-----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, FHbiPuleWbzaZVtqvA6ACRXYCPvaKdux3u9yzy0viRkKHzW6lb6N7eZbK9Hth+y4 U3ZMcn0Tg6RIU9z1F4trHA== 0000893220-96-000339.txt : 19960223 0000893220-96-000339.hdr.sgml : 19960223 ACCESSION NUMBER: 0000893220-96-000339 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19951231 FILED AS OF DATE: 19960222 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: 96523907 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 1995 ANNUAL REPORT 1 VANGUARD INDEX TRUST ANNUAL REPORT 1995 2 In this Annual Report, I am delighted to formally introduce you to John J. Brennan, who, on January 31, 1996, will assume my responsibilities as Chief Executive Officer of Vanguard Index Trust and the other Funds in The Vanguard Group. Mr. Brennan will continue to serve as President of the Funds, and I will continue to serve as Chairman of the Board. [FIGURE 1] John J. Brennan John C. Bogle As a shareholder of the Fund since its inception and as Chairman of all the Vanguard Funds, I want to tell you that I am enthusiastic and confident that Jack Brennan is exactly the right person to succeed me as Chief Executive Officer. To use yet another Vanguard nautical metaphor, he will be the new captain. He has the qualities of leadership, integrity, intelligence, and vision that must continue to be Vanguard's hallmark as we move toward, and then into, the 21st century. I know that he has these qualities, because Jack Brennan and I have been working closely together since he joined Vanguard in 1982. He is a graduate of Dartmouth College and Harvard Business School. He started as Assistant to the Chairman and, rising like a rocket, became President in 1989. While, at age 41, he may seem young, he is in fact older than I was when I became Chief Executive Officer of Vanguard's predecessor organization in 1967, at the age of 38. Most important of all, Jack is completely dedicated to the Vanguard character, and believes in our basic mission: serving solely the shareholder, free of any conflict of interest. He believes in holding our costs of operation to a minimum, and in retaining our position as the lowest-cost provider of financial services in the world. He is a true competitor, who shares Vanguard's dedication to providing highly competitive returns to our investors relative to the returns provided by other mutual funds with comparable objectives. He also believes in reporting our results to shareholders with complete candor. He has the full support of the Board of Directors and our crew, and is committed to staying the course we have set for Vanguard. You need have no doubt that the essential elements that drew you to Vanguard in the first place will remain intact. As for me, I expect to fill a useful, if less demanding, role as Chairman of the Board. I shall keep a watchful eye over the interests of our shareholders, our crew, and our investment policies. I shall also speak out on industry affairs, reminding all who will listen of the primacy of the interests of mutual fund shareholders. I will be readily available to provide Jack Brennan with whatever wisdom I may have acquired during my lifetime of experience in this wonderful industry and in my service as captain of Vanguard since I founded this unique organization more than two decades ago. In short, I'll still be around. Thank you for all your confidence in me in the past and, in advance, for your continued confidence in Vanguard under Jack Brennan's leadership. /s/ JOHN C. BOGLE VANGUARD INDEX TRUST PROVIDES SIX "MARKET INDEX" PORTFOLIOS: 500 PORTFOLIO - EXTENDED MARKET PORTFOLIO - TOTAL STOCK MARKET PORTFOLIO - GROWTH PORTFOLIO - VALUE PORTFOLIO - SMALL CAPITALIZATION STOCK PORTFOLIO. EACH PORTFOLIO IS DESIGNED TO MATCH THE PERFORMANCE OF ITS CORRESPONDING STOCK INDEX. 3 CHAIRMAN'S LETTER FELLOW SHAREHOLDER: What a splendid way to begin our 20th fiscal year! The 500 Portfolio of Vanguard Index Trust was among the leading mutual funds in a roaring bull market, providing a total return of +37.4%--the highest in our history--during the twelve months ended December 31, 1995. When all was said and done, we outpaced 85% of all actively managed equity mutual funds. This same competitive success was manifested almost across-the-board by the other five Portfolios of the Trust, and all six Portfolios did an excellent job of tracking their target indexes. This table shows the total return (capital change plus reinvested dividends) achieved by our six Portfolios during 1995 compared to the broad market indexes that comprise our unmanaged standards:
- --------------------------------------------------------------------------------- TOTAL RETURN ------------------------------- YEAR ENDED DECEMBER 31, 1995 ------------------------------- VANGUARD COMPARATIVE PORTFOLIO INDEX* - --------------------------------------------------------------------------------- LARGE-CAP STOCKS 500 PORTFOLIO +37.4% +37.6% GROWTH PORTFOLIO +38.1 +38.1 VALUE PORTFOLIO +36.9 +37.0 - --------------------------------------------------------------------------------- MEDIUM- AND SMALL-CAP STOCKS EXTENDED MARKET PORTFOLIO +33.8% +33.5% SMALLCAP PORTFOLIO +28.7 +28.4 - --------------------------------------------------------------------------------- ALL STOCKS TOTAL STOCK MARKET PORTFOLIO +35.8% +36.4% - ---------------------------------------------------------------------------------
* The respective indexes are: the Standard & Poor's 500 Index, the Standard & Poor's/BARRA Growth and Value Indexes, the Wilshire 4500 Index, the Russell 2000 Index, and the Wilshire 5000 Index. "Standard & Poor's(R)," "S&P 500(R)," and "500" are trademarks of The McGraw-Hill Companies, Inc.; "Wilshire 4500" and "Wilshire 5000" are registered trademarks of Wilshire Associates; "Russell 2000" is a registered trademark of the Frank Russell Company. Detailed per share figures for each Portfolio, including net asset values, income dividends, and any capital gains distributions, are presented in the table that follows this letter. THE STOCK MARKET IN 1995 The great bull market in stocks we enjoyed during the year was virtually uninterrupted, as stock prices rose in eleven of the past twelve months. The dimension of the increase was close to record breaking, delighting the bulls even as it astonished the bears. By year's end, the Standard & Poor's 500 Composite Stock Price Index had generated a total return of +37.6%--its best year since 1958. There were, as always, many opinions as to the source of the surprising strength in the stock market. In my view, it resulted from a combination of: (1) record-breaking corporate profits; (2) a growing speculative fever in the marketplace, especially during the final weeks of the year; and (3) a sharp decline in long-term interest rates. The rise in corporate profits was particularly striking. It's estimated that operating earnings for the companies in the Standard & Poor's 500 Index increased about +15% in 1995, after already rising +16% in 1994. (Since 1926, earnings growth has averaged less than +7% per year.) If there is a cautionary signal in this boom in profits, it is that the two-year cumulative earnings growth of +33% has been accompanied by dividend growth of only +11%. This subdued dividend growth in the face of sharply higher stock prices resulted in a decline in the yield on the Index to 2.2%, the lowest level on record. Nonetheless, the Wall Street chorus sings "this time it's different." Dividend yield and earnings growth--the two fundamentals of stock returns--are clearly taking a back seat to the market's high valuation of the long-term fundamentals. This is called "speculation," and it is hardly an inconsequential component of 1995's high returns on stocks. So, as 1996 begins, we face an environment that is surely sobering. The huge decline in interest rates during the year not only provided a major stimulus to the stock market but also set bond prices afire. The yield of the Lehman Long-Term Corporate Bond Index declined from 8.9% to 6.9% during 1995, even below its level of 7.1% at the start of 1994. The 1995 decline drove long-term bond prices upward by fully +19%, resulting in a total return (including the interest coupon) of +28%--remarkably competitive with the 1 4 [FIGURE 2] return on stocks. Short-term rates also declined as the Federal Reserve reduced the Federal funds rate (the rate at which banks borrow from one another) in July and again in December. On balance during the year, the yield on the U.S. Treasury bill eased from 5.6% to 5.0%. This improvement in the actual (and expected) interest rate environment was caused largely by a measurable softening in the growth of the U.S. economy, perhaps with further weakness to come. A sluggish economy, in turn, engendered continued optimism about the benign outlook for inflation. (Indeed, the Consumer Price Index (CPI) was quite well-behaved in 1995, rising by but +2.6%, its smallest increase since 1986.) Investors should carefully ponder the extent to which today's high growth rate of corporate earnings is likely to be sustained in a slowing economy. THE 1990s SO FAR During the past year, growth stocks (return of +38.1%) and value stocks (+37.0%) were relatively equal participants in the great bull market. So far during the 1990s, as shown in the upper chart to the left, there was little overall difference between the two investment styles, despite some considerable year-to-year variations. In terms of market capitalization, there was a clear progression of returns during 1995. Large-cap stocks led the way (+37.6%), followed by mid-cap stocks (+33.5%), followed in turn by small-cap stocks (+28.4%). As shown in the upper right-hand chart, however, during the 1990s there has been little to distinguish the three capitalization classes, just as has been the case between the growth and value objectives. On this note, you may recall that I mentioned to you one year ago that the various market segments seem to enjoy cycles of superiority in their (unpredictable) turns. But, over longer periods, their respective returns tend to converge. Surely, both the interim and longer-run patterns are demonstrated in the charts above. As a result, I believe it is fair to 2 5 conclude that, for most investors, the 500 Portfolio and the Total Stock Market Portfolio should represent the preferred investment approaches. (The Standard & Poor's 500 Index comprises about 70% of the total market value of the entire stock market.) For investors with particular objectives, our other Portfolios--Growth, Value, Extended Market, and SmallCap--assure broad diversification in discrete market segments. To be sure, investors must stick to their objectives with consistency and firmness, ignoring the siren songs that suggest that moving money back and forth from one segment to another will result in a sustainable performance advantage. Such "market timing" is all too likely to be self-defeating. Whichever of the Trust's six Portfolios you have selected, the long-term, steady-as-she-goes approach is virtually certain to be the most productive strategy. VANGUARD INDEX TRUST IN 1995 The most important fact about 1995 is doubtless that investors in sound, broadly diversified U.S. equity funds earned very large returns, mostly ranging from +25% to +40%. These returns reflect a sort of "breakout" from the much more modest annual gains of about +9% per year that were achieved during the first five years of the decade. In a market of such force, it is surprising that the more conservative large-cap funds led the way. Surprising or not, the Standard & Poor's 500 Index outpaced fully 85% of all general equity mutual funds in 1995, the highest percentage outperformed since 1972. But the past year suggests that there is something much more significant and profound to indexing than an inevitably superficial comparison of a blue-chip indicator to a broad list of equity funds, many of which offer stock portfolios peppered with lower-grade and riskier stocks (which, as a group, earned relatively low, if absolutely high, returns during the year). So, in an attempt to capture these differences, the table to the right presents a comparison of our six Portfolios with as close to similar funds as industry statistical services presently provide. It should go without saying that the achievement of such giant absolute returns and such significant relative returns for our Index Portfolios should not be considered representations of future returns. Indeed, such results are probably a once-in-a-decade phenomenon. It would not be realistic to expect that either absolute returns or relative returns of these dimensions for indexing are any more (or less) than delightful "manna from Heaven" to enjoy in retrospect.
- ----------------------------------------------------------------------------------------------- TOTAL RETURN ----------------------------------------------- YEAR ENDED DECEMBER 31, 1995 - ----------------------------------------------------------------------------------------------- AVERAGE VANGUARD COMPARABLE CATEGORY PORTFOLIO FUND* DIFFERENCE - ----------------------------------------------------------------------------------------------- LARGE-CAP STOCKS 500 PORTFOLIO +37.4% +31.1% +6.3% GROWTH PORTFOLIO +38.1 +30.8 +7.3 VALUE PORTFOLIO +36.9 +31.4 +5.5 - ----------------------------------------------------------------------------------------------- MEDIUM- AND SMALL-CAP STOCKS EXTENDED MARKET PORTFOLIO +33.8% +30.8% +3.0% SMALLCAP PORTFOLIO +28.7 +31.5 -2.8 - ----------------------------------------------------------------------------------------------- ALL STOCKS TOTAL STOCK MARKET PORTFOLIO +35.8% +31.1% +4.7% - -----------------------------------------------------------------------------------------------
* Respectively, combined average of value and growth objective funds, growth funds, value funds, growth funds, small-cap funds, and general equity funds. That said, we are very pleased with the ability of each of our six Portfolios to once again closely track their index standards during the past year. As you can see from the table at the start of this letter, the tracking record achieved by Vanguard's Core Management Group was very tight indeed. For our three large-stock Portfolios, essentially composed of liquid, highly marketable equities, the small shortfalls (-0.2% or less) largely reflect our 0.20% expense ratio, comprising our costs of doing business, including statements and reports for shareholder accounts, expenses for accounting, legal, and marketing services, and our rock bottom advisory costs (0.01% annually!). Since our portfolio turnover is low and our trades are efficiently executed, our transaction costs are minimal. (continued) 3 6 While the other three Portfolios incur similarly low operating costs, they may diverge from time to time from their benchmark indexes. One reason is that these Portfolios do not own all of the securities in their target universes. (There are 6,927 stocks in the Wilshire 5000 Index. Our Total Stock Market Portfolio owns roughly 1,900 of these issues.) To hold every stock would involve substantial additional transaction costs, without commensurately enhanced diversification. These Portfolios also include a transaction fee that is paid directly to the Portfolio--or, more precisely, to its existing shareholders--for the costs of investing the new assets. This transaction fee is 0.5% for the Extended Market Portfolio and 1.0% for the SmallCap Portfolio. (The fee of 0.25% was eliminated from the Total Stock Market Portfolio at year end.) Given the lack of exact precision in our strategy, transaction fees may marginally add to or detract from a Portfolio's return. A LONGER-TERM PERSPECTIVE Some idea of the extraordinary accomplishment of our 500 Portfolio--the first of the Trust's six Portfolios--during 1995 can be gained by examining the results of the Standard & Poor's 500 Index over the past 25 years. The chart below shows the percen-tage of general equity mutual funds outpaced by the Standard & Poor's 500 Index in each of these years. You should note that in 1995 the Index touched its all-time high of 85%. (We discussed earlier the reasons for this success.(1)) Overall, the message is this: the Index rarely outperforms fewer than 30% of the equity funds and often outperforms more than 70%. To put a finer point on it, this summary presents the differences:
- ----------------------------------------------------------------------------- PERCENTAGE OF STOCK FUNDS OUTPACED BY THE NUMBER STANDARD & POOR'S 500 INDEX OF YEARS - ----------------------------------------------------------------------------- LESS THAN 30% 2 30% TO 49% 8 50% TO 70% 5 MORE THAN 70% 10 - -----------------------------------------------------------------------------
- -------- (1) When we published our booklet The Triumph Of Indexing in early 1995, little did we know that the year would work out so favorably for index funds. [FIGURE 3] 4 7 In short, the secret of long-term performance success is: (1) not being very bad very often; (2) accepting the fact that most years will be in the average range; and (3) frequently being very good. Clearly, 1995 was an outstanding example of this final factor. Both the chart and the summary table on the previous page illustrate the inherent strength of the indexing concept. Nonetheless, I would emphasize, especially after the superlative 1995 return of the Standard & Poor's 500 Index relative to most equity funds, that there will be future years when sub-average returns will (not "may") occur. When such years occur, please don't be concerned. Indexing is not designed to be a year-to-year phenomenon, but a rational and productive long-range strategy. Lest there be any mystery about the "secret" of indexing, the basis of its success is straightforward. It assumes that: (1) all investors (including professional managers as a group) will provide the same aggregate gross return as the stock market as a whole (say, +10% per year); and (2) that the net returns actually received by investors will equal their gross returns less any sales charges, advisory fees, other operating expenses, and portfolio turnover costs. That's really all there is to it. Since the annual expense ratio for the average equity fund is 1.3% and its average transaction cost is "guesstimated" at 0.7%, such a fund would incur total annual costs of 2.0%. In a +10.0% market, then, its net return would be +8.0%. A Standard & Poor's 500 Index Fund pays no advisory fees, incurs only minimal operating expenses, and incurs very small transaction costs (because its portfolio is not actively managed, and is altered only as the stocks in the Index change). The record of our 500 Portfolio in recent years suggests that these total costs can be held to about 0.2% (90% below those of the average fund), providing a net return to shareholders of +9.8% in a +10.0% market. One additional factor in our performance advantage results from our minimal cash reserves position, as compared to roughly 8% of assets invested in cash reserves for the typical stock fund. In a strong bull market, such as this past year, any cash holdings erode returns. As the old saw goes "the proof of the pudding is in the eating." Over the past decade, the 500 Portfolio of Vanguard Index Trust has outpaced the average general equity fund by +2.0% per year, remarkably close, to say the least, to the +1.8% theoretical advantage described above. (Even this example materially overstates the record of the average equity fund, since it ignores fund sales charges where applicable, and Federal capital gains taxes, which, because of the higher turnover in an actively managed stock fund, are usually substantial.) A chart showing the Portfolio's record for the ten years ended December 31, 1995, is shown on page 10; the results are summarized in this table:
- --------------------------------------------------------------------------------------- TOTAL RETURN* -------------------------------------- DECEMBER 31, 1985, TO DECEMBER 31, 1995 -------------------------------------- FINAL VALUE AVERAGE OF INITIAL ANNUAL INVESTMENT RATE OF $10,000 - --------------------------------------------------------------------------------------- 500 PORTFOLIO +14.5% $38,840 - --------------------------------------------------------------------------------------- AVERAGE GENERAL EQUITY FUND +12.5% $32,450 STANDARD & POOR'S 500 INDEX +14.9 39,950 - ---------------------------------------------------------------------------------------
* Assuming the reinvestment of all income dividends and capital gains distributions. The chart reflects both ups and downs in the stock market, and there is no assurance that the ever-unpredictable markets of the future will provide either better or worse returns than those presented. During the past decade, the final value of an initial $10,000 investment in the 500 Portfolio--$38,840--exceeded the comparable figure for the general equity fund group by $6,390, equivalent to 64%(!) of the amount initially invested. This large difference shows the substantial asset accumulation that can result from a combination of seemingly small enhancements in annual return, plus the power of compounding. The operating histories of the other Vanguard Index Trust Portfolios are shorter--and therefore less conclusive--than that of the 500 Portfolio. Nonetheless, on a relative basis, the early results generally point in the same favorable direction. (continued) 5 8 [FIGURE 4] The table below summarizes the relative returns of our Portfolios versus their respective peer groups.
- ----------------------------------------------------------------------------- ANNUALIZED RETURN INCEPTION MARGIN RELATIVE TO PORTFOLIO DATE COMPETITIVE FUNDS - ----------------------------------------------------------------------------- EXTENDED MARKET 12/21/87 +1.1% TOTAL STOCK MARKET 4/27/92 +0.7 GROWTH 11/2/92 +0.2 VALUE 11/2/92 +3.9 SMALLCAP 9/11/89* -2.6 - -----------------------------------------------------------------------------
* Date on which index strategy was adopted. SOME ACTIVELY MANAGED FUNDS DO BETTER There are, without question, some actively managed funds that have outpaced the Standard & Poor's 500 Index over extended periods in the past. And most investors will, and do, seek them out, no matter how difficult it is to identify them in advance. Such investors should realize that they face unfavorable odds against finding funds that will outpace the returns of the Index, and very long odds against finding funds that will outpace the Index returns by a significant margin. To make this point, the chart above compares the returns of the 500 Portfolio over the past decade with those of the 273 diversified mutual funds following value and growth strategies that were in operation during the full period. It is startling to see that only 46 of the 273 actively managed funds outpaced the Index, and 227 did not. The chances of successfully selecting such a fund, then, would be about one in six. It is even more startling to see that, if we define a 2% positive or negative margin as "statistically significant," only 15 of the 273 funds (5%) achieved a significant advantage, while 129 (47%) incurred a significant disadvantage. The chances of significantly outperforming, then, were about one in eighteen. In short, the odds favor indexing. That is no doubt why, in its August 1995 issue, Money magazine headlined: VANGUARD WINS: "INDEX FUNDS SHOULD BE THE CORE OF MOST PORTFOLIOS TODAY." IN SUMMARY Index investing has received a great deal of attention during 1995. Countless articles in the general media and in academic journals have endorsed its 6 9 fundamental merits. The good news is that they're right. The bad news is that too much of this attention has focused on the extraordinarily superior results achieved by the index strategy--particularly the success of the Standard & Poor's 500 Index--in a single year. Much of the success of the 500 Portfolio in 1995 results from the large-cap bias of the index it tracks. In other years, when small-cap stocks return as market leaders, the 500 Portfolio will likely underperform the average stock fund. I again caution you, as I did in our last Semi-Annual Report--to stay off the indexing bandwagon if you seek short-term performance results. If you are aboard for the long-term, we welcome you, for we believe that you are following a prudent course--very broad diversification at low cost (and without sales loads). But please realize that the stock market's generosity in 1995 will not frequently recur, and that the superiority of indexing in a given year will rarely be of such large dimension. As noted above, there will be years in which more funds outperform the Index than underperform it. That said, 1995 was an extraordinarily bountiful year for shareholders of Vanguard Index Trust. We should all take (only) a moment to bask in the light of the generous rewards we earned. We should also recognize, however, that the financial markets are never a "one-way street," and the risks that exist today in the stock market may well come home to roost in 1996 and erode our 1995 bounty. Put even more bluntly, shareholders in our 500 Portfolio, for example, enjoyed an enhancement of nearly +38% in value during the year. With this gain now behind us, even significant market declines seem unlikely to take shareholders back to where we were--presumably with satisfaction--just one year ago. Under these circumstances, what course of action should the Trust's shareholders follow? In our Annual Report one year ago, under very different circumstances, I urged you to "stay the course," despite the lackluster return provided by equities during the year. Today you should recognize that, despite the short-term risks of investing, the biggest long-term risks are: (1) failing to invest in stocks at all; and (2) following an erratic and ever-changing course. For our part, we intend to manage the Portfolios of Vanguard Index Trust under the same time-tested indexing strategy we have followed for nearly a score of years. "Stay the course" proved wise counsel a year ago; I reiterate it today. Sincerely, /s/ JOHN C. BOGLE - ------------------------ John C. Bogle Chairman of the Board January 9, 1996 Note: Mutual fund data from Lipper Analytical Services, Inc. 7 10 PORTFOLIO STATISTICS
- ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value Per Share -------------------------------- Distributions From Dividends Per December 31, December 31, Net Realized Share From Net Vanguard Index Trust Portfolio 1994 1995 Capital Gains Investment Income - ---------------------------------------------------------------------------------------------------------------------------------- 500 . . . . . . . . . . . . . . . . . $42.97 $57.60 $.13 $1.22 EXTENDED MARKET . . . . . . . . . . . 18.52 24.07 .40 .30 TOTAL STOCK MARKET . . . . . . . . . 11.37 15.04 .09 .28 GROWTH . . . . . . . . . . . . . . . 10.28 13.97 -- .20 VALUE . . . . . . . . . . . . . . . . 11.12 14.79 -- .40 SMALL CAPITALIZATION STOCK . . . . . 14.99 18.61 .45 .23 - ----------------------------------------------------------------------------------------------------------------------------------
8 11 AVERAGE ANNUAL TOTAL RETURNS THE AVERAGE ANNUAL TOTAL RETURNS FOR THE PORTFOLIOS (PERIODS ENDED DECEMBER 31, 1995) ARE AS FOLLOWS:
10 YEARS ------------------------------------------- INCEPTION TOTAL CAPITAL INCOME INDEX TRUST PORTFOLIO DATE 1 YEAR 5 YEARS RETURN RETURN RETURN - --------------------- --------- ------- -------- ---------- ---------- --------- 500* 8/31/76 +37.40% +16.36% +14.53% +11.11% +3.42% EXTENDED MARKET** 12/21/87 +33.09 +18.97 +14.83++ +13.03++ +1.80++ TOTAL STOCK MARKET*** 4/27/92 +35.42 +14.57++ -- -- -- GROWTH* 11/2/92 +38.00 +13.32++ -- -- -- VALUE* 11/2/92 +36.89 +17.52++ -- -- -- SMALLCAP+ 10/3/60 +27.40 +20.85 +10.43 + 9.40 +1.03
* PERFORMANCE FIGURES ARE ADJUSTED FOR THE $10 ANNUAL ACCOUNT MAINTENANCE FEE. ** PERFORMANCE FIGURES ARE ADJUSTED FOR THE .5% TRANSACTION FEE ON PURCHASES AND THE $10 ANNUAL ACCOUNT MAINTENANCE FEE. *** PERFORMANCE FIGURES ARE ADJUSTED FOR THE .25% TRANSACTION FEE ON PURCHASES AND THE $10 ANNUAL ACCOUNT MAINTENANCE FEE. + PERFORMANCE FIGURES ARE ADJUSTED FOR THE 1% TRANSACTION FEE ON PURCHASES AND THE $10 ANNUAL ACCOUNT MAINTENANCE FEE. ++ ANNUALIZED RETURN SINCE INCEPTION. ALL OF THESE DATA REPRESENT PAST PERFORMANCE. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. 9 12 CUMULATIVE PERFORMANCE [FIGURE 5]
Average Annual Total Returns--Periods Ended December 31, 1995 - ------------------------------------------------------------------------------ 1 Year 5 Years 10 Years - ------------------------------------------------------------------------------ 500 PORTFOLIO* +37.40% +16.36% +14.53% AVERAGE GENERAL EQUITY FUND +31.07 +16.45 +12.49 STANDARD & POOR'S 500 INDEX +37.58 +16.59 +14.86
* Performance figures are adjusted for the $10 annual account maintenance fee. Note: Past performance is not predictive of future performance. [FIGURE 6]
Average Annual Total Returns--Periods Ended December 31, 1995 - --------------------------------------------------------------------------------- 1 Year 5 Years Since Inception* - --------------------------------------------------------------------------------- EXTENDED MARKET PORTFOLIO** +33.09% +18.97% +14.83% AVERAGE GROWTH FUND +30.79 +15.73 +13.70 WILSHIRE 4500 INDEX +33.48 +19.03 +15.05
* Inception, December 21, 1987. ** Performance figures are adjusted for the 0.50% portfolio transaction fee on purchases and the $10 annual account maintenance fee. Note: Past performance is not predictive of future performance. 10 13 [FIGURE 7]
Average Annual Total Returns--Periods Ended December 31, 1995 - ------------------------------------------------------------------------------ 1 Year Since Inception* - ------------------------------------------------------------------------------ TOTAL STOCK MARKET PORTFOLIO**+ 35.42% +14.57% AVERAGE GENERAL EQUITY FUND +31.07 +13.84 WILSHIRE 5000 INDEX +36.45 +15.12
* Inception, April 27, 1992. ** Performance figures are adjusted for the 0.25% portfolio transaction fee on purchases and the $10 annual account maintenance fee. Note: Past performance is not predictive of future performance. [FIGURE 8]
Average Annual Total Returns--Periods Ended December 31, 1995 - ------------------------------------------------------------------------------ 1 Year Since Inception* - ------------------------------------------------------------------------------ GROWTH PORTFOLIO** +38.00% +13.32% AVERAGE GROWTH FUND +30.79 +13.14 STANDARD & POOR'S GROWTH INDEX +38.13 +13.55
* Inception, November 2, 1992. ** Performance figures are adjusted for the $10 annual account maintenance fee. Note: Past performance is not predictive of future performance. 11 14 CUMULATIVE PERFORMANCE (continued) [FIGURE 9]
Average Annual Total Returns--Periods Ended December 31, 1995 - ------------------------------------------------------------------------------ 1 Year Since Inception* - ------------------------------------------------------------------------------ VALUE PORTFOLIO** +36.89% +17.52% AVERAGE VALUE FUND +31.36 +13.65 STANDARD & POOR'S VALUE INDEX +36.99 +17.72
* Inception, November 2, 1992. ** Performance figures are adjusted for the $10 annual account maintenance fee. Note: Past performance is not predictive of future performance. [FIGURE 10]
Average Annual Total Returns--Periods Ended December 31, 1995 - -------------------------------------------------------------------------------------- 1 Year 5 Years 10 Years - -------------------------------------------------------------------------------------- SMALLCAP STOCK PORTFOLIO* +27.40% +20.85% +10.43% AVERAGE SMALLCAP FUND +31.54 +21.12 +13.07 RUSSELL 2000 INDEX +28.44 +20.99 +11.32
* Performance figures are adjusted for the 1% portfolio transaction fee on purchases and the $10 annual account maintenance fee. Note: Past performance is not predictive of future performance. 12 15 TOTAL INVESTMENT RETURN TABLE The following table illustrates the results of a single-share investment in VANGUARD INDEX TRUST-500 PORTFOLIO since inception through December 31, 1995. During the period illustrated, stock prices fluctuated widely; these results should not be considered a representation of the dividend income or capital gain or loss that may be realized from an investment made in the Portfolio today.
- --------------------------------------------------------------------------------------------------------------------------------- PERIOD PER SHARE DATA TOTAL INVESTMENT RETURN* - --------------------------------------------------------------------------------------------------------------------------------- 500 Portfolio S&P 500 VALUE WITH INCOME ------------------------------- ------- YEAR ENDED NET ASSET CAPITAL GAINS INCOME DIVIDENDS & CAPITAL Capital Income Total Total DECEMBER 31 VALUE DISTRIBUTIONS DIVIDENDS GAINS REINVESTED Return Return Return Return - ---------------------------------------------------------------------------------------------------------------------------------- INITIAL (8/76) $14.15 -- -- $ 14.15 -- -- -- -- - ---------------------------------------------------------------------------------------------------------------------------------- 1976 14.73 -- $ .17 14.90 + 4.1% +1.2% + 5.3% + 5.8% - ---------------------------------------------------------------------------------------------------------------------------------- 1977 13.01 -- .57 13.73 -11.7 +3.7 - 8.0 - 7.2 - ---------------------------------------------------------------------------------------------------------------------------------- 1978 13.11 -- .65 14.54 + 0.8 +5.0 + 5.8 + 6.5 - ---------------------------------------------------------------------------------------------------------------------------------- 1979 14.64 $ .06 .75 17.16 +12.1 +5.9 +18.0 +18.4 - ---------------------------------------------------------------------------------------------------------------------------------- 1980 17.84 .53 .83 22.64 +25.5 +6.4 +31.9 +32.4 - ---------------------------------------------------------------------------------------------------------------------------------- 1981 15.52 .56 .83 21.46 - 9.8 +4.6 - 5.2 - 4.9 - ---------------------------------------------------------------------------------------------------------------------------------- 1982 17.56 .25 .83 25.96 +14.8 +6.1 +20.9 +21.5 - ---------------------------------------------------------------------------------------------------------------------------------- 1983 19.70 .71 .87 31.49 +16.2 +5.1 +21.3 +22.5 - ---------------------------------------------------------------------------------------------------------------------------------- 1984 19.52 .48 .88 33.45 + 1.5 +4.7 + 6.2 + 6.3 - ---------------------------------------------------------------------------------------------------------------------------------- 1985 22.29 1.61 .91 43.89 +26.1 +5.1 +31.2 +31.8 - ---------------------------------------------------------------------------------------------------------------------------------- 1986 24.27 2.02 .89 51.82 +14.0 +4.0 +18.0 +18.6 - ---------------------------------------------------------------------------------------------------------------------------------- 1987 24.65 .17 .69 54.26 + 2.3 +2.4 + 4.7 + 5.1 - ---------------------------------------------------------------------------------------------------------------------------------- 1988 27.18 .32 1.10 63.06 +11.6 +4.6 +16.2 +16.6 - ---------------------------------------------------------------------------------------------------------------------------------- 1989 33.64 .75 1.20 82.84 +26.7 +4.6 +31.3 +31.7 - ---------------------------------------------------------------------------------------------------------------------------------- 1990 31.24 .10 1.17 80.08 - 6.8 +3.4 - 3.4 - 3.1 - ---------------------------------------------------------------------------------------------------------------------------------- 1991 39.32 .12 1.15 104.28 +26.3 +3.9 +30.2 +30.5 - ---------------------------------------------------------------------------------------------------------------------------------- 1992 40.97 .10 1.12 112.03 + 4.4 +3.0 + 7.4 + 7.6 - ---------------------------------------------------------------------------------------------------------------------------------- 1993 43.83 .03 1.13 123.11 + 7.1 +2.7 + 9.8 +10.1 - ---------------------------------------------------------------------------------------------------------------------------------- 1994 42.97 .20 1.17 124.56 - 1.5 +2.6 + 1.1 + 1.3 - ---------------------------------------------------------------------------------------------------------------------------------- 1995 57.60 .13 1.22 171.20 +34.4 +3.0 +37.4 +37.6 - ---------------------------------------------------------------------------------------------------------------------------------- LIFETIME +1,099.6% +1,202.8% - ---------------------------------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN +13.7% +14.2% - ----------------------------------------------------------------------------------------------------------------------------------
* Includes reinvestment of income dividends and any capital gains distributions for both the Portfolio and the Index. Portfolio performance adjusted for the $10 annual account maintenance fee. Note: No adjustment has been made for income taxes payable by shareholders on reinvested income dividends and capital gains distributions. 13 16 STATEMENT OF NET ASSETS FINANCIAL STATEMENTS December 31, 1995
Market Value 500 PORTFOLIO Shares (000)+ - --------------------------------------------------------------------------------- COMMON STOCKS - --------------------------------------------------------------------------------- General Electric Co. 6,304,357 $ 453,914 AT&T Corp. 6,008,425 389,046 Exxon Corp. 4,687,028 375,548 The Coca-Cola Co. 4,734,559 351,541 Merck & Co., Inc. 4,663,271 306,610 Philip Morris Cos., Inc. 3,170,593 286,939 Royal Dutch Petroleum Co. ADR 2,023,345 285,545 Procter & Gamble Co. 2,590,483 215,010 Johnson & Johnson 2,444,912 209,346 International Business Machines Corp. 2,146,636 196,954 * Microsoft Corp. 2,235,591 196,173 Wal-Mart Stores, Inc. 8,665,238 193,885 Intel Corp. 3,108,250 176,393 Mobil Corp. 1,493,164 167,234 PepsiCo, Inc. 2,974,015 166,173 American International Group, Inc. 1,789,415 165,521 Bristol-Myers Squibb Co. 1,914,344 164,394 BellSouth Corp. 3,749,737 163,114 Hewlett-Packard Co. 1,931,761 161,785 GTE Corp. 3,656,023 160,865 Pfizer, Inc. 2,393,793 150,809 General Motors Corp. 2,821,041 149,163 E.I. du Pont de Nemours & Co. 2,096,088 146,464 Amoco Corp. 1,874,985 134,765 SBC Communications Inc. 2,300,065 132,254 Chevron Corp. 2,461,856 129,247 Federal National Mortgage Assn. 1,029,689 127,810 Motorola, Inc. 2,226,138 126,890 Abbott Laboratories, Inc. 2,983,448 124,559 Ameritech Corp. 2,090,586 123,345 McDonald's Corp. 2,619,512 118,205 Ford Motor Co. 4,054,138 117,570 Eli Lilly & Co. 2,081,687 117,095 The Walt Disney Co. 1,973,197 116,419 American Home Products Corp. 1,180,346 114,494 Bell Atlantic Corp. 1,650,569 110,382 Citicorp 1,604,378 107,894 Minnesota Mining & Manufacturing Co. 1,583,901 104,933 The Boeing Co. 1,295,215 101,512 BankAmerica Corp. 1,396,501 90,423 Gillette Co. 1,674,977 87,308 NYNEX Corp. 1,612,811 87,092 Kimberly-Clark Corp. 1,051,124 86,981 Eastman Kodak Co. 1,290,203 86,444 Home Depot, Inc. 1,799,752 86,163 Columbia/HCA Healthcare Corp. 1,680,273 85,274 Unilever NV ADR 604,055 85,021 Chrysler Corp. 1,443,972 79,960 Texaco Inc. 996,907 78,257 * Cisco Systems, Inc. 1,032,872 77,078 Schering-Plough Corp. 1,387,324 75,956 Travelers Group Inc. 1,204,358 75,724 American Express Co. 1,828,317 75,647 Pharmacia & Upjohn, Inc. 1,901,288 73,675 Capital Cities/ABC, Inc. 580,843 71,662 NationsBank, Inc. 1,019,261 70,966 Allstate Corp. 1,692,318 69,597 Dow Chemical Co. 988,107 69,538 * Oracle Corp. 1,640,400 69,307 Emerson Electric Co. 847,385 69,274 Atlantic Richfield Co. 606,905 67,215 MCI Communications Corp. 2,558,274 66,835 Anheuser-Busch Co., Inc. 959,906 64,194 U S WEST Communications Group 1,777,029 63,529 Kellogg Co. 820,684 63,398 Schlumberger Ltd. 912,947 63,222 Southern Co. 2,514,340 61,916 * Viacom International Class B 1,290,756 61,150 Lockheed Martin Corp. 756,002 59,724 * Amgen, Inc. 1,003,986 59,486 Sara Lee Corp. 1,827,300 58,245 Sears, Roebuck & Co. 1,471,438 57,386 Federal Home Loan Mortgage Corp. 682,289 56,971 J.P. Morgan & Co., Inc. 709,201 56,913 Campbell Soup Co. 940,670 56,440 First Data Corp. 841,459 56,273 Xerox Corp. 407,117 55,775 Banc One Corp. 1,476,931 55,754 Chemical Banking Corp. 943,788 55,448 Time Warner, Inc. 1,457,591 55,206 WMX Technologies Inc. 1,830,220 54,678 Pacific Telesis Group 1,617,136 54,376 Monsanto Co. 435,083 53,298 * AirTouch Communications 1,868,225 52,777 Sprint Corp. 1,316,484 52,495 Computer Associates International, Inc. 912,081 51,875 Union Pacific Corp. 775,999 51,216 AlliedSignal Inc. 1,067,606 50,711 Warner-Lambert Co. 509,893 49,523 * Tele-Communications Inc. Class A 2,463,949 48,971 The Seagram Co. Ltd. 1,408,378 48,765 Medtronic, Inc. 872,533 48,753 * COMPAQ Computer Corp. 1,003,241 48,156 General Re Corp. 309,621 47,991 First Chicago NBD Corp. 1,210,871 47,829 H.J. Heinz Co. 1,394,123 46,180 Pacific Gas & Electric Co. 1,601,828 45,452
14 17
Market Value Shares (000)+ - --------------------------------------------------------------------------------- Norwest Corp. 1,332,564 $ 43,975 Caterpillar, Inc. 745,518 43,799 Baxter International, Inc. 1,044,580 43,742 - --------------------------------------------------------------------------------- TOTAL--100 LARGEST STOCKS 10,970,789 - --------------------------------------------------------------------------------- United Technologies Corp. 460,488 43,689 Rockwell International Corp. 819,435 43,328 Raytheon Co. 914,784 43,224 United Healthcare Corp. 659,413 43,192 Burlington Northern Santa Fe Corp. 536,014 41,809 The Dun & Bradstreet Corp. 639,178 41,387 Northern Telecom Ltd. 958,429 41,212 The Chase Manhattan Corp. 675,431 40,948 J.C. Penney Co., Inc. 852,201 40,586 Automatic Data Processing, Inc. 543,492 40,354 May Department Stores Co. 941,273 39,769 Wells Fargo & Co. 182,170 39,349 First Interstate Bancorp. 286,786 39,146 McDonnell Douglas Corp. 422,864 38,903 Norfolk Southern Corp. 489,836 38,881 PNC Bank Corp. 1,202,953 38,795 Colgate-Palmolive Co. 549,520 38,604 Fleet Financial Group, Inc. 927,782 37,807 CPC International, Inc. 550,176 37,756 Nike, Inc. Class B 539,584 37,569 ConAgra, Inc. 900,053 37,127 Texas Instruments, Inc. 712,667 36,881 The Bank of New York Co., Inc. 754,999 36,806 Duke Power Co. 773,218 36,631 * Digital Equipment Corp. 567,855 36,414 International Paper Co. 960,888 36,394 CSX Corp. 794,417 36,245 Enron Corp. 949,770 36,210 Archer-Daniels-Midland Co. 2,001,114 36,020 First Union Corp. 643,157 35,776 Aluminum Co. of America 668,887 35,367 Barrick Gold Corp. 1,333,680 35,176 Texas Utilities Co. 852,408 35,055 Loews Corp. 444,761 34,858 Deere & Co. 988,613 34,849 General Mills, Inc. 598,658 34,573 PPG Industries, Inc. 739,966 33,853 Merrill Lynch & Co., Inc. 663,249 33,826 * U S WEST Media Group 1,779,231 33,805 Phillips Petroleum Co. 989,462 33,765 Tenneco, Inc. 673,156 33,405 Weyerhaeuser Co. 767,336 33,187 * Sun Microsystems, Inc. 717,002 32,713 Gannett Co., Inc. 529,183 32,479 KeyCorp 893,638 32,394 FPL Group, Inc. 697,861 32,363 The Chubb Corp. 328,533 31,786 AMP, Inc. 821,344 31,519 Albertson's, Inc. 953,699 31,353 Micron Technology Inc. 779,196 30,876 American Brands, Inc. 684,980 30,567 * Boston Scientific Corp. 620,130 30,386 Dean Witter Discover & Co. 637,539 29,964 Aetna Life & Casualty Co. 431,446 29,878 SCEcorp 1,680,772 29,834 CIGNA Corp. 286,623 29,594 SunTrust Banks, Inc. 431,108 29,531 Wachovia Corp. 642,880 29,412 Mellon Bank Corp. 533,319 28,666 American Electric Power Co., Inc. 703,078 28,475 Consolidated Edison Co. of New York, Inc. 886,835 28,379 Public Service Enterprise Group Inc. 923,559 28,284 Walgreen Co. 929,018 27,754 Corning, Inc. 865,300 27,690 Unocal Corp. 932,819 27,168 Dominion Resources, Inc. 654,892 27,014 American General Corp. 772,971 26,957 Pitney Bowes, Inc. 571,942 26,881 U.S. Healthcare, Inc. 579,457 26,872 Unicom Corp. 810,588 26,547 Alcan Aluminium Ltd. 850,138 26,461 * Applied Materials, Inc. 673,142 26,421 Illinois Tool Works, Inc. 443,693 26,178 The Goodyear Tire & Rubber Co. 575,304 26,104 Occidental Petroleum Corp. 1,201,015 25,672 Mattel, Inc. 833,543 25,631 PECO Energy Corp. 837,790 25,238 Entergy Corp. 859,629 25,144 Ralston-Purina Group 399,718 24,932 Marsh & McLennan Cos., Inc. 276,167 24,510 Westinghouse Electric Corp. 1,479,878 24,418 UST Inc. 729,578 24,350 First Bank System, Inc. 489,919 24,312 Houston Industries, Inc. 991,432 24,042 Georgia-Pacific Corp. 346,565 23,783 Hercules, Inc. 420,964 23,732 Browning-Ferris Industries, Inc. 802,502 23,674 Morgan Stanley Group, Inc. 293,084 23,630 The Limited, Inc. 1,351,670 23,485 ITT Corp. 440,457 23,344 Honeywell, Inc. 479,273 23,305 First Fidelity Bancorp. 308,694 23,268 Wrigley (Wm.) Jr. Co. 438,410 23,017 Loral Corp. 650,456 23,010 * CUC International, Inc. 673,938 22,998 The Gap, Inc. 544,095 22,852 R.R. Donnelley & Sons Co. 579,798 22,830
15 18 STATEMENT OF NET ASSETS (continued)
Market Value Shares (000)+ - --------------------------------------------------------------------------------- PacifiCorp 1,072,955 $ 22,800 * Toys R Us, Inc. 1,031,024 22,425 Sysco Corp. 687,743 22,352 - --------------------------------------------------------------------------------- TOTAL--200 LARGEST STOCKS 14,102,574 - --------------------------------------------------------------------------------- Air Products & Chemicals, Inc. 421,852 22,253 * Cabletron Systems, Inc. 271,622 22,001 Halliburton Co. 431,742 21,857 Household International, Inc. 369,403 21,841 Placer Dome Group, Inc. 902,200 21,766 W.R. Grace & Co. 367,287 21,716 Barnett Banks, Inc. 366,132 21,602 Textron, Inc. 319,424 21,561 * AMR Corp. 288,140 21,394 * ITT Hartford Group, Inc. 440,457 21,307 USX-Marathon Group 1,084,811 21,154 Lincoln National Corp. 392,374 21,090 ALLTEL Corp. 713,465 21,047 * Federated Department Stores 763,487 20,996 Winn Dixie Stores, Inc. 568,489 20,963 Conrail, Inc. 295,660 20,696 Fluor Corp. 313,328 20,680 MBNA Corp. 560,536 20,670 Tyco International Ltd. 576,445 20,536 Dayton-Hudson Corp. 271,194 20,340 Lowes Cos., Inc. 606,175 20,307 Central & South West Corp. 726,233 20,244 International Flavors & Fragrances, Inc. 418,836 20,104 Morton International, Inc. 559,950 20,088 Carolina Power & Light Co. 580,813 20,038 Boatmen's Bancshares, Inc. 487,883 19,942 CoreStates Financial Corp. 526,378 19,937 Bankers Trust New York Corp. 296,999 19,750 * Novell, Inc. 1,398,052 19,747 Bank of Boston Corp. 423,514 19,588 Union Carbide Corp. 518,106 19,429 Alco Standard Corp. 424,188 19,354 Avon Products, Inc. 256,113 19,305 TRW, Inc. 247,502 19,181 Masco Corp. 606,166 19,018 Genuine Parts Co. 463,656 19,010 Hershey Foods Corp. 292,233 18,995 U.S. Bancorp 566,777 18,987 Eastman Chemical 303,168 18,986 DTE Energy Co. 547,751 18,897 Nucor Corp. 330,159 18,860 Transamerica Corp. 257,899 18,794 Burlington Resources, Inc. 477,811 18,754 Becton, Dickinson & Co. 248,867 18,665 Amerada Hess Corp. 351,074 18,607 National City Corp. 555,799 18,411 * 3 Com Corp. 390,135 18,190 CINergy Corp. 591,244 18,107 Marriott International 472,554 18,075 Service Corp. International 409,437 18,015 Praxair, Inc. 527,909 17,751 St. Paul Cos., Inc. 319,062 17,748 Great Lakes Chemical Corp. 244,325 17,591 Pioneer Hi Bred International 315,110 17,528 * The Kroger Co. 466,620 17,498 The Quaker Oats Co. 506,419 17,471 Comerica, Inc. 432,381 17,349 Williams Cos., Inc. 383,295 16,817 Dresser Industries, Inc. 688,903 16,792 * Silicon Graphics, Inc. 608,159 16,724 * Humana, Inc. 610,843 16,722 The McGraw-Hill Cos. 188,842 16,453 Rohm & Haas Co. 254,910 16,410 SAFECO Corp. 475,474 16,404 Phelps Dodge Corp. 261,588 16,284 Union Electric Co. 385,477 16,094 Newmont Mining Corp. 355,315 16,078 * DSC Communications Corp. 435,426 16,056 Consolidated Natural Gas Co. 352,462 15,993 Freeport-McMoRan Copper & Gold Inc. Class B 567,976 15,974 H & R Block, Inc. 394,355 15,971 Baltimore Gas & Electric Co. 556,794 15,869 * LSI Logic Corp. 483,219 15,825 Dover Corp. 428,702 15,808 * Federal Express Corp. 213,275 15,756 Panhandle Eastern Corp. 565,187 15,755 Eaton Corp. 292,925 15,708 * Tenet Healthcare Corp. 754,544 15,657 Newell Co. 598,420 15,484 General Public Utilities Corp. 452,500 15,385 Champion International Corp. 364,315 15,301 Rubbermaid, Inc. 594,211 15,152 UNUM Corp. 274,735 15,110 PP&L Resources Inc. 600,395 15,010 Cooper Industries, Inc. 407,121 14,962 Inco Ltd. 449,052 14,931 American Stores Co. 556,705 14,892 Whirlpool Corp. 278,791 14,846 Tribune Co. 241,970 14,790 Coastal Corp. 396,335 14,763 * Computer Sciences Corp. 210,012 14,753 Apple Computer, Inc. 463,106 14,704 Providian Corp. 359,384 14,645 Dow Jones & Co., Inc. 366,404 14,610 Ingersoll-Rand Co. 411,050 14,438 Times Mirror Co. Class A 423,899 14,360 * Crown Cork & Seal Co., Inc. 342,025 14,280 Delta Air Lines, Inc. 193,097 14,265
16 19
Market Value Shares (000)+ - --------------------------------------------------------------------------------- Salomon, Inc. 401,549 $ 14,255 The Clorox Co. 197,276 14,130 - --------------------------------------------------------------------------------- TOTAL--300 LARGEST STOCKS 15,890,581 - --------------------------------------------------------------------------------- General Dynamics Corp. 237,695 14,054 Reynolds Metals Co. 239,458 13,559 Ohio Edison Co. 575,839 13,532 Republic New York Corp. 212,115 13,178 Great Western Financial Corp. 515,787 13,153 Sherwin-Williams Co. 321,866 13,116 Baker Hughes, Inc. 532,959 12,991 Interpublic Group of Cos., Inc. 295,302 12,809 W.W. Grainger, Inc. 191,960 12,717 VF Corp. 240,926 12,709 Southwest Airlines Co. 542,709 12,618 Union Camp Corp. 264,722 12,607 Kmart Corp. 1,733,863 12,571 Northern States Power Co. 255,555 12,554 Jefferson-Pilot Corp. 268,739 12,496 Nordstrom, Inc. 310,003 12,478 Kerr-McGee Corp. 194,776 12,368 * Tellabs, Inc. 334,174 12,364 Golden West Financial Corp. 221,363 12,230 Torchmark Corp. 270,210 12,227 Melville Corp. 396,497 12,192 Dillard Department Stores Class A 426,669 12,160 Northrop Grumman Corp. 186,540 11,939 Engelhard Corp. 543,706 11,826 H.F. Ahmanson & Co. 443,404 11,750 Premark International, Inc. 231,001 11,694 Willamette Industries, Inc. 208,644 11,684 Pall Corp. 431,932 11,608 Sonat, Inc. 325,569 11,598 Knight-Ridder, Inc. 185,348 11,584 Harcourt General, Inc. 274,840 11,509 Black & Decker Corp. 324,609 11,442 * St. Jude Medical, Inc. 264,087 11,290 * Price/Costco Inc. 736,017 11,224 Hilton Hotels Corp. 182,388 11,217 Dana Corp. 382,697 11,194 Laidlaw Inc. Class B 1,087,992 11,152 Rite Aid Corp. 316,126 10,827 New York Times Co. Class A 364,008 10,784 Westvaco Corp. 383,138 10,632 Johnson Controls, Inc. 154,499 10,622 The Mead Corp. 203,037 10,609 ITT Industries, Inc. 440,457 10,571 Mallinckrodt Group, Inc. 289,662 10,536 The Dial Corp. 355,048 10,518 * National Semiconductor Corp. 465,761 10,363 * Ceridian Corp. 249,497 10,292 Hasbro, Inc. 330,913 10,258 Circuit City Stores, Inc. 366,991 10,138 * Western Atlas Inc. 200,427 10,122 Avery Dennison Corp. 200,735 10,062 Tandy Corp. 241,291 10,014 Louisiana-Pacific Corp. 406,981 9,869 Comcast Corp. Class A Special 536,834 9,730 USX-U.S. Steel Group 312,315 9,604 Parker Hannifin Corp. 279,279 9,565 Brown-Forman Corp. Class B 260,458 9,507 Raychem Corp. 166,343 9,461 * Harrah's Entertainment, Inc. 387,347 9,393 * FMC Corp. 138,543 9,369 Temple-Inland Inc. 211,819 9,347 Beneficial Corp. 200,097 9,330 Sigma Aldrich Corp. 188,188 9,315 Federal Paper Board Co., Inc. 178,079 9,238 Whitman Corp. 395,683 9,200 Cyprus Amax Minerals Co. 350,789 9,164 Deluxe Corp. 311,858 9,044 Pacific Enterprises 319,637 9,030 Wendy's International, Inc. 412,013 8,755 Brunswick Corp. 362,158 8,692 Armstrong World Industries Inc. 139,027 8,620 * Owens-Corning Fiberglas Corp. 192,036 8,618 The Stanley Works 167,066 8,604 Bausch & Lomb, Inc. 215,848 8,553 Ashland Inc. 240,623 8,452 * Columbia Gas Systems, Inc. 190,918 8,377 Manor Care Inc. 235,758 8,252 Maytag Corp. 406,229 8,226 Echlin, Inc. 225,165 8,219 Reebok International Ltd. 290,149 8,197 Homestake Mining Co. 520,678 8,136 Harris Corp. 148,064 8,088 SuperValu Inc. 256,482 8,079 Polaroid Corp. 170,521 8,078 Allergan, Inc. 243,329 7,908 Sun Co., Inc. 285,174 7,807 American Greetings Corp. Class A 281,514 7,777 Cooper Tire & Rubber Co. 315,768 7,776 Liz Claiborne, Inc. 279,441 7,754 * Biomet, Inc. 435,152 7,724 * ALZA Corp. 311,370 7,706 Nalco Chemical Co. 252,842 7,617 James River Corp. 310,863 7,500 Pennzoil Co. 174,874 7,388 Ryder System, Inc. 297,765 7,370 Ecolab, Inc. 243,902 7,317 Caliber System Inc. 147,500 7,209 USF&G Corp. 422,308 7,126 Worthington Industries, Inc. 342,564 7,108 Darden Restaurants Inc. 598,391 7,106 - --------------------------------------------------------------------------------- TOTAL--400 LARGEST STOCKS 16,904,628 - ---------------------------------------------------------------------------------
17 20 STATEMENT OF NET ASSETS (continued)
Market Value Shares (000)+ - --------------------------------------------------------------------------------- Giant Food, Inc. Class A 223,907 $ 7,053 Moore Corp. Ltd. 376,743 7,017 * Fruit of the Loom, Inc. 286,435 6,982 Millipore Corp. 169,156 6,957 C.R. Bard, Inc. 213,857 6,897 Snap-On Inc. 152,252 6,889 The BF Goodrich Co. 98,195 6,690 Woolworth Corp. 502,139 6,528 Advanced Micro Devices, Inc. 393,538 6,493 Comcast Corp. Class A 368,742 6,453 Mercantile Stores Co., Inc. 139,061 6,432 Foster Wheeler Corp. 151,272 6,429 Boise Cascade Corp. 181,695 6,291 Tektronix, Inc. 126,336 6,206 Paccar, Inc. 146,672 6,160 Harnischfeger Industries Inc. 183,376 6,097 Autodesk, Inc. 177,375 6,031 Santa Fe Pacific Gold Corp. 495,778 6,011 Pep Boys (Manny, Moe & Jack) 233,974 5,996 Perkin-Elmer Corp. 158,298 5,976 * Bethlehem Steel Corp. 423,187 5,925 National Service Industries, Inc. 181,344 5,871 General Signal Corp. 178,045 5,764 * Varity Corp. 153,819 5,711 * Andrew Corp. 145,917 5,581 Cummins Engine Co., Inc. 150,712 5,576 Thomas & Betts Corp. 75,442 5,564 Freeport-McMoRan Copper & Gold Inc. Class A 194,483 5,446 Louisiana Land & Exploration Co. 125,685 5,389 Teledyne Inc. 209,335 5,364 * King World Productions, Inc. 137,937 5,362 * Oryx Energy Co. 394,185 5,272 NICOR, Inc. 189,940 5,223 Niagara Mohawk Power Corp. 541,713 5,214 Stone Container Corp. 359,838 5,173 TJX Cos., Inc. 271,769 5,130 Bemis Co., Inc. 199,504 5,112 ASARCO, Inc. 159,537 5,105 Echo Bay Mines Ltd. 477,045 4,949 Pittston Services Group 156,910 4,923 Briggs & Stratton Corp. 110,766 4,804 EG & G, Inc. 196,360 4,762 Shared Medical Systems Corp. 87,004 4,698 * Tandem Computers, Inc. 438,617 4,660 Inland Steel Industries, Inc. 183,337 4,606 United States Surgical Corp. 214,529 4,585 McDermott International, Inc. 204,293 4,494 The Timkin Co. 117,260 4,485 Fleetwood Enterprises, Inc. 173,146 4,458 Potlatch Corp. 109,867 4,395 Scientific-Atlanta, Inc. 289,566 4,343 Consolidated Freightways, Inc. 163,654 4,337 Meredith Corp. 103,548 4,336 Crane Co. 113,845 4,198 ENSERCH Corp. 258,199 4,196 Peoples Energy Corp. 131,246 4,167 NorAm Energy Corp. 468,113 4,154 Russell Corp. 146,987 4,079 Ogden Corp. 184,437 3,942 * Beverly Enterprises Inc. 370,719 3,939 USLIFE Corp. 129,957 3,882 * Amdahl Corp. 449,618 3,822 Centex Corp. 106,832 3,712 Longs Drug Stores, Inc. 75,595 3,619 * Unisys Corp. 643,384 3,619 Alberto-Culver Co. Class B 104,670 3,598 Jostens Inc. 144,239 3,498 Pulte Corp. 100,807 3,390 Safety-Kleen Corp. 216,502 3,383 Cincinnati Milacron, Inc. 128,159 3,364 * Viacom International Class A 71,693 3,289 Great Atlantic & Pacific Tea Co., Inc. 142,943 3,288 * Santa Fe Energy Resources, Inc. 337,791 3,251 Alexander & Alexander Services, Inc. 166,211 3,158 Adolph Coors Co. Class B 142,194 3,146 Ball Corp. 114,073 3,137 Trinova Corp. 109,426 3,132 * Rowan Cos., Inc. 316,861 3,129 * USAir Group, Inc. 235,767 3,124 Springs Industries Inc. Class A 75,288 3,115 * Navistar International Corp. 281,285 2,953 Fleming Cos., Inc. 140,825 2,904 Helmerich & Payne, Inc. 92,764 2,760 * Intergraph Corp. 172,547 2,718 Eastern Enterprises 75,587 2,664 * Bally Entertainment Corp. 176,802 2,475 John H. Harland Co. 114,585 2,392 * Cray Research, Inc. 95,568 2,365 * Armco, Inc. 397,543 2,334 ONEOK, Inc. 101,237 2,316 Giddings & Lewis, Inc. 129,095 2,098 Community Psychiatric Centers 161,527 1,979 Luby's Cafeterias, Inc. 87,625 1,950 * Data General Corp. 140,104 1,926 NACCO Industries, Inc. Class A 33,647 1,867 Kaufman & Broad Home Corp. 121,774 1,811 Midlantic Corp. 26,000 1,706 * Shoney's Inc. 153,454 1,573 Outboard Marine Corp. 74,042 1,509 Stride Rite Corp. 183,292 1,375 * Ryan's Family Steak Houses, Inc. 197,944 1,361
18 21
Market Value Shares (000)+ - --------------------------------------------------------------------------------- Yellow Corp. 104,283 $ 1,289 Charming Shoppes, Inc. 378,513 1,064 Brown Group, Inc. 66,437 947 Zurn Industries, Inc. 33,878 724 Handleman Co. 123,443 710 Bay Networks 2,200 90 * Zenith Electronics Corp. 699 5 - --------------------------------------------------------------------------------- TOTAL COMMON STOCKS (99.9%)(1) (Cost $12,852,628) 17,347,029 - --------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (.5%) - ---------------------------------------------------------------------------------
Face Amount (000) ------ U.S. TREASURY BILL--Note D 5.33%, 3/21/96 $ 3,000 2,968 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 5.89%, 1/2/96 92,232 92,232 - --------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $95,199) 95,200 - --------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.4%) (Cost $12,947,827) 17,442,229 - --------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-.4%) - --------------------------------------------------------------------------------- Other Assets--Notes B and E 182,009 Liabilities--Note E (252,403) ---------- (70,394) - ---------------------------------------------------------------------------------- NET ASSETS (100%) - --------------------------------------------------------------------------------- Applicable to 301,573,850 outstanding shares of beneficial interest (unlimited authorization) $17,371,835 - --------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $57.60 =================================================================================
+ See Note A to Financial Statements. * Non-Income Producing Security. (1) The combined market value of common stocks and Standard & Poor's 500 Index futures contracts represents 100.2% of net assets. - -------------------------------------------------------------------------------- AT DECEMBER 31, 1995, NET ASSETS CONSISTED OF: - --------------------------------------------------------------------------------
Amount Per (000) Share ------------ ----------- Paid in Capital--Note C $12,851,432 $42.61 Undistributed Net Investment Income 15,127 .05 Accumulated Net Realized Gains--Note C 11,106 .04 Unrealized Appreciation (Depreciation)--Note D: -- -- Investment Securities 4,494,402 14.90 Futures Contracts (232) -- - --------------------------------------------------------------------------------- NET ASSETS $17,371,835 $57.60 - ---------------------------------------------------------------------------------
19 22 STATEMENT OF OPERATIONS
EXTENDED TOTAL STOCK 500 PORTFOLIO MARKET PORTFOLIO MARKET PORTFOLIO - ----------------------------------------------------------------------------------------------------------------------------------- Year Ended Year Ended Year Ended December 31, 1995 December 31, 1995 December 31, 1995 (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME INCOME Dividends . . . . . . . . . . . . . $ 323,413 $ 18,633 $ 25,537 Interest . . . . . . . . . . . . . 11,204 2,790 2,099 - ----------------------------------------------------------------------------------------------------------------------------------- Total Income . . . . . . . . . . 334,617 21,423 27,636 - ----------------------------------------------------------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services . . . . . $ 24 $ 47 $ 47 Management and Administrative . . . . 21,488 2,559 2,389 Marketing and Distribution . . . . . . 2,624 24,136 224 2,830 260 2,696 ---------- -------- --------- Taxes (other than income taxes) . . . . . 440 46 37 Custodian Fees . . . . . . . . . . . . . 199 88 88 Auditing Fees . . . . . . . . . . . . . 30 10 10 Shareholders' Reports . . . . . . . . . . 777 69 47 Annual Meeting and Proxy Costs . . . . . 205 17 16 Trustees' Fees and Expenses . . . . . . . 46 5 4 - ----------------------------------------------------------------------------------------------------------------------------------- Total Expenses . . . . . . . . . 25,833 3,065 2,898 - ----------------------------------------------------------------------------------------------------------------------------------- Net Investment Income . . . . 308,784 18,358 24,738 - ----------------------------------------------------------------------------------------------------------------------------------- REALIZED NET GAIN Investment Securities Sold . . . . . . . 191,808 39,747 6,827 Futures Contracts . . . . . . . . . . . . 32,545 7,513 6,555 - ----------------------------------------------------------------------------------------------------------------------------------- Realized Net Gain . . . . . . 224,353 47,260 13,382 - ----------------------------------------------------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities . . . . . . . . . . 3,461,633 280,526 302,489 Futures Contracts . . . . . . . . . . . . (187) (933) (430) - ----------------------------------------------------------------------------------------------------------------------------------- Change in Unrealized Appreciation (Depreciation) 3,461,446 279,593 302,059 - ----------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations . $3,994,583 $345,211 $340,179 ===================================================================================================================================
The Statements of Net Assets for the Extended Market, Total Stock Market, Growth, Value, and Small Capitalization Stock Portfolios, an integral part of the financial statements for each Portfolio, and the Report of Independent Accountants, are included as an insert to this Report. 20 23
SMALL GROWTH VALUE CAPITALIZATION PORTFOLIO PORTFOLIO STOCK PORTFOLIO - --------------------------------------------------------------------------------------------------------------------------------- Year Ended Year Ended Year Ended December 31, 1995 December 31, 1995 December 31, 1995 (000) (000) (000) - ---------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends . . . . . . . . . . . . . $ 3,025 $ 12,021 $ 12,223 Interest . . . . . . . . . . . . . 104 106 1,865 - --------------------------------------------------------------------------------------------------------------------------------- Total Income . . . . . . . . . . 3,129 12,127 14,088 - --------------------------------------------------------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services . . . . . $ 24 $ 24 $ 47 Management and Administrative . . . . 221 565 1,589 Marketing and Distribution . . . . . . 32 277 86 675 159 1,795 ----- ----- ------ Taxes (other than income taxes) . . . . . 4 21 28 Custodian Fees . . . . . . . . . . . . . 14 14 19 Auditing Fees . . . . . . . . . . . . . 8 8 10 Shareholders' Reports . . . . . . . . . . 14 29 58 Annual Meeting and Proxy Costs . . . . . 4 7 17 Trustees' Fees and Expenses . . . . . . . 1 1 3 - --------------------------------------------------------------------------------------------------------------------------------- Total Expenses . . . . . . . . . 322 755 1,930 - --------------------------------------------------------------------------------------------------------------------------------- Net Investment Income . . . . 2,807 11,372 12,158 - --------------------------------------------------------------------------------------------------------------------------------- REALIZED NET GAIN Investment Securities Sold . . . . . . . 2,744 11,250 28,751 Futures Contracts . . . . . . . . . . . . 36 35 4,174 - --------------------------------------------------------------------------------------------------------------------------------- Realized Net Gain . . . . . . 2,780 11,285 32,925 - --------------------------------------------------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities . . . . . . . . . . 43,854 91,742 142,509 Futures Contracts . . . . . . . . . . . . (22) -- (371) - --------------------------------------------------------------------------------------------------------------------------------- Change in Unrealized Appreciation (Depreciation) 43,832 91,742 142,138 - --------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations . $49,419 $114,399 $187,221 =================================================================================================================================
21 24 STATEMENT OF CHANGES IN NET ASSETS
EXTENDED 500 PORTFOLIO MARKET PORTFOLIO - --------------------------------------------------------------------------------------------------------------------------------- YEAR ENDED Year Ended YEAR ENDED Year Ended DECEMBER 31, December 31, DECEMBER 31, December 31, 1995 1994 1995 1994 (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS OPERATIONS Net Investment Income . . . . . . . . . . . $ 308,784 $ 238,474 $ 18,358 $ 14,445 Realized Net Gain (Loss) . . . . . . . . . . 224,353 75,156 47,260 7,145 Change in Unrealized Appreciation (Depreciation) . . . . . . . . . . . . . 3,461,446 (203,909) 279,593 (40,984) - --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations . . . . . . . . . . 3,994,583 109,721 345,211 (19,394) - --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS (1) Net Investment Income . . . . . . . . . . . (329,358) (241,914) (18,335) (14,306) Realized Net Gain . . . . . . . . . . . . . (38,412) (41,182) (24,450) (14,532) - --------------------------------------------------------------------------------------------------------------------------------- Total Distributions . . . . . . . (367,770) (283,096) (42,785) (28,838) - --------------------------------------------------------------------------------------------------------------------------------- NET EQUALIZATION CREDITS--Note A . . . . . . . 24,573 6,612 -- -- - --------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (2) Issued --Regular . . . . . . . . . . 5,153,184 2,253,167 258,976 162,133 --In Lieu of Cash Distributions 333,373 253,074 38,420 25,477 --Exchange . . . . . . . . . . 1,023,145 497,745 74,712 51,221 Redeemed --Regular . . . . . . . . . . (1,682,108) (1,303,119) (72,650) (108,180) --Exchange . . . . . . . . . . (463,446) (450,500) (45,966) (43,095) - --------------------------------------------------------------------------------------------------------------------------------- Net Increase from Capital Share Transactions . . 4,364,148 1,250,367 253,492 87,556 - --------------------------------------------------------------------------------------------------------------------------------- Total Increase . . . . . . . . . 8,015,534 1,083,604 555,918 39,324 - --------------------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Period . . . . . . . . . . . . 9,356,301 8,272,697 967,295 927,971 - --------------------------------------------------------------------------------------------------------------------------------- End of Period (3) . . . . . . . . . . . . . $ 17,371,835 $ 9,356,301 $ 1,523,213 $ 967,295 ================================================================================================================================= (1) Distributions Per Share Net Investment Income . . . . . . . . $1.22 $1.17 $.30 $.28 Realized Net Gain . . . . . . . . . . $.13 $.20 $.40 $.29 - --------------------------------------------------------------------------------------------------------------------------------- (2) Shares Issued and Redeemed Issued . . . . . . . . . . . . . 119,957 63,748 14,948 11,027 Issued in Lieu of Cash Distributions . 6,165 5,861 1,617 1,361 Redeemed . . . . . . . . . . . . . (42,269) (40,646) (5,530) (7,918) - --------------------------------------------------------------------------------------------------------------------------------- 83,853 28,963 11,035 4,470 - --------------------------------------------------------------------------------------------------------------------------------- (3) Undistributed (Overdistributed) Net Investment Income . . . . . . $ 15,127 $ 11,128 $ 15 $ (8) - ---------------------------------------------------------------------------------------------------------------------------------
22 25
TOTAL STOCK MARKET PORTFOLIO GROWTH PORTFOLIO - ----------------------------------------------------------------------------------------------------------------------------- YEAR ENDED Year Ended YEAR ENDED Year Ended DECEMBER 31, December 31, DECEMBER 31, December 31, 1995 1994 1995 1994 (000) (000) (000) (000) - ----------------------------------------------------------------------------------------------------------------------------- INCREASE IN NET ASSETS OPERATIONS Net Investment Income . . . . . . . . . . . $ 24,738 $ 15,394 $ 2,807 $ 1,309 Realized Net Gain (Loss) . . . . . . . . . . 13,382 2,020 2,780 (605) Change in Unrealized Appreciation (Depreciation) . . . . . . . . . . . . . 302,059 (17,224) 43,832 1,364 - ----------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations . . 340,179 190 49,419 2,068 - ----------------------------------------------------------------------------------------------------------------------------- Distributions (1) Net Investment Income . . . . . . . . . . . (25,383) (16,257) (2,809) (1,375) Realized Net Gain . . . . . . . . . . . . . (9,220) (2,045) -- -- - ----------------------------------------------------------------------------------------------------------------------------- Total Distributions . . . . . (34,603) (18,302) (2,809) (1,375) - ----------------------------------------------------------------------------------------------------------------------------- NET EQUALIZATION CREDITS--Note A . . . . . . . 1,408 765 153 72 - ----------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (2) Issued --Regular . . . . . . . . . . 494,694 297,642 109,160 28,295 --In Lieu of Cash Distributions 30,454 15,575 2,521 1,230 --Exchange . . . . . . . . . . 77,695 54,505 62,976 23,523 Redeemed --Regular . . . . . . . . . . (78,011) (41,032) (14,341) (6,206) --Exchange . . . . . . . . . . (46,611) (35,941) (22,247) (12,061) - ----------------------------------------------------------------------------------------------------------------------------- Net Increase from Capital Share Transactions . . 478,221 290,749 138,069 34,781 - ----------------------------------------------------------------------------------------------------------------------------- Total Increase . . . . . . . . . 785,205 273,402 184,832 35,546 - ----------------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Period . . . . . . . . . . . . 785,684 512,282 86,170 50,624 - ----------------------------------------------------------------------------------------------------------------------------- End of Period (3) . . . . . . . . . . . . . $1,570,889 $785,684 $271,002 $86,170 ============================================================================================================================= (1) Distributions Per Share Net Investment Income . . . . . . . . $.28 $.27 $.20 $.21 Realized Net Gain . . . . . . . . . . $.09 $.03 -- -- - ----------------------------------------------------------------------------------------------------------------------------- (2) Shares Issued and Redeemed Issued . . . . . . . . . . . . . 42,692 30,586 13,833 5,100 Issued in Lieu of Cash Distributions . 2,142 1,360 197 121 Redeemed . . . . . . . . . . . . . (9,484) (6,692) (3,005) (1,805) - ----------------------------------------------------------------------------------------------------------------------------- 35,350 25,254 11,025 3,416 - ----------------------------------------------------------------------------------------------------------------------------- (3) Undistributed (Overdistributed) Net Investment Income . . . . . . $ 623 $ (140) $ 142 $ (9) - -----------------------------------------------------------------------------------------------------------------------------
23 26
SMALL CAPITALIZATION VALUE PORTFOLIO STOCK PORTFOLIO - ------------------------------------------------------------------------------------------------------------------------------ YEAR ENDED Year Ended YEAR ENDED February 1* to DECEMBER 31, December 31, DECEMBER 31, December 31, 1995 1994 1995 1994 (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------------------ INCREASE IN NET ASSETS OPERATIONS Net Investment Income . . . . . . . . . . . $ 11,372 $ 9,443 $ 12,158 $ 7,747 Realized Net Gain (Loss) . . . . . . . . . . 11,285 (656) 32,925 11,761 Change in Unrealized Appreciation (Depreciation) . . . . . . . . . . . . . 91,742 (12,580) 142,138 (43,795) - ------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets Resulting from Operations . . 114,399 (3,793) 187,221 (24,287) - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS (1) Net Investment Income . . . . . . . . . . . (11,989) (9,813) (11,543) (8,533) Realized Net Gain . . . . . . . . . . . . . -- (3,804) (22,583) (14,353) - ------------------------------------------------------------------------------------------------------------------------------ Total Distributions . . . . . . . (11,989) (13,617) (34,126) (22,886) - ------------------------------------------------------------------------------------------------------------------------------ NET EQUALIZATION CREDITS--Note A . . . . . . . 772 439 -- -- - ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS (2) Issued --Regular . . . . . . . . . . 132,139 98,962 206,544 126,799 --In Lieu of Cash Distributions 10,456 12,449 30,822 20,700 --Exchange . . . . . . . . . . 52,818 121,956 89,797 57,267 Redeemed --Regular . . . . . . . . . . (31,073) (30,216) (57,721) (42,135) --Exchange . . . . . . . . . . (68,124) (79,362) (56,680) (43,471) - ------------------------------------------------------------------------------------------------------------------------------ Net Increase from Capital Share Transactions . . 96,216 123,789 212,762 119,160 - ------------------------------------------------------------------------------------------------------------------------------ Total Increase . . . . . . . . . 199,398 106,818 365,857 71,987 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS Beginning of Period . . . . . . . . . . . . 296,929 190,111 605,376 533,389 - ------------------------------------------------------------------------------------------------------------------------------ End of Period (3) . . . . . . . . . . . . . $496,327 $296,929 $971,233 $605,376 ============================================================================================================================== (1) Distributions Per Share Net Investment Income . . . . . . . . $.40 $.38 $.23 $.22 Realized Net Gain . . . . . . . . . . -- $.16 $.45 $.37 - ------------------------------------------------------------------------------------------------------------------------------ (2) Shares Issued and Redeemed Issued . . . . . . . . . . . . . 13,982 19,012 16,951 11,690 Issued in Lieu of Cash Distributions . 761 1,092 1,676 1,405 Redeemed . . . . . . . . . . . . . (7,889) (9,604) (6,821) (5,550) - ------------------------------------------------------------------------------------------------------------------------------ 6,854 10,500 11,806 7,545 - ------------------------------------------------------------------------------------------------------------------------------ (3) Undistributed (Overdistributed) . Net Investment Income . . . . . . . . $ 195 $ 40 $ 49 $ (566) - ------------------------------------------------------------------------------------------------------------------------------
* See Note F to Financial Statements. 24 27 FINANCIAL HIGHLIGHTS
500 PORTFOLIO - ------------------------------------------------------------------------------------------------------------- Year Ended December 31, ------------------------------------------------------- For a Share Outstanding Throughout Each Year 1995 1994 1993 1992 1991 - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF YEAR . . . . . . $42.97 $43.83 $40.97 $39.32 $31.24 ------ ------ ------ ------ ------ INVESTMENT OPERATIONS Net Investment Income . . . . . . . . . . . . 1.22 1.18 1.13 1.12 1.15 Net Realized and Unrealized Gain (Loss) on Investments . . . . . . . . . . . . . . 14.76 (.67) 2.89 1.75 8.20 ------ ------ ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS . . . 15.98 .51 4.02 2.87 9.35 - ------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income . . . . (1.22) (1.17) (1.13) (1.12) (1.15) Distributions from Realized Capital Gains . . (.13) (.20) (.03) (.10) (.12) ------ ------ ------ ------ ------ TOTAL DISTRIBUTIONS . . . . . . . . . (1.35) (1.37) (1.16) (1.22) (1.27) - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR . . . . . . . . . $57.60 $42.97 $43.83 $40.97 $39.32 ============================================================================================================= TOTAL RETURN* . . . . . . . . . . . . . . . . . +37.45% +1.18% +9.89% +7.42% +30.22% - ------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ------------------------ Net Assets, End of Year (Millions) . . . . . . . $17,372 $9,356 $8,273 $6,547 $4,345 Ratio of Expenses to Average Net Assets . . . . . .20% .19% .19% .19% .20% Ratio of Net Investment Income to Average Net Assets . . . . . . . . . . . . . 2.38% 2.72% 2.65% 2.81% 3.07% Portfolio Turnover Rate . . . . . . . . . . . . . 4%+ 6%+ 6%+ 4%+ 5%+ - -------------------------------------------------------------------------------------------------------------
* Total return figures do not reflect the annual account maintenance fee of $10. + Portfolio turnover rates excluding in-kind redemptions were 2%, 4%, 2%, 1%, and 1%, respectively. 25 28 FINANCIAL HIGHLIGHTS (continued)
EXTENDED MARKET PORTFOLIO - ------------------------------------------------------------------------------------------------------------- Year Ended December 31, ------------------------------------------------------- For a Share Outstanding Throughout Each Year 1995 1994 1993 1992 1991 - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF YEAR . . . . . . . $18.52 $19.43 $17.35 $15.82 $11.48 ------ ------ ------ ------ ------ INVESTMENT OPERATIONS Net Investment Income . . . . . . . . . . . . .30 .28 .23 .24 .25 Net Realized and Unrealized Gain (Loss) on Investments . . . . . . . . . . . . . . 5.95 (.62) 2.28 1.72 4.54 ------ ------ ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS . . . 6.25 (.34) 2.51 1.96 4.79 - ------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income . . . . (.30) (.28) (.23) (.25) (.25) Distributions from Realized Capital Gains . . (.40) (.29) (.20) (.18) (.20) ------ ------ ------ ------ ------ TOTAL DISTRIBUTIONS . . . . . . . . . (.70) (.57) (.43) (.43) (.45) - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR . . . . . . . . . $24.07 $18.52 $19.43 $17.35 $15.82 ============================================================================================================= TOTAL RETURN* . . . . . . . . . . . . . . . . . +33.80% -1.76% +14.49% +12.47% +41.85% - ------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ------------------------ Net Assets, End of Year (Millions) . . . . . . . $1,523 $967 $928 $585 $372 Ratio of Expenses to Average Net Assets . . . . . .25% .20% .20% .20% .19% Ratio of Net Investment Income to Average Net Assets . . . . . . . . . . . . . 1.51% 1.51% 1.48% 1.73% 2.14% Portfolio Turnover Rate . . . . . . . . . . . . . 15% 19% 13% 9% 11% - -------------------------------------------------------------------------------------------------------------
* Total return figures do not reflect transaction fees (0.5% in 1995, 1.0% in 1991 through 1994) on purchases or the annual account maintenance fee of $10. 26 29
TOTAL STOCK MARKET PORTFOLIO - ------------------------------------------------------------------------------------------------------------- Year Ended December 31, ------------------------------ March 16 to For a Share Outstanding Throughout Each Period 1995 1994 1993 December 31, 1992 - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $11.37 $11.69 $10.84 $10.00 ------ ------ ------ ------ INVESTMENT OPERATIONS Net Investment Income . . . . . . . . . . . . .29 .27 .26 .23 Net Realized and Unrealized Gain (Loss) on Investments . . . . . . . . . . 3.75 (.29) .88 .84 ------ ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS . . . 4.04 (.02) 1.14 1.07 - ------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income . . . . (.28) (.27) (.26) (.23) Distributions from Realized Capital Gains . . (.09) (.03) (.03) -- ------ ------ ------ ------ TOTAL DISTRIBUTIONS . . . . . . . . . (.37) (.30) (.29) (.23) - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD . . . . . . . . . $15.04 $11.37 $11.69 $10.84 ============================================================================================================= TOTAL RETURN** . . . . . . . . . . . . . . . . . +35.79% -0.17% +10.62% +10.41% - ------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ------------------------ Net Assets, End of Period (Millions) . . . . . . $1,571 $786 $512 $275 Ratio of Expenses to Average Net Assets . . . . . .25% .20% .20% .21%* Ratio of Net Investment Income to Average Net Assets . . . . . . . . . . . . . 2.14% 2.35% 2.31% 2.42%* Portfolio Turnover Rate . . . . . . . . . . . . . 3% 2% 1% 3% - -------------------------------------------------------------------------------------------------------------
* Annualized. ** Total return figures do not reflect the .25% transaction fee on purchases 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. 27 30 FINANCIAL HIGHLIGHTS (continued)
GROWTH PORTFOLIO - ------------------------------------------------------------------------------------------------------------- Year Ended December 31, ------------------------------ November 2 to For a Share Outstanding Throughout Each Period 1995 1994 1993 December 31, 1992 - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $10.28 $10.20 $10.26 $10.00 ------ ------ ------ ------ INVESTMENT OPERATIONS Net Investment Income . . . . . . . . . . . . .21 .21 .21 .06 Net Realized and Unrealized Gain (Loss) on Investments . . . . . . . . . . 3.68 .08 (0.06) .26 ------ ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS . . . 3.89 .29 .15 .32 - ------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income . . . . (.20) (.21) (.21) (.06) Distributions from Realized Capital Gains . . -- -- -- -- ------ ------ ------ ------ TOTAL DISTRIBUTIONS . . . . . . . . . (.20) (.21) (.21) (.06) - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD . . . . . . . . . $13.97 $10.28 $10.20 $10.26 ============================================================================================================= TOTAL RETURN** . . . . . . . . . . . . . . . . . +38.06% +2.89% +1.53% +3.19% - ------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ------------------------ Net Assets, End of Period (Millions) . . . . . . $271 $86 $51 $21 Ratio of Expenses to Average Net Assets . . . . . .20% .20% .20% 0%* Ratio of Net Investment Income to Average Net Assets . . . . . . . . . . . . . 1.71% 2.08% 2.10% 2.85%* Portfolio Turnover Rate . . . . . . . . . . . . . 24% 28% 36% 2% - -------------------------------------------------------------------------------------------------------------
* Annualized. ** Total return figures do not reflect the annual account maintenance fee of $10. 28 31
VALUE PORTFOLIO - ------------------------------------------------------------------------------------------------------------- Year Ended December 31, ------------------------------ November 2 to For a Share Outstanding Throughout Each Period 1995 1994 1993 December 31, 1992 - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $11.12 $11.74 $10.30 $10.00 ------ ------ ------ ------ INVESTMENT OPERATIONS Net Investment Income . . . . . . . . . . . . .41 .38 .38 .07 Net Realized and Unrealized Gain (Loss) on Investments . . . . . . . . . . 3.66 (.46) 1.50 .30 ------ ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS . . . 4.07 (.08) 1.88 .37 - ------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income . . . . (.40) (.38) (.38) (.07) Distributions from Realized Capital Gains . . -- (.16) (.06) -- ------ ------ ------ ------ TOTAL DISTRIBUTIONS . . . . . . . . . (.40) (.54) (.44) (.07) - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD . . . . . . . . . $14.79 $11.12 $11.74 $10.30 ============================================================================================================= TOTAL RETURN** . . . . . . . . . . . . . . . . . +36.94% -0.73% +18.35% +3.70% - ------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ------------------------ Net Assets, End of Period (Millions) . . . . . . $496 $297 $190 $24 Ratio of Expenses to Average Net Assets . . . . . .20% .20% .20% 0%* Ratio of Net Investment Income to Average Net Assets . . . . . . . . . . . . . 3.06% 3.37% 3.26% 3.46%* Portfolio Turnover Rate . . . . . . . . . . . . . 27% 32% 30% 4% - -------------------------------------------------------------------------------------------------------------
* Annualized. ** Total return figures do not reflect the annual account maintenance fee of $10. 29 32 FINANCIAL HIGHLIGHTS (continued)
SMALL CAPITALIZATION STOCK PORTFOLIO(1) - ----------------------------------------------------------------------------------------------------------------------------------- YEAR ENDED Feb. 1 to Oct. 1, 1993 Year Ended September 30, DECEMBER 31, Dec. 31, to Jan. 31, --------------------------------- For a Share Outstanding Throughout Each Period 1995 1994 1994 1993 1992 1991 - ----------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD . . . . . $14.99 $16.24 $16.23 $12.63 $12.03 $8.55 ------ ------ ------ ------ ------ ----- INVESTMENT OPERATIONS Net Investment Income . . . . . . . . . . . . .24 .20 .05 .20 .19 .20 Net Realized and Unrealized Gain (Loss) on Investments . . . . . . . . 4.06 (.86) .96 3.73 .88 3.60 ------ ------ ------ ------ ------ ----- TOTAL FROM INVESTMENT OPERATIONS . . . 4.30 (.66) 1.01 3.93 1.07 3.80 - ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income . . . . (.23) (.22) (.18) (.18) (.18) (.18) Distributions from Realized Capital Gains . . (.45) (.37) (.82) (.15) (.29) (.14) ------ ------ ------ ------ ------ ----- TOTAL DISTRIBUTIONS . . . . . . . . . (.68) (.59) (1.00) (.33) (.47) (.32) - ----------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD . . . . . . . . $18.61 $14.99 $16.24 $16.23 $12.63 $12.03 =================================================================================================================================== TOTAL RETURN** . . . . . . . . . . . . . . . . . +28.74% -4.00% +6.65% +31.60% +9.34% +45.91% - ----------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ------------------------ Net Assets, End of Period (Millions) . . . . . . $971 $605 $533 $432 $202 $111 Ratio of Expenses to Average Net Assets . . . . . .25% .17%* .18%* .18% .18% .21% Ratio of Net Investment Income to Average Net Assets . . . . . . . . . . . . . 1.58% 1.50%* 1.16%* 1.47% 1.65% 2.11% Portfolio Turnover Rate . . . . . . . . . . . . . 28% 25% 5% 26% 26% 33% - -----------------------------------------------------------------------------------------------------------------------------------
(1) Results prior to January 31, 1994, are for the former Vanguard Small Capitalization Stock Fund. See Note F to Financial Statements. * Annualized. ** Total return figures do not reflect the 1% transaction fee on purchases or the annual account maintenance fee of $10. 30 33 NOTES TO FINANCIAL STATEMENTS Vanguard Index Trust is registered under the Investment Company Act of 1940 as a diversified open-end investment company, and consists of the 500, Extended Market, Total Stock Market, Growth, Value, and Small Capitalization Stock Portfolios. A. The following significant accounting policies are in conformity with generally accepted accounting principles for investment companies. Such policies are consistently followed by the Trust in the preparation of financial statements. 1. SECURITY VALUATION: Securities listed on an exchange are valued at the latest quoted sales prices as of the close of the New York Stock Exchange (generally 4:00 PM) on the valuation date; securities not traded are valued at the mean of the latest quoted bid and asked prices. Unlisted securities held by the 500, Growth, and Value Portfolios are valued at the latest quoted bid prices; such securities held by the Extended Market, Total Stock Market, and Small Capitalization Stock Portfolios are valued at the mean of the latest quoted bid and asked prices. Temporary cash investments acquired over sixty days to maturity are valued utilizing the latest quoted bid prices and on the basis of a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost which approximates market value. 2. FEDERAL INCOME TAXES: Each Portfolio of the Trust intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for Federal income taxes is required in the financial statements. 3. EQUALIZATION: The 500, Total Stock Market, Growth, and Value Portfolios follow the accounting practice known as "equalization," under which a portion of the price of capital shares issued and redeemed, equivalent to undistributed net investment income per share on the date of the transaction, is credited or charged to undistributed income. As a result, undistributed income per share is unaffected by Portfolio share sales or redemptions. 4. REPURCHASE AGREEMENTS: The Trust, along with other members of The Vanguard Group of Investment Companies, transfers uninvested cash balances into a Pooled Cash Account, the daily aggregate of which is invested in repurchase agreements secured by U.S. Government obligations. Securities pledged as collateral for repurchase agreements are held by a custodian bank until maturity of each repurchase agreement. Provisions of each agreement require that the market value of this collateral is sufficient in the event of default; however, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. 5. FUTURES: The Trust utilizes index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. A Portfolio may purchase futures contracts to immediately position incoming cash in the market, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. In the event of redemptions, a Portfolio may pay redeeming shareholders from its cash balance and reduce its futures position accordingly. Returns may be enhanced by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. Futures contracts based upon the following indexes are used: Standard & Poor's 500 Index (500 and Total Stock Market Portfolios), New York Stock Exchange Composite Index (Extended Market and Small Capitalization Stock Portfolios), Standard & Poor's Midcap 400 Index (Extended Market, Total Stock Market, and Small Capitalization Stock Portfolios), Standard & Poor's 31 34 NOTES TO FINANCIAL STATEMENTS (continued) Growth Index (Growth Portfolio), Standard & Poor's Value Index (Value Portfolio), and Russell 2000 Index (Small Capitalization Stock Portfolio). The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks contained in the underlying indexes and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Fluctuations in the values of futures contracts are recorded as unrealized appreciation (depreciation) until terminated, at which time realized gains (losses) are recognized. Unrealized appreciation (depreciation) related to open futures contracts is required to be treated as realized gain (loss) for Federal income tax purposes. 6. OTHER: Security transactions are accounted for on the date the securities are purchased or sold. Costs used in determining realized gains and losses on the sale of investment securities are those of specific securities sold. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Capital gains distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes depending on the timing of realization of gains. B. The Vanguard Group, Inc. 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, 1995, the Trust had contributed capital of $2,487,000 to Vanguard (included in Other Assets), representing 12.4% of Vanguard's capitalization. The Trust's officers and trustees are also officers and directors of Vanguard. C. During the year ended December 31, 1995, purchases and sales of investment securities other than U.S. Government securities and temporary cash investments were:
- -------------------------------------------------------------------------------- (000) ---------------------------------- Portfolio Purchases Sales - -------------------------------------------------------------------------------- 500 $4,912,989 $560,243 EXTENDED MARKET 387,731 174,763 TOTAL STOCK MARKET 488,195 36,905 GROWTH 176,105 38,915 VALUE 194,220 101,000 SMALLCAP 407,618 207,584 - --------------------------------------------------------------------------------
During the year ended December 31, 1995, the 500 Portfolio realized $155,832,000 of net capital gains resulting from in-kind redemptions. Such gains are not taxable income to the Portfolio and therefore will not be distributed to shareholders; accordingly, such gains have been reclassified from accumulated net realized gains to paid in capital. The Growth Portfolio utilized a capital loss carry-forward of $622,000 to offset taxable capital gains realized during the year ended December 31, 1995. D. At December 31, 1995, 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 $4,704,979 $(210,577) $4,494,402 EXTENDED MARKET 460,527 (58,185) 402,342 TOTAL STOCK MARKET 374,387 (41,083) 333,304 GROWTH 47,875 (1,757) 46,118 VALUE 93,707 (6,558) 87,149 SMALLCAP 234,466 (50,659) 183,807 - --------------------------------------------------------------------------------
32 35 At December 31, 1995, the aggregate settlement value of open futures contracts expiring in March 1996, the related unrealized depreciation, and the market value of securities deposited as initial margin for those contracts were:
- -------------------------------------------------------------------------------- (000) -------------------------------------------- Market Value Aggregate of Securities Settlement Unrealized Deposited as Portfolio Value Depreciation Initial Margin - -------------------------------------------------------------------------------- 500 $51,022 $(232) $2,968 EXTENDED MARKET 43,692 (463) 495 TOTAL STOCK MARKET 40,152 (314) 1,682 GROWTH 1,671 (22) 198 VALUE 1,631 0 198 SMALLCAP 9,133 (86) 495 - --------------------------------------------------------------------------------
E. The market value of securities on loan to broker/dealers at December 31, 1995, and cash collateral received with respect to such loans were:
- -------------------------------------------------------------------------------- (000) ------------------------------------- Market Value Cash of Loaned Collateral Portfolio Securities Received - -------------------------------------------------------------------------------- 500 $29,747 $30,091 EXTENDED MARKET 41,155 43,577 TOTAL STOCK MARKET 11,541 12,233 VALUE 839 858 SMALLCAP 31,369 32,827 - --------------------------------------------------------------------------------
F. On January 28, 1994, shareholders of Vanguard Small Capitalization Stock Fund approved the tax-free reorganization of the Fund as the Small Capitalization Stock Portfolio of Vanguard Index Trust. Such reorganization was effective January 31, 1994. 33 36 REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Board of Trustees Vanguard Index Trust-500 Portfolio 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 the 500 Portfolio of Vanguard Index Trust (the "Fund") at December 31, 1995, and the results of its operations, the changes in its net assets and the financial highlights for each of the respective periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund'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 by correspondence with the custodian and brokers and 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 Fund at December 31, 1995, and we have issued an unqualified opinion thereon. An insert to this Annual Report containing our report on the financial statements of the other Portfolios is available from the Fund. PRICE WATERHOUSE LLP Thirty South Seventeenth Street Philadelphia, Pennsylvania 19103 January 31, 1996 34 37 SPECIAL TAX INFORMATION SPECIAL 1995 TAX INFORMATION (UNAUDITED) FOR VANGUARD INDEX TRUST Corporate shareholders should note that for the fiscal year ended December 31, 1995, the percentage of investment income (i.e., dividend income plus short-term capital gains, where applicable) which qualifies for the intercorporate dividends received deduction is as follows: 500 Portfolio . . . . . . . . . . . . . . . . 97.0% Extended Market Portfolio . . . . . . . . . . 76.4% Total Stock Market Portfolio . . . . . . . . . 86.6% Growth Portfolio . . . . . . . . . . . . . . . 83.6% Value Portfolio . . . . . . . . . . . . . . . 73.3% Small Capitalization Portfolio . . . . . . . . 67.2%
35 38 TRUSTEES AND OFFICERS JOHN C. BOGLE, Chairman and Chief Executive Officer Chairman and Director of The Vanguard Group, Inc., and of each of the investment companies in The Vanguard Group. JOHN J. BRENNAN, President President and Director of The Vanguard Group, Inc., and of each of the investment companies in The Vanguard Group. ROBERT E. CAWTHORN, Chairman of Rhone-Poulenc Rorer Inc.; Director of Sun Company, Inc. BARBARA BARNES HAUPTFUHRER, Director of The Great Atlantic and Pacific Tea Co., Alco Standard Corp., Raytheon Co., Knight-Ridder, Inc., and Massachusetts Mutual Life Insurance Co. BRUCE K. MacLAURY, President of The Brookings Institution; Director of American Express Bank Ltd. and The St. Paul Companies, Inc. 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. 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; Treasurer of The Vanguard Group, Inc., and of each of the investment companies in The Vanguard Group. KAREN E. WEST, Controller; Vice President of The Vanguard Group, Inc.; Controller of each of the investment companies in The Vanguard Group. OTHER VANGUARD GROUP OFFICERS ROBERT A. DiSTEFANO IAN A. MacKINNON Senior Vice President Senior Vice President Information Technology Fixed Income Group JEREMY G. DUFFIELD F. WILLIAM McNABB III Senior Vice President Senior Vice President Planning & Development Institutional JAMES H. GATELY RALPH K. PACKARD Senior Vice President Senior Vice President Individual Investor Group Chief Financial Officer 36 39 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/Trustees' Equity Fund 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 Funds 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 Global Equity Portfolio Global Asset Allocation Portfolio Capital Opportunity Portfolio Aggressive Growth Portfolio INTERNATIONAL FUNDS Vanguard International Growth Portfolio Vanguard/Trustees' Equity Fund International Portfolio INDEX FUNDS Vanguard Index Trust 500 Portfolio Total Stock Market Portfolio Extended Market Portfolio Growth Portfolio Value Portfolio Small Capitalization Stock Portfolio Vanguard Tax-Managed Fund Vanguard Balanced Index Fund Vanguard Bond Index Fund Total Bond Market Portfolio Short-Term Bond Portfolio Intermediate-Term Bond Portfolio Long-Term Bond Portfolio Vanguard International Equity Index Fund European Portfolio Pacific Portfolio Emerging Markets Portfolio FIXED INCOME FUNDS MONEY MARKET FUNDS Vanguard Money Market Reserves Vanguard Admiral Fund U.S. Treasury Money Market Portfolio TAX-EXEMPT MONEY MARKET FUNDS Vanguard Municipal Bond Fund Money Market Portfolio Vanguard State Tax-Free Funds Money Market Portfolios (CA, NJ, OH, PA) TAX-EXEMPT INCOME FUNDS Vanguard Municipal Bond Fund Vanguard State Tax-Free Funds Insured Longer-Term Portfolios (CA, FL, NJ, NY, OH, PA) INCOME FUNDS Vanguard Fixed Income Securities Fund Vanguard Admiral Fund Vanguard Preferred Stock Fund This Report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus. All Funds in the Vanguard Family are offered by prospectus only. [THE VANGUARD GROUP LOGO] Vanguard Financial Center Valley Forge, Pennsylvania 19482 New Account Information: 1 (800) 662-7447 Shareholder Account Services: 1 (800) 662-2739 Q400-12/95 ON OUR COVER: On the evening of August 1, 1798, Lord Horatio Nelson sailed his flagship, HMS Vanguard, into Egypt's Aboukir Bay. In a night encounter, the British fleet annihilated Napoleon Bonaparte's ships of the line in what is still considered to be the most complete victory ever recorded in naval history. Our Report's cover illustration is Thomas Luny's 1830 painting, The Battle Of The Nile, in which the French flagship, L'Orient, is shown as it exploded at 10:00 p.m. under a gibbous moon. 40 STATEMENT OF NET ASSETS FINANCIAL STATEMENTS VANGUARD INDEX TRUST December 31,1995
Market EXTENDED Value MARKET PORTFOLIO Shares (000)+ - -------------------------------------------------------------------------------- COMMON STOCKS - -------------------------------------------------------------------------------- AAR Corp. 28,800 $ 634 * ABT Building Products Corp. 25,000 359 * ACX Technologies Inc. 37,000 560 * ADC Telecommunications, Inc. 45,600 1,659 ADVO, Inc. 28,675 746 * AES Corp. 51,736 1,238 AFLAC, Inc. 73,788 3,201 AGCO Corp. 15,850 808 AK Steel Holding Corp. 17,400 596 AMBAC, Inc. 26,478 1,241 * APAC Teleservices, Inc. 5,900 197 * APS Holding Corp. 22,700 505 ARCO Chemical Co. 73,900 3,593 * AST Research, Inc. 62,097 536 AT&T Capital Corp. 35,500 1,358 * Able Telcom Holding Corp. 52,400 377 * Acceptance Insurance Cos. Inc. 32,200 479 * Access Health Marketing, Inc. 17,300 770 * Acclaim Entertainment Inc. 41,200 512 Aceto Corp. 27,309 427 * Acme Electric Corp. 35,100 320 * Acme Metals, Inc. 26,600 372 * Action Performance Cos., Inc. 49,050 668 * Acuson Corp. 46,238 572 * Acxiom Corp. 14,000 385 * Adaptec, Inc. 43,300 1,775 * Addington Resources, Inc. 29,900 432 Adobe Systems, Inc. 65,733 4,084 * Adtran, Inc. 26,800 1,464 * Advanced Logic Research 45,700 274 * Advanced Mammography Systems, Inc. 101,475 187 * Advanced Marketing Services 4,600 47 * Advanced NMR Systems, Inc. 127,900 156 * Advanced Polymer Systems 63,300 348 * Advanced Surgical, Inc. 31,800 22 * Advanced Technology Laboratories, Inc. 42,037 1,035 * Advantage Life Products, Inc. 31,400 65 Advanta Corp. Class A 29,400 1,114 * Agri-Nutrition Group Ltd. 27,100 56 * Air and Water Technologies Corp. Class A 84,298 516 Airborne Freight Corp. 26,910 716 * Airgas, Inc. 21,400 712 * Airways Corp. 43,700 418 * Alaska Air Group, Inc. 27,600 449 Albany International Corp. 35,800 649 Albemarle Corp. 45,602 884 Alex Brown, Inc. 21,020 883 Alexander & Baldwin, Inc. 30,200 702 * Alexander's, Inc. 8,700 605 Alfa Corp. 50,900 872 * Alleghany Corp. 4,502 891 Allegheny Ludlum Corp. 46,629 863 Allegheny Power System, Inc. 87,800 2,513 The Allen Group, Inc. 24,840 556 * Alliance Gaming 77,200 244 * Alliance Pharmaceutical Corp. 45,000 610 * Alliance Semiconductor Corp. 30,750 354 * Alliant Techsystems, Inc. 11,000 557 Allied Capital Commercial Corp. 27,900 551 * Allied Devices Corp. 11,200 41 Allied Products Corp. 37,100 890 * Allied Waste Industries, Inc. 56,200 393 * Allmerica Financial Corp. 37,174 1,004 Allmerica Property & Casualty Cos. 43,200 1,166 * Allou Health & Beauty, Inc. 48,100 289 * Allwaste, Inc. 95,246 452 * Aloette Cosmetics, Inc. 47,700 113 Alpharma Inc. Class A 27,800 726 * Altera Corp. 32,200 1,600 * Alumax, Inc. 32,200 986 * Amax Gold, Inc. 99,287 720 Amcast Industrial Corp. 21,000 383 * Amerco Inc. 22,300 457 * America Online, Inc. 55,400 2,067 * America West Airlines, Inc. 32,300 549 American Annuity Group Inc. 53,378 634 American Bankers Insurance Group 12,900 506 * American Banknote Corp. 107,200 134 American Financial Group, Inc. 39,400 1,207 * American Freightways 41,200 430 American Insured Mortgage Investors-Series 86 28,300 368 * American Management Systems, Inc. 25,417 764 * American Medical Response, Inc. 24,000 780 * American Mobile Satellite Corp., Inc. 31,100 956
The listings for each of the Portfolios begin on the following pages: EXTENDED MARKET PORTFOLIO . . . . . . . . . . . . . . . . . . . 1 TOTAL STOCK MARKET PORTFOLIO . . . . . . . . . . . . . . . . . 20 GROWTH PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . 39 VALUE PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . 41 SMALL CAPITALIZATION STOCK PORTFOLIO . . . . . . . . . . . . . 45
1 41
Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- American National Insurance Co. 18,550 $ 1,229 * American Oncology Resources, Inc. 13,000 632 * American Power Conversion Corp. 63,500 599 American President Cos., Ltd. 22,754 523 American Re Corp. 32,700 1,337 * American Safety Razor Co. 41,800 337 * American Science & Engineering, Inc. 4,500 35 * American Software, Inc. Class A 62,750 404 * American Standard Cos., Inc. 54,800 1,534 American Studios, Inc. 32,600 39 * American Travellers Corp. 37,700 1,058 American Water Works Co., Inc. 24,215 941 * Americredit Corp. 60,900 830 Amerigas Partners, L.P. 4,400 107 * Amerisource Health Corp. 16,300 538 Ameron, Inc. 10,700 403 Ametek, Inc. 39,600 743 Amfed Financial, Inc. 13,257 448 Ampco-Pittsburgh Corp. 49,200 529 * Amphenol Corp. 35,000 849 Amre, Inc. 68,500 1,002 * Amrep Corp. 64,600 380 * Amsco International, Inc. 38,400 571 AmSouth Bancorp 44,426 1,794 Amtech Corp. 56,650 297 * Amylin Pharmaceuticals, Inc. 58,800 551 Anadarko Petroleum Corp. 44,500 2,409 * Analog Devices, Inc. 54,496 1,928 * Anchor Gaming 28,700 657 * Andros Inc. 20,600 322 Angelica Corp. 20,200 414 * Anixter International Inc. 40,800 760 * AnnTaylor Stores Corp. 42,000 431 * Antec Corp. 36,300 651 Anthony Industries, Inc. 27,245 627 Aon Corp. 82,052 4,092 Apache Corp. 57,300 1,690 * Apertus Technologies, Inc. 43,500 332 * Aphton Corp. 34,500 336 Apogee Enterprises, Inc. 31,700 543 * Apollo Group, Inc. Class A 13,200 516 Apple South, Inc. 20,500 438 Applebee's International, Inc. 36,000 828 * Applied Bioscience International, Inc. 71,000 488 * Applix, Inc. 26,000 702 * Apria Healthcare 32,780 934 Aptargroup Inc. 24,200 904 Aquarion Co. 18,303 467 Arbor Drugs, Inc. 34,950 730 Argonaut Group, Inc. 15,419 505 * Argosy Gaming Co. 50,400 378 Arkansas Best Corp. 44,600 348 Armor All Products Corp. 32,000 576 Arnold Industries, Inc. 36,700 647 * Arrow Electronics, Inc. 38,450 1,658 Arrow International, Inc. 20,200 821 * Artisoft, Inc. 39,000 251 Arvin Industries, Inc. 34,000 561 * Ascend Communications, Inc. 41,100 3,337 Ashland Coal Inc. 23,900 511 * Aspect Telecommunications 13,500 451 Associated Estates Realty Corp. 23,500 505 * Associated Group, Inc. 23,628 437 * Associated Group, Inc. Class B 5,775 106 Astro-Med, Inc. 38,150 370 * Astrosystems, Inc. 48,700 283 * Atari Corp. 133,300 183 Guy F. Atkinson Co. of California 37,800 392 Atlanta Gas Light Co. 37,100 733 Atlantic Energy, Inc. 36,900 710 Atlantic Southeast Airlines Inc. 21,500 465 * Atmel Corp. 70,000 1,558 * Atrix Laboratories, Inc. 54,823 418 * Atwood Oceanics, Inc. 29,500 750 * Aurora 45,825 95 * Autotote Corp. 105,300 306 * AutoZone, Inc. 110,400 3,188 Avalon Properties 34,600 744 * Avatar Holding, Inc. 14,900 516 * Avecor Cardiovascular, Inc. 24,000 417 Aviall Inc. 46,500 436 * Avid Technology, Inc. 12,600 240 Avnet, Inc. 31,900 1,428 * Avondale Industries, Inc. 35,200 508 * Aydin Corp. 20,300 307 * Aztar Corp. 72,100 577 * BBN Corp. 27,400 1,127 BHA Group Class A 22,300 304 BHC Communications, Inc. Class A 18,800 1,777 * BISYS Group, Inc. 12,700 387 * BJ Services Co. 26,000 754 BMC Industries, Inc. 57,704 1,342 * BMC Software, Inc. 36,600 1,560 BSB Bancorp, Inc. 24,525 619 * BTG Inc. 31,300 366 BW/IP Inc. 35,300 574 * Baby Superstore, Inc. 12,450 708 * Bachman Information Systems, Inc. 53,700 514 Badger Meter, Inc. 13,000 345 Bairnco Corp. 60,700 349 J. Baker, Inc. 49,200 274 Baldor Electric Co. 35,730 719 Baldwin & Lyons, Inc. Class B 29,400 481 Ballard Medical Products 36,366 650
2 42
Market Value Shares (000)+ - -------------------------------------------------------------------------------- Bancorp Hawaii, Inc. 30,101 $ 1,080 Bandag, Inc. 16,662 902 Bandag, Inc. Class A 300 16 Bank South Corp. 44,140 1,346 Bankers Life Holding Corp. 38,700 784 BanPonce Corp. 23,022 896 Banta Corp. 13,150 584 * Barnes & Noble Inc. 23,500 682 Barnwell Industries, Inc. 13,400 216 * Barrett Business Services, Inc. 24,400 363 * Barrett Resources Corp. 28,550 839 * Basin Exploration Inc. 64,198 313 Bassett Furniture Industries, Inc. 23,100 531 Battle Mountain Gold Co. Class A 50,100 420 * Bay Networks 176,515 7,248 * Bay Ridge Bancorp, Inc. 17,700 389 BayBanks, Inc. 13,600 1,333 Bear Stearns Co., Inc. 85,777 1,705 Bearings, Inc. 20,400 597 BeautiControl Cosmetics 34,450 336 Beckman Instruments 18,900 669 * Bed Bath & Beyond, Inc. 23,000 891 * Bel Fuse, Inc. 27,200 289 Belden Inc. 18,200 469 A. H. Belo Corp. Class A 29,200 1,015 * Ben & Jerry's Homemade, Inc. Class A 26,200 396 * Ben Franklin Retail Stores 6,000 17 * Benson Eyecare Corp. 51,942 467 Benson Financial Corp. 20,000 375 Bergen Brunswig Corp. Class A 35,173 875 W.R. Berkley Corp. 12,800 685 * Berkshire Hathaway 873 28,023 Berkshire Realty Co., Inc. 49,400 475 * Berlitz International, Inc. 29,426 486 Berry Petroleum Class A 42,800 433 * Bertucci's Holding Corp. 52,800 267 * Best Buy, Inc. 32,300 525 Betz Laboratories, Inc. 21,300 873 Bindly Western Industries, Inc. 28,400 483 Binks Manufacturing Co. 15,550 365 * Bio-Rad Labs, Inc. Class A 22,000 935 Biocraft Laboratories 30,400 403 * Biogen, Inc. 25,769 1,578 * Biomatrix, Inc. 45,300 747 * Biospecifics Technology 40,800 158 * Biotechnology General 118,500 544 * Biowhittaker Inc. 48,799 372 Birmingham Steel Corp. 38,850 578 Blair Corp. 16,400 517 E.W. Blanch Holdings, Inc. 24,800 580 Blessings Corp. 37,100 385 Block Drug Co. Class A 14,841 518 Blount International, Inc. 23,400 614 * Blyth Industries, Inc. 20,800 614 Bob Evans Farms, Inc. 26,016 498 * Boise Cascade Office Products Corp. 20,100 859 * Bombay Co. 77,062 491 * Borders Group, Inc. 30,100 557 Borg-Warner Automotive, Inc. 21,600 691 Boston Bancorp 13,200 531 Boston Edison Co. 36,000 1,062 * Boston Market, Inc. 33,200 1,064 * Boston Technology, Inc. 47,500 609 Bowater, Inc. 28,349 1,006 * Boyd Gaming Corp. 39,800 463 W.H. Brady Class A 31,500 835 Breed Technological Inc. 24,200 448 * Brinker International, Inc. 51,863 784 * Broadway & Seymour, Inc. 23,900 382 * Broderbund Software, Inc. 13,500 822 Brooke Group Ltd. 63,500 572 * Brooklyn Bancorp, Inc. 15,900 646 Brooklyn Union Gas Co. 33,850 990 * Brothers Gourmet Coffees, Inc. 76,500 287 Brush Wellman, Inc. 28,200 486 * Buffets Inc. 43,200 605 * Builders Transport, Inc. 33,700 253 * Burlington Coat Factory Warehouse Corp. 55,650 570 * Burlington Industries 42,000 551 Burlington Resources Coal Seamgas Royalty Trust 26,200 347 * Burr-Brown Corp. 39,900 1,002 * Bush Boake Allen, Inc. 23,600 646 Bush Industries, Inc. 23,062 453 * CAI Wireless Systems, Inc. 44,430 425 * CAM Designs, Inc. 29,800 250 CBI Industries, Inc. 28,259 929 CCB Financial Corp. 16,300 905 CCH Inc. Class A 6,100 338 CCH Inc. Class B 29,300 1,621 * C-Cor Electronics, Inc. 21,600 502 * C-Cube Microsystems, Inc. 24,700 1,550 * CDW Computer Centers, Inc. 15,300 614 CIPSCO, Inc. 23,400 913 CKE Restaurants Inc. 43,000 688 CMAC Investment Corp. 18,500 814 * CMGI Information Services, Inc. 17,600 1,628 CML Group, Inc. 87,750 450 CMS Energy Corp. 64,739 1,934 * CNA Financial Corp. 46,600 5,289 CPI Corp. 23,300 373 * C-TEC Corp. 10,300 318 * C-TEC Corp. Class B 11,100 343 CWM Mortgage Holdings Inc. 26,600 452
3 43
Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * Cablevision Systems Corp. Class B 10,500 $ 570 Cabot Corp. 28,800 1,552 Cabot Oil & Gas Corp. 36,364 532 * Cadence Design Systems, Inc. 42,750 1,796 * Cadiz Land Co., Inc. 69,400 408 Cal Fed Bancorp Inc. 49,380 778 * Calgene, Inc. 78,100 351 Calgon Carbon Corp. 52,000 624 * California Energy Co. 33,592 655 * California Federal Bank Goodwill Participation Certificates 5,398 27 Callaway Golf Co. 50,000 1,131 * Callon Peteroleum Co. 31,300 325 Calmat Co. 33,800 617 * Calumet Bancorp, Inc. 13,500 380 * Cambridge Technology Partners 8,200 464 Camco International, Inc. 30,600 857 * Cameron Ashley Building Products 33,200 330 * Canandaigua Wine Co., Inc. Class A 17,400 570 * Canandaigua Wine Co., Inc. Class B 6,375 219 Capital One Financial Corp. 92,752 2,214 Capital Realty Investors Tax Exempt Fund (Series III) 25,100 339 Capitol American Financial Corp. 27,000 611 Caraustar Industries, Inc. 32,800 664 Cardinal Health, Inc. 47,803 2,617 Caremark International, Inc. 56,600 1,026 Carlisle Co., Inc. 17,500 707 * Carmike Cinemas, Inc. Class A 22,100 497 Carnival Cruise Lines, Inc. 215,228 5,246 Carpenter Technology Corp. 20,400 839 * Carrington Labs Inc. 34,900 1,086 Carter-Wallace, Inc. 62,800 714 * Cascade Communications Corp. 21,100 1,796 Case Corp. 52,700 2,411 Casey's General Stores 41,600 907 Cash America International Inc. 65,400 360 * Casino Magic Corp. 87,900 269 A.M. Castle & Co. 30,525 859 * Castle & Cooke, Inc. 14,933 250 * Catalina Lighting, Inc. 37,300 182 * Catalina Marketing Corp. 11,800 740 * Catellus Development Corp. 99,801 599 Cato Corp. Class A 59,700 459 * Cellegy Pharmaceuticals, Inc. 46,900 240 * Cellular Communications Series A 11,800 591 * Cellular Technical Services Co. 22,325 513 * Celtrix Labs 52,200 134 Center Financial Corp. 39,200 686 Centerior Energy Corp. 108,900 966 Centerpoint Properties Corp. 20,300 469 * Centocor, Inc. 41,800 1,296 * Central Cooperative Bank 27,100 408 Central Fidelity Banks, Inc. 27,550 878 Central Hudson Gas & Electric Corp. 23,400 722 Central Louisiana Electric Co. 27,892 750 Central Maine Power Co. 47,267 679 Central Newspapers Inc. 14,750 463 * Central Sprinkler Corp. 33,425 1,162 Central Vermont Public Service Corp. 31,000 415 Centura Banks, Inc. 14,800 520 * Century Communications Corp. Class A 55,281 442 Century Telephone Enterprises, Inc. 42,677 1,355 * Cephalon Inc. 14,000 571 * Cerner Corp. 29,000 595 * Chalone Wine Group Ltd. 56,800 515 Chaparral Steel Co. 54,500 913 Charter One Financial 57,560 1,756 * Chartwell Re Corp. 15,611 340 Chateau Properties, Inc. 17,100 385 * Checkers Drive-In Restaurant 104,400 106 * Checkfree Corp. 19,000 406 * Checkpoint Systems, Inc. 26,900 1,005 Chelsea GCA Realty, Inc. 18,700 561 Chemed Corp. 14,400 560 * Chemical Fabrics Corp. 30,750 623 Chesapeake Corp. of Virginia 24,483 725 * Cheyenne Software, Inc. 31,800 831 * Chic by H.I.S., Inc. 49,800 274 * Chico's Fas, Inc. 42,700 188 Chiquita Brands International, Inc. 35,765 492 * Chiron Corp. 29,605 3,275 * Chock Full O'Nuts Corp. 60,160 316 * Cholestech Corp. 4,800 17 * Chris-Craft Industries, Inc. 20,157 872 * Christiana Cos., Inc. 16,200 365 Church and Dwight, Inc. 30,300 561 Cilcorp, Inc. 17,400 737 Cincinnati Bell, Inc. 50,000 1,738 Cincinnati Financial Corp. 40,255 2,617 Cintas Corp. 33,500 1,499 * Circon Corp. 21,557 435 * Circus Circus Enterprises Inc. 74,159 2,067 * Cirrus Logic 45,600 903 Citizens Banking Corp. 20,900 614 Citizens Corp. 21,900 408 * Citizens Utilities Co. Class A 171,406 2,185 * Citizens Utilities Co. Class B 1,135 14 City National Corp. 54,075 757 Clarcor Inc. 25,700 524 Clayton Homes Inc. 69,879 1,494 * Clean Harbors Inc. 43,500 114 * Clear Channel Communications 23,400 1,033 Cleveland-Cliffs Iron Co. 16,200 664
4 44
Market Value Shares (000)+ - -------------------------------------------------------------------------------- * The Clothestime, Inc. 68,400 $ 47 Coachmen Industries, Inc. 26,900 585 * Coast Savings Financial, Inc. 33,600 1,163 * Coastal Physician Group, Inc. 36,700 495 * Cobra Golf, Inc. 25,100 897 Coca-Cola Enterprises, Inc. 95,762 2,562 * Coda Music Technology, Inc. 39,500 183 * Code Alarm, Inc. 27,600 174 Coeur D'Alene Mines Corp. 26,800 459 * Cognex Corp. 28,600 1,001 * Coherent, Inc. 27,423 1,121 * Coleman Inc. 19,100 671 Collagen Corp. 20,803 436 Collective Bancorp, Inc. 29,750 759 * Collins & Aikman Corp. 91,300 605 Colonial Gas Co. 20,940 432 * Coltec Inc. 43,300 503 Columbus Realty Trust 23,900 463 Comair Holdings, Inc. 40,950 1,095 Comdisco, Inc. 37,200 842 Commerce Bancshares, Inc. 26,654 1,016 Commerce Group, Inc. 39,600 817 Commercial Assets 48,800 275 Commercial Federal Corp. 23,100 872 Commercial Metals Co. 23,766 588 Commonwealth Energy Systems 17,000 761 Communications Systems, Inc. 33,400 518 Community First Bankshares 26,458 609 * Community Healthcare Systems 13,800 492 Compass Bancshares Inc. 26,000 853 * Competitive Technologies, Inc. 45,200 387 * CompUSA, Inc. 22,400 697 Computer Data Systems, Inc. 31,200 417 * Computer Horizons Corp. 38,837 1,461 * Computer Outsourcing Services, Inc. 57,600 256 Computer Task Group, Inc. 40,700 804 * Computervision Corp. 39,700 610 * Compuware Corp. 28,500 534 Comsat Corp. 30,300 564 * Concord EFS, Inc. 16,900 706 Conestoga Bancorp, Inc. 22,900 464 * Conmed Corp. 45,000 1,114 * Conner Peripherals, Inc. 37,493 787 Conseco Co., Inc. 14,400 902 * Consilium, Inc. 28,200 338 Consolidated Papers 33,500 1,880 * Consolidated Products Inc. 36,634 547 * Consolidated Stores, Inc. 34,341 747 * Consolidated Technology Group 24,500 7 * Consumer Portfolio Services, Inc. 20,000 369 * Continental Airlines, Inc. 24,000 1,044 * Continental Materials Corp. 35,600 432 * Continental Waste Industries, Inc. 34,333 388 * Continuum Co. 13,600 537 * Converse Inc. 68,933 284 * Copley Pharmaceutical, Inc. 30,517 420 * Coram Healthcare Corp. 90,503 396 * Cordis Corp. 11,900 1,196 Core Industries, Inc. 34,000 438 * Corporate Express, Inc. 34,300 1,029 * Corporate Renaissance Group, Inc. 5,700 56 * Corrections Corp. of America 73,900 2,744 * Cosmetic Center, Inc. Class A 25,100 174 * Cosmetic Center, Inc. Class B 6,900 47 Countrywide Credit Industries, Inc. 77,379 1,683 * Coventry Corp. 27,000 559 * Cox Communications Class A 189,257 3,691 Cracker Barrel Old Country Stores, Inc. 40,133 695 * Craig Corp. 32,823 324 * Jenny Craig Inc. 44,800 442 Crawford & Co. Class B 44,600 725 * Credence Systems Corp. 18,700 425 * Credit Acceptance Corp. 30,300 621 * Cree Research, Inc. 84,200 1,252 Crescent Real Estate Equities, Inc. 14,800 505 Crestar Financial Corp. 27,202 1,608 Crompton & Knowles Corp. 31,300 415 A.T. Cross Co. Class A 28,800 436 * Crown Central Petroleum Corp. Class B 28,400 415 Crown Crafts, Inc. 26,940 310 Cullen/Frost Bankers, Inc. 15,130 758 Curtiss-Wright Corp. 11,800 634 * Custom Chrome 21,400 491 * Cygnus Inc. 39,700 883 * Cypress Semiconductor Corp. 64,400 821 * Cypros Pharmaceuticals Corp. 70,900 337 * Cyrix Corp. 23,700 542 * Cytec Industries, Inc. 14,600 911 * Cytogen Corp. 77,500 401 DPL, Inc. 80,575 1,994 DQE Inc. 57,150 1,757 DS Bancor, Inc. 12,568 316 Dames & Moore, Inc. 39,000 473 Danaher Corp. 44,166 1,402 * Darling International, Inc. 15,200 406 Dart Group Corp. Class A 4,700 436 * Data Broadcasting Corp. 46,156 563 * Data Systems & Software, Inc. 33,300 231 * Datascope Corp. 29,000 689 * Datastream Systems, Inc. 22,800 433 * Dataware Technologies, Inc. 32,200 274 Dauphin Deposit Bank & Trust 19,940 578 * Dave and Busters 23,407 287 * Davidson and Associates, Inc. 33,000 718
5 45
Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- Davis Water and Waste Industry, Inc. 44,200 $ 641 Dean Foods Corp. 27,933 768 Deb Shops, Inc. 83,900 296 DeBartolo Realty Corp. 40,900 532 Dekalb Genetics Corp. Class B 14,300 645 * Dell Computer 73,100 2,545 Delmarva Power & Light Co. 41,800 951 Delta & Pine Land Co. 31,333 1,152 Delta Woodside 58,600 388 Dentsply International 20,100 803 * Department 56 Inc. 18,300 702 Deposit Guaranty Corp. 13,400 601 * Desoto, Inc. 15,900 56 * Destec Energy Inc. 37,001 509 * Detroit Diesel Corp. 34,222 637 Developers Diversified Realty Corp. 23,000 690 Devon Energy Corp. 31,600 806 Dexter Corp. 30,200 713 Diagnostic Products Corp. 23,600 894 * Dial Page, Inc. 31,300 491 * Diamond Multimedia Systems, Inc. 19,800 717 * Diamond Offshore Drilling, Inc. 12,000 405 Diamond Shamrock, Inc. 18,600 481 Diebold, Inc. 23,056 1,277 * Digi International, Inc. 28,750 546 * Digital Microwave Corp. 41,500 410 * Digital Systems Inc. 38,863 503 * Dime Bancorp, Inc. 133,128 1,548 Dimon Inc. 57,350 1,011 * Dionex Corp. 13,300 760 * Discovery Zone, Inc. 17,075 53 Dole Food Co. 44,800 1,568 Dollar General Corp. 48,612 1,009 Donaldson Co., Inc. 28,700 721 Donnelly Corp. 23,850 352 * Donnkenny, Inc. 34,600 625 Douglas & Lomason 26,300 319 * Dove Audio, Inc. 23,600 305 Downey Financial Corp. 27,510 602 * Dravo Corp. 33,961 408 * The Dress Barn, Inc. 45,800 447 * Drexler Technology Corp. 42,200 641 Dreyer's Grand Ice Cream, Inc. 20,900 703 * Drug Emporium, Inc. 74,530 303 * Drypers Corp. 117,100 351 Duke Realty Investments 15,400 483 * Dura Pharmaceuticals, Inc. 26,900 935 Duracell International, Inc. 88,175 4,563 * Duracraft Corp. 17,000 425 Duriron Co., Inc. 30,900 722 Duty Free International Inc. 45,526 728 * EA Engineering Sciences and Technology Inc. 41,700 167 * EMC Corp. 168,500 2,591 * EP Technologies, Inc. 30,000 429 * ESS Technology, Inc. 23,200 539 * Eagle Finance Corp. 21,500 298 * Eagle Food 24,700 45 * Earth Technology USA 61,900 489 * East Texas Financial Services, Inc. 16,000 264 Eastern Utilities Associates 26,381 623 * Eckerd Corp. 25,800 1,151 * Ecogen Inc. 31,200 44 Ecology and Environment, Inc. 6,925 58 * Edisto Resources Corp. 75,800 540 * Editek Inc. 8,400 24 * Education Alternatives, Inc. 53,800 242 A.G. Edwards & Sons, Inc. 44,498 1,062 * Egghead, Inc. 48,200 310 * El Paso Electric Co. 80,300 28 El Paso Natural Gas 22,832 648 Elcor Corp. 22,600 492 * Electromagnetic Sciences, Inc. 39,100 437 * Electronic Arts 36,700 961 * Electronics for Imaging, Inc. 40,400 1,752 * Eljer Industries, Inc. 59,900 644 Empire District Electric Co. 26,753 478 * Energy Biosystems Corp. 64,000 472 * Energy Conversion Devices, Inc. 34,500 561 Energy North, Inc. 19,872 353 * Energy Ventures Inc. 25,500 644 Engineered Support Systems, Inc. 61,800 409 Enova Corp. 86,300 2,050 Enron Global Power & Pipelines L.L.C. 26,700 664 Enron Oil & Gas Co. 120,776 2,899 * Ensco International 45,650 1,050 * Envirometrics, Inc. 17,300 52 * Epic Design Technology, Inc. 22,600 475 * Epitope Inc. 30,700 507 Equifax, Inc. 115,140 2,461 The Equitable Cos. 138,900 3,334 Equitable of Iowa Co. 21,000 675 Equitable Resources, Inc. 23,650 739 * Equivest Finance, Inc. 50,075 219 Equity Residential Properties Trust 23,400 717 Essex County Gas Co. 6,400 163 * Esterline Technologies Corp. 36,000 851 Ethyl Corp. 93,804 1,173 * Europa Cruises Corp. 48,700 34 * Evergreen Media Corp. 25,482 815 * Exabyte Corp. 36,000 529 Exide Corp. 13,100 601
6 46
Market Value Shares (000)+ - -------------------------------------------------------------------------------- Expeditors International of Washington, Inc. 21,800 $ 570 * Expert Software Inc. 21,400 302 * Express Scripts 11,200 566 * FHP International Corp. 22,952 648 FHP International Corp. Pfd. A 12,640 337 FMC Gold Co. 117,200 483 * FSI International, Inc. 27,900 561 * FTP Software, Inc. 29,100 846 * Fairchild Corp. 6,700 57 Family Dollar Stores, Inc. 41,200 567 Fastenal Co. 25,900 1,101 Federal-Mogul Corp. 21,900 430 Federal Realty Investment Trust 20,400 464 Federal Signal Corp. 29,437 762 Ferro Corp. 17,775 413 * Fibreboard Corp. 28,600 640 * Fieldcrest Cannon, Inc. 21,600 359 Fifth Third Bancorp 49,400 3,600 * Figgie International Inc. Class A 39,000 412 * Filene's Basement Corp. 97,850 235 Fina Inc. 19,500 985 Financial Security Assurance Holdings Ltd. 29,300 729 Fingerhut Co. 27,446 381 Finova Group, Inc. 20,700 999 First American Bank Corp. 45,908 2,037 First American Corp. (Tenn.) 17,900 850 First Bancorp of Ohio 26,700 791 First Brands Corp. 13,300 633 First Citizens BancShares Class A 13,100 716 First Colony Corp. 34,600 878 First Commerce Corp. 28,415 904 First Commercial Corp. 15,729 515 First Data Corp. 13,937 932 First Empire State Corp. 4,200 916 First Federal Bancshares of Eau Claire, Inc. 22,800 348 * First Federal Financial 27,275 385 First Financial Savings Assn. 34,800 792 First Hawaiian, Inc. 26,500 792 First Mississippi Corp. 21,500 570 First National Bank of Gainsville 12,500 397 * First Pacific Networks, Inc. 98,500 123 * First Republic Bancorp, Inc. 26,600 349 First Security Corp. 35,275 1,349 First Tennessee National Corp. 24,600 1,485 First USA Inc. 43,800 1,944 First Virginia Banks, Inc. 25,242 1,054 Firstar Corp. 58,708 2,326 Firstier Financial Inc. 15,884 693 * Firstmiss Gold, Inc. 64,135 1,411 * FIserv, Inc. 30,050 900 * Flagstar Cos. 105,900 318 Flexsteel Industry 31,000 326 FlightSafety International, Inc. 23,000 1,156 Florida East Coast Railway Co. 8,400 573 Florida Progress Corp. 73,200 2,589 Florida Rock Industries, Inc. 17,700 518 * Florsheim Shoe Co. 24,415 93 Flowers Industries, Inc. 35,400 429 Fluke Corp. 14,045 530 Food Lion Inc. Class A 315,450 1,814 Food Lion Inc. Class B 46,105 261 * Foodarama Supermarkets, Inc. 22,400 225 * Fore Systems, Inc. 23,300 1,388 Foremost Corp. of America 15,900 811 * Forest City Enterprise Class A 15,100 489 * Forest Laboratories, Inc. 32,408 1,466 * Fort Howard Corp. 43,600 978 * Foundation Health Co. 41,100 1,767 Fourth Financial Corp. 19,325 787 * FoxMeyer Health Corp. 36,002 963 * Framingham Savings Bank 67,938 284 Franchise Finance Corp. of America 28,100 636 * Franklin Electronic Publishers, Inc. 14,800 437 * Franklin Quest Co. 31,200 608 Franklin Resources Corp. 61,000 3,073 Fredericks of Hollywood, Inc. Class A 23,100 98 Fredericks of Hollywood, Inc. Class B 24,132 94 Freeport-McMoRan, Inc. 20,691 766 Fremont General Corp. 23,485 863 * Fretter Inc. 16,628 4 Frisch's Restaurants, Inc. 32,668 294 * Fritz Cos., Inc. 22,800 949 Frontier Corp. 120,744 3,622 H.B. Fuller Co. 19,050 669 Fulton Financial Corp. 28,080 572 Fund American Enterprise Holding Co. 9,585 714 G & K Services, Inc. 32,325 820 G & L Realty Corp. 34,000 353 GATX Corp. 13,800 671 GEICO Corp. 50,750 3,546 * GST Telecommunications Inc. 13,000 91 Gainsco, Inc. 50,461 574 Arthur J. Gallagher & Co. 21,400 797 * Gander Mountain, Inc. 29,100 202 * Garden Fresh Restaurant Corp. 40,500 268 * Gartner Group, Inc. 31,100 1,489 * Gateway 2000 Inc. 55,600 1,359 * Gaylord Container Corp. 74,800 603 Gaylord Entertainment Class A 65,460 1,817 GenCorp, Inc. 49,500 606
7 47
Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * Genentech, Inc. 88,573 $ 4,694 General Binding Corp. 29,600 588 * General Datacomm Industries, Inc. 33,800 579 General Growth Properties 30,800 639 * General Instrument 98,900 2,312 General Motors Corp. Class E 336,300 17,488 General Motors Corp. Class H 72,600 3,566 * General Nutrition Cos., Inc. 62,600 1,455 * Genetics Institute Inc. Depository Shares 18,800 1,011 * Geneva Steel Class A 59,500 409 * Genlyte Group, Inc. 47,800 323 Genovese Drug Stores, Inc. Class A 38,777 436 * Genrad, Inc. 76,900 740 * Gensia Inc. 81,800 419 * Gentex Corp. 31,000 686 * Genzyme Corp. 21,338 1,328 * Genzyme Corp. Tissue Repair 28,818 459 Geon Co. 16,800 410 Georgia Gulf Corp. 27,048 832 Gerber Scientific, Inc. 35,900 583 * Geriatric & Medical Cos., Inc. 12,100 28 * Gerrity Oil & Gas Corp. 78,100 312 Getty Petroleum Corp. 32,232 435 * Gibson Greetings, Inc. 30,000 482 * Gilead Sciences, Inc. 48,400 1,561 P.H. Glatfelter Co. 32,000 548 * Glenayre Technologies, Inc. 28,275 1,760 * Glendale Federal 65,848 1,152 * Global DirectMail Corp. 24,000 660 * Global Industrial Technologies, Inc. 36,400 687 * Global Marine, Inc. 115,500 1,011 * Globalink, Inc. 41,100 267 * Gold Reserve Corp. 63,400 349 Golden Enterprises Inc. 47,800 397 * E. Gottschalk & Co., Inc. 48,700 256 Goulds Pumps, Inc. 27,791 693 Graco, Inc. 25,350 773 * Graham-Field Health Products Inc. 96,100 324 * Grand Casinos, Inc. 54,000 1,256 Graphic Industries, Inc. 47,700 572 * Greater New York Savings Bank 46,300 550 Green Mountain Power Corp. 15,251 423 Green Point Financial Corp. 37,100 988 Green Tree Financial Corp. 103,100 2,719 Greif Brothers Corp. Class A 15,800 425 Greiner Engineering, Inc. 30,733 415 * Grist Mill Co. 33,350 250 * Grossmans, Inc. 135,000 160 * Gtech Holdings Corp. 30,500 793 Guaranty National Corp. 30,700 472 Guidant Corp. 52,900 2,235 Guilford Mills, Inc. 25,650 523 * Gundle/SLT Environmental, Inc. 59,800 333 * Gymboree Inc. 30,000 617 HBO and Co. 27,200 2,081 * HFS Inc. 38,200 3,123 * HMN Financial, Inc. 21,300 339 * Hadco Corp. 48,900 1,384 * Haemonetics Corp. 36,100 641 Hancock Fabrics, Inc. 45,600 410 Handy & Harman 27,800 459 M.A. Hanna Co. 22,050 617 Hannaford Brothers Co. 29,900 736 * Hanover Direct, Inc. 70,200 110 Harley-Davidson, Inc. 52,788 1,518 Harman International Industries, Inc. 16,695 670 Harper Group, Inc. 32,300 577 * Harrodsburg First Financial Bancorp 4,400 67 Harsco Corp. 18,316 1,065 Harte-Hanks Communications Co. 22,200 438 Hartford Steam Boiler Inspection & Insurance Co. 13,443 672 * Hauser Chemical Research 63,500 290 Hawaiian Electric Industries Inc. 19,435 753 Health and Retirement Properties Trust 42,000 683 Health Care Properties Investors 20,500 720 Health Care REIT, Inc. 22,900 412 * Health Management Associates Class A 51,143 1,336 * Health Systems 35,500 1,140 * HealthCare Compare Corp. 30,198 1,319 * Healthcare & Retirement Corp. 21,100 739 * Healthcare Services Group, Inc. 33,826 309 * Healthsource, Inc. 44,200 1,591 * HEALTHSOUTH Corp. 70,852 2,064 * Healthwise of America Inc. 17,956 698 Hechinger Co. Class A 95,900 426 * Hecla Mining Co. 71,400 491 * Hector Communications Corp. 35,350 265 Heico Corp. 8,690 165 Heilig-Meyers Co. 35,125 645 * Hein-Werner Corp. 10,072 46 * Helen of Troy Corp. 22,500 465 Helene Curtis, Inc. 17,300 547 * Hemasure, Inc. 24,300 308 Herbalife International, Inc. 48,400 424 Hewlett-Packard Co. 4,432 371 Hibernia Corp. Class A 81,528 876 * High Plains Corp. 69,497 308 Hillenbrand Industries, Inc. 50,350 1,706 * Hinsdale Financial Corp. 16,125 355 * Hitox Corp. of America 40,700 140 Holly Corp. 19,300 437
8 48
Market Value Shares (000)+ - -------------------------------------------------------------------------------- * Hollywood Casino Corp. 68,200 $ 286 * Hollywood Entertainment Corp. 55,100 468 Home Federal Financial Corp. 27,093 476 * Home Shopping Network, Inc. 58,000 522 * Homeowners Group, Inc. 35,000 25 * Hometown Buffet, Inc. 35,550 393 Hon Industries, Inc. 19,300 454 Horace Mann Educators Corp. 17,100 534 * Horizon/CMS Healthcare Corp. 38,371 969 Hormel Foods Corp. 54,000 1,330 * Horsehead Resource Development Co., Inc. 76,600 335 * Host Marriott 112,550 1,491 Houghton Mifflin Co. 14,100 606 * House of Fabrics, Inc. 49,400 19 Hubbell Inc. Class A 2,000 124 Hubbell Inc. Class B 21,753 1,430 Hughes Supply, Inc. 21,400 605 * Human Genome Sciences, Inc. 26,000 991 J.B. Hunt Transport Services, Inc. 47,350 799 Huntington Bancshares Inc. 99,837 2,384 * Hyperion Software Corp. 25,000 534 IBP, Inc. 34,800 1,757 ICN Pharmaceuticals 37,332 719 * ICOS Corp. 70,300 510 IDEX Corp. 12,000 492 * IDEXX Laboratories 24,900 1,164 IES Industries, Inc. 22,340 592 * IGI, Inc. 30,300 250 * IHOP Corp. 18,000 464 IMC Global Inc. 45,294 1,851 IMCO Recycling, Inc. 27,500 674 * ITI Technologies, Inc. 16,900 496 * ITT Educational Services, Inc. 21,800 537 Idaho Power Co. 25,100 753 Ideon Group 58,200 589 * Identix, Inc. 52,900 562 Illinois Central Corp. 31,600 1,213 Illinova Corp. 54,376 1,631 * Image Entertainment, Inc. 54,500 412 * Immulogic Pharmaceutical Corp. 41,300 787 * Immune Response 85,783 485 * Immunex Corp. 49,000 812 * Immunomedics Inc. 98,900 581 * Imo Industries, Inc. 55,100 379 * Imperial Bancorp 37,830 917 * Imperial Credit 45,000 962 * Inacom Corp. 29,396 412 * Incyte Pharmaceuticals, Inc. 20,600 515 Indiana Energy, Inc. 39,000 931 * Infinity Broadcasting Corp. 38,800 1,445 * Information Resources, Inc. 45,200 551 * Informix Corp. 102,600 3,084 Innkeepers USA Trust 27,700 253 * Input/Output, Inc. 15,500 895 Integon Corp. 29,050 599 Integra Financial Corp. 23,131 1,457 * Integrated Communication Network, Inc. 19,900 41 * Integrated Device Technology Inc. 51,000 660 Integrated Health Services, Inc. 27,000 675 * Integrated Silicon Solution, Inc. 26,800 446 Intelligent Electronics Inc. 62,486 379 * Interactive Group, Inc. 42,900 308 * Interco Co. 70,500 635 Interface, Inc. 35,100 603 Interface Systems Inc. 22,700 285 * Interlink Electronics Inc. 36,800 244 * Intermet Corp. 43,100 442 * International Cabletel, Inc. 19,200 466 * International Dairy Queen, Inc. Class A 33,612 773 * International Family Entertainment, Inc. Class B 38,400 629 International Game Technology 99,598 1,083 * International Imaging Materials Inc. 20,600 518 * International Lottery & Totalizator Systems Inc. 51,600 74 International Multifoods Corp. 25,669 517 * International Rectifier Corp. 37,600 940 * International Specialty Products, Inc. 67,200 731 * Interneuron Pharmaceutical, Inc. 19,000 482 * Interpore International 38,200 186 Interstate Bakeries 24,000 537 * Intervoice, Inc. 43,200 815 * Intuit, Inc. 32,100 2,508 Invacare Corp. 33,600 844 * Investment Technology Group, Inc. 43,200 410 * Iomega Corp. 18,400 896 Ipalco Enterprises, Inc. 26,100 995 Irvine Apartment Communities, Inc. 27,400 527 * ISIS Pharmaceuticals, Inc. 42,600 562 * Isomedix, Inc. 24,900 358 IVAX Corp. 87,100 2,482 JDN Realty Corp. 19,500 436 * J & J Snack Foods Corp. 29,000 323 J & L Specialty Steel Inc. 27,400 514 JSB Financial 19,299 613 Jackpot Enterprises, Inc. 37,727 439 * Jacobs Engineering Group Inc. 30,500 763 * Jan Bell Marketing Inc. 112,200 281 * Jefferson Savings Bancorp, Inc. 14,900 419 * Jefferson Smurfit Corp. 72,800 687 John Alden Financial Group 32,300 674 John Nuveen Co. Class A 23,743 588 * Jones Apparel Group, Inc. 21,800 858
9 49
Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * Jones Intercable Inc. 43,500 $ 538 * Jupiter National, Inc. 10,700 321 Justin Industries, Inc. 28,000 306 * KFX, Inc. 62,150 280 * KLA Instruments Corp. 35,400 925 KN Energy, Inc. 20,850 607 K U Energy Corp. 32,600 978 * K-V Pharmaceutical Co. Class A 39,500 528 * Kaiser Aluminum & Chemical Corp. 62,400 811 Kaman Corp. Class A 40,800 451 Kansas City Power & Light Co. 44,000 1,150 Kansas City Southern Industries, Inc. 31,538 1,443 Kaydon Corp. 23,300 708 Kellwood Co. 31,000 632 * Kelly Oil Corp. 148,000 190 Kelly Services, Inc. Class A 29,937 842 * KEMET Corp. 25,200 605 Kemper Corp. 24,522 1,217 * KENETECH Corp. 44,000 69 Kennametal, Inc. 18,852 599 * Kent Electronics Corp. 20,250 1,182 * Kentucky First Bancorp, Inc. 8,600 106 * Kentucky Medical Insurance Co. 35,211 431 * Kenwin Shops, Inc. 900 2 * Key Tronic Corp. 44,700 369 * Keystone Consolidated Industries, Inc. 29,550 340 Keystone Financial, Inc. 14,800 442 Keystone International, Inc. 22,025 441 Kimball International, Inc. Class B 27,100 684 Kimco Realty Corp. 22,850 623 * Kinder Care Learning Centers Inc. 36,500 461 Kinetic Concepts, Inc. 95,700 1,154 * Kinross Gold Corp. 61,600 470 * Kirby Corp. 35,700 580 Knape & Vogt Manufacturing Co. 21,562 383 * Koger Equity Inc. 39,800 423 * Kohls Corp. 26,300 1,381 * Komag, Inc. 20,500 940 * Koo Koo Roo, Inc. 53,800 351 * Kronos, Inc. 12,900 626 * Kulicke & Soffa Industries, Inc. 44,500 1,029 * L.A. Gear Inc. 136,216 238 L & N Housing Corp. 32,600 249 * LCI International, Inc. 47,400 972 LG&E Energy Corp. 25,350 1,071 * LTV Corp. 74,523 1,025 * LTX Corp. 105,200 960 La Quinta Inns Inc. 36,300 994 La-Z-Boy Chair Co. 22,700 701 Lab One Inc. 29,600 426 * Laboratory Corp. of America 81,988 769 Lafarge Corp. 43,400 814 * LAM Research Corp. 19,450 887 Lancaster Colony Corp. 19,310 722 Lance, Inc. 40,741 665 * Landmark Graphics Corp. 26,900 636 * Landry's Seafood Restaurants, Inc. 32,900 565 * Lands' End, Inc. 44,600 608 * Larizza Industries, Inc. 64,200 413 * Lattice Semiconductor Corp. 30,300 990 Lawson Products, Inc. 22,350 552 Lawter International Inc. 59,854 696 Lawyers Title Insurance Corp. 29,750 569 * Lear Seating Corp. 39,600 1,148 Learonal Inc. 24,100 554 * The Leather Factory, Inc. 16,000 39 * Lechters Corp. 50,600 326 Lee Enterprises, Inc. 34,800 800 Legg Mason Inc. 22,000 605 Leggett & Platt, Inc. 62,000 1,504 Lehman Brothers Holdings, Inc. 81,900 1,740 Lennar Corp. 29,250 735 Leucadia National Corp. 39,276 982 * Lexington Global Asset Managers, Inc. 27,600 138 Liberty Corp. 24,400 824 Liberty Financial Cos., Inc. 17,600 532 * Liberty Media Group Class A 81,000 2,172 Life Bancorp Inc. 24,100 358 Life Partners Group, Inc. 41,300 563 Life Re Corp. 25,100 628 Lilly Industries Inc. Class A 38,588 492 * Lin Television 35,234 1,057 * Lincare Holdings Inc. 22,000 547 Lincoln Electric Co. Class A 15,900 388 Lincoln Telecommunications Co. 39,800 846 Linear Technology Corp. 53,204 2,095 * Liposome Co., Inc. 54,600 1,099 * Littelfuse, Inc. 19,700 719 * Little Switzerland, Inc. 23,400 89 * Litton Industries, Inc. 32,700 1,455 * Lo-Jack Corp. 40,800 454 Loctite Corp. 26,200 1,245 * Lone Star Steakhouse & Saloon 25,363 972 * Lone Star Technologies, Inc. 56,200 625 Long Island Bancorp, Inc. 15,300 404 Long Island Lighting Co. 90,665 1,485 Longview Fiber Co. 33,070 537 Lubrizol Corp. 48,500 1,352 Lukens, Inc. 20,400 587 * Lynx Therapeutic 14,256 11 Lyondell Petrochemical Co. 57,054 1,305 * MAI Systems Corp. 5,375 36 MBIA, Inc. 32,000 2,400
10 50
Market Value Shares (000)+ - -------------------------------------------------------------------------------- MCN Corp. 44,900 $ 1,044 MDU Resources Group, Inc. 34,350 683 * MEMC Electronic Materials, Inc. 29,900 975 * MFS Communications Co., Inc. 47,700 2,552 * MGI Pharma, Inc. 63,900 288 MGIC Investment Corp. 44,198 2,398 * MGM Grand Inc. 33,800 777 MLF Bancorp, Inc. 21,900 490 * MRV Communications Inc. 23,400 589 * M.S. Carriers Inc. 24,200 478 The Macerich Co. 28,200 564 * MacFrugal's Bargains Close-Outs, Inc. 38,700 542 The MacNeal-Schwendler Corp. 35,100 562 * Macromedia 33,000 1,718 * Mafco Consolidated 31,700 571 * Magellan Health Services Corp. 36,300 871 * Magma Copper Co. Class B 37,300 1,040 Magna Group 30,600 731 * Magnatek 51,100 415 Maine Public Service Co. 13,100 280 Manpower Inc. 54,100 1,522 * Manville Corp. 85,500 1,122 Mapco Inc. 20,700 1,131 Mark IV Industries, Inc. 43,879 867 * Mark VII Inc. 19,700 312 Mark Twain Bancshares, Inc. 20,650 805 * MarketLink, Inc. 53,600 211 * Marquest Medical Products Inc. 10,000 6 * Marquette Electronics Class A 29,000 598 Marshall & Ilsley Corp. 67,127 1,741 * Marshall Industries 22,572 725 Martin Marietta Materials, Inc. 34,700 716 * Marvel Entertainment Group 68,834 895 Maryland Federal Bancorp 18,276 556 MascoTech Inc. 38,000 413 Masland Corp. 27,700 390 * Mastec Inc. 48,600 647 * Maxim Integrated Products, Inc. 42,180 1,624 * Maxtor Corp. 95,800 638 * Maxxam Inc. 14,400 508 Maybelline, Inc. 25,051 908 * McAfee Associates, Inc. 11,200 480 McClatchy Newspapers, Inc. 34,500 789 McCormick & Co., Inc. 56,783 1,377 * J. Ray McDermott, SA 16,800 300 McKesson Corp. 31,800 1,610 * McMoRan Oil and Gas 99,199 332 * McWorter Technologies Inc. 25,200 372 Measurex Corp. 24,700 698 * Medaphis Corp. 31,700 1,177 Medford Savings Bank 29,000 618 Media General, Inc. Class A 24,900 756 * Medic Computer Systems, Inc. 8,800 531 * Medical Dynamics, Inc. 63,700 68 * Medical Technology Systems, Inc. 16,100 15 * MedImmune Inc. 34,100 678 Meditrust 35,700 1,245 * Mednet MPC Corp. 108,800 248 * Men's Wearhouse, Inc. 33,750 878 Mentor Corp. 51,400 1,189 * Mentor Graphics Corp. 48,100 872 Mercantile Bancorp, Inc. 40,750 1,875 Mercantile Bankshares Corp. 32,450 898 Mercury Finance Co. 132,830 1,760 Mercury General Corp. 19,200 912 Meridian Bancorp, Inc. 41,497 1,932 * Merisel, Inc. 75,610 326 * Merix Corp. 12,300 365 Merrill Corp. 23,100 375 Merry Land & Investment Co., Inc. 23,000 543 * Mesa Airlines, Inc. 52,800 472 Mesaba Holdings, Inc. 43,700 344 Met-Pro Corp. 32,883 481 * Metrocall, Inc. 21,700 412 * Metromedia International Group, Inc. 46,500 651 * Fred Meyer, Inc. 34,200 770 Michael Foods, Inc. 41,400 486 * Michaels Stores, Inc. 35,900 500 * Micro Warehouse Inc. 22,700 987 * Microchip Technology, Inc. 25,650 939 * Microcom Corp. 60,800 1,585 * Microdyne Corp. 25,900 442 * Micron Electronics, Inc. 62,300 674 * Micronics Computers, Inc. 78,600 280 * Micropolis Corp. 79,200 307 * Microtouch Systems, Inc. 35,700 435 Mid-America Apartment Communities, Inc. 19,300 478 * Mid-American Waste Systems, Inc. 86,800 304 * Mid Atlantic Medical Services 30,100 730 Mid-Iowa Financial Corp. 5,280 77 Midamerican Energy Co. 76,653 1,284 * Midisoft Corp. 32,500 83 Midwest Grain Products 27,550 396 Herman Miller, Inc. 22,271 674 * Milwaukee Land Co. 2,300 17 Minerals Technologies, Inc. 14,300 522 Minnesota Power & Light Co. 23,800 675 * Mirage Resorts, Inc. 68,650 2,368 * Mitcham Industries, Inc. 26,300 130 Mitchell Energy & Development Corp. Class A 32,000 592 * Mobile Telecommunications Technologies Corp. 36,100 772
11 51
Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * Mobilemedia Corp. 33,500 $ 741 * Model Imperial, Inc. 57,500 75 Modern Controls, Inc. 12,775 138 Modine Manufacturing Co. 22,800 553 * Mohawk Industries, Inc. 41,300 632 * Molecular Biosystems, Inc. 48,334 332 Molex, Inc. 72,867 2,332 Molex, Inc. Class A 875 27 * Molten Metal Technology 29,200 953 The Money Store 108,562 1,696 Montana Power Co. 36,600 828 * Morrison-Knudsen Co., Inc. 25,000 106 Morrison Restaurants 36,325 509 Mosinee Paper Corp. 16,500 431 * Mueller Industries Inc. 29,000 848 Murphy Oil Corp. 34,230 1,421 Myers Industries, Inc. 31,265 512 Mylan Laboratories, Inc. 88,150 2,072 * Myriad Genetics, Inc. 13,900 454 NAC Re Corp. 21,925 789 NCH Corp. 11,200 647 NGC Corp. 45,800 406 NIPSCO Industries, Inc. 48,070 1,839 * N L Industries, Inc. 32,400 401 * NPC International Class A 58,600 418 N.S. Bancorp Inc. 16,700 649 NYMAGIC, Inc. 24,500 417 Nabisco Holdings Corp. Class A 30,900 1,008 * Nabors Industries, Inc. 78,700 876 Nashua Corp. 23,300 317 * National Auto Credit Co. 47,276 768 * National Beverage Corp. 26,920 143 National Community Bancorp 28,500 748 National Computer Systems, Inc. 31,500 585 National Data Corp. 32,050 793 National Fuel & Gas Co. 24,500 824 * National Gaming Corp. 33,590 395 National Health Investors REIT 21,300 706 National Presto Industries, Inc. 11,963 476 National Re Holdings Corp. 22,900 870 * National Record Mart, Inc. 49,100 43 * National Steel Corp. Class B 54,100 697 Nationwide Health Properties, Inc. 12,500 525 * Nautica Enterprises Inc. 29,643 1,286 Neiman Marcus Group Inc. 45,504 1,069 * Nellcor Puritan Bennett, Inc. 29,384 1,715 * Netmanage, Inc. 27,700 641 * Netscape Communications Corp. 29,300 4,076 * Network Equipment Technologies 25,147 688 * Network General Corp. 23,144 767 * Network Peripherals, Inc. 33,000 390 Nevada Power Co. 35,252 784 New England Business Service, Inc. 25,500 555 New England Electric System 48,200 1,910 New Jersey Resources Corp. 23,200 699 * New Mexico & Arizona Land Co. 35,310 424 New Plan Realty Trust 39,355 861 * New World Communications Group, Inc. 33,100 583 New York State Electric & Gas Corp. 50,900 1,317 Newcor, Inc. 39,600 327 Newhall Land & Farming Co. 45,900 780 Newmont Gold Co. 73,391 3,211 * Nexgen Inc. 27,900 354 * Nexstar Pharmaceuticals Inc. 56,760 944 * Nextel Communications 34,900 517 * Nine West Group, Inc. 24,400 915 * Nitches Inc. 30,128 124 Noble Affiliates, Inc. 34,900 1,043 * Noble Drilling Corp. 72,000 644 Nordson Corp. 12,240 696 * Nortek, Inc. 41,252 485 North American Mortgage 25,500 542 North Fork Bancorporation, Inc. 73,243 1,849 North Side Savings Bank 26,396 800 * North Star Universal Inc. 63,800 486 Northeast Utilities 93,400 2,277 Northern Trust Corp. 41,550 2,314 * Northwest Airlines Corp. Class A 68,400 3,484 Northwest Natural Gas Co. 19,000 622 Northwest Savings Bank 18,800 451 Northwestern Public Service Co. 16,100 451 * Norwalk Savings Society 9,300 176 * NovaCare, Inc. 92,500 474 * Novavax, Inc. 30,300 114 * Novellus Systems, Inc. 11,700 633 * Nutrition for Life International, Inc. 30,200 638 * nVIEW Corp. 25,049 94 OEA, Inc. 24,900 744 * OHM Corp. 54,800 404 * Oak Technology, Inc. 12,700 541 * Oakley, Inc. 25,600 870 Oakwood Homes Corp. 14,000 537 Oasis Residential, Inc. 25,100 571 * Oceaneering International, Inc. 47,000 605 * Octel Communications Corp. 28,100 908 * Office Depot, Inc. 110,625 2,185 * Officemax Inc. 62,500 1,398 * Offshore Logistics, Inc. 38,700 489 Ohio Art Co. 7,400 392 Ohio Casualty Corp. 24,256 934 Oklahoma Gas & Electric Co. 28,700 1,234 * Old America Stores, Inc. 38,000 318 Old Kent Financial Corp. 32,345 1,326 Old National Bancorp 13,978 482 Old Republic International Corp. 36,474 1,295
12 52
Market Value Shares (000)+ - -------------------------------------------------------------------------------- Olin Corp. 18,600 $ 1,381 Olsten Corp. 30,187 1,192 Omega Healthcare Investors, Inc. 23,041 613 Omnicare, Inc. 19,800 886 Omnicom Group Inc. 54,800 2,041 * On Assignment, Inc. 14,700 487 Onbancorp Inc. 18,700 625 One Valley Bancorp of West Virginia Inc. 21,300 666 Oneida Ltd. 27,289 481 * Oneita Industries 43,733 284 * Opthalmic Imaging Systems, Inc. 1,000 3 Optical Coating Laboratory, Inc. 50,066 563 Orange & Rockland Utilities, Inc. 18,500 661 * Orbital Sciences Corp. 40,100 501 * Oregon Metallurgical Corp. 45,000 503 Oregon Steel Mills, Inc. 34,300 480 * O'Reilly Automotive, Inc. 17,400 507 * Oriole Homes Corp. Class B 7,500 46 Orion Capital Corp. 17,400 755 * OrNda Healthcorp 43,800 1,016 Oshkosh B Gosh, Inc. Class A 27,200 466 O'Sullivan Corp. 39,675 412 * Outback Steakhouse 31,854 1,145 * Outlook Group Corp. 8,000 51 Overseas Shipholding Group Inc. 27,700 526 * Owens-Illinois, Inc. 91,272 1,323 * Oxford Health Plan 25,500 1,881 * Oxigene, Inc. 22,200 232 PCA International, Inc. 38,493 428 * PDG Environment Industries 7,140 3 * PDT, Inc. 9,000 447 PHH Corp. 11,400 533 PMC Capital, Inc. 28,200 356 The PMI Group Inc. 26,500 1,199 * PMT Services Inc 15,900 482 PS Group, Inc. 27,900 300 * Pacific Crest Capital Inc. 43,645 322 Pacific Gulf Properties, Inc. 23,100 375 Pacific Scientific Co. 33,800 837 * Pacificare Health Systems Inc. Class A 14,800 1,280 * Pacificare Health Systems Inc. Class B 7,800 680 * Paging Network Inc. 78,300 1,884 PaineWebber Group, Inc. 75,175 1,503 * Pairgain Technologies, Inc. 8,900 485 * Parametric Technology Corp. 47,604 3,160 * Park-Ohio Industries, Inc. 27,900 453 Parker & Parsley Petroleum Co. 21,100 464 * Parker Drilling Co. 96,300 590 * Patlex Corp. 5,477 84 * Patten Corp. 74,800 355 Paul Revere Corp. 27,600 573 * Paul-Son Gaming Corp. 23,300 182 Paychex, Inc. 32,375 1,609 * Peak Technologies Group, Inc. 15,200 471 * Pec Israel Economic Corp. 27,100 654 * Pegasus Gold 47,800 663 Penn Engineering & Manufacturing Co. 8,300 805 * Pennfed Financial Services, Inc. 22,300 330 Pennsylvania Enterprises Inc. 12,850 487 Pentair, Inc. 13,954 698 Penwest Ltd. 15,709 385 Peoples Bank of Bridgeport 28,100 537 * People's Choice TV Corp. 20,600 389 Peoples Heritage Financial Group Inc. 33,800 765 * Peoplesoft Inc. 39,200 1,671 * Perini Corp. 33,800 279 * Perrigo Co. 55,300 660 * Personnel Group of America, Inc. 26,200 383 * Pet Food Warehouse, Inc. 27,800 89 * Petrie Stores Corp. 128,331 353 Petroleum Heat & Power Co. 52,400 419 Petrolite Corp. 19,600 546 * Petsmart, Inc. 34,000 1,054 * Pharmaceutical Resources, Inc. 46,088 346 Phillips-Van Heusen Corp. 45,993 454 * Photronics Labs Inc. 34,500 927 * Phycor, Inc. 24,750 1,253 * Physician Corp. of America 39,900 678 * Physician Reliance Network, Inc. 14,800 594 * PictureTel Corp. 46,400 1,995 Piedmont Natural Gas, Inc. 24,689 574 Pier 1 Imports Inc. 55,235 628 * Piercing Pagoda, Inc. 22,500 402 Pilgrim's Pride Corp. 59,700 410 * Pinnacle Systems, Inc. 13,900 349 Pinnacle West Capital Corp. 62,500 1,797 Pioneer Financial 37,800 699 Pioneer Group Inc. 16,500 443 Pioneer Standard Electronics Inc. 47,025 620 * Pittencrieff Communication, Inc. 53,600 206 Pittway Corp. Class A 16,700 1,131 * Platinum Technology, Inc. 28,900 533 * Playboy Enterprises Inc. Class A 22,850 200 * Playboy Enterprises Inc. Class B 31,150 261 * Players International, Inc. 44,800 482 Plenum Publishing Corp. 16,400 650 * Plexus Corp. 30,750 503 Ply-Gem Industries, Inc. 25,100 408 Pogo Producing Co. 28,400 802 Polaris Industries, Inc. 20,550 604 * Policy Management Systems Corp. 13,664 651
13 53
Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * Pool Energy Service Co. 43,867 $ 425 Pope & Talbot, Inc. 29,100 385 Portland General Electric Co. 35,400 1,031 Post Properties, Inc. 21,700 692 Potomac Electric Power Co. 90,100 2,365 * Power Control Technologies 82,800 673 Precision Castparts Corp. 25,800 1,025 Premier Bancorp, Inc. 34,900 814 Premier Industrial Corp. 58,547 1,434 * Premisys Communications, Inc. 34,100 1,927 * President Casinos 157,282 275 Presidential Life Corp. 54,300 533 * Presstek, Inc. 10,300 975 Price Enterprises, Inc. 36,500 554 T. Rowe Price 20,400 1,000 * Primadonna Resorts, Inc. 39,400 571 * Primark Corp. 32,800 984 Prime Bancorp Inc. 31,012 616 * Prime Retail, Inc. 24,000 289 Production Operators Corp. 17,600 585 Progressive Corp. of Ohio 55,106 2,693 * Promus Hotel Corp. 49,300 1,097 * Pronet, Inc. 25,500 754 Protective Life Corp. 29,800 931 * Protein Design Labs 27,600 635 Provident Bancorp Inc. 15,300 721 * Provident Cos., Inc. 32,300 1,094 Prudential Reinsurance Holdings, Inc. 37,700 881 * PsiNet, Inc. 20,800 477 * Psychemedics, Inc. 71,300 392 Public Service Co. of Colorado 46,800 1,655 * Public Service Co. of New Mexico 47,820 843 Public Storage, Inc. 29,400 559 Puerto Rican Cement Co., Inc. 13,700 454 Puget Sound Power & Light Co. 43,215 1,005 Pulitzer Publishing Co. 17,725 846 * Purus, Inc. 5,100 11 * Pyxis Corp. 31,400 461 * QMS, Inc. 75,200 338 * Qlogic 3,700 28 Quaker State Corp. 48,500 612 * Qualcomm, Inc. 45,400 1,949 Quality Food Centers Inc. 23,754 525 Quanex Corp. 24,900 482 * Quantum Corp. 40,100 649 * Quarterdeck Corp. 75,400 2,073 Queens County Bancorp, Inc. 12,100 479 Questar Corp. 28,215 945 The Quick & Reilly Group, Inc. 17,250 354 * Quickresponse Services, Inc. 17,900 327 * Quintiles Transnational Corp. 9,600 392 * Quorum Health Group, Inc. 31,300 685 RCSB Financial Corp. 28,100 664 RFS Hotel Investors 36,700 571 RJR Nabisco Holdings Corp. 209,524 6,469 R.L.I. Corp. 17,400 435 ROC Communities Inc. 21,000 504 * RPC Inc. 50,200 458 RPM Inc. (Ohio) 50,281 823 * Rainbow Technologies, Inc. 24,400 531 * Ralcorp Holdings Inc. 21,600 524 Raymond James Financial, Inc. 33,050 698 Rayonier Inc. 22,800 761 * Read-Right Corp. 44,114 1,023 Reader's Digest Assn., Inc. Class A 80,100 4,105 Reader's Digest Assn., Inc. Class B 400 19 * Reading & Bates Corp. 86,520 1,298 * Red Lion Hotels, Inc. 38,800 679 * Reddi Brake Supply Corp. 111,300 261 * Redman Industries, Inc. 24,200 814 Regal-Beloit Corp. 34,700 755 * Regional Acceptance Corp. 39,250 373 Regions Financial Corp. 32,327 1,392 Reliance Group Holdings 74,214 640 Reliastar Financial Corp. 35,322 1,567 * Renaissance Communications 26,250 581 * Rentrak Corp. 59,100 286 * Republic Bank (Clearwater, Florida) 12,300 172 * Republic Industries, Inc. 40,900 1,470 * Research Frontiers, Inc. 26,300 265 * Research Medical, Inc. 37,150 998 * Response Oncology, Inc. 26,400 337 * Retix 106,600 220 * Revco Drug Stores, Inc. 47,400 1,339 * Rexall Sundown, Inc. 40,200 887 * Rexel Inc. 57,244 773 Reynolds & Reynolds Class A 29,500 1,147 Rhone-Poulenc Rorer, Inc. 105,154 5,599 Richfood Holdings, Inc. 23,000 621 * Riggs National Corp. 52,000 673 * Right Management Consultants 16,500 394 * Riverwood International Corp. 46,900 897 * Robert Half International, Inc. 20,100 842 * Roberts Pharmaceuticals 28,400 500 Rochester Gas and Electric Corp. 23,948 542 Rock-Tenn Co. 39,000 624 Rockefeller Center Properties Inc. 86,200 657 * Rodman and Renshaw Capital Group, Inc. 2,239 4 * Rogers Corp. 22,800 496 * Rohr, Inc. 33,300 479 * Rollins Environmental Services, Inc. 130,200 374 Rollins, Inc. 22,400 496 Rollins Truck Leasing 60,575 674
14 54
Market Value Shares (000)+ - -------------------------------------------------------------------------------- Roosevelt Financial Group 31,600 $ 608 Ross Stores, Inc. 37,400 722 * The Rottlund Co. 50,300 333 Rouse Co. 30,800 627 * Royal Appliance Manufacturing Co. 105,100 263 Ruddick Corp. 58,800 676 Russ Berrie, Inc. 36,000 454 Rykoff-Sexton, Inc. 27,031 473 Ryland Group, Inc. 32,700 458 * SCI Systems, Inc. 33,300 1,028 SIG Corp. 20,454 711 SJW Corp. 10,000 377 S-K-I, Ltd. 22,800 342 * SOI Industries, Inc. 625 1 * SOS Staffing Services, Inc. 38,100 350 * SPSS, Inc. 20,900 404 * SPS Transaction Services 16,700 495 SPX Corp. 26,591 422 * S3, Inc. 31,000 544 * Safeguard Health Enterprises, Inc. 35,300 410 * Safeguard Scientifics, Inc. 39,700 1,965 * Safety First Inc. 19,200 287 * Safeway, Inc. 80,928 4,168 St. Francis Capital Corp. 16,800 395 St. Ives Laboratories, Inc. 39,500 585 St. Joe Paper Co. 22,099 1,215 St. Paul Bancorp, Inc. 27,150 694 * Salant Corp. 77,200 299 Sanderson Farms, Inc. 35,550 382 * Sanifill, Inc. 24,200 808 Saul Centers, Inc. 27,900 380 Savannah Foods & Industries, Inc. 43,800 498 * Savoy Pictures Entertainment, Inc. 72,900 460 Sbarro, Inc. 27,891 600 SCANA Corp. 77,300 2,213 * R. P. Scherer Corp. 17,526 861 * Scholastic Corp. 13,100 1,020 A. Schulman Inc. 26,962 603 Schult Home Corp. 25,900 453 Charles Schwab Corp. 128,566 2,587 * Schweitzer-Mauduit International, Inc. 200 5 * Scios Nova, Inc. 83,168 351 Scope Industries 2,400 77 E.W. Scripps Co. 63,769 2,511 Seafield Capital Corp. 12,100 417 * Seagate Technology 53,042 2,520 * Seagull Energy Corp. 23,400 521 * Sealed Air Corp. 39,200 1,102 Security Capital Corp. 12,600 763 Security Capital Industrial Trust 52,816 924 Security Capital Pacific Inc. 50,097 989 Selective Insurance Group 19,000 677 * Selfix, Inc. 24,120 131 Sensormatic Electronics Corp. 53,961 937 * Sequa Corp. Class A 18,000 549 * Sequent Computer Systems, Inc. 42,300 608 * Service Merchandise Co., Inc. 104,387 522 Shaw Industries, Inc. 97,300 1,435 Shelby Williams Industries, Inc. 29,900 351 * Shiva Corp. 9,300 679 * Sholodge, Inc. 32,033 312 Shopko Stores, Inc. 48,155 542 * Shorewood Packaging 35,200 506 * Show Biz Pizza Time, Inc. 30,850 372 Showboat, Inc. 24,216 639 * Sierra Health Services 23,969 761 * Sierra On-line, Inc. 22,600 647 Sierra Pacific Resources 33,000 771 * Sierra Semiconductor 80,288 1,119 Signet Banking Corp. 41,352 982 * Silicon Valley Group, Inc. 17,200 435 * Silver King Communications 28,900 997 Simon Property Group 40,400 985 * Simula, Inc. 24,300 456 * Sithe Energies, Inc. 83,700 502 Sizzler International 88,750 377 Skyline Corp. 22,000 456 A.O. Smith Corp. 28,400 589 * Smith International, Inc. 24,200 569 * Smithfield Foods, Inc. 23,400 749 Smiths Food & Drug Centers, Inc. Class B 23,400 591 J.M. Smucker Co. Class A 37,500 825 J.M. Smucker Co. Class B 1,200 23 * Sofamor/Danek Group Inc. 28,600 811 * Softdesk, Inc. 25,900 518 * Softkey International, Inc. 14,000 322 * Software Publishing Corp. 79,950 267 * Software Spectrum, Inc. 16,100 342 * Sola International, Inc. 19,100 482 * Solectron Corp. 29,000 1,280 * Solv-Ex Corp. 76,000 1,225 Sonat Offshore Drilling Co. 18,800 841 Sonoco Products 67,985 1,785 Sotheby's Holdings Class A 40,300 574 South Jersey Industries, Inc. 22,084 511 * Southdown, Inc. 28,300 552 Southern National Corp. 81,352 2,135 Southern New England Telecommunications Corp. 46,900 1,864 * Southern Pacific Rail Corp. 119,700 2,873 * Southern Union Co. 25,151 635 * Southland Corp. 256,100 824 SouthTrust Corp. 59,051 1,520 Southwest Gas Corp. 35,000 617
15 55
Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- Southwestern Energy Co. 41,400 $ 528 Southwestern Public Service Co. 31,400 1,028 Sovereign Bancorp, Inc. 60,099 605 * Spaghetti Warehouse, Inc. 26,300 132 Spartan Motors, Inc. 33,400 363 * Spec's Music Inc. 43,366 70 * Spectrian Corp. 20,500 451 * Spelling Entertainment 61,900 774 Spiegel, Inc. Class A 69,100 484 Spieker Properties, Inc. 29,400 739 * Stac, Inc. 47,700 686 Standard Federal Bank 22,000 866 * Standard Financial, Inc. 34,000 501 Standard Products Co. 28,750 507 The Standard Register Co. 35,000 704 Standex International Corp. 20,500 671 Stanhome, Inc. 23,500 684 * Staples, Inc. 75,641 1,853 Star Banc Corp. 21,600 1,285 * Starbucks Corp. 49,000 1,026 L. S. Starrett Co. Class A 16,700 432 L. S. Starrett Co. Class B 400 10 * Starter Corp. 54,100 379 State Street Boston Corp. 62,000 2,790 * Station Casinos, Inc. 47,300 698 * Steris Corp. 21,800 700 * Sterling Chemicals, Inc. 74,800 608 * Sterling Software, Inc. 23,037 1,437 Stewart & Stevenson Services, Inc. 24,182 614 Stewart Enterprises, Inc. Class A 16,900 621 Stewart Information Services Corp. 22,300 479 Stolt-Nielson SA 21,100 607 Stone & Webster, Inc. 19,200 689 * Stop & Shop Cos. Inc. 35,400 819 * Storage Technology Corp. 39,091 933 * StrataCom, Inc. 27,600 2,022 * Stratus Computer, Inc. 25,400 879 Strawbridge & Clothier Class A 22,064 538 * Strouds, Inc. 62,000 256 * Structural Dynamics Research Corp. 34,800 1,018 Stryker Corp. 36,850 1,932 Student Loan Corp. 27,300 928 Student Loan Marketing Assn. 55,000 3,623 * Submicron Systems Corp. 62,340 588 Summit Bancorp 26,198 822 Summit Properties, Inc. 25,300 503 * Summit Technology, Inc. 28,350 960 Sun Communities, Inc. 19,900 525 * Sun Healthcare Group, Inc. 58,700 792 SunAmerica Inc. 40,050 1,902 Sunbeam Corp. 55,600 848 Sundstrand Corp. 22,400 1,576 * SunGard Data Systems 24,800 697 * Sunglass Hut International, Inc. 47,200 1,115 Sunrise Bancorp, Inc. 10,600 337 * Sunrise Medical, Inc. 30,000 555 Super Food Services, Inc. 31,200 406 * Supercuts, Inc. 41,800 340 Superior Industries International, Inc. 18,719 494 Surgical Care Affiliates, Inc. 27,700 942 * Swift Energy Co. 39,690 476 * Swift Transportation Co., Inc. 33,700 510 * Sybase, Inc. 51,840 1,860 * Sybron Corp. 44,800 1,064 * Sylvan Learning Systems, Inc. 16,700 490 * Symantec Corp. 38,800 900 * Symbol Technologies, Inc. 22,500 889 * Synopsys, Inc. 31,126 1,187 Synovus Financial Corp. 54,500 1,553 System Software Associates, Inc. 26,550 574 * Systemed Inc. 63,400 289 * Systemix, Inc. 23,030 357 * TBC Corp. 54,875 466 TCA Cable Television, Inc. 27,500 765 TCBY Enterprises, Inc. 78,500 314 TCF Financial Corp. 24,600 815 * TCSI Corp. 25,900 473 TECO Energy, Inc. 87,800 2,250 TF Financial Corp. 20,000 304 * TGV Software, Inc. 33,500 310 TIG Holdings, Inc. 44,800 1,277 TJ International, Inc. 27,600 504 TNP Enterprises, Inc. 26,800 502 TNT Freightways 30,300 610 * T.P.I. Enterprises, Inc. 97,900 294 Talbots Inc. 24,600 707 * Talley Industries, Inc. 51,700 446 Tambrands, Inc. 27,077 1,293 * Tanknology Environmental, Inc. 1,900 3 Taubman Co. REIT 60,900 609 * Tech Data Corp. 49,100 739 * Technical Communications Corp. 14,000 107 * Technology Solutions Co. 50,400 976 Tecumseh Products Co. Class A 6,700 349 Tecumseh Products Co. Class B 11,800 602 * Tejas Gas Corp. 14,175 749 Tejon Ranch Co. 28,000 406 * Tekelec 26,300 278 * Tele-Communications International, Inc. Series A 87,300 1,981 Teleflex Inc. 13,400 549 Telephone & Data Systems, Inc. 42,928 1,696 * Telescan, Inc. 11,700 92 Telxon Corp. 36,300 814 * Tencor Instruments 22,300 543
16 56
Market Value Shares (000)+ - -------------------------------------------------------------------------------- * Teradyne, Inc. 80,618 $ 2,015 Terra Industries, Inc. 81,392 1,150 * Tesoro Petroleum Corp. 54,000 466 Texas Industries, Inc. 16,757 888 * Thermedics, Inc. 42,000 1,165 * Thermo Cardiosystems Inc. 18,000 1,390 * Thermo Electron Corp. 63,725 3,314 * Thermo Fibertek, Inc. 29,600 670 * Thermo Instrument Systems, Inc. 54,950 1,854 * Thermolase Corp. 25,900 670 * Thermotrex Corp. 13,800 690 Thiokol Corp. 18,000 610 Tidewater, Inc. 37,900 1,194 Tiffany & Co. 18,766 945 * Tiger Direct Inc. 15,400 4 * Todd Shipyards Corp. 73,100 429 * Tokos Medical 52,878 472 * Toll Brothers, Inc. 22,600 520 Tootsie Roll Industries, Inc. 13,878 550 * The Topps Co., Inc. 87,240 458 The Toro Co. 18,900 621 Tosco Corp. 25,066 956 Total Petroleum (North America) Ltd. 57,400 560 Total System Services, Inc. 43,600 1,330 Town & Country Trust 32,200 419 * Trans World Airlines 40,100 416 Transatlantic Holdings 16,300 1,196 Transpo Inc. 32,610 346 Transtechnology Corp. 28,800 389 * TransTexas Gas Corp. 50,000 681 * Transworld Home Healthcare, Inc. 33,600 296 * Tremont Corp. 49,309 820 * Triarc Cos., Inc. 50,900 560 Trimas Corp. 23,200 438 * Trimble Navigation Ltd. 37,400 701 * Trimedyne, Inc. 29,100 70 Trinity Industries, Inc. 29,450 928 * Triton Energy Corp. 26,372 1,513 True North Communications 32,700 605 * Truevision Inc. 53,800 271 Trustco Bank 29,176 644 Trustmark Corp. 19,600 439 Tucker Properties Corp. 37,300 326 * Tucson Electric Power Co. 204,100 663 * Tuesday Morning, Inc. 52,100 290 * Tultex Corp. 84,300 348 Turner Broadcasting Class A 28,200 730 Turner Broadcasting Class B 127,100 3,305 * 20th Century Industries of CA 34,400 684 * Tyco Toys, Inc. 85,398 384 Tyson Foods, Inc. 107,607 2,831 * UAL Corp. 14,800 2,642 * UCAR International, Inc. 31,200 1,053 UGI Corp. Holding Co. 21,090 438 UMB Financial Corp. 20,615 714 * UNC, Inc. 62,700 376 * URS Corp. 41,200 288 * USA Waste Service 46,899 885 * USDATA Corp., Inc. 25,950 386 * USG Corp. 32,400 972 * Ultramar Corp. 31,800 819 * Ultratech Stepper, Inc. 13,200 340 Unifi, Inc. 47,225 1,045 Union Bank of San Francisco 25,625 1,384 * Union Corp. 27,300 505 Union Pacific Resources Group, Inc. 77,400 1,964 Union Planters Corp. 27,246 868 Union Texas Petroleum Holdings, Inc. 61,100 1,184 * Unique Mobility, Inc. 73,200 252 United Asset Management Corp. 20,100 771 United Carolina Bancshare Corp. 20,500 699 United Cos. Finance Corp. 35,626 944 United Dominion Industries Ltd. 35,185 761 United Dominion Realty 36,700 550 * United Guardian, Inc. 31,800 52 United Illuminating Co. 18,900 706 * United Insurance Cos., Inc. 43,200 813 * United International Holdings, Inc. Class A 33,400 488 United Jersey Bank Financial Corp. 42,408 1,516 US Bancorp, Inc. 15,600 519 * U.S. Bioscience 92,041 426 * United States Cellular 62,450 2,108 * U.S. Energy Corp. 43,130 226 * U.S. Long Distance Corp. 39,600 547 * US Physical Therapy, Inc. 8,400 100 U.S. Robotics Corp. 38,744 3,405 United States Trust Corp. 12,900 638 United Stationers, Inc. 23,344 648 United Television, Inc. 16,500 1,475 * United Waste Systems, Inc. 11,600 429 United Water Resources, Inc. 48,944 587 Unitil Corp. 18,700 393 Unitrin Inc. 32,570 1,551 Universal Corp. 21,900 534 Universal Foods Corp. 16,862 677 Universal Health Realty Income 22,800 407 * Universal Health Services Class B 22,500 998 * Universal Stainless & Alloy Products, Inc. 27,400 293 * Uranium Resources, Inc. 3,000 16 * Urohealth Systems Inc. 96,200 241 Utilicorp United, Inc. 31,628 929 * UUnet Technologies, Inc. 19,400 1,227
17 57
Market EXTENDED Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * VLSI Technology, Inc. 30,800 $ 556 * Vaalco Energy, Inc. 2,400 1 * Valassis Communication 28,400 497 Valero Energy Corp. 31,600 774 Valhi, Inc. 87,700 559 Valley National Bancorp 48,661 1,217 Valspar Corp. 14,200 634 Value City Department Stores, Inc. 68,100 460 * Value Health, Inc. 37,652 1,035 * ValuJet Inc. 36,700 904 * Vanguard Cellular Systems, Inc. Class A 26,787 539 * Varco International, Inc. 65,100 781 Varian Associates, Inc. 23,200 1,108 Vastar Resources, Inc. 71,800 2,280 * Vectra Tech Inc. 25,800 55 * Vencor, Inc. 55,127 1,792 * Ventritex Inc. 30,100 529 * VeriFone, Inc. 27,200 779 * Veritas Software Corp. 17,000 638 Versa Technology, Inc. 25,200 394 * Vertex Communications Corp. 28,500 488 * Viasoft, Inc. 31,000 374 * Vicor Corp. 46,400 922 Vicorp Restaurants, Inc. 29,739 299 * Videolan Technologies, Inc. 12,000 403 Vigoro Corp. 15,100 932 * Viking Office Products 28,400 1,322 Virco Manufacturing Corp. 53,546 489 Virginia Beach Federal Financial Corp. 37,550 289 * Vishay Intertechnology, Inc. 42,486 1,338 Vital Signs, Inc. 25,264 673 * Vivra, Inc. 22,500 565 * Vmark Software, Inc. 45,900 433 * Vons Cos., Inc. 31,500 890 Vornado Realty Trust 18,498 694 Vulcan International Corp. 5,900 128 Vulcan Materials Co. 26,500 1,527 * WHX Corp. 44,550 484 * WMS Industries, Inc. 33,600 550 WPL Holdings, Inc. 21,000 643 WPS Resources Corp. 15,000 510 * WSFS Financial Corp. 40,600 373 * Waban, Inc. 39,500 741 Wabash National Corp. 25,200 561 Wackenhut Corp. 28,200 508 Wackenhut Corp. Class B 7,050 109 * Wainoco Oil Corp. 117,400 381 Walden Residential Properties, Inc. 24,400 509 * Wall Data Inc. 21,000 344 Wallace Computer Services, Inc. 15,900 868 Warnaco Group 37,600 940 Washington Energy Co. 39,077 728 Washington Federal Inc. 30,090 775 Washington Gas Light Corp. 28,402 582 Washington Mutual Inc. 49,523 1,424 Washington National Corp. 20,972 579 Washington Post Co. Class B 8,100 2,284 Washington Real Estate Investment Trust 41,400 657 Washington Water Power Co. 36,100 632 * Watson Pharmaceuticals, Inc. 36,102 1,769 Watts Industries Class A 26,200 609 Wausau Paper Mills Co. 18,880 519 * Wave Technologies International 40,800 237 * Wavephore, Inc. 25,000 489 * Weatherford Enterra Inc. 52,960 1,529 Del E. Webb Corp. 29,000 584 Webster Financial Corp. 19,580 570 Weingarten Realty Investors 20,000 760 Weis Markets, Inc. 28,800 814 Wellman, Inc. 24,155 549 * Wellpoint Health Networks, Inc. Class A 72,600 2,332 Werner Enterprises, Inc. 32,500 650 Wesco Financial Corp. 5,158 939 West Co., Inc. 23,800 559 * Western Beef 15,360 84 * Western Digital Corp. 38,600 690 Western Gas Resources, Inc. 34,700 559 Western National Corp. 40,500 653 * Western Publishing Group, Inc. 45,700 363 Western Resources, Inc. 47,286 1,578 * Westmark Group Holdings, Inc. 4,000 8 * Roy F. Weston, Inc. 54,000 287 * Westpoint Stevens, Inc. 40,600 809 * Westwood One, Inc. 55,600 782 * WetSeal, Inc. Class A 54,800 380 Wheelabrator Technologies 135,406 2,268 * White River 13,342 500 * Whittaker Corp. 24,600 535 John Wiley & Sons Class A 26,400 865 * Clayton Williams Energy, Inc. 30,000 90 * Williams Sonoma, Inc. 33,400 620 Wilmington Trust Corp. 23,700 735 * Wind River Systems 16,800 486 Windmere Corp. 54,997 392 * Wisconsin Central Transportation Corp. 12,100 792 Wisconsin Energy Corp. 83,361 2,553 * Wisconsin Pharmacal Co. 37,600 110 Wiser Oil Co. 29,600 355 Witco Chemical Corp. 41,200 1,205 Wolverine World Wide, Inc. 37,100 1,169 * Wonderware Corp. 26,000 440
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Market Value Shares (000)+ - -------------------------------------------------------------------------------- * World Corp. 49,900 $ 499 World Fuel Services Corp. 35,550 564 * WorldCom, Inc. 146,488 5,182 * Worldtex Inc. 83,744 481 Wyle Electronics 22,700 797 * Wyman Gordon Corp. 63,200 869 * Xilinx, Inc. 49,600 1,507 * Xoma Corp. 141,900 501 Xtra Corp. 10,200 433 Yankee Energy Systems 20,477 517 York International Corp. 29,300 1,377 * Zebra Technologies Class A 16,600 568 * Zenith Electronics Corp. 83,443 574 Zenith National Insurance Corp. 29,560 632 * Zilog Inc. 20,900 765 Zions Bancorp. 15,000 1,207 Zurich Reinsurance Centre Holdings, Inc. 15,800 480 Zurn Industries, Inc. 10,000 214 * Zycad Corp. 105,500 877 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (97.1%)(1) (Cost $1,075,908) 1,478,249 - --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.2%) - -------------------------------------------------------------------------------- Face Amount (000) ---------- U.S. TREASURY BILL--Note D 5.33%, 3/21/96 $ 500 495 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 5.89%, 1/2/96 48,522 48,522 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $49,016) 49,017 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.3%) (Cost $1,124,924) 1,527,266 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-.3%) - -------------------------------------------------------------------------------- Other Assets--Notes B and E 62,667 Liabilities--Note E (66,720) ------- (4,053) - --------------------------------------------------------------------------------
Market Value (000)+ - -------------------------------------------------------------------------------- NET ASSETS (100%) - -------------------------------------------------------------------------------- Applicable to 63,273,394 outstanding shares of beneficial interest (unlimited authorization) $1,523,213 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $24.07 ================================================================================
+ See Note A to Financial Statements. * Non-Income Producing Security. (1) The combined market value of common stocks, New York Stock Exchange Composite Index futures contracts, and Standard & Poor's Midcap 400 Index futures contracts represents 99.9% of net assets.
- -------------------------------------------------------------------------------- AT DECEMBER 31, 1995, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Amount Per (000) Share ---------- --------- Paid in Capital $1,099,154 $17.37 Undistributed Net Investment Income 15 -- Accumulated Net Realized Gains 22,165 .35 Unrealized Appreciation (Depreciation)--Note D: Investment Securities 402,342 6.36 Futures Contracts (463) (.01) - -------------------------------------------------------------------------------- NET ASSETS $1,523,213 $24.07 - --------------------------------------------------------------------------------
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Market TOTAL STOCK Value MARKET PORTFOLIO Shares (000)+ - -------------------------------------------------------------------------------- COMMON STOCKS - -------------------------------------------------------------------------------- * ABC Rail Products Corp. 9,500 $ 211 * ADC Telecommunications, Inc. 14,100 513 * AES Corp. 18,026 432 AFLAC, Inc. 22,486 975 AGCO Corp. 10,100 515 * AMR Corp. 17,893 1,328 ARCO Chemical Co. 22,600 1,099 * AST Research, Inc. 28,795 248 AT&T Corp. 382,012 24,735 AT&T Capital Corp. 10,900 417 Abbott Laboratories, Inc. 190,329 7,946 * Ace Cash Express, Inc. 2,700 27 Ackerley Communications, Inc. 5,000 76 * Action Performance Cos., Inc. 30,400 414 * Acuson Corp. 11,312 140 * Adaptec, Inc. 12,500 512 Adobe Systems, Inc. 21,627 1,343 * Adtran, Inc. 17,400 950 * Advanced Magnetics, Inc. 7,000 186 * Advanced Micro Devices, Inc. 23,560 389 * Advanced Technology Laboratories, Inc. 18,039 444 * Advanced Tissue Sciences Inc. 9,600 97 Advanta Corp. Class A 9,250 350 * Advantage Cos., Inc. 3,300 60 Aetna Life & Casualty Co. 27,150 1,880 H.F. Ahmanson & Co. 26,723 708 * Air and Water Technologies Corp. Class A 15,400 94 Air Products & Chemicals, Inc. 26,729 1,410 Airborne Freight Corp. 12,090 322 * AirTouch Communications 117,872 3,330 Alamo Group, Inc. 11,800 212 Albank Financial Corp. 10,400 313 Albemarle Corp. 29,815 578 Alberto-Culver Co. Class B 11,923 410 Albertson's, Inc. 60,474 1,988 Alco Standard Corp. 26,706 1,218 Alex Brown, Inc. 7,280 306 Alexander & Alexander Services, Inc. 13,920 264 Alexander & Baldwin, Inc. 10,000 232 * Alexander's, Inc. 5,300 368 * All American Semiconductor, Inc. 37,200 87 * Alleghany Corp. 1,764 349 Allegheny Ludlum Corp. 16,500 305 Allegheny Power System, Inc. 27,700 793 * Allegiant Physician Services 6,400 6 The Allen Group, Inc. 13,700 306 Allergan, Inc. 14,929 485 * Alliance Entertainment 25,300 240 * Alliance Pharmaceutical Corp. 27,000 366 * Alliance Semiconductor Corp. 19,000 218 * Alliant Techsystems, Inc. 8,600 435 Allied Capital Commercial Corp. 15,000 296 Allied Capital Lending Corp. 21,800 282 AlliedSignal Inc. 67,894 3,225 * Allmerica Financial Corp. 11,600 313 Allmerica Property & Casualty Cos. 14,300 386 Allstate Corp. 107,507 4,421 ALLTEL Corp. 44,500 1,313 * Allwaste, Inc. 22,700 108 * Altera Corp. 10,500 522 * Alumax, Inc. 10,841 332 Aluminum Co. of America 42,384 2,241 * ALZA Corp. 19,131 473 * Amax Gold, Inc. 56,293 408 AMBAC, Inc. 8,222 385 Amcast Industrial Corp. 17,100 312 * Amdahl Corp. 50,873 432 Amerada Hess Corp. 21,580 1,144 * America Online, Inc. 18,000 672 American Annuity Group Inc. 25,817 306 American Bankers Insurance Group 1,400 55 American Brands, Inc. 45,297 2,021 * American Business Information, Inc. 11,416 218 American Classic Voyager Co. 16,400 177 American Electric Power Co., Inc. 44,190 1,790 American Exploration Co. 800 9 American Express Co. 116,965 4,839 American Financial Group, Inc. 12,700 389 * American Freightways 16,104 168 American General Corp. 48,620 1,696 American Greetings Corp. Class A 16,562 458 American Health Properties, Inc. 17,800 383 American Health Properties Psychiatric Group 1,510 23 American Home Products Corp. 74,311 7,208 American International Group, Inc. 113,772 10,524 American List Corp. 10,675 272 American Media Class A 43,500 185 American National Insurance Co. 6,100 404 * American Oncology Resources, Inc. 12,500 608 * American Power Conversion Corp. 21,000 198 American President Cos., Ltd. 9,200 212 American Re Corp. 11,300 462 * American Standard Cos., Inc. 18,300 512 American Stores Co. 35,190 941 American Studios, Inc. 86,900 103 * Ameridata Technologies 19,400 187 Ameritech Corp. 132,930 7,843 Ametek, Inc. 16,100 302 Amfed Financial, Inc. 3,700 125 * Amgen, Inc. 63,520 3,767
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Market Value Shares (000)+ - -------------------------------------------------------------------------------- AMP, Inc. 52,204 $ 2,003 Amoco Corp. 119,130 8,562 * Amphenol Corp. 12,700 308 * Amsco International, Inc. 22,585 336 AmSouth Bancorp 14,174 572 Amtech Corp. 21,475 113 * Amylin Pharmaceuticals, Inc. 34,400 322 Anadarko Petroleum Corp. 13,400 725 * Analog Devices, Inc. 17,603 623 * Andrew Corp. 8,687 335 * Andros Inc. 6,700 105 Angelica Corp. 6,600 135 Anheuser-Busch Co., Inc. 61,280 4,098 * Anixter International Inc. 26,900 501 * AnnTaylor Stores Corp. 16,100 165 Anthony Industries, Inc. 9,762 224 Aon Corp. 25,748 1,284 Apache Corp. 17,869 527 Apple Computer, Inc. 28,555 908 Apple South, Inc. 12,450 266 * Applied Bioscience International, Inc. 28,900 199 * Applied Digital Access, Inc. 14,800 178 * Applied Materials, Inc. 41,600 1,635 Arbor Drugs, Inc. 16,350 341 Archer-Daniels-Midland Co. 128,088 2,305 Argent Bank 4,000 93 Argonaut Group, Inc. 10,881 356 * Armco, Inc. 54,496 320 Armor All Products Corp. 8,800 158 Armstrong World Industries Inc. 8,592 533 * Arrow Electronics, Inc. 11,199 483 * Artisoft, Inc. 26,104 168 ASARCO, Inc. 9,924 317 * Ascend Communications, Inc. 13,200 1,072 Ashland Inc. 14,271 501 * Aspect Telecommunications 13,700 457 * Associated Group, Inc. 14,700 272 * Associated Group, Inc. Class B 2,000 37 Astro-Med, Inc. 26,500 257 * Asyst Technologies, Inc. 11,500 407 Atlanta Gas Light Co. 20,400 403 Atlanta Sosnoff Capital 19,700 286 Atlantic Energy, Inc. 25,800 497 Atlantic Richfield Co. 38,351 4,247 Atlantic Southeast Airlines Inc. 4,100 89 * Atlantic Tele-Network, Inc. 5,000 54 * Atmel Corp. 22,100 492 Atmos Energy Corp. 7,250 167 * Atwood Oceanics, Inc. 10,700 272 * Aura Systems, Inc. 65,281 369 Autodesk, Inc. 10,590 363 Automatic Data Processing, Inc. 34,501 2,562 * AutoZone, Inc. 35,200 1,016 Avemco Corp. 13,800 221 Avery Dennison Corp. 12,187 611 Aviall Inc. 24,219 227 Avnet, Inc. 10,000 447 Avon Products, Inc. 16,465 1,241 * BBN Corp. 13,200 543 BHC Communications, Inc. Class A 5,900 557 * BJ Services Co. 11,092 322 * BJ Services Co. Warrants Exp. 04/13/00 353 3 BMC Industries, Inc. 24,800 577 * BMC Software, Inc. 11,400 486 BMJ Financial Corp. 14,800 207 * BOK Financial Corp. 5,140 110 * BPI Packaging Technologies Inc. 28,900 59 BSB Bancorp, Inc. 4,471 113 * B.U.M. International, Inc. 24,675 18 Badger Paper Mills, Inc. 9,300 144 Baker Hughes, Inc. 33,390 814 Baldor Electric Co. 7,380 148 * Baldwin Technology Class A 21,900 111 Ball Corp. 12,201 335 Ballard Medical Products 22,266 398 Baltimore Gas & Electric Co. 35,453 1,010 Banc One Corp. 94,087 3,552 Bancorp Hawaii, Inc. 10,100 362 Bandag, Inc. 5,638 305 Bandag, Inc. Class A 538 28 Bangor Hydro-Electric Co. 21,800 251 Bank of Boston Corp. 26,555 1,228 The Bank of New York Co., Inc. 46,186 2,251 Bank North Group 7,000 268 Bank South Corp. 13,800 421 BankAmerica Corp. 89,832 5,817 BankAtlantic Bancorp, Inc. 2,981 55 Bankers Corp. 13,896 227 Bankers First Corp. 9,404 264 Bankers Life Holding Corp. 25,200 510 Bankers Trust New York Corp. 18,671 1,242 BanPonce Corp. 9,477 369 * Banyan Systems, Inc. 16,100 165 C.R. Bard, Inc. 12,218 394 Barefoot, Inc. 9,400 97 * Barnes & Noble Inc. 14,676 426 Barnes Group, Inc. 2,700 97 Barnett Banks, Inc. 22,846 1,348 * Barr Labs Inc. 12,000 357 Bassett Furniture Industries, Inc. 8,363 192 Battle Mountain Gold Co. Class A 40,200 337 Bausch & Lomb, Inc. 13,368 530
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- Baxter International, Inc. 66,558 $ 2,787 * Bay Networks 41,855 1,719 * Bay Ridge Bancorp, Inc. 12,600 277 BayBanks, Inc. 4,400 431 Bear Stearns Co., Inc. 27,589 548 BeautiControl Cosmetics 9,600 94 Beckman Instruments 10,868 384 Becton, Dickinson & Co. 15,661 1,174 * Bed Bath & Beyond, Inc. 16,726 648 Bell Atlantic Corp. 104,967 7,020 Bell Bancorp, Inc. 8,200 295 * Bell Industries, Inc. 14,794 333 BellSouth Corp. 238,110 10,358 A. H. Belo Corp. Class A 9,100 316 Bemis Co., Inc. 11,901 305 * Ben Franklin Retail Stores 1,643 5 Beneficial Corp. 12,706 592 Bergen Brunswig Corp. Class A 9,001 224 W.R. Berkley Corp. 8,600 460 * Berkshire Hathaway 283 9,084 Berkshire Realty Co., Inc. 23,300 224 * Berlitz International, Inc. 18,828 311 Berry Petroleum Class A 6,800 69 * Bertucci's Holding Corp. 47,600 241 * Best Buy, Inc. 15,100 245 * BET Holdings Inc. Class A 4,700 107 * Bethlehem Steel Corp. 25,482 357 * Bettis Corp. 6,600 32 Betz Laboratories, Inc. 12,300 504 * Beverly Enterprises Inc. 27,179 289 * Biotechnology General 26,600 122 * Biogen, Inc. 8,500 521 * Biomet, Inc. 27,189 484 Black & Decker Corp. 20,341 717 * Black Hawk Gaming & Development Co., Inc. 13,300 71 E.W. Blanch Holdings, Inc. 13,500 315 Blimpie International, Inc. 11,700 129 Block Drug Co. Class A 6,442 225 H & R Block, Inc. 24,856 1,007 Boatmen's Bancshares, Inc. 29,646 1,214 Bob Evans Farms, Inc. 11,500 220 Boddie-Noell Properties Inc. 12,800 160 The Boeing Co. 82,314 6,451 Boise Cascade Corp. 10,638 368 Borg-Warner Automotive, Inc. 11,700 374 * Borland International, Inc. 17,700 293 * Boston Market, Inc. 10,800 346 Boston Edison Co. 20,000 590 * Boston Scientific Corp. 38,625 1,893 Bowater, Inc. 8,500 302 Brandon Systems Corp. 4,779 122 Breed Technological Inc. 15,700 290 Briggs & Stratton Corp. 12,028 522 * Bright Voice Systems, Inc. 17,000 234 * Brinker International, Inc. 33,924 513 Bristol-Myers Squibb Co. 121,614 10,444 * Broadband Technologies, Inc. 11,900 192 * Broderbund Software, Inc. 6,488 395 * Brooklyn Bancorp, Inc. 8,500 345 Brooklyn Union Gas Co. 11,550 338 * Brothers Gourmet Coffees, Inc. 46,600 175 Brown-Forman Corp. Class B 15,951 582 Browning-Ferris Industries, Inc. 51,109 1,508 Brunos Inc. 375 4 Brunswick Corp. 21,597 518 Bryn Mawr Bank Corp. 1,900 100 * Burlington Coat Factory Warehouse Corp. 9,675 99 * Burlington Industries 2,697 35 Burlington Northern Santa Fe Corp. 33,720 2,630 Burlington Resources, Inc. 29,800 1,170 Burnham Pacific Properties, Inc. 14,000 135 * Business Records Corp. 3,500 136 CBI Industries, Inc. 18,291 601 CCH Inc. Class A 3,500 194 CCH Inc. Class B 7,500 415 * CFI ProServices, Inc. 18,869 277 CFSB Bancorp, Inc. 13,516 280 * C-Cube Microsystems, Inc. 7,800 489 CIGNA Corp. 17,463 1,803 CIPSCO, Inc. 12,800 499 CMAC Investment Corp. 913 40 CML Group, Inc. 14,700 75 CMS Energy Corp. 19,961 596 * CNA Financial Corp. 14,533 1,650 CPC International, Inc. 34,743 2,384 CPI Corp. 10,000 160 CRI Liquidating REIT, Inc. 26,100 91 CSX Corp. 50,806 2,318 * CUC International, Inc. 40,925 1,396 * Cabletron Systems, Inc. 17,217 1,394 Cabot Corp. 8,600 463 * Cadence Design Systems, Inc. 12,800 538 * Cadiz Land Co., Inc. 52,600 309 Cadmus Communications 9,600 256 * Cal Fed Bancorp Inc. 30,400 479 * Caldor Corp. 57,300 186 Calgon Carbon Corp. 34,800 418 Caliber System Inc. 9,017 441 * California Federal Bank Goodwill Participation Certificates 2,540 12 Callaway Golf Co. 29,200 661 * CAM Designs, Inc. 11,600 97
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Market Value Shares (000)+ - -------------------------------------------------------------------------------- Camco International, Inc. 16,800 $ 470 * Cameron Ashley Building Products 29,300 291 Campbell Soup Co. 59,599 3,576 * Canandaigua Wine Co., Inc. Class A 5,808 190 * Canonie Environmental Services Corp. 3,600 14 Capital Bancorporation 5,100 189 Capital Cities/ABC, Inc. 36,720 4,530 Capital One Financial Corp. 15,008 358 Capital Re Corp. 12,100 372 Capitol American Financial Corp. 8,500 192 * Capsure Holdings 20,100 354 Caraustar Industries, Inc. 18,300 370 Cardinal Health, Inc. 11,575 634 * CareAdvantage, Inc. 43,000 13 Caremark International, Inc. 19,164 347 * Carmike Cinemas, Inc. Class A 13,800 310 Carnival Cruise Lines, Inc. 66,972 1,632 Carolina Power & Light Co. 36,366 1,255 Carpenter Technology Corp. 9,500 391 Carter-Wallace, Inc. 16,600 189 * Cascade Communications Corp. 6,500 553 Case Corp. 16,400 750 * Casino Magic Corp. 39,900 122 * Castle & Cooke, Inc. 4,700 79 * Catalina Marketing Corp. 7,080 444 * Catellus Development Corp. 37,200 223 Caterpillar, Inc. 47,198 2,773 * Catherines Stores 32,700 266 * Cellular Communications Series A 7,100 356 * Cellular Technical Services Co. 8,827 203 * Celtrix Labs 25,300 65 Center Banks Inc. 14,800 213 Centerior Energy Corp. 33,100 294 Centex Corp. 9,836 342 * Centigram Communications 14,600 286 * Centocor, Inc. 33,948 1,052 Central & South West Corp. 45,702 1,274 Central Fidelity Banks, Inc. 8,750 279 Central Hudson Gas & Electric Corp. 12,800 395 Central Louisiana Electric Co. 13,508 363 Central Newspapers Inc. 14,050 441 Central Reserve Life Corp. 14,900 141 Century Telephone Enterprises, Inc. 13,580 431 * Ceridian Corp. 10,335 426 * Chalone Wine Group Ltd. 27,800 252 Champion International Corp. 23,252 976 * Chantal Pharmaceutical Corp. 10,100 275 Charming Shoppes, Inc. 11,392 33 Charter One Financial 23,820 726 The Chase Manhattan Corp. 41,857 2,537 * Checkers Drive-In Restaurant 119,550 121 Chelsea GCA Realty, Inc. 12,900 387 Chemed Corp. 4,100 159 Chemical Banking Corp. 60,454 3,552 Chesapeake Corp. of Virginia 10,217 303 Chester Valley Bancorp. 992 19 Chevron Corp. 156,372 8,209 * Cheyenne Software, Inc. 20,625 539 * Chic by H.I.S., Inc. 46,100 254 Chiquita Brands International, Inc. 19,235 264 * Chiron Corp. 9,613 1,063 Chittenden Corp. 8,218 261 Chrysler Corp. 91,242 5,052 The Chubb Corp. 20,681 2,001 Church and Dwight, Inc. 16,400 303 Churchill Downs, Inc. 3,200 107 * Cidco, Inc. 10,200 259 Cilcorp, Inc. 6,600 280 Cincinnati Bell, Inc. 15,900 552 Cincinnati Financial Corp. 12,545 815 Cincinnati Milacron, Inc. 9,100 239 CINergy Corp. 37,166 1,138 Cintas Corp. 11,200 501 * Circon Corp. 16,200 327 Circuit City Stores, Inc. 23,236 642 * Circus Circus Enterprises Inc. 24,641 687 * Cirrus Logic 14,500 287 * Cisco Systems, Inc. 65,128 4,864 Citicorp 101,942 6,855 Citizens Corp. 15,800 294 * Citizens Utilities Co. Class A 53,702 685 Clayton Homes Inc. 21,581 461 * Clear Channel Communications 8,312 367 * Cliffs Drilling Co. 21,000 312 The Clorox Co. 12,302 881 * Coast Savings Financial, Inc. 15,000 519 Coastal Corp. 24,816 924 * Coastal Physician Group, Inc. 16,000 216 Coca-Cola Bottling Co. 7,700 269 The Coca-Cola Co. 303,735 22,552 Coca-Cola Enterprises, Inc. 31,200 835 Coeur D'Alene Mines Corp. 15,900 272 * Cognex Corp. 17,000 595 * Coleman Inc. 10,366 364 Collective Bancorp, Inc. 11,449 292 Colgate-Palmolive Co. 34,451 2,420 * Coltec Inc. 20,200 235 * Columbia Gas Systems, Inc. 11,698 513 Columbia/HCA Healthcare Corp. 106,447 5,402 Comcast Corp. Class A 12,860 227 Comcast Corp. Class A Special 44,450 808 * Comdial Corp. 20,366 188 Comdisco, Inc. 24,450 553
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- Comerica, Inc. 26,752 $ 1,073 * Commander Aircraft Co. 28,600 95 Commerce Bancshares, Inc. 8,820 336 Commercial Federal Corp. 12,800 483 Commercial Intertech Corp. 12,200 221 Commercial Metals Co. 9,600 238 * Community Healthcare Systems 7,799 278 * Community Psychiatric Centers 29,163 357 * COMPAQ Computer Corp. 63,580 3,052 * Compression Labs, Inc. 37,300 238 * CompUSA, Inc. 10,800 336 Computer Associates International, Inc. 57,791 3,287 * Computer Sciences Corp. 13,384 940 * Compuware Corp. 12,500 234 Comsat Corp. 10,700 199 ConAgra, Inc. 58,983 2,433 * Cone Mills Corp. 16,500 186 * Conmed Corp. 11,068 274 Connecticut Natural Gas Corp. 2,400 56 Connecticut Water Services, Inc. 6,400 178 * Conner Peripherals, Inc. 26,407 554 Conrail, Inc. 18,848 1,319 Conseco Co., Inc. 7,300 457 * Consilium, Inc. 18,700 224 Consolidated Edison Co. of New York, Inc. 55,896 1,789 Consolidated Freightways, Inc. 11,200 297 Consolidated Natural Gas Co. 22,485 1,020 Consolidated Papers 10,500 589 * Consolidated Stores, Inc. 22,459 488 * Continuum Co. 9,900 391 * Control Data Corp. 28,533 563 Cooper Industries, Inc. 25,912 952 Cooper Tire & Rubber Co. 19,452 479 * Coram Healthcare Corp. 25,408 111 * Cordis Corp. 4,300 432 CoreStates Financial Corp. 32,785 1,242 * Cornerstone Imaging, Inc. 16,200 237 Corning, Inc. 54,723 1,751 * Country Star Restaurants, Inc. 18,600 37 Countrywide Credit Industries, Inc. 23,617 514 * Coventry Corp. 4,055 84 * Cox Communications Class A 60,135 1,173 Cracker Barrel Old Country Stores, Inc. 16,754 290 * Craig Corp. 14,577 144 Crane Co. 14,648 540 * Cray Research, Inc. 14,009 347 * Creative Technology 28,300 38 * Credit Acceptance Corp. 23,400 480 * Cree Research, Inc. 33,200 494 Crescent Real Estate Equities, Inc. 11,500 392 Crestar Financial Corp. 9,320 551 Criimi Mae Inc. 15,900 133 Crompton & Knowles Corp. 21,500 285 * Crosscom Corp. 23,300 266 * Crown Books Corp. 29,100 338 * Crown Cork & Seal Co., Inc. 20,835 870 Crown Crafts, Inc. 22,600 260 * Crown Vantage, Inc. 17,424 244 * Cryomedical Sciences 111,300 230 Cummins Engine Co., Inc. 9,066 335 * Cygne Designs, Inc. 59,800 54 * Cygnus Inc. 25,600 570 * Cypress Semiconductor Corp. 18,200 232 Cyprus AMAX Minerals Co. 22,248 581 * Cytec Industries, Inc. 7,918 494 * Cytrex Corp. 23,600 27 * DMX Inc. 66,000 157 DPL, Inc. 25,450 630 DQE Inc. 17,600 541 * DSC Communications Corp. 27,302 1,010 DTE Energy Co. 34,696 1,197 * Daily Journal Corp. 3,100 126 Dames & Moore, Inc. 17,800 216 Dana Corp. 24,346 712 Danaher Corp. 13,700 435 * Darden Restaurants Inc. 37,695 448 * Data Race, Inc. 63,400 341 * Dataware Technologies, Inc. 28,700 244 Dauphin Deposit Bank & Trust 12,320 357 * Dave and Busters 20,640 253 * Davel Communications Group, Inc. 22,000 289 Dayton-Hudson Corp. 16,894 1,267 Dean Foods Corp. 9,567 263 Dean Witter Discover & Co. 40,250 1,892 Deere & Co. 61,892 2,182 * Dell Computer 21,200 738 Delmarva Power & Light Co. 14,200 323 * Delphi Information Systems Inc. 35,900 49 Delta Air Lines, Inc. 11,823 873 Deluxe Corp. 19,336 561 Dentsply International 13,100 523 * Department 56 Inc. 10,295 395 * Desoto, Inc. 17,000 60 * Destec Energy Inc. 30,200 415 * Detroit Diesel Corp. 14,200 264 Developers Diversified Realty Corp. 10,400 312 Devon Energy Corp. 15,433 394 Dexter Corp. 10,800 255 Diagnostic Products Corp. 8,100 307 The Dial Corp. 21,524 638 * Dial Page, Inc. 15,400 242
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Market Value Shares (000)+ - -------------------------------------------------------------------------------- * Diamond Offshore Drilling, Inc. 13,000 $ 439 Diebold, Inc. 6,793 376 * Digi International, Inc. 3,600 68 * Digital Equipment Corp. 34,884 2,237 Dillard Department Stores Class A 27,250 777 * Dime Bancorp, Inc. 50,882 592 Dimon Inc. 22,950 404 The Walt Disney Co. 124,919 7,370 Dole Food Co. 14,100 494 Dollar General Corp. 16,212 336 Dominion Resources, Inc. 41,643 1,718 R.R. Donnelley & Sons Co. 36,502 1,437 Donnelly Corp. 12,800 189 * Dovatron International Inc. 9,957 340 * Dove Audio, Inc. 19,000 246 Dover Corp. 27,242 1,005 Dow Chemical Co. 64,580 4,545 Dow Jones & Co., Inc. 22,495 897 * Dravo Corp. 20,039 240 * The Dress Barn, Inc. 7,400 72 Dresser Industries, Inc. 43,176 1,052 Dreyer's Grand Ice Cream, Inc. 9,400 316 * Drug Emporium, Inc. 71,570 291 E.I. du Pont de Nemours & Co. 133,112 9,301 * Dual Drilling Co. 32,200 370 Duke Power Co. 49,311 2,336 The Dun & Bradstreet Corp. 40,472 2,621 Duracell International, Inc. 28,125 1,455 Duriron Co., Inc. 13,150 307 Duty Free International Inc. 6,274 100 * Dynatech Corp. 14,200 243 EG & G, Inc. 24,936 605 * EMC Corp. 54,000 830 * ESSEF Corp. 9,900 161 * ESS Technology, Inc. 1,300 30 Eastern Bancorp, Inc. 8,800 232 Eastern Enterprises 9,077 320 Eastern Utilities Associates 9,071 214 Eastman Chemical 19,644 1,230 Eastman Kodak Co. 81,977 5,492 Eaton Corp. 18,496 992 Echlin, Inc. 14,442 527 Echo Bay Mines Ltd. 30,100 312 * Eckerd Corp. 8,000 357 Ecolab, Inc. 14,692 441 Edison Brothers Stores, Inc. 142,600 267 * Edisto Resources Corp. 46,200 329 * Edo Corp. 17,800 89 * Education Alternatives, Inc. 42,400 191 A.G. Edwards & Sons, Inc. 14,033 335 El Paso Natural Gas 7,349 209 * Electronic Arts 12,900 338 * Electronics for Imaging, Inc. 13,200 573 Emerging Markets Infrastructure Fund, Inc. 4,400 46 Emerson Electric Co. 53,917 4,408 Empire District Electric Co. 14,800 265 * Empire of Carolina, Inc. 8,900 62 * Emulex Corp. 23,950 250 Energen Corp. 9,800 236 * Energy Ventures Inc. 13,900 351 Engelhard Corp. 34,064 741 Enova Corp. 27,100 644 Enron Corp. 60,682 2,314 Enron Global Power & Pipelines L.L.C. 4,000 100 Enron Oil & Gas Co. 37,524 901 ENSERCH Corp. 27,212 442 Entergy Corp. 54,024 1,580 Equifax, Inc. 36,700 784 The Equitable Cos. 43,900 1,054 Equitable of Iowa Co. 13,700 440 Equitable Resources, Inc. 13,900 434 Equus Gaming Co. LP A Units 1,000 3 Essex Property Trust, Inc. 15,200 293 * Ethan Allen Interiors Inc. 14,600 297 Ethyl Corp. 28,630 358 * Evergreen Media Corp. 11,500 368 * Exabyte Corp. 12,100 178 Excel Realty Trust, Inc. 11,600 238 Exide Corp. 10,700 491 * Exide Electronics Group, Inc. 7,138 104 Expeditors International of Washington, Inc. 5,900 154 * Express America Holdings Co. 13,400 46 * Express Scripts 10,900 550 * Exstar Financial Corp. 5,800 9 Exxon Corp. 298,684 23,932 * FHP International Corp. 14,000 396 * FMC Corp. 8,576 580 FMC Gold Co. 40,600 167 * FM Properties Inc. 35,900 58 F.N.B. Corp. 8,538 184 FPL Group, Inc. 44,134 2,047 * FTP Software, Inc. 13,300 387 Factory Stores of America, Inc. 15,500 203 Fair Issac & Co. 11,300 287 Family Dollar Stores, Inc. 13,300 183 Farmer Brothers, Inc. 1,500 205 Fastenal Co. 8,800 374 Fay's Drug Co. 10,075 76 Fedders Corp. 30,045 173 Fedders Corp. Class A 15,226 65 * Federal Express Corp. 13,521 999 Federal Home Loan Mortgage Corp. 43,408 3,625
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- Federal-Mogul Corp. 9,000 $ 177 Federal National Mortgage Assn. 65,596 8,142 Federal Paper Board Co., Inc. 10,828 562 Federal Signal Corp. 21,562 558 * Federated Department Stores 48,800 1,342 Ferro Corp. 12,200 284 Fifth Third Bancorp 15,300 1,115 * 50-Off Stores, Inc. 7,400 8 * Figgie International Inc. Class A 9,500 100 * Figgie International Inc. Class B 900 9 * Filene's Basement Corp. 91,300 220 * FileNet Corp. 8,700 408 Fina Inc. 6,300 318 Fingerhut Co. 11,854 164 Finova Group, Inc. 10,200 492 * First Alert, Inc. 21,700 190 First American Bank Corp. 14,800 657 First American Corp. (Tenn.) 11,600 551 First American Financial Corp. 9,600 257 First Bancorp of Ohio 8,300 246 First Bank System, Inc. 32,600 1,618 First Chicago NBD Corp. 75,636 2,988 First Citizens BancShares Class A 2,000 109 First Colony Corp. 11,524 292 First Commerce Bancshares Inc. Class A 2,900 62 First Commerce Corp. 9,192 292 First Commonwealth Financial Corp. 6,400 112 First Data Corp. 52,495 3,511 First Empire State Corp. 1,700 371 * First Federal Financial 21,800 308 First Fidelity Bancorp. 19,278 1,453 First Financial Bancorp 2,591 90 First Financial Savings Assn. 5,600 127 First Hawaiian, Inc. 15,800 472 First Interstate Bancorp. 18,294 2,497 First Michigan Bank Corp. 12,573 347 First Midwest Bancorp 9,300 270 First Security Corp. 11,650 446 First Source Corp. 1,636 38 First Tennessee National Corp. 8,400 507 First Union Corp. 42,296 2,353 First Union Real Estate 24,200 169 First USA Inc. 13,600 604 First Virginia Banks, Inc. 7,407 309 First Western Bancorp 7,822 214 Firstar Corp. 17,566 696 Firstbank Puerto Rico 17,325 388 Firstier Financial Inc. 11,050 482 * FIserv, Inc. 11,200 335 Fisher Scientific International Inc. 5,000 167 Fleet Financial Group, Inc. 61,029 2,487 Fleetwood Enterprises, Inc. 23,858 614 Fleming Cos., Inc. 14,236 294 FlightSafety International, Inc. 7,500 377 Florida Progress Corp. 22,150 784 Flowers Industries, Inc. 9,150 111 Fluor Corp. 19,681 1,299 Food Lion Inc. Class A 104,100 599 Food Lion Inc. Class B 7,694 44 * Foodmaker, Inc. 31,700 186 Ford Motor Co. 257,574 7,470 * Fore Systems, Inc. 11,400 679 * Foreland Corp. 2,700 4 Foremost Corp. of America 5,300 270 * Forest City Enterprise Class A 4,300 139 * Forest Laboratories, Inc. 10,792 488 * Forstmann & Co., Inc. 3,600 2 Fort Wayne National Corp. 7,400 236 Foster Wheeler Corp. 9,579 407 * Foundation Health Co. 13,500 581 Fourth Financial Corp. 12,000 489 * FoxMeyer Health Corp. 9,862 264 Franklin Electric, Inc. 4,800 154 Franklin Resources Corp. 18,800 947 Freeport-McMoRan, Inc. 5,133 190 Freeport-McMoRan Copper & Gold Inc. Class A 11,512 322 Freeport-McMoRan Copper & Gold Inc. Class B 37,013 1,041 Fremont General Corp. 13,265 487 * Fresh Choice, Inc. 43,900 280 * Fritz Cos., Inc. 14,900 620 Frontier Corp. 37,956 1,139 * Fruehauf Trailer Corp. 76,500 134 * Fruit of the Loom, Inc. 16,588 404 Fulton Financial Corp. 11,700 238 Fund American Enterprise Holding Co. 4,485 334 G & L Realty Corp. 20,600 214 GATX Corp. 6,500 316 * GC Cos. 7,391 248 GEICO Corp. 16,000 1,118 GTE Corp. 233,579 10,277 Gainsco, Inc. 9,046 103 Arthur J. Gallagher & Co. 10,300 384 Gannett Co., Inc. 33,782 2,073 The Gap, Inc. 33,974 1,427 * Gardner Denver Machinery, Inc. 17,968 336 * Gartner Group, Inc. 9,400 450 * Gateway 2000 Inc. 17,700 433 Gaylord Entertainment Class A 22,115 614 * Genentech, Inc. 27,583 1,462 General Binding Corp. 15,500 308
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Market Value Shares (000)+ - -------------------------------------------------------------------------------- General Dynamics Corp. 14,658 $ 867 General Electric Co. 407,888 29,368 * General Instrument 31,000 725 General Mills, Inc. 37,695 2,177 General Motors Corp. 179,275 9,479 General Motors Corp. Class E 105,300 5,476 General Motors Corp. Class H 22,400 1,100 * General Nutrition Cos., Inc. 26,800 623 General Public Utilities Corp. 27,800 945 General Re Corp. 19,539 3,029 General Signal Corp. 11,014 357 * Genetics Institute Inc. Depository Shares 12,800 688 * Gentex Corp. 13,500 299 * Geneva Steel Class A 6,000 41 * Gensia Inc. 30,500 156 Genuine Parts Co. 29,201 1,197 * Genzyme Corp. 9,589 597 * Genzyme Corp. Tissue Repair 4,700 75 Georgia Gulf Corp. 8,802 271 Georgia-Pacific Corp. 21,998 1,510 Giant Food, Inc. Class A 13,668 431 Giant Industries, Inc. 29,700 364 * Gibson Greetings, Inc. 23,000 369 Giddings & Lewis, Inc. 9,400 154 Gilbert Associates, Inc. Class A 5,000 61 * Gilead Sciences, Inc. 14,800 477 Gillette Co. 106,584 5,556 P.H. Glatfelter Co. 21,000 360 * Glenayre Technologies, Inc. 9,350 582 * Global Industrial Technologies, Inc. 18,591 351 * Global Natural Resources, Inc. 21,600 227 * Global Village Communication 21,900 417 * Go Video, Inc. 37,500 47 Golden West Financial Corp. 13,976 772 The BF Goodrich Co. 6,000 409 The Goodyear Tire & Rubber Co. 36,572 1,659 * Goody's Family Clothing 19,550 176 Gorman-Rupp Co. 3,825 59 Goulds Pumps, Inc. 3,709 92 W.R. Grace & Co. 22,776 1,347 Graco, Inc. 5,600 171 W.W. Grainger, Inc. 11,736 778 Granite Construction Co. 9,200 291 Graphic Industries, Inc. 12,000 144 Great Atlantic & Pacific Tea Co., Inc. 16,701 384 Great Lakes Chemical Corp. 15,207 1,095 Great Western Financial Corp. 32,341 825 Green Mountain Power Corp. 9,700 269 Green Point Financial Corp. 12,900 343 Green Tree Financial Corp. 33,100 873 * Greyhound Lines, Inc. 67,400 291 * Groundwater Technology, Inc. 22,300 309 * Gtech Holdings Corp. 20,100 523 Guaranty National Corp. 13,500 208 Guidant Corp. 23,740 1,003 Guilford Mills, Inc. 8,300 169 * Gupta Corp. 33,200 166 HBO and Co. 8,500 650 * HFS Inc. 11,500 940 Halliburton Co. 26,842 1,359 * Hamburger Hamlet Restaurants 24,000 16 Hancock Fabrics, Inc. 13,800 124 Handleman Co. 18,061 104 Hannaford Brothers Co. 20,100 495 Harcourt General, Inc. 17,415 729 John H. Harland Co. 15,887 332 Harley-Davidson, Inc. 18,612 535 Harmon Industries, Inc. 15,300 230 Harnischfeger Industries Inc. 11,138 370 Harper Group, Inc. 5,600 100 * Harrah's Entertainment, Inc. 23,681 574 Harris Corp. 9,108 498 * Harris Computer Systems 2,285 30 Harsco Corp. 5,984 348 Harte-Hanks Communications Co. 14,700 290 Hartford Steam Boiler Inspection & Insurance Co. 7,257 363 Hasbro, Inc. 20,377 632 Haverfield Corp. 6,270 88 Hawaiian Electric Industries Inc. 13,465 522 Health Care Properties Investors 8,600 302 Health Care REIT, Inc. 10,200 184 * Health Management Associates Class A 16,200 423 * Health Management Systems, Inc. 10,200 395 * Health Professionals, Inc. 6,700 2 Health and Retirement Properties Trust 16,300 265 * Health Systems 11,800 379 * HealthCare Compare Corp. 11,200 489 * Healthcare & Retirement Corp. 6,400 224 * Healthdyne Inc. 22,600 198 * Healthdyne Information Enterprises, Inc. 17,700 42 * Healthdyne Technologies, Inc. 13,746 156 * Healthsource, Inc. 14,800 533 * HEALTHSOUTH Corp. 21,530 627 * Healthwise of America Inc. 10,840 421 * Heartland Express, Inc. 12,999 263 Hechinger Co. Class A 55,300 245 Hechinger Co. Class B 5,118 24 * Hecla Mining Co. 32,800 226 Heilig-Meyers Co. 10,100 186
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- H.J. Heinz Co. 87,696 $ 2,905 Helmerich & Payne, Inc. 10,793 321 Herbalife International, Inc. 8,100 71 Hercules, Inc. 26,886 1,516 Hershey Foods Corp. 18,510 1,203 Hewlett-Packard Co. 125,826 10,538 Hibernia Corp. Class A 29,022 312 Hillenbrand Industries, Inc. 16,300 552 Hilton Hotels Corp. 11,388 700 * Hinsdale Financial Corp. 12,375 272 * Hogan Systems, Inc. 14,400 196 Holly Corp. 11,100 251 * Hollywood Park, Inc. 20,100 201 Home Depot, Inc. 114,260 5,470 Home Financial Corp. 2,581 40 * Home Shopping Network, Inc. 43,300 390 Homeland Bankshares Corp. 5,600 165 Homestake Mining Co. 31,881 498 Honeywell, Inc. 30,098 1,464 Horace Mann Educators Corp. 9,500 297 Horizon Financial Corp. 14,320 192 Hormel Foods Corp. 17,400 428 * Horsehead Resource Development Co., Inc. 19,600 86 * Host Marriott 36,724 487 Household International, Inc. 23,518 1,391 Houston Industries, Inc. 63,068 1,529 * Hovnanian Enterprises Class A 27,800 209 Hubbell Inc. Class A 700 43 Hubbell Inc. Class B 8,250 542 Hudson Foods Inc. Class A 17,200 297 * Humana, Inc. 38,446 1,052 * Human Genome Sciences, Inc. 5,800 221 * Hungarian Teleconstruct Corp. 12,000 41 Hunt Manufacturing Co. 15,700 273 J.B. Hunt Transport Services, Inc. 11,100 187 Huntington Bancshares Inc. 31,957 763 * Hyperion Software Corp. 14,348 307 IBP, Inc. 11,100 561 ICN Pharmaceuticals 10,147 195 * IEC Electronics Corp. 32,600 293 * IGI, Inc. 11,490 95 * IHOP Corp. 2,600 67 IMC Global Inc. 13,606 556 IRT Property Co. 27,200 252 * I-STAT Corp. 7,500 242 * ITT Corp. 27,800 1,473 * ITT Hartford Group, Inc. 27,400 1,325 ITT Industries, Inc. 27,400 658 Idaho Power Co. 14,200 426 Ideon Group 32,100 325 * IDEX Corp. 9,750 400 * IDEXX Laboratories 11,700 547 Illinois Central Corp. 9,700 372 Illinois Tool Works, Inc. 27,764 1,638 Illinova Corp. 17,400 522 * Image Business Systems Corp. 23,400 1 * Immucor Inc. 28,000 263 * Immulogic Pharmaceutical Corp. 10,400 198 * Immune Response 70,517 399 * Immunomedics Inc. 14,400 85 * Infinity Broadcasting Corp. 13,312 496 * Information Resources, Inc. 21,835 266 * Informix Corp. 31,700 953 Ingersoll-Rand Co. 25,225 886 * Inland Steel Industries, Inc. 16,300 410 * Innovative Gaming Corp. 10,050 73 * Insilco Corp. 4,600 149 * Insituform Technologies Class A 13,600 156 * Insurance Auto Auctions, Inc. 3,000 33 Integon Corp. 13,020 269 Integra Financial Corp. 7,500 473 * Integrated Device Technology Inc. 18,300 237 Integrated Health Services, Inc. 9,600 240 Intel Corp. 198,356 11,269 Intelligent Electronics Inc. 21,714 132 Interface, Inc. 14,000 241 * Intergraph Corp. 29,073 462 * Interim Services, Inc. 8,900 308 International Business Machines Corp. 137,006 12,570 * International Dairy Queen, Inc. Class A 14,988 345 * International Dairy Queen, Inc. Class B 2,300 55 * International Family Entertainment, Inc. Class B 15,500 254 International Flavors & Fragrances, Inc. 26,811 1,287 International Game Technology 29,402 320 * International Jensen 35,400 246 * International Lottery & Totalizator Systems, Inc. 54,900 79 International Multifoods Corp. 11,181 225 International Paper Co. 61,114 2,315 * International Specialty Products, Inc. 16,100 175 * International Technology 103,400 271 * Interneuron Pharmaceutical, Inc. 21,700 551 Interpublic Group of Cos., Inc. 18,200 789 Interstate Bakeries 16,600 371 * Intuit, Inc. 10,200 797 Ipalco Enterprises, Inc. 8,900 339 Irwin Financial Corp. 6,200 247 ISCO, Inc. 22,085 213 * ISIS Pharmaceuticals, Inc. 4,500 59
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Market Value Shares (000)+ - -------------------------------------------------------------------------------- IVAX Corp. 27,600 $ 787 * JMC Group Inc. 5,200 5 JSB Financial 8,301 264 * Jacobs Engineering Group Inc. 17,100 428 James River Corp. 19,841 479 Jefferson-Pilot Corp. 17,165 798 * Jefferson Smurfit Corp. 25,300 239 Johnson & Johnson 155,467 13,312 Johnson Controls, Inc. 9,712 668 * Jones Apparel Group, Inc. 12,500 492 Jostens Inc. 16,240 394 Juno Lighting, Inc. 5,300 83 Justin Industries, Inc. 5,700 62 * KLA Instruments Corp. 11,400 298 Kmart Corp. 108,053 783 KN Energy, Inc. 1,379 40 K U Energy Corp. 11,600 348 * Kaiser Aluminum & Chemical Corp. 33,500 436 * Kaneb Services, Inc. 129,900 292 Kansas City Life Insurance Co. 2,400 127 Kansas City Power & Light Co. 14,400 376 Kansas City Southern Industries, Inc. 10,162 465 Kaufman & Broad Home Corp. 14,226 212 Kaydon Corp. 9,400 286 Kellogg Co. 52,765 4,076 Kelly Services, Inc. Class A 18,275 514 Kemper Corp. 7,900 392 Kerr-McGee Corp. 11,879 754 * Kevlin Corp. 2,200 9 KeyCorp 54,359 1,971 Keystone Financial, Inc. 2,562 77 Keystone International, Inc. 9,400 188 Kimball International, Inc. Class B 10,900 275 Kimberly-Clark Corp. 65,986 5,460 Kimco Realty Corp. 11,550 315 Kinetic Concepts, Inc. 15,300 185 * King World Productions, Inc. 8,900 346 Knight-Ridder, Inc. 11,935 746 * Kohls Corp. 8,600 452 * Komag, Inc. 9,900 454 * The Kroger Co. 29,417 1,103 Kuhlman Corp. 23,576 295 * LCI International, Inc. 29,526 605 LG&E Energy Corp. 7,150 302 LSI Industries Inc. 23,782 389 * LSI Logic Corp. 30,500 999 LTC Properties, Inc. 12,900 194 * LTV Corp. 24,100 331 * LTX Corp. 6,200 57 La Quinta Inns Inc. 11,475 314 * Laboratory Corp. of America 26,348 247 Lafarge Corp. 29,800 559 * LAM Research Corp. 9,750 445 Lancaster Colony Corp. 6,400 239 Lance, Inc. 5,721 93 * Lancer Corp. 21,550 302 * Lands' End, Inc. 15,600 213 * Lattice Semiconductor Corp. 11,650 381 Lawter International Inc. 16,534 192 * Lazare Kaplan International, Inc. 16,700 133 * Lear Seating Corp. 19,100 554 Lee Enterprises, Inc. 19,200 442 Leggett & Platt, Inc. 19,800 480 Lehman Brothers Holdings, Inc. 23,888 508 Lennar Corp. 7,800 196 * Leslie Fay Co. 15,200 1 Leucadia National Corp. 13,200 330 Libbey, Inc. 3,000 68 Liberty Bancorp, Inc. (Oklahoma) 7,100 266 * Liberty Media Group Class A 33,131 888 * Liberty Media Group Class B 1,050 29 Life Partners Group, Inc. 11,600 158 Life Re Corp. 4,700 118 * Lifecore Biomedical Inc. 7,300 138 Eli Lilly & Co. 132,216 7,437 Lilly Industries Inc. Class A 17,168 219 The Limited, Inc. 84,551 1,469 * Lin Television 15,516 465 * Lincare Holdings Inc. 16,800 418 Lincoln National Corp. 24,852 1,336 * Lindsay Manufacturing Co. 2,900 111 Linear Technology Corp. 17,496 689 * Liposome Co., Inc. 10,000 201 * Littelfuse, Inc. 6,200 226 * Litton Industries, Inc. 10,369 461 Liz Claiborne, Inc. 16,974 471 * Lockheed Martin Corp. 47,785 3,775 Loctite Corp. 8,400 399 Loews Corp. 28,300 2,218 Logicon, Inc. 3,200 88 * Lone Star Casino Corp. 49,900 6 * Lone Star Steakhouse & Saloon 11,000 421 Long Island Lighting Co. 27,235 446 Longview Fiber Co. 19,830 322 Loral Corp. 40,284 1,425 * Loronix Information Systems 27,100 72 Louisiana Land & Exploration Co. 7,999 343 Louisiana-Pacific Corp. 25,500 618 Lowes Cos., Inc. 37,514 1,257 Lubrizol Corp. 15,300 426 * L. Luria & Son, Inc. 5,100 26 * Lynx Therapeutic 2,268 2 Lyondell Petrochemical Co. 18,546 424 MBIA, Inc. 9,800 735
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- MBNA Corp. 34,963 $ 1,289 MCI Communications Corp. 162,490 4,255 MCN Corp. 15,100 351 * MEMC Electronic Materials, Inc. 9,900 323 * MFS Communications Co., Inc. 15,300 819 MGIC Investment Corp. 13,902 754 * MGM Grand Inc. 17,800 409 * MTL, Inc. 17,400 239 MTS Systems Corp. 9,800 325 * MacFrugal's Bargains Close-Outs, Inc. 11,300 158 The Macerich Co. 12,600 252 * Macromedia 8,200 427 Madison Gas & Electric Co. 2,600 91 * Mafco Consolidated 7,744 139 * Magma Copper Co. Class B 17,820 497 Magna Group 3,448 82 Mallinckrodt Group, Inc. 17,496 636 Manor Care Inc. 14,251 499 Manpower Inc. 18,100 509 Manufactured Home Communities, Inc. 22,400 392 * Manville Corp. 27,800 365 Mapco Inc. 6,500 355 * Marcam Corp. 17,500 263 Marion Capital Holdings 1,500 30 Mark IV Industries, Inc. 29,057 574 * Markel Corp. 4,400 326 * Marquette Electronics Class A 1,304 27 Marsh & McLennan Cos., Inc. 17,517 1,555 Marshall & Ilsley Corp. 22,251 577 Marriott International 30,224 1,156 * Marshall Industries 11,528 370 * Martek Biosciences Corp. 11,700 291 * Marvel Entertainment Group 24,534 319 Masco Corp. 37,512 1,177 MascoTech Inc. 15,800 172 Masland Corp. 10,400 146 * Material Sciences Corp. 11,250 167 Mattel, Inc. 52,256 1,607 * Maxicare Health Plans Inc. 6,900 187 * Maxim Integrated Products, Inc. 14,200 547 * Maxxam Inc. 6,300 222 May Department Stores Co. 59,800 2,527 Maytag Corp. 24,436 495 * McAfee Associates, Inc. 10,469 449 McClatchy Newspapers, Inc. 10,600 242 McCormick & Co., Inc. 18,017 437 McDermott International, Inc. 11,302 249 McDonald's Corp. 166,620 7,519 McDonnell Douglas Corp. 27,229 2,505 The McGraw-Hill Cos. 11,903 1,037 McKesson Corp. 10,403 527 * McMoRan Oil and Gas 78,400 262 * McWorter Technologies Inc. 10,800 159 The Mead Corp. 13,059 682 * Medaphis Corp. 20,816 773 * Medar, Inc. 34,900 281 Media General, Inc. Class A 5,000 152 * MedImmune Inc. 11,500 229 Meditrust 11,600 405 Medtronic, Inc. 55,564 3,105 * Megafoods Stores, Inc. 5,100 1 Mellon Bank Corp. 35,231 1,894 Melville Corp. 24,170 743 * Men's Wearhouse, Inc. 13,950 363 Mentor Corp. 13,496 312 * Mentor Graphics Corp. 22,400 406 Mercantile Bancorp, Inc. 12,919 594 Mercantile Bankshares Corp. 11,600 321 Mercantile Stores Co., Inc. 8,390 388 Merck & Co., Inc. 297,285 19,546 Mercury Finance Co. 40,949 543 Mercury General Corp. 6,500 309 Meredith Corp. 12,750 534 Meridian Bancorp, Inc. 13,096 610 Meridian Diagnostics, Inc. 19,029 211 Merrill Lynch & Co., Inc. 42,048 2,144 * Mesa Airlines, Inc. 44,800 400 Methode Electronics, Inc. Class A 3,051 43 * Metrocall, Inc. 12,300 234 * Fred Meyer, Inc. 16,000 360 Michael Foods, Inc. 19,300 227 * Micrion Corp. 25,400 270 * Micro Warehouse Inc. 9,700 422 * Micron Electronics, Inc. 20,200 218 Micron Technology Inc. 49,700 1,969 * Microsoft Corp. 141,094 12,390 Mid Am Inc. 5,408 89 Mid Atlantic Realty Trust 30,000 259 * Mid Atlantic Medical Services 22,500 546 * Mid-American Waste Systems, Inc. 60,300 211 Midamerican Energy Co. 39,600 663 Middlesex Water Co. 6,000 111 Midlantic Corp. 12,000 788 Herman Miller, Inc. 7,329 222 Millipore Corp. 11,038 454 * Milwaukee Land Co. 7,700 57 Minerals Technologies, Inc. 10,600 387 Minnesota Mining & Manufacturing Co. 100,806 6,678 Minnesota Power & Light Co. 8,800 250 * Mirage Resorts, Inc. 21,450 740 Mitchell Energy & Development Corp. Class A 6,200 115
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Market Value Shares (000)+ - -------------------------------------------------------------------------------- Mobil Corp. 95,294 $ 10,673 * Mobile Telecommunications Technologies Corp. 14,700 314 * Mobilemedia Corp. 12,000 266 Modine Manufacturing Co. 5,862 142 * Mohawk Industries, Inc. 16,400 251 * Molecular Biosystems, Inc. 32,600 224 Molex, Inc. 23,296 745 The Money Store 23,062 360 Monsanto Co. 27,787 3,404 Montana Power Co. 12,900 292 J.P. Morgan & Co., Inc. 45,171 3,625 * Morgan Products Ltd. 9,300 55 Morgan Stanley Group, Inc. 30,016 2,420 Morrison Restaurants 10,875 152 Morton International, Inc. 35,643 1,279 Mosinee Paper Corp. 3,520 92 Motorola, Inc. 142,064 8,098 * Mueller Industries Inc. 2,000 59 * Multicare Cos., Inc. 8,900 214 Murphy Oil Corp. 10,200 423 * Musicland Stores Corp. 28,200 120 * Mycogen Corp. 17,700 303 Mylan Laboratories, Inc. 27,450 645 NAC Re Corp. 9,500 342 NCH Corp. 3,300 191 * NCI Building Systems, Inc. 11,300 278 * NFO Research Inc. 11,635 303 NIPSCO Industries Inc. 14,430 552 NPC International Class A 15,100 108 * NS Group Inc. 72,500 181 N.S. Bancorp Inc. 3,900 152 NYMAGIC, Inc. 5,000 85 Nabisco Holdings Corp. Class A 9,600 313 * Nabors Industries, Inc. 47,500 528 NACCO Industries, Inc. Class A 3,669 204 Nalco Chemical Co. 15,300 461 Nash-Finch Co. 3,900 70 Nashua Corp. 3,800 52 * National Auto Credit Co. 19,939 324 National Bankcorp of Alaska Inc. 3,700 244 * National City Bancorporation 7,189 155 National City Corp. 34,697 1,149 National Fuel & Gas Co. 13,700 461 * National Gaming Corp. 20,680 243 National Health Investors REIT 13,400 444 National Presto Industries, Inc. 2,937 117 National Re Holdings Corp. 9,000 342 * National Semiconductor Corp. 29,818 663 National Service Industries, Inc. 11,291 366 * National Steel Corp. Class B 24,400 314 NationsBank, Inc. 68,527 4,771 Nationwide Health Properties, Inc. 10,900 458 * Navistar International Corp. 15,316 161 Neiman Marcus Group Inc. 14,596 343 * Nellcor Puritan Bennett, Inc. 6,200 362 Thomas Nelson, Inc. 8,250 107 * Neostar Retail Group 19,800 145 * Netscape Communications Corp. 9,000 1,252 * Network General Corp. 13,156 436 * Neurogen Corp. 13,500 367 Nevada Power Co. 21,648 482 New England Electric System 14,700 582 New Jersey Resources Corp. 3,800 114 * New Mexico & Arizona Land Co. 20,240 243 New Plan Realty Trust 19,949 436 New York Bancorp Inc. 4,290 97 New York State Electric & Gas Corp. 16,900 437 New York Times Co. Class A 22,939 680 * Newcare Health Corp. 252 1 Newell Co. 37,794 978 Newhall Land & Farming Co. 17,700 301 Newmont Gold Co. 22,609 989 Newmont Mining Corp. 20,725 938 * News Communications, Inc. 500 2 * Nexstar Pharmaceuticals Inc. 19,272 320 * Nextel Communications 45,100 668 Niagara Mohawk Power Corp. 33,296 320 NICOR, Inc. 11,156 307 Nike, Inc. Class B 34,250 2,385 * Nine West Group, Inc. 8,000 300 Noble Affiliates, Inc. 10,800 323 * Noble Drilling Corp. 47,500 425 NorAm Energy Corp. 18,354 163 * Norand Corp. 8,100 96 * Nord Resources Corp. 135,800 306 Nordson Corp. 4,700 267 Nordstrom, Inc. 19,575 790 Norfolk Southern Corp. 31,241 2,480 * Nortek, Inc. 14,800 174 North American Mortgage 15,300 325 * North American Vaccine, Inc. 23,800 336 North Fork Bancorporation, Inc. 8,400 212 Northeast Utilities 29,800 726 Northern States Power Co. 15,573 765 Northern Trust Corp. 13,400 746 Northrop Grumman Corp. 11,970 766 * Northstar Health Services, Inc. 21,850 130 * Northwest Airlines Corp. Class A 21,300 1,085 Northwest Natural Gas Co. 2,500 82 Norwest Corp. 85,058 2,807 * NovaCare, Inc. 15,488 79 * Novavax, Inc. 7,890 30 * Novell, Inc. 88,952 1,262
31 71
Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * Novellus Systems, Inc. 4,300 $ 233 * Noxso Corp. 36,200 190 Nucor Corp. 21,102 1,205 * Nu-Kote Holding, Inc. Class A 17,400 298 NYNEX Corp. 102,500 5,535 OEA, Inc. 10,900 326 * OHM Corp. 12,100 89 * O'Brien Environmental Energy Inc. Class A 12,900 10 Occidental Petroleum Corp. 76,555 1,636 * Oceaneering International, Inc. 25,000 322 * Octel Communications Corp. 12,000 388 * Office Depot, Inc. 35,425 700 * Officemax Inc. 18,700 418 Ogden Corp. 23,745 508 Ohio Casualty Corp. 7,744 298 Ohio Edison Co. 35,501 834 Oil-Dri Corp. of America 12,200 191 Oklahoma Gas & Electric Co. 9,700 417 Old Kent Financial Corp. 10,392 426 Old Republic International Corp. 12,200 433 Olin Corp. 5,700 423 Olsten Corp. 9,750 385 Omega Healthcare Investors, Inc. 9,800 261 Omega Financial Corp. 3,508 114 Omnicom Group Inc. 17,000 633 * Oncor Inc. 46,000 207 One Valley Bancorp of West Virginia Inc. 6,000 188 * Oneita Industries 25,730 167 ONEOK, Inc. 12,209 279 * Oracle Corp. 104,214 4,416 Oregon Steel Mills, Inc. 17,300 242 * OrNda Healthcorp 13,751 319 * Ortel Corp. 14,900 165 * Oryx Energy Co. 22,127 296 Otter Tail Power Co. 902 32 * Outback Steakhouse 11,600 417 Outboard Marine Corp. 17,252 352 Overseas Shipholding Group Inc. 14,800 281 Owens & Minor, Inc. Holding Co. 14,250 182 * Owens-Corning Fiberglas Corp. 11,852 532 * Owens-Illinois, Inc. 26,928 390 * Oxford Health Plan 7,900 583 Oxford Industries, Inc. 4,800 80 PECO Energy Corp. 52,522 1,582 PHH Corp. 2,900 136 The PMI Group Inc. 8,500 385 PNC Bank Corp. 54,602 1,761 PP&L Resources Inc. 37,802 945 PPG Industries, Inc. 48,838 2,234 Paccar, Inc. 8,739 368 Pacific Enterprises 20,070 567 Pacific Gas & Electric Co. 101,751 2,887 Pacific Telesis Group 102,972 3,462 * Pacificare Health Systems Inc. Class A 4,600 398 * Pacificare Health Systems Inc. Class B 2,800 244 PacifiCorp 67,138 1,427 * Paging Network Inc. 24,000 578 PaineWebber Group, Inc. 22,800 456 Pall Corp. 27,154 730 Panhandle Eastern Corp. 35,744 996 * Parametric Technology Corp. 14,400 956 Parker Hannifin Corp. 17,518 600 Paychex, Inc. 10,175 506 Penn Virginia Corp. 2,500 82 Penncorp Financial Group Inc. 9,900 291 J.C. Penney Co., Inc. 54,506 2,596 Pennzoil Co. 10,272 434 Pentair, Inc. 3,900 195 Penwest Ltd. 6,291 154 Peoples Bank of Bridgeport 20,800 398 Peoples Energy Corp. 10,371 329 * Peoplesoft Inc. 11,600 494 Pep Boys (Manny, Moe & Jack) 13,926 357 PepsiCo, Inc. 189,664 10,597 Perkin-Elmer Corp. 9,187 347 * Perrigo Co. 25,300 302 * Petrie Stores Corp. 12,469 34 * Petro Union, Inc. 35,900 6 * Petrocorp, Inc. 37,100 276 Petrolite Corp. 4,800 134 * Petsmart, Inc. 10,776 334 Pfizer, Inc. 152,092 9,582 * Pharmaceutical Markets 16,200 242 Phelps Dodge Corp. 16,358 1,018 Philip Morris Cos., Inc. 201,950 18,276 Phillips Petroleum Co. 62,835 2,144 Phillips-Van Heusen Corp. 4,100 40 Phoenix Resource Cos., Inc. 20,800 359 * Phycor, Inc. 8,300 420 * PictureTel Corp. 21,100 907 Piedmont Natural Gas, Inc. 4,600 107 Pinnacle Bancorp Group Inc. 1,100 35 Pinnacle West Capital Corp. 19,900 572 Pioneer Group Inc. 12,200 328 Pioneer Hi Bred International 20,066 1,116 Piper Jaffray Cos., Inc. 26,000 358 Pitney Bowes, Inc. 36,316 1,707 Pitt Des Moines, Inc. 2,300 89 * Pittencrieff Communication, Inc. 81,200 312 Pittsburgh & West Virginia Railroad 3,000 22 Pittston Services Group 20,300 637
32 72
Market Value Shares (000)+ - -------------------------------------------------------------------------------- * Plains Resources 26,500 $ 239 * Plantronics, Inc. 10,400 376 Plenum Publishing Corp. 5,200 206 Ply-Gem Industries, Inc. 9,300 151 Pogo Producing Co. 20,800 588 Polaroid Corp. 10,292 488 * Policy Management Systems Corp. 10,570 503 Portland General Electric Co. 11,900 347 Post Properties, Inc. 6,700 214 Potlatch Corp. 7,928 317 Potomac Electric Power Co. 27,400 719 * Power Control Technologies 26,679 217 Praxair, Inc. 32,631 1,097 Precision Castparts Corp. 8,550 340 Premark International, Inc. 14,890 754 Premier Industrial Corp. 19,982 490 * Premisys Communications, Inc. 11,400 644 * Price/Costco Inc. 46,350 713 T. Rowe Price 6,700 328 Price REIT, Inc. 4,700 71 * Primadonna Resorts, Inc. 17,800 258 * Prime Energy Corp. 3,000 8 * Primedex Health Systems Inc. 43,000 11 Procter & Gamble Co. 165,256 13,716 * Progress Software Corp. 11,000 410 Progressive Corp. of Ohio 16,900 826 * Promus Hotel Corp. 23,690 527 Protective Life Corp. 15,000 469 * Proteon Inc. 30,000 195 * Provident American Corp. 33,800 243 * Provident Cos., Inc. 19,700 667 Providian Corp. 22,924 934 * Proxymed Pharmacy, Inc. 17,500 101 Public Service Co. of Colorado 15,200 538 * Public Service Co. of New Mexico 21,480 379 Public Service Enterprise Group Inc. 58,819 1,801 Public Storage, Inc. 18,700 355 Puerto Rican Cement Co., Inc. 7,000 232 Puget Sound Power & Light Co. 14,585 339 Pulte Corp. 16,408 552 * Purepac Inc. 19,500 102 * Pyxis Corp. 8,900 131 * Qlogic 27,600 212 Quaker Chemical Corp. 4,100 54 The Quaker Oats Co. 31,376 1,082 * Qualcomm, Inc. 14,200 610 Quality Food Centers Inc. 6,368 141 * Quantum Restaurant Group 20,200 227 Questar Corp. 8,885 298 The Quick & Reilly Group, Inc. 11,121 228 RJR Nabisco Holdings Corp. 64,537 1,993 RPM Inc. (Ohio) 30,750 504 * RailTex, Inc. 14,500 307 * Ralcorp Holdings Inc. 18,657 452 Ralston-Purina Group 24,850 1,550 * Ramtron International Corp. 7,100 47 Raychem Corp. 10,104 575 * Raymond Corp. 9,371 216 Raymond James Financial, Inc. 15,950 337 Rayonier Inc. 13,775 460 Raytheon Co. 58,664 2,772 * Read-Right Corp. 13,686 317 Reader's Digest Assn., Inc. Class A 24,000 1,230 Reader's Digest Assn., Inc. Class B 1,500 71 * Recovery Engineering, Inc. 17,600 268 Reebok International Ltd. 18,432 521 * Regis Corp. 14,000 333 Regions Financial Corp. 10,410 448 Reliable Life Insurance Co. Class A 1,400 81 Reliance Group Holdings 59,686 515 Reliastar Financial Corp. 8,789 390 * Renaissance Communications 16,350 362 * Republic Industries, Inc. 13,760 495 Republic New York Corp. 13,600 845 * Research Medical, Inc. 12,690 341 * Revco Drug Stores, Inc. 15,600 441 Reynolds & Reynolds Class A 9,700 377 Reynolds Metals Co. 15,287 866 * Rhodes Inc. 15,000 146 Rhone-Poulenc Rorer, Inc. 32,952 1,755 * Riggs National Corp. 27,800 360 * Rightchoice Managed Care, Inc. 14,800 192 Rite Aid Corp. 19,091 654 Riverwood International Corp. 14,300 273 * Robert Half International, Inc. 15,500 649 Rochester Gas and Electric Corp. 15,752 356 Rockwell International Corp. 52,072 2,753 * Rogers Corp. 9,600 209 Rohm & Haas Co. 15,968 1,028 Rollins, Inc. 13,550 300 * Rollins Environmental Services, Inc. 68,174 196 Roosevelt Financial Group 13,134 253 Roper Industries Inc. 1,364 51 * Rowan Cos., Inc. 57,672 570 * Royal Appliance Manufacturing Co. 95,100 238 * Royal Grip, Inc. 11,600 70 Rubbermaid, Inc. 37,946 968 Russell Corp. 15,450 429 Ryder System, Inc. 17,579 435 * S&K Famous Brands Inc. 6,200 38 SBC Communications Inc. 146,118 8,402 SCEcorp 106,910 1,898 SEI Corp. 11,700 252 SJW Corp. 600 23
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Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- S-K-I, Ltd. 19,700 $ 296 * SLM International, Inc. 11,300 13 * SOI Industries, Inc. 2,675 4 * SPS Technologies, Inc. 6,700 358 * SPS Transaction Services 17,800 527 SAFECO Corp. 29,480 1,019 * Safeguard Scientifics, Inc. 14,900 738 Safety-Kleen Corp. 12,609 197 * Safeway, Inc. 25,572 1,317 St. Francis Capital Corp. 11,200 263 St. Joe Paper Co. 7,100 391 * St. Jude Medical, Inc. 16,010 686 St. Mary Land & Exploration Co. 21,100 295 St. Paul Bancorp, Inc. 14,797 378 St. Paul Cos., Inc. 19,968 1,111 Salomon, Inc. 24,685 876 Santa Anita Realty Enterprises 19,600 233 * Santa Fe Energy Resources, Inc. 46,962 452 Santa Fe Pacific Gold Corp. 28,764 349 * Santa Monica Bank 15,200 209 Sara Lee Corp. 115,546 3,683 * Satcon Technology Corp. 21,700 182 Savannah Foods & Industries, Inc. 12,100 138 * Savoy Pictures Entertainment, Inc. 32,800 207 Sbarro, Inc. 3,909 84 SCANA Corp. 23,900 684 * R. P. Scherer Corp. 4,774 235 Schering-Plough Corp. 89,490 4,900 Schlumberger Ltd. 58,247 4,034 * Scholastic Corp. 7,200 561 * Schuler Homes Inc. 17,300 135 A. Schulman Inc. 12,025 269 Charles Schwab Corp. 40,532 816 * Schweitzer-Mauduit International, Inc. 3,737 86 Scientific-Atlanta, Inc. 32,192 483 * Scientific Games Holdings Corp. 10,200 388 * Scios Nova, Inc. 64,700 273 * Scotts Co. 10,800 209 E.W. Scripps Co. 19,276 759 * Seacor Holdings, Inc. 6,600 179 * Seagate Technology 16,758 796 * Seagull Energy Corp. 17,600 392 * Sealed Air Corp. 20,400 574 Sealright Co. 7,600 84 * Search Capital Group, Inc. 38,600 45 Sears, Roebuck & Co. 93,417 3,643 Security Capital Corp. 6,700 406 Security Capital Industrial Trust 18,800 329 Security Capital Pacific Inc. 16,969 335 Sensormatic Electronics Corp. 16,038 279 * Sequa Corp. Class A 13,800 421 * Sequent Computer Systems, Inc. 18,800 270 * Sequus Pharmaceuticals, Inc. 27,800 393 Service Corp. International 24,936 1,097 * Service Merchandise Co., Inc. 10,550 53 Shared Medical Systems Corp. 9,263 502 Shaw Industries, Inc. 32,200 475 Sherwin-Williams Co. 20,589 839 * Shiva Corp. 7,700 562 * Shoney's Inc. 19,615 201 Shopko Stores, Inc. 22,145 249 Showboat, Inc. 3,784 100 * Shuffle Master, Inc. 21,550 256 * Sierra Home Service Cos., Inc. 32,800 30 * Sierra Semiconductor 34,212 477 Sigma Aldrich Corp. 11,900 591 * Signal Technology Corp. 45,800 229 Signet Banking Corp. 13,508 321 SIG Corp. 2,800 97 * Silicon Graphics, Inc. 38,200 1,051 Simmons First National 8,700 268 Simon Property Group 13,500 329 * Sirco International Corp. 46,300 116 * Sithe Energies, Inc. 28,100 169 Sizzler International 40,825 174 A.O. Smith Corp. 16,400 340 * Smithfield Foods, Inc. 2,700 86 Smiths Food & Drug Centers, Inc. Class B 15,196 384 J.M. Smucker Co. Class A 9,700 213 J.M. Smucker Co. Class B 2,500 48 Snap-On Inc. 9,432 427 * Sofamor/Danek Group Inc. 8,800 250 * Software Spectrum, Inc. 14,100 300 * Software Publishing Corp. 23,700 79 * Solectron Corp. 10,100 446 Sonat, Inc. 19,822 706 * Sonic Corp. 13,050 245 Sonoco Products 21,460 563 Sotheby's Holdings Class A 25,500 363 * Southdown, Inc. 14,000 273 Southern California Water Co. 3,400 69 Southern Co. 159,618 3,931 Southern National Corp. 24,150 634 Southern New England Telecommunications Corp. 14,700 584 * Southern Pacific Rail Corp. 36,800 883 * Southland Corp. 88,300 284 SouthTrust Corp. 20,100 518 Southwest Airlines Co. 34,461 801 Southwest Bancshares, Inc. 10,700 288 Southwest Gas Corp. 10,600 187 Southwestern Energy Co. 16,300 208
34 74
Market Value Shares (000)+ - -------------------------------------------------------------------------------- Southwestern Public Service Co. 9,800 $ 321 * Spacelabs Medical 7,739 222 * Spaghetti Warehouse, Inc. 4,400 22 * Specialty Chemical Resources, Inc. 29,400 59 * Spectran Corp. 5,100 28 * Spectranetics Corp. 9,300 24 * Spectrum Holobyte 32,700 211 * Spelling Entertainment 41,100 514 Spiegel, Inc. Class A 25,200 176 * Sports & Recreation 24,550 175 Springs Industries Inc. Class A 5,339 221 Sprint Corp. 83,184 3,317 Stac, Inc. 29,500 424 Standard Federal Bank 11,800 465 * Standard Microsystem 17,300 288 Standard Motor Products, Inc. 7,800 117 Standard Products Co. 4,900 86 The Stanley Works 10,252 528 * Staples, Inc. 25,218 618 Star Banc Corp. 7,200 428 * Starbucks Corp. 16,200 339 L. S. Starrett Co. Class A 5,600 145 * Starter Corp. 43,600 305 State Auto Financial Corp. 8,900 230 State Street Boston Corp. 19,400 873 * Stein Mart, Inc. 14,850 161 * Stephan Co. 8,350 130 * Sterling Chemicals, Inc. 37,900 308 * Sterling Software, Inc. 11,100 692 Stewart & Stevenson Services, Inc. 7,018 178 * Stone Container Corp. 20,812 299 * Stop & Shop Cos. Inc. 12,400 287 * Storage Technology Corp. 11,555 276 * StrataCom, Inc. 8,300 608 * Strategic Distribution, Inc. 54,178 423 * Strattec Strategy Corp. 18,105 319 * Stratus Computer, Inc. 15,700 544 Stride Rite Corp. 25,284 190 Stryker Corp. 11,400 598 Student Loan Marketing Assn. 16,500 1,087 * Styles on Video, Inc. 12,300 6 Sullivan Dental Products, Inc. 12,300 118 Sumitomo Bank of California 10,800 271 * Summit Bancorp 5,700 179 Summit Technology, Inc. 17,100 579 * Sun Coast Industries, Inc. 6,300 43 Sun Co., Inc. 17,888 490 * Sun Microsystems, Inc. 46,018 2,102 SunAmerica Inc. 12,750 606 Sunbeam Corp. 38,000 580 Sundstrand Corp. 7,200 507 * SunGard Data Systems 12,800 360 * Sunrise Medical, Inc. 12,000 222 SunTrust Banks, Inc. 27,524 1,885 * Supercuts, Inc. 17,285 140 Superior Industries International, Inc. 6,150 162 SuperValu Inc. 16,396 516 Surgical Care Affiliates, Inc. 18,300 622 Susquehanna Bankshares PA 10,100 265 * Swift Transportation Co., Inc. 5,100 77 * Swing-n-Slide Corp. 59,182 237 * Sybase, Inc. 16,420 589 * Sybron Corp. 20,096 477 * Symantec Corp. 16,700 387 * Symbol Technologies, Inc. 13,600 537 * Symmetricom Inc. 16,400 224 * Syms Corp. 7,200 54 * Synagro Technologies Inc. 1,046 2 Synalloy Corp. 5,100 106 * Synopsys, Inc. 10,000 381 Synovus Financial Corp. 18,300 522 Sysco Corp. 43,966 1,429 System Software Associates, Inc. 9,900 214 * Systemed Inc. 34,300 156 * Systemix, Inc. 6,620 103 * TBC Corp. 18,450 157 TCA Cable Television, Inc. 12,600 350 TCF Financial Corp. 11,800 391 TECO Energy, Inc. 27,100 694 TIG Holdings, Inc. 14,600 416 TJX Cos., Inc. 35,684 674 TNP Enterprises, Inc. 3,900 73 * TRO Learning, Inc. 16,500 250 TRW, Inc. 15,431 1,196 Talbots Inc. 8,200 236 Tambrands, Inc. 8,223 393 * Tandem Computers, Inc. 27,544 293 Tandy Corp. 15,800 656 Tanger Factory Outlet Centers, Inc. 12,000 300 * Target Therapeutics, Inc. 13,456 577 Taubman Co. REIT 31,500 315 * Team Rental Group, Inc. 16,700 140 * Tech Data Corp. 1,600 24 * Tech-Sym Corp. 11,300 360 Tecumseh Products Co. Class A 6,900 360 * Tejas Gas Corp. 6,380 337 Tektronix, Inc. 7,533 370 * Tele-Communications, Inc. Class A 153,027 3,051 * Tele-Communications, Inc. Class B 4,200 88 * Tele-Communications International, Inc. Series A 28,000 635 Teledyne Inc. 13,036 334 Teleflex Inc. 863 35 Telephone & Data Systems, Inc. 14,000 553
35 75
Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * Tellabs, Inc. 20,800 $ 772 Temple-Inland Inc. 13,511 596 * Tencor Instruments 7,400 180 * Tenet Healthcare Corp. 46,767 970 Tenneco, Inc. 43,563 2,162 * Teradyne, Inc. 19,700 493 Terra Nitrogen Co. LP 1,111 42 Texaco Inc. 62,328 4,893 Texas Instruments, Inc. 45,126 2,335 Texas Utilities Co. 54,208 2,229 Textron, Inc. 20,576 1,389 * Theragenics Corp. 26,200 306 * Thermo Electron Corp. 20,075 1,044 * Thermo Fibertek, Inc. 32,650 739 * Thermo Instrument Systems, Inc. 17,375 586 Thermo Remediation, Inc. 16,400 217 * Thermedics, Inc. 19,350 537 Thiokol Corp. 3,000 102 Thomas & Betts Corp. 4,747 350 Thor Industries, Inc. 6,900 134 Thornburg Mortgage Asset Corp. 21,700 342 * 3 Com Corp. 41,411 1,933 Tidewater, Inc. 12,400 391 Tiffany & Co. 8,584 432 Timberline Software Corp. 35,700 310 Time Warner, Inc. 93,005 3,523 Times Mirror Co. Class A 26,011 881 The Timkin Co. 7,246 277 Titan Wheel International, Inc. 13,950 227 Toastmaster, Inc. 10,300 41 * Today's Man Inc. 28,400 83 * Todd Shipyards Corp. 46,600 274 * Todhunter International, Inc. 19,300 154 * Tokos Medical 33,200 297 * Toll Brothers, Inc. 22,200 511 Tootsie Roll Industries, Inc. 6,842 271 * The Topps Co., Inc. 17,597 92 Torch Energy Royalty Trust 19,900 254 Torchmark Corp. 16,685 755 Tosco Corp. 8,834 337 Total System Services, Inc. 15,400 470 * Total-Tel USA Communications, Inc. 1,320 31 Town & Country Trust 22,400 291 * Toys R Us, Inc. 66,554 1,448 * Trak Auto Corp. 14,000 219 Transamerica Corp. 16,304 1,188 Transatlantic Holdings 5,400 396 Transpo Inc. 23,725 252 * Transport Holdings, Inc. Class A 352 15 * Transworld Home Healthcare, Inc. 32,600 287 Travelers Group Inc. 76,706 4,823 * Tremont Corp. 646 11 Trenwick Group Inc. 4,800 271 Tribune Co. 15,099 923 Trimas Corp. 6,000 113 * Trimble Navigation Ltd. 14,600 274 Trinity Industries, Inc. 9,650 304 * Triton Energy Corp. 8,100 465 The Trust Company of N.J. 7,800 102 Trustmark Corp. 17,100 383 * Tucson Electric Power Co. 92,400 300 Turner Broadcasting Class A 2,400 62 Turner Broadcasting Class B 46,100 1,199 * 20th Century Industries of CA 28,200 560 Tyco International Ltd. 36,846 1,313 * Tyco Toys, Inc. 47,300 213 * Tyler Corp. 108,700 299 Tyson Foods, Inc. 34,746 914 * UAL Corp. 6,395 1,142 * UCAR International, Inc. 10,800 365 UMB Financial Corp. 9,149 317 UNR Industries, Inc. 31,200 271 UNUM Corp. 17,235 948 * URS Corp. 22,300 156 * USAir Group, Inc. 20,563 272 * USDATA Corp. 17,000 253 USF&G Corp. 25,963 438 * USG Corp. 10,700 321 USLIFE Corp. 8,061 241 UST Inc. 47,016 1,569 USX-Marathon Group 69,682 1,359 USX-U.S. Steel Group 18,801 578 * UUnet Technologies, Inc. 6,800 430 Unicom Corp. 51,461 1,685 Unifi, Inc. 15,550 344 Unifirst Corp. 5,000 90 * Unigene 28,300 38 * Unilab Corp. 17,200 46 Union Bank of San Francisco 8,700 470 Union Camp Corp. 16,745 797 Union Carbide Corp. 32,385 1,214 Union Electric Co. 24,603 1,027 Union Pacific Corp. 49,263 3,251 Union Pacific Resources Group, Inc. 20,000 508 Union Planters Corp. 8,800 281 Union Texas Petroleum Holdings, Inc. 20,400 395 * Uniroyal Technology Corp. 1,000 3 * Unisys Corp. 37,480 211 * United Capital Corp. 12,100 83 United Healthcare Corp. 41,800 2,738 United Illuminating Co. 6,300 235 United Jersey Bank Financial Corp. 13,800 493 * United Mobile Homes, Inc. 17,100 167
36 76
Market Value Shares (000)+ - -------------------------------------------------------------------------------- * United States Can Co. 6,709 $ 91 * United States Cellular 20,000 675 United States Surgical Corp. 13,262 283 United States Trust Corp. 7,551 374 United Technologies Corp. 29,639 2,812 United Television, Inc. 5,000 447 * United Waste Systems, Inc. 9,500 352 United Wisconsin 8,400 185 Unitrin Inc. 9,700 462 * Unitrode Corp. 11,711 331 Universal Corp. 10,300 251 * Universal Electronics, Inc. 18,400 141 Universal Foods Corp. 4,413 177 * Universal Health Services Class B 11,200 497 Unocal Corp. 59,101 1,721 Urban Shopping Centers REIT 14,800 316 U S WEST Communications Group 112,886 4,036 * U S WEST Media Group 112,886 2,145 U.S. Bancorp 35,955 1,207 * U.S. Bioscience 45,774 212 U.S. Healthcare, Inc. 36,485 1,694 * U.S. Robotics Corp. 11,290 992 Utilicorp United, Inc. 10,700 314 VF Corp. 15,207 802 * VLSI Technology, Inc. 18,800 340 * Vaalco Energy, Inc. 46,500 15 * Valassis Communication 29,000 508 Valero Energy Corp. 16,500 404 Valhi, Inc. 21,200 135 Valspar Corp. 5,700 254 * Value City Department Stores, Inc. 32,500 219 * Value Health, Inc. 24,372 670 * ValuJet Inc. 13,000 320 * Vanguard Cellular Systems, Inc. Class A 17,613 354 Varian Associates, Inc. 7,700 368 * Varity Corp. 9,400 349 Vastar Resources, Inc. 23,400 743 * Vencor, Inc. 17,600 572 Venture Stores, Inc. 78,700 266 * VeriFone, Inc. 9,200 263 * Veterinary Centers of America, Inc. 18,600 314 * Viacom International Class A 4,953 227 * Viacom International Class B 81,831 3,877 * Vicorp Restaurants, Inc. 16,500 166 * Viewlogic Systems, Inc. 26,000 263 * Viking Office Products 9,300 433 Vintage Petroleum, Inc. 19,100 430 * Vishay Intertechnology, Inc. 13,620 429 * Visix Space Inc. 16,400 642 * Vmark Software, Inc. 46,016 434 * Vons Cos., Inc. 18,900 534 Vornado Realty Trust 7,600 285 Vulcan Materials Co. 8,300 478 * WCI Steel, Inc. 6,400 28 * WMS Industries, Inc. 10,600 174 WMX Technologies Inc. 116,545 3,482 WPL Holdings, Inc. 9,500 291 WPS Resources Corp. 1,021 35 * WRT Energy Corp. 28,200 22 * Waban, Inc. 15,900 298 Wabash National Corp. 10,450 233 Wachovia Corp. 41,200 1,885 Wackenhut Corp. 10,900 196 Wackenhut Corp. Class B 2,900 45 * Wahlco Environmental 38,500 58 Wal-Mart Stores, Inc. 552,298 12,358 Walbro Corp. 10,800 196 Walgreen Co. 59,236 1,770 * Walker Interactive Systems, Inc. 39,900 297 * Wall Data Inc. 16,396 268 Wallace Computer Services, Inc. 5,200 284 Warnaco Group 18,500 463 Warner-Lambert Co. 32,088 3,117 Washington Energy Co. 8,900 166 Washington Federal Inc. 14,880 383 Washington Gas Light Corp. 6,798 139 Washington Mutual Inc. 14,300 411 Washington National Corp. 3,600 99 Washington Post Co. Class B 2,600 733 Washington Water Power Co. 23,000 403 Watkins-Johnson Co. 7,100 311 * Watson Pharmaceuticals, Inc. 14,914 731 Watts Industries Class A 15,800 367 Waverly, Inc. 909 42 * Weatherford Enterra Inc. 26,854 775 Weis Markets, Inc. 9,800 277 * Wellcare Management Group, Inc. 10,100 215 Wellman, Inc. 17,945 408 * Wellpoint Health Networks, Inc. Class A 24,000 771 Wells Fargo & Co. 11,694 2,526 Wellsford Residential Property Trust 15,400 354 Wendy's International, Inc. 23,264 494 Werner Enterprises, Inc. 9,200 184 Westbanco Inc. 1,800 50 Wesco Financial Corp. 1,142 208 * Western Atlas Inc. 12,869 650 Western Bank 13,441 254 Westcorp, Inc. 18,579 344 Western Resources, Inc. 14,300 477 Westinghouse Electric Corp. 92,814 1,531 Westport Bancorp, Inc. 2,200 15 Westvaco Corp. 24,028 667
37 77
Market TOTAL STOCK Value MARKET PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * WetSeal, Inc. Class A 21,900 $ 152 Weyerhaeuser Co. 48,889 2,114 Wheelabrator Technologies 42,662 715 Whirlpool Corp. 17,847 950 * White River 8,042 302 Whitman Corp. 23,838 554 Whitney Holdings 6,570 202 Wicor, Inc. 3,300 106 Willamette Industries, Inc. 13,300 748 Williams Cos., Inc. 24,213 1,062 * Williams Sonoma, Inc. 22,000 408 Wilmington Trust Corp. 15,700 487 Winn Dixie Stores, Inc. 36,344 1,340 * Winners Entertainment, Inc. 36,700 26 * Wisconsin Central Transportation Corp. 7,700 504 Wisconsin Energy Corp. 25,938 794 Witco Chemical Corp. 12,900 377 Wolohan Lumber Co. 28,400 279 * Wonderware Corp. 11,100 188 Woolworth Corp. 30,366 395 * World Acceptance Corp. 22,500 246 * World Corp. 33,600 336 WorldCom, Inc. 46,095 1,631 Worthington Industries, Inc. 21,702 452 Wrigley (Wm.) Jr. Co. 27,924 1,466 Wyle Electronics 8,600 302 * Wyman Gordon Corp. 30,300 417 X-Rite Inc. 10,600 152 Xerox Corp. 25,928 3,552 * Xilinx, Inc. 16,500 501 Yellow Corp. 16,747 208 York International Corp. 9,400 442 * Young Broadcasting Corp. 3,900 108 * Zebra Technologies Class A 12,400 425 Zenith National Insurance Corp. 5,400 115 * Zilog Inc. 9,000 329 Zurn Industries, Inc. 9,400 201 * Zoll Medical Corp. 31,700 277 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (97.5%)(1) (Cost $1,197,715) 1,531,018 - --------------------------------------------------------------------------------
Face Market Amount Value (000) (000)+ - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (2.8%) - -------------------------------------------------------------------------------- U.S. TREASURY BILL--Note D 5.33%, 3/21/96 $ 1,700 $ 1,682 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 5.89%, 1/2/96 42,802 42,802 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $44,483) 44,484 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.3%) (Cost $1,242,198) 1,575,502 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-.3%) - -------------------------------------------------------------------------------- Other Assets--Notes B and E 20,679 Liabilities--Note E (25,292) --------- (4,613) - -------------------------------------------------------------------------------- NET ASSETS (100%) - -------------------------------------------------------------------------------- Applicable to 104,429,024 outstanding shares of beneficial interest (unlimited authorization) $1,570,889 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $15.04 ================================================================================
+ See Note A to Financial Statements. * Non-Income Producing Security. (1)The combined market value of common stocks, Standard & Poor's 500 Index futures contracts, and Standard & Poor's Midcap 400 futures contracts represents 100.0% of net assets.
- -------------------------------------------------------------------------------- AT DECEMBER 31, 1995, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Amount Per (000) Share ----------- --------- Paid in Capital $1,233,079 $11.80 Undistributed Net Investment Income 623 0.01 Accumulated Net Realized Gains 4,197 0.04 Unrealized Appreciation (Depreciation)--Note D: Investment Securities 333,304 3.19 Futures Contracts (314) -- - -------------------------------------------------------------------------------- NET ASSETS $1,570,889 $15.04 - --------------------------------------------------------------------------------
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Market Value GROWTH PORTFOLIO Shares (000)+ - -------------------------------------------------------------------------------- COMMON STOCKS - -------------------------------------------------------------------------------- General Electric Co. 197,414 $14,214 AT&T Corp. 188,148 12,183 The Coca-Cola Co. 148,286 11,010 Merck & Co., Inc. 146,076 9,605 Philip Morris Cos., Inc. 99,338 8,990 Procter & Gamble Co. 81,128 6,734 Johnson & Johnson 76,579 6,557 * Microsoft Corp. 70,000 6,143 Wal-Mart Stores, Inc. 271,398 6,073 Intel Corp. 97,308 5,522 PepsiCo, Inc. 93,166 5,206 American International Group, Inc. 56,050 5,185 Bristol-Myers Squibb Co. 59,908 5,145 Hewlett-Packard Co. 60,500 5,067 GTE Corp. 114,500 5,038 Pfizer, Inc. 74,950 4,722 Motorola, Inc. 69,684 3,972 Abbott Laboratories, Inc. 93,484 3,903 Ameritech Corp. 65,500 3,864 McDonald's Corp. 82,030 3,702 Eli Lilly & Co. 65,228 3,669 The Walt Disney Co. 61,827 3,648 American Home Products Corp. 36,918 3,581 Bell Atlantic Corp. 51,700 3,457 Minnesota Mining & Manufacturing Co. 49,596 3,286 Gillette Co. 52,468 2,735 Kimberly-Clark Corp. 32,898 2,722 Eastman Kodak Co. 40,400 2,707 Home Depot, Inc. 56,357 2,698 Columbia/HCA Healthcare Corp. 52,600 2,669 Unilever NV ADR 18,920 2,663 * Cisco Systems, Inc. 32,300 2,410 Schering-Plough Corp. 43,418 2,377 Pharmacia & Upjohn, Inc. 59,501 2,306 Capital Cities/ABC, Inc. 18,200 2,245 * Oracle Corp. 51,423 2,173 Emerson Electric Co. 26,524 2,168 Anheuser-Busch Co., Inc. 30,026 2,008 Kellogg Co. 25,743 1,989 * Amgen, Inc. 31,396 1,860 Sara Lee Corp. 57,200 1,823 Campbell Soup Co. 29,431 1,766 First Data Corp. 26,329 1,761 Time Warner, Inc. 45,700 1,731 Monsanto Co. 13,600 1,666 * AirTouch Communications 58,500 1,653 Computer Associates International, Inc. 28,580 1,625 AlliedSignal Inc. 33,400 1,587 Warner-Lambert Co. 16,007 1,555 Medtronic, Inc. 27,364 1,529 * COMPAQ Computer Corp. 31,400 1,507 H.J. Heinz Co. 43,669 1,447 Norwest Corp. 41,700 1,376 United Healthcare Corp. 20,700 1,356 Burlington Northern Santa Fe Corp. 16,800 1,310 The Dun & Bradstreet Corp. 20,065 1,299 Automatic Data Processing, Inc. 17,052 1,266 First Interstate Bancorp. 9,000 1,229 Colgate-Palmolive Co. 17,201 1,208 CPC International, Inc. 17,191 1,180 ConAgra, Inc. 28,152 1,161 Texas Instruments, Inc. 22,300 1,154 Enron Corp. 29,720 1,133 Barrick Gold Corp. 41,800 1,102 General Mills, Inc. 18,708 1,080 * U S WEST Media Group 55,700 1,058 * Sun Microsystems, Inc. 22,500 1,027 Gannett Co., Inc. 16,565 1,017 AMP, Inc. 25,764 989 Albertson's, Inc. 29,874 982 Micron Technology Inc. 24,400 967 * Boston Scientific Corp. 19,100 936 Walgreen Co. 29,134 870 Pitney Bowes, Inc. 17,946 843 U.S. Healthcare, Inc. 18,100 839 * Applied Materials, Inc. 21,100 828 Illinois Tool Works, Inc. 13,918 821 Mattel, Inc. 26,088 802 Ralston-Purina Group 12,547 783 Marsh & McLennan Cos., Inc. 8,688 771 Westinghouse Electric Corp. 46,300 764 UST Inc. 22,826 762 First Bank System, Inc. 15,300 759 Hercules, Inc. 13,200 744 * CUC International, Inc. 21,150 722 Wrigley (Wm.) Jr. Co. 13,711 720 The Gap, Inc. 17,003 714 Sysco Corp. 21,494 699 * Cabletron Systems, Inc. 8,500 689 Placer Dome Group, Inc. 28,300 683 W.R. Grace & Co. 11,500 680 MBNA Corp. 17,576 648 Fluor Corp. 9,795 646 Lowes Cos., Inc. 19,000 637 Winn Dixie Stores, Inc. 17,138 632 International Flavors & Fragrances, Inc. 13,107 629 * Novell, Inc. 43,811 619 Alco Standard Corp. 13,300 607 Avon Products, Inc. 8,017 604 Service Corp. International 13,500 594
39 79
Market Value GROWTH PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * 3 Com Corp. 12,600 $ 587 Nucor Corp. 9,880 564 Praxair, Inc. 16,518 555 * The Kroger Co. 14,621 548 Marriott International 14,208 543 Freeport-McMoRan Copper & Gold Inc. Class B 19,000 534 Pioneer Hi Bred International 9,500 528 Great Lakes Chemical Corp. 7,308 526 The Quaker Oats Co. 15,224 525 * Silicon Graphics, Inc. 19,000 523 The McGraw-Hill Cos. 5,915 515 * Humana, Inc. 18,500 506 * LSI Logic Corp. 15,100 495 * DSC Communications Corp. 13,152 485 Newmont Mining Corp. 10,720 485 Newell Co. 18,724 484 H & R Block, Inc. 11,874 481 Dover Corp. 12,932 477 Rubbermaid, Inc. 18,570 474 Tribune Co. 7,478 457 The Clorox Co. 6,214 445 * Computer Sciences Corp. 6,300 443 Comcast Corp. Class A Special 22,477 407 Interpublic Group of Cos., Inc. 9,280 403 Southwest Airlines Co. 17,000 395 * Tellabs, Inc. 10,500 389 W.W. Grainger, Inc. 5,827 386 Engelhard Corp. 17,067 371 Pall Corp. 12,664 340 * St. Jude Medical, Inc. 7,794 333 The Dial Corp. 11,100 329 * Ceridian Corp. 7,400 305 Avery Dennison Corp. 5,900 296 Sigma Aldrich Corp. 5,800 287 Raychem Corp. 5,000 284 * Harrah's Entertainment, Inc. 11,467 278 * FMC Corp. 4,034 273 Whitman Corp. 11,646 271 * Owens-Corning Fiberglas Corp. 5,537 248 Homestake Mining Co. 15,100 236 Allergan, Inc. 7,052 229 Nalco Chemical Co. 7,514 226 * ALZA Corp. 9,040 224 * Biomet, Inc. 12,387 220 Ecolab, Inc. 6,936 208 C.R. Bard, Inc. 6,288 203 Millipore Corp. 4,800 197 Foster Wheeler Corp. 4,400 187 Autodesk, Inc. 5,200 177 Tektronix, Inc. 3,600 177 Harnischfeger Industries Inc. 5,200 173 Perkin-Elmer Corp. 4,576 173 * Andrew Corp. 4,375 167 * Oryx Energy Co. 11,500 154 Bemis Co., Inc. 5,810 149 Shared Medical Systems Corp. 2,600 140 Meredith Corp. 3,100 130 Freeport-McMoRan Copper & Gold Inc. Class A 4,000 112 Jostens Inc. 4,200 102 Cincinnati Milacron, Inc. 3,800 100 * USAir Group, Inc. 6,900 91 Trinova Corp. 3,000 86 Comcast Corp. Class A 4,555 80 * Armco, Inc. 10,600 62 * Shoney's Inc. 3,953 41 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (99.5%)(1) (Cost $223,496) 269,614 - --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.7%) - -------------------------------------------------------------------------------- Face Amount (000) ---------- U.S. TREASURY BILL--Note D 5.33%, 3/21/96 $ 200 198 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 5.89%, 1/2/96 7,193 7,193 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $7,391) 7,391 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (102.2%) (Cost $230,887) 277,005 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-2.2%) - -------------------------------------------------------------------------------- Receivables for Securities Sold 23,523 Other Assets--Note B 5,320 Payables for Securities Purchased (34,502) Other Liabilities (344) --------- (6,003) - -------------------------------------------------------------------------------- NET ASSETS (100%) - -------------------------------------------------------------------------------- Applicable to 19,405,382 outstanding shares of beneficial interest (unlimited authorization) $271,002 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $13.97 ================================================================================
+ See Note A to Financial Statements. * Non-Income Producing Security. (1) The combined market value of common stocks and Standard & Poor's Growth Index futures contracts represents 100.1% of net assets. 40 80
- -------------------------------------------------------------------------------- AT DECEMBER 31, 1995, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Amount Per (000) Share ---------- --------- Paid in Capital $223,191 $11.50 Undistributed Net Investment Income 142 .01 Accumulated Net Realized Gains 1,573 .08 Unrealized Appreciation (Depreciation)--Note D: Investments Securities 46,118 2.38 Futures Contracts (22) -- - -------------------------------------------------------------------------------- NET ASSETS $271,002 $13.97 - --------------------------------------------------------------------------------
Market Value VALUE PORTFOLIO Shares (000)+ - -------------------------------------------------------------------------------- COMMON STOCKS - -------------------------------------------------------------------------------- Exxon Corp. 266,291 $21,337 Royal Dutch Petroleum Co. ADR 114,912 16,217 International Business Machines Corp. 121,948 11,189 Mobil Corp. 84,870 9,505 BellSouth Corp. 213,052 9,268 General Motors Corp. 160,258 8,474 E.I. du Pont de Nemours & Co. 119,100 8,322 Amoco Corp. 106,554 7,659 SBC Communications Inc. 130,700 7,515 Chevron Corp. 139,890 7,344 Federal National Mortgage Assn. 58,463 7,257 Ford Motor Co. 230,306 6,679 Citicorp 91,146 6,130 The Boeing Co. 73,627 5,771 BankAmerica Corp. 79,363 5,139 NYNEX Corp. 91,612 4,947 Chrysler Corp. 81,995 4,540 Texaco Inc. 56,619 4,445 Travelers Group Inc. 68,457 4,304 American Express Co. 103,873 4,298 NationsBank, Inc. 57,902 4,031 Allstate Corp. 96,174 3,955 Dow Chemical Co. 56,182 3,954 Atlantic Richfield Co. 34,400 3,810 MCI Communications Corp. 145,376 3,798 * Viacom International Class B 77,300 3,662 U S WEST Communications Group 100,933 3,608 Schlumberger Ltd. 51,800 3,587 Southern Co. 142,886 3,519 Lockheed Martin Corp. 42,900 3,389 Sears, Roebuck & Co. 83,569 3,259 Federal Home Loan Mortgage Corp. 38,791 3,239 J.P. Morgan & Co., Inc. 40,327 3,236 Xerox Corp. 23,157 3,173 Banc One Corp. 83,870 3,166 Chemical Banking Corp. 53,618 3,150 WMX Technologies Inc. 103,800 3,101 Pacific Telesis Group 91,900 3,090 PPG Industries, Inc. 67,000 3,065 Sprint Corp. 74,800 2,983 Union Pacific Corp. 44,100 2,911 The Seagram Co. Ltd. 80,014 2,770 General Re Corp. 17,576 2,724 First Chicago NBD Corp. 68,777 2,717 Pacific Gas & Electric Co. 91,018 2,583 Caterpillar, Inc. 42,400 2,491 Baxter International, Inc. 59,348 2,485 United Technologies Corp. 26,166 2,483 Rockwell International Corp. 46,575 2,463 Raytheon Co. 51,950 2,455
41 81
Market Value VALUE PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- Northern Telecom Ltd. 54,400 $ 2,339 The Chase Manhattan Corp. 38,358 2,325 PNC Bank Corp. 71,925 2,320 J.C. Penney Co., Inc. 48,400 2,305 May Department Stores Co. 53,440 2,258 Wells Fargo & Co. 10,337 2,233 McDonnell Douglas Corp. 24,058 2,213 Norfolk Southern Corp. 27,840 2,210 Fleet Financial Group, Inc. 52,755 2,150 Nike, Inc. Class B 30,702 2,138 The Bank of New York Co., Inc. 42,900 2,091 Duke Power Co. 43,972 2,083 International Paper Co. 54,644 2,070 * Digital Equipment Corp. 32,219 2,066 CSX Corp. 45,100 2,058 Archer-Daniels-Midland Co. 113,680 2,046 First Union Corp. 36,570 2,034 Aluminum Co. of America 37,994 2,009 Texas Utilities Co. 48,427 1,992 Loews Corp. 25,300 1,983 Deere & Co. 56,132 1,979 Merrill Lynch & Co., Inc. 37,708 1,923 Phillips Petroleum Co. 56,100 1,914 Tenneco, Inc. 38,200 1,896 Weyerhaeuser Co. 43,642 1,888 KeyCorp 50,800 1,842 FPL Group, Inc. 39,669 1,840 The Chubb Corp. 18,621 1,802 American Brands, Inc. 38,874 1,735 Dean Witter Discover & Co. 36,204 1,702 Aetna Life & Casualty Co. 24,497 1,696 SCEcorp 95,516 1,695 CIGNA Corp. 16,319 1,685 SunTrust Banks, Inc. 24,500 1,678 Wachovia Corp. 36,500 1,670 Mellon Bank Corp. 30,322 1,630 American Electric Power Co., Inc. 39,936 1,617 Consolidated Edison Co. of New York, Inc. 50,377 1,612 Public Service Enterprise Group Inc. 52,519 1,608 Corning, Inc. 49,100 1,571 * Tele-Communications, Inc. Class A 77,918 1,549 Unocal Corp. 52,900 1,541 Dominion Resources, Inc. 37,205 1,535 American General Corp. 43,874 1,530 Unicom Corp. 46,104 1,510 Alcan Aluminium Ltd. 48,333 1,504 The Goodyear Tire & Rubber Co. 32,690 1,483 Occidental Petroleum Corp. 68,223 1,458 PECO Energy Corp. 47,580 1,433 Entergy Corp. 48,887 1,430 Houston Industries, Inc. 56,336 1,366 Georgia-Pacific Corp. 19,700 1,352 Morgan Stanley Group, Inc. 16,700 1,346 The Limited, Inc. 76,700 1,333 ITT Corp. 25,018 1,326 First Fidelity Bancorp. 17,546 1,323 Honeywell, Inc. 27,200 1,323 Loral Corp. 36,944 1,307 R.R. Donnelley & Sons Co. 32,968 1,298 PacifiCorp 61,012 1,297 * Toys R Us, Inc. 58,600 1,275 Air Products & Chemicals, Inc. 23,976 1,265 Halliburton Co. 24,565 1,244 Household International, Inc. 20,989 1,241 Textron, Inc. 18,163 1,226 Barnett Banks, Inc. 20,754 1,224 * AMR Corp. 16,370 1,215 ALLTEL Corp. 41,100 1,212 * ITT Hartford Group, Inc. 25,018 1,210 USX-Marathon Group 61,621 1,202 Lincoln National Corp. 22,300 1,199 * Federated Department Stores 43,400 1,194 Conrail, Inc. 16,840 1,179 Dayton-Hudson Corp. 15,400 1,155 Central & South West Corp. 41,262 1,150 Morton International, Inc. 31,800 1,141 Carolina Power & Light Co. 32,962 1,137 Boatmen's Bancshares, Inc. 27,696 1,132 CoreStates Financial Corp. 29,900 1,132 Bankers Trust New York Corp. 16,873 1,122 Bank of Boston Corp. 24,101 1,115 Union Carbide Corp. 29,407 1,103 TRW, Inc. 14,070 1,090 Browning-Ferris Industries, Inc. 36,800 1,086 U.S. Bancorp 32,430 1,086 Hershey Foods Corp. 16,600 1,079 Masco Corp. 34,400 1,079 Eastman Chemical 17,200 1,077 DTE Energy Co. 31,096 1,073 Transamerica Corp. 14,629 1,066 Burlington Resources, Inc. 27,100 1,064 Becton, Dickinson & Co. 14,156 1,062 Amerada Hess Corp. 19,978 1,059 National City Corp. 31,629 1,048 CINergy Corp. 33,563 1,028 St. Paul Cos., Inc. 18,084 1,006 Comerica, Inc. 24,600 987 Williams Cos., Inc. 21,812 957 Genuine Parts Co. 23,300 955 Dresser Industries, Inc. 39,100 953 Rohm & Haas Co. 14,500 933 SAFECO Corp. 27,020 932 Phelps Dodge Corp. 14,858 925 Union Electric Co. 21,906 915 Consolidated Natural Gas Co. 19,982 907
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Market Value Shares (000)+ - -------------------------------------------------------------------------------- Baltimore Gas & Electric Co. 31,617 $ 901 * Federal Express Corp. 12,110 895 Panhandle Eastern Corp. 32,114 895 * Tenet Healthcare Corp. 42,922 891 Tyco International Ltd. 25,000 891 Eaton Corp. 16,600 890 General Public Utilities Corp. 25,700 874 Champion International Corp. 20,669 868 UNUM Corp. 15,600 858 PP&L Resources Inc. 34,100 853 Cooper Industries, Inc. 23,115 849 Inco Ltd. 25,480 847 American Stores Co. 31,588 845 Whirlpool Corp. 15,852 844 Coastal Corp. 22,554 840 Apple Computer, Inc. 26,276 834 Providian Corp. 20,412 832 Dow Jones & Co., Inc. 20,840 831 Ingersoll-Rand Co. 23,329 819 Times Mirror Co. Class A 24,124 817 Delta Air Lines, Inc. 10,974 811 Salomon, Inc. 22,856 811 * Crown Cork & Seal Co., Inc. 19,400 810 General Dynamics Corp. 13,494 798 Reynolds Metals Co. 13,603 770 Ohio Edison Co. 32,744 769 Great Western Financial Corp. 29,265 746 Republic New York Corp. 12,000 746 Sherwin-Williams Co. 18,300 746 Baker Hughes, Inc. 30,262 738 VF Corp. 13,643 720 Union Camp Corp. 15,056 717 Kmart Corp. 98,488 714 Northern States Power Corp. 14,536 714 Jefferson-Pilot Corp. 15,299 711 Nordstrom, Inc. 17,600 708 Kerr-McGee Corp. 11,044 701 Golden West Financial Corp. 12,558 694 Torchmark Corp. 15,347 694 Melville Corp. 22,535 693 Dillard Department Stores Class A 24,268 692 Northrop Grumman Corp. 10,515 673 H.F. Ahmanson & Co. 25,203 668 Premark International, Inc. 13,100 663 Willamette Industries, Inc. 11,800 661 Knight-Ridder, Inc. 10,524 658 Sonat, Inc. 18,474 658 Harcourt General, Inc. 15,600 653 Black & Decker Corp. 18,424 649 * Price/Costco Inc. 41,774 637 Dana Corp. 21,678 634 Hilton Hotels Corp. 10,300 633 Laidlaw Inc. Class B 60,700 622 Rite Aid Corp. 17,923 614 New York Times Co. Class A 20,669 612 Johnson Controls, Inc. 8,867 610 The Mead Corp. 11,663 609 Westvaco Corp. 21,917 608 Mallinckrodt Group, Inc. 16,600 604 ITT Industries, Inc. 25,018 600 * National Semiconductor Corp. 26,645 593 Hasbro, Inc. 18,780 582 Circuit City Stores, Inc. 20,800 575 * Western Atlas Inc. 11,338 573 Tandy Corp. 13,662 567 Louisiana-Pacific Corp. 23,100 560 USX-U.S. Steel Group 17,792 547 Brown-Forman Corp. Class B 14,917 544 Parker Hannifin Corp. 15,812 541 Beneficial Corp. 11,368 530 Temple-Inland Inc. 11,994 529 Cyprus Amax Minerals Co. 20,132 526 Federal Paper Board Co., Inc. 10,111 524 Deluxe Corp. 17,700 513 Pacific Enterprises 18,100 511 Brunswick Corp. 20,600 494 The Stanley Works 9,600 494 Wendy's International, Inc. 23,145 492 Armstrong World Industries Inc. 7,900 490 Bausch & Lomb, Inc. 12,296 487 Ashland Inc. 13,606 478 * Columbia Gas Systems, Inc. 10,845 476 Echlin, Inc. 12,900 471 Manor Care Inc. 13,400 469 Maytag Corp. 23,105 468 Harris Corp. 8,487 464 SuperValu Inc. 14,573 459 Reebok International Ltd. 16,200 458 Polaroid Corp. 9,652 457 American Greetings Corp. Class A 16,186 447 Sun Co., Inc. 16,153 442 Cooper Tire & Rubber Co. 17,900 441 Liz Claiborne, Inc. 15,877 440 James River Corp. 17,567 424 Ryder System, Inc. 17,150 424 Pennzoil Co. 9,918 419 Caliber System Inc. 8,400 410 USF&G Corp. 24,135 407 Darden Restaurants Inc. 33,900 402 * Fruit of the Loom, Inc. 16,500 402 Giant Food, Inc. Class A 12,767 402 Moore Corp. Ltd. 21,428 399 Snap-On Inc. 8,703 394 The BF Goodrich Co. 5,568 379
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Market Value VALUE PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- Advanced Micro Devices, Inc. 22,689 $ 374 Woolworth Corp. 28,411 369 Mercantile Stores Co., Inc. 7,893 365 Paccar, Inc. 8,493 357 Boise Cascade Corp. 10,261 355 Pep Boys (Manny, Moe & Jack) 13,300 341 Santa Fe Pacific Gold Corp. 28,100 341 National Service Industries, Inc. 10,415 337 * Bethlehem Steel Corp. 24,000 336 General Signal Corp. 10,300 333 * Varity Corp. 8,700 323 Thomas & Betts Corp. 4,300 317 Cummins Engine Co., Inc. 8,500 314 Louisiana Land & Exploration Co. 7,300 313 * King World Productions, Inc. 7,900 307 Teledyne Inc. 11,900 305 NICOR, Inc. 10,922 300 Niagara Mohawk Power Corp. 31,029 299 TJX Cos., Inc. 15,711 296 Stone Container Corp. 20,500 295 ASARCO, Inc. 9,123 292 Echo Bay Mines Ltd. 27,700 287 Pittston Services Group 9,000 282 Briggs & Stratton Corp. 6,200 269 * Tandem Computers, Inc. 25,029 266 Inland Steel Industries, Inc. 10,552 265 United States Surgical Corp. 12,298 263 Fleetwood Enterprises, Inc. 10,054 259 McDermott International, Inc. 11,734 258 The Timkin Co. 6,688 256 Potlatch Corp. 6,364 254 EG & G, Inc. 10,300 250 Consolidated Freightways, Inc. 9,400 249 Crane Co. 6,500 240 NorAm Energy Corp. 27,064 240 ENSERCH Corp. 14,483 235 Peoples Energy Corp. 7,398 235 Russell Corp. 8,432 234 Ogden Corp. 10,753 230 * Beverly Enterprises Inc. 21,267 226 USLIFE Corp. 7,431 222 * Amdahl Corp. 25,769 219 Centex Corp. 6,104 212 * Unisys Corp. 37,200 209 Alberto-Culver Co. Class B 6,000 206 Longs Drug Stores, Inc. 4,249 203 Worthington Industries, Inc. 9,791 203 Safety-Kleen Corp. 12,605 197 Pulte Corp. 5,779 194 * Santa Fe Energy Resources, Inc. 19,792 191 Great Atlantic & Pacific Tea Co., Inc. 8,118 187 Adolph Coors Co. Class B 8,257 183 Alexander & Alexander Services, Inc. 9,500 181 * Rowan Cos., Inc. 17,600 174 Springs Industries Inc. Class A 4,200 174 Ball Corp. 6,293 173 Fleming Cos., Inc. 8,203 169 * Navistar International Corp. 15,900 167 Helmerich & Payne, Inc. 5,400 161 * Intergraph Corp. 9,800 154 Scientific-Atlanta, Inc. 10,200 153 Eastern Enterprises 4,200 148 * Bally Entertainment Corp. 10,200 143 * Cray Research, Inc. 5,600 139 John H. Harland Co. 6,600 138 ONEOK, Inc. 5,600 128 Giddings & Lewis, Inc. 7,078 115 Community Psychiatric Centers 9,200 113 NACCO Industries, Inc. Class A 2,000 111 * Data General Corp. 7,900 109 Luby's Cafeterias, Inc. 4,900 109 Kaufman & Broad Home Corp. 6,900 103 Outboard Marine Corp. 4,300 88 Stride Rite Corp. 10,300 77 Yellow Corp. 6,174 76 * Ryan's Family Steak Houses, Inc. 10,700 74 Charming Shoppes, Inc. 20,404 57 Zurn Industries, Inc. 2,400 51 Brown Group, Inc. 3,500 50 Handleman Co. 7,400 43 * Viacom International Class A 766 35 Norwest Corp. 600 20 Westinghouse Electric Corp. 1,000 17 * Zenith Electronics Corp. 115 1 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (99.6%)(1) (Cost $407,029) 494,178 - --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.4%) - -------------------------------------------------------------------------------- Face Amount (000) --------- U.S. TREASURY BILL--Note D 5.33%, 3/21/96 $ 200 198 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 5.89%, 1/2/96 1,895 1,895 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $2,093) 2,093 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100%) (Cost $409,122) 496,271 - --------------------------------------------------------------------------------
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Market Value (000)+ - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES - -------------------------------------------------------------------------------- Receivables for Securities Sold $ 44,184 Other Assets--Notes B and E 4,156 Payables for Securities Purchased (46,114) Other Liabilities--Note E (2,170) --------- 56 - -------------------------------------------------------------------------------- NET ASSETS (100%) - -------------------------------------------------------------------------------- Applicable to 33,551,387 outstanding shares of beneficial interest (unlimited authorization) $496,327 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $14.79 ================================================================================
+ See Note A to Financial Statements. * Non-Income Producing Security. (1) The combined market value of common stocks and Standard & Poor's Value Index futures contracts represents 99.9% of net assets.
- -------------------------------------------------------------------------------- AT DECEMBER 31, 1995, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Amount Per (000) Share --------- -------- Paid in Capital $399,764 $11.91 Undistributed Net Investment Income 195 .01 Accumulated Net Realized Gains 9,219 .27 Unrealized Appreciation (Depreciation)--Note D: Investment Securities 87,149 2.60 Futures Contracts -- -- - -------------------------------------------------------------------------------- NET ASSETS $496,327 $14.79 - --------------------------------------------------------------------------------
Market SMALL CAPITALIZATION Value STOCK PORTFOLIO Shares (000)+ - -------------------------------------------------------------------------------- COMMON STOCKS - -------------------------------------------------------------------------------- AAR Corp. 39,200 $ 862 ABM Industries 22,100 613 * ABR Information Services, Inc. 18,250 789 * ACX Technologies Inc. 39,400 596 AK Steel Holding Corp. 33,900 1,161 AMLI Residential Properties Trust 21,400 428 * APS Holding Corp. 26,900 599 * AST Research, Inc. 43,759 377 * ATS Medical, Inc. 59,300 552 * Access Health Marketing, Inc. 23,000 1,023 * Accustaff, Inc. 20,800 907 Ackerley Communications, Inc. 12,400 189 * Acme Electric Corp. 43,400 396 Acordia, Inc. 22,300 666 * Actel Corp. 58,000 627 * Active Voice Corp. 16,300 436 * Acuson Corp. 52,250 647 * Acxiom Corp. 28,600 786 ADAC Laboratories 53,233 639 * Addington Resources, Inc. 30,700 443 * Adelphia Communications Corp. Class A 37,300 247 * Advanced Technology Laboratories, Inc. 20,000 493 * Advanced Tissue Sciences Inc. 73,200 737 * Advantage Healthcare Corp. 18,500 809 ADVO, Inc. 41,950 1,091 * Agouron Pharmaceuticals, Inc. 19,800 656 * Air and Water Technologies Corp. Class A 32,900 202 Air Express International Corp. 25,100 571 Airborne Freight Corp. 35,000 932 * Alantec Corp. 20,500 1,194 * Alaska Air Group, Inc. 42,600 692 Albank Financial Corp. 23,700 712 Albany International Corp. 40,200 729 Alex Brown, Inc. 20,500 861 * Alexander's, Inc. 10,100 702 Alfa Corp. 55,700 954 Alico, Inc. 21,900 558 The Allen Group, Inc. 43,760 979 * Alliance Pharmaceutical Corp. 36,800 499 * Alliant Techsystems, Inc. 23,000 1,164 * Alltrista Corp. 18,793 342 * Allwaste, Inc. 120,700 573 * Alpha Industries, Inc. 29,300 414 Alpharma Inc. Class A 32,100 839 * Amax Gold, Inc. 78,131 566 Amcast Industrial Corp. 30,700 560 Amcol International Corp. 26,800 384 Amcore Financial 28,380 582
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Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * Amerco Inc. 7,400 $ 152 * America West Airlines, Inc. 68,900 1,171 * American Annuity Group Inc. 51,000 606 American Bankers Insurance Group 33,300 1,305 * American Buildings Co. 18,900 421 American Filtrona Corp. 14,900 514 * American Freightways 32,800 342 American Health Properties, Inc. 33,500 720 American Health Properties Psychiatric Group 2,870 44 American Heritage Life Investment Corp. 26,532 607 * American Management Systems, Inc. 44,050 1,324 American Media Class A 101,000 429 * American Medical Response, Inc. 21,700 705 * American Mobile Satellite Corp., Inc. 24,400 750 American President Cos., Ltd. 44,700 1,028 * American Superconductor Corp. 38,300 565 * American Travellers Corp. 28,500 800 * Americredit Corp. 57,100 778 * Amerisource Health Corp. 36,300 1,198 Ameron, Inc. 13,700 515 Ametek, Inc. 57,600 1,080 * Ampal-American Israel Corp. 78,800 414 Amresco, Inc. 61,200 765 Amsco International, Inc. 52,400 779 Analogic Corp. 28,100 506 Anchor Bancorp Wisconsin Inc. 19,175 690 * Anchor Gaming 28,700 657 Angelica Corp. 27,000 554 * AnnTaylor Stores Corp. 39,100 401 * Antec Corp. 15,200 273 Anthony Industries, Inc. 31,010 713 Apogee Enterprises, Inc. 36,600 627 Apple South, Inc. 57,850 1,237 Applebee's International, Inc. 51,200 1,178 * Applied Bioscience International, Inc. 32,308 222 * Applied Digital Access, Inc. 46,400 557 * Applied Innovation Inc. 48,200 575 * Applied Magnetics Corp. 36,200 674 Applied Power, Inc. 18,300 549 * Applix, Inc. 37,000 999 * Apria Healthcare 75,800 2,160 Aptargroup Inc. 29,900 1,118 Aquarion Co. 24,986 637 Arbor Drugs, Inc. 34,300 716 * Arch Communications Group, Inc. 39,200 943 Arctco Inc. 49,300 638 Argonaut Group, Inc. 29,100 953 * Argosy Gaming Co. 50,400 378 * Armco, Inc. 128,500 755 Arnold Industries, Inc. 34,900 615 * Artisoft, Inc. 47,600 306 Arvin Industries, Inc. 35,500 586 Ashland Coal Inc. 20,600 440 * Aspect Telecommunications 36,200 1,208 Associated Banc-Corp. 25,883 1,055 * Associated Group, Inc. 26,524 491 * Associated Group, Inc. Class B 375 7 Astoria Financial Corp. 18,200 833 * Asyst Technologies, Inc. 14,900 527 * Atari Corp. 134,800 185 * Athena Neurosciences, Inc. 57,000 691 Atmos Energy Corp. 23,200 534 * Atria Software, Inc. 18,300 714 Augat, Inc. 26,900 461 * Aura Systems, Inc. 82,500 467 * Auspex Systems, Inc. 37,100 672 Authentic Fitness Corp. 27,900 579 * Autotote Corp. 51,500 150 Avalon Properties 47,700 1,026 * Avant! Corp. 12,675 239 * Avatar Holding, Inc. 17,600 609 Avemco Corp. 29,700 475 Aviall Inc. 69,075 648 * Avid Technology, Inc. 33,600 640 * Aztar Corp. 78,500 628 * BBN Corp. 38,600 1,587 BHC Financial Inc. 28,675 513 * BISYS Group, Inc. 31,200 952 * BJ Services Co. 48,400 1,404 BMC Industries, Inc. 54,800 1,274 BRE Properties Inc. Class A 16,700 595 BSB Bancorp, Inc. 26,873 679 BW/IP Inc. 37,200 605 * Baby Superstore, Inc. 14,300 813 J. Baker, Inc. 54,100 301 Baldor Electric Co. 40,470 814 Ballard Medical Products 44,166 789 * Bally Entertainment Corp. 76,200 1,067 Bancorpsouth, Inc. 27,100 549 * Banctec, Inc. 51,828 959 Bank of Granite Corp. 14,650 419 Bank of New Hampshire Corp. 6,700 291 Bank North Group 23,000 880 Banta Corp. 33,500 1,487 * Banyan Systems, Inc. 17,900 183 Barefoot, Inc. 42,000 433 Barnes Group, Inc. 9,500 342 * Barr Labs Inc. 20,600 613 * Barrett Resources Corp. 56,300 1,654 Bassett Furniture Industries, Inc. 21,525 495 Bay Apartment Communities, Inc. 33,700 817 * Bay Networks 22,208 912
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Market Value Shares (000)+ - -------------------------------------------------------------------------------- Bay State Gas Co. 20,881 $ 579 Bay View Capital Corp. 24,910 719 Beacon Properties Corp. 30,800 708 Bearings, Inc. 31,800 930 Belden Inc. 40,800 1,051 Bell Bancorp, Inc. 23,900 859 * Benson Eyecare Corp. 68,399 616 * Benton Oil & Gas Co. 37,500 560 W.R. Berkley Corp. 20,950 1,121 Berkshire Realty Co., Inc. 69,000 664 Berry Petroleum Class A 45,300 459 Bindly Western Industries, Inc. 30,300 515 Biocraft Laboratories 20,700 274 * Bio-Rad Labs, Inc. Class A 17,700 752 * Biotechnology General 139,000 639 Birmingham Steel Corp. 47,500 707 * Black Box Corp. 43,000 704 Black Hills Corp. 21,900 542 Blair Corp. 11,000 347 Blessings Corp. 28,000 291 Block Drug Co. Class A 23,362 815 * Blyth Industries, Inc. 30,000 885 * Boca Research, Inc. 21,300 572 * Boise Cascade Office Products Corp. 6,600 282 * Bombay Co. 58,975 376 * Books-a-Million Inc. 20,600 263 * Boole & Babbage Inc. 37,575 907 * Borders Group, Inc. 62,800 1,162 Borg-Warner Automotive, Inc. 41,000 1,312 * Borg-Warner Security Corp. 26,600 333 * Borland International, Inc. 45,500 754 Boston Bancorp 18,400 741 * Boston Technology, Inc. 30,700 393 Bowne & Co., Inc. 25,000 500 * Box Energy Corp. Class B 55,400 474 W.H. Brady Class A 37,800 1,002 Breed Technological Inc. 20,400 377 Brenco, Inc. 41,800 434 Brenton Banks, Inc. 22,650 484 * Bright Voice Systems, Inc. 30,000 413 * Broadband Technologies, Inc. 20,600 332 * Broadway & Seymour, Inc. 14,900 238 * Brooklyn Bancorp, Inc. 20,305 825 * Brooktree Corp. 52,600 628 Brown Group, Inc. 23,600 336 Brush Wellman, Inc. 27,500 474 * Buffets Inc. 42,700 598 * Burlington Coat Factory Warehouse Corp. 18,100 186 * Burlington Industries 111,900 1,469 * Burr-Brown Corp. 25,900 651 * CAI Wireless Systems Inc. 40,455 387 CBL & Associates Properties, Inc. 32,100 698 CCB Financial Corp. 24,283 1,348 * C-Cor Electronics, Inc. 19,300 449 * C-Cube Microsystems, Inc. 57,000 3,577 CCH Inc. Class A 41,100 2,276 * CDI Corp. 38,500 693 CKE Restaurants Inc. 25,400 406 CMAC Investment Corp. 18,100 796 CML Group, Inc. 70,200 360 CNB Bankshares, Inc. 30,521 862 CPI Corp. 22,000 352 * CSF Holdings, Inc. 29,125 1,160 * C-TEC Corp. 32,300 997 CWM Mortgage Holdings Inc. 71,100 1,209 * Cable Design Technologies 15,800 703 Cabot Oil & Gas Corp. 36,426 533 * Cal Fed Bancorp Inc. 84,978 1,338 * Calgene, Inc. 31,600 142 Calgon Carbon Corp. 43,700 524 Cali Realty Corp. 14,200 311 * California Federal Bank Goodwill Participation Certificates 2,667 13 * California Microwave, Inc. 24,200 398 California Water Service Co. 20,113 656 Calmat Co. 30,000 548 * Cambridge Technology Partners 19,000 1,076 Camco International, Inc. 42,000 1,176 Camden Property Trust 23,300 556 * Canandaigua Wine Co., Inc. Class A 14,800 485 * Canandaigua Wine Co., Inc. Class B 6,400 220 * Cannondale Corp. 25,000 403 Capital Re Corp. 19,800 609 Capitol American Financial Corp. 18,400 416 Capstead Mortgage Corp. 39,800 910 * Capsure Holdings 22,600 398 Caraustar Industries, Inc. 32,800 664 * Career Horizons Inc. 24,000 801 Carlisle Co., Inc. 24,100 973 * Carmike Cinemas, Inc. Class A 30,100 677 Carpenter Technology Corp. 28,200 1,160 Carr Realty Corp. 36,300 885 * Carrington Labs Inc. 18,500 576 * Carson Pirie Scott & Co. 28,800 572 Carter-Wallace, Inc. 37,700 429 Cascade Natural Gas Corp. 34,550 557 Casey's General Stores 50,700 1,106 Cash America International Inc. 89,800 494 * Casino Magic Corp. 86,000 263 * Catalina Marketing Corp. 15,900 998 * Catellus Development Corp. 121,550 729 Cato Corp. Class A 14,600 112 * Cellpro, Inc. 15,800 251 * Cellular Communications International Inc. 19,900 843
47 87
Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * Cellular Communications of Puerto Rico, Inc. 14,800 $ 403 * Cellular Technical Services Co. 29,712 683 * Centex Construction Products 28,000 403 * Centocor, Inc. 5,000 155 Central Hudson Gas & Electric Corp. 27,900 861 Central Louisiana Electric Co. 36,300 976 Central Maine Power Co. 54,014 776 Central Vermont Public Service Corp. 40,300 539 Centura Banks, Inc. 37,700 1,324 * Century Communications Corp. Class A 66,816 535 * Cephalon Inc. 36,900 1,506 * Ceridian Corp. 20,000 825 * Champion Enterprises, Inc. 41,900 1,294 * Champion Healthcare Corp. 39,800 211 Chaparral Steel Co. 33,500 561 Charming Shoppes, Inc. 153,800 447 Charter One Financial 77,535 2,365 Charter Power Systems, Inc. 16,700 474 * Chase Brass Industries, Inc. 38,600 487 * Checkers Drive-In Restaurant 58,600 60 * Checkpoint Systems, Inc. 23,500 878 Chelsea GCA Realty, Inc. 25,000 750 Chemed Corp. 21,600 840 Chemical Finance 14,593 580 * The Cherry Corp. Class A 15,800 158 * The Cherry Corp. Class B 15,000 148 Chesapeake Corp. of Virginia 39,300 1,164 * Chesapeake Energy Corp. 32,400 1,077 * Cheyenne Software, Inc. 65,100 1,701 * Chic by H.I.S., Inc. 46,300 255 * Children's Discovery Centers of America, Inc. 26,900 129 Chiquita Brands International, Inc. 46,500 639 Chittenden Corp. 24,588 781 * Christiana Cos., Inc. 16,400 369 Church and Dwight, Inc. 29,400 544 * Cidco, Inc. 15,600 396 Cilcorp, Inc. 22,700 962 * Circle K Corp. 42,200 1,071 Citicasters, Inc. 23,400 547 Citifed Bancorp 19,400 664 Citizens Bancorp MD 23,900 765 Citizens Banking Corp. 16,400 482 Citizens Corp. 38,000 708 * Citizens Utilities Co. Class B 118,040 1,490 City National Corp. 62,500 875 Claire's Stores, Inc. 36,000 635 Clarcor Inc. 22,350 455 Cleveland-Cliffs Iron Co. 19,400 795 * Clintrials Research, Inc. 27,200 551 * Coast Savings Financial, Inc. 38,500 1,333 * Coastal Physician Group, Inc. 42,500 574 * Cobra Golf, Inc. 16,400 586 Coca-Cola Bottling Co. 19,222 672 Coeur D'Alene Mines Corp. 31,543 540 * Cognex Corp. 60,200 2,107 * Coherent Communications Systems Corp. 29,100 553 * Coherent, Inc. 18,000 736 Collective Bancorp, Inc. 33,600 857 Collagen Corp. 30,200 632 * Collins & Aikman Corp. 118,300 784 Colonial Bancgroup, Inc. 30,300 977 * Colonial Data Technologies Corp. 37,700 773 Colonial Properties Trust 25,300 645 * Columbia Laboratories Inc. 96,700 828 Columbus Realty Trust 35,000 678 Comair Holdings, Inc. 39,400 1,054 Commerce Bancorp, Inc. 34,618 764 Commerce Group, Inc. 63,100 1,301 Commercial Federal Corp. 22,700 857 Commercial Intertech Corp. 43,850 795 Commercial Metals Co. 19,866 492 * Commnet Cellular Inc. 20,800 603 Commonwealth Energy Systems 15,000 671 Communications Systems, Inc. 34,000 527 * Community Healthcare Systems 32,400 1,154 * Community Psychiatric Centers 69,850 856 * Compression Labs, Inc. 62,240 397 * Computer Horizons Corp. 21,800 820 * Computer Network Technology Corp. 84,400 375 * CompUSA, Inc. 34,600 1,077 * Computer Products, Inc. 36,822 421 * Computervision Corp. 103,800 1,596 * Comverse Technology, Inc. 33,900 682 * Concord EFS, Inc. 40,725 1,700 * Cone Mills Corp. 38,300 431 * Congoleum Corp. Class A 38,300 412 * Conmed Corp. 21,750 538 Connecticut Natural Gas Corp. 22,800 533 * Conner Peripherals, Inc. 93,300 1,959 * Continental Airlines, Inc. 27,000 1,175 * Continuum Co. 32,300 1,276 * Converse Inc. 35,799 148 Adolph Coors Co. Class B 62,200 1,380 * Copytele, Inc. 62,100 602 * Cor Therapeutics, Inc. 22,000 182 * Corrections Corp. of America 59,600 2,213 * Corrpro Cos., Inc. 58,500 366 Cousins Properties, Inc. 47,700 966 * Coventry Corp. 53,000 1,096 Crawford & Co. Class B 35,500 577 * Cray Research, Inc. 44,900 1,111 * Credence Systems Corp. 36,600 833
48 88
Market Value Shares (000)+ - -------------------------------------------------------------------------------- * Cree Research, Inc. 25,200 $ 375 Crescent Real Estate Equities, Inc. 35,000 1,194 Criimi Mae Inc. 84,800 710 A.T. Cross Co. Class A 22,400 339 * Crosscom Corp. 37,100 424 Crown American Realty Trust 70,100 552 * Crown Central Petroleum Corp. Class A 27,600 407 Cubic Corp. 18,400 524 Cullen/Frost Bankers, Inc. 18,440 924 * Culligan Water Technologies 14,300 347 Curtiss-Wright Corp. 12,800 688 * Cygnus Inc. 50,600 1,126 * Cyrix Corp. 31,900 730 * Cytec Industries, Inc. 28,628 1,786 * Cytogen Corp. 77,800 402 * DSP Communications, Inc. 23,400 1,018 * DSP Group Inc. 30,200 340 * Daig Corp. 23,800 550 Dallas Semiconductor Corp. 36,700 762 Dames & Moore, Inc. 18,300 222 Daniel Industries, Inc. 35,900 512 * Danielson Holdings Corp. 52,700 362 Dart Group Corp. Class A 5,767 535 * Data General Corp. 61,100 840 * Datascope Corp. 37,100 881 * Dave and Busters 3,920 48 * Davidson and Associates, Inc. 26,000 566 DeBartolo Realty Corp. 73,700 958 Dekalb Genetics Corp. Class B 15,400 695 Delchamps, Inc. 26,653 543 Delta & Pine Land Co. 20,933 769 Delta Woodside 40,800 270 Deposit Guaranty Corp. 30,800 1,382 * Destec Energy Inc. 18,300 252 Developers Diversified Realty Corp. 26,200 786 Devon Energy Corp. 35,200 898 * Devry, Inc. 33,600 907 Dexter Corp. 42,600 1,006 Diagnostic Products Corp. 22,900 867 * Dial Page, Inc. 24,900 391 * Dialogic Corp. 18,800 731 * Digi International, Inc. 18,200 346 * Digital Link Corp. 19,800 283 * Digital Microwave Corp. 53,400 527 * Dimark, Inc. 30,600 444 Dimon Inc. 49,800 878 * Dionex Corp. 10,700 611 * Discovery Zone, Inc. 79,100 246 Donaldson Co., Inc. 37,700 947 * Doubletree Corp. 33,500 867 * Dovatron International Inc. 23,853 814 * Dravo Corp. 47,300 568 * The Dress Barn, Inc. 55,100 537 Dreyer's Grand Ice Cream, Inc. 16,400 551 * Dual Drilling Co. 36,200 416 Duke Realty Investments 40,000 1,255 * Dura Pharmaceuticals, Inc. 23,800 827 Duriron Co., Inc. 30,200 706 Duty Free International Inc. 25,100 402 * Dynatech Corp. 39,700 680 * EP Technologies, Inc. 39,900 571 * EZ Communications, Inc. 37,800 666 * Eagle Hardware & Garden, Inc. 8,000 59 Easco, Inc. 47,000 388 Eastern Enterprises 32,800 1,156 Eastern Utilities Associates 32,189 760 Eaton Vance Corp. 16,300 456 Edison Brothers Stores, Inc. 163,800 307 * Edmark Corp. 12,850 400 * Egghead, Inc. 66,200 426 Elcor Corp. 27,800 605 * Electro Rent Corp. 43,779 930 * Electro Scientific Industries, Inc. 13,300 384 * Electroglas, Inc. 31,600 798 * Electronics for Imaging, Inc. 38,600 1,674 Elizabethtown Corp. 21,100 636 * Emcare Holdings Inc. 15,300 361 Empire District Electric Co. 40,634 726 * Emulex Corp. 25,500 266 Energen Corp. 30,200 729 Enhance Financial Services Group, Inc. 30,800 820 Ennis Business Forms, Inc. 44,850 549 * Envirosource, Inc. 106,300 332 * Envoy Corp. 29,800 520 * Enzo Biochem, Inc. 30,300 583 * Epitope Inc. 40,700 672 * Ethan Allen Interiors Inc. 36,600 746 * Evans & Sutherland Computer Corp. 30,700 695 Evans Withycombe Residential, Inc. 26,600 572 * Evergreen Media Corp. 15,000 480 * Exabyte Corp. 36,000 529 * Exar Corp. 14,800 220 * Excalibur Technologies Corp. 22,300 811 Excel Industries, Inc. 37,500 525 Executive Risk Inc. 400 12 Exide Corp. 28,800 1,321 * Exide Electronics Group, Inc. 24,000 348 Expeditors International of Washington, Inc. 29,300 765 * Express Scripts 24,100 1,217 F & M National Corp. 29,141 583 FMC Gold Co. 63,200 261 F.N.B. Corp. 6,000 129 * FSI International, Inc. 28,000 564
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Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * FTP Software, Inc. 31,300 $ 910 * Fabri-Centers of America, Inc. 33,900 449 * Fabri-Centers of America, Inc. Class B 33,900 364 * Falcon Building Products, Inc. Class A 42,700 411 Family Dollar Stores, Inc. 67,700 931 Farmer Brothers, Inc. 3,350 457 Fay's Drug Co. 62,675 470 Fedders Corp. 64,400 370 Fedders Corp. Class A 67,612 287 Federal-Mogul Corp. 57,400 1,126 Federal Realty Investment Trust 53,700 1,222 Fidelity National Financial, Inc. 37,783 704 * Fieldcrest Cannon, Inc. 26,900 447 * Figgie International Inc. Class A 48,500 512 * FileNet Corp. 21,700 1,017 Financial Security Assurance Holdings Ltd. 43,900 1,092 Financial Trust Corp. 9,666 289 Fingerhut Co. 76,300 1,059 * Firefox Communications, Inc. 19,500 451 * First Alert, Inc. 39,800 348 First American Financial Corp. 17,700 473 First Bancorp of Ohio 56,000 1,659 First Citizens BancShares Class A 14,700 803 First Commerce Bancshares Inc. Class A 5,300 113 First Commerce Bancshares Inc. Class B 8,000 122 First Commercial Corp. 41,959 1,374 First Commonwealth Financial Corp. 34,100 597 * First Federal Financial 37,575 531 First Financial Bancorp 18,791 651 First Financial Savings Assn. 48,700 1,108 First Industrial Realty Trust 26,000 585 First Merchants Corp. 21,600 567 First Michigan Bank Corp. 31,321 865 First Midwest Bancorp 26,700 776 First Mississippi Corp. 33,200 880 First National Bank of Gainsville 27,550 875 First Source Corp. 26,625 619 * First Team Sports, Inc. 42,000 635 Firstbank of Illinois Co. 1,760 55 Firstbank Puerto Rico 23,400 524 Firstier Financial Inc. 23,550 1,027 * Firstmiss Gold, Inc. 28,112 618 Fisher Scientific International Inc. 27,900 931 * Flagstar Cos. 85,960 258 Florida East Coast Railway Co. 9,200 628 Florida Rock Industries, Inc. 18,000 527 Flowers Industries, Inc. 96,900 1,175 Fluke Corp. 18,400 695 * Foamex International, Inc. 66,100 492 * Foodmaker, Inc. 122,500 720 * Fore Systems, Inc. 16,500 983 Foremost Corp. of America 13,500 689 Fort Wayne National Corp. 21,100 673 * FoxMeyer Health Corp. 31,484 842 * Franklin Quest Co. 30,900 603 Fremont General Corp. 20,240 744 * Friedman's Inc. Class A 31,900 606 * Fritz Cos., Inc. 25,800 1,074 Frontier Insurance Group, Inc. 22,400 717 H.B. Fuller Co. 22,850 803 Fulton Financial Corp. 47,379 965 Fund American Enterprise Holding Co. 12,253 913 Furon Co. 29,800 596 * Fusion Systems 23,000 638 G & K Services, Inc. 42,150 1,070 * GC Cos. 17,750 595 Gables Residential Trust 39,000 892 Gainsco, Inc. 61,359 698 * Galey & Lord 45,300 487 Arthur J. Gallagher & Co. 23,600 879 * Gasonics International Corp. 23,800 327 * Gaylord Container Corp. 86,100 694 GenCorp, Inc. 38,500 472 * General Acceptance Corp. 13,600 201 * General Datacomm Industries, Inc. 44,800 767 General Growth Properties 43,200 896 * General Host Corp. 91,719 367 * Genesis Health Ventures Inc. 24,500 894 * Geneva Steel Class A 900 6 * Gentex Corp. 22,800 504 Geon Co. 40,700 992 * Geotek Industries, Inc. 60,200 386 Gerber Scientific, Inc. 28,700 466 * Gibraltar Steel 25,950 323 * Gibson Greetings, Inc. 4,000 64 Giddings & Lewis, Inc. 55,700 912 * Gilead Sciences, Inc. 39,000 1,258 * Glendale Federal 68,200 1,194 Glimcher Realty Trust 35,900 619 * Global Industrial Technologies, Inc. 36,900 696 * Global Industries, Ltd. 16,500 493 * Global Natural Resources, Inc. 81,300 854 * Global Village Communication 12,200 233 * Goody's Family Clothing 38,300 345 Gorman-Rupp Co. 27,125 420 Goulds Pumps, Inc. 33,800 843 Graco, Inc. 25,100 766 * Grancare Inc. 56,172 814 * Grand Casinos, Inc. 48,900 1,137 * Great American Management, Inc. 17,700 832
50 90
Market Value Shares (000)+ - -------------------------------------------------------------------------------- Great Financial Corp. 41,500 $ 980 Green Mountain Power Corp. 19,508 541 Greenfield Industries, Inc. 28,200 878 Greif Brothers Corp. Class A 32,200 865 Grey Advertising, Inc. 2,700 539 * Griffon Corp. 85,100 766 Guilford Mills, Inc. 29,200 595 * Gulf South Medical Supply, Inc. 15,700 471 * Gupta Corp. 46,700 234 * Gymboree Inc. 41,400 851 HGI Realty 40,164 919 * Hadco Corp. 22,500 637 * Haemonetics Corp. 40,950 727 Haggar Corp. 6,300 115 * Halsey Drug Co., Inc. 1,412 5 Hancock Holding Co. 16,646 618 Handleman Co. 30,800 177 Handy & Harman 44,800 739 John H. Harland Co. 50,200 1,048 Harleysville National Corp. 1,500 41 Harman International Industries, Inc. 22,225 892 Harmon Industries, Inc. 27,500 413 Harper Group, Inc. 36,600 654 Harte-Hanks Communications Co. 35,250 696 * Hartmarx Corp. 100,800 441 Hawkeye Bancorp 35,500 952 Health Care REIT, Inc. 31,400 565 * Health Management Systems, Inc. 10,000 388 Healthcare Realty Trust Inc. 19,800 455 * Healthdyne Technologies, Inc. 37,701 429 * Healthwise of America Inc. 19,450 756 * Heart Technology, Inc. 18,800 615 * Heartland Express, Inc. 32,147 651 * Heartland Wireless Communications, Inc. 9,200 269 * Hecla Mining Co. 75,800 521 * Heftel Broadcasting Corp. 20,400 367 Helene Curtis, Inc. 21,600 683 Helix Technology Corp. 12,300 487 Helmerich & Payne, Inc. 43,500 1,294 Herbalife International, Inc. 42,700 374 Heritage Financial Services, Inc. 30,800 581 * Heritage Media Corp. Class A 30,504 782 Highwood Properties, Inc. 30,800 870 Holly Corp. 16,800 380 * Hollywood Casino Corp. 49,800 209 * Hollywood Entertainment Corp. 32,600 277 * Hollywood Park, Inc. 40,000 400 Home Beneficial Corp. Class B 28,400 685 Home Financial Corp. 38,300 594 * Home Shopping Network, Inc. 87,300 786 * Hometown Buffet, Inc. 42,400 469 Horace Mann Educators Corp. 40,400 1,263 * Horizon/CMS Healthcare Corp. 87,631 2,213 * Hornbeck Offshore Services, Inc. 17,300 342 Houghton Mifflin Co. 23,400 1,006 * Hovnanian Enterprises Class A 67,850 509 * Hovnanian Enterprises Class B 9,650 71 Hubco, Inc. 36,201 801 Hudson Foods Inc. Class A 41,550 717 Huffy Corp. 49,500 501 Hughes Supply, Inc. 19,700 557 * Human Genome Sciences, Inc. 13,600 519 Hunt Manufacturing Co. 37,300 648 J.B. Hunt Transport Services, Inc. 36,650 618 * Hutchinson Technology, Inc. 8,900 373 Hydron Technologies, Inc. 45,500 85 * Hyperion Software Corp. 35,000 748 IBS Financial Corp. 38,200 575 ICN Pharmaceuticals 54,336 1,046 IES Industries, Inc. 49,700 1,317 * IGI, Inc. 40,100 331 * IHOP Corp. 27,100 698 IRT Property Co. 73,777 682 ISB Financial Corp. 30,700 464 * I-STAT Corp. 11,900 384 * ITI Technologies, Inc. 17,900 526 IWC Resources Corp. 25,100 505 Ideon Group 48,200 488 * Identix, Inc. 31,100 330 IDEX Corp. 32,300 1,324 * IDEXX Laboratories 60,700 2,838 * Immunex Corp. 37,400 619 * Imo Industries, Inc. 74,800 514 * Imperial Bancorp 35,603 863 * Imperial Credit 43,620 932 * In Focus Systems, Inc. 20,900 752 * Inbrand Corp. 32,900 551 * Incyte Pharmaceuticals, Inc. 22,100 553 Independent Insurance Group, Inc. 26,800 730 Indiana Energy, Inc. 31,700 757 * Information Resources, Inc. 41,900 511 * Inphynet Medical Management, Inc. 34,000 812 * Input/Output, Inc. 32,300 1,865 * Insignia Financial Group 21,400 824 * Insilco Corp. 15,100 489 * Inso Corp. 19,200 818 * Insurance Auto Auctions, Inc. 43,800 482 Integrated Health Services, Inc. 31,500 788 * Integrated Process Equipment Corp. 20,400 485 * Integrated Silicon Solution, Inc. 22,800 379 Intelligent Electronics Inc. 51,500 312 Inter-Regional Financial Group, Inc. 21,000 530 * Inter-Tel, Inc. 27,700 429 * Intercel, Inc. 23,900 406 * Interco Co. 80,500 724
51 91
Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * Interdigital Communications Corp. 67,700 $ 499 Interface, Inc. 49,700 854 * Intergraph Corp. 66,100 1,049 * Interim Services, Inc. 19,900 689 * Intermet Corp. 56,000 574 International Aluminum Corp. 14,800 425 * International Cabletel, Inc. 50,167 1,217 * International Dairy Queen, Inc. Class A 36,700 844 * International Family Entertainment, Inc. Class B 31,400 514 International Multifoods Corp. 26,100 525 * International Rectifier Corp. 78,400 1,960 International Shipholding Corp. 27,750 576 * International Technology 163,600 429 * Interneuron Pharmaceutical, Inc. 43,500 1,104 Interpool, Inc. 35,800 640 * Intersolv 28,100 362 Interstate Bakeries 32,700 732 Interstate Power Co. 27,800 924 * Intervoice, Inc. 41,300 780 Invacare Corp. 40,600 1,020 * Investment Technology Group, Inc. 24,400 232 * Investors Financial Services Corp. 4,562 94 * Investors Financial Services Corp. Class A 877 18 * Iomega Corp. 32,500 1,582 * Ionics, Inc. 24,600 1,070 Irvine Apartment Communities, Inc. 40,100 772 * Irvine Sensors Corp. 55,100 334 Irwin Financial Corp. 14,300 570 * ISIS Pharmaceuticals, Inc. 59,600 786 * Isolyser Co., Inc. 29,800 421 * Itron, Inc. 17,500 597 J & L Specialty Steel Inc. 28,900 542 JLG Industries, Inc. 6,900 204 JSB Financial 19,800 629 * Jacobs Engineering Group Inc. 33,400 835 Jefferies Group, Inc. 14,958 697 Jefferson Bankshares, Inc. 23,800 480 John Alden Financial Group 41,000 856 * Johnson Worldwide Associates, Inc. 17,500 400 * Johnstown America Industries 38,200 184 * Jones Intercable Inc. 41,500 511 Juno Lighting, Inc. 30,800 485 Justin Industries, Inc. 59,850 655 KN Energy, Inc. 36,427 1,061 * Kaiser Aluminum & Chemical Corp. 36,500 475 Kansas City Life Insurance Co. 12,030 638 Kaufman & Broad Home Corp. 46,500 692 Kaydon Corp. 27,800 844 * Keane, Inc. 26,750 592 Kellwood Co. 36,750 749 * Kelly Oil Corp. 18,200 23 * Kent Electronics Corp. 23,850 1,392 * Key Tronic Corp. 38,800 320 Keystone Financial, Inc. 39,750 1,188 Kimball International, Inc. Class B 27,500 694 * Kinder Care Learning Centers Inc. 46,100 582 Kinetic Concepts, Inc. 57,200 690 * Kirby Corp. 43,600 708 * Koger Equity Inc. 60,500 643 Kranzco Realty Trust 33,800 499 * Kulicke & Soffa Industries, Inc. 32,000 740 Kysor Industrial Corp. 21,800 529 * LTX Corp. 47,000 429 La-Z-Boy Chair Co. 20,000 618 Laclede Gas Co. 25,900 547 Ladd Furniture Inc. 17,134 227 Lance, Inc. 23,700 387 Landauer, Inc. 35,500 772 * Landmark Graphics Corp. 22,100 522 * Lands' End, Inc. 40,700 555 * Landstar System 24,700 670 * Lattice Semiconductor Corp. 37,100 1,213 Lawson Products, Inc. 19,200 474 Lawter International Inc. 56,466 656 Leader Financial Corp. 16,700 625 * Lechters Corp. 25,200 162 Legg Mason Inc. 29,700 817 Lennar Corp. 38,650 971 Lesco, Inc. 32,000 472 * Level One Communications 37,000 675 * Levitz Furniture 147,200 497 Libbey, Inc. 20,300 457 Liberty Bancorp, Inc. (Oklahoma) 17,800 667 Liberty Corp. 24,500 827 Liberty Property Trust 46,100 957 Life Partners Group, Inc. 27,900 380 Life Re Corp. 25,400 635 Life Technologies, Inc. 25,300 682 * Lifetime Hoan Corp. 28,957 261 Lilly Industries Inc. Class A 48,550 619 * Lincare Holdings Inc. 44,200 1,099 Lincoln Telecommunications Co. 49,100 1,043 * Lindsay Manufacturing Co. 16,725 638 * Liposome Co., Inc. 73,400 1,477 Liqui-Box Corp. 17,200 510 * Littelfuse, Inc. 19,100 697 * Living Centers of America, Inc. 28,700 1,004 * Lo-Jack Corp. 32,000 356 Logicon, Inc. 19,700 542 Lone Star Industries, Inc. 31,500 788 Long Island Bancorp, Inc. 43,400 1,147 Longs Drug Stores, Inc. 25,000 1,197 Loyola Capital Corp. 13,400 509
52 92
Market Value Shares (000)+ - -------------------------------------------------------------------------------- Luby's Cafeterias, Inc. 40,300 $ 897 Lufkin Industries 14,514 322 Lukens, Inc. 23,000 661 * Lydall, Inc. 29,900 680 MAF Bancorp, Inc. 22,880 578 * MAIC Holdings Inc. 21,511 723 MDU Resources Group, Inc. 47,825 951 MGI Properties, Inc. 37,200 623 MTS Systems Corp. 18,300 606 The Macerich Co. 27,800 556 * MacFrugal's Bargains Close-Outs, Inc. 43,100 603 The MacNeal-Schwendler Corp. 42,700 683 * Macromedia 49,600 2,582 Madison Gas & Electric Co. 16,250 568 * Magellan Health Services Corp. 45,700 1,097 * Magma Copper Co. Class B 79,600 2,219 Magna Group 45,800 1,093 * Magnatek 49,100 399 Manitowoc Co., Inc. 23,000 704 Manufactured Home Communities, Inc. 41,000 717 * Manugistics Group, Inc. 25,600 371 * Mapinfo Corp. 18,200 373 * Marcam Corp. 23,700 356 * Marine Drilling Co., Inc. 47,000 235 * Mariner Health Group, Inc. 30,100 508 Mark Twain Bancshares, Inc. 20,550 801 * Marshall Industries 28,700 922 Maryland Federal Bancorp 14,900 454 MascoTech Inc. 52,300 569 * Material Sciences Corp. 28,300 421 Maxtor Corp. 76,500 509 * Maxicare Health Plans Inc. 28,100 760 * Maxxam Inc. 9,900 349 Maybelline, Inc. 21,593 783 * McAfee Associates, Inc. 30,300 1,299 McClatchy Newspapers, Inc. 23,900 547 McDonald and Co. Investments, Inc. 33,160 597 * McWorter Technologies Inc. 34,650 511 Measurex Corp. 18,600 525 * Medco Research, Inc. 17,300 179 Media General, Inc. Class A 2,700 82 * Medic Computer Systems, Inc. 20,300 1,226 * MedImmune Inc. 52,900 1,051 Medusa Corp. 27,550 730 * Mego Financial Corp. 49,100 334 Mentor Corp. 49,600 1,147 Merchants New York Bancorporation 10,600 337 * Mercury Interactive Corp. 18,800 338 Meredith Corp. 45,200 1,893 * Merisel, Inc. 5,700 25 Merrill Corp. 25,000 406 Merry Land & Investment Co., Inc. 49,339 1,166 * Mesa Airlines, Inc. 72,100 644 * Mesa, Inc. 108,700 408 Methode Electronics, Inc. Class A 51,600 735 * Metricom 34,200 462 * Metrocall, Inc. 22,100 420 * Metromedia International Group, Inc. 41,600 582 * Fred Meyer, Inc. 43,800 985 * Michaels Stores, Inc. 27,718 386 * Microage, Inc. 57,100 457 * Microcom Corp. 29,800 777 * Micron Electronics, Inc. 34,600 374 Mid Am Inc. 38,217 631 Mid-America Apartment Communities, Inc. 26,800 663 Mid-America Bancorp 27,513 495 * Mid-American Waste Systems, Inc. 35,900 126 Midland Co. 11,300 555 Midwest Grain Products 30,100 433 Herman Miller, Inc. 41,500 1,255 Mills Corp. 40,900 695 Mine Safety Appliances Co. 12,100 594 Minerals Technologies, Inc. 37,300 1,361 Mississippi Chemical Corp. 35,500 832 * Mohawk Industries, Inc. 31,100 476 * Molten Metal Technology 28,200 920 The Money Store 72,000 1,125 * Morrison-Knudsen Co., Inc. 44,200 188 Morrison Restaurants 44,150 618 Mosinee Paper Corp. 13,700 358 * Mueller Industries Inc. 30,200 883 * Multicare Cos., Inc. 27,800 667 * Musicland Stores Corp. 58,200 247 Myers Industries, Inc. 11,470 188 NAC Re Corp. 29,050 1,046 * NFO Research Inc. 16,000 416 * N L Industries, Inc. 4,400 54 NN Ball and Roller 48,000 834 NPC International Class A 71,500 509 N.S. Bancorp Inc. 20,100 781 NYMAGIC, Inc. 25,800 439 * Nabors Industries, Inc. 141,100 1,570 NACCO Industries, Inc. Class A 12,500 694 Nash-Finch Co. 32,500 585 Nashua Corp. 11,400 155 National Bankcorp of Alaska Inc. 9,700 640 National Community Bancorp 28,850 757 National Computer Systems, Inc. 24,500 455 National Data Corp. 43,050 1,065 * National Education Corp. 80,700 656 National Health Investors REIT 26,700 884 National Penn Bancshares Inc. 14,705 364 National Presto Industries, Inc. 14,600 580 National Re Holdings Corp. 29,250 1,111
53 93
Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * National Steel Corp. Class B 41,900 $ 539 * National Western Life Insurance Co. Class A 11,000 624 NationsBank, Inc. 8,139 567 Nationwide Health Properties, Inc. 32,600 1,369 Nature's Sunshine Inc. 30,888 768 * Nautica Enterprises Inc. 40,357 1,750 Neiman Marcus Group Inc. 28,300 665 * Nellcor Puritan Bennett, Inc. 46,836 2,734 Thomas Nelson, Inc. 26,100 339 * Neopath, Inc. 8,500 196 * Netcom On-line Communication Services, Inc. 11,600 415 * Netmanage, Inc. 48,700 1,126 * Network Computing Devices, Inc. 51,500 367 * Network Equipment Technologies 30,600 838 * Network General Corp. 30,600 1,014 * Neurogen Corp. 26,900 731 New England Business Service, Inc. 31,800 692 New Jersey Resources Corp. 29,600 892 New York Bancorp Inc. 34,400 774 * Newfield Exploration Co. 27,000 729 * Nexstar Pharmaceuticals Inc. 28,600 475 * Noble Drilling Corp. 112,100 1,002 * Norand Corp. 12,500 148 * Nortek, Inc. 52,208 613 North American Biologicals, Inc. 57,400 624 North American Mortgage 23,500 499 North Carolina Natural Gas Corp. 21,736 543 North Fork Bancorporation, Inc. 41,100 1,038 Northwest Natural Gas Co. 23,100 757 Northwestern Public Service Co. 26,300 736 * Northwestern Steel and Wire Co. 30,800 246 * NovaCare, Inc. 108,700 557 * Novavax, Inc. 36,500 137 * Noven Pharmaceuticals, Inc. 46,800 524 * Nuevo Energy Co. 28,200 631 * Nu-Kote Holding, Inc. Class A 48,000 822 OEA, Inc. 26,100 780 * OHM Corp. 57,000 420 * OIS Optical Imaging Systems, Inc. 87,600 337 OM Group, Inc. 21,200 700 * OMI Corp. 92,700 603 * Oak Industries, Inc. 29,200 547 Oakwood Homes Corp. 36,800 1,412 Oasis Residential, Inc. 27,100 617 * Oceaneering International, Inc. 68,500 882 * Octel Communications Corp. 36,800 1,189 * Offshore Logistics, Inc. 52,900 668 Oil-Dri Corp. of America 30,175 471 * Old Dominion Freight Line, Inc. 33,836 279 * Olympic Financial Ltd. 25,800 421 * Omega Environmental, Inc. 70,300 233 Omega Healthcare Investors, Inc. 35,200 937 Omnicare, Inc. 33,700 1,508 Onbancorp Inc. 22,900 766 One Valley Bancorp of West Virginia Inc. 23,200 725 Oneida Ltd. 33,490 590 ONEOK, Inc. 45,000 1,029 * Open Environment Corp. 29,300 396 * Opti, Inc. 21,100 174 * Optical Data System Inc. 21,900 545 Orange & Rockland Utilities, Inc. 22,000 786 * Orbital Sciences Corp. 37,200 465 Oregon Steel Mills, Inc. 23,600 330 * Organogenesis, Inc. 39,100 718 Orion Capital Corp. 23,325 1,012 * OrNda Healthcorp 91,100 2,112 * Ostex International, Inc. 26,600 502 O'Sullivan Corp. 43,800 454 Otter Tail Power Co. 17,200 617 Outboard Marine Corp. 33,300 678 Overseas Shipholding Group Inc. 46,200 878 Owens & Minor, Inc. Holding Co. 43,237 551 * PDT, Inc. 9,150 454 PHH Corp. 28,200 1,318 * Pacific Physician Services, Inc. 36,200 647 Pacific Scientific Co. 33,000 817 * Pairgain Technologies, Inc. 26,800 1,461 * Palmer Wireless, Inc. 20,700 453 Paragon Group Inc. 42,600 740 * Paragon Trade Brands, Inc. 25,300 591 Parker & Parsley Petroleum Co. 60,600 1,333 * Parker Drilling Co. 84,400 517 * Patlex Corp. 5,300 81 * Patterson Dental Co. 17,100 464 * Paxson Communications Corp. 41,100 627 * Pec Israel Economic Corp. 23,400 565 * The Penn Traffic Co. 44,600 669 Penncorp Financial Group Inc. 34,100 1,002 Pennsylvania Real Estate Investment Trust 27,900 579 Penwest Ltd. 22,450 550 Peoples Bank of Bridgeport 1,600 31 Peoples Heritage Financial Group Inc. 27,600 624 * Performance Food Group Co. 4,800 116 * Petco Animal Supplies, Inc. 15,900 473 * Petrie Stores Corp. 102,200 281 Petroleum Heat & Power Co. 12,400 99 Petrolite Corp. 17,200 479 * Phamis, Inc. 17,100 513 * Pharmaceutical Markets 42,900 641 * Pharmaceutical Resources, Inc. 63,300 475 Phillips-Van Heusen Corp. 39,700 392
54 94
Market Value Shares (000)+ - -------------------------------------------------------------------------------- Phoenix Duff & Phelps Corp. 75,000 $ 516 Phoenix Duff & Phelps Corp. Pfd. Series A 4,100 103 Phoenix Resource Cos., Inc. 41,800 721 * Phycor, Inc. 59,825 3,029 * Physician Reliance Network, Inc. 12,500 502 * Physician Sales & Service, Inc. 35,800 1,011 * PictureTel Corp. 54,200 2,331 Piedmont Natural Gas, Inc. 49,984 1,162 Pier 1 Imports Inc. 63,125 718 Pillowtex Designs 32,800 381 Pioneer Group Inc. 35,200 946 Pioneer Standard Electronics Inc. 36,650 483 Piper Jaffray Cos., Inc. 28,100 386 Pittway Corp. Class A 18,900 1,280 * Plantronics, Inc. 5,100 184 * Platinum Technology, Inc. 68,677 1,266 * Players International, Inc. 47,850 514 * Playtex Products, Inc. 76,700 575 Ply-Gem Industries, Inc. 33,900 551 Poe & Brown, Inc. 18,600 458 * Polyvision Corp. 5,383 11 Pope & Talbot, Inc. 36,100 478 Post Properties, Inc. 36,300 1,157 Precision Castparts Corp. 35,000 1,390 Premier Bancorp, Inc. 58,290 1,359 * Premisys Communications, Inc. 17,000 961 * Prepaid Legal Services, Inc. 72,600 753 * President Casinos 9,200 16 Price Enterprises, Inc. 41,800 635 * Pricellular Corp. 42,575 553 * Primadonna Resorts, Inc. 14,000 203 * Primark Corp. 31,500 945 * Prime Hospitality Corp. 51,700 517 * Prins Recycling Corp. 44,800 335 * Printronix, Inc. 19,700 281 * Proffitt's, Inc. 28,900 762 * Progress Software Corp. 25,200 939 * Pronet, Inc. 19,000 562 Protective Life Corp. 48,300 1,509 * Protein Design Labs 33,400 768 Provident Bancorp Inc. 15,100 712 * Public Service Co. of New Mexico 72,100 1,271 Public Service Co. of North Carolina, Inc. 31,000 554 Public Storage, Inc. 53,000 1,007 Pulitzer Publishing Co. 15,112 722 Pulte Corp. 32,700 1,100 Quaker Chemical Corp. 23,100 306 Quaker State Corp. 52,300 660 Quality Food Centers Inc. 14,788 327 Quanex Corp. 21,600 419 * Quantum Health Resources, Inc. 3,100 30 * Quarterdeck Corp. 38,900 1,070 Queens County Bancorp, Inc. 10,650 421 The Quick & Reilly Group, Inc. 22,650 464 * Quickturn Design Systems, Inc. 48,600 480 * Quintiles Transnational Corp. 20,200 826 RCSB Financial Corp. 39,800 940 RFS Hotel Investors 39,200 610 ROC Communities Inc. 18,000 432 * RPC Inc. 45,000 411 RPS Realty Trust 113,300 524 * Racotek, Inc. 59,800 314 * RailTex, Inc. 25,300 536 * Ralcorp Holdings Inc. 51,000 1,237 Raymond James Financial, Inc. 23,200 490 * Reading & Bates Corp. 106,100 1,591 Real Estate Investment Trust of California 33,200 660 Realty Income Corp. 35,800 805 * Redman Industries, Inc. 22,800 767 Regal-Beloit Corp. 30,500 663 * Regal Cinemas, Inc. 25,920 761 * Regency Health Services, Inc. 42,800 433 * Regional Acceptance Corp. 45,650 434 Reinsurance Group of America, Inc. 27,100 993 Reliance Group Holdings 63,500 548 * Renaissance Communications 48,600 1,075 * Renal Treatment Centers, Inc. 17,200 757 * Republic Industries, Inc. 58,900 2,117 * Res-Care, Inc. 24,000 408 Resource Mortgage Capital Corp. 33,400 668 * Respironics, Inc. 48,300 1,002 * Rex Stores Corp. 27,500 488 Richfood Holdings, Inc. 41,100 1,110 * Riggs National Corp. 55,900 723 * Rightchoice Managed Care, Inc. 20,000 260 Rival Manufacturing Co. 33,100 739 River Forest Bancorp, Inc. 24,700 627 Robbins & Myers, Inc. 23,089 675 * Robert Half International, Inc. 36,800 1,541 * Roberts Pharmaceuticals 12,300 217 * Robotic Vision Systems, Inc. 37,800 910 Rock-Tenn Co. 46,800 749 * Rohr, Inc. 30,500 438 * Rollins Environmental Services, Inc. 81,337 234 Rollins Truck Leasing 65,025 723 Roosevelt Financial Group 58,000 1,117 Roper Industries Inc. 24,800 927 Ross Stores, Inc. 39,000 753 Rouge Steel Co. Class A 27,900 663 * Rowan Cos., Inc. 140,800 1,390 * Royal Gold, Inc. 14,800 119 Ruddick Corp. 49,200 566 Russ Berrie, Inc. 38,300 484
55 95
Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * Ryan's Family Steak Houses, Inc. 83,100 $ 582 Rykoff-Sexton, Inc. 28,125 492 Ryland Group, Inc. 40,500 567 S & T Bancorp, Inc. 12,100 366 * SCI Systems, Inc. 49,800 1,538 SEI Corp. 25,400 546 SFFED Corp. 35,700 1,129 * SPS Technologies, Inc. 16,000 854 SPX Corp. 38,100 605 * S3, Inc. 77,300 1,358 * Safeguard Scientifics, Inc. 21,250 1,052 * Safety First Inc. 19,900 297 St. John Knits, Inc. 11,700 622 St. Joseph Light & Power Co. 16,900 600 St. Mary Land & Exploration Co. 39,000 546 St. Paul Bancorp, Inc. 29,250 748 * Salick Healthcare Inc. 10,300 384 * Samsonite Corp. 29,300 293 * Sanifill, Inc. 26,700 891 * Sanmina Corp. 13,600 707 * Santa Cruz Operation, Inc. 68,300 431 Saul Centers, Inc. 39,900 544 Savannah Foods & Industries, Inc. 61,400 698 * Savoy Pictures Entertainment, Inc. 42,900 271 Sbarro, Inc. 15,300 329 Schnitzer Steel Industries, Inc. Class A 16,100 491 * Scholastic Corp. 900 70 * Sciclone Pharmaceuticals 60,200 297 * Scientific Games Holdings Corp. 20,000 760 * Scios Nova, Inc. 19,335 82 Scotsman Industries, Inc. 32,900 580 * Scotts Co. 41,500 801 Seafield Capital Corp. 17,000 586 * Seagull Energy Corp. 56,300 1,253 Sealright Co. 16,100 177 * Seattle Filmworks, Inc. 18,612 394 Security Capital Corp. 17,400 1,054 Security Capital Industrial Trust 11,316 198 Security Connecticut Corp. 28,500 773 * Security Dynamics Technologies, Inc. 22,600 1,237 * Seitel, Inc. 27,900 987 Selective Insurance Group 24,200 862 * Semitool, Inc. 20,800 269 * Sepracor Inc. 52,200 966 * Sequa Corp. Class A 20,500 625 * Sequent Computer Systems, Inc. 53,000 762 * Sequus Pharmaceuticals, Inc. 46,400 655 * Service Merchandise Co., Inc. 160,512 803 * Shiva Corp. 16,700 1,219 Shopko Stores, Inc. 58,400 657 * Shoney's Inc. 56,700 581 * Shorewood Packaging 45,000 647 * Show Biz Pizza Time, Inc. 44,000 531 Showboat, Inc. 24,800 654 * Shuffle Master, Inc. 33,650 400 Shurgard REIT 22,800 616 * Sierra Health Services 23,700 752 * Sierra On-line, Inc. 25,100 718 Sierra Pacific Resources 49,800 1,164 * Sierra Semiconductor 40,800 569 Sig Corp. 25,333 880 * Silver King Communications 14,300 493 Simpson Industries, Inc. 44,700 397 * Simula, Inc. 19,200 360 * Sithe Energies, Inc. 11,400 68 Sizzler International 121,200 515 Skyline Corp. 32,200 668 Skywest, Inc. 10,200 133 A.O. Smith Corp. 25,100 521 * Smith International, Inc. 62,800 1,476 Charles E. Smith Residential Realty, Inc. 23,200 548 * Smithfield Foods, Inc. 33,200 1,062 Smiths Food & Drug Centers, Inc. Class B 30,900 780 J.M. Smucker Co. Class A 54,300 1,195 J.M. Smucker Co. Class B 1,000 19 Snyder Oil Corp. 41,200 500 * Sodak Gaming, Inc. 25,800 532 * Sofamor/Danek Group Inc. 27,600 783 * Softkey International, Inc. 30,200 695 * Sola International, Inc. 42,800 1,081 * Somatogen, Inc. 27,400 519 * Sonic Corp. 40,350 757 Sotheby's Holdings Class A 70,200 1,000 South Jersey Industries, Inc. 28,236 653 South West Property Trust 56,400 761 Southdown, Inc. 27,100 528 Southern California Water Co. 28,400 575 * Southern Energy Homes, Inc. 1,750 30 Southwest Gas Corp. 39,600 698 Southwestern Energy Co. 38,000 485 Sovereign Bancorp, Inc. 64,524 649 * Spacelabs Medical 30,100 862 Spartan Motors, Inc. 51,100 556 * Special Devices, Inc. 22,100 293 * Spectrian Corp. 24,600 541 * Spectrum Holobyte 38,400 247 Spieker Properties, Inc. 46,000 1,156 * Sportmart Inc. 26,600 126 * Sportmart Inc. Class A 7,800 26 * Sports & Recreation 8,500 61 * The Sports Authority, Inc. 24,300 495 * Staar Surgical Co. 49,100 525 * Stac, Inc. 60,500 870
56 96
Market Value Shares (000)+ - -------------------------------------------------------------------------------- * Standard Commercial Tobacco Co. 32,578 $ 322 * Standard Financial, Inc. 49,300 727 * Standard Microsystem 6,400 106 Standard Motor Products, Inc. 29,700 446 Standard Products Co. 24,725 436 The Standard Register Co. 31,200 628 Standex International Corp. 19,700 645 Stanhome, Inc. 30,000 874 L. S. Starrett Co. Class A 24,600 637 * Station Casinos, Inc. 36,800 543 Steel Technologies, Inc. 40,450 354 * Stein Mart, Inc. 23,650 257 * Steris Corp. 39,000 1,253 * Sterling Chemicals, Inc. 62,400 507 * Stillwater Mining 22,000 429 Stone & Webster, Inc. 20,500 735 Storage USA, Inc. 28,200 920 * Stratus Computer, Inc. 41,400 1,433 Strawbridge & Clothier Class A 27,257 664 Stride Rite Corp. 82,100 616 * Structural Dynamics Research Corp. 52,300 1,530 Sturm, Ruger & Co., Inc. 15,200 416 * Submicron Systems Corp. 39,400 372 Sumitomo Bank of California 10,584 266 * Summa Four, Inc. 29,400 397 Summit Bancorp 56,340 1,768 Summit Properties, Inc. 31,900 634 * Summit Technology, Inc. 48,500 1,643 * Sun Healthcare Group, Inc. 56,500 763 * Sun Television & Appliances 73,100 302 * Sunglass Hut International, Inc. 91,600 2,164 * Sunrise Medical, Inc. 26,500 490 * Sunshine Mining and Refining Co. 286,400 394 Super Food Services, Inc. 42,300 550 Susquehanna Bankshares PA 18,300 480 * Swift Transportation Co., Inc. 34,200 517 * Sylvan Learning Systems, Inc. 19,100 561 * Symmetricom Inc. 24,400 334 * Syratech Inc. 25,100 505 System Software Associates, Inc. 45,300 980 * Systemed Inc. 48,500 221 * Systems & Computer Technology Corp. 42,000 840 * Systemsoft Corp. 34,200 389 * TBC Corp. 71,000 604 TCA Cable Television, Inc. 25,000 695 * TCSI Corp. 19,900 363 * TFC Enterprises, Inc. 33,200 191 TJ International, Inc. 30,000 548 * T-Netix, Inc. 31,300 305 TNP Enterprises, Inc. 34,000 637 TNT Freightways 33,800 680 TR Financial Corp. 28,000 718 * Target Therapeutics, Inc. 27,200 1,166 Taubman Co. REIT 77,000 770 * Tech Data Corp. 57,400 865 * Tech-Sym Corp. 20,549 655 * Tecnol Medical Products Inc. 34,400 611 * Tejas Gas Corp. 15,210 804 * Tejas Power Corp. Class A 50,600 462 Tejon Ranch Co. 34,400 499 Teleflex Inc. 30,150 1,236 * Telular Corp. 19,800 166 Telxon Corp. 37,000 830 Tennant Co. 11,300 263 * Tesoro Petroleum Corp. 72,500 625 * Tetra Tech, Inc. 25,650 596 * Tetra Technologies, Inc. 45,900 803 Texas Industries, Inc. 16,960 899 * Texas Meridian Resources Corp. 49,600 676 * Theratech, Inc. 32,400 575 * Thermedics, Inc. 38,400 1,066 * Thermo Fibertek, Inc. 900 20 Thermo Remediation, Inc. 27,200 360 * Thermo Terratech Inc. 35,600 405 * Thermolase Corp. 19,000 492 * Thermotrex Corp. 15,200 760 Thiokol Corp. 27,700 938 * 3DO Co. 20,700 210 * Tide West Oil Co. 23,801 318 Tiffany & Co. 22,750 1,146 * Timberland Co. 24,400 485 Titan Wheel International, Inc. 16,800 273 * Tivoli Systems, Inc. 23,500 789 * Today's Man Inc. 52,400 154 * Toll Brothers, Inc. 35,000 805 Tootsie Roll Industries, Inc. 27,726 1,099 * Top Source Technologies, Inc. 48,000 336 * The Topps Co., Inc. 29,025 152 The Toro Co. 20,100 661 Town & Country Trust 49,800 647 * Toy Biz 27,300 594 * Tracor, Inc. 45,359 663 * Transaction Network Services, Inc. 19,500 483 Transnational Re Corp. 20,300 502 Tredegar Industries Inc. 21,200 689 * Tremont Corp. 16,765 279 Trenwick Group Inc. 14,800 834 * Triarc Cos. Class A 39,000 429 * Trident Microsystems, Inc. 30,800 724 * Trimble Navigation Ltd. 35,900 673 Trinet Corporate Realty Trust, Inc. 23,300 635 True North Communications 28,500 527 The Trust Co. of N.J. 47,600 625 Trustco Bank 36,610 808 Trustmark Corp. 41,500 929
57 97
Market SMALL CAPITALIZATION Value STOCK PORTFOLIO (continued) Shares (000)+ - -------------------------------------------------------------------------------- * Tucson Electric Power Co. 253,700 $ 825 * Tultex Corp. 104,000 429 * 20th Century Industries of CA 61,400 1,220 * Tyco Toys, Inc. 50,900 229 UGI Corp. Holding Co. 55,000 1,141 UMB Financial Corp. 29,436 1,019 UNR Industries, Inc. 58,500 508 * USA Waste Service 76,691 1,448 UST Corp. 37,300 532 * Ultralife Batteries, Inc. 26,900 637 * Ultratech Stepper, Inc. 16,000 412 Unifirst Corp. 31,200 562 * Unilab Corp. 23,100 62 Union Planters Corp. 573 18 * Union Switch and Signal, Inc. 39,400 271 * Uniroyal Chemical Corp. 33,600 271 * United American Healthcare Corp. 33,300 333 United Bankshares, Inc. 25,600 749 United Carolina Bancshare Corp. 23,800 812 United Cities Gas Co. 36,304 690 United Cos. Finance Corp. 38,102 1,010 United Counties Bancorp 2,000 457 United Dominion Realty 95,300 1,429 United Fire & Casualty Co. 15,150 629 United Illuminating Co. 22,650 847 * United Insurance Cos., Inc. 48,700 916 * United International Holdings, Inc. Class A 66,100 967 * United Meridian Corp. 41,600 723 * USAir Group, Inc. 108,100 1,432 * U.S. Filter Corp. 30,200 804 * U.S. Home Corp. 6,200 181 * U.S. Long Distance Corp. 40,700 562 * U.S. Robotics Corp. 4,800 422 United States Trust Corp. 15,600 772 United Television, Inc. 7,000 626 * United Video Satellite Group, Inc. 23,300 635 * United Waste Systems, Inc. 22,800 844 United Water Resources, Inc. 51,768 621 United Wisconsin 6,500 143 * Unitrode Corp. 27,400 774 Univar Corp. 40,300 438 Universal Health Realty Income 34,000 608 * Universal Health Services Class B 25,500 1,132 Urban Shopping Centers REIT 19,800 423 * Uromed Corp. 14,800 187 * VLSI Technology, Inc. 7,000 126 * Valassis Communication 52,900 926 Valley National Bancorp 60,842 1,521 Valmont Industries, Inc. 25,200 617 * Value City Department Stores, Inc. 64,100 433 Value Line, Inc. 12,000 452 * Varco International, Inc. 67,700 812 Varlen Corp. 20,315 439 * Ventritex Inc. 33,100 581 * Venture Stores, Inc. 47,300 160 * VeriFone, Inc. 36,750 1,052 * Vertex Pharmaceuticals, Inc. 30,900 807 Vesta Insurance Group, Inc. 17,900 976 * Vicorp Restaurants, Inc. 10,100 102 Victoria Bank 19,500 665 * Viewlogic Systems, Inc. 32,800 332 * Visix Space Inc. 10,300 403 Vital Signs, Inc. 25,000 666 * Vitesse Semiconductor Corp. 42,700 539 * Vivra, Inc. 57,712 1,450 * Vivus, Inc. 32,800 1,019 WD-40 Co. 10,750 438 * WHX Corp. 36,500 397 * WMS Industries, Inc. 28,050 459 WPS Resources Corp. 40,800 1,387 * Waban, Inc. 53,900 1,011 Wabash National Corp. 31,500 701 Wackenhut Corp. 11,500 207 Wackenhut Corp. Class B 625 10 * Wainoco Oil Corp. 127,200 413 * Wall Data Inc. 15,800 259 * Wang Laboratories, Inc. 56,200 941 Washington Energy Co. 40,231 749 Washington National Corp. 20,818 575 Washington Real Estate Investment Trust 52,050 826 Waterhouse Investor Services, Inc. 28,550 707 Watkins-Johnson Co. 11,700 512 * Watson Pharmaceuticals, Inc. 51,954 2,546 Watts Industries Class A 31,900 742 Wausau Paper Mills Co. 37,786 1,039 * Wavephore, Inc. 22,700 444 * Weatherford Enterra Inc. 90,939 2,626 Del E. Webb Corp. 30,296 610 * Weirton Steel 88,600 365 * Wellcare Management Group, Inc. 20,700 440 Wellsford Residential Property Trust 26,425 608 Werner Enterprises, Inc. 22,000 440 West Co., Inc. 26,300 618 * West Marine, Inc. 14,900 467 WestAmerica Bancorporation 13,400 576 * Westcott Communications 31,700 440 Western Bank 91 2 Western Gas Resources, Inc. 24,500 395 Western Investment Real Estate Trust 55,000 591 Western National Corp. 52,300 843 * Western Publishing Group, Inc. 55,300 439 * Western Waste Industries 36,200 991 * Westpoint Stevens, Inc. 35,200 702
58 98
Market Value Shares (000)+ - -------------------------------------------------------------------------------- * Westwood One, Inc. 34,200 $ 481 * White River 17,126 642 Whitney Holdings 24,050 740 * Whittaker Corp. 32,900 716 Wicor, Inc. 27,300 880 John Wiley & Sons Class A 21,800 714 * Williams Sonoma, Inc. 29,362 545 * Wind River Systems 22,800 660 * Windmere Corp. 76,467 545 Winnebago Industries, Inc. 55,800 432 Wiser Oil Co. 38,900 467 * Wolverine Tube, Inc. 22,400 840 Wolverine World Wide, Inc. 29,900 942 * Wonderware Corp. 12,600 213 Woodhead Industries, Inc. 43,150 609 Wyle Electronics 25,700 903 * Wyman Gordon Corp. 58,900 810 X-Rite Inc. 13,400 193 * Xircom, Inc. 51,800 647 * Xpedite Systems, Inc. 24,500 380 Yellow Corp. 31,800 396 * Young Broadcasting Corp. 10,100 280 * Zale Corp. 52,200 838 * Zebra Technologies Class A 29,600 1,014 * Zenith Electronics Corp. 35,321 243 Zenith National Insurance Corp. 22,000 470 Zero Corp. 50,500 896 * Zilog Inc. 33,450 1,225 Zions Bancorp. 24,100 1,940 Zurn Industries, Inc. 23,700 507 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (99.0%)(1) (Cost $777,982) 961,789 - --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.5%) - -------------------------------------------------------------------------------- Face Amount (000) --------- U.S. TREASURY BILL--Note D 5.33%, 3/21/96 $ 500 495 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 5.89%, 1/2/96 14,015 14,015 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $14,510) 14,510 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.5%) (Cost $792,492) 976,299 - --------------------------------------------------------------------------------
Market Value (000)+ - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-.5%) - -------------------------------------------------------------------------------- Other Assets--Notes B and E $ 37,102 Liabilities--Note E (42,168) -------- (5,066) - -------------------------------------------------------------------------------- NET ASSETS (100%) - -------------------------------------------------------------------------------- Applicable to 52,196,290 outstanding shares of beneficial interest (unlimited authorization) $971,233 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE $18.61 ================================================================================
+ See Note A to Financial Statements. * Non-Income Producing Security. (1) The combined market value of common stocks, New York Stock Exchange Composite Index futures contracts, and Standard & Poor's Midcap 400 Index futures contracts represents 100.0% of net assets.
- -------------------------------------------------------------------------------- AT DECEMBER 31, 1995, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Amount Per (000) Share --------- --------- Paid in Capital $780,052 $14.95 Undistributed Net Investment Income 49 -- Accumulated Net Realized Gains 7,411 .14 Unrealized Appreciation (Depreciation) - Note D: Investment Securities 183,807 3.52 Futures Contracts (86) -- - -------------------------------------------------------------------------------- NET ASSETS $971,233 $18.61 - --------------------------------------------------------------------------------
59 99 REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Board of Trustees Vanguard Index Trust Extended Market Portfolio, Total Stock Market Portfolio, Growth Portfolio, Value Portfolio, and Small Capitalization Stock Portfolio In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights appearing in the Vanguard Index Trust (the "Fund") 1995 Annual Report (the "Annual Report") present fairly, in all material respects, the financial position of the Extended Market Portfolio, Total Stock Market Portfolio, Growth Portfolio, Value Portfolio, and Small Capitalization Stock Portfolio of the Fund at December 31, 1995, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the respective periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund'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 by correspondence with the custodians and brokers and 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 500 Portfolio of the Fund at December 31, 1995, and we have issued an unqualified opinion thereon. The Annual Report containing our report on the financial statements of the 500 Portfolio is available from the Fund. PRICE WATERHOUSE LLP Thirty South Seventeenth Street Philadelphia, Pennsylvania 19103 January 31, 1996 F400-12/95 60 100 VANGUARD INDEX TRUST EDGAR APPENDIX This appendix describes the components of the printed version of this report that do not translate into a format acceptable to the EDGAR system. The cover of the printed version of this report features Thomas Luny's 1830 painting "The Battle Of The Nile" A photograph of John C. Brennan and John C. Bogle appears on the inside cover top-center. A running head featuring a sword, helmet, gloves and battleships in the background appear at the top of pages one through eight. Line charts illustrating annual total returns between Standard & Poor's Growth Index and Standard & Poor's Value Index for the fiscal years 1990 through 1995. Line charts illustrating the indexed value between Standard & Poor's 500 Index, Wilshire 4500 Index and Russell 2000 Index for the years 1990 through 1995 appears at the top of page two. Graphic chart of General Equity Funds outperformed by S&P 500 Index for the fiscal years 1971 through 1995 appears at the bottom of page four. A graphic chart of the Growth and Value Funds versus Index Trust 500 for the ten years ended December 31, 1995 appears at the top of page six. A running head featuring an hour glass, compass and telescope, and battleships in the background appears at the top of page nine. A running head featuring a sword, helmet, gloves and battleships in the background appears at the top of pages ten through twelve. Line charts illustrating cumulative performance between the 500 Portfolio, average General Equity Fund and Standard & Poor's 500 Index, average Annual Total Returns for the period December 31, 1985, to December 31, 1995 appears at the top of page ten. Line charts illustrating cumulative performance between the Extended Market Portfolio, Average Growth Fund and Wilshire 4500 Index, average Annual Total Returns for the period December 21, 1987, to December 31, 1995 appears at the bottom of page ten. Line charts illustrating cumulative performance between the Total Stock Market Portfolio, Average General Equity Fund and Wilshire 5000 Index, average Annual Total Returns of the period April 27, 1992, to December 31, 1995 appears at the top of page eleven. 101 Line charts illustrating cumulative performance between the Growth Portfolio, Average Growth Fund and Standard & Poor's Growth Index, average Annual Total Returns for the period November 2, 1992, to December 31, 1995 appears at the bottom of page eleven. Line charts illustrating cumulative performance between the Value Portfolio, Average Value Fund and Standard & Poor's Value Index, average Annual Total Returns for the period November 2, 1992, to December 31, 1995 appears at the top of page twelve. Line charts illustrating cumulative performance between the Small Capitalization Stock Portfolio, Average SmallCap Fund and Russell 2000 Index, average Annual Total Returns for the period December 31, 1985, to December 31, 1995 appears at the bottom of page twelve. A running head featuring a cannon and battleships in the background appears at the top of page thirteen. A running head featuring open log book, pen and battleships in the background appears at the top of pages fourteen through thirty four. A running head featuring an hour glass, compass and telescope, and battleships in the background appears at the top of page thirty five. A running head featuring a sextant, a map, and battleships in the background appears at the top of page thirty six. A running head featuring birds flying and ships in the background appears at the top of the inside back cover. A running head featuring open log book, pen and battleships in the background appears at the top of pages one through sixty of the Financial Statements (insert). -----END PRIVACY-ENHANCED MESSAGE-----