GREAT LAKES FUND, INC.
Statement of Assets and Liabilities
June 30, 1997
(Unaudited)
Assets
Investments, at value (@ cost $796,511,300) $ 1,312,782,622
Dividends receivable 1,574,609
Interest receivable 15,906
Prepaid expenses 47,521
Deferred organization costs, net 19,910
Total Assets 1,314,440,568
Liabilities
AMPS Dividend Payable 1,545,349
Accrued expenses 578,993
Notes payable 305,500
Accrued interest expense 8,096
Total Liabilities 2,437,938
Net Assets $ 1,312,002,630
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
Series F Auction Market Preferred Stock, $.01 par value
at liquidation preference $100,000 per share, 750 shares
authorized, issued and outstanding 75,000,000
Common stock at par value, $.01 per share, 199,995,250 shares
authorized, 37,508,445.64 shares issued and outstanding 375,084
Additional paid-in capital 321,068,303
Overdistributed Net Gains (712,079)
Net unrealized appreciation of investments 516,271,322
Net Assets $ 1,312,002,630
Net asset value per common shares outstanding $ 22.32
See accompanying notes to the financial statements.
GREAT LAKES FUND, INC.
Statement of Operations
For the period from January 1, 1997 to June 30, 1997
(Unaudited)
Investment income:
Dividend income $ 10,783,265
Interest income 58,919
Total investment income 10,842,184
Expenses:
Broker dealer fee 576,081
Legal fees 21,827
Rating agencies fees 40,113
Independent auditors 24,877
Auction agent fee 13,487
Administration fees 872,378
Directors fees and expenses 5,393
Interest expense 14,058
Insurance 8,267
Investment management fee 58,133
Other expenses 1,765
Amortization of organization costs 3,480
Total expenses 1,639,859
Net investment income 9,202,325
Net realized and unrealized gains on investments:
Net realized gain on investments:
Proceeds from sales $ 5,839,120
Cost of securities sold (4,483,756)
1,355,364
Unrealized appreciation of investments:
Beginning of period 303,414,954
End of period 516,271,322
Increase in net unrealized appreciation of investments 212,856,368
Net increase in net assets resulting
from operations $ 223,414,057
See accompanying notes to the financial statements.
GREAT LAKES FUND, INC.
Statement of Changes in Net Assets
For the period from January 1, 1997 to June 30, 1997
and for the year ended December 31, 1996
(Unaudited)
For the six
months ended For the
June 30, 1997 year ended
(Unaudited) December 31, 1996
From operations:
Net investment income $ 9,202,325 17,172,952
Net realized gain on investments 1,355,364 3,913,163
Net change in unrealized appreciation
on investments 212,856,368 180,453,127
Increase in net assets resulting
from operations 223,414,057 201,539,242
Dividends to stockholders from net
investment income:
Auction market preferred stock (9,202,325) (14,479,017)
Common stock 0 (2,693,935)
(9,202,325) (17,172,952)
Dividends to stockholders from net realized gains:
Auction market preferred stock (2,125,639) 0
Common stock 0 (3,836,375)
(2,125,639) (3,836,375)
Decrease in net assets resulting from
dividends to stockholders (11,327,964) (21,009,327)
Increase (decrease) from capital share transactions:
Issuance of auction market preferred stock 75,000,000 50,000,000
Issuance of common stock 0 0
Additional paid in capital from
common stockholder 8,000,000 0
Return of additional paid in capital to
common stockholder (29,647,709) (50,000,000)
53,352,291 0
Total increase in net assets 265,438,384 180,529,915
Net assets:
Beginning of period 1,046,564,246 866,034,331
End of period $ 1,312,002,630 1,046,564,246
See accompanying notes to the financial statements.
GREAT LAKES FUND, INC.
Financial Highlights
For the period from January 1, 1997 to June 30, 1997, the
year ended December 31, 1996, and for the period
May 1, 1995 (commencement of operations) through December 31, 1995
For the six
months ended
June 30, 1997
(Unaudited) 1996 1995 (1)
For a share of common stock outstanding
throughout the period:
Net asset value, beginning of period 17.24 13.77 10.00
Net investment income 0.25 0.46 0.33
Net realized and unrealized gains
(losses) on investments 5.71 4.91 3.76
Total from investment operations 5.96 5.37 4.09
Additional paid in capital 0.21 0.00 0.00
Less distributions from net investment income
and net realized gains:
Common share equivalent of dividends
paid to AMPS holders (0.30) (0.40) (0.27)
Dividends paid to common shareholders 0.00 (0.17) (0.05)
Less distributions from net paid-in capital:
Return of capital paid to common
shareholders (0.79) (1.33) 0.00
Total distributions (1.09) (1.90) (0.32)
Net asset value, end of period $ 22.32 17.24 13.77
Total investment return 21.35% 38.98% 40.90%(2)
Net assets at end of period (000s) 1,312,003 1,046,564 866,034
Ratio of expenses to average net assets
applicable to common stock 0.14% 0.40% 0.10%(3)
Ratio of net investment income to average net
assets applicable to common stock (4) -0.18% 0.21% 0.23%(3)
Portfolio turnover 0.48% 2.23% 2.22%
Average commissions paid on equity
securities transactions (5) $ 0.0217 0.0200 0.00
(1)For the period May 1, 1995 (commencement of operations) to December 31,
1995.
(2)Total investment return for the period; not annualized.
(3)Annualized.
(4)Net investment income is adjusted for distributions paid to auction market
preferred stock (AMPS") holders.
(5)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.
See accompanying notes to financial statments.
GREAT LAKES FUND, INC.
Notes to the Financial Statements
June 30, 1997
(Unaudited)
(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.
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.
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.
2
GREAT LAKES FUND, INC.
Notes to Financial Statements, Continued
(Unaudited)
(1), Continued
(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 six months ended June 30, 1997, the common stockholder
contributed approximately $8,000,000 as additional paid in capital.
During the six months ended June 30, 1997 and the year ended
December 31, 1996, dividends to the common stockholder amounted to
$0 and $6,287,604, respectively.
During the six months ended June 30, 1997 and the year ended
December 31, 1996, return of capital distributions to the common
stockholder amounted to approximately $29,650,000 and approximately
$50,000,000 (of which approximately $6,600,000 was considered taxable
for IRS purposes), respectively.
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 hundredths 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 administration and management fees are calculated
and accrued on a monthly basis.
(3) Investment Transactions
The aggregate cost of securities purchased and the aggregate proceeds
of securities sold excluding
3
GREAT LAKES FUND, INC.
Notes to Financial Statements, Continued
(Unaudited)
(3), Continued
short-term securities, for the six months ended June 30, 1997 were
$4,483,756 and $5,839,120, respectively.
As of June 30, 1997, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes, were
$525,959,036 and $9,687,714, respectively.
(4) Auction Market Preferred Stock
In June 1996, the Fund issued $50 million of Auction Market Preferred
Stock ("AMPS").
In February 1997, the Fund issued an additional $75 million of AMPS.
The Fund has outstanding at June 30, 1997, 1000 shares each of Series
A, Series B and Series C, 500 shares each of Series D and Series E,
750 shares of Series F 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, 1997 were 4.36%, 4.4%, 4.4%, 4.25%, 4.35%
and 4.25% for Series A, Series B, Series C, Series D, Series E and
Series F, 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, 1997, the Fund had $305,500 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, 1997, the
Fund was paying interest at 9.23% per annum.
GREAT LAKES FUND, INC.
Portfolio of Investments
June 30, 1997
(Unaudited)
No. of
Shares Market Value
COMMON STOCK
BUILDING AND CONSTRUCTION 1.28%
BUILDING MATERIALS
22,200 CHAMPION INTL CORP 1,226,550.00
16,800 GEORGIA PACIFIC CORP 1,434,300.00
76,000 HOME DEPOT 5,239,250.00
19,600 LOUISIANA PAC CORP 414,050.00
30,200 MASCO CORP 1,260,850.00
13,400 OWENS CORNING 577,875.00
CONSTRUCTION EQUIPMENT
7,400 GIDDINGS & LEWIS 154,475.00
PAINT AND FLAT GLASS
36,500 PPG INDUS INC 2,121,562.50
35,600 SHERWIN WILLIAMS CO 1,099,150.00
INDUSTRIAL CHEMICALS
9,600 GREAT LAKES CHEM CRP 502,800.00
14,400 ROHM & HAAS CO 1,296,900.00
MISCELLANEOUS
17,600 FLUOR CORP 971,300.00
7,800 FOSTER WHEELER CORP 315,900.00
7,400 KAUFMAN & BROAD HOME CORP 129,962.50
TOTAL BUILDING AND CONSTRUCTION $16,744,925.00
CHEMICALS AND DRUGS 13.86%
CHEMICALS
23,100 AIR PRODS & CHEMS INC 1,876,875.00
56,000 AMGEN INC 3,255,000.00
24,700 BOSTON SCIENTIFIC CORP 1,517,506.25
42,700 DOW CHEMICAL CO 3,720,237.50
255,400 DUPONT DENEMOURS & CO 16,058,275.00
15,900 EASTMAN CHEMICAL CO 1,009,650.00
39,950 ENGLEHARD CORP 836,453.13
7,500 FMC CORP-NEW 595,781.25
15,200 GRACE W. R. & CO. (NEW) 837,900.00
23,800 HERCULES INC 1,139,425.00
116,600 MONSANTO CO 5,021,087.50
31,100 MORTON INTERNATIONAL INC 938,831.25
13,700 NALCO CHEM CO 529,162.50
28,800 PRAXIAIR INC 1,612,800.00
23,400 SIGMA-ALDRICH CORP 820,462.50
28,000 UNION CARBIDE CORP 1,317,750.00
DRUGS
170,900 ABBOT LABS 11,407,575.00
14,400 ALZA CORP CL A 416,700.00
136,200 AMERICAN HOME PRODUCTS 10,419,300.00
202,000 BRISTOL MYERS SQUIBB CO 16,362,000.00
282,200 JOHNSON & JOHNSON 18,166,625.00
113,300 LILLY ELI & CO 12,385,106.25
230,300 MERCK & CO., INC 23,836,050.00
123,900 PFIZER INC 14,806,050.00
56,820 PHARMACIA & UPJOHN INC 1,974,495.00
162,400 SCHERING PLOUGH 7,774,900.00
50,800 WALGREEN CO 2,724,150.00
COSMETICS
11,600 ALBERTO CULVER CO CL B 324,800.00
27,200 AVON PRODUCTS INC 1,919,300.00
25,000 INTL FLAVORS & FRAGRANCES 1,262,500.00
HEALTH PRODUCTS/CARE
12,600 ALLERGAN INC 400,837.50
10,600 BARD CR INC 384,912.50
12,400 BAUSCH & LOMB 584,350.00
57,300 BAXTER INTL INC. 2,993,925.00
25,600 BECTON DICKINSON & CO 1,296,000.00
24,000 BEVERLY ENTERPRISES INC 390,000.00
171,600 COLUMBIA/HCA HEALTHCARE 6,746,025.00
13,800 GUIDANT CORP 1,173,000.00
46,800 TENET HEALTHCARE CORP 1,383,525.00
11,600 U S SURGICAL 432,100.00
24,600 UTD HEALTHCARE CORP 1,279,200.00
TOTAL CHEMICALS AND DRUGS $181,930,623.13
CONSUMER PRODUCTS 14.39%
CONFECTIONS AND BEVERAGES
90,200 ANHEUSER-BUSCH COS 3,782,762.50
12,800 BROWN FORMAN INC CL B 624,800.00
549,100 COCA COLA CO 38,299,725.00
31,800 NEWELL CO. 1,260,075.00
330,500 PEPSICO INC 12,414,406.25
CONTAINERS
19,600 AVERY DENNISON CORP 786,450.00
5,700 BALL CORP 171,356.25
16,700 CROWN CORK & SEAL INC 892,406.25
13,300 STONE CONTAINER 190,356.25
9,700 TEMPLE INLAND INC 523,800.00
PACKAGED FOOD
115,191 ARCHER DANIELS MIDLAND CO 2,706,988.50
98,000 CAMPBELL SOUP CO 4,900,000.00
51,800 CONAGRA 3,321,675.00
7,300 COORS ADOLPH CO CL B 194,362.50
30,600 CPC INTL INC 2,824,762.50
35,800 GENERAL MILLS INC 2,331,475.00
79,000 HEINZ H J CO 3,643,875.00
33,600 HERSHEY FOODS CORP 1,858,500.00
45,800 KELLOGG CO 3,921,625.00
14,300 PIONEER HI BRED INTL INC 1,144,000.00
28,800 QUAKER OATS CO 1,292,400.00
18,500 RALSTON-PURINA GROUP 1,520,468.75
99,200 SARA LEE CORP 4,129,200.00
38,100 SYSCO CORP 1,390,650.00
400 UNILEVER NV NEW YORK 85,625.00
26,400 WRIGLEY WM JR CO 1,768,800.00
PAPER
11,400 AMERICAN GREETINGS CL A 423,225.00
8,300 BEMIS CO 360,012.50
4,900 BOISE CASCADE CORP 173,031.25
61,812 INTERNATIONAL PAPER CO 3,001,745.25
17,900 JAMES RIVER CORP 662,300.00
118,576 KIMBERLY CLARK CORP 5,899,156.00
10,000 MEAD CORP 622,500.00
5,600 POTLATCH CORP 253,400.00
12,200 UNION CAMP CORP 610,000.00
37,000 WEYERHAEUSER CO 1,924,000.00
200 WILLIAMETTE INDUSTRIAL 14,000.00
PRINTING AND PUBLISHING
5,800 JOSTENS INC 152,975.00
15,900 KNIGHT-RIDDER INC 780,093.75
19,800 MCGRAW-HILL COMPANIES INC 1,164,487.50
11,000 MEREDITH CORP 319,000.00
19,000 NEW YORK TIMES CO CL A 959,500.00
89,200 TIME WARNER INC 4,303,900.00
17,900 TIMES MIRROR CO CL A NEW 1,016,943.75
26,800 TRIBUNE CO 1,288,075.00
19,650 WESTVACO CORP 617,746.88
RECREATIONAL EQUIPMENT
20,300 BRUNSWICK CORP 634,375.00
13,200 HARRAH'S ENTERTAINMENT 240,900.00
21,300 HASBRO INC 604,387.50
50,425 MATTEL INC 1,708,146.88
SOAPS
9,000 CLOROX CO 1,188,000.00
OTHER CONSUMER PRODUCTS
63,000 COLGATE PALMOLIVE CO 4,110,750.00
31,300 FORTUNE BRANDS INC 1,167,881.25
96,300 GILLETTE CO 9,124,425.00
139,600 PROCTER & GAMBLE CO 19,718,500.00
22,600 RUBBERMAID INC 672,350.00
3,800 SPRINGS INDUS INC 200,450.00
12,600 TUPPERWARE CORPORATION 459,900.00
25,600 UST INC 710,400.00
17,800 WHITMAN CORP 450,562.50
PHOTOGRAPHY
73,900 EASTMAN KODAK CO 5,671,825.00
7,800 POLAROID CORP 432,900.00
HOUSEHOLD FURN/APPLIANCES
6,800 ARMSTRONG WORLD IND 498,950.00
21,200 MAYTAG CO 553,850.00
RETAIL
2,400 FEDERATED DEPT STORES NEW 83,400.00
25,200 TJX COS INC (NEW) 664,650.00
APPAREL
38,500 FRUIT OF THE LOOM CL A 1,193,500.00
47,225 LIMITED INC 956,306.25
10,900 LIZ CLAIBORNE INC 508,212.50
56,400 NIKE INC CL B 3,292,350.00
8,400 STRIDE RITE CORP 108,150.00
10,300 V F CORP 876,787.50
BROADCASTING
146,442 DISNEY WALT CO 11,751,970.50
7,700 KING WORLD INC 269,500.00
MISCELLANEOUS
25,100 PALL CORP 583,575.00
TOTAL CONSUMER PRODUCTS $188,963,591.51
DURABLE GOODS 25.73%
AEROSPACE-AIRCRAFT
144,258 BOEING CO 7,654,690.13
11,500 GENERAL DYNAMICS CORP 862,500.00
34,500 LOCKHEED MARTIN CORP 3,572,906.25
48,200 MCDONNELL DOUGLAS CORP 3,301,700.00
11,400 NORTHROP GRUMMAN CORP 1,001,062.50
53,100 RAYTHEON CO 2,708,100.00
37,000 TEXTRON INC 2,455,875.00
51,600 UNITED TECHNOLOGIES CORP 4,282,800.00
AGRICULTURAL MACHINERY
40,500 CATERPILLAR INC 4,348,687.50
50,500 DEERE & CO 2,771,187.50
AUTOMOBILE AND PARTS
36,000 AUTOZONE INC 848,250.00
152,200 CHRYSLER CORP 4,994,062.50
12,500 COOPER TIRE & RUBBER 275,000.00
7,200 CUMMINS ENGINE INC 508,050.00
20,100 DANA CORP 763,800.00
15,600 EATON CORP 1,362,075.00
14,000 ECHLIN INC 504,000.00
203,500 FORD MTR CO 7,682,125.00
140,600 GENERAL MTRS CORP 7,829,662.50
32,550 GENUINE PARTS CO 1,102,631.25
16,400 NAVISTAR INTL CORP (NEW) 282,900.00
30,300 TENNECO INC (NEW) 1,369,181.25
28,000 TRW INC 1,590,750.00
ELECTRICAL
53,804 AMP INC 2,246,317.00
96,000 EMERSON ELEC CO 5,286,000.00
20,700 GENERAL INST CORP 517,500.00
29,900 HONEYWELL INC 2,268,662.50
6,500 RAYCHEM CORP 483,437.50
101,300 WESTINGHOUSE ELEC CORP 2,342,562.50
ELECTRONICS
28,600 ADVANCED MICRO-DEVICES 1,029,600.00
39,900 APPLIED MATLS INC 2,825,418.75
163,200 CISCO SYS INC 10,954,800.00
8,200 E G & G INC 184,500.00
646,000 GENERAL ELECTRIC CO 42,232,250.00
9,600 GENERAL SIGNAL CORP 418,800.00
230,200 HEWLETT PACKARD CO 12,891,200.00
210,900 INTEL CORP 29,908,256.25
1,200 LSI LOGIC CORP 38,400.00
47,600 MICRON TECH 1,901,025.00
36,300 NATIONAL SEMICONDUCTOR 1,111,687.50
9,800 NATIONAL SVC INDS 477,137.50
114,850 ORACLE CORPORATION 5,785,568.75
9,200 PERKIN ELMER CORP 731,975.00
30,400 SEAGATE TECHNOLOGY INC 1,069,700.00
9,200 TEKTRONIX INC 552,000.00
46,900 TEXAS INSTRUMENTS 3,942,531.25
7,700 THOMAS & BETTS CORP 404,731.25
INDUSTRIAL MACHINERY
7,000 AEROQUIP-VICKERS INC 330,750.00
5,400 BRIGGS & STRATTON CORP 270,000.00
700 CASE CORPORATION 48,212.50
9,300 CINCINNATI MILACRON INC 241,218.75
21,700 COOPER INDUS INC 1,079,575.00
21,600 DOVER CORP 1,328,400.00
6,800 HARNISCHFEGER INDUS INC 282,200.00
23,400 INGERSOLL RAND CO 1,444,950.00
1,700 NACCO INDUS INC CL A 95,943.75
50,700 ROCKWELL INTL CORP W/I 2,991,300.00
OFFICE EQUIPMENT AND SUPPLIES
17,700 DELUXE CORP 604,012.50
5,500 HARLAND JOHN H CO 125,468.75
28,100 IKON OFFICE SOLUTIONS 700,743.75
33,400 PITNEY BOWES INC 2,379,750.00
68,500 XEROX CORP. 5,402,937.50
RUBBER
10,900 GOODRICH B F CO 472,106.25
30,200 GOODYEAR TIRE & RUBBER 1,912,037.50
OTHER DURABLE GOODS
36,000 CORNING INCORPORATED 2,002,500.00
10,800 CRANE CO 451,575.00
50,200 ILLINOIS TOOL WORKS 2,506,862.50
8,600 MILLIPORE CORP 378,400.00
81,400 MINNESOTA MNG & MFR 8,302,800.00
20,200 STANLEY WORKS 808,000.00
COMPUTERS AND SOFTWARE
26,900 APPLE COMPUTER INC 383,325.00
1,100 BAY NETWORKS INC 29,218.75
73,400 CABLETRON SYSTEMS INC 2,078,137.50
9,400 CERIDIAN CORP 397,150.00
58,100 COMPAQ COMPUTER CORP 5,766,425.00
77,875 COMPUTER ASSOC INTL INC 4,336,664.06
144,300 CUC INTERNATIONAL 3,724,743.75
8,600 DATA GENL CORP 223,600.00
23,400 DELL COMPUTER CORP 2,748,037.50
42,300 DIGITAL EQUIP CORP 1,499,006.25
274,600 IBM CORP 24,765,487.50
7,200 INTERGRAPH CORP 61,200.00
276,200 MICROSOFT CORP 34,904,775.00
84,900 NOVELL INC 588,993.75
43,300 SILICON GRAPHICS 649,500.00
87,600 SUN MICROSYSTEMS 3,260,362.50
12,400 TANDEM COMPUTERS INC 251,100.00
37,700 UNISYS CORP 287,462.50
HOUSEHOLD FURN/APPLIANCES
13,100 WHIRLPOOL CORP 714,768.75
TELECOMMUNICATIONS
86,900 AIRTOUCH COMMUNICATIONS 2,378,887.50
23,625 ANDREW CORP 664,453.13
27,800 DSC COMMUNICATIONS 618,550.00
110,372 LUCENT TECHNOLOGIES INC 7,953,682.25
72,000 WORLDCOM INC 2,304,000.00
MISCELLANEOUS
56,300 ALLIED-SIGNAL INC 4,729,200.00
17,300 BLACK & DECKER CORP 643,343.75
26,300 ITT INDUSTRIES INC 677,225.00
17,800 JOHNSON CTLS INC 730,912.50
18,300 PARKER HANNIFIN CORP 1,110,581.25
10,600 SNAP ON TOOLS CORP 417,375.00
26,000 THERMO ELECTRON CORP 884,000.00
30,400 TYCO LABS INC 2,114,700.00
TOTAL DURABLE GOODS $337,732,669.07
FINANCIAL 15.71%
BANKS
86,400 BANC ONE CORP 4,185,000.00
71,300 BANK NEW YORK INC 3,101,550.00
143,800 BANKAMERICA CORP 9,284,087.50
34,400 BANKBOSTON CORPORATION 2,478,950.00
19,800 BANKERS TR NY CORP 1,722,600.00
37,800 BARNETT BANKS INC 1,984,500.00
96,720 CHASE MANHATTAN CORP NEW 9,387,885.00
95,900 CITICORP 11,561,943.75
40,650 CORESTATES FINL CORP 2,184,937.50
3,000 FIFTH THIRD BANCORP COM 246,093.75
500 FIRST BANK SYS INC 42,687.50
69,014 FIRST CHICAGO NBD CORP 4,175,347.00
53,725 FIRST UNION CORP 4,969,562.50
51,257 FLEET FINANCIAL GROUP INC 3,242,005.25
42,100 KEYCORP NEW 2,352,337.50
68,625 MBNA CORP 2,513,390.63
44,600 MELLON BANK CORP 2,012,575.00
40,100 MORGAN J P & CO 4,185,437.50
37,100 NATIONAL CITY CORP 1,947,750.00
128,096 NATIONSBANK CORP 8,262,192.00
77,800 NORWEST CORP 4,376,250.00
53,000 PNC FINANCIAL 2,206,125.00
28,800 REPUBLIC NEW YORK CORP 3,096,000.00
41,500 SUNTRUST BANKS INC 2,285,093.75
19,900 U S BANCORP ORE 1,276,087.50
37,700 WACHOVIA CORP 2,198,381.25
20,633 WELLS FARGO & CO 5,560,593.50
FINANCE COMPANIES
105,100 AMERICAN EXPRESS CO 7,829,950.00
10,700 BENEFICIAL CORP 760,368.75
157,600 FED HOME LN MTG CORP 5,417,500.00
700 GREEN TREE FINANCIAL 24,937.50
20,400 HOUSEHOLD INTL CORP 2,395,725.00
HOLDING COMPANY
4,100 EASTERN ENTERPRISES 142,218.75
71,025 MS, DW, DISCOVER & CO 3,058,514.06
FIRE AND CASUALTY INSURANCE
37,200 CHUBB CORP 2,487,750.00
17,600 GENERAL RE CORP 3,203,200.00
29,900 SAFECO CORP 1,395,956.25
INSURANCE
7,254 AEGON N.V. -ARS 508,233.38
25,460 AETNA INC 2,606,467.50
103,669 ALLSTATE CORPORATION 7,567,837.00
92,050 AMERICAN INTL GROUP 13,749,968.75
1,350 AON CORP 69,862.50
15,200 CIGNA CORP 2,698,000.00
25,000 CONSECO INC 925,000.00
26,300 HARTFORD FINANCIAL SVCS 2,176,325.00
57,100 LOEWS CORP 5,717,137.50
26,800 MARSH & MCLENNAN CO. 1,912,850.00
7,000 MBIA INC 789,687.50
9,000 MGIC INVT CROP 431,437.50
17,200 ST PAUL COS INC 1,311,500.00
12,200 TORCHMARK CORP 869,250.00
14,900 TRANSAMERICA CORP 1,394,081.25
136,333 TRAVELERS GROUP INC 8,597,499.81
29,400 UNUM CORP. 1,234,800.00
26,100 USF & G CORP 626,400.00
LIFE INSURANCE
46,140 AMERICAN GENERAL CORP 2,203,161.36
12,550 JEFFERSON PILOT CORP 876,931.25
17,200 LINCOLN NATL CORP IND 1,107,250.00
16,700 PROVIDIAN FINL CORP W/I 536,487.50
REAL ESTATE
232,800 FEDERAL NATL MTGE ASSN 10,155,900.00
15,000 HFS 870,000.00
SAVINGS & LOANS
28,500 AHMANSON H F & CO 1,225,500.00
14,100 GOLDEN WEST FINL CORP 987,000.00
32,300 GREAT WESTERN FINL 1,736,125.00
BROKERAGE
76,400 MERRILL LYNCH & CO 4,555,350.00
21,700 SALOMON INC 1,207,062.50
TOTAL FINANCIAL $206,202,588.99
METALS AND MINING 0.78%
ALUMINUM
36,000 ALUMINUM CO AMER 2,713,500.00
12,500 REYNOLDS METALS CO 890,625.00
MINING
21,600 HOMESTAKE MNG CO 282,150.00
STEEL
30,255 ALLEGHENY TELEDYNE 816,885.00
20,200 ARMCO, INC. 78,275.00
18,900 BETHLEHEM STEEL CORP 197,268.75
8,800 INLAND STEEL INDUS INC 229,900.00
11,600 NUCOR CORP 664,100.00
14,800 TIMKEN CO 526,325.00
15,000 USX-US STEEL GROUP 525,937.50
18,900 WORTHINGTON INDS INC 346,106.25
OTHER METALS
8,100 ASARCO INC 248,062.50
18,800 BATTLE MOUNTAIN GOLD CL A 106,925.00
29,437 NEWMONT MNG CORP 1,148,043.00
12,000 PHELPS DODGE CORP 1,022,250.00
MINERALS
19,200 CYPRUS AMAX MINERALS CO 470,400.00
TOTAL METALS AND MINING $10,266,753.00
COLLECTIBLES & PRECIOUS MATERIALS 0.04%
GOLD-DIAMOND-GEMS
15,600 FREEPORT-MCMORAN COPPER-B 485,550.00
TOTAL COLLECTIBLES & PRECIOUS MATERIALS $485,550.00
OIL-ENERGY 7.42%
OIL & GAS PRODUCERS
18,500 AMERADA HESS CORP 1,027,906.25
101,500 AMOCO CORP 8,824,156.25
21,800 COASTAL CORP 1,159,487.50
16,400 ENSERCH CORP 364,900.00
5,500 HELMERICH & PAYNE INC. 316,937.50
400 MCDERMOTT INTL INC 11,675.00
71,300 OCCIDENTAL PETROLEUM 1,786,956.25
18,800 ROWAN COS INC 529,925.00
16,700 SANTA FE ENERGY RES INC 245,281.25
39,892 UNION PACIFIC RESOURCES 992,313.50
70,000 USX-MARTHON GROUP COM NEW 2,021,250.00
NATURAL RESOURCES
36,500 DRESSER INDUS INC 1,359,625.00
10,400 KERR MCGEE CORP 659,100.00
6,300 LOUISIANA LD & EXPL CO 359,887.50
37,950 WILLIAMS COS INC-DEL 1,660,312.50
OIL EQUIPMENT, WELLS & SVCS
13,200 ASHLAND, INC 612,150.00
30,000 BAKER HUGHES INC 1,160,625.00
23,800 HALLIBURTON CO 1,886,150.00
11,000 WESTERN ATLAS INC 805,750.00
OIL - DOMESTIC
25,900 BURLINGTON RESOURCES INC 1,142,837.50
9,500 PENNZOIL CO 729,125.00
47,800 PHILLIPS PETE CO 2,091,250.00
55,000 UNOCAL CORP 2,134,687.50
OIL - INTERNATIONAL
72,400 ATLANTIC RICHFIELD CO 5,104,200.00
141,200 CHEVRON CORP 10,439,975.00
511,200 EXXON CORP. 31,438,800.00
161,200 MOBIL CORP 11,263,850.00
26,000 ORYX ENERGY COMPANY 549,250.00
8,800 ROYAL DUTCH PETE CO NY 475,200.00
13,500 SUN CO INC 418,500.00
53,400 TEXACO INC 5,807,250.00
TOTAL OIL-ENERGY $97,379,313.50
RETAIL 3.33%
DEPARTMENT STORES
22,100 CVS CORP 1,132,625.00
32,400 DAYTON HUDSON CORP 1,723,275.00
18,700 DILLARDS INCORPORATED 647,487.50
12,700 HARCOURT GENERAL INC 604,837.50
102,700 K MART 1,258,075.00
47,000 MAY DEPT STORES CO 2,220,750.00
8,300 MERCANTILE STORES 522,381.25
36,700 PENNEY JC INC 1,915,281.25
77,100 SEARS ROEBUCK & CO 4,144,125.00
358,900 WAL MART STORES INC 12,135,306.25
34,900 WINN-DIXIE STORES INC 1,300,025.00
19,200 WOOLWORTH CORP 460,800.00
GROCERY
52,100 ALBERTSON'S INC 1,901,650.00
33,400 AMERICAN STORES CO 1,649,125.00
7,800 FLEMING COS 140,400.00
13,800 GIANT FOOD INC 446,775.00
8,800 GREAT ATLANTIC & PAC TEA 239,250.00
37,200 KROGER CO 1,078,800.00
11,600 SUPERVALUE INC 400,200.00
OTHER RETAIL
17,900 CIRCUIT CITY STORES 636,568.75
45,600 COSTCO COMPANIES INC 1,499,100.00
7,800 LONGS DRUG STORES CORP 204,262.50
20,200 LOWES COS INC 749,925.00
6,600 PEP BOYS-MAN, MO, JACK 224,812.50
18,000 RITE AID CORP 897,750.00
7,100 TANDY CORP 397,600.00
58,600 TOYS R US 2,051,000.00
SPORTING GOODS
11,100 REEBOK INTL LTD 518,925.00
6,700 RUSSELL CORP 198,487.50
APPAREL
17,800 CHARMING SHOPPES INC 92,893.75
42,200 GAP INC 1,640,525.00
13,800 NORDSTROM INC 677,062.50
TOTAL RETAIL $43,710,081.25
UTILITIES 8.02%
ELECTRIC
37,900 AMERICAN ELEC PWR INC 1,591,800.00
27,500 BALTIMORE GAS & ELEC 733,906.25
24,600 CAROLINA PWR & LT CO 882,525.00
42,200 CENTRAL & SOUTH WEST CORP 896,750.00
23,900 CINERGY CORP 832,018.75
42,400 CON. EDISON NY INC 1,248,150.00
42,700 DOMINION RES INC-VA 1,563,887.50
74,325 DUKE POWER CO 3,562,954.69
95,400 EDISON INTERNATIONAL 2,373,075.00
47,300 ENTERGY CORP NEW 1,294,837.50
35,600 FPL GROUP INC 1,639,825.00
20,700 GPU INC 742,612.50
51,400 HOUSTON INDS INC 1,101,887.50
34,200 NIAGARA MOHAWK PWR 292,837.50
13,600 NORTHERN STS PWR CO 703,800.00
35,200 OHIO EDISON CO 767,800.00
53,600 PACIFICORP 1,179,200.00
44,800 PECO ENERGY 940,800.00
89,300 PG&E CORP 2,165,525.00
2,200 PP&L RESOURCES INC 43,862.50
42,400 PUBLIC SVC ENTERPRISE GRP 1,060,000.00
186,081 SBC COMMUNICATIONS INC 11,513,761.88
137,700 SOUTHERN CO 3,012,187.50
44,100 UNICOM CORP 981,225.00
18,000 UNION ELECTRIC CO 678,375.00
GAS
11,900 COLUMBIA GAS SYS INC 776,475.00
17,500 CONSOLIDATED NATL GAS 941,718.75
50,800 ENRON CORP 2,073,275.00
10,600 NICOR INC 380,275.00
26,600 NORAM ENERGY CORP 405,650.00
6,600 ONEOK INC 212,437.50
15,000 PACIFIC ENTERPRISES 504,375.00
8,300 PEOPLES ENERGY CORP 310,731.25
16,600 SONAT INC 850,750.00
43,900 TEXAS UTILITIES CO 1,511,806.25
TELEPHONE
285,400 A T & T 10,006,837.50
23,900 ALLTEL CORP 799,156.25
97,400 BELL ATLANTIC CORP 7,390,225.00
193,800 BELLSOUTH CORP 8,987,475.00
27,300 FRONTIER CORP 544,293.75
179,800 GTE CORP 7,888,725.00
89,500 NYNEX CORP 5,157,437.50
76,800 SPRINT CORP 4,041,600.00
103,100 U S WEST INC 3,885,581.25
130,500 U S WEST MEDIA GROUP 2,642,625.00
WASTE DESPOSAL
44,800 BROWNING FERRIS IND 1,489,600.00
84,453 WASTE MANAGEMENT INC 2,713,052.63
TOTAL UTILITIES $105,317,706.70
MISCELLANEOUS 9.11%
BROADCAST/COMMUNICATIONS
53,250 COMCAST CORP CL A SPL 1,138,218.75
32,300 GANNETT CO., INC 3,189,625.00
136,100 MCI COMMUNICATIONS 5,210,078.13
116,000 MOTOROLA INC 8,816,000.00
112,300 TELE COMM. INC CL A 1,670,462.50
71,800 TELLABS INC 4,011,825.00
72,200 VIACOM INC CL B NON VTG 2,166,000.00
BUSINESS SERVICES
25,200 AMDAHL CORP 220,500.00
4,000 AUTODESK INC 153,250.00
57,500 AUTOMATIC DATA PROC 2,702,500.00
18,300 BLOCK H&R INC 590,175.00
22,000 COMPUTER SCIENCES CORP 1,586,750.00
25,900 DONNELLEY RR & SONS 948,587.50
14,600 DOW JONES & CO 586,737.50
27,100 DUN & BRADSTREET 711,375.00
12,700 E M C CORP 495,300.00
12,700 ECOLAB INC 606,425.00
84,100 FIRST DATA CORP 3,695,143.75
8,800 GRAINGER W W INC 688,050.00
16,900 INTERPUBLIC GROUP COS 1,036,181.25
9,800 SAFETY KLEEN CORP 165,375.00
14,000 SCIENTIFIC-ATLANTA 306,250.00
43,500 SERVICE CORP INTL 1,430,062.50
2,900 THREE COM CORP 130,500.00
FOOD SERVICE
37,000 DARDEN RESTAURANTS INC 335,312.50
151,400 MCDONALDS CORP 7,314,512.50
486,600 PHILLIP MORRIS CO INC 21,592,875.00
20,100 WENDYS INTL INC 521,343.75
HOTEL & MOTEL
49,700 HILTON HOTELS CORP 1,320,156.25
26,300 ITT CORP NEW 1,605,943.75
24,200 MARRIOTT INTL CORP 1,485,275.00
HOUSING
3,900 PULTE CORP 134,793.75
MED SERV & SUPPLIES
23,600 BIOMET INC 439,550.00
42,400 HEALTHSOUTH CORPORATION 1,057,350.00
1,300 HUMANA INC 30,062.50
10,900 MANOR CARE INC 355,612.50
55,400 MEDTRONIC INC 4,487,400.00
4,900 SHARED MEDICAL SYS CORP 264,600.00
13,000 ST. JUDE MED INC. 507,000.00
REAL ESTATE
4,500 CENTEX CORP 182,812.50
TRANSPORTATION
22,000 AMR CORP 2,035,000.00
31,603 BURLINGTON NRTHN SANTA FE 2,840,319.63
9,000 CALIBER SYSTEMS INC 335,250.00
48,800 CSX CORP 2,708,400.00
10,400 DELTA AIR LINES INC 852,800.00
20,500 FEDERAL EXPRESS CORP 1,183,875.00
8,700 FLEETWOOD ENTERPRISES 259,368.75
23,500 NORFOLK SOUTHERN CORP 2,367,625.00
16,600 PACCAR INC 770,862.50
14,900 RYDER SYSTEMS INC 491,700.00
32,100 SOUTHWEST AIRLINES CO 830,587.50
12,800 U S AIR GROUP 448,000.00
46,100 UNION PACIFIC CORP 3,250,050.00
MISCELLANEOUS
27,500 COGNIZANT CORP 1,113,750.00
15,200 MALLINCKRODT (NEW) 592,800.00
3,300 SCHLUMBERGER 412,500.00
53,100 WARNER-LAMBERT 6,597,675.00
TELECOMMUNICATIONS
117,600 AMERITECH CORP NEW 7,989,450.00
6,800 HARRIS CORP-DEL 571,200.00
TOTAL MISCELLANEOUS $119,541,185.26
UTILITIES 0.06%
ELECTRIC
28,200 DTE ENERGY COMPANY 779,025.00
TOTAL UTILITIES $779,025.00
TOTAL COMMON STOCK $1,309,054,012.41
OTHER
0.28%
CASH EQUIVALENTS
3,728,610 AIM SHORT TERM INV SER 2 3,728,609.91
TOTAL $3,728,609.91
TOTAL OTHER $3,728,609.91
TOTAL INVESTMENTS - 100.00% $1,312,782,622.32
(cost $796,511,300)
See accompanying notes to financial statements
