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Previous: PILGRIM AMERICA MASTERS SERIES INC, N-30D, 1997-03-04 |
Next: GREAT LAKES FUND INC /MI, NSAR-B, 1997-03-04 |
GREAT LAKES FUND, INC.
Financial Statements
December 31, 1996
(With Independent Auditors' Report Thereon)
Independent Auditors' Report
To the Board of Directors and Stockholder
Great Lakes Fund, Inc.:
We have audited the accompanying statement of assets and liabilities of Great
Lakes Fund, Inc., including the portfolio of investments, as of December 31,
1996 and the related statement of operations for the year then ended and the
statement of changes in net assets and the financial highlights for the year
then ended and for the period from May 1, 1995 (commencement of operations) to
December 31, 1995. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights 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, 1996, by correspondence with the
custodian and brokers and other appropriate audit procedures. 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 and financial highlights referred
to above present fairly, in all material respects, the financial position of
Great Lakes Fund, Inc. as of December 31, 1996, the results of its operations
for the year then ended and the changes in net assets and its financial
highlights for the year then ended and for the period from May 1, 1995
(commencement of operations) to December 31, 1995, presented in conformity
with generally accepted accounting principles.
KPMG Peat Marwick LLP
February 14, 1997
GREAT LAKES FUND, INC.
Statement of Assets and Liabilities
December 31, 1996
Assets
Investments, at value (cost $750,637,639) $ 1,054,052,593
Cash 3
Dividends receivable 1,864,454
Interest receivable 11,194
Prepaid expenses 27,101
Deferred organization costs, net 23,389
Total assets 1,055,978,734
Liabilities
Common stock dividend payable 6,530,310
Payable for securities purchased 114,018
Accrued expenses 2,443,733
Notes payable (note 5) 318,000
Accrued interest expense 8,427
Total liabilities 9,414,488
Net assets $ 1,046,564,246
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
outstanding 375,084
Additional paid-in capital 349,246,322
Accumulated overdistribution of net realized gains (3,836,375)
Accumulated overdistribution of net investment income (2,693,935)
Net unrealized appreciation of investments 303,414,954
Net assets $ 1,046,564,246
Net asset value per common shares
outstanding $ 17.24
See accompanying notes to the financial statements.
GREAT LAKES FUND, INC.
Statement of Operations
For the year ended December 31, 1996
Investment income:
Dividend income $ 20,453,756
Interest income 498,146
Total investment income 20,951,902
Expenses:
Broker dealer fee 994,502
Legal fees 48,415
Rating agencies fees 113,366
Independent accountants 32,167
Auction agent fee 48,126
Administration fee (note 2) 2,384,080
Directors fees and expenses 11,286
Interest expense 29,294
Insurance 14,189
Investment management fee (note 2) 95,511
Other expenses 997
Amortization of organization costs 7,017
Total expenses 3,778,950
Net investment income 17,172,952
Net realized and unrealized gains on investments:
Net realized gain on investments:
Proceeds from sales $ 19,304,839
Cost of securities sold (15,391,676)
3,913,163
Unrealized appreciation of investments:
Beginning of year 122,961,827
End of year 303,414,954
Increase in net unrealized appreciation of investments 180,453,127
Net increase in net assets resulting
from operations $ 201,539,242
See accompanying notes to the financial statements.
GREAT LAKES FUND, INC.
Statements of Changes in Net Assets
For the year ended December 31, 1996
and for the period May 1, 1995 (commencement of operations)
to December 31, 1995
1996 1995
From operations:
Net investment income $ 17,172,952 10,839,941
Net realized gain on investments 3,913,163 296,278
Net change in unrealized appreciation
on investments 180,453,127 122,961,827
Increase in net assets resulting
from operations 201,539,242 134,098,046
Dividends to stockholders from net
investment income:
Auction market preferred stock (14,479,017) (8,874,439)
Common stock (2,693,935) (1,965,502)
(17,172,952) (10,839,941)
Dividends to stockholders from net realized gains:
Auction market preferred stock 0 0
Common stock (3,836,375) (314,870)
(3,836,375) (314,870)
Decrease in net assets resulting from
dividends to stockholders (21,009,327) (11,154,811)
Increase (decrease) from capital share transactions:
Issuance of auction market preferred stock 50,000,000 350,000,000
Issuance of common stock 0 393,091,096
Return of additional paid-in capital to
common stockholder (50,000,000) 0
0 743,091,096
Total increase in net assets 180,529,915 866,034,331
Net assets:
Beginning of period 866,034,331 0
End of period $ 1,046,564,246 866,034,331
See accompanying notes to the financial statements.
GREAT LAKES FUND, INC.
Financial Highlights
For the year ended December 31, 1996
and for the period May 1, 1995 (commencement of operations)
to December 31, 1995
1996 1995***
For a share of common stock outstanding
throughout the period:
Net asset value, beginning of period $ 13.77 $ 10.00
Net investment income 0.46 0.33
Net realized and unrealized gains
on investments 4.91 3.76
Total income from
investment operations 5.37 4.09
Less distributions from net investment income
and net realized gains:
Common stock equivalent of dividends paid
to AMPS holders (0.40) (0.27)
Dividends paid to common stockholder (0.17) (0.05)
Less distributions from paid-in capital:
Return of capital paid to common
stockholder (1.33) 0.00
Total distributions (1.90) (0.32)
Net asset value, end of period $ 17.24 $ 13.77
Total investment return 38.98% 40.90%*
Net assets at end of period (000s) $ 1,046,564 $ 866,034
Ratio of expenses to average net assets applicable
to common shares 0.40% 0.10%**
Ratio of net investment income to average
net assets applicable to common shares + 0.21% 0.23%**
Portfolio turnover 2.23% 2.22%
Average commission paid on equity security transactions $ 0.02 -
+ Net investment income is adjusted for distributions paid to auction
market preferred stock ("AMPS") holders.
++ For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share for trades
on which commissions are charged.
* Total investment return for the period; not annualized.
** Annualized.
*** For the period May 1, 1995 (commencement of operations) to December
31, 1995.
See accompanying notes to the financial statements.
GREAT LAKES FUND, INC.
Notes to Financial Statements
December 31, 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. The Fund's
investment portfolio must conform to certain rating agency asset coverage
tests so long as the Fund has preferred stock outstanding.
On the date of commencement, the Fund issued 24,930,110.7 shares of common
stock with a par value of $.01 at $10 per share in exchange for securities
with a value in the aggregate of approximately $249.3 million and 2,000 shares
of AMPS with a par value of $.01 at $100,000 per share in exchange for $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 and interest income is recorded on the
accrual basis.
(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.
2
GREAT LAKES FUND, INC.
Notes to Financial Statements, Continued
(1), Continued
The character of income and gains to be distributed are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. At December 31, 1996, reclassifications
were made to the Fund's capital accounts to reflect permanent book/tax
differences and income and gains available for distributions under income tax
regulations. Net investment income, net realized gains and net assets were
not affected by this change.
(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.
(g) Organization Costs
Organization costs have been deferred and are being amortized by the Fund on a
straight-line basis over five years.
(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 year ended December 31, 1996 and the period from May 1, 1995
(commencement of operations) to December 31, 1995, dividends paid to the
common stockholder were $6,287,604 and $2,280,372, respectively.
During the year ended December 31, 1996, the Fund made a return of capital
dividend to the common stockholder in an amount of $50,000,000 of which
approximately $6,600,000 is considered taxable for IRS purposes.
Comerica Bank serves as both custodian and administrator for the Fund.
The Custodian Contract and the Administration Agreement were amended changing
their respective fee schedules effective January 1, 1996. Separate custodian
and administration fees were replaced with a single administration fee of
twenty-five hundredths of one percent in 1996, fifteen hudredths of one
percent in 1997 and six hundredths of one percent thereafter based upon
average net assets during the year. 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
GREAT LAKES FUND, INC.
Notes to Financial Statements, Continued
(3) Investment Transactions
The aggregate cost of securities purchased and the aggregate proceeds of
securities sold excluding short-term securities, for the year ended
December 31, 1996 were $24,722,586 and $19,304,839, respectively.
At December 31, 1996, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes, were $316,057,660
and $12,642,706, 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 December 31, 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 December 31, 1996 were 4.1%,
4.125%, 4.115%, 4.14% and 4.078% 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 December 31, 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 December 31, 1996, the Fund was paying interest
at 9% per annum.
(6) Subsequent Event
The Fund issued $75 million in a new series of AMPS on February 5, 1997.
GREAT LAKES FUND, INC.
Portfolio of Investments
December 31, 1996
No. of Market
Shares Value
COMMON STOCK
BUILDING AND CONSTRUCTION
BUILDING MATERIALS 1.28%
13,400 OWENS CORNING $571,175
24,000 MASCO CORP 864,000
15,200 LOUISIANA PAC CORP 321,100
74,400 HOME DEPOT 3,729,300
16,700 GEORGIA PACIFIC CORP 1,202,400
18,200 CHAMPION INTL CORP 787,150
CONSTRUCTION EQUIPMENT
7,400 GIDDINGS & LEWIS 95,275
PAINT AND FLAT GLASS
17,800 SHERWIN WILLIAMS CO 996,800
36,500 PPG INDUS INC 2,048,562
INDUSTRIAL CHEMICALS
12,200 ROHM & HAAS CO 995,825
8,100 GREAT LAKES CHEM CRP 378,675
MISCELLANEOUS
7,400 KAUFMAN & BROAD HOME CORP 95,275
7,800 FOSTER WHEELER CORP 289,575
17,600 FLUOR CORP 1,104,400
TOTAL BUILDING AND CONSTRUCTION $13,479,512
CHEMICALS AND DRUGS 13.14%
CHEMICALS
28,000 UNION CARBIDE CORP 1,144,500
11,700 SIGMA-ALDRICH CORP 730,519
28,700 PRAXIAIR INC 1,323,788
13,700 NALCO CHEM CO 494,912
31,100 MORTON INTERNATIONAL 1,267,325
116,600 MONSANTO CO 4,532,825
23,800 HERCULES INC 1,029,350
15,100 GRACE W. R. & CO. (NEW) 781,425
7,500 FMC CORP-NEW 525,937
39,950 ENGLEHARD CORP 764,044
15,900 EASTMAN CHEMICAL CO 878,475
127,700 DUPONT DENEMOURS & CO 12,051,688
42,600 DOW CHEMICAL CO 3,338,775
24,000 BOSTON SCIENTIFIC CORP 1,440,000
56,000 AMGEN INC 3,045,000
19,900 AIR PRODS & CHEMS INC 1,375,587
DRUGS
43,600 WALGREEN CO 1,744,000
70,400 SCHERING PLOUGH 4,558,400
123,900 PFIZER INC 10,268,213
49,020 PHARMACIA & UPJOHN INC 1,942,417
230,200 MERCK & CO., INC 18,243,350
113,300 LILLY ELI & CO 8,270,900
282,200 JOHNSON & JOHNSON 14,039,450
101,000 BRISTOL MYERS SQUIBB CO 10,983,750
136,200 AMERICAN HOME PRODUCTS 7,984,725
12,100 ALZA CORP CL A 313,088
170,900 ABBOT LABS 8,673,175
COSMETICS
20,400 INTL FLAVORS & FRAGRANCES 918,000
27,200 AVON PRODUCTS INC 1,553,800
5,800 ALBERTO CULVER CO CL B 278,400
HEALTH PRODUCTS/CARE
11,600 U S SURGICAL 456,750
16,600 UTD HEALTHCARE CORP 747,000
44,400 TENET HEALTHCARE CORP 971,250
2,000 GUIDANT CORP 114,000
171,600 COLUMBIA/HCA HEALTHCARE 6,992,700
24,000 BEVERLY ENTERPRISES INC 306,000
25,600 BECTON DICKINSON & CO 1,110,400
57,300 BAXTER INTL INC. 2,349,300
12,400 BAUSCH & LOMB 434,000
10,600 BARD CR INC 296,800
9,700 ALLERGAN INC 345,562
TOTAL CHEMICALS AND DRUGS $138,619,580
CONSUMER PRODUCTS 14.09%
CONFECTIONS AND BEVERAGES
1,200 SEAGRAM LTD 46,500
330,500 PEPSICO INC 9,667,125
24,900 NEWELL CO. 784,350
480,200 COCA COLA CO 25,270,525
12,800 BROWN FORMAN INC CL B 585,600
90,000 ANHEUSER-BUSCH COS 3,600,000
CONTAINERS
9,600 TEMPLE INLAND INC 519,600
12,700 STONE CONTAINER 188,913
12,900 CROWN CORK & SEAL INC 701,437
5,700 BALL CORP 148,200
19,600 AVERY DENNISON CORP 693,350
PACKAGED FOOD
21,200 WRIGLEY WM JR CO 1,192,500
400 UNILEVER NV NEW YORK 70,100
38,100 SYSCO CORP 1,243,012
99,200 SARA LEE CORP 3,695,200
18,400 RALSTON-PURINA GROUP 1,350,100
28,800 QUAKER OATS CO 1,098,000
12,500 PIONEER HI BRED INTL INC 875,000
45,800 KELLOGG CO 3,005,625
33,600 HERSHEY FOODS CORP 1,470,000
79,000 HEINZ H J CO 2,824,250
30,100 GENERAL MILLS INC 1,907,588
7,300 COORS ADOLPH CO CL B 138,700
46,000 CONAGRA 2,288,500
49,000 CAMPBELL SOUP CO 3,932,250
30,600 CPC INTL INC 2,371,500
102,091 ARCHER DANIELS MIDLAND CO 2,246,002
PAPER
30,300 WEYERHAEUSER CO 1,435,462
12,100 UNION CAMP CORP 577,775
5,600 POTLATCH CORP 240,800
8,700 MEAD CORP 505,688
59,288 KIMBERLY CLARK CORP 5,647,182
17,900 JAMES RIVER CORP 592,938
61,812 INTERNATIONAL PAPER CO 2,495,659
4,000 BOISE CASCADE CORP 127,000
8,200 BEMIS CO 302,375
11,200 AMERICAN GREETINGS CL A 317,800
PRINTING AND PUBLISHING
19,650 WESTVACO CORP 564,938
13,400 TRIBUNE CO 1,056,925
17,500 TIMES MIRROR CO CL A NEW 870,625
86,700 TIME WARNER INC 3,251,250
15,400 NEW YORK TIMES CO CL A 585,200
4,400 MEREDITH CORP 232,100
19,800 MCGRAW-HILL COMPANIES INC 913,275
13,400 KNIGHT-RIDDER INC 512,550
5,700 JOSTENS INC 120,412
RECREATIONAL EQUIPMENT
50,125 MATTEL INC 1,390,969
14,100 HASBRO INC 548,137
12,800 HARRAH'S ENTERTAINMENT 254,400
20,300 BRUNSWICK CORP 487,200
SOAPS
9,000 CLOROX CO 903,375
OTHER CONSUMER PRODUCTS
17,700 WHITMAN CORP 404,888
25,200 UST INC 815,850
12,600 TUPPERWARE CORPORATION 675,675
3,800 SPRINGS INDUS INC 163,400
22,300 RUBBERMAID INC 507,325
139,600 PROCTER & GAMBLE CO 15,007,000
84,700 GILLETTE CO 6,585,425
31,500 COLGATE PALMOLIVE CO 2,905,875
31,300 AMERICAN BRANDS INC 1,553,262
PHOTOGRAPHY
7,700 POLAROID CORP 334,950
73,900 EASTMAN KODAK CO 5,930,475
HOUSEHOLD FURN/APPLIANCES
21,200 MAYTAG CO 418,700
6,700 ARMSTRONG WORLD IND 465,650
RETAIL
8,400 TJX COS INC (NEW) 397,950
1,500 FEDERATED DEPT STORES NEW 51,187
APPAREL
10,200 V F CORP 688,500
8,300 STRIDE RITE CORP 83,000
56,400 NIKE INC CL B 3,369,900
9,800 LIZ CLAIBORNE INC 378,525
37,525 LIMITED INC 689,522
38,500 FRUIT OF THE LOOM CL A 1,458,188
BROADCASTING
7,700 KING WORLD INC 283,937
126,342 DISNEY WALT CO 8,796,562
MISCELLANEOUS
25,100 PALL CORP 640,050
TOTAL CONSUMER PRODUCTS $148,453,758
DURABLE GOODS 25.50%
AEROSPACE-AIRCRAFT
51,600 UNITED TECHNOLOGIES CORP 3,405,600
14,800 TEXTRON INC 1,394,900
45,200 RAYTHEON CO 2,175,250
11,400 NORTHROP GRUMMAN CORP 943,350
48,200 MCDONNELL DOUGLAS CORP 3,084,800
34,500 LOCKHEED MARTIN CORP 3,156,750
11,500 GENERAL DYNAMICS CORP 810,750
72,129 BOEING CO 7,672,765
AGRICULTURAL MACHINERY
50,500 DEERE & CO 2,051,563
40,500 CATERPILLAR INC 3,047,625
AUTOMOBILE AND PARTS
30,200 TENNECO INC (NEW) 1,362,775
28,000 TRW INC 1,386,000
16,400 NAVISTAR INTL CORP (NEW) 149,650
21,600 GENUINE PARTS CO 961,200
140,400 GENERAL MTRS CORP 7,827,300
202,300 FORD MTR CO 6,448,312
10,800 ECHLIN INC 341,550
15,600 EATON CORP 1,088,100
20,100 DANA CORP 655,763
7,200 CUMMINS ENGINE INC 331,200
9,700 COOPER TIRE & RUBBER 191,575
152,200 CHRYSLER CORP 5,022,600
ELECTRICAL
78,500 WESTINGHOUSE ELEC CORP 1,560,187
6,400 RAYCHEM CORP 512,800
24,200 HONEYWELL INC 1,591,150
20,000 GENERAL INST CORP 432,500
48,000 EMERSON ELEC CO 4,644,000
53,804 AMP INC 2,064,729
ELECTRONICS
7,000 THOMAS & BETTS CORP 310,625
46,900 TEXAS INSTRUMENTS 2,989,875
9,200 TEKTRONIX INC 471,500
10,000 SEAGATE TECHNOLOGY INC 395,000
9,200 PERKIN ELMER CORP 541,650
114,350 ORACLE CORPORATION 4,774,112
9,800 NATIONAL SVC INDS 366,275
36,300 NATIONAL SEMICONDUCTOR 884,812
47,600 MICRON TECH 1,386,350
700 LSI LOGIC CORP 18,725
210,900 INTEL CORP 27,614,719
230,200 HEWLETT PACKARD CO 11,567,550
9,600 GENERAL SIGNAL CORP 410,400
323,000 GENERAL ELECTRIC CO 31,936,625
7,000 E G & G INC 140,875
111,300 CISCO SYS INC 7,081,463
39,900 APPLIED MATLS INC 1,433,906
21,600 ADVANCED MICRO-DEVICES 556,200
INDUSTRIAL MACHINERY
7,000 TRINOVA CORP 254,625
50,700 ROCKWELL INTL CORP W/I 3,086,363
1,700 NACCO INDUS INC CL A 90,950
23,400 INGERSOLL RAND CO 1,041,300
4,800 HARNISCHFEGER INDUS INC 231,000
21,600 DOVER CORP 1,085,400
17,200 COOPER INDUS INC 724,550
9,300 CINCINNATI MILACRON INC 203,437
5,400 BRIGGS & STRATTON CORP 237,600
OFFICE EQUIPMENT AND SUPPLIE
68,500 XEROX CORP. 3,604,813
27,900 PITNEY BOWES INC 1,520,550
5,500 HARLAND JOHN H CO 181,500
17,700 DELUXE CORP 579,675
22,800 ALCO STANDARD CORP 1,177,050
RUBBER
30,200 GOODYEAR TIRE & RUBBER 1,551,525
10,900 GOODRICH B F CO 441,450
OTHER DURABLE GOODS
16,200 STANLEY WORKS 437,400
6,040 NEWPORT NEWS SHIPBUILDING 90,600
81,400 MINNESOTA MNG & MFR 6,746,025
8,600 MILLIPORE CORP 355,825
25,100 ILLINOIS TOOL WORKS 2,004,862
10,800 CRANE CO 313,200
35,700 CORNING INCORPORATED 1,651,125
COMPUTERS AND SOFTWARE
37,700 UNISYS CORP 254,475
12,000 TANDEM COMPUTERS INC 165,000
87,600 SUN MICROSYSTEMS 2,250,225
43,300 SILICON GRAPHICS 1,104,150
84,900 NOVELL INC 803,897
276,200 MICROSOFT CORP 22,821,025
137,300 IBM CORP 20,732,300
7,100 INTERGRAPH CORP 72,775
42,300 DIGITAL EQUIP CORP 1,538,663
17,000 DELL COMPUTER CORP 903,125
8,600 DATA GENL CORP 124,700
77,875 COMPUTER ASSOC INTL INC 3,874,281
58,100 COMPAQ COMPUTER CORP 4,313,925
9,200 CERIDIAN CORP 372,600
73,400 CABLETRON SYSTEMS INC 2,440,550
144,300 CUC INTERNATIONAL 3,427,125
26,900 APPLE COMPUTER INC 561,537
HOUSEHOLD FURN/APPLIANCES
13,000 WHIRLPOOL CORP 606,125
TELECOMMUNICATIONS
21,400 WORLDCOM INC 557,738
1,900 NORTHERN TELECOM LTD 117,563
109,572 LUCENT TECHNOLOGIES INC 5,067,717
27,800 DSC COMMUNICATIONS 496,925
15,750 ANDREW CORP 835,734
86,100 AIRTOUCH COMMUNICATIONS 2,174,025
MISCELLANEOUS
30,400 TYCO LABS INC 1,607,400
10,500 SNAP ON TOOLS CORP 374,062
18,300 PARKER HANNIFIN CORP 709,125
8,900 JOHNSON CTLS INC 737,588
26,300 ITT INDUSTRIES INC 644,350
17,300 BLACK & DECKER CORP 521,162
56,300 ALLIED-SIGNAL INC 3,772,100
TOTAL DURABLE GOODS $268,788,198
FINANCIAL 15.11%
BANKS
17,633 WELLS FARGO & CO 4,756,502
31,300 WACHOVIA CORP 1,768,450
19,800 U S BANCORP ORE 889,762
41,400 SUNTRUST BANKS INC 2,038,950
28,800 REPUBLIC NEW YORK CORP 2,350,800
43,000 PNC FINANCIAL 1,617,875
77,800 NORWEST CORP 3,384,300
45,800 NATIONSBANK CORP 4,476,950
36,900 NATIONAL CITY CORP 1,655,888
35,300 MORGAN J P & CO 3,446,162
19,900 MELLON BANK CORP 1,412,900
45,750 MBNA CORP 1,898,625
36,900 KEYCORP NEW 1,863,450
51,257 FLEET FINANCIAL GROUP INC 2,556,443
53,625 FIRST UNION CORP 3,968,250
59,514 FIRST CHICAGO NBD CORP 3,198,878
2,500 FIFTH THIRD BANCORP COM 157,031
35,100 DEAN WITTER DISCOVER & CO 2,325,375
40,550 CORESTATES FINL CORP 2,103,531
88,000 CITICORP 9,064,000
96,720 CHASE MANHATTAN CORP NEW 8,632,260
27,200 BOATMEN'S BANCSHARES 1,754,400
37,800 BARNETT BANKS INC 1,554,525
15,600 BANKERS TR NY CORP 1,345,500
71,900 BANKAMERICA CORP 7,172,025
70,200 BANK NEW YORK INC 2,369,250
34,400 BANK OF BOSTON CORP 2,210,200
86,400 BANC ONE CORP 3,715,200
FINANCE COMPANIES
20,400 HOUSEHOLD INTL CORP 1,881,900
39,400 FED HOME LN MTG CORP 4,338,925
10,700 BENEFICIAL CORP 678,113
90,300 AMERICAN EXPRESS CO 5,101,950
HOLDING COMPANY
4,100 EASTERN ENTERPRISES 145,037
FIRE AND CASUALTY INSURANCE
24,400 SAFECO CORP 962,275
13,800 GENERAL RE CORP 2,176,950
32,400 CHUBB CORP 1,741,500
INSURANCE
26,100 USF & G CORP 544,837
11,600 UNUM CORP. 838,100
136,333 TRAVELERS GROUP INC 6,186,110
12,400 TRANSAMERICA CORP 979,600
11,100 TORCHMARK CORP 560,550
14,000 ST PAUL COS INC 820,750
11,600 MARSH & MCLENNAN CO. 1,206,400
5,900 MBIA INC 597,375
57,100 LOEWS CORP 5,381,675
26,300 ITT HARTFORD 1,775,250
12,300 CIGNA CORP 1,680,488
92,050 AMERICAN INTL GROUP 9,964,413
103,669 ALLSTATE CORPORATION 5,999,843
8,500 ALEXANDER & ALEXANDER SVC 147,687
853 AETNA INC 6.25% CV PFD 67,707
24,460 AETNA INC 1,956,800
LIFE INSURANCE
6,450 USLIFE CORP 214,462
14,100 PROVIDIAN CORP 724,388
17,000 LINCOLN NATL CORP IND 892,500
12,450 JEFFERSON PILOT CORP 704,981
39,000 AMERICAN GENERAL CORP 1,594,125
REAL ESTATE
2,300 HFS 137,425
232,800 FEDERAL NATL MTGE ASSN 8,671,800
SAVINGS & LOANS
32,300 GREAT WESTERN FINL 936,700
14,100 GOLDEN WEST FINL CORP 890,063
28,500 AHMANSON H F & CO 926,250
BROKERAGE
21,700 SALOMON INC 1,022,613
38,200 MERRILL LYNCH & CO 3,113,300
TOTAL FINANCIAL $159,250,324
METALS AND MINING 0.81%
ALUMINUM
12,500 REYNOLDS METALS CO 704,688
36,000 ALUMINUM CO AMER 2,295,000
1,400 ALCAN ALUM LTD-NEW 47,075
MINING
600 PLACER DOME INC 13,050
21,100 HOMESTAKE MNG CO 300,675
STEEL
14,900 WORTHINGTON INDS INC 270,062
11,400 USX-US STEEL GROUP 357,675
7,400 TIMKEN CO 339,475
11,300 NUCOR CORP 576,300
8,700 INLAND STEEL INDUS INC 174,000
13,600 BETHLEHEM STEEL CORP 122,400
20,200 ARMCO, INC. 83,325
29,555 ALLEGHENY TELEDYNE 679,765
OTHER METALS
12,000 PHELPS DODGE CORP 810,000
15,300 NEWMONT MNG CORP 684,675
12,400 INCO LTD 395,250
3,500 BATTLE MOUNTAIN GOLD CL A 24,063
8,100 ASARCO INC 201,487
MINERALS
16,200 CYPRUS AMAX MINERALS CO 378,675
1,500 BARRICK GOLD CORP 43,125
TOTAL METALS AND MINING $8,500,765
COLLECTIBLES & PRECIOUS MATERIALS 0.04%
GOLD-DIAMONDS-GEMS
15,000 FREEPORT-MCMORAN COPPER-B 448,125
TOTAL COLLECTIBLES & PRECIOUS MATERIALS $448,125
OIL-ENERGY 7.79%
OIL & GAS PRODUCERS
32,692 UNION PACIFIC RESOURCES 956,241
70,000 USX-MARTHON GROUP COM NEW 1,671,250
16,700 SANTA FE ENERGY RES INC 231,712
18,800 ROWAN COS INC 425,350
71,300 OCCIDENTAL PETROLEUM 1,666,638
400 MCDERMOTT INTL INC 6,650
5,500 HELMERICH & PAYNE INC. 286,687
16,400 ENSERCH CORP 377,200
21,800 COASTAL CORP 1,065,475
101,500 AMOCO CORP 8,170,750
18,500 AMERADA HESS CORP 1,070,688
NATURAL RESOURCES
37,950 WILLIAMS COS INC-DEL 1,423,125
6,300 LOUISIANA LD & EXPL CO 337,838
10,400 KERR MCGEE CORP 748,800
2,809 EL PASO NATURAL GAS 141,834
36,500 DRESSER INDUS INC 1,131,500
OIL EQUIPMENT, WELLS & SVCS
11,000 WESTERN ATLAS INC 779,625
23,800 HALLIBURTON CO 1,433,950
26,300 BAKER HUGHES INC 907,350
13,200 ASHLAND, INC 579,150
OIL - DOMESTIC
46,600 UNOCAL CORP 1,893,125
47,700 PHILLIPS PETE CO 2,110,725
9,500 PENNZOIL CO 536,750
21,600 BURLINGTON RESOURCES INC 1,088,100
OIL - INTERNATIONAL
53,400 TEXACO INC 5,239,875
13,500 SUN CO INC 329,062
26,000 ORYX ENERGY COMPANY 643,500
80,600 MOBIL CORP 9,853,350
255,600 EXXON CORP. 25,048,800
122,300 CHEVRON CORP 7,949,500
29,900 ATLANTIC RICHFIELD CO 3,961,750
TOTAL OIL-ENERGY $82,066,350
RETAIL 3.15%
DEPARTMENT STORES
19,000 WOOLWORTH CORP 415,625
29,000 WINN-DIXIE STORES INC 917,125
356,700 WAL MART STORES INC 8,159,512
77,100 SEARS ROEBUCK & CO 3,556,237
36,200 PENNEY JC INC 1,764,750
6,700 MERCANTILE STORES 330,813
36,400 MAY DEPT STORES CO 1,701,700
102,700 K MART 1,065,512
12,600 HARCOURT GENERAL INC 581,175
18,500 DILLARD DEPT STORES 571,188
31,800 DAYTON HUDSON CORP 1,248,150
17,500 CVS CORP 724,062
GROCERY
10,000 SUPERVALUE INC 283,750
18,200 KROGER CO 846,300
8,800 GREAT ATLANTIC & PAC TEA 280,500
13,800 GIANT FOOD INC 476,100
7,800 FLEMING COS 134,550
27,200 AMERICAN STORES CO 1,111,800
44,700 ALBERTSON'S INC 1,592,438
OTHER RETAIL
50,600 TOYS R US 1,518,000
6,100 TANDY CORP 268,400
14,600 RITE AID CORP 580,350
45,600 PRICE/COSTCO INC 1,145,700
6,200 PEP BOYS-MAN, MO, JACK 190,650
18,900 LOWES COS INC 670,950
3,900 LONGS DRUG STORES CORP 191,588
14,000 CIRCUIT CITY STORES 421,750
SPORTING GOODS
6,700 RUSSELL CORP 199,325
9,800 REEBOK INTL LTD 411,600
APPAREL
13,700 NORDSTROM INC 485,494
41,800 GAP INC 1,259,225
17,600 CHARMING SHOPPES INC 89,100
TOTAL RETAIL $33,193,419
UTILITIES 9.20%
ELECTRIC
15,400 UNION ELECTRIC CO 592,900
44,100 UNICOM CORP 1,196,213
137,700 SOUTHERN CO 3,115,462
127,200 SBC COMMUNICATIONS INC 6,582,600
39,900 PUBLIC SVC ENTERPRISE GRP 1,087,275
53,400 PACIFICORP 1,094,700
89,300 PACIFIC GAS & ELEC 1,875,300
1,500 PP&L RESOURCES INC 34,500
44,800 PECO ENERGY 1,131,200
28,600 OHIO EDISON CO 650,650
13,600 NORTHERN STS PWR CO 623,900
27,900 NIAGARA MOHAWK PWR 275,513
51,400 HOUSTON INDS INC 1,162,925
20,600 GPU INC 692,675
35,600 FPL GROUP INC 1,637,600
39,900 ENTERGY CORP NEW 1,107,225
95,400 EDISON INTERNATIONAL 1,896,075
40,800 DUKE POWER CO 1,887,000
33,900 DOMINION RES INC-VA 1,305,150
36,700 CON. EDISON NY INC 1,073,475
22,600 CINERGY CORP 754,275
36,300 CENTRAL & SOUTH WEST CORP 930,187
21,500 CAROLINA PWR & LT CO 784,750
27,400 BALTIMORE GAS & ELEC 732,950
37,900 AMERICAN ELEC PWR INC 1,558,638
GAS
43,900 TEXAS UTILITIES CO 1,788,925
16,600 SONAT INC 854,900
6,700 PEOPLES ENERGY CORP 226,962
32,100 PANENERGY CORPORATION 1,444,500
14,900 PACIFIC ENTERPRISES 452,588
5,100 ONEOK INC 153,000
26,600 NORAM ENERGY CORP 408,975
8,700 NICOR INC 311,025
50,800 ENRON CORP 2,190,750
15,000 CONSOLIDATED NATL GAS 828,750
10,100 COLUMBIA GAS SYS INC 642,612
TELEPHONE
114,300 U S WEST MEDIA GROUP 2,114,550
90,700 U S WEST INC 2,925,075
76,400 SPRINT CORP 3,046,450
80,400 PACIFIC TELESIS GROUP 2,954,700
77,400 NYNEX CORP 3,724,875
179,500 GTE CORP 8,167,250
193,800 BELLSOUTH CORP 7,824,675
84,500 BELL ATLANTIC CORP 5,471,375
22,900 ALLTEL CORP 718,488
284,100 A T & T 12,358,350
WASTE DISPOSAL
88,100 WMX TECHNOLOGIES INC 2,874,262
47,200 LAIDLAW TRANS CL B NVTG 542,800
44,800 BROWNING FERRIS IND 1,176,000
TOTAL UTILITIES $96,984,975
MISCELLANEOUS 9.39%
BROADCAST/COMMUNICATIONS
72,200 VIACOM INC CL B NON VTG 2,517,975
71,800 TELLABS INC 2,701,475
111,400 TELE COMM. INC CL A 1,455,162
11,140 TCI SATELLITE ENT CL-A 110,007
116,000 MOTOROLA INC 7,119,500
136,100 MCI COMMUNICATIONS 4,448,769
26,200 GANNETT CO., INC 1,961,725
44,150 COMCAST CORP CL A SPL 786,422
BUSINESS SERVICES
2,000 THREE COM CORP 146,750
43,400 SERVICE CORP INTL 1,215,200
13,900 SCIENTIFIC-ATLANTA 208,500
9,700 SAFETY KLEEN CORP 158,837
500 MOORE CORP LTD 10,188
16,900 INTERPUBLIC GROUP COS 802,750
8,700 GRAINGER W W INC 698,175
84,000 FIRST DATA CORP 3,066,000
10,800 ECOLAB INC 406,350
11,400 E M C CORP 377,625
22,600 DUN & BRADSTREET 536,750
14,400 DOW JONES & CO 487,800
25,700 DONNELLEY RR & SONS 806,337
11,600 COMPUTER SCIENCES CORP 952,650
18,200 BLOCK H&R INC 527,800
57,500 AUTOMATIC DATA PROC 2,465,313
3,800 AUTODESK INC 106,400
25,200 AMDAHL CORP 305,550
FOOD SERVICE
19,800 WENDYS INTL INC 405,900
9,400 SHONEY'S INC 65,800
10,500 RYANS FAMILY STEAK HOUSE 72,187
162,200 PHILLIP MORRIS CO INC 18,267,775
131,700 MCDONALDS CORP 5,959,425
3,000 LUBYS CAFETERIAS INC 59,625
30,100 DARDEN RESTAURANTS INC 263,375
FOREIGN
2,200 ROYAL DUTCH PETE CO NEW 375,650
HOTEL & MOTEL
24,100 MARRIOTT INTL CORP 1,331,525
26,300 ITT CORP NEW 1,140,762
49,700 HILTON HOTELS CORP 1,298,413
HOUSING
3,900 PULTE CORP 119,925
MED SERV & SUPPLIES
4,900 SHARED MEDICAL SYS CORP 241,325
12,900 ST. JUDE MED INC. 549,863
55,400 MEDTRONIC INC 3,767,200
10,800 MANOR CARE INC 291,600
600 HUMANA INC 11,475
23,600 BIOMET INC 356,950
REAL ESTATE
4,400 CENTEX CORP 165,550
TRANSPORTATION
12,800 U S AIR GROUP 299,200
38,600 UNION PACIFIC CORP 2,320,825
32,100 SOUTHWEST AIRLINES CO 710,213
25,900 SANTA FE PACIFIC GOLD 398,213
14,800 RYDER SYSTEMS INC 416,250
8,300 PACCAR INC 564,400
23,500 NORFOLK SOUTHERN CORP 2,056,250
8,700 FLEETWOOD ENTERPRISES 239,250
20,400 FEDERAL EXPRESS CORP 907,800
9,900 DELTA AIR LINES INC 701,662
13,900 CONRAIL INC 1,384,788
7,300 CALIBER SYSTEMS INC 140,525
41,100 CSX CORP 1,736,475
31,603 BURLINGTON NRTHN SANTA FE 2,729,709
22,000 AMR CORP 1,938,750
MISCELLANEOUS
53,100 WARNER-LAMBERT 3,982,500
3,300 SCHLUMBERGER 329,588
15,200 MALLINCKRODT (NEW) 670,700
22,600 COGNIZANT CORP 745,800
0 ACNIELSEN CORP 5
TELECOMMUNICATIONS
6,800 HARRIS CORP-DEL 466,650
117,600 AMERITECH CORP NEW 7,129,500
TOTAL MISCELLANEOUS $98,993,388
UTILITIES 0.09%
ELECTRIC
28,200 DTE ENERGY COMPANY 912,975
TOTAL UTILITIES $912,975
TOTAL COMMON STOCK $1,049,691,369
OTHER
CASH EQUIVALENTS 0.41%
STIFS/MONEY MARKETS
4,361,224 AIM SHORT TERM INV SER 2 4,361,224
TOTAL CASH EQUIVALENTS $4,361,224
$4,361,224
TOTAL INVESTMENTS - (cost $750,637,639) 100.00% $1,054,052,593
See accompanying notes to financial statements
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