-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, CIDeRvtWjcdr24xAXPHd6jAzuoA4Hz2YGB7bZ8ADkTuAJQxmcSfsl8w9cCydIT80 bGyS0SXZHeZuEsdrOuTD8w== 0000893220-96-001508.txt : 19960906 0000893220-96-001508.hdr.sgml : 19960906 ACCESSION NUMBER: 0000893220-96-001508 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19960630 FILED AS OF DATE: 19960905 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD INDEX TRUST CENTRAL INDEX KEY: 0000036405 STANDARD INDUSTRIAL CLASSIFICATION: [] IRS NUMBER: 231999755 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-02652 FILM NUMBER: 96626014 BUSINESS ADDRESS: STREET 1: PO BOX 2600 STREET 2: VM #V34 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106696289 FORMER COMPANY: FORMER CONFORMED NAME: FIRST INDEX INVESTMENT TRUST DATE OF NAME CHANGE: 19800904 N-30D 1 VANGUARD INDEX TRUST 1996 SEMI-ANNUAL REPORT 1 A MESSAGE TO SHAREHOLDERS FELLOW SHAREHOLDER: Despite some weakness in June, the stock market provided solid gains during the six months ended June 30, the first half of the 1996 fiscal year for Vanguard Index Trust. Both our 500 Portfolio and our Total Stock Market Portfolio provided returns of +10.0%, comfortably outpacing more than one-half of all general equity mutual funds. Our four more-specialized Portfolios earned returns in this same general area. What is more, each Vanguard Index Trust Portfolio tracked its target index with good success, despite bearing transaction costs and operating expenses. The total returns our Portfolios achieved and the returns of their unmanaged benchmark standards are shown in the table below:
- --------------------------------------------------------------------- TOTAL RETURN ------------------------- SIX MONTHS ENDED JUNE 30, 1996 ------------------------- VANGUARD COMPARATIVE PORTFOLIO INDEX* - --------------------------------------------------------------------- LARGE-CAP STOCKS 500 PORTFOLIO +10.0% +10.1% GROWTH PORTFOLIO +11.4 +11.6 VALUE PORTFOLIO + 8.5 + 8.6 - --------------------------------------------------------------------- MEDIUM- AND SMALL-CAP STOCKS EXTENDED MARKET PORTFOLIO +10.5% +10.7% SMALLCAP PORTFOLIO +11.4 +10.4 - --------------------------------------------------------------------- ALL STOCKS TOTAL STOCK MARKET PORTFOLIO +10.0% +10.3% - ---------------------------------------------------------------------
* The respective indexes are: the Standard & Poor's 500 Index, the Standard & Poor's/BARRA Growth and Value Indexes, the Wilshire 4500 Index, the Russell 2000 Index, and the Wilshire 5000 Index. "Standard & Poor's(R)," "S&P 500(R)," and "500" are trademarks of The McGraw-Hill Companies, Inc.; "Wilshire 4500" and "Wilshire 5000" are registered trademarks of Wilshire Associates; "Russell 2000" is a registered trademark of the Frank Russell Company. Detailed per share figures for each Portfolio, including net asset values, income dividends, and any capital gains distributions, are presented in the table on page 2 of this report. THE PERIOD IN REVIEW The U.S. stock market continued to surge upward during the first half of our Fund's fiscal year, albeit below the near-record pace that prevailed in 1995. Even so, the advance was impressive, occurring in the face of a sharp rise in long-term interest rates. While the stock market, as measured by the Standard & Poor's 500 Index, chalked up a +10.1% return from January through June, the bond market slumped. Short-term interest rates rose modestly, with the rate on 90-day Treasury bills rising from 5.0% to 5.2% during the first half of the year. The rate increase was considerably steeper for long-term bonds. The yield on the benchmark 30-year U.S. Treasury bond rose from 6.0% at the beginning of the year to 7.0% at the end of June, engendering a price decline of -12%. The Lehman Aggregate Bond Index, a benchmark for the overall bond market, provided a negative total return of -1.2% in the half year, earning income of 3.3% combined with a price decline of -4.5%. The primary reason for the divergence in the returns of stocks and bonds appears to be differing responses by equity and bond investors to the surprising strength of the overall economy. The faster-than-expected economic growth during the first half of the year led stock investors to anticipate accelerated growth in corporate earnings, even as bond investors worried about higher inflation. It remains to be seen whether the bull market in stocks can continue in the face of higher interest rates, which may provide heightened competition for investors' dollars at a time when common stocks offer historically low dividend yields. Two major crosscurrents in the stock market affected the relative returns of our Portfolios. First, growth stocks were much stronger than value stocks during the period, which accounts for the 2.9% disparity between our Growth and Value Portfolios. Second, small- and mid-cap stocks outpaced large-cap stocks, with our SmallCap and Extended Market Portfolios outpacing our 500 Portfolio. While this disparity was fairly large through May, smaller-cap stocks in general, and technology stocks in particular, weakened in June and relinquished a good portion of their earlier gains. (continued) 1 2 Given their bias to smaller-cap stocks, most general equity mutual funds faltered during June, and the relative performance of our 500 Portfolio improved commensurately. The concentration of the Standard & Poor's 500 Index in stocks with large market capitalizations slowed its relative performance during the first five months of the year, as the market's upsurge was led by stocks of small- and medium-sized companies. Through the end of April, the Index had outpaced but 30% of all general equity mutual funds. However, the market treated such stocks rather harshly in June, and the 500 Index closed the half year ahead of 55% of all general equity funds. This was a most acceptable result, we think, after such remarkable success for the Index in 1994 and again in 1995. Indeed, in our 1995 Annual Report, we warned that "there will be years when sub-average returns will (not 'may') occur." So far, 1996 is shaping up very nicely, but there is always a possibility that it will prove to be just such a year. In the long-run, however, one year's disparity simply should not concern our long-term shareholders. IN SUMMARY Six months ago in our Annual Report, following an extraordinarily bountiful 1995, we cautioned that financial markets are not a "one-way street" and that investors should prepare for the occasional rough patch by maintaining a balanced portfolio of stock funds, bond funds, and money market funds. Although the stock market continued on a relatively smooth, upward path during most of the first half of the Fund's fiscal year, we believe our cautionary advice still applies. So, too, does our comment about the major long-term risks of investing: (1) failing to hold stocks at all because of their short-term risks; and (2) following an erratic and ever-changing course. We assure you that each Portfolio of Vanguard Index Trust will hold to its course, remaining fully invested in the stock market segment it emulates. At the same time, we will dedicate ourselves to maintaining our operating expenses at the minimum reasonable levels, with the expectation of providing solid and fully competitive long-term returns. Sincerely, /s/ JOHN C. BOGLE John C. Bogle Chairman of the Board /s/ JOHN J. BRENNAN John J. Brennan President July 18, 1996 Note: Mutual fund data from Lipper Analytical Services, Inc.
- ----------------------------------------------------------------------------------------------------------------- Net Asset Value Per Share --------------------------- Distributions From Dividends December 31, June 30, Net Realized From Net Vanguard Index Trust Portfolio 1995 1996 Capital Gains Investment Income - ----------------------------------------------------------------------------------------------------------------- 500 . . . . . . . . . . . . . . $57.60 $62.89 $.04 $.44 EXTENDED MARKET . . . . . . . . 24.07 26.25 .32 -- TOTAL STOCK MARKET . . . . . . . 15.04 16.39 .03 .12 GROWTH . . . . . . . . . . . . . 13.97 15.40 .06 .10 VALUE . . . . . . . . . . . . . 14.79 15.67 .24 .14 SMALL CAPITALIZATION STOCK . . . 18.61 20.59 .14 -- - -----------------------------------------------------------------------------------------------------------------
2 3 TOTAL INVESTMENT RETURN TABLE The following table illustrates the results of a single-share investment in VANGUARD INDEX TRUST-500 PORTFOLIO since inception through June 30, 1996. During the period illustrated, stock prices fluctuated widely; these results should not be considered a representation of the dividend income or capital gain or loss that may be realized from an investment made in the Portfolio today.
- ------------------------------------------------------------------------------------------------------------ PERIOD PER SHARE DATA TOTAL INVESTMENT RETURN* - ------------------------------------------------------------------------------------------------------------ 500 Portfolio S&P 500 Value with Income ------------------------ -------- Year Ended Net Asset Capital Gains Income Dividends & Capital Capital Income Total Total December 31 Value Distributions Dividends Gains Reinvested Return Return Return Return - ------------------------------------------------------------------------------------------------------------ INITIAL (8/76) $14.15 -- -- $ 14.15 -- -- -- -- - ------------------------------------------------------------------------------------------------------------ 1976 14.73 -- $ .17 14.90 + 4.1% +1.2% + 5.3% + 5.8% - ------------------------------------------------------------------------------------------------------------ 1977 13.01 -- .57 13.73 -11.7 +3.7 - 8.0 - 7.2 - ------------------------------------------------------------------------------------------------------------ 1978 13.11 -- .65 14.54 + 0.8 +5.0 + 5.8 + 6.5 - ------------------------------------------------------------------------------------------------------------ 1979 14.64 $.06 .75 17.16 +12.1 +5.9 +18.0 +18.4 - ------------------------------------------------------------------------------------------------------------ 1980 17.84 .53 .83 22.64 +25.5 +6.4 +31.9 +32.4 - ------------------------------------------------------------------------------------------------------------ 1981 15.52 .56 .83 21.46 - 9.8 +4.6 - 5.2 - 4.9 - ------------------------------------------------------------------------------------------------------------ 1982 17.56 .25 .83 25.96 +14.8 +6.1 +20.9 +21.5 - ------------------------------------------------------------------------------------------------------------ 1983 19.70 .71 .87 31.49 +16.2 +5.1 +21.3 +22.5 - ------------------------------------------------------------------------------------------------------------ 1984 19.52 .48 .88 33.45 + 1.5 +4.7 + 6.2 + 6.3 - ------------------------------------------------------------------------------------------------------------ 1985 22.99 1.61 .91 43.89 +26.1 +5.1 +31.2 +31.8 - ------------------------------------------------------------------------------------------------------------ 1986 24.27 2.02 .89 51.82 +14.0 +4.0 +18.0 +18.7 - ------------------------------------------------------------------------------------------------------------ 1987 24.65 .17 .69 54.26 + 2.3 +2.4 + 4.7 + 5.3 - ------------------------------------------------------------------------------------------------------------ 1988 27.18 .32 1.10 63.06 +11.6 +4.6 +16.2 +16.6 - ------------------------------------------------------------------------------------------------------------ 1989 33.64 .75 1.20 82.84 +26.7 +4.6 +31.3 +31.7 - ------------------------------------------------------------------------------------------------------------ 1990 31.24 .10 1.17 80.08 - 6.8 +3.4 - 3.4 - 3.1 - ------------------------------------------------------------------------------------------------------------ 1991 39.32 .12 1.15 104.28 +26.3 +3.9 +30.2 +30.5 - ------------------------------------------------------------------------------------------------------------ 1992 40.97 .10 1.12 112.03 + 4.4 +3.0 + 7.4 + 7.6 - ------------------------------------------------------------------------------------------------------------ 1993 43.83 .03 1.13 123.11 + 7.1 +2.7 + 9.8 +10.1 - ------------------------------------------------------------------------------------------------------------ 1994 42.97 .20 1.17 124.56 - 1.5 +2.6 + 1.1 + 1.3 - ------------------------------------------------------------------------------------------------------------ 1995 57.60 .13 1.22 171.20 +34.4 +3.0 +37.4 +37.6 - ------------------------------------------------------------------------------------------------------------ 1996 (6/30) 62.89 .04 .44 188.37 + 9.3 +0.7 +10.0 +10.1 - ------------------------------------------------------------------------------------------------------------ LIFETIME +1,219.8% +1,334.4% - ------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURN +13.9% +14.4% - ------------------------------------------------------------------------------------------------------------
* Includes reinvestment of income dividends and any capital gains distributions for both the Portfolio and the Index. Portfolio performance adjusted for the $10 annual account maintenance fee. Note: No adjustment has been made for income taxes payable by shareholders on reinvested income dividends and capital gains distributions. 3 4 STATEMENT OF NET ASSETS FINANCIAL STATEMENTS (unaudited) June 30, 1996
Market Value 500 PORTFOLIO Shares (000)+ - ------------------------------------------------------------------------------- COMMON STOCKS - ------------------------------------------------------------------------------- General Electric Co. 7,747,588 $ 670,166 The Coca-Cola Co. 11,632,188 568,523 Exxon Corp. 5,788,297 502,858 AT&T Corp. 7,488,320 464,276 Philip Morris Cos., Inc. 3,866,735 402,140 Royal Dutch Petroleum Co. ADR 2,498,215 384,100 Merck & Co., Inc. 5,720,761 369,704 * Microsoft Corp. 2,768,133 332,176 Johnson & Johnson 6,209,720 307,381 Procter & Gamble Co. 3,196,506 289,683 Intel Corp. 3,826,926 280,801 Wal-Mart Stores, Inc. 10,688,301 271,216 PepsiCo, Inc. 7,304,185 258,385 International Business Machines Corp. 2,534,188 250,885 Hewlett-Packard Co. 2,376,254 236,734 American International Group, Inc. 2,205,564 217,524 Pfizer, Inc. 2,969,793 211,969 Bristol-Myers Squibb Co. 2,343,575 210,922 E.I. du Pont de Nemours & Co. 2,611,927 206,669 Mobil Corp. 1,837,710 206,053 GTE Corp. 4,545,066 203,392 The Walt Disney Co. 3,160,905 198,742 BellSouth Corp. 4,633,108 196,328 Citicorp 2,265,720 187,205 General Motors Corp. 3,522,964 184,515 Chevron Corp. 3,041,440 179,445 Ford Motor Co. 5,478,339 177,361 American Home Products Corp. 2,948,467 177,276 Motorola, Inc. 2,758,861 173,463 Federal National Mortgage Assn. 5,088,871 170,477 Amoco Corp. 2,313,831 167,463 Eli Lilly & Co. 2,566,614 166,830 Abbott Laboratories 3,663,259 159,352 Ameritech Corp. 2,588,858 153,713 McDonald's Corp. 3,264,166 152,600 * Cisco Systems, Inc. 2,649,224 150,012 Chase Manhattan Corp. 2,032,493 143,545 The Boeing Co. 1,612,878 140,522 SBC Communications Inc. 2,838,783 139,810 Minnesota Mining & Manufacturing Co. 1,949,064 134,485 Bell Atlantic Corp. 2,040,838 130,103 Gillette Co. 2,073,499 129,334 BankAmerica Corp. 1,705,269 129,174 Eastman Kodak Co. 1,611,882 125,324 Home Depot, Inc. 2,227,340 120,276 * Oracle Corp. 3,048,804 120,047 NationsBank Corp. 1,395,543 115,307 Columbia/HCA Healthcare Corp. 2,086,202 111,351 Wells Fargo & Co. 454,761 108,631 Unilever NV ADR 745,796 108,234 Chrysler Corp. 1,742,849 108,057 Schering-Plough Corp. 1,716,887 107,735 Pharmacia & Upjohn, Inc. 2,373,975 105,345 Texaco, Inc. 1,231,130 103,261 Kimberly-Clark Corp. 1,310,400 101,228 Travelers Group Inc. 2,210,659 100,861 American Express Co. 2,251,336 100,466 NYNEX Corp. 2,035,481 96,685 Schlumberger Ltd. 1,133,064 95,461 Allstate Corp. 2,073,773 94,616 Emerson Electric Co. 1,044,207 94,370 Monsanto Co. 2,745,166 89,218 Sears, Roebuck & Co. 1,827,962 88,885 Atlantic Richfield Co. 749,526 88,819 Dow Chemical Co. 1,165,085 88,546 Anheuser-Busch Co., Inc. 1,179,545 88,466 Sprint Corp. 2,034,603 85,453 First Data Corp. 1,040,594 82,857 MCI Communications Corp. 3,220,835 82,131 Campbell Soup Co. 1,162,327 81,944 First Union Corp. 1,328,145 80,851 Xerox Corp. 1,507,856 80,670 Computer Associates International, Inc. 1,127,391 80,327 Lockheed Martin Corp. 926,196 77,800 Southern Co. 3,125,613 76,968 WMX Technologies Inc. 2,304,451 75,471 AlliedSignal Inc. 1,317,716 75,274 J.P. Morgan & Co., Inc. 875,235 74,067 Sara Lee Corp. 2,255,729 73,029 Kellogg Co. 990,948 72,587 Time Warner, Inc. 1,829,071 71,791 Banc One Corp. 2,106,251 71,612 Federal Home Loan Mortgage Corp. 835,968 71,475 U S WEST Communications Group 2,210,149 70,449 Warner-Lambert Co. 1,263,847 69,511 Nike, Inc. Class B 668,190 68,656 Pacific Telesis Group 1,996,601 67,385 Union Pacific Corp. 958,024 66,942 * Amgen, Inc. 1,238,865 66,589 * AirTouch Communications 2,323,688 65,644 United Technologies Corp. 567,272 65,236 Northern Telecom Ltd. 1,198,177 65,151 * Viacom International Class B 1,652,289 64,233 * COMPAQ Computer Corp. 1,249,826 61,554 Caterpillar, Inc. 903,424 61,207 Medtronic, Inc. 1,091,137 61,104 Baxter International, Inc. 1,266,753 59,854
4 5
Market Value Shares (000)+ - ------------------------------------------------------------------------------- Norwest Corp. 1,705,200 59,469 The Seagram Co. Ltd. 1,741,746 58,566 Rockwell International Corp. 1,013,097 58,000 - ------------------------------------------------------------------------------- TOTAL--100 LARGEST STOCKS 15,152,358 - ------------------------------------------------------------------------------- Colgate-Palmolive Co. 682,381 57,832 First Chicago NBD Corp. 1,475,133 57,715 Raytheon Co. 1,115,290 57,577 General Re Corp. 378,096 57,565 Burlington Northern Santa Fe Corp. 708,833 57,327 J.C. Penney Co., Inc. 1,046,770 54,955 * Tele-Communications, Inc. Class A 3,042,155 54,759 Fleet Financial Group, Inc. 1,224,324 53,258 H.J. Heinz Co. 1,722,690 52,327 Automatic Data Processing, Inc. 1,350,266 52,154 Merrill Lynch & Co., Inc. 798,639 52,011 ConAgra, Inc. 1,132,788 51,400 International Paper Co. 1,390,353 51,269 Phillips Petroleum Co. 1,221,231 51,139 May Department Stores Co. 1,164,242 50,936 Norfolk Southern Corp. 593,648 50,312 * Sun Microsystems, Inc. 854,271 50,188 McDonnell Douglas Corp. 1,034,147 50,156 * WorldCom, Inc. 904,283 49,962 The Dun & Bradstreet Corp. 791,908 49,494 Deere & Co. 1,223,658 48,946 Duke Power Co. 954,659 48,926 CPC International, Inc. 678,232 48,833 Albertson's, Inc. 1,174,068 48,577 Enron Corp. 1,170,871 47,859 CSX Corp. 985,633 47,557 PNC Bank Corp. 1,588,481 47,257 Aluminum Co. of America 818,943 46,987 The Bank of New York Co., Inc. 907,848 46,527 Gannett Co., Inc. 656,165 46,424 Archer-Daniels-Midland Co. 2,423,041 46,341 Barrick Gold Corp. 1,664,616 45,153 Pacific Gas & Electric Co. 1,941,922 45,150 Texas Utilities Co. 1,052,480 44,994 Dean Witter Discover & Co. 777,988 44,540 Texas Instruments, Inc. 883,063 44,043 Loews Corp. 548,838 43,290 The Gap, Inc. 1,343,900 43,173 PPG Industries, Inc. 881,045 42,951 United Healthcare Corp. 849,517 42,901 CIGNA Corp. 356,334 42,003 KeyCorp 1,080,371 41,864 Tenneco, Inc. 809,790 41,401 Corning, Inc. 1,075,799 41,284 The Chubb Corp. 818,475 40,821 AMP, Inc. 1,013,203 40,655 General Mills, Inc. 742,805 40,483 * U S WEST Media Group 2,201,039 40,169 CoreStates Financial Corp. 1,032,569 39,754 FPL Group, Inc. 856,349 39,392 U.S. Healthcare, Inc. 717,341 39,364 Weyerhaeuser Co. 924,784 39,303 SunTrust Banks, Inc. 1,056,725 39,099 Unocal Corp. 1,152,458 38,895 Walgreen Co. 1,147,040 38,426 Aetna Life & Casualty Co. 536,776 38,379 First Bank System, Inc. 657,430 38,131 * AMR Corp. 417,396 37,983 Illinois Tool Works, Inc. 554,878 37,524 American Brands, Inc. 826,644 37,509 * Boston Scientific Corp. 829,551 37,330 American Electric Power Co., Inc. 869,733 37,072 Mattel, Inc. 1,290,784 36,949 Occidental Petroleum Corp. 1,487,422 36,814 Edison International 2,075,161 36,575 Westinghouse Electric Corp. 1,944,108 36,452 Mellon Bank Corp. 639,305 36,440 * Toys R Us, Inc. 1,274,449 36,322 * ITT Corp. 546,158 36,183 National City Corp. 1,029,864 36,174 * 3 Com Corp. 778,584 35,523 American General Corp. 967,413 35,190 Morgan Stanley Group, Inc. 716,312 35,189 The Goodyear Tire & Rubber Co. 722,610 34,866 Dayton-Hudson Corp. 335,594 34,608 Wachovia Corp. 787,388 34,448 Household International, Inc. 452,814 34,414 Pitney Bowes, Inc. 697,567 33,309 Dominion Resources, Inc. 825,936 33,037 * Federated Department Stores 966,768 32,991 Marsh & McLennan Cos., Inc. 339,140 32,727 W.R. Grace & Co. 456,921 32,384 UST, Inc. 941,771 32,256 Honeywell, Inc. 591,048 32,212 * Digital Equipment Corp. 713,687 32,116 Alcan Aluminium Ltd. 1,052,801 32,110 Consolidated Edison Co. of New York, Inc. 1,095,006 32,029 Marriott International 594,968 31,980 Ralston-Ralston Purina Group 493,759 31,662 * CUC International, Inc. 887,598 31,510 Service Corp. International 546,550 31,427 Textron, Inc. 391,832 31,298 Public Service Enterprise Group Inc. 1,140,313 31,216 Praxair, Inc. 721,105 30,467 PacifiCorp 1,368,251 30,444
5 6 STATEMENT OF NET ASSETS (continued)
Market Value Shares (000)+ - ------------------------------------------------------------------------------- Georgia-Pacific Corp. 425,623 $ 30,219 Houston Industries, Inc. 1,224,389 30,151 Entergy Corp. 1,062,562 30,150 Air Products & Chemicals, Inc. 521,159 30,097 Halliburton Co. 534,997 29,692 - ------------------------------------------------------------------------------- TOTAL--200 LARGEST STOCKS 19,263,595 - ------------------------------------------------------------------------------- MBNA Corp. 1,038,045 29,584 Boatmen's Bancshares, Inc. 736,695 29,376 ITT Hartford Group, Inc. 546,159 29,083 Sysco Corp. 847,137 29,014 Tyco International Ltd. 710,954 28,971 American Stores Co. 698,471 28,812 Browning-Ferris Industries, Inc. 991,067 28,741 Central & South West Corp. 975,275 28,283 Avon Products, Inc. 625,105 28,208 Hercules, Inc. 505,352 27,921 Unicom Corp. 1,001,108 27,906 Kmart Corp. 2,239,783 27,717 * Tellabs, Inc. 413,805 27,621 Bankers Trust New York Corp. 370,420 27,365 TRW, Inc. 304,343 27,353 Wrigley, (Wm.) Jr. Co. 541,425 27,342 ALLTEL Corp. 882,845 27,147 Lowes Cos., Inc. 751,391 27,144 The Limited, Inc. 1,261,663 27,126 U.S. Bancorp 750,966 27,035 USX-Marathon Group 1,339,414 26,956 Alco Standard Corp. 595,702 26,956 Carolina Power & Light Co. 708,789 26,934 PECO Energy Corp. 1,035,350 26,919 Crown Cork & Seal Co., Inc. 596,977 26,864 Barnett Banks, Inc. 438,866 26,771 Placer Dome, Inc. 1,114,181 26,601 Hershey Foods Corp. 360,413 26,445 Genuine Parts Co. 567,423 25,960 Bank of Boston Corp. 522,025 25,840 Transamerica Corp. 316,878 25,667 Fifth Third Bancorp 476,655 25,620 Morton International, Inc. 685,208 25,524 Hilton Hotels Corp. 226,713 25,505 Fluor Corp. 389,063 25,435 * Applied Materials, Inc. 836,231 25,401 Burlington Resources, Inc. 589,897 25,366 Winn Dixie Stores, Inc. 708,348 25,058 Micron Technology Inc. 968,377 25,057 R.R. Donnelley & Sons Co. 717,478 25,022 Dresser Industries, Inc. 844,983 24,927 Union Carbide Corp. 620,353 24,659 International Flavors & Fragrances, Inc. 516,267 24,587 Dover Corp. 530,376 24,464 Comerica, Inc. 546,737 24,398 Conrail, Inc. 365,017 24,228 Williams Cos., Inc. 487,435 24,128 Becton, Dickinson & Co. 298,287 23,938 Delta Air Lines, Inc. 286,852 23,809 CINergy Corp. 734,831 23,515 Aon Corp. 461,988 23,446 * Novell, Inc. 1,704,221 23,433 Amerada Hess Corp. 432,703 23,204 PanEnergy Corp. 702,936 23,109 * Cabletron Systems, Inc. 335,710 23,038 * The Kroger Co. 578,769 22,861 Newmont Mining Corp. 462,233 22,823 Consolidated Natural Gas Co. 436,182 22,791 Freeport-McMoRan Copper & Gold Inc. Class B 713,683 22,749 Newell Co. 738,593 22,619 Masco Corp. 747,392 22,609 * Bay Networks 873,952 22,504 Eastman Chemical 369,581 22,498 Lincoln National Corp. 485,861 22,471 Ingersoll-Rand Co. 507,524 22,204 Inco Ltd. 677,853 21,861 Baker Hughes, Inc. 663,256 21,805 * Federal Express Corp. 264,108 21,657 Salomon, Inc. 489,457 21,536 The Quaker Oats Co. 630,126 21,503 The McGraw-Hill Cos. 468,356 21,427 * Tenet Healthcare Corp. 1,002,287 21,424 The Clorox Co. 241,528 21,405 Eaton Corp. 361,997 21,222 Times Mirror Co. Class A 487,765 21,218 UNUM Corp. 340,116 21,172 DTE Energy Co. 676,321 20,881 Tribune Co. 287,356 20,869 Cooper Industries, Inc. 502,518 20,855 St. Paul Cos., Inc. 389,782 20,853 SAFECO Corp. 586,374 20,743 Nucor Corp. 407,612 20,635 Coastal Corp. 491,397 20,516 Pioneer Hi Bred International 387,653 20,497 * EMC Corp. 1,073,638 19,997 Green Tree Financial Corp. 638,617 19,957 Melville Corp. 489,558 19,827 General Public Utilities Corp. 561,430 19,790 Southwest Airlines Co. 671,902 19,569 Baltimore Gas & Electric Co. 687,510 19,508 * Computer Sciences Corp. 260,963 19,507 * Price/Costco Inc. 911,562 19,485 Rohm & Haas Co. 309,118 19,397 Phelps Dodge Corp. 309,347 19,296 Dillard Department Stores Class A 527,953 19,270
6 7
Market Value Shares (000)+ - ------------------------------------------------------------------------------- Rubbermaid, Inc. 705,910 $ 19,236 Union Electric Co. 475,903 19,155 Dow Jones & Co., Inc. 452,445 18,890 Providian Corp. 436,967 18,735 Great Lakes Chemical Corp. 300,685 18,718 - ------------------------------------------------------------------------------- TOTAL--300 LARGEST STOCKS 21,642,673 - ------------------------------------------------------------------------------- Champion International Corp. 445,766 18,611 Sherwin-Williams Co. 398,384 18,525 W.W. Grainger, Inc. 237,527 18,408 General Dynamics Corp. 293,993 18,228 * Silicon Graphics, Inc. 756,606 18,159 Sonat, Inc. 401,360 18,061 Northrop Grumman Corp. 263,931 17,980 VF Corp. 296,409 17,673 PP&L Resources Inc. 741,655 17,522 Interpublic Group of Cos., Inc. 368,661 17,281 Whirlpool Corp. 345,241 17,133 Jefferson-Pilot Corp. 331,354 17,106 Harcourt General, Inc. 334,719 16,736 Nordstrom, Inc. 377,418 16,701 Knight-Ridder, Inc. 227,580 16,500 Circuit City Stores, Inc. 454,022 16,402 * DSC Communications Corp. 539,858 16,196 Case Corp. 336,830 16,168 Republic New York Corp. 259,363 16,145 * Ceridian Corp. 316,026 15,959 * General Instrument 551,353 15,920 Black & Decker Corp. 406,694 15,709 Union Camp Corp. 322,058 15,700 H & R Block, Inc. 481,018 15,693 Northern States Power Co. 317,231 15,663 * LSI Logic Corp. 597,678 15,540 Ohio Edison Co. 709,844 15,528 Reynolds Metals Co. 296,240 15,442 Engelhard Corp. 668,701 15,380 Golden West Financial Corp. 273,957 15,342 Great Western Financial Corp. 639,138 15,259 Willamette Industries, Inc. 256,913 15,222 * Andrew Corp. 279,716 15,105 Raychem Corp. 207,241 14,895 New York Times Co. Class A 455,062 14,846 Dana Corp. 472,840 14,658 Parker Hannifin Corp. 345,025 14,620 Torchmark Corp. 333,813 14,604 H.F. Ahmanson & Co. 538,792 14,547 Hasbro, Inc. 404,962 14,477 * Western Atlas Inc. 247,941 14,443 Kerr-McGee Corp. 236,628 14,405 Westvaco Corp. 472,217 14,107 Beneficial Corp. 248,716 13,959 * Woolworth Corp. 619,079 13,929 Laidlaw Inc. Class B 1,368,645 13,858 ITT Industries, Inc. 547,259 13,750 Comcast Corp. Class A Special 747,195 13,636 Deluxe Corp. 384,019 13,633 Avery Dennison Corp. 247,251 13,568 * Harrah's Entertainment, Inc. 478,463 13,517 * Humana, Inc. 755,640 13,507 Mallinckrodt Group, Inc. 345,168 13,418 Tandy Corp. 281,978 13,359 Columbia Gas Systems, Inc. 255,932 13,340 Johnson Controls, Inc. 191,380 13,301 Pall Corp. 535,278 12,914 Brown-Forman Corp. Class B 321,021 12,841 The Mead Corp. 246,640 12,794 The Dial Corp. 439,654 12,585 * St. Jude Medical, Inc. 372,127 12,373 Sigma Aldrich Corp. 232,378 12,316 The Stanley Works 412,058 12,259 * Tupperware Corp. 286,636 12,110 Temple-Inland Inc. 258,260 12,074 Apple Computer, Inc. 575,333 12,010 Whitman Corp. 490,637 11,837 Allergan, Inc. 301,494 11,834 Liz Claiborne, Inc. 341,093 11,810 Ashland Inc. 297,402 11,785 Homestake Mining Co. 682,639 11,690 Reebok International Ltd. 346,557 11,653 Rite Aid Corp. 390,362 11,613 Pacific Enterprises 388,253 11,502 Manor Care Inc. 291,864 11,492 TJX Cos., Inc. 337,956 11,406 * FMC Corp. 173,227 11,303 Bausch & Lomb, Inc. 264,675 11,249 Louisiana-Pacific Corp. 504,955 11,172 Harris Corp. 180,696 11,022 USX-U.S. Steel Group 388,431 11,022 Wendy's International, Inc. 591,116 11,010 Echlin, Inc. 286,270 10,842 * ALZA Corp. 392,333 10,740 Sun Co., Inc. 344,115 10,452 James River Corp. 395,923 10,442 Ryder System, Inc. 369,604 10,395 Maytag Corp. 495,022 10,334 * Owens Corning 240,181 10,328 Mercantile Stores Co., Inc. 171,742 10,068 Pennzoil Co. 216,422 10,010 Giant Food, Inc. Class A 277,783 9,965 Armstrong World Industries Inc. 171,909 9,906 SuperValu Inc. 314,377 9,903 Ecolab, Inc. 299,564 9,886 Pep Boys (Manny, Moe & Jack) 289,793 9,853 Nalco Chemical Co. 311,946 9,826
7 8 STATEMENT OF NET ASSETS (continued)
Market Value Shares (000)+ - ------------------------------------------------------------------------------- Cyprus Amax Minerals Co. 433,736 $ 9,813 * National Semiconductor Corp. 630,952 9,780 Polaroid Corp. 212,702 9,705 - ------------------------------------------------------------------------------- TOTAL--400 LARGEST STOCKS 23,001,971 - ------------------------------------------------------------------------------- Perkin-Elmer Corp. 199,920 9,646 American Greetings Corp. Class A 347,253 9,463 Teledyne Inc. 259,392 9,371 The BF Goodrich Co. 244,909 9,153 Brunswick Corp. 456,824 9,136 Louisiana Land & Exploration Co. 157,641 9,084 USF&G Corp. 554,005 9,072 C.R. Bard, Inc. 266,189 9,050 * Fruit of the Loom, Inc. 354,547 9,041 Snap-On Inc. 189,547 8,980 United States Surgical Corp. 286,355 8,877 * Varity Corp. 184,345 8,872 Paccar, Inc. 180,606 8,805 Moore Corp. Ltd. 463,920 8,756 National Service Industries, Inc. 223,265 8,735 General Signal Corp. 230,489 8,730 Worthington Industries, Inc. 422,142 8,707 Cooper Tire & Rubber Co. 388,905 8,653 * Santa Fe Pacific Gold Corp. 610,955 8,630 Millipore Corp. 205,372 8,600 * Advanced Micro Devices, Inc. 626,874 8,541 Bemis Co., Inc. 243,928 8,537 Foster Wheeler Corp. 187,980 8,436 Boise Cascade Corp. 224,326 8,216 Darden Restaurants Inc. 740,863 7,964 * Oryx Energy Co. 486,561 7,907 * Biomet, Inc. 537,281 7,589 Cummins Engine Co., Inc. 186,420 7,527 Harnischfeger Industries Inc. 218,479 7,264 Thomas & Betts Corp. 186,292 6,986 Shared Medical Systems Corp. 108,086 6,945 ENSERCH Corp. 318,975 6,938 Tektronix, Inc. 153,843 6,884 NorAm Energy Corp. 626,539 6,814 Comcast Corp. Class A 368,742 6,776 * Tandem Computers, Inc. 544,785 6,742 NICOR, Inc. 232,720 6,603 Echo Bay Mines Ltd. 605,631 6,511 * Bally Entertainment Corp. 233,750 6,428 Autodesk, Inc. 213,858 6,362 Stone Container Corp. 461,359 6,344 * King World Productions, Inc. 174,210 6,337 Caliber System Inc. 182,344 6,200 * Bethlehem Steel Corp. 516,715 6,136 Alberto-Culver Co. Class B 129,453 6,003 * Amdahl Corp. 555,767 5,975 * Rowan Cos., Inc. 395,571 5,835 Great Atlantic & Pacific Tea Co., Inc. 177,291 5,828 Freeport-McMoRan Copper & Gold Inc. Class A 194,483 5,810 Crane Co. 140,574 5,764 * Unisys Corp. 794,966 5,664 The Timkin Co. 145,862 5,652 * Beverly Enterprises Inc. 465,524 5,586 Scientific-Atlanta, Inc. 356,058 5,519 Briggs & Stratton Corp. 134,122 5,516 ASARCO, Inc. 198,691 5,489 Fleetwood Enterprises, Inc. 176,520 5,472 Peoples Energy Corp. 162,070 5,429 Meredith Corp. 128,533 5,366 * USAir Group, Inc. 295,277 5,315 McDermott International, Inc. 252,618 5,273 Potlatch Corp. 134,519 5,263 USLIFE Corp. 159,388 5,240 Niagara Mohawk Power Corp. 668,197 5,179 Russell Corp. 180,640 4,990 * Santa Fe Energy Resources, Inc. 418,782 4,973 EG & G, Inc. 220,789 4,719 Springs Industries Inc. Class A 93,440 4,719 Safety-Kleen Corp. 268,513 4,699 Trinova Corp. 133,081 4,442 Inland Steel Industries, Inc. 226,151 4,438 Cincinnati Milacron, Inc. 184,806 4,435 Consolidated Freightways, Inc. 204,585 4,322 Helmerich & Payne, Inc. 115,113 4,216 Ogden Corp. 231,273 4,192 Longs Drug Stores, Inc. 92,355 4,121 Centex Corp. 131,502 4,093 Alexander & Alexander Services, Inc. 206,521 4,079 Ball Corp. 140,145 4,029 Jostens Inc. 179,381 3,543 John H. Harland Co. 142,203 3,502 * Navistar International Corp. 347,874 3,435 Pulte Corp. 124,905 3,341 * Charming Shoppes, Inc. 479,618 3,327 Adolph Coors Co. Class B 176,350 3,152 ONEOK, Inc. 126,034 3,151 Eastern Enterprises 94,039 3,127 * Viacom International Class A 71,693 2,733 * Intergraph Corp. 216,813 2,629 Kaufman & Broad Home Corp. 180,746 2,621 Giddings & Lewis, Inc. 160,530 2,609 Luby's Cafeterias, Inc. 109,106 2,564 Fleming Cos., Inc. 174,758 2,512 * Armco, Inc. 494,678 2,473 * Data General Corp. 180,230 2,343 NACCO Industries, Inc. Class A 41,849 2,317
8 9
Market Value Shares (000)+ - ------------------------------------------------------------------------------- * Ryan's Family Steak Houses, Inc. 245,354 $ 2,270 * Aon Corp. Cvt. Pfd. 6.25% 35,000 2,196 * Shoney's Inc. 190,925 2,076 * Community Psychiatric Centers 205,335 1,951 Stride Rite Corp. 230,693 1,903 * Yellow Corp. 129,062 1,694 Outboard Marine Corp. 92,392 1,675 Brown Group, Inc. 82,367 1,431 * Loral Space & Communications Ltd. 22,700 309 - ------------------------------------------------------------------------------- TOTAL COMMON STOCKS (99.6%)(1) (Cost $17,681,167) 23,594,848 - ------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (.3%) - ------------------------------------------------------------------------------- Face Amount (000) -------- U.S. TREASURY BILL--Note D 5.02%, 7/11/96 $ 8,000 7,990 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 5.35%, 7/1/96 57,825 57,825 - ------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $65,814) 65,815 - ------------------------------------------------------------------------------- TOTAL INVESTMENTS (99.9%) (Cost $17,746,981) 23,660,663 - ------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (.1%) - ------------------------------------------------------------------------------- Other Assets--Notes B and E 179,538 Liabilities--Note E (165,828) --------- 13,710 - ------------------------------------------------------------------------------- NET ASSETS (100%) - ------------------------------------------------------------------------------- Applicable to 376,457,780 outstanding shares of beneficial interest (unlimited authorization) $23,674,373 - ------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $62.89 ===============================================================================
+ See Note A to Financial Statements. * Non-Income Producing Security. (1) The combined market value of common stocks and Standard & Poor's 500 Index futures contracts represents 99.9% of net assets.
- ------------------------------------------------------------------------------- AT JUNE 30, 1996, NET ASSETS CONSISTED OF: - ------------------------------------------------------------------------------- AMOUNT PER (000) SHARE ----------- ------ PAID IN CAPITAL--NOTE C $17,602,765 $46.76 UNDISTRIBUTED NET INVESTMENT INCOME 87,290 .23 ACCUMULATED NET REALIZED GAINS--NOTE C 70,742 .19 UNREALIZED APPRECIATION (DEPRECIATION)--NOTE D: INVESTMENT SECURITIES 5,913,682 15.71 FUTURES CONTRACTS (106) -- - ------------------------------------------------------------------------------- NET ASSETS $23,674,373 $62.89 - -------------------------------------------------------------------------------
9 10 STATEMENT OF OPERATIONS
EXTENDED TOTAL STOCK 500 PORTFOLIO MARKET PORTFOLIO MARKET PORTFOLIO - ------------------------------------------------------------------------------------------------------------------------ Six Months Ended Six Months Ended Six Months Ended June 30, 1996 June 30, 1996 June 30, 1996 (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME INCOME Dividends . . . . . . . . . . . . . . . . . $ 228,913 $ 13,098 $ 18,797 Interest . . . . . . . . . . . . . . . . . 4,640 2,283 1,683 - ------------------------------------------------------------------------------------------------------------------------ Total Income . . . . . . . . . . . 233,553 15,381 20,480 - ------------------------------------------------------------------------------------------------------------------------ EXPENSES The Vanguard Group--Note B Investment Advisory Services . . . . . . $ 7 $ 15 $ 15 Management and Administrative . . . . . 16,630 1,810 1,741 Marketing and Distribution . . . . . . . 2,463 19,100 175 2,000 240 1,996 Taxes (other than income taxes) . . . . . . ----------- 718 -------- 63 -------- 65 Custodian Fees . . . . . . . . . . . . . . 182 63 62 Auditing Fees . . . . . . . . . . . . . . . 15 5 5 Shareholders' Reports . . . . . . . . . . . 447 37 25 Annual Meeting and Proxy Costs . . . . . . 115 9 7 Trustees' Fees and Expenses . . . . . . . . 31 2 3 - ------------------------------------------------------------------------------------------------------------------------ Total Expenses . . . . . . . . . . 20,608 2,179 2,163 - ------------------------------------------------------------------------------------------------------------------------ Net Investment Income . . . . . 212,945 13,202 18,317 - ------------------------------------------------------------------------------------------------------------------------ REALIZED NET GAIN Investment Securities Sold . . . . . . . . 286,310 72,530 7,449 Futures Contracts . . . . . . . . . . . . . 17,952 3,694 3,422 - ------------------------------------------------------------------------------------------------------------------------ Realized Net Gain . . . . . . . 304,262 76,224 10,871 - ------------------------------------------------------------------------------------------------------------------------ CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities . . . . . . . . . . . 1,419,280 76,078 150,256 Futures Contracts . . . . . . . . . . . . . 126 507 245 - ------------------------------------------------------------------------------------------------------------------------ Change in Unrealized Appreciation (Depreciation) . 1,419,406 76,585 150,501 - ------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations . . $1,936,613 $166,011 $179,689 ========================================================================================================================
The Statements of Net Assets for the Extended Market, Total Stock Market, Growth, Value, and Small Capitalization Stock Portfolios, an integral part of the financial statements for each Portfolio, are included as an insert to this Report. 10 11
SMALL GROWTH VALUE CAPITALIZATION PORTFOLIO PORTFOLIO STOCK PORTFOLIO - --------------------------------------------------------------------------------------------------------------------- Six Months Ended Six Months Ended Six Months Ended June 30, 1996 June 30, 1996 June 30, 1996 (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends . . . . . . . . . . . . . . . . . $ 3,225 $ 8,879 $ 8,788 Interest . . . . . . . . . . . . . . . . . 129 112 1,086 - --------------------------------------------------------------------------------------------------------------------- Total Income . . . . . . . . . . . 3,354 8,991 9,874 - --------------------------------------------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services . . . . . . $ 7 $ 8 $ 15 Management and Administrative . . . . . 299 488 1,234 Marketing and Distribution . . . . . . . 46 352 73 569 128 1,377 Taxes (other than income taxes) . . . . . . ------ 11 ------ 21 -------- 40 Custodian Fees . . . . . . . . . . . . . . 10 14 15 Auditing Fees . . . . . . . . . . . . . . . 4 4 4 Shareholders' Reports . . . . . . . . . . . 10 16 31 Annual Meeting and Proxy Costs . . . . . . 3 4 8 Trustees' Fees and Expenses . . . . . . . . 1 1 2 - --------------------------------------------------------------------------------------------------------------------- Total Expenses . . . . . . . . . . 391 629 1,477 - --------------------------------------------------------------------------------------------------------------------- Net Investment Income . . . . . 2,963 8,362 8,397 - --------------------------------------------------------------------------------------------------------------------- REALIZED NET GAIN Investment Securities Sold . . . . . . . . 2,454 20,238 51,453 Futures Contracts . . . . . . . . . . . . . 52 108 742 - --------------------------------------------------------------------------------------------------------------------- Realized Net Gain . . . . . . . 2,506 20,346 52,195 - --------------------------------------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities . . . . . . . . . . . 36,983 19,005 55,500 Futures Contracts . . . . . . . . . . . . . 22 4 (795) - --------------------------------------------------------------------------------------------------------------------- Change in Unrealized Appreciation (Depreciation) . 37,005 19,009 54,705 - --------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations . . $42,474 $47,717 $115,297 =====================================================================================================================
11 12 STATEMENT OF CHANGES IN NET ASSETS
EXTENDED 500 PORTFOLIO MARKET PORTFOLIO - ------------------------------------------------------------------------------------------------------------------- SIX MONTHS Year Ended SIX MONTHS Year Ended ENDED December 31, ENDED December 31, JUNE 30, 1996 1995 JUNE 30, 1996 1995 (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS OPERATIONS Net Investment Income . . . . . . . . . $ 212,945 $ 308,784 $ 13,202 $ 18,358 Realized Net Gain . . . . . . . . . . . 304,262 224,353 76,224 47,260 Change in Unrealized Appreciation (Depreciation) . . . . . . . . . . . 1,419,406 3,461,446 76,585 279,593 - ------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations . . 1,936,613 3,994,583 166,011 345,211 - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income . . . . . . . . . (156,804) (329,358) -- (18,335) Realized Net Gain . . . . . . . . . . . (13,576) (38,412) (21,763) (24,450) - ------------------------------------------------------------------------------------------------------------------- Total Distributions . . . . . . (170,380) (367,770) (21,763) (42,785) - ------------------------------------------------------------------------------------------------------------------- NET EQUALIZATION CREDITS--Note A . . . . . 16,022 24,573 -- -- - ------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (1) Issued . . . . . . . . . . . . . . 6,304,815 6,176,329 355,146 333,688 Issued in Lieu of Cash Distributions . . 154,047 333,373 20,417 38,420 Redeemed . . . . . . . . . . . . . . (1,938,579) (2,145,554) (297,266) (118,616) - ------------------------------------------------------------------------------------------------------------------- Net Increase from Capital Share Transactions . . . . . 4,520,283 4,364,148 78,297 253,492 - ------------------------------------------------------------------------------------------------------------------- Total Increase . . . . . . . . 6,302,538 8,015,534 222,545 555,918 - ------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Period . . . . . . . . . . 17,371,835 9,356,301 1,523,213 967,295 - ------------------------------------------------------------------------------------------------------------------- End of Period . . . . . . . . . . . . . $23,674,373 $17,371,835 $1,745,758 $1,523,213 =================================================================================================================== (1) Shares Issued and Redeemed Issued . . . . . . . . . . . . 104,572 119,957 13,867 14,948 Issued in Lieu of Cash Distributions 2,497 6,165 817 1,617 Redeemed . . . . . . . . . . . (32,185) (42,269) (11,462) (5,530) - ------------------------------------------------------------------------------------------------------------------- 74,884 83,853 3,222 11,035 - -------------------------------------------------------------------------------------------------------------------
12 13
TOTAL STOCK MARKET PORTFOLIO GROWTH PORTFOLIO - ------------------------------------------------------------------------------------------------------------------- SIX MONTHS Year Ended SIX MONTHS Year Ended ENDED December 31, ENDED December 31, JUNE 30, 1996 1995 JUNE 30, 1996 1995 (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS OPERATIONS Net Investment Income . . . . . . . . . $ 18,317 $ 24,738 $ 2,963 $ 2,807 Realized Net Gain . . . . . . . . . . . 10,871 13,382 2,506 2,780 Change in Unrealized Appreciation (Depreciation) . . . . . . . . . . . 150,501 302,059 37,005 43,832 - ------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations . . 179,689 340,179 42,474 49,419 - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income . . . . . . . . . (15,192) (25,383) (2,941) (2,809) Realized Net Gain . . . . . . . . . . . (3,638) (9,220) (1,562) -- - ------------------------------------------------------------------------------------------------------------------- Total Distributions . . . . . . (18,830) (34,603) (4,503) (2,809) - ------------------------------------------------------------------------------------------------------------------- NET EQUALIZATION CREDITS--Note A . . . . . 2,511 1,408 401 153 - ------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (1) Issued . . . . . . . . . . . . . . 1,235,476 572,389 252,560 172,136 Issued in Lieu of Cash Distributions . . 16,988 30,454 4,190 2,521 Redeemed . . . . . . . . . . . . . . (121,847) (124,622) (55,246) (36,588) - ------------------------------------------------------------------------------------------------------------------- Net Increase from Capital Share Transactions . . . . . 1,130,617 478,221 201,504 138,069 - ------------------------------------------------------------------------------------------------------------------- Total Increase . . . . . . . . 1,293,987 785,205 239,876 184,832 - ------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Period . . . . . . . . . . 1,570,889 785,684 271,002 86,170 - ------------------------------------------------------------------------------------------------------------------- End of Period . . . . . . . . . . . . . $2,864,876 $1,570,889 $510,878 $271,002 =================================================================================================================== (1) Shares Issued and Redeemed Issued . . . . . . . . . . . . 76,942 42,692 17,230 13,833 Issued in Lieu of Cash Distributions 1,061 2,142 281 197 Redeemed . . . . . . . . . . . (7,671) (9,484) (3,751) (3,005) - ------------------------------------------------------------------------------------------------------------------- 70,332 35,350 13,760 11,025 - -------------------------------------------------------------------------------------------------------------------
13 14 STATEMENT OF CHANGES IN NET ASSETS (continued)
SMALL CAPITALIZATION VALUE PORTFOLIO STOCK PORTFOLIO - ------------------------------------------------------------------------------------------------------------------- SIX MONTHS Year Ended SIX MONTHS Year Ended ENDED December 31, ENDED December 31, JUNE 30, 1996 1995 JUNE 30, 1996 1995 (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS OPERATIONS Net Investment Income . . . . . . . . . $ 8,362 $ 11,372 $ 8,397 $ 12,158 Realized Net Gain . . . . . . . . . . . 20,346 11,285 52,195 32,925 Change in Unrealized Appreciation (Depreciation) . . . . . . . . . . . 19,009 91,742 54,705 142,138 - ------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations . . 47,717 114,399 115,297 187,221 - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income . . . . . . . . . (6,154) (11,989) -- (11,543) Realized Net Gain . . . . . . . . . . . (9,527) -- (8,160) (22,583) - ------------------------------------------------------------------------------------------------------------------- Total Distributions . . . . . . (15,681) (11,989) (8,160) (34,126) - ------------------------------------------------------------------------------------------------------------------- NET EQUALIZATION CREDITS--Note A . . . . . 996 772 -- -- - ------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (1) Issued . . . . . . . . . . . . . . 280,169 184,957 456,118 296,341 Issued in Lieu of Cash Distributions . . 14,295 10,456 7,654 30,822 Redeemed . . . . . . . . . . . . . . (59,070) (99,197) (92,111) (114,401) - ------------------------------------------------------------------------------------------------------------------- Net Increase from Capital Share Transactions . . . . . 235,394 96,216 371,661 212,762 - ------------------------------------------------------------------------------------------------------------------- Total Increase . . . . . . . . 268,426 199,398 478,798 365,857 - ------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Period . . . . . . . . . . 496,327 296,929 971,233 605,376 - ------------------------------------------------------------------------------------------------------------------- End of Period . . . . . . . . . . . . . $764,753 $496,327 $1,450,031 $971,233 =================================================================================================================== (1) Shares Issued and Redeemed Issued . . . . . . . . . . . . 18,184 13,982 22,639 16,951 Issued in Lieu of Cash Distributions 920 761 396 1,676 Redeemed . . . . . . . . . . . (3,839) (7,889) (4,797) (6,821) - ------------------------------------------------------------------------------------------------------------------- 15,265 6,854 18,238 11,806 - -------------------------------------------------------------------------------------------------------------------
14 15 FINANCIAL HIGHLIGHTS
500 PORTFOLIO - ----------------------------------------------------------------------------------------------------------------------- Year Ended December 31, SIX MONTHS ENDED --------------------------------------------------- For a Share Outstanding Throughout Each Period JUNE 30, 1996 1995 1994 1993 1992 1991 - ----------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD . . . $57.60 $42.97 $43.83 $40.97 $39.32 $31.24 INVESTMENT OPERATIONS ------ ------ ------ ------ ------ ------ Net Investment Income . . . . . . . . . .62 1.22 1.18 1.13 1.12 1.15 Net Realized and Unrealized Gain (Loss) on Investments . . . . . . . . . . . . 5.15 14.76 (.67) 2.89 1.75 8.20 ------ ------ ------ ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS 5.77 15.98 .51 4.02 2.87 9.35 - ----------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income . . (.44) (1.22) (1.17) (1.13) (1.12) (1.15) Distributions from Realized Capital Gains (.04) (.13) (.20) (.03) (.10) (.12) ------ ------ ------ ------ ------ ------ TOTAL DISTRIBUTIONS . . . . . . . (.48) (1.35) (1.37) (1.16) (1.22) (1.27) - ----------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD . . . . . . $62.89 $57.60 $42.97 $43.83 $40.97 $39.32 ======================================================================================================================= TOTAL RETURN** . . . . . . . . . . . . . . +10.03% +37.45% +1.18% +9.89% +7.42% +30.22% - ----------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ------------------------ Net Assets, End of Period (Millions) . . . $23,674 $17,372 $9,356 $8,273 $6,547 $4,345 Ratio of Total Expenses to Average Net Assets .20%* .20% .19% .19% .19% .20% Ratio of Net Investment Income to Average Net Assets . . . . . . . . . . . 2.05%* 2.38% 2.72% 2.65% 2.81% 3.07% Portfolio Turnover Rate . . . . . . . . . . 6%*+ 4%+ 6%+ 6%+ 4%+ 5%+ Average Commission Rate Paid . . . . . . . $.0131++ N/A N/A N/A N/A N/A - -----------------------------------------------------------------------------------------------------------------------
* Annualized. ** Total return figures do not reflect the annual account maintenance fee of $10. + Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, 4%, 2%, 1%, and 1%, respectively. ++ Represents total commissions paid on portfolio securities divided by the total number of shares purchased or sold on which commissions were charged. This disclosure is required by the SEC beginning in 1996. 15 16 FINANCIAL HIGHLIGHTS (continued)
EXTENDED MARKET PORTFOLIO - -------------------------------------------------------------------------------------------------------------------- Year Ended December 31, SIX MONTHS ENDED --------------------------------------------------- For a Share Outstanding Throughout Each Period JUNE 30, 1996 1995 1994 1993 1992 1991 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD . . . . $24.07 $18.52 $19.43 $17.35 $15.82 $11.48 INVESTMENT OPERATIONS ------ ------ ------ ------ ------ ------ Net Investment Income . . . . . . . . . . .20 .30 .28 .23 .24 .25 Net Realized and Unrealized Gain (Loss) on Investments . . . . . . . . . . . . 2.30 5.95 (.62) 2.28 1.72 4.54 ------ ------ ------ ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS . 2.50 6.25 (.34) 2.51 1.96 4.79 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income . . . -- (.30) (.28) (.23) (.25) (.25) Distributions from Realized Capital Gains (.32) (.40) (.29) (.20) (.18) (.20) ------ ------ ------ ------ ------ ------ TOTAL DISTRIBUTIONS . . . . . . . . (.32) (.70) (.57) (.43) (.43) (.45) - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD . . . . . . . $26.25 $24.07 $18.52 $19.43 $17.35 $15.82 ==================================================================================================================== TOTAL RETURN** . . . . . . . . . . . . . . . +10.45% +33.80% -1.76% +14.49% +12.47% +41.85% - -------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ------------------------ Net Assets, End of Period (Millions) . . . . $1,746 $1,523 $967 $928 $585 $372 Ratio of Total Expenses to Average Net Assets .25%* .25% .20% .20% .20% .19% Ratio of Net Investment Income to Average Net Assets . . . . . . . . . . . . 1.53%* 1.51% 1.51% 1.48% 1.73% 2.14% Portfolio Turnover Rate . . . . . . . . . . . 31%* 15% 19% 13% 9% 11% Average Commission Rate Paid . . . . . . . . $.0247+ N/A N/A N/A N/A N/A - --------------------------------------------------------------------------------------------------------------------
* Annualized. ** Total return figures do not reflect transaction fees (0.5% in 1995 and 1996, 1.0% in 1991 through 1994) on purchases or the annual account maintenance fee of $10. + Represents total commissions paid on portfolio securities divided by the total number of shares purchased or sold on which commissions were charged. This disclosure is required by the SEC beginning in 1996. 16 17
TOTAL STOCK MARKET PORTFOLIO - ------------------------------------------------------------------------------------------------------------------- Year Ended December 31, SIX MONTHS ENDED ---------------------------- March 16 to For a Share Outstanding Throughout Each Period JUNE 30, 1996 1995 1994 1993 December 31, 1992 - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD . . . $15.04 $11.37 $11.69 $10.84 $10.00 INVESTMENT OPERATIONS ------ ------ ------ ------ ------ Net Investment Income . . . . . . . . . .14 .29 .27 .26 .23 Net Realized and Unrealized Gain (Loss) on Investments . . . . . . . . . . . 1.36 3.75 (.29) .88 .84 ------ ------ ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS 1.50 4.04 (.02) 1.14 1.07 - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income . . (.12) (.28) (.27) (.26) (.23) Distributions from Realized Capital Gains (.03) (.09) (.03) (.03) -- ------ ------ ------ ------ ------ TOTAL DISTRIBUTIONS . . . . . . . (.15) (.37) (.30) (.29) (.23) - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD . . . . . . $16.39 $15.04 $11.37 $11.69 $10.84 =================================================================================================================== TOTAL RETURN** . . . . . . . . . . . . . . +10.00% +35.79% -0.17% +10.62% +10.41% - ------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ------------------------ Net Assets, End of Period (Millions) . . . $2,865 $1,571 $786 $512 $275 Ratio of Total Expenses to Average Net Assets .21%* .25% .20% .20% .21%* Ratio of Net Investment Income to Average Net Assets . . . . . . . . . . . 1.81%* 2.14% 2.35% 2.31% 2.42%* Portfolio Turnover Rate . . . . . . . . . . 3%* 3% 2% 1% 3% Average Commission Rate Paid . . . . . . . $.0208+ N/A N/A N/A N/A - -------------------------------------------------------------------------------------------------------------------
* Annualized. ** Total return figures do not reflect the .25% transaction fee on purchases through 1995, or the annual account maintenance fee of $10. Subscription period for the Portfolio was from March 16, 1992, to April 26, 1992, during which time all assets were held in money market instruments. Performance measurement begins on April 27, 1992. + Represents total commissions paid on portfolio securities divided by the total number of shares purchased or sold on which commissions were charged. This disclosure is required by the SEC beginning in 1996. 17 18 FINANCIAL HIGHLIGHTS (continued)
GROWTH PORTFOLIO - ------------------------------------------------------------------------------------------------------------------- Year Ended December 31, SIX MONTHS ENDED ---------------------------- November 2 to For a Share Outstanding Throughout Each Period JUNE 30, 1996 1995 1994 1993 December 31, 1992 - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $13.97 $10.28 $10.20 $10.26 $10.00 INVESTMENT OPERATIONS ------ ------ ------ ------ ------ Net Investment Income . . . . . . . . . . . . .11 .21 .21 .21 .06 Net Realized and Unrealized Gain (Loss) on Investments . . . . . . . . . . . . . . 1.48 3.68 .08 (.06) .26 ------ ------ ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS . . . 1.59 3.89 .29 .15 .32 - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income . . . . . (.10) (.20) (.21) (.21) (.06) Distributions from Realized Capital Gains . . (.06) -- -- -- -- ------ ------ ------ ------ ------ TOTAL DISTRIBUTIONS . . . . . . . . . . (.16) (.20) (.21) (.21) (.06) - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD . . . . . . . . $15.40 $13.97 $10.28 $10.20 $10.26 =================================================================================================================== TOTAL RETURN** . . . . . . . . . . . . . . . . . +11.43% +38.06% +2.89% +1.53% +3.19% - ------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ------------------------ Net Assets, End of Period (Millions) . . . . . . $511 $271 $86 $51 $21 Ratio of Total Expenses to Average Net Assets . . .20%* .20% .20% .20% 0%* Ratio of Net Investment Income to Average Net Assets . . . . . . . . . . . . . . 1.50%* 1.71% 2.08% 2.10% 2.85%* Portfolio Turnover Rate . . . . . . . . . . . . . 36%* 24% 28% 36% 2% Average Commission Rate Paid . . . . . . . . . . $.0186+ N/A N/A N/A N/A - -------------------------------------------------------------------------------------------------------------------
* Annualized. ** Total return figures do not reflect the annual account maintenance fee of $10. + Represents total commissions paid on portfolio securities divided by the total number of shares purchased or sold on which commissions were charged. This disclosure is required by the SEC beginning in 1996. 18 19
VALUE PORTFOLIO - ------------------------------------------------------------------------------------------------------------------- Year Ended December 31, SIX MONTHS ENDED ----------------------------- November 2 to For a Share Outstanding Throughout Each Period JUNE 30, 1996 1995 1994 1993 December 31, 1992 - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD . . . $14.79 $11.12 $11.74 $10.30 $10.00 ------ ------ ------ ------ ------ INVESTMENT OPERATIONS Net Investment Income . . . . . . . . . .20 .41 .38 .38 .07 Net Realized and Unrealized Gain (Loss) on Investments . . . . . . . . . . . 1.06 3.66 (.46) 1.50 .30 ------ ------ ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS 1.26 4.07 (.08) 1.88 .37 - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income . . (.14) (.40) (.38) (.38) (.07) Distributions from Realized Capital Gains (.24) -- (.16) (.06) -- ------ ------ ------ ------ ------ TOTAL DISTRIBUTIONS . . . . . . . (.38) (.40) (.54) (.44) (.07) - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD . . . . . . $15.67 $14.79 $11.12 $11.74 $10.30 =================================================================================================================== TOTAL RETURN** . . . . . . . . . . . . . . +8.54% +36.94% -0.73% +18.35% +3.70% - ------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ------------------------ Net Assets, End of Period (Millions) . . . $765 $496 $297 $190 $24 Ratio of Total Expenses to Average Net Assets .20%* .20% .20% .20% 0%* Ratio of Net Investment Income to Average Net Assets . . . . . . . . . . . 2.64%* 3.06% 3.37% 3.26% 3.46%* Portfolio Turnover Rate . . . . . . . . . . 34%* 27% 32% 30% 4% Average Commission Rate Paid . . . . . . . $.0185+ N/A N/A N/A N/A - -------------------------------------------------------------------------------------------------------------------
* Annualized. ** Total return figures do not reflect the annual account maintenance fee of $10. + Represents total commissions paid on portfolio securities divided by the total number of shares purchased or sold on which commissions were charged. This disclosure is required by the SEC beginning in 1996. 19 20 FINANCIAL HIGHLIGHTS (continued)
SMALL CAPITALIZATION STOCK PORTFOLIO(1) - ----------------------------------------------------------------------------------------------------------------------------- Year Ended SIX MONTHS Year Ended Feb. 1 to Oct. 1, 1993 September 30, ENDED Dec. 31, Dec. 31, to Jan. 31, ------------------- For a Share Outstanding Throughout Each Period JUNE 30, 1996 1995 1994 1994 1993 1992 - ----------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $18.61 $14.99 $16.24 $16.23 $12.63 $12.03 INVESTMENT OPERATIONS ------ ------ ------ ------ ------ ------ Net Investment Income . . . . . . . . . . . . .12 .24 .20 .05 .20 .19 Net Realized and Unrealized Gain (Loss) on Investments . . . . . . . . . . . . . . 2.00 4.06 (.86) .96 3.73 .88 ------ ------ ------ ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS . . . 2.12 4.30 (.66) 1.01 3.93 1.07 - ----------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income . . . . . -- (.23) (.22) (.18) (.18) (.18) Distributions from Realized Capital Gains . . (.14) (.45) (.37) (.82) (.15) (.29) ------ ------ ------ ------ ------ ------ TOTAL DISTRIBUTIONS . . . . . . . . . . (.14) (.68) (.59) (1.00) (.33) (.47) - ----------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD . . . . . . . . . $20.59 $18.61 $14.99 $16.24 $16.23 $12.63 ============================================================================================================================= TOTAL RETURN** . . . . . . . . . . . . . . . . . +11.44% +28.74% -4.00% +6.65% +31.60%+ 9.34% - ----------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ------------------------ Net Assets, End of Period (Millions) . . . . . . $1,450 $971 $605 $533 $432 $202 Ratio of Total Expenses to Average Net Assets . . .25%* .25% .17%* .18%* .18% .18% Ratio of Net Investment Income to Average Net Assets . . . . . . . . . . . . . . 1.40%* 1.58% 1.50%* 1.16%* 1.47% 1.65% Portfolio Turnover Rate . . . . . . . . . . . . . 39%* 28% 25% 5% 26% 26% Average Commission Rate Paid . . . . . . . . . . $.0250+ N/A N/A N/A N/A N/A - -----------------------------------------------------------------------------------------------------------------------------
(1) Results prior to January 31, 1994, are for the former Vanguard Small Capitalization Stock Fund. * Annualized. ** Total return figures do not reflect the 1% transaction fee on purchases or the annual account maintenance fee of $10. + Represents total commissions paid on portfolio securities divided by the total number of shares purchased or sold on which commissions were charged. This disclosure is required by the SEC beginning in 1996. 20 21 NOTES TO FINANCIAL STATEMENTS Vanguard Index Trust is registered under the Investment Company Act of 1940 as a diversified open-end investment company, and consists of the 500, Extended Market, Total Stock Market, Growth, Value, and Small Capitalization Stock Portfolios. A. The following significant accounting policies are in conformity with generally accepted accounting principles for investment companies. Such policies are consistently followed by the Trust in the preparation of financial statements. 1. SECURITY VALUATION: Securities listed on an exchange are valued at the latest quoted sales prices as of the close of the New York Stock Exchange (generally 4:00 PM) on the valuation date; securities not traded are valued at the mean of the latest quoted bid and asked prices. Unlisted securities held by the 500, Growth, and Value Portfolios are valued at the latest quoted bid prices; such securities held by the Extended Market, Total Stock Market, and Small Capitalization Stock Portfolios are valued at the mean of the latest quoted bid and asked prices. Temporary cash investments acquired over sixty days to maturity are valued utilizing the latest quoted bid prices and on the basis of a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost which approximates market value. 2. FEDERAL INCOME TAXES: Each Portfolio of the Trust intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for Federal income taxes is required in the financial statements. 3. EQUALIZATION: The 500, Total Stock Market, Growth, and Value Portfolios follow the accounting practice known as "equalization," under which a portion of the price of capital shares issued and redeemed, equivalent to undistributed net investment income per share on the date of the transaction, is credited or charged to undistributed income. As a result, undistributed income per share is unaffected by Portfolio share sales or redemptions. 4. REPURCHASE AGREEMENTS: The Trust, along with other members of The Vanguard Group, transfers uninvested cash balances into a Pooled Cash Account, the daily aggregate of which is invested in repurchase agreements secured by U.S. Government obligations. Securities pledged as collateral for repurchase agreements are held by a custodian bank until maturity of each repurchase agreement. Provisions of each agreement require that the market value of this collateral is sufficient in the event of default; however, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. 5. FUTURES: The Trust utilizes index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. A Portfolio may purchase futures contracts to immediately position incoming cash in the market, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. In the event of redemptions, a Portfolio may pay redeeming shareholders from its cash balance and reduce its futures position accordingly. Returns may be enhanced by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. Futures contracts based upon the following indexes are used: Standard & Poor's 500 Index (500 and Total Stock Market Portfolios), New York Stock Exchange Composite Index (Extended Market and Small Capitalization Stock Portfolios), Standard & Poor's Midcap 400 Index (Extended Market, Total Stock Market, and Small Capitalization Stock Portfolios), Standard & Poor's Growth Index (Growth Portfolio), Standard & 21 22 NOTES TO FINANCIAL STATEMENTS (continued) Poor's Value Index (Value Portfolio), and Russell 2000 Index (Small Capitalization Stock Portfolio). The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks contained in the underlying indexes and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Fluctuations in the values of futures contracts are recorded as unrealized appreciation (depreciation) until terminated, at which time realized gains (losses) are recognized. Unrealized appreciation (depreciation) related to open futures contracts is required to be treated as realized gain (loss) for Federal income tax purposes. 6. OTHER: Security transactions are accounted for on the date the securities are purchased or sold. Costs used in determining realized gains and losses on the sale of investment securities are those of specific securities sold. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Capital gains distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes depending on the timing of realization of gains. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the Trust under methods approved by the Board of Trustees. At June 30, 1996, the Trust had contributed capital of $3,054,000 to Vanguard (included in Other Assets), representing 15.3% of Vanguard's capitalization. The Trust's officers and trustees are also officers and directors of Vanguard. C. During the six months ended June 30, 1996, purchases and sales of investment securities other than U.S. Government securities and temporary cash investments were:
- ---------------------------------------------- (000) ------------------------- Portfolio Purchases Sales - ---------------------------------------------- 500 $5,181,544 $639,246 EXTENDED MARKET 356,302 260,370 TOTAL STOCK MARKET 1,114,343 28,209 GROWTH 273,987 71,774 VALUE 340,082 106,208 SMALLCAP 579,373 228,482 - ----------------------------------------------
During the six months ended June 30, 1996, the 500 Portfolio realized $231,050,000 of net capital gains resulting from in-kind redemptions. Such gains are not taxable income to the Portfolio and therefore will not be distributed to shareholders; accordingly, such gains have been reclassified from accumulated net realized gains to paid in capital. D. At June 30, 1996, net unrealized appreciation of investment securities for financial reporting and Federal income tax purposes was:
- ----------------------------------------------------------------------------------- (000) ------------------------------------------------ Appreciated Depreciated Net Unrealized Portfolio Securities Securities Appreciation - ----------------------------------------------------------------------------------- 500 $6,102,433 $(188,751) $5,913,682 EXTENDED MARKET 544,391 (65,971) 478,420 TOTAL STOCK MARKET 528,735 (45,175) 483,560 GROWTH 84,283 (1,182) 83,101 VALUE 113,077 (6,923) 106,154 SMALLCAP 295,974 (56,667) 239,307 - -----------------------------------------------------------------------------------
22 23 At June 30, 1996, the aggregate settlement value of open futures contracts expiring in September 1996, the related unrealized appreciation (depreciation), and the market value of securities deposited as initial margin for those contracts were:
- ------------------------------------------------------------------------------------ (000) ------------------------------------------------ Market Value Aggregate Unrealized of Securities Settlement Appreciation Deposited as Portfolio Value (Depreciation) Initial Margin - ------------------------------------------------------------------------------------ 500 $61,927 $ (106) $7,990 EXTENDED MARKET 12,217 44 1,398 TOTAL STOCK MARKET 74,958 (69) 2,397 VALUE 351 4 100 SMALLCAP 44,449 (881) 1,398 - ------------------------------------------------------------------------------------
E. The market value of securities on loan to broker/dealers at June 30, 1996, and cash collateral received with respect to such loans were:
- ----------------------------------------------------------------- (000) ------------------------------ Market Value Cash of Loaned Collateral Portfolio Securities Received - ----------------------------------------------------------------- 500 $ 502 $ 512 EXTENDED MARKET 59,233 61,516 TOTAL STOCK MARKET 15,429 16,180 SMALLCAP 25,820 26,948 - -----------------------------------------------------------------
23 24 THE VANGUARD FAMILY OF FUNDS FIXED INCOME FUNDS MONEY MARKET FUNDS Vanguard Admiral Funds U.S. Treasury Money Market Portfolio Vanguard Money Market Reserves TAX-EXEMPT MONEY MARKET FUNDS Vanguard Municipal Bond Fund Money Market Portfolio Vanguard State Tax-Free Funds Money Market Portfolios (CA, NJ, OH, PA) TAX-EXEMPT INCOME FUNDS Vanguard Municipal Bond Fund Vanguard State Tax-Free Funds Insured Longer Term Portfolios (CA, FL, NJ, NY, OH, PA) INCOME FUNDS Vanguard Admiral Funds Vanguard Fixed Income Securities Fund Vanguard Preferred Stock Fund EQUITY AND BALANCED FUNDS GROWTH AND INCOME FUNDS Vanguard Convertible Securities Fund Vanguard Equity Income Fund Vanguard Quantitative Portfolios Vanguard Selected Value Portfolio Vanguard/Trustees' Equity Fund U.S. Portfolio Vanguard/Windsor Fund Vanguard/Windsor II BALANCED FUNDS Vanguard Asset Allocation Fund Vanguard LifeStrategy Portfolios Income Portfolio Conservative Growth Portfolio Moderate Growth Portfolio Growth Portfolio Vanguard STAR Portfolio Vanguard/Wellesley Income Fund Vanguard/Wellington Fund GROWTH FUNDS Vanguard/Morgan Growth Fund Vanguard/PRIMECAP Fund Vanguard U.S. Growth Portfolio AGGRESSIVE GROWTH FUNDS Vanguard Explorer Fund Vanguard Horizon Fund Global Equity Portfolio Global Asset Allocation Portfolio Capital Opportunity Portfolio Aggressive Growth Portfolio Vanguard Specialized Portfolios INTERNATIONAL FUNDS Vanguard International Growth Portfolio Vanguard/Trustees' Equity Fund International Portfolio INDEX FUNDS Vanguard Index Trust Total Stock Market Portfolio 500 Portfolio Extended Market Portfolio Growth Portfolio Value Portfolio Small Capitalization Stock Portfolio Vanguard International Equity Index Fund European Portfolio Pacific Portfolio Emerging Markets Portfolio Vanguard Bond Index Fund Vanguard Tax-Managed Fund Vanguard Balanced Index Fund [THE VANGUARD GROUP LOGO] Vanguard Financial Center Valley Forge, Pennsylvania 19482 New Account Information: Shareholder Account Services: 1 (800) 662-7447 1 (800) 662-2739 This Report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. All Funds in the Vanguard Family are offered by prospectus only. Q402-6/96 VANGUARD INDEX TRUST SEMI-ANNUAL REPORT JUNE 30, 1996 25 STATEMENT OF NET ASSETS FINANCIAL STATEMENTS (unaudited) VANGUARD INDEX TRUST June 30, 1996
Market EXTENDED Value MARKET PORTFOLIO Shares (000)+ - ---------------------------------------------------------------------- COMMON STOCKS - ---------------------------------------------------------------------- AAR Corp. 28,800 $ 587 * ABR Information Services, Inc. 9,500 476 * ABT Building Products Corp. 26,300 585 * ACX Technologies Inc. 42,400 843 * ADC Telecommunications, Inc. 48,500 2,170 * ADE Corp. 24,400 351 * AES Corp. 56,836 1,599 AFLAC, Inc. 107,015 3,197 AGCO Corp. 37,200 1,032 AGL Resources Inc. 45,500 859 AK Steel Holding Corp. 21,000 822 * APAC Teleservices, Inc. 35,089 1,254 * AST Research, Inc. 90,914 619 ARCO Chemical Co. 73,408 3,817 * APL Ltd. 33,454 874 * APS Holding Corp. 23,500 514 AT&T Capital Corp. 35,600 1,557 AVX Corp. 66,200 1,225 Abington Savings Bank 2,900 45 * Able Telcom Holding Corp. 56,400 328 * Acceptance Insurance Cos. Inc. 35,000 599 * Access Health Marketing, Inc. 17,183 816 Acclaim Entertainment Inc. 68,300 662 * Accustaff, Inc. 38,000 1,040 Aceto Corp. 27,308 423 * Acme Electric Corp. 40,700 310 * Acme Metals, Inc. 26,600 452 * Action Performance Cos., Inc. 74,100 1,070 * Acuson Corp. 46,238 740 * Acxiom Corp. 23,661 806 * Adaptec, Inc. 39,800 1,883 * Addington Resources, Inc. 23,900 595 Adobe Systems, Inc. 58,140 2,075 * Adtran, Inc. 29,700 2,109 * Advanced Logic Research 57,500 471 * Advanced Magnetics, Inc. 23,400 427 * Advanced Mammography Systems, Inc. 101,475 195 * Advanced Marketing Services 24,300 314 * Advanced NMR Systems, Inc. 127,900 146 * Advanced Polymer Systems 42,700 400 * Advanced Technology Laboratories, Inc. 28,137 1,031 * Advanced Tissue Sciences Inc. 50,342 818 Advanta Corp. Class A 31,500 1,601 * Advantage Life Products, Inc. 40,600 19 ADVO, Inc. 51,875 538 * Affiliated Computer Services, Inc. 9,200 434 * Agri-Nutrition Group Ltd. 27,100 49 * Air and Water Technologies Corp. Class A 94,798 569 Airborne Freight Corp. 28,510 741 * Airgas, Inc. 50,400 958 * Airways Corp. 43,700 300 * Alaska Air Group, Inc. 21,400 586 Albank Financial Corp. 25,180 666 Albany International Corp. 43,300 980 Albemarle Corp. 46,602 850 Alex Brown, Inc. 12,220 690 Alexander & Baldwin, Inc. 36,000 873 * Alexander's, Inc. 9,300 675 Alfa Corp. 62,000 705 * Alleghany Corp. 5,506 1,057 Allegheny Ludlum Corp. 50,529 954 Allegheny Power System, Inc. 91,600 2,828 The Allen Group, Inc. 32,940 716 * Alliance Gaming Corp. 81,700 266 * Alliance Pharmaceutical Corp. 45,000 740 * Alliance Semiconductor Corp. 67,250 559 * Alliant Techsystems, Inc. 17,700 834 Allied Capital Commercial Corp. 30,500 608 * Allied Devices Corp. 11,200 43 Allied Products Corp. 22,201 630 * Allied Waste Industries, Inc. 78,200 689 Allmerica Financial Corp. 37,174 1,106 Allmerica Property & Casualty Cos. 49,400 1,334 * Allou Health & Beauty, Inc. 51,400 353 * Allwaste, Inc. 114,146 528 * Aloette Cosmetics, Inc. 47,700 197 Alpharma Inc. Class A 34,400 684 * Altera Corp. 33,590 1,274 * Alumax, Inc. 33,800 1,027 * Amax Gold, Inc. 99,287 546 AMBAC, Inc. 26,778 1,396 Amcast Industrial Corp. 23,200 470 * Amerco Inc. 28,700 800 * America Online, Inc. 65,700 2,866 * America West Airlines, Inc. 32,300 711
The listings for each of the Portfolios begin on the following pages: EXTENDED MARKET PORTFOLIO . . . . . . . . . . . . . . . . . . 1 TOTAL STOCK MARKET PORTFOLIO . . . . . . . . . . . . . . . . . 22 GROWTH PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . 48 VALUE PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . 51 SMALL CAPITALIZATION STOCK PORTFOLIO . . . . . . . . . . . . . 55
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Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- American Annuity Group Inc. 65,278 $ 849 American Bankers Insurance Group 14,800 647 * American Banknote Corp. 107,200 402 American Federal Bank 16,400 271 American Financial Group, Inc. 46,100 1,389 * American Freightways 52,100 576 American Insured Mortgage Investors-Series 86 30,800 393 * American Management Systems, Inc. 35,725 1,049 * American Medical Response, Inc. 23,500 828 * American Mobile Satellite Corp., Inc. 42,900 654 American National Insurance Co. 19,950 1,292 * American Oncology Resources, Inc. 32,500 703 * American Portable Telecom, Inc. 1,000 10 * American Power Conversion Corp. 71,300 740 American Re Corp. 35,700 1,602 * American Safety Razor Co. 43,400 431 * American Science & Engineering, Inc. 32,900 329 * American Software, Inc. Class A 86,450 400 * American Standard Cos., Inc. 58,100 1,917 * American States Financial Corp. 12,500 269 * American Studios, Inc. 32,600 41 * American Travellers Corp. 50,250 1,153 American Water Works Co., Inc. 29,187 1,175 * Americredit Corp. 43,200 675 Amerigas Partners, L.P. 22,000 500 * Amerisource Health Corp. 19,004 632 Ameron International Corp. 10,700 423 Ametek, Inc. 39,000 848 Ampco-Pittsburgh Corp. 32,365 376 * Amphenol Corp. 35,642 820 * Amre, Inc. 49,657 1,086 * Amrep Corp. 64,600 307 AmSouth Bancorp 43,679 1,578 * Amtech Corp. 66,950 506 * Amylin Pharmaceuticals, Inc. 60,900 651 Anadarko Petroleum Corp. 44,800 2,598 * Analog Devices, Inc. 87,294 2,226 Anchor Bancorp Wisconsin Inc. 13,900 485 * Anchor Gaming 10,301 619 Andover Bancorp, Inc. 10,600 276 Angelica Corp. 25,200 595 * Anixter International Inc. 40,800 607 * AnnTaylor Stores Corp. 32,200 652 * Antec Corp. 44,600 714 Apache Corp. 67,000 2,203 * Apertus Technologies, Inc. 90,500 322 * Aphton Corp. 29,161 536 Apogee Enterprises, Inc. 20,900 713 * Apollo Group, Inc. Class A 38,475 1,068 Apple South, Inc. 33,576 898 Applebee's International, Inc. 23,618 765 * Applied Bioscience International, Inc. 71,000 741 * Applied Microsystems Corp. 26,000 455 * Applix, Inc. 22,579 646 * Apria Healthcare 38,780 1,217 Aptargroup Inc. 24,200 732 Aquarion Co. 19,648 486 Arbor Drugs, Inc. 34,950 723 * Arbor Software Corp. 10,700 638 Arcadian Corp. 38,000 750 Argonaut Group, Inc. 20,419 630 * Argosy Gaming Co. 65,400 486 Arkansas Best Corp. 65,900 494 Armor All Products Corp. 33,100 496 Arnold Industries, Inc. 41,900 592 * Arrow Electronics, Inc. 38,350 1,654 Arrow International, Inc. 20,200 563 * Arterial Vascular Engineering, Inc. 22,700 817 * Artisoft, Inc. 57,500 507 Arvin Industries, Inc. 34,000 756 * Ascend Communications, Inc. 84,474 4,746 Ashland Coal Inc. 23,900 621 * Aspect Telecommunications 16,200 806 Associated Estates Realty Corp. 29,100 611 * Associated Group, Inc. 25,428 760 * Associated Group, Inc. Class B 5,775 171 Astoria Financial Corp. 27,500 748 Astro-Med, Inc. 38,150 334 * Astrosystems, Inc. 48,700 309 * Atari Corp. 86,356 497 * Guy F. Atkinson Co. of California 37,800 501 Atlantic Energy, Inc. 43,800 799 Atlantic Southeast Airlines Inc. 24,300 688 * Atlas Air, Inc. 16,600 959 * Atmel Corp. 73,600 2,222 * Atria Software, Inc. 10,400 523 * Atrix Laboratories, Inc. 36,334 359 * Atwood Oceanics, Inc. 23,300 1,034 * Autotote Corp. 114,100 235 * AutoZone, Inc. 133,366 4,634 Avalon Properties 45,400 987 * Avatar Holding, Inc. 16,100 559 * Avecor Cardiovascular, Inc. 35,100 445 Aviall Inc. 57,500 532 * Avid Technology, Inc. 35,800 660 Avnet, Inc. 33,142 1,396 * Avondale Industries, Inc. 35,200 631 * Aydin Corp. 31,700 428 * Aztar Corp. 52,800 607 * BBN Corp. 30,900 672 * BEC Group Inc. 70,070 307 BHA Group Class A 29,700 408
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Market Value Shares (000)+ - ---------------------------------------------------------------------- * BHC Communications, Inc. Class A 19,115 $ 1,868 * BISYS Group, Inc. 19,000 714 * BJ Services Co. 21,200 745 BMC Industries, Inc. 15,404 443 * BMC Software, Inc. 38,000 2,266 BSB Bancorp, Inc. 20,363 527 * BT Office Products International, Inc. 27,300 488 * BTG Inc. 35,600 438 BW/IP Inc. 41,100 786 * Baby Superstore, Inc. 13,650 227 * Bachman Information Systems, Inc. 53,700 379 Badger Meter, Inc. 13,000 362 Bairnco Corp. 60,700 440 J. Baker, Inc. 59,409 457 Baldor Electric Co. 39,630 892 Baldwin & Lyons, Inc. Class B 34,200 697 Ballard Medical Products 41,566 795 * Bally Total Fitness Holding Corp. 28,189 125 BancFirst Corp. 14,350 309 Bancorp Hawaii, Inc. 30,801 1,109 Bandag, Inc. 19,162 920 Bandag, Inc. Class A 300 14 Bank North Group 16,900 585 Bankers Corp. 13,000 225 Bankers Life Holding Corp. 38,700 856 BanPonce Corp. 26,622 1,200 Banta Corp. 24,625 623 * Barnes & Noble Inc. 24,800 890 * Barnwell Industries, Inc. 13,400 225 * Barrett Business Services, Inc. 26,300 483 * Barrett Resources Corp. 28,550 849 * Basin Exploration Inc. 72,198 460 Bassett Furniture Industries, Inc. 23,100 615 Battle Mountain Gold Co. Class A 68,300 495 BayBanks, Inc. 15,046 1,627 Beacon Properties Corp. 26,000 666 Bear Stearns Co., Inc. 95,374 2,253 Bearings, Inc. 20,400 551 BeautiControl Cosmetics 41,950 388 Beckman Instruments 22,700 863 * Bed Bath & Beyond, Inc. 55,000 1,461 * Bel Fuse, Inc. 27,200 454 * Belco Oil & Gas Corp. 26,000 923 Belden Inc. 22,100 663 A. H. Belo Corp. Class A 35,653 1,328 * Ben & Jerry's Homemade, Inc. Class A 29,300 509 * Ben Franklin Retail Stores 6,000 6 Bergen Brunswig Corp. Class A 30,173 837 W.R. Berkley Corp. 15,200 640 * Berkshire Hathaway Class A 1,008 30,946 Berkshire Realty Co., Inc. 56,100 610 * Berlitz International, Inc. 29,426 625 Berry Petroleum Class A 47,000 535 * Bertucci's Holding Corp. 65,400 343 * Best Buy, Inc. 38,600 883 Betz Laboratories, Inc. 21,300 935 Bindly Western Industries, Inc. 31,100 521 Binks Manufacturing Co. 17,450 476 * Bio-Rad Labs, Inc. Class A 17,747 637 * Biocircuits Corp. 7,200 42 * Biocryst Pharmaceuticals, Inc. 8,900 147 * Biogen, Inc. 26,969 1,475 * Biomatrix, Inc. 31,167 501 * Biospecifics Technology 40,800 163 * Biotechnology General 108,900 898 * Biowhittaker Inc. 51,299 433 Birmingham Steel Corp. 41,250 675 Blair Corp. 17,100 404 E.W. Blanch Holdings, Inc. 26,800 533 Blessings Corp. 41,500 425 Block Drug Co. Class A 15,641 649 Blount International, Inc. 26,000 819 * Bluegreen Corp. 78,540 295 * Blyth Industries, Inc. 24,200 1,098 Bob Evans Farms, Inc. 47,116 798 * Boise Cascade Office Products Corp. 47,976 1,661 * Bombay Co. 78,862 493 * Borders Group, Inc. 30,100 971 Borg-Warner Automotive, Inc. 17,400 687 Boston Bancorp 13,200 573 * Boston Chicken, Inc. 45,100 1,463 Boston Edison Co. 40,400 1,030 * Boston Scientific Corp. 8,910 401 * Boston Technology, Inc. 35,900 608 Bostonfed Bancorp, Inc. 10,400 125 Bowater Inc. 28,549 1,074 * Boyd Gaming Corp. 39,800 597 Bradley Real Estate Inc. 39,837 578 W.H. Brady Class A 31,500 713 Breed Technological Inc. 43,400 971 Brenton Banks, Inc. 7,100 170 * Brinker International, Inc. 62,063 931 * Broadway & Seymour, Inc. 37,500 443 * Broderbund Software, Inc. 16,500 534 Brooke Group Ltd. 63,500 373 Brooklyn Union Gas Co. 38,850 1,059 * Brothers Gourmet Coffees, Inc. 87,200 305 Brush Wellman, Inc. 28,200 536 * Buffets Inc. 48,000 582 * Builders Transport, Inc. 38,700 319 * Burlington Coat Factory Warehouse Corp. 63,750 669 * Burlington Industries, Inc. 47,000 664
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Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- Burlington Resources Coal Seamgas Royalty Trust 28,700 $ 265 * Burr-Brown Corp. 28,000 486 * Bush Boake Allen, Inc. 25,100 546 Bush Industries, Inc. 15,940 542 * CAI Wireless Systems, Inc. 62,930 578 CCB Financial Corp. 13,900 718 * C-Cor Electronics, Inc. 27,000 479 * C-Cube Microsystems, Inc. 26,600 879 * CDW Computer Centers, Inc. 16,400 1,134 CFB Bancorp, Inc. 1,800 35 CIPSCO, Inc. 28,300 1,093 CKE Restaurants Inc. 39,400 1,005 CMAC Investment Corp. 14,200 816 * CMG Information Services, Inc. 28,876 772 CML Group, Inc. 114,050 485 CMS Energy Corp. 69,439 2,144 * CNA Financial Corp. 47,005 4,842 CPI Corp. 33,100 546 * CRW Financial, Inc. 14,300 465 * C-TEC Corp. 10,300 308 * C-TEC Corp. Class B 11,100 333 CWM Mortgage Holdings Inc. 58,100 988 * Cable Design Technologies 23,548 777 * Cablevision Systems Corp. Class B 12,900 597 Cabot Corp. 55,332 1,356 Cabot Oil & Gas Corp., Class A 36,364 632 * Cadence Design Systems, Inc. 61,466 2,074 * Cadiz Land Co., Inc. 79,400 466 * Cal Fed Bancorp Inc. 42,780 781 * CalEnergy Inc. 39,692 1,012 * Calgene, Inc. 85,100 561 Calgon Carbon Corp. 58,500 790 * California Federal Bank Goodwill Participation Certificates 5,398 47 Callaway Golf Co. 50,000 1,662 * Callon Petroleum Co. 35,700 455 Calmat Co. 36,100 654 * Calumet Bancorp, Inc. 13,500 381 Cam Designs, Inc. 29,800 194 * Cambridge Technology Partners 35,900 1,097 Camco International, Inc. 24,000 813 * Cameron Ashley Building Products 37,400 439 * Canandaigua Wine Co., Inc. Class A 17,400 524 * Canandaigua Wine Co., Inc. Class B 6,375 189 * Canmax, Inc. 2,000 6 Capital One Financial Corp. 44,876 1,279 Capital Re Corp. 22,700 834 Capital Realty Investors Tax Exempt Fund (Series III) 30,900 440 Capitol American Financial Corp. 30,400 764 Caraustar Industries, Inc. 34,800 931 Cardinal Bancshares, Inc. 6,200 251 Cardinal Health, Inc. 57,887 4,175 Caremark International, Inc. 61,300 1,548 Carlisle Co., Inc. 14,473 769 * Carmike Cinemas, Inc. Class A 18,100 489 Carnival Corp. Class A 216,953 6,265 Carpenter Technology Corp. 20,400 653 * Carrington Labs Inc. 22,272 574 Carter-Wallace, Inc. 68,500 1,002 * Cascade Bancorp 5,000 99 * Cascade Communications Corp. 63,400 4,315 Casey's General Stores 39,000 770 Cash America International Inc. 87,400 568 * Casino Magic Corp. 100,700 557 A.M. Castle & Co. 26,025 615 * Castle & Cooke, Inc. 39,933 639 * Catalina Lighting, Inc. 59,400 334 * Catalina Marketing Corp. 7,400 677 * Catellus Development Corp. 40,001 365 Cato Corp. Class A 62,900 373 * Cellegy Pharmaceuticals, Inc. 48,600 443 * Cellular Communications Series A 18,200 963 * Cellular Technical Services Co. 44,650 784 * Celtrix Labs 75,300 259 Center Financial Corp. 26,248 637 Centerior Energy Corp. 124,500 918 Centerpoint Properties Corp. 27,600 669 * Centocor, Inc. 55,800 1,671 * Central Cooperative Bank 27,100 474 Central Fidelity Banks, Inc. 47,175 1,061 Central Hudson Gas & Electric Corp. 23,400 731 Central Louisiana Electric Co. 27,892 743 Central Maine Power Co. 47,267 685 Central Newspapers Inc. 19,050 714 * Central Sprinkler Corp. 23,907 526 Central Vermont Public Service Corp. 31,000 395 Centura Banks, Inc. 16,900 621 * Century Communications Corp. Class A 99,781 861 Century Telephone Enterprises, Inc. 44,777 1,427 * Cephalon Inc. 35,000 687 * Cerner Corp. 24,530 527 * Chalone Wine Group Ltd. 55,500 513 * Chancellor Broadcasting Co. Class A 19,000 597 Chaparral Steel Co. 54,500 715 Charter One Financial 54,760 1,906 Chartwell Re Corp. 24,210 543 Chateau Properties, Inc. 21,200 472 * Checkers Drive-In Restaurant 104,400 106 * Checkfree Corp. 31,000 618 * Checkpoint Systems, Inc. 27,726 953 Chelsea GCA Realty, Inc. 22,200 705
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Market Value Shares (000)+ - ---------------------------------------------------------------------- Chemed Corp. 15,500 $ 579 * Chemical Fabrics Corp. 31,814 457 Chesapeake Corp. of Virginia 35,183 924 * Chesapeake Energy Corp. 14,700 1,321 * Cheyenne Software, Inc. 31,800 612 * Chic by H.I.S., Inc. 65,000 341 * Chico's Fas, Inc. 37,686 377 Chiquita Brands International, Inc. 39,665 516 * Chiron Corp. 32,185 3,150 * Chock Full O'Nuts Corp. 80,160 391 * Cholestech Corp. 50,700 260 * Chris-Craft Industries, Inc. 23,542 1,036 * Christiana Cos., Inc. 23,900 508 Church and Dwight, Inc. 30,300 633 Cilcorp, Inc. 17,400 744 Cincinnati Bell, Inc. 50,500 2,632 Cincinnati Financial Corp. 42,198 2,429 Cintas Corp. 35,700 1,897 * Circon Corp. 37,557 444 * Circus Circus Enterprises Inc. 78,259 3,209 * Cirrus Logic 47,900 835 * Cisco Systems, Inc. 14,360 814 Citifed Bancorp 13,100 515 Citizens Bancshares, Inc. 15,700 453 Citizens Banking Corp. 21,600 610 Citizens Corp. 30,600 574 * Citizens Utilities Co. Class A 163,196 1,877 * Citizens Utilities Co. Class B 14,887 173 * Citrix Systems, Inc. 17,000 644 City Holding Co. 8,500 195 City National Corp. 37,988 598 * Civic Bancorp 4,600 38 Clarcor Inc. 24,500 606 Clayton Homes Inc. 76,578 1,532 * Clean Harbors Inc. 43,500 130 * Clear Channel Communications 26,200 2,158 Cleveland-Cliffs Iron Co. 16,200 634 * The Clothestime, Inc. 68,400 71 Coachmen Industries, Inc. 18,200 637 * Coast Savings Financial, Inc. 28,300 927 * Coastal Physician Group, Inc. 66,300 456 Coca-Cola Enterprises, Inc. 94,317 3,266 * Coda Music Technology, Inc. 51,100 268 * Code Alarm, Inc. 27,600 138 Coeur D'Alene Mines Corp. 28,800 529 * Cognex Corp. 31,600 515 * Coherent, Inc. 14,323 750 * Coleman Inc. 20,800 881 Collagen Corp. 24,803 474 Collective Bancorp, Inc. 33,050 787 * Collins & Aikman Corp. 97,300 584 Colonial Gas Co. 21,276 441 * Coltec Inc. 54,000 769 Columbus Realty Trust 27,900 541 Comair Holdings, Inc. 41,716 1,134 Comdisco, Inc. 38,600 1,028 Commerce Bancorp, Inc. 22,100 522 Commerce Bancshares, Inc. 27,754 951 Commerce Group, Inc. 27,800 580 Commercial Assets 64,700 396 Commercial Federal Corp. 23,100 884 Commercial Metals Co. 23,766 790 Commonwealth Energy Systems 34,000 875 Communications Systems, Inc. 33,400 455 Community Bankshares, Inc. 2,500 45 Community First Bankshares 26,458 622 * Community Healthcare Systems 14,800 766 Compass Bancshares Inc. 30,500 1,003 * Competitive Technologies, Inc. 43,000 489 * CompUSA, Inc. 34,000 1,160 * CompuServe Corp. 68,300 1,443 Computer Data Systems, Inc. 22,054 498 * Computer Horizons Corp. 36,059 1,420 * Computer Outsourcing Services, Inc. 57,600 274 Computer Task Group, Inc. 25,704 726 * Computer Telephone Corp. 2,600 35 * Computervision Corp. 58,900 589 * Computron Software, Inc. 18,000 90 * Compuware Corp. 33,000 1,299 Comsat Corp. 36,400 946 * Concord EFS, Inc. 30,450 1,089 * Conmed Corp. 34,000 903 Conseco Co., Inc. 33,200 1,328 * Consilium, Inc. 48,400 366 Consolidated Papers 33,800 1,758 * Consolidated Products Inc. 36,634 614 * Consolidated Stores, Inc. 35,941 1,321 * Consolidated Technology Group 24,500 7 * Consumer Portfolio Services, Inc. 46,000 408 * Contifinancial Corp. 35,300 1,041 * Continental Airlines, Inc., Class B 20,900 1,291 * Continental Materials Corp. 35,600 530 * Continental Waste Industries, Inc. 28,906 647 * Continuum Co. 18,200 1,056 * Converse Inc. 79,333 337 * Cooper Cameron Corp. 20,700 906 * Copley Pharmaceutical, Inc. 41,817 565 * Coram Healthcare Corp. 110,403 455 Core Industries, Inc. 34,000 489 * Corestaff, Inc. 5,500 245 * Corporate Express, Inc. 51,900 2,079 * Corrections Corp. of America 16,814 1,177 * Cosmetic Center, Inc. Class A 25,100 125 * Cosmetic Center, Inc. Class B 6,900 42
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Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- Countrywide Credit Industries, Inc. 77,279 $ 1,913 * Coventry Corp. 49,300 773 * Cox Communications Class A 194,050 4,196 Cracker Barrel Old Country Stores, Inc. 48,233 1,164 * Craig Corp. 32,823 418 * Jenny Craig Inc. 34,100 610 Crawford & Co. Class B 51,100 888 * Cray Research, Inc. 18,500 446 * Credence Systems Corp. 39,900 536 * Credit Acceptance Corp. 33,400 710 * Cree Research, Inc. 66,300 994 Crescent Real Estate Equities, Inc. 18,900 695 Crestar Financial Corp. 32,493 1,734 Crompton & Knowles Corp. 39,100 655 A.T. Cross Co. Class A 33,800 600 * Crown Central Petroleum Corp. Class B 33,600 517 Crown Crafts, Inc. 32,840 337 Cullen/Frost Bankers, Inc. 32,060 894 * Culligan Water Technologies 13,600 517 Curtiss-Wright Corp. 11,800 637 * Custom Chrome 18,200 487 * CyCare Systems, Inc. 9,863 514 * Cygnus Inc. 39,200 595 * Cypress Semiconductor Corp. 64,400 773 * Cypros Pharmaceuticals Corp. 79,900 407 * Cyrix Corp. 31,100 538 * Cytec Industries, Inc. 12,600 1,077 * Cytogen Corp. 82,769 748 DPL, Inc. 80,775 1,969 DQE Inc. 60,243 1,657 * D. R. Horton, Inc. 48,600 510 DS Bancor, Inc. 14,468 521 * DST Systems, Inc. 40,300 1,290 Dames & Moore, Inc. 50,700 615 Danaher Corp. 44,266 1,926 * Darling International, Inc. 18,700 469 Dart Group Corp. Class A 4,700 402 * Data Broadcasting Corp. 62,256 595 * Data Systems & Software, Inc. 47,800 314 * Datascope Corp. 33,700 602 * Datastream Systems, Inc. 15,700 548 * Dataware Technologies, Inc. 46,600 291 Dauphin Deposit Bank & Trust 24,040 687 * Dave and Busters 23,307 621 * Davidson and Associates, Inc. 28,852 873 Davis Water and Waste Industry, Inc. 36,287 1,080 Dean Foods Corp. 32,733 810 Deb Shops, Inc. 92,900 453 DeBartolo Realty Corp. 40,900 660 * DecisionOne Corp. 22,600 542 * Dell Computer 69,934 3,554 Delmarva Power & Light Co. 50,500 1,060 Delta & Pine Land Co. 21,907 926 Delta Woodside 68,300 350 Dentsply International 22,100 935 * Department 56 Inc. 18,300 414 Deposit Guaranty Corp. 14,300 633 * Desoto, Inc. 15,900 101 * Destec Energy Inc. 42,401 541 * Detroit Diesel Corp. 36,322 704 Developers Diversified Realty Corp. 30,000 956 Devon Energy Corp. 31,600 774 Dexter Corp. 31,800 946 Diagnostic Products Corp. 22,077 850 * Dialogic Corp. 11,400 681 * Diamond Multimedia Systems, Inc. 49,500 467 * Diamond Offshore Drilling, Inc. 46,700 2,674 Diamond Shamrock, Inc. 24,200 699 Diebold, Inc. 34,784 1,678 * Digi International, Inc. 21,150 560 * Digital Generation Systems 25,700 247 * Digital Microwave Corp. 38,073 631 * Digital Systems Inc. 27,068 406 * Dime Bancorp, Inc. 55,028 715 Dimon Inc. 55,350 1,024 * Dionex Corp. 18,100 595 * Discovery Zone, Inc. 27,475 26 Dole Food Co. 45,500 1,956 Dollar General Corp. 54,665 1,599 * Dollar Tree Stores, Inc. 17,850 573 Donaldson Co., Inc. 28,700 739 Donaldson, Lufkin & Jenrette, Inc. 44,300 1,373 Donnelly Corp. 31,450 503 * Donnkenny, Inc. 34,600 673 Douglas & Lomason 27,300 396 * Dove Audio, Inc. 24,500 237 Downey Financial Corp. 33,210 726 * Dravo Corp. 37,261 554 * The Dress Barn, Inc. 50,200 533 * Drexler Technology Corp. 28,411 439 Dreyer's Grand Ice Cream, Inc. 22,100 704 * Drug Emporium, Inc. 83,930 383 * Drypers Corp. 117,100 373 Duke Realty Investments 20,100 608 * Dura Pharmaceuticals, Inc. 17,807 998 Duracell International, Inc. 90,333 3,896 Duriron Co., Inc. 32,600 780 Duty Free International Inc. 45,526 694 * EA Engineering Sciences and Technology Inc. 41,700 138 * ENSCO International, Inc. 48,350 1,571 ERD Waste Corp. 15,100 138
6 31
Market Value Shares (000)+ - ---------------------------------------------------------------------- * ESS Technology, Inc. 44,200 $ 812 * Eagle Finance Corp. 44,100 298 * Eagle Food 24,700 113 East Texas Financial Services, Inc. 16,000 238 Eastern Utilities Associates 29,981 588 Eastgroup Properties 15,967 347 * Eckerd Corp. 57,400 1,299 * Ecogen, Inc. 32,940 161 Ecology and Environment, Inc. 6,925 57 * Edisto Resources Corp. 70,600 706 * Editek Inc. 8,400 8 * Education Alternatives, Inc. 78,000 273 A.G. Edwards & Sons, Inc. 47,748 1,295 * Egghead, Inc. 40,569 446 * El Paso Electric Co. 4,066 24 El Paso Natural Gas 26,932 1,037 Elcor Corp. 22,600 412 * Electromagnetic Sciences, Inc. 25,914 377 * Electronic Arts 39,600 1,054 Electronic Data Systems Corp. 368,045 19,782 * Electronics for Imaging, Inc. 25,400 1,764 * Eljer Industries, Inc. 43,360 450 * Emcare Holdings Inc. 19,700 581 Empire District Electric Co. 30,955 534 * Energy Biosystems Corp. 64,000 504 * Energy Conversion Devices, Inc. 24,025 545 Energy North, Inc. 20,211 394 * Energy Ventures Inc. 27,100 881 Engineered Support Systems, Inc. 61,800 467 Enova Corp. 88,200 2,040 Enron Global Power & Pipelines L.L.C. 28,300 686 Enron Oil & Gas Co. 121,076 3,375 Enterprise Federal Bancorp, Inc. 3,000 43 * Envirometrics, Inc. 17,300 19 * Epic Design Technology, Inc. 22,600 582 * Epitope Inc. 30,700 480 Equifax, Inc. 119,370 3,133 The Equitable Cos. 141,109 3,510 Equitable of Iowa Co. 26,200 930 Equitable Resources, Inc. 27,650 781 Equity Residential Properties Trust 30,800 1,013 * Equivest Finance, Inc. 51,675 39 Erie Indemnity Co. Class A 13,095 534 Essex County Gas Co. 6,800 163 * Esterline Technologies Corp. 22,255 556 Ethyl Corp. 93,804 903 * Europa Cruises Corp. 48,700 57 Everest Re Holdings 38,500 996 Evergreen Bancorp, Inc. 11,800 291 * Evergreen Media Corp. 22,163 942 * Exabyte Corp. 41,700 545 * Excel Communications, Inc. 48,400 1,307 Exide Corp. 32,700 793 Expeditors International of Washington, Inc. 21,800 670 * Expert Software Inc. 31,800 248 * Express Scripts 12,000 551 F & M Bancorp 3,000 70 FFY Financial Corp. 6,400 151 * FHP International Corp. 21,352 587 FHP International Corp. Pfd. A 12,640 320 FMC Gold Co. 117,200 527 * FSI International, Inc. 45,900 574 * FTP Software, Inc. 62,300 506 Factory Stores of America, Inc. 23,400 214 * Fairchild Corp. 29,300 429 * Falcon Drilling Co., Inc. 26,000 704 Family Dollar Stores, Inc. 41,200 716 * Farmers & Mechanics Bank 6,100 185 Fastenal Co. 29,900 1,304 Federal-Mogul Corp. 28,700 527 Federal Realty Investment Trust 23,300 524 Federal Signal Corp. 37,337 877 Felcor Suite Hotels, Inc. 9,500 290 * Female Health Co. 37,600 195 Ferro Corp. 20,075 532 * Fibreboard Corp. 19,174 530 * Fieldcrest Cannon, Inc. 24,000 471 * Figgie International Inc. Class A 41,200 615 * Filene's Basement Corp. 106,350 528 * FileNet Corp. 22,600 814 Fina Inc. 22,500 1,243 Financial Security Assurance Holdings Ltd. 23,900 654 Fingerhut Co. 30,046 469 Finova Group, Inc. 20,598 1,004 First American Bank Corp. 47,959 2,146 First American Corp. (Tenn.) 23,800 1,004 First Bancorp North Carolina 1,100 32 First Bancorp of Ohio 26,700 841 First Bell Bancorp, Inc. 30,400 418 First Brands Corp. 32,400 875 First Citizens BancShares Class A 14,600 916 * First Citizens Financial Corp. 770 14 First Colony Corp. 40,300 1,249 First Commerce Corp. 30,615 1,087 First Commercial Corp. 18,929 587 First Empire State Corp. 5,600 1,350 First Federal Bancshares of Eau Claire, Inc. 29,800 462 First Federal Capital Corp. 6,500 135 * First Federal Financial Corp. 32,775 569 * First Financial Savings Assn. 41,900 948
7 32
Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- First Hawaiian, Inc. 26,500 $ 759 First Home Bancorp Inc. 3,200 58 First Midwest Financial, Inc. 700 16 First Mississippi Corp. 28,300 630 First Mutual Savings Bank 1,680 22 * First Pacific Networks, Inc. 98,500 215 First Palm Beach Bancorp 22,100 475 * First Republic Bancorp, Inc. 29,700 457 First Security Corp. 59,812 1,443 First Southern Bancshares 1,600 20 First Tennessee National Corp. 50,900 1,556 First United Bancorporation 4,620 58 First USA Inc. 46,145 2,538 * First USA Paymentech, Inc. 23,867 955 First Virginia Banks, Inc. 26,942 1,078 Firstar Corp. 56,111 2,588 * FIserv, Inc. 36,750 1,112 * Flagstar Cos. 109,500 335 Flexsteel Industry 35,900 408 FlightSafety International, Inc. 23,200 1,259 Florida East Coast Railway Co. 6,900 573 Florida Progress Corp. 73,200 2,544 Florida Rock Industries, Inc. 19,200 497 * Florsheim Shoe Co. 42,515 207 Flowers Industries, Inc. 47,300 763 Fluke Corp. 16,545 668 Food Lion Inc. Class A 313,450 2,498 Food Lion Inc. Class B 46,105 354 * Foodarama Supermarkets, Inc. 22,400 406 * Fore Systems, Inc. 53,900 1,944 Foremost Corp. of America 14,500 823 Forest City Enterprise Class A 16,300 668 * Forest Laboratories, Inc. 34,408 1,329 * Fort Howard Corp. 51,515 1,030 * Forte Software, Inc. 14,600 768 * Foundation Health Co. 43,600 1,564 FoxMeyer Health Corp. 38,602 574 * Fractal Design Corp. 23,800 345 Franchise Finance Corp. of America 28,900 665 * Franklin Bancorporation, Inc. 12,900 102 * Franklin Electronic Publishers, Inc. 22,100 442 * Franklin Quest Co. 37,000 768 Franklin Resources Corp. 61,980 3,781 Fredericks of Hollywood, Inc. Class A 48,700 244 Fredericks of Hollywood, Inc. Class B 24,132 109 Freeport-McMoRan, Inc. 20,391 724 Fremont General Corp. 37,027 852 * Fretter Inc. 16,628 3 Frisch's Restaurants, Inc. 41,668 484 * Fritz Cos., Inc. 26,000 838 Frontier Corp. 119,644 3,664 H.B. Fuller Co. 20,050 729 Fulton Financial Corp. 33,438 640 Fund American Enterprise Holding Co. 11,385 922 * Furniture Brands International Inc. 75,100 826 G & K Services, Inc. 32,325 913 G & L Realty Corp. 34,000 455 GATX Corp. 15,700 758 * GT Interactive Software Corp. 48,100 812 Gainsco, Inc. 53,561 529 Arthur J. Gallagher & Co. 23,900 765 * Game Financial Corp. 9,375 127 * Gander Mountain, Inc. 29,100 64 * Garden Fresh Restaurant Corp. 40,500 433 * Gartner Group, Inc. Class A 67,500 2,476 * Gateway 2000 Inc. 58,000 1,968 * Gaylord Container Corp. 82,100 641 Gaylord Entertainment Class A 72,973 2,061 GenCorp, Inc. 49,500 749 * Genentech, Inc. 90,273 4,728 General Binding Corp. 29,600 607 * General Datacomm Industries, Inc. 34,200 462 General Growth Properties 36,500 881 General Motors Corp. Class H 75,247 4,524 * General Nutrition Cos., Inc. 70,800 1,235 * Genesis Health Ventures Inc. 19,650 617 * Genetics Institute Inc. Depository Shares 22,300 1,408 * Geneva Steel Class A 70,900 399 * Genlyte Group, Inc. 49,400 377 * Genome Therapeutics Corp. 29,700 264 Genovese Drug Stores, Inc. Class A 38,777 330 * Genrad, Inc. 52,812 871 * Gensia Inc. 98,107 503 * Gentex Corp. 57,700 1,118 * Genzyme Corp. 23,538 1,186 Geon Co. 21,100 475 Georgia Gulf Corp. 28,882 845 Gerber Scientific, Inc. 41,700 672 * Geriatric & Medical Cos., Inc. 44,300 133 * Getchell Gold Corp. 44,135 1,456 Getty Petroleum Corp. 38,732 581 * Gibson Greetings, Inc. 30,700 424 * Gilead Sciences, Inc. 39,000 980 P.H. Glatfelter Co. 32,000 588 * Glenayre Technologies, Inc. 45,912 2,293 * Glendale Federal 39,605 718 * Global DirectMail Corp. 30,746 1,214 * Global Industrial Technologies, Inc. 36,400 582 * Global Marine, Inc. 126,000 1,748 * Globalink, Inc. 62,700 455
8 33
Market Value Shares (000)+ - ---------------------------------------------------------------------- * Gold Reserve Corp. 63,400 $ 475 * Golden Books Family Entertainment, Inc. 49,900 605 Golden Enterprises Inc. 54,300 438 * E. Gottschalk & Co., Inc. 59,100 399 Goulds Pumps, Inc. 31,391 806 Graco, Inc. 31,677 641 * Graham-Field Health Products Inc. 69,916 603 * Grand Casinos, Inc. 39,800 1,025 Granite State Bankshares, Inc. 2,500 46 Graphic Industries, Inc. 47,700 471 * Greater New York Savings Bank 46,300 492 Green Mountain Power Corp. 16,424 398 Green Point Financial Corp. 39,400 1,113 Greif Brothers Corp. Class A 18,200 571 * Grist Mill Co. 45,950 299 * Grossmans, Inc. 135,000 224 * GTech Holdings Corp. 34,900 1,034 Guaranty National Corp. 36,500 657 Guidant Corp. 54,166 2,668 Guilford Mills, Inc. 25,650 641 Gundle/SLT Environmental, Inc. 67,000 419 * The Gymboree Corp. 26,460 804 HBO and Co. 61,200 4,139 * HFNC Financial Corp. 40,000 657 * HFS Inc. 91,300 6,391 * HMN Financial, Inc. 27,200 447 * HMT Technology Corp. 32,000 500 HUBCO, Inc. 29,200 619 * Hadco Corp. 35,951 764 * Haemonetics Corp. 43,100 787 Hancock Fabrics, Inc. 45,600 502 Hancock Holding Co. 2,200 89 Handleman Co. 40,000 275 Handy & Harman 33,600 571 M.A. Hanna Co. 39,375 822 Hannaford Brothers Co. 35,200 1,148 * Hanover Direct, Inc. 70,200 97 Harley-Davidson, Inc. 57,654 2,371 Harman International Industries, Inc. 14,114 695 Harper Group, Inc. 32,300 634 Harrodsburg First Financial Bancorp 9,800 153 Harsco Corp. 20,316 1,366 Harte-Hanks Communications Co. 30,300 841 Hartford Steam Boiler Inspection & Insurance Co. 16,343 803 * Hauser Chemical Research 63,500 437 Haven Bancorp, Inc. 19,000 538 Hawaiian Electric Industries Inc. 22,935 814 Health and Retirement Properties Trust 53,600 925 Health Care Properties Investors 21,500 726 Health Care REIT, Inc. 27,300 587 * Health Management Associates Class A 78,855 1,597 * Health Systems 40,402 1,096 * Healthcare & Retirement Corp. 37,050 880 * HealthCare Compare Corp. 27,465 1,337 * Healthcare Services Group, Inc. 41,976 386 * Healthsource, Inc. 50,800 889 * HEALTHSOUTH Corp. 122,933 4,426 * Heartport Inc. 5,000 151 Hechinger Co. Class A 95,900 426 * Hecla Mining Co. 71,400 500 * Hector Communications Corp. 35,350 285 Heico Corp. 18,362 496 Heilig-Meyers Co. 36,568 878 * Hein-Werner Corp. 10,575 85 * Hemasure, Inc. 29,000 397 Herbalife International, Inc. 43,200 632 Hibernia Corp. Class A 96,628 1,051 * High Plains Corp. 89,497 341 * Highlands Insurance Group 31,100 583 Hillenbrand Industries, Inc. 52,950 1,972 * Hinsdale Financial Corp. 16,125 411 * Hitox Corp. of America 40,700 183 Holly Corp. 21,600 540 * Hollywood Casino Corp. 69,000 479 * Hollywood Entertainment Corp. 43,771 684 * Home Shopping Network, Inc. 73,000 876 * Homeowners Group, Inc. 35,000 68 * Hometown Buffet, Inc. 35,550 498 Hon Industries, Inc. 22,300 638 Horace Mann Educators Corp. 29,600 940 * Horizon/CMS Healthcare Corp. 62,071 799 Hormel Foods Corp. 57,700 1,543 * Horsehead Resource Development Co., Inc. 84,900 483 * Host Marriott 132,250 1,736 * Host Marriott Services 80,890 586 Houghton Mifflin Co. 17,200 856 * House of Fabrics, Inc. 49,400 14 Hubbell Inc. Class A 2,000 124 Hubbell Inc. Class B 22,953 1,521 * Hudson Technology, Inc. 5,600 53 Hughes Supply, Inc. 14,674 510 * Human Genome Sciences, Inc. 26,000 959 J.B. Hunt Transport Services, Inc. 34,403 720 Huntington Bancshares Inc. 103,869 2,493 * Hyperion Software Corp. 43,800 539 IBP, Inc. 71,700 1,981 IBS Financial Corp. 30,100 393 ICN Pharmaceuticals, Inc. 38,185 888
9 34
Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * ICOS Corp. 75,500 $ 651 * IDEX Corp. 16,800 638 * IDEXX Laboratories 29,800 1,166 * IDX Systems Corp. 14,000 544 IES Industries, Inc. 22,340 667 * IGI, Inc. 55,300 435 * IHOP Corp. 19,700 528 IMC Global Inc. 71,093 2,675 IMCO Recycling, Inc. 27,500 495 * ITI Technologies, Inc. 20,500 675 * ITT Educational Services, Inc. 24,300 702 Idaho Power Co. 29,600 921 Ideon Group 55,000 742 Illinois Central Corp. 46,200 1,311 * Identix, Inc. 40,000 585 Illinova Corp. 57,276 1,647 * Image Entertainment, Inc. 62,100 369 * Immulogic Pharmaceutical Corp. 52,800 472 * Immune Response 76,083 870 * Immunex Corp. 58,100 799 * Immunomedics Inc. 91,200 849 * Imo Industries, Inc. 75,300 433 * Imperial Bancorp 30,152 727 * Imperial Credit 33,737 1,031 * Inacom Corp. 29,396 553 * Incyte Pharmaceuticals, Inc. 15,600 605 Independent Bank Corp. 31,700 242 Indiana Energy, Inc. 29,400 842 Indiana Federal Corp. 7,900 159 * Inference Corp. Class A 22,900 544 * Infinity Broadcasting Corp. 63,150 1,895 * Information Resources, Inc. 50,634 614 * Information Storage Devices, Inc. 30,800 289 * Informix Corp. 112,000 2,513 Innkeepers USA Trust 45,900 453 * Input/Output, Inc. 31,900 1,033 * Inso Corp. 8,600 444 * Insurance Auto Auctions, Inc. 29,400 288 Integon Corp. 32,750 659 * Integrated Communication Network, Inc. 25,600 27 * Integrated Device Technology Inc. 61,000 652 Integrated Health Services, Inc. 32,300 767 * Integrated Silicon Solution, Inc. 40,200 460 * Integrated Systems Consulting Group Inc. 6,617 127 Intelligent Electronics Inc. 77,802 656 * Interactive Group, Inc. 47,900 257 Interface, Inc. 35,100 542 Interface Systems Inc. 29,300 236 * Interlink Electronics Inc. 36,800 246 * Intermet Corp. 44,800 624 * International Cabletel, Inc. 22,100 655 * International Dairy Queen, Inc. Class A 33,612 727 * International Family Entertainment, Inc. Class B 53,250 985 International Game Technology 94,998 1,603 * International Imaging Materials Inc. 26,300 618 * International Lottery & Totalizator Systems, Inc. 51,600 121 International Multifoods Corp. 35,969 656 * International Rectifier Corp. 38,100 614 * International Specialty Products, Inc. 79,100 870 * Interneuron Pharmaceutical, Inc. 27,800 827 * Interpore International 64,800 389 * Intersolv 48,400 457 Interstate Bakeries 31,800 851 * Intervoice, Inc. 28,787 569 Intimate Brands, Inc. 189,200 4,328 * Intuit, Inc. 34,200 1,607 Invacare Corp. 22,843 543 * Investment Technology Group, Inc. 43,200 605 * Iomega Corp. 110,400 3,181 Ipalco Enterprises, Inc. 42,750 1,122 Irvine Apartment Communities, Inc. 32,500 654 * ISIS Pharmaceuticals, Inc. 33,674 629 * Isomedix, Inc. 29,000 431 IVAX Corp. 90,900 1,443 * J & J Snack Foods Corp. 37,000 430 J & L Specialty Steel Inc. 34,900 519 JDN Realty Corp. 23,900 535 JLG Industries, Inc. 11,400 848 JSB Financial 19,299 642 Jackpot Enterprises, Inc. 38,027 485 * Jacobs Engineering Group Inc. 32,300 852 * Jan Bell Marketing Inc. 127,700 335 * Jefferson Savings Bancorp, Inc. 16,600 430 * Jefferson Smurfit Corp. 88,300 971 John Alden Financial Group 32,300 715 John Nuveen Co. Class A 30,543 760 * Jones Apparel Group, Inc. 21,800 1,071 * Jones Intercable Inc. 45,100 598 Jones Medical Industries, Inc. 19,650 650 * Just for Feet, Inc. 14,416 765 Justin Industries, Inc. 51,200 678 * KFX, Inc. 79,150 579 * KLA Instruments Corp. 38,100 883 KN Energy, Inc. 20,850 698 * K-III Communications Corp. 97,300 1,216 * K2 Inc. 27,245 739 K U Energy Corp. 28,500 851 * K-V Pharmaceutical Co. Class A 39,500 563 * Kaiser Aluminum & Chemical Corp. 62,400 686
10 35
Market Value Shares (000)+ - ---------------------------------------------------------------------- Kaman Corp. Class A 43,200 $ 435 Kansas City Power & Light Co. 49,300 1,356 Kansas City Southern Industries, Inc. 30,336 1,301 Kaydon Corp. 20,700 890 Kellwood Co. 38,100 700 * Kelly Oil Corp. 148,000 587 Kelly Services, Inc. Class A 29,937 887 * KEMET Corp. 33,500 674 * KENETECH Corp. 44,000 25 Kennametal, Inc. 22,455 763 * Kensey Nash Corp. 29,500 391 * Kent Electronics Corp. 28,400 887 Kentucky First Bancorp, Inc. 11,600 159 * Kenwin Shops, Inc. 900 2 * Key Tronic Corp. 60,900 392 * Keystone Consolidated Industries, Inc. 29,550 295 Keystone Financial, Inc. 19,200 648 Keystone International, Inc. 25,225 523 Kimball International, Inc. Class B 27,100 747 Kimco Realty Corp. 28,950 818 * Kinder Care Learning Centers Inc. 38,300 591 Kinetic Concepts, Inc. 78,232 1,222 * Kirby Corp. 38,100 643 Knape & Vogt Manufacturing Co. 25,562 396 * Koger Equity Inc. 46,900 627 * Kohls Corp. 55,900 2,047 * Komag, Inc. 41,000 1,076 * Koo Koo Roo, Inc. 53,800 489 * Kronos, Inc. 19,350 677 * Kulicke & Soffa Industries, Inc. 42,400 615 * L.A. Gear Inc. 136,216 426 * LCI International, Inc. 48,400 1,519 LG&E Energy Corp. 52,400 1,199 LTV Corp. 79,123 900 * LTX Corp. 77,812 481 La Quinta Inns Inc. 38,683 1,296 La-Z-Boy Chair Co. 23,900 720 Lab One Inc. 32,500 524 * Laboratory Corp. of America 93,988 705 Lafarge Corp. 50,300 1,019 Lafayette American Bank and Trust Co. 19,200 238 * LAM Research Corp. 21,450 556 Lancaster Colony Corp. 23,710 886 Lance, Inc. 49,641 825 Landmark Bancshare, Inc. 17,000 262 * Landmark Graphics Corp. 28,900 562 * Landry's Seafood Restaurants, Inc. 32,600 795 * Lands' End, Inc. 35,800 886 * Lattice Semiconductor Corp. 29,600 714 Estee Lauder Companies Class A 43,429 1,835 Lawson Products, Inc. 22,350 563 Lawter International Inc. 63,554 794 Lawyers Title Insurance Corp. 29,750 535 * Lear Corp. 42,600 1,502 Learonal Inc. 21,000 525 * The Leather Factory, Inc. 16,000 31 * Lechters Corp. 69,500 456 Lee Enterprises, Inc. 36,800 869 Legg Mason Inc. 23,800 768 Leggett & Platt, Inc. 68,200 1,893 Lehman Brothers Holdings, Inc. 78,815 1,951 Lennar Corp. 29,250 731 Leucadia National Corp. 49,376 1,210 * Lexington Global Asset Managers, Inc. 27,600 131 * Lexmark International Group, Inc. Class A 56,600 1,139 Liberty Bancorp, Inc. (Illinois) 17,200 428 Liberty Bancorp, Inc. (Oklahoma) 5,000 179 Liberty Corp. 28,300 899 Liberty Financial Cos., Inc. 22,500 762 Life Bancorp Inc. 34,500 492 Life Partners Group, Inc. 36,800 837 Life Re Corp. 25,100 775 Lilly Industries Inc. Class A 41,188 700 * Lin Television 35,234 1,260 * Lincare Holdings Inc. 22,000 861 Lincoln Electric Co. Class A 22,776 683 Lincoln Telecommunications Co. 53,400 871 Linear Technology Corp. 56,304 1,686 * Liposome Co., Inc. 40,639 762 * Littelfuse, Inc. 19,700 744 * Little Switzerland, Inc. 67,000 343 * Litton Industries, Inc. 35,100 1,527 * Living Centers of America, Inc. 16,000 550 * Lo-Jack Corp. 49,200 560 Loctite Corp. 26,080 1,213 * Lone Star Steakhouse & Saloon 30,463 1,148 * Lone Star Technologies, Inc. 52,400 583 Long Island Bancorp, Inc. 21,200 648 Long Island Lighting Co. 90,265 1,512 Longview Fiber Co. 38,770 659 * Loral Space & Communications Ltd. 146,000 1,989 Lubrizol Corp. 47,333 1,438 Lucent Technologies, Inc. 85,751 3,248 Lukens, Inc. 21,400 511 * Lynx Therapeutic 1,425 7 Lyondell Petrochemical Co. 60,554 1,461 MAF Bancorp, Inc. 14,243 345 * MAI Systems Corp. 43,775 394 MBIA, Inc. 32,200 2,508
11 36
Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- MCN Corp. 50,600 $ 1,233 MDU Resources Group, Inc. 35,250 758 * MEMC Electronic Materials, Inc. 31,400 1,217 * MFB Corp. 10,000 141 * MFS Communications Co., Inc. 93,900 3,527 * MGI Pharma, Inc. 81,800 486 MGIC Investment Corp. 44,835 2,516 * MGM Grand Inc. 36,939 1,473 MLF Bancorp, Inc. 21,900 527 * MRV Communications Inc. 24,557 1,034 * M.S. Carriers Inc. 27,200 564 The Macerich Co. 34,500 725 * MacFrugal's Bargains Close-Outs, Inc. 42,900 761 The MacNeal-Schwendler Corp. 50,800 381 * Macromedia 29,377 646 * Mafco Consolidated 34,500 858 * Magellan Health Services Corp. 40,100 862 Magna Group 39,600 945 * Magnatek 59,600 574 Maine Public Service Co. 15,000 274 Manpower Inc. 63,400 2,488 * Manugistics Group, Inc. 28,400 472 Mapco Inc. 23,300 1,314 Marion Capital Holdings 12,500 256 Mark IV Industries, Inc. 47,502 1,075 * Mark VII Inc. 19,700 403 Mark Twain Bancshares, Inc. 22,850 848 * MarketLink, Inc. 53,600 131 * Marquest Medical Products Inc. 10,000 17 * Marquette Electronics Class A 30,900 541 Marshall & Ilsley Corp. 70,227 1,953 * Marshall Industries 27,572 772 Martin Marietta Materials, Inc. 34,700 841 * Marvel Entertainment Group 76,334 716 Maryland Federal Bancorp 18,276 536 MascoTech Inc. 58,785 867 * Mastec Inc. 33,122 830 * Matria Healthcare Inc. 74,078 625 * Maxim Integrated Products, Inc. 45,680 1,248 * Maxxam Inc. 14,400 565 * McAfee Associates, Inc. 31,300 1,536 McClatchy Newspapers, Inc. 27,560 761 McCormick & Co., Inc. 61,183 1,346 McKesson Corp. 33,306 1,586 * McMoRan Oil and Gas 100,499 267 * McWorter Technologies Inc. 29,600 525 Measurex Corp. 27,700 810 * Medaphis Corp. 49,900 1,980 * Medcross, Inc. 5,900 39 Medford Savings Bank 19,601 456 Media General, Inc. Class A 20,100 749 * Medic Computer Systems, Inc. 8,900 723 * Medical Dynamics, Inc. 63,700 209 * Medical Technology Systems, Inc. 16,100 12 * Medicis Pharmaceutical Corp. 11,700 486 * MedImmune Inc. 40,000 672 * Mediq, Inc. 28,000 165 * Medisense, Inc. 1,500 67 Meditrust 46,017 1,536 * Mednet MPC Corp. 120,500 235 * MedPartners/Mullikin, Inc. 37,700 787 * Men's Wearhouse, Inc. 32,550 1,062 Mentor Corp. 36,715 934 * Mentor Graphics Corp. 48,100 779 Mercantile Bancorp, Inc. 47,450 2,112 Mercantile Bankshares Corp. 37,250 952 * Merchants Bancshares, Inc. 19,400 310 Merchants New York Bancorporation 5,100 143 Mercury Finance Co. 134,035 1,709 Mercury General Corp. 20,800 918 * Merisel, Inc. 100,110 379 * Merix Corp. 15,100 300 Merrill Corp. 18,500 469 Merry Land & Investment Co., Inc. 26,100 548 * Mesa Airlines, Inc. 58,500 687 Mesaba Holdings, Inc. 48,000 552 Met-Pro Corp. 22,653 422 * Meta-Software, Inc. 700 12 * Metal Management, Inc. 20,400 92 * Metrocall, Inc. 31,400 347 * Metromedia International Group, Inc. 55,500 680 Metrowest Bank 78,538 309 * Fred Meyer, Inc. 25,100 737 Michael Foods, Inc. 50,100 579 * Michaels Stores, Inc. 40,000 685 Michigan Financial Corp. 1,800 42 * Micro Warehouse Inc. 26,900 531 * Microchip Technology, Inc. 25,650 641 * Microcom Corp. 51,676 652 * Microdyne Corp. 59,800 392 * Micron Electronics, Inc. 77,200 936 * Micronics Computers, Inc. 85,600 219 * Microtouch Systems, Inc. 24,401 445 Mid-America Apartment Communities, Inc. 22,500 571 Mid-America Bancorp 13,300 214 * Mid-American Waste Systems, Inc. 148,500 139 * Mid Atlantic Medical Services 35,800 510 Mid Continent Bancshares, Inc. 4,600 87 Mid-Iowa Financial Corp. 10,560 67 MidAmerican Energy Co. 75,853 1,308 * Midisoft Corp. 32,500 171
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Market Value Shares (000)+ - ---------------------------------------------------------------------- Midwest Grain Products 30,450 $ 381 Herman Miller, Inc. 18,871 577 * Milwaukee Land Co. 2,300 16 Minerals Technologies, Inc. 18,200 623 Minnesota Power & Light Co. 23,800 690 * Mirage Resorts, Inc. 69,850 3,772 * Mitcham Industries, Inc. 26,300 179 Mitchell Energy & Development Corp. Class A 39,300 757 * Mobile Telecommunications Technologies Corp. 39,400 574 * MobileMedia Corp. 47,300 568 * Model Imperial, Inc. 57,500 13 Modern Controls, Inc. 29,575 301 Modine Manufacturing Co. 22,800 601 * Mohawk Industries, Inc. 47,400 847 * Molecular Biosystems, Inc. 48,334 435 Molex, Inc. 75,267 2,409 Molex, Inc. Class A 875 26 * Molten Metal Technology 29,200 858 The Money Store 53,665 1,177 Montana Power Co. 42,600 948 Morrison Fresh Cooking Inc. 12,031 63 Morrison Health Care Inc. 34,741 486 * Morrison-Knudsen Co., Inc. 114,100 86 Mosinee Paper Corp. 22,667 615 * Mueller Industries Inc. 21,216 880 Murphy Oil Corp. 34,030 1,544 Myers Industries, Inc. 31,265 582 Mylan Laboratories, Inc. 90,450 1,560 * Myriad Genetics, Inc. 19,400 480 * Mysoftware Co. 3,000 19 N L Industries, Inc. 37,400 458 NAC Re Corp. 28,325 949 NBT Bancorp, Inc. 3,200 53 NCH Corp. 12,000 771 NGC Corp. 89,000 1,335 NIPSCO Industries, Inc. 46,470 1,870 NPC International Class A 58,600 586 NYMAGIC, Inc. 29,900 564 Nabisco Holdings Corp. Class A 41,900 1,482 * Nabors Industries, Inc. 63,500 1,032 Nashua Corp. 24,100 307 * National Auto Credit Co. 55,504 631 * National Beverage Corp. 35,920 494 * National City Bancorporation 2,400 47 National City Corp. 8,500 299 National Community Bancorp 19,198 605 National Computer Systems, Inc. 31,500 667 National Data Corp. 21,739 745 National Fuel & Gas Co. 29,800 1,073 National Health Investors REIT 27,300 894 * National Lodging Corp. 33,590 529 National Presto Industries, Inc. 12,963 493 * National R. V. Holdings, Inc. 15,450 203 National Re Holdings Corp. 25,300 955 * National Record Mart, Inc. 49,100 120 * National Steel Corp. Class B 57,100 621 * National Techteam, Inc. 17,900 208 Nationwide Health Properties, Inc. 28,300 598 * Nautica Enterprises Inc. 40,737 1,176 * Neiman Marcus Group Inc. 42,655 1,152 * Nellcor Puritan Bennett, Inc. 23,514 1,143 * Netmanage, Inc. 63,300 700 * Netscape Communications Corp. 61,400 3,830 * Network Equipment Technologies 31,547 670 * Network General Corp. 46,288 989 * Network Peripherals, Inc. 34,000 580 Nevada Power Co. 35,252 776 New England Business Service, Inc. 35,100 684 New England Electric System 49,200 1,790 New Jersey Resources Corp. 24,700 710 * New Mexico & Arizona Land Co. 38,841 490 New Plan Realty Trust 44,655 943 * New World Communications Group, Inc. 47,100 686 New York Bancorp Inc. 12,900 329 New York State Electric & Gas Corp. 57,500 1,402 Newcor, Inc. 39,600 384 Newhall Land & Farming Co. 48,300 797 Newmil Bancorp, Inc. 23,900 170 Newmont Gold Co. 83,168 4,190 * Nexstar Pharmaceuticals Inc. 50,991 1,122 * Nextel Communications 169,493 3,231 * Nine West Group, Inc. 28,200 1,442 * Nitches Inc. 30,128 207 Noble Affiliates, Inc. 38,136 1,440 * Noble Drilling Corp. 71,100 987 Nordson Corp. 13,740 781 * Nortek, Inc. 34,852 405 North American Mortgage Co. 34,500 599 North Fork Bancorporation, Inc. 53,257 1,391 North Side Savings Bank 19,950 690 * North Star Universal Inc. 63,800 510 Northeast Utilities 96,100 1,285 Northern Trust Corp. 43,150 2,497 * Northwest Airlines Corp. Class A 68,500 2,701 Northwest Natural Gas Co. 20,800 731 Northwest Savings Bank 37,600 432 Northwestern Public Service Co. 17,900 481 Norwalk Savings Society 17,100 372 Norwest Corp. 22,750 793 * NovaCare, Inc. 111,500 850 * Novavax, Inc. 47,700 343
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Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * Novellus Systems, Inc. 14,400 $ 522 * Nutrition for Life International, Inc. 30,200 445 * nVIEW Corp. 25,049 128 OEA, Inc. 27,400 1,027 * OHM Corp. 67,700 474 * Oak Technology, Inc. 52,100 492 * Oakley, Inc. 27,900 1,269 Oakwood Homes Corp. 34,200 705 Oasis Residential, Inc. 30,500 667 * Objective Systems Integrators, Inc. 24,300 887 * Oceaneering International, Inc. 47,000 711 * Octel Communications Corp. 54,300 1,066 * Office Depot, Inc. 118,625 2,417 * Officemax Inc. 62,000 1,480 * Offshore Logistics, Inc. 38,700 539 Ohio Art Co. 14,800 281 Ohio Casualty Corp. 27,856 975 Oklahoma Gas & Electric Co. 32,000 1,268 * Old America Stores, Inc. 41,200 335 Old Kent Financial Corp. 33,994 1,334 Old National Bancorp 18,271 679 Old Republic International Corp. 64,961 1,397 Olin Corp. 18,800 1,678 Olsten Corp. 54,330 1,596 Omnicare, Inc. 50,700 1,344 Omnicom Group Inc. 56,400 2,623 Omega Financial Corp. 4,900 157 Omega Healthcare Investors, Inc. 24,541 678 * Omnipoint Corp. 33,900 884 * On Assignment, Inc. 11,300 414 Onbancorp Inc. 21,100 690 One Valley Bancorp of West Virginia Inc. 23,900 828 Oneida Ltd. 27,289 512 * Oneita Industries 47,933 150 * Ontrak Systems, Inc. 18,800 308 * Opthalmic Imaging Systems, Inc. 1,000 5 Optical Coating Laboratory, Inc. 34,685 620 Orange & Rockland Utilities, Inc. 19,600 720 * Orbital Sciences Corp. 36,800 603 * Oregon Metallurgical Corp. 19,375 567 Oregon Steel Mills, Inc. 37,100 510 * O'Reilly Automotive, Inc. 17,800 652 Oriental Bank & Trust 3,800 72 * Oriole Homes Corp. Class B 19,300 145 Orion Capital Corp. 19,900 1,015 * OrNda Healthcorp 46,200 1,109 * Orthodontic Centers of America, Inc. 15,400 404 * Orthologic Corp. 37,000 467 Oshkosh B Gosh, Inc. Class A 27,900 506 O'Sullivan Corp. 39,675 471 * Outback Steakhouse 35,854 1,232 * Outlook Group Corp. 8,000 40 Overseas Shipholding Group Inc. 51,900 941 * Owens-Illinois, Inc. 90,972 1,456 * Oxford Health Plan 55,500 2,279 * Oxigene, Inc. 20,061 507 PCA International, Inc. 25,398 419 * PDG Environment Industries 7,140 6 * PDT, Inc. 17,900 600 PHH Corp. 13,100 747 PIMCO Commercial Mortgage Securities, Inc. 36,200 439 PMC Capital, Inc. 37,700 481 The PMI Group Inc. 26,500 1,126 * PMT Services Inc 41,365 1,187 PS Group Holdings Inc. 33,800 465 * PVF Capital Corp. 8,400 156 * Pacific Crest Capital Inc. 43,645 376 Pacific Gulf Properties, Inc. 25,500 427 Pacific Scientific Co. 33,800 532 * Pacificare Health Systems Inc. Class A 14,800 980 * Pacificare Health Systems Inc. Class B 8,700 591 * Paging Network Inc. 77,600 1,848 PaineWebber Group, Inc. 73,475 1,745 * Pairgain Technologies, Inc. 23,500 1,458 * Papa John's International, Inc. 15,100 732 * Parametric Technology Corp. 95,508 4,137 * Park-Ohio Industries, Inc. 30,700 602 Parker & Parsley Petroleum Co. 27,400 760 * Parker Drilling Co. 96,300 554 * Patina Oil & Gas Corp. 38,968 278 * Patina Oil & Gas Corp. Warrants Exp. 5/1/01 19,484 32 * Patlex Corp. 9,077 356 Paul Revere Corp. 34,700 954 * Paul-Son Gaming Corp. 23,300 183 Paychex, Inc. 51,912 2,495 * Payless ShoeSource, Inc. 33,000 1,048 * Peak Technologies Group, Inc. 21,800 507 * Pec Israel Economic Corp. 31,800 576 * Pegasus Gold 47,800 586 * Penn Engineering & Manufacturing Corp. 24,900 470 Penn Engineering & Manufacturing Corp. Class A 8,300 196 Penncorp Financial Group Inc. 20,500 651 * Pennfed Financial Services, Inc. 27,600 423 Pennsylvania Enterprises Inc. 12,850 511 Pentair, Inc. 27,908 837 Penwest Ltd. 25,709 488 Peoples Bank 916 22
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Market Value Shares (000)+ - ---------------------------------------------------------------------- Peoples Bank of Bridgeport 28,100 $ 627 * People's Choice TV Corp. 27,000 486 Peoples Heritage Financial Group Inc. 40,759 833 People's Savings Financial Corp. 1,300 29 * Peoplesoft Inc. 37,800 2,689 * Perini Corp. 38,400 461 Perpetual Midwest Financial, Inc. 2,300 40 * Perrigo Co. 56,300 637 * Personnel Group of America, Inc. 19,598 483 * Pet Food Warehouse, Inc. 44,300 197 Petroleum Heat & Power Co. 70,700 535 Petrolite Corp. 20,300 645 * PETsMART, Inc. 38,900 1,848 * Phamis, Inc. 25,900 380 * Pharmaceutical Resources, Inc. 72,988 365 Phillips-Van Heusen Corp. 47,893 611 * Phonetel Technologies, Inc. 4,000 14 * Photronics Labs Inc. 24,098 642 * Phycor, Inc. 41,025 1,554 * Physician Corp. of America 58,600 787 * Physician Reliance Network, Inc. 34,300 772 * Physician Sales & Service, Inc. 27,400 668 * Physicians Insurance Co. of Ohio 100 2 * PictureTel Corp. 42,100 1,660 Piedmont Natural Gas, Inc. 25,014 578 Pier 1 Imports Inc. 55,235 822 * Piercing Pagoda, Inc. 22,500 408 Pikeville National Corp. 4,900 111 Pilgrim's Pride Corp. 73,200 659 * Pinnacle Systems, Inc. 24,700 519 Pinnacle West Capital Corp. 66,200 2,011 Pioneer Financial 26,100 434 Pioneer Group Inc. 34,600 930 Pioneer Standard Electronics Inc. 47,025 617 * Pittencrieff Communication, Inc. 86,000 572 Pittston Brink's Group 31,300 912 Pittston Burlington Group 28,000 605 Pittway Corp. Class A 16,716 777 * Pixar, Inc. 28,200 546 * Planet Hollywood International, Inc. Class A 71,800 1,934 * Platinum Technology, Inc. 41,700 628 * Players International, Inc. 58,200 571 * Playboy Enterprises Inc. Class A 22,850 340 * Playboy Enterprises Inc. Class B 13,250 195 Plenum Publishing Corp. 15,300 524 * Plexus Corp. 33,650 501 Ply-Gem Industries, Inc. 36,000 490 Pogo Producing Co. 24,900 949 Polaris Industries, Inc. 20,550 701 * Policy Management Systems Corp. 14,164 708 * Polymer Group, Inc. 15,000 262 * Pool Energy Service Co. 43,867 513 Pope & Talbot, Inc. 35,700 540 Portland General Electric Co. 40,000 1,235 Post Properties, Inc. 21,700 768 Potomac Electric Power Co. 89,700 2,377 * Power Control Technologies 78,000 712 Precision Castparts Corp. 15,500 666 * Precision Systems, Inc. 6,500 76 Premark International, Inc. 46,623 863 * Premenos Technology Corp. 27,500 495 * Premier Farnell PLC ADR 28,800 601 * Premier Farnell PLC Cvt. Pfd. ADR 23,203 592 * Premiere Technologies, Inc. 20,100 626 * Premisys Communications, Inc. 18,000 1,099 * President Casinos 157,282 256 Presidential Life Corp. 66,800 689 * Presstek, Inc. 11,100 709 Price Enterprises, Inc. 42,300 648 T. Rowe Price 46,600 1,439 * Primadonna Resorts, Inc. 43,138 1,003 * Primark Corp. 17,731 578 Prime Bancorp Inc. 20,582 378 Prime Retail, Inc. 28,200 323 Production Operators Corp. 17,600 598 Progressive Bank, Inc. 11,200 330 Progressive Corp. of Ohio 54,706 2,530 * Promus Hotel Corp. 38,700 1,146 * Pronet, Inc. 25,500 314 Protective Life Corp. 23,200 815 * Protein Design Labs 27,600 618 Provident Bancorp Inc. 19,850 702 Provident Bankshares Corp. 16,275 539 Provident Cos., Inc. 34,200 1,265 * PsiNet, Inc. 48,000 549 * Psychemedics, Inc. 77,456 571 Public Service Co. of Colorado 48,500 1,782 Public Service Co. of New Mexico 32,620 669 Public Storage, Inc. 51,000 1,052 Puerto Rican Cement Co., Inc. 13,700 426 Puget Sound Power & Light Co. 51,615 1,252 Pulitzer Publishing Co. 12,425 736 * Purus, Inc. 5,100 22 * QLogic 31,100 307 * QMS, Inc. 75,200 414 Quaker State Corp. 51,200 768 * Qualcomm, Inc. 49,000 2,600 * Quality Food Centers Inc. 25,654 667 Quanex Corp. 26,900 636 * Quantum Corp. 41,800 606 * Quarterdeck Corp. 70,400 664 Queens County Bancorp, Inc. 14,000 682
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Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- Questar Corp. 32,515 $ 1,106 The Quick & Reilly Group, Inc. 29,750 967 * Quickresponse Services, Inc. 14,700 428 * Quintiles Transnational Corp. 17,200 1,127 * Quorum Health Group, Inc. 37,700 994 RCSB Financial Corp. 28,100 725 RFS Hotel Investors 39,700 620 RJR Nabisco Holdings Corp. 205,142 6,359 R.L.I. Corp. 22,400 546 ROC Communities Inc. 26,600 635 * RPC Inc. 50,200 577 RPM Inc. (Ohio) 59,181 928 * Rainbow Technologies, Inc. 24,400 485 * Ralcorp Holdings Inc. 24,100 497 Raritan Bancorp, Inc. 1,300 27 * Rational Software Corp. 13,500 728 Raymond James Financial, Inc. 34,050 770 Rayonier Inc. 22,800 866 * Read-Right Corp. 40,469 569 Reader's Digest Assn., Inc. Class A 81,300 3,455 Reader's Digest Assn., Inc. Class B 400 16 * Reading & Bates Corp. 78,125 1,729 * Red Lion Hotels, Inc. 30,221 635 * Reddi Brake Supply Corp. 126,400 239 * Redman Industries, Inc. 32,754 667 Regal-Beloit Corp. 34,700 685 * Regal Cinemas, Inc. 14,600 666 * Regional Acceptance Corp. 43,650 502 Regions Financial Corp. 47,227 2,214 Reinsurance Group of America, Inc. 21,200 800 Reliance Bancorp, Inc. 22,200 348 Reliance Group Holdings 90,614 680 Reliastar Financial Corp. 27,262 1,176 * Remedy Corp. 10,900 793 * Renaissance Communications 22,650 730 * Rentrak Corp. 66,500 289 Republic Bancorp, Inc. 30,800 343 * Republic Bancshares, Inc. 25,700 316 * Republic Industries, Inc. 122,700 3,581 * Research Frontiers, Inc. 43,600 330 * Research Medical, Inc. 31,050 685 * Response Oncology, Inc. 31,400 502 * Retix 99,791 717 * Revco Drug Stores, Inc. 51,300 1,225 * Rexall Sundown, Inc. 48,397 1,319 * Rexel Inc. 41,444 585 Reynolds & Reynolds Class A 30,700 1,635 Rhone-Poulenc Rorer, Inc. 101,954 6,844 Richfood Holdings, Inc. 24,200 785 Riggs National Corp. 53,000 646 * Right Management Consultants 11,400 405 Roadway Express Inc. 10,000 143 * Robert Half International, Inc. 43,700 1,218 * Roberts Pharmaceuticals 35,400 715 Rochester Gas and Electric Corp. 29,048 625 Rock-Tenn Co. 44,500 890 * Rockefeller Center Properties Inc. 86,200 679 * Rodman and Renshaw Capital Group, Inc. 2,239 3 * Rogers Corp. 22,800 567 * Rohr, Inc. 33,300 695 * Rollins Environmental Services, Inc. 161,500 626 Rollins, Inc. 31,100 731 Rollins Truck Leasing 64,375 668 Roosevelt Financial Group 31,600 610 Roper Industries Inc. 12,800 614 Ross Stores, Inc. 24,694 860 Rotech Medical Corp. 41,100 796 * The Rottlund Co. 50,300 340 Rouse Co. 37,700 975 * Royal Appliance Manufacturing Co. 63,100 363 Ruby Tuesday, Inc. 24,062 544 Ruddick Corp. 62,300 763 Russ Berrie, Inc. 39,100 718 Rykoff-Sexton, Inc. 43,331 623 Ryland Group, Inc. 32,700 490 * SC Bancorp 2,500 17 * SCI Systems, Inc. 27,742 1,129 SJS Bancorp, Inc. 2,900 59 SJW Corp. 10,000 332 S-K-I, Ltd. 24,400 436 * SOI Industries, Inc. 625 1 * SOS Staffing Services, Inc. 38,100 450 * SPS Transaction Services 38,600 695 * SPSS, Inc. 23,700 598 SPX Corp. 21,591 529 * S3, Inc. 65,000 804 * Safeguard Health Enterprises, Inc. 24,165 438 * Safeguard Scientifics, Inc. 34,000 2,652 * Safety First Inc. 26,900 220 * Safeway, Inc. 164,321 5,423 St. Francis Capital Corp. 16,800 418 St. Joe Corp. 23,099 1,490 St. Paul Bancorp, Inc. 32,350 748 * Salant Corp. 96,400 355 Sanderson Farms, Inc. 40,350 520 * Sanifill, Inc. 18,700 921 Santa Monica Bank 10,600 135 Saul Centers, Inc. 34,200 475 Savannah Foods & Industries, Inc. 52,800 680 * Savoy Pictures Entertainment, Inc. 96,000 504 Sbarro, Inc. 29,691 746 SCANA Corp. 79,300 2,230 * R. P. Scherer Corp. 17,526 795
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Market Value Shares (000)+ - ---------------------------------------------------------------------- * Scholastic Corp. 13,100 $ 815 Schuller Corp. 95,100 987 A. Schulman Inc. 26,962 657 Schult Home Corp. 25,900 489 Charles Schwab Corp. 133,762 3,277 Schweitzer-Mauduit International, Inc. 23,500 661 * Scios, Inc. 95,668 631 Scope Industries 5,000 185 E.W. Scripps Co. 60,669 2,829 Seafield Capital Corp. 15,000 564 * Seagate Technology 78,853 3,548 * Seagull Energy Corp. 30,100 753 * Sealed Air Corp. 32,000 1,076 * Secure Computing Corp. 5,000 111 Security Bancorp 4,300 89 Security Capital Corp. 14,100 841 Security Capital Industrial Trust 65,616 1,156 Security Capital Pacific Inc. 56,797 1,235 * Security Dynamics Technologies, Inc. 10,200 838 * Security First Network Bank 9,388 313 Selective Insurance Group 23,600 773 * Selfix, Inc. 24,120 113 Sensormatic Electronics Corp. 60,061 984 * Sequa Corp. Class A 18,000 776 * Sequent Computer Systems, Inc. 55,500 746 * Service Merchandise Co., Inc. 141,987 799 Shaw Industries, Inc. 108,700 1,427 Shelby Williams Industries, Inc. 31,700 349 * Shiva Corp. 22,800 1,824 * ShoLodge, Inc. 37,433 459 Shopko Stores, Inc. 51,655 833 * Shorewood Packaging 35,700 547 * Show Biz Pizza Time, Inc. 32,875 510 Showboat, Inc. 24,216 730 Shurgard REIT 14,500 366 * Sierra Health Services 26,569 837 * Sierra On-line, Inc. 18,728 821 Sierra Pacific Resources 33,000 837 * Sierra Semiconductor 78,788 911 Signet Banking Corp. 44,952 1,045 SIG Corp. 20,454 708 * Silicon Valley Group, Inc. 40,300 758 * Silver King Communications 27,895 833 Simmons First National 6,000 200 Simon Property Group 45,800 1,122 * Simula, Inc. 24,300 428 Sizzler International 130,650 408 Skyline Corp. 22,000 550 A.O. Smith Corp. 28,400 710 * Smith International, Inc. 30,400 916 * Smithfield Foods, Inc. 28,800 724 Smiths Food & Drug Centers, Inc. Class B 15,230 364 J.M. Smucker Co. Class A 42,000 824 J.M. Smucker Co. Class B 1,200 22 * Sofamor/Danek Group Inc. 23,000 638 * Softdesk, Inc. 38,200 358 * Softkey International, Inc. 28,263 537 * Software Publishing Corp. 89,450 252 * Software Spectrum, Inc. 19,500 446 * Sola International, Inc. 31,800 914 * Solectron Corp. 41,700 1,579 * Solv-Ex Corp. 46,134 891 Sonat Offshore Drilling Co. 21,400 1,081 Sonoco Products 68,985 1,957 Sotheby's Holdings Class A 40,300 584 South Jersey Industries, Inc. 22,084 469 Southdown, Inc. 28,300 665 Southern National Corp. 76,451 2,427 Southern New England Telecommunications Corp. 49,500 2,079 * Southern Pacific Rail Corp. 118,200 2,955 * Southern Union Co. 25,234 555 * Southland Corp. 308,300 939 SouthTrust Corp. 77,050 2,177 Southwest Gas Corp. 37,400 598 Southwestern Energy Co. 48,800 689 Southwestern Public Service Co. 34,100 1,113 Sovereign Bancorp, Inc. 74,203 747 Sovran Self Storage, Inc. 20,200 535 * Spacetec IMC Corp. 28,600 429 * Spaghetti Warehouse, Inc. 26,300 141 Spartan Motors, Inc. 44,300 335 * Spec's Music Inc. 43,366 76 * Spectrian Corp. 26,700 387 * Speedway Motorsports, Inc. 31,100 797 * Spelling Entertainment 66,200 505 Spiegel, Inc. Class A 80,400 950 Spieker Properties, Inc. 23,900 651 * Spyglass, Inc. 24,200 517 * Stac, Inc. 53,100 587 Standard Federal Bank 25,500 982 Standard Financial, Inc. 37,100 610 Standard Products Co. 28,750 668 The Standard Register Co. 23,587 581 Standex International Corp. 24,400 695 Stanhome, Inc. 26,500 702 * Staples, Inc. 119,961 2,332 Star Banc Corp. 22,704 1,530 * Starbucks Corp. 53,900 1,519 L. S. Starrett Co. Class A 16,700 434 L. S. Starrett Co. Class B 400 10
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Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * Starter Corp. 63,000 $ 543 State Street Boston Corp. 60,208 3,071 * Station Casinos, Inc. 54,800 784 * Steris Corp. 42,108 1,345 * Sterling Chemicals, Inc. 74,800 870 * Sterling Commerce, Inc. 56,800 2,109 * Sterling Software, Inc. 27,137 2,090 Stewart & Stevenson Services, Inc. 25,482 573 Stewart Enterprises, Inc. Class A 31,800 1,002 Stewart Information Services Corp. 24,300 489 Stolt Nielsen Class B ADR 10,550 196 Stone & Webster, Inc. 20,400 696 * Stop & Shop Cos. Inc. 39,800 1,328 * Storage Technology Corp. 40,391 1,545 * StrataCom, Inc. 55,716 3,144 * Strategic Distribution, Inc. 65,900 517 * Stratosphere Corp. 30,200 182 * Stratus Computer, Inc. 17,600 510 Strawbridge & Clothier Class A 22,064 364 * StreamLogic Corp. 69,100 259 * Strouds, Inc. 69,100 272 * Structural Dynamics Research Corp. 23,800 521 Stryker Corp. 73,200 1,661 Student Loan Corp. 27,300 983 Student Loan Marketing Assn. 43,403 3,212 * Submicron Systems Corp. 42,340 368 Suffolk Bancorp 5,900 190 Summit Bancorp 70,829 2,488 Summit Properties, Inc. 32,700 642 * Summit Technology, Inc. 46,650 662 Sun Communities, Inc. 26,300 707 * Sun Healthcare Group, Inc. 67,200 958 SunAmerica Inc. 41,350 2,336 Sunbeam Corp. 67,400 994 Sundstrand Corp. 46,600 1,707 * Sungard Data Systems, Inc. 30,300 1,214 * Sunglass Hut International, Inc. 42,174 1,025 * Sunrise Medical, Inc. 37,600 724 Super Food Services, Inc. 45,100 428 * Supercuts, Inc. 55,100 455 Superior Industries International, Inc. 21,419 568 * Swift Energy Co. 26,890 484 * Swift Transportation Co., Inc. 35,100 671 * Sybase, Inc. 54,440 1,290 * Sybron Corp. 35,200 880 * Sylvan Learning Systems, Inc. 20,400 773 * Symantec Corp. 64,212 807 * Symbol Technologies, Inc. 19,300 859 * Synopsys, Inc. 29,926 1,193 Synovus Financial Corp. 87,750 1,898 System Software Associates, Inc. 31,350 539 * Systemed Inc. 100,300 296 * Systemix, Inc. 32,050 571 * TBC Corp. 59,575 518 TCA Cable Television, Inc. 27,500 825 TCBY Enterprises, Inc. 89,900 382 TCF Financial Corp. 28,400 944 * TCSI Corp. 25,529 613 TECO Energy, Inc. 88,700 2,240 TF Financial Corp. 28,000 417 TIG Holdings, Inc. 44,500 1,291 TJ International, Inc. 30,700 541 TNP Enterprises, Inc. 20,100 570 * T.P.I. Enterprises, Inc. 105,300 378 TR Financial Corp. 21,400 584 Talbots Inc. 28,200 913 * Talley Industries, Inc. 51,700 446 Tambrands, Inc. 29,777 1,217 * Tanknology Environmental, Inc. 1,900 4 * Target Therapeutics, Inc. 15,900 652 Taubman Co. REIT 71,000 790 * Tech Data Corp. 35,178 767 * Technical Communications Corp. 14,000 207 * Technology Solutions Co. 33,481 1,161 Tecumseh Products Co. Class A 6,700 362 Tecumseh Products Co. Class B 11,800 617 * Tejas Gas Corp. 22,762 791 Tejon Ranch Co. 34,500 565 * Tekelec 39,000 507 * Telcom Semiconductor, Inc. 32,000 162 * Tele-Communications International, Inc. Series A 89,000 1,574 Teleflex Inc. 13,400 640 Telephone & Data Systems, Inc. 44,728 2,013 * Telescan, Inc. 58,900 460 Telxon Corp. 36,300 433 * Tencor Instruments 43,100 808 * Teradyne, Inc. 62,789 1,083 Terra Industries, Inc. 61,042 755 * Tesoro Petroleum Corp. 58,800 676 Teva Pharmaceutical Industries Ltd. ADR 15,444 586 Texas Industries, Inc. 13,257 910 * Thermedics, Inc. 30,100 753 * Thermo Cardiosystems Inc. 27,200 1,217 Thermo Electron Corp. 104,337 4,343 * Thermo Fibertek, Inc. 49,500 835 * Thermo Instrument Systems, Inc. 69,387 2,238 * Thermo Voltek 5,000 96 * Thermolase Corp. 30,200 823 * Thermotrex Corp. 16,500 813 Thiokol Corp. 23,000 909 * 360 Communications Co. 88,945 2,135
18 43
Market Value Shares (000)+ - ---------------------------------------------------------------------- Tidewater, Inc. 47,100 $ 2,067 Tiffany & Co. 12,166 888 * Todd Shipyards Corp. 73,100 548 * Toll Brothers, Inc. 28,500 467 Tootsie Roll Industries, Inc. 18,421 656 * The Topps Co., Inc. 94,440 525 The Toro Co. 18,900 626 Tosco Corp. 33,958 1,706 Total Petroleum (North America) Ltd. 66,900 652 * Total Renal Care Holdings, Inc. 22,200 938 Total System Services, Inc. 103,076 2,358 Town & Country Trust 38,900 511 * Trans World Airlines 32,303 460 Transatlantic Holdings 18,100 1,269 Transpo Inc. 36,610 252 Transtechnology Corp. 28,800 511 * TransTexas Gas Corp. 68,000 621 * Transworld Home Healthcare, Inc. 34,600 318 * Travelers/Aetna Property Casualty Corp. Class A 30,500 865 * Tremont Corp. 47,609 1,720 * Triarc Cos., Inc. Class A 50,900 585 Trimas Corp. 31,800 743 * Trimble Navigation Ltd. 37,400 715 * Trimedyne, Inc. 60,000 405 Trinity Industries, Inc. 32,250 1,097 * Triton Energy Ltd. 7,172 349 True North Communications 35,200 783 * Truevision Inc. 65,900 486 The Trust Co. of N.J. 36,600 483 Trustco Bank 31,176 608 Trustmark Corp. 25,700 549 * Tucson Electric Power Co. 43,300 585 * Tuesday Morning, Inc. 40,302 539 * Tultex Corp. 94,000 447 Turner Broadcasting Class A 28,200 761 Turner Broadcasting Class B 126,981 3,492 * 20th Century Industries of CA 43,600 725 * Tyco Toys, Inc. 94,898 486 * Tyler Corp. 6,000 17 Tyson Foods, Inc. 109,707 2,996 * UAL Corp. 49,900 2,682 * UCAR International, Inc. 34,800 1,449 UGI Corp. Holding Co. 24,446 538 UMB Financial Corp. 18,740 698 * UNC, Inc. 62,700 525 * URS Corp. 59,658 470 * USA Waste Service 65,994 1,955 * USG Corp. 34,500 962 UST Corp. 9,000 135 * Ultrafem, Inc. 17,133 342 * Ultralife Batteries, Inc. 17,800 251 Ultramar Corp. 36,700 1,064 * Ultratech Stepper, Inc. 34,100 637 Unifi, Inc. 52,625 1,480 * Union Corp. 20,700 409 Union Pacific Resources Group, Inc. 47,400 1,268 Union Planters Corp. 35,454 1,077 Union Texas Petroleum Holdings, Inc. 65,900 1,285 UnionBanCal Corp. 29,094 1,535 * Unique Mobility, Inc. 73,200 311 United Asset Management Corp. 47,700 1,169 United Carolina Bancshare Corp. 31,250 707 United Cos. Finance Corp. 23,409 799 United Dominion Industries Ltd. 35,185 809 United Dominion Realty 47,500 683 * United Guardian, Inc. 31,800 89 United Healthcare Corp. 11,626 587 United Illuminating Co. 18,900 706 * United Insurance Cos., Inc. 32,400 735 * United International Holdings, Inc. Class A 48,400 678 * United Meridian Corp. 24,100 868 United National Bancorp 7,400 237 * U.S. Bioscience 34,955 476 * U.S. Bioscience Warrants Exp. 4/24/98 211 1 * United States Cellular 62,850 1,948 * U.S. Energy Corp. 40,770 762 * U.S. Filter Corp. 20,400 709 * U.S. Long Distance Corp. 29,836 1,054 * U.S. Industries, Inc. 39,800 960 * U.S. Robotics Corp. 66,287 5,659 * United States Satellite Broadcasting Co., Inc. Class A 68,000 2,559 United States Trust Corp. 15,300 776 * United Stationers, Inc. 23,344 552 United Television, Inc. 15,500 1,502 * United Waste Systems, Inc. 27,000 864 United Water Resources, Inc. 48,944 630 Unitil Corp. 20,600 469 Unitrin Inc. 29,170 1,378 Universal Corp. 26,100 692 Universal Foods Corp. 20,362 751 Universal Health Realty Income 26,900 498 * Universal Health Services Class B 30,100 786 * Universal Stainless & Alloy Products, Inc. 28,500 264 * Uranium Resources, Inc. 31,568 458 * Urohealth Systems, Inc. Class A 29,684 427 US Bancorp, Inc. 15,600 503 * US Office Products Co. 19,000 796
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Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * US Physical Therapy, Inc. 27,400 $ 264 * USDATA Corp., Inc. 29,150 525 USFreightways Corp. 32,200 630 Utilicorp United, Inc. 34,586 955 * UUnet Technologies, Inc. 24,300 1,607 * VLSI Technology, Inc. 49,900 695 * Vaalco Energy, Inc. 2,400 1 * Valassis Communication 30,200 559 Valero Energy Corp. 33,200 830 Valhi, Inc. 87,700 625 Valley National Bancorp 38,485 981 Vallicorp Holdings, Inc. 26,700 451 Valspar Corp. 17,600 810 * Value City Department Stores, Inc. 60,900 670 * Value Health, Inc. 40,252 951 * ValuJet Inc. 42,000 395 * Vanguard Cellular Systems, Inc. Class A 30,387 667 * Varco International, Inc. 43,528 789 Varian Associates, Inc. 23,600 1,221 Vastar Resources, Inc. 73,600 2,751 * Vectra Tech Inc. 25,800 63 * Vencor, Inc. 54,165 1,652 * Ventritex Inc. 38,600 663 * VeriFone, Inc. 24,800 1,048 * Veritas Software Corp. 17,000 729 Versa Technology, Inc. 25,200 343 * Vertex Communications Corp. 28,500 531 Vesta Insurance Group, Inc. 26,800 894 * Viasoft, Inc. 20,426 1,317 * Vicor Corp. 31,381 732 * Vicorp Restaurants, Inc. 35,039 425 * VideoLan Technologies, Inc. 33,300 695 * Viking Office Products 62,900 1,970 Virco Manufacturing Corp. 53,546 522 Virginia Beach Federal Financial Corp. 44,050 306 * Vishay Intertechnology, Inc. 49,335 1,166 Vital Signs, Inc. 29,264 607 * Vivra, Inc. 29,000 953 * Vmark Software, Inc. 48,900 455 * Vons Cos., Inc. 34,400 1,286 Vornado Realty Trust 18,498 756 Vulcan International Corp. 5,900 148 Vulcan Materials Co. 26,710 1,586 WFS Bancorp, Inc. 3,000 70 * WHX Corp. 44,564 407 * WMS Industries, Inc. 31,200 768 WPL Holdings, Inc. 25,200 828 WPS Resources Corp. 18,600 588 * WSFS Financial Corp. 52,900 390 * Waban, Inc. 36,600 874 Wabash National Corp. 27,900 495 Wackenhut Corp. 20,700 510 Wackenhut Corp. Class B 15,862 291 * Wainoco Oil Corp. 117,400 367 Walden Residential Properties, Inc. 30,000 611 * Wall Data Inc. 26,300 569 Wallace Computer Services, Inc. 17,200 1,028 * Wang Laboratories, Inc. 26,000 494 Warnaco Group 41,647 1,072 Warren Bancorp, Inc. 7,300 91 Washington Energy Co. 39,077 772 Washington Federal Inc. 33,099 683 Washington Gas Light Corp. 35,302 777 Washington Mutual Inc. 54,523 1,636 Washington National Corp. 24,107 621 Washington Post Co. Class B 8,400 2,722 Washington Real Estate Investment Trust 48,700 816 Washington Water Power Co. 43,800 816 * Waters Corp. 22,000 726 * Watson Pharmaceuticals, Inc. 36,102 1,367 Watts Industries Class A 41,900 780 Wausau Paper Mills Co. 28,300 566 * Wave Technologies International 40,800 222 * Wavephore, Inc. 58,200 480 * Weatherford Enterra Inc. 38,560 1,157 Del E. Webb Corp. 29,000 580 Webster Financial Corp. 21,080 593 Weingarten Realty Investors 20,000 775 Weis Markets, Inc. 35,500 1,158 Wellman, Inc. 24,155 565 Wellpoint Health Networks Inc. Class A 52,901 1,653 Werner Enterprises, Inc. 34,400 890 Wesco Financial Corp. 5,358 859 West Co., Inc. 23,600 708 * Western Beef 15,360 129 * Western Digital Corp. 35,800 935 Western Gas Resources, Inc. 47,300 769 Western National Corp. 46,900 862 Western Resources, Inc. 47,286 1,413 * Western Wireless Corp. 3,000 65 * Westmark Group Holdings, Inc. 4,000 4 * Roy F. Weston, Inc. 64,600 305 * Westpoint Stevens, Inc. 28,357 681 * Westwood One, Inc. 41,500 638 * WetSeal, Inc. Class A 38,500 917 Wheelabrator Technologies 135,406 2,065 * White River 13,842 639 * Whittaker Corp. 27,900 516 John Wiley & Sons Class A 26,400 766 * Clayton Williams Energy, Inc. 30,000 291
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Market Value Shares (000)+ - ---------------------------------------------------------------------- * Williams Sonoma, Inc. 36,600 $ 865 Wilmington Trust Corp. 27,100 881 * Wind River Systems 21,641 752 Windmere-Durable Holdings Inc. 36,598 480 * Wisconsin Central Transportation Corp. 38,000 1,226 Wisconsin Energy Corp. 83,861 2,421 Wiser Oil Co. 33,200 419 Witco Chemical Corp. 42,600 1,464 Wolverine World Wide, Inc. 22,402 728 * Wonderware Corp. 25,200 479 * World Color Press, Inc. 25,400 645 * World Corp. 49,900 337 World Fuel Services Corp. 23,809 432 * Worldtex Inc. 83,744 502 Wyle Electronics 16,600 550 * Wyman Gordon Corp. 59,800 1,058 * Xoma Corp. 99,144 663 * Xilinx, Inc. 53,900 1,708 Xtra Corp. 11,700 518 * Xylan Corp. 29,900 1,394 * Yahoo!, Inc. 20,700 430 Yankee Energy Systems 20,477 445 Yardville National Bancorp 4,200 67 York International Corp. 34,200 1,770 * Zebra Technologies Class A 34,000 599 * Zenith Electronics Corp. 42,757 518 Zenith National Insurance Corp. 29,560 809 * Zilog Inc. 29,400 706 Zions Bancorp. 12,728 930 Zurich Reinsurance Centre Holdings, Inc. 20,300 639 Zurn Industries, Inc. 28,300 587 * Zycad Corp. 78,388 463 - ---------------------------------------------------------------------- TOTAL COMMON STOCKS (98.6%)(1) (Cost $1,244,214) 1,722,636 - ----------------------------------------------------------------------
Face Market Amount Value (000) (000)+ - ---------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.8%) - ---------------------------------------------------------------------- U.S. TREASURY BILL--Note D 5.02%, 7/11/96 $ 1,400 $ 1,398 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 5.35%, 7/1/96 64,454 64,454 - ---------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $65,854) 65,852 - ---------------------------------------------------------------------- TOTAL INVESTMENTS (102.4%) (Cost $1,310,068) 1,788,488 - ---------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-2.4%) - ---------------------------------------------------------------------- Receivables for Investment Securities Sold 167,050 Other Assets--Notes B and E 69,073 Payables for Portfolio Shares Redeemed (215,485) Other Liabilities--Note E (63,368) ------------- (42,730) - ---------------------------------------------------------------------- NET ASSETS (100%) - ---------------------------------------------------------------------- Applicable to 66,494,955 outstanding shares of beneficial interest (unlimited authorization) $1,745,758 - ---------------------------------------------------------------------- NET ASSET VALUE PER SHARE $26.25 ======================================================================
+ See Note A to Financial Statements. * Non-Income Producing Security. (1) The combined market value of common stocks, New York Stock Exchange Composite Index, and Standard & Poor's Midcap 400 Index futures contracts represents 99.4% of net assets.
- ---------------------------------------------------------------------- AT JUNE 30, 1996, NET ASSETS CONSISTED OF: - ---------------------------------------------------------------------- AMOUNT PER (000) SHARE ---------- --------- PAID IN CAPITAL $1,177,451 $17.71 UNDISTRIBUTED NET INVESTMENT INCOME 13,217 .20 ACCUMULATED NET REALIZED GAINS 76,626 1.15 UNREALIZED APPRECIATION (DEPRECIATION)--NOTE D: INVESTMENT SECURITIES 478,420 7.19 FUTURES CONTRACTS 44 -- - ---------------------------------------------------------------------- NET ASSETS $1,745,758 $26.25 - ----------------------------------------------------------------------
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Market TOTAL STOCK Value MARKET PORTFOLIO Shares (000)+ - ---------------------------------------------------------------------- COMMON STOCKS - ---------------------------------------------------------------------- * A & A Foods Ltd. 2,800 $ 2 AAR Corp. 1,600 33 * ABC Rail Products Corp. 9,500 205 * ABR Information Services, Inc. 6,050 303 * ACC Corp. 7,500 362 * ADC Telecommunications, Inc. 22,500 1,007 AFLAC, Inc. 55,946 1,671 AGCO Corp. 20,200 561 AGL Resources Inc. 20,400 385 * AES Corp. 28,326 797 AK Steel Holding Corp. 10,400 407 * AM International, Inc. 44,000 94 * AMR Corp. 35,561 3,236 * APAC Teleservices, Inc. 18,411 658 * APL Ltd. 14,500 379 * APS Holding Corp. 8,800 193 ARCO Chemical Co. 38,492 2,002 * AST Research, Inc. 38,678 263 AT&T Capital Corp. 18,800 823 AT&T Corp. 640,717 39,724 AVX Corp. 35,100 649 Abbott Laboratories 313,265 13,627 * Acceptance Insurance Cos. Inc. 13,300 228 * Access Health Marketing, Inc. 8,767 416 * Accustaff, Inc. 21,900 600 * Ace Cash Express, Inc. 2,700 39 Ackerley Communications, Inc. 5,800 158 * Acme Metals, Inc. 1,600 27 * Across Data Systems, Inc 4,800 58 * Action Performance Cos., Inc. 58,268 841 * Acuson Corp. 20,512 328 * Acxiom Corp. 10,139 345 * Adaptec, Inc. 19,700 932 * Addington Resources, Inc. 11,700 291 Adobe Systems, Inc. 29,220 1,043 * Adtran, Inc. 18,800 1,335 * Advanced Magnetics, Inc. 7,000 128 * Advanced Micro Devices, Inc. 51,360 700 * Advanced Polymer Systems 23,000 216 * Advanced Technology Laboratories, Inc. 18,039 661 * Advanced Tissue Sciences Inc. 24,858 404 Advanta Corp. Class A 16,350 831 ADVO, Inc. 300 3 Aetna Life & Casualty Co. 45,068 3,222 * Aetrium, Inc. 1,200 21 * Affiliated Computer Services, Inc. 2,000 94 H.F. Ahmanson & Co. 45,982 1,242 * Aid Auto Stores, Inc. 3,100 11 * Air and Water Technologies Corp. Class A 18,900 113 Air Products & Chemicals, Inc. 43,626 2,519 Airborne Freight Corp. 12,090 314 * Airgas, Inc. 25,400 483 * Airsensors Inc. 11,000 102 * AirTouch Communications 196,868 5,562 Alamo Group, Inc. 11,800 215 Albank Financial Corp. 12,480 330 Albemarle Corp. 29,815 544 Alberto-Culver Co. Class B 11,923 553 Albertson's, Inc. 100,398 4,154 Alco Standard Corp. 50,633 2,291 Alex Brown, Inc. 7,780 440 Alexander & Alexander Services, Inc. 17,745 350 Alexander & Baldwin, Inc. 12,500 303 * Alexander's, Inc. 5,023 365 Alico, Inc. 1,800 36 * All American Semiconductor, Inc. 37,200 80 Allegheny Ludlum Corp. 26,800 506 * Alleghany Corp. 2,799 537 Allegheny Power System, Inc. 48,300 1,491 * Allegiant Physician Services 6,400 2 The Allen Group, Inc. 13,700 298 Allergan, Inc. 25,118 986 * Alliance Entertainment 31,400 216 * Alliance Pharmaceutical Corp. 22,902 376 * Alliance Semiconductor Corp. 20,100 167 * Alliant Techsystems, Inc. 8,600 405 Allied Capital Commercial Corp. 15,000 299 Allied Capital Lending Corp. 26,160 348 Allied Products Corp. 9,499 270 AlliedSignal Inc. 111,942 6,395 Allmerica Financial Corp. 19,400 577 Allmerica Property & Casualty Cos. 24,300 656 Allstate Corp. 177,341 8,091 ALLTEL Corp. 74,221 2,282 * Allwaste, Inc. 22,700 105 * Altera Corp. 17,410 660 * Altron, Inc. 12,100 244 * Alumax, Inc. 17,941 545 Aluminum Co. of America 70,033 4,018 * ALZA Corp. 31,784 870 * Amax Gold, Inc. 65,793 362 AMBAC, Inc. 14,122 736 Amcast Industrial Corp. 16,496 334 AMCOL International Corp. 19,500 294 * Amdahl Corp. 50,873 547 Amerada Hess Corp. 36,276 1,945 * America Online, Inc. 32,400 1,413 * America West Airlines, Inc. 5,800 128 American Annuity Group Inc. 25,817 336 American Bankers Insurance Group 1,800 79
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Market Value Shares (000)+ - ---------------------------------------------------------------------- American Brands, Inc. 70,693 $ 3,208 * American Business Information, Inc. 16,316 298 * American Classic Voyager Co. 16,400 124 American Electric Power Co., Inc. 73,842 3,148 * American Exploration Co. 13,200 165 American Express Co. 192,075 8,571 American Financial Group, Inc. 22,300 672 * American Freightways 17,504 194 American General Corp. 81,678 2,971 American Greetings Corp. Class A 28,208 770 American Health Properties, Inc. 17,800 394 American Health Properties Psychiatric Group 1,510 24 American Home Products Corp. 252,341 15,172 American International Group, Inc. 188,614 18,602 American List Corp. 10,043 266 * American Management Systems, Inc. 18,300 538 * American Media Class A 78,900 414 * American National Bancorp, Inc. 2,300 23 American National Insurance Co. 9,200 596 * American Oncology Resources, Inc. 25,000 541 * American Portable Telecom, Inc. 10,000 105 * American Power Conversion Corp. 25,800 268 American Re Corp. 18,800 844 * American Standard Cos., Inc. 30,600 1,010 * American States Financial Corp. 5,000 108 American Stores Co. 57,927 2,389 * American Studios, Inc. 86,900 109 * American Travellers Corp. 13,300 305 American Water Works Co., Inc. 15,500 624 * Americredit Corp. 17,700 277 * Ameridata Technologies 21,400 340 Amerigas Partners, LP 5,500 125 * Amerisource Health Corp. 10,596 352 Ameritech Corp. 220,269 13,078 Ametek, Inc. 16,100 350 * Amgen, Inc. 105,548 5,686 Amoco Corp. 197,824 14,318 AMP, Inc. 86,644 3,477 Ampco-Pittsburgh Corp. 16,835 196 * Ampex Corp. Class A 22,700 207 * Amphenol Corp. 18,858 434 * Amre, Inc. 12,043 263 AmSouth Bancorp 22,821 824 * Amtech Corp. 25,575 193 Amvestors Financial Corp. 3,600 57 * Amylin Pharmaceuticals, Inc. 34,400 368 Anadarko Petroleum Corp. 22,200 1,288 * Analog Devices, Inc. 45,954 1,172 Anchor Bancorp Wisconsin Inc. 8,500 296 * Anchor Gaming 5,099 307 * Andrea Radio Corp. 24,900 361 * Andrew Corp. 23,130 1,252 Angelica Corp. 11,600 274 Anheuser-Busch Co., Inc. 100,870 7,565 * Anixter International Inc. 27,400 408 * AnnTaylor Stores Corp. 17,500 354 Aon Corp. 42,818 2,173 Apache Corp. 35,769 1,176 * Apogee Enterprises, Inc. 10,800 369 * Aphton Corp. 12,139 223 Apogee, Inc. 6,200 34 * Apollo Group, Inc. Class A 18,675 518 Apple Computer, Inc. 47,883 1,003 Apple South, Inc. 15,574 417 Applebee's International, Inc. 12,382 401 * Applied Bioscience International, Inc. 31,500 329 * Applied Innovation Inc. 17,700 190 * Applied Digital Access, Inc. 17,200 178 * Applied Graphics Technologies, Inc. 5,000 80 * Applied Materials, Inc. 71,264 2,169 * Applied Microsystems Corp. 9,700 170 * Applix, Inc. 9,521 273 * Apria Healthcare 19,900 624 Aquarion Co. 4,100 101 Arbor Drugs, Inc. 18,150 375 * Arbor Software Corp. 5,800 346 Archer-Daniels-Midland Co. 206,023 3,940 Argent Bank 4,000 77 Argonaut Group, Inc. 10,881 336 * Argosy Gaming Co. 1,700 13 * Armco, Inc. 75,500 378 Armor All Products Corp. 8,800 132 Armstrong World Industries Inc. 14,120 814 Arnold Industries, Inc. 1,000 14 * Arrow Electronics, Inc. 18,899 815 Arrow Financial Corp. 3,400 73 * Arterial Vascular Engineering, Inc. 9,800 353 * ArthroCare Corp. 4,000 72 * Artisoft, Inc. 26,104 230 Arvin Industries, Inc. 4,200 93 ASARCO, Inc. 16,202 448 * Ascend Communications, Inc. 43,726 2,457 Ashland Coal Inc. 5,600 146 Ashland Inc. 25,374 1,005 * Aspect Telecommunications 15,200 756 * Aspen Technologies, Inc. 2,700 149 Associated Banc-Corp. 8,900 347 Associated Estates Realty Corp. 13,800 290 * Associated Group, Inc. 13,496 403 * Associated Group, Inc. Class B 2,000 59 * Associates First Capital Corp. 10,000 376 Astoria Financial Corp. 6,900 188
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- Astro-Med, Inc. 26,800 $ 235 * Asyst Technologies, Inc. 10,222 183 * Atari Corp. 49,744 286 * Athena Neurosciences, Inc. 7,800 133 Atlanta Sosnoff Capital 23,000 226 Atlantic Energy, Inc. 27,800 507 Atlantic Richfield Co. 63,935 7,576 Atlantic Southeast Airlines Inc. 10,800 306 * Atlantic Tele-Network, Inc. 7,200 171 * Atlas Air, Inc. 4,100 237 * Atmel Corp. 37,100 1,120 Atmos Energy Corp. 10,250 314 * Atria Software, Inc. 6,900 347 * Atrix Laboratories, Inc. 18,489 183 * Atwood Oceanics, Inc. 12,767 567 * Aura Systems, Inc. 65,281 231 * Auspex Systems, Inc. 3,700 55 Authentic Fitness Corp. 8,000 149 Autodesk, Inc. 18,364 547 Automatic Data Processing, Inc. 115,471 4,460 * AutoZone, Inc. 58,834 2,044 * Avatar Holding, Inc. 2,700 94 Avemco Corp. 16,400 221 Avery Dennison Corp. 21,145 1,160 Aviall Inc. 24,219 224 Avnet, Inc. 17,258 727 Avon Products, Inc. 53,456 2,412 * Aztar Corp. 22,600 260 * BBN Corp. 13,400 291 * BHC Communications, Inc. Class A 9,685 947 * BISYS Group, Inc. 3,100 116 * BJ Services Co. 11,792 414 * BJ Services Co. Warrants Exp. 4/13/00 353 5 BMC Industries, Inc. 17,563 505 * BMC Software, Inc. 19,400 1,157 BMJ Financial Corp. 14,800 200 * BOK Financial Corp. 7,539 164 * BPI Packaging Technologies Inc. 28,900 75 * BRC Holdings Inc. 3,500 128 BRE Properties Inc. Class A 17,240 336 BSB Bancorp, Inc. 8,933 231 * B.U.M. International, Inc. 24,675 12 BW/IP Inc. 18,300 350 * Baby Superstore, Inc. 9,900 165 Badger Paper Mills, Inc. 9,300 133 Baker Hughes, Inc. 56,626 1,862 J. Baker, Inc. 23,791 183 Baldor Electric Co. 7,380 166 * Baldwin Technology Class A 38,700 135 Ball Corp. 13,901 400 Ballard Medical Products 22,266 426 * Bally Entertainment Corp. 14,806 407 Baltimore Gas & Electric Co. 58,264 1,653 Banc One Corp. 180,123 6,124 Bancorp Hawaii, Inc. 16,300 587 * Banctec, Inc. 5,300 107 Bandag, Inc. 9,138 439 Bandag, Inc. Class A 538 25 Bangor Hydro-Electric Co. 24,800 267 Bank North Group 7,000 242 Bank of Boston Corp. 44,118 2,184 The Bank of New York Co., Inc. 77,636 3,979 BankAmerica Corp. 145,825 11,046 BankAtlantic Bancorp, Inc. 5,301 74 Bankers Corp. 13,896 241 Bankers Life Holding Corp. 25,200 558 Bankers Trust New York Corp. 31,375 2,318 * Banner Aerospace 5,000 42 BanPonce Corp. 10,977 495 Banta Corp. 2,500 63 * Banyan Systems, Inc. 27,400 197 C.R. Bard, Inc. 21,081 717 Barefoot, Inc. 9,400 102 * Barnes & Noble Inc. 14,676 527 Barnes Group, Inc. 2,700 138 Barnett Banks, Inc. 36,853 2,248 * Barr Labs Inc. 18,000 464 * Base Ten Systems Class A 1,500 18 Bassett Furniture Industries, Inc. 9,263 247 Battle Mountain Gold Co. Class A 40,200 291 Bausch & Lomb, Inc. 22,401 952 Baxter International, Inc. 107,260 5,068 * Bay Networks 73,821 1,901 BayBanks, Inc. 7,854 849 Bear Stearns Co., Inc. 49,014 1,158 BeautiControl Cosmetics 14,000 130 Beckman Instruments 14,768 561 Becton, Dickinson & Co. 25,507 2,047 * Bed Bath & Beyond, Inc. 33,452 889 * Belco Oil & Gas Corp. 4,100 146 Belden Inc. 6,000 180 Bell Atlantic Corp. 174,257 11,109 * Bell Industries, Inc. 11,703 196 * Bell Sports Corp. 1,800 13 BellSouth Corp. 395,808 16,772 A. H. Belo Corp. Class A 17,847 665 Bemis Co., Inc. 20,029 701 * Ben & Jerry's Homemade, Inc. Class A 11,100 193 * Ben Franklin Retail Stores 1,643 2 Beneficial Corp. 20,614 1,157 Bergen Brunswig Corp. Class A 20,101 558 W.R. Berkley Corp. 8,600 362
24 49
Market Value Shares (000)+ - ---------------------------------------------------------------------- * Berkshire Hathaway Class A 350 $ 10,745 Berkshire Realty Co., Inc. 25,500 277 * Berlitz International, Inc. 16,727 355 Berry Petroleum Class A 6,800 77 * Bertucci's Holding Corp. 51,261 269 * Best Buy, Inc. 23,300 533 * BET Holdings Inc. Class A 10,300 272 * Bethlehem Steel Corp. 41,196 489 * Bettis Corp. 6,600 34 Betz Laboratories, Inc. 12,300 540 * Beverly Enterprises Inc. 44,679 536 * Big Flower Press Holdings, Inc. 20,000 283 * Biogen, Inc. 13,600 744 * Biomatrix, Inc. 14,733 237 * Biomet, Inc. 45,247 645 * Bio-Rad Labs, Inc. Class A 9,453 339 * Biotechnology General 40,300 332 Birmingham Steel Corp. 12,900 211 Black & Decker Corp. 33,501 1,294 * Black Hawk Gaming & Development Co., Inc. 13,300 110 Black Hills Corp. 11,700 291 Blair Corp. 3,000 71 E.W. Blanch Holdings, Inc. 13,500 268 Blimpie International, Inc. 11,700 169 Block Drug Co. Class A 6,441 267 H & R Block, Inc. 39,945 1,303 * Blyth Industries, Inc. 12,300 558 Boatmen's Bancshares, Inc. 62,167 2,487 Bob Evans Farms, Inc. 11,500 195 Boddie-Noell Properties Inc. 12,800 162 The Boeing Co. 137,119 11,946 Boise Cascade Corp. 18,556 680 * Boise Cascade Office Products Corp. 24,824 860 * Borders Group, Inc. 14,800 477 Borg-Warner Automotive, Inc. 11,700 462 * Borland International, Inc. 23,400 212 * Boston Beer Co., Inc. Class A 6,000 144 * Boston Chicken, Inc. 22,700 736 Boston Edison Co. 20,000 510 * Boston Scientific Corp. 69,251 3,116 * Boston Technology, Inc. 11,600 196 Bowater Inc. 14,800 557 W.H. Brady Class A 9,400 213 Breed Technological Inc. 15,700 351 * C. Brewer Homes, Inc. Class A 10,000 31 Briggs & Stratton Corp. 12,028 495 * Bright Voice Systems, Inc. 16,886 359 * Brinker International, Inc. 33,924 509 * Bristol Hotel Co. 13,000 423 Bristol-Myers Squibb Co. 200,412 18,037 * Broadband Technologies, Inc. 11,900 385 * Broderbund Software, Inc. 7,488 242 Brooklyn Union Gas Co. 19,650 535 * Brothers Gourmet Coffees, Inc. 59,500 208 Brown-Forman Corp. Class B 31,151 1,246 Brown Group, Inc. 16,715 290 Browning-Ferris Industries, Inc. 84,752 2,458 * Brunos Inc. 375 5 Brunswick Corp. 36,298 726 Bryn Mawr Bank Corp. 3,800 90 * Burlington Coat Factory Warehouse Corp. 13,675 144 * Burlington Industries Inc. 24,997 353 Burlington Northern Santa Fe Corp. 60,670 4,907 Burlington Resources, Inc. 49,807 2,142 Burnham Pacific Properties, Inc. 14,000 163 * Burr-Brown Corp. 11,900 207 Bush Industries, Inc. 7,122 242 * CAI Wireless Systems, Inc. 24,400 224 CB Bancshares Inc./Hawaii 100 3 CBL & Associates Properties, Inc. 16,400 367 CBT Corp. 2,000 46 CCB Financial Corp. 9,700 501 * C-Cube Microsystems, Inc. 11,200 370 * CDI Corp. 12,400 419 * CDW Computer Centers, Inc. 6,100 422 CFB Bancorp, Inc. 4,900 96 * CFI ProServices, Inc. 25,169 632 CFSB Bancorp, Inc. 13,916 292 CIGNA Corp. 30,176 3,557 CIPSCO, Inc. 13,600 525 CKE Restaurants Inc. 13,400 342 CMAC Investment Corp. 5,713 329 * CMGI Information Services, Inc. 9,624 257 CML Group, Inc. 14,700 62 CMS Energy Corp. 36,661 1,132 * CNA Financial Corp. 24,628 2,537 CNB Bankshares, Inc. 5,800 166 CPB, Inc. 800 26 CPC International, Inc. 57,363 4,130 CPI Corp. 15,500 256 CRI Liquidating REIT, Inc. 26,200 49 CSX Corp. 83,938 4,050 * C-TEC Corp. 2,200 66 * CUC International, Inc. 75,943 2,696 * Cabletron Systems, Inc. 28,419 1,950 * Cable Design Technologies 7,052 233 Cabot Corp. 28,468 697 * Cadence Design Systems, Inc. 31,309 1,057 * Cadiz Land Co., Inc. 53,500 314 Cadmus Communications 11,800 181 * Cal Fed Bancorp Inc. 30,400 555 * Caldor Corp. 81,300 213
25 50
Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * CalEnergy Inc. 23,800 $ 607 Calgon Carbon Corp. 34,800 470 Cali Realty Corp. 10,500 255 Caliber System Inc. 14,366 488 * California Amplifier, Inc. 9,900 225 * California Federal Bank Goodwill Participation Certificates 2,540 22 Callaway Golf Co. 30,700 1,021 CAM Designs, Inc. 11,600 75 * Cambridge Technology Partners 21,600 660 Camco International, Inc. 13,300 451 * Cameron Ashley Building Products 32,308 380 Campbell Soup Co. 98,856 6,969 * Canandaigua Wine Co., Inc. Class A 6,508 196 * Cannondale Corp. 4,400 88 * Canonie Environmental Services Corp. 3,600 6 Capital One Financial Corp. 26,384 752 * Capital Pacific Holdings, Inc. 10,900 35 Capital Re Corp. 12,100 445 Capitol American Financial Corp. 9,500 239 Capmac Holdings Inc. 13,000 371 Capstead Mortgage Corp. 4,900 137 * Capsure Holdings 19,490 348 Caraustar Industries, Inc. 18,300 490 Cardinal Bancshares, Inc. 4,004 162 Cardinal Health, Inc. 25,293 1,824 * CareAdvantage, Inc. 43,000 7 * Career Horizons Inc. 10,100 354 Caremark International, Inc. 29,564 746 Carlisle Co., Inc. 6,027 320 * Carmike Cinemas, Inc. Class A 13,089 353 Carnival Corp.Class A 113,547 3,279 Carolina Power & Light Co. 59,714 2,269 Carpenter Technology Corp. 11,700 374 Carr Realty Corp. 1,800 43 * Carrington Labs Inc. 8,928 230 Carter-Wallace, Inc. 17,700 259 * Cascade Communications Corp. 32,300 2,198 Case Corp. 27,826 1,336 * Casino Magic Corp. 42,300 234 * Castech Aluminum Group, Inc. 12,000 177 A.M. Castle & Co. 12,131 287 Castle & Cooke, Inc. 4,700 75 * Catalina Lighting, Inc. 10,000 56 * Catalina Marketing Corp. 7,080 648 * Catellus Development Corp. 39,200 358 Caterpillar, Inc. 77,258 5,234 * Catherines Stores 37,400 369 * Cellular Communications Series A 7,500 397 * Cellular Technical Services Co. 17,654 310 * Celtrix Labs 25,300 87 * Centennial Technologies, Inc. 5,600 167 Center Banks Inc. 14,800 204 Center Financial Corp. 12,952 314 Centerior Energy Corp. 59,100 436 Centex Corp. 11,329 353 * Centigram Communications 14,600 229 * Centocor, Inc. 33,948 1,016 Central & South West Corp. 81,820 2,373 Central Fidelity Banks, Inc. 19,175 431 Central Hudson Gas & Electric Corp. 12,800 400 Central Louisiana Electric Co. 13,508 360 Central Newspapers Inc. 14,050 527 Central Parking Corp. 7,500 222 Central Reserve Life Corp. 14,900 130 * Central Sprinkler Corp. 9,518 209 Central Vermont Public Service Corp. 3,500 45 Centura Banks, Inc. 7,800 287 Century Bancorp, Inc. Class A 800 10 * Century Communications Corp. Class A 16,700 144 Century Telephone Enterprises, Inc. 21,680 691 * Ceridian Corp. 25,931 1,310 * Cerner Corp. 12,970 279 * Chalone Wine Group Ltd. 26,440 245 * Champion Enterprises, Inc. 12,300 257 Champion International Corp. 38,121 1,592 * Chantal Pharmaceutical Corp. 10,100 66 * Charming Shoppes, Inc. 21,279 149 Charter One Financial 23,820 829 Chase Manhattan Corp. 173,336 12,242 * Checkers Drive-In Restaurant 119,550 121 * Checkfree Corp. 12,400 247 * Checkpoint Systems, Inc. 11,674 401 Chelsea GCA Realty, Inc. 11,400 362 Chemed Corp. 4,100 153 * Chemical Fabrics Corp. 14,311 206 Chemical Finance 4,500 167 Chesapeake Corp. of Virginia 15,717 413 * Chesapeake Energy Corp. 7,900 710 Chester Valley Bancorp. 992 19 Chevron Corp. 259,800 15,328 * Cheyenne Software, Inc. 21,425 412 * Chic by H.I.S., Inc. 51,280 269 * Chicago Miniature Lamp, Inc. 1,200 45 * Chico's Fas, Inc. 18,214 182 Chiquita Brands International, Inc. 29,735 387 * Chiron Corp. 16,633 1,628 Chittenden Corp. 11,272 251 * Chris-Craft Industries, Inc. 10,325 454 Chrysler Corp. 149,043 9,241 The Chubb Corp. 69,162 3,449 Church and Dwight, Inc. 16,400 342
26 51
Market Value Shares (000)+ - ---------------------------------------------------------------------- Churchill Downs, Inc. 3,200 $ 120 * Ciber, Inc. 8,500 184 * Cidco, Inc. 10,200 360 Cilcorp, Inc. 6,600 282 Cincinnati Bell, Inc. 26,600 1,387 Cincinnati Financial Corp. 21,337 1,228 Cincinnati Milacron, Inc. 15,883 381 CINergy Corp. 61,248 1,960 Cintas Corp. 18,100 962 * Circon Corp. 16,200 191 Circuit City Stores, Inc. 37,769 1,364 * Circus Circus Enterprises Inc. 39,641 1,625 * Cirrus Logic 25,000 436 * Cisco Systems, Inc. 226,735 12,853 Citicorp 193,759 16,009 Citizens Bancorp MD 2,300 68 Citizens Corp. 15,800 296 * Citizens Utilities Co. Class A 90,567 1,042 * Citrix Systems, Inc. 12,600 477 City National Corp. 17,687 279 Clarcor Inc. 6,800 168 * Clarify, Inc. 5,600 276 Clayton Homes Inc. 37,881 758 * Clear Channel Communications 13,812 1,138 * Cliffs Drilling Co. 19,351 651 * Clintrials Research, Inc. 7,400 305 The Clorox Co. 20,688 1,833 Coachmen Industries, Inc. 11,748 411 * Coast Savings Financial, Inc. 15,000 491 Coastal Corp. 40,403 1,687 * Coastal Physician Group, Inc. 29,800 205 Coca-Cola Bottling Co. 7,700 270 The Coca-Cola Co. 994,744 48,618 Coca-Cola Enterprises, Inc. 49,945 1,729 Coeur D'Alene Mines Corp. 15,900 292 * Cognex Corp. 20,600 336 * Coherent, Inc. 7,200 377 * Coin Bill Validator Inc. 2,900 28 Cole Taylor Financial Group, Inc. 5,500 165 * Coleman Inc. 10,366 439 Colgate-Palmolive Co. 57,858 4,903 Collective Bancorp, Inc. 12,449 296 * Collins & Aikman Corp. 17,400 104 * Colonial Data Technologies Corp. 15,500 233 Colonial Gas Co. 1,200 25 * Coltec Inc. 28,000 399 Columbia Gas Systems, Inc. 20,960 1,093 Columbia/HCA Healthcare Corp. 177,569 9,478 Comair Holdings, Inc. 17,709 481 Comcast Corp. Class A 12,860 238 Comcast Corp. Class A Special 78,855 1,449 * Comdial Corp. 30,766 269 Comdisco, Inc. 26,750 712 Comerica, Inc. 46,494 2,075 * Commander Aircraft Co. 28,600 118 Commerce Bancshares, Inc. 14,320 490 Commerce Group, Inc. 11,800 246 Commercial Federal Corp. 8,800 337 Commercial Intertech Corp. 12,200 314 Commercial Metals Co. 9,600 319 * Commnet Cellular Inc. 11,600 350 Community First Bankshares 8,500 200 * Community Healthcare Systems 7,799 404 * Community Psychiatric Centers 35,610 338 * COMPAQ Computer Corp. 105,734 5,207 Compass Bancshares Inc. 13,100 431 * Compression Labs, Inc. 37,300 217 * CompUSA, Inc. 21,600 737 * CompuServe Corp. 32,900 695 Computer Associates International, Inc. 96,414 6,870 Computer Data Systems, Inc. 9,146 206 * Computer Horizons Corp. 9,996 394 * Computer Sciences Corp. 22,049 1,648 Computer Task Group, Inc. 9,896 280 * Computervision Corp. 27,600 276 * Compuware Corp. 15,800 622 Comsat Corp. 19,100 497 ConAgra, Inc. 96,534 4,380 * Concord EFS, Inc. 14,950 534 * Cone Mills Corp. 25,300 285 * Conmed Corp. 11,468 305 Connecticut Energy Corp. 11,800 224 Connecticut Natural Gas Corp. 7,500 168 Connecticut Water Services, Inc. 9,900 250 Conrail, Inc. 30,540 2,027 Conseco Co., Inc. 15,400 616 * Consilium, Inc. 24,300 184 Consolidated Edison Co. of New York, Inc. 93,372 2,731 Consolidated Freightways, Inc. 15,399 325 Consolidated Natural Gas Co. 36,837 1,925 Consolidated Papers 16,800 874 * Consolidated Stores, Inc. 22,459 825 Consolidated-Tomoka Land Co. 14,400 284 * Consumer Portfolio Services, Inc. 16,300 145 * ContiFinancial Corp. 15,300 451 * Continental Airlines, Inc. 13,000 803 Continental Mortgage & Equity Trust 2,250 24 * Continental Waste Industries, Inc. 13,160 294 * Continuum Co. 14,436 837 * Control Data Corp. 24,507 525 * Cooper & Chyan Technology, Inc. 11,500 249 * Cooper Cameron Corp. 9,200 403
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- Cooper Industries, Inc. 42,443 $ 1,761 Cooper Tire & Rubber Co. 33,255 740 Adolph Coors Co. Class B 3,636 65 * Coram Healthcare Corp. 25,408 105 * CoreStaff, Inc. 5,150 229 CoreStates Financial Corp. 87,592 3,372 * Cornerstone Imaging, Inc. 20,400 148 Corning, Inc. 90,904 3,488 * Corporate Express, Inc. 26,100 1,046 * Corrections Corp. of America 14,186 993 * Cort Business Services Corp. 12,000 234 * Corvel Corp. 1,000 36 * Country Star Restaurants, Inc. 18,600 74 Countrywide Credit Industries, Inc. 40,717 1,008 * Coventry Corp. 16,555 260 * Cox Communications Class A 98,735 2,135 Cracker Barrel Old Country Stores, Inc. 31,054 749 * Craig Corp. 14,577 186 * Jenny Craig Inc. 17,300 309 Crane Co. 14,648 601 * Cray Research, Inc. 3,083 74 * Creative Technology 38,200 32 * Credit Acceptance Corp. 23,400 497 * Cree Research, Inc. 25,748 386 Crescent Real Estate Equities, Inc. 11,500 423 Crestar Financial Corp. 17,120 914 Criimi Mae Inc. 15,900 175 Crompton & Knowles Corp. 21,500 360 Cross Timbers Oil Co. 18,500 458 * Crosscom Corp. 23,300 246 * Crown Books Corp. 25,937 327 Crown Cork & Seal Co., Inc. 49,889 2,245 Crown Crafts, Inc. 28,000 287 * Crown Vantage, Inc. 18,724 267 * Cryomedical Sciences 118,700 271 Cullen/Frost Bankers, Inc. 12,200 340 Cummins Engine Co., Inc. 14,802 598 * Curative Technologies, Inc. 11,200 298 Curtiss-Wright Corp. 3,100 167 * Custom Chrome 8,200 219 * Cyberguard Corp. 7,855 135 * CyCare Systems, Inc. 5,637 294 * Cygne Designs, Inc. 59,800 64 * Cygnus Inc. 20,512 312 * Cypress Semiconductor Corp. 35,100 421 Cyprus Amax Minerals Co. 36,052 816 * Cytec Industries, Inc. 7,918 677 Cytrx Corp. 5,900 27 * DH Technology, Inc. 3,300 77 * DII Group, Inc. 10,657 275 DMX Inc. 70,900 86 DPL, Inc. 39,550 964 DQE Inc. 30,907 850 * DSC Communications Corp. 43,984 1,322 * D. R. Horton, Inc. 25,380 266 * DSP Communications, Inc. 8,300 426 * DST Systems, Inc. 18,700 598 DT Industries, Inc. 6,000 110 DTE Energy Co. 57,077 1,762 * DVI, Inc. 7,500 118 * Daily Journal Corp. 3,100 85 * Daisytek International Corp. 6,000 249 Dames & Moore, Inc. 17,800 216 Dana Corp. 38,568 1,196 Danaher Corp. 21,600 940 Darden Restaurants Inc. 63,143 679 * Darling International, Inc. 8,500 213 * Data Broadcasting Corp. 24,500 234 * Data General Corp. 4,426 58 * Data Race, Inc. 56,622 379 * Datastream Systems, Inc. 7,100 248 * Dataware Technologies, Inc. 35,500 222 Dauphin Deposit Bank & Trust 13,720 392 * Dave and Busters 20,355 542 * Davel Communications Group, Inc. 19,843 389 * Davidson and Associates, Inc. 13,948 422 Davis Water and Waste Industry, Inc. 6,813 203 * Davox Corp. 9,200 267 Dayton-Hudson Corp. 28,701 2,960 Dean Foods Corp. 19,467 482 Dean Witter Discover & Co. 66,473 3,806 DeBartolo Realty Corp. 2,000 32 * DecisionOne Corp. 2,100 50 Deere & Co. 104,209 4,168 * Dell Computer 35,966 1,828 Delmarva Power & Light Co. 20,900 439 * Delphi Information Systems Inc. 35,900 49 Delta Air Lines, Inc. 20,488 1,701 Delta & Pine Land Co. 7,692 325 Deluxe Corp. 32,031 1,137 Dentsply International 13,100 554 * Department 56 Inc. 12,595 285 Deposit Guaranty Corp. 5,600 248 * DepoTech Corp. 4,500 113 * Designer Holdings Ltd. 4,200 112 * Desoto, Inc. 17,000 108 * Destec Energy Inc. 30,200 385 * Detroit Diesel Corp. 18,700 362 Developers Diversified Realty Corp. 10,400 332 Devon Energy Corp. 15,433 378 * Devon Group, Inc. 2,100 68 Dexter Corp. 10,800 321 Diagnostic Products Corp. 10,223 394
28 53
Market Value Shares (000)+ - ---------------------------------------------------------------------- The Dial Corp. 35,463 $ 1,015 * Dialogic Corp. 5,700 341 * Diamond Multimedia Systems, Inc. 18,200 172 * Diamond Offshore Drilling, Inc. 22,300 1,277 Diamond Shamrock, Inc. 11,700 338 Diebold, Inc. 16,739 808 * Digi International, Inc. 11,200 297 * Digital Equipment Corp. 60,233 2,710 * Digital Microwave Corp. 15,627 259 * Digital Systems Inc. 11,795 177 Dillard Department Stores Class A 44,486 1,624 * Dime Bancorp, Inc. 62,482 812 Dimon Inc. 22,950 425 * Dionex Corp. 8,500 279 The Walt Disney Co. 270,199 16,989 Dole Food Co. 24,000 1,032 Dollar General Corp. 26,990 789 * Dollar Tree Stores, Inc. 2,750 88 Dominion Resources, Inc. 69,895 2,796 Donaldson, Lufkin & Jenrette, Inc. 21,400 663 R.R. Donnelley & Sons Co. 59,630 2,080 Donnelly Corp. 14,500 232 * Doubletree Corp. 11,700 415 * Dove Audio, Inc. 19,000 184 Dover Corp. 44,228 2,040 Dow Chemical Co. 99,636 7,572 Dow Jones & Co., Inc. 38,697 1,616 * Dravo Corp. 20,039 298 * The Dress Barn, Inc. 11,100 118 Dresser Industries, Inc. 70,747 2,087 * Drexler Technology Corp. 14,389 222 Dreyer's Grand Ice Cream, Inc. 9,700 309 * Drug Emporium, Inc. 68,942 315 Duke Power Co. 80,506 4,126 Duke Realty Investments 3,700 112 The Dun & Bradstreet Corp. 66,727 4,170 E.I. du Pont de Nemours & Co. 223,524 17,686 * Dura Pharmaceuticals, Inc. 6,193 347 Duracell International, Inc. 47,367 2,043 Duriron Co., Inc. 13,450 322 Duty Free International Inc. 6,274 96 * Dynatech Corp. 14,200 463 EG & G, Inc. 24,936 533 * EMC Corp. 89,572 1,668 * ENSCO International, Inc. 30,812 1,001 * ESS Technology, Inc. 17,600 323 * ESSEF Corp. 16,800 286 * Eagle USA Airfreight, Inc. 1,600 60 * Earthgrains Co. 8,051 264 Eastern Bancorp, Inc. 13,200 219 Eastern Enterprises 11,015 366 Eastern Utilities Associates 9,071 178 Eastman Chemical 31,230 1,901 Eastman Kodak Co. 137,962 10,727 Eaton Corp. 30,738 1,802 Eaton Vance Corp. 600 22 Echlin, Inc. 22,718 860 Echo Bay Mines Ltd. 46,884 504 * Eckerd Corp. 27,900 631 Ecolab, Inc. 25,540 843 * Edison Brothers Stores, Inc. 127,377 287 Edison International 176,703 3,114 * Edisto Resources Corp. 46,200 462 * Edo Corp. 17,800 147 * Education Alternatives, Inc. 44,400 155 A.G. Edwards & Sons, Inc. 25,333 687 * Egghead, Inc. 21,631 238 El Paso Natural Gas 14,149 545 Elcor Corp. 11,300 206 * Electro Scientific Industries, Inc. 10,400 215 * Electroglas, Inc. 4,500 64 * Electromagnetic Sciences, Inc. 13,186 192 * Electronic Arts 19,900 530 Electronic Data Systems Corp. 192,755 10,361 * Electronics for Imaging, Inc. 13,200 917 * Eljer Industries, Inc. 16,540 172 * Eltron International Inc. 7,000 190 Emerson Electric Co. 89,297 8,070 * Emmis Broadcasting Corp. Class A 3,100 154 Empire District Electric Co. 16,000 276 * Empire of Carolina, Inc. 8,900 107 * Employee Solutions, Inc. 9,600 302 * Emulex Corp. 31,650 469 Energen Corp. 11,800 261 * Energy Conversion Devices, Inc. 11,375 258 * Energy Ventures Inc. 13,900 452 Engelhard Corp. 57,273 1,317 Enova Corp. 44,100 1,020 Enron Corp. 98,914 4,043 Enron Global Power & Pipelines L.L.C. 4,000 97 Enron Oil & Gas Co. 61,624 1,718 ENSERCH Corp. 28,012 609 Entergy Corp. 88,633 2,515 * Enterprise Systems, Inc. 9,400 260 * Epic Design Technology, Inc. 7,700 198 * Epitope Inc. 13,200 206 Equifax, Inc. 62,470 1,640 The Equitable Cos. 73,591 1,831 Equitable of Iowa Co. 13,700 486 Equitable Resources, Inc. 17,600 497 Equity Residential Properties Trust 17,500 575 * Equus Gaming Co. LP A Units 1,000 3 Erie Indemnity Co. Class A 3,000 122
29 54
Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- Essex Property Trust, Inc. 14,934 $ 321 * Esterline Technologies Corp. 9,945 249 * Ethan Allen Interiors Inc. 14,380 356 Ethyl Corp. 38,830 374 Everest Re Holdings, Inc. 18,700 484 * Evergreen Media Corp. 10,519 447 * Exabyte Corp. 12,100 158 * Excel Communications, Inc. 26,800 724 Excel Industries, Inc. 5,000 63 Excel Realty Trust, Inc. 13,400 275 Executive Risk, Inc. 11,933 456 Exide Corp. 15,700 381 * Exide Electronics Group, Inc. 15,938 152 Expeditors International of Washington, Inc. 7,000 215 * Express America Holdings Co. 13,400 60 * Express Scripts 10,700 491 * Exstar Financial Corp. 5,800 5 * Extended Stay America, Inc. 5,300 166 Exxon Corp. 494,990 43,002 * EZCORP, Inc. 2,800 19 F & M Bancorp 700 16 FFY Financial Corp. 400 9 * FHP International Corp. 17,400 479 * FLIR Systems, Inc. 14,900 179 * FM Properties Inc. 35,900 82 * FMC Corp. 13,937 909 FMC Gold Co. 40,600 183 F.N.B. Corp. 8,964 213 FPL Group, Inc. 73,111 3,363 * FSI International, Inc. 11,800 148 * FTP Software, Inc. 16,200 132 Factory Stores of America, Inc. 19,500 178 Fair Issac & Co. 12,200 540 Family Dollar Stores, Inc. 22,700 394 Farmer Brothers, Inc. 1,500 207 Fastenal Co. 13,000 567 * Faulding Inc. 28,100 132 Fay's Drug Co. 10,075 79 Fedders Corp. 30,045 214 Fedders Corp. Class A 15,226 89 * Federal Express Corp. 22,350 1,833 Federal Home Loan Mortgage Corp. 71,251 6,092 Federal-Mogul Corp. 18,500 340 Federal National Mortgage Assn. 433,638 14,527 Federal Realty Investment Trust 4,300 97 Federal Signal Corp. 21,562 507 * Federated Department Stores 81,444 2,779 Felcor Suite Hotels, Inc. 12,000 366 Ferrellgas Partners, LP 8,200 183 Ferro Corp. 12,200 323 * Fibreboard Corp. 9,426 260 Fifth Third Bancorp 40,085 2,160 * 50-Off Stores, Inc. 7,400 7 * Figgie International Inc. Class A 15,700 235 * Figgie International Inc. Class B 900 13 * Filene's Basement Corp. 94,405 469 * FileNet Corp. 8,900 320 Fina Inc. 11,000 608 Financial Security Assurance Holdings Ltd. 12,600 345 Fingerhut Co. 21,954 343 Finova Group, Inc. 10,902 531 * First Alert, Inc. 21,700 88 First American Bank Corp. 25,300 1,132 First American Corp. (Tenn.) 11,600 489 First American Financial Corp. 9,600 324 First Bancorp of Ohio 15,400 485 First Bank System, Inc. 56,224 3,261 First Brands Corp. 16,600 448 First Chicago NBD Corp. 126,150 4,936 First Citizens BancShares Class A 4,400 276 First Colony Corp. 19,724 611 First Commerce Bancshares Inc. Class A 2,900 81 First Commerce Corp. 11,592 412 First Commercial Corp. 2,900 90 First Commonwealth Financial Corp. 10,100 179 First Data Corp. 88,354 7,035 First Empire State Corp. 2,800 675 * First Federal Financial Corp. 19,634 341 First Federal Savings Bank of Colorado 9,800 129 First Financial Bancorp 7,691 251 First Financial Caribbean Corp. 8,100 163 First Financial Holdings, Inc. 4,000 74 First Financial Savings Assn. 12,900 292 First Hawaiian, Inc. 15,800 452 First Michigan Bank Corp. 14,041 439 First Midwest Bancorp 10,000 283 First Mississippi Corp. 5,400 120 First Palm Beach Bancorp 7,600 163 First Security Corp. 23,975 578 First Source Corp. 3,817 84 First Tennessee National Corp. 26,700 816 First Union Corp. 113,578 6,914 First Union Real Estate 29,200 190 * First USA Inc. 23,555 1,296 First USA Paymentech, Inc. 12,333 493 First Virginia Banks, Inc. 13,407 536 First Western Bancorp 7,822 190 Firstar Corp. 29,263 1,350 Firstbank of Illinois Co. 7,100 218 Firstbank Puerto Rico 14,125 325
30 55
Market Value Shares (000)+ - ---------------------------------------------------------------------- * FIserv, Inc. 15,600 $ 472 Fisher Scientific International Inc. 8,400 315 Fleet Financial Group, Inc. 104,581 4,549 Fleetwood Enterprises, Inc. 23,858 740 Fleming Cos., Inc. 17,839 256 FlightSafety International, Inc. 10,900 591 Florida East Coast Railway Co. 2,800 232 Florida Progress Corp. 38,650 1,343 Florida Rock Industries, Inc. 500 13 Flowers Industries, Inc. 23,150 373 Fluor Corp. 32,467 2,123 * Fluor Daniel/GTI, Inc. 11,761 134 * Flushing Financial Corp. 9,200 158 * Foamex International, Inc. 8,700 107 Food Lion Inc. Class A 172,300 1,373 Food Lion Inc. Class B 7,694 59 * Foodbrands America Inc. 5,500 71 * Foodmaker, Inc. 31,700 273 * Forcenergy Gas Exploration, Inc. 14,000 265 Ford Motor Co. 468,722 15,175 * Fore Systems, Inc. 29,200 1,053 * Foreland Corp. 900 3 Foremost Corp. of America 5,300 301 Forest City Enterprise Class A 4,300 176 * Forest Laboratories, Inc. 16,892 652 * Forstmann & Co., Inc. 3,600 1 * Fort Howard Corp. 25,285 506 Fort Wayne National Corp. 8,700 275 * Forte Software, Inc. 11,200 589 Foster Wheeler Corp. 15,654 702 * Foundation Health Co. 23,000 825 FoxMeyer Health Corp. 13,062 194 * Fractal Design Corp. 10,500 152 Franchise Finance Corp. of America 16,100 370 Franklin Electric, Inc. 4,800 172 * Franklin Electronic Publishers, Inc. 8,300 166 Franklin Resources Corp. 32,020 1,953 Freeport-McMoRan Copper & Gold Inc. Class A 11,512 344 Freeport-McMoRan Copper & Gold Inc. Class B 66,151 2,109 Freeport-McMoRan, Inc. 10,833 385 Fremont General Corp. 17,297 398 * Fresh America Corp. 5,000 67 * Fresh Choice, Inc. 44,800 314 * Fritz Cos., Inc. 15,500 500 Frontier Corp. 62,856 1,925 * Fruehauf Trailer Corp. 76,500 48 * Fruit of the Loom, Inc. 28,966 739 Fulton Financial Corp. 14,770 282 Fund American Enterprise Holding Co. 4,585 371 * Fusion Systems 3,300 83 G & L Realty Corp. 20,296 271 GATX Corp. 9,400 454 * GC Cos. 7,991 298 * GRC International, Inc. 7,300 280 * GT Interactive Software Corp. 14,400 243 GTE Corp. 387,370 17,335 * Gadzooks, Inc. 2,700 87 Gainsco, Inc. 9,046 89 Arthur J. Gallagher & Co. 11,300 362 Gannett Co., Inc. 55,450 3,923 The Gap, Inc. 113,932 3,660 * Gardner Denver Machinery, Inc. 17,968 474 * Gartner Group, Inc. Class A 33,500 1,229 * Gateway 2000 Inc. 27,800 943 * Gaylord Container Corp. 32,200 252 Gaylord Entertainment Class A 38,461 1,087 * GelTex Pharmaceuticals, Inc. 12,200 226 GenCorp, Inc. 5,000 76 * Genentech, Inc. 47,583 2,492 General Binding Corp. 16,572 340 * General Datacomm Industries, Inc. 13,800 186 General Dynamics Corp. 25,001 1,550 General Electric Co. 662,547 57,310 * General Instrument 48,858 1,411 General Mills, Inc. 62,542 3,409 General Motors Corp. 301,491 15,791 General Motors Corp. Class H 38,953 2,342 * General Nutrition Cos., Inc. 28,000 488 General Public Utilities Corp. 46,524 1,640 General Re Corp. 32,329 4,922 General Signal Corp. 19,858 752 * Genesis Health Ventures Inc. 8,300 260 * Genetics Institute Inc. Depository Shares 12,800 808 * Geneva Steel Class A 26,600 150 * Genrad, Inc. 19,288 318 * Gensia Inc. 38,014 195 * Gentex Corp. 24,024 465 Genuine Parts Co. 47,748 2,184 * Genzyme Corp. 12,089 609 * Genzyme Corp. Tissue Repair 4,700 54 Georgia Gulf Corp. 14,568 426 Georgia-Pacific Corp. 36,398 2,584 * Geotek Industries, Inc. 4,500 62 * Geoworks 3,600 126 * Getchell Gold Corp. 12,116 400 Giant Food, Inc. Class A 26,569 953 Giant Industries, Inc. 24,700 358 * Gibson Greetings, Inc. 23,000 318 Giddings & Lewis, Inc. 18,208 298 Gilbert Associates, Inc. Class A 12,000 156
31 56
Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * Gilead Sciences, Inc. 13,100 $ 329 Gillette Co. 176,845 11,031 P.H. Glatfelter Co. 21,000 386 * Glenayre Technologies, Inc. 23,325 1,165 * Glendale Federal 16,243 294 * Global DirectMail Corp. 13,800 545 * Global Industrial Technologies, Inc. 18,791 301 * Global Marine, Inc. 66,800 927 * Global Natural Resources, Inc. 22,900 375 * Global Village Communication 15,400 128 * Go Video, Inc. 37,500 42 Golden West Financial Corp. 22,807 1,277 * Good Guys, Inc. 12,500 110 The BF Goodrich Co. 20,240 756 The Goodyear Tire & Rubber Co. 60,803 2,934 * Goody's Family Clothing 19,550 203 Gorman-Rupp Co. 3,825 51 Goulds Pumps, Inc. 12,909 332 W.R. Grace & Co. 38,954 2,761 Graco, Inc. 15,198 308 * Graham-Field Health Products Inc. 26,184 226 W.W. Grainger, Inc. 19,411 1,504 * Grancare Inc. 2,800 56 * Grand Casinos, Inc. 16,600 427 Granite Construction Co. 14,200 330 Graphic Industries, Inc. 12,300 121 Great Atlantic & Pacific Tea Co., Inc. 16,701 549 Great Lakes Chemical Corp. 25,679 1,599 Great Western Financial Corp. 52,957 1,264 Green Mountain Power Corp. 9,700 235 Green Point Financial Corp. 20,900 590 Green Tree Financial Corp. 53,891 1,684 Greenfield Industries, Inc. 900 30 * Greyhound Lines, Inc. 67,400 278 * Gtech Holdings Corp. 20,100 595 Guaranty National Corp. 15,500 279 Guidant Corp. 28,678 1,412 Guilford Mills, Inc. 12,100 303 * Gulf South Medical Supply, Inc. 7,700 300 * Gupta Corp. 45,600 215 * The Gymboree Corp. 9,940 302 HBO and Co. 31,200 2,110 HCC Insurance Holdings, Inc. 9,700 218 * HCIA, Inc. 7,700 487 HF Financial Corp. 400 6 * HFS Inc. 48,100 3,367 * HNC Software, Inc. 9,200 420 HRE Properties 300 5 * HS Resources Inc. 13,600 158 * Hadco Corp. 12,949 275 * Haemonetics Corp. 4,500 82 Halliburton Co. 45,023 2,499 * Hamburger Hamlet Restaurants 24,000 3 Hancock Fabrics, Inc. 13,800 152 Handleman Co. 31,761 218 M.A. Hanna Co. 20,550 429 Hannaford Brothers Co. 21,800 711 * Harbinger Corp. 7,800 215 Harcourt General, Inc. 28,011 1,401 John H. Harland Co. 15,887 391 Harley-Davidson, Inc. 30,046 1,236 Harleysville National Corp. 1,680 43 Harman International Industries, Inc. 7,281 359 Harmon Industries, Inc. 15,300 245 Harnischfeger Industries Inc. 17,435 580 Harper Group, Inc. 5,600 110 * Harrah's Entertainment, Inc. 39,516 1,116 Harris Corp. 14,923 910 * Harry's Farmers Market, Inc. 3,000 14 Harsco Corp. 8,884 597 Harte-Hanks Communications Co. 14,700 408 Hartford Steam Boiler Inspection & Insurance Co. 10,457 514 * Hartmarx Corp. 5,100 32 Harveys Casino Resorts 1,200 26 Hasbro, Inc. 34,103 1,219 Haverfield Corp. 6,270 117 Hawaiian Electric Industries Inc. 13,465 478 Hayes Wheels International 12,700 403 Health and Retirement Properties Trust 26,200 452 Health Care Properties Investors 15,200 513 Health Care REIT, Inc. 10,200 219 * Health Management Associates Class A 41,759 846 * Health Management Systems, Inc. 13,347 425 * Health Professionals, Inc. 670 3 * Health Systems 18,998 515 * Healthcare & Retirement Corp. 16,800 399 * HealthCare Compare Corp. 13,933 678 Healthcare Realty Trust Inc. 12,600 299 * Healthdyne Information Enterprises, Inc. 17,700 90 * Healthdyne Technologies, Inc. 16,246 210 * Healthsource, Inc. 25,400 445 * HEALTHSOUTH Corp. 70,712 2,546 * Heartland Express, Inc. 12,995 352 * Heartport Inc. 3,100 93 Hechinger Co. Class A 59,300 263 Hechinger Co. Class B 5,118 32 * Hecla Mining Co. 32,800 230 Heico Corp. 8,077 218 Heilig-Meyers Co. 19,357 465 H.J. Heinz Co. 146,655 4,455
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Market Value Shares (000)+ - ---------------------------------------------------------------------- Helmerich & Payne, Inc. 10,793 $ 395 Herbalife International, Inc. 22,000 322 Hercules, Inc. 43,231 2,389 * Heritage Media Corp. Class A 11,300 451 Hershey Foods Corp. 30,507 2,238 Hewlett-Packard Co. 203,100 20,234 Hibernia Corp. Class A 48,722 530 * Highlands Insurance Group 2,824 53 Highwood Properties, Inc. 5,600 155 Hilb, Rogal And Hamilton Co. 14,600 203 Hillenbrand Industries, Inc. 27,900 1,039 Hilton Hotels Corp. 19,048 2,143 * Hinsdale Financial Corp. 12,375 316 Holly Corp. 12,000 300 * Hollywood Casino Corp. 37,000 257 * Hollywood Entertainment Corp. 23,029 360 * Hollywood Park, Inc. 20,100 190 * Hologic, Inc. 10,600 465 Home Depot, Inc. 189,279 10,221 Home Financial Corp. 17,881 234 * Home Health Corp. of America 4,800 65 * Home Shopping Network, Inc. 43,300 520 Homeland Bankshares Corp. 5,600 186 Homestake Mining Co. 56,693 971 Hon Industries, Inc. 3,200 92 Honeywell, Inc. 49,929 2,721 Horace Mann Educators Corp. 9,500 302 * Horizon/CMS Healthcare Corp. 32,900 424 Horizon Financial Corp. 15,120 195 Hormel Foods Corp. 30,600 819 * Horsehead Resource Development Co., Inc. 19,600 111 Hospitality Properties Trust 17,000 455 * Host Marriott 47,524 624 * Host Marriott Services 26,744 194 Household International, Inc. 38,212 2,904 Houston Industries, Inc. 103,300 2,544 * Hovnanian Enterprises Class A 32,500 193 Hubbell Inc. Class A 3,800 237 Hubbell Inc. Class B 9,350 619 Hudson Foods Inc. Class A 23,200 325 Hughes Supply, Inc. 7,826 272 * Human Genome Sciences, Inc. 10,400 384 * Humana, Inc. 63,980 1,144 * Hungarian Teleconstruct Corp. 12,000 38 Hunt Manufacturing Co. 16,900 251 J.B. Hunt Transport Services, Inc. 15,147 317 Huntington Bancshares Inc. 52,057 1,249 * Hutchinson Technology, Inc. 6,100 216 * Hyperion Software Corp. 14,348 177 IBP, Inc. 36,100 997 ICN Pharmaceuticals, Inc. 12,394 288 * IDX Systems Corp. 2,600 101 * IEC Electronics Corp. 33,718 253 IES Industries, Inc. 3,900 117 * IGI, Inc. 17,090 135 * IHOP Corp. 2,600 70 IMC Global Inc. 36,407 1,370 * IPC Information Systems, Inc. 1,200 21 IRT Property Co. 27,200 258 * I-STAT Corp. 7,500 142 * ITT Corp. 46,695 3,094 * ITT Educational Services, Inc. 8,400 243 ITT Hartford Group, Inc. 46,704 2,487 ITT Industries, Inc. 46,873 1,178 IWC Resources Corp. 4,200 75 Idaho Power Co. 16,100 501 * Identix, Inc. 4,300 63 Ideon Group 28,190 381 IDEX Corp. 9,750 371 * IDEXX Laboratories 14,000 548 Illinois Central Corp. 24,550 697 Illinois Tool Works, Inc. 46,853 3,168 Illinova Corp. 28,200 811 * Image Business Systems Corp. 23,400 2 * Immucor Inc. 26,946 328 * Immulogic Pharmaceutical Corp. 10,400 93 * Immune Response 72,817 833 * Immunomedics Inc. 34,000 317 * Imo Industries, Inc. 16,700 96 * Imperial Bancorp 12,603 304 * Imperial Credit 13,263 405 * Inacom Corp. 9,200 173 * Incyte Pharmaceuticals, Inc. 7,400 287 Indiana Energy, Inc. 9,600 275 * Infinity Broadcasting Corp. 30,518 916 * Information Resources, Inc. 22,835 277 * Informix Corp. 56,900 1,277 Ingersoll-Rand Co. 43,259 1,893 Inland Steel Industries, Inc. 19,424 381 * Innovative Gaming Corp. 10,050 83 * Input/Output, Inc. 16,900 547 * Insignia Financial Group 10,400 282 * Insilco Corp. 7,900 269 * Insituform Technologies Class A 14,600 114 * Inso Corp. 3,000 155 * InStent, Inc. 11,200 241 * Insurance Auto Auctions, Inc. 19,000 186 Integon Corp. 15,020 302 * Integrated Device Technology Inc. 25,200 269 Integrated Health Services, Inc. 10,300 245 * Integrated Process Equipment Corp. 15,224 310 * Integrated Silicon Solution, Inc. 3,900 45 * Integrated Systems, Inc. 3,300 130
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * Integrated Systems Consulting Group Inc. 1,684 $ 32 Intel Corp. 327,263 24,033 Intelligent Electronics Inc. 32,198 272 * Inter-Tel, Inc. 5,100 134 * Intercel, Inc. 1,100 22 * Interdigital Communications Corp. 34,400 292 Interface, Inc. 18,000 278 * Intergraph Corp. 32,240 395 * Interim Services, Inc. 13,545 577 * Interleaf, Inc. 5,300 34 International Business Machines Corp. 216,716 21,455 * International Dairy Queen, Inc. Class A 14,988 324 * International Dairy Queen, Inc. Class B 2,300 49 * International Family Entertainment, Inc. Class B 19,375 358 International Flavors & Fragrances, Inc. 43,824 2,087 International Game Technology 50,102 845 * International Jensen 35,400 409 * International Lottery & Totalizator Systems, Inc. 54,900 129 International Multifoods Corp. 15,881 290 International Paper Co. 117,546 4,335 * International Rectifier Corp. 26,700 431 * International Specialty Products, Inc. 29,800 328 * International Technology 112,100 308 * Interneuron Pharmaceutical, Inc. 15,300 455 Interpublic Group of Cos., Inc. 30,379 1,424 Interstate Bakeries 20,000 535 * Intervoice, Inc. 14,413 285 Intimate Brands, Inc. 99,700 2,281 * Intuit, Inc. 17,000 799 Invacare Corp. 11,657 277 * Iomega Corp. 53,400 1,539 * Ionics, Inc. 6,300 296 Ipalco Enterprises, Inc. 22,650 595 Irvine Apartment Communities, Inc. 2,900 58 Irwin Financial Corp. 7,600 301 ISCO, Inc. 22,485 219 * ISIS Pharmaceuticals, Inc. 18,926 354 * Itron, Inc. 1,600 46 * I2 Technologies, Inc 3,100 132 IVAX Corp. 47,900 760 JLG Industries, Inc. 7,000 521 * JMC Group Inc. 5,200 19 * JP Foodservice, Inc. 500 12 JP Realty, Inc. 5,100 109 JSB Financial 8,301 276 Jackpot Enterprises, Inc. 4,900 62 * Jacobs Engineering Group Inc. 17,100 451 James River Corp. 33,068 872 * Jan Bell Marketing Inc. 17,400 46 * Jayhawk Acceptance Corp. 19,200 265 Jefferson Bankshares, Inc. 1,000 22 Jefferson-Pilot Corp. 28,377 1,465 Jefferson Savings Bancorp, Inc. 3,900 101 * Jefferson Smurfit Corp. 32,300 355 John Alden Financial Group 8,100 179 John Nuveen Co. Class A 4,900 122 Johnson & Johnson 531,032 26,286 Johnson Controls, Inc. 15,847 1,101 * Johnstown America Industries 11,900 40 * Jones Apparel Group, Inc. 13,600 668 Jones Medical Industries, Inc. 3,200 106 Jostens Inc. 16,240 321 Juno Lighting, Inc. 13,900 235 * Just For Feet, Inc. 6,984 371 Justin Industries, Inc. 14,200 188 * KLA Instruments Corp. 20,000 464 Kmart Corp. 191,727 2,373 KN Energy, Inc. 2,479 83 * K-III Communications Corp. 49,100 614 * K2 Inc. 12,462 338 K U Energy Corp. 15,100 451 * K-V Pharmaceutical Co. Class A 3,700 53 * Kaiser Aluminum & Chemical Corp. 33,500 369 Kaneb Pipeline Partners, LP 12,380 289 * Kaneb Services, Inc. 136,416 443 Kansas City Life Insurance Co. 3,200 178 Kansas City Power & Light Co. 24,700 679 Kansas City Southern Industries, Inc. 15,264 654 Katy Industries, Inc. 15,800 237 * Katz Media Group 17,800 256 Kaufman & Broad Home Corp. 27,242 395 Kaydon Corp. 9,400 404 Kellogg Co. 84,743 6,207 Kelly Services, Inc. Class A 18,275 541 Kennametal, Inc. 10,700 364 * Kensey Nash Corp. 5,600 74 * Kent Electronics Corp. 14,600 456 Kerr-McGee Corp. 19,953 1,215 KeyCorp 92,390 3,580 Keystone Financial, Inc. 8,162 275 Keystone International, Inc. 14,200 295 Kimball International, Inc. Class B 10,900 300 Kimberly-Clark Corp. 112,184 8,666 Kimco Realty Corp. 14,550 411 * Kinder Care Learning Centers Inc. 3,000 46 Kinetic Concepts, Inc. 17,668 276
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Market Value Shares (000)+ - ---------------------------------------------------------------------- * King World Productions, Inc. 14,286 $ 520 Knight-Ridder, Inc. 19,013 1,378 * Koger Equity Inc. 19,600 262 * Kohls Corp. 27,800 1,018 * Komag, Inc. 20,000 525 * The Kroger Co. 48,997 1,935 Kuhlman Corp. 25,376 441 * LCI International, Inc. 32,526 1,021 LG&E Energy Corp. 23,600 540 LS Capital Corp. 49,900 3 LSI Industries Inc. 21,518 366 * LSI Logic Corp. 51,195 1,331 LTC Properties, Inc. 17,400 287 LTV Corp. 42,000 478 * LTX Corp. 32,788 203 La Quinta Inns Inc. 20,492 686 * Laboratory Corp. of America 57,748 433 Ladd Furniture Inc. 800 8 Lafarge Corp. 29,800 603 * LAM Research Corp. 10,150 263 Lancaster Colony Corp. 10,200 381 Lance, Inc. 7,521 125 * Lancer Corp. 19,860 444 Landauer, Inc. 11,000 232 * Landry's Seafood Restaurants, Inc. 3,300 80 * Lands' End, Inc. 15,600 386 * Landstar System 2,800 81 * Lattice Semiconductor Corp. 11,650 281 Estee Lauder Cos. Class A 22,971 971 Lawter International Inc. 16,534 207 * Layne, Inc. 16,200 207 * Lazare Kaplan International, Inc. 16,700 219 Leader Financial Corp. 7,000 312 * Lear Corp. 20,700 730 * Lechters Corp. 10,100 66 * Lectec Corp. 3,500 46 Lee Enterprises, Inc. 24,900 588 * Legal Research Center, Inc. 6,100 16 Leggett & Platt, Inc. 32,500 902 Lehman Brothers Holdings, Inc. 40,799 1,010 Lennar Corp. 14,400 360 * Leslie Fay Co. 15,200 3 Leucadia National Corp. 24,000 588 Leviathan Gas Pipeline Co. 3,700 133 * Lexmark International Group, Inc. Class A 27,800 559 Libbey, Inc. 10,800 300 Liberty Bancorp, Inc. (Oklahoma) 7,100 254 Liberty Financial Cos., Inc. 4,200 142 * Liberty Media Group Class A 5,000 133 * Liberty Media Group Class B 1,050 30 Life Partners Group, Inc. 16,600 378 Life Re Corp. 6,600 204 * Lifecore Biomedical Inc. 12,800 270 Lillian Vernon Corp. 1,400 18 Eli Lilly & Co. 219,485 14,267 Lilly Industries Inc. Class A 19,968 339 The Limited, Inc. 107,891 2,320 * Lin Television 15,516 555 * Lincare Holdings Inc. 17,200 673 Lincoln Electric Co. Class A 9,924 298 Lincoln National Corp. 40,525 1,874 Lindsay Manufacturing Co. 4,350 173 Linear Technology Corp. 28,196 844 * Liposome Co., Inc. 21,161 397 Litchfield Financial Corp. 800 11 * Littelfuse, Inc. 6,200 234 * Litton Industries, Inc. 18,269 795 * Living Centers of America, Inc. 8,100 278 Liz Claiborne, Inc. 28,087 973 Lockheed Martin Corp. 79,205 6,653 Loctite Corp. 12,820 596 Loews Corp. 46,771 3,689 Logicon, Inc. 4,800 143 * Lone Star Steakhouse & Saloon 14,700 554 Long Island Bancorp, Inc. 2,000 61 Long Island Lighting Co. 47,835 801 * Longhorn Steaks Inc. 1,600 40 Longs Drug Stores, Inc. 4,895 218 Longview Fiber Co. 19,830 337 * Loral Space & Communications Ltd. 62,784 855 * Loronix Information Systems 27,100 86 * Louis Dreyfus Natural Gas Corp. 3,400 51 Louisiana Land & Exploration Co. 13,148 758 Louisiana-Pacific Corp. 42,464 940 Lowes Cos., Inc. 62,737 2,266 Lubrizol Corp. 24,367 740 Luby's Cafeterias, Inc. 2,259 53 Lucent Technologies, Inc. 44,649 1,691 * L. Luria & Son, Inc. 5,100 22 * Lydall, Inc. 10,600 233 * Lynx Therapeutics Inc. 226 1 Lyondell Petrochemical Co. 29,346 708 MAF Bancorp, Inc. 3,326 81 M/A/R/C, Inc. 7,800 163 MBIA, Inc. 16,300 1,269 MBNA Corp. 87,601 2,497 MCI Communications Corp. 273,599 6,994 MCN Corp. 24,700 602 * MDL Information Systems, Inc. 2,700 80 * MDT Corp. 21,500 97 * MEMC Electronic Materials, Inc. 15,300 593 * MFS Communications Co., Inc. 47,800 1,795 MGIC Investment Corp. 23,365 1,311
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * MGM Grand Inc. 19,561 $ 780 MLF Bancorp, Inc. 2,800 67 MMI Cos., Inc. 500 15 * MRV Communications Inc. 7,943 335 MTS Systems Corp. 17,590 363 MacDermid, Inc. 129 9 The Macerich Co. 15,800 332 * MacFrugal's Bargains Close-Outs, Inc. 15,100 268 * Macromedia 14,123 311 Madison Gas & Electric Co. 3,900 84 * Mafco Consolidated 7,744 193 * Magellan Health Services Corp. 6,000 129 Magna Group 3,448 82 * Mail-Well, Inc. 19,900 174 Maine Public Service Co. 12,000 219 Mainstreet Bankgroup, Inc. 17,400 289 Mallinckrodt Group, Inc. 29,492 1,147 Manor Care Inc. 23,841 939 Manpower Inc. 32,400 1,272 Manufactured Home Communities, Inc. 18,600 358 Mapco Inc. 11,500 648 * Marcam Corp. 17,500 207 Marion Capital Holdings 4,600 94 Mark IV Industries, Inc. 30,509 690 Mark Twain Bancshares, Inc. 7,900 293 * Markel Corp. 4,400 405 * Marquette Electronics Class A 2,604 46 Marriott International 49,437 2,657 Marsh & McLennan Cos., Inc. 29,002 2,799 Marshall & Ilsley Corp. 36,351 1,011 * Marshall Industries 11,528 323 * Martek Biosciences Corp. 11,700 344 Martin Marietta Materials, Inc. 11,000 267 * Marvel Entertainment Group 33,234 312 Masco Corp. 63,653 1,926 MascoTech Inc. 22,015 325 Masland Corp. 1,315 34 * Mastec Inc. 12,978 325 * Material Sciences Corp. 16,250 280 * Matria Healthcare Inc. 59,900 505 Mattel, Inc. 110,364 3,159 * Maverick Tube Corp. 8,900 106 * Maxim Integrated Products, Inc. 22,400 612 * Maxicare Health Plans Inc. 9,500 181 * Maxxam Inc. 6,300 247 May Department Stores Co. 99,298 4,344 Maytag Corp. 41,688 870 * McAfee Associates, Inc. 15,703 770 McClatchy Newspapers, Inc. 11,940 330 McCormick & Co., Inc. 28,917 636 McDermott International, Inc. 21,707 453 McDonald's Corp. 278,019 12,997 McDonnell Douglas Corp. 88,433 4,289 The McGraw-Hill Cos. 39,720 1,817 McKesson Corp. 17,097 814 * McMoRan Oil and Gas 87,400 232 * McWorter Technologies Inc. 12,800 227 The Mead Corp. 21,020 1,090 * Medaphis Corp. 22,116 878 * Medar, Inc. 36,158 368 * MedCath Inc. 8,900 106 * Medcross, Inc. 7,100 47 Medford Savings Bank 9,899 230 Media General, Inc. Class A 9,800 365 * Medic Computer Systems, Inc. 3,000 244 * Medicis Pharmaceutical Corp. Class A 1,700 71 * MedImmune Inc. 11,500 193 * MedPartners/Mullikin, Inc. 20,000 418 Meditrust 23,583 787 Medtronic, Inc. 92,960 5,206 * Megafoods Stores, Inc. 5,100 1 Mellon Bank Corp. 53,453 3,047 Melville Corp. 40,835 1,654 * Men's Wearhouse, Inc. 13,950 455 Mentor Corp. 16,481 419 * Mentor Graphics Corp. 24,000 389 Mercantile Bancorp, Inc. 24,219 1,078 Mercantile Bankshares Corp. 19,100 488 Mercantile Stores Co., Inc. 13,714 804 Merck & Co., Inc. 489,217 31,616 Mercury Finance Co. 68,777 877 Mercury General Corp. 8,100 357 * Mercury Interactive Corp. 12,600 170 Meredith Corp. 13,250 553 Meridian Diagnostics, Inc. 21,029 322 * Merisel, Inc. 34,100 129 * Merix Corp. 6,000 119 Merrill Corp. 8,400 213 Merrill Lynch & Co., Inc. 68,298 4,448 * Mesa Airlines, Inc. 46,900 551 Met-Pro Corp. 10,230 191 * Metatools Inc. 9,100 213 Methode Electronics, Inc. Class A 4,351 75 * Metra Biosystems, Inc. 4,400 23 * Metrocall, Inc. 12,300 136 * Metromail Corp. 3,000 67 * Fred Meyer, Inc. 16,000 470 Michael Foods, Inc. 23,100 267 * Micrion Corp. 28,000 399 * Micros Systems, Inc. 7,200 197 * Microsoft Corp. 236,722 28,421
36 61
Market Value Shares (000)+ - ---------------------------------------------------------------------- * Microchip Technology, Inc. 11,500 $ 288 * Microcom Corp. 18,324 231 * Micro Warehouse Inc. 9,700 192 * Microfield Graphics, Inc. 13,700 57 * Micrografx, Inc. 7,400 110 * Micron Electronics, Inc. 33,800 410 Micron Technology Inc. 82,377 2,132 * Microtouch Systems, Inc. 11,299 206 Microwave Power Devices, Inc. 3,300 21 Mid Am Inc. 7,608 140 Mid-America Realty Investments 8,900 78 * Mid-American Waste Systems, Inc. 60,300 57 MidAmerican Energy Co. 40,400 697 * Mid Atlantic Medical Services 24,000 342 Mid Atlantic Realty Trust 30,950 308 Middlesex Water Co. 8,300 136 Herman Miller, Inc. 9,929 303 Millipore Corp. 17,639 739 * Milwaukee Land Co. 7,700 52 Mine Safety Appliances Co. 1,900 81 Minerals Technologies, Inc. 10,600 363 * MiniMed, Inc. 13,700 402 Minnesota Mining & Manufacturing Co. 166,679 11,501 Minnesota Power & Light Co. 12,700 368 * Mirage Resorts, Inc. 35,750 1,931 Mississippi Chemical Corp. 3,800 76 Mitchell Energy & Development Corp. Class A 11,200 216 Mobil Corp. 157,154 17,621 * Mobile Telecommunications Technologies Corp. 16,900 246 * MobileMedia Corp. 12,000 144 Modine Manufacturing Co. 7,762 205 * Mohawk Industries, Inc. 18,100 324 * Molecular Biosystems, Inc. 41,000 369 Molex, Inc. 37,696 1,206 The Money Store 22,459 493 Monsanto Co. 234,882 7,634 Montana Power Co. 21,800 485 J.P. Morgan & Co., Inc. 74,636 6,316 * Morgan Products Ltd. 9,300 59 Morgan Stanley Group, Inc. 60,949 2,994 Morrison Fresh Cooking Inc. 2,718 14 Morrison Health Care Inc. 5,525 77 Morton International, Inc. 57,908 2,157 * Mortons Restaurant Group 22,344 391 Mosinee Paper Corp. 4,693 127 Motorola, Inc. 235,692 14,819 Mueller (Paul) Co. 3,400 112 * Mueller Industries Inc. 10,884 452 * MTL, Inc. 16,748 289 * Multicare Cos., Inc. 18,700 355 Murphy Oil Corp. 17,000 771 * Musicland Stores Corp. 33,200 108 * Mycogen Corp. 17,700 267 Myers Industries, Inc. 3,900 73 Mylan Laboratories, Inc. 47,650 822 NAC Re Corp. 10,600 355 NACCO Industries, Inc. Class A 4,928 273 NCH Corp. 3,300 212 * NCI Building Systems, Inc. 9,100 304 * NFO Research Inc. 17,452 408 NGC Corp. 30,300 455 NIPSCO Industries, Inc. 23,830 959 N L Industries, Inc. 4,000 49 NPC International Class A 15,100 151 * NRQ Generating U.S. Inc. 2,838 20 * NS Group Inc. 89,900 270 NUI Corp. 1,300 23 NYMAGIC, Inc. 5,000 94 Nabisco Holdings Corp. Class A 20,600 729 * Nabors Industries, Inc. 41,500 674 Nalco Chemical Co. 26,621 839 Nash-Finch Co. 5,900 94 Nashua Corp. 21,114 269 * National Auto Credit Co. 21,932 249 National Bankcorp of Alaska Inc. 4,800 299 * National City Bancorporation 7,908 156 National City Corp. 87,436 3,071 National Community Bancorp 9,902 312 National Data Corp. 10,311 353 * National Education Corp. 2,300 33 National Fuel & Gas Co. 13,700 493 National Health Investors REIT 13,400 439 * National Lodging Corp. 20,680 326 * National Medical Financial Services Corp. 2,900 21 National Presto Industries, Inc. 2,937 112 National Re Holdings Corp. 9,700 366 * National Semiconductor Corp. 53,168 824 National Service Industries, Inc. 18,793 735 * National Steel Corp. Class B 31,900 347 NationsBank Corp. 119,421 9,867 Nationwide Health Properties, Inc. 21,800 461 * Nautica Enterprises Inc. 15,849 458 * Navistar International Corp. 32,517 321 * Neiman Marcus Group Inc. 15,145 409 * Nellcor Puritan Bennett, Inc. 11,470 558 Thomas Nelson, Inc. 16,150 216 * Neoprobe Corp. 15,200 267 * Neostar Retail Group 33,300 169 * Netcom On-line Communication Services, Inc. 1,400 37
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * Netmanage, Inc. 4,400 $ 49 * Netscape Communications Corp. 32,400 2,021 * Network Appliance, Inc. 9,400 275 * Network Express, Inc. 38,800 364 * Network General Corp. 26,312 562 * Neurogen Corp. 12,820 327 Nevada Power Co. 21,648 476 New England Electric System 25,900 942 New Jersey Resources Corp. 3,800 109 * New Mexico & Arizona Land Co. 19,972 252 New Plan Realty Trust 19,950 421 New York Bancorp Inc. 4,290 109 New York State Electric & Gas Corp. 28,600 697 New York Times Co. Class A 44,317 1,446 Newell Co. 63,258 1,937 Newhall Land & Farming Co. 23,100 381 Newmont Gold Co. 43,732 2,203 Newmont Mining Corp. 38,827 1,917 * News Communications, Inc. 500 1 * Nexstar Pharmaceuticals Inc. 18,441 406 * Nextel Communications 79,896 1,523 Niagara Mohawk Power Corp. 50,602 392 NICOR, Inc. 19,052 541 Nike, Inc. Class B 56,666 5,822 * Nine West Group, Inc. 14,100 721 Noble Affiliates, Inc. 20,064 757 * Noble Drilling Corp. 47,500 659 NorAm Energy Corp. 50,548 550 * Norand Corp. 8,800 175 * Nord Resources Corp. 143,800 665 Nordson Corp. 9,300 529 Nordstrom, Inc. 32,325 1,434 Norfolk Southern Corp. 50,769 4,303 * Norstan, Inc. 1,600 60 * Nortek, Inc. 16,200 188 North American Mortgage Co. 15,300 266 * North American Vaccine, Inc. 22,061 403 North Carolina Natural Gas Corp. 2,300 63 North Fork Bancorporation, Inc. 16,586 433 North Side Savings Bank 6,446 223 Northeast Utilities 51,000 682 Northern States Power Co. 26,094 1,288 Northern Trust Corp. 21,000 1,215 Northrop Grumman Corp. 22,571 1,538 * Northstar Health Services, Inc. 21,850 44 * Northwest Airlines Corp. Class A 35,300 1,392 Northwest Natural Gas Co. 2,800 98 Northwest Savings Bank 2,600 30 Norwest Corp. 145,908 5,089 * NovaCare, Inc. 30,488 232 * Novavax, Inc. 25,590 184 * Novell, Inc. 144,532 1,996 * Novellus Systems, Inc. 4,800 174 * Noxso Corp. 36,200 190 Nucor Corp. 34,081 1,725 * Nuevo Energy Co. 12,700 410 * Nu Horizons Electronics Corp. 8,200 91 * Nu-Kote Holding, Inc. Class A 17,400 286 Numerex Corp. 16,000 84 NYNEX Corp. 174,179 8,274 OEA, Inc. 10,900 409 * OHM Corp. 12,100 85 * OIS Optical Imaging Systems, Inc. 8,700 27 * Oak Technology, Inc. 18,400 174 * Oakley, Inc. 14,300 651 Oakwood Homes Corp. 19,400 400 * Objective Systems Integrators, Inc. 7,100 259 Occidental Petroleum Corp. 126,386 3,128 * OccuSystems, Inc. 2,000 74 * Oceaneering International, Inc. 24,890 376 * Octel Communications Corp. 24,600 483 * Office Depot, Inc. 62,525 1,274 * Officemax Inc. 32,900 785 Ogden Corp. 23,745 430 Ohio Casualty Corp. 13,044 457 Ohio Edison Co. 58,695 1,284 Oil-Dri Corp. of America 18,275 272 Oklahoma Gas & Electric Co. 16,100 638 * Old Dominion Freight Line, Inc. 20,515 203 Old Kent Financial Corp. 16,770 658 Old National Bancorp 7,655 285 Old Republic International Corp. 33,500 720 Olin Corp. 9,900 884 Olsten Corp. 27,825 817 * Olympic Financial Ltd. 9,900 228 Omega Financial Corp. 5,108 163 Omega Healthcare Investors, Inc. 12,500 345 Omnicare, Inc. 25,200 668 Omnicom Group Inc. 29,000 1,349 * Omnipoint Corp. 15,300 399 * On Assignment, Inc. 4,700 172 * Oncor Inc. 48,031 264 One Valley Bancorp of West Virginia Inc. 6,000 208 * Oneita Industries 39,530 124 ONEOK, Inc. 16,606 415 Optical Coating Laboratory, Inc. 12,681 227 * Oracle Corp. 260,450 10,272 * OraVax, Inc. 2,000 16 * Orbital Sciences Corp. 13,600 223 * Oregon Metallurgical Corp. 10,225 299 Oregon Steel Mills, Inc. 17,300 238 * Organogenesis, Inc. 5,000 101 * OrNda Healthcorp 23,251 558
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Market Value Shares (000)+ - ---------------------------------------------------------------------- * Ortel Corp. 14,900 $ 361 * Oryx Energy Co. 40,529 659 Otter Tail Power Co. 2,302 75 * Outback Steakhouse 18,500 636 Outboard Marine Corp. 17,252 313 Overseas Shipholding Group Inc. 23,000 417 Owens & Minor, Inc. Holding Co. 25,750 299 * Owens Corning 20,481 881 * Owens-Illinois, Inc. 47,928 767 * Oxford Health Plan 28,800 1,183 Oxford Industries, Inc. 12,800 206 * Oxigene, Inc. 8,439 213 PCA International, Inc. 13,095 216 * PDT, Inc. 3,400 114 PECO Energy Corp. 87,374 2,272 PHH Corp. 6,900 393 * PHP Healthcare Corp. 8,500 268 The PMI Group Inc. 13,500 574 * PMT Services Inc 12,335 354 PNC Bank Corp. 135,840 4,041 PP&L Resources Inc. 63,149 1,492 PPG Industries, Inc. 75,344 3,673 * PRI Automation, Inc. 3,500 108 Paccar, Inc. 14,956 731 Pacific Enterprises 32,857 973 Pacific Gas & Electric Co. 164,612 3,827 Pacific Telesis Group 170,739 5,762 * Pacificare Health Systems Inc. Class A 4,600 305 * Pacificare Health Systems Inc. Class B 6,900 468 PacifiCorp 116,823 2,599 * Paging Network Inc. 36,700 874 PaineWebber Group, Inc. 38,800 922 * Pairgain Technologies, Inc. 13,400 832 Pall Corp. 43,958 1,060 * PanAmSat Corp. 13,300 384 PanEnergy Corp. 59,372 1,952 * Papa John's International, Inc. 2,500 121 * Paradigm Technology, Inc. 18,800 135 * Parametric Technology Corp. 49,800 2,157 * Parcplace-Digitalk Inc. 22,600 203 Park National Corp. 200 10 * Park-Ohio Industries, Inc. 2,400 47 Parker & Parsley Petroleum Co. 4,700 130 Parker Hannifin Corp. 28,412 1,204 * Parkervision, Inc. 3,700 48 Parkway Co. 1,350 21 Pathogenesis Corp. 9,100 140 * Patlex Corp. 5,000 196 Patriot American Hospitality, Inc. 11,700 347 Paul Revere Corp. 18,000 495 Paychex, Inc. 26,462 1,272 * Payless ShoeSource, Inc. 15,920 505 * Pediatrix Medical Group, Inc. 1,700 83 * The Penn Traffic Co. 1,000 8 Penn Virginia Corp. 2,500 89 Penncorp Financial Group Inc. 9,900 314 J.C. Penney Co., Inc. 88,392 4,640 Pennsylvania Enterprises Inc. 8,117 323 Pennzoil Co. 17,814 824 Pentair, Inc. 15,000 450 Penwest Ltd. 6,291 119 Peoples Bank of Bridgeport 20,800 464 Peoples Energy Corp. 13,713 459 Peoples First 1,000 23 Peoples Heritage Financial Group Inc. 19,141 391 * Peoplesoft Inc. 18,800 1,337 Pep Boys (Manny, Moe & Jack) 24,473 832 PepsiCo, Inc. 624,622 22,096 * Perclose, Inc. 5,000 111 * Performance Food Group Co. 1,800 46 Perkin-Elmer Corp. 16,101 777 * Perrigo Co. 33,500 379 * Perseptive Biosystems 9,500 88 * Personnel Group of America, Inc. 9,602 236 * Pete's Brewing Co. 8,200 122 * Petrie Stores Corp. Litigation Trust Units of Beneficial Interest 12,469 35 * Petro Union, Inc. 35,900 5 * Petrocorp, Inc. 38,778 380 Petrolite Corp. 6,500 206 * PETsMART, Inc. 18,776 892 Pfizer, Inc. 253,249 18,076 * Pharmaceutical Markets 21,500 212 * Pharmacopeia, Inc. 9,700 197 Phelps Dodge Corp. 26,453 1,650 * Philadelphia Consolidated Holding Corp. 6,200 118 Philip Morris Cos., Inc. 330,671 34,390 Phillips Petroleum Co. 104,403 4,372 Phillips-Van Heusen Corp. 15,800 201 * Phoenix Network, Inc. 3,300 16 * Photronics Labs Inc. 10,402 277 * Phycor, Inc. 22,500 852 * Physician Corp. of America 16,700 224 * Physician Reliance Network, Inc. 18,600 418 * Physician Sales & Service, Inc. 13,800 336 * Physicians Insurance Co. Of Ohio 7,900 190 * Physio-Control International Corp. 14,700 258 * PictureTel Corp. 21,100 832 Piedmont Natural Gas, Inc. 4,600 106 Pinnacle Bancorp Group Inc. 1,100 33
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * Pinnacle Micro Inc. 22,600 $ 196 Pinnacle West Capital Corp. 34,900 1,060 Pioneer Financial 11,700 194 Pioneer Group Inc. 12,200 328 Pioneer Hi Bred International 32,824 1,735 Piper Jaffray Cos., Inc. 23,100 289 Pitney Bowes, Inc. 59,435 2,838 Pitt Des Moines, Inc. 2,600 110 * Pittencrieff Communication, Inc. 74,869 498 Pittsburgh & West Virginia Railroad 3,000 21 Pittston Brink's Group 24,300 708 Pittston Burlington Group 10,750 232 Pittway Corp. Class A 8,334 387 * Pixar, Inc. 19,600 380 * Plains Resources 27,883 362 * Planet Hollywood International, Inc. Class A 33,600 905 * Plantronics, Inc. 10,400 382 * Platinum Software Co. 25,100 180 * Platinum Technology, Inc. 17,600 265 * Playboy Enterprises Inc. Class B 19,300 285 Plenum Publishing Corp. 6,300 216 Ply-Gem Industries, Inc. 17,200 234 Pogo Producing Co. 15,900 606 Polaris Industries, Inc. 11,000 375 Polaroid Corp. 17,358 792 * Policy Management Systems Corp. 10,670 533 Portland General Electric Co. 20,400 630 Post Properties, Inc. 6,700 237 Potlatch Corp. 10,696 418 Potomac Electric Power Co. 45,000 1,192 * Power Control Technologies 26,679 243 Praxair, Inc. 60,433 2,553 Precision Castparts Corp. 9,550 411 Premark International, Inc. 24,667 456 * Premier Farnell PLC ADR 9,318 194 * Premier Farnell PLC Cvt. Pfd. ADR 7,507 191 * Premisys Communications, Inc. 11,400 696 * Presstek, Inc. 5,800 370 * Price/Costco Inc. 77,361 1,663 T. Rowe Price 15,600 482 Price REIT, Inc. 4,700 152 * Pride Petroleum Services 7,100 100 * Primadonna Resorts, Inc. 19,462 452 * Primark Corp. 9,369 306 Prime Bancorp Inc. 10,430 192 * Prime Energy Corp. 3,000 11 * Primedex Health Systems Inc. 43,000 26 Procter & Gamble Co. 273,354 24,773 * Progress Software Corp. 11,000 179 Progressive Corp. of Ohio 28,900 1,337 * Project Software & Development, Inc. 700 33 * Promus Hotel Corp. 23,690 702 Protective Life Corp. 15,000 527 * Proteon Inc. 36,100 144 * Protocol Systems Inc. 5,000 115 * Provident American Corp. 33,800 344 Provident Bancorp Inc. 8,350 295 Provident Cos., Inc. 20,500 758 Providian Corp. 37,399 1,603 * Proxymed Pharmacy, Inc. 17,500 323 * PsiNet, Inc. 19,200 220 Public Service Co. of Colorado 23,700 871 Public Service Co. of New Mexico 23,680 485 Public Service Co. of North Carolina, Inc. 5,000 85 Public Service Enterprise Group Inc. 96,225 2,634 Public Storage, Inc. 28,600 590 Public Storage Properties XI Class A 800 15 Puerto Rican Cement Co., Inc. 8,000 249 Puget Sound Power & Light Co. 25,385 615 Pulitzer Publishing Co. 5,300 314 Pulte Corp. 14,508 388 * Pure Software, Inc. 11,200 377 * QLogic 26,127 258 Quaker Chemical Corp. 4,100 51 The Quaker Oats Co. 53,410 1,823 * Qualcomm, Inc. 24,700 1,311 * Quality Food Centers Inc. 6,368 165 * Quality Systems, Inc. 8,100 145 * Quantum Corp. 11,800 171 Questar Corp. 16,285 554 The Quick & Reilly Group, Inc. 11,221 365 * Quickresponse Services, Inc. 7,200 210 * Quiksilver, Inc. 900 27 * Quintel Entertainment, Inc. 12,700 132 * Quintiles Transnational Corp. 8,600 563 * Quorum Health Group, Inc. 14,700 388 RFS Hotel Investors 1,000 16 RJR Nabisco Holdings Corp. 108,719 3,370 R.L.I. Corp. 3,400 83 RPM Inc. (Ohio) 30,750 482 * RailTex, Inc. 13,506 344 * Rainbow Technologies, Inc. 7,100 141 * Rainforest Cafe, Inc. 7,900 394 * Ralcorp Holdings Inc. 18,657 385 Ralston-Ralston Purina Group 41,685 2,673 * Ramtron International Corp. 32,100 223 * Rational Software Corp. 6,900 372 Raychem Corp. 17,665 1,270 Raymond Corp. 11,639 201 Raymond James Financial, Inc. 15,950 361
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Market Value Shares (000)+ - ---------------------------------------------------------------------- Rayonier Inc. 15,275 $ 580 Raytheon Co. 95,372 4,923 * Read-Right Corp. 18,631 262 Reader's Digest Assn., Inc. Class A 40,500 1,721 Reader's Digest Assn., Inc. Class B 1,500 59 * Reading & Bates Corp. 24,795 548 Realty Income Corp. 17,100 355 * Recovery Engineering, Inc. 20,400 263 * Red Lion Hotels, Inc. 12,479 262 * Reddi Brake Supply Corp. 28,900 55 * Redhook Ale Brewery, Inc. 12,900 297 * Redman Industries, Inc. 13,846 282 Redwood Trust, Inc. 4,600 128 Reebok International Ltd. 28,221 949 Regal-Beloit Corp. 16,300 322 * Regal Cinemas, Inc. 2,300 105 * Regency Health Services, Inc. 22,500 256 Regions Financial Corp. 23,710 1,111 Regis Corp. 21,000 648 Reinsurance Group of America, Inc. 8,300 313 Reliable Life Insurance Co. Class A 400 26 Reliance Bancorp, Inc. 4,500 71 Reliance Group Holdings 59,686 448 Reliastar Financial Corp. 14,449 623 * Remedy Corp. 6,250 455 * Renaissance Communications 16,350 527 * Republic Industries, Inc. 64,720 1,889 Republic New York Corp. 21,431 1,334 * Research Medical, Inc. 13,190 291 * Retix 31,809 229 * Revco Drug Stores, Inc. 27,200 649 * Rexall Sundown, Inc. 11,903 324 * Rexel Inc. 15,800 223 Reynolds & Reynolds Class A 16,300 868 Reynolds Metals Co. 25,374 1,323 * Rhodes Inc. 24,800 276 Rhone-Poulenc Rorer, Inc. 52,952 3,554 Richfood Holdings, Inc. 14,500 470 Riggs National Corp. 27,800 339 * Right Management Consultants 5,100 181 * Rightchoice Managed Care, Inc. 14,800 183 * Rio Hotel And Casino, Inc. 16,100 247 Rite Aid Corp. 33,103 985 Roadway Express Inc. 4,508 64 * Robert Half International, Inc. 31,400 875 Rochester Gas and Electric Corp. 15,752 339 * Rochester Medical Corp. 12,550 229 Rockwell International Corp. 85,867 4,916 * Rocky Mountain Chocolate Factory, Inc. 15,400 171 * Rogers Corp. 10,500 261 Rohm & Haas Co. 26,358 1,654 * Rohr, Inc. 16,500 344 Rollins, Inc. 13,550 318 * Rollins Environmental Services, Inc. 68,174 264 Rollins Truck Leasing 9,600 100 Roosevelt Financial Group 19,334 373 Roper Industries Inc. 1,364 65 Ross Stores, Inc. 9,706 338 * Ross Technology, Inc. 1,700 20 Rouge Steel Co. Class A 11,500 247 Rouse Co. 22,800 590 * Rowan Cos., Inc. 50,472 744 * Royal Appliance Manufacturing Co. 99,086 570 * Royal Grip, Inc. 11,600 48 Rubbermaid, Inc. 60,367 1,645 Ruby Tuesday, Inc. 10,237 232 Ruddick Corp. 28,700 351 Russell Corp. 20,750 573 * Ryan's Family Steak Houses, Inc. 11,915 111 Ryder System, Inc. 29,966 843 * S&K Famous Brands Inc. 6,200 59 SBC Communications Inc. 242,586 11,947 * SCI Systems, Inc. 11,758 478 * SDL, Inc. 7,850 215 SEI Corp. 11,700 249 SJW Corp. 600 20 S-K-I, Ltd. 20,409 365 * SLM International, Inc. 11,300 6 * SOI Industries, Inc. 2,675 3 * SPS Technologies, Inc. 5,876 414 * SPS Transaction Services 17,800 320 SPX Corp. 11,500 282 * SQA, Inc. 8,800 244 SAFECO Corp. 49,835 1,766 * Safeguard Health Enterprises, Inc. 11,135 202 * Safeguard Scientifics, Inc. 8,797 686 * Safeskin Corp. 7,300 305 Safety-Kleen Corp. 24,409 427 * Safeway, Inc. 86,479 2,854 St. Francis Capital Corp. 11,200 279 St. Joe Corp. 11,600 748 * St. Jude Medical, Inc. 31,959 1,067 St. Mary Land & Exploration Co. 18,728 310 St. Paul Bancorp, Inc. 14,797 342 St. Paul Cos., Inc. 33,382 1,786 * Saks Holdings, Inc. 2,000 68 Salomon, Inc. 41,920 1,844 * SanDisk Corp. 9,200 115 * Sanifill, Inc. 8,300 409 Santa Anita Realty Enterprises 19,600 247 * Santa Fe Energy Resources, Inc. 46,962 558 Santa Fe Pacific Gold Corp. 48,738 688 Santa Monica Bank 19,400 247
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- Sara Lee Corp. 192,647 $ 6,237 * Satcon Technology Corp. 26,893 247 Savannah Foods & Industries, Inc. 25,500 328 * Savoy Pictures Entertainment, Inc. 32,800 172 Sbarro, Inc. 3,909 98 SCANA Corp. 39,100 1,100 * R. P. Scherer Corp. 11,774 534 Schering-Plough Corp. 145,831 9,151 Schlumberger Ltd. 96,404 8,122 * Scholastic Corp. 7,900 492 * Schuler Homes Inc. 20,200 143 Schuller Corp. 42,800 444 A. Schulman Inc. 12,025 293 Charles Schwab Corp. 69,736 1,709 Schweitzer-Mauduit International Inc. 12,337 347 * Sciclone Pharmaceuticals 5,900 83 Scientific-Atlanta, Inc. 37,592 583 * Scientific Games Holdings Corp. 10,500 301 * Scios, Inc. 43,300 286 * Scopus Technology, Inc. 11,400 180 * Scotts Co. 16,700 292 E.W. Scripps Co. 31,976 1,491 Seacoast Banking Corp. of Florida Class A 300 7 * Seacor Holdings, Inc. 6,600 294 * Seagate Technology 41,776 1,880 * Seagull Energy Corp. 17,600 440 * Sealed Air Corp. 20,400 686 Sealright Co. 7,600 84 * Search Capital Group, Inc. 38,600 46 Sears, Roebuck & Co. 155,937 7,582 * Seattle FilmWorks, Inc. 4,800 80 * Secure Computing Corp. 9,500 211 Security Capital Corp. 7,100 423 Security Capital Industrial Trust 25,600 451 Security Capital Pacific Inc. 28,869 628 Security Connecticut Corp. 2,200 60 * Security Dynamics Technologies, Inc. 4,700 386 * Security First Network Bank 6,064 202 Sensormatic Electronics Corp. 29,438 482 * Sepracor Inc. 400 6 * Sequa Corp. Class A 12,344 532 * Sequana Therapeutics, Inc. 12,600 194 * Sequent Computer Systems, Inc. 20,300 273 * Sequus Pharmaceuticals, Inc. 27,800 554 Service Corp. International 46,553 2,677 * Service Merchandise Co., Inc. 10,550 59 Shared Medical Systems Corp. 9,663 623 Shaw Industries, Inc. 42,700 560 Sherwin-Williams Co. 34,080 1,585 * Shiva Corp. 15,400 1,232 * Shoe Carnival, Inc. 30,500 164 * Shoney's Inc. 23,596 257 Shopko Stores, Inc. 23,445 378 * Shorewood Packaging 4,700 72 * Show Biz Pizza Time, Inc. 13,400 208 Showboat, Inc. 3,784 114 * Shuffle Master, Inc. 21,917 327 * Sierra On-line, Inc. 7,972 349 * Sierra Semiconductor 25,746 298 SIG Corp. 8,400 291 Sigma Aldrich Corp. 19,177 1,021 * Signal Technology Corp. 41,653 323 Signet Banking Corp. 22,508 523 * Silicon Graphics, Inc. 63,555 1,525 * Silicon Valley Bancshares 1,600 41 * Silicon Valley Research, Inc. 5,800 34 * Silver King Communications 8,705 260 Simmons First National 8,700 289 Simon Property Group 23,300 571 * Sirco International Corp. 46,300 185 Sirrom Capital Corp. 5,000 136 * Sitel Corp. 10,000 418 Sizzler International 54,125 169 Sizzlers Property Investors, Inc. 6,000 53 A.O. Smith Corp. 16,400 410 * Smith International, Inc. 16,000 482 * Smithfield Foods, Inc. 5,100 128 Smiths Food & Drug Centers, Inc. Class B 7,370 176 J.M. Smucker Co. Class A 12,800 251 J.M. Smucker Co. Class B 2,500 47 Snap-On Inc. 16,212 768 * Sofamor/Danek Group Inc. 9,600 266 * Softdesk, Inc. 3,100 29 * Softkey International, Inc. 12,737 242 * Software Publishing Corp. 23,700 67 * Software Spectrum, Inc. 16,100 368 * Solectron Corp. 20,700 784 * Solv-Ex Corp. 17,166 332 Sonat, Inc. 33,560 1,510 Sonat Offshore Drilling Co. 11,400 576 * Sonic Corp. 13,050 320 Sonoco Products 36,360 1,032 Sotheby's Holdings Class A 25,500 370 Southdown, Inc. 14,000 329 Southern California Water Co. 10,700 235 Southern Co. 265,473 6,537 Southern National Corp. 40,350 1,281 Southern New England Telecommunications Corp. 26,100 1,096 * Southern Pacific Rail Corp. 59,000 1,475 * Southern Union Co. 13,733 302
42 67
Market Value Shares (000)+ - ---------------------------------------------------------------------- * Southland Corp. 142,100 $ 433 SouthTrust Corp. 37,289 1,053 Southwest Airlines Co. 57,173 1,665 Southwest Bancshares, Inc. 10,316 280 Southwest Gas Corp. 20,700 331 Southwestern Energy Co. 21,700 307 Southwestern Public Service Co. 14,100 460 Sovereign Bancorp, Inc. 4,600 46 Sovran Self Storage, Inc. 9,700 257 * Spacelabs Medical 9,639 222 * Spaghetti Warehouse, Inc. 4,400 24 * Specialty Chemical Resources, Inc. 29,400 99 * Spectran Corp. 5,100 99 * Spectranetics Corp. 11,600 65 * Spectrum Holobyte 32,700 184 * SpeedFam International, Inc. 2,700 43 * Speedway Motorsports, Inc. 14,600 374 * Spelling Entertainment 45,200 345 Spiegel, Inc. Class A 34,700 410 Spieker Properties, Inc. 13,500 368 * Sports & Recreation 24,550 224 Springs Industries Inc. Class A 7,265 367 Sprint Corp. 173,646 7,293 * Spyglass, Inc. 11,100 237 * Stac, Inc. 29,430 326 Standard Federal Bank 11,800 454 Standard Financial, Inc. 4,500 74 * Standard Microsystem 17,300 263 Standard Motor Products, Inc. 7,800 139 Standard Products Co. 13,300 309 The Standard Register Co. 11,413 281 Stanhome, Inc. 13,100 347 The Stanley Works 33,562 998 * Staples, Inc. 59,677 1,160 Star Banc Corp. 11,896 801 * Starbucks Corp. 27,200 767 L. S. Starrett Co. Class A 8,400 218 * Starter Corp. 43,600 376 State Auto Financial Corp. 8,900 219 State Street Boston Corp. 31,892 1,626 * Stein Mart, Inc. 17,950 330 Stepan Co. 2,600 47 Stephan Co. 17,650 278 * Steris Corp. 13,948 445 * Sterling Chemicals, Inc. 37,900 441 * Sterling Commerce, Inc. 30,000 1,114 * Sterling Software, Inc. 14,000 1,078 Stewart & Stevenson Services, Inc. 9,018 203 Stewart Enterprises, Inc. Class A 11,400 359 Stone Container Corp. 39,513 543 * Stone Energy Corp. 8,500 170 * Stop & Shop Cos. Inc. 19,900 664 * Storage Technology Corp. 21,355 817 Storage Trust Realty 11,500 236 Storage USA, Inc. 10,300 332 * StrataCom, Inc. 29,284 1,653 * Strategic Distribution, Inc. 48,378 379 * Stratosphere Corp. 32,600 197 * Strattec Strategy Corp. 18,605 329 * Stratus Computer, Inc. 15,700 455 * StreamLogic Corp. 34,100 128 Stride Rite Corp. 38,126 315 * Structural Dynamics Research Corp. 11,000 241 Stryker Corp. 35,500 805 Student Loan Corp. 6,400 230 Student Loan Marketing Assn. 22,997 1,702 * Studio Plus Hotels, Inc. 8,300 272 * Styles on Video, Inc. 12,300 6 * Submicron Systems Corp. 20,000 174 Sullivan Dental Products, Inc. 16,800 172 Sumitomo Bank of California 10,800 265 Summit Bancorp 36,347 1,277 * Summit Care Corp. 2,100 47 * Summit Technology, Inc. 17,100 243 Sun Co., Inc. 29,414 893 * Sun Coast Industries, Inc. 6,300 27 Sun Communities, Inc. 11,900 320 * Sun Healthcare Group, Inc. 30,700 437 * Sun Microsystems, Inc. 72,352 4,260 SunAmerica Inc. 21,350 1,206 Sunbeam Corp. 38,900 574 * Sunbelt Nursery Group, Inc. 3,500 7 Sundstrand Corp. 24,100 883 * SunGard Data Systems, Inc. 14,800 593 * Sunglass Hut International, Inc. 21,326 518 * Sunrise Medical, Inc. 12,000 231 SunTrust Banks, Inc. 89,839 3,324 Super Food Services, Inc. 16,800 160 * Supercuts, Inc. 34,485 285 * SuperGen, Inc. 18,500 199 Superior Industries International, Inc. 11,550 306 Superior Surgical Manufacturing Co., Inc. 5,600 67 SuperValu Inc. 25,649 808 Susquehanna Bankshares PA 10,100 271 * Swift Energy Co. 12,800 230 * Swift Transportation Co., Inc. 7,700 147 * Swing-n-Slide Corp. 25,397 87 * Sybase, Inc. 26,920 638 * Sybron Corp. 20,496 512 * Sylvan Learning Systems, Inc. 5,400 205 * Symantec Corp. 21,288 267 * Symbol Technologies, Inc. 13,600 605
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * Symmetricom Inc. 18,200 $ 242 * Syms Corp. 20,200 149 * Synagro Technologies Inc. 8,046 9 Synalloy Corp. 5,100 82 * Syncor International Corp. 3,500 45 * Synetic, Inc. 2,500 92 * Synopsys, Inc. 13,900 554 Synovus Financial Corp. 43,450 940 Sysco Corp. 72,054 2,468 System Software Associates, Inc. 12,200 210 * Systemed Inc. 59,100 175 * Systemix, Inc. 14,990 267 * TBC Corp. 22,850 199 TCA Cable Television, Inc. 12,600 378 TCF Financial Corp. 13,500 449 * TCSI Corp. 11,421 274 TECO Energy, Inc. 46,700 1,179 TIG Holdings, Inc. 22,500 653 TJX Cos., Inc. 38,684 1,306 TNP Enterprises, Inc. 4,300 122 * T.P.I. Enterprises, Inc. 29,000 104 * TRO Learning, Inc. 16,500 274 TRW, Inc. 25,478 2,290 * TST Impreso, Inc. 32,800 291 Talbots Inc. 13,500 437 Tambrands, Inc. 14,723 602 * Tandem Computers, Inc. 45,580 564 Tandy Corp. 23,998 1,137 Tanger Factory Outlet Centers, Inc. 12,411 289 * Target Therapeutics, Inc. 12,956 531 Taubman Co. REIT 33,400 372 * Team Rental Group, Inc. 16,700 232 * Tech Data Corp. 15,122 330 Tech/Ops Sevcon, Inc. 5,000 83 * Tech-Sym Corp. 10,002 298 * Techne 600 18 * Technology Solutions Co. 8,719 302 * Tecnol Medical Products Inc. 3,300 63 Tecumseh Products Co. Class A 7,800 421 * Tejas Gas Corp. 11,470 399 Tektronix, Inc. 13,020 583 * Tel-Save Holdings, Inc. 18,150 381 * Telco Systems, Inc. 5,100 87 * Tele-Communications International, Inc. Series A 42,500 752 * Tele-Communications, Inc. Class A 252,770 4,566 * Tele-Communications, Inc. Class B 4,200 78 Teledyne Inc. 21,074 761 Teledyne Inc. Pfd. Series E 130 2 Teleflex Inc. 7,063 337 Telephone & Data Systems, Inc. 23,800 1,071 * Tellabs, Inc. 34,694 2,320 Telxon Corp. 7,900 94 Temple-Inland Inc. 22,026 1,030 * Tencor Instruments 19,400 364 * Tenet Healthcare Corp. 85,972 1,838 Tenneco, Inc. 69,185 3,537 * Teradyne, Inc. 33,229 573 Terra Industries, Inc. 32,350 400 Texaco Inc. 105,286 8,831 Texas Industries, Inc. 5,200 357 Texas Instruments, Inc. 75,351 3,758 Texas Regional Bancshares, Inc. 5,900 150 Texas Utilities Co. 88,910 3,801 Textron, Inc. 33,506 2,676 * Theragenics Corp. 50,042 769 * Thermo Cardiosystems Inc. 14,450 647 * Thermo Ecotek Corp. 11,300 274 Thermo Electron Corp. 55,062 2,292 * Thermo Fibertek, Inc. 39,825 672 * Thermo Instrument Systems, Inc. 36,418 1,174 Thermo Remediation, Inc. 16,400 205 * Thermo TerraTech 100 1 * Thermo Voltek 18,300 352 * Thermolase Corp. 18,200 496 * Thermotrex Corp. 7,700 379 * Thermedics, Inc. 19,350 484 Thiokol Corp. 3,000 119 Thomas & Betts Corp. 15,327 575 * Thompson PBE, Inc. 13,400 159 Thor Industries, Inc. 6,900 141 Thornburg Mortgage Asset Corp. 21,700 353 * 3 Com Corp. 65,593 2,997 360 Communications Co. 46,549 1,117 Tidewater, Inc. 24,100 1,057 Tiffany & Co. 8,584 627 Timberline Software Corp. 50,032 469 Time Warner, Inc. 154,714 6,073 Times Mirror Co. Class A 41,716 1,815 The Timkin Co. 11,845 459 Titan Wheel International, Inc. 16,450 263 Toastmaster, Inc. 10,300 46 Today's Bancorp 2,100 62 * Today's Man Inc. 38,300 49 * Todd Shipyards Corp. 48,747 366 * Todhunter International, Inc. 19,300 174 * Toll Brothers, Inc. 24,300 398 Tootsie Roll Industries, Inc. 7,047 251 * The Topps Co., Inc. 18,897 105 Torch Energy Royalty Trust 22,100 204 Torchmark Corp. 28,148 1,231 The Toro Co. 4,300 142 Tosco Corp. 17,386 874 Total Petroleum (North America) Ltd. 14,900 145
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Market Value Shares (000)+ - ---------------------------------------------------------------------- * Total Renal Care Holdings, Inc. 1,000 $ 42 Total System Services, Inc. 51,524 1,179 * Total-Tel USA Communications, Inc. 1,320 47 Town & Country Trust 22,400 294 * Toy Biz 7,800 158 * Toys R Us, Inc. 107,012 3,050 * Tractor Supply Co. 2,200 51 * Trak Auto Corp. 17,500 291 * Trans World Airlines 17,097 244 Transamerica Corp. 26,607 2,155 Transatlantic Holdings 8,400 589 Transnational Re Corp. 5,700 139 Transpo Inc. 25,725 177 * Transport Holdings, Inc. Class A 2,652 124 * TransTexas Gas Corp. 1,700 16 * Transworld Home Healthcare, Inc. 32,226 296 * Travelers/Aetna Property Casualty Corp. Class A 17,000 482 Travelers Group Inc. 188,834 8,616 Tredegar Industries Inc. 1,800 54 * Tremont Corp. 8,046 291 Trenwick Group Inc. 5,600 281 * Triad Guaranty, Inc. 6,900 252 * Triarc Cos., Inc. Class A 5,700 66 Tribune Co. 24,497 1,779 Trimas Corp. 14,600 341 * Trimble Navigation Ltd. 14,600 279 Trinity Industries, Inc. 16,650 566 Trinova Corp. 11,433 382 * Triquint Semiconductor, Inc. 2,700 56 * Triton Energy Ltd. 10,300 501 * Trump Hotels & Casino Resorts, Inc. 9,400 268 The Trust Co. of N.J. 18,800 248 Trustco Bank 200 4 Trustmark Corp. 17,100 366 * Tucson Electric Power Co. 24,780 335 * Tuesday Morning, Inc. 15,198 203 * Tupperware Corp. 23,782 1,005 Turner Broadcasting Class A 2,400 65 Turner Broadcasting Class B 79,819 2,195 * 20th Century Industries 28,200 469 Tyco International Ltd. 60,238 2,455 * Tyco Toys, Inc. 47,300 242 * Tyler Corp. 108,700 299 Tyson Foods, Inc. 57,846 1,580 * UAL Corp. 28,380 1,525 * UCAR International, Inc. 18,500 770 UGI Corp. Holding Co. 13,200 290 UMB Financial Corp. 9,317 347 UNR Industries, Inc. 33,400 324 UNUM Corp. 29,027 1,807 * URS Corp. 22,300 176 * USA Waste Service 34,955 1,036 * USDATA Corp., Inc. 15,003 270 USF&G Corp. 47,683 781 * USG Corp. 18,100 505 USLIFE Corp. 11,341 373 UST Corp. 21,000 315 UST, Inc. 80,646 2,762 USX Delphi Group 6,300 77 USX-Marathon Group 114,546 2,305 USX-U.S. Steel Group 32,187 913 * Ultrafem, Inc. 9,267 185 Ultramar Corp. 17,800 516 * Ultratech Stepper, Inc. 6,600 123 Unicom Corp. 83,609 2,331 Unifi, Inc. 25,950 730 Unifirst Corp. 5,000 106 Uniforce Services Inc. 3,900 76 * Unigene 28,300 86 * Unilab Corp. 19,400 30 Union Camp Corp. 27,529 1,342 Union Carbide Corp. 53,046 2,109 Union Electric Co. 39,172 1,577 Union Pacific Corp. 81,928 5,725 Union Pacific Resources Group, Inc. 20,000 535 Union Planters Corp. 18,343 557 Union Texas Petroleum Holdings, Inc. 35,000 683 UnionBanCal Corp. 12,200 644 * Uniroyal Chemical Corp. 3,800 56 * Uniroyal Technology Corp. 1,000 4 * Unisys Corp. 74,580 531 United Asset Management Corp. 24,000 588 * United Capital Corp. 24,900 202 United Carolina Bancshare Corp. 10,700 242 United Cos. Finance Corp. 11,217 383 United Dominion Industries Ltd. 19,900 458 United Dominion Realty 22,500 323 United Healthcare Corp. 72,646 3,669 United Illuminating Co. 6,300 235 * United Insurance Cos., Inc. 10,800 245 * United International Holdings, Inc. Class A 2,000 28 * United Meridian Corp. 11,400 410 United Mobile Homes, Inc. 19,100 210 United National Bancorp 4,300 138 U S WEST Communications Group 187,051 5,962 * U S WEST Media Group 184,764 3,372 * USAir Group, Inc. 28,563 514 USBANCORP, Inc. 3,900 126 U.S. Bancorp 64,219 2,316 * U.S. Bioscience 22,887 312 * U.S. Energy Corp. 10,760 201
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * U.S. Filter Corp. 3,500 $ 122 U.S. Healthcare, Inc. 60,210 3,308 * U.S. Home Corp. 11,200 276 * U.S. Industries, Inc. 21,000 507 * U.S. Long Distance Corp. 9,964 352 * U.S. Office Products Co. 9,700 406 * U.S. Robotics Corp. 33,881 2,893 * United States Can Co. 11,709 190 * United States Cellular 30,700 952 * United States Satellite Broadcasting Co., Inc. Class A 33,500 1,260 United States Surgical Corp. 24,665 765 United States Trust Corp. 7,551 383 United Technologies Corp. 48,509 5,579 United Television, Inc. 5,500 533 * United Waste Systems, Inc. 19,000 608 United Wisconsin 12,400 322 Unitrin Inc. 14,500 685 * Unitrode Corp. 12,511 242 Universal Corp. 14,000 371 * Universal Electronics, Inc. 18,400 212 Universal Foods Corp. 13,913 513 * Universal Health Services Class B 14,600 381 Unocal Corp. 97,767 3,300 * Uranium Resources, Inc. 13,132 190 Urban Shopping Centers REIT 14,800 352 * Urohealth Systems, Inc. Class A 13,871 199 Utilicorp United, Inc. 18,400 508 * UUnet Technologies, Inc. 12,100 800 VF Corp. 25,344 1,511 * VLSI Technology, Inc. 18,800 262 VWR Scientific Products Corp. 2,900 47 * Vaalco Energy, Inc. 46,500 20 * Valassis Communication 28,200 522 * Valence Technology 3,400 18 Valero Energy Corp. 16,700 418 Valhi, Inc. 25,400 181 Valley National Bancorp 14,944 381 Valspar Corp. 8,900 409 Value City Department Stores, Inc. 32,500 358 * Value Health, Inc. 25,372 599 Value Line, Inc. 3,600 126 * ValuJet Inc. 13,900 131 * Vanguard Cellular Systems, Inc. Class A 17,613 386 * Vanstar Corp. 26,700 447 * Varco International, Inc. 21,572 391 Varian Associates, Inc. 11,500 595 * Varity Corp. 15,361 739 Vastar Resources, Inc. 38,800 1,450 * Vencor, Inc. 27,862 850 * Venture Stores, Inc. 70,663 459 * VeriFone, Inc. 10,200 431 * Verity, Inc. 11,400 323 Vesta Insurance Group, Inc. 7,000 234 * Veterinary Centers of America, Inc. 14,060 310 * Viacom International Class A 4,953 189 * Viacom International Class B 157,118 6,108 * Viasoft, Inc. 6,474 418 * Vicor Corp. 16,619 387 * Vicorp Restaurants, Inc. 16,500 200 * Video Lottery 14,400 67 * VideoLan Technologies, Inc. 14,800 309 * Videoserver, Inc. 8,700 338 * Viewlogic Systems, Inc. 23,091 319 * Viking Office Products 30,900 968 Vintage Petroleum, Inc. 19,100 487 Virginia Beach Federal Financial Corp. 10,200 71 * Vishay Intertechnology, Inc. 24,511 579 * Visix Space Inc. 11,671 398 * Vitesse Semiconductor Corp. 3,600 87 * Vivra, Inc. 17,000 559 * Vmark Software, Inc. 42,414 395 * Volt Information Sciences Inc. 3,100 137 * Vons Cos., Inc. 18,900 706 Vornado Realty Trust 10,600 433 Vulcan Materials Co. 13,890 825 WCI Steel, Inc. 6,400 34 WFS Bancorp, Inc. 10,300 239 * WFS Financial, Inc. 1,500 33 * WHX Corp. 10,000 91 * WMS Industries, Inc. 16,700 411 WMX Technologies Inc. 197,245 6,460 WPL Holdings, Inc. 12,300 404 WPS Resources Corp. 1,021 32 * WRT Energy Corp. 28,200 8 * WSFS Financial Corp. 6,700 49 * Waban, Inc. 15,900 380 Wabash National Corp. 10,450 185 Wachovia Corp. 67,337 2,946 Wackenhut Corp. 8,892 219 Wackenhut Corp. Class B 6,350 117 * Wackenhut Corrections Corp. 5,100 170 * Wahlco Environmental 38,500 24 Wainwright Bank & Trust Co. 4,600 22 Wal-Mart Stores, Inc. 912,884 23,164 Walbro Corp. 10,800 223 Walgreen Co. 97,380 3,262 * Walker Interactive Systems, Inc. 39,900 406 * Wall Data Inc. 16,396 355 Wallace Computer Services, Inc. 9,200 550 Warnaco Group 20,653 532 Warner-Lambert Co. 108,017 5,941
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Market Value Shares (000)+ - ---------------------------------------------------------------------- Washington Energy Co. 18,200 $ 359 Washington Federal Inc. 16,368 338 Washington Gas Light Corp. 10,298 227 Washington Mutual Inc. 28,691 861 Washington National Corp. 6,500 167 Washington Post Co. Class B 4,400 1,426 Washington Real Estate Investment Trust 15,800 265 Washington Water Power Co. 23,000 428 * Waters Corp. 13,500 446 Watkins-Johnson Co. 9,100 249 * Watson Pharmaceuticals, Inc. 15,114 572 Watts Industries Class A 17,000 317 Waverly, Inc. 3,018 67 * Weatherford Enterra Inc. 31,254 938 * Webco Industries, Inc. 18,800 113 Weeks Corp. 11,000 286 Weingarten Realty Investors 10,900 422 * Weirton Steel 19,800 59 Weis Markets, Inc. 15,800 515 * Wellcare Management Group, Inc. 16,100 148 Wellman, Inc. 17,945 419 Wellpoint Health Networks Inc. Class A 26,435 826 Wells Fargo & Co. 38,807 9,270 Wellsford Residential Property Trust 15,400 347 Wendy's International, Inc. 50,497 941 Werner Enterprises, Inc. 11,200 290 Westbanco Inc. 3,300 89 Wesco Financial Corp. 2,842 455 Westcorp, Inc. 19,507 346 * Western Atlas Inc. 21,238 1,237 * Western Digital Corp. 7,800 204 Western Gas Resources, Inc. 6,700 109 Western Investment Real Estate Trust 4,600 60 Western National Corp. 12,700 233 Western Resources, Inc. 25,100 750 * Western Wireless Corp. 2,000 43 Westinghouse Air Brake Co. 4,000 53 Westinghouse Electric Corp. 164,819 3,090 * Westpoint Stevens, Inc. 12,743 306 Westport Bancorp, Inc. 2,200 14 Westvaco Corp. 38,947 1,164 * Westwood One, Inc. 16,700 257 * WetSeal, Inc. Class A 21,900 521 Weyerhaeuser Co. 79,085 3,361 Wheelabrator Technologies 71,262 1,087 Whirlpool Corp. 29,544 1,466 * White River 8,842 408 Whitman Corp. 39,625 956 Whitney Holdings 6,570 200 Wicor, Inc. 10,500 396 Willamette Industries, Inc. 21,182 1,258 Williams Cos., Inc. 41,833 2,071 * Williams Sonoma, Inc. 19,308 456 Wilmington Trust Corp. 15,700 510 * Wind River Systems 10,459 363 Windmere-Durable Holdings, Inc. 18,399 241 Winn Dixie Stores, Inc. 60,575 2,143 * Winners Entertainment, Inc. 36,700 40 * Wireless One, Inc. 2,700 48 * Wisconsin Central Transportation Corp. 23,100 745 Wisconsin Energy Corp. 41,738 1,205 Wiser Oil Co. 14,000 177 Witco Chemical Corp. 22,600 777 Wolohan Lumber Co. 28,078 291 Wolverine World Wide, Inc. 11,898 387 * Wonderware Corp. 11,100 211 * Woolworth Corp. 52,392 1,179 * World Acceptance Corp. 22,500 166 * World Color Press, Inc. 13,500 343 * World Corp. 33,600 227 World Fuel Services Corp. 11,741 213 WorldCom, Inc. 77,156 4,268 Worthington Industries, Inc. 33,389 693 Wrigley, (Wm.) Jr. 45,938 2,320 Wyle Electronics 9,800 325 * Wyman Gordon Corp. 30,300 536 X-Rite Inc. 12,700 197 Xerox Corp. 128,733 6,887 * Xoma Corp. 33,756 226 * Xilinx, Inc. 27,100 859 Xtra Corp. 8,100 358 * Xylan Corp. 14,400 671 * Yellow Corp. 26,947 355 York International Corp. 16,000 828 * Young Broadcasting Corp. 3,900 148 * Zanart Entertainment, Inc. 35,100 121 * Zebra Technologies Class A 12,400 219 * Zenith Electronics Corp. 25,282 307 Zenith National Insurance Corp. 13,300 364 Ziegler Cos., Inc. 2,800 53 * Zilog Inc. 9,000 216 Zions Bancorp. 5,772 422 * Zoll Medical Corp. 31,700 501 * Zoltek Cos., Inc. 16,200 551 Zurich Reinsurance Centre Holdings, Inc. 10,700 337 Zurn Industries, Inc. 9,400 195 * Zycad Corp. 27,112 160 - ---------------------------------------------------------------------- TOTAL COMMON STOCKS (96.9%)(1) (Cost $2,291,257) 2,774,817 - ----------------------------------------------------------------------
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Face Market TOTAL STOCK Amount Value MARKET PORTFOLIO (continued) (000) (000)+ - ---------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.1%) - ---------------------------------------------------------------------- U.S. TREASURY BILL--Note D 5.02%, 7/11/96 $ 2,400 $ 2,397 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 5.35%, 7/1/96 30,483 30,483 - ---------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $32,880) 32,880 - ---------------------------------------------------------------------- TOTAL INVESTMENTS (98.0%) (Cost $2,324,137) 2,807,697 - ---------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (2.0%) - ---------------------------------------------------------------------- Receivables for Portfolio Shares Issued 691,331 Other Assets--Notes B and E 20,438 Payables for Investment Securities Purchased (636,405) Other Liabilities--Note E (18,185) ------------- 57,179 - ---------------------------------------------------------------------- NET ASSETS (100%) - ---------------------------------------------------------------------- Applicable to 174,760,773 outstanding shares of beneficial interest (unlimited authorization) $2,864,876 - ---------------------------------------------------------------------- NET ASSET VALUE PER SHARE $16.39 ======================================================================
+ See Note A to Financial Statements. * Non-Income Producing Security. (1) The combined market value of common stocks, Standard & Poor's 500 Index futures contracts, and Standard & Poor's Midcap 400 futures contracts represents 99.5% of net assets.
- ---------------------------------------------------------------------- AT JUNE 30, 1996, NET ASSETS CONSISTED OF: - ---------------------------------------------------------------------- AMOUNT PER (000) SHARE ---------- ---------- PAID IN CAPITAL $2,363,696 $13.52 UNDISTRIBUTED NET INVESTMENT INCOME 6,259 .03 ACCUMULATED NET REALIZED GAINS 11,430 .07 UNREALIZED APPRECIATION (DEPRECIATION)--NOTE D: INVESTMENT SECURITIES 483,560 2.77 FUTURES CONTRACTS (69) -- - ---------------------------------------------------------------------- NET ASSETS $2,864,876 $16.39 - ----------------------------------------------------------------------
Market Value GROWTH PORTFOLIO Shares (000)+ - ---------------------------------------------------------------------- COMMON STOCKS - ---------------------------------------------------------------------- General Electric Co. 329,514 $ 28,503 The Coca-Cola Co. 494,672 24,177 AT&T Corp. 318,448 19,744 Philip Morris Cos., Inc. 164,438 17,102 Merck & Co., Inc. 243,276 15,722 * Microsoft Corp. 117,700 14,124 Johnson & Johnson 264,058 13,071 Procter & Gamble Co. 135,928 12,318 Intel Corp. 162,708 11,939 Wal-Mart Stores, Inc. 454,598 11,535 PepsiCo, Inc. 310,632 10,989 Hewlett-Packard Co. 101,100 10,072 American International Group, Inc. 93,850 9,256 Pfizer, Inc. 126,350 9,018 Bristol-Myers Squibb Co. 99,708 8,974 E.I. du Pont de Nemours & Co. 110,700 8,759 GTE Corp. 193,300 8,650 The Walt Disney Co. 134,427 8,451 American Home Products Corp. 125,436 7,541 Eli Lilly & Co. 109,128 7,092 Abbott Laboratories 155,784 6,776 Ameritech Corp. 110,100 6,537 McDonald's Corp. 138,830 6,490 * Cisco Systems, Inc. 112,700 6,382 SBC Communications Inc. 120,300 5,925 Minnesota Mining & Manufacturing Co. 82,896 5,720 Gillette Co. 88,168 5,499 Eastman Kodak Co. 68,600 5,334 Home Depot, Inc. 94,957 5,128 * Oracle Corp. 130,034 5,120 Wells Fargo & Co. 19,300 4,610 Unilever NV ADR 31,720 4,603 Schering-Plough Corp. 73,218 4,594 Kimberly-Clark Corp. 55,898 4,318 Schlumberger Ltd. 48,000 4,044 Emerson Electric Co. 44,524 4,024 Monsanto Co. 116,700 3,793 Sears, Roebuck & Co. 77,500 3,768 Anheuser-Busch Co., Inc. 50,126 3,759 Sprint Corp. 86,200 3,620 First Data Corp. 44,228 3,522 Campbell Soup Co. 49,531 3,492 Computer Associates International, Inc. 48,080 3,426 Xerox Corp. 63,900 3,419 Sara Lee Corp. 95,900 3,105 Kellogg Co. 42,243 3,094 Time Warner, Inc. 78,000 3,062 Warner-Lambert Co. 53,914 2,965 Nike, Inc. Class B 28,300 2,908
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Market Value Shares (000)+ - ---------------------------------------------------------------------- Pacific Telesis Group 84,600 $ 2,855 * Amgen, Inc. 52,796 2,838 * AirTouch Communications 99,100 2,800 Northern Telecom Ltd. 50,800 2,762 Medtronic, Inc. 46,364 2,596 Colgate-Palmolive Co. 29,001 2,458 Tele-Communications, Inc. Class A 128,900 2,320 Automatic Data Processing, Inc. 57,804 2,233 H.J. Heinz Co. 73,469 2,232 ConAgra, Inc. 48,152 2,185 * Sun Microsystems, Inc. 36,600 2,150 * WorldCom, Inc. 38,650 2,135 The Dun & Bradstreet Corp. 33,865 2,117 CPC International, Inc. 28,791 2,073 Albertson's, Inc. 49,974 2,068 Gannett Co., Inc. 28,165 1,993 Barrick Gold Corp. 70,600 1,915 The Gap, Inc. 57,306 1,841 PPG Industries, Inc. 37,300 1,818 Corning, Inc. 45,600 1,750 General Mills, Inc. 31,808 1,734 CoreStates Financial Corp. 43,800 1,686 U.S. Healthcare, Inc. 30,400 1,668 Walgreen Co. 49,134 1,646 First Bank System, Inc. 28,200 1,636 * Boston Scientific Corp. 35,500 1,598 Illinois Tool Works, Inc. 23,518 1,590 Mattel, Inc. 54,710 1,566 Westinghouse Electric Corp. 82,400 1,545 * 3 Com Corp. 33,200 1,515 Dayton-Hudson Corp. 14,200 1,464 W.R. Grace & Co. 19,600 1,389 Marsh & McLennan Cos., Inc. 14,388 1,388 UST Inc. 40,126 1,374 Marriott International 25,408 1,366 Ralston-Ralston Purina Group 21,147 1,356 * CUC International, Inc. 37,850 1,344 Praxair, Inc. 30,718 1,298 Halliburton Co. 22,700 1,260 MBNA Corp. 43,964 1,253 Sysco Corp. 36,094 1,236 Tyco International Ltd. 30,100 1,227 Avon Products, Inc. 26,834 1,211 Hercules, Inc. 21,700 1,199 Wrigley, (Wm.) Jr. 23,211 1,172 * Tellabs, Inc. 17,500 1,168 Alco Standard Corp. 25,200 1,140 Crown Cork & Seal Co., Inc. 25,300 1,139 Placer Dome, Inc. 47,500 1,134 Freeport-McMoRan Copper & Gold Inc. Class B 35,300 1,125 Hershey Foods Corp. 15,300 1,123 Hilton Hotels Corp. 9,600 1,080 Fluor Corp. 16,495 1,078 Winn Dixie Stores, Inc. 30,338 1,073 International Flavors & Fragrances, Inc. 22,107 1,053 Dover Corp. 22,632 1,044 Becton, Dickinson & Co. 12,600 1,011 * Cabletron Systems, Inc. 14,400 988 * The Kroger Co. 24,721 976 Newmont Mining Corp. 19,620 969 Newell Co. 31,624 968 * Bay Networks 37,500 966 The Clorox Co. 10,414 923 The Quaker Oats Co. 26,724 912 The McGraw-Hill Cos. 19,930 912 Tribune Co. 12,378 899 Pioneer Hi Bred International 16,600 878 Green Tree Financial Corp. 27,100 847 * EMC Corp. 45,200 842 Southwest Airlines Co. 28,800 839 * Computer Sciences Corp. 11,200 837 Rubbermaid, Inc. 30,170 822 Comcast Corp. Class A Special 43,277 790 Interpublic Group of Cos., Inc. 15,780 740 * General Instrument 24,800 716 Harcourt General, Inc. 14,000 700 * Ceridian Corp. 13,400 677 H & R Block, Inc. 20,374 665 * Andrew Corp. 12,012 649 Engelhard Corp. 28,167 648 Raychem Corp. 8,700 625 Deluxe Corp. 16,300 579 Avery Dennison Corp. 10,300 565 * Harrah's Entertainment, Inc. 19,967 564 Pall Corp. 22,664 547 * St. Jude Medical, Inc. 15,994 532 The Dial Corp. 18,300 524 The Stanley Works 17,500 521 Allergan, Inc. 12,752 501 Whitman Corp. 20,546 496 Homestake Mining Co. 28,300 485 TJX Cos., Inc. 14,300 483 * ALZA Corp. 16,540 453 * Owens Corning 9,937 427 Ecolab, Inc. 12,736 420 Pep Boys (Manny, Moe & Jack) 12,300 418 Perkin-Elmer Corp. 8,276 399 Teledyne Inc. 11,000 397 Millipore Corp. 8,800 369 Foster Wheeler Corp. 8,100 363 * Oryx Energy Co. 20,900 340 Shared Medical Systems Corp. 4,400 283
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Market Value GROWTH PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- Autodesk, Inc. 9,200 $ 274 Bally Entertainment Corp. 9,900 272 Meredith Corp. 5,400 225 * USAir Group, Inc. 12,500 225 Trinova Corp. 5,400 180 John H. Harland Co. 6,100 150 Freeport-McMoRan Copper & Gold Inc. Class A 4,000 120 * Armco, Inc. 18,600 93 * Shoney's Inc. 7,853 85 Comcast Corp. Class A 4,555 84 - ---------------------------------------------------------------------- TOTAL COMMON STOCKS (100.1%) (Cost $428,163) 511,264 - ---------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (.1%) - ----------------------------------------------------------------------
Face Amount (000) ----------- U.S. TREASURY BILL 5.02%, 7/5/96 $100 100 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 5.35%, 7/1/96 497 497 - ---------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $597) 597 - ---------------------------------------------------------------------- TOTAL INVESTMENTS (100.2%) (Cost $428,760) 511,861 - ---------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-.2%) - ---------------------------------------------------------------------- Receivables for Investment Securities Sold 60,459 Other Assets--Note B 3,524 Payables for Investment Securities Purchased (64,171) Other Liabilities (795) ------------ (983) - ---------------------------------------------------------------------- NET ASSETS (100%) - ---------------------------------------------------------------------- Applicable to 33,165,210 outstanding shares of beneficial interest (unlimited authorization) $510,878 - ---------------------------------------------------------------------- NET ASSET VALUE PER SHARE $15.40 ====================================================================== +See Note A to Financial Statements. *Non-Income Producing Security.
- ---------------------------------------------------------------------- AT JUNE 30, 1996, NET ASSETS CONSISTED OF: - ---------------------------------------------------------------------- AMOUNT PER (000) SHARE ---------- ----------- PAID IN CAPITAL $424,695 $12.80 UNDISTRIBUTED NET INVESTMENT INCOME 565 .02 ACCUMULATED NET REALIZED GAINS 2,517 .08 UNREALIZED APPRECIATION OF INVESTMENTS--NOTE D 83,101 2.50 - ---------------------------------------------------------------------- NET ASSETS $510,878 $15.40 - ----------------------------------------------------------------------
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Market Value VALUE PORTFOLIO Shares (000)+ - ---------------------------------------------------------------------- COMMON STOCKS - ---------------------------------------------------------------------- Exxon Corp. 384,191 $ 33,377 Royal Dutch Petroleum Co. ADR 165,812 25,494 International Business Machines Corp. 168,248 16,657 Mobil Corp. 121,970 13,676 BellSouth Corp. 307,552 13,033 Citicorp 150,346 12,422 General Motors Corp. 233,858 12,248 Chevron Corp. 201,890 11,912 Ford Motor Co. 363,606 11,772 Motorola, Inc. 183,100 11,512 Federal National Mortgage Assn. 337,752 11,315 Amoco Corp. 153,554 11,113 Chase Manhattan Corp. 134,930 9,529 The Boeing Co. 107,027 9,325 Bell Atlantic Corp. 135,500 8,638 BankAmerica Corp. 113,163 8,572 NationsBank Corp. 92,602 7,651 Columbia/HCA Healthcare Corp. 138,500 7,392 Chrysler Corp. 115,695 7,173 Pharmacia & Upjohn, Inc. 157,600 6,994 Texaco Inc. 81,719 6,854 Travelers Group Inc. 146,735 6,695 American Express Co. 149,473 6,670 NYNEX Corp. 135,112 6,418 Allstate Corp. 137,674 6,281 Atlantic Richfield Co. 49,700 5,889 Dow Chemical Co. 77,382 5,881 MCI Communications Corp. 213,776 5,451 First Union Corp. 88,119 5,364 Lockheed Martin Corp. 61,500 5,166 Southern Co. 207,486 5,109 WMX Technologies Inc. 153,000 5,011 AlliedSignal Inc. 87,500 4,998 J.P. Morgan & Co., Inc. 58,127 4,919 Banc One Corp. 139,817 4,754 Federal Home Loan Mortgage Corp. 55,291 4,727 U S WEST Communications Group 146,733 4,677 Union Pacific Corp. 63,600 4,444 * Viacom International Class B 113,700 4,420 United Technologies Corp. 37,666 4,332 * COMPAQ Computer Corp. 83,000 4,088 Caterpillar, Inc. 60,000 4,065 Baxter International, Inc. 84,048 3,971 Norwest Corp. 113,200 3,948 The Seagram Co. Ltd. 115,614 3,888 Rockwell International Corp. 67,275 3,851 First Chicago NBD Corp. 97,877 3,829 Raytheon Co. 74,050 3,823 General Re Corp. 25,076 3,818 Burlington Northern Santa Fe Corp. 47,100 3,809 J.C. Penney Co., Inc. 69,500 3,649 Fleet Financial Group, Inc. 81,243 3,534 Merrill Lynch & Co., Inc. 53,008 3,452 International Paper Co. 92,301 3,404 Phillips Petroleum Co. 81,100 3,396 May Department Stores Co. 77,240 3,379 Norfolk Southern Corp. 39,440 3,343 McDonnell Douglas Corp. 68,616 3,328 Deere & Co. 81,232 3,249 Duke Power Co. 63,372 3,248 CSX Corp. 65,400 3,156 Enron Corp. 77,000 3,147 PNC Bank Corp. 105,425 3,136 Aluminum Co. of America 54,394 3,121 The Bank of New York Co., Inc. 60,300 3,090 Archer-Daniels-Midland Co. 160,880 3,077 Pacific Gas & Electric Co. 128,918 2,997 Texas Utilities Co. 69,827 2,985 Dean Witter Discover & Co. 51,604 2,954 Texas Instruments, Inc. 58,100 2,898 Loews Corp. 36,400 2,871 United Healthcare Corp. 55,900 2,823 CIGNA Corp. 23,619 2,784 KeyCorp 71,700 2,778 Tenneco, Inc. 53,800 2,751 The Chubb Corp. 54,342 2,710 AMP, Inc. 66,700 2,676 U S WEST Media Group 144,800 2,643 FPL Group, Inc. 56,869 2,616 Weyerhaeuser Co. 61,342 2,607 SunTrust Banks, Inc. 70,100 2,594 Unocal Corp. 76,500 2,582 Aetna Life & Casualty Co. 35,597 2,545 * AMR Corp. 27,670 2,518 American Brands, Inc. 54,874 2,490 American Electric Power Co., Inc. 57,736 2,461 Occidental Petroleum Corp. 98,723 2,443 Edison International 137,716 2,427 Mellon Bank Corp. 42,422 2,418 * Applied Materials, Inc. 79,400 2,412 * Toys R Us, Inc. 84,600 2,411 National City Corp. 68,329 2,400 * ITT Corp. 36,218 2,399 American General Corp. 64,174 2,334 Morgan Stanley Group, Inc. 47,300 2,324 The Goodyear Tire & Rubber Co. 47,990 2,316 Wachovia Corp. 52,300 2,288 Household International, Inc. 30,089 2,287 Dominion Resources, Inc. 54,805 2,192 Pitney Bowes, Inc. 45,900 2,192 * Federated Department Stores 64,200 2,191 Honeywell, Inc. 39,200 2,136
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Market Value VALUE PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * Digital Equipment Corp. 47,419 $ 2,134 Alcan Aluminium Ltd. 69,833 2,130 Consolidated Edison Co. of New York, Inc. 72,677 2,126 Novell, Inc. 151,811 2,087 Textron, Inc. 25,963 2,074 Public Service Enterprise Group Inc. 75,719 2,073 Service Corp. International 36,000 2,070 PacifiCorp 90,812 2,021 Georgia-Pacific Corp. 28,300 2,009 Houston Industries, Inc. 81,236 2,000 Entergy Corp. 70,487 2,000 Air Products & Chemicals, Inc. 34,576 1,997 Boatmen's Bancshares, Inc. 48,896 1,950 ITT Hartford Group, Inc. 36,218 1,929 American Stores Co. 46,388 1,914 Browning-Ferris Industries, Inc. 65,800 1,908 Central & South West Corp. 64,762 1,878 Unicom Corp. 66,404 1,851 Kmart Corp. 148,688 1,840 Bankers Trust New York Corp. 24,573 1,815 TRW, Inc. 20,170 1,813 ALLTEL Corp. 58,600 1,802 The Limited, Inc. 83,700 1,800 U.S. Bancorp 49,830 1,794 USX-Marathon Group 88,921 1,790 PECO Energy Corp. 68,680 1,786 Lowes Cos., Inc. 49,400 1,785 Barnett Banks, Inc. 29,154 1,778 Carolina Power & Light Co. 46,362 1,762 Genuine Parts Co. 37,700 1,725 Bank of Boston Corp. 34,696 1,717 Transamerica Corp. 21,029 1,703 Aon Corp. 33,500 1,700 Fifth Third Bancorp 31,600 1,699 Morton International, Inc. 45,500 1,695 Burlington Resources, Inc. 39,200 1,686 R.R. Donnelley & Sons Co. 47,668 1,662 Dresser Industries, Inc. 56,200 1,658 Micron Technology Inc. 63,700 1,648 Union Carbide Corp. 40,907 1,626 Comerica, Inc. 36,100 1,611 Conrail, Inc. 24,240 1,609 Williams Cos., Inc. 32,412 1,604 Delta Air Lines, Inc. 19,074 1,583 Amerada Hess Corp. 28,778 1,543 CINergy Corp. 48,063 1,538 Consolidated Natural Gas Co. 28,982 1,514 PanEnergy Corp. 45,914 1,509 Masco Corp. 49,600 1,500 Eastman Chemical 24,500 1,491 Ingersoll-Rand Co. 33,729 1,476 Lincoln National Corp. 31,800 1,471 Baker Hughes, Inc. 44,062 1,449 * Federal Express Corp. 17,510 1,436 Salomon, Inc. 32,556 1,432 * Tenet Healthcare Corp. 66,622 1,424 Eaton Corp. 24,100 1,413 Inco Ltd. 43,380 1,399 Times Mirror Co. Class A 32,024 1,393 UNUM Corp. 22,300 1,388 Cooper Industries, Inc. 33,415 1,387 DTE Energy Co. 44,896 1,386 SAFECO Corp. 39,020 1,380 St. Paul Cos., Inc. 25,484 1,363 Coastal Corp. 32,654 1,363 Nucor Corp. 26,900 1,362 Melville Corp. 32,535 1,318 General Public Utilities Corp. 37,300 1,315 Baltimore Gas & Electric Co. 45,617 1,294 * Price/Costco Inc. 60,474 1,293 Phelps Dodge Corp. 20,458 1,276 Rohm & Haas Co. 20,100 1,261 Dillard Department Stores Class A 34,468 1,258 Dow Jones & Co., Inc. 30,040 1,254 Union Electric Co. 31,106 1,252 Providian Corp. 29,012 1,244 Great Lakes Chemical Corp. 19,800 1,233 Sherwin-Williams Co. 26,500 1,232 Champion International Corp. 29,169 1,218 W.W. Grainger, Inc. 15,600 1,209 Silicon Graphics, Inc. 49,900 1,198 Northrop Grumman Corp. 17,515 1,193 General Dynamics Corp. 19,194 1,190 Sonat, Inc. 26,274 1,182 VF Corp. 19,643 1,171 PP&L Resources Inc. 48,500 1,146 Whirlpool Corp. 22,952 1,139 Jefferson-Pilot Corp. 21,698 1,120 Knight-Ridder, Inc. 15,124 1,096 Nordstrom, Inc. 24,600 1,089 Republic New York Corp. 17,200 1,071 Circuit City Stores, Inc. 29,600 1,069 Case Corp. 22,100 1,061 LSI Logic Corp. 39,400 1,024 Northern States Power Co. 20,736 1,024 Union Camp Corp. 20,956 1,022 Black & Decker Corp. 26,424 1,021 Ohio Edison Co. 46,344 1,014 Great Western Financial Corp. 42,436 1,013 Reynolds Metals Co. 19,403 1,011 Golden West Financial Corp. 17,958 1,006 Willamette Industries, Inc. 16,700 989 Dana Corp. 31,478 976
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Market Value Shares (000)+ - ---------------------------------------------------------------------- New York Times Co. Class A 29,769 $ 971 Torchmark Corp. 22,147 969 Hasbro, Inc. 26,880 961 * Western Atlas Inc. 16,438 958 Parker Hannifin Corp. 22,512 954 H.F. Ahmanson & Co. 35,203 950 Kerr-McGee Corp. 15,444 940 * Woolworth Corp. 41,111 925 Westvaco Corp. 30,917 924 Laidlaw Inc. Class B 91,000 921 Beneficial Corp. 16,168 907 Tandy Corp. 18,962 898 ITT Industries, Inc. 35,618 895 Mallinckrodt Group, Inc. 22,900 890 Humana, Inc. 49,800 890 Columbia Gas Systems, Inc. 16,645 868 Johnson Controls, Inc. 12,467 866 The Mead Corp. 16,363 849 Brown-Forman Corp. Class B 20,817 833 * Tupperware Corp. 19,100 807 Temple-Inland Inc. 16,794 785 Apple Computer, Inc. 37,176 776 * DSC Communications Corp. 25,652 770 Liz Claiborne, Inc. 22,177 768 * Biomet, Inc. 54,287 767 Ashland Inc. 19,206 761 Rite Aid Corp. 25,323 753 Reebok International Ltd. 22,400 753 Manor Care Inc. 18,900 744 FMC Corp. 11,400 744 Pacific Enterprises 24,900 738 Bausch & Lomb, Inc. 17,296 735 Louisiana-Pacific Corp. 32,600 721 Harris Corp. 11,787 719 USX-U.S. Steel Group 25,092 712 Wendy's International, Inc. 38,145 710 Echlin, Inc. 18,500 701 Sun Co., Inc. 22,353 679 James River Corp. 25,567 674 Ryder System, Inc. 23,850 671 Maytag Corp. 31,805 664 Mercantile Stores Co., Inc. 11,193 656 Nalco Chemical Co. 20,600 649 Pennzoil Co. 14,018 648 Giant Food, Inc. Class A 18,067 648 Armstrong World Industries Inc. 11,200 645 SuperValu Inc. 20,473 645 Cyprus Amax Minerals Co. 28,132 636 * National Semiconductor Corp. 40,845 633 Polaroid Corp. 13,852 632 American Greetings Corp. Class A 22,586 615 The BF Goodrich Co. 15,936 596 C.R. Bard, Inc. 17,500 595 Brunswick Corp. 29,400 588 Louisiana Land & Exploration Co. 10,200 588 * Fruit of the Loom, Inc. 23,000 587 USF&G Corp. 35,635 584 Snap-On Inc. 12,203 578 United States Surgical Corp. 18,598 577 Paccar, Inc. 11,793 575 National Service Industries, Inc. 14,615 572 Moore Corp. Ltd. 30,228 571 * Varity Corp. 11,800 568 General Signal Corp. 14,900 564 Bemis Co., Inc. 16,100 564 Cooper Tire & Rubber Co. 25,300 563 Santa Fe Pacific Gold Corp. 39,800 562 * Advanced Micro Devices, Inc. 41,089 560 Worthington Industries, Inc. 27,091 559 Sigma Aldrich Corp. 10,500 557 Boise Cascade Corp. 14,661 537 Darden Restaurants Inc. 48,000 516 Cummins Engine Co., Inc. 12,100 489 Harnischfeger Industries Inc. 14,400 479 ENSERCH Corp. 20,783 452 Tektronix, Inc. 10,000 448 Thomas & Betts Corp. 11,900 446 NorAm Energy Corp. 40,764 443 * Tandem Computers, Inc. 35,529 440 NICOR, Inc. 15,222 432 Echo Bay Mines Ltd. 39,500 425 Fleetwood Enterprises, Inc. 13,654 423 Stone Container Corp. 30,000 413 * King World Productions, Inc. 11,200 407 Caliber System Inc. 11,800 401 * Bethlehem Steel Corp. 33,100 393 Alberto-Culver Co. Class B 8,400 390 * Amdahl Corp. 36,169 389 Great Atlantic & Pacific Tea Co., Inc. 11,618 382 * Rowan Cos., Inc. 25,700 379 Crane Co. 9,100 373 * Unisys Corp. 50,900 363 Briggs & Stratton Corp. 8,800 362 Scientific-Atlanta, Inc. 23,300 361 * Beverly Enterprises Inc. 30,067 361 The Timkin Co. 9,288 360 ASARCO, Inc. 12,823 354 Peoples Energy Corp. 10,398 348 Potlatch Corp. 8,664 339 McDermott International, Inc. 16,234 339 USLIFE Corp. 10,231 336 Niagara Mohawk Power Corp. 42,829 332 Russell Corp. 11,832 327 * Santa Fe Energy Resources, Inc. 27,392 325
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Market Value VALUE PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- EG & G, Inc. 14,400 $ 308 Springs Industries Inc. Class A 5,900 298 Safety-Kleen Corp. 17,005 298 Cincinnati Milacron, Inc. 12,200 293 Inland Steel Industries, Inc. 14,752 290 Consolidated Freightways, Inc. 13,300 281 Centex Corp. 8,704 271 Helmerich & Payne, Inc. 7,300 267 Alexander & Alexander Services, Inc. 13,500 267 Ball Corp. 9,193 264 Ogden Corp. 14,553 264 Longs Drug Stores, Inc. 5,849 261 Jostens Inc. 11,900 235 * Navistar International Corp. 22,800 225 Pulte Corp. 7,979 213 * Charming Shoppes, Inc. 30,004 208 Adolph Coors Co. Class B 11,557 207 ONEOK, Inc. 8,200 205 Eastern Enterprises 6,100 203 Kaufman & Broad Home Corp. 11,800 171 Giddings & Lewis, Inc. 10,478 170 Luby's Cafeterias, Inc. 7,000 164 * Intergraph Corp. 13,400 162 Fleming Cos., Inc. 11,203 161 * Tele-Communications, Inc. Class A 8,618 155 * Data General Corp. 11,400 148 NACCO Industries, Inc. Class A 2,600 144 * Ryan's Family Steak Houses, Inc. 14,800 137 * Community Psychiatric Centers 12,900 122 Stride Rite Corp. 14,000 115 Outboard Marine Corp. 6,000 109 * Yellow Corp. 7,974 105 Brown Group, Inc. 5,000 87 * Viacom International Class A 766 29 - ---------------------------------------------------------------------- TOTAL COMMON STOCKS (100.3%)(1) (Cost $661,141) 767,295 - ---------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (.1%) - ---------------------------------------------------------------------- U.S. TREASURY BILL--Note D 5.02%, 7/5/96 $100 $ 100 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 5.35%, 7/1/96 362 362 - ---------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $462) 462 - ---------------------------------------------------------------------- TOTAL INVESTMENTS (100.4%) (Cost $661,603) 767,757 - ---------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-.4%) - ---------------------------------------------------------------------- Receivables for Investment Securities Sold 95,309 Other Assets--Note B 5,824 Payables for Investment Securities Purchased (102,794) Other Liabilities (1,343) ------------- (3,004) - ---------------------------------------------------------------------- NET ASSETS (100%) - ---------------------------------------------------------------------- Applicable to 48,816,828 outstanding shares of beneficial interest (unlimited authorization) $764,753 - ---------------------------------------------------------------------- NET ASSET VALUE PER SHARE $15.67 ======================================================================
+ See Note A to Financial Statements. * Non-Income Producing Security. (1) The combined market value of common stocks and Standard & Poor's Value Index futures contracts represents 100.4% of net assets.
- ---------------------------------------------------------------------- AT JUNE 30, 1996, NET ASSETS CONSISTED OF: - ---------------------------------------------------------------------- AMOUNT PER (000) SHARE ----------- ----------- PAID IN CAPITAL $635,158 $13.01 UNDISTRIBUTED NET INVESTMENT INCOME 3,399 .07 ACCUMULATED NET REALIZED GAINS 20,038 .41 UNREALIZED APPRECIATION-- NOTE D: INVESTMENT SECURITIES 106,154 2.18 FUTURES CONTRACTS 4 -- - ---------------------------------------------------------------------- NET ASSETS $764,753 $15.67 - ----------------------------------------------------------------------
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Market SMALL CAPITALIZATION Value STOCK PORTFOLIO Shares (000)+ - ---------------------------------------------------------------------- COMMON STOCKS - ---------------------------------------------------------------------- AAR Corp. 43,900 $ 894 ABM Industries 24,900 974 * ABR Information Services, Inc. 22,675 1,136 * ABT Building Products Corp. 24,100 536 AGL Resources Inc. 106,200 2,004 AK Steel Holding Corp. 14,200 555 AMLI Residential Properties Trust 30,400 627 * APL Ltd. 47,600 1,243 * APS Holding Corp. 33,600 735 * AST Research, Inc. 61,459 419 * A+ Network, Inc. 21,400 328 * ATC Communications, Inc. 32,000 418 * ATS Medical, Inc. 66,200 666 Aames Financial Corp. 9,000 323 * Access Health Marketing, Inc. 29,000 1,377 * Acclaim Entertainment Inc. 51,900 503 * Accustaff, Inc. 36,000 985 Ackerley Communications, Inc. 22,700 618 Acordia, Inc. 27,600 931 * Actel Corp. 51,600 951 Activision, Inc. 4,800 63 * Action Performance Cos., Inc. 33,800 488 * Acuson Corp. 62,050 993 * ACX Technologies Inc. 39,400 783 * Acxiom Corp. 43,800 1,492 ADAC Laboratories 54,633 1,246 * Addington Resources, Inc. 39,000 970 * Adelphia Communications Corp. Class A 78,500 579 * Advanced Lighting Technologies, Inc. 11,900 205 * Advanced Polymer Systems 53,900 505 * Advanced Technology Laboratories, Inc. 27,500 1,007 * Advanced Tissue Sciences Inc. 75,500 1,227 ADVO, Inc. 49,950 518 * Advent Software, Inc. 21,600 605 * Affiliated Computer Services, Inc. 20,600 971 * Agouron Pharmaceuticals, Inc. 19,800 770 * Air and Water Technologies Corp. Class A 98,600 592 Air Express International Corp. 31,700 888 Airborne Freight Corp. 44,900 1,167 * Alaska Air Group, Inc. 34,600 947 Albank Financial Corp. 28,440 752 Albany International Corp. 52,800 1,195 Alex Brown, Inc. 27,700 1,565 Alexander & Alexander Services, Inc. 80,500 1,590 * Alexander's, Inc. 12,700 922 Alfa Corp. 55,700 633 Alico, Inc. 16,400 328 * Alkermes, Inc. 39,500 484 The Allen Group, Inc. 55,460 1,206 * Alliance Entertainment 70,900 487 * Alliance Pharmaceutical Corp. 51,400 845 * Alliance Semiconductor Corp. 16,300 135 * Alliant Techsystems, Inc. 21,700 1,023 Allied Group, Inc. 24,300 1,054 * Allied Waste Industries, Inc. 114,100 1,005 * Alltrista Corp. 31,793 743 * Allwaste, Inc. 152,800 707 * Alpha Industries, Inc. 2,400 21 Alpharma Inc. Class A 32,100 638 * Alteon, Inc. 29,200 327 * Alternative Resources Corp. 23,300 847 * Amax Gold, Inc. 123,031 677 Amcast Industrial Corp. 30,700 622 AMCOL International Corp. 42,500 640 Amcore Financial 32,580 652 * Amerco Inc. 12,100 337 * America West Airlines, Inc. 98,000 2,156 American Annuity Group Inc. 42,800 556 American Bankers Insurance Group 39,700 1,737 * American Buildings Co. 22,300 647 American Business Products, Inc. 29,500 645 * American Eagle Outfitters, Inc. 23,100 411 American Filtrona Corp. 4,900 152 * American Freightways 51,800 573 American Health Properties, Inc. 42,700 945 American Health Properties Psychiatric Group 2,870 45 American Heritage Life Investment Corp. 35,932 786 * American Homestar Corp. 23,500 599 * American Management Systems, Inc. 50,875 1,494 * American Media Class A 131,900 692 * American Medical Response, Inc. 35,900 1,265 * American Mobile Satellite Corp., Inc. 29,900 456 * American Oncology Resources, Inc. 53,200 1,150 * American Paging, Inc. 28,200 210 * American Radio Systems Corp. 26,700 1,155 * American Superconductor Corp. 31,000 438 * American Travellers Corp. 43,950 1,008 * Americredit Corp. 57,100 892 * Amerin Corp. 48,200 1,283 * Amerisource Health Corp. 47,000 1,563 Ameron International Corp. 17,100 675 Ametek, Inc. 66,600 1,448 * Amisys Managed Care Systems 20,700 539 * Ampal-American Israel Corp. 36,400 182 * Ampex Corp. 44,800 409 Amresco, Inc. 61,200 1,052
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Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- Analogic Corp. 30,100 $ 801 Anchor Bancorp Wisconsin Inc. 22,175 773 * Anchor Gaming 23,600 1,419 * Ancor Communications, Inc. 26,500 447 Angelica Corp. 34,000 803 * Anixter International Inc. 80,100 1,191 * AnnTaylor Stores Corp. 45,700 925 * Antec Corp. 18,700 299 Apache Corp. 1,975 65 Apogee Enterprises, Inc. 36,600 1,249 * Apollo Group, Inc. Class A 9,625 267 Apple South, Inc. 57,850 1,547 Applebee's International, Inc. 64,800 2,098 * Applied Bioscience International, Inc. 71,008 741 * Applied Digital Access, Inc. 54,400 564 * Applied Innovation Inc. 54,000 580 * Applied Magnetics Corp. 49,000 514 Applied Power, Inc. 23,100 647 * Applix, Inc. 32,800 939 * Apria Healthcare 93,100 2,921 Aptargroup Inc. 37,700 1,140 Aquarion Co. 28,706 710 Arbor Drugs, Inc. 34,300 709 * Arbor Health Care Co. 14,800 407 * Arbor Software Corp. 19,034 1,135 Arcadian Corp. 65,800 1,299 * Arch Communications Group, Inc. 44,400 821 Arctco Inc. 59,300 745 Argonaut Group, Inc. 37,000 1,142 * Argosy Gaming Co. 79,800 593 * Armco, Inc. 163,600 818 Arnold Industries, Inc. 38,600 545 Arrow International, Inc. 19,400 541 * Arthrocare Corp. 27,200 486 * Artisoft, Inc. 23,700 209 Arvin Industries, Inc. 45,100 1,003 * Ascent Entertainment Group, Inc. 13,300 332 Ashland Coal Inc. 26,600 692 * Aspect Telecommunications 24,500 1,219 * Aspen Technologies, Inc. 13,600 750 Associated Banc-Corp. 33,883 1,321 * Associated Group, Inc. 30,224 903 * Associated Group, Inc. Class B 375 11 Astoria Financial Corp. 42,400 1,153 * Asyst Technologies, Inc. 9,000 161 * Atari Corp. 173,800 999 * Athena Neurosciences, Inc. 57,000 969 Atlantic Energy, Inc. 102,300 1,867 * Atlantic Realty Trust Inc. 15,587 131 Atlantic Southeast Airlines Inc. 50,600 1,433 * Atlantic Tele-Network, Inc. 27,900 663 Atmos Energy Corp. 33,900 1,038 * Atria Software, Inc. 22,400 1,126 Augat, Inc. 35,900 686 * Aura Systems, Inc. 121,000 427 * Auspex Systems, Inc. 47,700 709 Authentic Fitness Corp. 36,900 687 * Autotote Corp. 9,900 20 Avalon Properties 63,200 1,375 * Avant! Corp. 17,400 402 * Avatar Holding, Inc. 17,600 612 Avemco Corp. 23,100 312 Aviall Inc. 74,275 687 * Avid Technology, Inc. 43,000 793 * Aztar Corp. 78,500 903 * BBN Corp. 38,600 839 * BDM International, Inc. 25,800 1,200 BHC Financial Inc. 975 13 * BISYS Group, Inc. 46,000 1,728 * BJ Services Co. 59,300 2,083 * BMC Industries, Inc. 54,800 1,575 BMC West Corp. 36,200 609 BRE Properties Inc. Class A 71,048 1,385 BSB Bancorp, Inc. 15,373 398 * BT Office Products International, Inc. 37,300 667 BW/IP Inc. 51,000 975 * Baby Superstore, Inc. 16,800 279 J. Baker, Inc. 36,100 277 Baldor Electric Co. 42,370 953 Ball Corp. 59,500 1,711 Ballard Medical Products 55,666 1,065 BancorpSouth, Inc. 42,700 929 * Banctec, Inc. 51,828 1,049 Bank of Granite Corp. 28,875 743 Bank North Group 24,200 838 Bankers Life Holding Corp. 28,600 633 Banta Corp. 62,100 1,572 * Banyan Systems, Inc. 10,600 76 Barefoot, Inc. 65,500 712 Barnes Group, Inc. 15,000 767 * Barr Labs Inc. 30,900 796 * Barrett Resources Corp. 56,300 1,675 Bassett Furniture Industries, Inc. 30,225 805 Battle Mountain Gold Co. Class A 161,900 1,174 Bay Apartment Communities, Inc. 37,600 973 Bay State Gas Co. 25,576 713 Bay View Capital Corp. 25,203 863 Beacon Properties Corp. 43,700 1,120 Bearings, Inc. 31,800 859 * Belco Oil & Gas Corp. 31,000 1,100 Belden Inc. 49,000 1,470 * Bell & Howell Co. 24,400 796 * Benton Oil & Gas Co. 49,400 1,090 * Berg Electronics Corp. 23,700 563
56 81
Market Value Shares (000)+ - ---------------------------------------------------------------------- W.R. Berkley Corp. 26,050 $ 1,097 Berkshire Realty Co., Inc. 89,700 975 Berry Petroleum Class A 64,700 736 * Best Buy, Inc. 54,000 1,235 Bindly Western Industries, Inc. 42,200 707 * Bio-Rad Labs, Inc. Class A 28,500 1,022 * Biomatrix, Inc. 34,900 560 * Biotechnology General 124,400 1,026 Birmingham Steel Corp. 60,000 982 * Black Box Corp. 44,100 1,036 Black Hills Corp. 30,900 769 Blair Corp. 19,300 456 Blessings Corp. 13,700 140 Block Drug Co. Class A 24,362 1,011 Bob Evans Farms, Inc. 84,300 1,428 * Boca Research, Inc. 28,900 524 * Boise Cascade Office Products Corp. 14,700 509 * Bombay Co. 117,275 733 * Books-a-Million Inc. 56,400 469 * Boole & Babbage Inc. 37,575 888 Borg-Warner Automotive, Inc. 49,900 1,971 * Borg-Warner Security Corp. 57,900 564 * Borland International, Inc. 62,500 566 Boston Bancorp 19,900 863 * Boston Technology, Inc. 43,200 732 Bowne & Co., Inc. 25,000 516 * Box Energy Corp. Class B 81,600 739 * Boyd Gaming Corp. 46,400 696 W.H. Brady Class A 37,800 855 Breed Technological Inc. 40,000 895 Brenco, Inc. 22,500 361 Brenton Banks, Inc. 24,550 589 * Bright Voice Systems, Inc. 35,100 746 * Bristol Hotel Co. 26,400 858 * Broadband Technologies, Inc. 26,800 868 * Broadway & Seymour, Inc. 12,800 151 * Broderbund Software, Inc. 31,500 1,020 * Brooktree Corp. 70,500 736 Brown Group, Inc. 58,500 1,016 Brush Wellman, Inc. 50,200 954 * Buckeye Cellulose Corp. 36,100 997 * Buffets Inc. 55,900 678 * Burlington Coat Factory Warehouse Corp. 18,100 190 * Burlington Industries, Inc. 136,100 1,922 * Burr-Brown Corp. 31,900 554 * CAI Wireless Systems, Inc. 55,655 511 CBL & Associates Properties, Inc. 42,600 953 CCB Financial Corp. 32,483 1,677 * C-Cor Electronics, Inc. 38,000 674 * C-Cube Microsystems, Inc. 37,800 1,250 * CDI Corp. 34,800 1,174 CKE Restaurants Inc. 38,500 982 * CKS Group, Inc. 13,000 418 CMAC Investment Corp. 23,300 1,340 CML Group, Inc. 179,600 763 CNB Bankshares, Inc. 35,921 1,028 * CNS, Inc. 31,100 752 * C. P. Clare Corp. 17,700 453 CPI Corp. 52,500 866 * CSF Holdings Inc. Contingent Litigation Rights 29,125 14 * CSG Systems International, Inc. 8,400 216 * C-TEC Corp. 37,900 1,135 CWM Mortgage Holdings Inc. 84,000 1,428 * Cable Design Technologies 36,700 1,211 * Cablevision Systems Corp. Class B 15,500 717 Cabot Oil & Gas Corp. Class A 46,326 805 * Caere Corp. 57,700 663 * Cal Fed Bancorp Inc. 103,178 1,883 * Calgene, Inc. 105,800 698 Calgon Carbon Corp. 73,600 994 Cali Realty Corp. 29,100 706 * California Amplifier, Inc. 16,700 380 * California Microwave, Inc. 35,000 538 California Water Service Co. 25,313 886 Calmat Co. 39,300 712 Cambrex Corp. 13,700 700 * Cambridge Technology Partners 43,000 1,314 Camco International, Inc. 50,600 1,714 Camden Property Trust 32,000 760 * Canandaigua Wine Co., Inc. Class A 14,800 446 * Canandaigua Wine Co., Inc. Class B 15,200 450 * Cannondale Corp. 28,800 576 Capital Re Corp. 24,800 911 Capitol American Financial Corp. 18,400 462 Capmac Holdings Inc. 12,800 365 Capstead Mortgage Corp. 48,300 1,346 * Capstone Pharmacy Services, Inc. 50,000 637 * Capsure Holdings 46,000 822 Caraustar Industries, Inc. 52,500 1,404 * Career Horizons Inc. 36,900 1,291 Carlisle Co., Inc. 28,700 1,525 * Carmike Cinemas, Inc. Class A 33,700 910 Carpenter Technology Corp. 34,600 1,107 CarrAmerica Realty Corp. 40,800 979 * Carrington Labs Inc. 28,000 721 * Carson Pirie Scott & Co. 33,100 885 Carter-Wallace, Inc. 46,800 684 Cascade Natural Gas Corp. 12,650 182 Casey's General Stores 50,700 1,001 Cash America International Inc. 121,900 792 * Casino America, Inc. 73,600 598 * Casino Magic Corp. 106,600 590
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Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- A.M. Castle & Co. 24,025 $ 567 * Castle & Cooke, Inc. 24,900 398 * Catalina Marketing Corp. 19,900 1,821 * Catellus Development Corp. 158,450 1,446 Cato Corp. Class A 53,200 316 Cavalier Homes, Inc. 24,400 564 * Cellstar Corp. 56,000 497 * Cellpro, Inc. 35,300 622 * Cellular Communications International Inc. 19,900 664 * Cellular Communications of Puerto Rico, Inc. 14,800 480 * Cellular Technical Services Co. 59,422 1,043 * Cellularvision USA, Inc. 24,600 381 * Centennial Technologies, Inc. 15,900 475 * Centex Construction Products 45,700 645 Centex Corp. 56,400 1,755 Central Hudson Gas & Electric Corp. 35,000 1,094 Central Louisiana Electric Co. 46,000 1,225 Central Maine Power Co. 68,614 995 Central Parking Corp. 17,000 504 Central Vermont Public Service Corp. 14,200 181 Centura Banks, Inc. 49,700 1,826 * Century Communications Corp. Class A 69,316 598 * Cephalon Inc. 48,500 952 * Cerner Corp. 44,200 950 * Champion Enterprises, Inc. 77,800 1,624 * Champion Healthcare Corp. 14,200 161 * Chancellor Broadcasting Co. Class A 30,300 952 Chaparral Steel Co. 33,500 440 * Charming Shoppes, Inc. 191,500 1,340 Charter One Financial 67,135 2,337 Charter Power Systems, Inc. 21,400 738 * Chase Brass Industries, Inc. 44,200 823 * Checkfree Corp. 42,600 849 Chelsea GCA Realty, Inc. 30,200 959 Chemed Corp. 22,900 856 Chemical Finance 18,593 690 * The Cherry Corp. Class A 15,800 174 * The Cherry Corp. Class B 15,000 157 Chesapeake Corp. of Virginia 49,800 1,307 * Chesapeake Energy Corp. 2,900 261 * Cheyenne Software, Inc. 79,200 1,525 * Chic by H.I.S., Inc. 8,300 43 * Chicago Miniature Lamp, Inc. 2,300 86 * Children's Discovery Centers of America, Inc. 2,600 17 Chiquita Brands International, Inc. 58,800 764 Chittenden Corp. 38,635 860 * Christiana Cos., Inc. 3,900 83 Church and Dwight, Inc. 37,300 779 * Chyron Corp. 163,000 1,019 * Cidco, Inc. 20,000 705 Cilcorp, Inc. 27,000 1,154 Cincinnati Milacron, Inc. 78,377 1,881 Citicasters, Inc. 30,000 941 Citifed Bancorp 21,200 833 Citizens Bancorp MD 25,100 743 Citizens Bancshares, Inc. 2,100 61 Citizens Banking Corp. 21,800 616 Citizens Corp. 35,000 656 * Citizens Utilities Co. Class B 154,302 1,794 * Citrix Systems, Inc. 41,600 1,576 City National Corp. 75,800 1,194 Claire's Stores, Inc. 61,000 1,685 Clarcor Inc. 33,050 818 * Clarify, Inc. 5,200 256 Cleveland-Cliffs Iron Co. 24,500 958 * Cliffs Drilling Co. 9,107 306 * Clintrials Research, Inc. 22,200 916 * Coast Savings Financial, Inc. 38,500 1,261 * Coastal Physician Group, Inc. 77,400 532 * Coastcast Corp. 4,200 80 Coca-Cola Bottling Co. 19,222 673 * Cocensys, Inc. 56,100 526 Coeur D'Alene Mines Corp. 43,043 791 * Cognex Corp. 67,600 1,103 * Coherent Communications Systems Corp. 31,600 664 * Coherent, Inc. 22,500 1,178 * Cole National Corp. Class A 39,800 796 Collagen Corp. 38,000 727 Collective Bancorp, Inc. 42,000 1,000 * Collins & Aikman Corp. 143,100 859 Colonial Bancgroup, Inc. 28,500 955 * Colonial Data Technologies Corp. 42,400 636 Colonial Properties Trust 35,200 854 * Coltec Inc. 92,000 1,311 * Columbia Laboratories Inc. 80,100 1,191 Columbus Realty Trust 45,700 885 Comair Holdings, Inc. 42,700 1,161 * COMFORCE Corp. 20,000 525 Commerce Bancorp, Inc. 37,948 896 Commerce Group, Inc. 66,000 1,378 Commercial Federal Corp. 28,300 1,082 Commercial Intertech Corp. 49,350 1,271 Commercial Metals Co. 24,366 810 * Commnet Cellular Inc. 28,300 854 Commonwealth Energy Systems 38,600 994 Communications Systems, Inc. 18,300 249 * Community Healthcare Systems 41,500 2,148 * Community Psychiatric Centers 98,250 933 * Compdent Corp. 17,300 802
58 83
Market Value Shares (000)+ - ---------------------------------------------------------------------- * Compression Labs, Inc. 4,640 $ 27 * CompUSA, Inc. 11,400 389 * Computer Horizons Corp. 32,700 1,288 * Computer Management Sciences, Inc. 16,100 497 * Computer Network Technology Corp. 90,600 657 * Computer Products, Inc. 48,422 823 * Computervision Corp. 133,200 1,332 * Comverse Technology, Inc. 44,200 1,354 * Conceptus, Inc. 22,300 374 * Concord EFS, Inc. 36,538 1,306 * Cone Mills Corp. 47,600 536 * Conmed Corp. 25,950 689 Connecticut Natural Gas Corp. 35,200 788 * Continental Airlines, Inc. Class B 33,900 2,093 * Continental Waste Industries, Inc. 15,800 354 * Continuum Co. 5,100 296 * Control Data Corp. 22,200 476 * Cooper & Chyan Technology, Inc. 14,500 314 Adolph Coors Co. Class B 77,900 1,397 * Copytele, Inc. 124,200 1,071 * Cor Therapeutics, Inc. 76,600 876 * Coram Healthcare Corp. 25,400 105 * COREStaff, Inc. 19,200 854 * Corrections Corp. of America 11,500 805 * Cort Business Services Corp. 1,900 37 Corus Bankshares Inc. 24,700 750 Cousins Properties, Inc. 47,700 936 * Covenant Transport, Inc. 7,300 123 * Coventry Corp. 68,900 1,081 Crawford & Co. Class B 48,700 846 * Cray Research, Inc. 13,937 336 * Credence Systems Corp. 44,900 603 * Credit Acceptance Corp. 38,000 808 * Cree Research, Inc. 47,800 717 Crescent Real Estate Equities, Inc. 41,300 1,518 Criimi Mae Inc. 101,500 1,117 Crompton & Knowles Corp. 98,400 1,648 A.T. Cross Co. Class A 39,100 694 * Crosscom Corp. 8,800 93 Crown American Realty Trust 95,600 741 * Crown Central Petroleum Corp. Class A 36,900 558 * Cryolife, Inc. 16,100 580 Cubic Corp. 19,000 620 Cullen/Frost Bankers, Inc. 46,280 1,290 * Culligan Water Technologies 31,500 1,197 Curtiss-Wright Corp. 12,800 691 * Cybercash, Inc. 7,250 396 * CyCare Systems, Inc. 20,700 1,079 * Cygnus Inc. 46,400 705 * Cylink Corp. 18,200 312 * Cyrix Corp. 39,900 691 * Cytel Corp. 96,700 429 * Cytogen Corp. 97,020 876 * DII Group Inc. 32,223 832 * D. R. Horton, Inc. 38,344 403 * DSP Communications, Inc. 41,400 2,124 * DSP Group Inc. 10,000 91 * Daka International, Inc. 19,900 465 Dallas Semiconductor Corp. 54,800 993 Dames & Moore, Inc. 37,600 456 * Daniel Industries, Inc. 49,100 712 Dart Group Corp. Class A 7,567 648 * Data General Corp. 80,700 1,049 * Data Translation, Inc. 25,700 416 * Datascope Corp. 39,500 706 Dauphin Deposit Bank & Trust 57,300 1,637 * Davidson and Associates, Inc. 12,500 378 Dean Foods Corp. 83,400 2,064 DeBartolo Realty Corp. 93,400 1,506 * DecisionOne Corp. 29,700 713 Dekalb Genetics Corp. Class B 27,700 713 Delchamps, Inc. 27,553 656 Delta & Pine Land Co. 42,649 1,802 Delta Woodside 16,900 87 * Department 56 Inc. 44,800 1,014 Deposit Guaranty Corp. 40,500 1,792 * Destec Energy Inc. 37,900 483 Developers Diversified Realty Corp. 38,500 1,227 Devon Energy Corp. 46,400 1,137 * Devry, Inc. 33,600 1,512 Dexter Corp. 51,300 1,526 Diagnostic Products Corp. 22,900 882 * Dialogic Corp. 19,800 1,183 * Diamond Multimedia Systems, Inc. 50,963 481 Diamond Shamrock, Inc. 10,000 289 * Digi International, Inc. 29,300 776 * Digital Link Corp. 11,000 186 * Digital Microwave Corp. 67,300 1,115 * Digital Systems Inc. 16,300 245 Dimon Inc. 76,800 1,421 * Dionex Corp. 26,800 881 * Discovery Zone, Inc. 39,400 37 * Documentum, Inc. 16,900 520 Donaldson Co., Inc. 47,200 1,215 * Doubletree Corp. 38,200 1,354 * Dravo Corp. 57,000 848 * The Dress Barn, Inc. 63,700 677 Dreyer's Grand Ice Cream, Inc. 20,800 663 Duke Realty Investments 50,400 1,525 * Dura Pharmaceuticals, Inc. 29,200 1,637 Duriron Co., Inc. 50,300 1,204
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Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- Duty Free International Inc. 33,400 $ 509 * Dynatech Corp. 39,700 1,295 * EIS International, Inc. 22,400 567 * ENSCO International, Inc. 5,450 177 * ESS Technology, Inc. 27,700 509 * ETEC Systems, Inc. 13,500 299 * EZ Communications, Inc. 31,900 770 * Eagle Hardware & Garden, Inc. 17,500 266 * Earthgrains Co. 21,736 712 Easco, Inc. 5,200 41 Eastern Enterprises 42,400 1,410 Eastern Utilities Associates 43,589 855 Eaton Vance Corp. 22,100 793 * EchoStar Communications Corp. 8,400 236 * Edmark Corp. 29,650 597 * Egghead, Inc. 68,300 751 * El Paso Electric Co. 102,100 613 Elcor Corp. 37,000 675 * Electro Rent Corp. 38,779 940 * Electro Scientific Industries, Inc. 31,600 652 * Electroglas, Inc. 35,200 499 * Electronics for Imaging, Inc. 18,800 1,305 Elizabethtown Corp. 30,200 838 * Eltron International Inc. 14,600 396 * Emcare Holdings Inc. 25,500 752 Empire District Electric Co. 48,870 843 * Employee Solutions, Inc. 13,000 409 * Emulex Corp. 3,300 49 Energen Corp. 37,000 819 * Energy Conversion Devices, Inc. 27,200 617 * Energy Ventures Inc. 27,600 897 Enhance Financial Services Group, Inc. 30,800 862 Ennis Business Forms, Inc. 64,550 734 Enron Global Power & Pipelines L.L.C. 13,100 318 * Envoy Corp. 27,600 804 * Envirosource, Inc. 86,600 309 * Enzo Biochem, Inc. 38,400 658 * Epic Design Technology, Inc. 21,500 554 * Epitope Inc. 47,500 742 * Ethan Allen Interiors Inc. 36,600 906 * Evans & Sutherland Computer Corp. 30,700 649 Evans Withycombe Residential, Inc. 31,900 666 * Evergreen Media Corp. 29,200 1,241 * Exabyte Corp. 44,000 575 * Exar Corp. 9,100 117 * Excalibur Technologies Corp. 26,000 579 Excel Industries, Inc. 15,100 189 * Excite, Inc. 38,800 318 Executive Risk, Inc. 24,600 941 * Executive Telecard Ltd. 55,200 721 Exide Corp. 35,100 851 * Exide Electronics Group, Inc. 10,800 103 Expeditors International of Washington, Inc. 29,300 901 * Express Scripts 31,100 1,427 * Extended Stay America, Inc. 25,500 800 F & M National Corp. 37,441 683 FMC Gold Co. 68,300 307 F.N.B. Corp. 18,215 433 * FSI International, Inc. 33,500 419 * FTP Software, Inc. 50,300 409 * Fabri-Centers of America, Inc. 33,900 559 * Fabri-Centers of America, Inc. Class B 33,900 513 Factory Stores of America, Inc. 12,600 115 * Falcon Drilling Co., Inc. 29,000 785 Family Dollar Stores, Inc. 82,800 1,439 Farmer Brothers, Inc. 3,550 490 Fay's Drug Co. 76,275 601 Fedders Corp. 76,200 543 Fedders Corp. Class A 67,612 397 Federal-Mogul Corp. 72,300 1,329 Federal Realty Investment Trust 67,700 1,523 Felcor Suite Hotels, Inc. 41,200 1,257 Ferro Corp. 54,400 1,442 Fidelity National Financial, Inc. 45,461 688 * Fieldcrest Cannon, Inc. 38,700 759 * Figgie International Inc. Class A 58,200 869 * FileNet Corp. 28,600 1,030 Financial Security Assurance Holdings Ltd. 66,200 1,812 Financial Trust Corp. 13,802 395 Fingerhut Co. 98,200 1,534 * First Alert, Inc. 37,400 152 First American Financial Corp. 20,500 692 First Bancorp of Ohio 68,400 2,155 First Citizens BancShares Class A 16,800 1,054 First Commerce Bancshares Inc. Class A 5,300 148 First Commerce Bancshares Inc. Class B 8,000 126 First Commercial Corp. 50,876 1,577 First Commonwealth Financial Corp. 45,500 808 * First Federal Financial Corp. 42,775 743 First Federal Savings Bank of Colorado 38,900 511 First Financial Bancorp 24,791 809 First Financial Savings Assn. 63,000 1,425 First Hawaiian, Inc. 43,500 1,245 First Industrial Realty Trust 45,700 1,074 First Merchants Corp. 19,000 482 First Michigan Bank Corp. 38,882 1,215
60 85
Market Value Shares (000)+ - ---------------------------------------------------------------------- First Midwest Bancorp 26,700 $ 754 First Mississippi Corp. 42,300 941 First Source Corp. 31,956 703 * First Team Sports, Inc. 6,200 66 Firstbank of Illinois Co. 10,560 325 Firstbank Puerto Rico 29,600 681 Fisher Scientific International Inc. 33,600 1,260 * Flagstar Cos. 87,060 267 Fleming Cos., Inc. 76,500 1,100 Florida East Coast Railway Co. 11,000 913 Florida Rock Industries, Inc. 28,500 737 * Flow International Corp. 9,200 73 Flowers Industries, Inc. 121,200 1,954 Fluke Corp. 20,700 836 * Foamex International, Inc. 69,400 854 * Foodmaker, Inc. 125,300 1,081 * Fore Systems, Inc. 38,900 1,403 Foremost Corp. of America 17,600 999 Fort Wayne National Corp. 22,500 712 FoxMeyer Health Corp. 38,784 577 Franchise Finance Corp. of America 69,700 1,603 * Franklin Electronic Publishers, Inc. 29,200 584 * Franklin Quest Co. 37,700 782 Freeport-McMoRan, Inc. 56,300 1,999 Fremont General Corp. 38,710 890 * Friedman's Inc. Class A 37,900 971 * Fritz Cos., Inc. 14,300 461 Frontier Insurance Group, Inc. 27,060 934 * Fuisz Technologies Ltd. 24,300 462 H.B. Fuller Co. 28,050 1,020 Fulton Financial Corp. 64,876 1,241 Fund American Enterprise Holding Co. 15,553 1,260 * Furniture Brands International Inc. 123,400 1,357 Furon Co. 34,000 842 * Fusion Systems 28,700 725 G & K Services, Inc. 42,150 1,191 GATX Corp. 40,900 1,973 * GC Cos. 22,050 821 * GRC International, Inc. 19,400 744 Gables Residential Trust 39,000 917 Gainsco, Inc. 78,659 777 * Galileo Electro-Optics Corp. 15,900 381 Arthur J. Gallagher & Co. 30,800 986 * Garden Ridge Corp. 14,900 753 * Gasonics International Corp. 37,100 394 * Gaylord Container Corp. 111,800 873 * Gelman Sciences, Inc. 30,900 699 GenCorp, Inc. 50,100 758 * General Communication, Inc. 85,400 673 * General Datacomm Industries, Inc. 44,800 605 General Growth Properties 50,300 1,213 * General Magic, Inc. 57,000 378 * General Scanning, Inc. 30,500 511 * Genesco, Inc. 93,800 727 * Genesis Health Ventures Inc. 50,600 1,588 * Geneva Steel Class A 55,700 313 * Gensia Inc. 127,629 654 * Gentex Corp. 61,000 1,182 * Genus, Inc. 11,100 108 Geon Co. 51,300 1,154 * Geotek Industries, Inc. 103,000 1,410 * Geoworks 14,500 508 Gerber Scientific, Inc. 31,100 501 * Getchell Gold Corp. 44,512 1,469 Getty Petroleum Corp. 31,500 473 * Gibraltar Steel 25,950 519 * Gibson Greetings, Inc. 29,300 405 Giddings & Lewis, Inc. 75,400 1,235 * Gilead Sciences, Inc. 58,100 1,460 P.H. Glatfelter Co. 53,200 978 * Glendale Federal 84,200 1,526 Glimcher Realty Trust 44,800 756 * Global Industrial Technologies, Inc. 47,200 755 * Global Industries, Ltd. 33,000 990 * Global Natural Resources, Inc. 68,300 1,118 * Global Village Communication 29,000 241 * Golden Books Family Entertainment, Inc. 65,300 792 Goodmark Foods, Inc. 2,100 29 * Goody's Family Clothing 23,700 246 Gorman-Rupp Co. 10,025 133 Goulds Pumps, Inc. 44,000 1,130 Graco, Inc. 46,150 935 * Grancare Inc. 59,172 1,176 * Grand Casinos, Inc. 12,600 324 Great Financial Corp. 40,300 1,045 Green Mountain Power Corp. 10,394 252 Greenfield Industries, Inc. 33,300 1,107 Greif Brothers Corp. Class A 32,200 1,010 Grey Advertising, Inc. 3,000 675 * Griffon Corp. 105,300 856 * Gryphon Holdings, Inc. 600 9 Guarantee Life Cos., Inc. 23,100 404 Guilford Mills, Inc. 29,200 730 * Gulf South Medical Supply, Inc. 22,000 858 * Gupta Corp. 4,000 19 * The Gymboree Corp. 52,100 1,583 HCC Insurance Holdings, Inc. 43,250 973 * HCIA, Inc. 5,000 316 * HMT Technology Corp. 43,400 678 * HNC Software, Inc. 26,700 1,218 * HS Resources Inc. 20,711 241 HUBCO, Inc. 42,701 905
61 86
Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * Ha-Lo Industries, Inc. 25,500 $ 669 * Hadco Corp. 28,500 606 * Haemonetics Corp. 46,050 840 Haggar Corp. 11,000 146 Hancock Holding Co. 20,046 807 Handleman Co. 132,800 913 Handy & Harman 52,300 889 * Harbinger Corp. 27,100 749 John H. Harland Co. 63,200 1,556 Harleysville National Corp. 2,575 66 Harman International Industries, Inc. 28,625 1,410 Harmon Industries, Inc. 10,900 174 * Harmonic Lightwaves, Inc. 35,400 801 Harper Group, Inc. 43,300 850 Harte-Hanks Communications Co. 57,291 1,590 Hartford Steam Boiler Inspection & Insurance Co. 42,200 2,073 * Hartmarx Corp. 119,300 746 Health Care Properties Investors 56,400 1,904 Health Care REIT, Inc. 40,600 873 * Health Management Systems, Inc. 27,900 889 Healthcare Realty Trust Inc. 33,300 791 * Healthdyne Technologies, Inc. 45,001 582 * Healthplan Services Corp. 14,100 324 * Heartland Express, Inc. 32,139 872 * Heartland Wireless Communications, Inc. 23,600 566 Hechinger Co. Class A 63,500 282 * Hecla Mining Co. 105,300 737 * Heftel Broadcasting Corp. 25,500 752 Heilig-Meyers Co. 96,500 2,316 Helix Technology Corp. 19,200 746 Helmerich & Payne, Inc. 50,900 1,864 Herbalife International, Inc. 46,300 677 Heritage Financial Services, Inc. 30,800 658 * Heritage Media Corp. Class A 34,304 1,368 * Hexcel Corp. 75,200 1,147 * Highlands Insurance Group 34,130 640 Highwood Properties, Inc. 40,000 1,105 Hollinger International, Inc. 61,100 695 Holly Corp. 23,700 593 * Hollywood Casino Corp. 8,300 58 * Hollywood Entertainment Corp. 32,600 509 * Hollywood Park, Inc. 71,700 677 * Hologic, Inc. 18,400 807 Home Beneficial Corp. Class B 28,400 731 Home Financial Corp. 50,200 656 * Hometown Buffet, Inc. 49,700 696 Hon Industries, Inc. 51,500 1,474 Horace Mann Educators Corp. 48,900 1,553 * Horizon/CMS Healthcare Corp. 106,531 1,372 Horizon Group Inc. 40,164 823 Hospitality Properties Trust 37,500 1,003 * Host Marriott Services 55,500 402 Houghton Mifflin Co. 30,800 1,532 * Hovnanian Enterprises Class A 650 4 * Hovnanian Enterprises Class B 9,650 57 Hudson Foods Inc. Class A 50,550 708 Huffy Corp. 53,200 685 Hughes Supply, Inc. 20,800 723 * Hugoton Energy Corp. 21,700 180 * Human Genome Sciences, Inc. 34,200 1,261 Hunt Manufacturing Co. 37,000 550 J.B. Hunt Transport Services, Inc. 47,700 999 * Hutchinson Technology, Inc. 14,900 527 * Hybridon, Inc. 25,360 295 * Hyperion Software Corp. 62,900 774 IBS Financial Corp. 30,850 403 ICN Pharmaceuticals, Inc. 63,235 1,470 * ICU Medical, Inc. 33,300 450 * IDEC Pharmaceuticals Corp. 31,600 731 * IDEX Corp. 39,500 1,501 * IDEXX Laboratories 39,555 1,548 * IDT Corp. 19,100 180 * IDX Systems Corp. 23,480 913 IES Industries, Inc. 62,500 1,867 * IGI, Inc. 12,800 101 * IHOP Corp. 31,400 842 * IMP, Inc. 39,700 444 IRT Property Co. 89,599 851 ISB Financial Corp. 12,000 179 * I-STAT Corp. 19,700 372 * ITI Technologies, Inc. 26,600 876 IWC Resources Corp. 16,100 289 * Identix, Inc. 46,600 682 Ideon Group 55,900 755 * Imatron, Inc. 3,500 20 * Immulogic Pharmaceutical Corp. 58,800 526 * Immunex Corp. 37,400 514 * Imperial Bancorp 33,991 820 * Imperial Credit 39,282 1,201 * In Focus Systems, Inc. 21,500 519 * Inbrand Corp. 28,000 798 * Incyte Pharmaceuticals, Inc. 22,100 856 Indiana Energy, Inc. 39,800 1,139 * Inference Corp. Class A 25,300 601 * Information Resources, Inc. 54,000 655 * Inhale Therapeutic Systems 26,200 481 * Inphynet Medical Management, Inc. 40,200 764 * Input/Output, Inc. 39,900 1,292 * Insignia Financial Group 52,600 1,427 * Insilco Corp. 18,800 639 * Inso Corp. 19,200 991
62 87
Market Value Shares (000)+ - ---------------------------------------------------------------------- * Instent, Inc. 7,900 $ 170 Integon Corp. 45,300 912 * Integrated Device Technology Inc. 146,500 1,566 Integrated Health Services, Inc. 41,900 995 * Integrated Measurement Systems, Inc. 11,100 282 * Integrated Packaging Assembly Corp. 32,500 309 * Integrated Process Equipment Corp. 24,500 499 * Integrated Silicon Solution, Inc. 42,300 484 * Integrated Systems Consulting Group Inc. 4,275 82 * Integrated Systems, Inc. 25,300 996 Intelligent Electronics Inc. 65,600 554 Inter-Regional Financial Group, Inc. 41,200 1,071 * Inter-Tel, Inc. 36,400 956 * Intercardia, Inc. 14,000 404 * Intercel, Inc. 26,300 533 * Interdigital Communications Corp. 94,400 802 Interface, Inc. 51,800 800 * Intergraph Corp. 83,100 1,018 * Interim Services, Inc. 28,603 1,219 * Intermagnetics General Corp. 30,800 554 * Intermet Corp. 56,000 781 International Aluminum Corp. 5,600 141 * International Cabletel, Inc. 61,867 1,833 * International Dairy Queen, Inc. Class A 38,000 822 * International Family Entertainment, Inc. Class B 59,050 1,092 * International Imaging Materials Inc. 4,500 106 International Multifoods Corp. 35,700 652 * International Rectifier Corp. 8,100 131 International Shipholding Corp. 11,650 205 * Interneuron Pharmaceutical, Inc. 46,000 1,369 Interpool, Inc. 38,100 695 * Intersolv 65,300 616 Interstate Bakeries 7,900 211 Interstate Power Co. 28,500 916 * Intervoice, Inc. 41,300 816 * Intevac, Inc. 9,200 138 Invacare Corp. 61,200 1,454 * Investment Technology Group, Inc. 31,100 435 Investors Financial Services Corp. Class A 877 20 * Iomega Corp. 120,700 3,478 * Ionics, Inc. 29,500 1,387 * Iron Mountain, Inc. 3,300 68 Irvine Apartment Communities, Inc. 40,100 807 * Irvine Sensors Corp. 10,300 48 Irwin Financial Corp. 14,800 586 * ISIS Pharmaceuticals, Inc. 59,600 1,114 * Isolyser Co., Inc. 45,800 547 * Itron, Inc. 21,600 622 J & L Specialty Steel Inc. 37,400 556 JLG Industries, Inc. 13,400 997 JSB Financial 24,100 801 * Jacobs Engineering Group Inc. 43,200 1,139 Jefferies Group, Inc. 29,916 927 Jefferson Bankshares, Inc. 30,157 673 John Alden Financial Group 52,200 1,155 John Nuveen Co. Class A 10,000 249 * Johnson Worldwide Associates, Inc. 25,500 360 * Johnstown America Industries 400 1 * Jones Intercable Inc. 48,400 687 Jones Medical Industries, Inc. 38,400 1,270 Jostens Inc. 63,000 1,244 Juno Lighting, Inc. 35,800 606 * Just For Feet, Inc. 20,900 1,109 Justin Industries, Inc. 61,550 816 KN Energy, Inc. 40,327 1,351 * K2 Inc. 32,010 868 * Kaiser Aluminum & Chemical Corp. 48,200 530 Kansas City Life Insurance Co. 12,030 671 * Katz Media Group 52,600 756 Kaufman & Broad Home Corp. 70,000 1,015 Kaydon Corp. 34,200 1,471 * Keane, Inc. 33,950 1,252 Kellwood Co. 41,950 771 * Kelly Oil Corp. 35,200 140 * KEMET Corp. 70,700 1,423 Kennametal, Inc. 54,200 1,843 * Kent Electronics Corp. 49,800 1,556 Keystone Financial, Inc. 48,950 1,652 Keystone International, Inc. 55,600 1,154 Kimball International, Inc. Class B 33,700 929 Kimco Realty Corp. 54,500 1,540 * Kinder Care Learning Centers Inc. 54,600 843 Kinetic Concepts, Inc. 57,200 894 * Kirby Corp. 55,400 935 * L. L. Knickerbocker Co. 42,100 487 * Knight Transportation, Inc. 12,500 255 * Koger Equity Inc. 64,100 857 Kranzco Realty Trust 9,200 130 * Kulicke & Soffa Industries, Inc. 38,800 563 Kysor Industrial Corp. 12,800 310 LSI Industries Inc. 17,473 297 LTC Properties, Inc. 40,300 665 * LTX Corp. 69,400 429 La-Z-Boy Chair Co. 26,400 795 * Laboratory Corp. of America 172,500 1,294 Laclede Gas Co. 34,700 776 Lance, Inc. 26,900 447 Landauer, Inc. 32,500 687
63 88
Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * Landec Corp. 20,000 $ 408 * Landmark Graphics Corp. 40,900 795 * Lands' End, Inc. 45,800 1,134 * Landstar System 25,800 742 * Lattice Semiconductor Corp. 45,400 1,095 Lawson Products, Inc. 28,100 708 Lawter International Inc. 67,466 843 Leader Financial Corp. 19,200 854 * Legato Systems, Inc. 13,700 745 Legg Mason Inc. 31,000 1,000 Lennar Corp. 48,550 1,214 Lesco, Inc. 10,800 198 * Level One Communications 38,000 760 Libbey, Inc. 42,200 1,171 Liberty Bancorp, Inc. (Oklahoma) 18,800 673 Liberty Corp. 31,700 1,006 Liberty Financial Cos., Inc. 5,100 173 Liberty Property Trust 59,000 1,173 Life Partners Group, Inc. 48,600 1,106 Life Re Corp. 25,400 784 Life Technologies, Inc. 25,300 813 * Lifecore Biomedical Inc. 23,200 490 * Lifetime Hoan Corp. 14,657 161 Lilly Industries Inc. Class A 57,450 977 * Lin Television 21,000 751 * Lincare Holdings Inc. 30,600 1,197 Lincoln Electric Co. 8,500 296 Lincoln Electric Co. Class A 24,200 726 Lincoln Telecommunications Co. 71,200 1,161 Lindsay Manufacturing Co. 23,087 921 * Liposome Co., Inc. 70,900 1,329 Liqui-Box Corp. 21,100 630 * Littelfuse, Inc. 25,500 963 * Living Centers of America, Inc. 34,100 1,172 * Lo-Jack Corp. 72,800 828 * Logic Works, Inc. 18,900 248 Logicon, Inc. 24,400 729 Lone Star Industries, Inc. 31,500 1,059 Long Island Bancorp, Inc. 52,900 1,617 Longs Drug Stores, Inc. 31,100 1,388 Longview Fiber Co. 97,300 1,654 Luby's Cafeterias, Inc. 48,600 1,142 Lufkin Industries 10,414 212 Lukens, Inc. 30,100 719 * Lydall, Inc. 36,500 803 MAF Bancorp, Inc. 37,623 912 * MAIC Holdings Inc. 24,001 903 MDU Resources Group, Inc. 58,625 1,260 MGI Properties, Inc. 41,800 716 * MRV Communications Inc. 5,400 227 MTS Systems Corp. 36,600 755 MacDermid, Inc. 2,400 169 The Macerich Co. 32,800 689 * MacFrugal's Bargains Close-Outs, Inc. 51,600 916 * Macromedia 42,200 928 Madison Gas & Electric Co. 31,975 691 * Mafco Consolidated 7,200 179 * Magellan Health Services Corp. 58,400 1,256 Magna Bancorp, Inc. 1,500 54 Magna Group 57,100 1,363 * Magnatek 83,200 801 * Manhattan Bagel Co., Inc. 18,700 277 Manitowoc Co., Inc. 26,800 961 Manufactured Home Communities, Inc. 51,400 989 * Manugistics Group, Inc. 39,900 663 * Marcam Corp. 19,700 233 * Marine Drilling Co., Inc. 79,100 796 * Mariner Health Group, Inc. 53,800 995 Mark Twain Bancshares, Inc. 25,550 949 * Markel Corp. 3,400 313 * Marquette Electronics Class A 20,400 357 * Marshall Industries 37,000 1,036 * Martek Biosciences Corp. 20,800 611 Maryland Federal Bancorp 9,100 267 MascoTech Inc. 61,600 909 * Material Sciences Corp. 55,300 954 * Matrix Pharmaceutical, Inc. 32,200 572 * Maxicare Health Plans Inc. 35,717 681 * Maxxam Inc. 20,400 801 * McAfee Associates, Inc. 28,600 1,403 McClatchy Newspapers, Inc. 47,200 1,304 McDonald and Co. Investments, Inc. 35,260 696 * McWorter Technologies Inc. 36,150 642 Meadowbrook Insurance Group, Inc. 6,900 212 Measurex Corp. 25,800 755 * MedCath Inc. 15,200 181 * Medco Research, Inc. 3,800 38 Media General, Inc. Class A 19,900 741 * Medic Computer Systems, Inc. 6,600 536 * MedImmune Inc. 40,500 681 * MedPartners/Mullikin, Inc. 12,261 256 Medusa Corp. 33,150 1,028 * Mego Financial Corp. 35,200 277 Mentor Corp. 49,600 1,262 Merchants New York Bancorporation 10,200 286 * Mercury Interactive Corp. 56,300 760 Meredith Corp. 18,700 781 Meridian Diagnostics, Inc. 25,500 390 Merrill Corp. 26,000 660 Merry Land & Investment Co., Inc. 61,759 1,297 * Mesa Airlines, Inc. 76,300 897 * Mesa, Inc. 236,400 1,300 * Meta-Software, Inc. 15,600 265
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Market Value Shares (000)+ - ---------------------------------------------------------------------- MetaTools, Inc. 17,300 $ 404 Methode Electronics, Inc. Class A 59,000 1,018 * Metricom 50,400 800 * Metrocall, Inc. 41,100 455 * Metromedia International Group, Inc. 57,700 707 * Fred Meyer, Inc. 57,100 1,677 * Michaels Stores, Inc. 27,718 475 * Microage, Inc. 59,100 798 * Microchip Technology, Inc. 69,100 1,728 * Microcom Corp. 54,000 682 * Micron Electronics, Inc. 27,600 335 Micros Systems, Inc. 5,300 145 * Microtouch Systems, Inc. 21,300 389 Mid Am Inc. 38,217 705 Mid-America Apartment Communities, Inc. 36,100 916 Mid-America Bancorp 25,713 415 * Mid Atlantic Medical Services 84,700 1,207 * Midcom Communications, Inc. 23,700 338 Midland Co. 8,600 361 Midwest Grain Products 20,800 260 Herman Miller, Inc. 52,300 1,598 * Miller Industries, Inc. 24,650 706 Mills Corp. 51,700 905 Mine Safety Appliances Co. 16,000 678 Minerals Technologies, Inc. 46,500 1,593 * MiniMed, Inc. 12,400 364 Minnesota Power & Light Co. 51,200 1,485 Mississippi Chemical Corp. 39,800 791 Mitchell Energy & Development Corp. Class A 68,000 1,309 * Mobile Telecommunications Technologies Corp. 102,400 1,491 * MobileMedia Corp. 75,000 900 Modine Manufacturing Co. 40,300 1,063 * Mohawk Industries, Inc. 39,800 711 * Molten Metal Technology 28,200 828 * Robert Mondavi Corp. 22,600 718 The Money Store 38,600 847 * Morningstar Group, Inc. 39,500 444 Morrison Health Care Inc. 33,116 464 Mosinee Paper Corp. 23,733 644 * Mossimo, Inc. 6,900 275 * Mueller Industries Inc. 35,800 1,486 * Multicare Cos., Inc. 44,550 846 * Musicland Stores Corp. 9,200 30 * Mycogen Corp. 32,800 494 Myers Industries, Inc. 35,270 657 * Mylex Corp. 31,900 562 * NABI, Inc. 60,600 572 NAC Re Corp. 38,750 1,298 * NBTY, Inc. 58,300 583 * NFO Research Inc. 30,300 708 * N L Industries, Inc. 39,500 484 NN Ball and Roller 40,000 815 NPC International Class A 71,500 715 NYMAGIC, Inc. 30,700 579 * Nabors Industries, Inc. 51,800 842 NACCO Industries, Inc. Class A 15,300 847 Nash-Finch Co. 43,800 695 Nashua Corp. 5,800 74 National Bankcorp of Alaska Inc. 9,700 604 National Community Bancorp 42,950 1,353 National Computer Systems, Inc. 31,100 659 National Data Corp. 47,650 1,632 * National Education Corp. 80,700 1,150 National Health Investors REIT 37,200 1,218 National Penn Bancshares Inc. 22,605 610 National Presto Industries, Inc. 18,300 695 National Re Holdings Corp. 35,050 1,323 * National Steel Corp. Class B 44,700 486 * National Western Life Insurance Co. Class A 9,500 644 Nationwide Health Properties, Inc. 80,500 1,701 Nature's Sunshine Inc. 42,282 1,089 * Nautica Enterprises Inc. 76,714 2,215 * Navistar International Corp. 145,501 1,437 * Neiman Marcus Group Inc. 15,600 421 * Nellcor Puritan Bennett, Inc. 33,436 1,626 Thomas Nelson, Inc. 48,700 651 * Neopath, Inc. 15,300 384 * Netcom On-Line Communication Services, Inc. 21,800 583 * Netmanage, Inc. 57,600 637 * NetStar, Inc. 5,300 104 * Network Appliance, Inc. 28,300 828 * Network Computing Devices, Inc. 18,500 97 * Network Equipment Technologies 40,100 852 * Network General Corp. 49,800 1,064 * Network Peripherals, Inc. 43,900 749 * Neurex Corp. 16,000 351 * Neurogen Corp. 23,800 607 * Neuromedical Systems, Inc. 55,800 834 Nevada Power Co. 90,500 1,991 New England Business Service, Inc. 43,600 850 New Jersey Resources Corp. 37,500 1,078 * New World Communications Group, Inc. 64,000 932 New York Bancorp Inc. 36,700 936 * Newfield Exploration Co. 35,100 1,365 * Newpark Resources, Inc. 21,600 794 * Nexstar Pharmaceuticals Inc. 47,000 1,034 * Nimbus CD International, Inc. 22,200 289
65 90
Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * Norand Corp. 13,500 $ 268 * Nortek, Inc. 14,208 165 North American Mortgage Co. 41,100 714 * North American Vaccine, Inc. 8,200 150 North Carolina Natural Gas Corp. 28,835 793 North Fork Bancorporation, Inc. 49,700 1,298 * Northfield Laboratories, Inc. 31,700 462 Northland Cranberries, Inc. 22,200 674 Northwest Natural Gas Co. 29,800 1,047 Northwestern Public Service Co. 33,700 906 * Northwestern Steel and Wire Co. 14,300 78 * NovaCare, Inc. 136,400 1,040 * Novellus Systems, Inc. 29,700 1,077 * Noven Pharmaceuticals, Inc. 52,800 848 * Nuevo Energy Co. 29,000 935 * Nu-Kote Holding, Inc. Class A 48,000 789 OEA, Inc. 34,000 1,275 * OHM Corp. 92,500 648 * OIS Optical Imaging Systems, Inc. 87,600 274 OM Group, Inc. 25,400 994 * OMI Corp. 102,300 882 * Oak Industries, Inc. 37,400 1,108 * Oak Technology, Inc. 70,800 668 Oakwood Homes Corp. 6,400 132 Oasis Residential, Inc. 34,500 755 * OccuSystems, Inc. 34,900 1,298 * Oceaneering International, Inc. 71,000 1,074 * Octel Communications Corp. 53,900 1,058 * Offshore Logistics, Inc. 60,700 846 Ogden Corp. 100,700 1,825 Old National Bancorp 40,776 1,516 * Olympic Financial Ltd. 62,700 1,442 * Omega Environmental, Inc. 17,400 39 Omega Healthcare Investors, Inc. 35,200 972 Omnicare, Inc. 2,100 56 Onbancorp Inc. 29,100 951 One Valley Bancorp of West Virginia 30,000 1,039 Oneida Ltd. 38,290 718 ONEOK, Inc. 56,300 1,408 * Ontrak Systems, Inc. 21,700 355 Optical Coating Laboratory, Inc. 32,500 581 * Optical Data System Inc. 31,000 674 Orange & Rockland Utilities, Inc. 28,200 1,036 * Orbital Sciences Corp. 52,000 852 * Orchard Supply Hardware Stores Corp. 11,300 340 Oregon Steel Mills, Inc. 23,600 325 * Organogenesis, Inc. 46,200 936 Orion Capital Corp. 29,125 1,485 * OrNda Healthcorp 9,400 226 * Orthodontic Centers Of America, Inc. 2,000 53 * Ostex International, Inc. 50,000 544 O'Sullivan Corp. 60,800 722 Otter Tail Power Co. 22,700 736 Outboard Marine Corp. 40,600 736 Overseas Shipholding Group Inc. 58,000 1,051 Owens & Minor, Inc. Holding Co. 59,037 686 * Oxford Resources Corp. 15,900 373 * P-Com, Inc. 31,000 969 * PDT, Inc. 13,150 441 PHH Corp. 36,700 2,092 * PHP Healthcare Corp. 22,700 715 * PLC Systems, Inc. 7,000 157 * PMT Services Inc 47,200 1,354 Pacific Scientific Co. 48,700 767 * Pairgain Technologies, Inc. 23,100 1,434 * Palmer Wireless, Inc. 29,200 589 * PanAmSat Corp. 9,600 277 * Papa John's International, Inc. 13,100 635 Paragon Group Inc. 52,200 855 * Paragon Trade Brands, Inc. 36,500 785 * Parexel International Corp. 12,700 608 Park Electrochemical Corp. 16,100 322 Parker & Parsley Petroleum Co. 72,500 2,012 * Parker Drilling Co. 120,400 692 * Pathogenesis Corp. 27,500 425 Patriot American Hospitality, Inc. 22,400 664 * Patterson Dental Co. 20,300 731 * Paxson Communications Corp. 73,400 780 * Pec Israel Economic Corp. 23,400 424 * Pediatrix Medical Group, Inc. 14,400 706 Penn Engineering & Manufacturing Co. Class A 4,800 113 * Penn National Gaming, Inc. 16,500 363 * The Penn Traffic Co. 16,500 140 Penncorp Financial Group Inc. 51,500 1,635 Pennsylvania Real Estate Investment Trust 35,500 688 Pentair, Inc. 69,600 2,088 Penwest Ltd. 12,750 242 Peoples Bank of Bridgeport 22,800 509 * People's Choice TV Corp. 11,400 205 Peoples Heritage Financial Group Inc. 61,400 1,255 * Perclose, Inc. 22,300 496 * Performance Food Group Co. 25,200 646 * Periphonics Corp. 18,900 647 * Perrigo Co. 139,100 1,574 * Personnel Group of America, Inc. 29,000 714 * Petco Animal Supplies, Inc. 26,400 759 * Pete's Brewing Co. 33,950 505 * Petrie Stores Litigation Trust Unit 52,900 149 Petroleum Heat & Power Co. 32,600 247 Petrolite Corp. 17,200 546
66 91
Market Value Shares (000)+ - ---------------------------------------------------------------------- * Phamis, Inc. 6,000 $ 88 * Pharmaceutical Markets 27,800 275 * Pharmaceutical Resources, Inc. 17,700 89 Phillips-Van Heusen Corp. 68,300 871 Phoenix Duff & Phelps Corp. 114,500 859 * Phycor, Inc. 76,137 2,884 * Phymatrix Corp. 19,200 444 * Physician Corp. of America 66,000 887 * Physician Reliance Network, Inc. 9,200 207 * Physician Sales & Service, Inc. 26,300 641 * Physicians Resource Group, Inc. 31,800 1,061 * PictureTel Corp. 31,600 1,246 Piedmont Natural Gas, Inc. 59,343 1,372 Pier 1 Imports Inc. 82,825 1,232 Pillowtex Designs 11,500 142 * Pinkerton's, Inc. 14,200 328 * Pinnacle Systems, Inc. 22,200 466 Pioneer Group Inc. 44,000 1,183 Pioneer Standard Electronics Inc. 42,650 560 Piper Jaffray Cos., Inc. 60,000 750 Pittston Burlington Group 30,400 657 Pittway Corp. Class A 35,100 1,632 * Pixar, Inc. 30,600 593 * Plains Resources 26,000 338 * Plantronics, Inc. 18,900 695 * Platinum Technology, Inc. 96,677 1,456 * Players International, Inc. 54,050 530 * Playtex Products, Inc. 83,500 783 Ply-Gem Industries, Inc. 49,800 679 Poe & Brown, Inc. 21,700 533 Polaris Industries, Inc. 54,900 1,873 * Policy Management Systems Corp. 32,400 1,620 * Pool Energy Service Co. 58,000 678 Pope & Talbot, Inc. 50,900 770 Post Properties, Inc. 44,300 1,567 Precision Castparts Corp. 43,900 1,888 * Precision Systems, Inc. 39,200 456 Premark International, Inc. 127,200 2,353 * Premenos Technology Corp. 19,000 342 * Premiere Technologies, Inc. 22,700 707 * Premisys Communications, Inc. 8,300 507 * Prepaid Legal Services, Inc. 66,800 1,236 Price Enterprises, Inc. 56,000 858 * Pricellular Corp. 53,218 645 * Pride Petroleum Services 51,200 723 * Primadonna Resorts, Inc. 28,700 667 * Primark Corp. 47,300 1,543 * Prime Hospitality Corp. 65,100 1,074 * Printronix, Inc. 12,050 184 * Prism Solutions, Inc. 12,200 290 * Proffitt's, Inc. 30,200 1,076 * Progress Software Corp. 44,900 732 * Pronet, Inc. 30,700 378 Protective Life Corp. 5,400 190 * Protein Design Labs 33,400 747 * Protocol Systems Inc. 26,900 617 Provident Bancorp Inc. 25,650 907 * PsiNet, Inc. 38,700 443 Public Service Co. of New Mexico 86,000 1,763 Public Service Co. of North Carolina, Inc. 40,900 695 Public Storage, Inc. 65,800 1,357 Pulitzer Publishing Co. 15,112 895 Pulte Corp. 38,100 1,019 * Pure Software, Inc. 21,700 730 Quaker Chemical Corp. 13,700 171 Quaker State Corp. 66,700 1,001 * Quality Food Centers Inc. 16,488 429 Quanex Corp. 40,800 964 * Quantum Health Resources, Inc. 59,200 1,003 * Quarterdeck Corp. 48,300 456 Queens County Bancorp, Inc. 18,050 880 The Quick & Reilly Group, Inc. 29,450 957 * Quickturn Design Systems, Inc. 53,800 777 * Quiksilver, Inc. 26,400 799 * Quintel Entertainment, Inc. 13,700 142 * Quintiles Transnational Corp. 9,900 648 RCSB Financial Corp. 38,700 999 RFS Hotel Investors 49,600 775 ROC Communities Inc. 30,500 728 * RPC Inc. 45,000 518 * Racotek, Inc. 41,200 192 * RailTex, Inc. 29,700 757 * Rainbow Technologies, Inc. 24,100 479 * Ralcorp Holdings Inc. 63,300 1,306 * Rational Software Corp. 5,400 291 Raymond James Financial, Inc. 26,900 609 * Reading & Bates Corp. 11,900 263 Realty Income Corp. 47,100 977 * Red Brick Systems, Inc. 18,700 690 * Red Lion Hotels, Inc. 63,600 1,336 * Red Roof Inns, Inc. 29,000 410 * Redhook Ale Brewery, Inc. 30,000 690 * Redman Industries, Inc. 47,700 972 Regal-Beloit Corp. 34,400 679 * Regal Cinemas, Inc. 25,920 1,183 * Regency Health Services, Inc. 72,000 819 * Regional Acceptance Corp. 23,350 269 Reinsurance Group of America, Inc. 34,500 1,302 Reliance Group Holdings 104,300 782 * Remedy Corp. 9,300 677 * Renaissance Communications 34,200 1,103 * Renal Treatment Centers, Inc. 46,300 1,331 * Republic Industries, Inc. 69,200 2,020
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Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- * Res-Care, Inc. 36,000 $ 869 Resource Mortgage Capital Corp. 41,900 943 * Respironics, Inc. 48,700 895 * Rex Stores Corp. 24,500 377 * Rexall Sundown, Inc. 11,100 302 Richfood Holdings, Inc. 15,600 506 Riggs National Corp. 72,000 878 * Riscorp, Inc. 54,000 972 Riser Foods, Inc. Class A 15,200 365 Rival Manufacturing Co. 37,600 855 Roadway Express Inc. 23,800 341 Robbins & Myers, Inc. 15,989 724 * Robert Half International, Inc. 4,600 128 * Roberts Pharmaceuticals 21,200 428 * Robotic Vision Systems, Inc. 50,300 905 Rochester Gas and Electric Corp. 73,500 1,580 Rock-Tenn Co. 62,700 1,254 * Rohr, Inc. 49,800 1,040 * Rollins Environmental Services, Inc. 255,937 992 Rollins, Inc. 31,300 736 Rollins Truck Leasing 81,625 847 * Romac International, Inc. 19,300 490 Roosevelt Financial Group 74,200 1,433 Roper Industries Inc. 30,600 1,469 Ross Stores, Inc. 50,400 1,755 * Rotech Medical Corp. 38,600 748 Rouge Steel Co. Class A 34,200 735 * Rowan Cos., Inc. 80,500 1,187 * Royal Gold, Inc. 46,600 597 Ruby Tuesday, Inc. 30,675 694 Ruddick Corp. 67,500 827 Russ Berrie, Inc. 40,600 746 * Ryan's Family Steak Houses, Inc. 109,600 1,021 Rykoff-Sexton, Inc. 51,025 733 Ryland Group, Inc. 54,500 818 S & T Bancorp, Inc. 21,400 663 * SCI Systems, Inc. 35,700 1,453 SEI Corp. 26,300 559 * SPS Technologies, Inc. 16,000 1,128 * SPS Transaction Services 12,000 216 * SPSS, Inc. 17,500 442 SPX Corp. 44,300 1,085 * S3, Inc. 94,900 1,174 * Safeguard Scientifics, Inc. 12,650 987 * Safety First Inc. 8,200 67 Safety-Kleen Corp. 110,800 1,939 St. Francis Capital Corp. 13,400 333 St. John Knits, Inc. 29,000 1,294 St. Joseph Light & Power Co. 7,100 197 * St. Jude Medical, Inc. 6,226 208 St. Mary Land & Exploration Co. 19,800 328 St. Paul Bancorp, Inc. 37,550 868 * Samsonite Corp. 31,000 639 Sanderson Farms, Inc. 15,100 194 * Sanifill, Inc. 18,900 931 * Sanmina Corp. 34,000 918 * Santa Cruz Operation, Inc. 79,100 559 * Sapient Corp. 5,600 234 Saul Centers, Inc. 46,400 644 Savannah Foods & Industries, Inc. 67,700 872 * Savoy Pictures Entertainment, Inc. 62,250 327 Sbarro, Inc. 21,200 533 * Henry Schein, Inc. 16,200 619 * R. P. Scherer Corp. 41,300 1,874 Schnitzer Steel Industries, Inc. Class A 3,800 100 * Scholastic Corp. 23,500 1,463 A. Schulman Inc. 77,100 1,879 Schweitzer-Mauduit International, Inc. 25,000 703 * Sciclone Pharmaceuticals 60,200 843 * Scientific Games Holdings Corp. 25,700 736 * Scios, Inc. 76,835 507 * Scopus Technology, Inc. 26,500 417 Scotsman Industries, Inc. 37,600 757 * Scotts Co. 41,500 726 Seafield Capital Corp. 18,300 689 * Seagull Energy Corp. 69,300 1,733 Sealright Co. 18,000 198 * Seattle FilmWorks, Inc. 37,318 620 * Secure Computing Corp. 17,900 398 Security Capital Corp. 20,100 1,198 Security Connecticut Corp. 30,900 842 * Security Dynamics Technologies, Inc. 12,700 1,043 * Segue Software, Inc. 14,200 415 * Seitel, Inc. 35,300 966 Selective Insurance Group 29,100 953 * Semitool, Inc. 32,200 423 * Sepracor Inc. 52,200 786 * Sequa Corp. Class A 22,500 970 * Sequent Computer Systems, Inc. 65,800 884 * Sequus Pharmaceuticals, Inc. 56,400 1,124 * Serologicals Corp. 24,400 637 * Service Merchandise Co., Inc. 202,712 1,140 7th Level, Inc. 8,000 103 * Shiva Corp. 23,000 1,840 * Shoney's Inc. 71,400 776 Shopko Stores, Inc. 58,400 942 * Shorewood Packaging 46,600 714 * Show Biz Pizza Time, Inc. 66,000 1,023 Showboat, Inc. 32,300 973 * Shuffle Master, Inc. 47,950 716
68 93
Market Value Shares (000)+ - ---------------------------------------------------------------------- Shurgard REIT 40,600 $ 1,025 * Sierra Health Services 27,000 851 * Sierra On-line, Inc. 36,500 1,599 Sierra Pacific Resources 62,300 1,581 * Sierra Semiconductor 45,800 530 SIG Corp. 33,233 1,151 * Silicon Storage Technology, Inc. 19,800 270 * Silicon Valley Bancshares 33,300 862 * Silicon Valley Group, Inc. 54,200 1,020 * Siliconix, Inc. 22,100 492 * Silver King Communications 31,900 953 Simpson Industries, Inc. 70,500 648 * Simula, Inc. 23,100 407 * Sitel Corp. 9,100 380 Sizzler International 9,600 30 Skyline Corp. 35,400 885 Skywest, Inc. 23,000 426 * Smart Modular Technologies, Inc. 23,000 371 A.O. Smith Corp. 29,800 745 * Smith International, Inc. 18,300 551 * Smith Micro Software, Inc. 14,100 164 Charles E. Smith Residential Realty, Inc. 36,200 869 * Smithfield Foods, Inc. 33,200 834 Smiths Food & Drug Centers, Inc. Class B 32,195 769 J.M. Smucker Co. Class A 61,100 1,199 J.M. Smucker Co. Class B 1,000 19 Snyder Oil Corp. 58,600 593 * Sodak Gaming, Inc. 21,800 670 * Sofamor/Danek Group Inc. 42,800 1,188 * Softkey International, Inc. 24,800 471 * Software 2000, Inc. 23,200 378 * Sola International, Inc. 45,300 1,302 * Solv-Ex Corp. 24,800 479 * Somatix Therapy Corp. 55,600 389 * Somatogen, Inc. 39,700 563 * Sonic Corp. 42,750 1,047 Sotheby's Holdings Class A 92,000 1,334 South Jersey Industries, Inc. 34,836 740 South West Property Trust 67,500 903 Southdown, Inc. 35,900 844 Southern California Water Co. 30,400 669 * Southern Energy Homes, Inc. 10,350 221 * Southern Union Co. 20,600 453 Southwest Gas Corp. 48,900 782 Southwestern Energy Co. 74,200 1,048 Sovereign Bancorp, Inc. 85,600 861 * Spacelabs Medical 38,300 881 Spartan Motors, Inc. 11,600 88 * Special Devices, Inc. 12,300 200 * Spectrian Corp. 18,400 267 * Spectrum Holobyte 91,600 515 * Speedfam International, Inc. 11,700 186 Spieker Properties, Inc. 60,900 1,660 * Sports & Recreation 63,900 583 * The Sports Authority, Inc. 34,600 1,133 Springs Industries Inc. Class A 20,900 1,055 * Staar Surgical Co. 50,700 786 * Stac, Inc. 78,100 864 * Standard Financial, Inc. 53,300 876 * Standard Microsystem 13,700 208 Standard Motor Products, Inc. 38,900 695 Standard Products Co. 35,825 833 The Standard Register Co. 33,200 818 Standex International Corp. 25,400 724 Stanhome, Inc. 38,000 1,007 L. S. Starrett Co. Class A 28,900 751 * StarSight Telecast, Inc. 36,100 327 Starwood Lodging Trust 17,400 633 * State of the Art, Inc. 20,708 381 * Station Casinos, Inc. 40,500 580 * Steck-Vaughn Publishing Corp. 18,100 222 Steel Technologies, Inc. 40,450 617 * Stein Mart, Inc. 33,850 622 * Steris Corp. 44,812 1,431 * Sterling Chemicals, Inc. 79,800 928 Stewart & Stevenson Services, Inc. 59,710 1,343 * Stillwater Mining Co. 29,000 676 Stone & Webster, Inc. 20,500 700 * Storage Computer Corp. 10,400 186 Storage USA, Inc. 36,900 1,190 * Stormedia, Inc. 33,702 362 * Stratosphere Corp. 60,000 362 * Stratus Computer, Inc. 51,100 1,482 Strawbridge & Clothier Class A 33,057 545 Stride Rite Corp. 103,400 853 * Structural Dynamics Research Corp. 63,300 1,385 Student Loan Corp. 15,200 547 Sturm, Ruger & Co., Inc. 21,100 981 * Submicron Systems Corp. 63,000 547 Sumitomo Bank of California 10,584 259 * Summa Four, Inc. 7,100 98 * Summit Care Corp. 22,700 508 * Summit Medical Systems, Inc. 12,900 248 Summit Properties, Inc. 36,700 720 * Summit Technology, Inc. 59,400 843 * Sun Healthcare Group, Inc. 76,300 1,087 * Sun Television & Appliances 15,500 57 * Sunglass Hut International, Inc. 62,700 1,524 * Sunrise Medical, Inc. 35,800 689 * SunRiver Corp. 30,400 238 * Sunshine Mining and Refining Co. 296,400 371
69 94
Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- Superior Industries International, Inc. 38,800 $ 1,028 * Supertex, Inc. 14,400 233 Susquehanna Bancshares, Inc. 25,400 683 * Swift Energy Co. 31,800 572 * Swift Transportation Co., Inc. 34,400 658 * Sylvan Learning Systems, Inc. 20,800 788 * Symantec Corp. 101,340 1,273 * Symmetricom Inc. 53,500 712 * Synetic, Inc. 28,700 1,055 * Syratech Inc. 25,100 565 System Software Associates, Inc. 57,900 995 * Systemed Inc. 19,700 58 * Systems & Computer Technology Corp. 47,700 674 * Systemsoft Corp. 40,200 1,887 * TBC Corp. 92,800 806 TCA Cable Television, Inc. 31,000 930 * TCSI Corp. 34,500 828 TJ International, Inc. 30,000 529 * T-Netix, Inc. 4,200 46 TNP Enterprises, Inc. 36,400 1,033 * TPC Corp. 10,400 75 TR Financial Corp. 32,100 877 * Target Therapeutics, Inc. 23,400 959 Taubman Co. REIT 77,000 857 * Tech Data Corp. 69,000 1,505 * Tech-Sym Corp. 26,649 793 * Tecnol Medical Products Inc. 45,400 865 * Tejas Gas Corp. 34,665 1,205 Tejon Ranch Co. 41,400 678 * Tekelec 30,200 393 * Tel-Save Holdings, Inc. 27,900 586 * Telco Systems, Inc. 14,900 255 Teleflex Inc. 36,050 1,721 * Teltrend, Inc. 11,800 462 * Telular Corp. 10,000 59 Telxon Corp. 37,000 442 * Tencor Instruments 55,800 1,046 Tennant Co. 16,800 428 * Tesoro Petroleum Corp. 90,400 1,040 * Tetra Tech, Inc. 38,187 764 * Tetra Technologies, Inc. 49,100 859 Teva Pharmaceutical Industries Ltd. ADR 10,464 397 Texas Industries, Inc. 20,360 1,397 * Theragenics Corp. 35,000 538 * Theratech, Inc. 33,300 649 * Thermedics, Inc. 16,200 405 * Thermo Fibertek, Inc. 11,900 201 Thermo Remediation, Inc. 29,600 370 * Thermo TerraTech, Inc. 37,300 448 * Thermolase Corp. 12,200 332 * Thermospectra Corp. 11,100 175 * Thermotrex Corp. 20,000 985 Thiokol Corp. 34,500 1,363 * 3DO Co. 60,200 640 Thrifty Payless Holdings, Inc. 118,300 2,041 * Tiffany & Co. 23,750 1,734 * Timberland Co. 34,300 797 Titan Wheel International, Inc. 43,100 690 * Today's Man Inc. 16,300 21 * Toll Brothers, Inc. 38,800 635 Tootsie Roll Industries, Inc. 37,392 1,332 * Top Source Technologies, Inc. 108,400 752 * The Topps Co., Inc. 71,325 397 The Toro Co. 25,200 835 Tosco Corp. 13,187 663 Town & Country Trust 62,300 818 * Toy Biz 33,200 672 * Tracor, Inc. 46,659 796 * Trans World Airlines 67,800 966 * Transaction Network Services, Inc. 29,250 636 * Transaction Systems Architects, Inc. 24,200 1,624 * Transcend Services, Inc. 36,500 386 Transnational Re Corp. 27,600 674 * TransTexas Gas Corp. 17,000 155 Tredegar Industries Inc. 31,100 941 * Tremont Corp. 20,665 747 Trenwick Group Inc. 15,700 789 * Triarc Cos., Inc. Class A 52,400 603 * Trident Microsystems, Inc. 50,800 645 Trimas Corp. 27,600 645 * Trimble Navigation Ltd. 39,300 752 Trinet Corporate Realty Trust, Inc. 27,100 786 Trinova Corp. 55,100 1,839 * Triquint Semiconductor, Inc. 26,500 547 True North Communications 39,000 868 * Trump Hotels & Casino Resorts, Inc. 34,200 975 The Trust Co. of New Jersey 57,570 759 Trustco Bank 36,610 714 Trustmark Corp. 54,900 1,173 * Tucson Electric Power Co. 68,360 923 * Tultex Corp. 12,300 58 * 20th Century Industries of CA 80,300 1,335 * Tyco Toys, Inc. 133,200 683 UGI Corp. Holding Co. 70,000 1,540 UMB Financial Corp. 35,059 1,306 UNR Industries, Inc. 61,500 596 * USA Detergents, Inc. 15,300 610 * USA Truck, Inc. 100 1 * USA Waste Service 59,241 1,755 UST Corp. 46,900 704 * Ultratech Stepper, Inc. 28,700 536
70 95
Market Value Shares (000)+ - ---------------------------------------------------------------------- Unifirst Corp. 43,100 $ 910 * Union Acceptance Corp. 38,000 575 Union Planters Corp. 22 1 * Union Switch and Signal, Inc. 9,500 80 * Uniphase Corp. 23,600 829 * Uniroyal Chemical Corp. 57,800 853 United Bankshares, Inc. 26,300 717 United Carolina Bancshare Corp. 45,900 1,038 United Cities Gas Co. 43,141 661 United Cos. Finance Corp. 47,702 1,628 United Dominion Realty 118,800 1,708 United Fire & Casualty Co. 23,625 780 United Illuminating Co. 29,150 1,089 * United Insurance Cos., Inc. 65,800 1,493 * United International Holdings, Inc. Class A 73,900 1,035 * United Meridian Corp. 55,800 2,009 * USAir Group, Inc. 21,000 378 U.S. Bancorp 8,315 300 * U.S. Filter Corp. 48,500 1,685 * U.S. Home Corp. 35,900 884 * U.S. Long Distance Corp. 40,400 1,427 * US Office Products Co. 36,000 1,508 United States Trust Corp. 19,800 1,005 United Television, Inc. 8,600 833 * United Video Satellite Group, Inc. 36,100 776 * United Waste Systems, Inc. 68,700 2,198 United Water Resources, Inc. 51,768 667 United Wisconsin 28,700 746 * Unitrode Corp. 30,400 589 Univar Corp. 50,000 969 Universal Corp. 69,800 1,850 Universal Foods Corp. 51,000 1,881 Universal Health Realty Income 37,300 690 * Universal Health Services Class B 57,200 1,494 USFreightways Corp. 44,900 878 Urban Shopping Centers REIT 36,600 869 * UROHEALTH Systems, Inc. Class A 27,000 388 * Uromed Corp. 29,600 403 * VLSI Technology, Inc. 93,700 1,306 * Valassis Communication 52,900 979 Valhi, Inc. 8,500 61 Valley National Bancorp 23,619 602 Valmont Industries, Inc. 26,000 874 Valspar Corp. 28,900 1,329 * Value City Department Stores, Inc. 66,600 733 Value Line, Inc. 12,000 422 * ValuJet Inc. 57,500 541 * Vanguard Cellular Systems, Inc. Class A 60,900 1,336 * Vans, Inc. 40,800 691 * Vanstar Corp. 45,900 769 * Vantive Corp. 10,400 347 * Varco International, Inc. 67,700 1,227 Varlen Corp. 6,837 144 * Ventritex Inc. 41,000 705 * Venture Stores, Inc. 6,300 41 * VeriFone, Inc. 2,850 120 * Verity, Inc. 10,800 306 Vermont Financial Services Corp. 10,900 346 * Vertex Pharmaceuticals, Inc. 30,900 942 Vesta Insurance Group, Inc. 34,450 1,150 * Veterinary Centers of America, Inc. 24,200 534 * Vicor Corp. 61,000 1,422 * Vicorp Restaurants, Inc. 9,700 118 * Videoserver, Inc. 21,500 836 * Viewlogic Systems, Inc. 60,000 829 * Visio Corp. 13,400 486 * Visix Space Inc. 20,300 691 Vital Signs, Inc. 21,400 444 * Vitesse Semiconductor Corp. 37,300 898 * Vivra, Inc. 11,800 388 * Vivus, Inc. 32,800 1,078 Vornado Realty Trust 51,200 2,093 WD-40 Co. 15,450 724 * WFS Financial, Inc. 19,289 427 * WHX Corp. 36,500 333 * WMS Industries, Inc. 36,950 910 WPL Holdings, Inc. 51,700 1,700 WPS Resources Corp. 49,900 1,578 * Waban, Inc. 68,400 1,633 Wabash National Corp. 40,400 717 Wackenhut Corp. 23,000 566 Wackenhut Corp. Class B 3,656 67 * Wainoco Oil Corp. 4,100 13 Walden Residential Properties, Inc. 33,400 681 * Wall Data Inc. 32,050 693 * Walter Industries, Inc. 63,700 904 * Wang Laboratories, Inc. 73,500 1,397 Washington Energy Co. 50,869 1,005 Washington Federal Inc. 80,500 1,660 Washington Gas Light Corp. 78,500 1,727 Washington National Corp. 23,630 608 Washington Real Estate Investment Trust 64,450 1,080 Waterhouse Investor Services, Inc. 28,550 1,060 * Waters Corp. 44,500 1,469 Watkins-Johnson Co. 18,800 515 * Watson Pharmaceuticals, Inc. 36,954 1,400 Watts Industries Class A 42,100 784 Wausau Paper Mills Co. 56,932 1,139 Del E. Webb Corp. 48,496 970 Weeks Corp. 25,600 666 Weingarten Realty Investors 48,800 1,891 * Weirton Steel 10,000 30 * Wellcare Management Group, Inc. 12,400 114
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Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - ---------------------------------------------------------------------- Wellman, Inc. 60,400 $ 1,412 Wellsford Residential Property Trust 34,025 766 Werner Enterprises, Inc. 29,500 763 West Co., Inc. 26,300 789 * West Marine, Inc. 14,900 1,058 WestAmerica Bancorporation 17,900 906 * Westell Technologies, Inc. 5,100 200 Western Gas Resources, Inc. 26,300 427 Western Investment Real Estate Trust 67,400 876 Western National Corp. 6,200 114 * Westpoint Stevens, Inc. 36,800 883 * Westwood One, Inc. 60,700 933 * White River 17,126 791 Whitney Holdings 29,750 907 * Whittaker Corp. 40,200 744 Wicor, Inc. 37,800 1,427 John Wiley & Sons Class A 27,300 792 * Williams Sonoma, Inc. 34,762 821 * Wind River Systems 31,500 1,095 Windmere-Durable Holdings 76,467 1,004 Winnebago Industries, Inc. 75,700 625 * Winstar Communications, Inc. 46,300 1,152 Wiser Oil Co. 17,700 223 * Wolverine Tube, Inc. 27,800 973 Wolverine World Wide, Inc. 37,200 1,209 * Wonderware Corp. 26,600 505 Woodhead Industries, Inc. 27,750 328 * Workgroup Technology Corp. 21,400 535 * World Color Press, Inc. 59,400 1,507 Wyle Electronics 25,700 851 * Wyman Gordon Corp. 58,900 1,042 X-Rite Inc. 21,300 330 * Xircom, Inc. 53,800 797 * Xoma Corp. 96,600 646 * Xpedite Systems, Inc. 25,800 680 Xtra Corp. 29,900 1,323 * Yahoo!, Inc. 15,500 322 * Yellow Corp. 42,800 564 * Young Broadcasting Corp. 27,000 1,023 * Youth Services International, Inc. 27,100 491 * Zale Corp. 63,800 1,077 * Zebra Technologies Class A 37,100 654 * Zenith Electronics Corp. 56,321 683 Zenith National Insurance Corp. 29,600 810 Zero Corp. 50,500 1,079 * Zila, Inc. 48,800 438 * Zilog Inc. 40,550 973 Zions Bancorp. 17,200 1,257 * Zoran Corp. 27,000 503 Zurich Reinsurance Centre Holdings, Inc. 17,400 548 Zurn Industries, Inc. 42,700 886 * Zytec Corp. 29,300 535 - ---------------------------------------------------------------------- TOTAL COMMON STOCKS (97.9%)(1) (Cost $1,180,098) 1,419,407 - ---------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (2.1%) - ----------------------------------------------------------------------
Face Amount (000) ----------- U.S. TREASURY BILL--Note D 5.02%, 7/11/96 $ 1,400 1,398 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 5.35%, 7/1/96 28,713 28,713 - ---------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $30,113) 30,111 - ---------------------------------------------------------------------- TOTAL INVESTMENTS (100.0%) (Cost $1,210,211) 1,449,518 - ---------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES - ---------------------------------------------------------------------- Other Assets--Notes B and E 100,352 Liabilities--Note E (99,839) -------------- 513 - ---------------------------------------------------------------------- NET ASSETS (100%) - ---------------------------------------------------------------------- Applicable to 70,434,025 outstanding shares of beneficial interest (unlimited authorization) $1,450,031 - ---------------------------------------------------------------------- NET ASSET VALUE PER SHARE $20.59 ======================================================================
+ See Note A to Financial Statements. * Non-Income Producing Security. (1) The combined market value of common stocks, New York Stock Exchange Composite Index futures contracts, and Standard & Poor's Midcap 400 Index futures contracts represents 101.0% of net assets.
- ---------------------------------------------------------------------- AT JUNE 30, 1996, NET ASSETS CONSISTED OF: - ---------------------------------------------------------------------- AMOUNT PER (000) SHARE ----------- ----------- PAID IN CAPITAL $1,151,713 $16.35 UNDISTRIBUTED NET INVESTMENT INCOME 8,446 .12 ACCUMULATED NET REALIZED GAINS 51,446 .73 UNREALIZED APPRECIATION (DEPRECIATION)--NOTE D: INVESTMENT SECURITIES 239,307 3.40 FUTURES CONTRACTS (881) (.01) - ---------------------------------------------------------------------- NET ASSETS $1,450,031 $20.59 - ----------------------------------------------------------------------
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