-----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, TDMUSuq9Bzi3IEuV6hMIA7kChAkaKy2x/WsPvjcdzmozV77t/gcEXm1VUH0KFn7C RfdwYlq2ZLV0i1HxNUkVZw== 0000893220-97-000517.txt : 19970312 0000893220-97-000517.hdr.sgml : 19970312 ACCESSION NUMBER: 0000893220-97-000517 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19961231 FILED AS OF DATE: 19970311 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: 97554311 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 ANNUAL REPORT 1996 1 [PHOTO] VANGUARD INDEX TRUST Annual Report December 31, 1996 THE VANGUARD GROUP: LINKING TRADITION AND INNOVATION At Vanguard, we treasure our rich nautical heritage--even as we steer our course toward the twenty-first century. Our Report cover reflects that blending of tradition and innovation, of past, present, and future. The montage includes a bronze medallion with a likeness of our namesake, HMS Vanguard (Lord Nelson's flagship at The Battle of the Nile); a clock built circa 1816 in Scotland, featuring a portrait of Nelson (who is also shown, accepting a surrender, in a detail from a nineteenth-century engraving); and several views of our recently completed campus, which is steeped in nautical imagery--from our buildings named after Nelson's warships (Victory, Majestic, and Goliath are three shown), to our artwork and ornamental compass rose. 2 [PHOTO] VANGUARD HAS ALWAYS STRIVED TO BE THE STANDARD-BEARER for mutual fund disclosure, going well beyond the "letter of the law" in our shareholder communications. During the past year, we raised the standard once again by rewriting and reformatting our Fund prospectuses. They are designed to ensure that prospective investors fully understand, before they make an investment, each Fund's investment strategies, risks, and costs. In that spirit, we have redesigned our Annual Reports to shareholders, which provide a comprehensive discussion and analysis of the year's results in the context of each Fund's investment objectives and policies. Since Vanguard has long been recognized for the quality and content of these Fund Reports, our overriding objective was to maintain the character of the previous Reports, while adding information to assist shareholders in understanding the investment characteristics of their Fund. THE NEW FUND REPORTS INCLUDE A MESSAGE TO SHAREHOLDERS from Chairman John C. Bogle and President John J. Brennan. This Message continues to provide a candid assessment of the Fund's performance relative to an appropriate unmanaged market benchmark and a peer group of mutual funds with similar investment policies. It also reviews the principal factors contributing to--and detracting from--the returns earned by the Fund. To help you evaluate your Fund's current-year performance, the Message includes a discussion of the Fund's long-term investment results, as well as a look ahead to the prospects for the coming year. A recap of the financial markets, which had been included as part of the Chairman's letter, now appears in The Markets In Perspective. This overview covers the world's financial markets, putting the results of the Fund's strategy in a global perspective. THE PORTFOLIO PROFILE REPRESENTS AN ADDITION TO OUR FUND REPORTS. In this day and age, many investors use detailed statistical information to evaluate their mutual fund holdings, and our new Portfolio Profile furnishes shareholders with comprehensive data on key characteristics--sector diversification, volatility, top-ten holdings, among others--that ultimately define how a Fund is likely to perform in various market environments. For this information to be used effectively, we include a brief description of the profiled characteristics. The Report From The Adviser (for our traditionally managed Funds) now covers specific topics that we have defined as being the important ones for the adviser to address--and we do our best to ensure that this Report is written in the same simple and candid manner that characterizes all Vanguard communications. Finally, each Adviser's Report will include an inset reminder of the adviser's basic investment philosophy. WE TRUST THAT THIS REDESIGNED FUND REPORT will continue to meet your need for a fair, candid, and clear presentation of your Fund's investment results and a thorough portfolio review. We welcome any comments that you might have at any time regarding these Reports. CONTENTS A Message To Our Shareholders 1 The Markets In Perspective 7 Performance Summaries 9 Portfolio Profiles 15 Financial Statements 22 Report Of Independent Accountants 43 Trustees And Officers INSIDE BACK COVER 3 [PHOTO] John C. Bogle [PHOTO] John J. Brennan FELLOW SHAREHOLDER, The U.S. stock market turned in another banner performance in 1996, as did the six Portfolios of Vanguard Index Trust. In the twelve months ended December 31, our flagship 500 Portfolio celebrated its 20th anniversary in fine style, providing a total return of +22.9%, a hair behind its benchmark, the Standard & Poor's 500 Composite Stock Price Index. Our performance exceeded the returns of three-fourths of all actively managed equity mutual funds. The five other Portfolios of the Trust provided returns ranging from +17.6% to +23.7% in 1996, and each succeeded in tracking its target index with considerable accuracy. The table at right shows the total returns (capital change plus reinvested dividends) achieved by our six Portfolios compared with the returns on their respective unmanaged benchmarks. Per-share figures for each Portfolio, including net asset values, income dividends, and capital gains distributions, are presented in the table that follows this letter.
- -------------------------------------------------------- TOTAL RETURNS YEAR ENDED DECEMBER 31, 1996 - -------------------------------------------------------- VANGUARD COMPARATIVE PORTFOLIO INDEX* - -------------------------------------------------------- LARGE-CAP STOCKS 500 Portfolio +22.9% +23.0% Growth Portfolio +23.7 +24.0 Value Portfolio +21.9 +22.0 - -------------------------------------------------------- MID- AND SMALL-CAP STOCKS Extended Market Portfolio +17.6% +17.2% SmallCap Stock Portfolio +18.1 +16.5 - -------------------------------------------------------- ALL STOCKS Total Stock Market Portfolio +21.0% +21.2% - --------------------------------------------------------
*The respective indexes are the S&P 500 Index, the S&P/BARRA Growth and Value Indexes, the Wilshire 4500 Index, the Russell 2000 Index, and the Wilshire 5000 Index. 1996 PERFORMANCE OVERVIEW In a nearly ideal environment of moderate economic growth, rising corporate profits, and continued low inflation, the U.S. stock market continued to flourish last year. Interest rates fluctuated substantially, rising early in the year along with estimates of the economy's strength, then declining in the autumn as estimates of economic growth abated--and with them, inflation anxieties. However, interest rates closed the year with a sharp upward spike in December. The yield on the benchmark 30-year U.S. Treasury bond finished 1996 at 6.6%--up about six-tenths of a percentage point from 6.0% at the end of 1995--driving the long bond's price down by nearly -8%. In contrast, the price trend for common stocks was virtually one-way: up. The S&P 500 Index provided positive returns in all but two months (July and December). As usual, however, not all segments of the equity market performed alike. Through the first five months of 1996, small- and mid-capitalization stocks, especially those in the technology sector, outpaced larger-cap stocks. But the tide turned during the remainder of the year, as Wall Street's motto seemed to become "bigger is better." For the full year, large-cap stocks provided the highest returns, while mid-cap and small-cap stocks trailed the market's behemoths. This progression is evident in the returns on our Portfolios and their benchmarks: The S&P 500 Index provided a +23.0% return, the Wilshire 4500 Equity Index of mid- and small-cap stocks returned +17.2% and the small-cap Russell 2000 Index trailed with a return of +16.5%. 1 4 This large-cap bias explains a good portion of the strong performance of the S&P 500 Index and our 500 Portfolio not only in 1996, but during the prior two years. The median stock in the Index had a market capitalization of $24.5 billion at year-end versus a median market cap of $1.2 billion for the Wilshire 4500 Equity Index, a proxy for the rest of the U.S. stock market. It is impossible to say how long the market will continue to favor large-cap stocks, especially those perceived to be capable of providing steady, predictable earnings growth. But it seems reasonable to assume that someday the market's approving gaze will shift toward small- and mid-cap stocks. When--not if--that happens, these market segments surely will regain some of the ground lost to their large-cap brethren. Both growth stocks and value stocks performed well in 1996, though growth stocks, as measured by the S&P/BARRA Growth Index, held a slight edge: a +24.0% return versus +22.0% for the S&P/BARRA Value Index. While returns on these two groups are quite similar over long periods, they often diverge over shorter periods.
- ------------------------------------------------------------------- TOTAL RETURNS YEAR ENDED DECEMBER 31, 1996 ---------------------------------- AVERAGE VANGUARD COMPARABLE PORTFOLIO FUND* DIFFERENCE - ------------------------------------------------------------------- LARGE-CAP STOCKS 500 Portfolio +22.9% +19.5% +3.4% Growth Portfolio +23.7 +19.2 +4.5 Value Portfolio +21.9 +20.9 +1.0 - ------------------------------------------------------------------- MID- AND SMALL-CAP STOCKS Extended Market Portfolio +17.6% +19.2% -1.6% SmallCap Stock Portfolio +18.1 +20.2 -2.1 - ------------------------------------------------------------------- ALL STOCKS Total Stock Market Portfolio +21.0% +19.5% +1.5% - -------------------------------------------------------------------
*Respectively, the combined average of all general equity funds, growth funds, value funds, growth funds (again), small-cap funds, and general equity funds (again). In any event, we are pleased that all six Portfolios again successfully tracked their benchmark indexes during 1996. Three of our four large-cap-oriented stock Portfolios (500, Value, and Total Stock Market) came within 0.2% of their target indexes, while one (Growth) fell but 0.3% behind, largely reflecting our 0.20% expense ratio. This ratio represents our cost of doing business, including the issuing of account statements and reports to shareholders, as well as accounting, legal, marketing, and investment advisory services. What's more, because turnover of securities is low in our Portfolios (5% or less for some Portfolios versus 84% for the average equity fund), our transaction costs are minimal. Our low turnover policy, moreover, has usually resulted in the realization of relatively small capital gains--an important tax advantage. The surprising ability of our remaining two Portfolios to overcome all costs and to surpass their index standards is based partly on the fact that each owns only a sampling (if a large and carefully selected one) of the stocks in the target Index, which can cause short-term tracking variations. Transaction fees are another reason our Portfolios' returns may diverge from those of their target indexes. As you know, these fees go directly to the Extended Market and SmallCap Stock Portfolios to compensate their existing shareholders for the cost of investing assets from new purchases. During 1996, the transaction fee for the SmallCap Stock Portfolio more than offset the costs associated with net purchases of securities. Because we expect this situation to persist, we lowered the transaction fee on the SmallCap Stock Portfolio from 1.0% to 0.5%, effective January 2, 1997. Our unmanaged Index Portfolios outpaced the norms set by most traditionally managed mutual funds in 1996, a performance made possible by the simple fact that our investing and operating costs are substantially lower than those of the typical equity mutual 2 5 fund. The table on page 2 compares the return achieved by each Portfolio with that of the funds in categories that are as closely comparable as possible. We emphasize that the large absolute returns provided by our Index Portfolios in 1996 should not be regarded as emblematic of future returns. All of these returns were well above long-term historical averages for the stock market; such exceptionally strong results do not persist forever. However, given our large cost advantage, we believe that our generally favorable relative returns may very well persist over time. LONG-TERM PERFORMANCE OVERVIEW Index mutual funds--a concept that Vanguard pioneered with the creation of the 500 Portfolio in 1976--have proven their ability to provide long-term performance superior to that of most traditionally managed funds. The table at right provides the evidence. It presents the average annual returns and the ending value of hypothetical $10,000 investments made a decade ago in the 500 Portfolio, the average general equity mutual fund, and the S&P 500 Index.
- --------------------------------------------------------------- TOTAL RETURN 10 YEARS ENDED DECEMBER 31, 1996 -------------------------------- AVERAGE FINAL VALUE OF ANNUAL A $10,000 RATE INITIAL INVESTMENT - --------------------------------------------------------------- 500 Portfolio +15.0% $40,595 - --------------------------------------------------------------- Average General Equity Fund +13.1% $34,194 - --------------------------------------------------------------- S&P 500 Index +15.3% $41,491 - ---------------------------------------------------------------
As the table shows, the 500 Portfolio outperformed its peers by +1.9% per year. That annual edge may seem small, but it looms large over a decade. An initial stake of $10,000 in the Portfolio on December 31, 1986, would have grown to $40,595 over ten years, a margin of $6,401 over the results of our average competitor. This margin is equal to nearly two-thirds of the entire initial investment. The comparison proves a point that we have repeatedly made in the past, namely that costs matter very much. An index is a tough competitor for actual mutual funds precisely because, as theoretical constructs, indexes do not incur operating, administrative, or investment advisory expenses, all of which are borne to one degree or another by actual funds. By keeping operating expenses and transaction costs to minimum levels, index funds are able to regularly come close to matching the returns on unmanaged indexes. That accomplishment, modest as it may seem, turns out to be beyond the grasp of a wide majority of actively managed funds, which carry the heavy handicap of higher costs. Although the other Portfolios of Vanguard Index Trust have much-shorter operating histories than the 500 Portfolio, they have demonstrated--with one notable exception--the same general pattern of success versus traditional, actively managed mutual funds. The exception, SmallCap Stock Portfolio, has lagged the average small company growth fund for two principal reasons. First, the market capitalization of its holdings is smaller than that of the average competing fund. Second, the Portfolio's benchmark, the Russell 2000 Stock Index, has a smaller weighting in technology stocks than the average competitor, a clear handicap over the past several years when the tech sector was among the best-performing on Wall Street. The table at the top of page 4 summarizes the returns of our Portfolios versus their respective peer groups. In evaluating the longer-term returns achieved by our Portfolios, please keep in mind that future returns from the stock market may well be lower than those shown; the periods covered by the table are part of the great bull market that has provided returns well above long-term historical norms. Also, we emphasize that index- 3 6 ing is a long-term strategy, since the advantages of low costs and tax efficiency tend to manifest themselves over extended periods.
- -------------------------------------------------------------------- ANNUAL MARGIN INCEPTION ANNUALIZED RELATIVE TO PORTFOLIO DATE TOTAL RETURNS COMPETITIVE FUNDS - -------------------------------------------------------------------- Growth 11/2/92 +15.8% +1.2% Value 11/2/92 +18.6 +3.3 Extended Market 12/21/87 +15.3 +1.0 SmallCap Stock 9/11/89* +12.3 -2.3 Total Stock Market 4/27/92 +16.0 +1.0 - --------------------------------------------------------------------
*Date on which index strategy was adopted. IN SUMMARY Most mutual fund investors understand that volatility risk is a measure of how much an investment may fluctuate in value over a given period of time. But many equity fund investors today have experienced only "upside volatility." The U.S. stock market has been rising--with only a few relatively brief setbacks--for nearly 15 years. Against this backdrop, it seems appropriate to step back and assess the outlook for the financial markets. While no one can accurately predict what will happen over the next decade--or even the next year--it seems unlikely that stocks will enjoy a repeat of the exceptional returns of this remarkable era. Indeed, there are sure to be some rough seas ahead. Nonetheless, we believe that investors who maintain a balanced portfolio of stock funds, bond funds, and money market funds will overcome the volatility of financial markets and be rewarded. "Stay the course" has proved wise counsel in the past, and we see no reason why it should not continue to be in the future. /s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN Chairman of the Board President January 20, 1997
PORTFOLIO STATISTICS - ---------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE DECEMBER 31, DISTRIBUTIONS FROM DIVIDENDS FROM -------------------------- NET REALIZED NET INVESTMENT PORTFOLIO 1995 1996 CAPITAL GAINS INCOME - ---------------------------------------------------------------------------------------------- 500 $57.60 $69.17 $0.25 $1.28 Growth 13.97 16.90 0.14 0.22 Value 14.79 17.02 0.57 0.38 Extended Market 24.07 26.20 1.72 0.34 SmallCap Stock 18.61 20.23 1.44 0.27 Total Stock Market 15.04 17.77 0.11 0.29 - ----------------------------------------------------------------------------------------------
4 7 FOR THE RECORD: EXCERPTS FROM PREVIOUS ANNUAL REPORTS Here are excerpts from letters in previous Annual Reports. Also shown are year-end assets of our 500 Portfolio and its rank in size among U.S. equity funds. 1976: ASSETS $14 MILLION (#220) First Index Investment Trust [our original name] is the first and only investment company designed as an "index matching" account. . . . Some reports on the index fund concept are almost violently negative--"unAmerican," "a cop-out," "the pursuit of mediocrity"--but they fly in the face of clear statistical evidence that, for the professional and amateur investor alike, matching the S&P 500 Index has been a tremendous challenge. 1978: ASSETS $66 MILLION (#95) Despite overwhelming evidence that the investment performance of the average pension account has fallen well short of the performance of the S&P 500 Index in the past decade (only 17% of accounts had better performance), 95% of pension officers believe their funds can outperform in the future. Such optimism in the face of such discouraging actual results reflects Dr. Samuel Johnson's comment about "the triumph of hope over experience." 1986: ASSETS $485 MILLION (#100) At last, a second index mutual fund has entered the fray, but (with an initial sales charge and high operating expenses) has already fallen far behind the Index. 1987: ASSETS $826 MILLION (#53) Mindful that the S&P 500 Index represents only a portion--if a major portion--of the U.S. equity market, we have started a second (Extended Market) Portfolio. 1990: ASSETS $2,173 MILLION (#19) Now, two of our major competitors have entered the index fund fray, but (in the words of Morningstar) "if they think it's going to be easy to supplant Vanguard with its low cost structure, they're fooling themselves. Vanguard is the true people's hero." 1992: ASSETS $6,547 MILLION (#5) We added three Portfolios (Growth, Value, and Total Stock Market). 1994: ASSETS $9,356 MILLION (#10) Today, there are 137 index funds as our competitors have been dragged "kicking and screaming" into indexing. But index funds remain a trivial factor in the industry, as "hope springs eternal" among investors that they can identify top performing managers in advance. Indexing works. The theory always said it would, and we are delighted to have pioneered the translation of the theory into practice. 1995: ASSETS $17,372 MILLION (#4) Over the past decade, the chances were about 1 in 18 that a fund manager would beat the S&P 500 Index, one reason Money magazine headlined its August issue VANGUARD WINS: "INDEX FUNDS SHOULD BE THE CORE OF MOST PORTFOLIOS TODAY." 5 8 VANGUARD INDEX TRUST: A TWENTY-YEAR RETROSPECTIVE Twenty years ago last August, Vanguard formed the first index fund, modeled on the S&P 500 Index. Ten years ago this December, we formed the first extended market index fund (all stocks outside the S&P 500 Index), making it possible, for the first time, for mutual fund investors to own the entire U.S. stock market. Our original 500 Portfolio has grown to total net assets of $30 billion and today is the third-largest of America's 3,000 equity mutual funds. Equally imposing, that single Portfolio is now a member of a burgeoning family of Vanguard Index funds, now 21 in number, plus five funds whose asset allocation strategies are implemented through market index strategies. These index stock and bond funds bring total index assets at Vanguard to $62 billion, a pool of assets that by itself would be the third-largest direct marketing (i.e., no-load) fund complex. Despite the proven success of index strategies in providing performance significantly better than that of comparable accounts actively managed by professional advisers, indexing has far to go. Index fund assets today represent but 8% of the assets of all U.S. stock and bond funds, so even greater growth lies in prospect. Vanguard, the industry pioneer and leader from the start, expects to continue "leading the way" (the motto of HMS Vanguard). We expect to remain the low-cost leader, and to live up to Morningstar's challenge to our rivals in 1990: "Vanguard is the true people's hero." PERCENT OF GENERAL EQUITY FUNDS OUTPERFORMED BY THE S&P 500 INDEX [CHART] 1977 15 1978 31 1979 20 1980 53 1981 37 1982 38 1983 60 1984 78 1985 74 1986 76 1987 76 1988 59 1989 82 1990 64 1991 45 1992 46 1993 40 1994 78 1995 85 1996 76
The past three years--during which the S&P 500 Index has outpaced 90% of all general equity funds--have been among the best in the long history of indexing. Indexing should not be expected to consistently turn in performance that is so superior. For a more realistic picture of what investors might expect we present this record of the performance of the S&P 500 Index versus general equity funds for each of the past 20 years. You will note that the Index has outperformed as few as 15% of the funds and as many as 85%. A reasonable expectation for the future might be around 65% over time. 6 9 THE MARKETS IN PERSPECTIVE: YEAR ENDED DECEMBER 31, 1996 [PHOTO] U.S. EQUITY MARKETS The stock market in 1996 could not match its astonishing 37.6% return of the previous year--but it made a good run, with the Standard & Poor's 500 Composite Stock Price Index up by 23.0%. When the two years are considered cumulatively, the S&P 500 Index has risen 69.2%. Not surprisingly, many of the factors that drove the market higher in 1995 were still at work: Once again, steady economic growth, low inflation, and solid earnings growth were powerful motivators. The market's gains, however, were far from evenly distributed. Investors strongly favored larger companies, such as those that dominate the S&P 500 Index. In fact, even within the Index, it was the largest companies that prevailed: The 50 biggest (which account for roughly half the Index's market value) gained 26.7% in 1996, compared with an increase of 23.0% for the entire Index. Looking at the S&P 500 Index's performance by sector, technology stocks were strongest, closing the year with a 42.5% gain. Financial stocks were a close second, gaining 35.5%. Utilities, plagued early in the year by higher interest rates and a rapidly changing competitive landscape, eked out a meager 1.8% return, the lowest within the Index. With the largest companies performing so well, most smaller issues could not keep pace. This was evidenced in the considerable difference between the 23.0% return of the S&P 500 Index and the 16.5% return of the Russell 2000 Index of small stocks. Even for the smaller companies, there was a significant range of performance among sectors. Energy stocks led the Russell 2000 Index with a 62.0% gain for the year. Here, rising prices, limited exposure to the cyclical refining business, and a reduced number of competitors created a favorable environment for the stocks. At the other end of the spectrum were health-care stocks, which showed a loss of -3.3%.
- ---------------------------------------------------------------------- AVERAGE ANNUALIZED RETURNS PERIODS ENDED DECEMBER 31, 1996 ---------------------------------- 1 YEAR 3 YEARS 5 YEARS - ---------------------------------------------------------------------- Equity S&P 500 Index 23.0% 19.7% 15.2% Russell 2000 Index 16.5 13.7 15.6 MSCI-EAFE Index 6.4 8.6 8.5 - ---------------------------------------------------------------------- Fixed-Income Lehman Aggregate Bond Index 3.6% 6.0% 7.0% Lehman 10-Year Municipal Bond Index 4.5 5.3 7.5 Salomon 90-Day U.S. Treasury Bills 5.3 5.1 4.4 - ---------------------------------------------------------------------- Other Consumer Price Index 3.3% 2.8% 2.8% - ----------------------------------------------------------------------
U.S. FIXED-INCOME MARKETS At year-end, the yield on the 30-year U.S. Treasury bond was 6.64%, noticeably higher than its 5.95% level on December 31, 1995. The change in rates during 1996 reflects increased concern about the prospects for rising inflation, due to indications of greater than expected strength in the economy. When the year began, the general expectation was that modest economic growth and benign inflation would continue, giving the Federal Reserve no reason to boost inter- 7 10 est rates. That complacency was shattered by an exceptionally strong February jobs report, the first of what turned out to be a succession of signs that in fact the economy was growing at a much faster--and potentially inflation-inducing--pace. The bond market reacted est rates. That complacency was shattered by an exceptionally strong February jobs report, the first of what turned out to be a succession of signs that in fact the economy was growing at a much faster--and potentially inflation-inducing--pace. The bond market reacted swiftly to meet the perceived risk: The 30-year Treasury bond's yield jumped from just below 6.0% at the end of 1995 to 6.7% in late March. The next several months saw a consistent pattern in which bond yields rose on the Friday of the jobs-report release only to fall back by the middle of the month. Hindsight shows that most of the worry was wasted: Inflation, as measured by the Consumer Price Index, remained near an annualized rate of 3.3%. But increasing signs of growth in late November and December reignited inflation concerns and caused bonds to finish the year on a sour note. Despite the numerous setbacks suffered by the bond market in 1996, indexes were able to finish the year with positive total returns. Although the specter of the Federal Reserve Board loomed large during the year, in fact the Board acted only once, lowering the federal funds rate by a total of 0.25% in January. Corporate bonds, mortgage-backed issues, and municipals were three relatively bright spots in 1996. The strength in earnings that benefited stock prices extended to the corporate bond sector as well. These bonds, especially those of lower credit quality, performed well relative to Treasuries, supported by general confidence in companies' ability to meet payments. The stable-to-rising interest-rate environment throughout most of the year benefited another large segment of the bond market--mortgage-backed securities--as the threat of refinancings receded. Finally, municipal bonds outpaced their U.S. Treasury counterparts. The sector was shielded to a certain extent from the inflation wars of the Treasury market, as demand outstripped supply for much of the year. INTERNATIONAL EQUITY MARKETS Investors who assess international markets by the often-cited EAFE benchmark--the Morgan Stanley Capital International-Europe, Australasia, Far East Index, with its 1996 return of 6.4%--could have overlooked a striking regional disparity between the European and Pacific markets. Europe's markets gained 21.4% during the year, while their Pacific counterparts posted a decline of -8.2%. Clearly, the outlook and environments that characterized the European and Far East markets were quite different. The poor returns in the Pacific region largely reflected ongoing concern about the health of the Japanese economy. Growth in Japan has remained modest at best for several years despite government efforts to stimulate the economy through public works programs and tax incentives. In Europe, the picture was dramatically different, with the region benefiting from a variety of factors. Among the most important were (1) ongoing efforts to lower government deficits consistent with the Maastricht Treaty guidelines, (2) improving economic growth, and (3) a greater commitment by corporate executives to increasing "shareholder value." 8 11 PERFORMANCE SUMMARY: 500 PORTFOLIO All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the Portfolio. Note, too, that both share price and return can fluctuate widely so that an investment in the Portfolio could lose money.
TOTAL INVESTMENT RETURNS: 12/31/76-12/31/96 - ------------------------------------------------- 500 PORTFOLIO S&P 500 FISCAL CAPITAL INCOME TOTAL TOTAL YEAR RETURN RETURN RETURN RETURN - ------------------------------------------------- 1977 -11.7% 3.9% -7.8% -7.2% 1978 0.8 5.1 5.9 6.5 1979 12.1 5.9 18.0 18.4 1980 25.5 6.4 31.9 32.4 1981 -9.8 4.6 -5.2 -4.9 1982 14.8 6.2 21.0 21.5 1983 16.2 5.1 21.3 22.5 1984 1.5 4.7 6.2 6.3 1985 26.1 5.1 31.2 31.8 1986 14.0 4.1 18.1 18.7 1987 2.3 2.4 4.7 5.3 1988 11.6 4.6 16.2 16.6 1989 26.7 4.7 31.4 31.7 1990 -6.8 3.5 -3.3 -3.1 1991 26.3 3.9 30.2 30.5 1992 4.4 3.0 7.4 7.6 1993 7.1 2.8 9.9 10.1 1994 -1.5 2.7 1.2 1.3 1995 34.4 3.0 37.4 37.6 1996 20.5 2.4 22.9 23.0 - -------------------------------------------------
See Financial Highlights table on page 33 for dividend and capital gains information for the past five years.
CUMULATIVE PERFORMANCE: 12/31/86-12/31/96 - ------------------------------------------------- LIPPER STANDARD & 500 GENERAL POOR'S PORTFOLIO EQUITY 500 INDEX 1986 12 10000 10000 10000 1987 03 12116 11922 12136 1987 06 12722 12109 12745 1987 09 13542 12722 13587 1987 12 10465 10050 10526 1988 03 11054 10868 11126 1988 06 11768 11465 11867 1988 09 11806 11417 11907 1988 12 12156 11501 12275 1989 03 13010 12329 13145 1989 06 14152 13236 14305 1989 09 15648 14528 15837 1989 12 15962 14260 16164 1990 03 15471 13972 15678 1990 06 16430 14793 16664 1990 09 14167 12537 14374 1990 12 15424 13366 15662 1991 03 17654 15701 17937 1991 06 17601 15557 17896 1991 09 18528 16864 18853 1991 12 20076 18126 20434 1992 03 19556 18065 19918 1992 06 19920 17581 20296 1992 09 20532 18254 20936 1992 12 21555 19737 21991 1993 03 22485 20372 22951 1993 06 22580 20644 23063 1993 09 23147 21928 23659 1993 12 23676 22206 24207 1994 03 22764 21478 23289 1994 06 22850 20956 23387 1994 09 23957 22321 24530 1994 12 23942 21833 24527 1995 03 26264 23403 26915 1995 06 28752 25541 29484 1995 09 31032 28010 31827 1995 12 32894 28619 33743 1996 03 34648 30133 35554 1996 06 36188 31656 37150 1996 09 37290 32744 38298 1996 12 40428 34194 41491
- ------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 1996 ----------------------------------- FINAL VALUE OF A 1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT - ------------------------------------------------------------------------------------- 500 PORTFOLIO* 22.84% 15.02% 14.99% $40,428 AVERAGE GENERAL EQUITY FUND 19.48 13.54 13.08 34,194 S&P 500 INDEX 22.96 15.22 15.29 41,491 - -------------------------------------------------------------------------------------
*Performance figures are adjusted for the $10 annual account maintenance fee.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96 - ------------------------------------------------------------------------------------------ 10 YEARS INCEPTION -------------------------- DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL - ------------------------------------------------------------------------------------------ 500 Portfolio* 8/31/76 22.84% 15.02% 11.73% 3.26% 14.99% - ------------------------------------------------------------------------------------------
*Performance figures are adjusted for the $10 annual account maintenance fee. 9 12 PERFORMANCE SUMMARY: EXTENDED MARKET PORTFOLIO All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the Portfolio. Note, too, that both share price and return can fluctuate widely so that an investment in the Portfolio could lose money.
TOTAL INVESTMENT RETURNS: 12/21/87-12/31/96 - --------------------------------------------- EXTENDED MARKET PORTFOLIO WILSHIRE 4500 FISCAL CAPITAL INCOME TOTAL TOTAL YEAR RETURN RETURN RETURN RETURN - --------------------------------------------- 1987 -0.1% 0.0% -0.1% -0.1% 1988 17.7 2.0 19.7 20.5 1989 22.1 2.0 24.1 23.9 1990 -16.4 2.4 -14.0 -13.6 1991 39.6 2.2 41.8 43.5 1992 10.9 1.6 12.5 11.9 1993 13.2 1.3 14.5 14.6 1994 -3.2 1.4 -1.8 -2.7 1995 32.2 1.6 33.8 33.5 1996 16.2 1.4 17.6 17.2 - ---------------------------------------------
See Financial Highlights table on page 34 for dividend and capital gains information for the past five years.
CUMULATIVE PERFORMANCE: 12/21/87-12/31/96 - --------------------------------------------- EXTENDED LIPPER WILSHIRE MARKET GROWTH 4500 INDEX 1987 12 9950 10000 10000 1987 12 9940 9990 9990 1988 03 11212 10739 11336 1988 06 11896 11352 12001 1988 09 11814 11236 11929 1988 12 11894 11385 12041 1989 03 12887 12194 13034 1989 06 13916 13162 14040 1989 09 15161 14487 15292 1989 12 14751 14281 14924 1990 03 14070 13965 14231 1990 06 14516 14965 14699 1990 09 11774 12555 12019 1990 12 12670 13498 12901 1991 03 15284 15863 15574 1991 06 15182 15723 15499 1991 09 16461 16913 16901 1991 12 17963 18370 18507 1992 03 18231 18150 18746 1992 06 17590 17613 17981 1992 09 18100 18173 18517 1992 12 20190 19801 20703 1993 03 21003 20305 21537 1993 06 21279 20443 21869 1993 09 22767 21436 23465 1993 12 23105 21898 23719 1994 03 22378 21074 22860 1994 06 21777 20641 22159 1994 09 23212 21741 23681 1994 12 22688 21427 23088 1995 03 24364 22931 24836 1995 06 26554 25234 26956 1995 09 29613 27365 30000 1995 12 30344 28026 30819 1996 03 32212 29423 32639 1996 06 33511 30836 34128 1996 09 34376 31713 34856 1996 12 35701 33419 36114
- ------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 1996 --------------------------------- SINCE FINAL VALUE OF A 1 YEAR 5 YEARS INCEPTION $10,000 INVESTMENT - ------------------------------------------------------------------------------------- EXTENDED MARKET PORTFOLIO* 17.02% 14.61% 15.14% $35,701 AVERAGE GROWTH FUND 19.24 12.71 14.30 33,419 WILSHIRE 4500 INDEX 17.18 14.31 15.29 36,114 - -------------------------------------------------------------------------------------
*Performance figures are adjusted for the 0.5% transaction fee on purchases and the $10 annual account maintenance fee.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96 - ----------------------------------------------------------------------------------------- SINCE INCEPTION INCEPTION ------------------------ DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL - ----------------------------------------------------------------------------------------- Extended Market Portfolio* 12/21/87 17.02% 14.61% 13.38% 1.76% 15.14% - -----------------------------------------------------------------------------------------
*Performance figures are adjusted for the 0.5% transaction fee on purchases and the $10 annual account maintenance fee. 10 13 PERFORMANCE SUMMARY: TOTAL STOCK MARKET PORTFOLIO All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the Portfolio. Note, too, that both share price and return can fluctuate widely so that an investment in the Portfolio could lose money.
TOTAL INVESTMENT RETURNS: 4/27/92-12/31/96 - ---------------------------------------------- TOTAL STOCK MARKET PORTFOLIO WILSHIRE 5000 FISCAL CAPITAL INCOME TOTAL TOTAL YEAR RETURN RETURN RETURN RETURN - ---------------------------------------------- 1992 8.1% 2.3% 10.4% 10.6% 1993 8.1 2.5 10.6 11.3 1994 -2.5 2.3 -0.2 -0.1 1995 33.1 2.7 35.8 36.4 1996 18.9 2.1 21.0 21.2 - ----------------------------------------------
See Financial Highlights table on page 35 for dividend and capital gains information since the Portfolio's inception.
CUMULATIVE PERFORMANCE: 4/27/92-12/31/96 - ---------------------------------------------- TOTAL LIPPER WILSHIRE STOCK GENERAL 5000 MARKET EQUITY INDEX 1992 04 9975 10000 10000 1992 06 9984 9928 10004 1992 09 10280 10209 10310 1992 12 11008 11112 11061 1993 03 11444 11477 11532 1993 06 11526 11658 11619 1993 09 11946 12264 12089 1993 12 12172 12502 12309 1994 03 11719 12101 11850 1994 06 11612 11834 11758 1994 09 12263 12483 12397 1994 12 12146 12292 12301 1995 03 13257 13185 13412 1995 06 14479 14423 14664 1995 09 15772 15665 16004 1995 12 16487 16112 16785 1996 03 17396 16977 17728 1996 06 18134 17876 18509 1996 09 18642 18313 19032 1996 12 19993 19251 20345
- ------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 1996 -------------------------------- FINAL VALUE OF A 1 YEAR SINCE INCEPTION $10,000 INVESTMENT - ------------------------------------------------------------------------------------- TOTAL STOCK MARKET PORTFOLIO* 20.94% 15.96% $19,993 AVERAGE GENERAL EQUITY FUND 19.48 15.03 19,251 WILSHIRE 5000 INDEX 21.21 16.40 20,345 - -------------------------------------------------------------------------------------
*Performance figures are adjusted for the $10 annual account maintenance fee.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96 - ------------------------------------------------------------------------------------ SINCE INCEPTION INCEPTION ----------------------- DATE 1 YEAR CAPITAL INCOME TOTAL - ------------------------------------------------------------------------------------ Total Stock Market Portfolio* 4/27/92 20.94% 13.43% 2.53% 15.96% - ------------------------------------------------------------------------------------
*Performance figures are adjusted for the $10 annual account maintenance fee. 11 14 PERFORMANCE SUMMARY: GROWTH PORTFOLIO All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the Portfolio. Note, too, that both share price and return can fluctuate widely so that an investment in the Portfolio could lose money.
TOTAL INVESTMENT RETURNS: 11/2/92-12/31/96 - -------------------------------------------- GROWTH PORTFOLIO S&P* FISCAL CAPITAL INCOME TOTAL TOTAL YEAR RETURN RETURN RETURN RETURN - -------------------------------------------- 1992 2.6% 0.6% 3.2% 3.2% 1993 -0.6 2.1 1.5 1.7 1994 0.8 2.1 2.9 3.1 1995 35.9 2.2 38.1 38.1 1996 22.0 1.7 23.7 24.0 - --------------------------------------------
*S&P/BARRA Growth Index. See Financial Highlights table on page 36 for dividend and capital gains information since the Portfolio's inception.
CUMULATIVE PERFORMANCE: 11/2/92-12/31/96 - --------------------------------------------------- STANDARD & GROWTH LIPPER POOR'S/ PORTFOLIO GROWTH BARRA GROWTH 1992 11 10000 10000 10000 1992 12 10319 10440 10317 1993 03 10256 10707 10267 1993 06 10042 10776 10055 1993 09 10029 11293 10051 1993 12 10465 11545 10490 1994 03 9998 11112 10037 1994 06 9984 10880 10028 1994 09 10696 11453 10745 1994 12 10756 11297 10819 1995 03 11800 12091 11881 1995 06 13017 13301 13109 1995 09 14048 14416 14150 1995 12 14840 14776 14944 1996 03 15474 15515 15591 1996 06 16531 16254 16684 1996 09 17109 16707 17271 1996 12 18362 17619 18526
- --------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 1996 -------------------------------- FINAL VALUE OF A 1 YEAR SINCE INCEPTION $10,000 INVESTMENT - --------------------------------------------------------------------------- GROWTH PORTFOLIO* 23.68% 15.72% $18,362 AVERAGE GROWTH FUND 19.24 14.58 17,619 S&P/BARRA GROWTH INDEX 23.97 15.97 18,526 - ---------------------------------------------------------------------------
*Performance figures are adjusted for the $10 annual account maintenance fee.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96 - ------------------------------------------------------------------------------------- SINCE INCEPTION INCEPTION -------------------------- DATE 1 YEAR CAPITAL INCOME TOTAL - ------------------------------------------------------------------------------------- Growth Portfolio* 11/2/92 23.68% 13.68% 2.04% 15.72% - -------------------------------------------------------------------------------------
*Performance figures are adjusted for the $10 annual account maintenance fee. 12 15 PERFORMANCE SUMMARY: VALUE PORTFOLIO All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the Portfolio. Note, too, that both share price and return can fluctuate widely so that an investment in the Portfolio could lose money.
TOTAL INVESTMENT RETURNS: 11/2/92-12/31/96 - -------------------------------------------- VALUE PORTFOLIO S&P* FISCAL CAPITAL INCOME TOTAL TOTAL YEAR RETURN RETURN RETURN RETURN - -------------------------------------------- 1992 3.0% 0.7% 3.7% 3.7% 1993 14.6 3.7 18.3 18.6 1994 -4.0 3.3 -0.7 -0.6 1995 33.0 3.9 36.9 37.0 1996 19.1 2.8 21.9 22.0 - --------------------------------------------
*S&P/BARRA Value Index. See Financial Highlights table on page 37 for dividend and capital gains information since the Portfolio's inception.
CUMULATIVE PERFORMANCE: 11/2/92-12/31/96 - --------------------------------------------------------------- LIPPER STANDARD VALUE GROWTH & POOR'S/ PORTFOLIO & INCOME BARRA VALUE 1992 11 10000 10000 10000 1992 12 10369 10339 10375 1993 03 11315 10804 11333 1993 06 11628 10889 11650 1993 09 12218 11264 12253 1993 12 12265 11499 12305 1994 03 11857 11135 11902 1994 06 11971 11098 12012 1994 09 12268 11591 12320 1994 12 12169 11409 12226 1995 03 13340 12339 13404 1995 06 14494 13351 14571 1995 09 15655 14333 15731 1995 12 16656 14984 16749 1996 03 17709 15799 17820 1996 06 18075 16342 18184 1996 09 18535 16833 18665 1996 12 20292 18117 20433
- -------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 1996 -------------------------------- FINAL VALUE OF A 1 YEAR SINCE INCEPTION $10,000 INVESTMENT - -------------------------------------------------------------------------- VALUE PORTFOLIO* 21.82% 18.54% $20,292 AVERAGE VALUE FUND 20.91 15.35 18,117 S&P/BARRA VALUE INDEX 21.99 18.73 20,433 - --------------------------------------------------------------------------
*Performance figures are adjusted for the $10 annual account maintenance fee.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96 - ----------------------------------------------------------------------------------------- SINCE INCEPTION INCEPTION ----------------------- DATE 1 YEAR CAPITAL INCOME TOTAL - ----------------------------------------------------------------------------------------- Value Portfolio* 11/2/92 21.82% 15.09% 3.45% 18.54% - -----------------------------------------------------------------------------------------
*Performance figures are adjusted for the $10 annual account maintenance fee. 13 16 PERFORMANCE SUMMARY: SMALL CAPITALIZATION STOCK PORTFOLIO All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the Portfolio. Note, too, that both share price and return can fluctuate widely so that an investment in the Portfolio could lose money.
TOTAL INVESTMENT RETURNS: 12/31/76-12/31/96 - --------------------------------------------------------------- SMALL CAPITALIZATION STOCK PORTFOLIO RUSSELL 2000 FISCAL CAPITAL INCOME TOTAL TOTAL YEAR RETURN RETURN RETURN RETURN - --------------------------------------------------------------- 1977 4.7% 1.9% 6.6% 7.4% 1978 4.4 2.4 6.8 14.5 1979 30.6 3.8 34.4 43.1 1980 42.9 1.1 44.0 38.6 1981 -2.9 0.0 -2.9 2.0 1982 43.5 2.9 46.4 24.9 1983 18.2 0.0 18.2 29.1 1984 -25.2 0.0 -25.2 -7.3 1985 21.5 1.5 23.0 31.1 1986 0.2 0.0 0.2 5.7 1987 -7.0 0.0 -7.0 -8.8 1988 24.0 0.6 24.6 24.9 1989 9.4 1.1 10.5 16.2 1990 -19.8 1.7 -18.1 -19.5 1991 43.0 2.3 45.3 46.1 1992 16.7 1.5 18.2 18.4 1993 17.4 1.3 18.7 18.9 1994 -1.9 1.4 -0.5 -1.8 1995 27.2 1.5 28.7 28.4 1996 16.6 1.5 18.1 16.5 - --------------------------------------------------------------
See Financial Highlights table on page 38 for dividend and capital gains information since the Portfolio became part of Vanguard Index Trust.
CUMULATIVE PERFORMANCE: 12/31/86-12/31/96 - -------------------------------------------------------------- LIPPER SMALL SMALLCAP COMPANY RUSSELL 2000 STOCK GROWTH STOCK INDEX 1986 12 9900 10000 10000 1987 03 12087 12273 12431 1987 06 12352 12157 12343 1987 09 13306 12627 12860 1987 12 9201 9411 9123 1988 03 10922 10739 10863 1988 06 11543 11561 11579 1988 09 11394 11300 11470 1988 12 11458 11196 11394 1989 03 12145 12106 12272 1989 06 12740 13034 13053 1989 09 13528 14328 13935 1989 12 12656 13768 13245 1990 03 12402 13572 12952 1990 06 12857 14682 13452 1990 09 9768 11378 10151 1990 12 10352 12406 10661 1991 03 13382 15591 13832 1991 06 13142 15394 13617 1991 09 14241 17023 14727 1991 12 15026 18811 15571 1992 03 16219 19139 16739 1992 06 15144 17557 15597 1992 09 15560 18129 16044 1992 12 17749 21171 18438 1993 03 18629 21450 19226 1993 06 18916 22035 19645 1993 09 20464 23883 21363 1993 12 21055 24766 21924 1994 03 20635 23838 21342 1994 06 19934 22604 20511 1994 09 21328 24380 21935 1994 12 20936 24588 21524 1995 03 21938 25671 22517 1995 06 23974 28207 24627 1995 09 26359 31433 27059 1995 12 26939 32358 27646 1996 03 28429 33693 29056 1996 06 30015 36588 30510 1996 09 30201 37217 30613 1996 12 31808 38894 32206
- -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 1996 ------------------------------- FINAL VALUE OF A 1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT - -------------------------------------------------------------------------------- SMALL CAPITALIZATION STOCK PORTFOLIO* 16.90% 15.96% 12.27% $31,808 AVERAGE SMALL-CAP FUND 20.20 15.64 14.55 38,894 RUSSELL 2000 INDEX 16.49 15.64 12.41 32,206 - --------------------------------------------------------------------------------
*Performance figures are adjusted for the 1% transaction fee on purchases and the $10 annual account maintenance fee.
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED 12/31/96 - ------------------------------------------------------------------------------------------------------- 10 YEARS INCEPTION -------------------------- DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL - ------------------------------------------------------------------------------------------------------- Small Capitalization Stock Portfolio* 10/3/60 16.90% 15.96% 11.07% 1.20% 12.27% - -------------------------------------------------------------------------------------------------------
*Performance figures are adjusted for the 1% transaction fee on purchases and the $10 annual account maintenance fee. 14 17 PORTFOLIO PROFILE: 500 PORTFOLIO DECEMBER 31, 1996 This Profile provides a snapshot of the Portfolio's characteristics, compared where appropriate to its unmanaged target index. Key elements of this Profile are defined on page 17.
PORTFOLIO CHARACTERISTICS - -------------------------------------------- 500 S&P 500 - -------------------------------------------- Number of Stocks 500 500 Median Market Cap $24.5B $24.5B Price/Earnings Ratio 19.6x 19.6x Price/Book Ratio 3.4x 3.4x Yield 1.8% 2.0% Return on Equity 19.6% 19.6% Earnings Growth Rate 13.5% 13.5% Foreign Holdings 3.7% 3.7% Turnover Rate 5% -- Expense Ratio 0.20% -- Cash Reserves 0% --
INVESTMENT FOCUS - -------------------------------------------- [CHART]
VOLATILITY MEASURES - ------------------------------------------- 500 S&P 500 - ------------------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------- General Electric Co. 2.9% The Coca-Cola Co. 2.3 Exxon Corp. 2.2 Intel Corp. 1.9 Microsoft Corp. 1.7 Merck & Co., Inc. 1.7 Philip Morris Cos., Inc. 1.6 Royal Dutch Petroleum Co. ADR 1.6 International Business Machines Corp. 1.4 Procter & Gamble Co. 1.3 - -------------------------------------------- Top Ten 18.6%
SECTOR DIVERSIFICATION (% OF COMMON STOCK) - ---------------------------------------------------------------------------------------- DECEMBER 31, 1995 DECEMBER 31, 1996 ------------------------------------------ 500 500 S&P 500 ------------------------------------------ Basic Materials ............................ 6.5% 6.1% 6.2% Capital Goods & Construction ............... 8.2 8.5 8.4 Consumer Cyclical ......................... 13.0 12.3 12.1 Consumer Staples ........................... 12.1 12.2 12.4 Energy ..................................... 9.5 9.5 9.7 Financial .................................. 12.9 14.7 15.0 Health Care ................................ 10.6 10.2 10.4 Technology ................................. 10.5 13.1 12.1 Transport & Services ....................... 1.6 1.5 1.5 Utilities .................................. 12.7 9.9 9.9 Miscellaneous .............................. 2.4 2.0 2.3 - ----------------------------------------------------------------------------------------
15 18 PORTFOLIO PROFILE: EXTENDED MARKET PORTFOLIO DECEMBER 31, 1996 This Profile provides a snapshot of the Portfolio's characteristics, compared where appropriate to its unmanaged target index. Key elements of this Profile are defined on page 17.
PORTFOLIO CHARACTERISTICS - -------------------------------------------- EXTENDED WILSHIRE MARKET 4500 - -------------------------------------------- Number of Stocks 2,097 6,863 Median Market Cap $1.2B $1.2B Price/Earnings Ratio 20.5x 20.5x Price/Book Ratio 2.6x 2.6x Yield 1.3% 1.3% Return on Equity 14.2% 14.2% Earnings Growth Rate 14.0% 14.0% Foreign Holdings 0.8% 0.8% Turnover Rate 22% -- Expense Ratio 0.25% -- Cash Reserves 0% --
INVESTMENT FOCUS - -------------------------------------------- [CHART]
VOLATILITY MEASURES - -------------------------------------------- EXTENDED MARKET S&P 500 - -------------------------------------------- R-Squared 0.65 1.00 Beta 0.90 1.00
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------- Berkshire Hathaway Class A 1.7% Electronic Data Systems Corp. 0.9 Rhone-Poulenc Rorer, Inc. 0.4 Carnival Corp. Class A 0.4 Safeway, Inc. 0.4 RJR Nabisco Holdings Corp. 0.4 Republic Industries, Inc. 0.3 Ascend Communications, Inc. 0.3 CNA Financial Corp. 0.3 Parametric Technology Corp. 0.3 - -------------------------------------------- Top Ten 5.4%
SECTOR DIVERSIFICATION (% OF COMMON STOCK) - ---------------------------------------------------------------------------------------- DECEMBER 31, 1995 DECEMBER 31, 1996 ------------------------------------------- EXTENDED EXTENDED WILSHIRE MARKET MARKET 4500 ------------------------------------------- Basic Materials ............................ 6.0% 5.0% 4.9% Capital Goods & Construction ............... 7.0 6.8 7.3 Consumer Cyclical ......................... 15.0 15.2 15.2 Consumer Staples ........................... 4.7 4.8 4.7 Energy ..................................... 4.0 5.3 5.1 Financial .................................. 22.0 23.4 23.2 Health Care ................................ 9.5 9.0 9.0 Technology ................................. 19.3 18.9 18.8 Transport & Services ....................... 2.3 2.0 1.9 Utilities .................................. 7.1 5.8 6.0 Miscellaneous .............................. 3.1 3.8 3.9 - ----------------------------------------------------------------------------------------
16 19 [PHOTO] BETA. A measure of the magnitude of a portfolio's past share-price fluctuations in relation to the fluctuations in the overall market (or appropriate market index). The market, or index, has a beta of 1.00, so a portfolio with a beta of 1.20 would have seen its share price rise or fall by 12% when the overall market rose or fell by 10%. EARNINGS GROWTH RATE. The annual average rate of growth in earnings over the past five years for the stocks now in a portfolio. EXPENSE RATIO. The percentage of a portfolio's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. The average expense ratio for a stock mutual fund was 1.34% in 1995. FOREIGN HOLDINGS. The percentage of a portfolio's investments represented by stocks or American Depository Receipts of companies based outside of the United States. INVESTMENT FOCUS. This grid indicates the focus of a portfolio in terms of two attributes: market capitalization (large, medium, or small) and relative valuation (growth, value, or a blend). MEDIAN MARKET CAP. The midpoint of market capitalization (market price x shares outstanding) of the stocks in a portfolio. Half the stocks in the portfolio have higher market capitalizations and half lower. NUMBER OF STOCKS. An indicator of diversification. The more stocks a portfolio holds, the more diversified it is and the more likely to perform in line with the overall stock market. PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a portfolio, the weighted average price/book ratio of the stocks it holds. PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share earnings over the past year. For a portfolio, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a portfolio, the weighted average return on equity for the companies represented in the portfolio. R-SQUARED. A measure of how much of a portfolio's past returns can be explained by the returns from the overall market (or its benchmark index). If a portfolio's total return were precisely synchronized with the overall market's return, its R-squared would be 1.00. If a portfolio's returns bore no relationship to the market's returns, its R-squared would be 0. SECTOR DIVERSIFICATION. The percentage of a portfolio's common stocks invested in each of the major industry classifications that compose the stock market. TEN LARGEST HOLDINGS. The percentage of a portfolio's total net assets in its ten largest investments (the average for stock mutual funds is about 25%). As this percentage rises, a portfolio's returns are likely to be more volatile since they are more dependent on the fortunes of a few companies. TURNOVER RATE. An indication of trading activity during the past year. Portfolios with high turnover rates incur higher transaction costs and are more likely to realize and distribute capital gains (which are taxable to investors). YIELD. A snapshot of a portfolio's income from interest and dividends. The yield, expressed as a percentage of the portfolio's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. 17 20 PORTFOLIO PROFILE: TOTAL STOCK MARKET PORTFOLIO DECEMBER 31, 1996 This Profile provides a snapshot of the Portfolio's characteristics, compared where appropriate to its unmanaged target index. Key elements of this Profile are defined on page 17.
PORTFOLIO CHARACTERISTICS - ------------------------------------------- TOTAL STOCK WILSHIRE MARKET 5000 - ------------------------------------------- Number of Stocks 2,798 7,352 Median Market Cap $10.8B $10.8B Price/Earnings Ratio 19.8x 19.8x Price/Book Ratio 3.2x 3.2x Yield 1.7% 1.8% Return on Equity 18.6% 18.6% Earnings Growth Rate 14.1% 14.1% Foreign Holdings 0.6% 0.6% Turnover Rate 3% -- Expense Ratio 0.22% -- Cash Reserves 0% --
INVESTMENT FOCUS - ------------------------------------------- [CHART]
VOLATILITY MEASURES - ------------------------------------------- TOTAL STOCK MARKET S&P 500 - ------------------------------------------- R-Squared 0.95 1.00 Beta 0.97 1.00
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------- General Electric Co. 2.0% The Coca-Cola Co. 1.6 Exxon Corp. 1.5 Intel Corp. 1.3 Microsoft Corp. 1.2 Merck & Co., Inc. 1.2 Philip Morris Cos., Inc. 1.1 International Business Machines Corp. 1.0 Procter & Gamble Co. 0.9 AT&T Corp. 0.9 - -------------------------------------------- Top Ten 12.7%
SECTOR DIVERSIFICATION (% OF COMMON STOCK) - ---------------------------------------------------------------------------------------- DECEMBER 31, 1995 DECEMBER 31, 1996 ------------------------------------------ TOTAL STOCK TOTAL STOCK WILSHIRE MARKET MARKET 5000 ------------------------------------------ Basic Materials ............................ 5.9% 5.5% 5.4% Capital Goods & Construction ............... 8.0 8.3 8.3 Consumer Cyclical ......................... 13.9 13.5 13.5 Consumer Staples ........................... 9.5 9.6 9.6 Energy ..................................... 6.9 7.4 7.4 Financial .................................. 16.4 17.8 17.8 Health Care ................................ 10.6 9.9 9.9 Technology ................................. 13.2 15.0 14.9 Transport & Services ....................... 1.9 1.6 1.6 Utilities .................................. 11.3 8.9 8.9 Miscellaneous .............................. 2.4 2.5 2.7 - ----------------------------------------------------------------------------------------
18 21 PORTFOLIO PROFILE: GROWTH PORTFOLIO DECEMBER 31, 1996 This Profile provides a snapshot of the Portfolio's characteristics, compared where appropriate to an unmanaged index. Key elements of this Profile are defined on page 17.
PORTFOLIO CHARACTERISTICS - -------------------------------------------- GROWTH S&P 500 - -------------------------------------------- Number of Stocks 195 500 Median Market Cap $39.0B $24.5B Price/Earnings Ratio 24.2x 19.6x Price/Book Ratio 5.9x 3.4x Yield 1.4% 2.0% Return on Equity 25.7% 19.6% Earnings Growth Rate 16.6% 13.5% Foreign Holdings 2.6% 3.7% Turnover Rate 29% -- Expense Ratio 0.20% -- Cash Reserves 0.3% --
INVESTMENT FOCUS - -------------------------------------------- [CHART]
VOLATILITY MEASURES - -------------------------------------------- GROWTH S&P 500 - -------------------------------------------- R-Squared 0.94 1.00 Beta 0.98 1.00
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------- General Electric Co. 5.5% The Coca-Cola Co. 4.5 Intel Corp. 3.7 Microsoft Corp. 3.4 Merck & Co., Inc. 3.2 Philip Morris Cos., Inc. 3.1 Procter & Gamble Co. 2.5 Johnson & Johnson 2.3 Bristol-Myers Squibb Co. 1.9 Pfizer, Inc. 1.8 - -------------------------------------------- Top Ten 31.9%
SECTOR DIVERSIFICATION (% OF COMMON STOCK) - --------------------------------------------------------------------------------------- DECEMBER 31, 1995 DECEMBER 31, 1996 ------------------------------------------ GROWTH GROWTH S&P 500 ------------------------------------------ Basic Materials ............................ 4.6% 5.6% 6.2% Capital Goods & Construction ............... 7.8 9.4 8.4 Consumer Cyclical ......................... 12.4 12.3 12.1 Consumer Staples ........................... 21.9 21.6 12.4 Energy ..................................... 0.5 2.3 9.7 Financial .................................. 3.7 6.8 15.0 Health Care ................................ 20.2 16.4 10.4 Technology ................................. 15.8 18.2 12.1 Transport & Services ....................... 0.7 0.1 1.5 Utilities .................................. 9.7 4.8 9.9 Miscellaneous .............................. 2.7 2.5 2.3 - ---------------------------------------------------------------------------------------
19 22 PORTFOLIO PROFILE: VALUE PORTFOLIO DECEMBER 31, 1996 This Profile provides a snapshot of the Portfolio's characteristics, compared where appropriate to an unmanaged index. Key elements of this Profile are defined on page 17.
PORTFOLIO CHARACTERISTICS - ------------------------------------------- VALUE S&P 500 - ------------------------------------------- Number of Stocks 344 500 Median Market Cap $14.5B $24.5B Price/Earnings Ratio 16.2x 19.6x Price/Book Ratio 2.4x 3.4x Yield 2.3% 2.0% Return on Equity 13.3% 19.6% Earnings Growth Rate 9.4% 13.5% Foreign Holdings 4.9% 3.7% Turnover Rate 29% -- Expense Ratio 0.20% -- Cash Reserves 0.5% --
INVESTMENT FOCUS - ------------------------------------------- [CHART]
VOLATILITY MEASURES - ------------------------------------------- VALUE S&P 500 - ------------------------------------------- R-Squared 0.94 1.00 Beta 1.01 1.00
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------- Exxon Corp. 4.4% Royal Dutch Petroleum Co. ADR 3.3 International Business Machines Corp. 2.8 AT&T Corp. 2.0 Citicorp 1.8 Mobil Corp. 1.7 Chevron Corp. 1.5 General Motors Corp. 1.5 BellSouth Corp. 1.5 Amoco Corp. 1.4 - -------------------------------------------- Top Ten 21.9%
SECTOR DIVERSIFICATION (% OF COMMON STOCK) - ---------------------------------------------------------------------------------------- DECEMBER 31, 1995 DECEMBER 31, 1996 -------------------------------------------- VALUE VALUE S&P 500 -------------------------------------------- Basic Materials ............................ 8.6% 6.6% 6.2% Capital Goods & Construction ............... 8.5 7.5 8.4 Consumer Cyclical ......................... 13.7 12.3 12.1 Consumer Staples ........................... 2.4 2.0 12.4 Energy ..................................... 18.4 17.3 9.7 Financial .................................. 22.0 23.1 15.0 Health Care ................................ 1.2 3.5 10.4 Technology ................................. 4.9 7.7 12.1 Transport & Services ....................... 2.6 3.0 1.5 Utilities .................................. 15.7 15.7 9.9 Miscellaneous .............................. 2.0 1.3 2.3 - ----------------------------------------------------------------------------------------
20 23 PORTFOLIO PROFILE: SMALL CAPITALIZATION STOCK PORTFOLIO DECEMBER 31, 1996 This Profile provides a snapshot of the Portfolio's characteristics, compared where appropriate to its unmanaged target index. Key elements of this Profile are defined on page 17.
PORTFOLIO CHARACTERISTICS - ------------------------------------------- SMALL RUSSELL CAPITALIZATION 2000 - ------------------------------------------- Number of Stocks 1,567 1,942 Median Market Cap $0.6B $0.6B Price/Earnings Ratio 19.1x 19.1x Price/Book Ratio 2.5x 2.5x Yield 1.5% 1.5% Return on Equity 11.9% 12.0% Earnings Growth Rate 10.7% 11.2% Foreign Holdings 0% 0% Turnover Rate 28% -- Expense Ratio 0.25% -- Cash Reserves 0% --
INVESTMENT FOCUS - ------------------------------------------- [CHART]
VOLATILITY MEASURES - ------------------------------------------- SMALL CAPITALIZATION S&P 500 - ------------------------------------------- R-Squared 0.49 1.00 Beta 0.87 1.00
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - ------------------------------------------- Dura Pharmaceuticals, Inc. 0.3% BJ Services Co. 0.3 Microchip Technology, Inc. 0.3 Public Storage, Inc. REIT 0.3 Battle Mountain Gold Co. Class A 0.2 PHH Corp. 0.2 United Meridian Corp. 0.2 Doubletree Corp. 0.2 United Waste Systems, Inc. 0.2 Herman Miller, Inc. 0.2 - ------------------------------------------- Top Ten 2.4%
SECTOR DIVERSIFICATION (% OF COMMON STOCK) - ---------------------------------------------------------------------------------------- DECEMBER 31, 1995 DECEMBER 31, 1996 ------------------------------------------- SMALL SMALL RUSSELL CAPITALIZATION CAPITALIZATION 2000 ------------------------------------------- Basic Materials ............................ 5.2% 5.7% 5.7% Capital Goods & Construction ............... 8.6 8.7 8.6 Consumer Cyclical ......................... 15.3 15.8 15.9 Consumer Staples ........................... 3.6 4.1 4.1 Energy ..................................... 4.4 4.9 4.8 Financial .................................. 22.6 23.1 23.1 Health Care ................................ 11.4 9.5 9.5 Technology ................................. 18.5 17.8 17.6 Transport & Services ....................... 2.3 1.8 1.8 Utilities .................................. 4.5 4.6 4.7 Miscellaneous .............................. 3.6 4.0 4.2 - ----------------------------------------------------------------------------------------
21 24 FINANCIAL STATEMENTS DECEMBER 31, 1996 [PHOTO] The Statements of Net Assets, integral parts of the Financial Statements for each of the Vanguard Index Trust Portfolios, and the Report Of Independent Accountants are included as an insert to this Report (except for the 500 Portfolio, whose Statement of Net Assets is provided below; its Report Of Independent Accountants can be found on page 42). STATEMENT OF NET ASSETS This Statement provides a detailed list of each Portfolio's holdings, including each security's market value on the last day of the reporting period. The 500, Growth, and Value Portfolios' S&P 500 Index common stocks are listed in descending market value order; the Extended Market, Total Stock Market, and Small Capitalization Stock Portfolios' common stocks are listed alphabetically. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the Portfolio's Net Assets. Finally, Net Assets are divided by the outstanding shares of the Portfolio to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets of each Portfolio, you will find a table displaying the composition of the Portfolio's net assets on both a dollar and per-share basis. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the Portfolio had available to distribute to shareholders as income dividends or capital gains as of the statement date. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the Portfolio's investments and their cost, and reflects the gains (losses) that would be realized if the Portfolio were to sell all of its investments at their statement-date values.
- ------------------------------------------------------------- MARKET VALUE* 500 PORTFOLIO SHARES (000) - ------------------------------------------------------------- COMMON STOCKS - ------------------------------------------------------------- General Electric Co. 8,830,720 $ 873,137 The Coca-Cola Co. 13,345,805 702,323 Exxon Corp. 6,660,211 652,701 Intel Corp. 4,405,672 576,592 # Microsoft Corp. 6,416,694 530,179 Merck & Co., Inc. 6,466,152 512,443 Philip Morris Cos., Inc. 4,368,552 492,008 Royal Dutch Petroleum Co. ADR 2,875,661 491,019 International Business Machines Corp. 2,775,869 419,156 Procter & Gamble Co. 3,657,948 393,229 AT&T Corp. 8,690,542 378,039 Johnson & Johnson 7,143,066 355,368 Bristol-Myers Squibb Co. 2,685,933 292,095 Pfizer, Inc. 3,458,038 286,585 E.I. du Pont de Nemours & Co. 3,019,427 284,958 Wal-Mart Stores, Inc. 12,303,783 281,449 Hewlett-Packard Co. 5,454,551 274,091 American International Group, Inc. 2,518,035 272,577 Citicorp 2,523,543 259,925 Mobil Corp. 2,113,230 258,342 The Walt Disney Co. 3,638,473 253,329 PepsiCo, Inc. 8,339,093 243,918 GTE Corp. 5,159,146 234,741 Chevron Corp. 3,498,773 227,420 General Motors Corp. 4,054,462 226,036 Gillette Co. 2,895,999 225,164 # Cisco Systems, Inc. 3,485,970 221,795 Federal National Mortgage Assn. 5,858,163 218,217 Eli Lilly & Co. 2,959,312 216,030 BellSouth Corp. 5,327,449 215,096 Amoco Corp. 2,666,713 214,670 Abbott Laboratories 4,166,841 211,467 Chase Manhattan Corp. 2,353,832 210,080 The Boeing Co. 1,921,841 204,436 Ford Motor Co. 6,358,094 202,664 American Home Products Corp. 3,424,864 200,783 Motorola, Inc. 3,180,314 195,192 BankAmerica Corp. 1,924,758 191,995 Minnesota Mining & Manufacturing Co. 2,241,653 185,777 Ameritech Corp. 2,946,270 178,618 McDonald's Corp. 3,742,572 169,351 SBC Communications Inc. 3,240,093 167,675 Lucent Technologies, Inc. 3,415,038 157,946 Travelers Group Inc. 3,435,028 155,864 Bell Atlantic Corp. 2,350,490 152,194 NationsBank Corp. 1,545,139 151,037
22 25
- ------------------------------------------------------------------------------ MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------ Unilever NV ADR 859,175 $ 150,570 # Oracle Corp. 3,529,179 146,902 Columbia/HCA Healthcare Corp. 3,604,621 146,888 Kimberly-Clark Corp. 1,516,821 144,477 Eastman Kodak Co. 1,792,747 143,868 American Express Co. 2,543,871 143,729 Texaco Inc. 1,420,166 139,354 Allstate Corp. 2,387,111 138,154 Wells Fargo & Co. 496,554 133,945 Schlumberger Ltd. 1,322,018 132,037 Home Depot, Inc. 2,579,184 129,282 Chrysler Corp. 3,911,505 129,080 Schering-Plough Corp. 1,982,874 128,391 Monsanto Co. 3,156,742 122,718 MCI Communications Corp. 3,676,946 119,960 Emerson Electric Co. 1,203,558 116,444 Time Warner, Inc. 3,053,218 114,496 Atlantic Richfield Co. 863,316 114,389 NYNEX Corp. 2,361,773 113,660 First Union Corp. 1,523,136 112,712 Warner-Lambert Co. 1,455,679 109,176 Pharmacia & Upjohn, Inc. 2,728,282 108,108 # Compaq Computer Corp. 1,453,901 107,952 Anheuser-Busch Cos., Inc. 2,680,165 107,207 Federal Home Loan Mortgage Corp. 959,880 105,707 Dow Chemical Co. 1,305,900 102,350 AlliedSignal Inc. 1,517,695 101,686 Campbell Soup Co. 1,254,621 100,683 Banc One Corp. 2,295,369 98,701 J.P. Morgan & Co., Inc. 1,001,390 97,761 Computer Associates International, Inc. 1,958,337 97,427 Sears, Roebuck & Co. 2,102,149 96,962 Sara Lee Corp. 2,597,051 96,740 Lockheed Martin Corp. 1,034,384 94,646 Nike, Inc. Class B 1,540,835 92,065 Sprint Corp. 2,306,756 91,982 First Chicago NBD Corp. 1,711,132 91,973 Xerox Corp. 1,743,040 91,727 First Data Corp. 2,402,779 87,701 Medtronic, Inc. 1,286,588 87,488 Norwest Corp. 1,989,055 86,524 Northern Telecom Ltd. 1,387,518 85,853 United Technologies Corp. 1,292,914 85,332 WMX Technologies Inc. 2,606,444 85,035 Pacific Telesis Group 2,299,092 84,492 U S WEST Communications Group 2,565,194 82,728 Southern Co. 3,617,765 81,852 Union Pacific Corp. 1,313,717 78,987 The Seagram Co. Ltd. 2,002,281 77,588 Caterpillar, Inc. 1,027,164 77,294 # Amgen, Inc. 1,420,165 77,221 Kellogg Co. 1,130,451 74,186 McDonnell Douglas Corp. 1,139,163 72,906 Colgate-Palmolive Co. 788,733 72,761 - ------------------------------------------------------------------------------ TOTAL--100 LARGEST STOCKS 19,529,568 - ------------------------------------------------------------------------------ Merrill Lynch & Co., Inc. 883,306 71,989 Rockwell International Corp. 1,172,574 71,380 The Bank of New York Co., Inc. 2,106,213 71,085 Burlington Northern Santa Fe Corp. 821,342 70,943 H.J. Heinz Co. 1,973,255 70,544 Fleet Financial Group, Inc. 1,409,207 70,284 General Re Corp. 443,339 69,937 PNC Bank Corp. 1,831,008 68,892 # 3Com Corp. 932,321 68,293 # AirTouch Communications, Inc. 2,693,002 67,998 Automatic Data Processing, Inc. 1,557,933 66,796 International Paper Co. 1,610,753 65,034 Texas Instruments, Inc. 1,019,452 64,990 Westinghouse Electric Corp. 3,259,963 64,792 Aetna Inc. 808,794 64,704 ConAgra, Inc. 1,292,174 64,286 Archer-Daniels-Midland Co. 2,921,431 64,271 # Viacom International Inc. Class B 1,823,565 63,597 May Department Stores Co. 1,352,008 63,206 Phillips Petroleum Co. 1,412,663 62,510 # WorldCom, Inc. 2,396,943 62,321 # U S WEST Media Group 3,352,421 62,020 CoreStates Financial Corp. 1,195,519 62,018 KeyCorp 1,213,984 61,306 Raytheon Co. 1,267,354 60,991 J.C. Penney Co., Inc. 1,238,330 60,369 Baxter International, Inc. 1,464,892 60,061 CPC International, Inc. 772,054 59,834 Aluminum Co. of America 931,161 59,362 SunTrust Banks, Inc. 1,197,123 58,958 Enron Corp. 1,363,776 58,813 Norfolk Southern Corp. 671,825 58,785 Loews Corp. 617,712 58,219 Dean Witter Discover & Co. 865,572 57,344 # Boston Scientific Corp. 953,038 57,182 Corning, Inc. 1,234,849 57,112 Gannett Co., Inc. 756,707 56,658 Deere & Co. 1,386,481 56,326 PPG Industries, Inc. 985,077 55,287 Barrick Gold Corp. 1,918,476 55,156 CIGNA Corp. 403,638 55,147 Unocal Corp. 1,350,610 54,869 Boatmen's Bancshares, Inc. 836,947 53,878 National City Corp. 1,200,600 53,877 General Mills, Inc. 842,140 53,371 Illinois Tool Works, Inc. 664,957 53,113 Walgreen Co. 1,320,422 52,817 Bank of Boston Corp. 820,037 52,687 # Dell Computer Corp. 967,027 51,373 # Seagate Technology 1,288,765 50,906 # Sun Microsystems, Inc. 1,971,783 50,527 Weyerhaeuser Co. 1,064,305 50,421 The Chubb Corp. 934,349 50,221 # CUC International, Inc. 2,112,441 50,170 Wachovia Corp. 885,620 50,038 Duke Power Co. 1,079,806 49,941 MBNA Corp. 1,196,632 49,660 Mellon Bank Corp. 695,150 49,356 First Bank System, Inc. 721,446 49,239 CSX Corp. 1,163,920 49,176 Texas Utilities Co. 1,206,485 49,164 Albertson's, Inc. 1,352,475 48,182
23 26
- ------------------------------------------------------------------------------ MARKET VALUE* 500 PORTFOLIO SHARES (000) - ------------------------------------------------------------------------------ Household International, Inc. 518,489 $ 47,831 Morgan Stanley Group, Inc. 817,911 46,723 Pacific Gas & Electric Co. 2,215,887 46,534 Edison International 2,326,005 46,229 # Tele-Communications, Inc. Class A 3,553,853 46,200 The Gap, Inc. 1,522,146 45,855 Dayton-Hudson Corp. 1,163,768 45,678 American Brands, Inc. 911,560 45,236 AMP, Inc. 1,178,332 45,218 FPL Group, Inc. 979,915 45,076 Honeywell, Inc. 678,730 44,627 American General Corp. 1,089,586 44,537 United Healthcare Corp. 988,136 44,466 Tyco International Ltd. 838,584 44,340 # Toys R Us, Inc. 1,468,875 44,066 Pitney Bowes, Inc. 797,463 43,462 Barnett Banks, Inc. 1,046,517 43,038 # AMR Corp. 487,285 42,942 Conrail, Inc. 430,169 42,856 The Goodyear Tire & Rubber Co. 833,636 42,828 ITT Hartford Group, Inc. 630,525 42,560 Textron, Inc. 443,326 41,783 Ralston-Ralston Purina Group 568,266 41,697 Air Products & Chemicals, Inc. 599,392 41,433 American Electric Power Co., Inc. 1,006,601 41,397 # EMC Corp. 1,248,717 41,364 Tenneco, Inc. 916,229 41,345 # HFS Inc. 689,090 41,173 Occidental Petroleum Corp. 1,760,677 41,156 Alcan Aluminium Ltd. 1,214,091 40,824 Avon Products, Inc. 710,973 40,614 Halliburton Co. 671,636 40,466 Mattel, Inc. 1,456,182 40,409 Marsh & McLennan Cos., Inc. 385,554 40,098 Union Pacific Resources Group, Inc. 1,341,780 39,247 Praxair, Inc. 840,309 38,759 # Federated Department Stores 1,113,214 37,988 Marriott International 686,193 37,912 - ------------------------------------------------------------------------------ TOTAL--200 LARGEST STOCKS 24,809,321 - ------------------------------------------------------------------------------ Crown Cork & Seal Co., Inc. 689,353 37,484 Bankers Trust New York Corp. 433,713 37,408 Dominion Resources, Inc. 965,784 37,183 Consolidated Edison Co. of New York, Inc. 1,259,925 36,853 USX-Marathon Group 1,539,753 36,762 U.S. Bancorp 813,425 36,502 PanEnergy Corp. 809,432 36,424 # Tellabs, Inc. 962,453 36,212 Aon Corp. 580,944 36,091 Alco Standard Corp. 697,129 35,989 Hershey Foods Corp. 820,913 35,915 Fifth Third Bancorp 567,517 35,612 Service Corp. International 1,263,620 35,381 Georgia-Pacific Corp. 489,271 35,228 Public Service Enterprise Group Inc. 1,285,857 35,040 Wrigley, (Wm.) Jr. Co. 621,724 34,972 Hilton Hotels Corp. 1,323,653 34,580 # Applied Materials, Inc. 962,723 34,538 Entergy Corp. 1,237,782 34,348 TRW, Inc. 681,668 33,743 Burlington Resources, Inc. 668,971 33,699 # Computer Sciences Corp. 407,796 33,490 # MFS Communications Co., Inc. 614,188 33,320 Lowe's Cos., Inc. 928,148 32,949 Micron Technology Inc. 1,117,748 32,554 UST Inc. 1,001,853 32,435 PacifiCorp 1,575,597 32,300 American Stores Co. 780,789 31,915 ALLTEL Corp. 1,014,842 31,841 Williams Cos., Inc. 840,117 31,504 Sysco Corp. 962,366 31,397 # The Kroger Co. 674,312 31,356 Unicom Corp. 1,155,728 31,349 Morton International, Inc. 763,515 31,113 Masco Corp. 858,938 30,922 Pioneer HiBred International 441,238 30,887 Dover Corp. 604,621 30,382 Cognizant Corp. 919,064 30,329 # Digital Equipment Corp. 829,531 30,174 Comerica, Inc. 576,055 30,171 PECO Energy Corp. 1,193,052 30,125 Browning-Ferris Industries, Inc. 1,136,975 29,846 Carolina Power & Light Co. 809,548 29,549 Lincoln National Corp. 558,794 29,337 Dresser Industries, Inc. 945,839 29,321 Becton, Dickinson & Co. 668,148 28,981 Central & South West Corp. 1,127,960 28,904 Amerada Hess Corp. 498,599 28,856 Eaton Corp. 413,596 28,848 Genuine Parts Co. 646,460 28,767 Inco Ltd. 900,281 28,696 Houston Industries, Inc. 1,257,160 28,443 Green Tree Financial Corp. 736,093 28,432 Delta Air Lines, Inc. 400,485 28,384 UNUM Corp. 392,611 28,366 CINergy Corp. 844,767 28,194 Rohm & Haas Co. 344,638 28,131 Fluor Corp. 447,646 28,090 Union Carbide Corp. 685,876 28,035 Consolidated Natural Gas Co. 507,294 28,028 Transamerica Corp. 354,745 28,025 Placer Dome, Inc. 1,283,058 27,907 # Cabletron Systems, Inc. 837,492 27,847 The Clorox Co. 276,466 27,750 The Quaker Oats Co. 726,647 27,703 Coastal Corp. 565,330 27,631 Salomon, Inc. 584,777 27,558 # Federal Express Corp. 611,131 27,195 # ITT Corp. 624,030 27,067 # Kmart Corp. 2,590,057 26,872 Newell Co. 851,208 26,813 Baker Hughes, Inc. 774,944 26,736 International Flavors & Fragrances, Inc. 592,625 26,668 The Limited, Inc. 1,449,903 26,642 SAFECO Corp. 675,377 26,509 # Price/Costco Inc. 1,053,995 26,482 Times Mirror Co. Class A 530,933 26,414
24 27
- ------------------------------------------------------------------------------ MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------ St. Paul Cos., Inc. 446,162 $ 26,156 Rite Aid Corp. 656,435 26,093 Ingersoll-Rand Co. 585,835 26,070 Tribune Co. 329,400 25,981 Providian Corp. 501,941 25,787 Sherwin-Williams Co. 459,501 25,732 Freeport-McMoRan Copper & Gold Inc. Class B 859,911 25,690 Northrop Grumman Corp. 309,834 25,639 Winn-Dixie Stores, Inc. 807,673 25,543 R.R. Donnelley & Sons Co. 810,451 25,428 # Tenet Healthcare Corp. 1,161,577 25,410 DTE Energy Co. 778,544 25,205 W.R. Grace & Co. 476,650 24,667 The McGraw-Hill Cos. 532,636 24,568 Cooper Industries, Inc. 579,001 24,390 Republic New York Corp. 295,642 24,132 MGIC Investment Corp. 316,230 24,033 Nucor Corp. 469,372 23,938 # Silicon Graphics, Inc. 935,714 23,861 Newmont Mining Corp. 532,937 23,849 General Dynamics Corp. 337,990 23,828 Sonat, Inc. 462,562 23,822 Hercules, Inc. 548,706 23,732 - ------------------------------------------------------------------------------ TOTAL--300 LARGEST STOCKS 27,770,379 - ------------------------------------------------------------------------------ Phelps Dodge Corp. 350,156 23,636 CVS Corp. 566,658 23,445 MBIA, Inc. 231,386 23,428 VF Corp. 341,793 23,071 Eastman Chemical 416,908 23,034 W.W. Grainger, Inc. 284,430 22,826 Guidant Corp. 397,125 22,636 Champion International Corp. 512,185 22,152 GPU Inc. 645,779 21,714 The Dun & Bradstreet Corp. 912,666 21,676 # Bay Networks Inc. 1,034,913 21,604 Jefferson-Pilot Corp. 381,508 21,603 Allegheny Teledyne Inc. 932,194 21,440 Great Western Financial Corp. 737,977 21,401 Case Corp. 392,315 21,381 Baltimore Gas & Electric Co. 790,178 21,137 Union Electric Co. 546,370 21,035 Interpublic Group of Cos., Inc. 434,355 20,632 Willamette Industries, Inc. 296,149 20,582 # Western Atlas Inc. 287,406 20,370 Reynolds Metals Co. 356,592 20,103 PP&L Resources Inc. 867,182 19,945 New York Times Co. Class A 522,574 19,858 Avery Dennison Corp. 559,716 19,800 TJX Cos., Inc. 415,255 19,673 Golden West Financial Corp. 308,295 19,461 Knight-Ridder, Inc. 506,436 19,371 Laidlaw Inc. Class B 1,676,323 19,278 Raychem Corp. 239,799 19,214 Torchmark Corp. 378,428 19,111 Columbia Gas Systems, Inc. 296,174 18,844 Dillard Department Stores Class A 608,636 18,792 Kerr-McGee Corp. 260,930 18,787 # Advanced Micro Devices, Inc. 729,204 18,777 Ohio Edison Co. 816,194 18,568 Whirlpool Corp. 398,238 18,568 # St. Jude Medical, Inc. 433,358 18,472 Johnson Controls, Inc. 222,738 18,459 H.F. Ahmanson & Co. 567,486 18,443 # LSI Logic Corp. 688,800 18,425 Rubbermaid, Inc. 801,558 18,235 Beneficial Corp. 287,705 18,233 # National Semiconductor Corp. 741,246 18,068 Hasbro, Inc. 463,171 18,006 Tupperware Corp. 333,975 17,909 # Novell, Inc. 1,893,835 17,873 Union Camp Corp. 372,652 17,794 Dana Corp. 544,648 17,769 Harcourt General, Inc. 383,507 17,689 Dow Jones & Co., Inc. 516,917 17,511 Comcast Corp. Class A Special 986,083 17,503 Mallinckrodt Inc. 395,633 17,457 Southwest Airlines Co. 776,797 17,187 # Andrew Corp. 323,478 17,144 Northern States Power Co. 369,571 16,954 Brown-Forman Corp. Class B 367,142 16,797 Sigma-Aldrich Corp. 268,573 16,752 # Humana, Inc. 871,429 16,666 The Mead Corp. 279,154 16,226 H & R Block, Inc. 556,701 16,144 Temple-Inland Inc. 296,187 16,031 Great Lakes Chemical Corp. 340,050 15,897 Circuit City Stores, Inc. 525,539 15,832 # General Instrument Corp. 731,759 15,824 Westvaco Corp. 546,753 15,719 Pall Corp. 615,476 15,695 # Woolworth Corp. 716,069 15,664 # Fruit of the Loom, Inc. 410,496 15,548 ITT Industries, Inc. 633,812 15,528 Parker-Hannifin Corp. 399,788 15,492 Armstrong World Industries Inc. 221,789 15,414 Nordstrom, Inc. 433,173 15,323 James River Corp. 461,371 15,283 Ashland Inc. 343,173 15,057 # Ceridian Corp. 368,375 14,919 Liz Claiborne, Inc. 385,790 14,901 # Thermo Electron Corp. 360,000 14,850 Engelhard Corp. 766,485 14,659 Deluxe Corp. 439,033 14,378 Harris Corp. 208,930 14,338 Black & Decker Corp. 472,057 14,221 Wendy's International, Inc. 693,611 14,219 USX-U.S. Steel Group 452,718 14,204 PACCAR, Inc. 208,535 14,128 Pennzoil Co. 248,922 14,064 # FMC Corp. 199,307 13,976 # Oryx Energy Co. 563,508 13,947 Pacific Enterprises 455,647 13,840 Tandy Corp. 314,365 13,832 # Apple Computer, Inc. 664,099 13,780 Perkin-Elmer Corp. 232,420 13,684 Comcast Corp. Class A 760,722 13,408 United States Surgical Corp. 336,788 13,261 Nalco Chemical Co. 361,460 13,058 USF&G Corp. 623,926 13,024
25 28
- ------------------------------------------------------------------------------ MARKET VALUE* 500 PORTFOLIO SHARES (000) - ------------------------------------------------------------------------------ Ecolab, Inc. 345,026 $ 12,982 The Stanley Works 478,089 12,908 Whitman Corp. 561,965 12,855 # AutoZone, Inc. 465,900 12,812 Brunswick Corp. 528,100 12,674 - ------------------------------------------------------------------------------ TOTAL--400 LARGEST STOCKS 29,516,277 - ------------------------------------------------------------------------------ Harnischfeger Industries Inc. 262,256 12,621 Thomas & Betts Corp. 284,317 12,617 Reebok International Ltd. 298,232 12,526 Allergan, Inc. 350,789 12,497 Ryder System, Inc. 439,295 12,355 Louisiana-Pacific Corp. 584,587 12,349 Frontier Corp. 545,100 12,333 # ALZA Corp. 452,595 11,711 Owens-Corning 274,229 11,689 Cyprus Amax Minerals Co. 497,930 11,639 Snap-On Inc. 326,232 11,622 The BF Goodrich Co. 285,817 11,576 General Signal Corp. 265,400 11,346 American Greetings Corp. Class A 397,201 11,271 NorAm Energy Corp. 731,323 11,244 # DSC Communications Corp. 628,457 11,234 Homestake Mining Co. 781,679 11,139 Giant Food, Inc. Class A 321,887 11,105 # Harrah's Entertainment, Inc. 553,164 10,994 Moore Corp. Ltd. 531,512 10,830 Santa Fe Pacific Gold Corp. 700,466 10,770 Maytag Corp. 541,090 10,687 Bausch & Lomb, Inc. 302,467 10,586 Polaroid Corp. 242,817 10,563 Echlin, Inc. 331,918 10,497 # Rowan Cos., Inc. 458,906 10,383 Bemis Co., Inc. 280,143 10,330 Pep Boys (Manny, Moe & Jack) 335,919 10,330 Supervalu Inc. 361,243 10,250 Louisiana Land & Exploration Co. 183,415 9,836 Mercantile Stores Co., Inc. 197,431 9,748 Cummins Engine Co., Inc. 211,216 9,716 Sun Co., Inc. 395,291 9,635 Millipore Corp. 230,746 9,547 NICOR, Inc. 265,910 9,506 National Service Industries, Inc. 254,108 9,497 Biomet, Inc. 615,497 9,309 Manor Care Inc. 334,474 9,031 Tektronix, Inc. 174,858 8,962 Cooper Tire & Rubber Co. 447,488 8,838 Worthington Industries, Inc. 481,880 8,734 # Tandem Computers, Inc. 633,891 8,716 ENSERCH Corp. 372,903 8,577 C.R. Bard, Inc. 304,668 8,531 Battle Mountain Gold Co. Class A 1,193,306 8,204 Boise Cascade Corp. 256,970 8,159 Foster Wheeler Corp. 215,859 8,014 # USAir Group, Inc. 341,661 7,986 # Amdahl Corp. 649,558 7,876 Stone Container Corp. 527,671 7,849 The Timken Co. 167,416 7,680 Meredith Corp. 144,808 7,639 # Niagara Mohawk Power Corp. 765,638 7,561 # King World Productions, Inc. 199,830 7,369 Darden Restaurants Inc. 836,173 7,317 Crane Co. 245,921 7,132 Alberto-Culver Co. Class B 146,514 7,033 Helmerich & Payne, Inc. 132,964 6,931 Autodesk, Inc. 244,271 6,840 Briggs & Stratton Corp. 153,650 6,761 # Santa Fe Energy Resources, Inc. 486,373 6,748 # Beverly Enterprises Inc. 525,915 6,705 Potlatch Corp. 153,147 6,585 Great Atlantic & Pacific Tea Co., Inc. 202,365 6,450 Peoples Energy Corp. 186,193 6,307 # Unisys Corp. 922,980 6,230 Scientific-Atlanta, Inc. 412,051 6,181 Shared Medical Systems Corp. 125,483 6,164 USLIFE Corp. 184,355 6,130 Russell Corp. 204,572 6,086 Centex Corp. 151,846 5,713 ASARCO, Inc. 227,106 5,649 TRINOVA Corp. 151,621 5,515 John H. Harland Co. 164,977 5,444 # Bethlehem Steel Corp. 590,170 5,312 Fleetwood Enterprises, Inc. 191,078 5,255 Inland Steel Industries, Inc. 259,283 5,186 Longs Drug Stores, Inc. 105,358 5,176 EG & G, Inc. 255,356 5,139 Safety-Kleen Corp. 309,417 5,067 Duracell International, Inc. 71,733 5,012 Echo Bay Mines Ltd. 740,654 4,907 Freeport-McMoRan Copper & Gold Inc. Class A 172,483 4,851 McDermott International, Inc. 291,075 4,839 Cincinnati Milacron, Inc. 211,705 4,631 Springs Industries Inc. Class A 106,831 4,594 Jostens Inc. 205,016 4,331 ONEOK, Inc. 143,714 4,311 Ball Corp. 159,534 4,148 Alexander & Alexander Services, Inc. 237,474 4,126 Caliber System Inc. 207,863 4,001 Pulte Corp. 127,043 3,907 Eastern Enterprises 110,228 3,899 Adolph Coors Co. Class B 201,202 3,823 # Navistar International Corp. 401,588 3,664 Fleming Cos., Inc. 200,851 3,465 # Data General Corp. 210,203 3,048 # Charming Shoppes, Inc. 548,196 2,741 # TCI Satellite Entertainment, Inc. Class A 275,869 2,724 # Newport News Shipbuilding Inc. 180,256 2,704 Stride Rite Corp. 263,499 2,635 Kaufman & Broad Home Corp. 202,975 2,613 # Intergraph Corp. 250,597 2,569 # Viacom International Inc. Class A 71,693 2,473 Giddings & Lewis, Inc. 186,593 2,402 # Armco, Inc. 568,465 2,345 NACCO Industries, Inc. Class A 43,770 2,342 # Infinity Broadcasting Corp. 54,000 1,816 Consolidated Freightways, Inc. 51,576 1,148
26 29
- ------------------------------------------------------------------------------ MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------ # Consolidated Freightways Corp. 77,488 $ 688 # Ryan's Family Steak Houses, Inc. 92,737 638 # Shoney's Inc. 17,460 122 # Fresenius Medical Care AG Pfd. Class D 235,422 31 - ------------------------------------------------------------------------------ TOTAL COMMON STOCKS (100.0%)(1) (COST $21,866,619) 30,322,495 - ------------------------------------------------------------------------------
FACE AMOUNT (000) - ------------------------------------------------------------------------------ TEMPORARY CASH INVESTMENTS (0.2%) - ------------------------------------------------------------------------------ U.S. TREASURY BILL--Note D 5.17%, 1/9/97 $ 7,500 7,493 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.39%, 1/2/97 46,669 46,669 - ------------------------------------------------------------------------------ TOTAL TEMPORARY CASH INVESTMENTS (COST $54,161) 54,162 - ------------------------------------------------------------------------------ TOTAL INVESTMENTS (100.2%) (COST $21,920,780) 30,376,657 - ------------------------------------------------------------------------------ OTHER ASSETS AND LIABILITIES (-0.2%) - ------------------------------------------------------------------------------ Other Assets--Note B 603,670 Liabilities (648,475) ----------- (44,805) - ------------------------------------------------------------------------------ NET ASSETS (100%) - ------------------------------------------------------------------------------ Applicable to 438,518,428 outstanding shares of beneficial interest (unlimited authorization) $30,331,852 ============================================================================== NET ASSET VALUE PER SHARE $69.17 ==============================================================================
*See Note A in Notes to Financial Statements. #Non-Income Producing Security. (1)The combined market value of common stocks and S&P 500 Index futures contracts represents 100.1% of net assets. ADR--American Depository Receipt.
- ------------------------------------------------------------------------------ AMOUNT PER (000) SHARE - ------------------------------------------------------------------------------ AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF: - ------------------------------------------------------------------------------ Paid in Capital--Note C $21,808,593 $49.74 Undistributed Net Investment Income 23,865 .05 Accumulated Net Realized Gains--Note C 43,958 .10 Unrealized Appreciation (Depreciation)--Note D Investment Securities 8,455,877 19.28 Futures Contracts (441) -- - ------------------------------------------------------------------------------ NET ASSETS $30,331,852 $69.17 - ------------------------------------------------------------------------------
27 30 STATEMENT OF OPERATIONS This Statement shows dividend and interest income earned by each Portfolio during the reporting period, and details the operating expenses charged to the Portfolio. These expenses directly reduce the amount of investment income available to pay to shareholders as dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) on investments during the period. If a Portfolio invested in futures contracts during the period, the results of these investments are shown separately.
- ------------------------------------------------------------------------------------------------------------------------ YEAR ENDED DECEMBER 31, 1996 --------------------------------------------------------------- EXTENDED TOTAL STOCK 500 MARKET MARKET GROWTH PORTFOLIO PORTFOLIO* PORTFOLIO* PORTFOLIO* (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME INCOME Dividends $ 519,277 $ 26,241 $ 48,257 $ 8,880 Interest 10,100 4,195 4,842 268 --------------------------------------------------------------- Total Income 529,377 30,436 53,099 9,148 --------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 20 27 27 12 Management and Administrative 39,269 3,864 4,679 823 Marketing and Distribution 5,616 384 605 124 Taxes (other than income taxes) 791 69 72 12 Custodian Fees 312 117 131 19 Auditing Fees 34 10 11 8 Shareholders' Reports 879 72 51 21 Annual Meeting and Proxy Costs 274 20 16 11 Trustees' Fees and Expenses 66 5 6 1 --------------------------------------------------------------- Total Expenses 47,261 4,568 5,598 1,031 - ------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 482,116 25,868 47,501 8,117 - ------------------------------------------------------------------------------------------------------------------------ REALIZED NET GAIN Investment Securities Sold 509,247 128,509 17,019 5,992 Futures Contracts 31,011 6,833 10,361 452 - ------------------------------------------------------------------------------------------------------------------------ REALIZED NET GAIN 540,258 135,342 27,380 6,444 - ------------------------------------------------------------------------------------------------------------------------ CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 3,961,475 132,887 411,585 97,821 Futures Contracts (209) 643 534 22 - ------------------------------------------------------------------------------------------------------------------------ CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 3,961,266 133,530 412,119 97,843 - ------------------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $4,983,640 $294,740 $487,000 $112,404 ========================================================================================================================
*The Statements of Net Assets for the Extended Market, Total Stock Market, and Growth Portfolios, an integral part of the financial statements for each Portfolio, and the Report Of Independent Accountants are included as an insert to this Report. 28 31
- --------------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, 1996 ---------------------------------- SMALL CAPITALIZATION VALUE STOCK PORTFOLIO* PORTFOLIO* (000) (000) - --------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 20,433 $ 21,215 Interest 276 2,741 ---------------------------------- Total Income 20,709 23,956 ---------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 12 29 Management and Administrative 1,221 2,891 Marketing and Distribution 173 308 Taxes (other than income taxes) 23 44 Custodian Fees 30 35 Auditing Fees 9 9 Shareholders' Reports 30 62 Annual Meeting and Proxy Costs 11 19 Trustees' Fees and Expenses 2 4 ---------------------------------- Total Expenses 1,511 3,401 - --------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 19,198 20,555 - --------------------------------------------------------------------------------------------------------------- REALIZED NET GAIN Investment Securities Sold 46,255 106,032 Futures Contracts 608 2,264 - --------------------------------------------------------------------------------------------------------------- REALIZED NET GAIN 46,863 108,296 - --------------------------------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 88,848 83,281 Futures Contracts 12 46 - --------------------------------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 88,860 83,327 - --------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $154,921 $212,178 ===============================================================================================================
*The Statements of Net Assets for the Value and Small Capitalization Stock Portfolios, an integral part of the financial statements for each Portfolio, and the Report Of Independent Accountants are included as an insert to this Report. 29 32 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how each Portfolio's total net assets changed during the two most recent reporting periods. The Operations section summarizes information that is detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the Portfolio's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the amount shareholders invested in the Portfolio, either by purchasing shares or by reinvesting distributions, as well as the amounts redeemed. The corresponding numbers of Shares Issued and Redeemed are shown at the end of the Statement.
- ----------------------------------------------------------------------------------------------------------------------- 500 EXTENDED MARKET PORTFOLIO PORTFOLIO ----------------------------------- ------------------------ YEAR ENDED DECEMBER 31, ---------------------------------------------------------------- 1996 1995 1996 1995 (000) (000) (000) (000) - ----------------------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS OPERATIONS Net Investment Income $ 482,116 $ 308,784 $ 25,868 $ 18,358 Realized Net Gain 540,258 224,353 135,342 47,260 Change in Unrealized Appreciation (Depreciation) 3,961,266 3,461,446 133,530 279,593 ---------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 4,983,640 3,994,583 294,740 345,211 ---------------------------------------------------------------- DISTRIBUTIONS Net Investment Income (510,308) (329,358) (25,620) (18,335) Realized Capital Gain (103,232) (38,412) (127,262) (24,450) ---------------------------------------------------------------- Total Distributions (613,540) (367,770) (152,882) (42,785) ---------------------------------------------------------------- NET EQUALIZATION CREDITS--Note A 36,930 24,573 -- -- ---------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1) Issued 12,313,689 6,176,329 690,749 333,688 Issued in Lieu of Cash Distributions 561,779 333,373 139,754 38,420 Redeemed (4,322,481) (2,145,554) (396,736) (118,616) ---------------------------------------------------------------- Net Increase from Capital Share Transactions 8,552,987 4,364,148 433,767 253,492 - ----------------------------------------------------------------------------------------------------------------------- Total Increase 12,960,017 8,015,534 575,625 555,918 - ----------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Year 17,371,835 9,356,301 1,523,213 967,295 ---------------------------------------------------------------- End of Year $30,331,852 $17,371,835 $2,098,838 $1,523,213 ======================================================================================================================= (1)Shares Issued (Redeemed) Issued 197,182 119,957 26,677 14,948 Issued in Lieu of Cash Distributions 8,437 6,165 5,423 1,617 Redeemed (68,675) (42,269) (15,254) (5,530) ---------------------------------------------------------------- Net Increase in Shares Outstanding 136,944 83,853 16,846 11,035 =======================================================================================================================
30 33
- ----------------------------------------------------------------------------------------------------------------------- TOTAL STOCK MARKET GROWTH PORTFOLIO PORTFOLIO ----------------------------------- ----------------------- YEAR ENDED DECEMBER 31, ---------------------------------------------------------------- 1996 1995 1996 1995 (000) (000) (000) (000) - ----------------------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS OPERATIONS Net Investment Income $ 47,501 $ 24,738 $ 8,117 $ 2,807 Realized Net Gain 27,380 13,382 6,444 2,780 Change in Unrealized Appreciation (Depreciation) 412,119 302,059 97,843 43,832 ---------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 487,000 340,179 112,404 49,419 ---------------------------------------------------------------- DISTRIBUTIONS Net Investment Income (47,409) (25,383) (8,068) (2,809) Realized Capital Gain (19,087) (9,220) (5,200) -- ---------------------------------------------------------------- Total Distributions (66,496) (34,603) (13,268) (2,809) ---------------------------------------------------------------- NET EQUALIZATION CREDITS--Note A -- 1,408 -- 153 ---------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1) Issued 1,778,726 572,389 534,984 172,136 Issued in Lieu of Cash Distributions 61,058 30,454 12,443 2,521 Redeemed (300,321) (124,622) (130,661) (36,588) ---------------------------------------------------------------- Net Increase from Capital Share Transactions 1,539,463 478,221 416,766 138,069 - ----------------------------------------------------------------------------------------------------------------------- Total Increase 1,959,967 785,205 515,902 184,832 - ----------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Year 1,570,889 785,684 271,002 86,170 ---------------------------------------------------------------- End of Year $3,530,856 $1,570,889 $786,904 $271,002 ======================================================================================================================= (1)Shares Issued (Redeemed) Issued 109,053 42,692 34,801 13,833 Issued in Lieu of Cash Distributions 3,572 2,142 772 197 Redeemed (18,391) (9,484) (8,427) (3,005) ---------------------------------------------------------------- Net Increase in Shares Outstanding 94,234 35,350 27,146 11,025 =======================================================================================================================
31 34 STATEMENT OF CHANGES IN NET ASSETS (continued)
- ----------------------------------------------------------------------------------------------------------------------- VALUE SMALL CAPITALIZATION PORTFOLIO STOCK PORTFOLIO ----------------------------------- ------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------------------------------- 1996 1995 1996 1995 (000) (000) (000) (000) - ----------------------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS OPERATIONS Net Investment Income $ 19,198 $ 11,372 $ 20,555 $ 12,158 Realized Net Gain 46,863 11,285 108,296 32,925 Change in Unrealized Appreciation (Depreciation) 88,860 91,742 83,327 142,138 ---------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 154,921 114,399 212,178 187,221 ---------------------------------------------------------------- DISTRIBUTIONS Net Investment Income (19,729) (11,989) (21,098) (11,543) Realized Capital Gain (28,488) -- (109,741) (22,583) ---------------------------------------------------------------- Total Distributions (48,217) (11,989) (130,839) (34,126) ---------------------------------------------------------------- NET EQUALIZATION CREDITS--Note A -- 772 -- -- ---------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1) Issued 537,032 184,957 751,887 296,341 Issued in Lieu of Cash Distributions 44,164 10,456 121,326 30,822 Redeemed (168,500) (99,197) (212,431) (114,401) ---------------------------------------------------------------- Net Increase from Capital Share Transactions 412,696 96,216 660,782 212,762 - ----------------------------------------------------------------------------------------------------------------------- Total Increase 519,400 199,398 742,121 365,857 - ----------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Year 496,327 296,929 971,233 605,376 ---------------------------------------------------------------- End of Year $1,015,727 $496,327 $1,713,354 $971,233 ======================================================================================================================= (1)Shares Issued (Redeemed) Issued 34,020 13,982 37,170 16,951 Issued in Lieu of Cash Distributions 2,679 761 6,100 1,676 Redeemed (10,585) (7,889) (10,771) (6,821) ---------------------------------------------------------------- Net Increase in Shares Outstanding 26,114 6,854 32,499 11,806 =======================================================================================================================
32 35 FINANCIAL HIGHLIGHTS This table summarizes each Portfolio's investment results and distributions to shareholders on a per-share basis. It also presents the Portfolio's Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the Portfolio's net income and total returns from year to year; the relative contributions of net income and capital gains to the Portfolio's total return; how much it costs to operate the Portfolio; and the extent to which the Portfolio tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the Portfolio for one year. Finally, the table lists the Portfolio's Average Commission Rate Paid, a disclosure required by the SEC beginning in 1996. This rate is calculated by dividing total commissions paid on portfolio securities by the total number of shares purchased and sold on which commissions were charged.
- ---------------------------------------------------------------------------------------------------------------------------------- 500 PORTFOLIO YEAR ENDED DECEMBER 31, ----------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1996 1995 1994 1993 1992 - ---------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF YEAR $57.60 $42.97 $43.83 $40.97 $39.32 - ---------------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income 1.28 1.22 1.18 1.13 1.12 Net Realized and Unrealized Gain (Loss) on Investments 11.82 14.76 (.67) 2.89 1.75 ----------------------------------------------------------------- Total from Investment Operations 13.10 15.98 .51 4.02 2.87 ----------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.28) (1.22) (1.17) (1.13) (1.12) Distributions from Realized Capital Gains (.25) (.13) (.20) (.03) (.10) ----------------------------------------------------------------- Total Distributions (1.53) (1.35) (1.37) (1.16) (1.22) - ---------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR $69.17 $57.60 $42.97 $43.83 $40.97 ================================================================================================================================== TOTAL RETURN* 22.88% 37.45% 1.18% 9.89% 7.42% ================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Year (Millions) $30,332 $17,372 $9,356 $8,273 $6,547 Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.19% 0.19% 0.19% Ratio of Net Investment Income to Average Net Assets 2.04% 2.38% 2.72% 2.65% 2.81% Portfolio Turnover Rate 5%+ 4%+ 6%+ 6%+ 4%+ Average Commission Rate Paid $.0166 N/A N/A N/A N/A - ----------------------------------------------------------------------------------------------------------------------------------
*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%, and 1%, respectively. 33 36 FINANCIAL HIGHLIGHTS (continued)
- ---------------------------------------------------------------------------------------------------------------------------------- EXTENDED MARKET PORTFOLIO YEAR ENDED DECEMBER 31, ----------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 1996 1995 1994 1993 1992 - ---------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF YEAR $24.07 $18.52 $19.43 $17.35 $15.82 - ---------------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .34 .30 .28 .23 .24 Net Realized and Unrealized Gain (Loss) on Investments 3.85 5.95 (.62) 2.28 1.72 ----------------------------------------------------------------- Total from Investment Operations 4.19 6.25 (.34) 2.51 1.96 ----------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.34) (.30) (.28) (.23) (.25) Distributions from Realized Capital Gains (1.72) (.40) (.29) (.20) (.18) ----------------------------------------------------------------- Total Distributions (2.06) (.70) (.57) (.43) (.43) - ---------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR $26.20 $24.07 $18.52 $19.43 $17.35 ================================================================================================================================== TOTAL RETURN* 17.65% 33.80% -1.76% 14.49% 12.47% ================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Year (Millions) $2,099 $1,523 $967 $928 $585 Ratio of Total Expenses to Average Net Assets 0.25% 0.25% 0.20% 0.20% 0.20% Ratio of Net Investment Income to Average Net Assets 1.42% 1.51% 1.51% 1.48% 1.73% Portfolio Turnover Rate 22% 15% 19% 13% 9% Average Commission Rate Paid $.0235 N/A N/A N/A N/A - ----------------------------------------------------------------------------------------------------------------------------------
*Total return figures do not reflect transaction fees on purchases (0.5% in 1995 and 1996, 1.0% in 1992 through 1994) or the annual account maintenance fee of $10. 34 37
- ---------------------------------------------------------------------------------------------------------------------------------- TOTAL STOCK MARKET PORTFOLIO YEAR ENDED DECEMBER 31, ------------------------------------------------- MAR. 16* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1996 1995 1994 1993 DEC. 31, 1992 - ---------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $15.04 $11.37 $11.69 $10.84 $10.00 - ---------------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .29 .29 .27 .26 .23 ----------------------------------------------------------------- Net Realized and Unrealized Gain (Loss) on Investments 2.84 3.75 (.29) .88 .84 ----------------------------------------------------------------- Total from Investment Operations 3.13 4.04 (.02) 1.14 1.07 DISTRIBUTIONS Dividends from Net Investment Income (.29) (.28) (.27) (.26) (.23) Distributions from Realized Capital Gains (.11) (.09) (.03) (.03) -- ----------------------------------------------------------------- Total Distributions (.40) (.37) (.30) (.29) (.23) - ---------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $17.77 $15.04 $11.37 $11.69 $10.84 ================================================================================================================================== TOTAL RETURN** 20.96% 35.79% -0.17% 10.62% 10.41% ================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $3,531 $1,571 $786 $512 $275 Ratio of Total Expenses to Average Net Assets 0.22% 0.25% 0.20% 0.20% 0.21%+ Ratio of Net Investment Income to Average Net Assets 1.86% 2.14% 2.35% 2.31% 2.42%+ Portfolio Turnover Rate 3% 3% 2% 1% 3% Average Commission Rate Paid $.0216 N/A N/A N/A N/A - ----------------------------------------------------------------------------------------------------------------------------------
* Commencement of operations. **Total return figures do not reflect the 0.25% 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. +Annualized. 35 38 FINANCIAL HIGHLIGHTS (continued)
- ---------------------------------------------------------------------------------------------------------------------------------- GROWTH PORTFOLIO YEAR ENDED DECEMBER 31, ------------------------------------------------ NOV. 2* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1996 1995 1994 1993 DEC. 31, 1992 - ---------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $13.97 $10.28 $10.20 $10.26 $10.00 - ---------------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .22 .21 .21 .21 .06 ----------------------------------------------------------------- Net Realized and Unrealized Gain (Loss) on Investments 3.07 3.68 .08 (.06) .26 ----------------------------------------------------------------- Total from Investment Operations 3.29 3.89 .29 .15 .32 DISTRIBUTIONS Dividends from Net Investment Income (.22) (.20) (.21) (.21) (.06) Distributions from Realized Capital Gains (.14) -- -- -- -- ----------------------------------------------------------------- Total Distributions (.36) (.20) (.21) (.21) (.06) - ---------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $16.90 $13.97 $10.28 $10.20 $10.26 ================================================================================================================================== TOTAL RETURN** 23.74% 38.06% 2.89% 1.53% 3.19% ================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $787 $271 $86 $51 $21 Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0%+ Ratio of Net Investment Income to Average Net Assets 1.57% 1.71% 2.08% 2.10% 2.85%+ Portfolio Turnover Rate 29% 24% 28% 36% 2% Average Commission Rate Paid $.0183 N/A N/A N/A N/A - ----------------------------------------------------------------------------------------------------------------------------------
*Commencement of operations. **Total return figures do not reflect the annual account maintenance fee of $10. +Annualized. 36 39
- ---------------------------------------------------------------------------------------------------------------------------------- VALUE PORTFOLIO YEAR ENDED DECEMBER 31, ------------------------------------------------ NOV. 2* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1996 1995 1994 1993 DEC. 31, 1992 - ---------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $14.79 $11.12 $11.74 $10.30 $10.00 - ---------------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .37 .41 .38 .38 .07 Net Realized and Unrealized Gain (Loss) on Investments 2.81 3.66 (.46) 1.50 .30 ----------------------------------------------------------------- Total from Investment Operations 3.18 4.07 (.08) 1.88 .37 ----------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.38) (.40) (.38) (.38) (.07) Distributions from Realized Capital Gains (.57) -- (.16) (.06) -- ----------------------------------------------------------------- Total Distributions (.95) (.40) (.54) (.44) (.07) - ---------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $17.02 $14.79 $11.12 $11.74 $10.30 ================================================================================================================================== TOTAL RETURN** 21.86% 36.94% -0.73% 18.35% 3.70% ================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,016 $496 $297 $190 $24 Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0%+ Ratio of Net Investment Income to Average Net Assets 2.54% 3.06% 3.37% 3.26% 3.46%+ Portfolio Turnover Rate 29% 27% 32% 30% 4% Average Commission Rate Paid $.0188 N/A N/A N/A N/A - ----------------------------------------------------------------------------------------------------------------------------------
* Commencement of operations. **Total return figures do not reflect the annual account maintenance fee of $10. +Annualized. 37 40 FINANCIAL HIGHLIGHTS (continued)
- ------------------------------------------------------------------------------------------------------- SMALL CAPITALIZATION STOCK PORTFOLIO YEAR ENDED DECEMBER 31, --------------------------- FEB. 1* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 1996 1995 DEC. 31, 1994 - ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $18.61 $14.99 $16.24 - ------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .26 .24 .20 Net Realized and Unrealized Gain (Loss) on Investments 3.07 4.06 (.86) ------------------------------------------ Total from Investment Operations 3.33 4.30 (.66) ------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.27) (.23) (.22) Distributions from Realized Capital Gains (1.44) (.45) (.37) ------------------------------------------ Total Distributions (1.71) (.68) (.59) - ------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $20.23 $18.61 $14.99 ======================================================================================================= TOTAL RETURN** 18.12% 28.74% -4.00% ======================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,713 $971 $605 Ratio of Total Expenses to Average Net Assets 0.25% 0.25% 0.17%+ Ratio of Net Investment Income to Average Net Assets 1.51% 1.58% 1.50%+ Portfolio Turnover Rate 28% 28% 25% Average Commission Rate Paid $.0245 N/A N/A - -------------------------------------------------------------------------------------------------------
* Date of reorganization of Vanguard Small Capitalization Stock Fund into Vanguard Index Trust-Small Capitalization Stock Portfolio. **Total return figures do not reflect the 1% transaction fee on purchases or the annual account maintenance fee of $10. +Annualized. 38 41 NOTES TO FINANCIAL STATEMENTS Vanguard Index Trust is registered under the Investment Company Act of 1940 as a diversified open-end investment company, or mutual fund, and comprises the 500, Extended Market, Total Stock Market, Growth, Value, and Small Capitalization Stock Portfolios. A. The following significant accounting policies conform to generally accepted accounting principles for mutual funds. The Trust consistently follows such policies in preparing its financial statements. 1. SECURITY VALUATION: Securities listed on an exchange are valued at the latest quoted sales prices as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date; such securities not traded on the valuation date 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 60 days to maturity are valued using the latest bid prices or using valuations based on 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 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 Portfolio follows 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 capital share transactions. Prior to January 1996, the Total Stock Market, Growth, and Value Portfolios followed the accounting practice of equalization. As of January 1, 1996, these Portfolios have discontinued equalization accounting and have reclassified accumulated net equalization credits of $4,364,000, $342,000, and $2,230,000, respectively, from undistributed net investment income to paid in capital. These reclassifications have no effect on the Portfolios' net assets, results of operations, or net asset values per share. 4. REPURCHASE AGREEMENTS: The Trust, along with other members of The Vanguard Group, transfers uninvested cash balances to a Pooled Cash Account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 5. FUTURES CONTRACTS: The Trust uses 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 invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. A Portfolio may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the Portfolio and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts based upon the following indexes are used: S&P 500 Index (500 and Total Stock Market Portfolios), New York Stock Exchange Composite Index (Extended Market and 39 42 Small Capitalization Stock Portfolios), S&P Midcap 400 Index (Extended Market, Total Stock Market, and Small Capitalization Stock Portfolios), S&P Growth Index (Growth Portfolio), S&P Value Index (Value Portfolio), and Russell 2000 Index (Small Capitalization Stock Portfolio). Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 6. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. 7. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. 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 December 31, 1996, the Trust had contributed capital aggregating $3,464,000 to Vanguard (included in Other Assets), representing 17.3% of Vanguard's capitalization. The Trust's trustees and officers are also directors and officers of Vanguard. C. During the year ended December 31, 1996, purchases and sales of investment securities other than temporary cash investments were:
- ---------------------------------------------------------------------------------------------- (000) ------------------------------------- PORTFOLIO PURCHASES SALES - ---------------------------------------------------------------------------------------------- 500 $9,709,201 $1,204,241 Extended Market 692,433 395,663 Total Stock Market 1,511,850 77,567 Growth 559,380 148,028 Value 597,867 220,809 Small Capitalization Stock 890,393 367,271 - ----------------------------------------------------------------------------------------------
During the year ended December 31, 1996, the 500, Growth, and Value Portfolios realized $404,174,000, $4,670,000, and $4,062,000, respectively, of net capital gains resulting from in-kind redemptions--in which shareholders exchanged Portfolio shares for securities held by the Portfolio rather than for cash. Because such gains are not taxable to the Portfolios, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid in capital. Total Stock Market, Growth, and Value Portfolio gains of $3,741,000, $199,000, and $2,035,000, respectively, on securities held for less than one year are treated as ordinary income for tax purposes and have been included in income dividends to shareholders; accordingly, such gains have been reclassified from accumulated net realized gains to undistributed net investment income. For federal tax purposes, capital gains required to be distributed in December 1996 included net gains realized through October 31, 1996. Subsequently, the Growth Portfolio realized capital losses of $1,792,000, which are available to offset future capital gains. 40 43 D. At December 31, 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 $8,720,636 $(264,759) $8,455,877 Extended Market 652,998 (117,769) 535,229 Total Stock Market 837,611 (92,722) 744,889 Growth 148,548 (4,609) 143,939 Value 188,367 (12,370) 175,997 Small Capitalization Stock 386,988 (119,900) 267,088 - --------------------------------------------------------------------------------------------------------
At December 31, 1996, the aggregate settlement value of open futures contracts expiring in March 1997 and the related unrealized appreciation (depreciation) were:
- -------------------------------------------------------------------------------------------------------- (000) ------------------------------------------------ AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION PORTFOLIO/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) - -------------------------------------------------------------------------------------------------------- 500/ S&P 500 73 $ 27,174 $(441) Extended Market/ New York Stock Exchange Composite Index 223 43,842 108 S&P Midcap 400 Index 166 21,298 72 Total Stock Market/ S&P 500 Index 281 104,602 57 S&P Midcap 400 Index 257 32,973 163 Value/ S&P Value Index 20 3,880 12 Small Capitalization Stock/ S&P Midcap 400 Index 289 37,079 (25) New York Stock Exchange Composite Index 17 3,342 (15) - --------------------------------------------------------------------------------------------------------
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for federal income tax purposes. The market values of U.S. Treasury bills deposited as initial margin for open futures contracts by the 500, Extended Market, Total Stock Market, Value, and Small Capitalization Stock Portfolios were $7,493,000, $1,399,000, $4,596,000, $200,000, and $1,499,000, respectively. 41 44 E. The market value of securities on loan to broker/dealers at December 31, 1996, and collateral received with respect to such loans were:
- --------------------------------------------------------------------------------------- (000) --------------------------------------- MARKET VALUE CASH OF LOANED COLLATERAL PORTFOLIO SECURITIES RECEIVED - --------------------------------------------------------------------------------------- Extended Market $68,717 $73,373 Total Stock Market 29,426 32,335 Small Capitalization Stock 49,989 53,217 - ---------------------------------------------------------------------------------------
42 45 REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Board of Trustees of Vanguard Index Trust In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of 500 Portfolio (a separate portfolio of Vanguard Index Trust, the "Trust") at December 31, 1996, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 1996 by correspondence with the custodian and brokers and, with respect to unsettled securities transactions, the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above. We have also audited the financial statements of the other portfolios included in the Trust at December 31, 1996, and we have issued our report thereon. An insert to this Annual Report containing our report on the financial statements of the other portfolios is available from the Trust. PRICE WATERHOUSE LLP Thirty South Seventeenth Street Philadelphia, Pennsylvania 19103 January 31, 1997 43 46 SPECIAL 1996 TAX INFORMATION (UNAUDITED) VANGUARD INDEX TRUST This information for the fiscal year ended December 31, 1996, is included pursuant to provisions of the Internal Revenue Code. The Fund designates the following as capital gain dividends (from net long-term capital gains):
- -------------------------------------------------------------------------------------------------- LONG-TERM CAPITAL GAINS (000) ---------------------------------------------------------- AMOUNT BALANCE FOR TOTAL DISTRIBUTED DISTRIBUTION IN PORTFOLIO DESIGNATED IN 1996 MARCH 1997 - -------------------------------------------------------------------------------------------------- 500 $111,736 $92,123 $19,613 Extended Market 118,847 91,981 26,866 Total Stock Market 18,213 11,874 6,339 Growth 2,891 2,891 -- Value 28,672 14,902 13,770 Small Capitalization Stock 82,897 79,307 3,590 - --------------------------------------------------------------------------------------------------
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows: 500 Portfolio 98.1% Extended Market Portfolio 59.3 Total Stock Market Portfolio 83.5 Growth Portfolio 97.8 Value Portfolio 58.1 Small Capitalization Stock Portfolio 44.6
"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. All comparative mutual fund data are from Lipper Analytical Services, Inc. or Morningstar unless otherwise noted. 44 47 TRUSTEES AND OFFICERS JOHN C. BOGLE, Chairman of the Board and Director of The Vanguard Group, Inc. and of each of the investment companies in The Vanguard Group. JOHN J. BRENNAN, President, Chief Executive Officer, and Director of The Vanguard Group, Inc. and of each of the investment companies in The Vanguard Group. ROBERT E. CAWTHORN, Chairman Emeritus and Director of Rhone-Poulenc Rorer Inc.; Director of Sun Company, Inc. and Westinghouse Electric Corp. BARBARA BARNES HAUPTFUHRER, Director of The Great Atlantic and Pacific Tea Co., Alco Standard Corp., Raytheon Co., Knight-Ridder, Inc., and Massa-chusetts Mutual Life Insurance Co. BRUCE K. MACLAURY, President Emeritus of The Brookings Institution; Director of American Express Bank Ltd., The St. Paul Companies, Inc., and National Steel Corp. BURTON G. MALKIEL, Chemical Bank Chairman's Professor of Economics, Princeton University; Director of Prudential Insurance Co. of America, Amdahl Corp., Baker Fentress & Co., The Jeffrey Co., and Southern New England Communications Co. ALFRED M. RANKIN, JR., Chairman, President, and Chief Executive Officer of NACCO Industries, Inc.; Director of NACCO Industries, The BFGoodrich Co., and The Standard Products Co. JOHN C. SAWHILL, President and Chief Executive Officer of The Nature Conservancy; formerly, Director and Senior Partner of McKinsey & Co. and President of New York University; Director of Pacific Gas and Electric Co., Procter & Gamble Co., and NACCO Industries. JAMES O. WELCH, JR., Retired Chairman of Nabisco Brands, Inc.; retired Vice Chairman and Director of RJR Nabisco; Director of TECO Energy, Inc. and Kmart Corp. J. LAWRENCE WILSON, Chairman and Chief Executive Officer of Rohm & Haas Co.; Director of Cummins Engine Co.; Trustee of Vanderbilt University. OTHER FUND OFFICERS RAYMOND J. KLAPINSKY, Secretary; Senior Vice President and Secretary of The Vanguard Group, Inc.; Secretary of each of the investment companies in The Vanguard Group. RICHARD F. HYLAND, Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies in The Vanguard Group. KAREN E. WEST, Controller; Principal of The Vanguard Group, Inc.; Controller of each of the investment companies in The Vanguard Group. OTHER VANGUARD OFFICERS ROBERT A. DISTEFANO, Senior Vice President, Information Technology. JAMES H. GATELY, Senior Vice President, Individual Investor Group. IAN A. MACKINNON, Senior Vice President, Fixed Income Group. F. WILLIAM MCNABB III, Senior Vice President, Institutional. RALPH K. PACKARD, Senior Vice President and Chief Financial Officer. [THE VANGUARD GROUP LOGO] Please send your comments to us at: Post Office Box 2600, Valley Forge, Pennsylvania 19482 Fund Information: 1-800-662-7447 Individual Account Services: 1-800-662-2739 Institutional Investor Services: 1-800-523-1036 VGOnline@aol.com http://www.vanguard.com All Vanguard funds are offered by prospectus only. Prospectuses contain more complete information on advisory fees, distribution charges, and other expenses and should be read carefully before investing or sending money. Prospectuses may be obtained directly from The Vanguard Group. (C) 1996 Vanguard Marketing Corporation, Distributor 48 [PHOTO] THE VANGUARD FAMILY OF FUNDS EQUITY AND BALANCED FUNDS GROWTH AND INCOME FUNDS Vanguard/Windsor Fund Vanguard/Windsor II Vanguard Equity Income Fund Vanguard Quantitative Portfolios Vanguard Selected Value Portfolio Vanguard/Trustees' Equity--U.S. Portfolio Vanguard Convertible Securities Fund BALANCED FUNDS Vanguard/Wellington Fund Vanguard/Wellesley Income Fund Vanguard STAR Portfolio Vanguard Asset Allocation Fund Vanguard LifeStrategy Portfolios GROWTH FUNDS Vanguard/Morgan Growth Fund Vanguard/PRIMECAP Fund Vanguard U.S. Growth Portfolio AGGRESSIVE GROWTH FUNDS Vanguard Explorer Fund Vanguard Specialized Portfolios Vanguard Horizon Fund INTERNATIONAL FUNDS Vanguard International Growth Portfolio Vanguard/Trustees' Equity--International Portfolio INDEX FUNDS Vanguard Index Trust Vanguard Tax-Managed Fund Vanguard Balanced Index Fund Vanguard Bond Index Fund Vanguard International Equity Index Fund Vanguard Total International Portfolio FIXED-INCOME FUNDS MONEY MARKET FUNDS Vanguard Money Market Reserves Vanguard Treasury Money Market Portfolio Vanguard Admiral Funds INCOME FUNDS Vanguard Fixed Income Securities Fund Vanguard Admiral Funds Vanguard Preferred Stock Fund TAX-EXEMPT MONEY MARKET FUNDS Vanguard Municipal Bond Fund Vanguard State Tax-Free Funds (CA, NJ, OH, PA) TAX-EXEMPT INCOME FUNDS Vanguard Municipal Bond Fund Vanguard State Tax-Free Funds (CA, FL, NJ, NY, OH, PA) Q400-12/96 49 [PHOTO] VANGUARD INDEX TRUST FINANCIAL STATEMENTS DECEMBER 31, 1996 The Statement of Net Assets should be read in conjunction with the accompanying Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes to Financial Statements. The Statement of Net Assets for the 500 Portfolio begins on page 22 of the accompanying Report. STATEMENT OF NET ASSETS This Statement provides a detailed list of each Portfolio's holdings, including each security's market value on the last day of the reporting period. The Growth and Value Portfolios' S&P 500 Index common stocks are listed in descending market value order; the Extended Market, Total Stock Market, and Small Capitalization Stock Portfolios' common stocks are listed alphabetically. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the Portfolio's Net Assets. Finally, Net Assets are divided by the outstanding shares of the Portfolio to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets of each Portfolio, you will find a table displaying the composition of the Portfolio's net assets on both a dollar and per-share basis. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the Portfolio had available to distribute to shareholders as income dividends or capital gains as of the statement date. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the Portfolio's investments and their cost, and reflects the gains (losses) that would be realized if the Portfolio were to sell all of its investments at their statement-date values.
CONTENTS Extended Market Portfolio . . . . . . . . . . . . . . . . 1 Total Stock Market Portfolio . . . . . . . . . . . . . . . 21 Growth Portfolio . . . . . . . . . . . . . . . . . . . . . 46 Value Portfolio . . . . . . . . . . . . . . . . . . . . . 49 Small Capitalization Stock Portfolio . . . . . . . . . . . 53 Report Of Independent Accountants . . . . . . . . . . . . 68
- ----------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- COMMON STOCKS - ----------------------------------------------------------------------- AAR Corp. 28,800 $ 871 # ABR Information Services, Inc. 10,300 405 # ABT Building Products Corp. 27,600 700 # ADC Telecommunications, Inc. 110,300 3,433 ADE Corp. 46,400 774 AFLAC, Inc. 119,115 5,092 AGCO Corp. 47,700 1,365 AGL Resources Inc. 45,500 961 AES Corp. 63,366 2,946 # AES Corp. Warrants Exp. 7/31/00 146 3 AK Steel Holding Corp. 21,000 832 # APAC Teleservices, Inc. 38,989 1,496 # APS Holding Corp. 34,600 534 APL Ltd. 33,454 790 ARCO Chemical Co. 82,608 4,048 # AST Research, Inc. 134,714 577 AVX Corp. 74,300 1,597 Aames Financial Corp. 25,100 900 Abington Savings Bank 2,900 58 # Able Telcom Holding Corp. 61,200 457 # Acceptance Insurance Cos. Inc. 36,700 725 # Access Health Marketing, Inc. 20,483 922 # Acclaim Entertainment Inc. 68,300 226 # AccuStaff, Inc. 56,800 1,200 Aceto Corp. 27,308 384 # Acme Electric Corp. 40,700 275 # Acme Metals, Inc. 26,600 515 # ACNielson Corp. 47,500 718 # Action Performance Cos., Inc. 58,900 1,075 # Acuson Corp. 46,238 1,127 # ACX Technologies Inc. 42,400 843 # Acxiom Corp. 44,922 1,072 # Adaptec, Inc. 95,400 3,822 Adobe Systems, Inc. 60,840 2,278 # Adtran, Inc. 33,000 1,371 # Advanced Fibre Communications 25,000 1,392
1 50
- ----------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # Advanced Logic Research 57,500 $ 701 # Advanced Magnetics, Inc. 28,200 437 # Advanced Mammography Systems, Inc. 101,475 168 # Advanced Marketing Services 24,300 254 # Advanced NMR Systems, Inc. 127,900 30 # Advanced Polymer Systems 65,000 487 # Advanced Technology Laboratories, Inc. 28,137 862 # Advanced Tissue Sciences Inc. 55,442 535 # Advantage Life Products, Inc. 2,030 4 ADVO, Inc. 64,175 898 Advanta Corp. Class A 35,000 1,494 # Aerial Communications Inc. 107,700 862 # Affiliated Computer Services, Inc. 29,400 864 # Agouron Pharmaceuticals, Inc. 10,300 696 # Agri-Nutrition Group Ltd. 27,100 32 # Air and Water Technologies Corp. Class A 94,798 545 Airborne Freight Corp. 28,510 666 # Airgas, Inc. 59,100 1,300 AirTouch Communications, Inc. Cvt. 6.00% 11,709 319 AirTouch Communications, Inc. Pfd. 4.25% Series C 7,519 340 # Airways Corp. 43,700 130 # Alaska Air Group, Inc. 21,400 449 Albank Financial Corp. 25,180 795 Albany International Corp. 43,300 1,001 Albemarle Corp. 46,602 845 Alex Brown, Inc. 13,620 987 Alexander & Baldwin, Inc. 39,300 975 # Alexander's, Inc. 9,300 736 Alfa Corp. 62,000 790 Aliant Communications Inc. 56,300 950 # Allegro New Media Inc. 23,977 96 # Alleghany Corp. 6,136 1,301 Allegheny Power System, Inc. 103,600 3,147 # Allegiance Corp. 45,000 1,243 # The Allen Group, Inc. 44,040 980 # Alliance Gaming Corp. 81,700 352 # Alliance Pharmaceutical Corp. 53,800 733 # Alliance Semiconductor Corp. 93,550 666 # Alliant Techsystems, Inc. 18,400 1,012 Allied Capital Commercial Corp. 34,400 795 # Allied Devices Corp. 11,200 29 Allied Products Corp. 22,201 660 # Allied Waste Industries, Inc. 91,300 839 Allmerica Financial Corp. 43,374 1,453 Allmerica Property & Casualty Cos. 49,400 1,500 # Allou Health & Beauty, Inc. 51,400 344 # Allwaste, Inc. 146,646 751 # Aloette Cosmetics, Inc. 47,700 149 Alpharma, Inc. Class A 51,200 730 # Altera Corp. 37,590 2,732 # Alumax, Inc. 36,900 1,231 # Amax Gold, Inc. 99,287 633 AMBAC, Inc. 29,578 1,963 Amcast Industrial Corp. 23,200 574 # Amerco Inc. 28,700 997 # America Online, Inc. 77,200 2,567 # America West Airlines, Inc. 34,600 549 American Annuity Group Inc. 65,278 922 American Bankers Insurance Group 16,900 862 # American Banknote Corp. 130,100 602 American Federal Bank 18,400 350 American Financial Group, Inc. 50,600 1,910 # American Freightways 52,100 573 American General Hospitality Corp. 27,400 651 American Insured Mortgage Investors-Series 86 37,200 437 # American Management Systems, Inc. 35,725 871 # American Medical Response, Inc. 30,300 985 # American Mobile Satellite Corp., Inc. 54,800 675 American National Insurance Co. 22,350 1,659 # American Oncology Resources, Inc. 73,700 751 # American Power Conversion Corp. 81,100 2,215 # American Safety Razor Co. 43,400 597 # American Science & Engineering, Inc. 37,100 501 # American Software, Inc. Class A 94,050 594 # American Standard Cos., Inc. 67,800 2,593 American States Financial Corp. 49,900 1,322 # American Studios, Inc. 32,600 79 American Water Works Co., Inc. 65,274 1,346 # Americredit Corp. 47,700 978 Ameron International Corp. 10,700 552 # AmeriSource Health Corp. 23,704 1,144 AmeriGas Partners, LP 35,100 785 Ametek, Inc. 44,700 994 Ampco-Pittsburgh Corp. 32,365 388 # Amphenol Corp. 39,842 886 # Amre, Inc. 49,657 81 # Amrep Corp. 64,600 250 AmSouth Bancorp 47,579 2,302 # Amtech Corp. 76,850 509 # Amylin Pharmaceuticals, Inc. 60,900 799 Anadarko Petroleum Corp. 50,700 3,283 # Analog Devices, Inc. 99,194 3,360 Anchor Bancorp Wisconsin Inc. 14,800 533 # Anchor Gaming 20,001 797 Andover Bancorp, Inc. 12,720 327 # Andrx Corp. 40,400 646 Angelica Corp. 33,100 633 # Anixter International Inc. 67,900 1,095 # AnnTaylor Stores Corp. 32,200 563 # Antec Corp. 52,100 466 Apache Corp. 77,700 2,749 # Apertus Technologies, Inc. 90,500 206 Apogee Enterprises, Inc. 22,700 899 # Aphton Corp. 31,961 635 # Apollo Group, Inc. Class A 40,075 1,340 Apple South, Inc. 33,576 447 Applebee's International, Inc. 24,818 679 # Apria Healthcare 40,280 755
2 51
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # Applied Magnetics Corp. 2,900 $ 87 # Applied Microsystems Corp. 33,000 445 # Applix, Inc. 26,479 574 Aptargroup Inc. 25,900 913 Aquarion Co. 19,649 548 # Aquila Biopharmaceuticals, Inc. 920 5 Arbor Drugs, Inc. 52,425 904 # Arbor Software Corp. 24,000 579 Arcadian Corp. 32,800 869 Argonaut Group, Inc. 20,419 636 # Argosy Gaming Co. 81,200 376 Arkansas Best Corp. 65,900 280 Arnold Industries, Inc. 41,900 660 # Arrow Electronics, Inc. 45,850 2,453 Arrow International, Inc. 32,300 917 # Arterial Vascular Engineering, Inc. 36,900 461 # Artisoft, Inc. 76,300 391 Arvin Industries, Inc. 35,300 874 # Ascend Communications, Inc. 99,474 6,180 Ashland Coal Inc. 27,500 763 # Aspect Telecommunications Corp. 16,500 1,044 # Aspen Technologies, Inc. 1,600 128 Associated Estates Realty Corp. REIT 37,200 884 # Associated Group, Inc. 25,428 769 # Associated Group, Inc. Class B 5,775 170 Associates First Capital Corp. 78,600 3,468 Astoria Financial Corp. 27,500 1,016 Astro-Med, Inc. 38,150 310 # Astrosystems, Inc. 48,700 250 # Guy F. Atkinson Co. of California 39,700 407 Atlantic Energy, Inc. 43,800 750 Atlantic Southeast Airlines Inc. 24,900 546 # Atlas Air, Inc. 17,600 838 # Atmel Corp. 84,800 2,820 # Atrix Laboratories, Inc. 47,034 511 # Atwood Oceanics, Inc. 17,300 1,094 # Autotote Corp. 114,100 164 Avalon Properties, Inc. REIT 43,500 1,251 # Avant! Corp. 30,690 971 # Avatar Holding, Inc. 16,100 521 # Avecor Cardiovascular, Inc. 35,100 426 # Aviall Inc. 57,500 532 # Avid Technology, Inc. 52,100 544 Avnet, Inc. 36,342 2,117 # Avondale Industries, Inc. 35,200 755 # AXENT Technologies, Inc. 33,100 501 # Aydin Corp. 47,700 447 # Aztar Corp. 84,100 589 # BBN Corp. 38,700 871 # BDM International, Inc. 13,000 700 # BEC Group Inc. 120,170 631 BHA Group Class A 29,700 486 # BHC Communications, Inc. Class A 19,915 2,019 # BISYS Group, Inc. 19,500 723 # BJ Services Co. 34,700 1,770 BMC Industries, Inc. 37,704 1,188 BRE Properties Inc. Class A REIT 46,900 1,161 BSB Bancorp, Inc. 20,363 551 # BTG Inc. 35,600 939 # BT Office Products International, Inc. 68,800 611 # BMC Software, Inc. 89,200 3,707 BW/IP Inc. 43,400 716 # Baby Superstore, Inc. 13,650 329 Badger Meter, Inc. 13,000 499 Bairnco Corp. 70,200 465 J. Baker, Inc. 59,409 316 Baldor Electric Co. 39,630 976 Baldwin & Lyons, Inc. Class B 36,700 686 Ballard Medical Products 43,366 808 # Bally Total Fitness Holding Corp. 88,089 696 BancFirst Corp. 14,350 393 Bancorp Hawaii, Inc. 34,001 1,428 Bandag, Inc. 19,162 908 Bandag, Inc. Class A 300 14 Bankers Corp. 30,300 614 Bankers Life Holding Corp. 41,600 1,040 Bank North Group 16,900 693 BanPonce Corp. 57,144 1,921 Banta Corp. 24,625 559 # Barnes & Noble Inc. 27,400 740 # Barnwell Industries, Inc. 13,400 273 # Barrett Business Services, Inc. 29,300 454 # Barrett Resources Corp. 28,550 1,217 # Basin Exploration Inc. 72,198 447 Bassett Furniture Industries, Inc. 26,900 669 Beacon Properties Corp. REIT 26,700 978 Bear Stearns Co., Inc. 102,131 2,847 Bearings, Inc. 24,300 677 BeautiControl Cosmetics 41,950 692 Beckman Instruments Inc. 23,000 883 # Bed Bath & Beyond, Inc. 56,400 1,371 # Bel Fuse, Inc. 36,200 505 # Belco Oil & Gas Corp. 26,000 712 Belden Inc. 22,100 818 A. H. Belo Corp. Class A 36,253 1,264 # Ben & Jerry's Homemade, Inc. Class A 36,700 411 Bergen Brunswig Corp. Class A 33,773 963 W.R. Berkley Corp. 17,000 868 # Berkshire Hathaway Class A 1,033 35,225 Berkshire Realty Co., Inc. REIT 70,700 698 # Berlitz International, Inc. 32,726 683 Berry Petroleum Class A 49,500 712 # Bertucci's Holding Corp. 65,400 343 # Best Buy Co., Inc. 38,600 410 BetzDearborn Inc. 23,100 1,351 # Billing Information Concepts 29,836 863 Bindly Western Industries, Inc. 40,200 779 Binks Manufacturing Co. 18,950 760 # Bio-Rad Laboratories, Inc. Class A 19,247 577 # Biocryst Pharmaceuticals, Inc. 41,400 670 # Biocircuits Corp. 7,200 21 # Biogen, Inc. 59,838 2,311 # Biomatrix, Inc. 36,367 582 # Biospecifics Technology 40,800 191 # Biotechnology General 108,900 1,436 # Biowhittaker Inc. 62,299 498 Birmingham Steel Corp. 41,250 784 Blair Corp. 17,100 329
3 52
- ----------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- E.W. Blanch Holdings, Inc. 37,000 $ 745 Blessings Corp. 47,700 444 Block Drug Co. Class A 16,110 753 Blount International, Inc. 26,000 998 # Blowout Entertainment Inc. 7,974 17 # Bluegreen Corp. 78,540 216 # Blyth Industries, Inc. 25,800 1,177 Bob Evans Farms, Inc. 67,416 910 # Boise Cascade Office Products Corp. 51,776 1,087 # Bombay Co. 78,862 365 # Borders Group, Inc. 32,800 1,177 Borg-Warner Automotive, Inc. 18,500 712 # Boston Chicken, Inc. 54,700 1,962 # Boston Communications Group, Inc. 57,700 325 Boston Edison Co. 40,400 1,086 # Boston Technology, Inc. 47,600 1,366 Bostonfed Bancorp, Inc. 10,400 153 Bowater Inc. 31,349 1,180 # Boyd Gaming Corp. 43,800 361 Bradley Real Estate Inc. REIT 51,137 920 W.H. Brady Class A 31,800 773 Breed Technological Inc. 43,400 1,128 Brenton Banks, Inc. 14,960 416 # Brinker International, Inc. 62,063 993 # Broadway & Seymour, Inc. 53,700 571 # Broderbund Software, Inc. 26,600 790 Brooke Group Ltd. 63,500 318 Brooklyn Union Gas Co. 41,550 1,252 # Brooks Fiber Properties, Inc. 23,500 605 # Brothers Gourmet Coffees, Inc. 87,200 221 Brown Group, Inc. 20,106 369 Brush Wellman, Inc. 30,000 491 # Buffets Inc. 89,593 809 # Builders Transport, Inc. 38,700 105 # Burlington Coat Factory Warehouse Corp. 63,750 829 # Burlington Industries, Inc. 49,700 547 Burlington Resources Coal Seamgas Royalty Trust 28,700 240 # Burr-Brown Corp. 35,000 901 # Bush Boake Allen, Inc. 31,000 825 Bush Industries, Inc. 23,910 460 # CAI Wireless Systems, Inc. 123,530 122 CCB Financial Corp. 16,500 1,126 # C-Cor Electronics, Inc. 38,500 513 # C-Cube Microsystems, Inc. 28,700 1,060 # CDW Computer Centers, Inc. 24,600 1,459 CIPSCO, Inc. 28,300 1,022 CKE Restaurants Inc. 39,400 1,418 CMAC Investment Corp. 31,200 1,147 # CMG Information Services, Inc. 44,576 758 CML Group, Inc. 114,050 385 CMS Energy Corp. 78,739 2,648 # CNA Financial Corp. 52,805 5,650 CPI Corp. 45,200 757 # CRW Financial, Inc. 42,900 367 # CTC Communications Corp. 43,300 344 # C-TEC Corp. 28,400 685 # C-TEC Corp. Class B 11,100 268 CWM Mortgage Holdings Inc. 55,700 1,198 # CableVision Systems Corp. Class B 20,200 619 # Cable Design Technologies 26,748 828 Cabot Corp. 65,432 1,644 Cabot Oil & Gas Corp. Class A 43,064 737 # Cadence Design Systems, Inc. 77,566 3,083 # Cadiz Land Co., Inc. 107,200 553 # Cal Fed Bancorp Inc. 42,780 1,048 # CalEnergy Inc. 42,292 1,422 # Calgene, Inc. 125,000 633 Calgon Carbon Corp. 62,400 764 Cali Realty Corp. REIT 30,900 954 # California Federal Bank Goodwill Participation Certificates 5,398 77 Callaway Golf Co. 60,000 1,725 # Callon Petroleum Co. 35,700 669 Calmat Co. 39,300 737 # Calumet Bancorp, Inc. 13,500 447 CAM Designs, Inc. 29,800 149 # Cambridge Technology Partners 37,100 1,245 Camco International, Inc. 24,000 1,107 # Cameron Ashley Building Products 37,400 517 # Canandaigua Wine Co., Inc. Class A 17,400 495 # Canandaigua Wine Co., Inc. Class B 6,375 210 # Canmax, Inc. 2,000 4 Capital One Financial Corp. 55,776 2,008 Capital Re Corp. 22,700 1,058 Capitol American Financial Corp. 30,400 1,106 Capstead Mortgage Corp. 30,300 727 Caraustar Industries, Inc. 31,800 1,053 Cardinal Bancshares, Inc. 6,200 279 Cardinal Health, Inc. 86,829 5,058 Carlisle Co., Inc. 14,473 876 # Carmike Cinemas, Inc. Class A 25,200 639 Carnival Corp. Class A 254,653 8,404 Carpenter Technology Corp. 20,400 747 CarrAmerica Realty Corp. REIT 35,100 1,027 # Carrington Labs Inc. 51,572 406 Carter-Wallace, Inc. 71,200 1,113 # Cascade Bancorp 5,500 120 # Cascade Communications Corp. 76,900 4,249 Casey's General Stores 39,000 734 Cash America International Inc. 80,310 683 # Casino Magic Corp. 133,800 328 A.M. Castle & Co. 26,125 503 # Castle & Cooke Inc. 41,933 666 # Catalina Lighting, Inc. 59,400 290 # Catalina Marketing Corp. 16,400 904 # Catellus Development Corp. 58,701 668 Cato Corp. Class A 62,900 322 # Cayenne Software Inc. 99,300 385 # Cellegy Pharmaceuticals, Inc. 48,600 225 # Cellular Technical Services Co. 49,650 990 # Cellularvision USA, Inc. 63,900 443 # Celtrix Labs 75,300 158 Centerior Energy Corp. 132,800 1,428 Centerpoint Properties Corp. REIT 29,600 969
4 53
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # Centocor, Inc. 59,400 $ 2,127 Central Cooperative Bank 27,100 474 Central Fidelity Banks, Inc. 48,675 1,266 Central Hudson Gas & Electric Corp. 23,400 734 Central Louisiana Electric Co. 27,892 771 Central Maine Power Co. 47,267 549 Central Newspapers Inc. 19,050 838 # Central Sprinkler Corp. 23,907 601 Central Vermont Public Service Corp. 31,000 372 Centura Banks, Inc. 19,700 879 # Century Communications Corp. Class A 105,981 603 Century Telephone Enterprises, Inc. 50,077 1,546 # Cephalon Inc. 44,100 896 # Cerner Corp. 56,530 869 # Chalone Wine Group Ltd. 55,500 652 # Champion Enterprises, Inc. 44,814 874 # Chancellor Broadcasting Co. Class A 23,900 565 Chaparral Steel Co. 54,500 661 Charter One Financial 47,798 2,013 # Chartwell Leisure Corp. 35,490 472 Chartwell Re Corp. 31,210 835 Chateau Properties, Inc. REIT 21,900 580 # Checkers Drive-In Restaurant 104,400 184 # Checkfree Corp. 54,700 933 # Checkpoint Systems, Inc. 27,726 686 Chelsea GCA Realty, Inc. REIT 26,800 928 Chemed Corp. 18,700 683 # Chemical Fabrics Corp. 31,814 435 Chesapeake Corp. of Virginia 35,183 1,104 # Chesapeake Energy Corp. 26,050 1,449 # Chic by H.I.S., Inc. 65,000 309 # Chico's Fas, Inc. 37,686 160 Chiquita Brands International, Inc. 78,065 995 # Chiron Corp. 144,740 2,687 # Chock Full O'Nuts Corp. 80,160 401 # Choice Hotels Corp. Inc. 56,000 987 # Cholestech Corp. 73,500 409 # Chris-Craft Industries, Inc. 25,342 1,061 # Christiana Cos., Inc. 23,900 615 Church and Dwight, Inc. 34,500 789 Cilcorp, Inc. 17,400 637 Cincinnati Bell, Inc. 57,600 3,550 Cincinnati Financial Corp. 48,297 3,133 # Circon Corp. 37,557 575 # Circus Circus Enterprises Inc. 89,859 3,089 # Cirrus Logic 56,000 865 Cintas Corp. 41,000 2,419 Citifed Bancorp 20,850 696 Citizens Bancorp MD 10,200 636 Citizens Bancshares, Inc. 16,700 549 Citizens Banking Corp. 21,600 689 Citizens Corp. 30,600 689 # Citizens, Inc. 59,000 502 # Citizens Utilities Co. Class A 187,998 2,044 # Citizens Utilities Co. Class B 15,124 168 # Citrix Systems, Inc. 22,500 879 City Holding Co. 9,350 240 City National Corp. 37,988 821 # Civic Bancorp 4,600 47 Claire's Stores, Inc. 37,500 488 Clarcor Inc. 30,300 670 # Clarify, Inc. 15,900 758 Clayton Homes Inc. 100,097 1,351 # Clean Harbors Inc. 43,500 94 # Clear Channel Communications 63,600 2,298 Cleveland-Cliffs Iron Co. 16,200 735 # The Clothestime, Inc. 68,400 20 Coachmen Industries, Inc. 36,400 1,033 # Coast Savings Financial, Inc. 28,300 1,036 # Coastal Physician Group, Inc. 96,400 337 Coca-Cola Enterprises, Inc. 106,717 5,176 # Coda Music Technology, Inc. 51,100 102 # Code Alarm, Inc. 27,600 100 Coeur d'Alene Mines Corp. 35,700 540 # Cognex Corp. 56,250 1,037 # Coherent, Inc. 19,623 839 # Coleman Inc. 42,000 578 Collagen Corp. 30,703 564 Collective Bancorp, Inc. 33,050 1,161 # Collins & Aikman Corp. 110,100 688 Colonial Gas Co. 21,276 463 # Coltec Inc. 60,200 1,136 Columbus Realty Trust REIT 36,400 828 Comair Holdings, Inc. 41,716 1,009 Comdisco, Inc. 42,592 1,352 Commerce Bancorp, Inc. 23,300 769 Commerce Bancshares, Inc. 32,186 1,497 Commerce Group, Inc. 30,600 773 Commercial Assets 81,800 552 Commercial Federal Corp. 23,100 1,109 Commercial Metals Co. 23,766 716 Commonwealth Energy Systems 34,000 799 Communications Systems, Inc. 40,000 595 Community Bankshares, Inc. 2,500 51 Community First Bankshares 26,458 734 Compass Bancshares Inc. 32,799 1,310 # Competitive Technologies, Inc. 43,000 422 # CompuServe Corp. 80,100 791 # CompUSA, Inc. 75,800 1,563 Computer Data Systems, Inc. 22,054 677 Computer Outsourcing Services, Inc. 57,600 209 Computer Task Group, Inc. 22,004 949 # Computervision Corp. 98,000 907 # Computron Software, Inc. 79,000 128 # Compuware Corp. 35,600 1,784 Comsat Corp. 38,100 938 # Comverse Technology, Inc. 17,900 677 # Computer Horizons Corp. 33,659 1,279 # Concord EFS, Inc. 53,675 1,503 # Conmed Corp. 35,800 725 Conseco Co., Inc. 86,591 5,520 # Consilium, Inc. 49,200 283 Consolidated Freightways Corp. 18,750 169 # Consolidated Freightways, Inc. 37,500 834 Consolidated Papers 37,100 1,823
5 54
- ----------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Consolidated Products Inc. 40,634 $ 792 # Consolidated Stores, Inc. 55,301 1,777 # Consolidated Technology Group 24,500 2 # Consumer Portfolio Services, Inc. 46,000 515 # ContiFinancial Corp. 35,700 1,290 # Continental Airlines, Inc. Class B 52,000 1,469 # Continental Materials Corp. 35,600 757 # Converse Inc. 79,333 1,349 # Cooper Cameron Corp. 22,200 1,698 # Copley Pharmaceutical, Inc. 49,317 447 # Coram Healthcare Corp. 157,203 786 Core Industries, Inc. 38,400 634 # COREStaff, Inc. 26,850 636 # Corporate Express, Inc. 65,600 1,931 # Corrections Corp. of America 61,528 1,884 # Cosmetic Center, Inc. Class A 25,100 147 # Cosmetic Center, Inc. Class B 6,900 41 Countrywide Credit Industries, Inc. 87,179 2,496 # Coventry Corp. 66,000 619 # Cox Communications Class A 233,850 5,408 Cracker Barrel Old Country Stores, Inc. 48,733 1,240 # Craig Corp. 32,823 472 # Jenny Craig Inc. 60,100 533 Crawford & Co. Class B 49,600 1,135 # Credence Systems Corp. 47,200 941 # Credit Acceptance Corp. 37,400 874 # Cree Research, Inc. 66,300 626 Crescent Real Estate Equities, Inc. REIT 30,100 1,588 Crestar Financial Corp. 36,793 2,736 Crompton & Knowles Corp. 62,400 1,201 A.T. Cross Co. Class A 45,600 530 # Crown Central Petroleum Corp. Class B 37,800 454 Crown Crafts, Inc. 32,840 328 Cullen/Frost Bankers, Inc. 32,060 1,062 # Culligan Water Technologies 15,100 612 Curtiss-Wright Corp. 11,800 594 # Custom Chrome 25,300 506 # Cygnus Inc. 44,400 641 # Cypress Semiconductor Corp. 64,400 910 # Cypros Pharmaceuticals Corp. 79,900 320 # Cyrix Corp. 40,200 719 # Cytec Industries, Inc. 41,600 1,690 # Cytogen Corp. 109,669 596 # DBT Online Inc. 19,977 607 DPL, Inc. 88,575 2,170 DQE Inc. 64,443 1,869 # D. R. Horton, Inc. 65,100 708 DS Bancor, Inc. 14,468 595 # DSP Communications, Inc. 36,800 711 # DST Systems, Inc. 43,200 1,355 # Dal-Tile International Inc. 45,400 925 Dames & Moore, Inc. 50,700 741 Danaher Corp. 49,366 2,302 # Darling International, Inc. 18,700 539 Dart Group Corp. Class A 4,700 426 Data Broadcasting Corp. 81,556 566 # Data Systems & Software, Inc. 50,600 288 # Datascope Corp. 35,500 701 # Datastream Systems, Inc. 24,000 432 # Dataware Technologies, Inc. 46,600 140 Dauphin Deposit Bank & Trust 24,240 794 # Davel Communications Group, Inc. 20,500 366 # Dave & Busters 23,307 465 Dean Foods Corp. 35,833 1,156 Deb Shops, Inc. 92,900 406 # DecisionOne Corp. 51,000 829 Delmarva Power & Light Co. 50,500 1,029 Delta & Pine Land Co. 29,607 947 Delta Woodside 68,300 435 Dentsply International 22,100 1,051 # Department 56 Inc. 18,300 453 Deposit Guaranty Corp. 32,200 998 # DePuy, Inc. 52,000 1,053 # Designer Holdings Ltd. 44,400 716 # Destec Energy Inc. 45,101 705 # Detroit Diesel Corp. 39,722 914 Developers Diversified Realty Corp. REIT 30,000 1,114 Devon Energy Corp. 31,600 1,098 # Devry, Inc. 27,800 653 Dexter Corp. 31,800 1,014 Diagnostic Products Corp. 28,077 726 Dial Corp. 80,000 1,180 # Dialogic Corp. 26,900 841 # Diamond Multimedia Systems, Inc. 72,100 843 # Diamond Offshore Drilling, Inc. 58,100 3,312 Diebold, Inc. 39,684 2,495 # Digi International, Inc. 45,550 438 # Digital Generation Systems 54,295 448 # Digital Microwave Corp. 42,873 1,192 Digital Systems International, Inc. 37,868 599 # Dime Bancorp, Inc. 90,828 1,340 Dimon Inc. 55,350 1,280 # Dionex Corp. 22,500 799 Dole Food Co. 52,000 1,762 Dollar General Corp. 59,965 1,919 # Dollar Tree Stores, Inc. 22,450 856 Donaldson Co., Inc. 28,700 961 Donaldson, Lufkin & Jenrette, Inc. 49,400 1,778 Donnelly Corp. 31,450 771 # Donnkenny, Inc. 34,600 162 # Doubletree Corp. 31,171 1,395 # Dove Audio, Inc. 24,500 33 Downey Financial Corp. 49,815 978 # Dravo Corp. 47,061 665 # The Dress Barn, Inc. 50,200 762 # Drexler Technology Corp. 40,611 426 Dreyer's Grand Ice Cream, Inc. 26,100 773 # Drug Emporium, Inc. 97,930 425 # Drypers Corp. 117,100 439 Duke Realty Investments Inc. REIT 23,800 916 # Dura Pharmaceuticals, Inc. 33,714 1,610 Duriron Co., Inc. 34,800 940 Duty Free International Inc. 45,526 660 # Dynatech Corp. 15,400 680
6 55
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # EA Engineering Sciences and $ Technology Inc. 41,700 107 # ENSCO International, Inc. 61,250 2,971 # ERD Waste Corp. 15,100 36 # ESS Technology, Inc. 41,800 1,176 # Eagle Finance Corp. 44,100 237 # Eagle Food 64,200 249 # Eagle Hardware & Garden, Inc. 22,200 461 East Texas Financial Services, Inc. 16,000 270 Eastern Utilities Associates 29,981 521 Eastgroup Properties 21,867 599 # Echelon International Corp., Inc. 5,400 84 # Eckerd Corp. 22,543 721 # Ecogen, Inc. 32,940 83 Ecology and Environment, Inc. 6,925 54 # Edisto Resources Corp. 70,600 591 # Editek Inc. 8,400 5 # Education Alternatives, Inc. 78,000 380 A.G. Edwards & Sons, Inc. 53,248 1,790 # Egghead, Inc. 40,569 210 # Einstein/Noah Bagel Corp. 22,200 659 # El Paso Electric Co. 4,066 26 El Paso Natural Gas 31,232 1,577 Elcor Corp. 26,200 560 # Electromagnetic Sciences, Inc. 35,314 680 # Electronic Arts Inc. 45,400 1,359 Electronic Data Systems Corp. 420,745 18,197 # Electronics for Imaging, Inc. 25,400 2,080 # Eljer Industries, Inc. 45,160 1,067 # Emcare Holdings Inc. 25,800 592 Empire District Electric Co. 30,955 580 # Energy Biosystems Corp. 72,900 419 # Energy Conversion Devices, Inc. 39,925 546 # Energy Ventures Inc. 27,100 1,379 Engineered Support Systems, Inc. 61,800 915 Energy North, Inc. 21,811 474 Enova Corp. 96,800 2,202 Enron Global Power & Pipelines L.L.C. 28,300 764 Enron Oil & Gas Co. 136,676 3,451 # Enserch Exploration, Inc. 107,600 1,264 # Ensec International Inc. 25,000 152 Enterprise Federal Bancorp, Inc. 3,000 44 # EntreMed, Inc. 36,700 583 # Envirometrics, Inc. 17,300 5 # Epic Design Technology, Inc. 28,300 708 # Epitope Inc. 46,800 538 Equifax, Inc. 131,570 4,029 The Equitable Cos. 156,409 3,852 Equitable of Iowa Co. 26,200 1,202 Equitable Resources, Inc. 27,850 829 # Equivest Finance, Inc. 51,675 20 Equity Residential Properties Trust REIT 38,900 1,605 Erie Indemnity Co. Class A 56,217 1,644 Essex County Gas Co. 6,800 168 # Esterline Technologies Corp. 31,355 819 Ethyl Corp. 93,804 903 # Europa Cruises Corp. 48,700 35 Everest Re Holdings, Inc. 42,200 1,213 Evergreen Bancorp, Inc. 23,600 382 # Evergreen Media Corp. 33,244 827 # Exabyte Corp. 46,700 628 # Excel Communications, Inc. 94,200 1,978 Exide Corp. 33,900 780 Expeditors International of Washington, Inc. 43,600 997 # Expert Software Inc. 31,800 109 # Express Scripts 25,700 925 # Extended Stay America, Inc. 54,100 1,089 F & M Bancorp 3,000 71 FAC Realty Inc. REIT 23,400 155 FFY Financial Corp. 6,400 162 # FHP International Corp. 21,352 790 # FHP International Corp. Pfd. A 12,640 385 # FSI International, Inc. 57,300 863 # FTP Software, Inc. 93,000 564 # Fairchild Corp. 37,600 555 # Falcon Drilling Co., Inc. 30,800 1,209 Family Dollar Stores, Inc. 45,600 929 Fastenal Co. 30,700 1,399 Federal-Mogul Corp. 28,700 631 Federal Realty Investment Trust REIT 27,100 735 Federal Signal Corp. 37,337 966 Felcor Suite Hotels, Inc. REIT 19,600 693 # Female Health Co. 37,600 153 Ferro Corp. 22,575 641 # Fibreboard Corp. 23,474 792 # Fieldcrest Cannon, Inc. 24,000 384 # Figgie International Inc. Class A 42,500 507 # Filene's Basement Corp. 106,350 439 # FileNet Corp. 29,400 937 Fina Inc. 23,700 1,144 Financial Security Assurance Holdings Ltd. 24,100 792 Fingerhut Co. 36,346 445 Finova Group, Inc. 22,798 1,465 First American Bank Corp. 52,659 3,166 First American Corp. (Tenn.) 25,400 1,467 First Bancorp North Carolina 2,200 42 First Bell Bancorp, Inc. 30,400 407 First Brands Corp. 36,100 1,024 First Citizens BancShares Class A 9,900 765 # First Citizens Financial Corp. 770 14 First Commerce Corp. 31,815 1,233 First Commercial Corp. 23,340 862 First Empire State Corp. 5,600 1,613 First Federal Bancshares of Eau Claire, Inc. 29,800 548 First Federal Capital Corp. 6,500 155 First Financial Savings Assn. 50,875 1,246 First Hawaiian, Inc. 26,500 934 First Home Bancorp Inc. 3,200 61 First Industrial Realty Trust REIT 25,400 772 First Midwest Financial, Inc. 700 16 First Mutual Savings Bank 1,680 30 # First Pacific Networks, Inc. 98,500 26 First Palm Beach Bancorp 22,100 519 # First Republic Bancorp, Inc. 29,700 497 First Security Corp. 63,912 2,165
7 56
- ----------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- First Southern Bancshares 1,600 $ 20 First Tennessee National Corp. 58,200 2,179 First United Bancorporation 4,851 57 First USA Inc. 104,090 3,604 # First USA Paymentech, Inc. 25,867 876 First Virginia Banks, Inc. 26,942 1,290 Firstar Corp. 61,911 3,250 First Bancorp of Ohio 26,700 951 # First Federal Financial Corp. 34,375 756 # FIserv, Inc. 36,750 1,357 Fisher Scientific International Inc. 16,700 787 # Flagstar Cos. 109,500 104 Flexsteel Industry 35,900 455 # Flores & Rucks, Inc. 16,600 884 Florida East Coast Railway Co. 6,900 603 Florida Progress Corp. 84,000 2,709 Florida Rock Industries, Inc. 20,300 665 # Florsheim Group Inc. 42,515 247 Flowers Industries, Inc. 47,300 1,017 Fluke Corp. 17,445 778 Flushing Financial Corp. 27,700 502 Food Lion Inc. Class A 350,650 3,430 Food Lion Inc. Class B 46,105 464 # Foodarama Supermarkets, Inc. 22,400 329 # Fore Systems, Inc. 76,600 2,523 Foremost Corp. of America 15,100 906 Forest City Enterprise Class A 16,300 986 # Forest Laboratories, Inc. 37,308 1,222 # Fort Howard Corp. 64,015 1,772 # Forte Software, Inc. 27,600 902 # Foundation Health Co. 50,100 1,591 # Fractal Design Corp. 46,000 489 Franchise Finance Corp. of America REIT 32,300 892 # FoxMeyer Health Corp. 58,402 95 # Franklin Bancorporation, Inc. 12,900 134 # Franklin Electronic Publishers, Inc. 38,300 464 # Franklin Quest Co. 37,000 777 Franklin Resources Corp. 70,480 4,819 Fredericks of Hollywood, Inc. Class A 48,700 201 Fredericks of Hollywood, Inc. Class B 24,132 100 Freeport-McMoRan, Inc. 21,157 680 Fremont General Corp. 37,027 1,148 Frisch's Restaurants, Inc. 43,335 693 # Fritz Cos., Inc. 26,000 327 H.B. Fuller Co. 20,950 974 Fulton Financial Corp. 33,438 711 Fund American Enterprise Holding Co. 11,385 1,090 # Furniture Brands International Inc. 68,200 955 G & K Services, Inc. 32,325 1,216 G & L Realty Corp. 34,000 578 GATX Corp. 16,000 776 GT Interactive Software Corp. 104,500 751 Gainsco, Inc. 70,661 680 Arthur J. Gallagher & Co. 23,900 741 # Game Financial Corp. 9,375 73 # Gander Mountain, Inc. 29,100 4 # Garden Fresh Restaurant Corp. 40,500 402 # Gartner Group, Inc. Class A 77,500 3,018 # Gateway 2000 Inc. 65,500 3,508 Gaylord Entertainment Class A 81,473 1,864 # Gaylord Container Corp. 106,500 652 GenCorp, Inc. 49,500 897 # Genentech, Inc.-Special Common Stock 103,073 5,527 General Binding Corp. 29,600 888 # General Datacomm Industries, Inc. 63,100 663 General Growth Properties Inc. REIT 36,500 1,177 General Motors Corp. Class H 83,847 4,716 # General Nutrition Cos., Inc. 71,800 1,221 # Genetics Institute Inc. Depository Shares 22,300 1,893 # Genesis Health Ventures Inc. 26,150 814 # Geneva Steel Class A 70,900 213 # Genlyte Group, Inc. 49,400 627 # Genome Therapeutics Corp. 60,530 643 Genovese Drug Stores, Inc. Class A 42,655 661 # Genrad, Inc. 45,712 1,063 # Gensia Inc. 125,007 578 # Gentex Corp. 57,700 1,161 # Genzyme Corp. 60,076 1,310 Geon Co. 21,100 414 Georgia Gulf Corp. 28,982 779 Gerber Scientific, Inc. 59,600 887 # Getchell Gold Corp. 32,019 1,229 Getty Petroleum Corp. 45,232 735 # Gibson Greetings, Inc. 40,100 782 # Gilead Sciences, Inc. 36,900 920 P.H. Glatfelter Co. 32,800 590 # Glenayre Technologies, Inc. 50,412 1,087 # Glendale Federal 39,605 921 # Global DirectMail Corp. 30,746 1,341 # Global Industrial Technologies, Inc. 36,400 805 # Global Marine, Inc. 143,100 2,951 # Globalink, Inc. 62,700 204 # Gold Reserve Corp. 63,400 596 # Golden Books Family Entertainment, Inc. 51,800 570 Golden Enterprises Inc. 57,400 434 # E. Gottschalk & Co., Inc. 59,100 310 Goulds Pumps, Inc. 34,891 802 Graco, Inc. 32,177 788 Graham-Field Health Products Inc. 69,916 603 # Grand Casinos, Inc. 62,100 838 Granite State Bankshares, Inc. 2,500 55 Graphic Industries, Inc. 47,700 465 Greater New York Savings Bank 46,300 625 Green Mountain Power Corp. 16,707 399 Green Point Financial Corp. 44,100 2,084 Greif Brothers Corp. Class A 32,400 923 # Grist Mill Co. 45,950 267 # Grossmans, Inc. 135,000 108 # GTech Holdings Corp. 34,900 1,117 Guaranty National Corp. 45,116 756
8 57
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # Guess?, Inc. 10,000 $ 144 Guilford Mills, Inc. 25,650 683 # Gulfstream Aerospace Corp. 62,400 1,513 # Gundle/SLT Environmental, Inc. 67,000 444 # The Gymboree Corp. 26,460 602 HBO & Co. 79,520 4,722 HCC Insurance Holdings, Inc. 23,600 566 HFNC Financial Corp. 46,000 817 # HMN Financial, Inc. 30,400 551 # HMT Technology Corp. 59,200 895 # HSN, Inc. 75,991 1,795 HUBCO, Inc. 41,703 1,030 # Hadco Corp. 27,051 1,320 # Haemonetics Corp. 43,100 814 Hancock Fabrics, Inc. 45,600 473 Hancock Holding Co. 3,630 151 # Handleman Co. 97,400 828 Handy & Harman 37,300 653 M.A. Hanna Co. 45,075 986 Hannaford Brothers Co. 35,200 1,197 # Hanover Direct, Inc. 70,200 53 Harley-Davidson, Inc. 62,754 2,949 Harman International Industries, Inc. 15,414 857 Harper Group, Inc. 32,300 763 Harrodsburg First Financial Bancorp 9,800 185 Harsco Corp. 21,616 1,481 Harte-Hanks Communications Co. 30,300 841 Hartford Steam Boiler Inspection & Insurance Co. 16,343 758 # Hauser, Inc. 63,500 367 Haven Bancorp, Inc. 19,000 546 Hawaiian Electric Industries Inc. 25,435 919 # Healthcare Services Group, Inc. 48,176 491 Health Care Properties Investors 22,700 795 # HealthCare Compare Corp. 29,465 1,252 # Health Management Associates Class A 88,955 2,001 # Healthcare & Retirement Corp. 37,050 1,061 Healthsource, Inc. 50,800 667 # HEALTHSOUTH Corp. 133,233 5,146 Health and Retirement Properties Trust 53,600 1,039 Health Care REIT, Inc. 34,900 855 # Health Systems 40,402 1,000 # Heartport Inc. 34,900 805 Hechinger Co. Class A 95,900 198 # Hecla Mining Co. 93,600 527 # Hector Communications Corp. 35,350 270 Heico Corp. 25,897 683 Heilig-Meyers Co. 43,618 709 # Hein-Werner Corp. 11,104 74 # Hemasure, Inc. 55,200 355 Herbalife International, Inc. 35,500 1,156 # Heritage Media Corp. Class A 55,700 627 Hibernia Corp. Class A 103,028 1,365 # High Plains Corp. 93,097 480 # Highlands Insurance Group 38,000 770 Highwood Properties, Inc. REIT 25,500 861 Hillenbrand Industries, Inc. 57,850 2,097 # Hinsdale Financial Corp. 20,125 501 # Hitox Corp. of America 40,700 107 Hollinger International, Inc. 64,200 738 Holly Corp. 23,800 637 # Hollywood Casino Corp. 102,600 372 # Hollywood Entertainment Corp. 51,071 951 # Homeowners Group, Inc. 35,000 61 # Homestead Village Inc. 33,371 601 # Homestead Village Inc. Warrants Exp. 10/29/97 6,555 53 Hon Industries, Inc. 23,800 788 Horace Mann Educators Corp. 29,600 1,195 # Horizon/CMS Healthcare Corp. 75,271 950 Hormel Foods Corp. 64,100 1,731 Hospitality Properties Trust 38,200 1,108 # Host Marriott 168,850 2,702 # Host Marriott Services 102,790 938 Houghton Mifflin Co. 20,000 1,133 # House of Fabrics, Inc. 371 1 # House of Fabrics, Inc. Warrants Exp. 4/28/97 928 2 Hubbell Inc. Class A 200 8 Hubbell Inc. Class B 56,906 2,461 # Hudson Technology, Inc. 5,600 31 Hughes Supply, Inc. 17,374 749 # Human Genome Sciences, Inc. 26,000 1,056 J.B. Hunt Transport Services, Inc. 34,403 486 Huntington Bancshares Inc. 126,414 3,342 # Hyperion Software Corp. 42,300 896 ICN Pharmaceuticals, Inc. 45,785 899 IBP, Inc. 78,700 1,908 IBS Financial Corp. 35,500 552 # ICOS Corp. 82,500 624 # IDX Systems Corp. 31,100 894 IES Industries, Inc. 24,740 739 # IGI, Inc. 65,500 442 # IHOP Corp. 25,000 597 IMC Global Inc. 79,593 3,114 IMCO Recycling, Inc. 32,100 469 # ITI Technologies, Inc. 30,600 461 # ITT Educational Services, Inc. 38,800 897 # IXC Communications, Inc. 8,000 246 Idaho Power Co. 29,900 931 IDEX Corp. 26,800 1,069 # IDEXX Laboratories 29,800 1,077 # Identix, Inc. 49,000 401 Illinois Central Corp. 56,000 1,792 Illinova Corp. 65,476 1,801 # Image Entertainment, Inc. 74,500 256 # Imation Corp. 34,000 956 # Immunex Corp. 61,200 1,186 # Immulogic Pharmaceutical Corp. 63,800 419 # Immune Response 76,083 637 # Imo Industries, Inc. 104,800 328 # Imperial Bancorp 45,228 1,085 # Imperial Credit 67,474 1,417 # Immunomedics Inc. 91,200 504 # Inacom Corp. 29,396 1,176 # Incyte Pharmaceuticals, Inc. 17,400 892 Independent Bank Corp. 31,700 333 Indiana Energy, Inc. 29,400 717
9 58
- ----------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Indiana Federal Corp. 7,900 $ 177 # Inference Corp. Class A 27,600 197 # Information Storage Devices, Inc. 63,700 478 # Informix Corp. 129,100 2,638 # Information Resources, Inc. 55,634 786 # Input/Output, Inc. 35,200 651 # Inso Corp. 21,400 843 Innkeepers USA Trust REIT 48,300 670 # Insurance Auto Auctions, Inc. 44,300 421 Integon Corp. 33,550 596 # Integrated Communication Network, Inc. 25,600 2 # Integrated Device Technology Inc. 63,000 862 Integrated Health Services, Inc. 36,100 880 # Integrated Systems Consulting Group Inc. 6,617 88 # Integrated Systems, Inc. 36,200 932 # Integrated Silicon Solution, Inc. 61,300 527 # Intelligent Electronics Inc. 82,402 670 # Intelligent Medical Imaging, Inc. 69,200 424 # Interactive Group, Inc. 47,900 254 Interface, Inc. 35,100 702 # Interface Systems Inc. 30,300 136 # Interlink Electronics Inc. 36,800 224 # Intermet Corp. 44,800 714 # International Cabletel, Inc. 25,400 637 # International Dairy Queen, Inc. Class A 35,712 721 International Family Entertainment, Inc. Class B 64,250 996 International Game Technology 107,298 1,958 # International Imaging Materials Inc. 28,300 630 # International Lottery & Totalizator Systems Inc. 51,600 44 International Multifoods Corp. 39,669 719 # International Network Services 25,200 761 # International Rectifier Corp. 73,500 1,121 # International Specialty Products, Inc. 79,100 969 # Interneuron Pharmaceutical, Inc. 31,900 831 # Interpore International 64,800 284 # Intersolv 63,400 582 Interstate Bakeries 31,800 1,562 # Interstate Hotels Co. 24,300 686 # Intervoice, Inc. 42,187 522 Intimate Brands, Inc. 215,800 3,669 # Intuit, Inc. 38,400 1,219 Invacare Corp. 26,443 721 # Investment Technology Group, Inc. 44,700 849 # Iomega Corp. 110,400 1,918 Ipalco Enterprises, Inc. 47,200 1,286 Irvine Apartment Communities, Inc. REIT 32,500 813 # ISIS Pharmaceuticals, Inc. 47,274 845 # Isomedix, Inc. 34,100 443 # i2 Technologies, Inc 24,600 950 IVAX Corp. 103,100 1,057 # J & J Snack Foods Corp. 40,900 557 J & L Specialty Steel Inc. 34,900 397 JDN Realty Corp. REIT 23,900 660 JLG Industries, Inc. 34,200 547 JSB Financial 19,399 734 # JTS Corp. 117,056 388 Jackpot Enterprises, Inc. 44,027 429 # Jacobs Engineering Group Inc. 38,900 919 # Jacor Communications Inc. 42,700 1,172 # Jan Bell Marketing Inc. 127,700 263 Jefferson Savings Bancorp, Inc. 19,400 509 # Jefferson Smurfit Corp. 88,300 1,418 John Alden Financial Group 38,300 709 John Nuveen Co. Class A 30,543 809 # Jones Apparel Group, Inc. 43,600 1,630 # Jones Intercable Inc. 54,600 566 Jones Medical Industries, Inc. 23,350 851 # Just for Feet, Inc. 21,624 566 Justin Industries, Inc. 51,600 600 # KFX, Inc. 91,250 502 # KLA Instruments Corp. 42,800 1,517 KN Energy, Inc. 26,150 1,026 # K-III Communications Corp. 103,200 1,109 K2 Inc. 31,245 859 K U Energy Corp. 31,400 942 # K-V Pharmaceutical Co. Class A 42,100 505 # Kaiser Aluminum & Chemical Corp. 62,400 725 Kaman Corp. Class A 43,200 556 Kansas City Power & Light Co. 52,000 1,482 Kansas City Southern Industries, Inc. 31,836 1,433 Kaydon Corp. 20,700 975 # Keane, Inc. 25,400 806 Kellwood Co. 38,100 762 # Kelly Oil Corp. 148,000 365 Kelly Services, Inc. Class A 30,137 827 # KEMET Corp. 35,800 826 # KENETECH Corp. 44,000 2 Kennametal, Inc. 22,455 873 # Kensey Nash Corp. 33,700 497 # Kent Electronics Corp. 38,600 994 Kentucky First Bancorp, Inc. 11,600 126 # Kenwin Shops, Inc. 900 2 # Key Tronic Corp. 66,100 496 # Keystone Consolidated Industries, Inc. 41,419 342 Keystone Financial, Inc. 31,800 799 Keystone International, Inc. 29,525 594 Kimball International, Inc. Class B 27,100 1,121 Kimco Realty Corp. REIT 28,950 1,010 # Kinder Care Learning Centers Inc. 38,300 716 Kinetic Concepts, Inc. 78,232 973 # Kirby Corp. 38,100 752 Klamath First Bancorp 37,200 581 Knape & Vogt Manufacturing Co. 29,662 497 # Koger Equity Inc. REIT 51,200 960 # Kohls Corp. 63,900 2,508 # Komag, Inc. 45,100 1,221 # Koo Koo Roo, Inc. 53,800 400 # Kronos, Inc. 20,150 630
10 59
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # Kulicke & Soffa Industries, Inc. 61,600 $ 1,174 # L.A. Gear Inc. 136,216 255 # LCI International, Inc. 66,900 1,438 LG&E Energy Corp. 55,600 1,362 LTV Corp. 86,523 1,027 # LTX Corp. 107,612 629 La Quinta Inns Inc. 64,449 1,233 La-Z-Boy Inc. 23,900 705 Lab One Inc. 33,300 629 # Laboratory Corp. of America 184,344 530 Lafarge Corp. 50,300 1,012 # LAM Research Corp. 29,450 828 Lancaster Colony Corp. 23,710 1,085 Lance, Inc. 49,641 884 Landmark Bancshare, Inc. 17,000 312 # Lands' End, Inc. 35,800 949 # Landry's Seafood Restaurants, Inc. 32,600 703 # Lattice Semiconductor Corp. 22,600 1,037 Estee Lauder Cos. Class A 52,329 2,662 Lawson Products, Inc. 22,350 494 Lawter International Inc. 63,554 802 Lawyers Title Insurance Corp. 32,150 631 # Lear Corp. 56,600 1,931 # Learning Co., Inc. 32,263 462 Learonal Inc. 29,300 674 # The Leather Factory, Inc. 16,000 13 # Lechters Corp. 73,800 385 Lee Enterprises, Inc. 37,600 874 # Legato Systems, Inc. 24,300 788 Leggett & Platt, Inc. 76,100 2,635 Legg Mason Inc. 26,800 1,032 Lehman Brothers Holdings, Inc. 85,415 2,680 Lennar Corp. 29,250 797 Leucadia National Corp. 49,376 1,321 # Lexington Global Asset Managers, Inc. 27,600 173 # Lexmark International Group, Inc. Class A 56,600 1,564 Liberty Bancorp, Inc. (Illinois) 29,700 783 Liberty Bancorp, Inc. (Oklahoma) 17,400 868 Liberty Corp. 28,300 1,111 Liberty Financial Cos., Inc. 22,500 875 Life Bancorp Inc. 43,300 777 Life Re Corp. 25,100 969 Lilly Industries Inc. Class A 41,188 752 # Lin Television 35,234 1,484 # Lincare Holdings Inc. 22,000 908 Lincoln Electric Co. Class A 25,176 755 Linear Technology Corp. 67,904 2,979 # Liposome Co., Inc. 50,239 964 # Littelfuse, Inc. 21,000 1,013 # Little Switzerland, Inc. 67,000 310 # Litton Industries, Inc. 38,900 1,853 # Living Centers of America, Inc. 32,900 913 # Lo-Jack Corp. 60,400 596 Loctite Corp. 26,080 1,588 # Lone Star Steakhouse & Saloon 33,863 908 # Lone Star Technologies, Inc. 52,400 884 Long Island Bancorp, Inc. 21,200 742 Long Island Lighting Co. 102,165 2,260 Longview Fibre Co. 42,270 777 # Loral Space & Communications Ltd. 163,900 3,012 Lubrizol Corp. 51,533 1,598 Luby's Cafeterias, Inc. 18,400 366 Lukens, Inc. 21,400 431 # Lynx Therapeutics Inc. 1,425 6 Lyondell Petrochemical Co. 66,454 1,462 MAF Bancorp, Inc. 18,043 622 # MAI Systems Corp. 58,275 382 MCN Corp. 56,300 1,626 MDU Resources Group, Inc. 35,250 811 # MEMC Electronic Materials, Inc. 34,100 767 MFB Corp. 10,000 169 # MGI Pharma, Inc. 97,800 425 # MGM Grand Inc. 47,739 1,665 Ml Bancorp Inc. 70,700 994 # MRV Communications Inc. 49,114 1,071 # M.S. Carriers Inc. 27,200 444 # MacFrugal's Bargains Close-Outs, Inc. 42,900 1,121 The Macerich Co. REIT 38,600 1,008 The MacNeal-Schwendler Corp. 59,400 468 # Macromedia 52,277 948 # Mafco Consolidated Group Inc. 34,500 875 # Mafco Consolidated Group Inc. Rights Exp. 1/1/99 78,000 73 # Magellan Health Services Corp. 46,900 1,049 Magna Group 39,600 1,168 # Magnatek 71,200 917 Maine Public Service Co. 15,000 272 Manpower Inc. 71,000 2,308 # Manugistics Group, Inc. 26,000 1,024 Mapco Inc. 49,900 1,697 Marion Capital Holdings 12,500 245 Mark IV Industries, Inc. 54,602 1,235 # Mark VII, Inc. 19,700 550 Mark Twain Bancshares, Inc. 22,850 1,114 MarketLink, Inc. 53,600 111 # Marquest Medical Products Inc. 10,000 7 # Marquette Medical Systems Class A 38,800 849 Marshall & Ilsley Corp. 77,027 2,677 # Marshall Industries 27,572 844 Martin Marietta Materials, Inc. 36,500 849 # Marvel Entertainment Group 84,534 159 Maryland Federal Bancorp 19,189 656 MascoTech Inc. 58,785 963 # Mastec Inc. 27,122 1,439 # Matria Healthcare Inc. 107,378 497 # Maxim Integrated Products, Inc. 54,580 2,364 # Maxxam Inc. 15,800 752 # McAfee Associates, Inc. 46,950 2,057 McClatchy Newspapers, Inc. 27,560 965 McCormick & Co., Inc. 68,183 1,607 # J. Ray McDermott SA 33,400 735 McKesson Corp. 35,706 2,000 # McLeod, Inc. 26,800 687 # McMoRan Oil and Gas 100,499 214 # McWorter Technologies Inc. 29,600 677 Measurex Corp. 31,000 744
11 60
- ----------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # Mechanics Savings Bank 29,400 $ 459 # Medaphis Corp. 95,300 1,066 # Medcross, Inc. 28,800 138 Medford Savings Bank 19,601 505 Media General, Inc. Class A 20,700 626 # Medic Computer Systems, Inc. 19,300 778 # Medical Dynamics, Inc. 63,700 207 # Medical Technology Systems, Inc. 16,100 9 # Medicis Pharmaceutical Corp. 17,550 768 # MedImmune Inc. 46,300 799 # Mediq, Inc. 77,300 493 Meditrust 51,917 2,077 # Mednet MPC Corp. 120,500 73 # Medpartners Inc. 128,017 2,688 # Men's Wearhouse, Inc. 32,550 791 Mentor Corp. 38,115 1,120 # Mentor Graphics Corp. 48,900 480 Mercantile Bancorp, Inc. 52,050 2,674 Mercantile Bankshares Corp. 39,550 1,261 # Merchants Bancshares, Inc. 25,500 489 Merchants New York Bancorporation 5,100 164 Mercury Finance Co. 152,335 1,866 Mercury General Corp. 22,500 1,181 # Merisel, Inc. 100,110 167 # Meridian Gold Co. 117,200 483 # Merix Corp. 29,700 464 Merrill Corp. 24,500 570 Merry Land & Investment Co., Inc. REIT 30,600 658 # Mesa Air Group Inc. 58,500 402 # Mesaba Holdings, Inc. 48,000 708 Met-Pro Corp. 36,379 487 # Metal Management, Inc. 20,400 78 # Metrocall, Inc. 82,700 419 # Metromedia International Group, Inc. 55,500 548 Metrowest Bank 90,838 483 # Fred Meyer, Inc. 25,100 891 Michael Foods, Inc. 51,200 656 # Michaels Stores, Inc. 40,000 478 Michigan Financial Corp. 2,300 57 # Micro Warehouse Inc. 46,700 543 # Microchip Technology, Inc. 28,650 1,458 # Microcom Corp. 57,676 707 # Microdyne Corp. 90,100 535 # Micron Electronics, Inc. 77,200 1,501 # Micronics Computers, Inc. 85,600 171 # Microtouch Systems, Inc. 27,801 662 Mid-America Apartment Communities, Inc. REIT 29,500 852 Mid-America Bancorp 33,166 630 MidAmerican Energy Holdings Co. 84,894 1,348 # Mid-American Waste Systems, Inc. 148,500 60 # Mid Atlantic Medical Services, Inc. 70,300 940 Mid Continent Bancshares, Inc. 4,600 108 Mid-Iowa Financial Corp. 10,560 73 # Midisoft Corp. 32,500 77 # Midway Games Inc. 32,900 666 # Midwest Grain Products 30,450 508 # Millenia, Inc. 625 1 # Millenium Chemicals, Inc. 70,600 1,253 Herman Miller, Inc. 19,171 1,082 # Milwaukee Land Co. 2,300 14 Minerals Technologies, Inc. 18,200 746 Minnesota Power & Light Co. 26,300 723 Mirage Resorts, Inc. 158,800 3,434 # Mississippi Chemical Corp. - New 10,855 1,012 # Mitcham Industries, Inc. 26,300 255 Mitchell Energy & Development Corp. Class A 43,300 969 # Mobile Telecommunications Technologies Corp. 84,400 709 # MobileMedia Corp. 90,700 41 # Model Imperial, Inc. 57,500 20 Modern Controls, Inc. 29,575 303 Modine Manufacturing Co. 24,100 636 # Mohawk Industries, Inc. 47,400 1,055 # Molecular Biosystems, Inc. 70,034 455 Molex, Inc. 85,567 3,348 Molex, Inc. Class A 875 31 # Molten Metal Technology 47,200 561 The Money Store 53,665 1,489 Montana Power Co. 45,800 979 Morrison Fresh Cooking Inc. 12,031 56 Morrison Health Care Inc. 40,441 597 # Morrison Knudsen Co. Warrants Exp. 3/11/03 8,551 31 Mosinee Paper Corp. 23,166 820 # Mueller Industries Inc. 21,216 817 Murphy Oil Corp. 37,630 2,093 Myers Industries, Inc. 39,365 664 Mylan Laboratories, Inc. 105,500 1,767 # Myriad Genetics, Inc. 29,700 743 # Mysoftware Co. 3,000 12 NAC Re Corp. 28,325 960 NBT Bancorp, Inc. 3,360 62 NCH Corp. 12,600 759 NCR Corp. 87,000 2,925 NGC Corp. 127,500 2,964 NIPSCO Industries, Inc. 50,970 2,020 N L Industries, Inc. 37,400 407 # NPC International Class A 62,800 522 NYMAGIC, Inc. 35,600 641 Nabisco Holdings Corp. Class A 44,900 1,745 # Nabors Industries, Inc. 75,100 1,446 # Nashua Corp. 35,600 427 # National Auto Credit Inc. 64,403 773 # National Beverage Corp. 71,840 647 # National City Bancorporation 2,400 49 National Community Bancorp 19,198 730 National Computer Systems, Inc. 31,500 795 National Data Corp. 21,739 946 National Fuel & Gas Co. 31,800 1,312 National Health Investors REIT 27,300 1,034 National Presto Industries, Inc. 16,063 600 # National Processing, Inc. 43,100 690 # National R. V. Holdings, Inc. 31,982 460 # National Record Mart, Inc. 49,100 68 # National Steel Corp. Class B 57,100 528
12 61
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # National Techteam, Inc. 36,700 $ 741 Nationwide Health Properties, Inc. 35,000 849 # Nautica Enterprises Inc. 38,937 978 # Neiman Marcus Group Inc. 42,655 1,088 # Nellcor Puritan Bennett, Inc. 52,028 1,132 # Netmanage, Inc. 99,900 603 # Netscape Communications Corp. 54,500 3,100 # Netsmart Technologies, Inc. 11,200 39 # Network Equipment Technologies 53,647 885 # Network General Corp. 46,288 1,397 # Network Peripherals, Inc. 35,800 631 Nevada Power Co. 37,752 774 New England Business Service, Inc. 43,500 935 New England Electric System 54,800 1,911 New Jersey Resources Corp. 24,700 722 # New Mexico & Arizona Land Co. 38,841 452 New Plan Realty Trust REIT 46,655 1,184 # New World Communications Group, Inc. 47,100 1,186 New York Bancorp Inc. 16,900 655 New York State Electric & Gas Corp. 60,400 1,306 Newcor, Inc. 39,600 304 # Newfield Exploration Co. 29,000 754 Newhall Land & Farming Co. 48,300 815 Newmil Bancorp, Inc. 23,900 224 Newmont Gold Co. 93,868 4,107 # Newport News Shipbuilding Inc. 25,000 375 # Nexstar Pharmaceuticals Inc. 50,991 755 # Nextel Communications 192,293 2,512 # Nine West Group, Inc. 29,600 1,373 Nitches Inc. 30,128 158 Noble Affiliates, Inc. 55,536 2,659 # Noble Drilling Corp. 101,200 2,011 Nordson Corp. 14,240 911 Norrell Corp. 36,600 997 # Nortek, Inc. 34,852 697 North American Mortgage Co. 41,400 818 # North American Vaccine, Inc. 25,900 628 North Fork Bancorporation, Inc. 28,257 1,007 North Side Savings Bank 18,750 1,029 # North Star Universal Inc. 63,800 522 Northeast Utilities 104,800 1,389 Northern Trust Corp. 95,300 3,461 # Northgate Exploration, Ltd. 2,488 2 # Northwest Airlines Corp. Class A 81,900 3,204 Northwest Natural Gas Co. 31,200 753 Northwest Savings Bank 49,800 675 Northwestern Public Service Co. 17,900 613 Norwalk Savings Society 18,400 429 # Nova Corp. (Georgia) 43,900 971 # NovaCare, Inc. 111,500 1,227 # Novavax, Inc. 52,900 182 # Novellus Systems, Inc. 15,600 845 # Nuevo Energy Co. 15,500 806 Nutrition for Life International, Inc. 30,200 368 # nVIEW Corp. 25,049 86 OEA, Inc. 27,400 1,254 # OHM Corp. 73,200 622 # Oak Technology, Inc. 90,000 1,018 # Oakley, Inc. 59,400 646 Oakwood Homes Corp. 35,700 817 Oasis Residential, Inc. REIT 36,600 833 # Objective Systems Integrators, Inc. 46,600 1,104 # Oceaneering International, Inc. 51,100 811 # Octel Communications Corp. 54,300 943 # Ocwen Financial Corp. 4,300 114 # Office Depot, Inc. 135,725 2,409 # Officemax Inc. 107,000 1,137 # Offshore Logistics, Inc. 38,700 755 Ogden Corp. 51,651 968 Ohio Art Co. 14,800 255 Ohio Casualty Corp. 27,956 999 Oklahoma Gas & Electric Co. 33,900 1,415 # Old America Stores, Inc. 41,200 211 Old Kent Financial Corp. 39,194 1,869 Old National Bancorp 20,671 806 Old Republic International Corp. 74,961 2,005 Olin Corp. 43,100 1,622 Olsten Corp. 65,130 985 # Olympic Financial Ltd. 57,400 825 Omega Financial Corp. 4,900 175 Omega Healthcare Investors, Inc. 24,541 816 Omnicare, Inc. 63,600 2,043 Omnicom Group Inc. 67,700 3,097 # Omnipoint Corp. 40,900 785 # On Assignment, Inc. 17,700 516 Onbancorp Inc. 21,100 786 One Valley Bancorp of West Virginia Inc. 29,875 1,118 Oneida Ltd. 33,889 610 # Oneita Industries 47,933 84 # Onyx Acceptance Corp. 36,700 310 # Ontrak Systems, Inc. 31,300 464 # Ophthalmic Imaging Systems, Inc. 1,000 5 # Optical Cable Corp. 66,600 724 Optical Coating Laboratory, Inc. 42,385 453 Orange & Rockland Utilities, Inc. 19,600 703 # Orbital Sciences Corp. 47,500 813 # Oregon Metallurgical Corp. 27,175 873 Oregon Steel Mills, Inc. 37,100 621 # O'Reilly Automotive, Inc. 20,500 651 Oriental Bank & Trust 18,920 395 # Oriole Homes Corp. Class B 19,300 135 Orion Capital Corp. 19,000 1,161 # OrNda Healthcorp 49,000 1,433 # Orthodontic Centers of America, Inc. 46,100 726 # Orthologic Corp. 78,500 439 Oshkosh B Gosh, Inc. Class A 27,900 432 O'Sullivan Corp. 48,175 530 # Outback Steakhouse 40,854 1,088 Outboard Marine Corp. 20,000 330 # Outdoor Systems, Inc. 31,750 901 # Outlook Group Corp. 8,000 37 Overseas Shipholding Group Inc. 53,700 913 # Owens-Illinois, Inc. 99,872 2,272 # Oxford Health Plan 64,500 3,777 # Oxigene, Inc. 20,161 467
13 62
- ----------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- PCA International, Inc. 30,598 $ 486 # PCD, Inc. 42,000 562 # PDG Environment Industries 7,140 2 # PDT, Inc. 25,400 724 PHH Corp. 29,000 1,247 # PICO Holdings Inc. 116,229 465 PIMCO Commercial Mortgage Securities, Inc. 39,500 509 PMC Capital, Inc. 37,700 528 The PMI Group Inc. 29,500 1,634 # PMT Services Inc 48,565 847 PS Group Holdings Inc. 33,800 456 # PVF Capital Corp. 12,600 198 # Pacific Crest Capital Inc. 43,645 491 # Pacific Greystone Corp. 46,300 509 Pacific Gulf Properties, Inc. 27,200 530 Pacific Scientific Co. 33,800 380 # Pacificare Health Systems Inc. Class A 14,800 1,212 # Pacificare Health Systems Inc. Class B 11,300 962 # Paging Network, Inc. 86,500 1,325 PaineWebber Group, Inc. 80,675 2,269 # Pairgain Technologies, Inc. 51,600 1,571 # Papa John's International, Inc. 22,650 769 # Parametric Technology Corp. 108,408 5,576 # Park-Ohio Industries, Inc. 37,300 487 Parker & Parsley Petroleum Co. 29,900 1,099 # Parker Drilling Co. 96,300 927 # Patina Oil & Gas Corp. 67,068 620 # Patina Oil & Gas Corp. Warrants Exp. 5/2/01 19,484 41 Patriot American Hospitality, Inc. REIT 18,000 776 Paul Revere Corp. 36,400 1,356 # Paul-Son Gaming Corp. 23,300 183 Paychex, Inc. 60,899 3,132 # Payless ShoeSource, Inc. 33,000 1,238 # Peak Technologies Group, Inc. 41,400 486 # PEC Israel Economic Corp. 41,500 695 # Pegasus Gold 51,200 387 # Pegasystems Inc. 17,300 521 Penn Engineering & Manufacturing Corp. 31,100 638 Penn Engineering & Manufacturing Corp. Class A 8,300 172 Penncorp Financial Group Inc. 23,200 835 Pennfed Financial Services, Inc. 27,600 554 Pennsylvania Enterprises Inc. 12,850 564 Pentair, Inc. 31,508 1,016 Penwest Ltd. 27,409 487 Peoples Bank 916 22 Peoples Bank of Bridgeport 34,500 990 # People's Choice TV Corp. 40,500 244 Peoples Heritage Financial Group Inc. 40,759 1,136 People's Savings Financial Corp. 4,500 125 # Peoplesoft Inc. 87,100 4,175 # Perini Corp. 38,400 300 Perpetual Midwest Financial, Inc. 2,300 44 # Perrigo Co. 97,500 878 # Personnel Group of America, Inc. 30,398 733 # Pet Food Warehouse, Inc. 44,300 190 Petroleum Heat & Power Co. 76,700 479 Petrolite Corp. 21,100 992 # PETsMART, Inc. 88,200 1,929 # Phamis, Inc. 31,400 408 # Pharmaceutical Product Development, Inc. 28,783 723 # Pharmaceutical Resources, Inc. 103,688 363 Phillips-Van Heusen Corp. 47,893 688 # Phoenix International Ltd., Inc. 16,300 291 # Phonetel Technologies, Inc. 4,000 13 # Photronics Labs Inc. 28,698 786 # Phycor, Inc. 45,325 1,280 # Physician Corp. of America 71,200 721 # Physician Reliance Network, Inc. 98,500 757 # Physician Sales & Service, Inc. 27,400 401 # PictureTel Corp. 42,100 1,089 Piedmont Natural Gas, Inc. 25,014 585 Pier 1 Imports Inc. 55,235 974 # Piercing Pagoda, Inc. 22,500 540 Pikeville National Corp. 14,800 372 Pilgrim's Pride Corp. 73,500 634 # Pinnacle Systems, Inc. 39,600 411 Pinnacle West Capital Corp. 75,700 2,403 Pioneer Financial 39,700 993 Pioneer Group Inc. 38,400 905 Pioneer Standard Electronics Inc. 55,225 714 # Pittencrieff Communication, Inc. 109,900 402 Pittston Brink's Group 34,200 923 Pittston Burlington Group 36,600 732 Pittway Corp. Class A 16,716 894 # Pixar, Inc. 59,200 773 # Planet Hollywood International, Inc. Class A 82,700 1,633 # Platinum Technology, Inc. 43,300 587 # Players International, Inc. 89,300 474 # Playboy Enterprises Inc. Class A 22,850 231 # Playboy Enterprises Inc. Class B 33,750 329 Plenum Publishing Corp. 15,300 545 # Plexus Corp. 36,850 631 Ply-Gem Industries, Inc. 53,500 662 Pogo Producing Co. 28,400 1,342 Polaris Industries, Inc. 40,950 973 # Policy Management Systems Corp. 25,564 1,179 # Polymer Group, Inc. 15,000 208 # Pool Energy Service Co. 52,367 812 Pope & Talbot, Inc. 42,700 678 Portland General Electric Co. 42,600 1,789 Post Properties, Inc. REIT 21,000 845 Potomac Electric Power Co. 99,800 2,570 # Power Control Technologies 78,000 585 Pratt Hotel Corp. 17,222 30 Precision Castparts Corp. 24,100 1,196 # Precision Response Corp. 27,400 969 # Precision Systems, Inc. 83,900 425 Premark International, Inc. 52,223 1,162 # Premenos Technology Corp. 47,050 400 Premier Farnell PLC ADR 28,800 727 Premier Farnell PLC Cvt. Pfd. ADR 23,203 664
14 63
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # Premisys Communications, Inc. 23,000 $ 776 # Premiere Technologies, Inc. 41,300 1,043 # President Casinos 157,282 111 Presidential Life Corp. 66,800 810 # Presstek, Inc. 12,700 905 Price Enterprises, Inc. 44,700 768 T. Rowe Price 49,600 2,158 # Primadonna Resorts, Inc. 47,538 814 # Primark Corp. 17,731 439 Prime Bancorp Inc. 20,582 417 # Prime Hospitality Corp. 57,500 927 Prime Retail, Inc. 43,700 538 Prime Service, Inc. 36,500 1,004 # Proffitt's, Inc. 18,700 686 Production Operators Corp. 17,600 823 Progressive Bank, Inc. 16,800 389 Progressive Corp. of Ohio 61,806 4,164 # Pronet, Inc. 69,000 298 # Promus Hotel Corp. 42,650 1,264 Protective Life Corp. 26,700 1,065 # Protein Design Labs 37,400 1,356 # Providence Journal Co. 21,000 643 Provident Bancorp Inc. 32,925 1,111 Provident Bankshares Corp. 17,075 671 Provident Cos., Inc. 39,400 1,906 # Psychemedics, Inc. 86,456 519 # PsiNet, Inc. 71,400 785 Public Service Co. of Colorado 55,600 2,161 Public Service Co. of New Mexico 32,620 640 Public Storage, Inc. REIT 72,700 2,254 Puerto Rican Cement Co., Inc. 17,500 547 Puget Sound Power & Light Co. 51,615 1,239 Pulitzer Publishing Co. 18,433 855 # Pure Atria Software Corp. 34,003 835 Purus, Inc. 5,100 21 # QMS, Inc. 75,200 395 # QLogic Corp. 36,400 944 Quaker State Corp. 54,800 774 # Qualcomm, Inc. 57,400 2,289 # Quality Food Centers Inc. 25,654 872 Quanex Corp. 29,700 813 # Quantum Corp. 49,900 1,422 # Quarterdeck Corp. 108,600 451 Queens County Bancorp, Inc. 18,666 888 Questar Corp. 35,415 1,302 Quick & Reilly Group, Inc. 35,950 1,074 # QuickResponse Services, Inc. 21,800 632 # Quintiles Transnational Corp. 18,200 1,199 # Quorum Health Group, Inc. 40,500 1,200 # RAC Financial Group, Inc. 39,600 824 RCSB Financial Corp. 28,100 811 RFS Hotel Investors, Inc. REIT 39,700 784 RJR Nabisco Holdings Corp. 235,442 8,005 R.L.I. Corp. 28,400 948 ROC Communities Inc. REIT 31,500 874 # RPC Inc. 53,800 807 RPM Inc. (Ohio) 64,164 1,091 # Rainbow Technologies, Inc. 27,800 521 # Ralcorp Holdings Inc. 48,700 1,029 Raritan Bancorp, Inc. 1,300 30 # Rational Software Corp. 32,200 1,274 Raymond James Financial, Inc. 34,050 1,026 Rayonier Inc. 25,100 963 # Read-Rite Corp. 42,769 1,075 Reader's Digest Assn., Inc. Class A 91,100 3,667 Reader's Digest Assn., Inc. Class B 400 15 # Reading & Bates Corp. 72,125 1,911 # Reddi Brake Supply Corp. 126,400 22 Regal-Beloit Corp. 39,500 775 # Regal Cinemas, Inc. 28,300 867 Regions Financial Corp. 52,227 2,699 Regis Corp. 22,040 357 Reinsurance Group of America, Inc. 22,800 1,074 Reliance Bancorp, Inc. 27,200 527 Reliance Group Holdings 90,614 827 Reliastar Financial Corp. 30,762 1,777 # Remedy Corp. 33,000 1,766 # Renaissance Communications 24,950 892 # Renal Treatment Centers, Inc. 19,200 490 # Rentrak Corp. 66,500 220 Republic Bancorp, Inc. 36,880 433 # Republic/Clearwater Fla. 26,800 397 # Republic Industries, Inc. 212,965 6,642 # Research Frontiers, Inc. 50,700 383 # Research Medical, Inc. 37,350 857 # Response Oncology, Inc. 42,700 416 # Retix 99,791 667 # Revco Drug Stores, Inc. 59,400 2,198 # Rexall Sundown, Inc. 42,997 1,169 # Rexel Inc. 49,244 782 Reynolds & Reynolds Class A 68,800 1,789 Rhone-Poulenc Rorer, Inc. 118,054 9,223 Richfood Holdings, Inc. 39,600 960 Riggs National Corp. 53,000 918 # Right Management Consultants 24,100 551 Rite Aid Corp. 33,085 1,315 Roadway Express Inc. 10,000 193 # Robert Half International, Inc. 48,700 1,674 # Roberts Pharmaceuticals 42,000 470 Rochester Gas and Electric Corp. 30,248 578 Rock-Tenn Co. 48,950 967 # Rodman and Renshaw Capital Group, Inc. 2,239 3 # Rogers Corp. 24,500 665 # Rohr, Inc. 33,300 753 # Rollins Environmental Services, Inc. 161,500 283 Rollins, Inc. 31,100 622 Rollins Truck Leasing 64,375 813 Roosevelt Financial Group 54,100 1,129 Roper Industries Inc. 19,000 743 Ross Stores, Inc. 20,494 1,022 # Rotech Medical Corp. 47,800 998 # The Rottlund Co. 50,300 248 Rouse Co. 47,800 1,518 # Royal Appliance Manufacturing Co. 63,100 434 Royal Caribbean Cruises, Ltd. 52,100 1,218 Ruby Tuesday, Inc. 30,562 565
15 64
- ----------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Ruddick Corp. 62,300 $ 872 Russ Berrie, Inc. 39,100 704 # Ryan's Family Steak Houses, Inc. 43,000 297 Rykoff-Sexton, Inc. 49,931 793 Ryland Group, Inc. 37,800 520 # SC Bancorp 36,400 350 # SCI Systems, Inc. 27,742 1,241 SJS Bancorp, Inc. 2,900 74 SJW Corp. 10,000 469 # SPS Transaction Services 49,600 756 # SPSS, Inc. 24,900 680 # SOS Staffing Services, Inc. 45,800 475 SPX Corp. 26,191 1,015 # S3, Inc. 60,300 984 # Safeguard Health Enterprises, Inc. 25,165 444 # Safeguard Scientifics, Inc. 28,900 918 # Safety First Inc. 26,900 286 # Safeway, Inc. 190,521 8,145 St. Francis Capital Corp. 18,000 473 St. Joe Corp. 26,399 1,716 St. John Knits, Inc. 12,900 561 St. Paul Bancorp, Inc. 32,350 948 # Saks Holdings, Inc. 57,600 1,555 # Salant Corp. 96,400 313 # Sanchez Computer Associates, Inc. 6,850 54 Sanderson Farms, Inc. 43,450 722 # Sanmina Corp. 14,200 802 Santa Monica Bank 10,600 180 Saul Centers, Inc. REIT 34,200 543 Savannah Foods & Industries, Inc. 52,800 713 Sbarro, Inc. 29,691 757 SCANA Corp. 88,200 2,359 # Henry Schein, Inc. 25,900 889 # R. P. Scherer Corp. 19,726 991 # Scholastic Corp. 13,100 876 Schuller Corp. 134,300 1,427 A. Schulman Inc. 29,362 723 Schult Home Corp. 26,700 627 Charles Schwab Corp. 151,562 4,850 Schweitzer-Mauduit International, Inc. 23,500 743 # Scios, Inc. 111,868 689 Scope Industries 5,000 247 E.W. Scripps Co. 68,769 2,407 # Seacor Holdings, Inc. 2,900 182 Seafield Capital Corp. 15,900 622 # Seagull Energy Corp. 53,400 1,175 # Sealed Air Corp. 36,800 1,532 # Secure Computing Corp. 49,100 436 Security Bancorp 4,300 128 Security Capital Atlantic Inc. 31,700 777 Security Capital Corp. 14,100 1,036 Security Capital Industrial Trust REIT 71,084 1,519 Security Capital Pacific Inc. REIT 60,097 1,375 # Security Dynamics Technologies, Inc. 29,200 918 # Security First Network Bank 21,288 226 Selective Insurance Group 23,600 900 # Selfix, Inc. 24,120 205 Sensormatic Electronics Corp. 60,061 1,006 # Sequa Corp. Class A 18,000 707 # Sequent Computer Systems, Inc. 68,900 1,219 # Service Merchandise Co., Inc. 141,987 603 Shaw Industries, Inc. 113,600 1,335 Shelby Williams Industries, Inc. 31,700 388 # Shiva Corp. 24,000 834 # ShoLodge, Inc. 37,433 491 # Shoney's Inc. 35,300 247 Shopko Stores, Inc. 51,655 775 # Shorewood Packaging 35,700 703 # Show Biz Pizza Time, Inc. 32,875 606 Showboat, Inc. 37,616 649 Shurgard Storage Centers, Inc. REIT 14,500 430 # Siebel Systems, Inc. 28,600 779 # Sierra Health Services 28,969 713 Sierra Pacific Resources 27,000 776 # Sierra Semiconductor 72,388 1,081 Signet Banking Corp. 49,352 1,518 SIG Corp. 20,454 708 # Silicon Valley Group, Inc. 48,900 981 Simmons First National 9,000 239 Simon DeBartolo Group Inc. 81,812 2,536 # Simula, Inc. 24,300 328 # Sitel Corp. 43,500 617 # Sizzler International 130,650 376 Skyline Corp. 22,000 545 A.O. Smith Corp. 31,400 938 # Smith International, Inc. 32,800 1,472 # Smithfield Foods, Inc. 28,800 1,091 Smiths Food & Drug Centers, Inc. Class B 15,230 472 J.M. Smucker Co. Class A 46,700 823 J.M. Smucker Co. Class B 1,200 19 # Snyder Communications, Inc. 29,000 783 # Sofamor Danek Group Inc. 34,400 1,049 # Softdesk, Inc. 38,800 587 # Software Spectrum, Inc. 20,000 583 # Sola International, Inc. 30,600 1,163 # Solectron Corp. 45,400 2,423 # Solv-Ex Corp. 49,334 697 Sonoco Products 76,485 1,979 Sotheby's Holdings Class A 43,300 806 South Jersey Industries, Inc. 22,084 538 Southdown, Inc. 29,500 918 Southern National Corp. 104,292 3,781 Southern New England Telecommunications Corp. 56,700 2,204 # Southern Union Co. 31,360 690 # Southland Corp. 329,000 977 SouthTrust Corp. 79,050 2,757 Southwest Gas Corp. 37,400 720 Southwestern Energy Co. 48,800 738 Southwestern Public Service Co. 34,100 1,206 Sovereign Bancorp, Inc. 74,203 969 Sovran Self Storage, Inc. 27,600 863 # Spacetec IMC Corp. 57,600 299 # Spaghetti Warehouse, Inc. 26,300 138 Spartan Motors, Inc. 66,200 439
16 65
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # Spec's Music Inc. 43,366 $ 47 # Spectrian Corp. 45,900 361 # Speedway Motorsports, Inc. 34,300 720 # Spelling Entertainment 125,300 924 # Spiegel, Inc. Class A 86,300 609 Spieker Properties, Inc. REIT 27,600 994 # The Sports Authority, Inc. 25,200 548 # Spyglass, Inc. 43,500 541 # Stac, Inc. 86,100 560 Standard Federal Bank 25,500 1,450 Standard Financial, Inc. 45,200 893 Standard Products Co. 30,850 787 The Standard Register Co. 37,087 1,205 Standex International Corp. 24,400 753 Stanhome, Inc. 26,500 702 # Staples, Inc. 134,461 2,429 Star Banc Corp. 25,004 2,297 # Starbucks Corp. 67,000 1,918 L. S. Starrett Co. Class A 22,000 624 L. S. Starrett Co. Class B 400 11 # Starter Corp. 63,000 362 Starwood Lodging Trust REIT 21,700 1,196 State Street Boston Corp. 68,608 4,425 # Station Casinos, Inc. 63,500 643 # Steris Corp. 35,108 1,529 # Sterling Commerce, Inc. 68,962 2,431 # Sterling Software, Inc. 31,637 1,001 Stewart & Stevenson Services, Inc. 41,582 1,211 Stewart Enterprises, Inc. Class A 34,500 1,173 Stewart Information Services Corp. 24,300 504 Stolt Nielsen Class B ADR 10,550 198 Stone & Webster, Inc. 23,100 728 Storage USA, Inc. REIT 17,300 651 # Storage Technology Corp. 51,691 2,462 # Strategic Distribution, Inc. 94,900 759 # Stratosphere Corp. 30,200 26 # Stratus Computer, Inc. 37,900 1,033 Strawbridge & Clothier Class A 22,064 360 # StreamLogic Corp. 69,100 49 # Strouds, Inc. 69,100 238 # Structural Dynamics Research Corp. 48,000 951 Stryker Corp. 82,400 2,467 Student Loan Corp. 28,200 1,050 Student Loan Marketing Assn. 49,103 4,573 # Submicron Systems Corp. 91,440 386 Suffolk Bancorp 5,900 229 Summit Bancorp 79,429 3,475 Summit Properties, Inc. REIT 41,400 916 Summit Technology, Inc. 93,750 521 SunAmerica Inc. 101,500 4,504 Sun Communities, Inc. REIT 26,300 907 # Sun Healthcare Group, Inc. 69,600 940 Sunbeam Corp. 69,200 1,782 Sundstrand Corp. 51,500 2,189 # SunGard Data Systems, Inc. 35,500 1,416 # Sunglass Hut International, Inc. 42,174 308 # Sunrise Medical, Inc. 41,700 662 Superior Industries International, Inc. 47,019 1,087 # Swift Energy Co. 26,890 803 # Swift Transportation Co., Inc. 35,100 818 # Sybase, Inc. 62,640 1,045 # Sybron International Corp. 40,600 1,340 # Sykes Enterprises, Inc. 16,500 608 # Sylvan Learning Systems, Inc. 37,200 1,051 # Symantec Corp. 75,412 1,098 # Symbol Technologies, Inc. 21,500 951 # Synopsys, Inc. 33,426 1,538 # Synetic, Inc. 10,100 489 Synovus Financial Corp. 99,350 3,192 # System Software Associates, Inc. 62,050 655 # Systemix, Inc. 35,950 544 # TBC Corp. 81,775 624 TCA Cable Television, Inc. 34,500 1,033 TCBY Enterprises, Inc. 89,900 360 TCF Financial Corp. 28,400 1,235 # TCI Satellite Entertainment, Inc. Class A 28,277 281 # TCSI Corp. 63,429 400 TECO Energy, Inc. 100,200 2,417 TF Financial Corp. 29,900 482 TIG Holdings, Inc. 49,600 1,680 TJ International, Inc. 30,700 702 TNP Enterprises, Inc. 20,100 550 TR Financial Corp. 21,400 762 Talbots Inc. 28,200 807 # Talley Industries, Inc. 52,800 389 Tambrands, Inc. 31,877 1,303 # Tanknology Environmental, Inc. 1,900 4 # Target Therapeutics, Inc. 23,200 973 Taubman Co. REIT 71,000 914 # Tech Data Corp. 35,178 963 # Technical Communications Corp. 14,000 191 # Technology Solutions Co. 33,021 1,362 Tecumseh Products Co. Class A 6,700 384 Tecumseh Products Co. Class B 11,800 666 # Tejas Gas Corp. 22,762 1,084 Tejon Ranch Co. 38,500 553 # Tekelec 44,300 703 # Telcom Semiconductor, Inc. 93,600 398 # Tele-Communications International, Inc. Series A 98,500 1,324 Teleflex Inc. 14,900 777 Telephone & Data Systems, Inc. 52,228 1,893 # Telescan, Inc. 69,500 391 # Teletech Holdings Inc. 46,100 1,181 # Telular Corp. 104,600 569 Telxon Corp. 44,500 551 # Tencor Instruments 36,700 970 # Teradyne, Inc. 75,889 1,850 Terra Industries, Inc. 67,542 996 # Tesoro Petroleum Corp. 63,600 890 Texas Industries, Inc. 13,257 671 # Thermedics, Inc. 30,100 546 # Thermo Instrument Systems, Inc. 81,987 2,716 # Thermo Cardiosystems Inc. 30,350 911 # Thermo Fibertek, Inc. 93,100 867 # Thermo VolTek 44,400 438 # ThermoLase Corp. 38,400 605 # ThermoTrex Corp. 27,000 739 Thiokol Corp. 23,000 1,029
17 66
- ----------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # 360 Communications Co. 104,745 $ 2,422 Tidewater, Inc. 51,700 2,339 Tiffany & Co. 29,332 1,074 Times Mirror Co. 20,815 1,075 # Titanium Metals Corp. 25,300 829 # Todd Shipyards Corp. 73,100 475 # Toll Brothers, Inc. 28,500 556 Tootsie Roll Industries, Inc. 18,421 730 # The Topps Co., Inc. 124,240 505 The Toro Co. 18,900 690 Tosco Corp. 36,758 2,908 Total Petroleum (North America) Ltd. 74,300 771 # Total Renal Care Holdings, Inc. 22,200 805 Total System Services, Inc. 107,376 2,886 Town & Country Trust REIT 45,800 670 # Trans World Airlines 32,303 220 # Transaction Systems Architects, Inc. 30,100 993 Transatlantic Holdings 19,300 1,554 # Transitional Hospital Corp. 78,800 758 Transocean Offshore Inc. 43,100 2,699 TransPro Inc. 36,610 334 Transtechnology Corp. 28,800 565 # TransTexas Gas Corp. 95,200 1,357 # Transworld Home Healthcare, Inc. 46,700 508 Travelers/Aetna Property Casualty Corp. Class A 61,100 2,161 # Tremont Corp. 28,409 1,026 # Triarc Cos., Inc. Class A 50,900 585 # Trico Marine Services, Inc. 20,500 989 Trimas Corp. 31,800 759 # Trimble Navigation Ltd. 37,400 432 # Trimedyne, Inc. 60,000 191 Trinity Industries, Inc. 34,600 1,298 True North Communications 39,400 862 # Truevision Inc. 77,400 215 The Trust Co. of New Jersey 41,900 589 Trustco Bank 35,852 764 Trustmark Corp. 27,300 706 # Tucson Electric Power Co. 43,300 720 # Tuesday Morning, Inc. 38,202 817 # Tultex Corp. 94,000 658 20th Century Industries of CA 43,600 736 # Tyco Toys, Inc. 98,098 1,153 # Tyler Corp. 6,000 11 Tyson Foods, Inc. 125,407 4,295 # UAL Corp. 49,900 3,119 # UCAR International, Inc. 42,900 1,614 UGI Corp. Holding Co. 27,546 616 # UICI 37,500 1,212 UMB Financial Corp. 18,417 757 # UNC, Inc. 62,700 752 # URS Corp. 77,458 697 # USA Waste Service 116,544 3,715 # USG Corp. 37,800 1,280 UST Corp. 21,600 443 # US Physical Therapy, Inc. 27,400 276 # U.S. Robotics Corp. 76,187 5,490 # Ultrafem, Inc. 28,433 490 # Ultralife Batteries, Inc. 48,300 411 Ultramar Diamond Shamrock Corp. 67,384 2,131 # Ultratech Stepper, Inc. 40,500 957 Unifi, Inc. 56,125 1,803 # Unify Corp. 34,200 190 # Union Corp. 23,300 533 Union Planters Corp. 53,054 2,069 Union Texas Petroleum Holdings, Inc. 72,800 1,629 UnionBanCal Corp. 42,094 2,236 # Uniphase Corp. 13,500 710 # Unique Mobility, Inc. 73,200 265 # Unisource Worldwide, Inc. 55,000 1,114 United Asset Management Corp. 50,700 1,350 United Carolina Bancshare Corp. 31,250 1,229 United Cos. Finance Corp. 23,409 623 United Dominion Industries Ltd. 37,385 879 United Dominion Realty Trust REIT 47,500 736 United Guardian, Inc. 31,800 56 United Illuminating Co. 18,900 593 # United International Holdings, Inc. Class A 58,400 704 # United Meridian Corp. 28,800 1,490 United National Bancorp 7,844 286 # U.S. Bioscience 60,055 758 # U.S. Bioscience Warrants Exp. 4/24/98 211 1 # U.S. Energy Corp. 40,770 405 # U.S. Filter Corp. 47,283 1,501 # U.S. Long Distance Corp. 63,636 517 # U.S. Industries, Inc. 42,800 1,471 # US Office Products Co. 33,400 1,134 # United States Cellular 72,250 2,014 # United States Satellite Broadcasting Co., Inc. Class A 74,600 737 United States Trust Corp. 15,300 1,207 # United Stationers, Inc. 23,344 479 United Television, Inc. 15,500 1,357 # United Waste Systems, Inc. 29,700 1,019 United Water Resources, Inc. 48,944 759 Unitil Corp. 24,600 492 Unitrin Inc. 31,770 1,779 Universal Corp. 27,600 887 Universal Foods Corp. 20,762 732 Universal Health Realty Income Trust REIT 33,000 677 # Universal Health Services Class B 35,500 1,016 # Universal Stainless & Alloy Products, Inc. 28,500 255 # Uranium Resources, Inc. 33,768 262 # UROHEALTH Systems, Inc. Class A 49,184 381 US Bancorp, Inc. 15,600 656 # USDATA Corp., Inc. 61,450 361 USFreightways Corp. 32,200 883 Utilicorp United, Inc. 49,786 1,344 # VLSI Technology, Inc. 58,200 1,382 # Vaalco Energy, Inc. 2,400 1 # Valassis Communication 61,000 1,289 Valhi, Inc. 87,700 559
18 67
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Valero Energy Corp. 36,400 $ 1,042 Valley National Bancorp 38,485 986 Vallicorp Holdings, Inc. 34,300 705 Valspar Corp. 17,600 997 # Value City Department Stores, Inc. 60,900 639 # Value Health, Inc. 46,902 915 # ValuJet Inc. 42,000 266 # Vanguard Cellular Systems, Inc. Class A 57,137 893 # Vanstar Corp. 32,300 791 # Vantive Corp. 33,300 1,036 # Varco International, Inc. 43,528 1,007 Varian Associates, Inc. 25,900 1,318 Vastar Resources, Inc. 84,200 3,200 # Vectra Tech Inc. 25,800 53 # Vencor, Inc. 60,965 1,928 # Ventritex Inc. 41,300 1,009 # VeriFone, Inc. 24,800 732 # Veritas Software Corp. 24,650 1,220 Versa Technology, Inc. 31,800 409 # Vertex Communications Corp. 28,500 529 Vesta Insurance Group, Inc. 26,000 816 Viad Corp. 80,000 1,320 # Viasoft, Inc. 29,852 1,414 # Vicor Corp. 32,381 540 # Vicorp Restaurants, Inc. 35,039 451 # Viking Office Products 68,800 1,836 # VideoLan Technologies, Inc. 56,800 91 Vintage Petroleum, Inc. 11,100 383 Virco Manufacturing Corp. 57,900 825 Virginia Beach Federal Financial Corp. 44,050 418 # VitalCom, Inc. 42,200 219 # Vishay Intertechnology, Inc. 49,335 1,153 Vital Signs, Inc. 33,264 867 # Vitesse Semiconductor Corp. 10,300 469 # Vivra, Inc. 31,100 859 # Vmark Software, Inc. 58,600 440 # Vons Cos., Inc. 36,300 2,173 Vornado Realty Trust REIT 20,398 1,071 Vulcan International Corp. 5,900 181 Vulcan Materials Co. 29,010 1,766 # WHX Corp. 44,564 396 # WMS Industries, Inc. 36,400 728 WPL Holdings, Inc. 25,200 709 WPS Resources Corp. 18,600 530 # WSFS Financial Corp. 52,900 542 # Waban, Inc. 36,600 952 Wabash National Corp. 27,900 513 Wackenhut Corp. 20,700 357 Wackenhut Corp. Class B 15,862 242 # Wainoco Oil Corp. 117,400 367 Walden Residential Properties, Inc. REIT 36,000 896 # Wall Data Inc. 36,200 543 Wallace Computer Services, Inc. 38,000 1,311 # Wang Laboratories, Inc. 28,600 583 Warnaco Group 45,047 1,335 Warren Bancorp, Inc. 7,300 110 Washington Energy Co. 39,077 806 Washington Federal Inc. 33,999 892 Washington Gas Light Corp. 35,302 799 Washington Mutual Inc. 62,423 2,704 Washington National Corp. 25,807 710 Washington Post Co. Class B 9,300 3,117 Washington REIT 50,700 887 Washington Water Power Co. 44,400 827 # Waters Corp. 24,200 735 # Watson Pharmaceuticals, Inc. 36,102 1,622 Watts Industries Class A 45,100 1,077 Wausau Paper Mills Co. 49,200 907 # Wave Technologies International 40,800 235 # Wavephore, Inc. 83,400 573 # Weatherford Enterra Inc. 42,660 1,280 Del Webb Corp. 37,100 608 Webster Financial Corp. 24,380 891 Weingarten Realty Investors REIT 21,800 886 Weis Markets, Inc. 35,500 1,132 Wellman, Inc. 27,955 479 Wellpoint Health Networks Inc. Class A 56,001 1,925 Werner Enterprises, Inc. 51,600 938 Wesco Financial Corp. 5,758 1,077 West Co., Inc. 27,900 788 # Western Beef 20,860 223 # Western Digital Corp. 37,800 2,150 Western Gas Resources, Inc. 57,800 1,113 Western National Corp. 49,600 955 Western Resources, Inc. 54,886 1,695 Western Wireless Corp. 39,700 548 # Westmark Group Holdings, Inc. 4,000 3 # Roy F. Weston, Inc. 64,600 234 # Westpoint Stevens, Inc. 26,457 787 # Westwood One, Inc. 49,200 815 # WetSeal, Inc. Class A 31,600 670 Wheelabrator Technologies, Inc. 142,006 2,308 # White River 13,842 789 # Whittaker Corp. 46,100 582 John Wiley & Sons Class A 26,400 851 # Clayton Williams Energy, Inc. 54,400 952 # Williams Sonoma, Inc. 29,800 1,080 Wilmington Trust Corp. 28,300 1,125 # Wind River Systems 22,841 1,078 Windmere-Durable Holdings Inc. 41,298 532 # Wisconsin Central Transportation Corp. 41,800 1,656 Wisconsin Energy Corp. 92,861 2,496 Wiser Oil Co. 33,200 656 Witco Chemical Corp. 49,100 1,498 Wolverine World Wide, Inc. 33,603 974 # Wonderware Corp. 58,400 522 # World Acceptance Corp. 76,800 509 # World Color Press, Inc. 29,200 562 # World Corp. 49,900 218 World Fuel Services Corp. 26,209 583 # Worldtex Inc. 83,744 743 Wyle Electronics 23,100 912 # Wyman Gordon Corp. 59,800 1,327 # Xoma Corp. 116,544 605 # Xilinx, Inc. 65,000 2,393 Xtra Corp. 14,300 620 # Xylan Corp. 34,300 965
19 68
- ----------------------------------------------------------------------- MARKET VALUE* EXTENDED MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # Yahoo!, Inc. 43,300 $ 742 Yankee Energy Systems 20,477 438 Yardville National Bancorp 4,200 82 # Yellow Corp. 35,000 508 York International Corp. 35,900 2,006 # Zebra Technologies Class A 38,300 888 # Zenith Electronics Corp. 53,357 580 Zenith National Insurance Corp. 29,560 809 # Zilog Inc. 38,600 1,008 Zions Bancorp. 12,728 1,321 Zurich Reinsurance Centre Holdings, Inc. 20,600 644 Zurn Industries, Inc. 28,300 739 # Zycad Corp. 97,488 166 - ----------------------------------------------------------------------- TOTAL COMMON STOCKS (97.0%)(1) (COST $1,500,827) 2,036,055 - -----------------------------------------------------------------------
FACE AMOUNT (000) - ----------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.2%) - ----------------------------------------------------------------------- U.S. TREASURY BILL--Note D 5.17%, 1/9/97 $ 1,400 1,399 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.39%, 1/2/97 66,435 66,435 - ----------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $67,833) 67,834 - ----------------------------------------------------------------------- TOTAL INVESTMENTS (100.2%) (COST $1,568,660) 2,103,889 - ----------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.2%) - ----------------------------------------------------------------------- Other Assets--Notes B and E $ 113,285 Liabilities--Note E (118,336) ------------- (5,051) - ----------------------------------------------------------------------- NET ASSETS (100%) - ----------------------------------------------------------------------- Applicable to 80,118,814 outstanding shares of beneficial interest (unlimited authorization) $2,098,838 ======================================================================= NET ASSET VALUE PER SHARE $26.20 =======================================================================
*See Note A in Notes to Financial Statements. #Non-Income Producing Security. ADR--American Depository Receipt. REIT--Real Estate Investment Trust. (1) The combined market value of common stocks, New York Stock Exchange Composite Index futures contracts, and S&P Midcap 400 Index futures contracts represents 100.1% of net assets.
- ----------------------------------------------------------------------- AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF: - ----------------------------------------------------------------------- AMOUNT PER (000) SHARE - ----------------------------------------------------------------------- Paid in Capital $1,532,921 $19.14 Undistributed Net Investment Income 263 -- Accumulated Net Realized Gains 30,245 .38 Unrealized Appreciation--Note D Investment Securities 535,229 6.68 Futures Contracts 180 -- - ----------------------------------------------------------------------- NET ASSETS $2,098,838 $26.20 =======================================================================
20 69
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- COMMON STOCKS - ----------------------------------------------------------------------- # A & A Foods Ltd. 2,800 $ 1 AAR Corp. 12,600 381 # ABC Rail Products Corp. 10,100 200 # ABR Information Services, Inc. 6,050 238 # ACC Corp. 11,250 340 # ADC Telecommunications, Inc. 56,700 1,765 # AER Energy Resources, Inc. 23,400 52 # AES Corp. 32,026 1,489 AFLAC, Inc. 59,646 2,550 AGCO Corp. 24,600 704 AGL Resources Inc. 23,800 503 AK Steel Holding Corp. 11,300 448 # AM International, Inc. 44,000 193 # AMR Corp. 39,261 3,460 # APAC Teleservices, Inc. 20,311 779 # AST Research, Inc. 53,478 229 ARCO Chemical Co. 42,292 2,072 # APS Holding Corp. 15,500 239 AT&T Corp. 699,717 30,438 APL Ltd. 14,500 343 AVX Corp. 38,000 817 # Aavid Thermal Technologies 2,000 21 Aames Financial Corp. 6,500 233 # Abacus Direct Corp. 11,700 221 Abbott Laboratories 339,415 17,225 # Acceptance Insurance Cos. Inc. 13,300 263 # Access Health Marketing, Inc. 10,367 467 # Acclaim Entertainment Inc. 41,900 139 # AccuStaff, Inc. 40,453 855 # Ace Cash Express, Inc. 10,000 112 Ackerley Communications, Inc. 25,800 303 # Acme Metals, Inc. 1,600 31 # ACNielson Corp. 26,054 394 # Action Performance Cos., Inc. 37,368 682 # Acuson Corp. 22,012 537 # Acxiom Corp. 21,978 525 ADAC Laboratories 15,100 361 # Adaptec, Inc. 49,700 1,991 Adobe Systems, Inc. 31,720 1,188 # Adtran, Inc. 16,700 694 # Advance Paradigm, Inc. 13,500 278 # Advanced Magnetics, Inc. 10,000 155 # Advanced Fibre Communications 10,400 579 # Advanced Polymer Systems 32,400 243 # Advanced Tissue Sciences Inc. 31,758 307 # Advanced Technology Laboratories, Inc. 16,439 503 ADVO, Inc. 28,000 392 # Aerial Communications Inc. 23,700 190 # Advanced Micro Devices, Inc. 57,710 1,486 Advanta Corp. Class A 18,250 779 Aetna Inc. 65,641 5,251 Aetna Inc. 6.25% Series C 4,509 358 # Aetrium, Inc. 15,700 210 Affiliated Community Bancorp 11,400 242 # Affiliated Computer Services, Inc. 15,100 444 # Agouron Pharmaceuticals, Inc. 5,800 392 H.F. Ahmanson & Co. 46,082 1,498 # Aid Auto Stores, Inc. 3,100 7 # Air and Water Technologies Corp. Class A 35,400 204 Air Express International Corp. 9,500 305 Air Products & Chemicals, Inc. 47,876 3,309 # Airsensors Inc. 11,000 98 Airborne Freight Corp. 14,990 350 # Airgas, Inc. 29,300 645 # AirTouch Communications, Inc. 216,068 5,456 AirTouch Communications, Inc. Cvt. 6.00% 4,242 116 AirTouch Communications, Inc. Pfd. 4.25% Series C 2,724 123 Alamo Group, Inc. 14,000 240 # Alanco Environmental Resources Corp. 12,100 24 Albank Financial Corp. 14,680 463 Albemarle Corp. 24,515 444 Alberto-Culver Co. Class B 12,323 592 Albertson's, Inc. 108,798 3,876 Alco Standard Corp. 56,283 2,906 Alex Brown, Inc. 6,880 499 Alexander & Alexander Services, Inc. 18,345 319 Alexander & Baldwin, Inc. 19,900 494 # Alexander's, Inc. 5,023 397 Alfa Corp. 3,400 43 Alico, Inc. 6,300 120 # All American Semiconductor, Inc. 37,200 38 # Allegro New Media, Inc. 6,353 25 # Alleghany Corp. 3,299 699 Allegheny Power System, Inc. 51,800 1,573 Allegheny Teledyne Inc. 74,867 1,722 Allegiance Corp. 24,052 664 # Allegiant Physician Services 6,400 1 # The Allen Group, Inc. 22,600 503 Allergan, Inc. 28,518 1,016 # Alliance Entertainment 82,400 155 # Alliance Pharmaceutical Corp. 29,402 401 # Alliance Semiconductor Corp. 45,100 321 # Alliant Techsystems, Inc. 8,600 473 Allied Capital Commercial Corp. 15,000 347 Allied Capital Lending Corp. 25,160 381 # Allied Holdings, Inc. 24,400 189 Allied Products Corp. 9,499 283 AlliedSignal Inc. 122,892 8,234 Allmerica Financial Corp. 21,000 704 Allmerica Property & Casualty Cos. 25,200 765 Allstate Corp. 193,591 11,204 ALLTEL Corp. 82,171 2,578 # Allwaste, Inc. 58,900 302 # Altera Corp. 19,110 1,389 # Altron, Inc. 12,100 256 # Alumax, Inc. 19,241 642 Aluminum Co. of America 75,933 4,841 # Alyn Corp. 19,600 208 # ALZA Corp. 36,184 936 # Amax Gold, Inc. 75,893 484 AMBAC, Inc. 14,922 990 Amcast Industrial Corp. 16,496 408 AMCOL International Corp. 21,100 330 Amerada Hess Corp. 40,476 2,343 # Amerco Inc. 14,100 490 # America Online, Inc. 39,300 1,307
21 70
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # America West Airlines, Inc. 15,800 $ 251 American Annuity Group Inc. 25,817 365 # Amdahl Corp. 52,573 637 American Bankers Insurance Group 8,800 449 American Brands, Inc. 74,093 3,677 # American Business Information, Inc. 20,416 449 # American Classic Voyager Co. 26,000 341 American Electric Power Co., Inc. 80,742 3,321 # American Exploration Co. 16,000 256 American Express Co. 206,075 11,643 American Financial Group, Inc. 26,500 1,000 # American Freightways 17,504 193 American General Corp. 88,778 3,629 American Greetings Corp. Class A 32,208 916 American Health Properties, Inc. 18,800 449 American Health Properties Psychiatric Group 1,510 24 American Home Products Corp. 277,291 16,256 American International Group, Inc. 204,514 22,139 American List Corp. 10,043 305 # American Management Systems, Inc. 18,300 446 # American Medical Response, Inc. 7,900 257 # American Media Class A 78,900 464 American National Bancorp, Inc. 2,300 28 American National Insurance Co. 11,000 817 # American Oncology Resources, Inc. 26,900 274 # American Power Conversion Corp. 41,000 1,120 # American Standard Cos., Inc. 34,100 1,304 American States Financial Corp. 25,700 681 American Stores Co. 63,577 2,599 # American Studios, Inc. 86,900 210 American Water Works Co., Inc. 33,300 687 # Americredit Corp. 22,800 467 Ameron International Corp. 6,600 341 # Amerisource Health Corp. 7,496 362 # Ames Department Stores, Inc. 22,100 96 Ameritech Corp. 239,119 14,497 Amerigas Partners, LP 17,900 401 Ametek, Inc. 16,100 358 # Amgen, Inc. 115,748 6,301 AMP, Inc. 94,194 3,615 Amoco Corp. 216,724 17,446 # Ampal-American Israel Corp. 12,100 58 Ampco-Pittsburgh Corp. 18,635 224 # Ampex Corp. Class A 36,600 343 # Amphenol Corp. 20,258 451 # Amre, Inc. 16,943 28 AmSouth Bancorp 24,021 1,162 # Amtech Corp. 25,575 169 Amvestors Financial Corp. 18,000 266 # Amylin Pharmaceuticals, Inc. 34,400 452 Anadarko Petroleum Corp. 25,500 1,651 # Analog Devices, Inc. 49,654 1,682 Anchor Bancorp Wisconsin Inc. 8,500 306 # Anchor Gaming 5,099 203 # Andrea Radio Corp. 24,900 274 # Andrew Corp. 26,430 1,402 Angelica Corp. 13,700 262 Anheuser-Busch Cos., Inc. 216,240 8,650 # Anixter International Inc. 21,400 345 # AnnTaylor Stores Corp. 22,000 385 Aon Corp. 46,718 2,902 Apache Corp. 38,569 1,364 # Aphton Corp. 15,739 313 # Apogee, Inc. 25,900 99 Apogee Enterprises, Inc. 11,100 440 # Apollo Group, Inc. Class A 21,675 725 # Apple Computer, Inc. 54,483 1,134 Apple South, Inc. 15,574 207 Applebee's International, Inc. 13,382 366 # Applied Innovation Inc. 21,000 133 # Apria Healthcare 21,800 409 # Applied Microsystems Corp. 11,200 151 # Applied Graphics Technologies, Inc. 16,600 477 # Applied Digital Access, Inc. 31,700 170 # Applied Magnetics Corp. 11,300 338 # Applied Materials, Inc. 78,464 2,820 Applied Power, Inc. 14,700 582 AMBI, Inc. 37,900 107 # Applix, Inc. 12,321 267 Aquarion Co. 6,200 173 Arbor Drugs, Inc. 27,225 470 # Arbor Software Corp. 9,700 234 Arcadian Corp. 16,400 435 Archer-Daniels-Midland Co. 237,724 5,230 Argent Bank 4,000 72 Argonaut Group, Inc. 10,881 339 # Argosy Gaming Co. 43,900 203 # Armco, Inc. 91,300 377 Armstrong World Industries Inc. 17,720 1,232 Arnold Industries, Inc. 20,300 320 # Arrow Electronics, Inc. 21,999 1,177 Arrow Financial Corp. 10,230 243 Arrow International, Inc. 4,300 122 # Arterial Vascular Engineering, Inc. 11,300 141 # ArthroCare Corp. 25,700 177 # Artisoft, Inc. 28,104 144 Arvin Industries, Inc. 4,200 104 Atlantic Southeast Airlines Inc. 11,900 261 ASARCO, Inc. 18,302 455 # Ascend Communications, Inc. 50,326 3,127 Ashland Coal Inc. 8,000 222 Ashland Inc. 27,574 1,210 # Aspect Telecommunications Corp. 9,300 588 # Aspen Technologies, Inc. 4,300 343 Associated Banc-Corp. 7,800 334 Associated Estates Realty Corp. REIT 14,800 352 # Associated Group, Inc. 13,496 408 # Associated Group, Inc. Class B 2,000 59 Associates First Capital Corp. 38,700 1,708 Astoria Financial Corp. 10,300 380
22 71
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Astro-Med, Inc. 26,800 $ 218 # Asyst Technologies, Inc. 10,222 174 # Atlanta Sosnoff Capital 23,000 204 Atlantic Richfield Co. 70,335 9,319 Atlantic Energy, Inc. 25,300 433 # Atlantic Tele-Network, Inc. 14,200 218 # Atlas Air, Inc. 9,700 462 # Atmel Corp. 42,900 1,426 Atmos Energy Corp. 10,250 245 # Atrix Laboratories, Inc. 23,789 259 # Atwood Oceanics, Inc. 8,967 567 # Aura Systems, Inc. 65,281 144 # Auspex Systems, Inc. 21,100 248 Authentic Fitness Corp. 16,000 192 Autodesk, Inc. 20,064 564 Automatic Data Processing, Inc. 125,521 5,382 # AutoZone, Inc. 63,934 1,758 Avalon Properties, Inc. REIT 13,200 380 # Avant! Corp. 2,300 73 # Avatar Holding, Inc. 2,900 94 Avemco Corp. 16,400 256 Avery Dennison Corp. 45,590 1,613 # Aviall Inc. 24,219 224 Avnet, Inc. 18,458 1,075 Avon Products, Inc. 58,156 3,322 # Aztar Corp. 30,400 213 # BBN Corp. 16,900 380 # BDM International, Inc. 6,100 329 # BHC Communications, Inc. Class A 10,285 1,043 # BISYS Group, Inc. 11,000 408 # BJ Services Co. 16,492 841 # BJ Services Co. Warrants Exp. 4/13/00 353 9 BMC Industries, Inc. 13,863 437 # BMC Software, Inc. 44,000 1,829 BMJ Financial Corp. 14,800 363 # BOK Financial Corp. 16,005 456 # BPI Packaging Technologies Inc. 28,900 56 # BRC Holdings Inc. 7,700 340 BRE Properties Inc. Class A REIT 14,140 350 BSB Bancorp, Inc. 10,033 272 # B.U.M. International, Inc. 24,675 2 BW/IP Inc. 21,900 361 # Baby Superstore, Inc. 9,900 239 Badger Paper Mills, Inc. 9,300 76 Baker Hughes, Inc. 62,026 2,140 J. Baker, Inc. 26,491 141 Baldor Electric Co. 7,380 182 # Baldwin Technology Class A 38,700 97 Ball Corp. 13,001 338 Ballard Medical Products 22,266 415 # Bally Total Fitness Holding Corp. 5,000 40 Baltimore Gas & Electric Co. 63,864 1,708 Banc One Corp. 189,823 8,162 Bancorp Hawaii, Inc. 17,500 735 # Banctec, Inc. 18,800 388 Bandag, Inc. 9,138 433 Bandag, Inc. Class A 538 25 Bangor Hydro-Electric Co. 24,800 229 Bank of Boston Corp. 65,996 4,240 The Bank of New York Co., Inc. 167,472 5,652 Bank United Corp. 8,200 220 BankAtlantic Bancorp, Inc. Class A 1,325 17 BankAtlantic Bancorp, Inc. Class B 18,401 244 BankAmerica Corp. 156,275 15,588 Bankers Corp. 15,896 322 Bankers Life Holding Corp. 23,200 580 Bankers Trust New York Corp. 34,975 3,017 Bank North Group 8,300 340 # Banner Aerospace 25,000 216 BanPonce Corp. 28,378 954 Banta Corp. 12,900 293 # Banyan Systems, Inc. 44,900 201 C.R. Bard, Inc. 24,481 685 Barefoot, Inc. 15,800 250 # Barnes & Noble Inc. 14,676 396 Barnes Group, Inc. 2,700 162 Barnett Banks, Inc. 82,756 3,403 # Barr Labs Inc. 18,000 457 # Barrett Resources Corp. 13,400 571 # Base Ten Systems Class A 6,400 77 Bassett Furniture Industries, Inc. 9,263 230 Battle Mountain Gold Co. Class A 95,900 659 Bausch & Lomb, Inc. 24,301 851 Baxter International, Inc. 118,660 4,865 # Bay Networks Inc. 80,821 1,687 # BE Avionics Inc. 1,600 44 Beacon Properties Corp. REIT 20,400 747 Bear Stearns Co., Inc. 51,414 1,433 BeautiControl Cosmetics 14,000 231 Beckman Instruments Inc. 12,368 475 Becton, Dickinson & Co. 54,464 2,362 # Bed Bath & Beyond, Inc. 29,452 716 # Bel Fuse, Inc. 10,700 149 # Belco Oil & Gas Corp. 12,700 348 Belden Inc. 11,200 414 Bell Atlantic Corp. 190,057 12,306 # Bell Sports Corp. 1,800 11 # Bell Industries, Inc. 11,703 250 BellSouth Corp. 433,308 17,495 # Belmont Homes, Inc. 19,450 188 A. H. Belo Corp. Class A 19,047 664 Bemis Co., Inc. 22,629 834 # Ben & Jerry's Homemade, Inc. Class A 12,700 142 # Benchmark Microelectronics, Inc. 8,900 189 Beneficial Corp. 23,214 1,471 Bergen Brunswig Corp. Class A 17,301 493 W.R. Berkley Corp. 8,600 439 # Berkshire Hathaway Class A 550 18,755 Berkshire Realty Co., Inc. REIT 30,100 297 # Berlitz International, Inc. 16,727 349 Berry Petroleum Class A 19,400 279 # Bertucci's Holding Corp. 51,261 269 # Best Buy Co., Inc. 23,300 248 # BET Holdings Inc. Class A 11,100 319 # Bethlehem Steel Corp. 47,396 427 BetzDearborn Inc. 12,300 720 # Beverly Enterprises Inc. 42,679 544
23 72
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # Big Flower Press Holdings, Inc. 20,000 $ 375 # Billing Information Concepts 9,964 288 # Bio-Rad Laboratories, Inc. Class A 11,353 341 # Biotechnology General 40,300 531 # Biofield Corp. 4,000 60 # Biogen, Inc. 31,300 1,209 # Biomatrix, Inc. 17,233 276 Biomet, Inc. 49,647 754 Birmingham Steel Corp. 12,900 245 Black & Decker Corp. 38,101 1,148 # Black Hawk Gaming & Development Co., Inc. 13,300 62 Black Hills Corp. 11,700 329 Blair Corp. 3,000 58 E.W. Blanch Holdings, Inc. 14,500 292 Blimpie International, Inc. 14,900 154 Block Drug Co. Class A 6,737 315 H & R Block, Inc. 45,245 1,312 # Blyth Industries, Inc. 13,200 602 Boatmen's Bancshares, Inc. 68,567 4,418 Bob Evans Farms, Inc. 11,500 155 Boddie-Noell Properties Inc. 12,800 160 The Boeing Co. 153,048 16,280 Boise Cascade Corp. 20,756 659 # Boise Cascade Office Products Corp. 26,824 563 # Borders Group, Inc. 15,600 560 Borg-Warner Automotive, Inc. 10,200 393 # Borland International, Inc. 23,400 128 # Boston Beer Co., Inc. Class A 6,000 62 # Boston Chicken, Inc. 28,000 1,005 Boston Edison Co. 20,000 538 # Boston Scientific Corp. 76,101 4,566 # Boston Technology, Inc. 21,000 602 Bowater Inc. 16,100 606 Bowne & Co., Inc. 18,200 448 # Boyd Gaming Corp. 26,700 220 W.H. Brady Class A 9,400 229 Breed Technological Inc. 13,600 354 # C. Brewer Homes, Inc. Class A 10,000 19 Briggs & Stratton Corp. 12,428 547 # Brinker International, Inc. 33,924 543 # Bristol Hotel Co. 14,700 467 Bristol-Myers Squibb Co. 218,512 23,763 # Bright Voice Systems, Inc. 19,286 286 # Broadband Technologies, Inc. 11,900 179 # BroadVision, Inc. 38,900 306 # Broderbund Software, Inc. 7,488 222 Brooklyn Union Gas Co. 21,350 643 # Brooks Fiber Properties, Inc. 12,200 314 # Brothers Gourmet Coffees, Inc. 59,500 151 Brown-Forman Corp. Class B 29,651 1,357 Brown Group, Inc. 16,715 307 Browning-Ferris Industries, Inc. 91,202 2,394 # Bruno's Inc. 375 6 Brunswick Corp. 42,098 1,010 Bryn Mawr Bank Corp. 3,800 104 # Burlington Coat Factory Warehouse Corp. 36,175 470 # Burlington Industries, Inc. 24,997 275 Burlington Northern Santa Fe Corp. 66,670 5,759 Burlington Resources, Inc. 54,157 2,728 Burnham Pacific Properties, Inc. REIT 22,000 330 # Burr-Brown Corp. 11,900 306 Bush Industries, Inc. 14,683 283 # CAI Wireless Systems, Inc. 54,300 53 CB Bancshares Inc./Hawaii 7,700 225 CBL & Associates Properties, Inc. REIT 16,400 424 CBT Corp. 5,400 144 CCB Financial Corp. 8,900 607 # C-Cube Microsystems, Inc. 14,600 539 # CDI Corp. 12,400 352 # CDW Computer Centers, Inc. 9,450 561 # CFI ProServices, Inc. 25,169 352 CFSB Bancorp, Inc. 15,307 298 CIGNA Corp. 32,976 4,505 CIPSCO, Inc. 14,700 531 CKE Restaurants Inc. 13,400 482 CMAC Investment Corp. 9,626 354 # CMG Information Services, Inc. 9,624 164 CML Group, Inc. 14,700 50 CMS Energy Corp. 39,661 1,334 # CNA Financial Corp. 27,028 2,892 CNB Bankshares, Inc. 7,190 300 CPB, Inc. 7,300 214 CPC International, Inc. 63,163 4,895 CPI Corp. 15,500 260 CRI Liquidating REIT, Inc. 26,200 46 CSX Corp. 91,788 3,878 # C-TEC Corp. 10,400 251 # CUC International, Inc. 171,372 4,070 # Cuno Inc. 17,100 257 CVS Corp. 45,585 1,886 CWM Mortgage Holdings Inc. 20,100 432 # Cabletron Systems, Inc. 67,508 2,245 # Cable Design Technologies 7,052 218 Cabot Corp. 30,768 773 # Cadence Design Systems, Inc. 35,809 1,423 # Cadiz Land Co., Inc. 53,500 276 Cadmus Communications 15,400 236 # Cal Fed Bancorp Inc. 21,500 527 # Caldor Corp. 81,300 91 # CalEnergy Inc. 22,400 753 Calgon Carbon Corp. 34,800 426 Caliber System Inc. 16,216 312 # California Amplifier, Inc. 21,200 133 Cali Realty Corp. REIT 13,100 404 # California Federal Bank Goodwill Participation Certificates 2,540 36 Callaway Golf Co. 30,700 883 CAM Designs, Inc. 11,600 58 # Cambridge Technology Partners 20,400 685 Camco International, Inc. 10,500 484 # Cameron Ashley Building Products 30,108 416 Campbell Soup Co. 102,624 8,236 # Canandaigua Wine Co., Inc. Class A 6,508 185 # Cannondale Corp. 13,800 307 Capital One Financial Corp. 28,684 1,033 # Capital Pacific Holdings, Inc. 10,900 34
24 73
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Capital Re Corp. 12,100 $ 564 Capitol American Financial Corp. 13,000 473 Capmac Holdings Inc. 13,000 431 Capsure Holdings 19,490 222 Capstead Mortgage Corp. 16,150 388 Caraustar Industries, Inc. 10,800 358 Cardinal Bancshares, Inc. 4,004 180 Cardinal Health, Inc. 41,390 2,411 # CareAdvantage Inc. 7,166 2 Carlisle Co., Inc. 6,527 395 # Carmike Cinemas, Inc. Class A 13,089 332 Carnival Corp. Class A 125,047 4,127 # Carriage Services, Inc. 3,500 78 Carolina Power & Light Co. 65,014 2,373 Carpenter Technology Corp. 11,700 429 CarrAmerica Realty Corp. REIT 17,700 518 # Carrington Labs Inc. 21,828 172 Carter-Wallace, Inc. 26,700 417 # Cascade Communications Corp. 38,900 2,149 Case Corp. 31,226 1,702 # Casino Magic Corp. 57,800 142 A.M. Castle & Co. 18,531 357 # Castle & Cooke, Inc. REIT 4,700 75 # Catalina Lighting, Inc. 10,000 49 # Catalina Marketing Corp. 8,960 494 # Catellus Development Corp. 32,200 366 Caterpillar, Inc. 84,058 6,325 # Catherines Stores 37,400 201 # Cellular Technical Services Co. 18,354 366 # Celtrix Labs 25,300 53 # Centennial Technologies, Inc. 11,200 582 Center Banks Inc. 14,800 241 Centerior Energy Corp. 63,500 683 Centex Corp. 12,029 453 # Centigram Communications 14,600 183 # Centocor, Inc. 29,648 1,062 Central & South West Corp. 90,620 2,322 Central Fidelity Banks, Inc. 23,525 612 Central Hudson Gas & Electric Corp. 12,800 402 Central Louisiana Electric Co. 13,508 373 Central Maine Power Co. 17,400 202 Central Newspapers Inc. 10,250 451 Central Parking Corp. 7,500 251 Central Reserve Life Corp. 14,900 113 # Central Sprinkler Corp. 11,618 292 Central Vermont Public Service Corp. 20,300 244 Centura Banks, Inc. 10,300 460 # Centura Software Corp. 47,000 132 Century Bancorp, Inc. Class A 800 10 # Century Communications Corp. Class A 52,300 297 Century Telephone Enterprises, Inc. 25,380 784 # Ceridian Corp. 29,931 1,212 # Cerner Corp. 28,770 442 # Chalone Wine Group Ltd. 26,440 311 # Champion Enterprises, Inc. 21,069 411 Champion International Corp. 41,221 1,783 # Chantal Pharmaceutical Corp. 46,200 80 Charter One Financial 25,011 1,054 # Charming Shoppes, Inc. 38,379 193 # Chartwell Leisure Corp. 20,680 275 Chase Manhattan Corp. 189,586 16,921 # Checkers Drive-In Restaurant 119,550 211 # Checkfree Corp. 16,800 287 # Checkpoint Systems, Inc. 13,874 343 Chelsea GCA Realty, Inc. REIT 11,400 395 Chemed Corp. 9,400 343 # Chemical Fabrics Corp. 16,411 225 Chemical Finance 4,725 187 Chesapeake Corp. of Virginia 16,917 531 # Chesapeake Energy Corp. 12,850 715 Chester Valley Bancorp 1,041 20 Chevron Corp. 283,450 18,424 # Chic by H.I.S., Inc. 51,280 244 # Chicago Miniature Lamp, Inc. 12,400 510 # Chico's Fas, Inc. 18,214 77 Chiquita Brands International, Inc. 29,735 379 # ChiRex, Inc. 9,800 118 # Chiron Corp. 74,332 1,380 Chittenden Corp. 12,572 302 # Choice Hotels Corp. Inc. 28,341 500 # Chris-Craft Industries, Inc. 12,534 525 # Christiana Cos., Inc. 3,900 100 Chrysler Corp. 315,786 10,421 The Chubb Corp. 75,562 4,061 Church and Dwight, Inc. 17,400 398 Churchill Downs, Inc. 5,400 198 # Ciber, Inc. 12,800 381 # Cidco, Inc. 10,200 177 Cilcorp, Inc. 6,600 242 Cincinnati Bell, Inc. 29,000 1,787 Cincinnati Financial Corp. 24,437 1,585 Cincinnati Milacron, Inc. 16,483 361 CINergy Corp. 67,898 2,266 # Circon Corp. 17,800 273 Circuit City Stores, Inc. 41,869 1,261 # Cirrus Logic 27,800 429 # Cisco Systems, Inc. 282,919 18,018 Cintas Corp. 20,400 1,204 # Circus Circus Enterprises Inc. 44,641 1,535 Citicorp 209,809 21,610 Citizens Bancorp MD 6,300 393 Citizens Corp. 15,800 356 # Citizens Utilities Co. Class A 102,776 1,118 # Citrix Systems, Inc. 11,600 453 City National Corp. 18,787 406 Claire's Stores, Inc. 20,400 265 Clarcor Inc. 6,800 150 # Clarify, Inc. 8,900 424 Clayton Homes Inc. 50,776 685 # Clear Channel Communications 32,624 1,179 # Cliffs Drilling Co. 13,951 877 # Clintrials Research, Inc. 15,900 356 The Clorox Co. 22,288 2,237 Coachmen Industries, Inc. 19,296 548 # Coast Savings Financial, Inc. 15,000 549 Coastal Corp. 45,253 2,212 # Coastal Physician Group, Inc. 33,600 118 Coca-Cola Bottling Co. 7,700 372
25 74
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- The Coca-Cola Co. 1,085,744 $ 57,137 Coca-Cola Enterprises, Inc. 53,345 2,587 Coeur d'Alene Mines Corp. 18,000 272 # Cognex Corp. 20,600 380 Cognizant Corp. 74,077 2,445 # Coherent Communications Systems Corp. 15,400 297 # Coherent, Inc. 9,200 393 # Coin Bill Validator Inc. 2,900 28 Cole Taylor Financial Group, Inc. 19,800 535 # Coleman Inc. 22,732 313 Collective Bancorp, Inc. 14,349 504 Colgate-Palmolive Co. 64,258 5,928 # Collins & Aikman Corp. 63,300 396 Colonial Gas Co. 1,200 26 # Colorado Casino Resorts, Inc. 74,600 139 # Coltec Inc. 29,900 564 Columbia Gas Systems, Inc. 23,960 1,524 Columbia/HCA Healthcare Corp. 291,803 11,891 Comair Holdings, Inc. 19,009 460 Comcast Corp. Class A 12,860 227 Comcast Corp. Class A Special 129,929 2,314 # Comdial Corp. 30,766 190 Comdisco, Inc. 21,850 694 Comerica, Inc. 50,294 2,634 # Commander Aircraft Co. 28,600 72 Commerce Bancshares, Inc. 16,136 750 Commerce Group, Inc. 15,200 384 Commercial Federal Corp. 8,800 422 Commercial Intertech Corp. 22,100 301 Commercial Metals Co. 12,800 386 # Commnet Cellular Inc. 11,900 330 Community First Bankshares 12,100 336 # Compaq Computer Corp. 117,434 8,719 Compass Bancshares Inc. 17,344 693 # Compression Labs, Inc. 37,300 139 # CompuServe Corp. 40,500 400 Computer Associates International, Inc. 158,121 7,867 # CompUSA, Inc. 39,000 804 Computer Data Systems, Inc. 9,146 281 # Computer Sciences Corp. 32,353 2,657 Computer Task Group, Inc. 9,896 427 # Computervision Corp. 38,800 359 # Compuware Corp. 18,600 932 Comsat Corp. 20,700 510 # Comverse Technology, Inc. 9,500 359 ConAgra, Inc. 106,034 5,275 # Computer Horizons Corp. 11,896 452 # Comshare 1,600 28 # Concord EFS, Inc. 25,925 726 # Cone Mills Corp. 25,300 199 # Conmed Corp. 14,168 287 Connecticut Energy Corp. 12,800 272 Connecticut Natural Gas Corp. 8,600 219 Connecticut Water Services, Inc. 9,900 293 Conrail, Inc. 35,124 3,499 Conseco Co., Inc. 43,041 2,744 # Consilium, Inc. 24,300 140 Consolidated Edison Co. of New York, Inc. 100,822 2,949 Consolidated Freightways Corp. 9,400 85 # Consolidated Freightways, Inc. 18,799 418 Consolidated Natural Gas Co. 41,337 2,284 Consolidated Papers 18,700 919 # Consolidated Stores, Inc. 28,074 902 Consolidated-Tomoka Land Co. 14,400 242 # Consumer Portfolio Services, Inc. 21,500 241 # ContiFinancial Corp. 19,000 686 # Continental Airlines, Inc. Class B 24,100 681 Continental Mortgage & Equity Trust 2,250 27 # Continucare Corp. 35,100 298 # Control Data Corp. 21,707 476 # Converse Inc. 19,700 335 # Cooper & Chyan Technology, Inc. 13,600 442 # Cooper Cameron Corp. 10,500 803 Cooper Industries, Inc. 46,143 1,944 Cooper Tire & Rubber Co. 36,455 720 Adolph Coors Co. Class B 16,836 322 # Coram Healthcare Corp. 61,808 309 # COREStaff, Inc. 14,025 332 CoreStates Financial Corp. 97,342 5,050 # Cornerstone Imaging, Inc. 23,600 170 Corning, Inc. 100,254 4,637 # Corporate Express, Inc. 33,100 974 # Correctional Services Corp. 24,500 354 # Corrections Corp. of America 31,472 964 # Cort Business Services Corp. 14,000 289 # Corvel Corp. 5,100 147 # Country Star Restaurants, Inc. 18,600 14 Countrywide Credit Industries, Inc. 44,417 1,271 # Coventry Corp. 27,055 254 # Cox Communications Class A 117,435 2,716 Cracker Barrel Old Country Stores, Inc. 26,154 665 # Craig Corp. 14,577 210 # Jenny Craig Inc. 17,300 154 Crane Co. 19,422 563 Crawford & Co. Class B 4,900 112 # Creative Technology 12,733 5 # Credit Acceptance Corp. 19,700 460 # Cree Research, Inc. 25,748 243 Crescent Real Estate Equities, Inc. REIT 17,900 944 Crestar Financial Corp. 18,520 1,377 Criimi Mae, Inc. REIT 15,900 205 Crompton & Knowles Corp. 31,239 601 Cross Timbers Oil Co. 18,500 465 # Crosscom Corp. 24,500 129 Crown American Realty Trust REIT 36,100 271 # Crown Books Corp. 25,937 289 Crown Cork & Seal Co., Inc. 55,539 3,020 Crown Crafts, Inc. 28,000 280 # Crown Vantage, Inc. 25,624 216 # Cryomedical Sciences 118,700 37 Cullen/Frost Bankers, Inc. 12,200 404 # Culligan Water Technologies 8,400 340 Cummins Engine Co., Inc. 16,802 773 # Curative Health Services Inc. 11,200 310
26 75
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Curtiss-Wright Corp. 4,900 $ 247 # Custom Chrome 10,700 214 # Cyberguard Corp. 12,155 146 # Cybex Corp. 8,300 120 # Cygne Designs, Inc. 59,800 50 # Cygnus Inc. 20,512 296 # Cypress Semiconductor Corp. 35,100 496 Cyprus Amax Minerals Co. 40,152 939 # Cytec Industries, Inc. 20,554 835 # Cytrx Corp. 5,900 20 # DBT Online Inc. 8,200 249 # DH Technology, Inc. 3,300 78 # DII Group, Inc. 11,557 265 # DMX Inc. 70,900 73 DPL, Inc. 45,350 1,111 DQE Inc. 32,907 954 # D. R. Horton, Inc. 29,280 318 # DSC Communications Corp. 50,984 915 # DSP Group Inc. 18,800 162 # DSP Communications, Inc. 18,600 359 # DST Systems, Inc. 20,800 653 DTE Energy Co. 62,327 2,018 DT Industries, Inc. 6,000 209 # DVI, Inc. 16,100 209 # Daily Journal Corp. 3,100 98 # Daisytek International Corp. 6,000 248 # Dal-Tile International Inc. 22,700 463 Dames & Moore, Inc. 22,500 329 Dana Corp. 43,468 1,418 Danaher Corp. 25,000 1,166 Daniel Industries, Inc. 3,828 56 Darden Restaurants Inc. 68,393 598 # Darling International, Inc. 8,500 245 # Data Broadcasting Corp. 34,000 236 # Data General Corp. 4,926 71 # Data Race, Inc. 51,522 1,133 # Dataware Technologies, Inc. 35,500 107 # Datastream Systems, Inc. 9,400 169 Dauphin Deposit Bank & Trust 13,720 449 # Davel Communications Group, Inc. 19,843 355 # Dave & Busters 20,355 406 # Davox Corp. 9,200 383 Dayton-Hudson Corp. 93,703 3,678 Dean Foods Corp. 17,867 576 Dean Witter Discover & Co. 71,323 4,725 # DecisionOne Corp. 22,800 371 Deere & Co. 111,909 4,546 # Dell Computer 78,732 4,188 Delmarva Power & Light Co. 26,000 530 # Delphi Information Systems Inc. 35,900 46 Delta & Pine Land Co. 8,992 288 Delta Air Lines, Inc. 33,888 2,402 Deluxe Corp. 36,031 1,180 # Dendrite International, Inc. 14,100 118 Dentsply International 11,500 547 # Department 56 Inc. 12,595 312 Deposit Guaranty Corp. 16,800 521 # DepoTech Corp. 4,500 75 DePuy, Inc. 25,000 506 Designer Holdings Ltd. 21,200 342 # Designs, Inc. 25,700 145 # Destec Energy Inc. 27,200 425 # Detroit Diesel Corp. 18,700 430 Developers Diversified Realty Corp. REIT 9,300 345 Devon Energy Corp. 9,733 338 # Devon Group, Inc. 2,100 56 # Devry, Inc. 14,400 338 Dexter Corp. 10,800 344 Diagnostic Products Corp. 10,223 265 Dial Corp. 40,363 595 # Dialogic Corp. 13,100 409 # Diamond Multimedia Systems, Inc. 35,700 417 # Diamond Offshore Drilling, Inc. 29,600 1,687 Diebold, Inc. 19,764 1,243 # Digene Corp. 16,200 168 # Digi International, Inc. 11,200 108 # Digital Equipment Corp. 66,633 2,424 Digital Systems International, Inc. 15,195 240 # Digital Microwave Corp. 15,627 435 Dillard Department Stores Class A 49,136 1,517 # Dime Bancorp, Inc. 46,282 683 Dimon Inc. 18,350 424 # Dionex Corp. 8,500 302 The Walt Disney Co. 295,149 20,550 Dole Food Co. 25,600 867 Dollar General Corp. 31,290 1,001 # Dollar Tree Stores, Inc. 11,050 421 Dominion Resources, Inc. 76,795 2,957 Donaldson Co., Inc. 10,900 365 Donaldson, Lufkin & Jenrette, Inc. 25,200 907 R.R. Donnelley & Sons Co. 65,780 2,064 Donnelly Corp. 14,500 355 # Doubletree Corp. 15,787 706 # Dove Audio, Inc. 19,000 26 Dover Corp. 49,528 2,489 Dow Chemical Co. 106,386 8,338 Dow Jones & Co., Inc. 41,497 1,406 # Dravo Corp. 20,039 283 # The Dress Barn, Inc. 13,400 204 Dresser Industries, Inc. 76,897 2,384 # Drexler Technology Corp. 19,089 200 Dreyer's Grand Ice Cream, Inc. 10,700 317 # Drug Emporium, Inc. 68,942 299 E.I. du Pont de Nemours & Co. 243,274 22,959 Duke Power Co. 87,606 4,052 Duke Realty Investments Inc. REIT 12,200 470 The Dun & Bradstreet Corp. 73,677 1,750 # Dura Pharmaceuticals, Inc. 18,586 887 Duracell International, Inc. 52,367 3,659 Duriron Co., Inc. 13,450 363 Duty Free International Inc. 23,774 345 # Dynatech Corp. 7,600 335 EG & G, Inc. 20,536 413 # EMC Corp. 100,322 3,323 # ENSCO International, Inc. 30,812 1,494 # ESC Medical Systems Ltd. 19,200 494 # ESSEF Corp. 16,800 298 # ESS Technology, Inc. 28,400 799
27 76
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # Eagle Hardware & Garden, Inc. 12,000 $ 249 # Eagle USA Airfreight, Inc. 3,500 90 Earthgrains Co. 8,143 425 Eastern Bancorp, Inc. 13,200 307 Eastern Enterprises 8,815 312 Eastern Utilities Associates 9,071 158 Eastman Chemical 34,180 1,888 Eastman Kodak Co. 146,512 11,758 Eaton Corp. 33,838 2,360 Eaton Vance Corp. 8,600 410 # Echelon International Corp., Inc. 2,763 43 Echlin, Inc. 26,818 848 Echo Bay Mines Ltd. 59,584 395 # Eckerd Corp. 11,743 376 Ecolab, Inc. 27,640 1,040 # Edison Brothers Stores, Inc. 127,377 143 Edison International 190,903 3,794 # Edisto Resources Corp. 42,300 354 # Edo Corp. 17,800 127 # Education Alternatives, Inc. 44,400 216 A.G. Edwards & Sons, Inc. 27,033 909 # Egghead, Inc. 21,631 112 # Einstein/Noah Bagel Corp. 12,000 356 El Paso Natural Gas 22,618 1,142 # Elan Corp. PLC ADR 2,304 77 Elcor Corp. 13,900 297 # Electric Fuel Corp. 19,700 137 # Electro Scientific Industries, Inc. 13,500 354 # Electroglas, Inc. 21,300 341 # Electromagnetic Sciences, Inc. 13,186 254 # Electronic Arts Inc. 23,300 698 Electronic Data Systems Corp. 211,555 9,150 # Electronic Retailing Systems International, Inc. 10,400 40 # Electronics for Imaging, Inc. 11,000 901 # Eljer Industries, Inc. 21,040 497 # Eltron International Inc. 7,000 143 Emerson Electric Co. 97,947 9,476 # Emmis Broadcasting Corp. Class A 7,300 236 Empire District Electric Co. 16,000 300 # Empire of Carolina, Inc. 8,900 38 # Employee Solutions, Inc. 19,200 394 # Emulex Corp. 21,350 331 # Energy Conversion Devices, Inc. 11,375 156 Energen Corp. 11,800 357 # Energy Ventures Inc. 9,700 493 Engelhard Corp. 62,023 1,186 Enova Corp. 49,800 1,133 Enron Corp. 110,264 4,755 Enron Global Power & Pipelines L.L.C. 4,000 108 Enron Oil & Gas Co. 69,124 1,745 ENSERCH Corp. 29,012 667 # Enserch Exploration, Inc. 52,300 615 Entergy Corp. 97,933 2,718 # Enterprise Systems, Inc. 11,200 265 # Epic Design Technology, Inc. 13,800 345 # Epitope Inc. 23,000 265 Equifax, Inc. 65,670 2,011 The Equitable Cos. 79,791 1,965 Equitable of Iowa Co. 13,700 628 Equitable Resources, Inc. 15,200 452 Equity Residential Properties Trust REIT 20,000 825 # Equus Gaming Co. LP A Units 1,000 3 Erie Indemnity Co. Class A 28,400 831 Essex Property Trust, Inc. 14,934 439 # Esterline Technologies Corp. 11,845 309 Ethan Allen Interiors Inc. 14,380 554 Ethyl Corp. 50,830 489 Everest Re Holdings, Inc. 21,200 610 # Evergreen Media Corp. 15,778 392 # Exabyte Corp. 12,100 163 Excel Industries, Inc. 16,400 273 Excel Realty Trust, Inc. REIT 14,400 365 # Excel Communications, Inc. 45,900 964 Executive Risk, Inc. 11,933 442 FAC Realty Inc. REIT 21,700 144 Exide Corp. 15,700 361 # Exide Electronics Group, Inc. 19,838 290 Expeditors International of Washington, Inc. 20,200 462 # Express America Holdings Co. 13,400 94 # Express Scripts 12,400 446 # Extended Stay America, Inc. 29,800 600 Exxon Corp. 540,440 52,963 # EZCORP, Inc. 19,100 125 F & M Bancorp 3,800 90 FFY Financial Corp. 8,300 210 # FHP International Corp. 17,400 644 # FLIR Systems, Inc. 14,900 202 # FMC Corp. 15,937 1,118 # FM Properties Inc. 35,900 110 F.N.B. Corp. 8,964 210 FPL Group, Inc. 79,111 3,639 # FSI International, Inc. 28,800 434 # FTP Software, Inc. 29,600 179 Fair Issac & Co. 12,200 477 # Fairfield Communities, Inc. 13,000 322 # Falcon Drilling Co., Inc. 14,600 573 # Falcon Building Products, Inc. Class A 24,000 354 Family Dollar Stores, Inc. 24,400 497 Farmer Brothers, Inc. 1,700 258 # Fastcomm Communications Corp. 13,400 80 Fastenal Co. 16,800 765 # Faulding Inc. 33,700 200 Fedders Corp. 31,745 198 Fedders Corp. Class A 15,226 76 # Federal Express Corp. 49,200 2,189 Federal Home Loan Mortgage Corp. 77,851 8,573 Federal-Mogul Corp. 15,200 334 Federal National Mortgage Assn. 475,538 17,714 Federal Realty Investment Trust REIT 13,900 377 Federal Signal Corp. 19,562 506 # Federated Department Stores 89,744 3,063 Felcor Suite Hotels, Inc. REIT 10,000 354 Ferrellgas Partners, LP 8,200 177 Ferro Corp. 12,200 346
28 77
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # Fibreboard Corp. 10,526 $ 355 Fifth Third Bancorp 46,285 2,907 # 50-Off Stores, Inc. 7,400 1 # Figgie International Inc. Class A 19,200 229 # Figgie International Inc. Class B 900 9 # Filene's Basement Corp. 94,405 389 # FileNet Corp. 12,800 408 # Film Roman, Inc. 8,300 62 Fina Inc. 12,300 593 Financial Security Assurance Holdings Ltd. 12,600 414 Fingerhut Co. 21,954 269 Finova Group, Inc. 11,802 758 # First Alert, Inc. 25,600 90 First American Financial Corp. 10,200 419 First American Corp. (Tenn.) 12,700 733 First American Bank Corp. 26,400 1,587 First Bank System, Inc. 61,474 4,196 First Brands Corp. 17,800 505 First Chicago NBD Corp. 136,550 7,340 First Citizens BancShares Class A 4,400 340 First Federal Savings Bank of Colorado 20,100 345 First Commerce Bancshares Inc. Class A 2,900 81 First Commerce Corp. 16,417 636 First Commercial Corp. 11,445 423 First Commonwealth Financial Corp. 20,200 376 First Data Corp. 195,158 7,123 First Empire State Corp. 2,800 806 First Financial Bancorp 10,960 352 First Financial Caribbean Corp. 8,100 228 First Financial Savings Assn. 16,125 395 First Financial Holdings, Inc. 5,200 120 First Hawaiian, Inc. 13,400 472 First Industrial Realty Trust REIT 3,700 112 First Michigan Bank Corp. 18,721 553 First Midwest Bancorp 14,625 474 First Palm Beach Bancorp 9,800 230 First Security Corp. 32,437 1,099 First Source Corp. 8,917 221 First Tennessee National Corp. 28,900 1,082 First Union Corp. 127,282 9,419 First Union Real Estate 32,200 394 First USA Inc. 52,210 1,808 # First USA Paymentech, Inc. 13,633 462 First Virginia Banks, Inc. 14,007 671 First Western Bancorp 9,822 262 Firstbank of Illinois Co. 7,100 244 Firstar Corp. 31,363 1,647 Firstbank Puerto Rico 14,125 367 # FIserv, Inc. 19,362 715 # First Federal Financial Corp. 19,634 432 First Bancorp of Ohio 14,000 499 Fisher Scientific International Inc. 8,400 396 Fleet Financial Group, Inc. 114,424 5,707 Fleetwood Enterprises, Inc. 15,658 431 Fleming Cos., Inc. 18,339 316 # Flores & Rucks, Inc. 8,400 447 Florida East Coast Railway Co. 3,700 323 Florida Progress Corp. 41,450 1,337 Florida Rock Industries, Inc. 10,600 347 Flowers Industries, Inc. 25,050 539 # Fluor Corp. 36,067 2,263 # Fluor Daniel/GTI, Inc. 13,561 109 Flushing Financial Corp. 13,800 250 # Foamex International, Inc. 21,500 353 Food Lion Inc. Class A 197,200 1,929 Food Lion Inc. Class B 7,694 77 # FoodBrands America, Inc. 17,400 239 # Foodmaker, Inc. 35,700 317 # Footstar Inc. 27,470 683 # Forcenergy, Inc. 16,000 578 Ford Motor Co. 508,472 16,208 # Fore Systems, Inc. 39,300 1,294 # Foreland Corp. 900 4 Foremost Corp. of America 5,300 318 Forest City Enterprise Class A 4,500 272 # Forest Laboratories, Inc. 18,992 622 # Forstmann & Co., Inc. 3,600 1 # Fort Howard Corp. 32,485 899 Fort Wayne National Corp. 9,600 366 # Forte Software, Inc. 13,400 438 Foster Wheeler Corp. 17,354 644 # Foundation Health Co. 25,200 800 # Fourth Shift Corp. 30,000 167 # Fractal Design Corp. 22,700 241 Franchise Finance Corp. of America REIT 17,300 478 # FoxMeyer Health Corp. 13,062 21 Franklin Electric, Inc. 4,800 221 # Franklin Electronic Publishers, Inc. 17,200 209 Franklin Resources Corp. 34,820 2,381 Freeport-McMoRan, Inc. 10,833 348 Freeport-McMoRan Copper & Gold Inc. Class A 11,512 324 Freeport-McMoRan Copper & Gold Inc. Class B 73,051 2,182 Fremont General Corp. 11,097 344 # Fresenius Medical Care AG ADR 42,334 1,191 # Fresenius Medical Care AG Pfd. Class D 40,354 5 # Fresh Choice, Inc. 44,800 185 # Fresh America Corp. 11,000 179 # Fritz Cos., Inc. 15,500 195 Frontier Corp. 69,856 1,580 # Fruehauf Trailer Corp. 76,500 8 # Fruit of the Loom, Inc. 32,866 1,245 Fulton Financial Corp. 14,770 314 Fund American Enterprise Holding Co. 4,585 439 # Furniture Brands International Inc. 26,200 367 # Fusion Systems 7,300 157 G & L Realty Corp. 20,296 345 GATX Corp. 8,700 422 # GC Cos. 7,991 277 GPU Inc. 52,324 1,759 # GRC International, Inc. 18,200 148 GTE Corp. 419,870 19,104
29 78
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # GT Interactive Software Corp. 28,000 $ 201 # Gadzooks, Inc. 7,700 142 Gainsco, Inc. 9,046 87 Arthur J. Gallagher & Co. 13,200 409 Gannett Co., Inc. 61,650 4,616 The Gap, Inc. 124,732 3,758 # Gardner Denver Machinery, Inc. 17,968 620 # Gartner Group, Inc. Class A 39,900 1,554 # Gateway 2000 Inc. 33,600 1,800 Gaylord Entertainment Class A 41,060 939 # Gaylord Container Corp. 41,800 256 # GelTex Pharmaceuticals, Inc. 14,600 350 GenCorp, Inc. 19,800 359 # Genentech, Inc.-Special Common Stock 52,183 2,798 General Binding Corp. 16,572 497 # General Datacomm Industries, Inc. 23,800 250 General Dynamics Corp. 27,301 1,925 General Electric Co. 719,197 71,111 General Growth Properties Inc. REIT 11,700 377 # General Instrument Corp. 58,558 1,266 General Mills, Inc. 69,442 4,401 General Motors Corp. 328,541 18,316 General Motors Corp. Class H 43,153 2,427 # General Nutrition Cos., Inc. 38,400 653 General Re Corp. 35,943 5,670 General Signal Corp. 21,358 913 # Genetics Institute Inc. Depository Shares 12,800 1,086 # Gentex Corp. 15,124 304 # Genesis Health Ventures Inc. 13,700 426 # Geneva Steel Class A 26,600 80 # Genrad, Inc. 20,688 481 Gensia Inc. 40,314 186 Genuine Parts Co. 52,648 2,343 # Genzyme Corp. 29,678 647 # Genzyme Corp. Tissue Repair 4,700 34 Georgia Gulf Corp. 15,168 408 Georgia-Pacific Corp. 39,598 2,851 # Geotek Industries, Inc. 17,700 127 # Geoworks 14,200 346 # Getchell Gold Corp. 11,116 427 # Giant Cement Holding, Inc. 9,900 158 Giant Food, Inc. Class A 25,669 886 Giant Industries, Inc. 24,700 346 # Gibson Greetings, Inc. 23,000 449 Giddings & Lewis, Inc. 29,908 389 Gilbert Associates, Inc. Class A 18,000 252 # Gilead Sciences, Inc. 13,100 327 Gillette Co. 193,995 15,083 P.H. Glatfelter Co. 18,400 331 # Glenayre Technologies, Inc. 26,225 565 # Glendale Federal 19,243 447 # Global DirectMail Corp. 16,300 711 # Global Industrial Technologies, Inc. 19,991 442 # Global Marine, Inc. 71,700 1,479 # Global Village Communication 15,900 51 # Go Video, Inc. 37,500 45 Golden West Financial Corp. 24,807 1,566 # The Good Guys, Inc. 15,500 103 The BF Goodrich Co. 23,290 943 The Goodyear Tire & Rubber Co. 67,203 3,453 # Goody's Family Clothing 19,550 347 Gorman-Rupp Co. 15,325 209 Goulds Pumps, Inc. 15,009 345 W.R. Grace & Co. 38,654 2,000 Graco, Inc. 15,198 372 # Gradall Industries, Inc. 2,700 33 # Graham-Field Health Products Inc. 28,384 245 W.W. Grainger, Inc. 22,211 1,782 # Grancare Inc. 19,800 354 # Grand Casinos, Inc. 16,600 224 Granite Construction Co. 14,700 287 Graphic Industries, Inc. 24,300 237 Great Atlantic & Pacific Tea Co., Inc. 16,401 523 Great Lakes Chemical Corp. 27,579 1,289 Great Western Financial Corp. 58,657 1,701 Green Mountain Power Corp. 10,600 253 Green Point Financial Corp. 22,200 1,049 Green Tree Financial Corp. 59,391 2,294 Greenfield Industries, Inc. 14,000 428 Greif Brothers Corp. Class A 4,200 120 # Greyhound Lines, Inc. 67,400 261 # GTech Holdings Corp. 18,500 592 Guaranty National Corp. 4,975 83 Guidant Corp. 32,178 1,834 Guilford Mills, Inc. 12,100 322 # Gulf South Medical Supply, Inc. 14,100 360 # Gulfstream Aerospace Corp. 31,400 761 # The Gymboree Corp. 10,740 244 HBO & Co. 37,347 2,217 HCC Insurance Holdings, Inc. 11,900 286 # HCIA, Inc. 7,700 267 HF Financial Corp. 400 7 # HFS Inc. 53,850 3,218 # HMN Financial, Inc. 14,300 259 # HMT Technology Corp. 15,700 237 # HNC Software, Inc. 9,200 288 HRE Properties 6,200 112 # HS Resources Inc. 19,701 325 # HSN, Inc. 36,397 860 HUBCO, Inc. 731 18 # Hadco Corp. 12,949 632 # Haemonetics Corp. 4,500 85 Halliburton Co. 54,623 3,291 # Hamburger Hamlet Restaurants 24,000 1 Hancock Fabrics, Inc. 26,200 272 # Handleman Co. 37,961 323 M.A. Hanna Co. 22,250 487 Hannaford Brothers Co. 18,300 622 # Harbinger Corp. 10,300 268 Harcourt General, Inc. 31,211 1,440 John H. Harland Co. 13,287 438 Harley-Davidson, Inc. 32,346 1,520 Harleysville National Corp. 4,580 115 Harman International Industries, Inc. 7,981 444
30 79
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Harmon Industries, Inc. 15,300 $ 291 Harnischfeger Industries Inc. 20,735 998 Harper Group, Inc. 5,600 132 # Harrah's Entertainment, Inc. 44,116 877 Harris Corp. 16,623 1,141 # Harry's Farmers Market, Inc. 3,000 8 Harsco Corp. 10,684 732 Harte-Hanks Communications Co. 15,600 433 Hartford Steam Boiler Inspection & Insurance Co. 8,657 401 # Hartmarx Corp. 5,100 29 Harveys Casino Resorts 13,400 226 Hasbro, Inc. 37,353 1,452 # Hauser, Inc. 19,900 115 Haven Bancorp, Inc. 7,900 227 Haverfield Corp. 6,270 119 Hawaiian Electric Industries Inc. 13,465 486 # Hayes Wheels International Inc. 3,770 144 Health Care Properties Investors 12,400 434 # HEALTHSOUTH Corp. 67,912 2,623 # HealthCare Compare Corp. 15,033 639 # Health Management Associates Class A 44,559 1,003 # Healthcare & Retirement Corp. 19,400 555 Healthcare Realty Trust Inc. 13,500 358 # Health Systems 20,698 512 # Heartport Inc. 16,500 381 Health and Retirement Properties Trust 28,400 550 Health Care REIT, Inc. 12,700 311 # Health Professionals, Inc. 670 1 # Health Management Systems, Inc. 14,947 206 # Healthdyne Information Enterprises, Inc. 55,200 307 # Healthdyne Technologies, Inc. 25,446 229 # Healthsource, Inc. 27,300 358 # Heartland Express, Inc. 19,492 473 Hechinger Co. Class A 62,100 128 Hechinger Co. Class B 5,118 19 # Hecla Mining Co. 45,400 255 Heico Corp. 8,884 234 Heilig-Meyers Co. 19,357 315 H.J. Heinz Co. 159,805 5,713 Helmerich & Payne, Inc. 11,093 578 Herbalife International, Inc. 24,900 811 Hercules, Inc. 46,881 2,028 # Heritage Media Corp. Class A 22,600 254 Hershey Foods Corp. 66,064 2,890 Hewlett-Packard Co. 445,000 22,361 # Hexcel Corp. 15,100 245 Hibernia Corp. Class A 52,422 695 # Highlands Insurance Group 3,154 64 Highwood Properties, Inc. REIT 13,700 462 Hilb, Rogal and Hamilton Co. 19,000 252 Hillenbrand Industries, Inc. 29,400 1,066 # Hills Stores Co. 9,900 59 Hilton Hotels Corp. 107,298 2,803 # Hinsdale Financial Corp. 12,375 308 Hollinger International, Inc. 35,000 403 Holly Corp. 12,000 321 # Hollywood Casino Corp. 48,800 177 # Hollywood Entertainment Corp. 23,029 429 # Hollywood Park, Inc. 25,400 386 # Hologic, Inc. 10,600 262 Home Depot, Inc. 207,929 10,422 # Home Health Corp. of America 12,000 133 Homeland Bankshares Corp. 5,600 230 Homestake Mining Co. 62,893 896 # Homestead Village Inc. 16,682 300 # Homestead Village Inc. Warrants Exp. 10/29/97 2,806 23 Hon Industries, Inc. 12,900 427 Honeywell, Inc. 55,379 3,641 Horace Mann Educators Corp. 9,500 384 # Horizon/CMS Healthcare Corp. 32,900 415 Horizon Financial Corp. 16,020 216 Hormel Foods Corp. 32,700 883 # Host Marriott Services 27,584 252 Hospitality Properties Trust 14,500 421 # Host Marriott 84,024 1,344 # Hot Topic, Inc. 8,400 164 Houghton Mifflin Co. 6,300 357 Household International, Inc. 42,112 3,885 Houston Industries, Inc. 107,600 2,434 # Hovnanian Enterprises Class A 36,650 275 # Hovnanian Enterprises Class B 9,650 72 Hubbell Inc. Class A 7,600 289 Hubbell Inc. Class B 20,400 882 Hudson Foods Inc. Class A 25,500 485 Hughes Supply, Inc. 7,826 338 # Humana, Inc. 69,480 1,329 # Human Genome Sciences, Inc. 10,400 423 # Hungarian Teleconstruct Corp. 12,000 23 Hunt Manufacturing Co. 16,900 306 J.B. Hunt Transport Services, Inc. 15,147 214 Huntington Bancshares Inc. 61,562 1,628 # Hutchinson Technology, Inc. 6,100 464 # Hyperion Software Corp. 19,448 412 ICN Pharmaceuticals, Inc. 12,394 243 IBP, Inc. 40,800 989 # IDX Systems Corp. 8,400 242 # IEC Electronics Corp. 33,718 280 IES Industries, Inc. 12,800 382 # IGI, Inc. 17,090 115 # IHOP Corp. 2,600 62 IMC Global Inc. 39,807 1,557 # IPC Information Systems, Inc. 11,900 177 IRT Property Co. REIT 30,500 351 # I-STAT Corp. 8,500 201 # ITT Corp. 50,695 2,199 # ITT Educational Services, Inc. 12,600 291 ITT Hartford Group, Inc. 51,054 3,446 ITT Industries, Inc. 50,873 1,246 IWC Resources Corp. 7,300 228 # IXC Communications, Inc. 13,500 415 Idaho Power Co. 16,100 501 IDEX Corp. 8,350 333 # IDEXX Laboratories 16,100 582 Illinois Central Corp. 26,550 850 # Identix, Inc. 4,300 35 Illinois Tool Works, Inc. 53,153 4,246
31 80
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Illinova Corp. 32,700 $ 899 # Image Business Systems Corp. 23,400 2 # Imation Corp. 17,967 505 # Imclone Systems, Inc. 12,000 116 # Immucor Inc. 26,946 258 # ImmuLogic Pharmaceutical Corp. 18,500 121 # Immune Response 54,317 455 # Imo Industries, Inc. 16,700 52 # Imperial Bancorp 18,904 454 # Impath, Inc. 2,900 55 # Imperial Credit 26,526 557 # Immunomedics Inc. 36,400 201 # Inacom Corp. 9,200 368 # Incyte Pharmaceuticals, Inc. 8,800 451 Indiana Energy, Inc. 9,600 234 # Infinity Broadcasting Corp. 36,318 1,221 # Informix Corp. 65,200 1,333 Ingersoll-Rand Co. 46,909 2,087 # Information Resources, Inc. 22,835 323 Inland Steel Industries, Inc. 20,124 402 # Innovative Gaming Corp. 10,050 59 # Input/Output, Inc. 18,400 340 # Insilco Corp. 8,000 312 # Insituform Technologies Class A 35,600 267 # Innotech, Inc. 14,400 113 # Inso Corp. 4,800 189 # Insurance Auto Auctions, Inc. 21,900 208 # Insignia Financial Group 10,400 234 Integon Corp. 15,020 267 # Integrated Device Technology Inc. 34,100 467 Integrated Health Services, Inc. 10,300 251 # Integrated Process Equipment Corp. 17,124 307 # Integrated Systems, Inc. 8,400 216 # Integrated Silicon Solution, Inc. 15,400 132 # Integrated Systems Consulting Group Inc. 1,684 22 Intel Corp. 359,463 47,067 # Intelidata Technologies Corp. 20,600 151 # Intelligent Electronics Inc. 37,898 308 # Intelligent Medical Imaging, Inc. 14,500 89 # Inter-Tel, Inc. 7,900 151 Intercargo Corp. 18,100 157 # Intercel, Inc. 22,800 276 Interface, Inc. 20,400 408 # Interdigital Communications Corp. 52,500 302 # Intergraph Corp. 36,540 379 # Interim Services, Inc. 8,645 307 # Interleaf, Inc. 35,600 69 International Business Machines Corp. 229,816 34,702 # International Cabletel, Inc. 13,200 331 # International Dairy Queen, Inc. Class A 16,188 327 # International Dairy Queen, Inc. Class B 2,300 45 International Flavors & Fragrances, Inc. 48,174 2,168 # International Family Entertainment, Inc. Class B 19,375 300 # International Lottery & Totalizator Systems Inc. 54,900 46 International Game Technology 53,602 978 International Multifoods Corp. 15,881 288 # International Murex Technologies Corp. 26,000 190 # International Network Services 13,600 411 International Paper Co. 129,246 5,218 # International Rectifier Corp. 26,700 407 International Shipholding Corp. 8,300 154 # International Specialty Products, Inc. 41,600 510 # International Technology 28,025 238 # Interneuron Pharmaceutical, Inc. 17,500 456 Interpublic Group of Cos., Inc. 34,979 1,662 # Intersolv 23,400 215 Interstate Bakeries 16,100 791 # Interstate Hotels Co. 12,000 339 # Intervoice, Inc. 14,413 178 Intimate Brands, Inc. 109,400 1,860 # Intuit, Inc. 19,400 616 Invacare Corp. 12,557 342 # Invision Technologies, Inc. 8,800 287 Investors Financial Services Corp. 10,100 279 # Iomega Corp. 53,400 928 # Ionics, Inc. 6,300 302 Ipalco Enterprises, Inc. 24,350 664 Irvine Apartment Communities, Inc. REIT 14,500 363 Irwin Financial Corp. 15,200 372 ISCO, Inc. 22,485 208 # ISIS Pharmaceuticals, Inc. 21,026 376 # Itron, Inc. 2,200 39 # i2 Technologies, Inc 10,700 413 IVAX Corp. 51,300 526 JLG Industries, Inc. 21,000 336 # JMC Group Inc. 5,200 5 # JP Foodservice, Inc. 13,700 382 JP Realty Inc. REIT 5,100 132 JSB Financial 8,601 325 # JTS Corp. 79,144 262 Jackpot Enterprises, Inc. 17,300 169 # Jacobs Engineering Group Inc. 17,100 404 # Jacor Communications Inc. 13,400 368 James River Corp. 37,268 1,235 # Jan Bell Marketing Inc. 17,400 36 # Jayhawk Acceptance Corp. 25,100 286 Jefferson Bancorp, Inc. 9,300 178 Jefferson Bankshares, Inc. 12,800 362 Jefferson Savings Bancorp, Inc. 7,900 207 Jefferson-Pilot Corp. 30,777 1,743 # Jefferson Smurfit Corp. 48,600 781 John Alden Financial Group 8,100 150 John Nuveen Co. Class A 14,500 384 Johnson & Johnson 579,882 28,849 Johnson Controls, Inc. 17,947 1,487 # Johnstown America Industries 11,900 53 # Jones Apparel Group, Inc. 22,600 845 Jones Medical Industries, Inc. 11,600 423 Jostens Inc. 16,740 354 Juno Lighting, Inc. 13,900 221
32 81
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # Just for Feet, Inc. 10,476 $ 274 Justin Industries, Inc. 28,360 330 # KLA Instruments Corp. 21,900 776 # Kmart Corp. 208,877 2,167 KN Energy, Inc. 12,879 506 # K-III Communications Corp. 53,800 578 K2 Inc. 14,162 389 K U Energy Corp. 16,200 486 # K-V Pharmaceutical Co. Class A 8,700 104 # Kaiser Aluminum & Chemical Corp. 30,800 358 Kaneb Pipeline Partners, LP 12,380 340 # Kaneb Services, Inc. 113,316 368 Kansas City Life Insurance Co. 3,200 207 Kansas City Power & Light Co. 26,500 755 Kansas City Southern Industries, Inc. 16,164 727 Katy Industries, Inc. 17,600 255 # Katz Media Group 17,800 200 Kaufman & Broad Home Corp. 31,042 400 Kaydon Corp. 9,400 443 # Keane, Inc. 14,100 448 Kellogg Co. 92,293 6,057 Kelly Services, Inc. Class A 16,375 449 # KEMET Corp. 16,700 385 Kennametal, Inc. 11,500 447 # Kensey Nash Corp. 16,000 236 # Kent Electronics Corp. 19,800 510 Kerr-McGee Corp. 21,253 1,530 KeyCorp 100,440 5,072 # Keystone Consolidated Industries, Inc. 12,690 105 Keystone Financial, Inc. 16,143 406 Keystone International, Inc. 14,200 286 Kimball International, Inc. Class B 9,000 372 Kimberly-Clark Corp. 122,884 11,705 Kimco Realty Corp. REIT 15,450 539 # Kinder Care Learning Centers Inc. 15,100 282 Kinetic Concepts, Inc. 17,668 220 # King World Productions, Inc. 16,086 593 Knight-Ridder, Inc. 41,426 1,585 # Koger Equity Inc. REIT 19,600 368 # Kohls Corp. 32,100 1,260 # Komag, Inc. 22,600 612 # The Kroger Co. 54,247 2,522 Kuhlman Corp. 25,376 492 # LCI International, Inc. 33,626 723 LG&E Energy Corp. 28,400 696 # LS Capital Corp. 1,996 3 # LSI Logic Corp. 55,445 1,483 LSI Industries Inc. 21,518 288 LTC Properties, Inc. 18,600 344 LTV Corp. 43,500 517 # LTX Corp. 32,788 192 La Quinta Inns Inc. 33,238 636 La-Z-Boy Inc. 1,200 35 # Laboratory Corp. of America 94,848 273 # Ladd Furniture Inc. 10,800 156 Lafarge Corp. 26,600 535 # LAM Research Corp. 13,250 373 Lancaster Colony Corp. 12,788 585 Lance, Inc. 7,521 134 # Lancer Corp. 26,190 534 Landauer, Inc. 12,100 296 # Lands' End, Inc. 15,600 413 # Landry's Seafood Restaurants, Inc. 3,300 71 # Landstar System 2,800 64 # Lason Holdings, Inc. 6,700 137 # Lattice Semiconductor Corp. 9,650 443 Estee Lauder Cos. Class A 26,171 1,331 Lawter International Inc. 16,534 209 # Layne Christensen Co. 16,200 241 # Lazare Kaplan International, Inc. 16,700 286 # Lear Corp. 27,900 952 # Learning Co., Inc. 15,837 227 # Lechters Corp. 26,400 138 # Lectec Corp. 3,500 24 Lee Enterprises, Inc. 20,400 474 # Legal Research Center, Inc. 6,100 10 # Legato Systems, Inc. 6,100 198 Leggett & Platt, Inc. 38,100 1,319 Lehman Brothers Holdings, Inc. 42,999 1,349 Lennar Corp. 15,400 420 Leucadia National Corp. 25,900 693 # Level 8 Systems Inc. 21,100 324 Leviathan Gas Pipeline Co. 8,200 359 # Lexmark International Group, Inc. Class A 27,800 768 Libbey, Inc. 12,600 351 Liberty Bancorp, Inc. (Oklahoma) 7,100 354 Liberty Corp. 8,000 314 Liberty Financial Cos., Inc. 12,200 474 # Liberty Media Group Class A 5,000 143 # Liberty Media Group Class B 1,050 30 # Life USA Holding, Inc. 28,300 336 Life Re Corp. 10,000 386 # Lifecore Biomedical Inc. 13,900 247 Lillian Vernon Corp. 1,400 17 Eli Lilly & Co. 237,735 17,355 Lilly Industries Inc. Class A 19,968 364 The Limited, Inc. 117,191 2,153 # Lin Television 12,816 540 # Lincare Holdings Inc. 12,100 499 Lincoln Electric Co. Class A 9,924 298 Lincoln National Corp. 45,525 2,390 Lindsay Manufacturing Co. 4,350 201 Linear Technology Corp. 32,796 1,439 # Liposome Co., Inc. 24,361 467 Litchfield Financial Corp. 12,330 177 # Littelfuse, Inc. 6,200 299 # Litton Industries, Inc. 19,869 946 # Living Centers of America, Inc. 15,200 422 Liz Claiborne, Inc. 31,187 1,205 Lockheed Martin Corp. 87,257 7,984 Loctite Corp. 13,720 835 Loews Corp. 50,171 4,729 # Logan's Roadhouse, Inc. 8,000 184 Logicon, Inc. 12,100 442 # Lone Star Steakhouse & Saloon 17,300 464 Long Island Bancorp, Inc. 10,900 382 Long Island Lighting Co. 52,835 1,169
33 82
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Longhorn Steaks Inc. 7,800 $ 148 Longs Drug Stores, Inc. 8,445 415 Longview Fiber Co. 22,130 407 # Loral Space & Communications Ltd. 82,584 1,517 # Loronix Information Systems 27,100 98 # Louis Dreyfus Natural Gas Corp. 23,500 402 Louisiana Land & Exploration Co. 14,648 786 Louisiana-Pacific Corp. 46,364 979 Lowe's Cos., Inc. 74,537 2,646 Lubrizol Corp. 25,767 799 Luby's Cafeterias, Inc. 2,559 51 Lucent Technologies, Inc. 274,942 12,716 # Lumisys, Inc. 20,300 188 # L. Luria & Son, Inc. 5,100 13 # Lydall, Inc. 21,600 486 # Lynx Therapeutics Inc. 226 1 Lyondell Petrochemical Co. 34,246 753 MAF Bancorp, Inc. 3,326 115 MBIA, Inc. 18,700 1,893 MBNA Corp. 96,801 4,017 MCI Communications Corp. 300,599 9,826 MCN Corp. 28,300 817 # MDL Information Systems, Inc. 3,100 58 # MEMC Electronic Materials, Inc. 17,700 398 # MFS Communications Co., Inc. 96,211 5,231 MGIC Investment Corp. 25,765 1,958 M/A/R/C, Inc. 7,800 164 # MGM Grand Inc. 23,961 836 ML Bancorp Inc. 28,100 395 MMI Cos., Inc. 500 16 # MRV Communications Inc. 16,286 355 # MTR Gaming Group Inc. 36,700 34 MTS Systems Corp. 17,590 356 # MacFrugal's Bargains Close-Outs, Inc. 15,100 394 MacDermid, Inc. 387 11 The Macerich Co. REIT 16,700 436 # Macromedia 14,123 256 Madison Gas & Electric Co. 11,100 228 # Mafco Consolidated Group Inc. 7,744 197 # Mafco Consolidated Group Inc. Rights Exp. 1/1/99 29,279 27 # Magellan Health Services Corp. 21,000 470 Magna Group 9,548 282 # Mail-Well, Inc. 19,900 326 Maine Public Service Co. 12,000 218 Mainstreet Bankgroup, Inc. 17,400 322 Mallinckrodt Inc. 32,292 1,425 Manor Care Inc. 26,991 729 Manpower Inc. 35,100 1,141 Manufactured Home Communities, Inc. REIT 20,200 470 Mapco Inc. 24,600 836 # Marcam Corp. 17,500 223 # Marine Drilling Co., Inc. 20,000 394 Marion Capital Holdings 4,600 90 Mark IV Industries, Inc. 27,209 616 Mark Twain Bancshares, Inc. 6,900 336 # Markel Corp. 4,400 398 # Marquette Medical Systems Class A 18,204 398 Marsh & McLennan Cos., Inc. 31,602 3,287 Marshall & Ilsley Corp. 39,251 1,364 Marriott International 54,887 3,033 # Marshall Industries 13,628 417 # Martek Biosciences Corp. 11,700 230 Martin Marietta Materials, Inc. 20,426 475 # Marvel Entertainment Group 38,174 72 Masco Corp. 68,953 2,482 MascoTech Inc. 23,615 387 # Mastec Inc. 7,378 392 # Material Sciences Corp. 18,850 339 # Matria Healthcare Inc. 59,900 277 Mattel, Inc. 118,264 3,282 # Maxim Integrated Products, Inc. 26,400 1,143 May Department Stores Co. 107,998 5,049 # Maxicare Health Plans Inc. 9,500 214 # Maxxam Inc. 6,300 300 # Maverick Tube Corp. 17,100 217 Maytag Corp. 43,188 853 # McAfee Associates, Inc. 20,854 914 McClatchy Newspapers, Inc. 12,940 453 McCormick & Co., Inc. 35,517 837 McDermott International, Inc. 23,107 384 # J. Ray McDermott SA 17,300 381 McDonald's Corp. 304,619 13,784 McDonnell Douglas Corp. 93,633 5,993 The McGraw-Hill Cos. 43,470 2,005 McKesson Corp. 18,197 1,019 # McLeod, Inc. 13,200 338 # McMoRan Oil and Gas 87,400 186 # McWorter Technologies Inc. 12,800 293 The Mead Corp. 22,520 1,309 # Medaphis Corp. 31,416 351 # Medar, Inc. 36,158 199 # MedCath Inc. 18,300 288 # Medco Research, Inc. 24,500 257 # Medcross, Inc. 9,800 47 Medford Savings Bank 9,899 255 Media General, Inc. Class A 11,400 345 # Medic Computer Systems, Inc. 10,700 431 # Medicis Pharmaceutical Corp. 7,850 343 # MedImmune Inc. 11,500 198 Meditrust 25,983 1,039 # Medpartners Inc. 63,548 1,335 # Medplus, Inc. 18,900 112 Medtronic, Inc. 104,250 7,089 Mellon Bank Corp. 56,753 4,029 # Men's Wearhouse, Inc. 13,950 339 Mentor Corp. 16,481 484 # Mentor Graphics Corp. 24,000 236 Mercantile Bancorp, Inc. 28,703 1,475 Mercantile Bankshares Corp. 19,100 609 Mercantile Stores Co., Inc. 16,064 793 Merck & Co., Inc. 530,817 42,067 Mercury Finance Co. 75,977 931 Mercury General Corp. 11,800 620 # Mercury Interactive Corp. 12,600 164 Meredith Corp. 11,650 615 Meridian Diagnostics, Inc. 21,029 277 # Merisel, Inc. 34,100 57 # Meridian Gold Co. 76,600 316 # Merix Corp. 9,800 153
34 83
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Merrill Corp. 11,900 $ 277 Merrill Lynch & Co., Inc. 73,798 6,015 Merry Land & Investment Co., Inc. REIT 15,800 340 # Mesa Air Group Inc. 46,900 322 Met-Pro Corp. 15,345 205 # MetaTools, Inc. 16,000 187 Methode Electronics, Inc. Class A 6,251 125 # Metra Biosystems, Inc. 36,300 177 # Metrocall, Inc. 28,700 145 # Metromail Corp. 18,800 343 # Metromedia International Group, Inc. 26,400 261 # Metzler Group, Inc. 3,100 97 # Fred Meyer, Inc. 13,200 469 Michael Foods, Inc. 23,100 296 # Micrion Corp. 28,000 616 # Micros Systems, Inc. 7,200 219 # Microsoft Corp. 522,944 43,241 Mid Am Inc. 8,368 144 # Microchip Technology, Inc. 14,900 758 # Microcom Corp. 18,324 224 # Micro Warehouse Inc. 14,800 172 # Microfield Graphics, Inc. 13,700 33 # Micrografx, Inc. 13,000 71 # Micron Electronics, Inc. 40,400 785 Micron Technology Inc. 89,527 2,607 # Microtouch Systems, Inc. 12,499 298 # Microwave Power Devices, Inc. 3,300 9 Mid-America Realty Investments 22,400 213 Mid Atlantic Realty Trust 30,950 348 # Mid Atlantic Medical Services, Inc. 25,400 340 # Mid-American Waste Systems, Inc. 60,300 25 MidAmerican Energy Holdings Co. 43,100 684 Middlesex Water Co. 8,600 148 # Midway Games Inc. 17,200 348 # Millenium Chemicals, Inc. 35,082 623 # Millenia, Inc. 2,675 5 Herman Miller, Inc. 9,929 560 Millipore Corp. 18,989 786 # Milwaukee Land Co. 7,700 48 Mine Safety Appliances Co. 3,700 202 Minerals Technologies, Inc. 9,700 398 # MiniMed, Inc. 13,700 437 Minnesota Mining & Manufacturing Co. 182,179 15,098 Minnesota Power & Light Co. 13,700 377 # Mirage Resorts, Inc. 78,800 1,704 Mississippi Chemical Corp. 9,000 216 Mississippi Chemical Corp. - New 3,941 367 Mitchell Energy & Development Corp. Class A 22,100 494 Mitchell Energy & Development Corp. Class B 500 11 Mobil Corp. 171,454 20,960 # Mobile Telecommunications Technologies Corp. 20,500 172 # MobileMedia Corp. 25,900 12 Modine Manufacturing Co. 11,162 294 # Mohawk Industries, Inc. 14,900 332 # Molecular Biosystems, Inc. 41,000 267 Molex, Inc. 44,096 1,725 # Molten Metal Technology 9,500 113 The Money Store 25,159 698 Monsanto Co. 255,182 9,920 Montana Power Co. 23,400 500 J.P. Morgan & Co., Inc. 81,536 7,960 # Morgan Products Ltd. 21,900 162 Morgan Stanley Group, Inc. 65,949 3,767 Morrison Fresh Cooking Inc. 2,718 13 Morrison Health Care Inc. 18,425 272 Morton International, Inc. 61,008 2,486 # Mortons Restaurant Group 22,344 377 Mosinee Paper Corp. 11,193 396 # Mossimo, Inc. 6,100 75 Motorola, Inc. 258,292 15,853 # MTL, Inc. 16,748 343 Mueller (Paul) Co. 3,400 130 # Mueller Industries Inc. 10,884 419 # Multicare Cos., Inc. 18,700 379 Murphy Oil Corp. 19,000 1,057 # Musicland Stores Corp. 96,100 144 # Mycogen Corp. 17,700 376 Myers Industries, Inc. 10,700 181 Mylan Laboratories, Inc. 52,650 882 NAC Re Corp. 9,400 318 NCH CORP. 6,500 392 # NCI Building Systems, Inc. 9,800 336 # NFO Research Inc. 17,452 393 NGC Corp. 64,000 1,488 NIPSCO Industries, Inc. 26,130 1,035 N L Industries, Inc. 44,400 483 # NPC International Class A 15,100 126 # NRG Generating U.S. Inc. 2,838 32 # NS Group Inc. 89,900 405 NUI Corp. 1,300 29 NYMAGIC, Inc. 14,400 259 Nabisco Holdings Corp. Class A 22,300 867 # Nabors Industries, Inc. 37,400 720 NACCO Industries, Inc. Class A 8,365 448 Nalco Chemical Co. 29,521 1,066 Nash-Finch Co. 8,600 185 # Nashua Corp. 21,114 253 # National Auto Credit Inc. 25,432 305 National Bankcorp of Alaska Inc. 5,800 405 # National City Bancorporation 9,307 190 National City Corp. 95,886 4,303 National Community Bancorp 9,902 376 National Data Corp. 11,111 483 # National Education Corp. 3,900 59 National Fuel & Gas Co. 16,200 668 National Health Investors REIT 9,500 360 # National Medical Financial Services Corp. 23,700 170 National Presto Industries, Inc. 2,937 110 # National Processing, Inc. 21,600 346 # National Semiconductor Corp. 59,268 1,445 National Service Industries, Inc. 20,393 762 # National Steel Corp. Class B 31,900 295 NationsBank Corp. 127,021 12,416
35 84
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Nationwide Health Properties, Inc. 18,100 $ 439 # Nautica Enterprises Inc. 17,149 431 # Navigators Group, Inc. 8,900 160 # Navistar International Corp. 33,517 306 # Neiman Marcus Group Inc. 16,245 414 # Nellcor Puritan Bennett, Inc. 25,740 560 Thomas Nelson, Inc. 23,150 344 # Neoprobe Corp. 15,200 231 # Neostar Retail Group 33,300 1 # Netcom On-Line Communication Services, Inc. 13,500 177 # Netmanage, Inc. 42,300 255 # Netscape Communications Corp. 19,600 1,115 # Network Appliance, Inc. 12,200 621 # Network General Corp. 22,012 664 # Neurogen Corp. 12,820 244 Nevada Power Co. 21,648 444 New England Electric System 27,900 973 New Jersey Resources Corp. 4,600 135 # New Mexico & Arizona Land Co. 19,971 232 New Plan Realty Trust REIT 24,750 628 # New World Communications Group, Inc. 12,200 307 New York Bancorp Inc. 10,290 399 New York State Electric & Gas Corp. 30,600 662 New York Times Co. Class A 42,117 1,600 Newell Co. 68,808 2,167 # Newfield Exploration Co. 15,000 390 Newhall Land & Farming Co. 23,100 390 Newmont Gold Co. 47,532 2,080 Newmont Mining Corp. 43,577 1,950 # Newport News Shipbuilding Inc. 14,557 218 # News Communications, Inc. 500 1 # Nextel Communications 98,496 1,287 # Nexstar Pharmaceuticals Inc. 18,441 273 # Niagara Mohawk Power Corp. 61,802 610 NICOR, Inc. 21,352 763 Nike, Inc. Class B 125,032 7,471 # Nine West Group, Inc. 15,100 700 Noble Affiliates, Inc. 24,564 1,176 # Noble Drilling Corp. 51,900 1,032 NorAm Energy Corp. 58,648 902 # Norand Corp. 8,800 153 # Nord Resources Corp. 116,800 511 Nordson Corp. 7,700 493 Nordstrom, Inc. 35,625 1,262 Norfolk Southern Corp. 55,019 4,814 Norrell Corp. 9,500 259 # Norstan, Inc. 7,200 127 # Nortek, Inc. 18,200 364 North American Mortgage Co. 16,600 328 # North American Vaccine, Inc. 22,061 535 North Carolina Natural Gas Corp. 2,300 66 North Fork Bancorporation, Inc. 10,086 359 North Side Savings Bank 6,446 354 Northeast Utilities 54,900 727 Northern States Power Co. 29,394 1,348 Northern Trust Corp. 48,000 1,743 Northrop Grumman Corp. 24,671 2,042 # Northstar Health Services, Inc. 21,850 27 # Northwest Airlines Corp. Class A 42,500 1,663 Northwest Natural Gas Co. 4,200 101 Northwest Savings Bank 20,000 271 Norwest Corp. 160,708 6,991 # Nova Corp. (Georgia) 11,900 263 # Nu Horizons Electronics Corp. 24,400 197 # NovaCare, Inc. 30,488 335 # Nu-Kote Holding, Inc. Class A 23,300 239 # Novavax, Inc. 25,590 88 # Novell, Inc. 154,332 1,461 # Novellus Systems, Inc. 7,100 385 # Noxso Corp. 36,200 84 Nucor Corp. 37,481 1,912 # Nuevo Energy Co. 8,400 437 Numerex Corp. 16,000 61 NYNEX Corp. 190,929 9,188 OEA, Inc. 8,900 407 # OHM Corp. 16,800 143 # OIS Optical Imaging Systems, Inc. 8,800 14 # Oak Technology, Inc. 42,800 484 # Oakley, Inc. 30,500 332 Oakwood Homes Corp. 19,400 444 # Object Design, Inc. 18,400 213 # Objective Systems Integrators, Inc. 17,900 424 Occidental Petroleum Corp. 140,136 3,276 # OccuSystems, Inc. 2,000 54 # Oceaneering International, Inc. 24,890 395 # Octel Communications Corp. 21,900 381 # Ocwen Financial Corp. 3,000 80 # Office Depot, Inc. 67,925 1,206 # Officemax Inc. 52,850 562 Ogden Corp. 21,445 402 Ohio Casualty Corp. 14,044 502 Ohio Edison Co. 66,295 1,508 Oil-Dri Corp. of America 18,275 274 Oklahoma Gas & Electric Co. 17,300 722 # Old Dominion Freight Line, Inc. 24,315 255 Old Kent Financial Corp. 20,269 967 Old National Bancorp 9,737 380 Old Republic International Corp. 37,500 1,003 Olin Corp. 21,800 820 Olsten Corp. 33,425 506 # Olympic Financial Ltd. 28,100 404 Omnicare, Inc. 31,900 1,025 Omnicom Group Inc. 34,200 1,565 Omega Healthcare Investors, Inc. 12,500 416 Omega Financial Corp. 5,408 193 # Omnipoint Corp. 21,500 413 # On Assignment, Inc. 7,000 204 # Oncor Inc. 48,031 189 One Valley Bancorp of West Virginia Inc. 7,500 281 # Oneita Industries 39,530 69 ONEOK, Inc. 15,506 465 # Ontrak Systems, Inc. 11,300 167 # Optical Cable Corp. 16,600 181 Optical Coating Laboratory, Inc. 15,081 161 # Oracle Corp. 285,950 11,921 Orange-Co, Inc. 3,000 23 # Oravax, Inc. 26,900 148
36 85
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # Orbital Sciences Corp. 16,500 $ 283 # Oregon Metallurgical Corp. 10,725 345 # Organogenesis, Inc. 16,200 375 Oregon Steel Mills, Inc. 22,100 370 Orion Capital Corp. 5,900 361 # OrNda Healthcorp 24,951 730 # Ortel Corp. 14,900 354 # Orthodontic Centers of America, Inc. 23,600 372 # Oryx Energy Co. 45,829 1,134 Otter Tail Power Co. 5,502 178 # Outback Steakhouse 20,500 546 Outboard Marine Corp. 17,552 290 # Outdoor Systems, Inc. 16,200 460 Overseas Shipholding Group Inc. 23,000 391 Owens & Minor, Inc. Holding Co. 25,750 264 Owens Corning 22,081 941 # Owens-Illinois, Inc. 51,028 1,161 # Oxford Health Plan 33,200 1,944 Oxford Industries, Inc. 15,900 382 # Oxigene, Inc. 9,739 226 PCA International, Inc. 13,095 208 # PDT, Inc. 11,000 314 PECO Energy Corp. 95,574 2,413 PHH Corp. 14,800 636 # PHP Healthcare Corp. 9,400 241 # PICO Holdings Inc. 52,103 208 The PMI Group Inc. 15,100 836 # PMT Services Inc 12,335 215 PNC Bank Corp. 146,390 5,508 PP&L Resources Inc. 69,449 1,597 PPG Industries, Inc. 80,994 4,546 # PRI Automation, Inc. 3,500 158 PXRE Corp. 8,989 223 Paccar, Inc. 17,056 1,160 Pacific Enterprises 36,257 1,101 Pacific Gas & Electric Co. 178,862 3,756 Pacific Telesis Group 184,489 6,780 # Pacificare Health Systems Inc. Class A 4,600 377 # Pacificare Health Systems Inc. Class B 11,200 953 PacifiCorp 126,223 2,588 # Paging Network, Inc. 44,900 688 PaineWebber Group, Inc. 40,000 1,125 # Pairgain Technologies, Inc. 27,500 837 Pall Corp. 49,658 1,266 PanEnergy Corp. 65,372 2,942 # PanAmSat Corp. 14,500 408 # Papa John's International, Inc. 12,900 438 # Paradigm Technology, Inc. 18,800 48 # Parametric Technology Corp. 55,500 2,855 # Parcplace-Digitalk Inc. 22,600 54 Park National Corp. 200 11 # Park-Ohio Industries, Inc. 12,200 159 Parker & Parsley Petroleum Co. 15,300 562 Parker Hannifin Corp. 32,312 1,252 # ParkerVision, Inc. 3,700 49 Parkway Properties Inc. 3,550 92 # Pathogenesis Corp. 9,100 196 Patriot American Hospitality, Inc. REIT 9,200 397 Paul Revere Corp. 19,300 719 Paychex, Inc. 31,362 1,613 # Payless ShoeSource, Inc. 17,244 647 # PEC Israel Economic Corp. 3,200 54 # Pediatrix Medical Group, Inc. 1,700 63 # Pegasystems Inc. 11,600 349 # The Penn Traffic Co. 35,400 128 Penn Virginia Corp. 6,700 317 Penncorp Financial Group Inc. 11,700 421 J.C. Penney Co., Inc. 97,678 4,762 Pennsylvania Enterprises Inc. 8,117 356 Pentair, Inc. 16,100 519 Penwest Ltd. 13,691 243 Pennzoil Co. 19,914 1,125 Peoples Bank of Bridgeport 17,200 493 Peoples Energy Corp. 14,913 505 Peoples First 4,700 118 Peoples Heritage Financial Group Inc. 19,141 534 # Peoplesoft Inc. 46,800 2,243 Pep Boys (Manny, Moe & Jack) 27,273 839 PepsiCo, Inc. 680,972 19,918 # Perclose, Inc. 7,400 148 # Performance Food Group Co. 9,450 145 Perkin-Elmer Corp. 19,101 1,125 # Perrigo Co. 33,500 302 # Perseptive Biosystems 9,500 65 # Personnel Group of America, Inc. 18,402 444 # Pete's Brewing Co. 9,400 73 # Petro Union, Inc. 35,900 8 # Petrocorp, Inc. 38,778 366 Petroleum Heat & Power Co. 20,800 130 Petrolite Corp. 6,500 306 # PETsMART, Inc. 46,152 1,010 Pfizer, Inc. 280,099 23,213 # Pharmaceutical Markets 26,700 274 # Pharmaceutical Product Development, Inc. 12,770 321 # Pharmacopeia, Inc. 9,700 187 Phelps Dodge Corp. 28,653 1,934 # Philadelphia Consolidated Holding Corp. 11,300 258 Philip Morris Cos., Inc. 356,471 40,148 Phillips Petroleum Co. 114,803 5,080 Phillips-Van Heusen Corp. 15,800 227 # Phoenix Network, Inc. 11,200 38 # Photronics Labs Inc. 10,402 285 # Phycor, Inc. 23,300 658 # Physician Reliance Network, Inc. 18,600 143 # Physician Sales & Service, Inc. 15,100 221 # Physician Corp. of America 20,500 208 # Physio-Control International Corp. 14,700 327 # PictureTel Corp. 14,600 378 Piedmont Natural Gas, Inc. 12,500 292 Pier 1 Imports Inc. 18,800 331 Pinnacle Bancorp Group Inc. 3,100 90 # Pinnacle Micro Inc. 22,600 68 Pinnacle West Capital Corp. 37,700 1,197 Pioneer Financial 15,200 380 Pioneer Group Inc. 12,200 287 Pioneer Hi Bred International 36,124 2,529 Pioneer Standard Electronics Inc. 22,200 287
37 86
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Piper Jaffray Cos., Inc. 23,100 $ 361 Pitney Bowes, Inc. 65,185 3,553 Pitt Des Moines, Inc. 2,600 108 # Pittencrieff Communication, Inc. 74,869 274 Pittsburgh & West Virginia Railroad 3,000 21 Pittston Brink's Group 18,100 489 Pittston Burlington Group 20,050 401 Pittway Corp. Class A 9,034 483 # Pixar, Inc. 19,600 256 # Plains Resources 27,883 436 # Planet Hollywood International, Inc. Class A 41,500 820 # Plantronics, Inc. 10,400 468 # Platinum Software Co. 27,900 333 # Platinum Technology, Inc. 17,600 239 # Playboy Enterprises Inc. Class B 22,200 216 Plenum Publishing Corp. 6,300 224 Ply-Gem Industries, Inc. 22,200 275 Poe & Brown, Inc. 3,900 105 Pogo Producing Co. 15,400 728 Polaris Industries, Inc. 11,000 261 Polaroid Corp. 19,358 842 # Policy Management Systems Corp. 10,670 492 Portland General Electric Co. 22,000 924 Post Properties, Inc. REIT 9,400 378 Potlatch Corp. 12,396 533 Potomac Electric Power Co. 50,600 1,303 # Power Control Technologies 29,279 220 Pratt Hotel Corp. 7,083 12 Praxair, Inc. 67,633 3,120 Precision Castparts Corp. 10,250 509 # Precision Response Corp. 3,000 106 Premark International, Inc. 26,667 593 Premier Farnell PLC ADR 9,318 235 Premier Farnell PLC Cvt. Pfd. ADR 7,507 215 # Premisys Communications, Inc. 10,800 365 # Presstek, Inc. 6,700 477 # Price/Costco Inc. 85,761 2,160 T. Rowe Price 25,100 1,092 Price REIT, Inc. 9,700 373 # Pride Petroleum Services 14,900 345 # Primadonna Resorts, Inc. 19,462 333 # Primedex Health Systems Inc. 43,000 16 # Prime Service, Inc. 11,100 305 # Prime Energy Corp. 3,000 14 # Primark Corp. 9,369 232 Prime Bancorp Inc. 10,930 221 # Prime Hospitality Corp. 15,400 248 Procter & Gamble Co. 298,354 32,073 # Proffitt's, Inc. 10,200 374 # Progress Software Corp. 15,400 306 Progressive Corp. of Ohio 30,900 2,082 # Project Software & Development, Inc. 700 29 # Promus Hotel Corp. 22,090 654 Protective Life Corp. 13,300 530 # Proteon Inc. 36,100 94 # Protocol Systems Inc. 14,100 182 # Providence Journal Co. 10,500 322 # Provident American Corp. 33,800 477 Provident Bancorp Inc. 15,775 532 Provident Cos., Inc. 19,700 953 Providian Corp. 40,299 2,070 # Proxim, Inc. 4,700 109 # Proxymed Pharmacy, Inc. 26,250 182 # PsiNet, Inc. 36,300 399 Public Service Co. of Colorado 27,900 1,085 Public Service Co. of New Mexico 18,180 357 Public Service Co. of North Carolina, Inc. 5,000 91 Public Service Enterprise Group Inc. 104,625 2,851 Public Storage Properties XI Class A 800 16 Public Storage, Inc. REIT 35,800 1,110 Puerto Rican Cement Co., Inc. 8,700 272 Puget Sound Power & Light Co. 27,285 655 Pulitzer Publishing Co. 9,466 439 Pulte Corp. 17,008 523 # Pure Atria Software Corp. 17,257 424 # QLogic Corp. 24,327 631 Quaker Chemical Corp. 9,500 156 The Quaker Oats Co. 58,010 2,212 # Qualcomm, Inc. 29,000 1,156 # Quality Food Centers Inc. 9,468 322 # Quality Systems, Inc. 16,300 117 # Quantum Corp. 24,800 707 Questar Corp. 17,485 643 Quick & Reilly Group, Inc. 11,221 335 # QuickResponse Services, Inc. 7,200 209 # Quiksilver, Inc. 3,200 69 # Quickturn Design Systems, Inc. 20,400 419 # Quintel Entertainment, Inc. 21,300 197 # Quintiles Transnational Corp. 9,400 619 # Quorum Health Group, Inc. 20,900 619 # RAC Financial Group, Inc. 11,600 241 RFS Hotel Investors, Inc. REIT 4,000 79 R.L.I. Corp. 7,800 260 RJR Nabisco Holdings Corp. 118,019 4,013 RPM Inc. (Ohio) 33,850 575 # Racotek, Inc. 21,300 92 # RailTex, Inc. 13,506 336 # Rainbow Technologies, Inc. 11,500 216 # Rainforest Cafe, Inc. 11,850 279 # Ralcorp Holdings Inc. 18,657 394 Ralston-Ralston Purina Group 46,335 3,400 # Ramtron International Corp. 38,800 235 # Raster Graphics, Inc. 16,600 189 # Rational Software Corp. 17,100 677 Raychem Corp. 19,365 1,552 Raymond Corp. 12,239 213 Raymond James Financial, Inc. 16,850 508 Rayonier Inc. 13,375 513 Raytheon Co. 102,922 4,953 # Read-Rite Corp. 19,931 501 Reader's Digest Assn., Inc. Class A 45,300 1,823 Reader's Digest Assn., Inc. Class B 1,500 54 # Reading & Bates Corp. 30,595 811
38 87
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Realty Income Corp. 18,000 $ 430 # Recovery Engineering, Inc. 20,400 139 # Reddi Brake Supply Corp. 28,900 5 # Redhook Ale Brewery, Inc. 15,200 148 Redwood Trust, Inc. 9,900 365 Reebok International Ltd. 24,508 1,029 Regal-Beloit Corp. 16,300 320 # Regal Cinemas, Inc. 13,900 426 Regis Corp. 34,794 563 # Regency Health Services, Inc. 24,400 235 Regions Financial Corp. 26,610 1,375 Reinsurance Group of America, Inc. 7,300 344 Reliable Life Insurance Co. Class A 2,500 171 Reliance Bancorp, Inc. 14,000 271 Reliance Group Holdings 49,386 451 Reliastar Financial Corp. 15,549 898 # Remedy Corp. 11,400 610 # Renaissance Communications 13,150 470 # Renal Treatment Centers, Inc. 10,400 265 # Republic Industries, Inc. 105,958 3,305 Republic New York Corp. 24,031 1,962 # Research Medical, Inc. 13,190 303 # Resound Corp. 28,800 203 # Retirement Care Associates, Inc. 12,200 101 # Retix 31,809 213 # Revco Drug Stores, Inc. 29,100 1,077 # Revlon, Inc. 8,500 254 # Rexall Sundown, Inc. 14,303 389 # Rexel Inc. 15,800 251 Reynolds & Reynolds Class A 34,600 900 Reynolds Metals Co. 27,274 1,538 # Rhodes Inc. 31,600 245 Rhone-Poulenc Rorer, Inc. 59,452 4,645 Richfood Holdings, Inc. 20,150 489 Riggs National Corp. 27,800 481 # Right Management Consultants 9,500 217 # Rightchoice Managed Care, Inc. 14,800 157 # Rio Hotel and Casino, Inc. 16,100 235 Rite Aid Corp. 52,323 2,080 Roadway Express Inc. 7,358 142 # Robert Half International, Inc. 28,400 976 Rochester Gas and Electric Corp. 15,752 301 # Rochester Medical Corp. 12,550 236 Rockwell International Corp. 93,867 5,714 # Rocky Mountain Chocolate Factory, Inc. 15,400 93 # Rogers Corp. 10,500 285 Rohm & Haas Co. 28,458 2,323 # Rohr, Inc. 16,500 373 # Rollins Environmental Services, Inc. 102,674 180 Rollins, Inc. 13,550 271 Rollins Truck Leasing 14,600 184 Roosevelt Financial Group 19,334 404 Roper Industries Inc. 1,364 53 Ross Stores, Inc. 10,806 539 # Ross Technology, Inc. 13,400 44 Rouge Steel Co. Class A 11,500 243 Rouse Co. 24,500 778 # Rowan Cos., Inc. 37,072 839 # Royal Appliance Manufacturing Co. 71,186 489 Royal Caribbean Cruises, Ltd. 26,400 617 # Royal Grip, Inc. 11,600 33 Rubbermaid, Inc. 64,467 1,467 Ruby Tuesday, Inc. 14,237 263 Ruddick Corp. 28,700 402 Russell Corp. 16,550 492 # Rutherford-Moran Oil Corp. 4,800 133 # Ryan's Family Steak Houses, Inc. 43,315 299 Ryder System, Inc. 34,866 981 # S&K Famous Brands Inc. 6,200 59 SBC Communications Inc. 263,386 13,630 # SCI Systems, Inc. 12,658 566 # SDL, Inc. 14,950 389 SEI Corp. 17,900 395 SJW Corp. 5,800 272 # SLM International, Inc. 11,300 1 # SMC Corp. 21,200 163 # SPS Technologies, Inc. 5,876 378 # SPS Transaction Services 23,200 354 SPX Corp. 12,200 473 # SQA, Inc. 11,200 375 # S3, Inc. 20,500 334 SAFECO Corp. 55,135 2,174 # Safeguard Health Enterprises, Inc. 11,135 196 # Safeguard Scientifics, Inc. 12,594 400 # Safeskin Corp. 10,700 524 Safety-Kleen Corp. 25,209 413 # Safeway, Inc. 94,079 4,022 St. Francis Capital Corp. 11,200 294 St. Joe Corp. 13,100 852 St. John Knits, Inc. 7,100 309 # St. Jude Medical, Inc. 35,359 1,507 St. Mary Land & Exploration Co. 18,728 468 St. Paul Bancorp, Inc. 14,797 434 St. Paul Cos., Inc. 36,682 2,150 # Saks Holdings, Inc. 30,600 826 Salomon, Inc. 45,020 2,122 # Sanchez Computer Associates Inc. 1,260 10 # SanDisk Corp. 25,900 248 # Sanmina Corp. 7,400 418 Santa Anita Realty Enterprises 19,600 515 # Santa Fe Energy Resources, Inc. 39,262 545 Santa Fe Pacific Gold Corp. 56,138 863 Santa Monica Bank 19,400 330 Sara Lee Corp. 210,897 7,856 # Satcon Technology Corp. 26,893 171 Savannah Foods & Industries, Inc. 25,500 344 Sbarro, Inc. 3,909 100 SCANA Corp. 45,100 1,206 # Henry Schein, Inc. 9,500 326 # R. P. Scherer Corp. 10,174 511 Schering-Plough Corp. 161,281 10,443 Schlumberger Ltd. 106,754 10,662 Schnitzer Steel Industries, Inc. Class A 4,400 112 # Scholastic Corp. 6,900 461 # Schuler Homes Inc. 23,800 147
39 88
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Schuller Corp. 69,000 $ 733 A. Schulman Inc. 14,493 357 Charles Schwab Corp. 76,136 2,436 Schweitzer-Mauduit International, Inc. 13,037 412 # Sciclone Pharmaceuticals 5,900 48 Scientific-Atlanta, Inc. 33,192 498 # Scientific Games Holdings Corp. 10,500 281 # Scios, Inc. 43,300 267 # Scopus Technology, Inc. 13,400 622 # Scotts Co. 16,700 332 E.W. Scripps Co. 34,576 1,210 Seacoast Banking Corp. of Florida Class A 9,400 245 # Seagate Technology 95,702 3,780 # Seacor Holdings, Inc. 5,700 358 # Seagull Energy Corp. 27,752 611 # Sealed Air Corp. 18,300 762 Sealright Co. 16,200 173 # Search Capital Group, Inc. 4,825 25 Sears, Roebuck & Co. 170,487 7,864 # Seattle FilmWorks, Inc. 7,900 159 # Secure Computing Corp. 19,700 175 Security Capital Corp. 7,100 522 Security Capital Atlantic Inc. 16,000 392 Security Capital Industrial Trust REIT 35,283 754 Security Capital Pacific Inc. REIT 30,969 708 Security Connecticut Corp. 2,200 77 # Security Dynamics Technologies, Inc. 14,600 459 # Security First Network Bank 18,664 198 Sensormatic Electronics Corp. 31,738 532 # Sepracor Inc. 7,700 127 # Sequa Corp. Class A 12,344 485 # Sequana Therapeutics, Inc. 13,400 219 # Sequent Computer Systems, Inc. 28,100 497 # Sequus Pharmaceuticals, Inc. 27,800 443 Service Corp. International 102,456 2,869 # Service Merchandise Co., Inc. 10,550 45 Shared Medical Systems Corp. 10,363 510 Shaw Industries, Inc. 58,200 684 Sherwin-Williams Co. 37,580 2,104 # Shiva Corp. 12,300 427 # Shoe Carnival, Inc. 34,200 184 Shopko Stores, Inc. 23,445 352 # Shoney's Inc. 48,906 342 # Shorewood Packaging 4,700 93 # Show Biz Pizza Time, Inc. 16,300 301 Showboat, Inc. 3,784 65 # Shuffle Master, Inc. 25,217 227 # Siebel Systems, Inc. 14,700 401 Sierra Pacific Resources 13,400 385 # Sierra Semiconductor 25,746 385 Sigma Aldrich Corp. 21,877 1,366 # Signal Technology Corp. 41,653 318 Signet Banking Corp. 25,508 784 SIG Corp. 8,400 291 # Silicon Gaming, Inc. 8,600 138 # Silicon Graphics, Inc. 74,238 1,893 # Silicon Valley Bancshares 4,800 155 # Silicon Valley Research, Inc. 12,100 25 Simmons First National 13,050 346 Simon DeBartolo Group Inc. 41,172 1,276 # Sirco International Corp. 46,300 220 # Sitel Corp. 22,700 322 Sirrom Capital Corp. 13,200 479 Sizzlers Property Investors, Inc. 24,300 234 # Sizzler International 82,325 237 A.O. Smith Corp. 16,400 490 # Smith Technology Corp. 3,600 2 # Smith International, Inc. 17,100 767 # Smithfield Foods, Inc. 10,800 409 Smiths Food & Drug Centers, Inc. Class B 12,870 399 J.M. Smucker Co. Class A 12,800 226 J.M. Smucker Co. Class B 2,500 40 # Snyder Communications, Inc. 5,200 140 Snap-On Inc. 26,518 945 # Software Spectrum, Inc. 16,100 469 # Sofamor Danek Group Inc. 9,600 293 # Softdesk, Inc. 3,100 47 # Sola International, Inc. 10,200 388 # Solectron Corp. 22,500 1,201 # Solv-Ex Corp. 25,766 364 Sonat, Inc. 36,860 1,898 # Sonic Corp. 13,050 330 Sonoco Products 38,460 995 Sotheby's Holdings Class A 23,800 443 Southdown, Inc. 14,900 464 Southern California Water Co. 11,700 254 Southern Co. 290,823 6,580 Southern National Corp. 46,650 1,691 Southern New England Telecommunications Corp. 28,200 1,096 # Southern Union Co. 14,419 317 # Southland Corp. 179,200 532 SouthTrust Corp. 40,989 1,429 Southwest Airlines Co. 62,723 1,388 Southwest Bancshares, Inc. 15,474 282 # Southwest Banks, Inc. 1,800 34 Southwest Gas Corp. 21,900 422 Southwestern Energy Co. 21,700 328 Southwestern Public Service Co. 17,100 605 Sovereign Bancorp, Inc. 18,200 238 Sovran Self Storage, Inc. 11,300 353 # Spacelabs Medical 10,939 228 # Spacetec IMC Corp. 17,900 93 # Spaghetti Warehouse, Inc. 4,400 23 Spartan Motors, Inc. 16,900 112 # Specialty Chemical Resources, Inc. 29,400 44 # Spectran Corp. 11,000 241 # Spectranetics Corp. 26,400 109 # Spectrum Holobyte 41,600 315 # Speedfam International, Inc. 12,200 349 # Speedway Motorsports, Inc. 17,700 372 # Spelling Entertainment 50,100 369 # Spiegel, Inc. Class A 47,100 333 Spieker Properties, Inc. REIT 15,000 540 # Sports & Recreation 30,650 238 # The Sports Authority, Inc. 13,200 287
40 89
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Springs Industries Inc. Class A 8,665 $ 373 Sprint Corp. 187,546 7,478 # Spyglass, Inc. 14,500 180 # Stac, Inc. 35,830 233 # Standard Commercial Tobacco Co. 12,139 246 Standard Federal Bank 13,100 745 Standard Financial, Inc. 17,300 342 # Standard Microsystem 17,300 162 Standard Motor Products, Inc. 16,400 228 Standard Products Co. 15,200 388 The Standard Register Co. 12,313 400 Stanhome, Inc. 13,100 347 The Stanley Works 38,862 1,049 # Staples, Inc. 69,777 1,260 Star Banc Corp. 12,496 1,148 # Starbucks Corp. 33,900 970 L. S. Starrett Co. Class A 10,800 306 # Starter Corp. 43,600 251 # Starsight Telecast, Inc. 21,800 206 State Auto Financial Corp. 13,350 245 Starwood Lodging Trust REIT 10,700 590 State Street Boston Corp. 34,892 2,251 # Station Casinos, Inc. 4,000 41 # Stein Mart, Inc. 17,950 359 Stepan Co. 2,600 53 Stephan Co. 17,650 227 # Steris Corp. 15,349 669 # Sterling Commerce, Inc. 33,085 1,166 # Sterling Software, Inc. 15,500 490 Stewart & Stevenson Services, Inc. 14,518 423 Stewart Enterprises, Inc. Class A 15,300 520 Stone Container Corp. 42,413 631 # Stone Energy Corp. 13,800 412 Storage USA, Inc. REIT 9,300 350 Storage Trust Realty REIT 13,900 375 # Storage Technology Corp. 25,855 1,231 # Strategic Distribution, Inc. 48,378 387 # Stratosphere Corp. 75,400 66 # Strattec Strategy Corp. 18,605 344 # Stratus Computer, Inc. 15,700 428 # StreamLogic Corp. 34,100 24 Stride Rite Corp. 41,726 417 # Structural Dynamics Research Corp. 16,200 321 Stryker Corp. 42,300 1,266 Student Loan Marketing Assn. 25,197 2,346 Student Loan Corp. 6,400 238 # Studio Plus Hotels, Inc. 12,450 198 # Styles on Video, Inc. 12,300 1 # Submicron Systems Corp. 48,900 206 Sullivan Dental Products, Inc. 18,600 241 Sumitomo Bank of California 12,400 319 Summit Bancorp 40,547 1,774 # Summit Care Corp. 7,800 125 # Summit Technology, Inc. 44,800 249 # Sun Coast Industries, Inc. 6,300 17 Sun Communities, Inc. REIT 12,600 435 Sun Co., Inc. 31,714 773 # Sun Microsystems, Inc. 160,904 4,133 # Sunbelt Nursery Group, Inc. 3,500 5 SunAmerica Inc. 51,000 2,263 # Sun Healthcare Group, Inc. 30,700 414 Sunbeam Corp. 35,300 909 Sundstrand Corp. 25,800 1,097 # SunGard Data Systems, Inc. 18,000 718 # Sunglass Hut International, Inc. 21,326 156 # Sunrise Medical, Inc. 19,000 302 SunTrust Banks, Inc. 97,239 4,789 # SuperGen, Inc. 21,000 255 Superior Industries International, Inc. 11,550 267 Superior Surgical Manufacturing Co., Inc. 5,600 76 SuperValu Inc. 28,549 810 # Supreme International Corp. 12,800 189 Susquehanna Bancshares, Inc. 11,200 387 # Swift Energy Co. 12,800 382 # Swift Transportation Co., Inc. 7,700 180 # Swing-n-Slide Corp. 25,397 83 # Sybase, Inc. 33,020 551 # Sybron International Corp. 20,496 676 # Sykes Enterprises, Inc. 7,500 277 # Sylvan Learning Systems, Inc. 9,900 280 # Symantec Corp. 23,088 336 # Symbol Technologies, Inc. 11,200 496 # Symmetricom Inc. 18,200 364 # Syms Corp. 20,200 172 # Synagro Technologies Inc. 8,046 20 Synalloy Corp. 6,200 100 # Syncor International Corp. 15,200 206 # Synopsys, Inc. 17,400 800 # Synetic, Inc. 3,800 184 Synovus Financial Corp. 49,950 1,605 Sysco Corp. 78,954 2,576 # System Software Associates, Inc. 12,200 129 # Systemix, Inc. 14,990 227 # TBC Corp. 28,650 218 TCA Cable Television, Inc. 15,800 473 TCF Financial Corp. 14,900 648 # TCI Satellite Entertainment, Inc. Class A 27,197 270 # TCI Satellite Entertainment, Inc. Class B 420 5 # TCSI Corp. 15,421 97 TECO Energy, Inc. 50,100 1,209 TIG Holdings, Inc. 24,500 830 TJX Cos., Inc. 31,584 1,496 TNP Enterprises, Inc. 4,300 118 # T.P.I. Enterprises, Inc. 31,100 3 # TRO Learning, Inc. 16,500 182 TRW, Inc. 55,406 2,743 # TST Impreso, Inc. 32,800 279 Talbots Inc. 13,500 386 Tambrands, Inc. 15,823 647 # Tandem Computers, Inc. 49,730 684 Tandy Corp. 25,498 1,122 Tanger Factory Outlet Centers, Inc. 12,411 337 # Target Therapeutics, Inc. 12,956 543 Taubman Co. REIT 35,600 458 # Team Rental Group, Inc. 16,700 271
41 90
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # Tech Data Corp. 18,522 $ 507 Tech/Ops Sevcon, Inc. 5,000 64 # Tech-Sym Corp. 10,002 298 # Techne 600 15 # Technical Chemicals and Products, Inc. 5,500 49 # Technology Solutions Co. 13,078 539 # Tecnol Medical Products Inc. 5,000 75 Tecumseh Products Co. Class A 9,400 539 # Telco Systems, Inc. 5,100 98 # Tejas Gas Corp. 8,870 422 Tektronix, Inc. 14,120 724 # Tel-Save Holdings, Inc. 12,650 366 # Tele-Communications International, Inc. Series A 46,000 618 # Tele-Communications, Inc. Class A 281,170 3,673 # Tele-Communications, Inc. Class B 4,200 57 Teleflex Inc. 7,563 394 Telephone & Data Systems, Inc. 25,800 935 # Tellabs, Inc. 77,888 2,935 Telxon Corp. 7,900 98 # Telular Corp. 46,600 253 Temple-Inland Inc. 23,726 1,284 # Teletech Holdings Inc. 24,300 623 # Tencor Instruments 21,100 558 # Tenet Healthcare Corp. 92,872 2,032 Tenneco, Inc. 73,235 3,305 # Teradyne, Inc. 36,129 881 Terra Industries, Inc. 34,750 513 Texaco Inc. 114,836 11,268 Texas Industries, Inc. 5,900 299 Texas Instruments, Inc. 82,151 5,237 Texas Regional Bancshares, Inc. 8,900 305 Texas Utilities Co. 96,810 3,945 Textron, Inc. 35,006 3,299 # Theragenics Corp. 41,442 932 # Thermo Electron Corp. 61,662 2,544 # Thermo Instrument Systems, Inc. 41,518 1,375 # Thermo Cardiosystems Inc. 15,750 473 # Thermo Ecotek Corp. 16,950 258 # Thermo Fibertek, Inc. 45,825 427 Thermo Remediation, Inc. 16,400 144 # Thermo TerraTech, Inc. 600 6 # Thermo VolTek 27,450 271 # ThermoLase Corp. 18,200 287 # ThermoTrex Corp. 7,700 211 # Thermedics, Inc. 15,950 289 Thiokol Corp. 7,800 349 Thomas & Betts Corp. 17,327 769 # Thompson PBE, Inc. 18,900 116 Thor Industries, Inc. 12,300 310 Thornburg Mortgage Asset Corp. 21,700 464 # 3 Com Corp. 73,793 5,410 # 360 Communications Co. 53,949 1,247 Tidewater, Inc. 26,300 1,190 Tiffany & Co. 14,868 544 Timberline Software Corp. 50,032 441 Time Warner, Inc. 245,653 9,212 Times Mirror Co. Class A 45,216 2,250 Times Mirror Co. 20,009 1,033 The Timken Co. 13,545 621 Titan Wheel International, Inc. 16,450 210 # Titanium Metals Corp. 13,100 429 Toastmaster, Inc. 10,300 39 # Today's Man Inc. 38,300 61 # Todd Shipyards Corp. 48,747 317 # Todhunter International, Inc. 19,300 164 # Toll Brothers, Inc. 24,300 474 Tootsie Roll Industries, Inc. 9,247 366 # The Topps Co., Inc. 39,197 159 Torch Energy Royalty Trust 22,100 237 Torchmark Corp. 30,698 1,550 The Toro Co. 10,800 394 Tosco Corp. 18,886 1,494 Total Petroleum (North America) Ltd. 36,000 373 # Total Renal Care Holdings, Inc. 11,100 402 # Total-Tel USA Communications, Inc. 2,640 48 Total System Services, Inc. 55,424 1,489 Town & Country Trust REIT 22,400 328 # Toy Biz 7,800 152 # Toys R Us, Inc. 117,962 3,539 # Tractor Supply Co. 2,200 45 # Trak Auto Corp. 17,500 255 # Trans World Airlines 32,997 225 # Transaction Systems Architects, Inc. 9,500 313 Transamerica Corp. 28,707 2,268 Transatlantic Holdings 9,800 789 # Transitional Hospital Corp. 41,010 395 Transocean Offshore Inc. 22,200 1,390 TransPro Inc. 25,725 235 # TransTexas Gas Corp. 32,700 466 # Transworld Home Healthcare, Inc. 32,226 350 Travelers/Aetna Property Casualty Corp. Class A 30,400 1,075 Travelers Group Inc. 275,912 12,519 Tredegar Industries Inc. 6,600 265 # Tremont Corp. 8,046 291 Trenwick Group Inc. 5,600 260 # Triangle Pacific Corp. 3,100 74 # Triad Guaranty, Inc. 10,350 290 # Triarc Cos., Inc. Class A 5,700 65 Tribune Co. 26,497 2,090 Trimas Corp. 15,700 375 # Trimble Navigation Ltd. 16,100 186 Trinity Industries, Inc. 18,250 684 Trinova Corp. 11,833 430 # Triquint Semiconductor, Inc. 2,700 71 Triton Energy Ltd. Class A 10,300 499 True North Communications 5,000 109 # Trump Hotels & Casino Resorts, Inc. 9,400 113 The Trust Co. of New Jersey 19,500 274 Trustco Bank 17,520 373 Trustmark Corp. 15,700 406 # Tucson Electric Power Co. 24,780 412 # Tuesday Morning, Inc. 15,498 331
42 91
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Tupperware Corp. 27,182 $ 1,458 20th Century Industries of CA 22,300 376 Tyco International Ltd. 66,068 3,493 # Tyco Toys, Inc. 47,300 556 # Tyler Corp. 108,700 204 Tyson Foods, Inc. 63,346 2,170 # UAL Corp. 25,180 1,574 # UCAR International, Inc. 20,200 760 UGI Corp. Holding Co. 14,200 318 # UICI 19,000 614 UMB Financial Corp. 8,523 350 UNR Industries, Inc. 38,000 226 UNUM Corp. 31,427 2,271 # URS Corp. 24,700 222 UST Corp. 21,000 430 UST Inc. 81,246 2,630 # USA Waste Service 55,465 1,768 # United States Can Co. 14,909 251 USF&G Corp. 51,283 1,070 # USG Corp. 19,500 661 USX-Delhi Group 17,600 279 USX-Marathon Group 124,946 2,983 USX-U.S. Steel Group 35,987 1,129 # U.S. Robotics Corp. 38,581 2,780 # Ultrafem, Inc. 15,267 263 Ultramar Diamond Shamrock Corp. 31,636 1,000 # Ultratech Stepper, Inc. 16,100 380 Unifi, Inc. 27,750 891 Unifirst Corp. 17,400 370 Uniforce Services Inc. 9,200 179 # Unigene 28,300 57 # Unilab Corp. 19,400 8 Unicom Corp. 92,309 2,504 Union Camp Corp. 29,829 1,424 Union Carbide Corp. 56,346 2,303 Union Electric Co. 43,872 1,689 Union Pacific Corp. 104,997 6,313 Union Pacific Resources Group, Inc. 107,658 3,149 Union Planters Corp. 26,980 1,052 Union Texas Petroleum Holdings, Inc. 37,300 834 UnionBanCal Corp. 19,700 1,046 # Uniphase Corp. 7,100 374 # Uniroyal Technology Corp. 1,000 3 # Unisys Corp. 76,980 520 United Asset Management Corp. 26,100 695 United Carolina Bancshare Corp. 10,700 421 United Cos. Finance Corp. 12,117 323 # United Capital Corp. 24,900 218 United Dominion Industries Ltd. 19,900 468 United Dominion Realty Trust REIT 24,300 377 United Healthcare Corp. 79,446 3,575 United Illuminating Co. 10,100 317 # United International Holdings, Inc. Class A 2,000 24 # United Meridian Corp. 14,600 755 United Mobile Homes, Inc. 19,100 217 United National Bancorp 4,982 182 # United Payors & United Providers, Inc. 5,000 68 U.S. Bancorp 67,519 3,034 # U.S. Bioscience 24,487 309 # U.S. Energy Corp. 13,160 131 # U.S. Filter Corp. 22,484 714 # USAir Group, Inc. 27,463 642 # U.S. Long Distance Corp. 15,564 126 # U.S. Home Corp. 13,200 343 # U.S. Industries, Inc. 22,000 756 # US Office Products Co. 17,400 590 U S WEST Communications Group 205,901 6,640 # U S WEST Media Group 269,264 4,981 # United States Cellular 36,900 1,028 # United States Satellite Broadcasting Co., Inc. Class A 39,300 388 United States Surgical Corp. 26,665 1,050 United States Trust Corp. 7,551 595 United Technologies Corp. 106,418 7,023 United Television, Inc. 5,500 481 # United Waste Systems, Inc. 15,800 542 United Wisconsin Services Inc. 12,400 325 Unitrin Inc. 16,100 902 # Unitrode Corp. 13,411 394 Universal Corp. 15,000 482 # Universal Electronics, Inc. 18,400 103 Universal Foods Corp. 11,013 388 # Universal Health Services Class B 14,600 418 Unocal Corp. 107,217 4,356 # Uranium Resources, Inc. 13,132 102 Urban Shopping Centers, Inc. REIT 14,800 429 # UROHEALTH Systems, Inc. Class A 16,271 126 # Urocor, Inc. 12,300 118 US Bancorp, Inc. 6,200 261 # USDATA Corp., Inc. 21,803 128 USLIFE Corp. 14,816 493 Utilicorp United, Inc. 22,600 610 VF Corp. 27,344 1,846 # VLSI Technology, Inc. 20,100 477 # VWR Scientific Products Corp. 19,600 338 # Vaalco Energy, Inc. 46,500 13 # Valassis Communication 19,000 401 Valhi, Inc. 43,600 278 # Valence Technology 9,000 39 Valero Energy Corp. 18,800 538 Valley National Bancorp 14,944 383 # ValuJet Inc. 14,500 92 Valspar Corp. 9,500 538 # Value City Department Stores, Inc. 32,500 341 # Value Health, Inc. 23,372 456 Value Line, Inc. 5,900 268 # Vanguard Cellular Systems, Inc. Class A 17,613 275 # Vanstar Corp. 17,700 434 # Vantive Corp. 10,100 314 # Varco International, Inc. 21,572 499 Varian Associates, Inc. 13,000 661 Vastar Resources, Inc. 41,600 1,581 # Vencor, Inc. 29,863 944 # Venture Stores, Inc. 70,663 212
43 92
- ----------------------------------------------------------------------- MARKET VALUE* TOTAL STOCK MARKET PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # VeriFone, Inc. 10,200 $ 301 # Verity, Inc. 21,800 332 # Versant Object Technology Corp. 8,200 154 Vesta Insurance Group, Inc. 7,000 220 # Veterinary Centers of America, Inc. 22,160 241 # Viacom International Inc. Class A 4,953 171 # Viacom International Inc. Class B 149,318 5,207 Viad Corp. 40,363 666 # Viasoft, Inc. 7,448 353 # Vicor Corp. 18,319 306 # Vicorp Restaurants, Inc. 16,500 212 # Video Lottery 14,400 49 # Viewlogic Systems, Inc. 25,391 284 # Viking Office Products 36,400 971 # Videoserver, Inc. 9,900 418 # VideoLan Technologies, Inc. 14,800 24 Vintage Petroleum, Inc. 19,100 659 Virginia Beach Federal Financial Corp. 10,200 97 # Vishay Intertechnology, Inc. 26,211 613 # Visix Space Inc. 15,271 341 # Vitesse Semiconductor Corp. 9,800 446 # Vivra, Inc. 17,000 470 # Vmark Software, Inc. 42,414 318 # Volt Information Sciences Inc. 8,200 356 # Vons Cos., Inc. 18,900 1,132 Vornado Realty Trust REIT 10,600 556 Vulcan Materials Co. 14,890 906 # WFS Financial, Inc. 18,650 364 # WHX Corp. 23,300 207 WICOR, Inc. 10,500 377 # WMS Industries, Inc. 16,700 334 WMX Technologies Inc. 213,945 6,980 WPL Holdings, Inc. 13,200 371 WPS Resources Corp. 9,021 257 # WRT Energy Corp. 28,200 1 # WSFS Financial Corp. 25,700 263 # Waban, Inc. 14,100 367 Wabash National Corp. 10,450 192 Wachovia Corp. 72,687 4,107 Wackenhut Corp. 10,092 174 Wackenhut Corp. Class B 6,350 97 # Wackenhut Corrections Corp. 11,300 226 # Wahlco Environmental 38,500 14 Wainwright Bank & Trust Co. 4,600 31 Wal-Mart Stores, Inc. 995,384 22,769 Walbro Corp. 12,800 235 Walgreen Co. 107,080 4,283 # Walker Interactive Systems, Inc. 29,800 404 # Wall Data Inc. 16,396 246 Wallace Computer Services, Inc. 19,600 676 # Wang Laboratories, Inc. 15,300 312 Warnaco Group 22,253 659 Warner-Lambert Co. 118,117 8,859 Washington Energy Co. 19,300 398 Washington Federal Inc. 16,368 430 Washington Gas Light Corp. 18,798 425 Washington Mutual Inc. 31,591 1,368 Washington National Corp. 6,500 179 Washington Post Co. Class B 4,700 1,575 Washington REIT 25,700 450 Washington Water Power Co. 23,000 428 # Waters Corp. 12,400 377 Watkins-Johnson Co. 9,100 223 # Watson Pharmaceuticals, Inc. 16,014 720 Watts Industries Class A 17,000 406 Wausau Paper Mills Co. 16,200 299 Waverly, Inc. 6,518 156 # Weatherford Enterra Inc. 25,654 770 # Webco Industries, Inc. 18,800 99 Weeks Corp. REIT 11,000 366 Weingarten Realty Investors REIT 10,900 443 # Weirton Steel 56,800 199 Weis Markets, Inc. 18,100 577 # Wellcare Management Group, Inc. 16,100 129 Wellman, Inc. 17,945 307 # Wellpoint Health Networks Inc. Class A 28,235 970 Wells Fargo & Co. 41,207 11,115 Wellsford Residential Property Trust REIT 17,800 432 Wendy's International, Inc. 54,697 1,121 Werner Enterprises, Inc. 16,800 305 Westbanco Inc. 3,300 106 Wesco Financial Corp. 3,342 625 # Western Atlas Inc. 23,138 1,640 Westcorp, Inc. 19,507 427 # Western Digital Corp. 18,700 1,064 Western Gas Resources, Inc. 7,800 150 Western Investment Real Estate Trust REIT 7,300 95 Western National Corp. 26,700 514 Western Resources, Inc. 27,100 837 # Western Wireless Corp. 16,300 225 Westinghouse Air Brake Co. 19,000 240 Westinghouse Electric Corp. 180,419 3,586 # Westpoint Stevens, Inc. 12,743 379 Westvaco Corp. 43,447 1,249 # Westwood One, Inc. 24,100 399 # WetSeal, Inc. Class A 16,200 343 Weyerhaeuser Co. 85,785 4,064 Wheelabrator Technologies, Inc. 69,462 1,129 Whirlpool Corp. 31,744 1,480 # White River 8,842 504 Whitman Corp. 46,025 1,053 Whitney Holdings 7,370 258 # Whole Foods Market, Inc. 16,200 361 Willamette Industries, Inc. 23,382 1,628 Williams Cos., Inc. 67,625 2,536 # Clayton Williams Energy, Inc. 20,000 350 # Williams Sonoma, Inc. 19,308 700 Wilmington Trust Corp. 15,700 624 # Wind River Systems 10,459 493 Windmere-Durable Holdings Inc. 18,399 237 Winn Dixie Stores, Inc. 65,375 2,067 # Wireless One, Inc. 2,700 18 # Wisconsin Central Transportation Corp. 22,300 884 Wisconsin Energy Corp. 47,938 1,288 Wiser Oil Co. 14,900 294
44 93
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Witco Chemical Corp. 24,200 $ 738 Wolohan Lumber Co. 28,078 356 Wolverine World Wide, Inc. 17,847 517 # Wonderware Corp. 17,300 155 # Woolworth Corp. 57,492 1,258 # World Acceptance Corp. 37,800 250 # World Color Press, Inc. 13,500 260 World Fuel Services Corp. 12,941 288 # WorldCom, Inc. 169,612 4,420 Worthington Foods 7,066 132 Worthington Industries, Inc. 39,089 711 # World Corp. 36,600 160 Wrigley, (Wm.) Jr. Co. 50,788 2,857 Wyle Electronics 9,800 387 # Wyman Gordon Corp. 28,100 623 X-Rite Inc. 12,700 213 # Xoma Corp. 41,956 218 # Xilinx, Inc. 31,600 1,163 Xerox Corp. 140,733 7,406 Xtra Corp. 8,100 351 # Xylan Corp. 17,800 501 # Yellow Corp. 27,347 397 York International Corp. 18,600 1,039 # York Research Corp. 11,300 106 # Young Broadcasting Corp. 7,400 217 # Zale Corp. 14,800 284 # Zebra Technologies Class A 10,500 243 # Zenith Electronics Corp. 28,182 306 Zenith National Insurance Corp. 14,100 386 Ziegler Cos., Inc. 2,800 49 # Zilog Inc. 17,700 462 Zions Bancorp 6,372 661 # Zoltek Cos., Inc. 16,200 588 Zurich Reinsurance Centre Holdings, Inc. 10,700 334 Zurn Industries, Inc. 13,200 345 # Zycad Corp. 40,612 69 # Zoll Medical Corp. 31,700 329 - ----------------------------------------------------------------------- TOTAL COMMON STOCKS (96.1%)(1) (COST $2,648,885) 3,393,773 - -----------------------------------------------------------------------
FACE AMOUNT (000) - ----------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.3%) - ----------------------------------------------------------------------- U.S. TREASURY BILL--Note D 5.17%, 1/9/97 $ 4,600 4,596 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.39%, 1/2/97 110,962 110,962 - ----------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $115,557) 115,558 - ----------------------------------------------------------------------- TOTAL INVESTMENTS (99.4%) (COST $2,764,442) $3,509,331 - ----------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (0.6%) - ----------------------------------------------------------------------- Other Assets--Notes B and E 99,258 Liabilities--Note E (77,733) ---------- 21,525 - ----------------------------------------------------------------------- NET ASSETS (100%) - ----------------------------------------------------------------------- Applicable to 198,663,136 outstanding shares of beneficial interest (unlimited authorization) $3,530,856 ======================================================================= NET ASSET VALUE PER SHARE $17.77 =======================================================================
*See Note A in Notes to Financial Statements. #Non-Income Producing Security. (1) The combined market value of common stocks, S&P 500 Index futures contracts, and S&P Midcap 400 Index futures contracts represents 100.0% of net assets. ADR--American Depository Receipt. REIT--Real Estate Investment Trust.
- ----------------------------------------------------------------------- AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF: - ----------------------------------------------------------------------- AMOUNT PER (000) SHARE - ----------------------------------------------------------------------- Paid in Capital--Note A $2,776,906 $13.98 Undistributed Net Investment Income--Notes A and C 92 -- Accumulated Net Realized Gains--Note C 8,749 .04 Unrealized Appreciation--Note D Investment Securities 744,889 3.75 Futures Contracts 220 -- - ----------------------------------------------------------------------- NET ASSETS $3,530,856 $17.77 =======================================================================
45 94
- ----------------------------------------------------------------------- MARKET VALUE* GROWTH PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- COMMON STOCKS - ----------------------------------------------------------------------- General Electric Co. 440,704 $ 43,575 The Coca-Cola Co. 666,051 35,051 Intel Corp. 219,664 28,749 # Microsoft Corp. 319,962 26,437 Merck & Co., Inc. 322,669 25,572 Philip Morris Cos., Inc. 218,007 24,553 Procter & Gamble Co. 182,557 19,625 Johnson & Johnson 356,450 17,733 Bristol-Myers Squibb Co. 134,073 14,580 Pfizer, Inc. 172,529 14,298 E.I. du Pont de Nemours & Co. 150,660 14,219 Wal-Mart Stores, Inc. 613,967 14,045 Hewlett-Packard Co. 272,165 13,676 American International Group, Inc. 125,726 13,610 The Walt Disney Co. 181,581 12,643 PepsiCo, Inc. 415,815 12,163 GTE Corp. 257,454 11,714 Gillette Co. 144,128 11,206 # Cisco Systems, Inc. 173,762 11,056 Federal National Mortgage Assn. 292,200 10,884 Eli Lilly & Co. 147,737 10,785 Abbott Laboratories 207,985 10,555 Chase Manhattan Corp. 117,400 10,478 American Home Products Corp. 170,937 10,021 Minnesota Mining & Manufacturing Co. 111,847 9,269 McDonald's Corp. 186,712 8,449 SBC Communications Inc. 161,593 8,362 Lucent Technologies, Inc. 170,425 7,882 Unilever NV ADR 42,867 7,512 # Oracle Corp. 175,972 7,325 Kimberly-Clark Corp. 75,623 7,203 Eastman Kodak Co. 89,235 7,161 Wells Fargo & Co. 24,774 6,683 Schlumberger Ltd. 65,953 6,587 Home Depot, Inc. 128,600 6,446 Schering-Plough Corp. 98,840 6,400 Monsanto Co. 157,373 6,118 Emerson Electric Co. 60,049 5,810 Time Warner, Inc. 152,234 5,709 Warner-Lambert Co. 72,576 5,443 # Compaq Computer Corp. 72,500 5,383 Anheuser-Busch Cos., Inc. 133,637 5,345 AT&T Corp. 118,472 5,154 AlliedSignal Inc. 75,700 5,072 Campbell Soup Co. 62,565 5,021 Computer Associates International, Inc. 97,611 4,856 Sara Lee Corp. 129,521 4,825 Nike, Inc. Class B 77,108 4,607 First Data Corp. 119,808 4,373 Medtronic, Inc. 64,136 4,361 Northern Telecom Ltd. 69,207 4,282 United Technologies Corp. 64,300 4,244 Pacific Telesis Group 114,619 4,212 # Amgen, Inc. 70,781 3,849 Kellogg Co. 56,411 3,702 Colgate-Palmolive Co. 39,293 3,625 H.J. Heinz Co. 98,390 3,517 # 3 Com Corp. 46,516 3,407 Westinghouse Electric Corp. 167,845 3,336 Automatic Data Processing, Inc. 77,702 3,331 ConAgra, Inc. 64,411 3,204 # WorldCom, Inc. 119,958 3,119 CoreStates Financial Corp. 59,630 3,093 CPC International, Inc. 38,490 2,983 Enron Corp. 68,100 2,937 # Boston Scientific Corp. 47,587 2,855 Corning, Inc. 61,604 2,849 Gannett Co., Inc. 37,778 2,829 PPG Industries, Inc. 49,055 2,753 Unocal Corp. 67,000 2,722 General Mills, Inc. 41,958 2,659 Illinois Tool Works, Inc. 33,195 2,651 Walgreen Co. 65,883 2,635 # Dell Computer 48,178 2,559 # Sun Microsystems, Inc. 98,326 2,520 # CUC International, Inc. 105,314 2,501 MBNA Corp. 59,594 2,473 First Bank System, Inc. 36,012 2,458 Ameritech Corp. 40,200 2,437 Albertson's, Inc. 67,503 2,405 The Gap, Inc. 75,914 2,287 Dayton-Hudson Corp. 58,152 2,282 Honeywell, Inc. 33,900 2,229 Tyco International Ltd. 41,872 2,214 Pitney Bowes, Inc. 39,700 2,164 Ralston-Ralston Purina Group 28,381 2,082 # EMC Corp. 62,299 2,064 # HFS Inc. 34,474 2,060 Avon Products, Inc. 35,574 2,032 Mattel, Inc. 72,765 2,019 Halliburton Co. 33,468 2,016 Marsh & McLennan Cos., Inc. 19,239 2,001 Union Pacific Resources Group, Inc. 66,838 1,955 Praxair, Inc. 41,880 1,932 Marriott International 34,266 1,893 Crown Cork & Seal Co., Inc. 34,357 1,868 # Tellabs, Inc. 48,084 1,809 Alco Standard Corp. 34,950 1,804 Hershey Foods Corp. 41,068 1,797 # MFS Communications Co., Inc. 32,900 1,785 Wrigley, (Wm.) Jr. Co. 31,109 1,750 Hilton Hotels Corp. 66,148 1,728 # Computer Sciences Corp. 20,340 1,670 Lowe's Cos., Inc. 46,200 1,640 UST Inc. 49,776 1,612 # The Kroger Co. 33,886 1,576 Sysco Corp. 47,865 1,562 Pioneer Hi Bred International 22,015 1,541 Dover Corp. 30,138 1,514
46 95
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Cognizant Corp. 45,877 $ 1,514 Green Tree Financial Corp. 37,025 1,430 Freeport-McMoRan Copper & Gold Inc. Class B 47,724 1,426 Fluor Corp. 22,406 1,406 Placer Dome, Inc. 64,072 1,394 # Cabletron Systems, Inc. 41,876 1,392 The Clorox Co. 13,835 1,389 The Quaker Oats Co. 36,256 1,382 Newell Co. 42,375 1,335 International Flavors & Fragrances, Inc. 29,624 1,333 Sears, Roebuck & Co. 28,646 1,321 Times Mirror Co. Class A 26,500 1,318 Tribune Co. 16,466 1,299 Sherwin-Williams Co. 23,000 1,288 Winn Dixie Stores, Inc. 40,513 1,281 Sprint Corp. 31,411 1,253 Xerox Corp. 23,677 1,246 The McGraw-Hill Cos. 26,586 1,226 Newmont Mining Corp. 26,676 1,194 Hercules, Inc. 27,430 1,186 Guidant Corp. 19,900 1,134 # Bay Networks Inc. 52,049 1,087 Allegheny Teledyne Inc. 46,700 1,074 Comcast Corp. Class A Special 59,649 1,059 Interpublic Group of Cos., Inc. 21,598 1,026 Avery Dennison Corp. 28,038 992 TJX Cos., Inc. 20,748 983 Raychem Corp. 11,846 949 # AirTouch Communications, Inc. 36,875 931 Tupperware Corp. 16,700 896 Harcourt General, Inc. 19,048 879 # Andrew Corp. 16,003 848 Sigma Aldrich Corp. 13,400 836 # General Instrument Corp. 36,826 796 Pall Corp. 30,965 790 Barrick Gold Corp. 26,265 755 # Ceridian Corp. 18,463 748 # Seagate Technology 17,672 698 # Oryx Energy Co. 27,938 691 Perkin-Elmer Corp. 11,625 684 Nalco Chemical Co. 18,000 650 Ecolab, Inc. 17,114 644 # AutoZone, Inc. 23,100 635 Harnischfeger Industries Inc. 13,100 630 # Tele-Communications, Inc. Class A 48,143 626 Reebok International Ltd. 14,900 626 Owens Corning 13,859 591 # ALZA Corp. 22,548 583 # Thermo Electron Corp. 12,600 520 # Rowan Cos., Inc. 22,900 518 Comcast Corp. Class A 27,755 489 Millipore Corp. 11,650 482 Battle Mountain Gold Co. Class A 60,100 413 Frontier Corp. 17,500 396 Becton, Dickinson & Co. 9,069 393 Foster Wheeler Corp. 10,460 388 # USAir Group, Inc. 16,479 385 Meredith Corp. 7,206 380 # Santa Fe Energy Resources, Inc. 24,300 337 W.R. Grace & Co. 6,495 336 MGIC Investment Corp. 4,296 327 Shared Medical Systems Corp. 6,019 296 The Dun & Bradstreet Corp. 12,277 292 Trinova Corp. 7,302 266 John H. Harland Co. 7,894 261 Rubbermaid, Inc. 11,052 251 # St. Jude Medical, Inc. 5,814 248 Southwest Airlines Co. 10,500 232 Duracell International, Inc. 3,200 224 Jostens Inc. 10,300 218 H & R Block, Inc. 7,416 215 Engelhard Corp. 10,369 198 Deluxe Corp. 5,915 194 The Stanley Works 6,393 173 # TCI Satellite Entertainment, Inc. Class A 17,364 171 Whitman Corp. 7,482 171 Allergan, Inc. 4,626 165 Homestake Mining Co. 10,593 151 # Harrah's Entertainment, Inc. 7,411 147 Pep Boys (Manny, Moe & Jack) 4,485 138 # Armco, Inc. 28,631 118 Freeport-McMoRan Copper & Gold Inc. Class A 4,000 113 Autodesk, Inc. 3,241 91 # Shoney's Inc. 953 7 # Fresenius Medical Care AG Pfd. Class D 21,100 3 - ----------------------------------------------------------------------- TOTAL COMMON STOCKS (99.8%) (COST $640,839) 784,778 - -----------------------------------------------------------------------
FACE AMOUNT (000) - ----------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.3%) - ----------------------------------------------------------------------- U.S. TREASURY BILL 5.17%, 1/9/97 $ 100 100 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.39%, 1/2/97 2,432 2,432 - ----------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $2,532) 2,532 - ----------------------------------------------------------------------- TOTAL INVESTMENTS (100.1%) (COST $643,371) 787,310 - -----------------------------------------------------------------------
47 96
- ----------------------------------------------------------------------- MARKET VALUE* GROWTH PORTFOLIO (000) - ----------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.1%) - ----------------------------------------------------------------------- Receivables for Investment Securities Sold $ 58,090 Other Assets--Note B 5,964 Payables for Investment Securities Purchased (63,330) Other Liabilities (1,130) ---------- (406) - ----------------------------------------------------------------------- NET ASSETS (100%) ======================================================================= Applicable to 46,551,584 outstanding shares of beneficial interest (unlimited authorization) $786,904 ======================================================================= NET ASSET VALUE PER SHARE $16.90 =======================================================================
*See Note A in Notes to Financial Statements. #Non-Income Producing Security. ADR--American Depository Receipt.
- ----------------------------------------------------------------------- AMOUNT PER (000) SHARE - ----------------------------------------------------------------------- AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF: - ----------------------------------------------------------------------- Paid in Capital--Notes A and C $644,969 $13.85 Undistributed Net Investment Income--Notes A and C 48 -- Accumulated Net Realized Losses--Note C (2,052) (.04) Unrealized Appreciation-- Note D 143,939 3.09 - ----------------------------------------------------------------------- NET ASSETS $786,904 $16.90 =======================================================================
48 97
- ----------------------------------------------------------------------- MARKET VALUE* VALUE PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- COMMON STOCKS - ----------------------------------------------------------------------- Exxon Corp. 456,906 $ 44,777 Royal Dutch Petroleum Co. ADR 197,233 33,677 International Business Machines Corp. 190,400 28,750 AT&T Corp. 477,328 20,764 Citicorp 173,271 17,847 Mobil Corp. 144,916 17,716 Chevron Corp. 240,080 15,605 General Motors Corp. 278,167 15,508 BellSouth Corp. 365,482 14,756 Amoco Corp. 182,918 14,725 The Boeing Co. 131,844 14,025 Ford Motor Co. 436,139 13,902 Motorola, Inc. 218,112 13,387 BankAmerica Corp. 132,034 13,170 Travelers Group Inc. 235,648 10,693 Bell Atlantic Corp. 161,084 10,430 NationsBank Corp. 105,827 10,345 Columbia/HCA Healthcare Corp. 246,974 10,064 American Express Co. 174,322 9,849 Ameritech Corp. 161,800 9,809 Texaco Inc. 97,343 9,552 Allstate Corp. 163,632 9,470 Chrysler Corp. 268,100 8,847 MCI Communications Corp. 252,037 8,223 Atlantic Richfield Co. 59,206 7,845 NYNEX Corp. 161,893 7,791 First Union Corp. 104,401 7,726 Pharmacia & Upjohn, Inc. 187,123 7,415 Federal Home Loan Mortgage Corp. 65,831 7,250 Dow Chemical Co. 89,476 7,013 Banc One Corp. 158,009 6,794 J.P. Morgan & Co., Inc. 68,639 6,701 Lockheed Martin Corp. 70,761 6,475 First Chicago NBD Corp. 117,408 6,311 Norwest Corp. 136,331 5,930 WMX Technologies Inc. 178,087 5,810 U S WEST Communications Group 175,869 5,672 Southern Co. 248,099 5,613 Union Pacific Corp. 89,900 5,405 Sears, Roebuck & Co. 115,354 5,321 The Seagram Co. Ltd. 136,931 5,306 Caterpillar, Inc. 70,488 5,304 Sprint Corp. 126,889 5,060 Xerox Corp. 95,623 5,032 McDonnell Douglas Corp. 78,021 4,993 Merrill Lynch & Co., Inc. 61,185 4,987 Rockwell International Corp. 80,468 4,898 The Bank of New York Co., Inc. 144,376 4,873 Burlington Northern Santa Fe Corp. 56,335 4,866 Fleet Financial Group, Inc. 96,574 4,817 General Re Corp. 30,371 4,791 PNC Bank Corp. 125,466 4,721 # Viacom International Inc. Class B 129,483 4,516 International Paper Co. 110,494 4,461 Texas Instruments, Inc. 69,900 4,456 Aetna Inc. 55,515 4,441 Archer-Daniels-Midland Co. 199,678 4,393 May Department Stores Co. 92,418 4,321 Phillips Petroleum Co. 96,928 4,289 # U S WEST Media Group 229,271 4,242 KeyCorp 83,549 4,219 Raytheon Co. 86,877 4,181 J.C. Penney Co., Inc. 84,969 4,142 Baxter International, Inc. 100,142 4,106 Aluminum Co. of America 63,651 4,058 SunTrust Banks, Inc. 82,076 4,042 Norfolk Southern Corp. 46,075 4,032 Loews Corp. 42,375 3,994 Dean Witter Discover & Co. 59,597 3,948 Deere & Co. 95,078 3,863 CIGNA Corp. 27,638 3,776 # AirTouch Communications, Inc. 147,525 3,725 Boatmen's Bancshares, Inc. 56,917 3,664 National City Corp. 81,610 3,662 Bank of Boston Corp. 56,134 3,607 Weyerhaeuser Co. 72,810 3,449 The Chubb Corp. 63,899 3,435 Wachovia Corp. 60,684 3,429 Duke Power Co. 74,123 3,428 Mellon Bank Corp. 47,642 3,383 CSX Corp. 79,719 3,368 Texas Utilities Co. 82,398 3,358 Household International, Inc. 35,531 3,278 Morgan Stanley Group, Inc. 55,939 3,196 Pacific Gas & Electric Co. 151,283 3,177 Edison International 158,997 3,160 American Brands, Inc. 62,444 3,099 AMP, Inc. 80,589 3,093 FPL Group, Inc. 67,192 3,091 American General Corp. 74,819 3,058 United Healthcare Corp. 67,521 3,038 # Toys R Us, Inc. 100,690 3,021 Barrick Gold Corp. 105,035 3,020 # AMR Corp. 33,434 2,946 Barnett Banks, Inc. 71,596 2,944 Conrail, Inc. 29,486 2,938 The Goodyear Tire & Rubber Co. 57,017 2,929 ITT Hartford Group, Inc. 43,185 2,915 Textron, Inc. 30,365 2,862 American Electric Power Co., Inc. 68,944 2,835 Tenneco, Inc. 62,769 2,832 Air Products & Chemicals, Inc. 40,864 2,825 Occidental Petroleum Corp. 120,730 2,822 # Seagate Technology 70,928 2,802 Alcan Aluminium Ltd. 82,998 2,791 # Federated Department Stores 76,433 2,608 Bankers Trust New York Corp. 30,077 2,594 Dominion Resources, Inc. 66,148 2,547 Consolidated Edison Co. of New York, Inc. 86,409 2,527 USX-Marathon Group 105,760 2,525 PanEnergy Corp. 55,457 2,496 U.S. Bancorp 55,560 2,493 Aon Corp. 39,802 2,473 Fifth Third Bancorp 38,909 2,442
49 98
- ----------------------------------------------------------------------- MARKET VALUE* VALUE PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Service Corp. International 86,830 $ 2,431 Georgia-Pacific Corp. 33,463 2,409 Public Service Enterprise Group Inc. 88,216 2,404 # Applied Materials, Inc. 66,238 2,376 Entergy Corp. 84,945 2,357 TRW, Inc. 46,664 2,310 Burlington Resources, Inc. 45,837 2,309 Micron Technology Inc. 76,930 2,241 PacifiCorp 108,326 2,221 American Stores Co. 53,349 2,181 ALLTEL Corp. 69,400 2,177 Williams Cos., Inc. 57,638 2,161 Unicom Corp. 78,908 2,140 Morton International, Inc. 52,374 2,134 Masco Corp. 58,907 2,121 # Tele-Communications, Inc. Class A 160,000 2,080 # Digital Equipment Corp. 56,845 2,068 Comerica, Inc. 39,375 2,062 PECO Energy Corp. 81,658 2,062 Browning-Ferris Industries, Inc. 77,815 2,043 Houston Industries, Inc. 89,817 2,032 Carolina Power & Light Co. 55,601 2,029 Lincoln National Corp. 38,415 2,017 Dresser Industries, Inc. 64,639 2,004 Delta Air Lines, Inc. 28,182 1,997 Central & South West Corp. 77,686 1,991 Amerada Hess Corp. 34,134 1,976 Genuine Parts Co. 44,252 1,969 Eaton Corp. 28,213 1,968 Inco Ltd. 61,559 1,962 UNUM Corp. 26,929 1,946 Consolidated Natural Gas Co. 34,933 1,930 Transamerica Corp. 24,385 1,926 CINergy Corp. 57,681 1,925 Rohm & Haas Co. 23,560 1,923 Union Carbide Corp. 46,728 1,910 Salomon, Inc. 40,068 1,888 Coastal Corp. 38,564 1,885 # ITT Corp. 42,886 1,860 # Federal Express Corp. 41,799 1,860 # Kmart Corp. 178,193 1,849 Baker Hughes, Inc. 52,928 1,826 The Limited, Inc. 99,100 1,821 SAFECO Corp. 46,355 1,819 # Price/Costco Inc. 71,950 1,808 Ingersoll-Rand Co. 40,326 1,795 St. Paul Cos., Inc. 30,474 1,787 Rite Aid Corp. 44,813 1,781 Providian Corp. 34,467 1,771 # Tenet Healthcare Corp. 79,923 1,748 Northrop Grumman Corp. 21,102 1,746 R.R. Donnelley & Sons Co. 55,402 1,738 DTE Energy Co. 53,160 1,721 Cooper Industries, Inc. 39,516 1,665 Republic New York Corp. 20,296 1,657 # Silicon Graphics, Inc. 64,364 1,641 Nucor Corp. 32,176 1,641 Sonat, Inc. 31,656 1,630 General Dynamics Corp. 23,061 1,626 CVS Corp. 38,945 1,611 MBIA, Inc. 15,900 1,610 Phelps Dodge Corp. 23,816 1,608 Becton, Dickinson & Co. 36,731 1,593 VF Corp. 23,308 1,573 Eastman Chemical 28,411 1,570 W.W. Grainger, Inc. 19,512 1,566 Champion International Corp. 35,016 1,514 GPU Inc. 44,255 1,488 Jefferson-Pilot Corp. 26,035 1,474 Case Corp. 27,032 1,473 Great Western Financial Corp. 50,429 1,462 Baltimore Gas & Electric Co. 54,172 1,449 Union Electric Co. 37,329 1,437 Willamette Industries, Inc. 20,296 1,411 # Western Atlas Inc. 19,641 1,392 Reynolds Metals Co. 24,468 1,379 PP&L Resources Inc. 59,404 1,366 W.R. Grace & Co. 26,205 1,356 New York Times Co. Class A 35,308 1,342 Golden West Financial Corp. 21,045 1,328 Knight-Ridder, Inc. 34,594 1,323 MGIC Investment Corp. 17,404 1,323 Laidlaw Inc. Class B 114,945 1,322 Torchmark Corp. 25,982 1,312 Columbia Gas Systems, Inc. 20,242 1,288 # Advanced Micro Devices, Inc. 49,990 1,287 Kerr-McGee Corp. 17,862 1,286 Dillard Department Stores Class A 41,649 1,286 Ohio Edison Co. 56,181 1,278 Whirlpool Corp. 27,278 1,272 # LSI Logic Corp. 47,423 1,269 H.F. Ahmanson & Co. 38,907 1,264 Johnson Controls, Inc. 15,114 1,253 Beneficial Corp. 19,670 1,247 # National Semiconductor Corp. 51,035 1,244 Hasbro, Inc. 31,761 1,235 Union Camp Corp. 25,603 1,223 Dana Corp. 37,402 1,220 # Novell, Inc. 127,707 1,205 Dow Jones & Co., Inc. 35,382 1,199 The Dun & Bradstreet Corp. 50,323 1,195 Mallinckrodt Inc. 27,026 1,193 Northern States Power Co. 25,382 1,164 Brown-Forman Corp. Class B 25,262 1,156 # Humana, Inc. 59,800 1,144 The Mead Corp. 19,070 1,108 Temple-Inland Inc. 20,289 1,098 Great Lakes Chemical Corp. 23,265 1,088 Circuit City Stores, Inc. 36,039 1,086 Westvaco Corp. 37,241 1,071 # Woolworth Corp. 48,620 1,064 # Fruit of the Loom, Inc. 28,019 1,061 ITT Industries, Inc. 43,183 1,058 Parker Hannifin Corp. 27,138 1,052 Nordstrom, Inc. 29,700 1,051 Armstrong World Industries Inc. 15,065 1,047 James River Corp. 31,353 1,039
50 99
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Ashland Inc. 23,668 $ 1,038 # St. Jude Medical, Inc. 23,986 1,022 Liz Claiborne, Inc. 26,407 1,020 Rubbermaid, Inc. 44,048 1,002 Harris Corp. 14,344 984 Black & Decker Corp. 32,300 973 USX-U.S. Steel Group 30,980 972 Wendy's International, Inc. 47,270 969 Paccar, Inc. 14,250 965 Pennzoil Co. 17,046 963 # FMC Corp. 13,563 951 Southwest Airlines Co. 42,800 947 # Apple Computer, Inc. 45,516 944 Pacific Enterprises 31,086 944 Tandy Corp. 21,442 943 United States Surgical Corp. 22,868 900 H & R Block, Inc. 30,784 893 USF&G Corp. 42,100 879 Brunswick Corp. 36,137 867 Thomas & Betts Corp. 19,451 863 Ryder System, Inc. 30,050 845 Louisiana-Pacific Corp. 39,899 843 Engelhard Corp. 42,531 813 Cyprus Amax Minerals Co. 34,288 801 The BF Goodrich Co. 19,738 799 Snap-On Inc. 22,429 799 Deluxe Corp. 24,385 799 General Signal Corp. 18,316 783 American Greetings Corp. Class A 27,510 781 NorAm Energy Corp. 50,558 777 # DSC Communications Corp. 43,022 769 Giant Food, Inc. Class A 21,947 757 Moore Corp. Ltd. 36,759 749 Santa Fe Pacific Gold Corp. 48,315 743 Maytag Corp. 36,530 721 Polaroid Corp. 16,484 717 Echlin, Inc. 22,673 717 Bausch & Lomb, Inc. 20,387 714 The Stanley Works 26,307 710 Bemis Co., Inc. 19,106 705 Whitman Corp. 30,718 703 SuperValu Inc. 24,724 702 Allergan, Inc. 19,474 694 Louisiana Land & Exploration Co. 12,574 674 Cummins Engine Co., Inc. 14,553 669 Mercantile Stores Co., Inc. 13,557 669 Sun Co., Inc. 26,780 653 NICOR, Inc. 18,037 645 National Service Industries, Inc. 17,239 644 Biomet, Inc. 42,560 644 Homestake Mining Co. 43,307 617 Manor Care Inc. 22,768 615 Tektronix, Inc. 11,879 609 Worthington Industries, Inc. 33,356 605 # Harrah's Entertainment, Inc. 30,389 604 # Tandem Computers, Inc. 43,495 598 Cooper Tire & Rubber Co. 30,191 596 C.R. Bard, Inc. 20,990 588 ENSERCH Corp. 25,529 587 Pep Boys (Manny, Moe & Jack) 18,515 569 Boise Cascade Corp. 17,782 565 Stone Container Corp. 36,534 543 # Amdahl Corp. 44,523 540 # Niagara Mohawk Power Corp. 53,096 524 The Timken Co. 11,272 517 Darden Restaurants Inc. 58,018 508 # King World Productions, Inc. 13,461 496 Alberto-Culver Co. Class B 10,197 489 Crane Co. 16,683 484 Helmerich & Payne, Inc. 9,108 475 Briggs & Stratton Corp. 10,593 466 # Beverly Enterprises Inc. 36,501 465 Potlatch Corp. 10,658 458 Great Atlantic & Pacific Tea Co., Inc. 14,077 449 Peoples Energy Corp. 12,869 436 # Unisys Corp. 64,360 434 Autodesk, Inc. 15,459 433 Scientific-Atlanta, Inc. 28,417 426 Russell Corp. 13,990 416 USLIFE Corp. 12,404 412 ASARCO, Inc. 15,765 392 Centex Corp. 10,399 391 Inland Steel Industries, Inc. 18,072 361 Fleetwood Enterprises, Inc. 13,122 361 # Bethlehem Steel Corp. 39,990 360 Longs Drug Stores, Inc. 7,176 353 EG & G, Inc. 17,425 351 Safety-Kleen Corp. 20,990 344 Echo Bay Mines Ltd. 50,285 333 McDermott International, Inc. 19,732 328 Cincinnati Milacron, Inc. 14,653 321 Springs Industries Inc. Class A 7,426 319 ONEOK, Inc. 10,000 300 Ball Corp. 11,181 291 Alexander & Alexander Services, Inc. 16,534 287 Caliber System Inc. 14,355 276 Eastern Enterprises 7,325 259 Pulte Corp. 8,391 258 Adolph Coors Co. Class B 13,516 257 # Navistar International Corp. 26,522 242 Fleming Cos., Inc. 13,863 239 # Consolidated Freightways, Inc. 9,237 206 # Data General Corp. 13,755 199 # Charming Shoppes, Inc. 38,521 193 # Newport News Shipbuilding Inc. 12,293 184 # Intergraph Corp. 17,526 180 Stride Rite Corp. 17,817 178 Kaufman & Broad Home Corp. 13,457 173 NACCO Industries, Inc. Class A 3,030 162 Giddings & Lewis, Inc. 12,050 155 Consolidated Freightways Corp. 6,619 59 # Ryan's Family Steak Houses, Inc. 7,972 55 # Viacom International Inc. Class A 766 26 - ----------------------------------------------------------------------- TOTAL COMMON STOCKS (99.1%)(1) (COST $830,342) 1,006,339 - -----------------------------------------------------------------------
51 100
- ----------------------------------------------------------------------- FACE MARKET AMOUNT VALUE* VALUE PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.8%) - ----------------------------------------------------------------------- U.S. TREASURY BILL--Note D 5.17%, 1/9/97 $ 200 $ 200 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.39%, 1/2/97 7,784 7,784 - ----------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $7,984) 7,984 - ----------------------------------------------------------------------- TOTAL INVESTMENTS (99.9%) (COST $838,326) 1,014,323 - ----------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (0.1%) - ----------------------------------------------------------------------- Receivables for Investment Securities Sold 78,105 Other Assets--Note B 4,970 Payables for Investment Securities Purchased (77,747) Other Liabilities (3,924) ----------- 1,404 - ----------------------------------------------------------------------- NET ASSETS (100%) - ----------------------------------------------------------------------- Applicable to 59,665,839 outstanding shares of beneficial interest (unlimited authorization) $1,015,727 ======================================================================= NET ASSET VALUE PER SHARE $17.02 =======================================================================
*See Note A in Notes to Financial Statements. #Non-Income Producing Security. ADR--American Depository Receipt. (1)The combined market value of common stocks and S&P Value Index futures contracts represents 99.5% of net assets.
- ----------------------------------------------------------------------- AMOUNT PER (000) SHARE - ----------------------------------------------------------------------- AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF: - ----------------------------------------------------------------------- Paid in Capital--Notes A and C $818,752 $13.72 Overdistributed Net Investment Income--Notes A and C (531) (.01) Accumulated Net Realized Gains--Note C 21,497 .36 Unrealized Appreciation--Note D Investment Securities 175,997 2.95 Futures Contracts 12 -- - ----------------------------------------------------------------------- NET ASSETS $1,015,727 $17.02 =======================================================================
52 101
- ----------------------------------------------------------------------- MARKET SMALL CAPITALIZATION VALUE* STOCK PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- COMMON STOCKS - ----------------------------------------------------------------------- AAR Corp. 54,300 $ 1,643 ABM Industries 52,000 962 # ABR Information Services, Inc. 24,275 956 # ABT Building Products Corp. 40,200 1,020 # ACC Corp. 35,700 1,078 AGL Resources Inc. 131,500 2,778 AMLI Residential Properties Trust REIT 35,700 834 APL Ltd. 52,600 1,243 # APS Holding Corp. 37,700 582 # AST Research, Inc. 61,459 263 # ATC Communications, Inc. 62,300 829 # ATS Medical, Inc. 66,200 517 Aames Financial Corp. 35,600 1,277 # Access Health Marketing, Inc. 33,200 1,494 # Acclaim Entertainment Inc. 51,900 172 # AccuStaff, Inc. 63,495 1,341 Ackerley Communications, Inc. 55,400 651 Acordia, Inc. 32,900 954 # Action Performance Cos., Inc. 33,800 617 # Activision, Inc. 15,500 196 # Actel Corp. 59,600 1,419 # Acuson Corp. 65,050 1,586 # ACX Technologies Inc. 47,800 950 # Acxiom Corp. 120,250 2,871 ADAC Laboratories 49,633 1,188 # Adelphia Communications Corp. Class A 91,000 535 # Advanced Lighting Technologies, Inc. 20,700 512 # Advanced Polymer Systems 71,500 536 # Advanced Technology Laboratories, Inc. 34,400 1,054 # Advanced Tissue Sciences Inc. 85,900 829 ADVO, Inc. 71,050 995 # Advent Software, Inc. 21,600 656 # Affiliated Computer Services, Inc. 60,400 1,774 # Agouron Pharmaceuticals, Inc. 31,003 2,097 # Air and Water Technologies Corp. Class A 98,600 567 Air Express International Corp. 43,400 1,394 Airborne Freight Corp. 48,300 1,129 # Alaska Air Group, Inc. 42,500 893 Albank Financial Corp. 32,040 1,011 Albany International Corp. 59,100 1,367 Alex Brown, Inc. 35,400 2,567 Alexander & Alexander Services, Inc. 98,300 1,708 # Alexander's, Inc. 13,500 1,068 Alfa Corp. 57,300 731 Aliant Communications Inc. 84,000 1,418 # Alkermes, Inc. 47,200 1,097 # The Allen Group, Inc. 55,460 1,234 # Alliance Entertainment 81,400 153 # Alliance Pharmaceutical Corp. 67,500 920 # Alliance Semiconductor Corp. 84,200 600 # Alliant Techsystems, Inc. 21,700 1,194 Allied Group, Inc. 47,550 1,557 # Allied Waste Industries, Inc. 138,900 1,276 # Alltrista Corp. 32,293 819 # Allwaste, Inc. 152,800 783 Alpharma, Inc. Class A 48,200 687 # Alteon, Inc. 29,200 157 # Alternative Resources Corp. 30,900 531 # Amax Gold, Inc. 123,031 784 Amcast Industrial Corp. 41,600 1,030 AMCOL International Corp. 61,300 958 Amcore Financial 34,380 924 # Amerco Inc. 38,220 1,328 # America West Airlines, Inc. 115,300 1,830 American Annuity Group Inc. 42,800 605 American Bankers Insurance Group 49,100 2,504 # American Buildings Co. 22,300 527 American Business Products, Inc. 35,800 899 # American Eagle Outfitters, Inc. 27,400 212 # American Freightways 61,700 679 American Health Properties, Inc. 50,600 1,208 American Health Properties Psychiatric Group 2,870 46 American Heritage Life Investment Corp. 37,832 993 # American Homestar Corp. 30,000 679 # American Medical Response, Inc. 43,400 1,411 # American Media Class A 170,500 1,002 # American Mobile Satellite Corp., Inc. 33,300 410 # American Oncology Resources, Inc. 108,700 1,107 # American Paging, Inc. 28,200 132 # American Radio Systems Corp. 35,000 954 # Americredit Corp. 71,900 1,474 # Amerin Corp. 59,500 1,528 Ameron International Corp. 18,200 940 # AmeriSource Health Corp. 56,500 2,726 Ametek, Inc. 76,100 1,693 # Amisys Managed Care Systems 33,100 554 # Amresco, Inc. 50,400 1,342 # Ampex Corp. Class A 50,200 471 Analogic Corp. 31,700 1,050 Analysts International Corp. 28,400 788 Anchor Bancorp Wisconsin Inc. 23,375 842 # Anchor Gaming 18,300 730 # Ancor Communications, Inc. 34,200 477 Angelica Corp. 35,000 669 # Anixter International Inc. 91,500 1,475 # AnnTaylor Stores Corp. 52,300 915 # Antec Corp. 57,400 513 Apogee Enterprises, Inc. 36,600 1,450 Apple South, Inc. 67,150 894 Applebee's International, Inc. 74,100 2,028 # Applied Innovation Inc. 56,400 356 # Applied Digital Access, Inc. 60,200 324 # Applied Magnetics Corp. 59,800 1,787 Applied Power, Inc. 31,300 1,240 # Applix, Inc. 32,800 711 Aptargroup Inc. 41,100 1,449 Aquarion Co. 29,306 817
53 102
- ----------------------------------------------------------------------- MARKET SMALL CAPITALIZATION VALUE* STOCK PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Arbor Drugs, Inc. 60,450 $ 1,043 # Arbor Health Care Co. 20,300 520 # Arbor Software Corp. 39,834 961 Arcadian Corp. 88,300 2,340 # Arch Communications Group, Inc. 45,700 423 Arctic Cat Inc. 63,600 632 Argonaut Group, Inc. 40,600 1,264 # Argosy Gaming Co. 89,900 416 # Armco, Inc. 199,000 821 Arnold Industries, Inc. 45,000 709 Arrow International, Inc. 26,100 741 # ArthroCare Corp. 27,200 187 Arvin Industries, Inc. 52,500 1,299 Atlantic Southeast Airlines Inc. 56,800 1,246 # Ascent Entertainment Group, Inc. 17,400 274 Ashland Coal Inc. 32,900 913 # Aspen Technologies, Inc. 24,300 1,941 Associated Banc-Corp. 38,783 1,663 # Associated Group, Inc. 30,224 914 # Associated Group, Inc. Class B 375 11 Astoria Financial Corp. 44,900 1,658 Atlantic Energy, Inc. 124,100 2,125 # Atlantic Tele-Network, Inc. 28,800 443 Atmos Energy Corp. 36,700 876 # Aura Systems, Inc. 136,000 300 # Auspex Systems, Inc. 76,700 901 Authentic Fitness Corp. 44,400 533 Avalon Properties, Inc. REIT 69,300 1,992 # Avant! Corp. 40,638 1,285 # Avatar Holding, Inc. 23,700 767 # Aviall Inc. 74,275 687 # Avid Technology, Inc. 47,800 499 # Aztar Corp. 95,800 671 # BBN Corp. 50,500 1,136 # BDM International, Inc. 35,700 1,923 # BISYS Group, Inc. 62,800 2,328 # BJ Services Co. 89,300 4,554 BMC Industries, Inc. 67,600 2,129 # BMC West Corp. 46,300 573 BRE Properties Inc. Class A REIT 75,348 1,865 # BT Office Products International, Inc. 58,900 523 BW/IP Inc. 66,600 1,099 # Baby Superstore, Inc. 30,500 736 Baldor Electric Co. 50,570 1,245 Ball Corp. 73,800 1,919 Ballard Medical Products 62,966 1,173 BancorpSouth, Inc. 42,700 1,169 # Banctec, Inc. 50,428 1,040 Bank of Granite Corp. 31,975 945 Bankers Life Holding Corp. 43,300 1,083 Bank North Group 26,100 1,070 Banta Corp. 72,500 1,645 Barefoot, Inc. 69,600 1,101 Barnes Group, Inc. 15,500 930 # Barnett, Inc. 27,400 736 # Barr Labs Inc. 30,900 784 # Barrett Resources Corp. 76,200 3,248 Bassett Furniture Industries, Inc. 32,525 809 Battle Mountain Gold Co. Class A 546,400 3,757 Bay Apartment Communities, Inc. REIT 44,500 1,602 Bay State Gas Co. 30,076 850 Bay View Capital Corp. 25,203 1,073 # BE Avionics Inc. 40,100 1,095 Beacon Properties Corp. REIT 78,300 2,868 Bearings, Inc. 31,800 886 # Belco Oil & Gas Corp. 29,800 816 Belden Inc. 56,200 2,079 # Bell & Howell Co. 32,000 760 # Benton Oil & Gas Co. 73,700 1,649 # Berg Electronics Corp. 23,700 696 W.R. Berkley Corp. 33,250 1,698 Berkshire Realty Co., Inc. REIT 93,400 922 Berry Petroleum Class A 72,500 1,042 # Best Buy Co., Inc. 76,800 816 # Billing Information Concepts 45,700 1,322 Bindly Western Industries, Inc. 43,500 843 # Bio-Rad Laboratories, Inc. Class A 29,900 897 # Biotechnology General 124,400 1,641 # Biomatrix, Inc. 39,100 626 Birmingham Steel Corp. 65,600 1,246 # Black Box Corp. 44,100 1,803 Black Hills Corp. 33,200 934 Blair Corp. 19,300 372 Block Drug Co. Class A 30,243 1,414 Blount International, Inc. 25,200 967 Bob Evans Farms, Inc. 97,800 1,320 # Boca Research, Inc. 33,900 356 # Bombay Co. 117,275 542 # Books-a-Million Inc. 56,400 388 # Boole & Babbage Inc. 59,963 1,469 Borg-Warner Automotive, Inc. 34,900 1,344 # Borg-Warner Security Corp. 67,500 726 # Borland International, Inc. 62,500 342 # Boston Beer Co., Inc. Class A 37,700 386 # Boston Technology, Inc. 56,600 1,624 Bowne & Co., Inc. 39,900 983 # Box Energy Corp. Class B 81,600 750 # Boyd Gaming Corp. 57,100 471 W.H. Brady Class A 50,200 1,220 Breed Technological Inc. 40,900 1,063 Brenton Banks, Inc. 30,635 851 # Brightpoint, Inc. 34,650 1,027 # Bristol Hotel Co. 39,400 1,251 # Brite Voice Systems, Inc. 39,900 591 # Broadband Technologies, Inc. 45,500 683 # Broderbund Software, Inc. 42,600 1,265 Brown Group, Inc. 62,200 1,143 Brush Wellman, Inc. 56,600 927 # Buckeye Cellulose Corp. 39,600 1,054 # Buffets Inc. 120,049 1,084 # Burlington Coat Factory Warehouse Corp. 26,700 347 # Burlington Industries, Inc. 147,100 1,618 # Burr-Brown Corp. 39,000 1,004 # CAI Wireless Systems, Inc. 56,655 56 CBL & Associates Properties, Inc. REIT 47,500 1,229
54 103
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- CCB Financial Corp. 43,083 $ 2,940 # C-Cor Electronics, Inc. 39,100 521 # CDI Corp. 34,800 987 CKE Restaurants Inc. 45,600 1,642 # CKS Group, Inc. 18,700 525 CMAC Investment Corp. 55,900 2,054 CML Group, Inc. 179,600 606 CNB Bancshares, Inc. 43,847 1,831 # CNS, Inc. 48,600 705 CPI Corp. 55,000 921 # C. P. Clare Corp. 21,400 211 # CSF Holdings Inc. Contingent Litigation Rights 29,125 15 # CSG Systems International, Inc. 13,100 203 # C-TEC Corp. 37,900 914 # Cuno Inc. 49,550 743 CWM Mortgage Holdings Inc. 111,400 2,395 # Cable Design Technologies 40,400 1,250 Cabot Oil & Gas Corp. Class A 67,126 1,149 # Caere Corp. 57,700 660 # Cal Fed Bancorp Inc. 108,978 2,670 # Calgene, Inc. 113,300 574 Calgon Carbon Corp. 95,100 1,165 # California Amplifier, Inc. 31,900 199 Cali Realty Corp. REIT 36,100 1,115 # California Microwave, Inc. 42,700 630 California Water Service Co. 25,813 1,084 Calmat Co. 44,200 829 Cambrex Corp. 26,500 868 Camco International, Inc. 60,100 2,772 Camden Property Trust REIT 33,300 953 # Canandaigua Wine Co., Inc. Class A 14,800 421 # Canandaigua Wine Co., Inc. Class B 22,100 727 # Cannondale Corp. 32,600 725 Capital Re Corp. 24,800 1,156 Capitol American Financial Corp. 21,500 782 CapMAC Holdings Inc. 18,900 626 # Capstone Pharmacy Services, Inc. 52,700 593 # Capsure Holdings 61,400 698 Capstead Mortgage Corp. 85,900 2,062 Caraustar Industries, Inc. 59,000 1,954 Carlisle Co., Inc. 31,900 1,930 # Carmike Cinemas, Inc. Class A 37,600 954 Carpenter Technology Corp. 36,400 1,333 CarrAmerica Realty Corp. REIT 81,900 2,396 # Carrington Labs Inc. 31,300 246 # Carson Pirie Scott & Co. 37,900 957 Carter-Wallace, Inc. 50,900 795 Casey's General Stores 59,700 1,123 Cash America International Inc. 102,412 871 # Casino America, Inc. 85,300 272 # Casino Magic Corp. 124,900 306 A.M. Castle & Co. 45,025 867 # Castle & Cooke, Inc. 24,900 395 # Catalina Marketing Corp. 47,100 2,596 # Catellus Development Corp. 176,650 2,009 Cato Corp. Class A 57,800 296 Cavalier Homes, Inc. 60,050 691 # Cellular Communications International Inc. 24,800 713 # Cellular Communications of Puerto Rico, Inc. 26,300 516 # Cellpro, Inc. 35,300 432 # Cellstar Corp. 56,000 1,001 # Cellular Technical Services Co. 66,422 1,324 # Cellularvision USA, Inc. 26,800 186 # Centennial Technologies, Inc. 30,600 1,591 Centerpoint Properties Corp. REIT 33,200 1,087 Centex Corp. 69,800 2,626 Centex Construction Products 45,700 823 Central Hudson Gas & Electric Corp. 40,900 1,283 Central Louisiana Electric Co. 52,200 1,442 Central Maine Power Co. 74,114 862 Central Parking Corp. 17,600 590 Centura Banks, Inc. 56,400 2,517 # Century Communications Corp. Class A 77,116 438 # Cephalon Inc. 56,700 1,152 # Cerner Corp. 58,500 899 # Champion Enterprises, Inc. 136,948 2,670 # Chancellor Broadcasting Co. Class A 40,400 954 Chaparral Steel Co. 33,500 406 # Charming Shoppes, Inc. 214,100 1,077 Charter Power Systems, Inc. 21,400 654 # Chase Brass Industries, Inc. 44,200 878 # Checkfree Corp. 47,000 802 Chelsea GCA Realty, Inc. REIT 30,200 1,046 Chemed Corp. 24,800 905 Chemical Finance 20,362 807 Chesapeake Corp. of Virginia 49,800 1,562 # Chicago Miniature Lamp, Inc. 3,550 146 # Chips & Technologies, Inc. 53,600 972 Chiquita Brands International, Inc. 67,900 866 Chittenden Corp. 38,635 927 Church and Dwight, Inc. 40,100 917 # Chyron Corp. 226,600 651 # Cidco, Inc. 25,800 448 Cilcorp, Inc. 31,300 1,146 Cincinnati Milacron, Inc. 95,077 2,080 Citifed Bancorp 31,800 1,061 Citizens Bancorp MD 32,000 1,996 Citizens Banking Corp. 22,000 701 Citizens Corp. 35,000 788 # Citizens Utilities Co. Class B 181,115 2,015 # Citrix Systems, Inc. 61,100 2,387 City National Corp. 92,300 1,996 Claire's Stores, Inc. 111,350 1,448 Clarcor Inc. 45,350 1,003 # Clarify, Inc. 24,300 1,159 Cleveland-Cliffs Iron Co. 24,500 1,112 # Cliffs Drilling Co. 23,507 1,478 # Clintrials Research, Inc. 36,700 821 Coachmen Industries, Inc. 35,700 1,013 # Coast Savings Financial, Inc. 43,600 1,597 # Coastal Physician Group, Inc. 77,400 271
55 104
- ----------------------------------------------------------------------- MARKET SMALL CAPITALIZATION VALUE* STOCK PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # Coastcast Corp. 33,800 $ 490 Coca-Cola Bottling Co. 20,722 1,000 # Cocensys, Inc. 63,700 362 Coeur d'Alene Mines Corp. 48,943 740 # Cognex Corp. 82,400 1,519 # Coherent Communications Systems Corp. 34,200 660 # Coherent, Inc. 25,500 1,090 # Cole National Corp. Class A 39,800 1,045 Collective Bancorp, Inc. 47,500 1,668 Collagen Corp. 39,600 728 # Collins & Aikman Corp. 159,800 999 Colonial Bancgroup, Inc. 33,700 1,348 Colonial Properties Trust REIT 40,300 1,224 # Coltec Inc. 120,700 2,278 # Columbia Laboratories Inc. 80,100 1,161 Columbus Realty Trust REIT 47,400 1,078 # COMFORCE Corp. 31,600 450 Commerce Bancorp, Inc. 40,148 1,325 Commerce Group, Inc. 53,700 1,356 Commercial Federal Corp. 35,100 1,685 Commercial Intertech Corp. 62,150 847 Commercial Metals Co. 30,566 921 # Commnet Cellular Inc. 31,500 874 Commonwealth Bancorp 31,200 464 Commonwealth Energy Systems 42,000 987 # Compdent Corp. 36,600 1,299 # Computer Network Technology Corp. 96,800 487 # Computer Management Sciences, Inc. 36,225 851 # Computer Products, Inc. 56,522 1,106 # Computervision Corp. 151,300 1,400 # Comverse Technology, Inc. 50,100 1,894 # Computer Horizons Corp. 33,800 1,284 # Conceptus, Inc. 22,300 226 # Cone Mills Corp. 83,200 655 # Conmed Corp. 34,050 690 Connecticut Natural Gas Corp. 38,500 982 # ContiFinancial Corp. 500 18 # Control Data Corp. 40,100 880 # Cooper & Chyan Technology, Inc. 20,100 653 Adolph Coors Co. Class B 90,300 1,727 # Copytele, Inc. 129,400 643 # Cor Therapeutics, Inc. 76,600 761 # Coram Healthcare Corp. 25,400 127 # COREStaff, Inc. 28,800 682 # Cort Business Services Corp. 2,900 60 Corus Bankshares Inc. 24,700 806 Cousins Properties, Inc. REIT 53,100 1,493 # Covenant Transport, Inc. 20,200 295 # Coventry Corp. 73,300 687 Crawford & Co. Class B 55,200 1,263 # Credence Systems Corp. 61,700 1,230 # Credit Acceptance Corp. 51,100 1,194 # Cree Research, Inc. 53,400 504 Crescent Real Estate Equities, Inc. REIT 49,200 2,595 Criimi Mae, Inc. REIT 101,500 1,307 Crompton & Knowles Corp. 166,812 3,211 A.T. Cross Co. Class A 42,700 496 Cross Timbers Oil Co. 34,900 877 Crown American Realty Trust REIT 98,300 737 # Crown Central Petroleum Corp. Class A 39,700 491 # Cryolife, Inc. 38,500 491 Cubic Corp. 28,500 659 Cullen/Frost Bankers, Inc. 51,780 1,715 # Culligan Water Technologies 40,800 1,652 Curtiss-Wright Corp. 13,600 685 # Cybercash, Inc. 13,850 324 # Cygnus Inc. 63,400 915 # Cyrix Corp. 39,900 713 # Cytogen Corp. 107,820 586 # Cytel Corp. 105,700 357 # DII Group, Inc. 42,523 975 # D. R. Horton, Inc. 42,944 467 # DSP Communications, Inc. 114,400 2,209 # Daka International, Inc. 38,600 369 Dallas Semiconductor Corp. 64,000 1,472 Dames & Moore, Inc. 37,600 550 Daniel Industries, Inc. 50,600 746 Dart Group Corp. Class A 7,567 686 # Data General Corp. 85,500 1,240 # Data Translation II, Inc. 7,450 29 # Datascope Corp. 51,400 1,015 # Datastream Systems, Inc. 22,700 409 Dauphin Deposit Bank & Trust 73,200 2,397 Dean Foods Corp. 94,800 3,057 # DecisionOne Corp. 32,900 535 Dekalb Genetics Corp. Class B 36,400 1,852 Delchamps, Inc. 28,553 544 # Delphi Financial Group, Inc. 27,100 798 Delta & Pine Land Co. 47,549 1,522 # Department 56 Inc. 49,700 1,230 Deposit Guaranty Corp. 89,600 2,778 # Destec Energy Inc. 40,400 631 Developers Diversified Realty Corp. REIT 45,000 1,671 Devon Energy Corp. 46,400 1,612 # Devry, Inc. 61,000 1,434 Dexter Corp. 55,100 1,756 Diagnostic Products Corp. 25,000 647 # Dialogic Corp. 24,300 759 # Diamond Multimedia Systems, Inc. 71,263 833 # Digi International, Inc. 44,800 431 # Digital Microwave Corp. 60,600 1,685 Digital Systems International, Inc. 29,600 468 Dimon Inc. 80,400 1,859 # Dionex Corp. 29,300 1,040 # Discovery Zone, Inc. 39,400 5 # Documentum, Inc. 31,100 1,060 Donaldson Co., Inc. 49,300 1,652 # Doubletree Corp. 76,284 3,414 # Dravo Corp. 61,000 862 # The Dress Barn, Inc. 66,000 1,002 Dreyer's Grand Ice Cream, Inc. 29,000 859 Duke Realty Investments Inc. REIT 69,200 2,664 # Dura Pharmaceuticals, Inc. 100,900 4,818
56 105
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Duriron Co., Inc. 57,100 $ 1,542 Duty Free International Inc. 70,500 1,022 # Dynatech Corp. 41,900 1,849 # EIS International, Inc. 30,500 263 # ESS Technology, Inc. 42,800 1,204 # ETEC Systems, Inc. 37,200 1,404 # EZ Communications, Inc. 28,400 1,026 # Eagle Hardware & Garden, Inc. 43,300 898 Earthgrains Co. 31,236 1,632 Eastern Enterprises 48,200 1,705 Eastern Utilities Associates 66,489 1,155 Eaton Vance Corp. 25,900 1,233 # Egghead, Inc. 68,300 354 # El Paso Electric Co. 139,900 909 Elcor Corp. 37,000 791 # Electro Rent Corp. 38,779 950 # Electro Scientific Industries, Inc. 36,600 958 # Electroglas, Inc. 59,800 957 Elizabethtown Corp. 30,200 955 # Eltron International Inc. 24,900 507 # Emcare Holdings Inc. 30,900 709 # Emmis Broadcasting Corp. Class A 17,600 570 Empire District Electric Co. 49,970 937 # Employee Solutions, Inc. 45,200 927 # Encad, Inc. 27,600 1,132 # Energy Conversion Devices, Inc. 41,800 572 Energen Corp. 37,000 1,119 # Energy Ventures Inc. 32,400 1,648 Enhance Financial Services Group, Inc. 30,800 1,124 Ennis Business Forms, Inc. 64,550 726 # Envoy Corp. 35,500 1,338 # Enzo Biochem, Inc. 48,670 881 # Epic Design Technology, Inc. 43,500 1,088 # Epitope Inc. 56,100 645 Ethan Allen Interiors Inc. 36,600 1,409 # Evans & Sutherland Computer Corp. 30,700 756 Evans Withycombe Residential, Inc. REIT 41,800 878 # Evergreen Media Corp. 49,600 1,234 # Exabyte Corp. 46,000 618 # Excalibur Technologies Corp. 40,200 628 # Excite, Inc. 42,600 442 Executive Risk, Inc. 25,300 936 # Executive Telecard Ltd. 57,100 346 Exide Corp. 43,100 991 Expeditors International of Washington, Inc. 59,400 1,359 # Express Scripts 37,200 1,339 # Extended Stay America, Inc. 77,000 1,550 F & M Bancorporation, Inc. 15,500 467 F & M National Corp. 44,841 958 F.N.B. Corp. 23,315 545 # FSI International, Inc. 44,700 673 # FTP Software, Inc. 81,200 492 # Fabri-Centers of America, Inc. 28,900 466 # Fabri-Centers of America, Inc. Class B 33,900 521 # Falcon Building Products, Inc. Class A 15,300 225 # Falcon Drilling Co., Inc. 39,200 1,539 Family Dollar Stores, Inc. 98,400 2,005 Farmer Brothers, Inc. 3,550 540 Fedders Corp. 90,200 564 Fedders Corp. Class A 67,612 338 Federal-Mogul Corp. 81,800 1,800 Federal Realty Investment Trust REIT 81,600 2,213 Felcor Suite Hotels, Inc. REIT 56,600 2,002 Ferro Corp. 62,300 1,768 Fidelity National Financial, Inc. 53,637 811 # Fieldcrest Cannon, Inc. 41,900 670 # Figgie International Inc. Class A 63,800 762 # FileNet Corp. 36,100 1,151 Financial Security Assurance Holdings Ltd. 72,800 2,393 Fingerhut Co. 108,400 1,328 Financial Trust Corp. 16,402 655 First American Financial Corp. 31,200 1,283 First Citizens BancShares Class A 29,000 2,240 First Commerce Bancshares Inc. Class A 8,900 249 First Commerce Bancshares Inc. Class B 8,000 156 First Commercial Corp. 52,159 1,927 First Commonwealth Financial Corp. 50,800 946 First Federal Savings Bank of Colorado 56,000 963 First Financial Bancorp 32,740 1,052 First Financial Corp.-Indiana 1,400 51 First Financial Savings Assn. 87,050 2,133 First Hawaiian, Inc. 54,600 1,925 First Industrial Realty Trust REIT 56,500 1,716 First Michigan Bank Corp. 64,442 1,905 First Midwest Bancorp 47,000 1,525 First Source Corp. 31,956 791 Firstbank of Illinois Co. 10,760 370 Firstbank Puerto Rico 29,600 770 # First Federal Financial Corp. 46,375 1,020 First Bancorp of Ohio 71,600 2,551 Fisher Scientific International Inc. 49,200 2,319 Fleming Cos., Inc. 88,100 1,520 # Flores & Rucks, Inc. 28,200 1,502 Florida East Coast Railway Co. 12,900 1,127 Florida Rock Industries, Inc. 28,500 933 Flowers Industries, Inc. 138,700 2,982 Fluke Corp. 20,700 924 # Foamex International, Inc. 67,400 1,108 # Foodmaker, Inc. 125,300 1,112 Foremost Corp. of America 21,600 1,296 Fort Wayne National Corp. 27,300 1,041 # FoxMeyer Health Corp. 38,784 63 Franchise Finance Corp. of America REIT 95,600 2,641 # Franklin Electronic Publishers, Inc. 29,200 354 # Franklin Quest Co. 47,200 991 Freeport-McMoRan, Inc. 65,000 2,088
57 106
- ----------------------------------------------------------------------- MARKET SMALL CAPITALIZATION VALUE* STOCK PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Fremont General Corp. 48,810 $ 1,513 # Friedman's Inc. Class A 37,900 564 # Fritz Cos., Inc. 5,500 69 Frontier Insurance Group, Inc. 27,060 1,035 # Fuisz Technologies Ltd. 49,200 378 H.B. Fuller Co. 33,350 1,551 Fulton Financial Corp. 78,376 1,665 Fund American Enterprise Holding Co. 16,353 1,566 # Furniture Brands International Inc. 142,600 1,996 Furon Co. 38,400 816 # Fusion Systems 33,800 727 G & K Services, Inc. 47,750 1,797 GATX Corp. 49,600 2,406 # GC Cos. 23,650 819 # GRC International, Inc. 34,100 277 Gables Residential Trust REIT 39,000 1,131 Gainsco, Inc. 80,659 776 # Galileo Corp. 23,800 596 Arthur J. Gallagher & Co. 32,700 1,014 # Galoob Toys Inc. 35,000 490 # Garden Ridge Corp. 60,100 522 # Gasonics International Corp. 46,500 482 # Gaylord Container Corp. 139,700 856 # Gelman Sciences, Inc. 30,900 1,004 GenCorp, Inc. 63,400 1,149 # General Communication, Inc. 87,600 701 # General Datacomm Industries, Inc. 72,200 758 General Growth Properties Inc. REIT 64,100 2,067 # General Magic, Inc. 57,000 128 # General Scanning, Inc. 37,300 427 # Genesco, Inc. 113,300 1,048 # Gentex Corp. 72,000 1,449 # Genesis Health Ventures Inc. 57,300 1,783 # Geneva Steel Class A 62,400 187 # Genrad, Inc. 58,000 1,349 # Gensia Inc. 127,629 590 # Genus, Inc. 25,000 138 Geon Co. 51,900 1,019 # Geotek Industries, Inc. 132,300 951 # Geoworks 14,500 353 Gerber Scientific, Inc. 31,100 463 # Getchell Gold Corp. 63,312 2,430 Getty Petroleum Corp. 37,900 616 # Gibraltar Steel 28,150 732 # Gibson Greetings, Inc. 33,400 651 Giddings & Lewis, Inc. 80,200 1,043 # Gilead Sciences, Inc. 74,200 1,850 P.H. Glatfelter Co. 60,900 1,096 # Glendale Federal 104,700 2,434 Glimcher Realty Trust REIT 49,500 1,089 # Global Industrial Technologies, Inc. 55,200 1,221 # Global Industries, Ltd. 66,000 1,217 # Golden Books Family Entertainment, Inc. 72,300 795 Goulds Pumps, Inc. 48,700 1,120 Graco, Inc. 46,150 1,131 # Grancare Inc. 56,672 1,013 Great Financial Corp. 40,300 1,179 Greenfield Industries, Inc. 37,500 1,146 Greenwich Air Services, Inc. 18,100 403 Greif Brothers Corp. Class A 42,800 1,220 Grey Advertising, Inc. 3,000 759 # Griffon Corp. 105,300 1,290 Guarantee Life Cos., Inc. 40,000 745 Guilford Mills, Inc. 29,200 777 # Gulf South Medical Supply, Inc. 31,600 806 # The Gymboree Corp. 60,700 1,381 HCC Insurance Holdings, Inc. 67,550 1,621 # HCIA, Inc. 5,000 173 # HMT Technology Corp. 43,400 656 # HNC Software, Inc. 35,800 1,121 # HSN, Inc. 44,115 1,042 HUBCO, Inc. 47,072 1,162 # Ha-Lo Industries, Inc. 35,250 972 # Hadco Corp. 30,200 1,474 # Haemonetics Corp. 53,550 1,011 Hancock Holding Co. 25,007 1,038 # Handleman Co. 132,800 1,129 Handy & Harman 54,200 949 # Harbinger Corp. 35,200 915 John H. Harland Co. 75,300 2,485 Harleysville National Corp. 8,475 213 Harman International Industries, Inc. 35,725 1,987 # Harmonic Lightwaves, Inc. 41,200 631 Harper Group, Inc. 45,700 1,080 Harte-Hanks Communications Co. 45,091 1,251 Hartford Steam Boiler Inspection & Insurance Co. 47,600 2,207 # Hartmarx Corp. 130,100 732 Health Care Properties Investors 67,800 2,373 Health Care REIT, Inc. 47,100 1,154 Healthcare Realty Trust Inc. 41,200 1,092 # Healthplan Services Corp. 38,100 805 # Health Management Systems, Inc. 34,400 475 # Healthdyne Technologies, Inc. 45,001 405 # Heartland Express, Inc. 50,308 1,220 # Heartland Wireless Communications, Inc. 39,700 519 Hechinger Co. Class A 63,500 131 # Hecla Mining Co. 113,900 641 # Heftel Broadcasting Corp. 26,600 828 Heilig-Meyers Co. 124,900 2,030 Helix Technology Corp. 28,400 817 Helmerich & Payne, Inc. 60,300 3,143 Herbalife International, Inc. 48,200 1,570 Heritage Financial Services, Inc. 30,800 666 # Heritage Media Corp. Class A 82,008 923 # Hexcel Corp. 88,400 1,437 # Highlands Insurance Group 43,130 873 # Highwaymaster Communications, Inc. 51,000 921 Highwood Properties, Inc. REIT 77,500 2,616 Hollinger International, Inc. 86,500 995
58 107
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Holly Corp. 23,700 $ 634 # Hollywood Entertainment Corp. 50,400 939 # Hollywood Park, Inc. 71,700 1,089 # Hologic, Inc. 42,200 1,044 Home Beneficial Corp. Class B 28,400 1,090 Hon Industries, Inc. 55,200 1,829 Horace Mann Educators Corp. 55,200 2,229 # Horizon/CMS Healthcare Corp. 122,231 1,543 Horizon Group Inc. REIT 44,164 878 # Host Marriott Services 63,540 580 Hospitality Properties Trust 53,500 1,552 Houghton Mifflin Co. 34,100 1,931 Hudson Foods Inc. Class A 52,850 1,004 Huffy Corp. 53,200 765 Hughes Supply, Inc. 23,800 1,026 # Hugoton Energy Corp. 24,200 251 # Human Genome Sciences, Inc. 43,200 1,755 Hunt Manufacturing Co. 46,400 841 J.B. Hunt Transport Services, Inc. 56,300 795 # Hutchinson Technology, Inc. 20,500 1,558 # Hybridon, Inc. 51,760 288 # Hyperion Software Corp. 64,000 1,356 ICN Pharmaceuticals, Inc. 83,935 1,647 # ICU Medical, Inc. 37,900 296 # IDEC Pharmaceuticals Corp. 41,600 985 IDEX Corp. 40,900 1,631 # IDT Corp. 30,400 336 # IDX Systems Corp. 23,480 675 IES Industries, Inc. 73,600 2,199 # IHOP Corp. 33,700 805 # IMP, Inc. 56,300 126 IRT Property Co. REIT 91,798 1,056 # I-STAT Corp. 22,700 536 # ITI Technologies, Inc. 29,800 449 # Identix, Inc. 74,500 610 # Imatron, Inc. 190,500 628 # Immunex Corp. 37,400 725 # Immulogic Pharmaceutical Corp. 60,900 400 # Imperial Bancorp 55,786 1,339 # Imperial Credit 78,564 1,650 # In Focus Systems, Inc. 27,500 590 # Inbrand Corp. 42,000 940 # Incyte Pharmaceuticals, Inc. 25,300 1,297 Indiana Energy, Inc. 45,100 1,099 # Inference Corp. Class A 29,900 213 # Information Resources, Inc. 63,800 901 # Inhale Therapeutic Systems 43,100 657 # Insilco Corp. 24,100 940 # Inso Corp. 19,200 756 # Insignia Financial Group 80,200 1,805 # Inphynet Medical Management, Inc. 51,100 901 Integon Corp. 46,000 817 # Integrated Device Technology Inc. 194,800 2,666 Integrated Health Services, Inc. 53,300 1,299 # Integrated Measurement Systems, Inc. 12,600 222 # Integrated Packaging Assembly Corp. 42,000 341 # Integrated Process Equipment Corp. 41,300 741 # Integrated Silicon Solution, Inc. 52,200 449 # Integrated Systems, Inc. 36,300 935 # Intelidata Technologies Corp. 45,400 332 # Intelligent Electronics Inc. 67,900 552 Inter-Regional Financial Group, Inc. 41,200 1,452 # Inter-Tel, Inc. 36,400 696 # Intercel, Inc. 26,300 319 # Intercardia, Inc. 18,200 382 Interface, Inc. 51,800 1,036 # Interdigital Communications Corp. 110,400 635 # Intergraph Corp. 91,400 948 # Interim Services, Inc. 38,003 1,349 # Intermagnetics General Corp. 49,120 589 # Intermedia Communications Inc. 37,200 956 Intermet Corp. 65,100 1,038 # International Cabletel, Inc. 70,167 1,759 # International Dairy Queen, Inc. Class A 44,100 890 # International Family Entertainment, Inc. Class B 67,250 1,042 # International Imaging Materials Inc. 5,300 118 International Multifoods Corp. 48,300 875 Interpool, Inc. 39,100 914 # Intersolv 65,300 600 Interstate Power Co. 28,500 827 # Intervoice, Inc. 60,800 752 # Intevac, Inc. 12,400 205 Invacare Corp. 70,400 1,918 # Investment Technology Group, Inc. 33,600 638 Investors Financial Services Corp. Class A 877 24 # Ionics, Inc. 38,800 1,862 # Iron Mountain, Inc. 8,100 248 Irvine Apartment Communities, Inc. REIT 44,600 1,115 Irwin Financial Corp. 34,000 833 # ISIS Pharmaceuticals, Inc. 59,600 1,065 # Isolyser Co., Inc. 45,800 318 # Itron, Inc. 33,300 583 J & L Specialty Steel Inc. 37,400 425 JSB Financial 29,200 1,104 # JTS Corp. 33,700 112 # Jacobs Engineering Group Inc. 49,700 1,174 # Jacor Communications, Inc. Warrants Exp. 9/19/01 33,100 65 Jefferies Group, Inc. 31,616 1,277 Jefferson Bankshares, Inc. 34,057 964 John Alden Financial Group 55,300 1,022 John Nuveen Co. Class A 27,900 739 # Jones Intercable Inc. 48,400 508 Jones Medical Industries, Inc. 53,900 1,964 Jostens Inc. 79,900 1,687 Juno Lighting, Inc. 43,900 697 # Just for Feet, Inc. 43,150 1,130
59 108
- ----------------------------------------------------------------------- MARKET SMALL CAPITALIZATION VALUE* STOCK PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Justin Industries, Inc. 61,550 $ 716 KCS Energy, Inc. 33,900 1,212 KN Energy, Inc. 50,827 1,995 K2 Inc. 32,010 880 # Kaiser Aluminum & Chemical Corp. 62,800 730 Kansas City Life Insurance Co. 12,030 779 # Katz Media Group 61,900 696 Kaufman & Broad Home Corp. 88,600 1,141 Kaydon Corp. 40,300 1,899 # Keane, Inc. 80,600 2,559 # Kelly Oil Corp. 36,700 91 Kellwood Co. 48,050 961 # KEMET Corp. 93,300 2,152 Kennametal, Inc. 64,800 2,519 # Kent Electronics Corp. 60,600 1,560 Keystone Financial, Inc. 90,375 2,271 Keystone International, Inc. 73,800 1,485 Kimball International, Inc. Class B 43,800 1,812 Kimco Realty Corp. REIT 62,700 2,187 # Kinder Care Learning Centers Inc. 54,600 1,020 Kinetic Concepts, Inc. 57,200 711 # Kirby Corp. 60,200 1,189 # L. L. Knickerbocker Co. 47,500 297 # Knight Transportation, Inc. 23,200 436 Koger Equity Inc. REIT 64,100 1,202 # Kulicke & Soffa Industries, Inc. 45,800 873 # LCA-Vision, Inc. 2,300 5 LSI Industries Inc. 17,473 234 LTC Properties, Inc. 65,600 1,214 # LTX Corp. 106,500 622 La-Z-Boy Inc. 30,300 894 # Laboratory Corp. of America 191,352 550 Laclede Gas Co. 39,500 953 Lance, Inc. 26,900 479 # Landec Corp. 34,700 271 Landauer, Inc. 33,900 831 # Lands' End, Inc. 45,800 1,214 # Landry's Seafood Restaurants, Inc. 37,700 813 # Landstar System 38,300 880 # Lattice Semiconductor Corp. 53,500 2,454 Lawson Products, Inc. 28,100 622 Lawter International Inc. 72,166 911 # Legato Systems, Inc. 44,000 1,427 Legg Mason Inc. 35,200 1,355 Lennar Corp. 64,350 1,754 # Level One Communications 46,100 1,637 Libbey, Inc. 42,200 1,176 Liberty Bancorp, Inc. (Oklahoma) 20,000 998 Liberty Corp. 34,900 1,370 Liberty Financial Cos., Inc. 18,100 704 Liberty Property Trust REIT 70,300 1,810 Life Re Corp. 26,300 1,016 Life Technologies, Inc. 37,950 946 # Lifecore Biomedical Inc. 37,200 660 # Ligand Pharmaceuticals Class B 73,100 1,092 Lilly Industries Inc. Class A 61,950 1,131 # Lin Television 30,600 1,289 Lincoln Electric Co. 35,100 1,145 Lincoln Electric Co. Class A 24,200 726 Lindsay Manufacturing Co. 24,087 1,111 # Liposome Co., Inc. 78,700 1,510 Liqui-Box Corp. 22,700 749 # Littelfuse, Inc. 27,600 1,332 # Living Centers of America, Inc. 34,100 946 # Lo-Jack Corp. 85,900 848 Logicon, Inc. 28,800 1,051 # Logic Works, Inc. 24,900 139 Lone Star Industries, Inc. 31,500 1,162 Long Island Bancorp, Inc. 59,200 2,072 Longs Drug Stores, Inc. 31,600 1,552 Longview Fiber Co. 123,000 2,260 Luby's Cafeterias, Inc. 55,400 1,101 Lukens, Inc. 50,500 1,016 # Lydall, Inc. 40,300 907 MAF Bancorp, Inc. 40,423 1,395 # MAIC Holdings Inc. 29,901 1,013 MDU Resources Group, Inc. 69,225 1,592 MGI Properties, Inc. REIT 43,000 946 # MRV Communications Inc. 32,500 709 MTS Systems Corp. 37,900 767 # MacFrugal's Bargains Close-Outs, Inc. 63,000 1,645 MacDermid, Inc. 21,000 593 The Macerich Co. REIT 42,400 1,108 Madison Gas & Electric Co. 39,775 815 # Mafco Consolidated 20,900 530 # Magellan Health Services Corp. 76,900 1,721 Magna Bancorp, Inc. 12,800 238 Magna Group 66,100 1,950 # Magnatek 89,300 1,150 # Manhattan Bagel Co., Inc. 29,000 209 Manitowoc Co., Inc. 37,800 1,531 Manufactured Home Communities, Inc. REIT 55,700 1,295 # Manugistics Group, Inc. 32,900 1,295 # Marine Drilling Co., Inc. 100,000 1,969 # Mariner Health Group, Inc. 65,400 544 # Marisa Christina, Inc. 2,200 19 Mark Twain Bancshares, Inc. 32,550 1,587 # Markel Corp. 9,100 824 # Marquette Medical Systems Class A 49,800 1,089 # Marshall Industries 40,700 1,246 # Martek Biosciences Corp. 31,200 612 MascoTech Inc. 80,300 1,315 # Material Sciences Corp. 58,200 1,048 # Matrix Pharmaceutical, Inc. 36,200 217 # Maxicare Health Plans Inc. 41,417 932 # Maxxam Inc. 21,600 1,028 McClatchy Newspapers, Inc. 70,900 2,482 McDonald and Co. Investments, Inc. 37,160 1,291 # McWorter Technologies Inc. 36,450 834 Meadowbrook Insurance Group, Inc. 30,100 632 Measurex Corp. 39,500 948 # MedCath Inc. 36,900 581 Media General, Inc. Class A 27,100 820
60 109
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # Media 100 Inc. 29,800 $ 264 # MedImmune Inc. 44,400 766 Medusa Corp. 37,050 1,274 Mentor Corp. 54,400 1,598 # Mercury Interactive Corp. 56,300 732 Meridian Diagnostics, Inc. 44,600 588 # Meridian Gold Co. 10,900 45 Merrill Corp. 31,000 721 Merry Land & Investment Co., Inc. REIT 86,418 1,858 # Mesa Air Group Inc. 76,300 525 # Mesa, Inc. 216,400 1,136 # MetaTools, Inc. 26,600 311 Methode Electronics, Inc. Class A 73,100 1,462 # Metricom 50,400 753 # Metrocall, Inc. 57,301 290 # Metromedia International Group, Inc. 86,300 852 # Fred Meyer, Inc. 64,700 2,297 # Michaels Stores, Inc. 28,918 345 # Micros Systems, Inc. 17,500 532 # Microage, Inc. 59,100 1,178 Mid Am Inc. 47,609 821 # Microchip Technology, Inc. 85,700 4,360 # Microcom Corp. 54,000 662 # Microtouch Systems, Inc. 31,900 760 Mid-America Apartment Communities, Inc. REIT 38,500 1,112 # Mid Atlantic Medical Services, Inc. 96,300 1,288 # Midcom Communications, Inc. 33,300 287 Herman Miller, Inc. 58,000 3,273 # Miller Industries, Inc. 67,950 1,359 Mills Corp. REIT 54,500 1,301 Mine Safety Appliances Co. 16,000 872 Minerals Technologies, Inc. 54,500 2,235 # MiniMed, Inc. 22,200 708 Minnesota Power & Light Co. 75,700 2,082 Mississippi Chemical Corp. 49,600 1,190 Mississippi Chemical Corp. - New 16,065 1,498 Mitchell Energy & Development Corp. Class A 88,000 1,969 # Mobile Telecommunications Technologies Corp. 126,900 1,067 # MobileMedia Corp. 95,400 43 Modine Manufacturing Co. 53,700 1,416 # Mohawk Industries, Inc. 50,200 1,117 # Molten Metal Technology 40,400 480 # Robert Mondavi Corp. 28,600 1,037 # Morningstar Group, Inc. 43,800 865 Morrison Health Care Inc. 33,116 488 Mosinee Paper Corp. 31,133 1,101 # Mueller Industries Inc. 40,300 1,552 # Multicare Cos., Inc. 44,550 902 # Mycogen Corp. 42,300 899 Myers Industries, Inc. 49,070 828 # Mylex Corp. 53,500 669 # NABI, Inc. 68,900 611 NAC Re Corp. 38,750 1,313 NACCO Industries, Inc. Class A 20,495 1,096 # NBTY, Inc. 62,800 1,189 # NFO Research Inc. 34,500 776 N L Industries, Inc. 39,500 430 NN Ball and Roller 41,200 633 # NPC International Class A 76,700 638 NYMAGIC, Inc. 35,100 632 Nash-Finch Co. 43,800 942 National Bankcorp of Alaska Inc. 9,700 677 National Community Bancorp 57,750 2,195 National Computer Systems, Inc. 31,100 785 National Data Corp. 61,450 2,673 # National Education Corp. 84,200 1,284 National Health Investors REIT 44,000 1,667 National Penn Bancshares Inc. 27,270 731 National Presto Industries, Inc. 18,300 684 # National Steel Corp. Class B 54,700 506 # National Western Life Insurance Co. Class A 9,500 837 Nationwide Health Properties, Inc. 97,400 2,362 Nature's Sunshine Inc. 51,582 941 # Nautica Enterprises Inc. 92,514 2,324 # Navistar International Corp. 189,601 1,730 Thomas Nelson, Inc. 57,000 848 # Neopath, Inc. 29,400 540 # Netcom On-Line Communication Services, Inc. 22,900 301 # Netmanage, Inc. 96,300 581 # Network Appliance, Inc. 40,900 2,081 # Network Equipment Technologies 46,100 761 # Network Peripherals, Inc. 49,100 865 # Neurex Corp. 46,500 793 # Neurogen Corp. 40,300 766 # Neuromedical Systems, Inc. 67,300 883 Nevada Power Co. 114,200 2,341 New England Business Service, Inc. 50,300 1,081 New Jersey Resources Corp. 42,300 1,237 New York Bancorp Inc. 36,700 1,422 # Newfield Exploration Co. 90,000 2,340 # Newpark Resources, Inc. 25,300 942 # Nexstar Pharmaceuticals Inc. 62,900 932 # Nimbus CD International, Inc. 36,100 311 Norrell Corp. 30,400 828 North American Mortgage Co. 58,000 1,146 North Carolina Natural Gas Corp. 28,835 833 North Fork Bancorporation, Inc. 57,200 2,038 # Northfield Laboratories, Inc. 34,000 361 Northland Cranberries, Inc. 49,200 1,119 Northwest Natural Gas Co. 52,150 1,258 Northwestern Public Service Co. 34,500 1,182 # NovaCare, Inc. 155,400 1,709 # Nu-Kote Holding, Inc. Class A 51,100 524 # Novellus Systems, Inc. 39,000 2,113 # Noven Pharmaceuticals, Inc. 52,800 733 # Nuevo Energy Co. 30,300 1,576 OEA, Inc. 39,100 1,789 # OHM Corp. 92,500 786 # OIS Optical Imaging Systems, Inc. 118,200 192 OM Group, Inc. 44,400 1,196 # OMI Corp. 111,500 976 # Oak Industries, Inc. 45,500 1,047
61 110
- ----------------------------------------------------------------------- MARKET SMALL CAPITALIZATION VALUE* STOCK PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # Oak Technology, Inc. 79,900 $ 904 Oasis Residential, Inc. REIT 52,100 1,185 # OccuSystems, Inc. 47,800 1,285 # Oceaneering International, Inc. 66,000 1,048 # Offshore Logistics, Inc. 63,800 1,244 Ogden Corp. 120,700 2,263 Old National Bancorp 58,076 2,265 # Olympic Financial Ltd. 85,300 1,226 Omega Healthcare Investors, Inc. 40,000 1,330 Onbancorp Inc. 31,700 1,181 One Valley Bancorp of West Virginia Inc. 50,375 1,886 Oneida Ltd. 38,290 689 ONEOK, Inc. 56,300 1,689 # Ontrak Systems, Inc. 27,900 413 Optical Coating Laboratory, Inc. 34,500 369 # Optical Data System Inc. 43,200 513 Orange & Rockland Utilities, Inc. 31,600 1,134 # Orbital Sciences Corp. 72,400 1,240 # Organogenesis, Inc. 52,700 1,219 Oregon Steel Mills, Inc. 75,800 1,270 Orion Capital Corp. 32,425 1,982 # Orthodontic Centers of America, Inc. 6,300 99 # Ostex International, Inc. 53,600 302 O'Sullivan Corp. 60,800 669 Otter Tail Power Co. 26,400 855 Outboard Marine Corp. 44,700 738 Overseas Shipholding Group Inc. 65,100 1,107 Owens & Minor, Inc. Holding Co. 62,737 643 # Oxford Resources Corp. 19,400 595 # P-Com, Inc. 38,400 1,142 # PDT, Inc. 20,350 580 PHH Corp. 85,100 3,659 # PHP Healthcare Corp. 40,500 1,038 # PMT Services Inc 68,900 1,201 PXRE Corp. 30,133 748 Pacific Scientific Co. 56,500 636 # Palmer Wireless, Inc. 34,500 364 # Papa John's International, Inc. 29,850 1,013 Paragon Group Inc. REIT 52,200 927 # Paragon Trade Brands, Inc. 41,200 1,236 # Parexel International Corp. 22,600 1,162 Park Electrochemical Corp. 20,200 460 Parker & Parsley Petroleum Co. 87,200 3,205 # Parker Drilling Co. 178,100 1,714 # Pathogenesis Corp. 27,500 591 Patriot American Hospitality, Inc. REIT 49,900 2,152 # Patterson Dental Co. 30,000 844 # Paxar Corp. 53,625 925 # Paxson Communications Corp. 70,000 551 # PEC Israel Economic Corp. 33,100 554 # Pediatrix Medical Group, Inc. 19,700 726 Penn Engineering & Manufacturing Corp. 16,800 344 Penn Engineering & Manufacturing Corp. Class A 18,300 380 # Penn National Gaming, Inc. 33,000 483 Penncorp Financial Group Inc. 55,700 2,005 Pennsylvania REIT 40,000 975 Pentair, Inc. 90,500 2,919 Peoples Bank of Bridgeport 42,100 1,208 # People's Choice TV Corp. 12,600 76 Peoples Heritage Financial Group Inc. 58,800 1,639 # Perclose, Inc. 27,300 546 # Performance Food Group Co. 41,150 633 # Periphonics Corp. 44,000 1,276 # Perrigo Co. 157,000 1,413 # Personnel Group of America, Inc. 31,300 755 # Petco Animal Supplies, Inc. 34,800 709 # Pete's Brewing Co. 40,550 317 Petroleum Heat & Power Co. 49,600 310 Petrolite Corp. 23,200 1,090 # Pharmaceutical Product Development, Inc. 42,271 1,062 Phillips-Van Heusen Corp. 82,900 1,192 Phoenix Duff & Phelps Corp. 141,500 1,008 # Phymatrix Corp. 21,400 308 # Physician Corp. of America 89,600 907 # Physicians Resource Group, Inc. 51,500 914 # Physio-Control International Corp. 36,100 803 Piedmont Natural Gas, Inc. 70,843 1,656 Pier 1 Imports Inc. 107,625 1,897 # Pinkerton's, Inc. 28,200 709 # Pinnacle Systems, Inc. 22,200 230 Pioneer Group Inc. 49,300 1,162 Pioneer Standard Electronics Inc. 42,650 552 Piper Jaffray Cos., Inc. 60,000 938 Pittston Burlington Group 55,500 1,110 Pittway Corp. Class A 35,800 1,915 # Pixar, Inc. 30,600 400 # Plains Resources 64,400 1,006 # Plantronics, Inc. 20,200 909 # Platinum Technology, Inc. 114,177 1,549 # Players International, Inc. 95,950 510 # Playtex Products, Inc. 92,300 738 Ply-Gem Industries, Inc. 50,100 620 Poe & Brown, Inc. 24,500 658 Polaris Industries, Inc. 65,800 1,563 # Policy Management Systems Corp. 36,200 1,670 # Pool Energy Service Co. 65,300 1,012 Pope & Talbot, Inc. 51,700 821 # Possis Corp. 44,500 918 Post Properties, Inc. REIT 51,300 2,065 # Prepaid Legal Services, Inc. 73,200 1,336 Precision Castparts Corp. 48,900 2,427 # Precision Systems, Inc. 47,200 239 Premark International, Inc. 133,800 2,977 # Premenos Technology Corp. 19,000 162 # Premiere Technologies, Inc. 27,400 692 Price Enterprises, Inc. 58,000 997 # Pricellular Corp. 72,497 834 # Pride Petroleum Services 69,000 1,596 # Primadonna Resorts, Inc. 33,300 570 # Primark Corp. 63,400 1,569 # Prime Hospitality Corp. 72,000 1,161
62 111
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- # Proffitt's, Inc. 41,700 $ 1,530 # Prism Solutions, Inc. 17,000 139 Production Operators Corp. 15,800 739 # Progress Software Corp. 50,800 1,010 # Pronet, Inc. 46,100 199 # Protein Design Labs 36,200 1,312 # Protocol Systems Inc. 31,200 402 Provident Bancorp Inc. 41,375 1,396 # PsiNet, Inc. 57,100 628 Public Service Co. of New Mexico 89,300 1,753 Public Service Co. of North Carolina, Inc. 42,700 779 Public Storage, Inc. REIT 138,900 4,306 Pulitzer Publishing Co. 22,949 1,064 Pulte Corp. 42,800 1,316 # Pure Atria Software Corp. 60,799 1,493 Quaker State Corp. 84,300 1,191 # Quality Food Centers Inc. 26,388 897 Quanex Corp. 40,800 1,117 # Quarterdeck Corp. 64,600 268 Queens County Bancorp, Inc. 25,266 1,202 Quick & Reilly Group, Inc. 29,450 880 # Quiksilver, Inc. 29,600 636 # Quickturn Design Systems, Inc. 60,500 1,244 # Quintel Entertainment, Inc. 13,700 127 RCSB Financial Corp. 39,400 1,138 RFS Hotel Investors, Inc. REIT 56,600 1,118 # RMI Titanium Co. 30,900 869 ROC Communities Inc. REIT 41,300 1,146 # RPC Inc. 46,800 702 # RTW, Inc. 34,600 629 # Radisys Corp. 12,400 603 # RailTex, Inc. 36,900 918 # Rainbow Technologies, Inc. 30,400 570 # Ralcorp Holdings Inc. 74,000 1,563 Raymond James Financial, Inc. 35,300 1,063 Realty Income Corp. 53,500 1,277 # Red Brick Systems, Inc. 34,600 787 # Red Roof Inns, Inc. 44,900 696 # Redhook Ale Brewery, Inc. 31,100 303 Redwood Trust, Inc. 15,400 568 Regal-Beloit Corp. 50,200 985 # Regal Cinemas, Inc. 66,030 2,022 # Regeneron Pharmaceuticals, Inc. 46,600 746 # Regency Health Services, Inc. 72,000 693 Reinsurance Group of America, Inc. 40,000 1,885 Reliance Group Holdings 146,300 1,335 # Remedy Corp. 29,200 1,562 # Renaissance Communications 34,200 1,223 # Renal Treatment Centers, Inc. 68,800 1,754 # Renters Choice, Inc. 36,500 522 Republic Bancorp, Inc. 2,600 31 # Republic Industries, Inc. 60,370 1,883 # Res-Care, Inc. 36,000 621 Resource Mortgage Capital Corp. REIT 47,400 1,392 # Respironics, Inc. 51,300 875 # Rexall Sundown, Inc. 22,700 617 Riggs National Corp. 75,500 1,307 # Riscorp, Inc. 84,200 305 Riser Foods, Inc. Class A 30,600 972 Rite Aid Corp. 67,700 2,691 The Rival Co. 37,600 924 Roadway Express Inc. 27,800 535 Robbins & Myers, Inc. 34,478 875 # Roberts Pharmaceuticals 27,800 311 # Robotic Vision Systems, Inc. 60,800 733 Rochester Gas and Electric Corp. 92,700 1,773 Rock-Tenn Co. 78,660 1,554 # Rohr, Inc. 49,800 1,127 # Rollins Environmental Services, Inc. 255,937 448 Rollins, Inc. 49,700 994 Rollins Truck Leasing 88,925 1,123 # Romac International, Inc. 26,900 588 Roosevelt Financial Group 80,800 1,687 Roper Industries Inc. 30,600 1,197 Ross Stores, Inc. 60,800 3,032 # Rotech Medical Corp. 58,800 1,227 Rouge Steel Co. Class A 34,200 722 # Royal Gold, Inc. 51,700 704 Ruby Tuesday, Inc. 46,175 854 Ruddick Corp. 67,500 945 # Rural/Metro Corp. 25,500 912 Russ Berrie, Inc. 48,800 878 # Ryan's Family Steak Houses, Inc. 118,100 816 Rykoff-Sexton, Inc. 61,625 978 Ryland Group, Inc. 57,000 784 S & T Bancorp, Inc. 28,800 875 SEI Corp. 46,800 1,033 # SPS Technologies, Inc. 16,000 1,028 # SPS Transaction Services 35,800 546 # SPSS, Inc. 24,500 669 SPX Corp. 44,300 1,717 # S3, Inc. 121,300 1,979 # Safeskin Corp. 20,600 1,009 Safety-Kleen Corp. 140,900 2,307 St. John Knits, Inc. 36,000 1,566 St. Paul Bancorp, Inc. 42,350 1,241 # Samsonite Corp. 31,000 1,192 Sanderson Farms, Inc. 20,500 341 # Sanmina Corp. 42,500 2,401 # Santa Cruz Operation, Inc. 83,000 576 # Sapient Corp. 8,400 350 Saul Centers, Inc. REIT 51,200 813 Savannah Foods & Industries, Inc. 69,100 933 Sbarro, Inc. 24,300 620 # Henry Schein, Inc. 18,200 624 # R. P. Scherer Corp. 55,700 2,799 Schnitzer Steel Industries, Inc. Class A 8,000 204 # Scholastic Corp. 28,400 1,899 A. Schulman Inc. 88,500 2,179 Schweitzer-Mauduit International, Inc. 37,700 1,192 # Sciclone Pharmaceuticals 60,200 489 # Scientific Games Holdings Corp. 28,600 765 # Scios, Inc. 98,535 607 # Scopus Technology, Inc. 31,400 1,458
63 112
- ----------------------------------------------------------------------- MARKET SMALL CAPITALIZATION VALUE* STOCK PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- Scotsman Industries, Inc. 39,500 $ 933 # Scotts Co. 63,900 1,270 # Seacor Holdings, Inc. 25,300 1,591 Seafield Capital Corp. 19,400 759 # Seagull Energy Corp. 144,904 3,188 # Seattle FilmWorks, Inc. 41,518 838 # Secure Computing Corp. 20,800 185 Security Capital Corp. 21,700 1,595 Security Connecticut Corp. 32,800 1,152 # Segue Software, Inc. 20,700 374 # Seitel, Inc. 33,300 1,332 Selective Insurance Group 34,600 1,319 # Semitool, Inc. 34,100 326 # Sepracor Inc. 61,200 1,010 # Sequa Corp. Class A 26,500 1,040 # Sequent Computer Systems, Inc. 70,500 1,247 # Sequus Pharmaceuticals, Inc. 66,400 1,058 # Serologicals Corp. 31,500 1,101 # Service Merchandise Co., Inc. 235,312 1,000 # 7th Level, Inc. 8,600 32 Shopko Stores, Inc. 58,400 876 # Shoney's Inc. 116,700 817 # Shorewood Packaging 46,600 917 # Show Biz Pizza Time, Inc. 64,500 1,189 Showboat, Inc. 56,100 968 # Shuffle Master, Inc. 51,950 468 Shurgard Storage Centers, Inc. Class A REIT 56,400 1,671 # Sierra Health Services 33,500 825 Sierra Pacific Resources 72,400 2,082 # Sierra Semiconductor 87,700 1,310 SIG Corp. 36,433 1,261 # Silicon Storage Technology, Inc. 34,300 166 # Silicon Valley Bancshares 33,300 1,078 # Silicon Valley Group, Inc. 71,800 1,440 # Siliconix, Inc. 24,000 552 Simpson Industries, Inc. 73,500 809 # Simula, Inc. 27,200 367 # Sitel Corp. 49,600 704 Skyline Corp. 35,400 876 Skywest, Inc. 28,700 402 # Smart Modular Technologies, Inc. 37,600 938 A.O. Smith Corp. 36,100 1,078 # Smith Micro Software, Inc. 19,600 97 Charles E. Smith Residential Realty, Inc. REIT 40,300 1,179 # Smithfield Foods, Inc. 38,600 1,462 Smiths Food & Drug Centers, Inc. Class B 32,195 998 J.M. Smucker Co. Class A 67,700 1,193 J.M. Smucker Co. Class B 1,000 16 Snyder Oil Corp. 67,400 1,171 # Sodak Gaming, Inc. 43,600 662 # Sofamor Danek Group Inc. 54,300 1,656 # Software 2000, Inc. 24,200 198 # Sola International, Inc. 61,100 2,322 # Solv-Ex Corp. 36,700 518 # Somatix Therapy Corp. 55,600 181 # Somatogen, Inc. 66,600 728 # Sonic Corp. 43,550 1,100 Sotheby's Holdings Class A 100,600 1,874 South Jersey Industries, Inc. 34,836 849 South West Property Trust, Inc. REIT 77,700 1,311 Southdown, Inc. 41,400 1,289 Southern California Water Co. 31,400 683 # Southern Energy Homes, Inc. 35,225 403 # Southern Union Co. 39,585 871 Southwest Gas Corp. 64,000 1,232 Southwestern Energy Co. 74,200 1,122 Sovereign Bancorp, Inc. 110,600 1,445 # Spacelabs Medical 39,800 831 # Spectrum Holobyte 96,600 731 # Speedfam International, Inc. 23,400 670 Spieker Properties, Inc. REIT 72,200 2,599 # Sports & Recreation 92,200 715 # The Sports Authority, Inc. 76,100 1,655 Springs Industries Inc. Class A 32,500 1,398 # Staar Surgical Co. 58,200 768 Stac, Inc. 86,800 564 Standard Financial, Inc. 62,200 1,228 # Standard Microsystem 24,400 229 Standard Motor Products, Inc. 43,400 602 Standard Products Co. 48,325 1,232 The Standard Register Co. 33,200 1,079 Standex International Corp. 27,900 861 Stanhome, Inc. 42,300 1,121 L. S. Starrett Co. Class A 28,900 820 # Starsight Telecast, Inc. 47,100 445 # State of the Art, Inc. 28,508 358 # Station Casinos, Inc. 68,500 694 # Steck-Vaughn Publishing Corp. 29,300 337 Steel Technologies, Inc. 43,250 578 # Stein Mart, Inc. 34,950 699 Stewart & Stevenson Services, Inc. 74,210 2,161 # Stillwater Mining Co. 40,200 724 Stone & Webster, Inc. 29,800 939 Storage USA, Inc. REIT 51,100 1,923 # Storage Computer Corp. 13,000 171 # Stormedia, Inc. 36,602 592 # Stratosphere Corp. 68,700 60 # Stratus Computer, Inc. 61,800 1,684 Strawbridge & Clothier Class A 33,057 539 Stride Rite Corp. 114,200 1,142 # Structural Dynamics Research Corp. 81,400 1,613 Student Loan Corp. 15,200 566 Sturm, Ruger & Co., Inc. 43,800 849 # Submicron Systems Corp. 68,700 290 Sumitomo Bank of California 10,584 273 # Summit Care Corp. 22,700 365 # Summit Medical Systems, Inc. 12,900 96 Summit Properties, Inc. REIT 50,400 1,115 # Summit Technology, Inc. 75,400 419 Sun Communities, Inc. REIT 34,500 1,190 # Sun Healthcare Group, Inc. 96,300 1,300 # Sunshine Mining and Refining Co. 296,400 278 # Sunrise Medical, Inc. 41,600 660 # SunRiver Corp. 48,500 76
64 113
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Superior Industries International, Inc. 51,200 $ 1,184 # Supertex, Inc. 34,300 457 Susquehanna Bancshares, Inc. 29,300 1,013 # Swift Energy Co. 46,300 1,383 # Swift Transportation Co., Inc. 34,400 802 # Sylvan Learning Systems, Inc. 43,500 1,229 # Symantec Corp. 131,340 1,913 # Symmetricom Inc. 57,700 1,154 # Synetic, Inc. 42,800 2,073 # Syratech Inc. 26,500 835 # System Software Associates, Inc. 66,600 703 # Systems & Computer Technology Corp. 53,600 871 # Systemsoft Corp. 52,400 773 # TBC Corp. 99,600 759 TCA Cable Television, Inc. 37,700 1,129 # TCSI Corp. 34,500 218 TJ International, Inc. 37,100 849 TNP Enterprises, Inc. 37,900 1,038 TR Financial Corp. 33,500 1,193 # Target Therapeutics, Inc. 25,000 1,048 Taubman Co. REIT 77,000 991 # Tech Data Corp. 90,000 2,464 # Tech-Sym Corp. 28,049 834 # Techne 34,664 888 # Technology Solutions Co. 39,700 1,638 # Tecnol Medical Products Inc. 55,600 831 # Telco Systems, Inc. 15,600 299 # Tejas Gas Corp. 34,665 1,651 Tejon Ranch Co. 41,400 595 # Tekelec 33,400 530 # Tel-Save Holdings, Inc. 27,900 807 Teleflex Inc. 43,350 2,260 # Teltrend, Inc. 26,000 723 Telxon Corp. 39,900 494 # Tencor Instruments 75,700 2,001 Tennant Co. 24,600 673 # Tesoro Petroleum Corp. 94,000 1,316 # Tetra Technologies, Inc. 51,500 1,310 # Tetra Tech, Inc. 43,387 860 Texas Industries, Inc. 27,160 1,375 # Theragenics Corp. 44,000 990 # Theratech, Inc. 62,850 829 Thermo Remediation, Inc. 32,900 288 # Thermo TerraTech, Inc. 37,300 368 # ThermoSpectra Corp. 17,700 217 # ThermoTrex Corp. 23,000 630 Thiokol Corp. 42,900 1,920 Thornburg Mortgage Asset Corp. 48,200 1,030 # 3DO Co. 82,600 398 # Timberland Co. 34,900 1,326 Titan Wheel International, Inc. 59,300 756 # Toll Brothers, Inc. 51,700 1,008 Tootsie Roll Industries, Inc. 41,492 1,644 # Top Source Technologies, Inc. 108,400 271 # The Topps Co., Inc. 134,825 548 The Toro Co. 29,100 1,062 Toronto Dominion Bank 17,915 457 # Tower Automotive, Inc. 27,800 864 Town & Country Trust REIT 62,300 911 # Toy Biz 38,000 741 # Tracor, Inc. 50,259 1,074 Trans Financial, Inc. 9,500 221 # Trans World Airlines 67,800 462 # Transaction Network Services, Inc. 34,450 403 # Transaction Systems Architects, Inc. 63,300 2,089 # Transcend Services, Inc. 36,500 187 # Transitional Hospital Corp. 101,850 980 # TransTexas Gas Corp. 25,300 361 Tredegar Industries Inc. 31,100 1,248 # Tremont Corp. 22,065 797 Trenwick Group Inc. 15,700 730 # Trident Microsystems, Inc. 50,800 851 # Triarc Cos., Inc. Class A 84,700 974 Trimas Corp. 37,100 886 # Trimble Navigation Ltd. 59,200 685 Trinet Corporate Realty Trust, Inc. REIT 27,100 962 Trinova Corp. 63,300 2,303 # Triquint Semiconductor, Inc. 32,200 843 True North Communications 43,300 947 # Trump Hotels & Casino Resorts, Inc. 70,100 841 The Trust Co. of New Jersey 68,870 968 Trustco Bank 45,781 976 Trustmark Corp. 63,000 1,630 # Tuboscope Vetco International Corp. 99,700 1,539 # Tucson Electric Power Co. 75,360 1,253 20th Century Industries of CA 111,000 1,873 # Tyco Toys, Inc. 133,200 1,565 UGI Corp. Holding Co. 78,700 1,761 # UICI 80,800 2,611 UMB Financial Corp. 41,747 1,717 UNR Industries, Inc. 70,800 420 # USA Detergents, Inc. 21,400 880 UST Corp. 65,000 1,333 Ultramar Diamond Shamrock Corp. 56,202 1,777 # Ultratech Stepper, Inc. 60,200 1,422 Unifirst Corp. 46,000 978 # Union Acceptance Corp. 40,800 714 # Uniphase Corp. 39,200 2,063 United Carolina Bancshare Corp. 57,700 2,268 United Cities Gas Co. 44,141 1,010 United Cos. Finance Corp. 62,402 1,661 United Bankshares, Inc. 35,800 1,172 United Dominion Realty Trust REIT 134,600 2,086 United Fire & Casualty Co. 25,925 959 United Illuminating Co. 33,250 1,043 # United International Holdings, Inc. Class A 90,700 1,094 # United Meridian Corp. 70,400 3,643 # U.S. Filter Corp. 92,000 2,921 # U.S. Long Distance Corp. 40,400 328 # U.S. Home Corp. 42,200 1,097 # US Office Products Co. 81,200 2,756 # United States Can Co. 39,800 672 United States Trust Corp. 23,000 1,814
65 114
- ----------------------------------------------------------------------- MARKET SMALL CAPITALIZATION VALUE* STOCK PORTFOLIO SHARES (000) - ----------------------------------------------------------------------- # United Stationers, Inc. 31,900 $ 654 United Television, Inc. 9,400 823 # United Video Satellite Group, Inc. 37,300 643 # United Waste Systems, Inc. 95,600 3,280 United Water Resources, Inc. 56,968 883 United Wisconsin Services Inc. 30,900 811 # Unitrode Corp. 34,900 1,025 Universal Corp. 82,500 2,650 Universal Foods Corp. 60,700 2,140 Universal Health Realty Income Trust REIT 40,600 832 # Universal Health Services Class B 79,200 2,267 USFreightways Corp. 52,000 1,427 Urban Shopping Centers, Inc. REIT 41,500 1,204 # UROHEALTH Systems, Inc. Class A 30,700 238 # Uromed Corp. 38,700 370 # VLSI Technology, Inc. 111,900 2,658 # Valassis Communication 57,200 1,208 Valhi, Inc. 47,900 305 # ValuJet Inc. 80,500 511 Valmont Industries, Inc. 26,000 1,066 Valspar Corp. 36,100 2,044 # Value City Department Stores, Inc. 66,600 699 Value Line, Inc. 12,600 573 # Vans, Inc. 43,600 537 # Vanguard Cellular Systems, Inc. Class A 69,450 1,085 # Vanstar Corp. 48,800 1,196 # Vantive Corp. 31,400 977 # Varco International, Inc. 65,700 1,519 # Ventritex Inc. 45,400 1,109 # Veritas Software Corp. 24,500 1,213 # Verity, Inc. 16,200 247 # Vertex Pharmaceuticals, Inc. 45,100 1,810 Vesta Insurance Group, Inc. 44,550 1,398 # Veterinary Centers of America, Inc. 50,100 545 # Viasoft, Inc. 41,100 1,947 # Vicor Corp. 76,300 1,273 # Videoserver, Inc. 31,300 1,322 # Viewlogic Systems, Inc. 61,200 685 # Visio Corp. 18,500 907 # Visix Space Inc. 29,000 647 Vital Signs, Inc. 24,800 646 # Vitesse Semiconductor Corp. 43,200 1,968 # Vivus, Inc. 41,400 1,506 Vornado Realty Trust REIT 57,700 3,029 WD-40 Co. 20,250 1,035 # WFS Financial, Inc. 22,017 429 # WHX Corp. 47,800 424 # WMS Industries, Inc. 42,350 847 WPL Holdings, Inc. 72,500 2,039 WPS Resources Corp. 56,100 1,599 # Waban, Inc. 72,800 1,893 Wabash National Corp. 43,800 805 Wackenhut Corp. 38,200 659 Wackenhut Corp. Class B 3,656 56 Walden Residential Properties, Inc. REIT 43,800 1,090 # Wall Data Inc. 39,750 596 # Walter Industries, Inc. 94,300 1,320 # Wang Laboratories, Inc. 86,500 1,762 Washington Energy Co. 56,269 1,161 Washington Federal Inc. 100,200 2,630 Washington Gas Light Corp. 106,000 2,398 Washington National Corp. 37,830 1,040 Washington REIT 72,550 1,270 # Waters Corp. 62,700 1,905 Watkins-Johnson Co. 24,900 610 Watts Industries Class A 48,000 1,146 Wausau Paper Mills Co. 66,332 1,223 Del Webb Corp. 53,396 874 Weeks Corp. REIT 37,600 1,250 Weingarten Realty Investors REIT 55,300 2,247 Wellman, Inc. 76,000 1,302 Wellsford Residential Property Trust REIT 39,425 956 Werner Enterprises, Inc. 46,050 838 West Co., Inc. 31,300 884 # West Marine, Inc. 29,800 827 WestAmerica Bancorporation 22,100 1,285 Western Gas Resources, Inc. 40,600 782 Western Investment Real Estate Trust REIT 69,800 907 # Westpoint Stevens, Inc. 39,200 1,166 # Westwood One, Inc. 73,600 1,219 # White River 17,426 993 Whitney Holdings 39,650 1,390 # Whittaker Corp. 49,400 624 # Whole Foods Market, Inc. 44,800 1,000 Wicor, Inc. 42,800 1,535 John Wiley & Sons Class A 30,500 984 # Williams Sonoma, Inc. 44,962 1,630 # Wind River Systems 28,400 1,340 Windmere-Durable Holdings Inc. 67,267 866 Winnebago Industries, Inc. 80,300 582 # Winstar Communications, Inc. 64,700 1,363 # Wolverine Tube, Inc. 32,700 1,153 Wolverine World Wide, Inc. 66,650 1,933 # Wonderware Corp. 28,400 254 # Workgroup Technology Corp. 43,900 283 # World Acceptance Corp. 12,400 82 # World Color Press, Inc. 82,700 1,592 Wyle Electronics 29,900 1,181 # Wyman Gordon Corp. 61,900 1,373 X-Rite Inc. 50,900 853 # Xoma Corp. 121,000 628 # Xircom, Inc. 57,000 1,247 # Xpedite Systems, Inc. 25,800 542 Xtra Corp. 41,900 1,817 # Yahoo!, Inc. 15,500 265 # Yellow Corp. 64,450 935 # Young Broadcasting Corp. 28,900 849 # Youth Services International, Inc. 27,100 410 # Zale Corp. 76,700 1,472 # Zebra Technologies Class A 45,000 1,043 # Zenith Electronics Corp. 63,121 686
66 115
- ----------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------- Zenith National Insurance Corp. 29,600 $ 810 Zero Corp. 50,500 1,010 # Zila, Inc. 53,500 358 # Zilog Inc. 48,850 1,276 # Zoran Corp. 31,500 551 Zurich Reinsurance Centre Holdings, Inc. 30,600 956 Zurn Industries, Inc. 47,900 1,251 # Zytec Corp. 36,000 380 - ----------------------------------------------------------------------- TOTAL COMMON STOCKS (97.7%) (1) (COST $1,406,837) 1,673,925 - -----------------------------------------------------------------------
FACE AMOUNT (000) - ----------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (2.9%) - ----------------------------------------------------------------------- U.S. TREASURY BILL--Note D 5.17%, 1/9/97 $ 1,500 1,499 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.39%, 1/2/97 47,946 47,946 - ----------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $49,445) 49,445 - ----------------------------------------------------------------------- TOTAL INVESTMENTS (100.6%) (COST $1,456,282) 1,723,370 - ----------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.6%) - ----------------------------------------------------------------------- Other Assets--Notes B and E 62,473 Liabilities--Note E (72,489) ----------- (10,016) - ----------------------------------------------------------------------- NET ASSETS (100%) - ----------------------------------------------------------------------- Applicable to 84,694,988 outstanding shares of beneficial interest (unlimited authorization) $1,713,354 ======================================================================= NET ASSET VALUE PER SHARE $20.23 =======================================================================
*See Note A in Notes to Financial Statements. #Non-Income Producing Security. (1) The combined market value of common stocks, New York Stock Exchange Composite Index futures contracts, and S&P Midcap 400 Index futures contracts represents 100.1% of net assets. ADR--American Depository Receipt. REIT--Real Estate Investment Trust.
- ----------------------------------------------------------------------- AT DECEMBER 31, 1996, NET ASSETS CONSISTED OF: - ----------------------------------------------------------------------- AMOUNT PER (000) SHARE - ----------------------------------------------------------------------- Paid in Capital $1,440,834 $17.02 Undistributed Net Investment Income (494) (.01) Accumulated Net Realized Gains 5,966 .07 Unrealized Appreciation (Depreciation)--Note D Investment Securities 267,088 3.15 Futures Contracts (40) -- - ----------------------------------------------------------------------- NET ASSETS $1,713,354 $20.23 =======================================================================
67 116 REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Board of Trustees of Vanguard Index Trust In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and t$e financial highlights appearing in the Annual Report to Shareholders present fairly, in all material respects, the financial position of Extended Market Portfolio, Total Stock Market Portfolio, Growth Portfolio, Value Portfolio, and Small Capitalization Stock Portfolio (separate portfolios of Vanguard Index Trust, the "Trust") at December 31, 1996, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 1996 by correspondence with the custodian and, with respect to unsettled securities transactions, the application of alternative auditing procedures, provide a reasonable basis for the opinion expressed above. PRICE WATERHOUSE LLP Thirty South Seventeenth Street Philadelphia, Pennsylvania 19103 January 31, 1997 68 F400-12/96 -----END PRIVACY-ENHANCED MESSAGE-----