Report of Independent Auditors
Board of Directors and Stockholder
Great Lakes Fund, Inc.
We have audited the accompanying statement of assets and
liabilities, including the portfolio of investments, of
Great Lakes Fund, Inc. as of December 31, 1997, and the
related statement of operations, the statement of changes in
net assets, and the financial highlights for the year then
ended. 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 audit. The
statement of changes in net assets of Great Lakes Fund, Inc.
for the year ended December 31, 1996, and the financial
highlights for the year then ended and for the period from
May 1, 1995 (commencement of operations) to December 31,
1995 were audited by other auditors whose report dated
February 14, 1997, expressed an unqualified opinion on those
statements.
We conducted our audit 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,
1997, by correspondence with the custodian. 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 audit provides a reasonable basis for our
opinion.
In our opinion, the 1997 financial statements and financial
highlights referred to above present fairly, in all material
respects, the financial position of Great Lakes Fund, Inc.
at December 31, 1997, the results of its operations, changes
in its net assets, and its financial highlights for the year
then ended, in conformity with generally accepted accounting
principles.
Ernst & Young LLP
Detroit, Michigan
January 23, 1998
Great Lakes Fund, Inc.
Statement of Assets and Liabilities
December 31, 1997
Assets
Investments, at fair value (cost $759,068,926) $1,403,081,263
Cash 1,410,750
Dividends receivable 1,992,676
Prepaid expenses 17,645
Deferred organization costs, net 16,372
Total assets 1,406,518,706
Liabilities
Accrued expenses 553,156
Notes payable (Note 5) 305,500
Accrued interest expense 8,096
Total liabilities 866,752
Net assets $1,405,651,954
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 289,041,794
Accumulated net realized loss (2,777,261)
Net unrealized appreciation of investments 644,012,337
Net assets $1,405,651,954
Net asset value per common shares outstanding $24.81
See accompanying notes.
Great Lakes Fund, Inc.
Statement of Operations
For the year ended December 31, 1997
Investment income:
Dividend income $22,524,214
Interest income 241,292
Total investment income 22,765,506
Expenses:
Administration fee (Note 2) 1,926,312
Investment management fee (Note 2) 128,448
Broker dealer fee on AMPS 1,071,427
Rating agencies fees 71,655
Legal fees 37,534
Auction agent fee 33,392
Independent accountants 32,548
Interest expense 28,157
Insurance 15,118
Directors fees and expenses 10,875
Amortization of organization costs 7,017
Other expenses 2,750
Total expenses 3,365,233
Net investment income 19,400,273
Net realized and unrealized gains (losses) on investments:
Net realized loss on investments (2,777,261)
Change in net unrealized appreciation of investments 340,597,383
Net increase in net assets resulting from operations $357,220,395
See accompanying notes.
Great Lakes Fund, Inc.
Statement of Changes in Net Assets
For the years ended December 31, 1997 and 1996
1997 1996
From operations:
Net investment income $19,400,273 $17,172,952
Net realized gain (loss) on investments (2,777,261) 3,913,163
Net change in unrealized appreciation
of investments 340,597,383 180,453,127
Increase in net assets resulting from operations 357,220,395 201,539,242
Dividends from net investment income:
Auction market preferred stock (19,192,811) (14,479,017)
Common stock (207,462) (2,693,935)
(19,400,273) (17,172,952)
Distributions from net realized gains:
Common stock - (3,836,375)
Decrease in net assets resulting from
distributions to stockholders (19,400,273) (21,009,327)
Increase (decrease) from capital transactions:
Issuance of auction market preferred stock 75,000,000 50,000,000
Capital contribution from common
stockholder 8,000,000 -
Distribution of capital to common
stockholder (61,732,414) (50,000,000)
21,267,586 -
Total increase in net assets 359,087,708 180,529,915
Net assets:
Beginning of year 1,046,564,246 866,034,331
End of year $1,405,651,954 $1,046,564,246
See accompanying notes.
Great Lakes Fund, Inc.
Notes to Financial Statements
December 31, 1997
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
stockholders. 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 realized capital gains, if any, are generally
distributed annually.
The character of income and gains 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
capital gains, if any, are considered a return of capital.
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 years ended December 31, 1997 and 1996, dividend and
capital gain distributions to the common stockholder
amounted to $207,462 and $6,530,310, respectively.
During the years ended December 31, 1997 and 1996, return of
capital distributions to the common stockholder amounted to
approximately $62,000,000 and approximately $50,000,000.
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 a percentage of net
assets outstanding at the end of the fiscal year. The
annual fee as a percentage of net assets at December 31,
1997 and December 31, 1996 was 0.15% and 0.25%,
respectively, and 0.06% in years thereafter. 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, accrued and paid on a monthly basis.
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, 1997 were $55,868,909 and
$45,538,732, respectively.
As of December 31, 1997, the net unrealized appreciation of
$644,012,337 is comprised of aggregate gross unrealized
appreciation and depreciation of investments of $649,624,039
and $5,611,702, respectively.
4. Auction Market Preferred Stock ("AMPS")
The Fund has outstanding at December 31, 1997, 1000 shares
each 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 December 31, 1997 were 4.32%, 4.25%,
4.21%, 4.27%, 4.30% and 4.30% for Series A, Series B, Series
C, Series D, Series E and Series F, respectively.
In February 1997 and June 1996, the Fund issued $75 million
and $50 million of AMPS, 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. 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 December 31, 1997, the Fund had $305,500 of principal
notes outstanding to investors. The notes are due on May 8,
2020 and 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, 1997, 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
Year ended December 31,
1997 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 0.52 0.46 0.33
Net realized and unrealized gains
on investments 9.01 4.91 3.76
Total from investment operations 9.53 5.37 4.09
Capital contribution 0.21 - -
Less distributions from net investment income:
Common stock equivalent of dividends
paid to AMPS holders (0.51) (0.40) (0.27)
Dividends paid to common stockholder (0.01) (0.07) (0.05)
Less distributions from net realized gains:
Distribution to common stockholder - (0.10) (0.01)
Less distributions from paid-in capital:
Distribution of capital to common stock (1.65) (1.33) -
Total distributions (2.17) (1.90) (0.33)
Net asset value, end of period $24.81 $17.24 $13.77
Total investment return 34.13% 38.98% 40.90%(2)
Ratios/supplemental data:
Net assets at end of period (000s) $1,405,652 $1,046,564 $866,034
Average net assets (000s) $1,291,147 $1,282,826 $854,566
Ratio of expenses to average net assets
applicable to common stock (4) 0.26% 0.40% 0.10%(3)
Ratio of net investment income to average net
assets applicable to common stock (4) 1.50% 1.34% 1.27%(3)
Portfolio turnover 3.53% 2.23% 2.22%
Average commissions paid on equity
securities transactions (5) $0.03 $0.02 -
Asset coverage per AMPS share,
end of period $295,927 $261,641 $247,438
AMPS shares outstanding 4,750 4,000 3,500
Asset coverage for notes payable,
end of period 460115% 329108% 271484%
Notes payable, end of period $305,500 $318,000 $319,000
(1) For the period March 4, 1993 (commencement of operations) to
December 31, 1993.
(2) Total investemnt 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 asets
of the common stockholder. Ratios do not reflect the effect of divided
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.
GREAT LAKES FUND, INC.
Portfolio of Investments
December 31, 1997
No. of
Shares Market Value
COMMON STOCK
BUILDING AND CONSTRUCTION 1.12%
BUILDING MATERIALS
15,300 CHAMPION INTL CORP 693,281.25
16,800 GEORGIA PACIFIC CORP 1,020,600.00
114,000 HOME DEPOT 6,711,750.00
10,600 LOUISIANA PAC CORP 201,400.00
30,200 MASCO CORP 1,536,425.00
8,800 OWENS CORNING 300,300.00
PAINT AND FLAT GLASS
36,500 PPG INDUS INC 2,085,062.50
35,600 SHERWIN WILLIAMS CO 987,900.00
INDUSTRIAL CHEMICALS
2,600 GREAT LAKES CHEM CRP 116,675.00
14,400 ROHM & HAAS CO 1,378,800.00
MISCELLANEOUS
10,600 FLUOR CORP 396,175.00
4,300 FOSTER WHEELER CORP 116,368.75
7,400 KAUFMAN & BROAD HOME CORP 166,037.50
TOTAL BUILDING AND CONSTRUCTION $15,710,775.00
CHEMICALS AND DRUGS 13.56%
CHEMICALS
23,100 AIR PRODS & CHEMS INC 1,899,975.00
56,000 AMGEN INC 3,031,000.00
23,400 BOSTON SCIENTIFIC CORP 1,073,475.00
42,700 DOW CHEMICAL CO 4,334,050.00
255,400 DUPONT DENEMOURS & CO 15,339,962.50
15,900 EASTMAN CHEMICAL CO 947,043.75
31,050 ENGLEHARD CORP 539,493.75
7,500 FMC CORP-NEW 504,843.75
15,200 GRACE W. R. & CO. (NEW) 1,222,650.00
13,500 HERCULES INC 675,843.75
116,600 MONSANTO CO 4,897,200.00
31,100 MORTON INTERNATIONAL INC 1,069,062.50
13,700 NALCO CHEM CO 542,006.25
28,700 PRAXIAIR INC 1,291,500.00
23,400 SIGMA-ALDRICH CORP 930,150.00
28,000 UNION CARBIDE CORP 1,202,250.00
DRUGS
170,900 ABBOT LABS 11,204,631.25
12,100 ALZA CORP CL A 384,931.25
136,200 AMERICAN HOME PRODUCTS 10,419,300.00
202,000 BRISTOL MYERS SQUIBB CO 19,114,250.00
282,200 JOHNSON & JOHNSON 18,589,925.00
226,600 LILLY ELI & CO 15,777,025.00
230,200 MERCK & CO., INC 24,458,750.00
247,800 PFIZER INC 18,476,587.50
45,820 PHARMACIA & UPJOHN INC 1,678,157.50
162,400 SCHERING PLOUGH 10,089,100.00
101,600 WALGREEN CO 3,187,700.00
COSMETICS
11,600 ALBERTO CULVER CO CL B 371,925.00
27,200 AVON PRODUCTS INC 1,669,400.00
14,900 INTL FLAVORS & FRAGRANCES 767,350.00
HEALTH PRODUCTS/CARE
9,700 ALLERGAN INC 325,556.25
5,900 BARD CR INC 184,743.75
8,900 BAUSCH & LOMB 352,662.50
57,300 BAXTER INTL INC. 2,890,068.75
25,600 BECTON DICKINSON & CO 1,280,000.00
171,600 COLUMBIA/HCA HEALTHCARE 5,083,650.00
27,600 GUIDANT CORP 1,718,100.00
46,800 TENET HEALTHCARE CORP 1,550,250.00
10,800 U S SURGICAL 316,575.00
16,600 UTD HEALTHCARE CORP 824,812.50
TOTAL CHEMICALS AND DRUGS $190,215,957.50
CONSUMER PRODUCTS 13.74%
CONFECTIONS AND BEVERAGES
90,000 ANHEUSER-BUSCH COS 3,960,000.00
12,800 BROWN FORMAN INC CL B 707,200.00
480,200 COCA COLA CO 31,993,325.00
31,800 NEWELL CO. 1,351,500.00
330,500 PEPSICO INC 12,042,593.75
CONTAINERS
19,600 AVERY DENNISON CORP 877,100.00
3,300 BALL CORP 116,531.25
9,500 CROWN CORK & SEAL INC 476,187.50
4,900 STONE CONTAINER 51,143.75
9,700 TEMPLE INLAND INC 507,431.25
PACKAGED FOOD
120,950 ARCHER DANIELS MIDLAND CO 2,623,103.13
98,000 CAMPBELL SOUP CO 5,696,250.00
103,600 CONAGRA 3,399,375.00
7,300 COORS ADOLPH CO CL B 242,725.00
30,600 CPC INTL INC 3,297,150.00
30,100 GENERAL MILLS INC 2,155,912.50
79,000 HEINZ H J CO 4,014,187.50
33,600 HERSHEY FOODS CORP 2,081,100.00
91,600 KELLOGG CO 4,545,650.00
14,300 PIONEER HI BRED INTL INC 1,533,675.00
28,800 QUAKER OATS CO 1,519,200.00
18,500 RALSTON-PURINA GROUP 1,719,343.75
99,200 SARA LEE CORP 5,586,200.00
38,100 SYSCO CORP 1,735,931.25
26,400 WRIGLEY WM JR CO 2,100,450.00
PAPER
11,400 AMERICAN GREETINGS CL A 446,025.00
8,200 BEMIS CO 361,312.50
3,800 BOISE CASCADE CORP 114,950.00
17,900 FORT JAMES CORPORATION 684,675.00
61,812 INTERNATIONAL PAPER CO 2,665,642.50
119,479 KIMBERLY CLARK CORP 5,891,808.19
20,000 MEAD CORP 560,000.00
5,600 POTLATCH CORP 240,800.00
7,200 UNION CAMP CORP 386,550.00
37,000 WEYERHAEUSER CO 1,815,312.50
400 WILLIAMETTE INDUSTRIAL 12,875.00
PRINTING AND PUBLISHING
5,800 JOSTENS INC 133,762.50
15,900 KNIGHT-RIDDER INC 826,800.00
19,800 MCGRAW-HILL COMPANIES INC 1,465,200.00
11,000 MEREDITH CORP 392,562.50
19,000 NEW YORK TIMES CO CL A 1,256,375.00
89,200 TIME WARNER INC 5,530,400.00
17,900 TIMES MIRROR CO CL A NEW 1,100,850.00
26,800 TRIBUNE CO 1,668,300.00
19,650 WESTVACO CORP 617,746.88
RECREATIONAL EQUIPMENT
20,300 BRUNSWICK CORP 615,343.75
3,600 HARRAH'S ENTERTAINMENT 67,950.00
21,300 HASBRO INC 670,950.00
50,425 MATTEL INC 1,878,331.25
SOAPS
18,000 CLOROX CO 1,423,125.00
OTHER CONSUMER PRODUCTS
63,000 COLGATE PALMOLIVE CO 4,630,500.00
31,300 FORTUNE BRANDS INC 1,160,056.25
96,300 GILLETTE CO 9,672,131.25
279,200 PROCTER & GAMBLE CO 22,283,650.00
9,800 RUBBERMAID INC 245,000.00
3,800 SPRINGS INDUS INC 197,600.00
6,800 TUPPERWARE CORPORATION 189,550.00
22,700 UST INC 838,481.25
17,800 WHITMAN CORP 463,912.50
PHOTOGRAPHY
73,200 EASTMAN KODAK CO 4,451,475.00
7,800 POLAROID CORP 379,762.50
HOUSEHOLD FURN/APPLIANCES
6,700 ARMSTRONG WORLD IND 500,825.00
21,200 MAYTAG CO 791,025.00
RETAIL
2,400 FEDERATED DEPT STORES NEW 103,350.00
25,200 TJX COS INC (NEW) 866,250.00
APPAREL
30,300 FRUIT OF THE LOOM CL A 776,437.50
47,225 LIMITED INC 1,204,237.50
10,900 LIZ CLAIBORNE INC 455,756.25
56,400 NIKE INC CL B 2,213,700.00
20,600 V F CORP 946,312.50
BROADCASTING
146,442 DISNEY WALT CO 14,506,910.63
7,700 KING WORLD INC 444,675.00
MISCELLANEOUS
13,900 PALL CORP 287,556.25
TOTAL CONSUMER PRODUCTS $192,770,067.58
DURABLE GOODS 24.45%
AEROSPACE-AIRCRAFT
206,918 BOEING CO 10,126,049.63
11,500 GENERAL DYNAMICS CORP 994,031.25
34,500 LOCKHEED MARTIN CORP 3,398,250.00
11,400 NORTHROP GRUMMAN CORP 1,311,000.00
37,000 TEXTRON INC 2,312,500.00
51,600 UNITED TECHNOLOGIES CORP 3,757,125.00
AGRICULTURAL MACHINERY
81,000 CATERPILLAR INC 3,933,562.50
50,500 DEERE & CO 2,944,781.25
AUTOMOBILE AND PARTS
36,000 AUTOZONE INC 1,044,000.00
152,200 CHRYSLER CORP 5,355,537.50
3,800 COOPER TIRE & RUBBER 92,625.00
7,200 CUMMINS ENGINE INC 425,250.00
20,100 DANA CORP 954,750.00
15,600 EATON CORP 1,392,300.00
9,100 ECHLIN INC 329,306.25
203,500 FORD MTR CO 9,907,906.25
140,600 GENERAL MTRS CORP 8,523,875.00
32,550 GENUINE PARTS CO 1,104,665.63
16,400 NAVISTAR INTL CORP (NEW) 406,925.00
30,300 TENNECO INC (NEW) 1,196,850.00
28,000 TRW INC 1,494,500.00
ELECTRICAL
53,804 AMP INC 2,259,768.00
96,000 EMERSON ELEC CO 5,418,000.00
24,200 HONEYWELL INC 1,657,700.00
13,000 RAYCHEM CORP 559,812.50
ELECTRONICS
16,300 ADVANCED MICRO-DEVICES 292,381.25
79,800 APPLIED MATLS INC 2,403,975.00
244,800 CISCO SYS INC 13,647,600.00
7,000 E G & G INC 145,687.50
646,000 GENERAL ELECTRIC CO 47,400,250.00
9,600 GENERAL SIGNAL CORP 405,000.00
230,200 HEWLETT PACKARD CO 14,387,500.00
421,800 INTEL CORP 29,631,450.00
30,000 MICRON TECH 780,000.00
36,300 NATIONAL SEMICONDUCTOR 941,531.25
9,800 NATIONAL SVC INDS 485,712.50
172,275 ORACLE CORPORATION 3,843,885.94
9,200 PERKIN ELMER CORP 653,775.00
8,966 RAYTHEON CO CL A 442,138.93
53,100 RAYTHEON CO CL B 2,681,550.00
10,000 SEAGATE TECHNOLOGY INC 192,500.00
13,800 TEKTRONIX INC 547,687.50
93,800 TEXAS INSTRUMENTS 4,221,000.00
7,700 THOMAS & BETTS CORP 363,825.00
INDUSTRIAL MACHINERY
7,000 AEROQUIP-VICKERS INC 343,437.50
5,400 BRIGGS & STRATTON CORP 262,237.50
700 CASE CORPORATION 42,306.25
6,800 CINCINNATI MILACRON INC 176,375.00
21,700 COOPER INDUS INC 1,063,300.00
43,200 DOVER CORP 1,560,600.00
4,800 HARNISCHFEGER INDUS INC 169,500.00
35,100 INGERSOLL RAND CO 1,421,550.00
1,700 NACCO INDUS INC CL A 182,218.75
49,600 ROCKWELL INTL CORP W/I 2,591,600.00
OFFICE EQUIPMENT AND SUPPLIES
17,700 DELUXE CORP 610,650.00
2,900 HARLAND JOHN H CO 60,900.00
19,200 IKON OFFICE SOLUTIONS 540,000.00
33,400 PITNEY BOWES INC 3,003,912.50
68,500 XEROX CORP. 5,056,156.25
RUBBER
10,900 GOODRICH B F CO 451,668.75
30,200 GOODYEAR TIRE & RUBBER 1,921,475.00
OTHER DURABLE GOODS
36,000 CORNING INCORPORATED 1,336,500.00
10,800 CRANE CO 468,450.00
50,200 ILLINOIS TOOL WORKS 3,018,275.00
8,600 MILLIPORE CORP 291,862.50
81,400 MINNESOTA MNG & MFR 6,679,887.50
20,200 STANLEY WORKS 953,187.50
COMPUTERS AND SOFTWARE
17,500 APPLE COMPUTER INC 229,687.50
1,100 BAY NETWORKS INC 28,118.75
60,700 CABLETRON SYSTEMS INC 910,500.00
5,700 CERIDIAN CORP 261,131.25
151,760 COMPAQ COMPUTER CORP 8,564,926.78
116,812 COMPUTER ASSOC INTL INC 6,176,434.50
8,600 DATA GENL CORP 149,962.50
46,800 DELL COMPUTER CORP 3,931,200.00
41,300 DIGITAL EQUIP CORP 1,528,100.00
274,600 IBM CORP 28,712,862.50
276,200 MICROSOFT CORP 35,698,850.00
7,800 NEXTLEVEL SYSTEMS INC 139,425.00
56,300 NOVELL INC 422,250.00
28,100 SILICON GRAPHICS 349,493.75
87,600 SUN MICROSYSTEMS 3,493,050.00
37,700 UNISYS CORP 523,087.50
HOUSEHOLD FURN/APPLIANCES
13,100 WHIRLPOOL CORP 720,500.00
TELECOMMUNICATIONS
86,900 AIRTOUCH COMMUNICATIONS 3,611,781.25
23,625 ANDREW CORP 567,000.00
17,800 DSC COMMUNICATIONS 427,200.00
110,372 LUCENT TECHNOLOGIES INC 8,815,963.50
72,000 WORLDCOM INC 2,178,000.00
MISCELLANEOUS
112,600 ALLIED-SIGNAL INC 4,384,362.50
17,300 BLACK & DECKER CORP 675,781.25
26,300 ITT INDUSTRIES INC 825,162.50
17,800 JOHNSON CTLS INC 849,950.00
27,450 PARKER HANNIFIN CORP 1,259,268.75
10,600 SNAP ON TOOLS CORP 462,425.00
13,000 THERMO ELECTRON CORP 578,500.00
TOTAL DURABLE GOODS $343,049,545.41
FINANCIAL 17.16%
BANKS
86,400 BANC ONE CORP 4,692,600.00
71,300 BANK NEW YORK INC 4,122,031.25
143,800 BANKAMERICA CORP 10,497,400.00
34,400 BANKBOSTON CORPORATION 3,231,450.00
19,800 BANKERS TR NY CORP 2,226,262.50
37,800 BARNETT BANKS INC 2,716,875.00
96,720 CHASE MANHATTAN CORP NEW 10,590,840.00
95,900 CITICORP 12,125,356.25
40,650 CORESTATES FINL CORP 3,254,540.63
4,500 FIFTH THIRD BANCORP COM 367,875.00
69,014 FIRST CHICAGO NBD CORP 5,762,669.00
107,450 FIRST UNION CORP 5,506,812.50
51,257 FLEET FINANCIAL GROUP INC 3,841,071.44
42,100 KEYCORP NEW 2,981,206.25
102,937 MBNA CORP 2,811,466.81
44,600 MELLON BANK CORP 2,703,875.00
40,100 MORGAN J P & CO 4,526,287.50
37,100 NATIONAL CITY CORP 2,439,325.00
128,096 NATIONSBANK CORP 7,789,838.00
155,600 NORWEST CORP 6,010,050.00
53,000 PNC FINANCIAL 3,024,312.50
23,800 REPUBLIC NEW YORK CORP 2,717,662.50
41,500 SUNTRUST BANKS INC 2,962,062.50
15,524 U.S. BANCORP 1,737,717.75
37,700 WACHOVIA CORP 3,058,412.50
17,633 WELLS FARGO & CO 5,985,301.44
FINANCE COMPANIES
105,100 AMERICAN EXPRESS CO 9,380,175.00
10,700 BENEFICIAL CORP 889,437.50
157,600 FED HOME LN MTG CORP 6,609,350.00
700 GREEN TREE FINANCIAL 18,331.25
20,400 HOUSEHOLD INTL CORP 2,602,275.00
HOLDING COMPANY
4,100 EASTERN ENTERPRISES 184,500.00
71,025 MS, DW, DISCOVER & CO 4,199,353.13
FIRE AND CASUALTY INSURANCE
37,200 CHUBB CORP 2,813,250.00
17,600 GENERAL RE CORP 3,731,200.00
29,900 SAFECO CORP 1,457,625.00
INSURANCE
24,460 AETNA INC 1,725,958.75
103,669 ALLSTATE CORPORATION 9,420,920.38
138,075 AMERICAN INTL GROUP 15,015,656.25
1,350 AON CORP 79,143.75
15,200 CIGNA CORP 2,630,550.00
10,200 CINCINNATI FINANCIAL CORP 1,435,650.00
25,000 CONSECO INC 1,135,937.50
26,300 HARTFORD FINANCIAL SVCS 2,460,693.75
47,300 LOEWS CORP 5,019,712.50
26,800 MARSH & MCLENNAN CO. 1,998,275.00
14,000 MBIA INC 935,375.00
9,000 MGIC INVT CROP 598,500.00
17,200 ST PAUL COS INC 1,411,475.00
24,400 TORCHMARK CORP 1,026,325.00
14,900 TRANSAMERICA CORP 1,586,850.00
241,281 TRAVELERS GROUP INC 12,998,986.94
29,400 UNUM CORP. 1,598,625.00
26,100 USF & G CORP 575,831.25
LIFE INSURANCE
46,139 AMERICAN GENERAL CORP 2,494,389.69
12,550 JEFFERSON PILOT CORP 977,331.25
17,200 LINCOLN NATL CORP IND 1,343,750.00
16,700 PROVIDIAN FINL CORP W/I 754,631.25
REAL ESTATE
232,800 FEDERAL NATL MTGE ASSN 13,284,150.00
SAVINGS & LOANS
28,500 AHMANSON H F & CO 1,907,718.75
14,100 GOLDEN WEST FINL CORP 1,379,156.25
BROKERAGE
76,400 MERRILL LYNCH & CO 5,572,425.00
MISCELLANEOUS
29,070 WASHINGTON MUTUAL 1,855,029.38
TOTAL FINANCIAL $240,791,845.84
METALS AND MINING 0.51%
ALUMINUM
36,000 ALUMINUM CO AMER 2,533,500.00
12,500 REYNOLDS METALS CO 750,000.00
MINING
9,100 HOMESTAKE MNG CO 80,762.50
STEEL
30,255 ALLEGHENY TELEDYNE 782,848.13
11,300 ARMCO, INC. 55,793.75
9,000 BETHLEHEM STEEL CORP 77,625.00
4,500 INLAND STEEL INDUS INC 77,062.50
5,400 NUCOR CORP 260,887.50
14,800 TIMKEN CO 508,750.00
9,100 USX-US STEEL GROUP 284,375.00
12,400 WORTHINGTON INDS INC 204,600.00
OTHER METALS
4,900 ASARCO INC 109,943.75
16,137 NEWMONT MNG CORP 474,024.38
12,000 PHELPS DODGE CORP 747,000.00
MINERALS
11,300 CYPRUS AMAX MINERALS CO 173,737.50
TOTAL METALS AND MINING $7,120,910.01
COLLECTIBLES & PRECIOUS MATERIALS 0.01%
GOLD-DIAMOND-GEMS
5,000 FREEPORT-MCMORAN COPPER-B 78,750.00
TOTAL COLLECTIBLES & PRECIOUS MATERIALS $78,750.00
OIL-ENERGY 7.19%
OIL & GAS PRODUCERS
18,500 AMERADA HESS CORP 1,015,187.50
101,500 AMOCO CORP 8,640,187.50
21,800 COASTAL CORP 1,350,237.50
5,500 HELMERICH & PAYNE INC. 373,312.50
71,300 OCCIDENTAL PETROLEUM 2,089,981.25
18,800 ROWAN COS INC 573,400.00
30,192 UNION PACIFIC RESOURCES 732,156.00
70,000 USX-MARTHON GROUP COM NEW 2,362,500.00
NATURAL RESOURCES
36,500 DRESSER INDUS INC 1,530,718.75
10,400 KERR MCGEE CORP 658,450.00
6,600 ONEOK INC 266,475.00
75,900 WILLIAMS COS INC-DEL 2,153,662.50
OIL EQUIPMENT, WELLS & SVCS
13,200 ASHLAND, INC 708,675.00
30,000 BAKER HUGHES INC 1,308,750.00
47,600 HALLIBURTON CO 2,472,225.00
11,000 WESTERN ATLAS INC 814,000.00
OIL - DOMESTIC
31,207 BURLINGTON RESOURCES INC 1,398,463.69
9,500 PENNZOIL CO 634,718.75
47,800 PHILLIPS PETE CO 2,324,275.00
46,600 UNOCAL CORP 1,808,662.50
OIL - INTERNATIONAL
72,400 ATLANTIC RICHFIELD CO 5,801,050.00
141,200 CHEVRON CORP 10,872,400.00
511,200 EXXON CORP. 31,279,050.00
161,200 MOBIL CORP 11,636,625.00
26,000 ORYX ENERGY COMPANY 663,000.00
13,500 SUN CO INC 567,843.75
106,800 TEXACO INC 5,807,250.00
MISCELLANEOUS
35,200 FIRSTENERGY CORP 1,020,800.00
TOTAL OIL-ENERGY $100,864,057.19
RETAIL 3.59%
DEPARTMENT STORES
22,100 CVS CORP 1,415,781.25
32,400 DAYTON HUDSON CORP 2,187,000.00
18,700 DILLARDS INCORPORATED 659,175.00
12,700 HARCOURT GENERAL INC 695,325.00
61,000 K MART 705,312.50
47,000 MAY DEPT STORES CO 2,476,312.50
8,300 MERCANTILE STORES 505,262.50
36,700 PENNEY JC INC 2,213,468.75
75,600 SEARS ROEBUCK & CO 3,420,900.00
358,900 WAL MART STORES INC 14,154,118.75
34,900 WINN-DIXIE STORES INC 1,524,693.75
19,000 WOOLWORTH CORP 387,125.00
GROCERY
52,100 ALBERTSON'S INC 2,468,237.50
66,800 AMERICAN STORES CO 1,373,575.00
9,800 GIANT FOOD INC 330,137.50
8,800 GREAT ATLANTIC & PAC TEA 261,250.00
37,200 KROGER CO 1,374,075.00
11,600 SUPERVALUE INC 485,750.00
OTHER RETAIL
17,900 CIRCUIT CITY STORES 636,568.75
45,600 COSTCO COMPANIES INC 2,034,900.00
7,800 LONGS DRUG STORES CORP 250,575.00
20,200 LOWES COS INC 963,287.50
1,500 PEP BOYS-MAN, MO, JACK 35,812.50
18,000 RITE AID CORP 1,056,375.00
14,200 TANDY CORP 547,587.50
58,600 TOYS R US 1,842,237.50
SPORTING GOODS
9,800 REEBOK INTL LTD 282,362.50
6,700 RUSSELL CORP 177,968.75
APPAREL
17,800 CHARMING SHOPPES INC 83,437.50
63,300 GAP INC 2,243,193.75
13,800 NORDSTROM INC 833,175.00
MISCELLANEOUS
60,800 TYCO INTERNATIONAL LTD 2,739,800.00
TOTAL RETAIL $50,364,781.25
UTILITIES 8.73%
ELECTRIC
37,900 AMERICAN ELEC PWR INC 1,956,587.50
27,400 BALTIMORE GAS & ELEC 933,312.50
21,500 CAROLINA PWR & LT CO 912,406.25
23,700 CENTRAL & SOUTH WEST CORP 641,381.25
22,600 CINERGY CORP 865,862.50
42,400 CON. EDISON NY INC 1,738,400.00
32,300 DOMINION RES INC-VA 1,374,768.75
74,325 DUKE POWER CO 4,115,746.88
95,400 EDISON INTERNATIONAL 2,593,687.50
39,900 ENTERGY CORP NEW 1,194,506.25
35,600 FPL GROUP INC 2,107,075.00
20,700 GPU INC 871,987.50
54,650 HOUSTON INDS INC 1,458,471.88
21,900 NIAGARA MOHAWK PWR 229,950.00
13,600 NORTHERN STS PWR CO 792,200.00
53,600 PACIFICORP 1,463,950.00
25,700 PECO ENERGY 623,225.00
51,100 PG&E CORP 1,555,356.25
19,000 PUBLIC SVC ENTERPRISE GRP 602,062.50
186,081 SBC COMMUNICATIONS INC 13,630,433.25
137,700 SOUTHERN CO 3,562,987.50
44,100 UNICOM CORP 1,356,075.00
15,400 UNION ELECTRIC CO 666,050.00
GAS
11,900 COLUMBIA GAS SYS INC 934,893.75
14,400 CONSOLIDATED NATL GAS 871,200.00
49,500 ENRON CORP 2,057,343.75
10,600 NICOR INC 447,187.50
15,000 PACIFIC ENTERPRISES 564,375.00
8,300 PEOPLES ENERGY CORP 326,812.50
16,600 SONAT INC 759,450.00
47,590 TEXAS UTILITIES CO 1,977,959.38
TELEPHONE
285,400 A T & T 17,480,750.00
23,900 ALLTEL CORP 981,393.75
166,136 BELL ATLANTIC CORP 15,118,376.00
193,800 BELLSOUTH CORP 10,913,362.50
13,000 FRONTIER CORP 312,812.50
178,100 GTE CORP 9,305,725.00
76,800 SPRINT CORP 4,502,400.00
103,100 U S WEST INC 4,652,387.50
130,500 U S WEST MEDIA GROUP 3,768,187.50
WASTE DESPOSAL
20,800 BROWNING FERRIS IND 769,600.00
53,153 WASTE MANAGEMENT INC 1,461,707.50
TOTAL UTILITIES $122,452,407.39
MISCELLANEOUS 9.51%
BROADCAST/COMMUNICATIONS
101,300 CBS CORP 2,982,018.75
53,250 COMCAST CORP CL A SPL 1,680,703.13
64,600 GANNETT CO., INC 3,993,087.50
136,100 MCI COMMUNICATIONS 5,826,781.25
65,100 MOTOROLA INC 3,714,768.75
112,300 TELE COMM. INC CL A 3,137,381.25
71,800 TELLABS INC 3,796,425.00
41,400 VIACOM INC CL B NON VTG 1,715,512.50
BUSINESS SERVICES
700 AUTODESK INC 25,900.00
57,500 AUTOMATIC DATA PROC 3,529,062.50
9,400 BLOCK H&R INC 421,237.50
149,827 CENDANT CORP 5,150,307.59
22,000 COMPUTER SCIENCES CORP 1,837,000.00
16,300 DONNELLEY RR & SONS 607,175.00
14,600 DOW JONES & CO 783,837.50
27,100 DUN & BRADSTREET 838,406.25
25,400 E M C CORP 696,912.50
12,700 ECOLAB INC 704,056.25
84,000 FIRST DATA CORP 2,457,000.00
8,800 GRAINGER W W INC 855,250.00
25,350 INTERPUBLIC GROUP COS 1,262,746.88
30,000 OMNICOM GROUP INC 1,271,250.00
9,800 SAFETY KLEEN CORP 268,887.50
7,500 SCIENTIFIC-ATLANTA 125,625.00
43,500 SERVICE CORP INTL 1,606,781.25
1,000 THREE COM CORP 34,937.50
FOOD SERVICE
37,000 DARDEN RESTAURANTS INC 462,500.00
149,100 MCDONALDS CORP 7,119,525.00
486,600 PHILLIP MORRIS CO INC 22,049,062.50
33,050 TRICON GLOBAL RESTAURANTS 960,515.63
19,800 WENDYS INTL INC 476,437.50
HOTEL & MOTEL
49,700 HILTON HOTELS CORP 1,478,575.00
26,300 ITT CORP NEW 2,179,612.50
24,200 MARRIOTT INTL CORP 1,675,850.00
HOUSING
3,900 PULTE CORP 163,068.75
MED SERV & SUPPLIES
23,600 BIOMET INC 604,750.00
42,400 HEALTHSOUTH CORPORATION 1,176,600.00
1,300 HUMANA INC 26,975.00
10,900 MANOR CARE INC 381,500.00
110,800 MEDTRONIC INC 5,796,225.00
4,900 SHARED MEDICAL SYS CORP 323,400.00
12,900 ST. JUDE MED INC. 393,450.00
REAL ESTATE
4,500 CENTEX CORP 283,218.75
TRANSPORTATION
22,000 AMR CORP 2,827,000.00
31,603 BURLINGTON NRTHN SANTA FE 2,937,103.81
9,000 CALIBER SYSTEMS INC 438,187.50
48,800 CSX CORP 2,635,200.00
10,400 DELTA AIR LINES INC 1,237,600.00
20,500 FEDERAL EXPRESS CORP 1,251,781.25
8,700 FLEETWOOD ENTERPRISES 369,206.25
70,500 NORFOLK SOUTHERN CORP 2,172,281.25
16,600 PACCAR INC 871,500.00
14,900 RYDER SYSTEMS INC 487,975.00
48,150 SOUTHWEST AIRLINES CO 1,185,693.75
12,800 U S AIR GROUP 800,000.00
46,100 UNION PACIFIC CORP 2,878,368.75
MISCELLANEOUS
27,500 COGNIZANT CORP 1,225,468.75
15,200 MALLINCKRODT (NEW) 577,600.00
53,100 WARNER-LAMBERT 6,584,400.00
TELECOMMUNICATIONS
117,600 AMERITECH CORP NEW 9,466,800.00
13,600 HARRIS CORP-DEL 623,900.00
TOTAL MISCELLANEOUS $133,444,383.29
UTILITIES 0.07%
ELECTRIC
28,200 DTE ENERGY COMPANY 978,187.50
TOTAL UTILITIES $978,187.50
TOTAL COMMON STOCK $1,397,841,667.96
OTHER
0.37%
CASH EQUIVALENTS
5,239,595 AIM SHORT TERM INV SER 2 5,239,594.67
TOTAL $5,239,594.67
TOTAL OTHER $5,239,594.67
TOTAL INVESTMENTS - 100.00% $1,403,081,262.63
(cost $759,068,926)
See accompanying notes
