GREAT LAKES FUND, INC.
Statement of Assets and Liabilities
June 30, 1998
(Unaudited)
Assets
Investments, at value (@ cost $767,330,468) $ 1,646,102,253
Dividends receivable 1,705,622
Interest receivable 29,068
Prepaid expenses 28,179
Receivable for securities sold - unsettled trades 126,795
Deferred organization costs, net 12,892
Total Assets 1,648,004,809
Liabilities
AMPS Dividends Payable 1,224,574
Cash 1,170
Accrued expenses 623,696
Notes payable 262,500
Payable for securities purchased - unsettled trades 3,999,930
Accrued interest expense 6,956
Total Liabilities 6,118,826
Net Assets $ 1,641,885,983
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 290,222,598
Accumulated net realized loss (2,483,484)
Net unrealized appreciation of investments 878,771,785
Net Assets $ 1,641,885,983
Net asset value per common shares outstanding $ 31.11
See accompanying notes to the financial statements.
GREAT LAKES FUND, INC.
Statement of Operations
For the period from January 1, 1998 to June 30, 1998
(Unaudited)
Investment income:
Dividend income $ 11,339,675
Interest income 175,049
Total investment income 11,514,724
Expenses:
Administration fees 467,018
Investment management fee 77,578
Broker dealer fee 708,719
Rating agencies fees 20,676
Legal fees 1,488
Auction agent fee 14,556
Independent auditors 19,501
Interest expense 13,038
Insurance 7,966
Directors fees and expenses 3,570
Amortization of organization costs 3,479
Other expenses 1,162
Total expenses 1,338,751
Net investment income 10,175,973
Net realized and unrealized gains on investments:
Net realized gain on investments:
Proceeds from sales $ 22,805,572
Cost of securities sold (20,948,430)
1,857,142
Unrealized appreciation of investments:
Beginning of period 644,012,337
End of period 878,771,785
Increase in net unrealized appreciation of investments 234,759,448
Net increase in net assets resulting
from operations $ 246,792,563
See accompanying notes to the financial statements.
GREAT LAKES FUND, INC.
Statement of Changes in Net Assets
For the period from January 1, 1998 to June 30, 1998
and for the year ended December 31, 1997
(Unaudited)
For the six
months ended For the
June 30, 1998 year ended
(UNAUDITED) December 31, 1997
From operations:
Net investment income $ 10,175,973 19,400,273
Net realized gain on investments 1,857,142 (2,777,261)
Net change in unrealized appreciation
on investments 234,759,448 340,597,383
Increase in net assets resulting from
operations 246,792,563 357,220,395
Dividends from net investment income:
Auction market preferred stock (10,175,973) (19,192,811)
Common stock 0 (207,462)
(10,175,973) (19,400,273)
Distributions from net realized gains:
Auction market preferred stock (1,621,561) 0
Common stock 0 0
(1,621,561) 0
Decrease in net assets resulting from (11,797,534) (19,400,273)
distributions to stockholders
Increase (decrease) from capital share transactions:
Issuance of auction market preferred stock 0 75,000,000
Capital contribution from common stockholder 1,239,000 8,000,000
Distribution of capital to common stockholder 0 (61,732,414)
1,239,000 21,267,586
Total increase in net assets 236,234,029 359,087,708
Net assets:
Beginning of period 1,405,651,954 1,046,564,246
End of period $ 1,641,885,983 1,405,651,954
See accompanying notes to the financial statements.
GREAT LAKES FUND, INC.
Notes to the Financial Statements
June 30, 1998
(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.
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.
Security Transactions
Security transactions are accounted for on a trade date plus
one business day basis which does not differ materially from 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.
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.
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 is
determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. Amounts
distributed in excess of taxable income and net realized
gains, if any, are considered a return of capital.
1. Organization and Significant Accounting Policies
(continued)
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.
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.
For the period ended June 30, 1998 and the year ended December
31, 1997, dividend and capital gain distributions to the
common stockholder were $0 and $207,462 respectively.
During the six months ended June 30, 1998 and the year ended
December 31, 1997, return of capital distributions to the
common stockholder amounted to $0 and approximately
$62,000,000, respectively.
During 1997, the common stockholder made a capital
contribution to the Fund in the amount of $8,000,000.
Comerica Bank serves as both custodian and administrator for
the Fund and receives a fee based on net assets outstanding at
the end of the fiscal year. The annual fee as a percentage of
net assets at June 30, 1998 was .06% and was .15% at December
31, 1997. 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
and generally paid on a quarterly basis.
3. Investment Transactions
The aggregate cost of securities purchased and the aggregate
proceeds of securities sold excluding short-term securities,
for the six months ended June 30, 1998 were $12,814,836 and
$5,352,891, respectively.
As of June 30, 1998, the net unrealized appreciation of
$878,771,785 is comprised of aggregate gross unrealized
appreciation and depreciation of investments of $885,749,942
and $6,978,157, respectively.
4. Auction Market Preferred Stock ("AMPS")
The Fund has outstanding at June 30, 1998, 1000 shares of
Series A, Series B and Series C, 500 shares each of Series D
and Series E, and 750 shares of Series F AMPS. The AMPS rates
in effect on June 30, 1998 were 4.18%, 4.125%, 4.2%, 4.15%,
4.06% and 4.1% for Series A, Series B, Series C, Series D,
Series E and Series F, respectively.
In February 1997 the Fund issued $75 million of AMPS.
During 1997, the Fund redeemed 1000 shares of Series A, 1000
shares of Series B, 600 shares of Series C, 500 shares of
Series D and 500 shares of Series E AMPS.
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. Dividends are cumulative
from the date of original issue and are paid every 49 days at
a rate set through Dutch Auction. 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, 1998, the Fund had $262,500 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, 1998, the Fund was paying interest at
9.23% per annum.
6. Year 2000 (Unaudited)
Like other mutual funds, financial and business organizations
and individuals around the world, the Fund could be adversely
affected if the computer systems used by the
advisor/administrator and other service providers do not
properly process and calculate date-related information and
data from and after January 1, 2000. This is commonly known
as the "Year 2000 Problem". The advisor/administrator is
taking steps that it believes are reasonably designed to
address the Year 2000 Problem with respect to computer systems
that it uses and to obtain reasonable assurances that
comparable steps are being taken by the Fund's other major
service providers. At this time, however, there can be no
assurance that these steps will be sufficient to avoid any
adverse impact to the Fund.
GREAT LAKES FUND, INC.
Financial Highlights
For the six
months ended Year ended December 31,
June 30, 1998 1997 1996 1995(1)
For a share of common stock outstanding
throughout the period:
Net asset value, beginning of period 24.81 17.24 13.77 10.00
Net investment income 0.27 0.52 0.46 0.33
Net realized and unrealized gains
on investments 6.31 9.01 4.91 3.77
Total from investment operations 6.58 9.53 5.37 4.10
Capital contribution 0.03 0.21 0.00 0.00
Less distributions from net investment income:
Common stock equivalent of dividends
paid to AMPS holders (0.27) (0.51) (0.40) (0.27)
Dividends paid to common shareholders 0.00 (0.01) (0.07) (0.05)
Less distributions from net realized gains:
Common stock equivalent of dividends (0.04) 0.00 0.00 0.00
paid to AMPS holders
Dividends paid to common shareholders 0.00 0.00 (0.10) (0.01)
Less distributions from paid-in capital:
Distribution of capital to common stock 0.00 (1.65) (1.33) 0.00
Total distributions (0.31) (2.17) (1.90) (0.33)
Net asset value, end of period 31.11 24.81 17.24 13.77
Total investment return 17.56% 34.13% 38.98% 40.90%(2)
Ratios/supplemental data:
Net assets at end of period (000s) 1641,886 1405,652 1046,564 866,034
Average net assets (000s) 1559,271 1291,147 1282,826 854,566
Ratio of expenses to average net assets
applicable to common stock (4) 0.09% 0.26% 0.40% 0.10%(3)
Ratio of net investment income to average net
assets applicable to common stock (4) 0.65% 1.50% 1.34% 1.27%(3)
Portfolio turnover 0.34% 3.53% 2.23% 2.22%
Average commissions paid on equity
securities transactions (4) 0.0130 $0.0300 $0.0200 0.00
Asset coverage per AMPS share
end of period 345,660 295,927 $261,641 247,438
AMPS shares outstanding 4,750 4,750 4,000 3,500
Asset coverage for notes payable,
end of period 625480% 460115% 329108% 271484%
Notes payable, end of period $262,500 $305,500 $318,000 $319,000
(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)Ratios are calculated on the basis of income and expenses applicable to
both the common and preferred stock relative to the average net assets
of the common stockholder. Ratios do not reflect the effect of dividend
payments to AMPS holders. Ratios from 1996 and years prior have been
restated to exclude the effect of dividend payments to 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 statements.
GREAT LAKES FUND, INC.
Portfolio of Investments
June 30, 1998
(Unaudited)
No. of
Shares Market Value
COMMON STOCK
BUILDING AND CONSTRUCTION 1.20%
BUILDING MATERIALS
15,300 CHAMPION INTL CORP 752,568.75
16,800 GEORGIA PACIFIC CORP 990,150.00
114,000 HOME DEPOT 9,469,125.00
10,600 LOUISIANA PAC CORP 193,450.00
30,200 MASCO CORP 1,827,100.00
8,800 OWENS CORNING 359,150.00
PAINT AND FLAT GLASS
36,500 PPG INDUS INC 2,539,031.25
35,600 SHERWIN WILLIAMS CO 1,179,250.00
INDUSTRIAL CHEMICALS
2,600 GREAT LAKES CHEM CRP 102,537.50
14,400 ROHM & HAAS CO 1,496,700.00
MISCELLANEOUS
10,600 FLUOR CORP 540,600.00
4,300 FOSTER WHEELER CORP 92,181.25
7,400 KAUFMAN & BROAD HOME CORP 234,950.00
TOTAL BUILDING AND CONSTRUCTION $19,776,793.75
CHEMICALS AND DRUGS 14.00%
CHEMICALS
46,200 AIR PRODS & CHEMS INC 1,848,000.00
56,000 AMGEN INC 3,661,000.00
23,400 BOSTON SCIENTIFIC CORP 1,676,025.00
42,700 DOW CHEMICAL CO 4,128,556.25
255,400 DUPONT DENEMOURS & CO 19,059,225.00
15,900 EASTMAN CHEMICAL CO 989,775.00
31,050 ENGLEHARD CORP 628,762.50
7,500 FMC CORP-NEW 511,406.25
13,500 HERCULES INC 555,187.50
116,600 MONSANTO CO 6,515,025.00
31,100 MORTON INTERNATIONAL INC 777,500.00
13,700 NALCO CHEM CO 481,212.50
650 OCTEL CORP 12,918.75
28,700 PRAXIAIR INC 1,343,518.75
23,400 SIGMA-ALDRICH CORP 821,925.00
28,000 UNION CARBIDE CORP 1,494,500.00
15,200 WR GRACE & CO NEW 259,350.00
DRUGS
341,800 ABBOT LABS 13,971,075.00
12,100 ALZA CORP CL A 523,325.00
272,400 AMERICAN HOME PRODUCTS 14,096,700.00
202,000 BRISTOL MYERS SQUIBB CO 23,217,375.00
282,200 JOHNSON & JOHNSON 20,812,250.00
226,600 LILLY ELI & CO 14,969,762.50
230,200 MERCK & CO., INC 30,789,250.00
247,800 PFIZER INC 26,932,762.50
45,820 PHARMACIA & UPJOHN INC 2,113,447.50
162,400 SCHERING PLOUGH 14,879,900.00
101,600 WALGREEN CO 4,197,350.00
COSMETICS
11,600 ALBERTO CULVER CO CL B 336,400.00
27,200 AVON PRODUCTS INC 2,108,000.00
14,900 INTL FLAVORS & FRAGRANCES 647,218.75
HEALTH PRODUCTS/CARE
9,700 ALLERGAN INC 449,837.50
5,900 BARD CR INC 224,568.75
8,900 BAUSCH & LOMB 446,112.50
57,300 BAXTER INTL INC. 3,083,456.25
25,600 BECTON DICKINSON & CO 1,987,200.00
171,600 COLUMBIA/HCA HEALTHCARE 4,997,850.00
27,600 GUIDANT CORP 1,968,225.00
46,800 TENET HEALTHCARE CORP 1,462,500.00
10,800 U S SURGICAL 492,750.00
16,600 UTD HEALTHCARE CORP 1,054,100.00
TOTAL CHEMICALS AND DRUGS $230,525,303.75
CONSUMER PRODUCTS 13.16%
CONFECTIONS AND BEVERAGES
90,000 ANHEUSER-BUSCH COS 4,246,875.00
12,800 BROWN FORMAN INC CL B 822,400.00
480,200 COCA COLA CO 41,057,100.00
31,800 NEWELL CO. 1,584,037.50
330,500 PEPSICO INC 13,612,468.75
CONTAINERS
19,600 AVERY DENNISON CORP 1,053,500.00
3,300 BALL CORP 132,618.75
9,500 CROWN CORK & SEAL INC 451,250.00
8,147 SEALED AIR CORP 299,409.60
4,900 STONE CONTAINER 76,562.50
9,700 TEMPLE INLAND INC 522,587.50
PACKAGED FOOD
120,950 ARCHER DANIELS MIDLAND CO 2,343,406.25
61,200 BESTFOODS 3,553,425.00
98,000 CAMPBELL SOUP CO 5,206,250.00
103,600 CONAGRA 3,282,825.00
7,300 COORS ADOLPH CO CL B 248,200.00
30,100 GENERAL MILLS INC 2,058,087.50
79,000 HEINZ H J CO 4,433,875.00
33,600 HERSHEY FOODS CORP 2,318,400.00
91,600 KELLOGG CO 3,440,725.00
42,900 PIONEER HI BRED INTL INC 1,774,987.50
28,800 QUAKER OATS CO 1,582,200.00
18,500 RALSTON-PURINA GROUP 2,161,031.25
99,200 SARA LEE CORP 5,549,000.00
76,200 SYSCO CORP 1,952,625.00
26,400 WRIGLEY WM JR CO 2,587,200.00
PAPER
11,400 AMERICAN GREETINGS CL A 580,687.50
8,200 BEMIS CO 335,175.00
3,800 BOISE CASCADE CORP 124,450.00
17,900 FORT JAMES CORPORATION 796,550.00
61,812 INTERNATIONAL PAPER CO 2,657,916.00
119,479 KIMBERLY CLARK CORP 5,481,099.13
20,000 MEAD CORP 635,000.00
5,600 POTLATCH CORP 235,200.00
7,200 UNION CAMP CORP 357,300.00
37,000 WEYERHAEUSER CO 1,708,937.50
400 WILLIAMETTE INDUSTRIAL 12,800.00
PRINTING AND PUBLISHING
5,800 JOSTENS INC 139,925.00
15,900 KNIGHT-RIDDER INC 875,493.75
19,800 MCGRAW-HILL COMPANIES INC 1,614,937.50
11,000 MEREDITH CORP 516,312.50
19,000 NEW YORK TIMES CO CL A 1,505,750.00
89,200 TIME WARNER INC 7,621,025.00
17,900 TIMES MIRROR CO CL A NEW 1,125,462.50
26,800 TRIBUNE CO 1,844,175.00
19,650 WESTVACO CORP 555,112.50
RECREATIONAL EQUIPMENT
20,300 BRUNSWICK CORP 502,425.00
3,600 HARRAH'S ENTERTAINMENT 83,700.00
21,300 HASBRO INC 837,356.25
50,425 MATTEL INC 2,133,607.81
SOAPS
18,000 CLOROX CO 1,716,750.00
OTHER CONSUMER PRODUCTS
63,000 COLGATE PALMOLIVE CO 5,544,000.00
31,300 FORTUNE BRANDS INC 1,203,093.75
192,600 GILLETTE CO 10,918,012.50
279,200 PROCTER & GAMBLE CO 25,424,650.00
9,800 RUBBERMAID INC 325,237.50
3,800 SPRINGS INDUS INC 175,275.00
6,800 TUPPERWARE CORPORATION 191,250.00
22,700 UST INC 612,900.00
PHOTOGRAPHY
73,200 EASTMAN KODAK CO 5,348,175.00
7,800 POLAROID CORP 277,387.50
HOUSEHOLD FURN/APPLIANCES
6,700 ARMSTRONG WORLD IND 451,412.50
21,200 MAYTAG CO 1,046,750.00
RETAIL
2,400 FEDERATED DEPT STORES NEW 129,150.00
50,400 TJX COS INC (NEW) 1,215,900.00
APPAREL
646 ABERCROMBIE & FITCH CO A 28,411.15
30,300 FRUIT OF THE LOOM CL A 1,005,581.25
47,225 LIMITED INC 1,564,328.13
10,900 LIZ CLAIBORNE INC 569,525.00
56,400 NIKE INC CL B 2,745,975.00
20,600 V F CORP 1,059,612.50
19,000 VENATOR GROUP INC 363,375.00
BROADCASTING
146,442 DISNEY WALT CO 15,385,562.63
15,400 KING WORLD INC 392,700.00
MISCELLANEOUS
13,900 PALL CORP 284,950.00
TOTAL CONSUMER PRODUCTS $216,611,409.45
DURABLE GOODS 26.17%
AEROSPACE-AIRCRAFT
206,918 BOEING CO 9,220,783.38
23,000 GENERAL DYNAMICS CORP 1,069,500.00
34,500 LOCKHEED MARTIN CORP 3,652,687.50
11,400 NORTHROP GRUMMAN CORP 1,175,625.00
37,000 TEXTRON INC 2,652,437.50
51,600 UNITED TECHNOLOGIES CORP 4,773,000.00
AGRICULTURAL MACHINERY
81,000 CATERPILLAR INC 4,282,875.00
50,500 DEERE & CO 2,670,187.50
AUTOMOBILE AND PARTS
36,000 AUTOZONE INC 1,149,750.00
152,200 CHRYSLER CORP 8,580,275.00
3,800 COOPER TIRE & RUBBER 78,375.00
7,200 CUMMINS ENGINE INC 369,000.00
20,100 DANA CORP 1,075,350.00
15,600 EATON CORP 1,212,900.00
9,100 ECHLIN INC 446,468.75
203,500 FORD MTR CO 12,006,500.00
140,600 GENERAL MTRS CORP 9,393,837.50
32,550 GENUINE PARTS CO 1,125,009.38
16,400 NAVISTAR INTL CORP (NEW) 473,550.00
30,300 TENNECO INC (NEW) 1,153,293.75
28,000 TRW INC 1,529,500.00
ELECTRICAL
53,804 AMP INC 1,849,512.50
96,000 EMERSON ELEC CO 5,790,000.00
24,200 HONEYWELL INC 2,022,212.50
13,000 RAYCHEM CORP 384,312.50
ELECTRONICS
16,300 ADVANCED MICRO-DEVICES 278,118.75
79,800 APPLIED MATLS INC 2,354,100.00
244,800 CISCO SYS INC 22,536,900.00
7,000 E G & G INC 210,000.00
646,000 GENERAL ELECTRIC CO 58,786,000.00
7,800 GENERAL INSTRUMENT CORP 212,062.50
9,600 GENERAL SIGNAL CORP 345,600.00
230,200 HEWLETT PACKARD CO 13,783,225.00
428,200 INTEL CORP 31,740,325.00
30,000 MICRON TECH 744,375.00
36,300 NATIONAL SEMICONDUCTOR 478,706.25
9,800 NATIONAL SVC INDS 498,575.00
172,275 ORACLE CORPORATION 4,231,504.69
9,200 PERKIN ELMER CORP 572,125.00
0 RAYTHEON CO CL A 3.57
53,100 RAYTHEON CO CL B 3,139,537.50
10,000 SEAGATE TECHNOLOGY INC 238,125.00
13,800 TEKTRONIX INC 488,175.00
93,800 TEXAS INSTRUMENTS 5,469,712.50
7,700 THOMAS & BETTS CORP 379,225.00
INDUSTRIAL MACHINERY
7,000 AEROQUIP-VICKERS INC 408,625.00
5,400 BRIGGS & STRATTON CORP 202,162.50
700 CASE CORPORATION 33,775.00
6,800 CINCINNATI MILACRON INC 165,325.00
21,700 COOPER INDUS INC 1,192,143.75
43,200 DOVER CORP 1,479,600.00
4,800 HARNISCHFEGER INDUS INC 135,900.00
35,100 INGERSOLL RAND CO 1,546,593.75
1,700 NACCO INDUS INC CL A 219,725.00
49,600 ROCKWELL INTL CORP W/I 2,383,900.00
OFFICE EQUIPMENT AND SUPPLIES
17,700 DELUXE CORP 633,881.25
19,200 IKON OFFICE SOLUTIONS 279,600.00
66,800 PITNEY BOWES INC 3,214,750.00
68,500 XEROX CORP. 6,961,312.50
RUBBER
10,900 GOODRICH B F CO 540,912.50
30,200 GOODYEAR TIRE & RUBBER 1,946,012.50
OTHER DURABLE GOODS
36,000 CORNING INCORPORATED 1,251,000.00
10,800 CRANE CO 524,475.00
50,200 ILLINOIS TOOL WORKS 3,347,712.50
8,600 MILLIPORE CORP 234,350.00
81,400 MINNESOTA MNG & MFR 6,690,062.50
20,200 STANLEY WORKS 839,562.50
COMPUTERS AND SOFTWARE
17,500 APPLE COMPUTER INC 502,031.25
1,100 BAY NETWORKS INC 35,475.00
60,700 CABLETRON SYSTEMS INC 815,656.25
5,700 CERIDIAN CORP 334,875.00
342,548 COMPAQ COMPUTER CORP 9,719,785.31
116,812 COMPUTER ASSOC INTL INC 6,490,366.75
8,600 DATA GENL CORP 128,462.50
93,600 DELL COMPUTER CORP 8,687,250.00
274,600 IBM CORP 31,527,512.50
566,000 MICROSOFT CORP 61,340,250.00
56,300 NOVELL INC 717,825.00
28,100 SILICON GRAPHICS 340,712.50
87,600 SUN MICROSYSTEMS 3,805,125.00
37,700 UNISYS CORP 1,065,025.00
HOUSEHOLD FURN/APPLIANCES
13,100 WHIRLPOOL CORP 900,625.00
TELECOMMUNICATIONS
86,900 AIRTOUCH COMMUNICATIONS 5,078,218.75
23,625 ANDREW CORP 426,726.56
40,000 ASCEND COMMUNICATIONS 1,982,500.00
17,800 DSC COMMUNICATIONS 534,000.00
220,744 LUCENT TECHNOLOGIES INC 18,363,141.50
130,500 MEDIAONE GROUP INC (NEW) 5,733,843.75
72,000 WORLDCOM INC 3,487,500.00
MISCELLANEOUS
112,600 ALLIED-SIGNAL INC 4,996,625.00
17,300 BLACK & DECKER CORP 1,055,300.00
26,300 ITT INDUSTRIES INC 982,962.50
17,800 JOHNSON CTLS INC 1,015,712.50
27,450 PARKER HANNIFIN CORP 1,046,531.25
10,600 SNAP ON TOOLS CORP 384,250.00
13,000 THERMO ELECTRON CORP 444,437.50
TOTAL DURABLE GOODS $430,797,446.14
FINANCIAL 17.59%
BANKS
95,040 BANC ONE CORP 5,304,420.00
71,300 BANK NEW YORK INC 4,327,018.75
143,800 BANKAMERICA CORP 12,429,712.50
68,800 BANKBOSTON CORPORATION 3,827,000.00
19,800 BANKERS TR NY CORP 2,298,037.50
193,440 CHASE MANHATTAN CORP NEW 14,604,720.00
95,900 CITICORP 14,313,075.00
6,750 FIFTH THIRD BANCORP COM 425,250.00
69,014 FIRST CHICAGO NBD CORP 6,116,365.75
173,303 FIRST UNION CORP 10,094,899.75
55,360 FLEET FINANCIAL GROUP INC 4,622,560.00
84,200 KEYCORP NEW 2,999,625.00
102,937 MBNA CORP 3,396,921.00
44,600 MELLON BANK CORP 3,105,275.00
24,100 MERCANTILE BANCORP INC 1,214,037.50
40,100 MORGAN J P & CO 4,696,712.50
37,100 NATIONAL CITY CORP 2,634,100.00
172,984 NATIONSBANK CORP 13,233,237.75
155,600 NORWEST CORP 5,815,550.00
53,000 PNC FINANCIAL 2,852,062.50
47,600 REPUBLIC NEW YORK CORP 2,995,825.00
25,509 SUMMIT BANCORP 1,211,677.50
41,500 SUNTRUST BANKS INC 3,374,468.75
46,572 U.S. BANCORP 2,002,596.00
37,700 WACHOVIA CORP 3,185,650.00
17,633 WELLS FARGO & CO 6,506,577.00
FINANCE COMPANIES
105,100 AMERICAN EXPRESS CO 11,981,400.00
53,334 ASSOCIATES 1ST CAPITAL A 4,100,051.25
10,700 BENEFICIAL CORP 1,639,106.25
10,000 CAP ONE FINL CORP 1,241,875.00
157,600 FED HOME LN MTG CORP 7,417,050.00
700 GREEN TREE FINANCIAL 29,968.75
61,200 HOUSEHOLD INTL CORP 3,044,700.00
HOLDING COMPANY
4,100 EASTERN ENTERPRISES 175,787.50
71,025 MS, DW, DISCOVER & CO 6,489,909.38
FIRE AND CASUALTY INSURANCE
37,200 CHUBB CORP 2,989,950.00
17,600 GENERAL RE CORP 4,461,600.00
29,900 SAFECO CORP 1,358,581.25
INSURANCE
24,460 AETNA INC 1,862,017.50
103,669 ALLSTATE CORPORATION 9,492,192.81
138,075 AMERICAN INTL GROUP 20,158,950.00
1,350 AON CORP 94,837.50
45,600 CIGNA CORP 3,146,400.00
30,600 CINCINNATI FINANCIAL CORP 1,174,275.00
25,000 CONSECO INC 1,168,750.00
26,300 HARTFORD FINANCIAL SVCS 3,008,062.50
47,300 LOEWS CORP 4,121,012.50
40,200 MARSH & MCLENNAN CO. 2,429,587.50
14,000 MBIA INC 1,048,250.00
9,000 MGIC INVT CROP 513,562.50
49,124 ST PAUL COS INC 2,066,278.25
24,400 TORCHMARK CORP 1,116,300.00
14,900 TRANSAMERICA CORP 1,715,362.50
241,281 TRAVELERS GROUP INC 14,627,630.31
29,400 UNUM CORP. 1,631,700.00
LIFE INSURANCE
46,139 AMERICAN GENERAL CORP 3,284,520.06
18,825 JEFFERSON PILOT CORP 1,090,673.44
17,200 LINCOLN NATL CORP IND 1,571,650.00
16,700 PROVIDIAN FINL CORP W/I 1,311,993.75
REAL ESTATE
232,800 FEDERAL NATL MTGE ASSN 14,142,600.00
SAVINGS & LOANS
28,500 AHMANSON H F & CO 2,023,500.00
14,100 GOLDEN WEST FINL CORP 1,499,006.25
20,000 SLM HOLDING 980,000.00
BROKERAGE
20,000 BEAR STEARNS COS INC 1,137,500.00
32,400 FRANKLIN RESOURCES 1,749,600.00
76,400 MERRILL LYNCH & CO 7,047,900.00
MISCELLANEOUS
43,605 WASHINGTON MUTUAL 1,894,092.19
TOTAL FINANCIAL $289,625,558.69
METALS AND MINING 0.40%
ALUMINUM
36,000 ALUMINUM CO AMER 2,373,750.00
12,500 REYNOLDS METALS CO 699,218.75
MINING
9,100 HOMESTAKE MNG CO 94,412.50
STEEL
30,255 ALLEGHENY TELEDYNE 692,083.13
11,300 ARMCO, INC. 72,037.50
9,000 BETHLEHEM STEEL CORP 111,937.50
5,400 NUCOR CORP 248,400.00
14,800 TIMKEN CO 456,025.00
9,100 USX-US STEEL GROUP 300,300.00
12,400 WORTHINGTON INDS INC 186,775.00
OTHER METALS
4,900 ASARCO INC 109,025.00
16,137 NEWMONT MNG CORP 381,236.63
12,000 PHELPS DODGE CORP 686,250.00
MINERALS
11,300 CYPRUS AMAX MINERALS CO 149,725.00
TOTAL METALS AND MINING $6,561,176.01
COLLECTIBLES & PRECIOUS MATERIALS 0.00%
GOLD-DIAMOND-GEMS
5,000 FREEPORT-MCMORAN COPPER-B 75,937.50
TOTAL COLLECTIBLES & PRECIOUS MATERIALS $75,937.50
OIL-ENERGY 6.49%
OIL & GAS PRODUCERS
18,500 AMERADA HESS CORP 1,004,781.25
203,000 AMOCO CORP 8,449,875.00
21,800 COASTAL CORP 1,521,912.50
11,000 HELMERICH & PAYNE INC. 244,750.00
71,300 OCCIDENTAL PETROLEUM 1,925,100.00
18,800 ROWAN COS INC 365,425.00
30,192 UNION PACIFIC RESOURCES 530,247.00
70,000 USX-MARTHON GROUP COM NEW 2,401,875.00
NATURAL RESOURCES
36,500 DRESSER INDUS INC 1,608,281.25
10,400 KERR MCGEE CORP 601,900.00
6,600 ONEOK INC 263,175.00
75,900 WILLIAMS COS INC-DEL 2,561,625.00
OIL EQUIPMENT, WELLS & SVCS
13,200 ASHLAND, INC 681,450.00
30,000 BAKER HUGHES INC 1,036,875.00
47,600 HALLIBURTON CO 2,121,175.00
11,000 WESTERN ATLAS INC 933,625.00
OIL - DOMESTIC
31,207 BURLINGTON RESOURCES INC 1,343,851.44
9,500 PENNZOIL CO 480,937.50
47,800 PHILLIPS PETE CO 2,303,362.50
46,600 UNOCAL CORP 1,665,950.00
OIL - INTERNATIONAL
72,400 ATLANTIC RICHFIELD CO 5,656,250.00
141,200 CHEVRON CORP 11,728,425.00
511,200 EXXON CORP. 36,454,950.00
161,200 MOBIL CORP 12,351,950.00
26,000 ORYX ENERGY COMPANY 575,250.00
13,500 SUN CO INC 523,968.75
106,800 TEXACO INC 6,374,625.00
MISCELLANEOUS
35,200 FIRSTENERGY CORP 1,082,400.00
TOTAL OIL-ENERGY $106,793,992.19
RETAIL 4.11%
DEPARTMENT STORES
44,200 CVS CORP 1,721,037.50
64,800 DAYTON HUDSON CORP 3,142,800.00
18,700 DILLARDS INCORPORATED 774,881.25
12,700 HARCOURT GENERAL INC 755,650.00
61,000 K MART 1,174,250.00
47,000 MAY DEPT STORES CO 3,078,500.00
8,300 MERCANTILE STORES 655,181.25
36,700 PENNEY JC INC 2,653,868.75
75,600 SEARS ROEBUCK & CO 4,616,325.00
358,900 WAL MART STORES INC 21,803,175.00
34,900 WINN-DIXIE STORES INC 1,786,443.75
GROCERY
52,100 ALBERTSON'S INC 2,699,431.25
66,800 AMERICAN STORES CO 1,615,725.00
9,800 GIANT FOOD INC 422,012.50
8,800 GREAT ATLANTIC & PAC TEA 290,950.00
37,200 KROGER CO 1,594,950.00
11,600 SUPERVALUE INC 514,750.00
OTHER RETAIL
17,900 CIRCUIT CITY STORES 839,062.50
45,600 COSTCO COMPANIES INC 2,875,650.00
7,800 LONGS DRUG STORES CORP 225,225.00
40,400 LOWES COS INC 1,638,725.00
1,500 PEP BOYS-MAN, MO, JACK 28,406.25
36,000 RITE AID CORP 1,352,250.00
14,200 TANDY CORP 753,487.50
58,600 TOYS R US 1,380,762.50
SPORTING GOODS
9,800 REEBOK INTL LTD 271,337.50
6,700 RUSSELL CORP 202,256.25
APPAREL
63,300 GAP INC 3,900,862.50
13,800 NORDSTROM INC 1,066,050.00
MISCELLANEOUS
60,800 TYCO INTERNATIONAL LTD 3,830,400.00
TOTAL RETAIL $67,664,406.25
UTILITIES 7.54%
ELECTRIC
15,400 AMEREN CORP 612,150.00
37,900 AMERICAN ELEC PWR INC 1,719,712.50
27,400 BALTIMORE GAS & ELEC 851,112.50
21,500 CAROLINA PWR & LT CO 932,562.50
23,700 CENTRAL & SOUTH WEST CORP 636,937.50
22,600 CINERGY CORP 791,000.00
42,400 CONSOLIDATED EDISON INC 1,953,050.00
32,300 DOMINION RES INC-VA 1,316,225.00
74,325 DUKE POWER CO 4,403,756.25
95,400 EDISON INTERNATIONAL 2,820,262.50
39,900 ENTERGY CORP NEW 1,147,125.00
35,600 FPL GROUP INC 2,242,800.00
20,700 GPU INC 782,718.75
54,650 HOUSTON INDS INC 1,687,318.75
21,900 NIAGARA MOHAWK PWR 327,131.25
27,200 NORTHERN STS PWR CO 778,600.00
53,600 PACIFICORP 1,212,700.00
25,700 PECO ENERGY 750,118.75
29,100 PG&E CORP 918,468.75
19,000 PUBLIC SVC ENTERPRISE GRP 654,312.50
372,162 SBC COMMUNICATIONS INC 14,886,480.00
137,700 SOUTHERN CO 3,812,568.75
44,100 UNICOM CORP 1,546,256.25
GAS
17,850 COLUMBIA GAS SYS INC 992,906.25
14,400 CONSOLIDATED NATL GAS 847,800.00
49,500 ENRON CORP 2,676,093.75
10,600 NICOR INC 425,325.00
8,300 PEOPLES ENERGY CORP 320,587.50
16,600 SONAT INC 641,175.00
47,590 TEXAS UTILITIES CO 1,980,933.75
TELEPHONE
285,400 A T & T 16,303,475.00
23,900 ALLTEL CORP 1,111,350.00
332,272 BELL ATLANTIC CORP 15,159,910.00
193,800 BELLSOUTH CORP 13,008,825.00
13,000 FRONTIER CORP 409,500.00
178,100 GTE CORP 9,906,812.50
76,800 SPRINT CORP 5,414,400.00
103,100 US WEST INC (NEW) 4,845,700.00
WASTE DESPOSAL
20,800 BROWNING FERRIS IND 722,800.00
53,153 WASTE MANAGEMENT INC 1,860,355.00
MISCELLANEOUS
22,557 SEMPRA ENERGY 625,956.75
TOTAL UTILITIES $124,037,273.00
MISCELLANEOUS 9.01%
BROADCAST/COMMUNICATIONS
101,300 CBS CORP 3,216,275.00
53,250 COMCAST CORP CL A SPL 2,161,617.19
64,600 GANNETT CO., INC 4,590,637.50
146,100 MCI COMMUNICATIONS 8,492,062.50
65,100 MOTOROLA INC 3,421,818.75
112,300 TELE COMM. INC CL A 4,316,531.25
71,800 TELLABS INC 5,142,675.00
41,400 VIACOM INC CL B NON VTG 2,411,550.00
BUSINESS SERVICES
700 AUTODESK INC 27,037.50
57,500 AUTOMATIC DATA PROC 4,190,312.50
9,400 BLOCK H&R INC 395,975.00
149,827 CENDANT CORP 3,127,638.63
44,000 COMPUTER SCIENCES CORP 2,816,000.00
16,300 DONNELLEY RR & SONS 745,725.00
14,600 DOW JONES & CO 813,950.00
27,100 DUN & BRADSTREET 978,987.50
25,400 E M C CORP 1,138,237.50
25,400 ECOLAB INC 787,400.00
84,000 FIRST DATA CORP 2,798,250.00
17,600 GRAINGER W W INC 876,700.00
25,350 INTERPUBLIC GROUP COS 1,538,428.13
30,000 OMNICOM GROUP INC 1,496,250.00
7,500 SCIENTIFIC-ATLANTA 190,312.50
43,500 SERVICE CORP INTL 1,865,062.50
1,000 THREE COM CORP 30,687.50
FOOD SERVICE
37,000 DARDEN RESTAURANTS INC 587,375.00
149,100 MCDONALDS CORP 10,287,900.00
486,600 PHILLIP MORRIS CO INC 19,159,875.00
33,050 TRICON GLOBAL RESTAURANTS 1,047,271.88
19,800 WENDYS INTL INC 465,300.00
HOTEL & MOTEL
49,700 HILTON HOTELS CORP 1,416,450.00
48,400 MARRIOTT INTL CL A 1,566,950.00
HOUSING
7,800 PULTE CORP 233,025.00
MED SERV & SUPPLIES
23,600 BIOMET INC 780,275.00
42,400 HEALTHSOUTH CORPORATION 1,131,550.00
1,300 HUMANA INC 40,543.75
10,900 MANOR CARE INC 418,968.75
110,800 MEDTRONIC INC 7,063,500.00
4,900 SHARED MEDICAL SYS CORP 359,843.75
12,900 ST. JUDE MED INC. 474,881.25
REAL ESTATE
9,000 CENTEX CORP 339,750.00
TRANSPORTATION
44,000 AMR CORP 3,663,000.00
31,603 BURLINGTON NRTHN SANTA FE 3,103,019.56
48,800 CSX CORP 2,220,400.00
10,400 DELTA AIR LINES INC 1,344,200.00
27,700 FDX CORP 1,738,175.00
8,700 FLEETWOOD ENTERPRISES 348,000.00
70,500 NORFOLK SOUTHERN CORP 2,101,781.25
16,600 PACCAR INC 867,350.00
14,900 RYDER SYSTEMS INC 470,281.25
48,150 SOUTHWEST AIRLINES CO 1,426,443.75
12,800 U S AIR GROUP 1,014,400.00
46,100 UNION PACIFIC CORP 2,034,162.50
MISCELLANEOUS
27,500 COGNIZANT CORP 1,732,500.00
15,200 MALLINCKRODT (NEW) 451,250.00
159,300 WARNER-LAMBERT 11,051,437.50
TELECOMMUNICATIONS
20,000 360 COMMUNICATIONS CO 640,000.00
235,200 AMERITECH CORP NEW 10,554,600.00
13,600 HARRIS CORP-DEL 607,750.00
TOTAL MISCELLANEOUS $148,312,331.64
UTILITIES 0.07%
ELECTRIC
28,200 DTE ENERGY COMPANY 1,138,575.00
TOTAL UTILITIES $1,138,575.00
TOTAL COMMON STOCK $1,641,920,203.37
OTHER
0.25%
CASH EQUIVALENTS
4,182,050 AIM SHORT TERM INV SER 2 4,182,049.64
TOTAL $4,182,049.64
TOTAL OTHER $4,182,049.64
TOTAL INVESTMENTS - 100.00% $1,646,102,253.01
(cost $767,330,468)
See accompanying notes
