTAINMENT CORP 343,750
20,300 BRUNSWICK CORP 406,000
12,800 HARRAH'S ENTERTAINMENT 361,600
14,100 HASBRO INC 504,075
50,125 MATTEL INC 1,434,828
4,200 OUTBOARD MARINE CORP 76,125
SOAPS
9,000 CLOROX CO 797,625
OTHER CONSUMER PRODUCTS
31,300 AMERICAN BRANDS INC 1,420,238
30,600 COLGATE PALMOLIVE CO 2,593,350
15,700 DIAL CORP ARIZONA 449,412
83,700 GILLETTE CO 5,220,788
139,600 PROCTER & GAMBLE CO 12,651,250
22,300 RUBBERMAID INC 607,675
3,800 SPRINGS INDUSTRIES INC 191,900
12,600 TUPPERWARE CORP 532,350
22,700 UST INC 777,475
17,700 WHITMAN CORP 427,012
PHOTOGRAPHY
73,900 EASTMAN KODAK CO 5,745,725
7,700 POLAROID CORP 351,313
HOUSEHOLD FURN/APPLIANCES
6,700 ARMSTRONG WORLD IND 386,087
21,200 MAYTAG CO 442,550
RETAIL
8,400 TJX COS INC (NEW) 283,500
APPAREL
3,000 BROWN GROUP INC 52,125
38,500 FRUIT OF THE LOOM CLASS A 981,750
37,525 LIMITED INC 806,787
9,800 LIZ CLAIBORNE INC 339,325
28,200 NIKE INC CLASS B 2,897,550
8,300 STRIDE RITE CORP 68,475
10,200 V F CORP 608,175
BROADCASTING
125,642 DISNEY WALT CO 7,899,741
7,300 KING WORLD INC 265,538
MISCELLANEOUS
25,100 PALL CORP 605,537
TOTAL CONSUMER PRODUCTS 136,483,526
DURABLE GOODS 23.04%
AEROSPACE-AIRCRAFT
68,200 BOEING CO 5,941,925
11,500 GENERAL DYNAMICS CORP 713,000
34,500 LOCKHEED MARTIN CORP 2,898,000
48,200 MCDONNELL DOUGLAS CORP 2,337,700
10,900 NORTHROP GRUMMAN CORP 742,563
45,200 RAYTHEON CO 2,333,450
49,600 ROCKWELL INTERNATIONAL 2,839,600
14,800 TEXTRON INC 1,182,150
25,800 UNITED TECHNOLOGIES CORP 2,967,000
AGRICULTURAL MACHINERY
40,500 CATERPILLAR INC 2,743,875
50,500 DEERE & CO 2,020,000
AUTOMOBILE AND PARTS
76,100 CHRYSLER CORP 4,718,200
9,700 COOPER TIRE & RUBBER 215,825
7,200 CUMMINS ENGINE INC 290,700
20,100 DANA CORP 623,100
15,600 EATON CORP 914,550
10,800 ECHLIN INC 409,050
202,300 FORD MOTOR CO 6,549,462
137,400 GENERAL MOTOR CO 7,196,325
21,600 GENUINE PARTS CO 988,200
16,400 NAVISTAR INTL CORP (NEW) 161,950
14,000 TRW INC 1,258,250
8,300 VARITY CORP. (NEW) 399,438
ELECTRICAL
52,504 AMP INC 2,106,723
48,000 EMERSON ELECTRIC CO 4,338,000
15,000 GENERAL INSTRUMENTS CORP 433,125
24,200 HONEYWELL INC 1,318,900
6,400 RAYCHEM CORP 460,000
76,900 WESTINGHOUSE ELECTRIC CORP 1,441,875
ELECTRONICS
19,300 ADVANCED MICRO-DEVICES 262,962
39,900 APPLIED MATERIALS INC 1,216,950
107,300 CISCO SYSTEMS INC 6,075,863
7,000 E G & G INC 149,625
323,000 GENERAL ELECTRIC CO 27,939,500
9,600 GENERAL SIGNAL CORP 363,600
114,400 HEWLETT PACKARD CO 11,397,100
209,800 INTEL CORP 15,407,187
700 LSI LOGIC CORP 18,200
46,800 MICRON TECH 1,210,950
34,800 NATIONAL SEMICONDUCTOR 539,400
9,800 NATIONAL SERVICE INDUSTRIES 383,425
112,950 ORACLE CORP 4,454,466
9,200 PERKIN ELMER CORP 443,900
9,200 TEKTRONIX INC 411,700
8,600 TELEDYNE INC 310,675
46,200 TEXAS INSTRUMENTS 2,304,225
7,000 THOMAS & BETTS CORP 262,500
INDUSTRIAL MACHINERY
5,400 BRIGGS & STRATTON CORP 222,075
9,300 CINCINNATI MILACRON INC 223,200
17,200 COOPER INDUSTRIES INC 713,800
21,600 DOVER CORP 996,300
4,800 HARNISCHFEGER INDUS INC 159,600
23,400 INGERSOLL RAND CO 1,023,750
1,700 NACCO INDUSTRIES INC CLASS A 94,137
7,000 TRINOVA CORP 233,625
OFFICE EQUIPMENT AND SUPPLIES
21,200 ALCO STANDARD CORP 959,300
17,700 DELUXE CORP 628,350
5,500 HARLAND JOHN H CO 135,438
27,900 PITNEY BOWES INC 1,332,225
67,200 XEROX CORP. 3,595,200
RUBBER
10,900 GOODRICH B F CO 407,387
29,500 GOODYEAR TIRE & RUBBER 1,423,375
0 PREMARK INTERNATL INC 0
OTHER DURABLE GOODS
35,000 CORNING INCORPORATED 1,343,125
7,200 CRANE CO 295,200
23,300 ILLINOIS TOOL WORKS 1,575,663
8,600 MILLIPORE CORP 360,125
81,400 MINNESOTA MINING & MANUFACTURING 5,616,600
16,200 STANLEY WORKS 481,950
COMPUTERS AND SOFTWARE
26,900 APPLE COMPUTER INC 564,900
91,200 CUC INTERNATIONAL 3,237,600
35,700 CABLETRON SYSTEMS INC 2,449,912
9,200 CERIDIAN CORP 464,600
57,300 COMPAQ COMPUTER CORP 2,822,025
50,850 COMPUTER ASSOC INTL INC 3,623,063
8,600 DATA GENERAL CORP 111,800
40,500 DIGITAL EQUIPMENT CORP 1,822,500
6,600 INTERGRAPH CORP 80,025
137,300 IBM COMMON 13,592,700
136,100 MICROSOFT CORP 16,349,012
84,900 NOVELL INC 1,177,988
39,300 SILICON GRAPHICS 943,200
43,800 SUN MICROSYSTEMS 2,578,725
12,000 TANDEM COMPUTERS INC 148,500
36,500 UNISYS CORP 260,062
HOUSEHOLD FURN/APPLIANCES
13,000 WHIRLPOOL CORP 645,125
TELECOMMUNICATIONS
84,100 AIRTOUCH COMMUNICATIONS 2,375,825
14,850 ANDREW CORP 798,188
26,900 DSC COMMUNICATIONS 810,362
10,000 WORLDCOM INC 553,750
MISCELLANEOUS
56,300 ALLIED-SIGNAL INC 3,216,138
17,300 BLACK & DECKER CORP 668,212
26,300 ITT INDUSTRIES INC 660,788
8,900 JOHNSON CTLS INC 618,550
18,300 PARKER HANNIFIN CORP 775,462
7,000 SNAP ON TOOLS CORP 331,625
30,400 TYCO LABS INC 1,238,800
TOTAL DURABLE GOODS 218,435,026
FINANCIAL 13.62%
BANKS
86,400 BANC ONE CORP 2,937,600
26,900 BANK OF BOSTON CORP 1,331,550
35,100 BANK NEW YORK INC 1,798,875
71,900 BANKAMERICA CORP 5,446,425
15,600 BANKERS TR NY CORP 1,152,450
18,900 BARNETT BANKS INC 1,152,900
27,200 BOATMEN'S BANCSHARES 1,091,400
96,720 CHASE MANHATTAN CORP NEW 6,830,850
88,000 CITICORP 7,271,000
39,950 CORESTATES FINANCIAL CORP 1,538,075
35,100 DEAN WITTER DISCOVER & CO 2,009,475
59,514 FIRST CHICAGO NBD CORP 2,328,485
53,625 FIRST UNION CORP 3,264,422
51,257 FLEET FINANCIAL GROUP INC 2,229,679
36,900 KEYCORP NEW 1,429,875
45,750 MBNA CORP 1,303,875
19,900 MELLON BANK CORP 1,134,300
35,300 MORGAN J P & CO 2,987,262
35,600 NATIONAL CITY CORP 1,250,450
45,800 NATIONSBANK CORP 3,784,225
71,400 NORWEST CORP 2,490,075
43,000 PNC FINANCIAL 1,279,250
28,800 REPUBLIC NEW YORK CORP 1,792,800
41,400 SUNTRUST BANKS INC 1,531,800
19,800 U S BANCORP ORE 715,275
31,300 WACHOVIA CORP 1,369,375
17,633 WELLS FARGO & CO 4,212,083
FINANCE COMPANIES
90,300 AMERICAN EXPRESS CO 4,029,638
10,700 BENEFICIAL CORP 600,538
39,400 FEDERAL HOME LAND MTG CORP 3,368,700
20,400 HOUSEHOLD INTL CORP 1,550,400
HOLDING COMPANY
4,100 EASTERN ENTERPRISES 136,325
FIRE AND CASUALTY INSURANCE
32,400 CHUBB CORP 1,615,950
13,800 GENERAL RE CORP 2,101,050
24,400 SAFECO CORP 863,150
INSURANCE
21,100 AETNA LIFE & CAS CO 1,508,650
8,500 ALEXANDER & ALEXANDER SVC 167,875
103,669 ALLSTATE CORPORATION 4,729,898
92,050 AMERICAN INTL GROUP 9,078,431
12,300 CIGNA CORP 1,449,863
26,300 ITT HARTFORD 1,400,475
57,100 LOEWS CORP 4,503,763
11,600 MARSH & MCLENNAN CO. 1,119,400
14,000 ST PAUL COS INC 749,000
11,100 TORCHMARK CORP 485,625
12,400 TRANSAMERICA CORP 1,013,700
101,250 TRAVELERS GROUP INC 4,619,531
11,600 UNUM CORPORATIOM 722,100
22,500 USF & G CORP 368,438
LIFE INSURANCE
39,000 AMERICAN GENERAL CORP 1,418,625
12,450 JEFFERSON PILOT CORP 642,731
17,000 LINCOLN NATL CORP IND 786,250
14,100 PROVIDIAN CORP 604,537
6,450 USLIFE CORP 212,044
REAL ESTATE
232,100 FEDERAL NATL MTGE ASSN 7,775,350
SAVINGS & LOANS
28,500 AHMANSON H F & CO 769,500
14,100 GOLDEN WEST FINANCIAL CORP 789,600
32,300 GREAT WESTERN FINANCIAL 771,162
BROKERAGE
38,200 MERRILL LYNCH & CO 2,487,775
21,700 SALOMON INC 954,800
TOTAL FINANCIAL 129,058,705
METALS AND MINING 0.75%
ALUMINUM
36,000 ALUMINUM CO AMER 2,065,500
12,500 REYNOLDS METALS CO 651,562
MINING
21,100 HOMESTAKE MINING CO 361,338
STEEL
20,200 ARMCO, INC. 101,000
13,600 BETHLEHEM STEEL CORP 161,500
8,700 INLAND STEEL INDUSTRIES INC 170,737
11,300 NUCOR CORP 572,063
7,400 TIMKEN CO 286,750
10,400 USX-US STEEL GROUP 295,100
14,900 WORTHINGTON INDUSTRIES INC 311,037
OTHER METALS
8,100 ASARCO INC 223,763
15,300 NEWMONT MINING CORP 755,437
12,000 PHELPS DODGE CORP 748,500
MINERALS
16,200 CYPRUS AMAX MINERALS CO 366,525
TOTAL METALS AND MINING $7,070,812
COLLECTIBLES & PRECIOUS MATERIAL 0.05%
GOLD-DIAMONDS-GEMS
15,000 FREEPORT-MCMORAN COPPER-B 478,125
TOTAL COLLECTIBLES & PRECIOUS MATE $478,125
OIL-ENERGY 7.77%
OIL & GAS PRODUCERS
18,500 AMERADA HESS CORP 992,062
101,500 AMOCO CORP 7,346,063
21,800 COASTAL CORP 910,150
16,400 ENSERCH CORP 356,700
5,500 HELMERICH & PAYNE INC. 201,437
69,000 OCCIDENTAL PETROLEUM 1,707,750
18,800 ROWAN COS INC 277,300
16,700 SANTA FE ENERGY RES INC 198,313
30,200 TENNECO INC 1,543,975
70,000 USX-MARTHON GROUP COM NEW 1,408,750
NATURAL RESOURCES
36,500 DRESSER INDUSTRIES INC 1,076,750
10,400 KERR MCGEE CORP 633,100
6,300 LOUISIANA LD & EXPL CO 363,037
25,300 WILLIAMS COS INC-DEL 1,252,350
OIL EQUIPMENT, WELLS & SVCS
13,200 ASHLAND, INC 523,050
25,100 BAKER HUGHES INC 825,163
23,800 HALLIBURTON CO 1,320,900
11,000 WESTERN ATLAS INC 640,750
OIL - DOMESTIC
21,600 BURLINGTON RESOURCES INC 928,800
9,500 PENNZOIL CO 439,375
46,700 PHILLIPS PETE CO 1,955,562
45,500 UNOCAL CORP 1,535,625
OIL - INTERNATIONAL
29,900 ATLANTIC RICHFIELD CO 3,543,150
122,300 CHEVRON CORP 7,215,700
255,000 EXXON CORP. 22,153,125
80,600 MOBIL CORP 9,037,275
26,000 ORYX ENERGY COMPANY 422,500
13,500 SUN CO INC 410,063
52,800 TEXACO INC 4,428,600
TOTAL OIL-ENERGY $73,647,375
RETAIL 3.63%
DEPARTMENT STORES
10,300 DAYTON HUDSON CORP 1,062,187
18,500 DILLARD DEPT STORES 675,250
12,600 HARCOURT GENERAL INC 630,000
93,400 K MART 1,155,825
35,700 MAY DEPT STORES CO 1,561,875
17,500 MELVILLE CORP 708,750
6,700 MERCANTILE STORES 392,788
36,200 PENNEY JC INC 1,900,500
76,200 SEARS ROEBUCK & CO 3,705,225
356,700 WAL MART STORES INC 9,051,262
29,000 WINN-DIXIE STORES INC 1,025,875
19,000 WOOLWORTH CORP 427,500
GROCERY
44,700 ALBERTSON'S INC 1,849,463
27,200 AMERICAN STORES CO 1,122,000
7,800 FLEMING COS 112,125
13,800 GIANT FOOD INC 495,075
8,800 GREAT ATLANTIC & PACIFIC TEA 289,300
16,900 KROGER CO 667,550
10,000 SUPERVALUE INC 315,000
OTHER RETAIL
14,000 CIRCUIT CITY STORES 505,750
3,900 LONGS DRUG STORES CORP 174,037
17,800 LOWES COS INC 643,025
6,200 PEP BOYS-MAN, MO, JACK 210,800
44,700 PRICE/COSTCO INC 966,638
14,600 RITE AID CORP 434,350
6,100 TANDY CORP 288,987
49,900 TOYS R US 1,422,150
SPORTING GOODS
9,200 REEBOK INTL LTD 309,350
6,700 RUSSELL CORP 185,088
APPAREL
17,600 CHARMING SHOPPES INC 124,300
41,800 GAP INC 1,342,825
13,700 NORDSTROM INC 609,650
TOTAL RETAIL $34,364,500
UTILITIES 10.62%
ELECTRIC
37,000 AMERICAN ELECTRIC POWER INC 1,577,125
27,400 BALTIMORE GAS & ELECTRIC 777,475
21,500 CAROLINA POWER & LIGHT COMPANY 817,000
35,300 CENTRAL & SOUTH WEST CORP 1,023,700
21,800 CINERGY CORP 697,600
36,700 CON. EDISON NY INC 1,073,475
33,300 DOMINION RES INC-VA 1,332,000
40,800 DUKE POWER CO 2,091,000
95,400 EDISON INTERNATIONAL 1,681,425
39,900 ENTERGY CORP NEW 1,132,162
35,600 FPL GROUP INC 1,637,600
20,600 GENERAL PUB UTILS CORP 726,150
51,400 HOUSTON INDS INC 1,265,725
27,900 NIAGARA MOHAWK POWER 216,225
13,000 NORTHERN STS POWER CO 641,875
28,600 OHIO EDISON CO 625,625
44,200 PECO ENERGY 1,149,200
89,300 PACIFIC GAS & ELECTRIC 2,076,225
52,400 PACIFICORP 1,165,900
39,900 PUBLIC SERVICE ENTERPRISE GROUP 1,092,263
127,200 SBC COMMUNICATIONS INC 6,264,600
133,900 SOUTHERN CO 3,297,287
44,100 UNICOM CORP 1,229,288
15,400 UNION ELECTRIC CO 619,850
GAS
10,100 COLUMBIA GAS SYS INC 526,462
14,400 CONSOLIDATED NATL GAS 752,400
49,500 ENRON CORP 2,023,313
8,700 NICOR INC 246,862
22,900 NORAM ENERGY CORP 249,038
5,100 ONEOK INC 127,500
14,900 PACIFIC ENTERPRISES 441,412
31,100 PANENERGY CORPORATION 1,022,413
6,700 PEOPLES ENERGY CORP 224,450
16,600 SONAT INC 747,000
43,900 TEXAS UTILITIES CO 1,876,725
TELEPHONE
279,100 A T & T 17,304,200
22,300 ALLTEL CORP 685,725
84,500 BELL ATLANTIC CORP 5,386,875
193,800 BELLSOUTH CORP 8,212,275
179,500 GTE CORP 8,032,625
75,300 NYNEX CORP 3,576,750
80,400 PACIFIC TELESIS GROUP 2,713,500
76,400 SPRINT CORP 3,208,800
89,300 U S WEST INC 2,846,437
89,300 U S WEST MEDIA GROUP 1,629,725
WASTE DISPOSAL
44,800 BROWNING FERRIS IND 1,299,200
42,100 LAIDLAW TRANS CL B NVTG 426,263
87,400 WMX TECHNOLOGIES INC 2,862,350
TOTAL UTILITES 100,633,075
MISCELLANEOUS 9.90%
BROADCAST/COMMUNICATIONS
44,150 COMCAST CORP CL A SPL 816,775
25,500 GANNETT CO., INC 1,804,125
134,500 MCI COMMUNICATIONS 3,446,562
114,600 MOTOROLA INC 7,205,475
111,400 TELE COMM. INC CL A 2,019,125
35,900 TELLABS INC 2,400,813
72,200 VIACOM INC CL B NON VTG 2,806,775
BUSINESS SERVICES
24,100 AMDAHL CORP 259,075
3,800 AUTODESK INC 113,525
57,500 AUTOMATIC DATA PROCESSING 2,220,937
18,200 BLOCK H&R INC 593,775
10,100 COMPUTER SCIENCES CORP 754,975
25,700 DONNELLEY RR & SONS 896,288
14,400 DOW JONES & CO 601,200
22,600 DUN & BRADSTREET 1,412,500
10,600 E M C CORP 197,425
10,800 ECOLAB INC 356,400
41,000 FIRST DATA CORP 3,264,625
8,700 GRAINGER W W INC 674,250
15,800 INTERPUBLIC GROUP COS 740,625
9,400 OGDEN CORP 170,375
9,700 SAFETY KLEEN CORP 169,750
13,900 SCIENTIFIC-ATLANTA 215,450
21,300 SERVICE CORP INTL 1,224,750
1,000 THREE COM CORP 45,750
FOOD SERVICE
30,100 DARDEN RESTAURANTS INC 323,575
2,800 LUBYS CAFETERIAS INC 65,800
129,400 MCDONALDS CORP 6,049,450
162,200 PHILLIP MORRIS CO INC 16,868,800
10,500 RYANS FAMILY STEAK HOUSE 97,125
8,800 SHONEY'S INC 95,700
19,800 WENDYS INTL INC 368,775
FOREIGN
800 ROYAL DUTCH PETE CO NEW 123,000
HOTEL & MOTEL
9,300 HILTON HOTELS CORP 1,046,250
26,300 ITT CORP NEW 1,742,375
23,500 MARRIOTT INTERNATIONAL CORP 1,263,125
HOUSING
3,900 PULTE CORP 104,325
MED SERV & SUPPLIES
23,600 BIOMET INC 339,250
10,800 MANOR CARE INC 425,250
51,700 MEDTRONIC INC 2,895,200
12,900 ST. JUDE MEDICAL INC. 432,150
4,900 SHARED MEDICAL SYS CORP 314,825
REAL ESTATE
4,400 CENTEX CORP 136,950
TRANSPORTATION
22,000 AMR CORP 2,002,000
30,903 BURLINGTON NORTHERN SANTA FE 2,499,280
40,200 CSX CORP 1,939,650
7,300 CALIBER SYSTEMS INC 248,200
13,300 CONRAIL INC 882,788
3,900 CONSOLIDATED FREIGHTWAYS 82,388
9,900 DELTA AIRLINES INC 821,700
10,200 FEDERAL EXPRESS CORP 836,400
7,900 FLEETWOOD ENTERPRISES 244,900
23,500 NORFOLK SOUTHERN CORP 1,991,625
8,300 PACCAR INC 406,700
13,700 RYDER SYSTEMS INC 385,312
25,900 SANTA FE PACIFIC GOLD 365,838
31,300 SOUTHWEST AIRLINES CO 911,612
35,600 UNION PACIFIC CORP 2,487,550
12,800 U S AIR GROUP 230,400
6,500 YELLOW CORPORATION 86,125
MISCELLANEOUS
53,100 WARNER-LAMBERT 2,920,500
TELECOMMUNICATIONS
117,600 AMERITECH CORP NEW 6,982,500
6,800 HARRIS CORP-DEL 414,800
TOTAL MISCELLANEOUS $93,843,518
UTILITIES 0.09%
ELECTRIC
28,200 DTE ENERGY COMPANY 870,675
TOTAL UTILITIES $870,675
TOTAL COMMON STOCKS $933,854,576
OTHER
PREFERRED STOCKS 0.00%
NON-CONVERTIBLES
305 TELEDYNE PFD SER E 4,689
$4,689
CASH EQUIVALENTS
STIFS/MONEY MARKETS 1.48%
14,019,948 AMERICAN AADVANTAGE MM 14,019,948
$14,019,948
TOTAL OTHER $14,024,637
TOTAL INVESTMENTS -
(cost $748,545,442.84) 100.00% 947,879,213
