-----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, MV84eeaH1qen7b+DrOAH9GBkR84Bg3W7VTVGnUIFleEhTAt67SlH24+UeR6Xu2Tu HRDu+RlQYHfrTnJICBRQ+w== 0000930413-98-000147.txt : 19980225 0000930413-98-000147.hdr.sgml : 19980225 ACCESSION NUMBER: 0000930413-98-000147 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19971231 FILED AS OF DATE: 19980224 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: COLLEGE RETIREMENT EQUITIES FUND CENTRAL INDEX KEY: 0000777535 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 136022042 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-04415 FILM NUMBER: 98548435 BUSINESS ADDRESS: STREET 1: 730 THIRD AVE CITY: NEW YORK STATE: NY ZIP: 10017 BUSINESS PHONE: 2129164905 MAIL ADDRESS: STREET 1: 730 THIRD AVE CITY: NEW YORK STATE: NY ZIP: 10017 N-30D 1 FORM N-30D ANNUAL REPORT ================================================================================ COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT AUDITED FINANCIAL STATEMENTS INCLUDING STATEMENT OF INVESTMENTS DECEMBER 31, 1997 - -------------------------------------------------------------------------------- As required by the Investment Company Act of 1940, CREF provides its participants with this year-end annual report of the financial condition and portfolio holdings of the Stock Account. CREF also provides an annual report to participants in the seven other CREF accounts. Semi-annual reports are also provided each year toward the end of August. - -------------------------------------------------------------------------------- [CREF LOGO] COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT INDEX TO AUDITED FINANCIAL STATEMENTS DECEMBER 31, 1997 - -------------------------------------------------------------------------------- PAGE ---- Report of Management Responsibility......................................... 2 Report of Independent Auditors.............................................. 3 Audited Financial Statements: Statement of Assets and Liabilities..................................... 4 Statement of Operations................................................. 5 Statements of Changes in Net Assets..................................... 6 Notes to Financial Statements........................................... 7 Statement of Investments................................................ 12 Participant Voting Results.................................................. 67 - -------------------------------------------------------------------------------- -1- [CREF LOGO] - -------------------------------------------------------------------------------- REPORT OF MANAGEMENT RESPONSIBILITY To the Participants of College Retirement Equities Fund: The accompanying financial statements of the Stock Account of College Retirement Equities Fund ("CREF") are the responsibility of management. They have been prepared in accordance with generally accepted accounting principles and have been presented fairly and objectively in accordance with such principles. CREF has established and maintains a strong system of internal controls designed to provide reasonable assurance that assets are properly safeguarded and transactions are properly executed in accordance with management's authorization, and to carry out the ongoing responsibilities of management for reliable financial statements. In addition, CREF's internal audit personnel provide a continuing review of the internal controls and operations of the Accounts, and the internal Auditor regularly reports to the Audit Committee of the CREF Board of Trustees. The accompanying financial statements for 1997 have been audited by the independent auditing firm of Ernst & Young LLP. The independent auditors' report, which appears on the following page, expresses an independent opinion on the fairness of presentation of these financial statements. The Audit Committee of the CREF Board of Trustees, consisting of trustees who are not officers of CREF, meets regularly with management, representatives of Ernst & Young LLP and internal auditing personnel to review matters relating to financial reporting, internal controls and auditing. In addition to the annual audit of the financial statements of all the CREF Accounts, the New York State Insurance Department, other state insurance departments and the Securities and Exchange Commission regularly examine the financial statements of the CREF Accounts as part of their periodic corporate examinations. /s/ -------------------------------- Chairman, President and Chief Executive Officer /s/ -------------------------------- Executive Vice President and Principal Accounting Officer -2- ERNST & YOUNG LLP 787 Seventh Avenue Phone 212-773-3000 New York, New York 10019 REPORT OF INDEPENDENT AUDITORS To the Participants and Board of Trustees of College Retirement Equities Fund: We have audited the accompanying statement of assets and liabilities, including the statement of investments, of the Stock Account of College Retirement Equities Fund ("CREF") as of December 31, 1997, and the related statements of operations and changes in net assets for the year then ended. These financial statements are the responsibility of CREF's management. Our responsibility is to express an opinion on these financial statements based on our audit. The statement of changes in net assets for the year ended December 31, 1996 and the condensed financial information for the year then ended and periods prior thereto were audited by other auditors, whose report dated February 6, 1997 expressed an unqualified opinion on the statement and condensed financial information. We conducted our audit in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned at December 31, 1997, by correspondence with the custodians and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Stock Account of CREF at December 31, 1997, the results of its operations, and the changes in its net assets for the year then ended in conformity with generally accepted accounting principles. /s/ ERNST & YOUNG LLP --------------------- ERNST & YOUNG LLP February 6, 1998 Ernst & Young LLP is a member of Ernst & Young International, Inc. -3- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1997 (AMOUNTS IN THOUSANDS, EXCEPT PER ACCUMULATION UNIT AMOUNTS)
ASSETS Portfolio investments, at cost .......................................... $ 58,653,834 Net unrealized appreciation of portfolio investments..................... 42,899,277 ------------- Portfolio investments, at value.......................................... 101,553,111 Cash..................................................................... 109,682 Dividends and interest receivable........................................ 158,629 Receivable from securities transactions.................................. 375,685 Amounts due from TIAA.................................................... 8,535 ------------- TOTAL ASSETS 102,205,642 ------------- LIABILITIES Deposits for securities loaned--Note 4 .................................. 2,432,022 Payable for securities transactions...................................... 224,218 ------------- TOTAL LIABILITIES 2,656,240 ------------- NET ASSETS Accumulation Fund........................................................ 82,469,703 Annuity Fund............................................................. 17,079,699 ------------- TOTAL NET ASSETS $ 99,549,402 ============= THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6................. 597,531 ======= NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5............................. $138.02 =======
See notes to financial statements. -4-
COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENT OF OPERATIONS YEAR ENDED DECEMBER 31, 1997 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Income: Interest................................................................................. $ 156,232 Dividends................................................................................ 1,545,278 ----------- TOTAL INCOME 1,701,510 ----------- Expenses--Note 3: Investment............................................................................... 78,248 Operating................................................................................ 206,220 ----------- TOTAL EXPENSES 284,468 ----------- INVESTMENT INCOME--NET 1,417,042 ----------- REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments................................................................ 8,254,801 Futures transactions................................................................. 6,829 Foreign currency transactions........................................................ (8,455) ----------- Net realized gain 8,253,175 ----------- Net change in unrealized appreciation on: Portfolio investments................................................................ 11,434,159 Translation of assets (other than portfolio investments) and liabilities denominated in foreign currencies.................................. (1,711) ----------- Net change in unrealized appreciation 11,432,448 ----------- NET REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS 19,685,623 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $21,102,665 ===========
See notes to financial statements. -5-
COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) YEARS ENDED DECEMBER 31, ------------------------- 1997 1996 ----- ---- FROM OPERATIONS Investment income--net............................................... $ 1,417,042 $ 1,364,402 Net realized gain on total investments............................... 8,253,175 6,232,549 Net change in unrealized appreciation on total investments............................................... 11,432,448 5,768,438 ----------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 21,102,665 13,365,389 ----------- ----------- FROM PARTICIPANT TRANSACTIONS Premiums............................................................. 2,507,501 2,394,187 ----------- ----------- Disbursements and transfers: Net transfers to TIAA.............................................. 742,005 365,945 Net transfers to other CREF Accounts............................... 1,916,205 1,277,299 Annuity payments................................................... 1,294,165 1,105,209 Withdrawals and repurchases........................................ 1,305,554 938,057 Death benefits..................................................... 149,280 96,905 ----------- ----------- TOTAL DISBURSEMENTS AND TRANSFERS, NET 5,407,209 3,783,415 ----------- ----------- NET DECREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS (2,899,708) (1,389,228) ----------- ----------- NET INCREASE IN NET ASSETS 18,202,957 11,976,161 NET ASSETS Beginning of year.................................................. 81,346,445 69,370,284 ----------- ----------- End of year........................................................ $99,549,402 $81,346,445 =========== ===========
See notes to financial statements. -6- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS NOTE 1--ORGANIZATION College Retirement Equities Fund ("CREF") was formed to aid and strengthen nonprofit educational and research organizations by providing their employees with variable retirement benefits. CREF is registered with the Securities and Exchange Commission ("Commission") under the Investment Company Act of 1940 as an open-end, diversified management investment company. It consists of eight investment portfolios. The accompanying financial statements are those of the Stock Account ("Account"), which invests primarily in equity securities. The seven other investment portfolios of CREF, which are not included in these financial statements, include the Money Market Account, which invests in money market instruments; the Bond Market Account, which invests in a broad range of fixed-income securities; the Social Choice Account, which invests in a diversified portfolio of equity and fixed-income securities while giving special consideration to certain social criteria; the Global Equities Account, which invests in equity securities of foreign and domestic companies; the Growth Account, which invests in a diversified portfolio of equity securities that present opportunities for growth; the Equity Index Account, which invests in a diversified portfolio of equity securities selected to track the overall United States stock market; and the Inflation-Linked Bond Account, which invests primarily in inflation-indexed bonds. TIAA-CREF Investment Management, Inc. ("Investment Management"), a subsidiary of Teachers Insurance and Annuity Association of America ("TIAA"), a companion organization, is registered with the Commission as an investment adviser and provides investment advisory services for the CREF Accounts pursuant to an Investment Management Services Agreement with CREF. Investment Management was converted into a limited liability corporation effective January 1, 1998. TIAA-CREF Individual & Institutional Services, Inc. ("Services"), a subsidiary of TIAA, which is registered with the Commission as a broker-dealer and is a member of the National Association of Securities Dealers, Inc., provides administrative services for the CREF Accounts and performs distribution functions for CREF's certificates pursuant to a Principal Underwriting and Administrative Services Agreement with CREF. NOTE 2--SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements may require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, income, expenses and related disclosures. Actual results may differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Account, which are in conformity with generally accepted accounting principles. VALUATION OF INVESTMENTS: Securities listed or traded on any United States national securities exchange are valued at the last sales price as of the close of the principal securities exchange on which such securities are traded or, if there is no sale, at the mean of the last bid and asked prices on such exchange. Securities traded only in the over-the-counter market and quoted in the NASDAQ National Market System are valued at the last sales price, or at the mean of the last bid and asked prices if no sale is reported. All other over-the-counter securities are valued at the mean of the last bid and asked prices, except for bonds which are valued at the most recent bid price or the equivalent quoted yield of such bonds. Short-term money market instruments are stated at market value. Foreign investments are valued at the closing price in the principal market where they are traded; local currencies are converted into U.S. dollars as described below under Foreign Currency Transactions and Translation. Stock index futures and options which are traded on commodities exchanges are valued at the last sale price as of the close of such commodities exchanges. Portfolio securities for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Finance Committee of the Board of Trustees and in accordance with the responsibilities of the Board as a whole. ACCOUNTING FOR INVESTMENTS: Securities transactions are accounted for as of the date the securities are purchased or sold (trade date). Interest income is recorded as earned and, for short-term money market instruments, includes accrual of discount and amortization of premium. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as soon as the Account is informed of the ex-dividend date. Realized gains and losses on security transactions are accounted for on the average cost basis. FOREIGN CURRENCY TRANSACTIONS AND TRANSLATION: Foreign investments, bank deposits and forward foreign currency contracts are valued in U.S. dollars, based on the exchange rate at the end of the period. Investments traded in foreign -7- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS---(CONTINUED) NOTE 2-- SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED) currencies are translated at exchange rates prevailing on the respective dates traded. Income is translated at approximate rates prevailing when earned. Asset and liability accounts that are denominated in a foreign currency are translated at the prevailing exchange rate at the end of the period. The cumulative impact of changes in foreign exchange rates on portfolio investments sold during the period is reflected in the net realized gain (loss) on portfolio investments. The cumulative impact of changes in foreign exchange rates on portfolio investments held at the end of the period is reflected in the net change in unrealized appreciation (depreciation) on portfolio investments. Currency gains and losses arising from the settlement of forward foreign currency contracts, changes in exchange rates between the trade and settlement dates of portfolio investment transactions, and changes in exchange rates between the accrual and receipt dates for dividend and interest income are recorded as net realized gains (losses) on foreign currency transactions. For assets other than portfolio investments and liabilities, changes in foreign exchange rates are reflected in the net change in unrealized appreciation (depreciation) on translation of assets (other than portfolio investments) and liabilities denominated in foreign currencies. SECURITIES LENDING: The Account has a program to lend portfolio securities to qualified institutions. Such loans are secured by collateral at least equal to 102% of the market value of the securities loaned for United States securities and 105% of the market value of securities loaned for foreign securities. The Account continues to receive income on the securities loaned and receives additional income from the lending transaction. Additionally, any change in the market value of the securities loaned is recognized by the Account. Although each transaction is collateralized, the Account would bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. COVERED CALL OPTIONS WRITTEN: The Account writes (sells) covered call options to provide protection against adverse movements in the price of securities in the portfolio. When an option is written, an amount equal to the premium received is recorded as a liability; the liability is adjusted on a daily basis to the current market price of the option written and an unrealized gain or loss is recorded. Premiums received from writing options which expire unexercised are recognized as realized gains from option transactions on the expiration date. Premiums received from writing options which are exercised are added to the proceeds from the sale of the underlying securities in recognizing the net realized gain or loss on portfolio investments. In writing options, it is assumed that the option may be exercised at any time prior to the expiration of the Account's obligation as a writer, and that in such circumstances the net proceeds of the sale of the underlying securities pursuant to the call option may be below the prevailing market value. FUTURES CONTRACTS: The Account purchases futures contracts for the purpose of acquiring a position in a security or group of securities which it intends to purchase at a later date, or for cash management purposes to remain highly invested in the equity markets while minimizing transaction costs. The Account sells futures contracts for the purpose of offsetting changes in market value while withdrawing from a specific market. A financial futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses from futures transactions by "marking-to-market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are received or made, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a realized gain or loss from futures transactions is recorded, equal to the net variation margin received or paid over the period of the contract. The contractual amounts under futures contracts reflect the extent of the Account's exposure to off-balance sheet risk. The credit risk to such contracts is limited to the failure of the exchange or board of trade which acts as the counterparty to the Account's futures transactions. FORWARD FOREIGN CURRENCY CONTRACTS: The Account enters into forward foreign currency contracts to purchase or sell foreign currency to accommodate foreign investment transactions. Forward foreign currency contracts are "marked-to-market" at the end of each day's trading. Daily changes in the value of such contracts are reflected in the net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies. When the contract is closed, payment is received or made and a realized gain or loss on foreign currency transactions is recognized, equal to the difference between the cost of the closing transaction and the basis in the contract. The -8- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS---(CONTINUED) NOTE 2-- SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED) Account may also enter into a forward foreign currency contract to offset an existing contract. Forward foreign currency contracts are entered into directly with a counterparty and the Account is exposed to the risk of default of such counterparty. The maximum potential loss from such risk is the aggregate face value in U.S. dollars at the time the contract is opened. There is no daily margin requirement for such contracts. SECURITIES PURCHASED ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS: The Account may purchase securities on a when-issued or delayed delivery basis. In addition to the normal market risks, this exposes the Account to the risk that the transaction may not be consummated. RESTRICTED SECURITIES: Restricted securities held by the Account may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in securities which are widely held and publicly traded. FEDERAL INCOME TAXES: CREF is a nonprofit educational organization and, through December 31, 1997, was exempt from federal income taxation under the Internal Revenue Code ("Code"). Accordingly, CREF was not a "Regulated Investment Company" under Subchapter M of the Code and the net investment income and net realized capital gains of CREF's Accounts were not taxable to the organization. Any nonpension related income was subject to federal income taxation as unrelated business income; however, for the periods covered by these financial statements there was no such income. Effective January 1, 1998, as a result of recent legislation, CREF will no longer be exempt from federal income tax under Section 501(a) of the Code. Management believes that CREF should incur no material federal income tax liability as a result of this change since CREF expects that for tax purposes its Accumulation and Annuity Funds for participants will be treated as life insurance reserves; therefore, any increase in such reserves will be deductible. NOTE 3--MANAGEMENT AGREEMENTS All services necessary for the operation of CREF's Accounts are provided, at cost, by Investment Management and Services. Such services are provided in accordance with an Investment Management Services Agreement between CREF and Investment Management, and in accordance with a Principal Underwriting and Administrative Services Agreement between CREF and Services (see Note 1). Investment Management and Services receive management fee payments from the CREF Accounts on a daily basis according to formulas established each year with the objective of keeping the management fees as close as possible to each Account's actual expenses. Any differences between actual expenses and the management fees are adjusted quarterly. NOTE 4--INVESTMENTS At December 31, 1997, the value of securities loaned was $4,879,888,986 and collateral received in connection therewith was comprised of cash of $2,432,022,009, letters of credit of $2,039,651,878 and United States government securities amounting to $626,344,854. At December 31, 1997, net unrealized appreciation of portfolio investments, consisting of gross unrealized appreciation and gross unrealized depreciation, was as follows:
Gross unrealized appreciation of portfolio investments............ $45,327,486,594 Gross unrealized depreciation of portfolio investments............ 2,428,210,043 --------------- NET UNREALIZED APPRECIATION OF PORTFOLIO INVESTMENTS $42,899,276,551 ===============
Companies in which the Account held 5% or more of the outstanding voting shares are defined as "affiliated" in the Investment Company Act of 1940. At December 31, 1997, the total value of investments in affiliated companies was $622,192,071. For the year ended December 31, 1997, total dividend income and the net realized gains relating to such investments were $6,907,075 and $36,235,276, respectively. -9- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS---(CONTINUED) NOTE 4--INVESTMENTS--(CONTINUED) Purchases and sales of portfolio securities, other than short-term money market instruments, for the year ended December 31, 1997, were as follows:
Purchases: Unaffiliated issuers........................................... $20,412,215,734 Affiliated issuers............................................. 164,508,545 --------------- TOTAL PURCHASES $20,576,724,279 =============== Sales: Unaffiliated issuers........................................... $21,060,988,293 Affiliated issuers............................................. 113,121,503 --------------- TOTAL SALES $21,174,109,796 ===============
NOTE 5--CONDENSED FINANCIAL INFORMATION Selected condensed financial information for an Accumulation Unit of the Account is presented below.
FOR THE YEARS ENDED DECEMBER 31, --------------------------------------------------------------- 1997 1996 1995 1994 1993 ------ ------ ------ ------ ------ Per Accumulation Unit Data: Investment income.................... $ 2.317 $ 2.114 $ 1.885 $ 1.699 $ 1.606 Expenses............................. .387 .304 .271 .223 .210 -------- -------- -------- --------- -------- Investment income--net............... 1.930 1.810 1.614 1.476 1.396 Net realized and unrealized gain (loss) on investments....... 26.864 15.953 19.984 (1.557) 7.139 -------- -------- -------- --------- -------- Net increase (decrease) in Accumulation Unit Value............ 28.794 17.763 21.598 (.081) 8.535 Accumulation Unit Value: Beginning of year.................. 109.223 91.460 69.862 69.943 61.408 -------- -------- -------- -------- -------- End of year........................ $138.017 $109.223 $ 91.460 $69.862 $ 69.943 ======== ======== ======== ======== ======== Total return........................... 26.36% 19.42% 30.92% (0.12%) 13.90% Ratios to Average Net Assets: Expenses............................. 0.31% 0.31% 0.34% 0.32% 0.32% Investment income--net............... 1.55% 1.82% 2.00% 2.11% 2.14% Portfolio turnover rate................ 23.25% 19.57% 16.25% 18.77% 22.93% Thousands of Accumulation Units outstanding at end of year........... 597,531 620,498 632,803 637,435 642,528
-10- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS---(CONTINUED) NOTE 6--ACCUMULATION UNITS Changes in the number of Accumulation Units outstanding were as follows:
YEARS ENDED DECEMBER 31, -------------------------------- 1997 1996 ------ ------ Accumulation Units: Credited for premiums................................................... 20,134,412 24,089,810 Cancelled for transfers, disbursements and amounts applied to the Annuity Fund................................... (43,101,543) (36,394,455) Outstanding: Beginning of year..................................................... 620,498,335 632,802,980 ----------- ----------- End of year........................................................... 597,531,204 620,498,335 =========== ===========
NOTE 7--LINE OF CREDIT The Stock, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts share in a $2 billion unsecured revolving credit facility for temporary or emergency purposes, including, without limitation, the funding of participant redemptions that otherwise might require the untimely disposition of securities. An annual commitment fee is charged for this facility, which is allocated among the participating Accounts. Interest associated with any borrowing under the credit facility will be charged to the participating Accounts at rates which are based on the Federal Funds Rate in effect during the time of the borrowing. For the year ended December 31, 1997, there were no borrowings under the line of credit. -11- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (000) VALUE % -------- ---- BONDS CORPORATE BONDS COMPUTER AND DATA PROCESSING SERVICES ................................ $ 161 0.00% HOLDING OFFICES ........................... 136 0.00 HOUSEHOLD AUDIO AND VIDEO EQUIPMENT ....... 10,850 0.01 LIFE INSURANCE ............................ 41 0.00 METALS AND MINERALS, EXCEPT PETROLEUM ............................... 103 0.00 MISCELLANEOUS AMUSEMENT, RECREATION SERVICES ..................... 20 0.00 MISCELLANEOUS BUSINESS SERVICES ........... 226 0.00 MISCELLANEOUS ELECTRICAL EQUIPMENT AND SUPPLIES ............................ 154 0.00 MOTOR VEHICLES AND EQUIPMENT .............. 243 0.00 RADIO AND TELEVISION BROADCASTING ......... 8,658 0.01 SANITARY SERVICES ......................... 4,245 0.01 SUBDIVIDERS AND DEVELOPERS ................ 378 0.00 TRUCKING AND COURIER SERVICES, EXCEPT AIR 4,179 0.00 -------- ---- TOTAL CORPORATE BONDS (COST $25,230) ........................... 29,394 0.03 -------- ---- GOVERNMENT BONDS GOVERNMENT BONDS ......................... 381 0.00 -------- ---- TOTAL GOVERNMENT BONDS (COST $381) 381 0.00 -------- ---- TOTAL BONDS (COST $25,611) ............................. 29,775 0.03 -------- ---- PREFERRED STOCK AIRCRAFT AND PARTS ......................... 258 0.00 BEVERAGES .................................. 1,166 0.00 BLAST FURNACE AND BASIC STEEL PRODUCTS ........................... 2,504 0.00 COMMERCIAL BANKS ........................... 5,307 0.01 COMMUNICATIONS EQUIPMENT ................... 282 0.00 CONSTRUCTION AND RELATED MACHINERY ......... 3,601 0.00 DEPARTMENT STORES .......................... 21 0.00 ELECTRIC SERVICES .......................... 23,393 0.03 ELECTRICAL INDUSTRIAL APPARATUS ............ 145 0.00 FATS AND OILS .............................. 62 0.00 FIRE, MARINE, AND CASUALTY INSURANCE ....... 354 0.00 GENERAL INDUSTRIAL MACHINERY ............... 175 0.00 HEALTH AND ALLIED SERVICES, NEC ............ 1,256 0.00 INDUSTRIAL INORGANIC CHEMICALS ............. 139 0.00 INDUSTRIAL ORGANIC CHEMICALS ............... 2,714 0.00 INSURANCE AGENTS, BROKERS, AND SERVICE .................................. 3,796 0.00 LIFE INSURANCE ............................. 7,820 0.01 LIVESTOCK, EXCEPT DAIRY AND POULTRY ........ 63 0.00 LUMBER AND OTHER BUILDING MATERIALS ........ 279 0.00 MEDICAL INSTRUMENTS AND SUPPLIES ........... 59 0.00 MEDICAL SERVICE AND HEALTH INSURANCE ....... 4,255 0.01 MISCELLANEOUS BUSINESS SERVICES ............ 36,329 0.04 MISCELLANEOUS CHEMICAL PRODUCTS ............ 87 0.00 MISCELLANEOUS CONVERTED PAPER PRODUCTS ................................. 39 0.00 MISCELLANEOUS FABRICATED TEXTILE PRODUCTS ................................. 270 0.00 VALUE % -------- ---- MISCELLANEOUS PLASTICS PRODUCTS, NEC ....... $ 185 0.00% MISCELLANEOUS WOOD PRODUCTS ................ 452 0.00 MOTION PICTURE PRODUCTION AND SERVICES ................................. 1,869 0.00 MOTION PICTURE THEATERS .................... 12,402 0.01 MOTOR VEHICLES AND EQUIPMENT ............... 1,062 0.00 NEWSPAPERS ................................. 17,106 0.02 OIL AND GAS FIELD SERVICES ................. 2,427 0.00 PETROLEUM REFINING ......................... 52 0.00 RESIDENTIAL BUILDING CONSTRUCTION .......... 114 0.00 SECURITY AND COMMODITY SERVICES ............ 89 0.00 SOAP, CLEANERS, AND TOILET GOODS ........... 30 0.00 TELEPHONE COMMUNICATIONS ................... 18,424 0.02 WATER SUPPLY ............................... 117 0.00 WOMEN'S AND MISSES' OUTERWEAR .............. 102 0.00 -------- ---- TOTAL PREFERRED STOCK (COST $98,289) ............................. 148,805 0.15 -------- ---- COMMON STOCK ACCOUNTING, AUDITING, AND BOOKKEEPING .............................. 2,301 0.00 ADVERTISING ................................ 179,356 0.18 AGRICULTURAL CHEMICALS ..................... 209,726 0.21 AIR TRANSPORTATION, NONSCHEDULED ........... 2,623 0.00 AIR TRANSPORTATION, SCHEDULED .............. 584,909 0.59 AIRCRAFT AND PARTS ......................... 1,264,934 1.27 AIRPORTS, FLYING FIELDS, AND SERVICES ...... 10,595 0.01 APPAREL, PIECE GOODS, AND NOTIONS .......... 52,726 0.05 ASPHALT PAVING AND ROOFING MATERIALS ....... 89 0.00 AUTO AND HOME SUPPLY STORES ................ 20,063 0.02 AUTOMOTIVE RENTALS, NO DRIVERS ............. 40,606 0.04 AUTOMOTIVE SERVICES, EXCEPT REPAIR ......... 10,617 0.01 BAKERY PRODUCTS ............................ 145,486 0.15 BEAUTY SHOPS ............................... 1,972 0.00 BEVERAGES .................................. 2,522,102 2.53 BITUMINOUS COAL AND LIGNITE MINING ......... 7,803 0.01 BLANKBOOKS AND BOOKBINDING ................. 29,752 0.03 BLAST FURNACE AND BASIC STEEL PRODUCTS ........................... 342,180 0.34 BOAT DEALERS ............................... 286 0.00 BOOKS ...................................... 80,417 0.08 BROADWOVEN FABRIC MILLS, COTTON ............ 25,331 0.03 BROADWOVEN FABRIC MILLS, MANMADE ........... 18,192 0.02 BROADWOVEN FABRIC MILLS, WOOL .............. 752 0.00 BUS TERMINAL AND SERVICE FACILITIES ........ 49,065 0.05 BUSINESS CREDIT INSTITUTIONS ............... 70,267 0.07 CABLE AND OTHER PAY TV SERVICES ............ 328,119 0.33 CARPENTRY AND FLOOR WORK ................... 5,168 0.01 CARPETS AND RUGS ........................... 17,705 0.02 CASH GRAINS ................................ 12,782 0.01 CEMENT, HYDRAULIC .......................... 43,415 0.04 CHEMICAL AND FERTILIZER MINERALS ........... 7,708 0.01 CHEMICALS AND ALLIED PRODUCTS .............. 12,676 0.01 CHEWING AND SMOKING TOBACCO ................ 74,496 0.07 CHILDREN'S AND INFANTS' WEAR STORES ........ 11,604 0.01 CIGARETTES ................................. 1,034,428 1.04 CIGARS ..................................... 25,962 0.03 CLAY, CERAMIC, AND REFRACTORY MINERALS ................................. 550 0.00 COLLEGES AND UNIVERSITIES .................. 130 0.00 See notes to financial statements. -12- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (000) VALUE % ---------- ---- COMBINATION UTILITY SERVICES ............ $1,104,182 1.11% COMMERCIAL BANKS ........................ 8,961,022 9.00 COMMERCIAL PRINTING ..................... 57,365 0.06 COMMERCIAL SPORTS ....................... 3,065 0.00 COMMUNICATIONS EQUIPMENT ................ 1,423,616 1.43 COMMUNICATIONS SERVICES, NEC ............ 49,647 0.05 COMPUTER AND DATA PROCESSING SERVICES ................... 3,007,921 3.02 COMPUTER AND OFFICE EQUIPMENT ........... 3,815,658 3.83 CONCRETE, GYPSUM, AND PLASTER PRODUCTS .............................. 65,105 0.07 CONCRETE WORK ........................... 250 0.00 CONSTRUCTION AND RELATED MACHINERY ...... 319,057 0.32 COPPER ORES ............................. 19,972 0.02 CREDIT REPORTING AND COLLECTION ......... 278,329 0.28 CRUSHED AND BROKEN STONE ................ 47,482 0.05 CUTLERY, HANDTOOLS, AND HARDWARE ........ 773,119 0.78 DAIRY PRODUCTS .......................... 82,810 0.08 DEEP SEA DOMESTIC TRANSPORTATION OF FREIGHT ............................... 4,877 0.00 DEEP SEA FOREIGN TRANSPORTATION OF FREIGHT ............................... 87,783 0.09 DEPARTMENT STORES ....................... 1,431,151 1.44 DRUG STORES AND PROPRIETARY STORES ...... 326,998 0.33 DRUGS ................................... 6,808,733 6.84 DRUGS, PROPRIETARIES, AND SUNDRIES ...... 419,678 0.42 EATING AND DRINKING PLACES .............. 600,920 0.60 ELECTRIC DISTRIBUTION EQUIPMENT ......... 537,332 0.54 ELECTRIC LIGHTING AND WIRING EQUIPMENT ...................... 109,616 0.11 ELECTRIC SERVICES ....................... 2,408,986 2.42 ELECTRICAL GOODS ........................ 132,573 0.13 ELECTRICAL INDUSTRIAL APPARATUS ......... 997,129 1.00 ELECTRICAL WORK ......................... 2,324 0.00 ELECTRONIC COMPONENTS AND ACCESSORIES ....................... 2,295,463 2.31 ENGINEERING AND ARCHITECTURAL SERVICES .............................. 12,747 0.01 ENGINES AND TURBINES .................... 104,188 0.10 FABRICATED RUBBER PRODUCTS, NEC ......... 35,425 0.04 FABRICATED STRUCTURAL METAL PRODUCTS .... 44,319 0.04 FAMILY CLOTHING STORES .................. 130,101 0.13 FARM AND GARDEN MACHINERY ............... 188,802 0.19 FARM-PRODUCT RAW MATERIALS .............. 34,480 0.03 FATS AND OILS ........................... 507 0.00 FEDERAL AND FEDERALLY-SPONSORED CREDIT AGENCIES ....................... 996,983 1.00 FERROALLOY ORES, EXCEPT VANADIUM ........ 7,808 0.01 FIELD CROPS, EXCEPT CASH GRAINS ......... 115 0.00 FINANCE SERVICES ........................ 20,015 0.02 FIRE, MARINE, AND CASUALTY INSURANCE .... 1,421,771 1.43 FLAT GLASS .............................. 121,897 0.12 FOOTWEAR EXCEPT, RUBBER ................. 31,132 0.03 FOREIGN BANKS, BRANCHES AND AGENCIES .............................. 214,842 0.22 FOREST PRODUCTS ......................... 7,868 0.01 FORESTRY SERVICES ....................... 2,410 0.00 FREIGHT TRANSPORTATION ARRANGEMENT ...... 23,101 0.02 VALUE % ---------- ---- FUNERAL SERVICE AND CREMATORIES ......... $ 81,708 0.08% FURNITURE AND HOME FURNISHINGS .......... 2,532 0.00 FURNITURE AND HOME FURNISHINGS STORES .................... 62,923 0.06 GAS PRODUCTION AND DISTRIBUTION ......... 461,097 0.46 GENERAL INDUSTRIAL MACHINERY ............ 1,139,520 1.14 GLASS AND GLASSWARE, PRESSED OR BLOWN .............................. 143,637 0.14 GOLD AND SILVER ORES .................... 179,239 0.18 GRAIN MILL PRODUCTS ..................... 702,906 0.71 GREETING CARDS .......................... 37,653 0.04 GROCERIES AND RELATED PRODUCTS .......... 189,130 0.19 GROCERY STORES .......................... 534,328 0.54 GUIDED MISSILES, SPACE VEHICLES AND PARTS ................................. 255,049 0.26 HANDBAGS AND PERSONAL LEATHER GOODS ..... 1,968 0.00 HARDWARE, PLUMBING AND HEATING EQUIPMENT ............................. 13,002 0.01 HEALTH AND ALLIED SERVICES, NEC ......... 222,916 0.22 HEAVY CONSTRUCTION, EXCEPT HIGHWAY ...... 84,694 0.09 HIGHWAY AND STREET CONSTRUCTION ......... 7,709 0.01 HOLDING OFFICES ......................... 558,368 0.56 HOME HEALTH CARE SERVICES ............... 7,770 0.01 HORTICULTURAL SPECIALTIES ............... 46,825 0.05 HOSE, BELTING, GASKETS AND PACKING ............................... 99 0.00 HOSPITALS ............................... 361,702 0.36 HOTELS AND MOTELS ....................... 516,039 0.52 HOUSEHOLD APPLIANCE STORES .............. 47,685 0.05 HOUSEHOLD APPLIANCES .................... 2,471,181 2.48 HOUSEHOLD AUDIO AND VIDEO EQUIPMENT ..... 165,876 0.17 HOUSEHOLD FURNITURE ..................... 46,258 0.05 INDUSTRIAL INORGANIC CHEMICALS .......... 424,615 0.43 INDUSTRIAL MACHINERY, NEC ............... 10,325 0.01 INDUSTRIAL ORGANIC CHEMICALS ............ 415,213 0.42 INSURANCE AGENTS, BROKERS, AND SERVICE ............................... 305,795 0.31 INSURANCE CARRIERS, NEC ................. 69,137 0.07 INTERNATIONAL AFFAIRS ................... 1,766 0.00 INVESTMENT OFFICES ...................... 38,053 0.04 IRON AND STEEL FOUNDRIES ................ 69,451 0.07 IRON ORES ............................... 7,130 0.01 JEWELRY, SILVERWARE, AND PLATED WARE .... 29,889 0.03 JOB TRAINING AND RELATED SERVICES ....... 336 0.00 KNITTING MILLS .......................... 19,597 0.02 LANDSCAPE AND HORTICULTURAL SERVICES .... 8,819 0.01 LAUNDRY, CLEANING, AND GARMENT SERVICES .............................. 65,081 0.07 LEAD AND ZINC ORES ...................... 5,820 0.01 LEATHER TANNING AND FINISHING ........... 14,575 0.01 LEGAL SERVICES .......................... 1,764 0.00 LIFE INSURANCE .......................... 2,569,461 2.58 LOCAL AND SUBURBAN TRANSPORTATION ....... 32,428 0.03 LOGGING ................................. 19,673 0.02 LUGGAGE ................................. 7,856 0.01 LUMBER AND CONSTRUCTION MATERIALS ....... 47,968 0.05 LUMBER AND OTHER BUILDING MATERIALS ..... 434,194 0.44 MACHINERY, EQUIPMENT, AND SUPPLIES ...... 31,937 0.03 See notes to financial statements. -13- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (000) VALUE % ---------- ---- MAILING, REPRODUCTION AND STENOGRAPHIC SERVICES ................. $ 10,258 0.01% MANAGEMENT AND PUBLIC RELATIONS ......... 50,834 0.05 MANIFOLD BUSINESS FORMS ................. 27,117 0.03 MEASURING AND CONTROLLING DEVICES ....... 420,219 0.42 MEAT PRODUCTS ........................... 200,475 0.20 MEDICAL AND DENTAL LABORATORIES ......... 5,237 0.01 MEDICAL INSTRUMENTS AND SUPPLIES ........ 1,479,543 1.49 MEDICAL SERVICE AND HEALTH INSURANCE .... 180,918 0.18 MEN'S AND BOYS' CLOTHING STORES ......... 13,067 0.01 MEN'S AND BOYS' FURNISHINGS ............. 87,299 0.09 MEN'S AND BOYS' SUITS AND COATS ......... 26,365 0.03 METAL CANS AND SHIPPING CONTAINERS ...... 60,709 0.06 METAL FORGINGS AND STAMPINGS ............ 197,904 0.20 METAL MINING SERVICES ................... 159 0.00 METAL SERVICES, NEC ..................... 4,777 0.00 METALS AND MINERALS, EXCEPT PETROLEUM ...................... 12,200 0.01 METALWORKING MACHINERY .................. 81,315 0.08 MILLWORK, PLYWOOD AND STRUCTURAL MEMBERS ............................... 5,098 0.01 MISCELLANEOUS AMUSEMENT, RECREATION SERVICES ................... 109,404 0.11 MISCELLANEOUS APPAREL AND ACCESSORY STORES ...................... 81,619 0.08 MISCELLANEOUS APPAREL AND ACCESSORIES ........................... 20,517 0.02 MISCELLANEOUS BUSINESS SERVICES ......... 387,459 0.39 MISCELLANEOUS CHEMICAL PRODUCTS ......... 203,141 0.20 MISCELLANEOUS CONVERTED PAPER PRODUCTS .............................. 543,413 0.55 MISCELLANEOUS DURABLE GOODS ............. 132,338 0.13 MISCELLANEOUS ELECTRICAL EQUIPMENT AND SUPPLIES .......................... 37,317 0.04 MISCELLANEOUS EQUIPMENT RENTAL AND LEASING ............................... 10,329 0.01 MISCELLANEOUS FABRICATED METAL PRODUCTS .............................. 135,177 0.14 MISCELLANEOUS FABRICATED TEXTILE PRODUCTS .............................. 47,475 0.05 MISCELLANEOUS FOOD AND KINDRED PRODUCTS .............................. 236,760 0.24 MISCELLANEOUS FOOD STORES ............... 30,759 0.03 MISCELLANEOUS FURNITURE AND FIXTURES .............................. 4,173 0.00 MISCELLANEOUS GENERAL MERCHANDISE STORES ................................ 40,758 0.04 MISCELLANEOUS INVESTING ................. 565,063 0.57 MISCELLANEOUS MANUFACTURES .............. 99,312 0.10 MISCELLANEOUS METAL ORES ................ 102,555 0.10 MISCELLANEOUS NONDURABLE GOODS .......... 9,328 0.01 MISCELLANEOUS NONMETALLIC MINERAL PRODUCTS .............................. 319,472 0.32 MISCELLANEOUS NONMETALLIC MINERALS ...... 2,604 0.00 MISCELLANEOUS PERSONAL SERVICES ......... 28,385 0.03 MISCELLANEOUS PETROLEUM AND COAL PRODUCTS .............................. 479,658 0.48 MISCELLANEOUS PLASTICS PRODUCTS, NEC .... 628,318 0.63 VALUE % ---------- ---- MISCELLANEOUS PRIMARY METAL PRODUCTS .............................. $ 3,462 0.00% MISCELLANEOUS PUBLISHING ................ 16,676 0.02 MISCELLANEOUS SHOPPING GOOD STORES ...... 279,686 0.28 MISCELLANEOUS TEXTILE GOODS ............. 13,266 0.01 MISCELLANEOUS TRANSPORTATION EQUIPMENT ............................. 11,289 0.01 MISCELLANEOUS WOOD PRODUCTS ............. 49,122 0.05 MOBILE HOME DEALERS ..................... 17,075 0.02 MORTGAGE BANKERS AND BROKERS ............ 401,963 0.40 MOTION PICTURE PRODUCTION AND SERVICES .............................. 661,319 0.66 MOTION PICTURE THEATERS ................. 18,638 0.02 MOTOR VEHICLES AND EQUIPMENT ............ 2,054,201 2.06 MOTOR VEHICLES, PARTS, AND SUPPLIES ..... 37,989 0.04 MOTORCYCLES, BICYCLES, AND PARTS ........ 47,698 0.05 NATURAL GAS LIQUIDS ..................... 99,641 0.10 NEW AND USED CAR DEALERS ................ 55,975 0.06 NEWSPAPERS .............................. 586,099 0.59 NONFERROUS FOUNDRIES (CASTINGS) ......... 10,346 0.01 NONFERROUS ROLLING AND DRAWING .......... 55,075 0.06 NONRESIDENTIAL BUILDING CONSTRUCTION .......................... 27,710 0.03 NONSTORE RETAILERS ...................... 259,132 0.26 NURSING AND PERSONAL CARE FACILITIES .... 65,008 0.07 OFFICE FURNITURE ........................ 49,713 0.05 OFFICES AND CLINICS OF MEDICAL DOCTORS ............................... 33,141 0.03 OFFICES AND CLINICS OF DENTISTS ......... 2,499 0.00 OFFICES OF OTHER HEALTH PRACTITIONERS ......................... 3,190 0.00 OIL AND GAS EXTRACTION .................. 3,567,390 3.58 OIL AND GAS FIELD SERVICES .............. 785,405 0.79 OPERATIVE BUILDERS ...................... 64,858 0.07 OPHTHALMIC GOODS ........................ 31,466 0.03 ORDNANCE AND ACCESSORIES, NEC ........... 13,952 0.01 PAINT, GLASS, AND WALLPAPER STORES ...... 3,927 0.00 PAINTS AND ALLIED PRODUCTS .............. 69,083 0.07 PAPER AND PAPER PRODUCTS ................ 108,955 0.11 PAPER MILLS ............................. 226,559 0.23 PAPERBOARD CONTAINERS AND BOXES ......... 19,563 0.02 PAPERBOARD MILLS ........................ 95,580 0.10 PASSENGER TRANSPORTATION ARRANGEMENT ........................... 384,165 0.39 PENS, PENCILS, OFFICE, AND ART SUPPLIES . 5,284 0.01 PENSION, HEALTH, AND WELFARE FUNDS ...... 5,075 0.01 PERIODICALS ............................. 318,696 0.32 PERSONAL CREDIT INSTITUTIONS ............ 227,743 0.23 PERSONNEL SUPPLY SERVICES ............... 240,912 0.24 PETROLEUM AND PETROLEUM PRODUCTS ........ 86,024 0.09 PETROLEUM REFINING ...................... 1,533,285 1.54 PHOTOGRAPHIC EQUIPMENT AND SUPPLIES ..... 669,599 0.67 PHOTOGRAPHIC STUDIOS, PORTRAIT .......... 3,617 0.00 PIPELINES, EXCEPT NATURAL GAS ........... 24,298 0.02 PLASTICS MATERIALS AND SYNTHETICS ....... 837,394 0.84 PLUMBING AND HEATING, EXCEPT ELECTRIC ... 47,339 0.05 PLUMBING, HEATING, AIR-CONDITIONING ..... 963 0.00 POTTERY AND RELATED PRODUCTS ............ 1,307 0.00 See notes to financial statements. -14- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (000) VALUE % ---------- ---- POULTRY AND EGGS ...................... $ 30,993 0.03% PRESERVED FRUITS AND VEGETABLES ....... 559,572 0.56 PRIMARY NONFERROUS METALS ............. 225,086 0.23 PRODUCERS, ORCHESTRAS, ENTERTAINERS ... 90,401 0.09 PRODUCTS OF PURCHASED GLASS ........... 25,233 0.03 PROFESSIONAL AND COMMERCIAL EQUIPMENT ........................... 66,306 0.07 PULP MILLS ............................ 11,705 0.01 RADIO AND TELEVISION BROADCASTING ..... 274,152 0.28 RADIO, TELEVISION, AND COMPUTER STORES .............................. 159,047 0.16 RAILROAD EQUIPMENT .................... 87 0.00 RAILROADS ............................. 636,342 0.64 REAL ESTATE AGENTS AND MANAGERS ....... 83,005 0.08 REAL ESTATE OPERATORS AND LESSORS ..... 67,478 0.07 REFRIGERATION AND SERVICE MACHINERY ... 88,831 0.09 RENTAL OF RAILROAD CARS ............... 14,026 0.01 RESEARCH AND TESTING SERVICES ......... 310,112 0.31 RESIDENTIAL BUILDING CONSTRUCTION ..... 230,557 0.23 RESIDENTIAL CARE ...................... 644 0.00 RETAIL NURSERIES AND GARDEN STORES .... 4,389 0.00 RETAIL STORES, NEC .................... 9,975 0.01 ROOMING AND BOARDING HOUSES ........... 552 0.00 RUBBER AND PLASTICS FOOTWEAR .......... 777 0.00 SAND AND GRAVEL ....................... 8,006 0.01 SANITARY SERVICES ..................... 444,947 0.45 SAVINGS INSTITUTIONS .................. 926,062 0.93 SAWMILLS AND PLANING MILLS ............ 222,614 0.22 SCHOOLS AND EDUCATIONAL SERVICES, NEC ................................. 25,544 0.03 SCREW MACHINE PRODUCTS, BOLTS, ETC. ... 33,767 0.03 SEARCH AND NAVIGATION EQUIPMENT ....... 185,103 0.19 SECONDARY NONFERROUS METALS ........... 16 0.00 SECURITY AND COMMODITY SERVICES ....... 219,225 0.22 SECURITY BROKERS AND DEALERS .......... 1,027,737 1.03 SERVICES TO BUILDINGS ................. 1,472 0.00 SHIP, BOAT BUILDING AND REPAIRING ..... 31,257 0.03 SHOE STORES ........................... 54,554 0.05 SOAP, CLEANERS, AND TOILET GOODS ...... 1,547,959 1.56 SOCIAL SERVICES, NEC .................. 17,915 0.02 SPECIAL INDUSTRY MACHINERY ............ 225,048 0.23 STRUCTURAL CLAY PRODUCTS .............. 4,258 0.00 SUBDIVIDERS AND DEVELOPERS ............ 192,480 0.19 SUGAR AND CONFECTIONERY PRODUCTS ...... 133,477 0.13 SURETY INSURANCE ...................... 77,692 0.08 VALUE % ---------- ---- TELEGRAPH AND OTHER COMMUNICATIONS .... $ 2,710 0.00% TELEPHONE COMMUNICATIONS .............. 7,253,395 7.29 TIRES AND INNER TUBES ................. 167,603 0.17 TITLE INSURANCE ....................... 55,320 0.06 TOYS AND SPORTING GOODS ............... 145,553 0.15 TRUCKING AND COURIER SERVICES, EXCEPT AIR .......................... 70,547 0.07 USED MERCHANDISE STORES ............... 2,244 0.00 VARIETY STORES ........................ 179,432 0.18 VETERINARY SERVICES ................... 648 0.00 VIDEO TAPE RENTAL ..................... 1,563 0.00 VOCATIONAL SCHOOLS .................... 3,298 0.00 WATCHES, CLOCKS, WATCHCASES AND PARTS ............................... 271 0.00 WATER SUPPLY .......................... 11,716 0.01 WATER TRANSPORTATION OF FREIGHT, NEC .. 1,978 0.00 WATER TRANSPORTATION OF PASSENGERS .... 42 0.00 WATER TRANSPORTATION SERVICES ......... 33,334 0.03 WATER WELL DRILLING ................... 13 0.00 WOMEN'S ACCESSORY AND SPECIALTY STORES .............................. 116,938 0.12 WOMEN'S AND CHILDREN'S UNDERGARMENTS ....................... 5,670 0.01 WOMEN'S AND MISSES' OUTERWEAR ......... 36,386 0.04 WOMEN'S CLOTHING STORES ............... 27,877 0.03 WOOD BUILDINGS AND MOBILE HOMES ....... 17,018 0.02 YARN AND THREAD MILLS ................. 25,195 0.03 ------------ ------ TOTAL COMMON STOCK (COST $54,723,006) .................... 97,568,598 98.01 ------------ ------ SHORT TERM INVESTMENTS BANK NOTES ............................ 135,966 0.14 BANKERS ACCEPTANCES ................... 8,477 0.01 CERTIFICATES OF DEPOSIT ............... 467,425 0.47 COMMERCIAL PAPER ...................... 2,171,810 2.18 EURO CERTIFICATES OF DEPOSIT .......... 45,002 0.04 MEDIUM TERM BONDS ..................... 65,336 0.07 OTHER AGENCIES ........................ 73,997 0.07 U.S. GOVERNMENT AND AGENCIES .......... 534,062 0.54 VARIABLE RATE NOTES ................... 303,858 0.30 ------------ ------ TOTAL SHORT TERM INVESTMENTS (COST $3,806,928) ..................... 3,805,933 3.82 ------------ ------ TOTAL PORTFOLIO (COST $58,653,834) .................... 101,553,111 102.01 ------------ ------ OTHER ASSETS & LIABILITIES, NET ... (2,003,709) (2.01) ------------ ------ NET ASSETS $ 99,549,402 100.00% ============ ====== See notes to financial statements. -15- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT DECEMBER 31, 1997 SUMMARY BY COUNTRY VALUE (000) % ------------ ------ DOMESTIC: UNITED STATES .............. $ 84,605,720 83.31% ------------ ------ TOTAL DOMESTIC ............... 84,605,720 83.31 ------------ ------ FOREIGN: ARGENTINA .................. 23,962 0.03 AUSTRALIA .................. 472,346 0.47 AUSTRIA .................... 13,794 0.01 BELGIUM .................... 136,279 0.13 BRAZIL ..................... 34,974 0.03 CANADA ..................... 539,868 0.53 CHILE ...................... 74,674 0.07 DENMARK .................... 110,382 0.11 FINLAND .................... 102,938 0.10 FRANCE ..................... 716,049 0.71 GERMANY .................... 1,280,461 1.26 HONG KONG .................. 279,969 0.28 INDIA ...................... 4,168 0.00 INDONESIA .................. 8,983 0.01 IRELAND .................... 10,868 0.01 ITALY ...................... 620,490 0.61 JAPAN ...................... 2,895,733 2.85 KOREA ...................... 3,887 0.00 MALAYSIA ................... 43,487 0.04 MEXICO ..................... 28,257 0.03 MISCELLANEOUS .............. 42,758 0.04 NETHERLANDS ................ 884,593 0.87 NEW ZEALAND ................ 112,285 0.11 NORWAY ..................... 124,199 0.12 PHILIPPINES ................ 4,071 0.00 PORTUGAL ................... 58,581 0.06 SINGAPORE .................. 75,952 0.08 SOUTH AFRICA ............... 26,540 0.03 SPAIN ...................... 415,469 0.41 SWEDEN ..................... 495,283 0.49 SWITZERLAND ................ 766,796 0.76 THAILAND ................... 1,670 0.00 UNITED KINGDOM ............. 2,731,692 2.69 ------------ ------ TOTAL FOREIGN ................ 13,141,458 12.94 ------------ ------ TOTAL SHORT TERM ............. 3,805,933 3.75 ------------ ------ TOTAL PORTFOLIO .............. $101,553,111 100.00% ============ ====== See notes to financial statements. -16- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT DECEMBER 31, 1997 VALUE PRINCIPAL (000) --------- ----------- BONDS--0.03% CORPORATE BONDS--0.03% COMPUTER AND DATA PROCESSING SERVICES--0.00% VIGLEN TECHNOLOGY (CV LOAN STK) $ 47,800(4) #o0.500%, 01/01/00 ................ $ 161 ----------- HOLDING OFFICES--0.00% BRIERLEY INVESTMENTS LTD CV NOTE 129,875(5) 9.000%, 06/30/98 ................ 84 VALUE REALISATION TRUST (CV LOAN STK) 24,621 1.400%, 09/30/06 ................ 52 ----------- 136 ----------- HOUSEHOLD AUDIO AND VIDEO EQUIPMENT--0.01% SONY CORP 950,000,000(7) 1.400%, 03/31/05 ................ 10,850 ----------- LIFE INSURANCE--0.00% LIBLIFE INTERNATIONAL CV 35,000(2) 6.500%, 09/30/04 ................ 41 ----------- METALS AND MINERALS, EXCEPT PETROLEUM--0.00% PREUSSAG AG 126(3) 5.750%, 05/17/01 ................ 103 ----------- MISCELLANEOUS AMUSEMENT, RECREATION SERVICES--0.00% MULTI PURPOSE ICULS 307,000 3.000%, 12/31/02 ................ 20 ----------- MISCELLANEOUS BUSINESS SERVICES--0.00% SUEZ LYON DES EAUX 1,812(1) 4.000%, 01/01/06 ................ 226 ----------- MISCELLANEOUS ELECTRICAL EQUIPMENT AND SUPPLIES--0.00% OLIVETTI S.P.A. CV 255,000(6) 7.500%, 01/01/99 ................ 154 ----------- MOTOR VEHICLES AND EQUIPMENT--0.00% DAIMLER BENZ 314(3) 4.125%, 07/05/03 ................ 243 ----------- RADIO AND TELEVISION BROADCASTING--0.01% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 8,615,000 8.000%, 07/07/06 ................ 8,658 ----------- SANITARY SERVICES--0.01% WMX TECHNOLOGIES, INC (SUBORDINATED CV NOTE) 4,979,000 2.000%, 01/24/05 ................ 4,245 ----------- SUBDIVIDERS AND DEVELOPERS--0.00% AXA S.A. CV 4,722(1) 4.500%, 01/01/99 ................ 378 ----------- TRUCKING AND COURIER SERVICES, EXCEPT AIR--0.00% YAMATO TRANSPORT CV 340,000,000(7) 1.700%, 09/30/02 ................ 4,179 ----------- TOTAL CORPORATE BONDS (COST $25,230) ..................... 29,394 ----------- GOVERNMENT BONDS--0.00% GOVERNMENT BONDS--0.00% U.S. TREASURY BOND $ 325,000 11.750%, 02/15/01 ............... $ 381 ----------- TOTAL GOVERNMENT BONDS (COST $381) ........................ 381 ----------- TOTAL BONDS (COST $25,611) ...................... 29,775 ----------- - -------------------------------------------- (1) Denominated in French Francs (2) Denominated in South African Rand (3) Denominated in German Deutsche Marks (4) Denominated in British Pounds (5) Denominated in New Zealand Dollars (6) Denominated in Italian Lire (7) Denominated in Japanese Yen SHARES ----------- PREFERRED STOCK--0.15% AIRCRAFT AND PARTS--0.00% 16,600 oRHEINMETALL AG .................... 258 ----------- BEVERAGES--0.00% 1,734,924 BRAHMA S.A ........................ 1,166 ----------- BLAST FURNACE AND BASIC STEEL PRODUCTS--0.00% 175,000 CONFAB INDUSTRIAL S.A. ............ 310 1,600,000 MET GERDAU S.A. ................... 48 59,300 USINAS SIDERGIACAS DE MINAS GERAIS. 351 89,232 VALE DO RIO DOCE CIA .............. 1,795 ----------- 2,504 ----------- COMMERCIAL BANKS--0.01% 3,252,000 BANCO ITAU S.A. ................... 1,748 9,906,000 oBANESPA S.A. SERV TECNICOS E ADMIN. 404 2,900 BANK AUSTRIA AG ................... 138 210,456,038 oBRADESCO S.A. ..................... 2,074 22,887,600 UNIBANCO S.A. ..................... 943 ----------- 5,307 ----------- COMMUNICATIONS EQUIPMENT--0.00% 8,800,000 ERICSSON TELECOMMUNICATIONS S.A. .. 282 ----------- CONSTRUCTION AND RELATED MACHINERY--0.00% 395 oBARDELLA S.A. ..................... 42 16,000 KSB AG ............................ 3,559 ----------- 3,601 ----------- DEPARTMENT STORES--0.00% 4,500,000 oLOJAS AMERICANAS S.A. ............. 21 ----------- ELECTRIC SERVICES--0.03% 86,744,697 CEMIG S.A. ........................ 3,769 27,304 CIA PAULISTA DE FORCA & LUZ ....... 3 23,122,930 ELECTROBRAS S.A. SERIES B ......... 1,181 2,200,000 oELETRICIDADE SAO PAULO S.A. ....... 414 426,470 RHEIN-WESTFALEN ELECTRIC AG ....... 18,026 ----------- 23,393 ----------- See notes to financial statements. -17- VALUE SHARES (000) ------ ---------- ELECTRICAL INDUSTRIAL APPARATUS--0.00% 1,100,000 BELGO MINEIRA S.A. ................ $ 52 152,000 WEG S.A. .......................... 93 ----------- 145 ----------- FATS AND OILS--0.00% 8,000,000 CEVAL ALIMENTOS ................... 62 ----------- FIRE, MARINE, AND CASUALTY INSURANCE--0.00% 2,500 AXA COLONIA KONZERN AG ............ 239 23,604 INTERNATIONALE NEDERLANDEN GROEP NV ......................... 115 ----------- 354 ----------- GENERAL INDUSTRIAL MACHINERY--0.00% 9,400 oCAFAP S.A. ........................ 27 20,000 PIRELLI CABOS S.A. ................ 83 25,800 PIRELLI PNEUS S.A. ................ 65 ----------- 175 ----------- HEALTH AND ALLIED SERVICES, NEC--0.00% 113,500 oMEDIQ, INC SERIES A ............... 1,256 ----------- INDUSTRIAL INORGANIC CHEMICALS--0.00% 212,000 SADIA CONCORDIA S.A. ............. 139 . ----------- INDUSTRIAL ORGANIC CHEMICALS--0.00% 43,000 HENKEL KGAA ....................... 2,714 ----------- INSURANCE AGENTS, BROKERS, AND SERVICE--0.00% 15,000 MARSCHOLLER LAUT UND PARTNER-VO PREFERENCE ............. 3,796 ----------- LIFE INSURANCE--0.01% 109,372 AETNA, INC 6.25% (CLASS C) ....... 7,820 ----------- LIVESTOCK, EXCEPT DAIRY AND POULTRY--0.00% 48,044,045 PERDIAGO S.A. ..................... 63 ----------- LUMBER AND OTHER BUILDING MATERIALS--0.00% 521,000 CIM ITAU S.A. ..................... 100 679 DYCKERHOFF ZEMENTWERKE AG ......... 179 ----------- 279 ----------- MEDICAL INSTRUMENTS AND SUPPLIES--0.00% 837,300 oFRESENIUS MEDICAL CARE (CLASS D)... 59 ----------- MEDICAL SERVICE AND HEALTH INSURANCE--0.01% 187,040 PACIFICARE HEALTH SYSTEMS CV SERIES A ....................... 4,255 ----------- MISCELLANEOUS BUSINESS SERVICES--0.04% 111,000 SAP AG ............................ 36,329 ----------- MISCELLANEOUS CHEMICAL PRODUCTS--0.00% 20,700,000 FERTILIZANTES FOSFATADOS S.A. .... 87 ----------- MISCELLANEOUS CONVERTED PAPER PRODUCTS--0.00% 70,750 KLABIN FABRICADORA S.A. ........... 32 1,670 KONINKLIJKE NV .................... 7 ----------- 39 ----------- VALUE SHARES (000) ------ ------- MISCELLANEOUS FABRICATED TEXTILE PRODUCTS--0.00% 752,400 oCOTEMINAS CIA TEC ................. $ 270 ----------- MISCELLANEOUS PLASTICS PRODUCTS, NEC--0.00% 12,120,000 IPIRANGA S.A. .................... 185 ----------- MISCELLANEOUS WOOD PRODUCTS--0.00% 197,866 ARACRUZ CELULOSE S.A. ............ 273 9,300,000 VOTORANTIM CELULOSE E PAPEL S.A. . 179 ----------- 452 ----------- MOTION PICTURE PRODUCTION AND SERVICES--0.00% 40,000 oPROSIEBEN MEDIA AG ................ 1,869 ----------- MOTION PICTURE THEATERS--0.01% 210,200 HARCOURT GENERAL, INC SERIES A ... 12,402 ----------- MOTOR VEHICLES AND EQUIPMENT--0.00% 900 MAN AG (NON-VOTE) ................ 203 2,000 VOLKSWAGENWERKE AG ............... 859 ---------- 1,062 ----------- NEWSPAPERS--0.02% 3,437,002 NEWS CORP LTD (LTD-VOTE) ......... 17,007 36,150 RURAL PRESS LTD .................. 99 ---------- 17,106 ---------- OIL AND GAS FIELD SERVICES--0.00% 10,377,000 PETROBRAS S.A. ................... 2,427 ---------- PETROLEUM REFINING--0.00% 170,000 COPENE-PETROQUIMICA DO NORDESTE S.A. ................. 52 ---------- RESIDENTIAL BUILDING CONSTRUCTION--0.00% 2,900,000 DURATEX S.A. ..................... 114 ---------- SECURITY AND COMMODITY SERVICES--0.00% 3,100 PHOENIX DUFF & PHELPS CORP ....... 89 ---------- SOAP, CLEANERS, AND TOILET GOODS--0.00% 40 WELLA GROUP AG ................... 30 ---------- TELEPHONE COMMUNICATIONS--0.02% 136,025 AIRTOUCH COMMUNICATIONS, INC CV (CLASS B) ..................... 4,846 87,358 AIRTOUCH COMMUNICATIONS, INC CV (CLASS C) ..................... 5,443 70,035,524 TELEBRAS S.A. .................... 7,988 550,635 TELESP S.A. ...................... 147 ---------- 18,424 ---------- WATER SUPPLY--0.00% 59,400 HYDER PLC ........................ 117 ---------- WOMEN'S AND MISSES' OUTERWEAR--0.00% 900 oESCADA AG ......................... 102 ---------- TOTAL PREFERRED STOCK (COST $98,289) ..................... 148,805 ---------- See notes to financial statements. -18- VALUE SHARES (000) ------ ---------- COMMON STOCK--98.01% ACCOUNTING, AUDITING, AND BOOKKEEPING--0.00% 5,000 oPROFIT RECOVERY GROUP INTERNATIONAL ..........................$ 89 144,500 TKC CORP ................................ 2,212 --------- 2,301 --------- ADVERTISING--0.18% 500 ACKERLEY GROUP, INC ..................... 8 320,500 oCATALINA MARKETING CORP ................. 14,823 1,388,000 INTERPUBLIC GROUP OF COS, INC ........... 69,140 1,590,000 OMNICOM GROUP, INC ...................... 67,376 1,600 oOUTDOOR SYSTEMS, INC .................... 61 283,200 TRUE NORTH COMMUNICATIONS, INC .......... 7,009 31,600 oUNIVERSAL OUTDOOR HOLDINGS, INC ......... 1,643 103,000 oVALASSIS COMMUNICATIONS, INC ............ 3,811 3,492,000 WPP GROUP PLC ........................... 15,485 --------- 179,356 --------- AGRICULTURAL CHEMICALS--0.21% 14,651 AGRIUM, INC ............................. 178 120,360 oECOGEN, INC ............................. 233 2,195,667 +oFMC CORP ................................ 147,796 34,331 oFREEPORT MCMORAN SULPHUR, INC ........... 403 1,220,942 IMC GLOBAL, INC ......................... 39,986 54,155 oIMC GLOBAL, INC WTS 12/22/00 ............ 210 90,200 KEMIRA OY ............................... 853 246,877 MISSISSIPPI CHEMICAL CORP ............... 4,506 430,759 oMYCOGEN CORP ............................ 8,077 247,400 oSCOTTS CO (CLASS A) ..................... 7,484 --------- 209,726 --------- AIR TRANSPORTATION, NONSCHEDULED--0.00% 110,400 MALAYSIAN HELICOPTER SERVICES BERHAD ....................... 14 22,080 oMALAYSIAN HELICOPTER WTS 06/11/00....... 1 122,000 oOFFSHORE LOGISTICS, INC ................ 2,608 --------- 2,623 --------- AIR TRANSPORTATION, SCHEDULED--0.59% 1,968,700 oAIR CANADA, INC ........................ 20,291 176,793 AIR EXPRESS INTERNATIONAL CORP ......... 5,392 388,000 AIR NEW ZEALAND LTD (CLASS B) .......... 777 2,000 oAIRNET SYSTEMS, INC .................... 43 262,200 oALASKA AIR GROUP, INC .................. 10,160 1,170 ALL NIPPON AIRWAYS CO LTD .............. 4 534,900 oAMERICA WEST HOLDINGS CORP (CLASS B) ............................. 9,963 967,500 oAMR CORP ............................... 124,324 1,049,498 ASA HOLDINGS, INC ...................... 29,845 87,000 oATLAS AIR, INC ......................... 2,088 15,900 oAUSTRIAN AIRLINES/OEST LUFTV AG ........ 338 610,181 BRITISH AIRWAYS PLC .................... 5,989 200 oCANADIAN AIRLINES CORP ................. 0 4,000 oCANADIAN AIRLINES CORP WTS 04/22/99..... 0 2,464,800 CATHAY PACIFIC AIRWAYS LTD ............. 2,004 1,875,600 COMAIR HOLDINGS, INC ................... 45,249 275,300 oCONTINENTAL AIRLINES, INC (CLASS B)..... 13,249 510,943 DELTA AIRLINES, INC .................... 60,802 1,083,890 oDEUTSCHE LUFTHANSA AG (REGD) ........... 20,797 972,000 oFEDERAL EXPRESS CORP ................... 59,353 2,262,400 oJAPAN AIRLINES CO LTD .................. 6,177 51,083 KLM (ROYAL DUTCH AIRLINES) NV .......... 1,890 VALUE SHARES (000) ------ ---------- 616,000 MALAYSIAN AIRLINE SYSTEM BERHAD .......$ 494 500 oMIDWEST EXPRESS HOLDINGS, INC ......... 19 501,300 oNORTHWEST AIRLINES CORP (CLASS A)...... 24,000 241,350 PITTSTON BURLINGTON GROUP CO .......... 6,335 977,757 QUANTAS AIRWAYS LTD ................... 1,730 280,000 oRYANAIR HOLDINGS PLC ADR .............. 7,035 3,320 oSAIR GROUP ............................ 4,552 34,188 SAS DANMARK AS ........................ 499 771,000 SINGAPORE INTERNATIONAL AIRLINES LTD (FR) ..................... 5,033 200 SKYWEST, INC .......................... 6 1,189,500 SOUTHWEST AIRLINES CO ................. 29,291 921,200 SWIRE PACIFIC LTD (CLASS A) ........... 5,053 575,720 oUAL CORP .............................. 53,254 432,000 oUS AIRWAYS GROUP, INC ................. 27,000 30,500 oVIRGIN EXPRESS HOLDINGS ............... 1,873 --------- 584,909 --------- AIRCRAFT AND PARTS--1.27% 194,600 oAIRTRAN HOLDINGS, INC .................. 778 9,394,408 ALLIED SIGNAL, INC ..................... 365,795 289,298 oBE AEROSPACE, INC ...................... 7,739 8,825,154 BOEING CO .............................. 431,881 74,700 BREED TECHNOLOGIES, INC ................ 1,363 1,514,404 BRITISH AEROSPACE PLC .................. 43,382 7,134 oBRITISH AEROSPACE PLC WTS 11/15/00 ..... 142 65,800 CURTISS WRIGHT CORP .................... 2,389 7,400 oDUCOMMUN, INC .......................... 259 6,800 oFABBRICA ITALIANA APPARECCHIATURE ...... 23 256,700 oGULFSTREAM AEROSPACE CORP .............. 7,508 52,500 oHONG KONG AIRCRAFT ENGINEERING CO LTD ..................... 132 364,600 KAMAN CORP (CLASS A) ................... 5,970 642,675 NORTHROP GRUMMAN CORP .................. 73,908 240,100 OEA, INC ............................... 6,948 11,300 oRHEINMETALL AG ......................... 220 10,174,795 ROLLS ROYCE LTD ........................ 38,506 1,900 oSEQUA CORP (CLASS A) ................... 124 303,584 SMITHS INDUSTRIES PLC .................. 4,323 96,700 oSPAR AEROSPACE LTD ..................... 608 798,900 TEXTRON, INC ........................... 49,931 75,706 THOMSON-CSF ............................ 2,387 3,029,950 UNITED TECHNOLOGIES CORP ............... 220,618 --------- 1,264,934 --------- AIRPORTS, FLYING FIELDS, AND SERVICES--0.01% 208,688 oAVIALL, INC ............................ 3,117 13,958 #SODEXHO ALLIANCE S.A. .................. 7,478 --------- 10,595 --------- APPAREL, PIECE GOODS, AND NOTIONS--0.05% 230,024 BURLINGTON COAT FACTORY WAREHOUSE CORP ........................ 3,781 313,700 oGENESCO, INC ........................... 4,000 7,300 oKENNETH COLE PRODUCTIONS, INC .......... 117 727,600 NIKE, INC (CLASS B) .................... 28,558 554,310 oREEBOK INTERNATIONAL LTD ............... 15,971 1,888 oSALAMANDER AG .......................... 299 --------- 52,726 --------- ASPHALT PAVING AND ROOFING MATERIALS--0.00% 3,700 oELCOR CORP ............................. 89 --------- See notes to financial statements. -19- VALUE SHARES (000) ------ ---------- AUTO AND HOME SUPPLY STORES--0.02% 10,000 oAUTOBACS SEVEN CO LTD ................ $ 288 239,700 CANADIAN TIRE, INC (CLASS A) ......... 5,142 2,900 oDISCOUNT AUTO PARTS, INC ............. 55 610,600 PEP BOYS MANNY, MOE, & JACK CO ....... 14,578 ----------- 20,063 ----------- AUTOMOTIVE RENTALS, NO DRIVERS--0.04% 97,000 oBUDGET GROUP, INC .................... 3,353 702,000 oDOLLAR THRIFTY AUTOMOTIVE ............ 14,391 49,600 HERTZ CORP (CLASS A) ................. 1,996 44,880 IMPERIAL HOLDINGS LTD ................ 521 52,470 oNATIONAL AUTO CREDIT, INC ............ 279 123,200 oRENTERS CHOICE, INC .................. 2,526 2,800 ROLLINS TRUCK LEASING CORP ........... 50 507,352 RYDER SYSTEM, INC .................... 16,616 14,900 XTRA CORP ............................ 874 ----------- 40,606 ----------- AUTOMOTIVE SERVICES, EXCEPT REPAIR--0.01% 202,700 BORG-WARNER AUTOMOTIVE, INC .......... 10,540 178,000 oCOMFORT GROUP LTD .................... 77 ----------- 10,617 ----------- BAKERY PRODUCTS--0.15% 559,425 ASSOCIATED BRITISH FOODS PLC ......... 4,796 62,749 BAGLEY S.A. (CLASS B) ................ 119 3,196,753 GOODMAN FIELDER LTD .................. 5,083 392,600 INTERSTATE BAKERIES CORP ............. 14,673 256,900 oJ & J SNACK FOODS CORP ............... 4,207 218,832 LANCE, INC ........................... 5,758 2,078,600 NABISCO HOLDINGS CORP (CLASS A) ...... 100,682 86,000 ORKLA AS SERIES A .................... 7,407 7,748 ORKLA AS SERIES B .................... 603 238,175 UNITED BISCUITS HOLDINGS PLC ......... 878 131,000 YAMAZAKI BAKING CO LTD ............... 1,280 ----------- 145,486 ----------- BEAUTY SHOPS--0.00% 78,500 REGIS CORP ........................... 1,972 ----------- BEVERAGES--2.53% 4,272,044 ANHEUSER BUSCH COS, INC .............. 187,970 483,000 ASAHI BREWERIES LTD .................. 7,058 654,023 BASS LTD ............................. 10,073 4,680 oBRAU UND BRUNNEN AG .................. 468 410,300 BROWN FORMAN, INC (CLASS B) .......... 22,669 200 oBUSH BOAKE ALLEN, INC ................ 5 687,576 CADBURY SCHWEPPES LTD ................ 6,845 23,809 CARLSBERG BREWERIES AS (CLASS A) ..... 1,288 11,781 CARLSBERG BREWERIES AS (CLASS B) ..... 633 975,000 CARLSBERG BREWERIES MALAYSIA BERHAD ...................... 3,131 229,222 COCA COLA AMATIL LTD ................. 1,713 277,600 COCA COLA BOTTLING CO CONSOLIDATED ......................... 19,154 19,266,298 COCA COLA CO ......................... 1,283,617 1,499,500 COCA COLA ENTERPRISES, INC ........... 53,326 132,800 COMPANIA CERVECERIAS UNIDAS S.A. ADR ...................... 3,901 266,600 COORS (ADOLPH) CO (CLASS B) .......... 8,864 52,000 COTT CORP ............................ 436 8,245,695 DIAGEO PLC ........................... 75,774 40,700 EMBOTELLADORA ANDINA ADR (CLASS B) ... 791 VALUE SHARES (000) ------ ---------- 156,500 FOMENTO ECONOMICO MEXICANO S.A. DE CV SERIES B ................. $ 1,246 934,200 FORTUNE BRANDS, INC .................. 34,624 5,954,858 FOSTERS BREWING GROUP LTD ............ 11,330 145,800 FRASER & NEAVE LTD ................... 632 105,000 oGRUPO CONTINENTAL S.A ................ 376 216,500 GRUPO MODELO S.A. SERIES C ........... 1,829 77,600 GUINESS ANCHOR BERHAD ................ 96 119,753 HEINEKEN NV .......................... 20,852 159,998 HERMES INTERNATIONAL S.A ............. 11,170 150 oHOLSTEN BRAUEREI AG .................. 30 539,200 oITOEN LTD ............................ 14,307 2,874,000 KIRIN BREWERY CO LTD ................. 20,999 1,930,930 LION NATHAN LTD ...................... 4,328 157,351 LVMH MOET HENNESSY LOUIS VUITTON ........................ 26,129 105,000 oMIDWEST GRAIN PRODUCTS, INC .......... 1,313 45,500 MOLSON CO LTD (CLASS A) .............. 812 1,000 MOLSON CO LTD (CLASS B) .............. 18 17,939,236 PEPSICO, INC ......................... 653,661 350,000 xPOWER PACIFIC LTD .................... 0 159,150 SAPPORO BREWERIES LTD ................ 502 373,729 SCOTTISH & NEWCASTLE PLC ............. 4,594 250,300 SEAGRAMS CO LTD ...................... 8,089 241,400 SEAGRAMS CO LTD (U.S.) ............... 7,800 83,399 SOUTH AFRICAN BREWERIES LTD .......... 2,056 6,102 SOUTH AFRICAN BREWERIES LTD (U.S.) ... 150 1,808,091 SOUTHCORP LTD ........................ 5,985 88,000 TAKARA SHUZO CO LTD .................. 328 11,700 oUNICER-UNIAO CERVEJEIRA, S.A ......... 165 38,200 VINA CONCHA Y TORO S.A. ADR .......... 965 ----------- 2,522,102 ----------- BITUMINOUS COAL AND LIGNITE MINING--0.01% 5,497 ANGLO AMERICAN COAL CORP LTD ......... 256 192,200 ASHLAND COAL, INC .................... 5,261 593,000 WANKIE COLLIERY CO LTD ............... 129 132,200 ZEIGLER COAL HOLDINGS CO ............. 2,157 ----------- 7,803 ----------- BLANKBOOKS AND BOOKBINDING--0.03% 200 oDAY RUNNER, INC ...................... 8 667,400 DELUXE CORP .......................... 23,025 305,400 oFRANKLIN COVEY CO .................... 6,719 ----------- 29,752 ----------- BLAST FURNACE AND BASIC STEEL PRODUCTS--0.34% 6,910 ACERINOX S.A ......................... 1,023 239,531 oACME METALS, INC ..................... 2,365 691,600 AK STEEL HOLDINGS CORP ............... 12,233 818,087 ALLEGHENY TELEDYNE, INC .............. 21,168 872,000 AMSTEEL CORP BERHAD .................. 152 84,000 oAMSTEEL CORP BERHAD WTS 05/19/00 ..... 5 176,900 oARMCO, INC ........................... 873 55,000 oB.U.S. BERZELIUS UMWELT-SERVICE AG ... 734 1,299,200 oBETHLEHEM STEEL CORP ................. 11,206 355,900 BIRMINGHAM STEEL CORP ................ 5,605 1,413,246 BRITISH STEEL PLC .................... 3,064 123,200 CARPENTER TECHNOLOGY CORP ............ 5,921 156,200 CO STEEL, INC ........................ 2,074 17,200,000 COMPANIA SIDERURGICA NACIONAL S.A ......................... 478 See notes to financial statements. -20- VALUE SHARES (000) ------ ---------- BLAST FURNACE AND BASIC STEEL PRODUCTS--(CONTINUED) 22,000 CONSOLIDATED METALLURGICAL INDUSTRIES LTD ....................... $ 30 1,470,000 DAIDO STEEL CO LTD ................... 1,854 128,800 DOFASCO, INC ......................... 2,070 56,600 FLACK S.P.A .......................... 259 250,000 oFOSTER (LB) CO (CLASS A) ............. 1,234 43,000 FRIED KRUPP AG HOESCH KRUPP .......... 7,916 272,000 oGRUPO SIMEC, S.A. DE C.V. SERIES B ... 71 23,920 oHOOGOVENS NEN STAALIADRIEREN NV ...... 980 828,600 INLAND STEEL INDUSTRIES, INC ......... 14,190 33,200 IPSCO, INC ........................... 1,288 1,000 IVACO, INC (CLASS A) ................. 3 275,700 J & L SPECIALTY STEEL, INC ........... 2,774 3,808,000 KAWASAKI STEEL CORP .................. 5,213 236,100 oLONE STAR TECHNOLOGIES, INC .......... 6,699 588,900 LTV CORP ............................. 5,742 97,700 LUKENS, INC .......................... 2,791 155,800 oMAVERICK TUBE CORP ................... 3,944 58,000 oMITSUBISHI STEEL MANUFACTURING CO LTD .............................. 58 198,450 NATIONAL IRON & STEEL MILLS LTD ...... 269 223,200 oNATIONAL STEEL CORP (CLASS B) ........ 2,581 47,000 NIPPON DENKO CO LTD .................. 41 7,543,000 NIPPON STEEL CORP .................... 11,197 6,920,200 NKK CORP ............................. 5,535 340,600 NUCOR CORP ........................... 16,455 156,400 OREGON STEEL MILLS, INC .............. 3,333 102,100 POHANG IRON & STEEL CO LTD ........... 2,765 35,000 oPROMET BERHAD ........................ 3 196,100 QUANEX CORP .......................... 5,515 186,900 ROUGE INDUSTRIES, INC (CLASS A) ...... 2,266 60,500 SANDVIK AB SERIES B FREE ............. 1,731 7,900 oSTEEL DYNAMICS, INC .................. 126 8,725,000 SUMITOMO METAL INDUSTRIES LTD ........ 11,206 390,088 TEXAS INDUSTRIES, INC ................ 17,554 182,400 TOKYO STEEL MANUFACTURING CO LTD ..... 619 3,275,621 USX-MARATHON GROUP, INC .............. 110,552 591,864 USX-US STEEL GROUP, INC .............. 18,496 479,912 WORTHINGTON INDUSTRIES, INC .......... 7,919 ----------- 342,180 ----------- BOAT DEALERS--0.00% 12,800 oWEST MARINE, INC ...................... 286 ----------- BOOKS--0.08% 362,900 BANTA CORP ........................... 9,798 192,500 oGOLDEN BOOKS FAMILY ENTERTAINMENT, INC .................. 1,985 24,812 GRUPO ANAYA S.A ...................... 456 184,100 HOUGHTON MIFFLIN CO .................. 7,065 544,600 MCGRAW HILL COS, INC ................. 40,300 47,700 NASIONALE PERS BEPERK SERIES N ....... 392 191,550 +PLENUM PUBLISHING CORP ............... 8,859 257,800 oSCHOLASTIC CORP ...................... 9,668 159,550 THOMAS NELSON, INC ................... 1,845 900 WILEY (JOHN) & SONS, INC (CLASS A) ... 49 ----------- 80,417 ----------- BROADWOVEN FABRIC MILLS, COTTON--0.03% 322,400 oBURLINGTON INDUSTRIES, INC ........... 4,453 121,100 oCONE MILLS CORP ...................... 939 10,200 CULP, INC ............................ 204 9,300 oGALEY & LORD, INC .................... 166 1,755,000 oNITTO BOSEKI CO LTD .................. 4,414 VALUE SHARES (000) ------ ---------- 600 oTRIARC COS, INC ...................... $ 16 320,400 oWESTPOINT STEVENS, INC ............... 15,139 ----------- 25,331 ----------- BROADWOVEN FABRIC MILLS, MANMADE--0.02% 179,700 ALBANY INTERNATIONAL CORP (CLASS A) ........................... 4,133 136,000 oCOLLINS & AIKMAN CORP ................ 1,173 23,900 CONFECCOES GUARARAPES S.A ............ 89 129,000 MITSUBISHI RAYON CO LTD .............. 317 240,000 SPRING INDUSTRIES, INC ............... 12,480 ----------- 18,192 ----------- BROADWOVEN FABRIC MILLS, WOOL--0.00% 12,570 CHARGEURS S.A. ....................... 752 ----------- BUS TERMINAL AND SERVICE FACILITIES--0.05% 4,001,136 oNEW WORLD INFRASTUCTURE LTD .......... 9,011 2,901,446 STAGECOACH HOLDINGS PLC .............. 40,054 ----------- 49,065 ----------- BUSINESS CREDIT INSTITUTIONS--0.07% 306,300 oARCADIA FINANCIAL LTD ................ 2,278 380,800 ASSOCIATES FIRST CAPITAL CORP ........ 27,084 149,721 CAPITAL ONE FINANCIAL CORP ........... 8,113 466,600 FINOVA GROUP, INC .................... 23,184 1,425,000 LONDON FORFAITING CO PLC ............. 8,324 16,547 oPACIFIC CREST CAPITAL, INC ........... 302 38,300 TOTAL SYSTEM SERVICES, INC ........... 948 3,000 oWFS FINANCIAL, INC ................... 34 ----------- 70,267 ----------- CABLE AND OTHER PAY TV SERVICES--0.33% 158,566 oASCENT ENTERTAINMENT GROUP, INC ...... 1,645 3,600 oBET HOLDINGS, INC (CLASS A) .......... 197 9,125 oCABLE MICHIGAN, INC .................. 209 145,200 oCABLEVISION SYSTEMS CORP (CLASS A) ... 13,903 706,800 COMCAST CORP (CLASS A) ............... 22,529 2,028,335 COMCAST CORP (CLASS A) SPECIAL ....... 64,019 621,689 oCOX COMMUNICATIONS, INC (CLASS A) ........................... 24,906 213,000 oGENERAL CABLE PLC ADR ................ 1,464 143,650 oMASTEC, INC .......................... 3,286 272,842 oPANAMSAT CORP ........................ 11,766 131,600 oROGERS COMMUNICATIONS, INC (CLASS B) ........................... 635 150,500 TCA CABLE TV, INC .................... 6,923 696,349 oTCI SATELLITE ENTERTAINMENT (CLASS A) ........................... 4,787 4,078,430 oTELE-COMMUNICATIONS, INC (CLASS A) ........................... 113,941 2,020,967 oTELECOM-TCI VENTURES GROUP (CLASS A) 57,219 24,000 oUNITED VIDEO SATELLITE GROUP, INC .... 690 ----------- 328,119 ----------- CARPENTRY AND FLOOR WORK--0.01% 221,100 GEON CO .............................. 5,168 ----------- CARPETS AND RUGS--0.02% 1,523,000 SHAW INDUSTRIES, INC ................. 17,705 ----------- CASH GRAINS--0.01% 133,400 DEKALB GENETICS CORP (CLASS B) ....... 5,236 247,409 DELTA & PINE LAND CO ................. 7,546 ----------- 12,782 ----------- See notes to financial statements. -21- VALUE SHARES (000) ------ ---------- CEMENT, HYDRAULIC--0.04% 95,000 APASCO S.A ...........................$ 652 7,500 CENTEX CONSTRUCTION PRODUCTS, INC .... 226 241,009 CRH PLC .............................. 2,796 22,500 oGIANT CEMENT HOLDING, INC ............ 520 40,000 ITALCEMENTI S.P.A. (S/S) ............. 120 44,420 oLAFARGE S.A. (BR) .................... 2,916 30,768 #LAFARGE S.A. (REGD) .................. 2,020 5,060 LAFARGE S.A. (SPANISH CERT) .......... 329 352,792 MEDUSA CORP .......................... 14,751 272,774 SOUTHDOWN, INC ....................... 16,094 2,371,000 SUMITOMO OSAKA CEMENT CO LTD ......... 2,991 ----------- 43,415 ----------- CHEMICAL AND FERTILIZER MINERALS--0.01% 84,200 POTASH CORP OF SASKATCHEWAN, INC ..... 7,004 8,476 POTASH CORP OF SASKATCHEWAN, INC (U.S.) .............................. 704 ----------- 7,708 ----------- CHEMICALS AND ALLIED PRODUCTS--0.01% 65,600 oERCROS S.A ........................... 64 4,000 MYERS INDUSTRIES, INC ................ 68 70,000 SAES GETTERS S.P.A ................... 1,125 175,000 SKW TROSTBERG AG ..................... 5,557 513,500 URALITA S.A .......................... 5,862 ----------- 12,676 ----------- CHEWING AND SMOKING TOBACCO--0.07% 2,016,800 UST, INC ............................. 74,496 ----------- CHILDREN'S AND INFANTS' WEAR STORES--0.01% 423,900 oGYMBOREE CORP ........................ 11,604 ----------- CIGARETTES--1.04% 2,200,000 GALLAHER GROUP PLC ................... 11,692 1,133,700 GALLAHER GROUP PLC ADR ............... 24,233 298,000 GRUPO CARSO S.A. DE CV SERIES A ...... 1,989 382,200 IMASCO LTD ........................... 13,487 21,319,000 PHILIP MORRIS COS, INC ............... 966,017 67,000 R.J. REYNOLDS BERHAD ................. 109 256,300 ROTHMANS OF PALL MALL BERHAD ......... 1,992 184,000 TABACALERA S.A. SERIES A (REGD) ...... 14,909 ----------- 1,034,428 ----------- CIGARS--0.03% 2,131,557 B.A.T. INDUSTRIES LTD ................ 19,448 600 oCONSOLIDATED CIGAR HOLDINGS, INC ..... 17 122,800 oEMPRESAS LA MODERN SERIES A NPV ...... 670 41,400 oGENERAL CIGAR HOLDINGS, INC (CLASS A). 882 24,928 NOBLEZA-PICCARDO S.A. (CLASS B) ...... 112 248,345 ROTHMANS HOLDINGS LTD ................ 1,311 81,196 SEITA S.A ............................ 2,915 75,278 SOUZA CRUZ S.A ....................... 607 ----------- 25,962 ----------- CLAY, CERAMIC, AND REFRACTORY MINERALS--0.00% 34,650 AMCOL INTERNATIONAL CORP ............. 550 ----------- COLLEGES AND UNIVERSITIES--0.00% 4,200 oEDUCATION MANAGEMENT CORP ............ 130 ----------- VALUE SHARES (000) ------ ---------- COMBINATION UTILITY SERVICES--1.11% 1,801,724 BALTIMORE GAS & ELECTRIC CO ..........$ 61,371 300,000 BERLINER KRAFT-UND LICHT (BEWAG) AG .. 9,076 110,700 CENTRAL HUDSON GAS & ELECTRIC CORP ... 4,857 150,895 CENTRAL MAINE POWER CO ............... 2,301 8,700 CILCORP, INC ......................... 425 292,409 CIPSCO, INC .......................... 12,939 433,783 oCITIZENS UTILITIES CO (CLASS B) ...... 4,175 2,303,100 CONSOLIDATED EDISON CO OF NEW YORK, INC ....................... 94,427 487,400 DELMARVA POWER & LIGHT CO ............ 11,241 6,737,310 EDISON INTERNATIONAL CO .............. 183,171 98,607 ELECTRABEL NV ........................ 22,808 2,521,290 ENOVA CORP ........................... 68,232 369,600 IPALCO ENTERPRISES, INC .............. 15,500 436,834 KANSAS CITY POWER & LIGHT CO ......... 12,914 1,920 LAHMEYER AG .......................... 77 1,347,500 LONG ISLAND LIGHTING CO .............. 40,593 7,000 oMADISON GAS & ELECTRIC CO ............ 161 461,500 MIDAMERICAN ENERGY HOLDINGS CO ....... 10,153 379,386 MONTANA POWER CO ..................... 12,069 1,824,560 NEW CENTURY ENERGIES, INC ............ 87,465 839,386 NEW YORK STATE ELECTRIC & GAS CORP ... 29,798 1,764,500 oNIAGARA MOHAWK POWER CORP ............ 18,527 572,379 NIPSCO INDUSTRIES, INC ............... 28,297 423,900 NORTHERN STATES POWER CO ............. 24,692 7,900 oNORTHWESTERN PUBLIC SERVICE CO ....... 182 48,900 ORANGE & ROCKLAND UTILITY, INC ....... 2,277 2,079,100 PACIFICORP ........................... 56,785 2,386,400 PECO ENERGY CO ....................... 57,870 454,862 PUBLIC SERVICE CO OF NEW MEXICO ...... 10,775 2,214,446 PUBLIC SERVICE ENTERPRISE GROUP, INC . 70,170 372,200 ROCHESTER GAS & ELECTRIC CORP ........ 12,655 692,700 SCANA CORP ........................... 20,738 1,000,100 SIERRA PACIFIC RESOURCES ............. 37,504 630,700 UNION ELECTRIC CO .................... 27,278 293,632 UTILICORP UNITED, INC ................ 11,397 881,700 WASHINGTON WATER POWER CO ............ 21,436 461,529 WESTERN RESOURCES, INC ............... 19,846 ----------- 1,104,182 ----------- COMMERCIAL BANKS--9.00% 2,766,190 ABN-AMRO HOLDINGS NV ................. 53,897 193,799 ABSA GROUP LTD ....................... 1,115 415,095 ALLIED IRISH BANK .................... 4,013 25,300 ALLIED IRISH BANKS PLC (SPONSORED ADR) 1,467 2,000 AMCORE FINANCIAL, INC ................ 50 582,737 AMSOUTH BANCORP ...................... 31,650 277,200 oAPPLIED INTERNATIONAL HOLDINGS LTD WTS 12/30/99 ........................ 5 174,900 ARGENTARIA S.A ....................... 10,638 3,031,486 ASAHI BANK LTD ....................... 12,357 544,000 ASHIKAGA BANK LTD .................... 879 793,973 ASSOCIATED BANC CORP ................. 43,768 321,808 AUSTRALIAN & NEW ZEALAND BANKING GROUP LTD ................... 2,126 6,514,702 BANC ONE CORP ........................ 353,830 2,501,690 BANCA COMMERCIALE ITALIANA S.P.A ..... 8,708 700,000 BANCA FIDEURAM S.P.A ................. 3,069 1,152,200 BANCA POPOLARE DI MILANO ............. 7,239 528,670 BANCO AMBROSIANO VENETO S.P.A ........ 2,026 1,717,161 BANCO BILBAO VIZCAYA S.A. (REGD) ..... 55,543 175,546 BANCO CENTRALE HISPANOAMERICANO S.A ................ 4,273 38,600 BANCO DE A. EDWARDS S.P.A. ADR ....... 656 See notes to financial statements. -22- VALUE SHARES (000) ------ ---------- COMMERCIAL BANKS--(CONTINUED) 197,448 BANCO DE GALICIA BUENOS AIRES S.A. SERIES A .................$ 1,264 4,000 BANCO DE GALICIA Y BUENOS AIRES ADR .. 103 102,665 oBANCO ESPANOL DE CREDITO S.A ......... 1,010 129,261 BANCO FRANCES DEL RIO DE LA PLATA S.A ........................ 1,200 165,000 BANCO INTERCONTINENTAL ESPANOLA S.A ........................ 9,353 1,536,542 BANCO SANTANDER S.A .................. 51,314 125,000 BANCO SANTIAGO ADR ................... 2,781 4,000 BANCORPSOUTH, INC .................... 189 1,308,990 BANK OF EAST ASIA LTD ................ 3,066 2,770,736 BANK OF NEW YORK CO, INC ............. 160,183 7,000 BANK OF OKINAWA LTD .................. 121 1,409,000 BANK OF YOKOHAMA LTD ................. 3,728 8,797,914 BANKAMERICA CORP ..................... 642,248 1,656,300 BANKBOSTON CORP ...................... 155,589 1,593,218 BANKERS TRUST NEW YORK CORP .......... 179,137 305,251 BANQUE DE PARIBAS S.A ................ 26,537 166,188 BANQUE NATIONALE DE PARIS ............ 8,837 1,672,637 BARCLAYS PLC ......................... 44,447 3,328,958 BARNETT BANKS, INC ................... 239,269 197,200 BAYERISCHE HYPOTHEKEN-UND WECHSEL-BANK ........................ 9,629 1,027,210 BAYERISCHE VEREINSBANK AG ............ 67,239 1,155,976 BB&T CORP ............................ 74,055 2,300 oCAPITAL BANCORP/MIAMI, FLORIDA ....... 133 164,600 CCB FINANCIAL CORP ................... 17,695 38,500 CENTURA BANKS, INC ................... 2,657 4,302,175 CHASE MANHATTAN CORP ................. 471,088 1,484,540 CHIBA BANK LTD ....................... 4,624 11,050 oCHITTENDEN CORP ...................... 387 5,208,083 CITICORP CO .......................... 658,497 11,500 CITIZENS BANKING CORP (MICHIGAN) .......................... 397 252,500 CITY NATIONAL CORP ................... 9,327 12,200 oCNB BANCSHARES, INC .................. 588 69,300 COLONIAL BANCGROUP, INC .............. 2,387 1,249,758 COMERICA, INC ........................ 112,791 222,147 COMMERCE BANCORP, INC ................ 11,329 92,507 COMMERCE BANCSHARES, INC ............. 6,267 114,000 COMMERZBANK AG ....................... 4,489 50,600 oCOMMUNITY FIRST BANKSHARES, INC ..................... 2,694 4,000 oCOMMUNITY TRUST BANCORP, INC ......... 125 787,900 COMPASS BANCSHARES, INC .............. 34,471 2,198,398 CORESTATES FINANCIAL CORP ............ 176,009 2,100 CORUS BANKSHARES, INC ................ 83 115,076 CREDIT COMMERCIAL DE FRANCE S.A .......................... 7,890 6,500 CREDITANSTALT-BANKVEREIN ............. 364 15,800 CREDITANSTALT-BAVKVEREIN (STAMM) ..... 1,012 5,350,660 CREDITO ITALIANO S.P.A ............... 16,520 1,069,234 CRESTAR FINANCIAL CORP ............... 60,946 327,300 CULLEN FROST BANKERS, INC ............ 19,863 100,189 DEN DANSKE BANK AF 1871 .............. 13,359 118,300 DEPOSIT GUARANTY ..................... 6,728 1,161,800 DEUTSCHE BANK AG ..................... 82,058 380,250 DEVELOPMENT BANK OF SINGAPORE LTD (FR) .................. 3,250 1,166,840 DRESDNER BANK AG ..................... 53,861 3,100 F & M NATIONAL CORP .................. 106 787,762 FIFTH THIRD BANCORP .................. 64,400 249,052 FIRST AMERICAN CORP .................. 12,390 VALUE SHARES (000) ------ ---------- 2,923,713 FIRST CHICAGO NBD CORP ...............$ 244,130 1,300 FIRST CITIZENS BANCSHARES, INC (CLASS A) ........................... 135 289,642 FIRST COMMERCE CORP .................. 19,478 38,489 FIRST COMMERCIAL CORP ................ 2,256 4,700 FIRST COMMONWEALTH FINANCIAL CORP .... 165 900 FIRST EMPIRE STATE CORP .............. 419 2,200 FIRST FINANCIAL BANCORP .............. 106 201,500 FIRST HAWAIIAN, INC .................. 8,010 189,800 FIRST MIDWEST BANCORP, INC ........... 8,304 145,000 FIRST NATIONAL BANK HOLDINGS LTD ..... 1,289 530,758 FIRST OF AMERICA BANK CORP ........... 40,935 30,200 oFIRST REPUBLIC BANK .................. 965 1,301,012 FIRST SECURITY CORP .................. 54,480 640,500 FIRST TENNESSEE NATIONAL CORP ........ 42,753 565,125 FIRST VIRGINIA BANKS, INC ............ 29,210 2,600 oFIRST WESTERN BANCORP, INC ........... 74 1,166,100 FIRSTAR CORP ......................... 49,486 2,000 oFIRSTBANK OF ILLINOIS CO ............. 74 2,200 FIRSTBANK PUERTO RICO ................ 75 468,600 FIRSTMERIT CORP ...................... 13,297 4,781,940 FLEET FINANCIAL GROUP, INC ........... 358,347 222,685 FRANCHISE FINANCE CORP OF AMERICA .... 6,012 4,603,334 FUJI BANK LTD ........................ 18,693 1,400 GBC BANCORP .......................... 89 922 oGENERALE DE BANQUE NPV STRIP VVPR .... 0 28,751 GENERALE DE BANQUE S.A ............... 12,513 479,000 oGENTRA, INC .......................... 1,757 44,600 GREENPOINT FINANCIAL CORP ............ 3,236 110,000 oGRUPO FINANCIERO BANAMEX ACCIVAL S.A. DE CV SERIES B ......... 327 159,506 oGRUPO FINANCIERO BANAMEX ACCIVAL S.A. DE CV SERIES L ......... 412 703,000 GUNMA BANK LTD ...................... 4,596 1,177,259 HANG SENG BANK LTD .................. 11,357 14,500 oHERITAGE FINANCIAL SERVICES, INC ..... 421 200,000 HIGO FAMILY BANK LTD ................. 1,015 147,000 oHOKKAIDO BANK LTD .................... 155 1,338,000 HOKURIKU BANK LTD .................... 1,749 1,405,781 HSBC HOLDINGS PLC .................... 34,835 2,529,776 HSBC HOLDINGS PLC (HONG KONG) ........ 62,358 1,613,202 HSBC HOLDINGS LTD (UNITED KINGDOM) ... 41,700 186,211 HUBCO, INC ........................... 7,286 1,130,988 HUNTINGTON BANCSHARES, INC ........... 40,716 672,211 oIMPERIAL BANCORP ..................... 33,148 3,854,223 INDUSTRIAL BANK OF JAPAN LTD ......... 27,568 2,133,920 INSTITUTO BANCARIO SAN PAOLO DI TURINO ..................... 20,412 21,900 INVESTEC GROUP LTD ................... 842 35,939 INVESTORS FINANCIAL SERVICES CORP .... 1,653 1,541,730 ISTITUTO MOBILIARE ITALIANO S.P.A .... 18,325 1,358,305 JOYO BANK ............................ 4,805 2,285,319 KEYCORP .............................. 161,829 84,532 KEYSTONE FINANCIAL, INC .............. 3,402 10,029,799 LLOYDS TSB GROUP PLC ................. 129,714 633,000 MAGNA GROUP, INC ..................... 28,960 3,300 oMAINSTREET BANKGROUP, INC ............ 92 615,100 MALAYAN BANKING BERHAD ............... 1,786 651,658 MARSHALL & ILSLEY CORP ............... 40,484 2,831,843 MBNA CORP ............................ 77,345 2,269,936 MELLON BANK CORP ..................... 137,615 879,088 MERCANTILE BANCORP, INC .............. 54,064 260,139 MERCANTILE BANKSHARES CORP ........... 10,178 691,665 MERITA LTD ........................... 3,785 96,000 METROPOLITAN BANK & TRUST CO ......... 656 8,000 MICHINOKU BANK LTD ................... 42 See notes to financial statements. -23- VALUE SHARES (000) ------ ---------- COMMERCIAL BANKS--(CONTINUED) 6,300 oMID-AM, INC .......................... $ 162 1,967,000 MITSUBISHI TRUST & BANKING CORP ...... 19,818 2,047,000 MITSUI TRUST & BANKING CO LTD ........ 3,983 1,778,943 MORGAN (J.P.) & CO, INC .............. 200,798 8,507 NATEXIS S.A .......................... 496 4,359,852 NATIONAL AUSTRALIA BANK LTD .......... 60,880 500 NATIONAL BANCORP OF ALASKA, INC ...... 63 2,600 NATIONAL CITY BANCSHARES, INC ........ 116 1,520,468 NATIONAL CITY CORP ................... 99,971 44,900 NATIONAL COMMERCE BANCORP ............ 1,583 6,434,968 NATIONSBANK CORP ..................... 391,326 3,000 oNBT BANCORP, INC ..................... 81 999,400 NORTH FORK BANCORP, INC .............. 33,542 1,392,043 NORTHERN TRUST CORP .................. 97,095 5,450,936 NORWEST CORP ......................... 210,542 849,502 OLD KENT FINANCIAL CORP .............. 33,662 2,000 OLD NATIONAL BANCORP ................. 97 136,400 ONBANCORP, INC ....................... 9,616 33,150 ONE VALLEY BANCORP, INC .............. 1,285 2,451,384 OVERSEAS-CHINESE BANKING CORP LTD (FR) ........................ 14,257 941,100 PACIFIC CENTURY FINANCIAL CORP ....... 23,292 2,800 oPEOPLES FIRST CORP ................... 109 429,810 PEOPLES HERITAGE FINANCIAL GROUP, INC .......................... 19,771 264,000 PHILIPPINE COMMERCIAL INTERNATIONAL BANK .................. 761 200,000 oPHILIPPINE NATIONAL BANK ............. 446 3,252,164 PNC BANK CORP ........................ 185,577 193,229 POPULAR, INC ......................... 9,565 113,965 PROVIDENT BANKSHARES CORP ............ 7,280 39,400 oPROVIDENT FINANCIAL GROUP ............ 1,911 598 PT BANK DANAMON (FR) ................. 0 1,920,424 PUBLIC BANK BERHAD (FR) .............. 661 233,599 oPUBLIC BANK BERHAD (LR) .............. 73 1,309,904 REGIONS FINANCIAL CORP ............... 55,262 6,900 RELIANCE BANCORP, INC ................ 253 416,212 REPUBLIC BANCORP, INC ................ 8,897 603,425 REPUBLIC NEW YORK CORP ............... 68,904 904,600 RHB CAPITAL BERHAD ................... 437 78,000 oRHB CAPITAL BERHAD WTS 12/28/99 ...... 11 30,000 RIGGS NATIONAL CORP .................. 806 554,005 ROYAL BANK OF CANADA ................. 29,266 712,680 ROYAL BANK OF SCOTLAND PLC ........... 9,123 4,674,000 SAKURA BANK LTD ...................... 13,409 765 SANWA BANK LTD ....................... 8 336,000 SEVENTY-SEVEN (77) BANK LTD .......... 2,403 905,000 SHIZUOKA BANK LTD .................... 9,744 7,100 oSILICON VALLEY BANCSHARES ............ 399 251,933 SKANDIA FORSAKRINGS AB ............... 11,891 88,000 SKANDINAVISKA ENSKILDA BANKEN SERIES C FREE ....................... 1,037 929,570 SKANDINAVISKA ENSKILDA BANKEN SERIES A ............................ 11,774 118,048 SOCIETE GENERALE S.A ................. 16,090 1,328,130 SOUTHTRUST CORP ...................... 84,253 500 oSOUTHWEST BANCORP OF TEXAS, INC ...... 16 265,900 STAR BANC CORP ....................... 15,256 1,253,500 STATE STREET CORP .................... 72,938 19,600 oSTERLING BANCSHARES, INC ............. 397 5,484,550 SUMITOMO BANK LTD .................... 62,851 900 SUMITOMO BANK OF CALIFORNIA .......... 49 1,532,259 SUMMIT BANCORP ....................... 81,593 VALUE SHARES (000) ------ ---------- 1,340,080 SUNTRUST BANKS, INC ..................$ 95,648 2,100 SUSQUEHANNA BANCSHARES, INC .......... 80 249,100 SVENSKA HANDELSBANKEN SERIES A ....... 8,618 209,500 SVENSKA HANDELSBANKEN SERIES B FREE ................................ 6,746 125,406 oSWISS BANK CORP (REGD) ............... 39,034 3,730 oSWISS BANK CORP (REGD) WTS 06/30/00 .. 52 335,575 SYNOVUS FINANCIAL CORP ............... 10,990 3,400 oTEXAS REGIONAL BANCSHRS, INC (CLASS A) ........................... 104 2,591,609 TOKAI BANK LTD ....................... 12,119 59,100 TORONTO DOMINION BANK ................ 2,222 30,700 TRANS FINANCIAL, INC ................. 1,193 5,900 TRUSTCO BANK CORP .................... 161 54,000 TRUSTMARK CORP ....................... 2,498 1,942,910 U.S. BANCORP ......................... 217,484 72,969 U.S. TRUST CORP ...................... 4,570 4,545 UBS REGISTERED ....................... 1,312 2,665 UMB FINANCIAL CORP ................... 145 103,300 UNI BANKDANMARK AS (CLASS A) ......... 7,588 44,751 UNION BANK OF SWITZERLAND (BR) ....... 64,798 663,672 UNION PLANTERS CORP .................. 45,088 3,500 UNIONBANCAL CORP ..................... 376 686,890 UNITED OVERSEAS BANK LTD (FR) ........ 3,812 2,200 USBANCORP, INC ....................... 161 4,000 VALLEY NATIONAL BANCORP .............. 157 14,900 VERMONT FINANCIAL SERVICES CORP ...... 415 1,361,112 WACHOVIA CORP ........................ 110,420 705,181 WELLS FARGO & CO ..................... 239,365 1,000 oWESBANCO, INC ........................ 30 115,000 WESTAMERICA BANCORP .................. 11,759 2,000 oWESTERNBANK PUERTO RICO .............. 48 5,855,242 WESTPAC BANKING CORP ................. 37,451 101,250 WHITNEY HOLDINGS CORP ................ 5,771 82,000 WILMINGTON TRUST CORP ................ 5,115 249,302 WING LUNG BANK LTD ................... 1,194 372,000 YAMAGUCHI BANK LTD ................... 4,578 2,946,000 YASUDA TRUST & BANKING CO LTD ........ 2,945 303,600 ZIONS BANCORP ........................ 13,776 ----------- 8,961,022 ----------- COMMERCIAL PRINTING--0.06% 489,830 AMERICAN BUSINESS PRODUCTS, INC ...... 10,593 22,300 oAPPLIED GRAPHICS TECHNOLOGIES, INC ... 1,187 75,900 oBIG FLOWER HOLDINGS, INC ............. 1,831 253,100 BOWNE & CO, INC ...................... 10,092 83,400 oCONSOLIDATED GRAPHICS, INC ........... 3,889 550,100 DONNELLEY (R.R.) & SONS CO ........... 20,491 374,600 HARLAND (JOHN H.) CO ................. 7,867 16,400 MERRILL CORP ......................... 381 466,000 oTOPPS, INC ........................... 1,034 ----------- 57,365 ----------- COMMERCIAL SPORTS--0.00% 8,100 oCYRK, INC ............................ 78 9,800 oFLORIDA PANTHERS HOLDINGS, INC ....... 169 128,100 oHOLLYWOOD PARK, INC .................. 2,818 ----------- 3,065 ----------- COMMUNICATIONS EQUIPMENT--1.43% 4,169,799 o3COM CORP ............................ 145,682 1,831,000 oADC TELECOMMUNICATIONS, INC .......... 76,444 359,000 oADVANCED FIBRE COMMUNICATIONS ........ 10,456 568,400 ALIANT COMMUNICATIONS, INC ........... 17,834 325,000 ALLGON AB SERIES B FREE .............. 4,383 13,125 #AMER SATELLITE NETWORK WTS 06/30/99 .. 0 343,800 oAMTECH CORP .......................... 1,375 See notes to financial statements. -24- VALUE SHARES (000) ------ ---------- COMMUNICATIONS EQUIPMENT--(CONTINUED) 647,518 oANDREW CORP .......................... $ 15,540 107,800 oANTEC CORP ........................... 1,684 381,500 oASPECT TELECOMMUNICATIONS CORP ....... 7,964 228,672 oASSOCIATED GROUP, INC (CLASS A) ...... 6,774 606,100 oASSOCIATED GROUP, INC (CLASS B) ...... 17,653 254,650 oAYDIN CORP ........................... 3,008 20,992 BETACOM PLC .......................... 11 161,300 oBILLING INFORMATION CONCEPTS CORP .... 7,742 165,600 oBOSTON TECHNOLOGY, INC ............... 4,161 13,080,660 BRITISH TELECOMMUNICATIONS PLC ....... 103,256 15,892,715 CABLE & WIRELESS PLC ................. 139,771 290,000 oCALIFORNIA MICROWAVE, INC ............ 5,619 366 oCHYRON CORP .......................... 2 69,500 oCIDCO, INC ........................... 1,355 606,400 oCIENA CORP ........................... 37,066 14,300 oCOHERENT COMMUNICATIONS SYSTEMS CORP ........................ 399 130,000 CUBIC CORP ........................... 4,258 96,800 oDAVOX CORP ........................... 3,158 1,000 oDIGITAL LIGHTWAVE, INC ............... 13 489,600 oDIGITAL MICROWAVE CORP ............... 7,099 663,788 oDSC COMMUNICATIONS CORP .............. 15,931 387,500 oDSP COMMUNICATIONS, INC .............. 4,650 600,000 oELCOTEQ NETWORK CORP (CLASS A) ....... 7,547 50,000 oERICSSON S.P.A ....................... 2,185 845,000 oERICSSON TELEFON (LM) SERIES B ADR ... 31,530 42,135 oEXCEL COMMUNICATIONS, INC ............ 611 175,214 FEDERAL SIGNAL CORP .................. 3,789 259,500 oFIRST ALERT, INC ..................... 551 319,200 oGENERAL DATACOMM INDUSTRIES, INC ..... 1,496 870,000 oGEOTEK COMMUNICATIONS, INC ........... 1,332 140,737 oGLENAYRE TECHNOLOGIES, INC ........... 1,390 1,041,750 HARRIS CORP .......................... 47,790 8,046,148 HONG KONG TELECOMMUNICATIONS LTD ..... 16,563 125,600 INTER-TEL, INC ....................... 2,434 96,900 oINTERDIGITAL COMMUNICATIONS CORP ..... 297 751,936 oITT CORP ............................. 62,317 1,211,536 ITT INDUSTRIES, INC .................. 38,012 21,200 oLORAL SPACE & COMMUNICATIONS LTD ..... 454 350,000 LOXLEY PUBLIC CO LTD (FR) ............ 44 4,800 oMITEL CORP ........................... 37 4,207,800 MOTOROLA, INC ........................ 240,108 105,000 oNATURAL MICROSYSTEMS CORP ............ 4,883 122,300 oNETWORK EQUIPMENT TECHNOLOGIES, INC ................... 1,789 312,500 oNEWBRIDGE NETWORKS CORP .............. 10,898 217,800 oNEWBRIDGE NETWORKS CORP (U.S.) ....... 7,617 810,200 oNEXTLEVEL SYSTEMS, INC ............... 14,482 94,300 NOKIA AB SERIES A ADR ................ 6,601 369,400 NOKIA AB SERIES K .................... 26,455 192,600 NORTHERN TELECOMMUNICATIONS LTD ...... 17,112 199,109 NORTHERN TELECOMMUNICATIONS LTD (U.S.) .......................... 17,721 393,900 OY NOKIA AB SERIES A ................. 27,993 406,400 oP-COM, INC ........................... 7,010 429,500 oPAIRGAIN TECHNOLOGIES, INC ........... 8,322 366,700 oPICTURETEL CORP ...................... 2,384 62,700 PITTWAY CORP ......................... 4,322 242,719 PITTWAY CORP (CLASS A) ............... 16,899 100 oPLANTRONICS, INC ..................... 4 70,880 PLESSEY CORP LTD ..................... 74 VALUE SHARES (000) ------ ---------- 85,400 oPOWERWAVE TECHNOLOGIES, INC .......... $ 1,436 240,600 oPREMISYS COMMUNICATIONS, INC ......... 6,286 2,130,600 oPRICELLULAR CORP (CLASS A) ........... 22,238 837,300 SCIENTIFIC-ATLANTA, INC .............. 14,025 110,100 oSHIVA CORP ........................... 943 148,526 SK TELECOM CO LTD ADR ................ 965 19,400 oSPECTRIAN CORP ....................... 373 311,700 SYMBOL TECHNOLOGIES, INC ............. 11,767 308,600 oSYMMETRICOM, INC ..................... 3,587 74,000 oTCSI CORP ............................ 592 52,200 oTEKELEC .............................. 1,592 124,600 oTELCO SYSTEMS, INC ................... 1,207 87,900 oTELE-COMMUNICATIONS INTERNATIONAL (CLASS A) ............. 1,582 11,185,160 TELECOM CORP OF NEW ZEALAND .......... 54,235 1,632,500 TELEKOM MALAYSIA BERHAD .............. 4,823 201,600 TELXON CORP .......................... 4,813 8,000 oTRANSACTION NETWORK SERVICES, INC .... 138 18,600 oUS SATELLITE BROADCASTING, INC (CLASS A) ........................... 148 2,038,244 VODAFONE GROUP PLC ................... 14,874 95,056 oVTEL CORP ............................ 582 20,800 oWESTELL TECHNOLOGIES, INC (CLASS A) ........................... 265 35,600 oXYLAN CORP ........................... 538 13,200 oYURIE SYSTEMS, INC ................... 266 ----------- 1,423,616 ----------- COMMUNICATIONS SERVICES, NEC--0.05% 131,300 oAMERICAN MOBILE SATELLITE CORP ....... 919 760,000 ASIA SATELLITE TELECOM HOLDINGS LTD .. 1,300 914,900 BCE, INC ............................. 30,463 43,842 BCE, INC (U.S.) ...................... 1,460 15,500 oCOMMNET CELLULAR, INC ................ 551 244,000 COMSAT CORP SERIES 1 ................. 5,917 152,912 oDIMENSION DATA HOLDINGS LTD .......... 660 91,800 oMCLEODUSA, INC (CLASS A) ............. 2,938 1,000 NIPPON COMSYS CORP ................... 12 150,000 oSMARTALK TELESERVICES, INC ........... 3,413 60,800 WPL HOLDINGS, INC .................... 2,014 ----------- 49,647 ----------- COMPUTER AND DATA PROCESSING SERVICES--3.02% 20,700 o3DO CO ............................... 45 128,100 oACCLAIM ENTERTAINMENT, INC ........... 464 7,700 oACTIVISION, INC ...................... 138 345,100 oACXIOM CORP .......................... 6,643 553,244 ADOBE SYSTEMS, INC ................... 22,821 152,200 oAFFILIATED COMPUTER SERVICES, INC (CLASS A) ........................... 4,005 991,180 oAFFYMETRIX, INC ...................... 30,850 485,300 oAMERICA ONLINE, INC .................. 43,283 450,525 oAMERICAN MANAGEMENT SYSTEMS, INC ..... 8,785 173,900 oAMERICAN SOFTWARE, INC (CLASS A) ..... 1,598 36,000 ANALYSTS INTERNATIONAL CORP .......... 1,242 30,000 oASPECT DEVELOPMENT, INC .............. 1,560 201,600 oASPEN TECHNOLOGY, INC ................ 6,905 66,754 oATOS S.A ............................. 8,611 590,500 AUTODESK, INC ........................ 21,849 2,524,000 AUTOMATIC DATA PROCESSING, INC ....... 154,911 254,300 oAVANT CORP ........................... 4,260 400,000 oBAAN CO NV ........................... 13,101 82,500 oBANYAN SYSTEMS, INC .................. 242 236,000 oBISYS GROUP, INC ..................... 7,847 See notes to financial statements. -25- VALUE SHARES (000) ------ ---------- COMPUTER AND DATA PROCESSING SERVICES--(CONTINUED) 890,400 oBMC SOFTWARE, INC .................... $ 58,433 103,437 oBORLAND INTERNATIONAL, INC ........... 756 41,512 oBRODERBUND SOFTWARE, INC ............. 1,064 1,824,674 oCADENCE DESIGN SYSTEMS, INC .......... 44,705 266,800 oCAMBRIDGE TECHNOLOGY PARTNERS, INC ....................... 11,106 2,000,000 oCAPITA GROUP PLC ..................... 12,143 10,100 oCCC INFORMATION SERVICES GROUP, INC .......................... 199 896,800 oCELLNET DATA SYSTEMS, INC ............ 6,950 791,926 oCERIDIAN CORP ........................ 36,280 186,800 oCERNER CORP .......................... 3,946 221,200 oCHECKPOINT SYSTEMS, INC .............. 3,871 122,829 oCHOICEPOINT, INC ..................... 5,865 92,000 oCIBER, INC ........................... 5,336 281,200 oCIRRUS LOGIC, INC .................... 2,988 320,390 oCITRIX SYSTEMS, INC .................. 24,350 1,000 oCLAREMONT TECHNOLOGY GROUP, INC ...... 19 24,200 oCLARIFY, INC ......................... 281 543,287 COMDISCO, INC ........................ 18,166 9,000 oCOMPLETE BUSINESS SOLUTIONS, INC ..... 392 4,500 oCOMPUSERVE CORP ...................... 55 6,326,008 COMPUTER ASSOCIATES INTERNATIONAL, INC .................. 334,488 275,100 oCOMPUTER HORIZONS CORP ............... 12,517 12,700 oCOMPUTER MANAGEMENT SCIENCES, INC .... 243 761,834 oCOMPUTER SCIENCES CORP ............... 63,613 106,400 COMPUTER TASK GROUP, INC ............. 3,784 734,100 oCOMPUTERVISION CORP .................. 2,799 1,410,800 oCOMPUWARE CORP ....................... 45,146 63,000 oCOREL CORP ........................... 101 292,650 oCORESTAFF, INC ....................... 7,755 144,000 oCSG SYSTEMS INTERNATIONAL, INC ....... 5,760 160,900 CSK CORP ............................. 4,133 72,594 oCYBERGUARD CORP ...................... 408 141,600 oCYBERMEDIA, INC ...................... 2,133 100,000 DASSAULT SYSTEMS S.A ................. 3,050 4,500 oDATA TRANSMISSION NETWORK CORP ....... 126 82,500 oDIALOGIC CORP ........................ 3,609 250,000 oDIGI INTERNATIONAL, INC .............. 4,250 15,400 oDOCUMENTUM, INC ...................... 649 62,500 oDST SYSTEMS, INC ..................... 2,668 122,600 oE TRADE GROUP, INC ................... 2,820 232,300 oELECTRONIC ARTS, INC ................. 8,784 2,169,044 ELECTRONIC DATA SYSTEMS CORP ......... 95,302 589,400 oELECTRONICS FOR IMAGING, INC ......... 9,799 123,529 oENVOY CORP ........................... 3,598 142,000 oFILENET CORP ......................... 4,278 3,350,168 FIRST DATA CORP ...................... 97,992 513,875 oFISERV, INC .......................... 25,244 359,600 oFORE SYSTEMS, INC .................... 5,484 91,900 oFORTE SOFTWARE, INC .................. 701 299,500 oGT INTERACTIVE SOFTWARE CORP ......... 1,909 300,100 oGTECH HOLDINGS CORP .................. 9,584 124,600 oHARBINGER CORP ....................... 3,504 2,328,356 HBO & CO ............................. 111,761 93,700 oHCIA, INC ............................ 1,113 88,900 oHEALTH MANAGEMENT SYSTEMS, INC ....... 528 232,400 oHEALTHDYNE INFORMATION ENTERPRISES ......................... 414 133,700 oHNC SOFTWARE ......................... 5,749 47,200 oHYPERION SOFTWARE CORP ............... 1,687 31,000 oI2 TECHNOLOGIES, INC ................. 1,635 VALUE SHARES (000) ------ ---------- 15,700 oIKOS SYSTEMS, INC .................... $ 96 15,100 oIMNET SYSTEMS, INC ................... 245 2,000 oINDUSTRI-MATEMATIK INTERNATIONAL CORP .................. 59 550,000 oINDUSTRIAL & FINANCIAL SYSTEMS AB .... 3,812 3,000 INES CORP ............................ 23 234,000 oINFORMATION RESOURCES, INC ........... 3,130 36,800 oINSO CORP ............................ 426 16,175 oINTEGRATED SYSTEMS CONSULTING GROUP .................... 180 137,600 oINTEGRATED SYSTEMS, INC .............. 1,892 3,400 oINTERNATIONAL NETWORK SERVICES ....... 79 54,700 oINTERSOLV, INC ....................... 1,108 26,000 oINTERVOICE, INC ...................... 195 119,200 oINTUIT, INC .......................... 4,917 40,500 oITRON, INC ........................... 729 617,000 JBA HOLDINGS PLC ..................... 10,441 39,900 oJDA SOFTWARE GROUP, INC .............. 1,397 96,100 oJTS CORP ............................. 24 331,700 oKEANE, INC ........................... 13,475 28,900 oKONAMI CO LTD ........................ 713 200,394 oLANDSTAR SYSTEM, INC ................. 5,285 378,400 oLEARNING CO, INC ..................... 6,078 107,800 oLEGATO SYSTEMS, INC .................. 4,743 3,600 oLHS GROUP, INC ....................... 215 116,400 oLYCOS, INC ........................... 4,816 304,300 oMACNEAL-SCHWENDLER CORP .............. 2,929 217,900 oMACROMEDIA, INC ...................... 1,811 183,276 oMANUGISTICS GROUP, INC ............... 8,179 180,500 oMAPICS, INC .......................... 1,963 133,300 oMARCAM SOLUTIONS CORP ................ 966 12,800 oMEDQUIST, INC ........................ 445 459,400 MEITEC CORP .......................... 12,967 560,100 oMENTOR GRAPHICS CORP ................. 5,426 123,100 oMERCURY INTERACTIVE CORP ............. 3,293 50,000 oMERKANTILDATA ASA .................... 1,723 390,000 oMICRO FOCUS GROUP PLC ................ 15,353 6,055,100 oMICROSOFT CORP ....................... 782,622 12,500 oMIDWAY GAMES, INC .................... 227 1,001,644 MISYS PLC ............................ 30,160 398,342 NATIONAL DATA CORP ................... 14,390 1,650 oNATIONAL INSTRUMENTS CORP ............ 48 2,000 oNETCOM ON-LINE COMMUNICATIONS SERVICE, INC ........................ 48 253,700 oNETMANAGE, INC ....................... 714 131,691 oNETSCAPE COMMUNICATIONS CORP ......... 3,210 727,120 oNETWORKS ASSOCIATES, INC ............. 38,446 1,176,900 oNOVELL, INC .......................... 8,827 252 NTT DATA COMMUNICATIONS SYSTEM CORP ......................... 13,625 64,000 oODS NETWORKS, INC .................... 412 5,000 oOPEN MARKET, INC ..................... 48 6,580,737 oORACLE CORP .......................... 146,833 1,183,700 oPARAMETRIC TECHNOLOGY CORP ........... 56,078 331,102 PAYCHEX, INC ......................... 16,762 36,000 oPEGASYSTEMS, INC ..................... 727 1,181,600 oPEOPLESOFT, INC ...................... 46,082 7,000 oPHOENIX TECHNOLOGIES LTD ............. 85 167,500 oPHYSICIAN COMPUTER NETWORK, INC ...... 670 801,600 oPLATINUM TECHNOLOGY, INC ............. 22,645 152,200 oPOLICY MANAGEMENT SYSTEMS CORP ....... 10,587 113,700 oPROGRESS SOFTWARE CORP ............... 2,459 27,700 oPROJECT SOFTWARE & DEVELOPMENT, INC .................... 651 179,900 oPROTEIN DESIGN LABORATORIES, INC ..... 7,196 See notes to financial statements. -26- VALUE SHARES (000) ------ ---------- COMPUTER AND DATA PROCESSING SERVICES--(CONTINUED) 14,800 oPSINET, INC .......................... $ 76 191,100 oQUARTERDECK CORP ..................... 311 220,900 oREMEDY CORP .......................... 4,639 18,000 oSAPIENT CORP ......................... 1,103 43,200 oSCOPUS TECHNOLOGY, INC ............... 518 391,700 oSECURITY DYNAMICS TECHNOLOGIES, INC ................... 14,003 301,000 SHARED MEDICAL SYSTEMS CORP .......... 19,866 84,044 oSIEBEL SYSTEMS, INC .................. 3,514 88,536 oSOFTWARE PUBLISHING CORP HOLDINGS, INC ........................ 64 362,233 oSTERLING COMMERCE, INC ............... 13,923 223,634 oSTERLING SOFTWARE, INC ............... 9,169 76,900 oSTRUCTURAL DYNAMICS RESEARCH CORP ....................... 1,730 1,068,000 oSUNGARD DATA SYSTEMS, INC ............ 33,108 26,600 oSUNQUEST INFORMATION SYSTEMS, INC ........................ 259 394,100 oSYBASE, INC .......................... 5,246 45,500 oSYKES ENTERPRISES, INC ............... 887 382,700 oSYMANTEC CORP ........................ 8,395 225,167 oSYNOPSYS, INC ........................ 8,050 198,064 oSYSTEM SOFTWARE ASSOCIATES, INC ...... 1,733 226,066 oSYSTEMS & COMPUTER TECHNOLOGY CORP ..................... 11,219 117,300 oSYSTEMSOFT CORP ...................... 748 211,800 oTECHNOLOGY SOLUTIONS CO .............. 5,586 20,300 TRANS COSMOS ......................... 358 343,100 oTRANSACTION SYSTEM ARCHITECTURE ........................ 13,038 287,600 oUSCS INTERNATIONAL, INC .............. 4,889 255,000 oVANSTAR CORP ......................... 2,885 99,300 oVANTIVE CORP ......................... 2,507 169,318 oVERITAS SOFTWARE CORP ................ 8,635 137,100 oVIASOFT, INC ......................... 5,792 254,900 oVISIO CORP ........................... 9,782 191,200 oWIND RIVER SYSTEMS, INC .............. 7,588 252,000 oYAHOO,INC ............................ 17,451 156,400 oZILOG, INC ........................... 2,981 ----------- 3,007,921 ----------- COMPUTER AND OFFICE EQUIPMENT--3.83% 146,624 oADTRAN, INC .......................... 4,032 185,900 ANALOGIC CORP ........................ 7,064 22,500 oAPEX PC SOLUTIONS, INC ............... 498 1,243,500 oAPPLE COMPUTER, INC .................. 16,321 3,585,850 oASCEND COMMUNICATIONS, INC ........... 87,853 150,000 oASICS CORP ........................... 102 168,200 oAUSPEX SYSTEMS, INC .................. 1,682 58,800 oBANCTEC, INC ......................... 1,577 1,248,638 oBAY NETWORKS, INC .................... 31,918 28,700 oBELL & HOWELL CO ..................... 694 14,400 oBROADBAND TECHNOLOGIES, INC .......... 59 615,400 oCABLETRON SYSTEMS, INC ............... 9,231 10,175,025 oCISCO SYSTEMS, INC ................... 567,258 6,166,020 COMPAQ COMPUTER CORP ................. 347,995 418,300 oCOMVERSE TECHNOLOGY, INC ............. 16,314 699,637 oCONCORD EFS, INC ..................... 17,403 361,000 oCOPYTELE, INC ........................ 1,264 504,600 xoCRAY COMPUTER CORP ................... 1 626,100 oDATA GENERAL CORP .................... 10,918 VALUE SHARES (000) ------ ---------- 2,426,075 oDELL COMPUTER CORP ................... $ 203,790 102,000 oDIAMOND MULTIMEDIA SYSTEMS, INC ...... 905 318,462 DIEBOLD, INC ......................... 16,122 1,653,300 oDIGITAL EQUIPMENT CORP ............... 61,172 116,200 oDYNATECH CORP ........................ 5,447 4,061,100 oEMC CORP ............................. 111,426 62,100 oEMULEX CORP .......................... 854 33,800 oENCAD, INC ........................... 930 175,094 oESCO ELECTRONICS CORP (TRUST RECEIPTS) .................... 2,955 133,400 oEVANS & SUTHERLAND COMPUTER CORP ..... 3,869 67,000 oEXABYTE CORP ......................... 431 3,294,000 FUJITSU LTD .......................... 35,468 278,700 oGATEWAY 2000, INC .................... 9,093 414,175 GERBER SCIENTIFIC, INC ............... 8,232 7,537,208 HEWLETT-PACKARD CO ................... 471,076 214,100 oHMT TECHNOLOGY CORP .................. 2,783 98,200 HUNT CORP ............................ 2,326 50,810 oIMATION CORP ......................... 813 23,200 oIN FOCUS SYSTEMS, INC ................ 705 77,865 oINTERGRAPH CORP ...................... 779 10,498,300 INTERNATIONAL BUSINESS MACHINES CORP ...................... 1,097,728 1,788,500 oIOMEGA CORP .......................... 22,244 5,000 oKRONOS, INC .......................... 154 709,400 oLEXMARK INTERNATIONAL GROUP (CLASS A) ........................... 26,957 485,188 oLITTON INDUSTRIES, INC ............... 27,898 321,075 oMICROCHIP TECHNOLOGY, INC ............ 9,632 148,300 oMICRON ELECTRONICS, INC .............. 1,353 28,500 oMICROS SYSTEMS, INC .................. 1,283 25,900 oMICROTOUCH SYSTEMS, INC .............. 408 110,800 oNASHUA CORP .......................... 1,302 244,750 NATIONAL COMPUTER SYSTEMS, INC ....... 8,627 342,237 oNCR CORP ............................. 9,518 152,700 oNEOMAGIC CORP ........................ 1,947 246,400 oNETWORK APPLIANCE, INC ............... 8,747 202,500 NIDEC CORP ........................... 8,566 1,930,896 PITNEY BOWES, INC .................... 173,660 52,103 oQLOGIC CORP .......................... 1,537 884,900 oQUANTUM CORP ......................... 17,753 84,623 oRATIONAL SOFTWARE CORP ............... 963 1,151,500 REYNOLDS & REYNOLDS CO (CLASS A) ..... 21,231 200,600 oSAFEGUARD SCIENTIFICS, INC ........... 6,294 650,336 oSEAGATE TECHNOLOGY, INC .............. 12,519 513,800 oSEQUENT COMPUTER SYSTEMS, INC ........ 10,276 1,780,104 oSILICON GRAPHICS, INC ................ 22,140 14,775 oSMITH CORONA WTS 02/28/99 ............ 15 1,014,100 oSOLECTRON CORP ....................... 42,149 356,723 oSTORAGE TECHNOLOGY CORP .............. 22,095 72,050 oSTRATUS COMPUTER, INC ................ 2,724 3,794,000 oSUN MICROSYSTEMS, INC ................ 151,286 27,200 oTHREE-FIVE SYSTEMS, INC .............. 449 242,500 oTRICORD SYSTEMS, INC ................. 121 297,600 oTSENG LABORATORIES, INC .............. 409 2,082,600 oUNISYS CORP .......................... 28,896 49,100 oVIDEOSERVER, INC ..................... 779 47,800 oVIGLEN TECHNOLOGY PLC ................ 31 380,108 oWANG LABORATORIES, INC ............... 8,410 6,773 oWANG LABORATORIES, INC WTS 07/02/01 .. 47 176,400 oWESTERN DIGITAL CORP ................. 2,833 130,900 oXIRCOM, INC .......................... 1,317 ----------- 3,815,658 ----------- See notes to financial statements. -27- VALUE SHARES (000) ------ ---------- CONCRETE, GYPSUM, AND PLASTER PRODUCTS--0.07% 250,141 AGGREGATE INDUSTRIES PLC .............$ 211 3,573 AKER RGI ASA ......................... 58 47,800 oAKER RGI ASA SERIES A ............... 862 150,789 CIMENTOS DE PORTUGAL ................. 3,956 196,236 oDRAVO CORP ........................... 2,159 429,100 FLORIDA ROCK INDUSTRIES, INC ......... 9,762 10,061 HOLDERBANK FINANCIERE GLARUS AG (REGD) .................... 7,372 128,000 HUME INDUSTRIES BERHAD ............... 134 394,698 LAFARGE CORP ......................... 11,668 45,600 LONE STAR INDUSTRIES, INC ............ 2,423 123,420 REPUBLIC GROUP, INC .................. 2,021 190,000 SEMAPA SOC INV E GESTAO-SGPS ......... 4,635 12,450 UNILAND CEMENTERA S.A ................ 739 389,900 oUSG CORP ............................. 19,105 ----------- 65,105 ----------- CONCRETE WORK--0.00% 330,000 PORTLAND HOLDINGS LTD ................ 250 ----------- CONSTRUCTION AND RELATED MACHINERY--0.32% 782,350 BAKER HUGHES, INC .................... 34,130 58,200 CAMCO INTERNATIONAL, INC ............. 3,707 1,300 oCASCADE CORP ......................... 22 3,674,300 CATERPILLAR, INC ..................... 178,433 985,600 DOVER CORP ........................... 35,605 465,200 oEVI, INC ............................. 24,074 324,620 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC ................... 5,498 291,200 HARNISCHFEGER INDUSTRIES, INC ........ 10,283 344,900 JLG INDUSTRIES, INC .................. 4,872 80,000 KCI KONESCRANES INTERNATIONAL ........ 2,644 8,000 oKSB AG ............................... 1,797 24,800 oKUMAGAI GUMI (HONG KONG) LTD WTS 06/30/98 ......................... 2 177,375 MANITOWOC, INC ....................... 5,765 35,800 OMNIQUIP INTERNATIONAL, INC .......... 714 4,900 oTEREX CORP ........................... 115 226,250 TOMRA SYSTEMS AS ..................... 5,064 8,800 VA TECHNOLOGIE AG (BR) ............... 1,334 215,400 oVARCO INTERNATIONAL, INC ............. 4,618 3,266 ZARDOYA OTIS S.A ..................... 380 ----------- 319,057 ----------- COPPER ORES--0.02% 1,676,573 oBOUGAINVILLE COPPER LTD .............. 513 777,094 CYPRUS AMAX MINERALS CO .............. 11,948 372,800 NORANDA, INC ......................... 6,408 79,000 OUTOKUMPU OY SERIES A ................ 965 10,300 oSOUTHERN PERU COPPER CORP ............ 138 ----------- 19,972 ----------- CREDIT REPORTING AND COLLECTION--0.28% 2,700 ACKERMANS & VAN HAAREN ............... 751 423,079 oACNEILSEN CORP ....................... 10,313 332,740 oAGIV AG .............................. 6,292 3,160 oARTEMIS S.A .......................... 86 3,052,998 BTR PLC .............................. 9,369 42,115 oBTR PLC WTS 11/26/98 ................. 1 2,024,539 COGNIZANT CORP ....................... 90,219 8,300 CORPORACION FINANCIERE ALBA S.A ...... 874 VALUE SHARES (000) ------ ---------- 3,318,956 CSR LTD ..............................$ 11,246 90,152 DE LA RUE CO PLC ..................... 587 1,503,439 DUN & BRADSTREET CORP ................ 46,513 42,360 GRANDE HOLDINGS LTD .................. 13 8,472 oGRANDE HOLDINGS WTS 10/15/00 ......... 1 41,435 GROUPE BRUXELLES LAMBERT S.A ......... 5,994 1,155 oGROUPE BRUXELLES LAMBERT S.A. NPV WTS 12/20/98 .................... 30 459,583 HARRISON & CROSSFIELD PLC ............ 1,059 62,000 oHAW PAR CORP LTD ..................... 80 2,482,400 ITOCHU CORP .......................... 3,914 249,000 IZUMIYA CO LTD ....................... 1,630 44,550 oSTRAITS STEAMSHIP WTS 12/12/00 ....... 10 35,150 LAGARDERE S.C.A ...................... 1,163 109,220 LAIRD GROUP PLC ...................... 797 801,131 LONRHO PLC ........................... 1,226 1,364,000 MALAYAN UNITED INDUSTRIES BERHAD .............................. 238 2,672,900 MARUBENI CORP ........................ 4,708 96,090 METRA CO SERIES B .................... 2,259 3,483,428 PEARSON PLC .......................... 45,280 282,700 oPMT SERVICES, INC .................... 3,922 1,905,900 SIME DARBY BERHAD .................... 1,831 141,330 SOCIEDAD COMERCIAL DEL PLATA S.A ..... 223 32,360,000 +SOUTH CHINA HOLDINGS LTD ............. 7,517 1,170,000 SUMITOMO CORP ........................ 6,569 1,171,200 SUNGEI WAY HOLDINGS BERHAD ........... 379 1,213,000 TOKYU CORP ........................... 4,702 252,300 oUNION CORP ........................... 7,932 1,533,000 UNITED INDUSTRIAL CORP ............... 600 27,000 oUNITED INDUSTRIAL CORP WTS 07/05/99 ........................ 1 ----------- 278,329 ----------- CRUSHED AND BROKEN STONE--0.05% 459,307 MARTIN MARIETTA MATERIALS, INC ....... 16,793 300,500 VULCAN MATERIALS CO .................. 30,689 ----------- 47,482 ----------- CUTLERY, HANDTOOLS, AND HARDWARE--0.78% 2,300 oAMERICAN SAFETY RAZOR CO ............. 46 6,616,772 GILLETTE CO .......................... 664,572 19,000 KITAGAWA INDUSTRIES CO LTD ........... 132 700 oSIMPSON MANUFACTURING CO, INC ........ 23 491,800 SNAP-ON, INC ......................... 21,455 1,841,400 STANLEY WORKS CO ..................... 86,891 ----------- 773,119 ----------- DAIRY PRODUCTS--0.08% 1,373 BONGRAIN S.A ......................... 580 36,342 DANONE GROUP ......................... 6,494 308,350 DEAN FOODS CO ........................ 18,347 463,844 DREYERS GRAND ICE CREAM, INC ......... 11,190 120,000 MEIJI MILK PRODUCTS CO LTD ........... 312 282,775 MICHAEL FOODS, INC ................... 6,893 113,700 NESTLE MALAYSIA BERHAD ............... 526 323,125 NUTRICIA NV .......................... 9,802 1,968,120 PARMALAT FINANZIARIA S.P.A ........... 2,818 795,000 SNOW BRAND MILK PRODUCTS CO .......... 2,146 244,850 UNIGATE PLC .......................... 2,423 2,479,800 UNILEVER LTD ......................... 21,279 ----------- 82,810 ----------- See notes to financial statements. -28- VALUE SHARES (000) ------ ---------- DEEP SEA DOMESTIC TRANSPORTATION OF FREIGHT--0.00% 189,400 oHVIDE MARINE, INC (CLASS A) ..........$ 4,877 ----------- DEEP SEA FOREIGN TRANSPORTATION OF FREIGHT--0.09% 315,534 ALEXANDER & BALDWIN, INC ............. 8,618 35,200 oBERGESEN D.Y. AS (CLASS B) ........... 821 354 DAMPSKIBSSELSKABET AF 1912 (CLASS B) ........................... 16,337 327 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) ........................... 21,490 691,200 oFRONTLINE LTD ........................ 2,794 1,071,000 KAMIGUMI CO LTD ...................... 3,180 933,000 oKAWASAKI KISEN KAISHA LTD ............ 1,134 58,000 KEPPEL FELS LTD ...................... 162 14,000 KONINKLIJKE NEDLLOYD GROEP NV ........ 318 20,400 LEIF HOEGH & CO ...................... 415 1,101,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) .................... 1,612 110,800 oMALAYSIAN INTERNATIONAL SHIPPING CO (LR) ..................... 142 2,503,000 oMITSUI OSK LINES LTD ................. 3,484 139,842 oNCL HOLDINGS AS ...................... 501 41,642 oNCL HOLDINGS AS RTS .................. 0 199,000 NEPTUNE ORIENT LINES LTD ............. 79 890,800 NIPPON YUSEN KABUSHIKI KAISHA ........ 2,453 110,120 OCEAN GROUP PLC ...................... 1,071 780,200 oOMI, INC ............................. 7,168 387,860 OVERSEAS SHIPHOLDING GROUP, INC ...... 8,460 317,730 PENINSULAR & ORIENTAL STEAM NAVIGATION CO ................. 3,654 323,000 TRANSPORTATION DEVELOPMENT GROUP PLC ........................... 1,090 16,000 oTRANSPORT MARITIMA MEXICO SERIES L ............................ 123 85,600 oTRICO MARINE SERVICES, INC ........... 2,515 13,300 oUNITOR AS ............................ 162 ----------- 87,783 ----------- DEPARTMENT STORES--1.44% 10,500 oAMES DEPARTMENT STORES, INC .......... 184 292,956 ARGOS PLC (P/P) ...................... 2,656 688,501 BOOTS CO LTD ......................... 10,003 229,500 xoCALDOR CORP .......................... 72 46,550 CARREFOUR SUPERMARCHE S.A ............ 24,296 134,847 oCARSON PIRIE SCOTT & CO .............. 6,759 216,000 CIFRA S.A. DE CV SERIES C ............ 482 3,479,879 COLES MYER LTD ....................... 16,711 200,000 CORTEFIEL S.A ........................ 4,015 565,000 DAIEI, INC ........................... 2,347 396,000 DAIMARU, INC ......................... 938 1,587,200 DAVID JONES LTD ...................... 1,789 1,643,345 DAYTON HUDSON CORP ................... 110,926 77,850 DELHAIZE FRERES NV ................... 3,950 1,906,500 DILLARDS, INC (CLASS A) .............. 67,204 3,000,000 oDIXONS GROUP PLC ..................... 29,691 175,000 EL PUERTO DE LIVERPOOL S.A. (NON-VOTE) 260 1,785,349 oFEDERATED DEPARTMENT STORES, INC ..... 76,882 135,124 oFRED MEYER, INC ...................... 4,915 238,000 oGIORDANO INTERNATIONAL LTD ........... 82 310,300 oGOTTSCHALKS, INC ..................... 2,599 369,600 GRANDVISION S.A ...................... 15,212 671,457 GREAT UNIVERSAL STORES PLC ........... 8,286 221,000 HANKYU DEPARTMENT STORES, INC ........ 1,232 52,100 HUDSONS BAY CO ....................... 1,160 VALUE SHARES (000) ------ ---------- 174,000 ISETAN CO ............................$ 729 797,000 ITO-YOKADO CO LTD .................... 40,763 1,380 oJELMOLI HOLDING AG (BR) .............. 1,192 329,000 JUSCO CO LTD ......................... 4,656 3,800 KARSTADT AG .......................... 1,298 704,177 KINGFISHER PLC ....................... 9,825 415,900 oKOHLS CORP ........................... 28,333 5,388,635 MARKS & SPENCER PLC .................. 53,110 1,312,000 MARUI CO LTD ......................... 20,484 2,500,417 MAY DEPARTMENT STORES CO ............. 131,741 269,900 MERCANTILE STORES CO, INC ............ 16,430 185,358 METRO AG ............................. 6,649 222,000 MITSUKOSHI LTD ....................... 592 969,800 MYCAL CORP ........................... 8,130 224,049 oNEIMAN-MARCUS GROUP, INC ............ 6,777 1,986,457 NEXT PLC ............................. 22,618 2,296,917 PENNEY, (J.C.) CO, INC ............... 138,533 89,600 PICKN PAY STORES LTD ................. 131 16,438 PINAULT-PRINTEMPS-REDOUTE S.A ........ 8,774 456,300 oPROFFITTS, INC ....................... 12,976 20,680 PROMODES S.A ......................... 8,583 162,350 RINASCENTE S.P.A ..................... 1,213 3,250 oRINASCENTE S.P.A. WTS 12/31/99 ....... 4 476,100 ROBINSON DEPARTMENT STORE (FR) ....... 10 704,800 ROSS STORES, INC ..................... 25,637 2,000 ROYAL CO LTD ......................... 30 760,523 SEARS PLC ............................ 657 145,000 SEIYU LTD ............................ 459 164,440 SEVEN-ELEVEN JAPAN CO LTD ............ 11,686 185,100 SHIMACHU CO .......................... 2,918 4,000 oSTOCKMANN B FREE ..................... 250 146,735 oSTRAWBRIDGE & CLOTHIER ............... 921 612,000 TAKASHIMAYA CO LTD ................... 3,718 585,000 UNY CO LTD ........................... 8,054 14,782 VALORA HOLDINGS AG REGD .............. 3,121 11,600,576 WAL-MART STORES, INC ................. 457,498 ----------- 1,431,151 ----------- DRUG STORES AND PROPRIETARY STORES--0.33% 531,555 ARBOR DRUGS, INC ..................... 9,834 2,697,379 CVS CORP ............................. 172,801 458,342 LONGS DRUG STORES CORP ............... 14,724 116,560 MINISTOP CO LTD ...................... 3,021 457,363 oRITE AID CORP ........................ 26,841 149,000 oSYNCOR INTERNATIONAL CORP ............ 2,403 3,443 oVITALINK PHARMACY SERVICES, INC ...... 83 3,100,900 WALGREEN CO .......................... 97,291 ----------- 326,998 ----------- DRUGS--6.84% 6,221,288 ABBOTT LABORATORIES CO ............... 407,883 137,917 AKZO NOBEL NV ........................ 23,783 249,300 oALKERMES, INC ........................ 4,955 677,993 ALLEGIANCE CORP ...................... 24,026 744,250 ALLERGAN, INC ........................ 24,979 320,200 oALLIANCE PHARMACEUTICAL CORP ......... 2,321 22,900 oALPHA BETA TECHNOLOGY, INC ........... 59 5,600,102 AMERICAN HOME PRODUCTS CORP .......... 428,408 70,000 oAMYLIN PHARMACEUTICALS, INC .......... 381 102,549 oAQUILA BIOPHARMACEUTICALS, INC ....... 429 2,000 oARRIS PHARMACEUTICAL CORP ............ 17 21,300 oBARR LABORATORIES, INC ............... 727 1,760,637 BAXTER INTERNATIONAL, INC ............ 88,802 1,259,450 BAYER AG ............................. 47,069 76,900 BEIERSDORF AG ........................ 3,336 See notes to financial statements. -29- VALUE SHARES (000) ------ ---------- DRUGS--(CONTINUED) 427,800 oBIO-TECHNOLOGY GENERAL CORP .......... $ 4,599 34,000 oBIOCHEM PHARMACEUTICALS, INC ......... 691 981,200 oBIOGEN, INC .......................... 35,691 99,300 oBIOMIRA, INC ......................... 215 295,000 oBIORA AB ............................. 3,049 149,508 BLOCK DRUG, INC (CLASS A) ............ 6,466 79,050 oBOSTON LIFE SCIENCES, INC ............ 180 9,227,480 BRISTOL MYERS SQUIBB CO .............. 873,150 174,500 CARTER WALLACE, INC .................. 2,945 82,500 CARTER WALLACE, INC (CLASS B) ........ 1,392 302,567 oCENTOCOR, INC ........................ 10,060 4,409,968 oCHIRON CORP .......................... 74,969 2,416,417 oCHIROSCIENCE GROUP PLC ............... 8,787 700 oCOPLEY PHARMACEUTICAL, INC ........... 4 57,600 oCOR THERAPEUTICS, INC ................ 1,296 718,616 oCOVANCE, INC ......................... 14,282 5,000 oCREATIVE BIOMOLECULES, INC ........... 37 29,695 oCRESCENDO PHARMACEUTICALS CORP ................................ 343 318,300 oDURA PHARMACEUTICALS, INC ............ 14,602 171,065 ELF SANOFI S.A ....................... 19,051 612,496 oENZON, INC ........................... 3,369 45,603 oFDM PHARMA ........................... 1,364 320,100 oFOREST LABORATORIES, INC ............. 15,785 4,000 oFUISZ TECHNOLOGIES LTD ............... 34 100 oGENENTECH, INC ....................... 6 282,081 oGENSIA SICOR, INC .................... 1,640 861,700 oGENZYME CORP (GENERAL DIVISION) ...... 23,912 59,077 oGENZYME CORP (TISSUE REPAIR DIVISION) ............ 406 345,900 oGILEAD SCIENCES, INC ................. 13,231 7,757,804 GLAXO WELLCOME PLC ................... 183,556 46,410 HAFSLUND AS SERIES A ................. 283 25,802 HAFSLUND AS SERIES B ................. 123 239,986 ICN PHARMACEUTICALS, INC ............. 11,714 337,600 oIDEXX LABORATORIES, INC .............. 5,381 277,600 oIMMUCOR, INC ......................... 2,394 452,300 oIMMUNOMEDICS, INC .................... 1,640 128,700 oINTERNATIONAL SPECIALTY PRODUCTS, INC ....................... 1,922 252,000 oINTERNEURON PHARMACEUTICALS, INC ..... 2,394 644,159 oIVAX CORP ............................ 4,348 293,400 JONES MEDICAL INDUSTRIES, INC ........ 11,223 153,000 KAKEN PHARMACEUTICAL CO LTD .......... 302 117,490 KISSEI PHARMACEUTICALS CO LTD ........ 1,699 25,000 LABORATORIO CHILE ADR ................ 556 3,500 oLIGAND PHARMACEUTICALS CO (CLASS A) ........................... 45 8,388,720 LILLY (ELI) & CO ..................... 584,065 5,555,050 +MALLINCKRODT, INC .................... 211,092 725,944 MARK IV INDUSTRIES, INC .............. 15,880 577,200 +oMARTEK BIOSCIENCES CORP .............. 4,762 140,210 #MARTEK BIOSCIENCES CORP WTS 05/18/98 ........................ 0 19,500 oMATRIX PHARMACEUTICALS, INC .......... 67 83,200 MDS, INC (CLASS B) ................... 1,916 25,268 oMEDICIS PHARMACEUTICAL CORP (CLASS A) ........................... 1,292 1,380,681 oMEDPARTNERS, INC ..................... 30,893 113,500 MERCK & CO KGAA ...................... 3,693 10,421,417 MERCK & CO, INC ...................... 1,107,276 1,631,950 MYLAN LABORATORIES, INC .............. 34,169 VALUE SHARES (000) ------ ---------- 38,900 oNEUROGEN CORP ........................ $ 525 282,872 oNEXSTAR PHARMACEUTICALS, INC ......... 3,218 170,500 oNORTH AMERICAN VACCINE, INC .......... 4,252 26,300 NOVARTIS AG (BR) ..................... 42,824 111,578 NOVARTIS AG (REGD) ................... 181,297 140,320 NOVO NORDISK AS (CLASS B) ............ 20,083 181,200 oPAREXEL INTERNATIONAL CORP ........... 6,704 13,300 oPATHOGENESIS CORP .................... 494 676,200 oPERRIGO CO ........................... 9,044 12,606,300 PFIZER, INC .......................... 939,957 163,412 oPHARMACEUTICAL PRODUCT DEVELOPMENT ......................... 2,512 313,242 oPHARMACEUTICAL RESOURCES, INC ........ 470 4,943,785 PHARMACIA & UPJOHN, INC .............. 181,066 228,200 oQUINTILES TRANSNATIONAL CORP ......... 8,729 100,000 oRIBOZYME PHARMACEUTICALS, INC ........ 800 8,000 RIKEN VITAMIN CO LTD ................. 58 195,000 oROBERTS PHARMACEUTICAL CORP .......... 1,865 1,369 ROCHE HOLDINGS AG (BR) ............... 21,118 12,297 ROCHE HOLDINGS AG (GENUSSCHEINE) ..... 122,287 113,100 oSANGSTAT MEDICAL CORP ................ 4,581 536,500 SANTEN PHARMACEUTICAL CO LTD ......... 6,189 103,270 SCHERING AG .......................... 9,965 6,231,012 SCHERING-PLOUGH CORP ................. 387,102 398,600 oSEPRACOR, INC ........................ 15,969 470,600 oSEQUUS PHARMACEUTICALS, INC .......... 3,500 13,000 oSEROLOGICALS CORP .................... 338 13,082,887 SMITHKLINE BEECHAM/BECKMAN LTD ....... 134,649 83,400 oSOMATOGEN, INC ....................... 370 1,000 TEIKOKU HORMONE MANUFACTURING ........ 5 89,400 oTWINLAB CORP ......................... 2,213 285,600 oVERTEX PHARMACEUTICALS, INC .......... 9,425 14,700 oVICAL, INC ........................... 176 1,914,400 WARNER-LAMBERT CO .................... 237,386 1,061,900 oWATSON PHARMACEUTICALS, INC .......... 34,445 180,003 oXOMA CORP ............................ 1,001 25,000 ZENECA GROUP PLC ADR ................. 2,700 ----------- 6,808,733 ----------- DRUGS, PROPRIETARIES, AND SUNDRIES--0.42% 71,800 oAMERICAN DRUG CO ..................... 6 71,800 oAMERICAN DRUG CO WTS 08/05/98 ........ 2 251,700 oAMERISOURCE HEALTH CORP (CLASS A) ........................... 14,662 2,489,900 oAMGEN, INC ........................... 134,766 636,977 BERGEN BRUNSWIG CORP (CLASS A) ....... 26,833 83,900 BINDLEY WESTERN INDUSTRIES, INC ...... 2,590 2,450,529 CARDINAL HEALTH, INC ................. 184,096 293,523 F.H. FAULDING & CO LTD ............... 1,469 2,433 oHERBALIFE INTERNATIONAL, INC (CLASS A) ........................... 51 4,866 oHERBALIFE INTERNATIONAL, INC (CLASS B) ........................... 105 225,900 oIMMUNEX CORP ......................... 12,199 219,900 MCKESSON CORP ........................ 23,790 138,100 oNBTY, INC ............................ 4,609 445,100 oREXALL SUNDOWN, INC .................. 13,436 16,000 SAGAMI RUBBER INDUSTRIES CO LTD ...... 49 29,000 oSCHEIN (HENRY), INC .................. 1,015 ----------- 419,678 ----------- See notes to financial statements. -30- VALUE SHARES (000) ------ ---------- EATING AND DRINKING PLACES--0.60% 35,102 ACCOR S.A ............................$ 6,529 452,200 APPLE SOUTH, INC ..................... 5,935 321,692 APPLEBEES INTERNATIONAL, INC ......... 5,811 65,270 oAUTOGRILL S.P.A ...................... 349 140,600 oBOSTON CHICKEN, INC .................. 905 1,015,293 oBRINKER INTERNATIONAL, INC ........... 16,245 697,000 oBUFFETS, INC ......................... 6,534 600,908 CKE RESTAURANTS, INC ................. 25,313 2,676 oCLUB MEDITERRANEE S.A ................ 189 22,725 oCONSOLIDATED PRODUCTS, INC ........... 372 592,725 CRACKER BARREL OLD COUNTRY STORE, INC .................. 19,782 2,026,900 DARDEN RESTAURANTS, INC .............. 25,336 15,150 oDAVE & BUSTERS, INC .................. 341 18,800 oEINSTEIN/NOAH BAGEL CORP ............. 105 493,500 oFOODMAKER, INC ....................... 7,433 202,984 FRISCHS RESTAURANTS, INC ............. 2,715 68,000 FUJITA KANKO, INC .................... 732 857,283 HONG KONG & SHANGHAI HOTELS LTD ...... 708 26,083 oHONG KONG & SHANGHAI HOTELS LTD WTS 12/10/98 ........................ 0 268,700 oINTERNATIONAL DAIRY QUEEN, INC (CLASS A) ........................... 7,196 176,200 INTERNATIONAL MULTIFOODS CORP ........ 4,989 289,000 oLANDRYS SEAFOOD RESTAURANTS, INC .................... 6,936 167,400 oLONE STAR STEAKHOUSE & SALOON, INC ......................... 2,930 311,350 LUBYS CAFETERIA, INC ................. 5,468 4,685,300 MCDONALDS CORP ....................... 223,723 200,000 MIRAMAR HOTEL & INVESTMENT CO LTD .... 338 78,590 MORRISON HEALTH CARE, INC ............ 1,572 73,868 MORRISON RESTAURANTS, INC ............ 189 310,600 oNPC INTERNATIONAL, INC ............... 3,766 341,300 oOUTBACK STEAKHOUSE, INC .............. 9,812 50,000 OVERSEAS UNION ENTERPRISES LTD ....... 120 20,000 oOVERSEAS UNION ENTERPRISES LTD WTS 07/20/98 ........................ 0 288,600 oPAPA JOHNS INTERNATIONAL, INC ........ 10,065 520,226 PICCADILLY CAFETERIAS, INC ........... 6,828 118,200 oPLANET HOLLYWOOD, INC (CLASS A) ...... 1,566 78,900 oRAINFOREST CAFE, INC ................. 2,604 15,600 oRARE HOSPITALITY INTERNATIONAL, INC .................. 140 153,636 oRUBY TUESDAY, INC .................... 3,956 415,350 oRYANS FAMILY STEAK HOUSES, INC ....... 3,556 122,275 SBARRO, INC .......................... 3,217 3,300 oSCOTTS RESTAURANTS, INC .............. 12 627,500 SHANGRI-LA ASIA LTD .................. 530 359,878 oSHONEYS, INC ......................... 1,147 292,300 oSHOWBIZ PIZZA TIME, INC .............. 6,723 444,524 xoSIZZLER INTERNATIONAL, INC ........... 1,195 240,350 oSONIC CORP ........................... 6,760 207,100 oSPAGHETTI WAREHOUSE, INC ............. 1,191 145,400 TCBY ENTERPRISES, INC ................ 1,100 60,700 oTHE CHEESECAKE FACTORY CO ............ 1,851 1,107,000 +oTPI ENTERPRISES, INC ................. 3 1,383,748 oTRICON GLOBAL RESTAURANTS, INC ....... 40,215 318,100 oVICORP RESTAURANTS, INC .............. 5,567 4,584,769 WENDYS INTERNATIONAL, INC ............ 110,321 ----------- 600,920 ----------- VALUE SHARES (000) ------ ---------- ELECTRIC DISTRIBUTION EQUIPMENT--0.54% 13,126,407 CBS CORP .............................$ 386,409 2,341,045 COOPER INDUSTRIES, INC ............... 114,711 6,100 oEMPRESA FABRIL DE MAQUINAS ELECTRICAS .......................... 47 8,800 oLITTLEFUSE, INC ...................... 219 422,400 oMAGNETEK, INC ........................ 8,237 2,287,000 NIPPON ELECTRIC CORP (N.E.C.) ........ 24,449 109,800 oOAK INDUSTRIES, INC .................. 3,260 ----------- 537,332 ----------- ELECTRIC LIGHTING AND WIRING EQUIPMENT--0.11% 34,000 oCHICAGO MINIATURE LAMP, INC .......... 1,148 380,100 oGENLYTE GROUP, INC ................... 6,747 3,000 oHOLOPHANE CORP ....................... 74 7,500 oJPM CO ............................... 159 313,300 JUNO LIGHTING, INC ................... 5,483 51,900 PHILIPS ELECTRONICS NV (NY REGD) ..... 3,140 1,638,608 THOMAS & BETTS CORP .................. 77,424 335,870 THOMAS INDUSTRIES, INC ............... 6,633 11,600 VALMONT INDUSTRIES ................... 226 457,700 WOODHEAD INDUSTRIES, INC ............. 8,582 ----------- 109,616 ----------- ELECTRIC SERVICES--2.42% 5,400,000 oABOITIZ EQUITY VENTURES, INC ......... 171 1,196,800 oAES CORP ............................. 55,801 821,200 ALLEGHENY ENERGY, INC ................ 26,689 1,059,697 AMERICAN ELECTRIC POWER CO, INC ...... 54,707 365,100 ATLANTIC ENERGY, INC ................. 7,736 383,150 BLACK HILLS CORP ..................... 13,506 274,486 BOSTON EDISON CO ..................... 10,396 1,660,200 oCALENERGY, INC ....................... 47,731 63,800 oCALPINE CORP ......................... 949 1,095,236 CAROLINA POWER & LIGHT CO ............ 46,479 2,171,400 CENTRAL & SOUTH WEST CORP ............ 58,764 425,664 CENTRAL LOUISIANA ELECTRIC, INC ...... 13,781 165,000 CHILECTRA S.A. ADR ................... 4,331 153,870 CHILGENER S.A. ADR ................... 3,770 1,647,120 CHINA LIGHT & POWER CO LTD ........... 9,141 4,268,702 CIA PAULISTA DE FORCA & LUZ .......... 562 904,298 CINERGY CORP ......................... 34,646 1,117,700 CMS ENERGY CORP ...................... 49,249 7,900 COMMONWEALTH ENERGY SYSTEM CO ........ 263 1,811,600 DOMINION RESOURCES, INC .............. 77,106 603,250 DPL, INC ............................. 17,343 732,393 DQE, INC ............................. 25,725 1,519,618 DTE ENERGY CO ........................ 52,712 2,192,898 DUKE ENERGY CORP ..................... 121,432 303,500 EASTERN UTILITIES ASSOCIATION CO ..... 7,967 278,050 EDPERBRASCAN CORP (CLASS A) .......... 5,052 231,614 oEL PASO ELECTRIC CO .................. 1,694 2,000 oELECTRABEL S.A. STRIP VVPR ........... 1 617,494 oELECTRICIDADE DE PORTUGAL S.A ........ 11,705 99,777,660 ELECTROBRAS S.A ...................... 4,962 4,500 EMPIRE DISTRICT ELECTRIC CO .......... 88 494,000 EMPRESA NACIONAL DE ELECTRIDAD S.A. ADR ................. 8,738 2,398,560 ENDESA S.A ........................... 42,568 192,000 ENERSIS S.A. ADR ..................... 5,568 2,314,504 ENTERGY CORP ......................... 69,290 1,984,997 oFIRSTENERGY CORP ..................... 57,565 767,039 FLORIDA PROGRESS CORP ................ 30,106 807,148 FPL GROUP, INC ....................... 47,773 See notes to financial statements. -31- VALUE SHARES (000) ------ ---------- ELECTRICAL SERVICES--(CONTINUED) 275,000 FUJITSU DENSO ........................$ 3,024 1,416,500 GPU, INC ............................. 59,670 385 oGROUPE BRUX LAMBERT NPV STRIP VVPR .......................... 0 382,491 HAWAIIAN ELECTRIC INDUSTRIES, INC .... 15,634 5,500,025 HONG KONG ELECTRIC CO LTD ............ 20,904 2,075,825 HOUSTON INDUSTRIES, INC .............. 55,399 976,200 IDAHO POWER CO ....................... 36,730 771,552 ILLINOVA CORP ........................ 20,784 6,200 INTERSTATE POWER CO .................. 232 1,387,400 KANSAI ELECTRIC POWER CO, INC ........ 23,582 31,200 KU ENERGY CORP ....................... 1,225 210,000 LIGHT SERVICOS DE ELETRICIDADE S.A ... 87 685,400 LOUISVILLE GAS & ELECTRIC ENERGY CORP .......................... 16,964 369,402 MINNESOTA POWER & LIGHT CO ........... 16,092 976,953 NATIONAL GRID GROUP PLC .............. 4,666 952,263 NATIONAL POWER PLC ................... 9,440 2,039,400 NEVADA POWER CO ...................... 54,172 415,343 NEW ENGLAND ELECTRIC SYSTEMS CO ...... 17,756 509,300 NORTHEAST UTILITIES CO ............... 6,016 823,429 OGE ENERGY CORP ...................... 45,031 17,800 OESTERREICHISCHE ELEKTRIZITAETSWIRSCHAFTS AG ......... 1,885 3,636,946 PG&E CORP ............................ 110,700 1,337,800 PINNACLE WEST CAPITAL CORP ........... 56,689 674,000 POTOMAC ELECTRIC POWER CO ............ 17,398 1,488,314 POWERGEN PLC ......................... 19,469 2,277,872 PP&L RESOURCES, INC .................. 54,527 1,530,131 PUGET SOUND ENERGY, INC .............. 46,191 843,920 RHEIN-WESTFALEN ELECTRIC AG (STAMM) .......................... 45,291 780,521 SCOTTISH POWER PLC ................... 6,890 20,188 SEVILLANA DE ELECTRICIDAD S.A ........ 189 214,146 SHUN TAK ENTERPRISES CORP LTD ........ 57 9,700 SIG CORP, INC ........................ 285 4,993,962 SOUTHERN CO .......................... 129,219 282,851 SOUTHERN ELECTRIC PLC ................ 2,262 912,452 TECO ENERGY, INC ..................... 25,663 1,896,000 TENAGA NASIONAL BERHAD ............... 4,043 2,860,202 TEXAS UTILITIES CO ................... 118,877 28,100 TNP ENTERPRISES, INC ................. 934 783,300 TOHOKU ELECTRIC POWER CO, INC ........ 11,928 2,070,374 TOKYO ELECTRIC POWER CO, INC ......... 37,897 231,550 TOKYO ELECTRON CO LTD ................ 7,444 121,190 TRACTEBEL NV ......................... 10,565 6,138 oTRACTEBEL NV PUT WTS 11/15/99 ........ 16 219,400 TRANSALTA CORP ....................... 3,457 403,720 oTUCSON ELECTRIC POWER CO ............. 7,317 16,024 UGI CORP ............................. 470 2,824,370 UNICOM CORP .......................... 86,849 278,300 UNION ELECTRICA FENOSA S.A ........... 2,666 206,400 UNITED ILLUMINATING CO ............... 9,482 1,204,830 VEBA AG .............................. 82,082 71,846 VIAG AG .............................. 38,718 902,981 WISCONSIN ENERGY CORP ................ 25,961 298,400 WPS RESOURCES CORP ................... 10,090 ----------- 2,408,986 ----------- ELECTRICAL GOODS--0.13% 15,200 oACT MANUFACTURING, INC ............... 215 121,000 AIPHONE CO LTD ....................... 763 285,000 ANRITSU CORP ......................... 2,192 793,464 oARROW ELECTRONICS, INC ............... 25,738 45,900 oAVID TECHNOLOGIES, INC ............... 1,228 VALUE SHARES (000) ------ ---------- 253,200 AVNET, INC ...........................$ 16,711 331,623 oBELL INDUSTRIES, INC ................. 4,560 251,000 oCELLSTAR CORP ........................ 4,989 241,800 GRAINGER, INC ........................ 23,500 278,700 oHSN, INC ............................. 14,353 39,500 oHUGHES SUPPLY, INC ................... 1,380 389,600 oKENT ELECTRONICS CORP ................ 9,789 45,800 oMARSHALL INDUSTRIES, INC ............. 1,374 429,800 oOAK TECHNOLOGY, INC .................. 2,794 36,000 PIONEER-STANDARD ELECTRONICS, INC .... 549 316,169 oQUALCOMM, INC ........................ 15,967 67,397 REUNERT LTD .......................... 109 100,000 SANSO ELECTRIC CO LTD ................ 392 264,600 WINDMERE-DURABLE HOLDINGS, INC ....... 5,970 ----------- 132,573 ----------- ELECTRICAL INDUSTRIAL APPARATUS--1.00% 8,038,530 ABB AB SERIES A ...................... 95,231 58,000 ABB AB SERIES B ...................... 683 5,440,000 ACMA LTD ............................. 3,745 250,990 ALCATEL ALSTHOM CIE GEN .............. 31,916 118,000 ALPS ELECTRIC CO LTD ................. 1,116 29,000 ALVIS PLC ............................ 77 584,000 AMADA CO LTD ......................... 2,178 886,200 oAMERICAN POWER CONVERSION CORP ....... 20,936 245,400 AMETEK, INC .......................... 6,626 50,000 ASAHI OPTICAL CO LTD ................. 87 349,433 BALDOR ELECTRIC CO ................... 7,578 174,135 BICC LTD ............................. 493 1,394,000 CANON, INC ........................... 32,593 488,000 CASIO COMPUTER CO LTD ................ 3,513 1,000 CATENA CORP .......................... 3 611,000 CITIZEN WATCH CO LTD ................. 4,112 66,000 DAI NIPPON SCREEN MANUFACTURING CO LTD ................ 305 265,053 ELECTROCOMPONENTS PLC ................ 1,971 2,925,370 EMERSON ELECTRIC CO .................. 165,101 2,084,100 ERICSSON TELEFON (LM) AB SERIES B .... 78,404 2,176,000 FUJIKURA LTD ......................... 14,460 83,000 HIROSE ELECTRIC CO LTD ............... 4,258 4,389,230 HITACHI LTD .......................... 31,395 369,000 HOYA CORP ............................ 11,636 28,000 JEOL LTD ............................. 89 969,000 KANDENKO CO LTD ...................... 4,963 32,000 KODENSHA CO LTD ...................... 130 127,000 KYUNDENKO CO LTD ..................... 644 21,685 LE CARBONE LORRAINE .................. 6,777 399,666 LEADER UNIVERSAL HOLDINGS BERHAD ..... 123 49,300 LEGRAND S.A .......................... 9,826 1,489,200 LEX SERVICE GROUP LTD ................ 11,431 155,000 MABUCHI MOTOR CO LTD ................. 7,904 2,690,000 MITSUBISHI ELECTRIC CORP ............. 6,910 384,000 MURATA MANUFACTURING CO LTD .......... 9,687 455,000 NGK INSULATORS LTD ................... 4,059 274,000 NIKON CORP ........................... 2,718 78 oNISSEN CO LTD ........................ 0 13,258 OCE NV ............................... 1,445 485,000 OLYMPUS OPTICAL CO LTD ............... 3,361 321,000 OMRON CORP ........................... 5,036 22,200 OXFORD INSTRUMENTS GROUP PLC ......... 106 238,900 PACIFIC SCIENTIFIC CO ................ 5,734 3,288,002 PHILIPS ELECTRONICS NV ............... 197,218 See notes to financial statements. -32- VALUE SHARES 000 ------ ---------- ELECTRICAL INDUSTRIAL APPARUTUS--(CONTINUED) 750,923 RICOH CO LTD .........................$ 9,356 321,000 ROHM CO .............................. 32,835 73,500 SGL CARBON AG ........................ 9,483 1,200,010 SIEMENS AG ........................... 71,076 152,700 STEWART & STEVENSON SERVICES, INC .... 3,894 2,190,500 SUMITOMO ELECTRIC INDUSTRIES CO ...... 29,988 132,000 TDK CORP ............................. 9,990 65,400 oTECH-SYM CORP ........................ 1,664 446,780 oTHERMO ELECTRON CORP ................. 19,882 17,300 oTUBOS DE ACERO DE MEXICO S.A ......... 362 67,200 oUCAR INTERNATIONAL, INC .............. 2,684 210,500 oVICOR CORP ........................... 5,710 130,100 oZOLTEK COS, INC ...................... 3,627 ----------- 997,129 ----------- ELECTRICAL WORK--0.00% 152,400 oMEMC ELECTRONIC MATERIALS, INC ....... 2,324 ----------- ELECTRONIC COMPONENTS AND ACCESSORIES--2.31% 60,500 oACTEL CORP ........................... 764 2,574,900 oADAPTEC, INC ......................... 95,593 27,500 oADE CORP ............................. 481 49,500 oADVANCED ENERGY INDUSTRIES, INC ...... 739 438,250 oADVANCED MICRO DEVICES, INC .......... 7,861 152,590 ADVANTEST CORP ....................... 8,684 6,000 AISIN SEIKI CO LTD ................... 62 32,800 oALLIANCE SEMICONDUCTOR CORP .......... 150 2,280,500 oALTERA CORP .......................... 75,542 1,254,582 AMP, INC ............................. 52,692 36,400 oANADIGICS, INC ....................... 1,097 890,766 oANALOG DEVICES, INC .................. 24,663 1,386,000 oAPPLIED INTERNATIONAL HOLDINGS LTD ........................ 54 88,000 ASTEC LTD ............................ 154 553,100 oATMEL CORP ........................... 10,267 2,000 oATMI, INC ............................ 49 175,400 AVX CORP ............................. 3,234 13,376 BARCO INDUSTRIES NV .................. 2,455 9,900 oBENCHMARK ELECTRONICS, INC ........... 221 17,400 oBERG ELECTRICS CORP .................. 396 140,000 oBLACK BOX CORP ....................... 4,953 197,200 BMC INDUSTRIES, INC .................. 3,180 413,167 BOWTHORPE HOLDINGS PLC ............... 2,560 218,500 oCHIPS & TECHNOLOGIES, INC ............ 3,155 114,240 oCOHERENT, INC ........................ 4,013 224,749 oCOMPUTER PRODUCTS, INC ............... 5,085 671,756 CTS CORP ............................. 21,454 344,000 oCYPRESS SEMICONDUCTOR CORP ........... 2,924 418,700 DALLAS SEMICONDUCTOR CORP ............ 17,062 477,620 oDII GROUP, INC ....................... 13,015 37,600 #ELEC & ELTEK INTERNATIONAL CO LTD .... 172 10,600 oELTRON INTERNATIONAL, INC ............ 321 100,400 oESS TECHNOLOGY ....................... 762 174,100 oESTERLINE CORP ....................... 6,268 186,300 oEXAR CORP ............................ 3,074 20,700 oFEI CO ............................... 257 565,595 FKI PLC .............................. 1,787 3,461,977 GENERAL ELECTRIC CO (UNITED KINGDOM) .................... 22,728 257,700 oGENERAL SEMICONDUCTOR, INC ........... 2,980 85,900 oHADCO CORP ........................... 3,887 VALUE SHARES (000) ------ ---------- 169,580 HARMAN INTERNATIONAL INDUSTRIES, INC ..................... $ 7,197 539,500 oINTEGRATED DEVICE TECHNOLOGY, INC ..................... 5,092 15,168,002 INTEL CORP ........................... 1,065,552 289,200 oINTERNATIONAL RECTIFIER CORP ......... 3,416 242,492 oJABIL CIRCUIT, INC ................... 9,639 539,000 oKEMET CORP ........................... 10,443 211,150 oLATTICE SEMICONDUCTOR CORP ........... 10,003 306,100 oLEVEL ONE COMMUNICATIONS, INC ........ 8,647 670,000 LINEAR TECHNOLOGY CO ................. 38,609 358,100 oLSI LOGIC CORP ....................... 7,072 2,829,000 oMAXIM INTEGRATED PRODUCTS ............ 97,601 415,550 METHODE ELECTRONICS, INC (CLASS A) ........................... 6,753 79,200 oMICREL, INC .......................... 2,218 584,600 oMICRON TECHNOLOGY, INC ............... 15,200 300,000 MIMASU SEMICONDUCTOR INDUSTRY ........ 4,199 201,707 MOLEX, INC ........................... 6,480 415,952 MOLEX, INC (CLASS A) ................. 11,959 97,400 oMRV COMMUNICATIONS, INC .............. 2,325 2,085,798 oNATIONAL SEMICONDUCTOR CORP .......... 54,100 900 NIHON DEMPA KOGYO CO LTD ............. 7 65,700 oOBJECTIVE SYSTEMS INTEGRATORS, INC .................... 550 78,800 oPLEXUS CORP .......................... 1,172 150,600 oPMC-SIERRA, INC ...................... 4,669 472,400 oQMS, INC ............................. 1,211 172,228 RACAL ELECTRONICS PLC ................ 751 24,600 oRADISYS CORP ......................... 916 21,800 oRAMBUS, INC .......................... 997 119,700 oREAD RITE CORP ....................... 1,885 7,500 oREMEC, INC ........................... 169 140,000 oROGERS CORP .......................... 5,723 241,300 oS3, INC .............................. 1,207 45,900 oSANDISK CORP ......................... 932 236,707 oSANMINA CORP ......................... 16,037 95,500 oSAWTEK, INC .......................... 2,519 617,300 oSCI SYSTEMS, INC ..................... 26,891 5,200 oSDL, INC ............................. 75 44,700 oSEMTECH CORP ......................... 1,749 130,016 oSGS-THOMSON MICROELECTRONICS NV ...... 8,050 349,000 oSILICON VALLEY GROUP, INC ............ 7,896 2,900 oSILICONIX, INC ....................... 125 237,720 oSILICONWARE PRECISION INDUSTRIES ..... 3,049 78,300 oSIPEX CORP ........................... 2,369 314,400 oSMART MODULAR TECHNOLOGIES, INC ...... 7,231 44,300 oSPEEDFAM INTERNATIONAL, INC .......... 1,174 47,100 oSTANDARD MICROSYSTEMS CORP ........... 409 23,900 oSUPERTEX, INC ........................ 260 286,000 oSUWA INTERNATIONAL HOLDINGS LTD ...... 11 57,200 oSUWA INTERNATIONAL HOLDINGS WTS 10/15/99 ........................ 0 30,000 TECHNITROL, INC ...................... 900 2,806,386 TELECOM ITALIA RISP .................. 12,390 3,145,000 oTELLABS, INC ......................... 166,292 3,697,600 TEXAS INSTRUMENTS, INC ............... 166,392 145,000 TOWA CORP ............................ 3,022 40,700 oTRIDENT MICROSYSTEMS, INC ............ 369 1,000 oTRIQUINT SEMICONDUCTOR, INC .......... 20 365,534 oUNITRODE CORP ........................ 7,859 3,403,000 VENTURE MANUFACTURING (SINGAPORE) LTD ..................... 9,492 581,904 oVISHAY INTERTECHNOLOGY, INC .......... 13,747 See notes to financial statements. -33- VALUE SHARES 000 ------ ---------- ELECTRICAL COMPONENTS AND ACCESSORIES--(CONTINUED) 101,900 oVISX, INC ............................ $ 2,255 426,150 oVITESSE SEMICONDUCTOR CORP ........... 16,087 249,900 oVLSI TECHNOLOGY, INC ................. 5,904 527,600 oXILINX, INC .......................... 18,499 468,000 YOKOGAWA ELECTRIC CORP ............... 2,901 ----------- 2,295,463 ----------- ENGINEERING AND ARCHITECTURAL SERVICES--0.01% 12,974 oFLUOR DANIEL GTI, INC ................ 123 152,400 oJACOBS ENGINEERING GROUP, INC ........ 3,867 3,000 oNICHOLS RESEARCH CORP ................ 75 31,600 OYO CORP ............................. 457 182,100 SALIENT 3 COMMUNICATIONS (CLASS A) ... 2,253 99,800 STONE & WEBSTER, INC ................. 4,678 11,400 oTETRA TECH, INC ...................... 228 262,400 oWESTON (ROY F.), INC (CLASS A) ....... 1,066 ----------- 12,747 ----------- ENGINES AND TURBINES--0.10% 12,000 BOMBARDIER, INC (CLASS A) ............ 247 457,652 BOMBARDIER, INC (CLASS B) ............ 9,402 1,319,700 BRUNSWICK CORP ....................... 40,003 309,400 CUMMINS ENGINE CO, INC ............... 18,274 76,400 oDETROIT DIESEL CORP .................. 1,815 796,220 DRESSER INDUSTRIES, INC .............. 33,391 635,800 THAI ENGINE MANUFACTURING ............ 1,056 ----------- 104,188 ----------- FABRICATED RUBBER PRODUCTS, NEC--0.04% 356,000 CARLISLE COS, INC .................... 15,219 78,700 oFOAMEX INTERNATIONAL, INC ............ 856 444,235 GENCORP, INC ......................... 11,106 911,000 GOLDEN HOPE PLANTATIONS BERHAD ....... 1,053 73,943 STANDARD PRODUCTS CO ................. 1,895 178,000 WEST CO, INC ......................... 5,296 ----------- 35,425 ----------- FABRICATED STRUCTURAL METAL PRODUCTS--0.04% 60,100 BUTLER MANUFACTURING CO .............. 1,938 55,300 oGRIFFON CORP ......................... 809 123,600 INTERNATIONAL ALUMINUM CORP .......... 3,863 300,050 oMILLER INDUSTRIES, INC ............... 3,226 290,000 MIURA KOGYO .......................... 2,966 26,400 oNCI BUILDING SYSTEMS, INC ............ 937 122,000 TRANSPRO, INC ........................ 1,098 599,000 TRINITY INDUSTRIES, INC .............. 26,730 109,400 UNITED DOMINION INDUSTRIES LTD ....... 2,752 ----------- 44,319 ----------- FAMILY CLOTHING STORES--0.13% 2,900 oBUCKLE, INC .......................... 99 11,700 oGADZOOKS, INC ........................ 246 3,277,850 GAP, INC ............................. 116,159 138,795 NORDSTROM, INC ....................... 8,380 3,800 oSAKS HOLDINGS, INC ................... 79 15,300 oSTAGE STORES, INC .................... 572 170,700 oSTEIN MART, INC ...................... 4,566 ----------- 130,101 ----------- FARM AND GARDEN MACHINERY--0.19% 279,900 AGCO CORP ............................ 8,187 4,300 ALLIED PRODUCTS CORP ................. 103 408,300 CASE CORP ............................ 24,677 VALUE SHARES (000) ------ ---------- 2,277,073 DEERE & CO ...........................$ 132,782 113,650 oDEUTZ AG ............................. 834 900 oLINDSAY MANUFACTURING CO ............. 39 236,000 POKPHAND (C.P.) CO LTD ............... 37 3,134,444 TOMKINS PLC .......................... 14,647 175,850 TORO CO .............................. 7,496 ----------- 188,802 ----------- FARM-PRODUCT RAW MATERIALS--0.03% 598,850 DIMON, INC ........................... 15,720 234,561 oSTANDARD COMMERCIAL CORP ............. 3,885 361,700 UNIVERSAL CORP ....................... 14,875 ----------- 34,480 ----------- FATS AND OILS--0.00% 1,000 AARHUS OLIEFABRIK AS (CLASS A) ....... 45 1,700 AARHUS OLIEFABRIK AS (CLASS B) ....... 76 5,500 KOIPE S.A ............................ 386 625 oPPB OIL PALMS BERHAD ................. 0 ----------- 507 ----------- FEDERAL AND FEDERALLY-SPONSORED CREDIT AGENCIES--1.00% 10,091,300 FEDERAL NATIONAL MORTGAGE ASSOCIATION ......................... 575,835 6,489,800 FREDDIE MAC .......................... 272,166 1,070,850 SLM HOLDING CORP ..................... 148,982 ----------- 996,983 ----------- FERROALLOY ORES, EXCEPT VANADIUM--0.01% 206,031 ERAMET ............................... 7,808 ----------- FIELD CROPS, EXCEPT CASH GRAINS--0.00% 235,000 HIPPO VALLEY ESTATES LTD ............. 115 ----------- FINANCE SERVICES--0.02% 53,348 oALMANIJ NV ........................... 2,693 2,250,000 FIRST PACIFIC CO LTD ................. 1,089 85,000 oLOCAL FINANCIAL CORP ................. 988 17,000,000 REGENT PACIFIC GROUP LTD ............. 5,266 32,600 oSHOKOH FUND & CO ..................... 9,979 ----------- 20,015 ----------- FIRE, MARINE, AND CASUALTY INSURANCE--1.43% 3,600 oACCEPTANCE INSURANCE COS, INC ........ 87 9,300 AGF UNION-FENIX ...................... 103 17,100 oALFA CORP ............................ 295 472,520 ALLIANZ AG (REGD) .................... 122,460 317,000 ALLIED GROUP, INC .................... 9,074 5,059,953 ALLSTATE CORP ........................ 459,823 406,508 AMERICAN FINANCIAL GROUP, INC ........ 16,387 349,852 ARGONAUT GROUP, INC .................. 11,851 29,441 ASR VERZEKERINGSGROEP NV ............. 1,602 134,800 AYUDHYA INSURANCE CO LTD (FR) ........ 560 30 oBERKSHIRE HATHAWAY, INC (CLASS A) .... 1,380 2,300 CHARTWELL RE CORP .................... 78 19,950 CHIYODA FIRE & MARINE INSURANCE CO LTD ..................... 60 77,720 COLONIA KONZERN AG (REGD) ............ 7,434 16,300 COMMERCE GROUP, INC .................. 532 400,172 COMMERICAL UNION ASSURANCE CO LTD ..................... 5,913 16,556 CORPORACION MAPFRE S.A ............... 439 234,000 DAI-TOKYO FIRE & MARINE INSURANCE .... 806 8,700 ERIE INDEMNITY CO (CLASS A) .......... 257 128,578 FAI INSURANCES LTD ................... 45 See notes to financial statements. -34- VALUE SHARES 000 ------ ---------- FIRE, MARINE, AND CASUALTY INSURANCE--(CONTINUED) 378,100 oFOREMOST CORP OF AMERICA ............. $ 26,372 81,400 FRONTIER INSURANCE GROUP, INC ........ 1,862 4,900 GAINSCO, INC ......................... 42 5,428 GEFION FINANCE CORP .................. 102 14,352 oGROUPE DES ASSURANCES NATIONALE ...... 351 453,254 GUARDIAN ROYAL EXCHANGE ASSURANCE PLC ....................... 2,424 3,000 xHAFNIA HOLDINGS AS (REGD) (CLASS A) .. 0 2,490 xHAFNIA HOLDINGS AS (REGD) (CLASS B) .. 0 44,800 HARLEYSVILLE GROUP, INC .............. 1,075 1,279,936 HARTFORD FINANCIAL SERVICES GROUP, INC ............................ 119,754 120,600 HCC INSURANCE HOLDINGS, INC .......... 2,563 311,600 HORACE MANN EDUCATORS CORP ........... 8,861 187,400 HSB GROUP, INC ....................... 10,342 21,000 oIDRIS HYDRAULIC BERHAD ............... 3 10,000 IFIL FINANZIARIA DI PARTECIPAZIONI ... 36 1,787,147 ING GROEP NV ......................... 75,284 11,766,660 INSTITUTO NAZIONALE DELLE ASSICURAZION ........................ 23,876 50,000 KOA FIRE & MARINE INSURANCE CO LTD ... 188 6,800 MEADOWBROOK INSURANCE GROUP .......... 177 43,300 MERCURY GENERAL CORP ................. 2,392 28,500 MILANO ASSICURAZIONI ................. 97 7,125 MILANO ASSICURAZIONI DI RISP ......... 13 722,050 MITSUI TAISHO MARINE & FIRE CO LTD ... 3,698 364 oMUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) WTS 03/13/98 .................. 213 286,300 NAC RE CORP .......................... 13,975 659,000 NICHIDO FIRE & MARINE INSURANCE CO LTD .............................. 3,446 496,000 NIPPON FIRE & MARINE INSURANCE CO LTD .............................. 1,865 396,600 NISSAN FIRE & MARINE INSURANCE ....... 1,211 4,000 oPHILADELPHIA CONSOLIDATED HOLDINGS CORP ....................... 71 11,200 oPOHJOLA INSURANCE CO LTD SERIES B ............................ 415 38,900 oPREVIDENTE (LA) ...................... 305 281,050 PROGRESSIVE CORP ..................... 33,691 3,300 oPXRE CORP ............................ 110 1,383,055 QBE INSURANCE GROUP LTD .............. 6,225 640,959 RAS S.P.A ............................ 6,294 3,500 RLI CORP ............................. 174 3,992,045 ROYAL & SUN ALLIANCE INSURANCE GROUP PLC ........................... 40,068 1,354,100 SAFECO CORP .......................... 66,012 86,890 SAI S.P.A ............................ 969 24,485 SCHWEIZERISCHE RUCKVERSICHERUNG (REGD) .............................. 45,861 1,735,540 ST. PAUL COS, INC .................... 142,423 532,300 oUNI-STOREBRAND AS SERIES A ........... 3,754 1,830,028 SUMITOMO MARINE & FIRE INSURANCE CO ........................ 9,712 700,500 TIG HOLDINGS, INC .................... 23,248 4,000 TITAN HOLDINGS, INC .................. 87 3,605,000 TOKIO MARINE & FIRE INSURANCE CO LTD .............................. 41,035 38,500 TRANSATLANTIC HOLDINGS, INC .......... 2,753 897,400 USF&G CORP ........................... 19,799 95,300 VESTA INSURANCE GROUP, INC ........... 5,658 70,622 ZURICH INSURANCE CO (REGD) ........... 33,699 ----------- 1,421,771 ----------- VALUE SHARES (000) ------ ---------- FLAT GLASS--0.12% 1,130,000 ASAHI GLASS CO LTD ...................$ 5,388 1,638,000 NIPPON SHEET GLASS CO LTD ............ 2,293 1,999,400 PPG INDUSTRIES, INC .................. 114,216 ----------- 121,897 ----------- FOOTWEAR EXCEPT, RUBBER--0.03% 299,490 oFOOTSTAR, INC ........................ 8,049 151,400 JUSTIN INDUSTRIES, INC ............... 2,063 432,300 oNINE WEST GROUP, INC ................. 11,213 659,500 STRIDE RITE CORP ..................... 7,914 32,600 oTIMBERLAND CO ........................ 1,893 ----------- 31,132 ----------- FOREIGN BANKS, BRANCHES AND AGENCIES--0.22% 450,000 oBANCA POPOLARE DI BRESCIA ............ 4,203 32,440 oBANCO AMBROSIANO VENETO RISP BD RTS .............................. 4 32,440 oBANCO AMBROSIANO VENETO RISP NCV RTS ............................. 41 421,770 oBANCO AMBROSIANO VENETO RTS .......... 1,796 429,940 oBANCO AMBROSIANO VENETO S.P.A ........ 840 421,770 oBANCO AMRBOSIANO VENETO BDS RTS ...... 267 10,000,000 BANCO BRADESCO S.A ................... 99 8,998,047 #oBANCO BRADESCO S.A., PFD RTS ......... 32 427,551 #oBANCO BRADESCO S.A. RTS .............. 2 90,600 oBANCO COMERCIAL PORTUGUES S.A. (REGD) ......................... 1,855 52,800 oBANCO ESPIRITO SANTO E COMERCIAL ..... 1,573 60,800 BANCO LATINO AMERICANO DE EXPORTACIONES S.A. (CLASS E) ........ 2,516 36,300 BANCO TOTTA & ACORES S.A. (REGD) ..... 714 40,680 BANK AUSTRIA AG ...................... 2,058 392,300 BANK OF MONTREAL ..................... 17,366 359,972 BANK OF NOVA SCOTIA .................. 16,941 8,662,830 BANK OF TOKYO MITSUBISHI LTD ......... 119,926 47,100 oBPI-SGPS S.A. (REGD) ................. 1,146 702,259 CANADIAN IMPERIAL BANK OF COMMERCE ............................ 21,886 374,900 oCHRISTIANIA BANK OG KREDITKASSE ...... 1,515 364,000 COMMONWEALTH BANK OF AUSTRALIA LTD ....................... 4,174 1,500,000 DAO HENG BANK GROUP LTD .............. 3,746 10,032 oDRESDNER BANK WTS 04/30/02 ........... 179 200,000 oGRUPO FINANCIERO SERFIN (CLASS L) .... 189 269,300 NATIONAL BANK OF CANADA .............. 4,441 857,000 oNORDBANKEN HOLDING AB ................ 4,850 5,389,333 PT MODERN BANK (FR) .................. 221 320,070 #oPUBLIC BANK BERHAD (FR) RTS .......... 16 38,933 #oPUBLIC BANK BERHAD (LR) RTS .......... 2 19,500 oRHB SAKURA MERCHANT BANKERS BERHAD ....................... 7 394,448 ST. GEORGE BANK LTD .................. 2,237 ----------- 214,842 ----------- FOREST PRODUCTS--0.01% 8,700 oCORTICEIRA AMORIM S.A ................ 104 886,400 HIGHLANDS & LOWLANDS BERHAD .......... 906 3,196,800 KUALA LUMPUR KEPONG BERHAD ........... 6,858 ----------- 7,868 ----------- FORESTRY SERVICES--0.00% 2,902,217 FLETCHER CHALLENGE LTD (FORESTS DIVISION) .................. 2,410 ----------- See notes to financial statements. -35- VALUE SHARES 000 ------ ---------- FREIGHT TRANSPORTATION ARRANGEMENT--0.02% 214,800 AIRBORNE FREIGHT CORP ................$ 13,344 28,139 oBCR PARTICIPATIONS C.V.G. 05/19/99 (GUARANTEE CERT) .................... 4 72,400 BERGESEN AS SERIES A ................. 1,709 105,850 CIRCLE INTERNATIONAL GROUP, INC ...... 2,428 600 oDANZAS HOLDINGS AG (REGD) ............ 118 111,900 EXPEDITORS INTERNATIONAL OF WASHINGTON .......................... 4,308 57,900 oFRITZ COS, INC ....................... 807 6,100 oKITTY HAWK, INC ...................... 117 1,000 oLAURITZEN J. HOLDINGS (CLASS B) ...... 84 44,300 TRENCOR LTD .......................... 182 ----------- 23,101 ----------- FUNERAL SERVICE AND CREMATORIES--0.08% 139,100 oEQUITY CORP INTERNATIONAL ............ 3,217 98,000 LOEWEN GROUP, INC .................... 2,520 1,382,300 SERVICE CORP INTERNATIONAL ........... 51,059 534,300 STEWART ENTERPRISES, INC (CLASS A) ... 24,912 ----------- 81,708 ----------- FURNITURE AND HOME FURNISHINGS--0.00% 60,500 oEKCO GROUP, INC ...................... 469 100,000 INDUSTRIE NATUZZI S.P.A. ADR ......... 2,063 ----------- 2,532 ----------- FURNITURE AND HOME FURNISHINGS STORES--0.06% 502,500 oBED BATH & BEYOND, INC ............... 19,346 517,412 oBOMBAY, INC .......................... 2,393 3,000,000 COURTS (SINGAPORE) LTD ............... 890 166,200 ETHAN ALLEN INTERIORS, INC ........... 6,409 25,000 oGARDEN RIDGE CORP .................... 356 337,387 HEILIG MEYERS CO ..................... 4,049 1,890 oHOUSE OF FABRICS, INC ................ 4 58,295 JD GROUP LTD ......................... 356 118,400 oLECHTERS, INC ........................ 599 6,200 oLINENS N THINGS, INC ................. 270 724,191 PIER 1 IMPORTS, INC .................. 16,385 283,375 oWILLIAMS-SONOMA, INC ................. 11,866 ----------- 62,923 ----------- GAS PRODUCTION AND DISTRIBUTION--0.46% 407,400 AGL RESOURCES, INC ................... 8,326 1,500 oAQUILA GAS PIPELINE CORP ............. 19 328,578 ATMOS ENERGY CORP .................... 9,939 12,000 BAY STATE GAS CO ..................... 446 100,000 CMS ENERGY CORP (CLASS G) ............ 2,713 774,437 COASTAL CORP ......................... 47,967 10,700 CONNECTICUT ENERGY CORP .............. 322 11,700 CTG RESOURCES, INC ................... 305 250,802 EL PASO NATURAL GAS CO ............... 16,678 7,800 ENERGEN CORP ......................... 310 408,875 EQUITABLE RESOURCES, INC ............. 14,464 215,464 GAS NATURAL SDG S.A .................. 11,168 7,498,441 HONG KONG & CHINA GAS CO LTD ......... 14,516 636,741 HYDER PLC ............................ 10,121 1,835,897 IBERDROLA S.A ........................ 24,151 31,400 INDIANA ENERGY, INC .................. 1,034 83,128 IPL ENERGY, INC ...................... 3,741 67,080 IPL ENERGY, INC (U.S.) ............... 3,065 524,440 ITALGAS S.P.A ........................ 2,167 172,000 IWATANI & CO LTD ..................... 306 VALUE SHARES (000) ------ ---------- 510,750 KEYSPAN ENERGY CORP ..................$ 18,802 14,200 KN ENERGY, INC ....................... 767 11,000 LACLEDE GAS CO ....................... 309 617,276 MCN ENERGY GROUP, INC ................ 24,923 17,600 MDU RESOURCES GROUP, INC ............. 557 815,600 NATIONAL FUEL GAS CO ................. 39,710 816,000 NGC CORP ............................. 14,280 410,640 NICOR, INC ........................... 17,324 80,700 NORTHWEST NATURAL GAS CO ............. 2,502 267,000 NOVA CORP ............................ 2,537 333,900 NOVA CORP (U.S.) ..................... 3,193 24,900 NUI CORP ............................. 714 177,171 ONEOK, INC ........................... 7,153 2,287,000 OSAKA GAS CO LTD ..................... 5,242 1,800 oPENNSYLVANIA ENTERPRISES, INC ........ 45 462,115 PEOPLES ENERGY CORP .................. 18,196 23,683 PIEDMONT NATURAL GAS CO, INC ......... 851 10,890 PRIMAGAZ ............................. 911 315,556 oPRIMARK CORP ......................... 12,839 1,300 oPUBLIC SERVICE CO OF NORTH CAROLINA .. 30 296,000 SONAT, INC ........................... 13,542 21,000 SOUTH JERSEY INDUSTRIES, INC ......... 637 16,700 SOUTHWEST GAS CORP ................... 312 248,594 TAYLOR WOODROW PLC ................... 730 2,361,000 TOKYO GAS CO LTD ..................... 5,375 250,581 TRANS CANADA PIPELINES LTD ........... 5,586 15,176 TRANS CANADA PIPELINES LTD (U.S.) .... 340 422,010 UNITED UTILITIES PLC ................. 5,451 569,600 WASHINGTON GAS LIGHT CO .............. 17,622 133,744 WESTCOAST ENERGY, INC ................ 3,084 75,100 WESTERN GAS RESOURCES, INC ........... 1,662 1,690,194 WILLIAMS COS, INC .................... 47,959 605,300 +YANKEE ENERGY SYSTEMS, INC ........... 16,154 ----------- 461,097 ----------- GENERAL INDUSTRIAL MACHINERY--1.14% 4,391 ABB AG (REGD) ........................ 1,111 63,946 ABB ASEA BROWN BOVERI LTD (BR) ....... 80,448 36,000 AIDA ENGINEERING LTD ................. 119 284,010 ATLAS COPCO AB SERIES A FREE ......... 8,483 63,170 ATLAS COPCO AB SERIES B FREE ......... 1,883 3,341,524 AUSTRALIAN NATIONAL INDUSTRIES LTD ...................... 3,070 3,487,670 BBA GROUP PLC ........................ 23,414 3,200 BEKAERT S.A .......................... 1,904 244,000 oCHIYODA CORP ......................... 263 73,000 COBHAM GROUP PLC ..................... 1,005 2,258,700 oCOLTEC INDUSTRIES, INC ............... 52,374 4,000 COLUMBUS MCKINNON CORP ............... 97 8,854 CONSTRUCCIONES Y AUXILIAR DE FERROCARRILES S.A. .................. 326 324,880 CONTINENTAL AG ....................... 7,173 190,650 oCUNO, INC ............................ 2,907 76,000 DAIFUKU CO LTD ....................... 371 213,000 DAIKIN INDUSTRIES LTD ................ 806 28,000 DANIELI & CO ......................... 193 109,374 DELTA PLC ............................ 473 249,400 DONALDSON CO, INC .................... 11,239 4,700 DT INDUSTRIES, INC ................... 160 228,000 EBARA CORP ........................... 2,420 8,800 oEST ASIATIQUE ........................ 80 381,820 FANUC LTD ............................ 14,507 362,000 FEDERAL-MOGUL CORP ................... 14,661 18,000 oFIGGIE INTERNATIONAL, INC (CLASS A). . 236 1,030 FISCHER (GEORGE) LTD (BR) ............ 1,412 See notes to financial statements. -36- VALUE SHARES 000 ------ ---------- GENERAL INDUSTRIAL MACHINERY--(CONTINUED) 28 FISCHER (GEORGE) LTD (REGD) ..........$ 7 519,972 FLOWSERVE CORP ....................... 14,527 25,700 FLS INDUSTRIES AS (CLASS B) .......... 613 1,050 oFRIEDRICH GROHE AG ................... 255 2,000 FUJI TEC CO LTD ...................... 11 3,265,100 +GENERAL SIGNAL CORP .................. 137,746 199,177 GKN PLC .............................. 4,087 364,025 GRACO, INC ........................... 13,583 160,700 HELIX TECHNOLOGY CORP ................ 3,134 613,000 HITACHI ZOSEN CORP ................... 985 113,000 IDEX CORP ............................ 3,941 2,043 INDUSTRIE-WERKE KARLSRUHE AUGSBURG AG ......................... 481 1,797,600 INGERSOLL-RAND CO .................... 72,803 451,900 KAYDON CORP .......................... 14,743 439,900 KEPPEL CORP .......................... 1,264 30 KEYENCE CORP ......................... 4 1,531,000 KOMATSU LTD .......................... 7,713 1,800 oKONE CORP SERIES B ................... 218 5,000 KORN-OG FODERSTOF KOMPAGNIET AS ...... 139 246,000 KOYO SEIKO CO LTD .................... 988 1,514,000 KUBOTA CORP .......................... 4,006 64,000 KURITA WATER INDUSTRIES LTD .......... 655 25,335 KVAERNER INDUSTRIER AS SERIES A ...... 1,292 181,900 KYOCERA CORP ......................... 8,282 12,893 LINDE AG ............................. 7,873 324,000 MAKINO MILLING MACHINE CO LTD ........ 2,056 2,518,000 MINEBEA CO LTD ....................... 27,112 4,440,000 MITSUBISHI HEAVY INDUSTRIES LTD ...... 18,577 247,000 MORI SEIKI CO LTD .................... 2,565 423,000 oNIIGATA ENGINEERING CO LTD ........... 185 5,000 NIKKO CO LTD ......................... 10 59,000 NIPPON SHARYO LTD .................... 165 9,000 oNN BALL & ROLLER, INC ................ 80 151,172 NORDSON CORP ......................... 6,935 721,000 NSK LTD .............................. 1,802 469,000 NTN TOYO BEARING CO LTD .............. 1,089 53,000 OKUMA CORP ........................... 189 610,826 PALL CORP ............................ 12,636 217,166 oPRICER AB SERIES B ................... 4,023 378,300 ROPER INDUSTRIES, INC ................ 10,687 97,000 SANDEN CORP .......................... 418 58 SCHINDLER HOLDINGS LTD (PT CERT) ..... 61 1,280 SCHINDLER HOLDINGS LTD (REGD) ........ 1,377 87,000 SEMBAWANG CORP ....................... 186 61,692 SIDEL S.A ............................ 4,092 1,282 SOPHUS BERENDSEN AS (CLASS A) ........ 212 15,463 SOPHUS BERENDSEN AS (CLASS B) ........ 2,552 27,811 STORK NV ............................. 960 3,565 SULZER WINTERTHUR AG (REGD) .......... 2,263 1,145,000 SUMITOMO HEAVY INDUSTRIES LTD ........ 3,514 586,400 SUNDSTRAND CORP ...................... 29,540 20,000 SVENSKA KULLAGERFABRIKEN AB SERIES A FREE ..................... 401 49,900 SVENSKA KULLAGERFABRIKEN AB SERIES B .......................... 1,063 415,333 T & N PLC ............................ 1,736 45,000 TAIYO YUDEN CO LTD ................... 313 106,000 TAKUMA CO LTD ........................ 734 581,000 TECHNOLOGY RESOURCES INDUSTRIES BERHAD ................... 343 223,502 TI GROUP PLC ......................... 1,714 VALUE SHARES (000) ------ ---------- 811,759 TIMKEN CO ............................$ 27,904 176,000 TOYO ENGINEERING CO .................. 127 99,000 TOYO EXTERIOR CORP ................... 651 61,000 TOYO KANETSU ......................... 35 409,900 TOYODA AUTOMATIC LOOM WORKS LTD ...... 7,566 57,580 TRELLEBORG AB SERIES B FREE .......... 726 99,000 TSUBAKIMOTO CHAIN CO ................. 358 32,000 oTSUGAMI CORP ......................... 27 9,427,184 TYCO INTERNATIONAL LTD ............... 424,812 210,000 UMW HOLDINGS BERHAD .................. 159 183,800 VALMET OY SERIES A ................... 2,538 190,736 VICKERS PLC .......................... 744 104,000 oVT HOLDING AS (CLASS B) .............. 3,797 550 YOKOHAMA RUBBER CO LTD ............... 1 ----------- 1,139,520 ----------- GLASS AND GLASSWARE, PRESSED OR BLOWN--0.14% 1,186,764 CORNING, INC ......................... 44,059 47,931 oDUPONT PHOTOMASKS, INC ............... 1,672 142,053 LANCASTER COLONY CORP ................ 8,008 121,100 LIBBEY, INC .......................... 4,587 546,600 OWENS CORNING CO ..................... 18,653 1,146,400 oOWENS ILLINOIS, INC .................. 43,492 271,000 SHIBUYA KOGYO ........................ 1,438 311,100 oSOLA INTERNATIONAL, INC .............. 10,111 132,000 VIDRALA S.A .......................... 5,898 43,000 VITRO S.A ............................ 189 423,300 VITRO S.A. ADR ....................... 5,530 ----------- 143,637 ----------- GOLD AND SILVER ORES--0.18% 4,000 AGNICO EAGLE MINES LTD ............... 21 664,601 oAMAX GOLD, INC ....................... 1,537 590,479 BARRICK GOLD CORP .................... 10,996 60,000 BARRICK GOLD CORP (U.S.) ............. 1,118 1,094,750 BATTLE MOUNTAIN GOLD CO .............. 6,432 25,500 BEATRIX MINES LTD .................... 88 70,000 CAMBIOR, INC ......................... 413 38,700 oCOEUR DALENE MINES CORP .............. 348 35,000 oDOMINION MINING LTD .................. 9 17,500 oDOMINION MINING LTD WTS 12/31/98 ..... 0 45,000 ECHO BAY MINES LTD ................... 113 4,600 oECHO BAY MINES LTD (U.S.) ............ 11 1,441,500 oEUOR-NEVADA MINING CORP .............. 19,491 739,200 FRANCO-NEVADA MINING CORP LTD ........ 14,514 655,228 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A) ................. 10,033 1,638,464 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS B) ................. 25,806 12,000 FREESTATE CONSOLIDATED GOLDMINES LTD ....................... 55 218,935 oGETCHELL GOLD CORP ................... 5,254 102,000 oGOLDEN KNIGHT RESOURCES, INC ......... 241 6,222 GOLDFIELDS LTD ....................... 5 653,315 GREAT CENTRAL MINES LTD .............. 702 174,000 HJ JOEL GOLD MINING LTD .............. 86 986,050 HOMESTAKE MINING CO .................. 8,751 93,900 NEWMONT GOLD CO ...................... 2,799 2,108,670 NEWMONT MINING CORP .................. 61,942 3,245,909 NORMANDY MINING LTD .................. 3,151 13,000 oPEGASUS GOLD, INC .................... 8 233,800 PLACER DOME, INC ..................... 2,941 548 PLACER DOME, INC (U.S.) .............. 7 See notes to financial statements. -37- VALUE SHARES 000 ------ ---------- GOLD AND SILVER ORES--(CONTINUED) 230,000 oRAYROCK YELLOWKNIFE RESOURCES, INC ......................$ 836 4,700 SOUTHVAAL HOLDINGS LTD ............... 72 702,054 oSUNSHINE MINING & REFINING CO ........ 702 1,977 oSUNSHINE MINING & REFINING CO WTS 03/03/99 ........................ 0 50,300 TECK CORP LTD (CLASS B) .............. 757 ----------- 179,239 ----------- GRAIN MILL PRODUCTS--0.71% 5,885,462 ARCHER DANIELS MIDLAND CO ............ 127,641 1,620,400 CPC INTERNATIONAL, INC ............... 175,003 312,000 oEMPAQUES PONDEROSA S.A. SERIES B ..... 269 24,680 ERIDANIA BEGHIN-SAY S.A .............. 3,860 1,414,054 GENERAL MILLS, INC ................... 101,282 10,188 GLAVERBEL S.A ........................ 1,595 58 oGLAVERBEL STRIP NPV (VVPR) ........... 0 272,000 GRUPO INDUSTRIAL MASECA SERIES B ..... 271 9,055,000 IOI CORP ............................. 2,931 1,052,600 KELLOGG CO ........................... 52,235 12,000 MIZUNO CORP .......................... 36 153,938 MOLINOS RIO DE LA PLATA S.A. (CLASS B) 370 396,000 NITTO DENKO CORP ..................... 6,853 110,900 PENFORD CORP ......................... 3,882 336,750 PERLIS PLANTATIONS BERHAD ............ 476 96,000 PRESTIGE PROPERTY HOLDINGS LTD ....... 13 905,132 QUAKER OATS CO ....................... 47,746 542,743 oRALCORP HOLDINGS, INC ................ 9,193 1,747,891 RALSTON PURINA CO .................... 162,445 1,000 TONEN CORP ........................... 5 336,900 TOYO SEIKAN KAISHA LTD ............... 4,819 442,000 UBE INDUSTRIES LTD ................... 564 48,000 VIDR SMARINA S.A ..................... 91 52,820 VISCOFAN S.A ......................... 1,326 ----------- 702,906 ----------- GREETING CARDS--0.04% 872,600 AMERICAN GREETINGS CORP (CLASS A) .... 34,140 160,600 oGIBSON GREETINGS, INC ................ 3,513 ----------- 37,653 ----------- GROCERIES AND RELATED PRODUCTS--0.19% 311,164 EARTHGRAINS CO ....................... 14,625 360,048 FLEMING COS, INC ..................... 4,838 1,013,175 FLOWERS INDUSTRIES, INC .............. 20,833 18,200 FOODCORP LTD ......................... 93 916,000 oGENERAL NUTRITION COS, INC ........... 31,144 66,000 HUTECH NORIN CO LTD .................. 507 209,848 oJP FOODSERVICE, INC .................. 7,751 1,700 LOBLAW COS LTD ....................... 31 208,100 NASH FINCH CO ........................ 3,954 67,200 OSHAWA GROUP LTD (CLASS A) ........... 1,174 20,400 oPERFORMANCE FOOD GROUP CO ............ 485 150,974 oPROVIGO, INC ......................... 918 4,105,000 oPT WICAKSANA OVERSEAS INTERNATIONAL (LR) .................. 149 508,200 RICHFOOD HOLDINGS, INC ............... 14,357 2,700 SMART & FINAL, INC ................... 49 137,450 oSUIZA FOODS CORP ..................... 8,187 698,200 SUPERVALU, INC ....................... 29,237 1,105,100 SYSCO CORP ........................... 50,351 17,200 oUNITED NATURAL FOODS, INC ............ 447 ----------- 189,130 ----------- VALUE SHARES (000) ------ ---------- GROCERY STORES--0.54% 1,329,900 ALBERTSONS, INC ......................$ 63,004 4,175,932 AMERICAN STORES CO ................... 85,868 4,878 oBRUNOS, INC .......................... 10 739,544 oCIFRA SA DE CV (SERIES V) ............ 1,825 155,000 oCIRCLE K JAPAN CO LTD ................ 7,451 86,800 CULTOR OY SERIES 2 ................... 4,702 46,700 oEL AGUILA S.A ........................ 183 1,099,050 FOOD LION, INC (CLASS A) ............. 9,273 1,839,950 FOOD LION, INC (CLASS B) ............. 15,180 273,500 GIANT FOOD, INC (CLASS A) ............ 9,214 106,800 GREAT ATLANTIC & PACIFIC TEA CO, INC ......................... 3,171 346,600 HANNAFORD BROTHERS, INC .............. 15,055 2,634,208 oKROGER CO ............................ 97,301 5,000 MARUETSU, INC ........................ 13 262,400 MEIKLES AFRICA LTD ................... 236 45,200 PICKN PAY STORES LTD SERIES N ........ 61 33,826 oQUALITY FOOD CENTERS, INC ............ 2,266 673,970 SAFEWAY PLC .......................... 3,826 2,461,943 oSAFEWAY, INC ......................... 155,718 1,607,390 SAINSBURY (J) PLC .................... 13,475 130,000 oSANTA ISABEL S.A. (SPONSORED ADR) .... 2,275 1,310,700 oSOUTHLAND CORP ....................... 2,785 60,000 oSUPERMERCADOS UNIMARC S.A ............ (SPONSORED ADR) ...................... 739 1,321,615 TESCO PLC ............................ 10,655 150,200 WEIS MARKETS, INC .................... 5,257 121,900 oWHOLE FOODS MARKET, INC .............. 6,232 357,632 WINN DIXIE STORES, INC ............... 15,624 320 YOSHINOYA D&C CO LTD ................. 2,929 ----------- 534,328 ----------- GUIDED MISSILES, SPACE VEHICLES AND PARTS--0.26% 1,690,931 LOCKHEED MARTIN CORP ................. 166,557 383,100 oORBITAL SCIENCES CORP ................ 11,397 1,444,400 TRW, INC ............................. 77,095 ----------- 255,049 ----------- HANDBAGS AND PERSONAL LEATHER GOODS--0.00% 47,000 GUCCI GROUP NV ADR ................... 1,968 ----------- HARDWARE, PLUMBING AND HEATING EQUIPMENT--0.01% 6,500 oBARNETT, INC ......................... 143 330,500 FASTENAL CO .......................... 12,642 9,100 oWILMAR INDUSTRIES, INC ............... 217 ----------- 13,002 ----------- HEALTH AND ALLIED SERVICES, NEC--0.22% 203,300 oACCESS HEALTH, INC ................... 5,972 63,800 oAMERICAN HOMEPATIENT, INC ............ 1,499 34,500 oAMERICAN ONCOLOGY RESOURCES, INC ..... 552 89,000 oBUCKEYE TECHNOLOGIES, INC ............ 4,116 163,900 oCOASTAL PHYSICIAN GROUP, INC ......... 133 12,200 oEXPRESS SCRIPTS, INC ................. 732 3,021,181 oHEALTHSOUTH CORP ..................... 83,838 218,300 oLINCARE HOLDINGS, INC ................ 12,443 3,100 oMEDIQ, INC ........................... 34 299,800 oMID ATLANTIC MEDICAL SERVICES, INC ... 3,822 747,000 oNOVACARE, INC ........................ 9,758 809,800 OMNICARE, INC ........................ 25,104 536,034 oPHARMERICA, INC ...................... 5,561 28,900 oPRIME MEDICAL SERVICES, INC .......... 399 See notes to financial statements. -38- VALUE SHARES 000 ------ ---------- HEALTH AND ALLIED SERVICES, NEC--(CONTINUED) 25,700 oRENAL CARE GROUP, INC ................ $ 822 359,700 oRENAL TREATMENT CENTERS, INC ......... 12,994 291,784 oRESPONSE ONCOLOGY, INC ............... 2,444 1,060,494 UNITED HEALTHCARE CORP ............... 52,693 ----------- 222,916 ----------- HEAVY CONSTRUCTION, EXCEPT HIGHWAY--0.09% 176,700 xoATKINSON (G.F.) CO OF CALIFORNIA ..... 243 213,753 AUTOPISTAS CONCESIONARIA ESPANOLA S.A ........................ 2,868 24,400 BILFINGER & BERGER AG ................ 757 3,467,169 BORAL LTD ............................ 8,766 5,800 BOUYGUES S.A ......................... 658 1,298,000 CHICHIBU ONODA CEMENT CORP ........... 2,396 1,698 COLAS S.A ............................ 244 9,000,000 oDMCI HOLDINGS, INC ................... 271 55,686 DRAGADOS Y CONSTRUCCIONES S.A ........ 1,186 235,200 EMPRESAS ICA SOCIEDAD CONTROLADORA S.A. ................... 635 8,800 oENGIL-SGPS ........................... 86 425,200 FLUOR CORP ........................... 15,892 617,000 oGLOBAL INDUSTRIES LTD ................ 10,489 23,657 oGROUPE GTM ........................... 1,593 359,710 oIMPREGILO S.P.A ...................... 275 207,000 JGC CONSTRUCTION CORP ................ 438 555,000 KINDEN CORP .......................... 5,933 1,410,000 KUMAGAI GUMI CO LTD .................. 770 214,000 KUMAGAI GUMI CO (HONG KONG) LTD ...... 163 40,000 MAEDA ROAD CONSTRUCTION CO LTD ....... 160 154,200 oMATRIX SERVICE CO .................... 1,417 1,000 MATSUO BRIDGE CO LTD ................. 1 2,312,532 PIONEER INTERNATIONAL LTD ............ 6,314 355,112 SCHNEIDER S.A ........................ 19,290 1,405,000 SHIMIZU CORP ......................... 3,263 8,100 oSINGAPORE TECHNOLOGIES INDUSTRIAL CORP ..................... 8 7,300 oSOCIEDADE DE CONSTRUCOES SOARES DA COS ....................... 51 8,700 oSOMAGUE-SGPS S.A ..................... 91 900 oSTRABAG BAU AG ....................... 63 265,500 TIME ENGINEERING BERHAD .............. 68 66,000 TOMOE ENGINEERING CO LTD ............. 305 ----------- 84,694 ----------- HIGHWAY AND STREET CONSTRUCTION--0.01% 42,000 GOLDEN PLUS HOLDINGS BERHAD .......... 9 248,500 GRANITE CONSTRUCTION, INC ............ 5,716 43,200 HOCHTIEF AG .......................... 1,706 446,000 oSATO KOGYO ........................... 278 ----------- 7,709 ----------- HOLDING OFFICES--0.56% 5,300 oAACHENER & MUNCHENER BETEIL (BR) ..... 575 39,400 AACHENER & MUNCHENER BETEIL (REGD) ... 4,306 599,300 AMBAC FINANCIAL GROUP, INC ........... 27,568 20,960 ANGLO AMERICAN INDUSTRIAL CORP ....... 507 67,235 ANGLO AMERICAN PLATINUM CORP LTD ..... 898 20,600 ANGLOVAAL HOLDINGS LTD ............... 258 194,170 ASTRA CIA AREGENTINA S.A. SERIES B ... 340 62,774 BARLOW LTD ........................... 533 5,600 BOHLER-UDDEHOLM AG (BR) .............. 328 14,811,635 BRIERLEY INVESTMENTS LTD ............. 10,579 259,541 BURNS PHILP & CO LTD ................. 41 208,062 oCEMEX S.A. (CLASS A) (REGD) .......... 942 VALUE SHARES (000) ------ ---------- 98,750 oCEMEX S.A. (CLASS B) ................. $ 524 159,120 oCEMEX S.A. DE CV-CPO ................. 721 2,520 CETELEM S.A .......................... 343 268,666 COMMERCE ASSET HOLDINGS BERHAD .............................. 128 855,000 COMPASS GROUP PLC .................... 10,467 327,456 CREDIT SUISSE GROUP (REGD) ........... 50,737 1 #CRESTARAN INTERNATIONAL INVESTMENT BV ....................... 0 296,800 DBS LAND LTD ......................... 454 111,400 DE BEERS CENTENARY AG (UNITS) ........ 2,266 782,845 DELTA CORP ........................... 530 91,000 DESC SOCIEDAD DE FOMENTO INDUSTRIAL S.A. DE CV SERIES B ....... 862 10,000 DIAMOND LEASE CO LTD ................. 54 28,400 DOUGLAS HOLDINGS AG .................. 858 4,200 EA-GENERALI AG ....................... 1,102 1,157 EURAFRANCE S.A ....................... 471 895,800 EVEREST REINSURANCE HOLDINGS, INC .... 36,952 1,030 FORBO HOLDINGS AG (REGD) ............. 422 213,150 FORT WAYNE NATIONAL CORP ............. 9,805 1,050 FUJI DENKI REIKI CO LTD .............. 3 17,000 GENCOR LTD ........................... 28 732,000 oGRUPO FINANCIERO BANCOMER S.A. SERIES B ............................ 470 176,551 GRUPO INDUSTRIAL ALFA S.A. SERIES A ............................ 1,198 592,701 HANSON PLC ........................... 2,658 559,777 HIBERNIA CORP (CLASS A) .............. 10,531 7,649,400 HUTCHINSON WHAMPOA LTD ............... 47,978 76,000 INCHAPE MOTORS ....................... 117 1,648,055 KAO CORP ............................. 23,829 61,600 KESKO CO ............................. 975 25,769 KREDIETBANK NV ....................... 10,815 46,087 LAING (JOHN) (CLASS A) ............... 245 654,969 LEND LEASE CORP LTD .................. 12,803 31,500 LION LAND BERHAD ..................... 5 497,550 MEDIOBANCA S.P.A ..................... 3,912 163,320 MEPC PLC ............................. 1,369 183,660 MUENCHENER RUECKVER AG (REGD) ........ 69,252 116,418 MURRAY & ROBERTS HOLDINGS LTD ........ 176 97,000 NAMPAK LTD ........................... 291 76,979 NEDCOR LTD ........................... 1,708 258,400 NICHIEI CO LTD (KYOTO) ............... 27,624 341,000 ORIENT CORP .......................... 553 58,240 ORIENTAL HOLDINGS .................... 71 74,900 PEPKOR LTD ........................... 385 534,324 NOBLEZA-PICCARDO SDAD INDUSTRIAL COMERCIAL Y FINANCIERA ............... 3,816 39,600 PERNOD-RICARD S.A .................... 2,330 186,600 POWER CORP OF CANADA ................. 6,676 276,735 PREMIER GROUP HOLDINGS LTD ........... 301 213,700 PROMISE CO LTD ....................... 11,899 260,725 PROVIDENT FINANCIAL PLC .............. 3,419 156,700 REMBRANDT GROUP LTD .................. 1,143 34,803 RIT CAPITAL PARTNERS PLC ............. 162 23,300 ROYALE BELGE VIE ACCIDENTS ........... 6,635 167,500 SAFMARINE & RENNIES HOLDINGS LTD ..... 306 997,196 SANKYO CO LTD ........................ 22,625 94,100 oSEACOR SMIT, INC ..................... 5,670 7,700 SEFIMEG S.A .......................... 384 460,200 SIGMA ALDRICH CORP ................... 18,293 11,744 SIMCO (REGD) ......................... 791 453,932 ST JAMES PLACE CAPITAL PLC ........... 1,262 330,195 STELUX HOLDINGS INTERNATIONAL LTD .... 26 66,039 oSTELUX HOLDINGS INTERNATIONAL WTS 02/28/98 ........................ 0 See notes to financial statements. -39- VALUE SHARES 000 ------ ---------- HOLDING OFFICES--(CONTINUED) 1,505,441 TELEFONICA DE ARGENTINA S.A. (CLASS B) ........................... $ 5,647 1,208,688 TENNECO, INC ......................... 47,743 46,700 TIGER OATS LTD ....................... 645 34,100 TOHO CO LTD .......................... 3,645 25,025 TONGAAT HULETT GROUP LTD ............. 319 468,800 UST CORP ............................. 13,009 46,897 VALUE REAL'N TRUST ................... 79 162,367 WOLTERS KLUWER NV .................... 20,976 ----------- 558,368 ----------- HOME HEALTH CARE SERVICES--0.01% 390,500 oAPRIA HEALTHCARE GROUP, INC .......... 5,247 30,012 oCORAM HEALTHCARE CORP ................ 101 333,900 oMATRIA HEALTHCARE, INC ............... 1,878 50,000 oMAXICARE HEALTH PLANS, INC ........... 544 ----------- 7,770 ----------- HORTICULTURAL SPECIALTIES--0.05% 436,600 PIONEER-HI-BRED INTERNATIONAL, INC ... 46,825 ----------- HOSE, BELTING, GASKETS AND PACKING--0.00% 3,100 WYNNS INTERNATIONAL, INC ............. 99 ----------- HOSPITALS--0.36% 4,915,599 COLUMBIA/HCA HEALTHCARE CORP ......... 145,625 1,806,800 oHEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) ........................... 45,622 1,313,332 oHUMANA, INC .......................... 27,252 13,000 oPARACELSUS HEALTHCARE CORP ........... 44 136,200 oPEDIATRIX MEDICAL GROUP, INC ......... 5,823 3,431,262 oTENET HEALTHCARE CORP ................ 113,661 376,300 oUNIVERSAL HEALTH SERVICES, INC ....... 18,956 193,088 oVENCOR, INC .......................... 4,719 ----------- 361,702 ----------- HOTELS AND MOTELS--0.52% 303,200 oAVATEX CORP .......................... 569 334,400 oAZTAR CORP ........................... 2,090 1,650 BAZAR DE LHOTEL DE VILLE ............. 163 43,000 BERJAYA LAND BERHAD .................. 26 16,900 oBRISTOL HOTEL CO ..................... 491 40,300 oCAPSTAR HOTEL CO ..................... 1,383 51,250 oCASINO AMERICA, INC .................. 125 206,300 oCASINO MAGIC CORP .................... 239 6,976,671 oCENDANT CORP ......................... 239,823 533,650 oCHOICE HOTELS INTERNATIONAL, INC ..... 8,538 2,060,151 oCROWN LTD ............................ 913 749,145 oCROWN LTD RTS ........................ 63 513,100 oEXTENDED STAY AMERICA, INC ........... 6,382 70,000 oFABER GROUP BERHAD ................... 9 236,500 GENTING BERHAD ....................... 592 19,100 GENTING INTERNATIONAL PLC ............ 2 258,900 oGRAND CASINOS, INC ................... 3,528 162,000 HARBOUR CENTRE DEVELOPMENT LTD ....... 142 1,107,600 oHARRAHS ENTERTAINMENT, INC ........... 20,906 1,087,400 HILTON HOTELS CORP ................... 32,350 1,876,600 oHOST MARRIOTT CORP ................... 36,828 226,380 oHOST MARRIOTT SERVICES CORP .......... 3,367 4,600 oINTERSTATE HOTELS CO ................. 161 818,550 LA QUINTA INNS, INC .................. 15,808 190,000 LANDMARKS HOLDINGS BERHAD ............ 28 6,700 oMARCUS CORP .......................... 124 576,200 MARRIOTT INTERNATIONAL, INC .......... 39,902 376,100 oMGM GRAND, INC ....................... 13,563 128,700 oPRIMADONNA RESORTS, INC .............. 2,148 592,000 oPRIME HOSPITALITY CORP ............... 12,062 VALUE SHARES (000) ------ ---------- 974,568 oPROMUS HOTEL CORP .................... $ 40,932 567,488 RANK GROUP PLC ....................... 3,165 54,600 oRED ROOF INNS, INC ................... 836 1,598,000 REGAL HOTELS INTERNATIONAL LTD ....... 303 542,100 RESORTS WORLD BERHAD ................. 912 317,300 oRIO HOTEL & CASINO, INC .............. 6,663 2,703 SHANGRI-LA HOTELS BERHAD ............. 1 25,100 SHOWBOAT, INC ........................ 737 303,000 oSIGNATURE RESORTS, INC ............... 6,628 150,000 SOL MELIA S.A ........................ 6,003 165,800 oSTATION CASINOS, INC ................. 1,689 3,800 oSUBURBAN LODGES AMERICA, INC ......... 51 526,000 SUN INTERNATIONAL SOUTH AFRICA ....... 216 177,883 oSUNBURST HOSPITALITY CORP ............ 1,757 209,400 oTRUMP HOTEL & CASINO RESORT, INC ..... 1,400 24,400 oVAIL RESORTS, INC .................... 633 8,200 oVISTANA, INC ......................... 189 60,175 oWHG RESORTS & CASINO, INC ............ 1,339 1,654,666 ZIMBABWE SUN LTD ..................... 260 ----------- 516,039 ----------- HOUSEHOLD APPLIANCE STORES--0.05% 571,600 AUSTRALIA GAS LIGHT CO ............... 3,985 1,037,400 SUNBEAM CORP ......................... 43,700 ----------- 47,685 ----------- HOUSEHOLD APPLIANCES--2.48% 154,534 ELECTROLUX AB SERIES B ............... 10,731 1,713,178 EMAIL LTD ............................ 4,045 943,067 FISHER & PAYKEL INDUSTRIES LTD ....... 3,012 32,674,744 GENERAL ELECTRIC CO .................. 2,397,509 636,003 MAYTAG CO ............................ 23,731 29,400 NATIONAL PRESTO INDUSTRIES, INC ...... 1,163 657,000 TAKARA STANDARD CO ................... 3,234 503,800 WHIRLPOOL CORP ....................... 27,709 3,098 #oWINDMERE CORP WTS 01/19/98 ........... 47 ----------- 2,471,181 ----------- HOUSEHOLD AUDIO AND VIDEO EQUIPMENT--0.17% 110,000 AMANO CORP ........................... 846 42,700 BANG & OLUFSEN HOLDINGS A/S (CLASS B) 2,544 655,000 BROTHERS INDUSTRIES LTD .............. 1,501 91,000 oCREATIVE TECHNOLOGY LTD .............. 1,847 3,474,650 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ................... 51,042 60,335 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ADR .......................... 9,171 30,500 oMOULINEX ............................. 754 49,000 oNIMBUS CD INTERNATIONAL, INC ......... 527 167,250 PIONEER ELECTRONIC CORP .............. 2,586 32,000 oSANRIO CO LTD ........................ 169 3,170,000 SANYO ELECTRIC CO LTD ................ 8,289 1,048,000 SHARP CORP ........................... 7,238 829,098 SONY CORP ............................ 73,968 459,000 UNIDEN CORP .......................... 3,707 310,322 oZENITH ELECTRONICS CORP .............. 1,687 ----------- 165,876 ----------- HOUSEHOLD FURNITURE--0.05% 133,162 BASSETT FURNITURE INDUSTRIES, INC .... 3,995 100 oBUSH INDUSTRIES, INC (CLASS A) ....... 3 676,000 oFURNITURE BRANDS INTERNATIONAL, INC .. 13,858 32,600 LA-Z-BOY, INC ........................ 1,406 178,567 oLADD FURNITURE, INC .................. 2,679 580,700 LEGGETT & PLATT, INC ................. 24,317 ----------- 46,258 ----------- See notes to financial statements. -40- VALUE SHARES 000 ------ ---------- INDUSTRIAL INORGANIC CHEMICALS--0.43% 730,000 AIR PRODUCTS & CHEMICALS, INC ........$ 60,043 345,900 oAIRGAS, INC .......................... 4,843 373,590 ALBEMARLE CORP ....................... 8,919 163,200 CALGON CARBON CORP ................... 1,754 610,855 ENGELHARD CORP ....................... 10,614 7,200 GENERAL CHEMICAL GROUP, INC .......... 193 593,300 GEORGIA GULF CORP .................... 18,170 700,800 GRACE (W.R.) & CO .................... 56,371 722,900 GREAT LAKES CHEMICAL CORP ............ 32,440 27,700 GREENCORE GROUP PLC .................. 130 190,800 oKAISER ALUMINUM CORP ................. 1,681 24,400 KERRY GROUP (CLASS A) ................ 261 65,000 KERRY GROUP (CLASS A) (UNITED KINGDOM) .................... 701 335,401 KONINKLIJKE AHOLD NV ................. 8,752 39,000 oMALAYSIAN OXYGEN BERHAD .............. 87 486,519 MILLENNIUM CHEMICAL, INC ............. 11,464 4,300 MINERALS TECHNOLOGIES, INC ........... 195 12,200 oNL INDUSTRIES, INC ................... 166 66,000 NORITAKE CO LTD ...................... 316 317,900 OLIN CORP ............................ 14,902 2,979,080 PRAXAIR, INC ......................... 134,059 94,000 SOCIEDAD QUIMICA Y MINERA DE CHILE ADR ........................ 4,136 1,267,380 UNION CARBIDE CORP ................... 54,418 ----------- 424,615 ----------- INDUSTRIAL MACHINERY, NEC--0.01% 15,100 APPLIED POWER, INC (CLASS A) ......... 1,042 201,650 COMMERCIAL INTERTECH CORP ............ 4,184 5,000 ROBBINS & MYERS, INC ................. 198 298,188 oUNOVA, INC ........................... 4,901 ----------- 10,325 ----------- INDUSTRIAL ORGANIC CHEMICALS--0.42% 31,000 AGA AB SERIES A FREE ................. 428 78,300 AGA AB SERIES B FREE ................. 1,036 42,000 ARCO CHEMICAL CO ..................... 1,961 161,250 oBIO-RAD LABORATORIES, INC (CLASS A) .. 4,213 7,011,567 BOC GROUP PLC ........................ 116,118 243,800 CROMPTON & KNOWLES CORP .............. 6,461 1,027,000 DAICEL CHEMICAL INDUSTRIES LTD ....... 1,343 831,000 DAINIPPON INK & CHEMICAL, INC ........ 2,109 290,310 DEGUSSA AG ........................... 14,531 842,300 ETHYL CORP ........................... 6,475 912,824 ICI AUSTRALIA LTD .................... 6,394 596,273 IMPERIAL CHEMICAL INDUSTRY PLC ....... 9,222 812,000 KANEKA CORP .......................... 3,678 766,000 KUREHA CHEMICAL INDUSTRY CO LTD ...... 1,579 21,695 LAIR LIQUIDE ......................... 3,397 20,115 #LAIR LIQUIDE (REGD) 1996 ............. 3,150 3,585 #LAIR LIQUIDE (REGD) 1998 ............. 561 5,060 #LAIR LIQUIDE (REGD) 1999 ............. 792 812,600 LUBRIZOL CORP ........................ 29,965 2,500 oMIRAVANT MEDICAL TECHNOLOGY .......... 100 4,232,000 MITSUBISHI CHEMICAL CORP ............. 6,087 614,000 MITSUBISHI GAS CHEMICAL CO, INC ...... 1,620 1,176,400 oMITSUI CHEMICAL CORP ................. 2,171 183,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD ........................ 745 2,377 NORIT NV ............................. 36 385,677 NORSK HYDRO AS ....................... 18,807 10,000 OM GROUP, INC ........................ 366 VALUE SHARES (000) ------ ---------- 646,072 RHONE-POULENC S.A. (CLASS A) .........$ 28,953 158,177 oRHONE-POULENC WTS 11/05/01 ........... 544 615,400 ROHM & HAAS CO ....................... 58,925 337,000 SEKISUI CHEMICAL CO LTD .............. 1,718 504,745 SHIN-ETSU CHEMICAL CO LTD ............ 9,666 2,096,000 SHOWA DENKO K.K ...................... 1,838 498,090 oSNIA BDP S.P.A ....................... 513 136,350 SOLVAY ET CIE S.A .................... 8,575 2,154,000 SUMITOMO CHEMICAL CO LTD ............. 4,970 18,900 SUPERFOS AS .......................... 478 652,000 TERUMO CORP .......................... 9,628 5,000 TESSENDERLO CHEMIE NV ................ 277 418,000 oTOSOH CORP ........................... 704 280 UCB S.A .............................. 924 1,253,999 ZENECA GROUP PLC ..................... 44,155 ----------- 415,213 ----------- INSURANCE AGENTS, BROKERS, AND SERVICE--0.31% 680,431 ALLMERICA FINANCIAL CORP ............. 33,979 1,192,750 AON CORP ............................. 69,925 2,330,493 ASSICURAZIONI GENERALI S.P.A ......... 57,313 265,850 BERKLEY (W.R.) CORP .................. 11,664 4,600 oBLANCH (E.W.) HOLDINGS, INC .......... 158 229,800 CRAWFORD & CO (CLASS A) .............. 4,366 189,000 CRAWFORD & CO (CLASS B) .............. 3,863 15,950 oFAIRFAX FINANCIAL HOLDINGS LTD ....... 3,566 2,035 oFORTIS AG NPV (STRIP VVPR) ........... 0 331,000 GALLAGHER (ARTHUR J.) & CO ........... 11,399 1,891,643 GIO AUSTRALIAN HOLDINGS LTD .......... 4,835 894,396 HIH WINTERHUR INTERNATIONAL HOLDINGS LTD ........................ 1,917 3,700 HILB, ROGAL & HAMILTON CO ............ 71 266,384 LAB HOLDINGS, INC .................... 6,193 20,500 MARSCHOLLEK LAUT UND PARTNER ......... 5,358 795,020 MARSH & MCLENNAN COS, INC ............ 59,279 1,700 MUENCHENER RUECK GESELLSCHAFT AG (BR) ................ 392 1,106,722 SEDGWICK GROUP LTD ................... 2,568 1,032,400 SELECTIVE INSURANCE GROUP, INC ....... 27,875 439,750 WILLIS CORROON GROUP PLC ............. 1,074 ----------- 305,795 ----------- INSURANCE CARRIERS, NEC--0.07% 778,600 MBIA, INC ............................ 52,020 549,700 WESTERN NATIONAL CORP ................ 16,285 11,248 WORMS CIE ............................ 832 ----------- 69,137 ----------- INTERNATIONAL AFFAIRS--0.00% 13,150 CREDIT COMMUNAL HOLDINGS DEXIA ....... 1,766 ----------- INVESTMENT OFFICES--0.04% 3,620 oFIRST HUNGARY FUND LTD (CLASS A) ..... 5,708 1,598,400 oFIRST NIS REGIONAL FUND .............. 27,572 248,893 oFIRST RUSSIAN FRONTIERS PLC .......... 4,413 49,778 oFIRST RUSSIAN FRONTIERS SERIES A WTS 06/03/01 ........................ 360 ----------- 38,053 ----------- IRON AND STEEL FOUNDRIES--0.07% 19,000 oCITATION CORP ........................ 309 90,270 GERDAU METALURGICA S.A ............... 2 156,500 INTERMET CORP ........................ 2,739 316,000 oJAPAN STEEL WORKS LTD ................ 241 89,402 MANNESMANN AG ........................ 45,196 643,101 SIDERCA S.A. (CLASS A) ............... 1,788 63,190 THYSSEN AG ........................... 13,530 390,851 USINOR ............................... 5,646 ----------- 69,451 ----------- See notes to financial statements. -41- VALUE SHARES 000 ------ ---------- IRON ORES--0.01% 124,481 CLEVELAND CLIFFS, INC ................$ 5,703 34,800 OGLEBAY NORTON CO .................... 1,427 ----------- 7,130 ----------- JEWELRY, SILVERWARE, AND PLATED WARE--0.03% 192,800 BULGARI S.P.A ........................ 982 166,900 oJAN BELL MARKETING, INC .............. 417 670,200 JOSTENS, INC ......................... 15,456 15,300 oTAG HEUER INTERNATIONAL S.A .......... 1,332 324,500 TIFFANY & CO ......................... 11,702 ----------- 29,889 ----------- JOB TRAINING AND RELATED SERVICES--0.00% 64,800 oFIREARMS TRAINING SYSTEMS, INC ....... 336 ----------- KNITTING MILLS--0.02% 109,500 FAB INDUSTRIES, INC .................. 3,408 428,157 GUILFORD MILLS, INC .................. 11,721 111,700 ST. JOHN KNITS, INC .................. 4,468 ----------- 19,597 ----------- LANDSCAPE AND HORTICULTURAL SERVICES--0.01% 434,150 ROLLINS, INC ......................... 8,819 ----------- LAUNDRY, CLEANING, AND GARMENT SERVICES--0.07% 125,300 ANGELICA CORP ........................ 2,835 279,700 CINTAS CORP .......................... 10,908 348,900 G & K SERVICES, INC (CLASS A) ........ 14,654 549,849 NATIONAL SERVICE INDUSTRIES, INC ..... 27,252 336,100 UNIFIRST CORP ........................ 9,432 ----------- 65,081 ----------- LEAD AND ZINC ORES--0.01% 137,400 COMINCO LTD .......................... 2,098 753,900 oHECLA MINING CO ...................... 3,722 ----------- 5,820 ----------- LEATHER TANNING AND FINISHING--0.01% 644,187 WOLVERINE WORLD WIDE, INC ............ 14,575 ----------- LEGAL SERVICES--0.00% 51,600 oPREPAID LEGAL SERVICES, INC .......... 1,764 ----------- LIFE INSURANCE--2.58% 244,000 20TH CENTURY INDUSTRIES .............. 6,344 243,934 AEGON N.V. ARS ....................... 21,863 1,672,721 AETNA, INC ........................... 118,031 320,000 ALLEANZA ASSICURAZIONI ............... 3,189 18,662 ALLEANZA ASSICURAZIONI (S/S) NON CV .. 121 576,800 AMERICAN BANKERS INSURANCE GROUP, INC ........................... 26,497 2,366,149 AMERICAN GENERAL CORP ................ 127,920 800 oAMERICAN HERITAGE LIFE INVESTMENT CORP ................................. 29 4,463,726 AMERICAN INTERNATIONAL GROUP, INC .......................... 485,430 252,200 AMERICAN NATIONAL INSURANCE CO ....... 23,455 21,930 AMERUS LIFE HOLDINGS, INC (CLASS A) .. 809 1,716,100 CHUBB CORP ........................... 129,780 772,478 CIGNA CORP ........................... 133,687 299,447 CINCINNATI FINANCIAL CORP ............ 42,147 1,828,512 CONSECO, INC ......................... 83,083 8,500 oDELPHI FINANCIAL GROUP, INC .......... 383 VALUE SHARES (000) ------ ---------- 566,700 EQUITABLE COS, INC ...................$ 28,193 600 FBL FINANCIAL GROUP, INC (CLASS A) ... 24 421,680 FREMONT GENERAL CORP ................. 23,087 739,300 GENERAL REINSURANCE CORP ............. 156,732 69,000 HARTFORD LIFE, INC (CLASS A) ......... 3,127 82,631 oHIGHLANDS INSURANCE GROUP, INC ....... 2,345 177,599 IRISH LIFE PLC ....................... 1,008 744,450 JEFFERSON-PILOT CORP ................. 57,974 306,300 JOHN ALDEN FINANCIAL CORP ............ 7,351 682,999 LEGAL & GENERAL GROUP PLC ............ 5,900 12,500 LIBERTY CORP ......................... 584 2,700 LIBERTY FINANCIAL COS, INC ........... 102 77,874 LIBERTY LIFE ASSOCIATION OF AFRICA LTD 2,000 36,600 LIFE RE CORP ......................... 2,386 33,800 oLIFE USA HOLDING, INC ................ 570 896,500 LINCOLN NATIONAL CORP ................ 70,039 466,000 LOEWS CORP ........................... 49,454 1,806 MAPFRE VIDA S.A ...................... 64 260,000 MEDIOLANUM S.P.A ..................... 4,900 207,000 METROPOLITAN LIFE LTD ................ 585 300 NATIONWIDE FINANCIAL SERVICES, INC (CLASS A) ........................... 11 386,400 OHIO CASUALTY CORP ................... 17,243 1,183,790 OLD REPUBLIC INTERNATIONAL CORP ...... 44,022 888,512 ORION CAPITAL CORP ................... 41,260 268,200 PENNCORP FINANCIAL GROUP, INC ........ 9,571 38,000 POWER FINANCIAL CORP ................. 1,328 18,600 PRESIDENTIAL LIFE CORP ............... 377 50,000 PROTECTIVE LIFE CORP ................. 2,988 421,350 oPROVIDENT COS, INC ................... 16,275 365,100 PROVIDIAN FINANCIAL CORP ............. 16,498 1,436,342 PRUDENTIAL CORP PLC .................. 16,697 5,550 REINSURANCE GROUP OF AMERICA, INC .... 236 537,778 RELIANCE GROUP HOLDINGS, INC ......... 7,596 1,072,937 RELIASTAR FINANCIAL CORP ............. 44,192 40,600 SAMPO INSURANCE CO SERIES A .......... 1,320 29,200 SOUTHERN LIFE ASSOCIATION LTD ........ 258 1,412,461 SUNAMERICA, INC ...................... 60,383 1,744,200 TORCHMARK CORP ....................... 73,365 9,731,345 TRAVELERS GROUP, INC ................. 524,276 123,400 oUICI ................................. 4,304 10,281 oUNION DES ASSURANCES FEDERALES ....... 1,350 1,227,000 UNUM CORP ............................ 66,718 ----------- 2,569,461 ----------- LOCAL AND SUBURBAN TRANSPORTATION--0.03% 6,720 EAST JAPAN RAILWAY CO ................ 30,442 453,010 NANKAI ELECTRIC RAILWAY CO ........... 1,986 ----------- 32,428 ----------- LOGGING--0.02% 11,067,077 CARTER HOLT HARVEY LTD ............... 17,095 92,908 DELTIC TIMBER CORP ................... 2,543 189,000 LAND & GENERAL BERHAD ................ 35 ----------- 19,673 ----------- LUGGAGE--0.01% 248,400 oSAMSONITE CORP ....................... 7,856 ----------- LUMBER AND CONSTRUCTION MATERIALS--0.05% 577,700 GEORGIA PACIFIC CORP (PACKAGING GROUP) ................... 35,095 557,800 oGEORGIA PACIFIC CORP (TIMBER GROUP) .. 12,655 16,000 oUNIVERSAL FOREST PRODUCTS, INC ....... 218 ----------- 47,968 ----------- See notes to financial statements. -42- VALUE SHARES 000 ------ ---------- LUMBER AND OTHER BUILDING MATERIALS--0.44% 49,100 CBR NV ...............................$ 4,413 40,416 CORCEMAR S.A ......................... 196 58,000 DAITO TRUST CONSTRUCTION CO LTD ...... 356 325,200 oEAGLE HARDWARE & GARDEN, INC ......... 6,301 40,570 HEIDELBERGER ZEMENT AG ............... 2,888 5,848,499 HOME DEPOT, INC ...................... 344,330 85,000 oHONG LEONG INDUSTRIES BERHAD ......... 86 118,820 ITALCEMENTI S.P.A .................... 829 5,000 KEDAH CEMENT HOLDINGS BERHAD ......... 1 1,005,272 LEIGHTON HOLDINGS LTD ................ 3,511 1,173,400 LOWES COS, INC ....................... 55,957 137,500 MALAYAN CEMENT BERHAD ................ 94 28,000 oPAN-MALAYSIA CEMENT WORKS BERHAD ..... 11 18,088 PORTLAND VALDERRIVAS S.A ............. 1,626 127,550 SANKYO ALUMINIUM INDUSTRY CO LTD ..... 114 96,000 SANWA SHUTTER CORP ................... 484 47,700 EUROC INDUSTRIA AB SERIES A .......... 1,954 1,606,150 SEKISUI HOUSE LTD .................... 10,364 3,540 WIENERBERGER BAUSTOFF AG ............. 679 ----------- 434,194 ----------- MACHINERY, EQUIPMENT, AND SUPPLIES--0.03% 120,650 AAR CORP ............................. 4,675 378,237 APPLIED INDUSTRIAL TECHNOLOGIES, INC . 10,118 13,200 oAVIATION SALES CO .................... 497 193,772 BRIGGS & STRATTON CORP ............... 9,410 4,100 oFAIRCHILD CORP (CLASS A) ............. 102 8,600 oHIRSCH INTERNATIONAL CORP (CLASS A) .. 189 151,800 LAWSON PRODUCTS, INC ................. 4,516 100,000 OILES CORP ........................... 2,430 ----------- 31,937 ----------- MAILING, REPRODUCTION AND STENOGRAPHIC SERVICES--0.01% 1,000 oABACUS DIRECT CORP ................... 41 467,330 oADVO, INC ............................ 9,113 53,200 oAMERICAN BUSINESS INFORMATION, INC (CLASS A) ........................... 559 53,200 oAMERICAN BUSINESS INFORMATION, INC (CLASS B) ........................... 545 ----------- 10,258 ----------- MANAGEMENT AND PUBLIC RELATIONS--0.05% 173,300 oABR INFORMATION SERVICES, INC ........ 4,138 26,300 BLOUNT INTERNATIONAL, INC ............ 702 289,700 oCORRECTIONS CORP OF AMERICA .......... 10,737 418,300 oGARTNER GROUP, INC (CLASS A) ......... 15,582 436,600 oMEDAPHIS CORP ........................ 2,838 5,000 oMETZLER GROUP, INC ................... 201 82,000 NICHII GAKKAN CO ..................... 2,838 3,000 oTRANSITION SYSTEMS, INC .............. 66 65,600 oWACKENHUT CORRECTIONS CORP ........... 1,763 745,132 WHEELABRATOR TECHNOLOGIES, INC ....... 11,969 ----------- 50,834 ----------- MANIFOLD BUSINESS FORMS--0.03% 410,050 ENNIS BUSINESS FORMS, INC ............ 3,793 120,708 MOORE CORP LTD ....................... 1,813 854 MOORE CORP LTD (U.S.) ................ 13 98,800 oNEW ENGLAND BUSINESS SERVICES, INC ... 3,335 186,500 STANDARD REGISTER, INC ............... 6,481 300,500 WALLACE COMPUTER SERVICES, INC ....... 11,682 ----------- 27,117 ----------- VALUE SHARES (000) ------ ---------- MEASURING AND CONTROLLING DEVICES--0.42% 279,837 oAIR & WATER TECHNOLOGIES CORP (CLASS A) ........................... $ 315 350,900 oALLEN TELECOM, INC ................... 6,470 89,987 BECKMAN INSTRUMENTS, INC ............. 3,599 360,200 oBURR BROWN CORP ...................... 11,571 303,300 oC-CUBE MICROSYSTEMS, INC ............. 4,948 30,800 oCELLPRO, INC ......................... 71 463,300 oCOGNEX CORP .......................... 12,625 53,000 COHU, INC ............................ 1,623 347,200 oCREDENCE SYSTEMS CORP ................ 10,286 100,396 oCYMER, INC ........................... 1,506 180,519 DANIEL INDUSTRIES, INC ............... 3,475 130,100 oDIONEX CORP .......................... 6,472 532,200 EG & G, INC .......................... 11,076 318,200 oELECTROGLAS, INC ..................... 4,912 336,700 FISHER SCIENTIFIC INTERNATIONAL, INC . 16,077 157,008 FLUKE CORP ........................... 4,092 77,900 oGENRAD, INC .......................... 2,352 26,800 oHAEMONETICS CORP ..................... 375 1,325,300 HONEYWELL, INC ....................... 90,783 341,656 IMI PLC .............................. 2,280 440,800 oINPUT/OUTPUT, INC .................... 13,086 120,200 oINTEGRATED CIRCUIT SYSTEMS, INC ...... 3,426 1,254,728 JOHNSON CONTROLS, INC ................ 59,913 501,400 oKLA-TENCOR CORP ...................... 19,367 7,200 oLECROY CORP .......................... 218 30,900 oLTX CORP ............................. 137 305,600 MILLIPORE CORP ....................... 10,371 1,800 MTS SYSTEMS CORP ..................... 68 343,100 NEWPORT CORP ......................... 4,825 3,095 xoOMEGA ENVIRONMENTAL, INC ............. 0 65,600 OPTICAL COATING LABORATORIES, INC .... 902 3,100 oPERCEPTRON, INC ...................... 67 124,953 PERKIN-ELMER CORP .................... 8,879 2,300 oROBOTIC VISION SYSTEMS, INC .......... 26 5,400 oROFIN-SINAR TECHNOLOGIES, INC ........ 65 695,622 SIEBE PLC ............................ 13,048 770,200 TEKTRONIX, INC ....................... 30,567 664,338 oTERADYNE, INC ........................ 21,259 110,741 oTHERMO INSTRUMENT SYSTEMS, INC ....... 3,814 475,300 oUNIPHASE CORP ........................ 19,666 103,400 oVEECO INSTRUMENTS, INC ............... 2,275 204,200 oWATERS CORP .......................... 7,683 234,500 X RITE, INC .......................... 4,280 73,000 oZYGO CORP ............................ 1,369 ----------- 420,219 ----------- MEAT PRODUCTS--0.20% 420,582 BOB EVANS FARMS, INC ................. 9,305 556,100 CHIQUITA BRANDS INTERNATIONAL, INC ... 9,071 4,252,208 CONAGRA, INC ......................... 139,526 634,000 IBP, INC ............................. 13,274 1,108,000 ITOHAM FOODS, INC .................... 5,266 4,119 MAPLE LEAF FOODS, INC ................ 45 54,000 oMARUDAI FOOD CO LTD .................. 119 492,000 NIPPON MEAT PACKERS, INC ............. 6,735 2,638,555 PERDIGAO S.A ......................... 6 55,900 PILGRIMS PRIDE CORP .................. 870 66,700 SANDERSON FARMS, INC ................. 967 455,100 oSMITHFIELD FOODS, INC ................ 15,018 19,466 WORTHINGTON FOODS, INC ............... 273 ----------- 200,475 ----------- See notes to financial statements. -43- VALUE SHARES 000 ------ ---------- MEDICAL AND DENTAL LABORATORIES--0.01% 4,000 oAPPLIED ANALYTICAL INDUSTRIES, INC ... $ 66 74,363 oEPITOPE, INC ......................... 372 54,500 oMEDICAL RESOURCES, INC ............... 511 51,750 oMOLECULAR BIOSYSTEMS, INC ............ 440 228,008 oQUEST DIAGNOSTICS, INC ............... 3,848 ----------- 5,237 ----------- MEDICAL INSTRUMENTS AND SUPPLIES--1.49% 127,100 oACUSON CORP .......................... 2,105 158,675 oADAC LABORATORIES, INC ............... 3,134 678,100 oALZA CORP ............................ 21,572 211,694 ARROW INTERNATIONAL, INC ............. 7,833 275,000 oARTERIAL VASCULAR ENGINEERING, INC ... 17,875 202,665 oATL ULTRASOUND, INC .................. 9,323 323,633 BALLARD MEDICAL PRODUCTS CO .......... 7,848 645,472 BARD (C.R.), INC ..................... 20,211 1,192,512 BECTON DICKINSON & CO ................ 59,626 1,274,800 BIOMET, INC .......................... 32,667 582,300 oBOSTON SCIENTIFIC CORP ............... 26,713 203,900 oCIRCON CORP .......................... 3,109 700 oCNS, INC ............................. 5 251,800 COLLAGEN CORP ........................ 5,256 20,700 oCONMED CORP .......................... 543 278,800 oCYGNUS, INC .......................... 5,541 2,500 oCYTYC CORP ........................... 62 164,700 oDATASCOPE CORP ....................... 4,262 535,900 DENTSPLY INTERNATIONAL, INC .......... 16,345 14,800 DEPUY, INC ........................... 426 144,700 DIAGNOSTIC PRODUCTS CORP ............. 4,015 181,300 oE-Z-EM, INC (CLASS A) ................ 1,337 225,270 oE-Z-EM, INC (CLASS B) ................ 1,577 529,637 oFRESENIUS MEDICAL CARE AG ADR ........ 11,520 119,000 FUKUDA DENSHI CO ..................... 1,217 1,177,626 GUIDANT CORP ......................... 73,307 159,423 oHEALTHDYNE TECHNOLOGIES, INC ......... 3,248 92,600 oHEARTPORT, INC ....................... 1,887 72,700 oHOLOGIC, INC ......................... 1,504 200 oI-STAT CORP .......................... 3 207,400 INVACARE CORP ........................ 4,511 105,200 oISOLYSER CO, INC ..................... 247 11,691,354 JOHNSON & JOHNSON CO ................. 770,168 19,900 oMARQUETTE MEDICAL SYSTEMS, INC (CLASS A) ........................... 530 3,473,044 MEDTRONIC, INC ....................... 181,684 179,000 MENTOR CORP .......................... 6,534 350,300 oMILLENNIUM PHARMACEUTICALS, INC ...... 6,656 98,700 MINE SAFETY APPLIANCE CO ............. 6,465 1,000 oMINIMED, INC ......................... 39 8,724 oNYCOMED AMERSHAM PLC SERIES A ........ 328 21,015 oNYCOMED AMERSHAM PLC SERIES B ........ 764 5,700 oOEC MEDICAL SYSTEMS, INC ............. 114 7,500 oPHYSIO-CONTROL INTERNATIONAL CORP .... 119 6,650 RADIOMETER AS (CLASS B) .............. 270 52,600 oRESPIRONICS, INC ..................... 1,177 150,582 oSAFESKIN CORP ........................ 8,546 700 SANKYO CO LTD ........................ 10 250,600 oSOFAMOR DANEK GROUP, INC ............. 16,305 563,650 oST. JUDE MEDICAL, INC ................ 17,191 402,472 oSTERIS CORP .......................... 19,419 377,100 STRYKER CORP ......................... 14,047 404,800 oSUMMIT TECHNOLOGY, INC ............... 1,834 97,100 oSUNRISE MEDICAL, INC ................. 1,499 VALUE SHARES (000) ------ ---------- 648,700 oSYBRON INTERNATIONAL CORP ............ $ 30,448 347,050 oTHERMEDICS, INC ...................... 5,683 659,000 U.S. SURGICAL CORP ................... 19,317 301,150 VARIAN ASSOCIATES, INC ............... 15,227 97,500 VITAL SIGNS, INC ..................... 1,901 417,800 oVIVUS, INC ........................... 4,439 ----------- 1,479,543 ----------- MEDICAL SERVICE AND HEALTH INSURANCE--0.18% 872,823 AFLAC, INC ........................... 44,623 110,100 oCNA FINANCIAL CORP ................... 14,065 11,400 oCOMPANHIA DE SEGUROS TRANQUILIDADE ....................... 274 6,000 oCOMPDENT CORP ........................ 122 259,200 oCONCENTRA MANAGED CARE, INC .......... 8,748 76,400 oCOVENTRY CORP ........................ 1,165 841,475 oFOUNDATION HEALTH SYSTEMS (CLASS A) ........................... 18,828 351,300 oFPA MEDICAL MANAGEMENT, INC .......... 6,543 214,300 oOXFORD HEALTH PLANS, INC ............. 3,335 210,159 oPACIFICARE HEALTH SYSTEMS, INC (CLASS A) ........................... 10,560 163,158 oPACIFICARE HEALTH SYSTEMS, INC (CLASS B) ........................... 8,545 265,300 oPHYMATRIX CORP ....................... 4,178 24,700 oPHYSICIANS HEALTH SERVICES, INC (CLASS A) 701 942,300 oQUORUM HEALTH GROUP, INC ............. 24,618 218,700 oSAFEGUARD HEALTH ENTERPRISES, INC .... 2,952 437,000 TRAVELERS PROPERTY CASUALTY CORP ..... 19,228 68,200 oTRIGON HEALTHCARE, INC ............... 1,782 10,700 UNITED WISCONSIN SERVICES, INC ....... 276 245,553 oWELLPOINT HEALTH NETWORKS, INC ....... 10,375 ----------- 180,918 ----------- MEN'S AND BOYS' CLOTHING STORES--0.01% 29,800 oABERCROMBIE & FITCH CO (CLASS A) ..... 931 122,200 oMENS WAREHOUSE, INC .................. 4,246 168,300 oPACIFIC SUNWEAR CALIFORNIA, INC ...... 4,975 245,500 oSYMS CORP ............................ 2,915 ----------- 13,067 ----------- MEN'S AND BOYS' FURNISHINGS--0.09% 500 AUTHENTIC FITNESS CORP ............... 9 685,500 oFRUIT OF THE LOOM, INC (CLASS A) ..... 17,566 151,300 oGUESS ?, INC ......................... 1,040 154,500 OSHKOSH B'GOSH, INC (CLASS A) ........ 5,099 265,388 PHILLIPS VAN HEUSEN CORP ............. 3,782 29,500 oQUIKSILVER, INC ...................... 844 495,700 RUSSELL CORP ......................... 13,167 3,000 oUNITOG CO ............................ 67 636,800 VF CORP .............................. 29,253 524,999 WARNACO GROUP, INC (CLASS A) ......... 16,472 ----------- 87,299 ----------- MEN'S AND BOYS' SUITS AND COATS--0.03% 114 oDYLEX LTD ............................ 1 38 oDYLEX LTD WTS 05/31/98 ............... 0 270,700 oHARTMARX CORP ........................ 2,064 343,350 KELLWOOD CO .......................... 10,301 111,100 MARZOTTO & FIGLI S.P.A ............... 1,390 725,000 ONWARD KASHIYMA CO LTD ............... 8,420 128,900 OXFORD INDUSTRIES, INC ............... 4,189 ----------- 26,365 ----------- See notes to financial statements. -44- VALUE SHARES 000 ------ ---------- METAL CANS AND SHIPPING CONTAINERS--0.06% 212,204 oALLTRISTA CORP ....................... $ 6,021 134,024 BALL CORP ............................ 4,733 222,400 CLARCOR, INC ......................... 6,589 7,016 oCOLEP-COMPANHIA PORTUGUESA DE EMBALAGE ......................... 99 784,483 CROWN CORK & SEAL CO, INC ............ 39,322 267,000 PLM AB ............................... 3,735 5,000 oSILGAN HOLDINGS, INC ................. 163 2,800 oU.S. CAN CORP ........................ 47 ----------- 60,709 ----------- METAL FORGINGS AND STAMPINGS--0.20% 162,200 GENERAL HOUSEWARES CORP .............. 1,703 266,100 oHEXCEL CORP .......................... 6,636 297,450 oMAGNETI MARELLI ...................... 509 158,700 MASCOTECH, INC ....................... 2,916 3,117,342 ROCKWELL INTERNATIONAL CORP .......... 162,881 117,200 oTOWER AUTOMOTIVE, INC ................ 4,930 378,500 oWYMAN-GORDON CO ...................... 7,428 367,952 ZERO CORP ............................ 10,901 ----------- 197,904 ----------- METAL MINING SERVICES--0.00% 36,000 AVMIN LTD ............................ 43 15,096 JCI LIMITED .......................... 67 17,039 oMORRISON KNUDSEN CORP WTS 03/11/03 ........................ 49 ----------- 159 ----------- METAL SERVICES, NEC--0.00% 391,945 oMATERIAL SCIENCES CORP ............... 4,777 ----------- METALS AND MINERALS, EXCEPT PETROLEUM--0.01% 304,921 COMMERCIAL METALS CO ................. 9,624 8,300 PREUSSAG AKTIEGESELLSCHAFT AG ........ 2,534 1,400 RELIANCE STEEL & ALUMINUM CO ......... 42 ----------- 12,200 ----------- METALWORKING MACHINERY--0.08% 913,100 BLACK & DECKER CORP .................. 35,668 558,400 CINCINNATI MILACRON, INC ............. 14,484 277,031 KENNAMETAL, INC ...................... 14,354 5,000 LINCOLN ELECTRIC CO (CLASS A) ........ 180 108,000 MAKITA CORP .......................... 1,038 770,000 METAL MANUFACTURES LTD ............... 1,159 407,900 oMOHAWK INDUSTRIES, INC ............... 8,948 206,000 xoMOLTEN METAL TECHNOLOGY, INC ......... 19 131,400 NITTO KOHKI CO LTD ................... 1,435 3,700 oSPS TECHNOLOGIES, INC ................ 161 71,300 STARRETT (L.S.) CO (CLASS A) ......... 2,607 34,000 STARRETT (L.S.) CO (CLASS B) ......... 1,243 3,893 oWESTAIM CORP ......................... 19 ----------- 81,315 ----------- MILLWORK, PLYWOOD AND STRUCTURAL MEMBERS--0.01% 20,000 oAOKAM PERDANA BERHAD ................. 2 203,046 TJ INTERNATIONAL, INC ................ 5,025 2,100 oTRIANGLE PACIFIC CORP ................ 71 ----------- 5,098 ----------- MISCELLANEOUS AMUSEMENT, RECREATION SERVICES--0.11% 118,700 oANCHOR GAMING CO ..................... 6,618 186,500 oARGOSY GAMING CORP ................... 641 VALUE SHARES (000) ------ ---------- 29,050 oBALLY TOTAL FITNESS HOLDINGS CORP .... $ 635 21,100 oBOYD GAMING CORP ..................... 140 991,100 CARNIVAL CORP (CLASS A) .............. 54,882 521,084 oCIRCUS CIRCUS ENTERPRISES, INC ....... 10,682 210 oKUONI REISEN HOLDINGS (REGD) (CLASS B) 788 1,011,100 oMIRAGE RESORT, INC ................... 23,003 517,700 MULTI-PURPOSE HOLDINGS BERHAD ........ 133 73,446 oPREMIER PARKS, INC ................... 2,975 57,934 oPRESIDENT CASINOS, INC ............... 206 72,000 oSCIENTIFIC GAMES HOLDINGS CORP ....... 1,458 23,000 oSPEEDWAY MOTORSPORTS, INC ............ 571 2,453,600 oSYDNEY HARBOUR CASINO HOLDINGS LTD ... 2,326 926,400 TABCORP HOLDINGS LTD ................. 4,346 ----------- 109,404 ----------- MISCELLANEOUS APPAREL AND ACCESSORY STORES--0.08% 499,500 oCML GROUP, INC ....................... 1,655 96,050 oJACOBSON STORES, INC ................. 1,237 117,000 oNORTH FACE, INC ...................... 2,574 2,215,360 TJX COS, INC ......................... 76,153 ----------- 81,619 ----------- MISCELLANEOUS APPAREL AND ACCESSORIES--0.02% 1,200,000 oITTIERRE S.P.A ....................... 3,593 491,200 oNAUTICA ENTERPRISES, INC ............. 11,420 4,708,000 WING TAI HOLDINGS LTD ................ 5,504 ----------- 20,517 ----------- MISCELLANEOUS BUSINESS SERVICES--0.39% 8,916 ADECCO S.A. (BR) ..................... 2,589 2,446,000 ANTAH HOLDINGS BERHAD ................ 748 95,800 oAPAC TELESERVICES, INC ............... 1,293 9,000 ASSA ABLOY AB SERIES B ............... 238 13,100 oBORG-WARNER SECURITY CORP ............ 231 103,000 oCARIBINER INTERNATIONAL, INC ......... 4,584 426,346 CARLTON COMMUNICATIONS PLC ........... 3,283 397,000 oCHECKFREE CORP ....................... 10,719 145,491 COMPAGNIE GENERALE DES EAUX .......... 20,315 48,973 oCOMPAGNIE GENERALE DES EAUX WTS 05/02/01 ........................ 33 1,033,662 DAI NIPPON PRINTING CO LTD ........... 19,477 221,000 DAIWA KOSHO LEASE CO LTD ............. 901 486,430 EDISON ............................... 2,946 1,264,198 EQUIFAX, INC ......................... 44,800 35,300 ESSELTE AB SERIES B FREE ............. 716 4,700 FAIR ISSAC & CO, INC ................. 157 10,800 FLUGHAFEN WIEN AG .................... 429 228,000 GAKKEN CO LTD ........................ 321 652,995 GETRONICS NV ......................... 20,808 251,553 oHEALTHCARE COMPARE CO ................ 12,861 258,500 HENDERSON INVESTMENT LTD ............. 204 1,690,000 HENDERSON LAND DEVELOPMENT CO LTD .............................. 7,961 42,300 oINTERMEDIA COMMUNICATIONS, INC ....... 2,570 15,500 oISS INTERNATIONAL SERVICE SYSTEM AS SERIES B ......................... 570 87,000 KOKUYO CO LTD ........................ 1,506 366,800 oMETROMEDIA INTERNATIONAL GROUP, INC .. 3,485 99,000 MITSUBISHI WAREHOUSE & TRANSPORTATION CO LTD ............... 1,036 161,000 MITSUI SOKO CO LTD ................... 405 21,800 oNCO GROUP, INC ....................... 561 20,200 oNOVA CORP/GEORGIA .................... 505 895,700 oPAGING NETWORK, INC .................. 9,629 See notes to financial statements. -45- VALUE SHARES 000 ------ ---------- MISCELLANEOUS BUSINESS SERVICES--(CONTINUED) 3,500 oPAYMENTECH, INC ...................... $ 52 535,600 PITTSTON BRINKS GROUP CO ............. 21,558 349,700 oPLAYERS INTERNATIONAL, INC ........... 1,115 805,180 PROSEGUR COMPANIA DE SEGURIDAD S.A. ...................... 8,083 1,287,040 REUTERS HOLDINGS PLC ................. 14,157 146,000 SAP AG ............................... 44,374 28,000 SCRIBONA AB SERIES B FREE ............ 312 62,000 oSEATTLE FILMWORKS, INC ............... 690 188,300 SECOM CO LTD ......................... 12,078 3,390,000 SECURICOR PLC ........................ 15,981 43,500 SECURITAS AB SERIES B FREE ........... 1,316 272,700 oSITEL CORP ........................... 2,488 1,698 SOCIETE GENERAL DE SURVEILLANCE (BR) . 3,260 414,000 SOTHEBYS HOLDINGS, INC (CLASS A) ..... 7,659 209,200 STEWART INFORMATION SERVICES CORP .... 6,067 80,048 LYONNAISE DES EAUX S.A ............... 8,862 2,640 oSURVEILLANCE S.A., SOCIETE DE ........ 968 179,750 oSYLVAN LEARNING SYSTEMS, INC ......... 7,010 30,500 oTELESPECTRUM WORLDWIDE, INC .......... 111 63,000 oTELETECH HOLDINGS, INC ............... 717 223,000 TOKYO DOME CORP ...................... 1,489 264,000 TOKYO TOKEIBA CO LTD ................. 341 1,547,000 TOPPAN PRINTING CO LTD ............... 20,227 817,800 VIAD CORP ............................ 15,794 79,100 WACKENHUT CORP SERIES A .............. 1,834 348,206 WACKENHUT CORP SERIES B .............. 7,356 3,500,261 WHARF HOLDINGS LTD ................... 7,679 ----------- 387,459 ----------- MISCELLANEOUS CHEMICAL PRODUCTS--0.20% 1,627,000 ASAHI CHEMICAL INDUSTRY CO LTD ....... 5,531 98,700 BETZDEARBORN, INC .................... 6,027 822,400 CABOT CORP ........................... 22,719 554,057 oCYTEC INDUSTRIES, INC ................ 26,006 2,356 DESC S.A. DE CV SERIES C ............. 22 16,100 DYNO INDUSTRIER AS ................... 310 92,193 FULLER (H.B.) CO ..................... 4,564 300,000 KONISHI CO LTD ....................... 2,884 166,955 LEARONAL, INC ........................ 3,923 1,800 MACDERMID, INC ....................... 153 1,701,400 MORTON INTERNATIONAL, INC ............ 58,486 432,000 NAGASE & CO .......................... 1,263 239,600 NALCO CHEMICAL CORP .................. 9,479 543,000 NGK SPARK PLUG CO LTD ................ 3,090 276,900 oSCHERER (R.P.) CORP .................. 16,891 3,840 oSIKA FINANZ AG (BR) .................. 1,222 248,000 oSMITH INTERNATIONAL, INC ............. 15,221 312,000 THIOKOL CORP ......................... 25,350 ----------- 203,141 ----------- MISCELLANEOUS CONVERTED PAPER PRODUCTS--0.55% 23,800 oAMERICAN PAD & PAPER CO .............. 229 6,043,595 ARJO WIGGINS APPLETON PLC ............ 16,209 552,876 AVERY DENNISON CORP .................. 24,741 396,600 BEMIS, INC ........................... 17,475 35,000 BERJAYA GROUP BERHAD ................. 7 59,105 oCROWN VANTAGE, INC ................... 414 370,400 FIRST BRANDS CORP .................... 9,978 4,389,672 FORT JAMES CORP ...................... 167,905 386,500 KIMBERLY CLARK DE MEXICO S.A. DE CV SERIES A ............................ 1,894 5,137,044 KIMBERLY-CLARK CORP .................. 253,320 66,050 KONINKLIJKE KNP BT NV ................ 1,521 VALUE SHARES (000) ------ ---------- 145,500 oMAIL-WELL, INC ....................... $ 5,893 2,200 oMAYR-MELNHOF KARTON AG ............... 118 112,586 MEYER INTERNATIONAL PLC .............. 710 189,525 oPAXAR CORP ........................... 2,807 266,400 oPLAYTEX PRODUCTS, INC ................ 2,731 81,179 SAPPI LTD ............................ 409 317,300 oSHOREWOOD PACKAGING CORP ............. 8,488 823,465 SONOCO PRODUCTS CO ................... 28,564 ----------- 543,413 ----------- MISCELLANEOUS DURABLE GOODS--0.13% 38,533 xoBEN FRANKLIN RETAIL STORES, INC ...... 0 1,791,835 oCOSTCO COS, INC ...................... 79,961 59,000 DICKSON CONCEPTS INTERNATIONAL LTD ................... 86 104,500 oHA-LO INDUSTRIES, INC ................ 2,717 174,375 oHANDLEMAN CO ......................... 1,210 76,000 #oINCHCAPE MARKETING SERVICES .......... 64 3,635,000 MITSUBISHI CORP ...................... 28,795 3,285,000 MITSUI & CO LTD ...................... 19,505 ----------- 132,338 ----------- MISCELLANEOUS ELECTRICAL EQUIPMENT AND SUPPLIES--0.04% 122,269 oAPPLIED MAGNETICS CORP ............... 1,360 15,600 C&D TECHNOLOGIES, INC ................ 753 174,100 CAE, INC ............................. 1,363 147,300 oDREXLER TECHNOLOGY CORP .............. 1,510 163,500 oELECTRO SCIENTIFIC INDUSTRIES, INC ... 6,213 280,700 EXIDE CORP ........................... 7,263 201,000 FUJI MACHINE MANUFACTURING CO ........ 4,870 116,670 oHUTCHINSON TECHNOLOGY, INC ........... 2,552 328,660 JOHNSON ELECTRIC HOLDINGS LTD ........ 946 263,900 oKOMAG, INC ........................... 3,926 1,350,820 LUCASVARITY PLC ...................... 4,790 3,000 NOMA INDUSTRIES LTD (CLASS A) ........ 10 1,589,700 oOLIVETTI GROUP S.P.A ................. 962 35,400 STANDARD MOTOR PRODUCTS, INC (CLASS A) ........................... 799 ----------- 37,317 ----------- MISCELLANEOUS EQUIPMENT RENTAL AND LEASING--0.01% 4,000 oAARON RENTS, INC ..................... 78 429,000 oANIXTER INTERNATIONAL, INC ........... 7,079 10,100 oCORT BUSINESS SERVICES CORP .......... 402 51,800 oRENTAL SERVICE CORP .................. 1,272 303,543 THORN PLC ............................ 784 30,400 oUS RENTALS, INC ...................... 714 ----------- 10,329 ----------- MISCELLANEOUS FABRICATED METAL PRODUCTS--0.14% 406,800 AEROQUIP-VICKERS, INC ................ 19,959 2,100 oAMCAST INDUSTRIAL CORP ............... 48 442,566 CRANE CO ............................. 19,196 252,200 HARSCO CORP .......................... 10,876 526,788 ISCOR LTD ............................ 156 1,277,800 PARKER-HANNIFIN CORP ................. 58,619 338,200 POLARIS INDUSTRIES, INC .............. 10,336 55,500 SAMANCOR LTD ......................... 254 4,300 oSHAW GROUP, INC ...................... 99 47,600 SMC .................................. 4,210 318,600 STELCO, INC (CLASS A) ................ 2,104 249,300 WATTS INDUSTRIES, INC (CLASS A) ...... 7,058 205,600 oWHITTAKER CORP ....................... 2,262 ----------- 135,177 ----------- See notes to financial statements. -46- VALUE SHARES 000 ------ ---------- MISCELLANEOUS FABRICATED TEXTILE PRODUCTS--0.05% 69,800 AOYAMA TRADING CO LTD ................$ 1,251 355,850 COATS VIYELLA PLC .................... 536 246,400 COURTAULDS PLC ....................... 1,206 240,000 COURTAULDS TEXTILES PLC .............. 1,408 93,191 DAWSON INTERNATIONAL PLC ............. 104 203,000 oKANEBO LTD ........................... 148 600,000 KURABO INDUSTRIES LTD ................ 646 2,119,000 KURARAY CO LTD ....................... 17,601 176,000 NISSHINBO INDUSTRY, INC .............. 744 59,400 oPARAGON TRADE BRANDS, INC ............ 765 27,722 PILLOWTEX CORP ....................... 967 17,601,800 oPT INDO RAMA SYNTHETIC (LR) .......... 7,849 500 SHIMAMAURA CO LTD .................... 9 1,720,000 TEIJIN LTD ........................... 3,611 2,161,000 TORAY INDUSTRIES, INC ................ 9,723 661,000 TOYOBO CO LTD ........................ 803 194,000 oUNITIKA LTD .......................... 104 ----------- 47,475 ----------- MISCELLANEOUS FOOD AND KINDRED PRODUCTS--0.24% 211,000 ARIAKE JAPAN CO LTD .................. 6,897 144,000 oASIA FOOD & PROPERTIES LTD ........... 22 10,800 oASIA FOOD & PROPERTIES WTS 07/12/02 ........................ 1 522,839 BRL HARDY LTD ........................ 1,609 162,600 GOLDEN ENTERPRISES, INC .............. 1,098 100,000 GRUPO INDUSTRIAL BIMBO S.A. DE CV SERIES A ............................ 949 323,000 HOUSE FOODS CORP ..................... 4,223 101,000 KATOKICHI CO LTD ..................... 1,251 124,000 MARUHA CORP .......................... 113 881,100 MCCORMICK & CO, INC (NON-VOTE) ....... 24,671 110,000 MEFOS LTD ............................ 770 66,351 NESTLE S.A. (REGD) ................... 99,577 1,089,000 oNIPPON SUISAN KAISHA LTD ............. 1,382 187,000 NISSIN FOOD PRODUCTS CO LTD .......... 3,409 12,300 oPASCUAL HERMANOS S.A ................. 4 69,233 SANTISTA ALIMENTOS S.A ............... 96 65,000 SKYLARK CO LTD ....................... 625 1,236,400 UNILEVER NV CERTIFICATES ............. 76,234 327,320 UNIVERSAL FOODS CORP ................. 13,829 ----------- 236,760 ----------- MISCELLANEOUS FOOD STORES--0.03% 91,930 CASINO GUICHARD-PERRACHON S.A ........ 5,119 41,250 JERONIMO MARTINS SGPS S.A ............ 1,310 112,300 NATURES SUNSHINE PRODUCTS, INC ....... 2,920 23,800 oSONAE INVESTIMENTOS SGPS S.A ......... 964 532,800 oSTARBUCKS CORP ....................... 20,446 ----------- 30,759 ----------- MISCELLANEOUS FURNITURE AND FIXTURES--0.00% 252,900 SHELBY WILLIAMS INDUSTRIES, INC ...... 4,173 ----------- MISCELLANEOUS GENERAL MERCHANDISE STORES--0.04% 378,575 CASEYS GENERAL STORES, INC ........... 9,606 845,746 DOLLAR GENERAL CORP .................. 30,658 215,876 SPECIALTY STORES LTD ................. 155 42,000 WOOLTRU LTD .......................... 147 61,000 WOOLTRU LTD (CLASS N) (NON-VOTE) ..... 192 ----------- 40,758 ----------- VALUE SHARES (000) ------ ---------- MISCELLANEOUS INVESTING--0.57% 11,900 ALEXANDRIA REAL ESTATE EQUITIES, INC .$ 376 27,400 ALLIED CAPITAL COMMERCIAL CORP ....... 911 7,600 AMBASSADOR APARTMENTS, INC ........... 156 32,400 AMERICAN GENERAL HOSPITALITY CORP .... 867 87,100 AMERICAN HEALTH PROPERTIES, INC ...... 2,401 20,000 AMLI RESIDENTIAL PROPERTIES TRUST .... 445 79,000 ANGLOVAAL INDUSTRIES LTD ............. 146 97,500 APARTMENT INVESTMENT & MANAGEMENT CO ....................... 3,583 168,600 ARDEN REALTY GROUP, INC .............. 5,184 37,600 ASSOCIATED ESTATES REALTY CORP ....... 891 311,000 AVALON PROPERTIES, INC ............... 9,622 121,900 BAY APARTMENT COMMUNITIES, INC ....... 4,754 3,999,800 #oBB BIOVENTURES L.P. .................. 4,000 18,700 BEDFORD PROPERTY INVESTORS, INC ...... 409 71,400 BERKSHIRE REALTY CO, INC ............. 857 37,800 BOYKIN LODGING CO .................... 999 47,499 BRADLEY REAL ESTATE, INC ............. 997 167,900 BRE PROPERTIES, INC (CLASS A) ........ 4,722 35,500 BURNHAM PACIFIC PROPERTIES, INC ...... 544 29,100 oCAMBRIDGE SHOPPING CENTERS LTD ....... 293 94,500 CAMDEN PROPERTY TRUST ................ 2,930 957,436 CAPSTEAD MORTGAGE CORP ............... 19,089 205,000 CARRAMERICA REALTY CORP .............. 6,496 510,000 oCASTELLUM AB ......................... 5,078 72,000 CBL & ASSOCIATES PROPERTIES, INC ..... 1,778 46,900 CENTERPOINT PROPERTIES CORP .......... 1,647 24,500 CHARLES E. SMITH RESIDENTIAL REALTY .. 870 53,000 CHATEAU PROPERTIES, INC .............. 1,670 37,600 CHELSEA GCA REALTY, INC .............. 1,436 34,600 COLONIAL PROPERTIES TRUST ............ 1,042 28,800 COMMERCIAL NET LEASE REALTY, INC ..... 515 104,500 oCORNERSTONE PROPERTIES, INC .......... 2,005 24,700 COUSINS PROPERTIES, INC .............. 724 959,400 CRESCENT REAL ESTATE EQUITIES, INC ... 37,776 72,410 oCRESECENT OPERATING, INC ............. 1,774 82,600 CRIIMI MAE, INC ...................... 1,239 17,500 CROWN AMERICAN REALTY TRUST .......... 163 119,800 DEVELOPERS DIVERSIFIED REALTY CORP ... 4,582 298,630 DUKE REALTY INVESTMENTS, INC ......... 7,242 169,979 DYNEX CAPITAL, INC ................... 2,263 13,400 EASTGROUP PROPERTIES, INC ............ 290 42,289 oECHELON INTERNATIONAL CORP ........... 949 115,600 EQUITY INNS, INC ..................... 1,705 635,290 oEQUITY OFFICE PROPERTIES TRUST ....... 20,051 446,912 EQUITY RESIDENTIAL PROPERTIES TRUST CO ............................ 22,597 19,700 ESSEX PROPERTY TRUST, INC ............ 690 58,500 EXCEL REALTY TRUST, INC .............. 1,843 138,100 FEDERAL REALTY INVESTMENT TRUST ...... 3,556 567,600 FELCOR SUITE HOTELS, INC ............. 20,150 345,800 FIRST INDUSTRIAL REALTY TRUST, INC ... 12,492 60,700 FIRST UNION REAL ESTATE INVESTMENTS .. 986 195,700 GENERAL GROWTH PROPERTIES, INC ....... 7,070 113,000 oGLENBOROUGH REALTY TRUST, INC ........ 3,348 153,900 GLIMCHER REALTY TRUST ................ 3,472 24,400 GREAT LAKES REIT, INC ................ 474 638,700 HEALTH AND RETIREMENT PROPERTY TRUST ...................... 12,774 95,400 HEALTH CARE PROPERTY INVESTORS, INC ...................... 3,607 64,177 HEALTH CARE REIT, INC ................ 1,805 60,000 HEALTHCARE REALTY TRUST, INC ......... 1,736 259,900 HIGHWOODS PROPERTIES, INC ............ 9,665 See notes to financial statements. -47- VALUE SHARES 000 ------ ---------- MISCELLANEOUS INVESTING--(CONTINUED) 2,600 HOME PROPERTIES OF NEW YORK, INC .....$ 71 97,553 oHOMESTEAD VILLAGE, INC ............... 1,469 18,300 oHORIZON GROUP, INC ................... 200 143,000 HOSPITALITY PROPERTIES TRUST ......... 4,701 11,400 IMPERIAL CREDIT MORTGAGE HOLDINGS .... 204 963,240 INMC MORTGAGE HOLDINGS, INC .......... 22,576 81,200 INNKEEPERS USA TRUST ................. 1,259 47,100 IRT PROPERTY CO ...................... 556 14,200 IRVINE APARTMENT COMMUNITIES, INC .... 452 39,000 JDN REALTY CORP ...................... 1,263 75,000 JP REALTY, INC ....................... 1,945 178,200 KEPPEL LAND LTD ...................... 245 43,000 KILROY REALTY CORP ................... 1,236 303,150 KIMCO REALTY CORP .................... 10,686 1,400 KOGER EQUITY, INC .................... 31 298,500 LIBERTY PROPERTY TRUST CO ............ 8,526 495,100 LNR PROPERTY CORP .................... 11,697 33,700 LTC PROPERTIES, INC .................. 699 81,200 MACERICH CO .......................... 2,314 271,300 MACK-CALI REALTY CORP ................ 11,123 73,600 MANUFACTURED HOME COMMUNITIES, INC .................... 1,987 866,644 oMEDITRUST CORP PAIRED ................ 31,741 8,927 MELCO INTERNATIONAL DEVELOPMENT LTD ..................... 2 30,300 MERIDIAN INDUSTRIAL TRUST, INC ....... 773 361,456 MERRY LAND & INVESTMENT CO, INC ...... 8,268 28,800 MGI PROPERTIES, INC .................. 691 15,600 MID-AMERICA APARTMENT COMMUNITIES, INC .................... 446 40,000 MILLS CORP ........................... 980 37,800 NATIONAL GOLF PROPERTIES, INC ........ 1,240 80,900 NATIONAL HEALTH INVESTORS, INC ....... 3,388 181,100 NATIONWIDE HEALTH PROPERTIES, INC .... 4,618 490,228 NEW PLAN REALTY TRUST ................ 12,501 26,000 OMEGA HEALTHCARE INVESTORS, INC ...... 1,004 33,600 PACIFIC GULF PROPERTIES, INC ......... 798 150,804 PATRIOT AMERICAN HOSPITALITY, INC .... 4,345 1,400 oPEC ISRAEL ECONOMIC CORP ............. 30 98,340 POST PROPERTIES, INC ................. 3,995 186,400 PRENTISS PROPERTIES TRUST ............ 5,208 18,300 PRICE ENTERPRISES, INC ............... 334 15,800 PRICE REIT, INC ...................... 647 4,575 oPRICESMART, INC ...................... 80 38,300 PRIME RETAIL, INC .................... 543 466,900 PUBLIC STORAGE, INC .................. 13,715 87,200 REALTY INCOME CORP ................... 2,218 156,100 RECKSON ASSOCIATES REALTY CORP ....... 3,961 193,400 REDWOOD TRUST, INC ................... 3,941 29,100 REGENCY REALTY CORP .................. 806 337,800 RFS HOTEL INVESTORS, INC ............. 6,735 5,900 SAUL CENTERS, INC .................... 107 61,225 SECURITY CAPITAL ATLANTIC, INC ....... 1,293 33,398 oSECURITY CAPITAL GROUP, INC WTS 09/18/98 ........................ 175 25,500 SECURITY CAPITAL INDUSTRIAL TRUST .... 634 592,728 SECURITY CAPITAL PACIFIC TRUST ....... 14,374 98,900 SHURGARD STORAGE CENTERS, INC ........ 2,868 601,160 SIMON DEBARTOLO GROUP, INC ........... 19,650 1,781,012 SINO LAND CO ......................... 1,075 17,400 SOVRAN SELF STORAGE, INC ............. 564 264,100 SPIEKER PROPERTIES, INC .............. 11,323 15,100 STORAGE TRUST REALTY ................. 397 113,300 STORAGE USA, INC ..................... 4,525 52,000 SUMMIT PROPERTIES, INC ............... 1,099 VALUE SHARES (000) ------ ---------- 62,900 SUN COMMUNITIES, INC .................$ 2,260 21,700 SUNSTONE HOTEL INVESTORS, INC ........ 374 1,900 TANGER FACTORY OUTLET CENTERS, INC ... 58 615,600 TAUBMAN CENTERS, INC ................. 8,003 187,581 THORNBURG MORTGAGE ASSET CORP ........ 3,095 29,000 TOWN & COUNTRY TRUST ................. 513 54,700 TRINET CORPORATE REALTY TRUST, INC ... 2,116 792,151 UNITED DOMINION REALTY TRUST, INC .... 11,041 5,900 UNIVERSAL HEALTH REALTY INCOME TRUST ........................ 129 18,700 URBAN SHOPPING CENTERS, INC .......... 652 161,100 VORNADO REALTY TRUST ................. 7,562 15,800 WALDEN RESIDENTIAL PROPERTIES, INC ... 403 66,800 WASHINGTON REAL ESTATE INVESTMENT TRUST .................... 1,119 22,400 WEEKS CORP ........................... 717 5,425 oWELLSFORD REAL PROPERTIES, INC ....... 85 45,200 WESTFIELD AMERICA, INC ............... 768 7,600 WINSTON HOTELS, INC .................. 100 ----------- 565,063 ----------- MISCELLANEOUS MANUFACTURES--0.10% 507,800 ARMSTRONG WORLD INDUSTRIES, INC ...... 37,958 432,574 oAUTOTOTE CORP (CLASS A) .............. 1,054 359,400 oBLYTH INDUSTRIES, INC ................ 10,760 618,900 BRADY (W.H.) CO (CLASS A) ............ 19,186 13,300 CCL INDUSTRIES, INC (CLASS B) ........ 158 1,738 oDLW AG ............................... 198 630,388 INTERNATIONAL GAME TECHNOLOGY CO ..... 15,917 1,700 oLYDALL, INC .......................... 33 3,402,378 PACIFIC DUNLOP LTD ................... 7,205 2,600 oRADEX HERAKLITH INDUSTRIEBETEIL AG ... 89 62,300 oSODAK GAMING, INC .................... 397 68,000 oVARITRONIX INTERNATIONAL LTD ......... 117 295,400 oWMS INDUSTRIES, INC .................. 6,240 ----------- 99,312 ----------- MISCELLANEOUS METAL ORES--0.10% 86,200 ABERFOYLE LTD ........................ 140 134,000 oACINDAR S.A. (CLASS B) ............... 319 35,065 ALCAN ALUMINIUM CO LTD (U.S.) ........ 969 1,733 ALUSUISSE LONZA HOLDINGS AG (BR) ..... 1,655 7,095 ALUSUISSE LONZA HOLDINGS AG (REGD) ... 6,825 489,409 ASHTON MINING LTD .................... 430 164,800 CAMECO CORP .......................... 5,343 262,100 DELTA GOLD NL ........................ 276 33,500 ELKEM AS ............................. 445 711,000 FURUKAWA ELECTRIC CO LTD ............. 3,057 144,000 GRUPO MEXICO S.A. SERIES B ........... 536 88,236 HULLAS DEL COTO CORTES S.A ........... 1,853 5,746 IMETAL S.A ........................... 714 19,300 IMPALA PLATINUM HOLDINGS LTD ......... 184 110,000 INDUSTRIAS PENOLES S.A ............... 490 539,000 JAPAN ENERGY CORP .................... 510 376,109 JOHNSON MATTHEY PLC .................. 3,351 726,600 MALAYSIA MINING CORP BERHAD .......... 286 6,621,470 MIM HOLDINGS LTD ..................... 4,056 2,225,000 MITSUBISHI MATERIALS CORP ............ 3,594 2,508,000 MITSUI MINING & SMELTING CO LTD ...... 10,107 647,155 oNEWCREST MINING LTD .................. 704 1,549,000 NIPPON LIGHT METAL CO LTD ............ 2,264 2,298,051 NORTH LTD ............................ 6,053 52,500 PLUTONIC RESOURCES LTD ............... 146 1,950,426 QCT RESOURCES LTD .................... 1,576 289,292 RGC LTD .............................. 441 88,600 RIO ALGOM LTD ........................ 1,495 1,109,169 RIO TINTO LTD ........................ 12,939 150,000 RIO TINTO PLC (BR) ................... 1,814 See notes to financial statements. -48- VALUE SHARES 000 ------ ---------- MISCELLANEOUS METAL ORES--(CONTINUED) 532,271 RIO TINTO PLC (REGD) .................$ 6,179 518,008 SMITH (HOWARD) LTD ................... 4,300 290,300 oSONS OF GWALIA NL .................... 662 46,000 oSTILLWATER MINING CO ................. 771 121,000 STRAITS TRADING CO ................... 144 577,000 SUMITOMO METAL MINING CO LTD ......... 1,908 39,300 oUNION MINIERE GROUP S.A .............. 2,726 1,300 VAAL REEFS EXPLORATION & MINING CO LTD .............................. 52 3,798,213 WMC LTD .............................. 13,241 ----------- 102,555 ----------- MISCELLANEOUS NONDURABLE GOODS--0.01% 95,900 oDEPARTMENT 56, INC ................... 2,757 115,150 RUSS BERRIE & CO, INC ................ 3,023 1,062,380 SWEDISH MATCH CO ..................... 3,548 ----------- 9,328 ----------- MISCELLANEOUS NONMETALLIC MINERAL PRODUCTS--0.32% 1,114,200 CERAMCO CORP LTD ..................... 938 3,881,600 MINNESOTA MINING & MANUFACTURING CO .................... 318,534 ----------- 319,472 ----------- MISCELLANEOUS NONMETALLIC MINERALS--0.00% 258,800 JOHNS MANVILLE CORP .................. 2,604 ----------- MISCELLANEOUS PERSONAL SERVICES--0.03% 612,300 BLOCK (H&R), INC ..................... 27,439 90,100 oTHERMOLASE CORP ...................... 946 ----------- 28,385 ----------- MISCELLANEOUS PETROLEUM AND COAL PRODUCTS--0.48% 335,600 AMERADA HESS CORP .................... 18,416 29,531,580 ENTE NAZIONALE IDROCARBURI S.P.A ..... 167,650 4,777,726 oTEXACO, INC .......................... 259,789 216,500 oWD-40 CO ............................. 6,279 674,400 WITCO CORP ........................... 27,524 ----------- 479,658 ----------- MISCELLANEOUS PLASTICS PRODUCTS, NEC--0.63% 79,647 AFRICAN OXYGEN LTD ................... 214 384,413 APTARGROUP, INC ...................... 21,335 8,000 oBARMAG AG ............................ 1,735 34,000 CYDSA S.A. SERIES A .................. 97 1,010,000 DENKI KAGKU KOGYO .................... 1,530 2,168,900 DOW CHEMICAL CO ...................... 220,143 2,800 oFURON CO ............................. 58 219,750 MIRAI INDUSTRY CO LTD ................ 2,451 4,245,800 MONSANTO CO .......................... 178,324 839,600 PREMARK INTERNATIONAL, INC ........... 24,348 1,172,300 RAYCHEM CORP ......................... 50,482 931,000 RUBBERMAID, INC ...................... 23,275 417,677 SCHULMAN (A.), INC ................... 10,494 455,600 oSEALED AIR CORP ...................... 28,133 848,780 SOLUTIA, INC ......................... 22,652 2,900 SPARTECH CORP ........................ 44 236,200 oSYNETIC, INC ......................... 8,621 266,995 TREDEGAR INDUSTRIES, INC ............. 17,588 594,300 TUPPERWARE CORP ...................... 16,566 155,780 WHITE MARTINS S.A .................... 228 ----------- 628,318 ----------- VALUE SHARES (000) ------ ---------- MISCELLANEOUS PRIMARY METAL PRODUCTS--0.00% 367,100 oFANSTEEL, INC ........................ $ 3,120 19,000 oSPECIAL METALS CORP .................. 342 ----------- 3,462 ----------- MISCELLANEOUS PUBLISHING--0.02% 62,270 FILIPACCHI MEDIAS S.A ................ 12,938 36,900 oINDEPENDENT NEWSPAPERS PLC ........... 202 177,000 KOMORI CORP .......................... 2,641 1,272,000 SOUTH CHINA MORNING POST ............. 895 ----------- 16,676 ----------- MISCELLANEOUS SHOPPING GOOD STORES--0.28% 9,300 oAMAZON. COM, INC ..................... 560 305,100 oBARNES & NOBLE, INC .................. 10,183 802,900 oBORDERS GROUP, INC ................... 25,141 170,400 oFABRI-CENTERS OF AMERICA (CLASS A) ... 3,802 245,800 oFABRI-CENTERS OF AMERICA (CLASS B) ... 5,085 42,061 GUILBERT S.A ......................... 5,999 249,278 HANCOCK FABRICS, INC ................. 3,615 256,300 oJUMBOSPORTS, INC ..................... 384 74,900 oMICHAELS STORES, INC ................. 2,191 1,554,498 oOFFICE DEPOT, INC .................... 37,211 1,732,700 oOFFICEMAX, INC ....................... 24,691 96,000 PLAYMATES TOYS HOLDINGS LTD .......... 9 537,700 oTHE SPORTS AUTHORITY, INC ............ 7,931 4,588,741 oTOYS R US, INC ....................... 144,259 375,000 oZALE CORP ............................ 8,625 ----------- 279,686 ----------- MISCELLANEOUS TEXTILE GOODS--0.01% 178,500 oGOLD ZACK AG ......................... 13,104 17,100 oPOLYMER GROUP, INC ................... 162 ----------- 13,266 ----------- MISCELLANEOUS TRANSPORTATION EQUIPMENT--0.01% 551,800 ARCTIC CAT, INC ...................... 5,346 139,700 FLEETWOOD ENTERPRISES, INC ........... 5,929 400 oTHOR INDUSTRIES, INC ................. 14 ----------- 11,289 ----------- MISCELLANEOUS WOOD PRODUCTS--0.05% 10,700 oABT BUILDING PRODUCTS CORP ........... 193 2,048,980 AMCOR LTD ............................ 9,012 85,970 CARTIERE BURGO S.P.A ................. 515 98,000 oDAISHOWA PAPER MANUFACTURING CO LTD .............................. 543 110,000 JAYA TIASA HOLDINGS BERHAD ........... 202 73,300 MADERAS Y SINTETICOS S.A. ADR ........ 696 118,000 MITSUBISHI PAPER MILLS LTD ........... 166 16,000 MO OCH DOMSJO AB SERIES B FREE ....... 413 1,455,000 NIPPON PAPER INDUSTRIES CO ........... 5,729 22,500 NORSKE SKOGINDUSTRIER SERIES A ....... 653 2,400 NORSKE SKOGINDUSTRIER SERIES B ....... 65 1,310,666 OJI PAPER CO LTD ..................... 5,232 406,140 SCA AB SERIES B ...................... 9,137 88,000 oSETTSU CORP .......................... 45 1,643,371 STOCKLAND TRUST GROUP (UNITS) ........ 3,809 454,450 STORA KOPPARBERG BERGSLAGS SERIES A FREE ....................... 5,727 122,250 STORA KOPPARBERG BERGSLAGS SERIES B FREE ....................... 1,518 173,900 ZURN INDUSTRIES, INC ................. 5,467 ----------- 49,122 ----------- See notes to financial statements. -49- VALUE SHARES 000 ------ ---------- MOBILE HOME DEALERS--0.02% 514,500 OAKWOOD HOMES CORP ...................$ 17,075 ----------- MORTGAGE BANKERS AND BROKERS--0.40% 190,700 AAMES FINANCIAL CORP ................. 2,467 273,800 AMMB HOLDINGS BERHAD ................. 179 150,000 oBHW HOLDINGS AG ...................... 2,461 99,400 oCITYSCAPE FINANCIAL CORP ............. 50 21,400 oCONTIFINANCIAL CORP .................. 539 611,095 COUNTRYWIDE CREDIT INDUSTRIES, INC ... 26,201 3,300 oDELTA FINANCIAL CORP ................. 44 5,277,934 FIRST UNION CORP ..................... 270,494 500 FUND AMERICAN ENTERPRISES HOLDINGS, INC ....................... 61 1,026,800 GREEN TREE FINANCIAL CORP ............ 26,889 67,400 oHOMESIDE, INC ........................ 1,858 2,500 oIMC MORTGAGE CO ...................... 30 450,800 oIMPERIAL CREDIT INDUSTRIES, INC ...... 9,241 286,200 PMI GROUP, INC ....................... 20,696 291,748 PULTE CORP ........................... 12,199 2,625 RESOURCE BANCSHARES MORTGAGE GROUP, INC ................. 43 285,700 RYLAND GROUP, INC .................... 6,714 946 SIRROM CAPITAL CORP .................. 49 700 oSOUTHERN PACIFIC FUNDING CORP ........ 9 283,000 UNITED COS FINANCIAL CORP ............ 4,387 268,504 UNITRIN, INC ......................... 17,352 ----------- 401,963 ----------- MOTION PICTURE PRODUCTION AND SERVICES--0.66% 5,974,110 DISNEY (WALT) CO ..................... 591,810 140,900 KING WORLD PRODUCTIONS, INC .......... 8,137 1,540,848 oLIBERTY MEDIA GROUP (CLASS A) ........ 55,856 250,000 FILMES LUSOMUNDO (NON-VOTE) .......... 2,291 94,600 oPIXAR, INC ........................... 2,046 29,500 oSPELLING ENTERTAINMENT GROUP, INC .... 207 266,000 TOEI CO .............................. 972 ----------- 661,319 ----------- MOTION PICTURE THEATERS--0.02% 132,750 oAMC ENTERTAINMENT, INC ............... 2,954 44,080 oGC COS, INC .......................... 2,088 166,808 HARCOURT GENERAL, INC ................ 9,133 900 oMOVIE GALLERY, INC ................... 3 160,000 oREGAL CINEMAS, INC ................... 4,460 ----------- 18,638 ----------- MOTOR VEHICLES AND EQUIPMENT--2.06% 135,200 ARVIN INDUSTRIES, INC ................ 4,504 843,374 AUTOLIV, INC ......................... 27,620 2,263,895 BRIDGESTONE CORP ..................... 49,275 4,222,558 CHRYSLER CORP ........................ 148,581 182,600 COACHMEN INDUSTRIES, INC ............. 3,937 61,000 oCONSORCIO G GRUPO DINA S.A. DE CV .... 83 236,000 CYCLE & CARRIAGE LTD ................. 973 1,062,060 DAIMLER BENZ AG ...................... 74,541 1,157,780 DANA CORP ............................ 54,995 192,700 DANAHER CORP ......................... 12,164 977,400 DENSO CORP ........................... 17,665 872,034 EATON CORP ........................... 77,829 341,200 ECHLIN, INC .......................... 12,347 600 EXCEL INDUSTRIES, INC ................ 11 355,000 EXEDY CORP ........................... 2,700 7,500 FABRICA DE AUTOMOVILES RENAULT S.A ... 185 VALUE SHARES (000) ------ ---------- 357,300 FAG KUGELFISCHER (GEORGE) SCHAEFER AG .........................$ 4,719 7,126,884 FIAT S.P.A ........................... 20,754 366,667 FIAT S.P.A. (PRIV) ................... 560 296,997 FIAT S.P.A. DI RISP .................. 492 9,575,148 FORD MOTOR CO ........................ 466,190 1,022,755 FUTURIS CORP LTD ..................... 1,120 6,017,476 GENERAL MOTORS CORP .................. 364,809 1,626,640 GENERAL MOTORS CORP (CLASS H) ........ 60,084 89,120 oHAYES LEMMERZ INTERNATIONAL, INC ..... 2,495 1,944,000 HONDA MOTOR CO LTD ................... 71,617 1,193,000 ILLINOIS TOOL WORKS, INC ............. 71,729 1,604,300 oLEAR CORP ............................ 76,204 20,000 LUCASVARITY PLC ADR .................. 698 118,000 MAGNA INTERNATIONAL, INC ............. 7,388 5,000 MAN AG (STAMM) ....................... 1,449 2,537,947 MERITOR AUTOMOTIVE, INC .............. 53,456 203,870 MODINE MANUFACTURING CO .............. 6,957 726,900 oNAVISTAR INTERNATIONAL CORP .......... 18,036 3,394,000 NISSAN MOTOR CO LTD .................. 14,096 208,700 PACCAR, INC .......................... 10,957 7,922 PENDRAGON PLC ........................ 35 415,000 PERUSAHAAN OTOMOBIL NASIONAL BERHAD .............................. 405 91,606 PEUGEOT S.A .......................... 11,557 160,000 PININFARINA S.P.A .................... 2,916 2,686,649 PIRELLI S.P.A ........................ 7,193 97,500 REGAL-BELOIT CORP .................... 2,882 51,771 RENAULT ARGENTINA S.A ................ 72 297,375 SIMPSON INDUSTRIES, INC .............. 3,494 87,200 SMITH (A.O.) CORP .................... 3,684 346,750 SPARTAN MOTORS, INC .................. 2,146 3,900 SPX CORP ............................. 269 64,894 oSTRATTEC SECURITY CORP ............... 1,655 119,000 SUPERIOR INDUSTRIES INTERNATIONAL, INC .................. 3,191 493,000 TAN CHONG MOTOR HOLDINGS BERHAD ...... 215 500,000 oTATA ENGINEERNG & LOCOMOTIVE CO LTD ................... 4,168 341,100 TELEFLEX, INC ........................ 12,877 6,366,880 TOYOTA MOTOR CORP .................... 183,139 150,512 VALEO S.A ............................ 10,213 47,340 VOLKSWAGEN AG ........................ 26,644 143,000 VOLVO AB SERIES A .................... 3,821 711,470 VOLVO AB SERIES B FREE ............... 19,099 274,150 WABASH NATIONAL CORP ................. 7,796 5,000 WALBRO CORP .......................... 67 399,100 WINNEBAGO INDUSTRIES, INC ............ 3,542 167,000 YAMAHA CORP .......................... 1,901 ----------- 2,054,201 ----------- MOTOR VEHICLES, PARTS, AND SUPPLIES--0.04% 155,700 oAPS HOLDING CORP ..................... 389 125,000 EDARAN OTOMOBIL NASIONAL BERHAD ...... 255 965,800 GENUINE PARTS CO ..................... 32,777 204,000 oINSURANCE AUTO AUCTIONS, INC ......... 2,346 43,503 MCCARTHY RETAIL LTD .................. 89 223,050 oTBC CORP ............................. 2,133 ----------- 37,989 ----------- MOTORCYCLES, BICYCLES, AND PARTS--0.05% 1,612,100 HARLEY DAVIDSON, INC ................. 44,131 264,225 HUFFY CORP ........................... 3,567 ----------- 47,698 ----------- See notes to financial statements. -50- VALUE SHARES 000 ------ ---------- NATURAL GAS LIQUIDS--0.10% 903,700 COLUMBIA GAS SYSTEMS, INC ............$ 70,997 74,100 NEW JERSEY RESOURCES CORP ............ 2,969 419,182 oTEJAS GAS CORP ....................... 25,675 ----------- 99,641 ----------- NEW AND USED CAR DEALERS--0.06% 1,342,900 oAUTOZONE, INC ........................ 38,944 24,600 DART GROUP CORP (CLASS A) ............ 2,854 5,019,512 INCHCAPE PLC ......................... 13,338 98,700 oUGLY DUCKLING CORP ................... 839 ----------- 55,975 ----------- NEWSPAPERS--0.59% 20,052 AGENCE HAVAS S.A ..................... 1,443 190,400 BELO (A.H.) CORP SERIES A ............ 10,686 180,400 BELO (A.H.) CORP SERIES B ............ 10,125 145,500 CENTRAL NEWSPAPERS, INC (CLASS A) .... 10,758 400 DOW JONES & CO, INC .................. 21 416,800 DOW JONES & CO, INC (CLASS B) ........ 22,377 2,050,150 ELSEVIER UTIGEVERSMIJ NV ............. 33,170 1,124,000 EMAP PLC ............................. 16,784 1,949,300 GANNETT CO, INC ...................... 120,491 415,400 HARTE-HANKS COMMUNICATIONS, INC ...... 15,422 5,100 HOLLINGER INTERNATIONAL, INC ......... 71 42,300 oJOURNAL REGISTER CO .................. 888 486,200 KNIGHT-RIDDER, INC ................... 25,282 414,800 LEE ENTERPRISES, INC ................. 12,263 14,400 LEE ENTERPRISES, INC (CLASS B) ....... 426 3,300 MCLATCHY NEWSPAPERS, INC (CLASS A) ........................... 90 168,200 MEDIA GENERAL, INC (CLASS A) ......... 7,033 9,000 oNEW STRAITS TIMES PRESS BERHAD ....... 11 598,916 NEW YORK TIMES CO (CLASS A) .......... 39,603 6,333,056 NEWS CORP LTD ........................ 34,952 1,189,471 NEWS CORP LTD ADR (LTD-VOTE) ......... 23,641 1,546,000 ORIENTAL PRESS GROUP ................. 469 60,000 oORIENTAL PRESS GROUP WTS 02/10/98 .... 1 1,200 PULITZER PUBLISHING CO ............... 75 86,700 QUEBECOR, INC (CLASS B) .............. 1,557 72,300 RURAL PRESS LTD ...................... 207 382,265 SCRIPPS (E.W.) CO (CLASS A) .......... 18,516 172,280 SINGAPORE PRESS HOLDINGS LTD (FR) .... 2,157 191,200 SOUTHAM, INC ......................... 3,641 168,159 TIMES MIRROR CO SERIES A ............. 10,342 762,159 TIMES MIRROR CO SERIES C ............. 46,873 40,350 TORSTAR CORP (CLASS B) ............... 1,410 1,262,200 TRIBUNE CO ........................... 78,572 428,000 VERENIGDE NEDERLANDSE UITGEVERSBED ........................ 12,076 50,700 WASHINGTON POST CO (CLASS B) ......... 24,666 ----------- 586,099 ----------- NONFERROUS FOUNDRIES (CASTINGS)--0.01% 293,500 STANDEX INTERNATIONAL CORP ........... 10,346 ----------- NONFERROUS ROLLING AND DRAWING--0.06% 9,400 oAFC CABLE SYSTEMS, INC ............... 280 296,300 BELDEN, INC .......................... 10,445 239,000 oCABLE DESIGN TECHNOLOGIES CO ......... 9,291 4,500 CENTURY ALUMINUM CO .................. 61 3,000 oCHASE INDUSTRIES, INC ................ 77 VALUE SHARES (000) ------ ---------- 9,000 COMMONWEALTH INDUSTRIES, INC .........$ 131 510,533 oCOMMSCOPE, INC ....................... 6,860 38,600 oENCORE WIRE CORP ..................... 1,185 80,300 oESSEX INTERNATIONAL, INC ............. 2,389 91,100 oGENERAL CABLE CORP ................... 3,297 54,600 MADECO S.A. ADR ...................... 833 91,700 oMUELLER INDUSTRIES, INC .............. 5,410 3,900 NKT HOLDINGS AS ...................... 311 84,200 oOREGON METALLURICAL CORP ............. 2,810 222,500 oRMI TITANIUM CO ...................... 4,450 21,700 oSUPERIOR TELECOM, INC ................ 750 209,500 oWOLVERINE TUBE, INC .................. 6,495 ----------- 55,075 ----------- NONRESIDENTIAL BUILDING CONSTRUCTION--0.03% 2,465,525 FLETCHER CHALLENGE LTD (BUILDING DIVISION) ................. 5,040 2,000,000 JARVIS PLC ........................... 13,097 233,360 SKANSKA AB SERIES B FREE ............. 9,573 ----------- 27,710 ----------- NONSTORE RETAILERS--0.26% 111,200 BLAIR CORP ........................... 1,918 44,500 oBRYLANE, INC ......................... 2,192 112,700 oCDW COMPUTER CENTERS, INC ............ 5,874 400 oDELIA'S, INC ......................... 9 640,400 FINGERHUT COS, INC ................... 13,689 56,800 oGLOBAL DIRECTMAIL CORP ............... 983 274,375 oHANOVER DIRECT, INC .................. 806 260,700 oLANDS END, INC ....................... 9,141 190,490 xoLURIA (L.) & SON, INC ................ 1 155,700 oMICRO WAREHOUSE, INC ................. 2,170 8,900 oMSC INDUSTRIAL DIRECT CO (CLASS A) ........................... 374 65,000 oNATIONAL MEDIA CORP .................. 211 4,450,700 SEARS ROEBUCK & CO ................... 201,394 569,112 oSERVICE MERCHANDISE, INC ............. 1,209 227,700 STANHOME, INC ........................ 5,849 610,300 oVIKING OFFICE PRODUCTS, INC .......... 13,312 ----------- 259,132 ----------- NURSING AND PERSONAL CARE FACILITIES--0.07% 929,361 oBEVERLY ENTERPRISES, INC ............. 12,082 6,000 oEXTENDICARE, INC (MULTI-VOTE) ........ 84 64,000 oEXTENDICARE, INC (SUB-VOTE) (CLASS A) ........................... 872 373,600 oGENESIS HEALTH VENTURES, INC ......... 9,854 327,800 oHEALTH CARE & RETIREMENT CORP ........ 13,194 115,937 oLCA-VISION, INC ...................... 130 525,750 MANOR CARE, INC ...................... 18,401 334,400 oMARINER HEALTH GROUP, INC ............ 5,434 132,624 oPARAGON HEALTH NETWORK, INC .......... 2,594 54,800 oSUNRISE ASSISTED LIVING, INC ......... 2,363 ----------- 65,008 ----------- OFFICE FURNITURE--0.05% 161,300 HON INDUSTRIES, INC .................. 9,517 401,796 KIMBALL INTERNATIONAL, INC (CLASS B) ........................... 7,408 24,600 oKNOLL, INC ........................... 790 231,800 MILLER (HERMAN), INC ................. 12,648 642,319 U.S. INDUSTRIES, INC ................. 19,350 ----------- 49,713 ----------- See notes to financial statements. -51- VALUE SHARES 000 ------ ---------- OFFICES AND CLINICS OF MEDICAL DOCTORS--0.03% 200 oINTEGRATED SILICON SOLUTION, INC ..... $ 2 331,200 oMAGELLAN HEALTH SERVICES, INC ........ 7,121 5,000 oNATIONAL SURGERY CENTERS, INC ........ 131 507,187 oPHYCOR, INC .......................... 13,694 300,100 oPHYSICIAN SALES & SERVICE, INC ....... 6,452 222,700 oPHYSICIANS RESOURCE GROUP, INC ....... 974 106,400 oSIERRA HEALTH SERVICES, INC .......... 3,578 43,233 oTOTAL RENAL CARE HOLDINGS, INC ....... 1,189 ----------- 33,141 ----------- OFFICES AND CLINICS OF DENTISTS--0.00% 150,300 oORTHODONTIC CENTERS OF AMERICA, INC ........................ 2,499 ----------- OFFICES OF OTHER HEALTH PRACTITIONERS--0.00% 305,600 oPHYSICIAN RELIANCE NETWORK, INC ...... 3,190 ----------- OIL AND GAS EXTRACTION--3.58% 225,000 oABACAN RESOURCE CORP ................. 351 115,000 ALBERTA ENERGY LTD ................... 2,230 4,273,500 AMOCO CORP ........................... 363,782 243,064 ANADARKO PETROLEUM CORP .............. 14,751 151,944 oANDERSON EXPLORATION LTD ............. 1,486 3,992,688 APACHE CORP .......................... 139,994 1,905,900 ASHLAND, INC ......................... 102,323 248,060 oBARNETT RESOURCES CORP ............... 7,504 19,300 BERRY PETROLEUM CO (CLASS A) ......... 337 3,795,000 BRITISH-BORNEO PETROLEUM SYNDICATE PLC ....................... 26,413 101,700 oBROWN (TOM), INC ..................... 1,958 3,373,813 BURLINGTON RESOURCES, INC ............ 151,189 404,300 CABOT OIL & GAS CORP (CLASS A) ....... 7,859 159,694 oCANADIAN NATURAL RESOURCES LTD ....... 3,415 192,369 CANADIAN OCCIDENTAL PETROLEUM LTD ...................... 4,348 3,091,896 oCENTRICA PLC ......................... 4,477 279,100 CHESAPEAKE ENERGY CORP ............... 2,111 196,800 oCOHO ENERGY, INC ..................... 1,796 810,800 CONSOLIDATED NATURAL GAS CO .......... 49,053 138,000 CROSS TIMBERS OIL CO ................. 3,441 282,400 DEVON ENERGY CORP .................... 10,872 532,284 oEEX CORP ............................. 4,824 888,200 ENRON OIL & GAS CO ................... 18,819 474,480 oEQUITY OIL CO ........................ 1,453 23,408,254 EXXON CORP ........................... 1,432,293 2,214,248 FLETCHER CHALLENGE LTD (ENERGY DIVISION) ................... 7,753 117,200 oFORCENERGY GAS EXPLORATION, INC ...... 3,069 27,700 oFOREST OIL CORP ...................... 457 203,100 oGREY WOLF, INC ....................... 1,092 401,710 oGULF CANADA RESOURCES LTD ............ 2,807 199,600 HELMERICH & PAYNE, INC ............... 13,548 3,000 oHUGOTON ENERGY CORP .................. 28 352,988 IMPERIAL OIL LTD ..................... 22,692 215,500 KCS ENERGY, INC ...................... 4,472 486,700 KERR-MCGEE CORP ...................... 30,814 4,300 oLOUIS DREYFUS NATURAL GAS CORP ....... 80 212,844 oMCMORAN OIL & GAS CO ................. 685 587,700 oMETHANEX CORP ........................ 4,661 250,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) ..................... 7,350 VALUE SHARES (000) ------ ---------- 374,000 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS B) ...................... $ 10,893 8,633,598 MOBIL CORP ........................... 623,238 231,800 oNEW HORIZONS WORLDWIDE, INC .......... 3,332 223,500 oNEWFIELD EXPLORATION CO .............. 5,210 67,000 NOBLE AFFILIATES, INC ................ 2,362 269,600 NORCEN ENERGY RESOURCES LTD .......... 3,090 521,016 NOVUS PETROLEUM LTD .................. 1,358 175,900 oNUEVO ENERGY CO ...................... 7,168 3,000 oNUMAC ENERGY, INC .................... 12 3,068,747 OCCIDENTAL PETROLEUM CORP ............ 89,953 500 oOCELOT ENERGY, INC (CLASS B) ......... 3 1,356,200 oORYX ENERGY CO ....................... 34,583 45,407 PETROFINA S.A ........................ 16,759 104,200 oPETROLEUM GEO-SERVICES AS ............ 6,572 2,304,017 PHILLIPS PETROLEUM CO ................ 112,033 1,163,000 oPIONEER NATURAL RESOURCES CO ......... 33,654 2,900 oPLAINS RESOURCES, INC ................ 50 242,700 oPOCO PETROLEUM LTD ................... 2,162 101,700 POGO PRODUCING CO .................... 3,000 364,140 QUESTAR CORP ......................... 16,250 255,000 RANGER OIL LTD ....................... 1,737 90,950 oRENAISSANCE ENERGY LTD ............... 1,875 325,900 oRIGEL ENERGY CORP (U.S.) ............. 2,668 1,401,810 oSANTA FE ENERGY RESOURCES, INC ....... 15,770 44,504 oSEAGULL ENERGY CORP .................. 918 26,500 SNYDER OIL CORP ...................... 484 74,200 SOUTHWESTERN ENERGY CO ............... 955 37,700 ST MARY LAND & EXPLORATION CO ........ 1,320 2,000 oSTONE ENERGY CORP .................... 67 2,400 oSWIFT ENERGY CO ...................... 51 170,515 oTALISMAN ENERGY, INC ................. 5,213 4,000 oTRANSMONTAIGNE OIL CO ................ 60 35,600 oTRANSTEXAS GAS CORP .................. 527 7,535 oTRITON ENERGY LTD .................... 220 3,190,091 UNION PACIFIC RESOURCES GROUP, INC .......................... 77,360 518,200 UNION TEXAS PETROLEUM HOLDINGS, INC ....................... 10,785 125,600 oUNIT CORP ............................ 1,209 108,200 VASTAR RESOURCES, INC ................ 3,868 447,100 VINTAGE PETROLEUM, INC ............... 8,495 14,400 WICOR, INC ........................... 669 344,800 WISER OIL CO ......................... 4,870 ----------- 3,567,390 ----------- OIL AND GAS FIELD SERVICES--0.79% 117,400 oBENTON OIL & GAS CO .................. 1,519 408,935 oBJ SERVICES CO ....................... 29,418 21,700 oBJ SERVICES CO WTS 04/13/00 .......... 997 1,848 oBUMI ARMADA BERHAD ................... 1 100,000 oCANADIAN 88 ENERGY CORP .............. 297 275,990 oCLIFFS DRILLING CO ................... 13,765 60,000 oDET SONDENJELDS-NORSKE (CLASS A) ..... 1,253 664,600 DIAMOND OFFSHORE DRILLING, INC ....... 31,984 66,000 ENGEN LTD ............................ 336 1,913,300 ENSCO INTERNATIONAL, INC ............. 64,096 515,000 oFALCON DRILLING CO, INC .............. 18,057 1,202,400 oGLOBAL MARINE, INC ................... 29,459 1,511,872 HALLIBURTON CO ....................... 78,523 13,800 oHELIKOPTER SERVICES GROUP ASA ........ 168 24,400 oHOUSTON EXPLORATION CO ............... 448 291,400 IHC CALAND NV ........................ 15,121 58,700 oKELLEY OIL & GAS CORP ................ 128 110,100 oKEY ENERGY GROUP, INC ................ 2,388 See notes to financial statements. -52- VALUE SHARES 000 ------ ---------- OIL AND GAS FIELD SERVICES--(CONTINUED) 22,624 KONINKLIJKE PAKHOED HOLDINGS NV ...... $ 653 250,000 LOMAK PETROLEUM, INC ................. 4,063 637,300 oMARINE DRILLING CO, INC .............. 13,224 200 MCDERMOTT INTERNATIONAL, INC ......... 7 651,400 oNABORS INDUSTRIES, INC ............... 20,478 460,000 oNEWPARK RESOURCES, INC ............... 8,050 1,347,679 oNOBLE DRILLING CORP .................. 41,273 81,800 oOCEAN ENERGY, INC .................... 4,034 389,600 oOCEANEERING INTERNATIONAL, INC ....... 7,695 15,225 OMV AKTIENGESELLS AG ................. 2,106 513,000 OROGEN MINERALS LTD .................. 1,003 765,940 PACIFIC ENTERPRISES, INC ............. 28,818 302,200 oPARKER DRILLING CO ................... 3,683 80,200 oPATTERSON ENERGY, INC ................ 3,103 404,169 oPOOL ENERGY SERVICES CO .............. 8,993 315,500 oPRIDE INTERNATIONAL, INC ............. 7,966 301,000 oREADING & BATES CORP ................. 12,604 905,400 oROWAN COS, INC ....................... 27,615 718,900 RPC, INC ............................. 8,492 783,360 SCHLUMBERGER LTD ..................... 63,060 2,301,000 SHELL TRANSPORT & TRADING PLC ........ 16,715 2,489,828 +oSMEDVIG A/S SERIES A ................. 52,685 305,357 SMEDVIG A/S SERIES B ................. 6,420 96,960 TECHNIP S.A .......................... 10,234 552,069 TOTAL S.A ............................ 60,107 706,646 TRANSOCEAN OFFSHORE, INC ............. 33,450 405,700 oTUBOSCOPE, INC ....................... 9,762 103,100 oUNITED MERIDIAN CORP ................. 2,900 210,900 oVERITAS DGC, INC ..................... 8,331 474,401 oWEATHERFORD ENTERRA, INC ............. 20,755 123,888 oWESTERN ATLAS, INC ................... 9,168 ----------- 785,405 ----------- OPERATIVE BUILDERS--0.07% 313,800 CENTEX CORP .......................... 19,750 130,800 oFAIRFIELD COMMUNITIES, INC ........... 5,788 410,700 HILLENBRAND INDUSTRIES, INC .......... 21,023 565,477 LENNAR CORP .......................... 12,193 72,000 STANDARD-PACIFIC CORP ................ 1,134 861,000 SUMITOMO REALTY & DEVELOPMENT CO LTD .................. 4,966 100 oU.S. HOME CORP ....................... 4 ----------- 64,858 ----------- OPHTHALMIC GOODS--0.03% 738,200 BAUSCH & LOMB, INC ................... 29,251 54,200 oCOOPER COS, INC ...................... 2,215 ----------- 31,466 ----------- ORDNANCE AND ACCESSORIES, NEC--0.01% 184,825 oALLIANT TECHSYSTEMS, INC ............. 10,304 33,400 oCOLEMAN CO, INC ...................... 536 168,800 STRUM, RUGER & CO, INC ............... 3,112 ----------- 13,952 ----------- PAINT, GLASS, AND WALLPAPER STORES--0.00% 330,700 APOGEE ENTERPRISES, INC .............. 3,927 ----------- PAINTS AND ALLIED PRODUCTS--0.07% 2,100 oCIN-CORPARACAO INDUSTRIAL DO NORTE S.A. ....................... 132 7,840 #oCORIMON C.A. S.A. ADR ................ 46 378,200 DEXTER CORP .......................... 16,334 VALUE SHARES (000) ------ ---------- 317,525 FERRO CORP ........................... $ 7,720 1,364,000 KANSAI PAINT CO LTD .................. 3,305 441,477 LILLY INDUSTRIES, INC (CLASS A) ...... 9,105 442,957 RPM, INC ............................. 6,755 678,900 SHERWIN-WILLIAMS CO .................. 18,839 214,800 VALSPAR CORP ......................... 6,847 ----------- 69,083 ----------- PAPER AND PAPER PRODUCTS--0.11% 124,300 oBOISE CASCADE OFFICE PRODUCTS CORP ....................... 1,857 1,500 oBT OFFICE PRODUCTS INTERNATIONAL, INC .................. 12 566,400 oCORPORATE EXPRESS, INC ............... 7,292 11,900 oDAISYTEK INTERNATIONAL CORP .......... 414 1,353,000 IKON OFFICE SOLUTIONS, INC ........... 38,053 911,768 oSTAPLES, INC ......................... 25,302 1,175,547 oU.S. OFFICE PRODUCTS CO .............. 23,070 774,900 UNISOURCE WORLDWIDE, INC ............. 11,042 39,748 oUNITED STATIONERS, INC ............... 1,913 ----------- 108,955 ----------- PAPER MILLS--0.23% 211,200 ABITIBI-CONSOLIDATED, INC ............ 2,944 92,700 AVENOR, INC .......................... 1,321 359,143 BOWATER, INC ......................... 15,959 164,000 oCELULOSA ARGENTINA S.A ............... 49 524,390 CHAMPION INTERNATIONAL CORP .......... 23,761 411,400 CONSOLIDATED PAPERS, INC ............. 21,958 244,500 DOMTAR, INC .......................... 1,700 39,300 DONOHUE, INC (CLASS A) ............... 713 220,000 oENSO OY SERIES R ..................... 1,705 4,618,396 FLETCHER CHALLENGE LTD (PAPER DIVISION) .................... 6,034 349,000 GLATFELTER (P.H.) CO ................. 6,500 11,100 oINVESTIMENTOS PARTICIPACOES E GESTAO ............................... 130 19,000 oKORSNAS AB SERIES A .................. 263 656,800 LONGVIEW FIBRE CO .................... 9,975 1,229,508 MEAD CORP ............................ 34,426 525,700 PENTAIR, INC ......................... 18,892 132,200 POTLATCH CORP ........................ 5,685 655,224 REXAM PLC ............................ 3,218 219,760 SCHWEITZER-MAUDUIT INTERNATIONAL, INC .................. 8,186 579,079 SMURFIT (JEFFERSON) GROUP PLC ........ 1,610 2,161,000 SPICERS PAPER LTD .................... 2,394 299,000 UNION CAMP CORP ...................... 16,053 626,132 WAUSAU-MOSINEE PAPER CORP ............ 12,601 969,593 WESTVACO CORP ........................ 30,482 ----------- 226,559 ----------- PAPERBOARD CONTAINERS AND BOXES--0.02% 287,300 oACX TECHNOLOGIES, INC ................ 7,021 310,500 oGAYLORD CONTAINER CO ................. 1,785 53,000 oMALAYSIAN PACIFIC INDUSTRIES BERHAD .............................. 127 1,018,449 oSTONE CONTAINER CORP ................. 10,630 ----------- 19,563 ----------- PAPERBOARD MILLS--0.10% 403,500 CARAUSTAR INDUSTRIES, INC ............ 13,820 108,600 CHESAPEAKE CORP ...................... 3,733 138,080 DOMTAR, INC .......................... 958 1,705,263 INTERNATIONAL PAPER CO ............... 73,539 62,600 oJEFFERSON SMURFIT CORP ............... 884 See notes to financial statements. -53- VALUE SHARES 000 ------ ---------- PAPERBOARD MILLS--(CONTINUED) 252,619 PORTUCEL INDUSTRIA EMPRESA ........... $ 1,543 3,000 oROCK-TENN CO (CLASS A) ............... 62 11,500 ST. JOE CORP ......................... 1,041 ----------- 95,580 ----------- PASSENGER TRANSPORTATION ARRANGEMENT--0.39% 1,825,000 oAIRTOURS PLC ......................... 37,085 3,503,799 AMERICAN EXPRESS CO .................. 312,714 527,700 oMESA AIR GROUP, INC .................. 2,606 1,099,900 oSABRE GROUP HOLDINGS, INC ............ 31,760 ----------- 384,165 ----------- PENS, PENCILS, OFFICE, AND ART SUPPLIES--0.01% 48,230 BIC S.A .............................. 3,522 159,100 CROSS (A.T.) CO (CLASS A) ............ 1,611 254,800 oNU KOTE HOLDINGS, INC (CLASS A) ...... 151 ----------- 5,284 ----------- PENSION, HEALTH, AND WELFARE FUNDS--0.01% 230,701 AMERICAN ANNUITY GROUP, INC .......... 5,075 ----------- PERIODICALS--0.32% 94,100 xoMARVEL ENTERTAINMENT GROUP, INC ...... 47 79,400 MEREDITH CORP ........................ 2,834 329,200 MEREDITH CORP (CLASS B) .............. 11,748 77,600 MONDADORI (ARNOLDO) EDITORE S.P.A .... 611 513,200 oPRIMEDIA, INC ........................ 6,479 567,900 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VOTE) ................ 13,417 924,750 THOMSON CORP ......................... 25,363 4,053,156 TIME WARNER, INC ..................... 251,296 259,800 oWORLD COLOR PRESS, INC ............... 6,901 ----------- 318,696 ----------- PERSONAL CREDIT INSTITUTIONS--0.23% 528,500 ACOM CO LTD .......................... 29,266 182,300 ADVANTA CORP (CLASS A) ............... 4,785 388,900 ADVANTA CORP (CLASS B) ............... 9,868 481,500 oAMERICREDIT CORP ..................... 13,332 525,400 BENEFICIAL CORP ...................... 43,674 66,600 oCREDIT ACCEPTANCE CORP ............... 516 424,100 oFIRSTPLUS FINANCIAL GROUP, INC ....... 16,275 727,276 HOUSEHOLD INTERNATIONAL, INC ......... 92,773 31,600 LEUCADIA NATIONAL CORP ............... 1,090 1,182,600 oMERCURY FINANCE CO ................... 739 14,500 METRIS COS, INC ...................... 497 710,875 THE MONEY STORE, INC ................. 14,928 ----------- 227,743 ----------- PERSONNEL SUPPLY SERVICES--0.24% 1,299,815 oACCUSTAFF, INC ....................... 29,896 2,544 ADECCO S.A ........................... 719 223,900 ADECCO S.A. ADR ...................... 7,906 1,100 oADMINSTAFF, INC ...................... 28 143,400 oALTERNATIVE RESOURCES CORP ........... 3,307 183,300 oCDI CORP ............................. 8,386 143,900 oEMPLOYEE SOLUTIONS, INC .............. 621 323,600 oINTERIM SERVICES, INC ................ 8,373 316,615 KELLY SERVICES, INC (CLASS A) ........ 9,498 694,900 MANPOWER, INC ........................ 24,495 2,012,162 NEWELL COS, INC ...................... 85,517 62,500 NORRELL CORP ......................... 1,242 396,694 OLSTEN CORP .......................... 5,950 21,300 oPERSONNEL GROUP OF AMERICA, INC ...... 703 100,000 oRANDSTAD HOLDINGS N.V ................ 3,764 VALUE SHARES (000) ------ ---------- 51,251 oREGISTRY, INC ........................ $ 2,351 830,850 oROBERT HALF INTERNATIONAL, INC ....... 33,234 28,600 oROMAC INTERNATIONAL, INC ............. 699 4,500 oSOURCE SERVICES CORP ................. 97 10,900 oSTAFFMARK, INC ....................... 345 255,800 oVOLT INFORMATION SCIENCES, INC ....... 13,781 ---------- 240,912 ----------- PETROLEUM AND PETROLEUM PRODUCTS--0.09% 1,789,553 ENRON CORP ........................... 74,378 108,000 oHARKEN ENERGY CORP ................... 756 152,800 LYONDELL PETROCHEMICAL CO ............ 4,049 128,100 oNATIONAL-OILWELL, INC ................ 4,379 172,800 QUAKER STATE OIL REFINING CORP ....... 2,462 ----------- 86,024 ----------- PETROLEUM REFINING--1.54% 19,200 ARABIAN OIL CO LTD ................... 292 2,936,230 ATLANTIC RICHFIELD CO ................ 235,265 9,724,134 BG PLC ............................... 43,840 8,965,735 BRITISH PETROLEUM PLC ................ 118,092 6,249,864 BROKEN HILL PROPRIETARY CO LTD ....... 58,032 140,630 BURMAH CASTROL PLC ................... 2,446 74,000 CALTEX AUSTRALIA LTD ................. 230 5,223,900 CHEVRON CORP ......................... 402,240 165,000 COMPANIA ESPANOLA DE PETROLEOS S.A ....................... 4,980 1,493,000 COSMO OIL CO LTD ..................... 2,274 304,732 ELF AQUITANE S.A ..................... 35,457 110,000 ESSO MALAYSIA BERHAD ................. 123 4,761 oGEOPHYSIQUE (COMPAGNIE GENERALE DE) ............. 609 434,038 oGETTY PETROLEUM MARKETING, INC ....... 2,347 434,038 GETTY REALTY CORP .................... 9,603 33,298 HARDY OIL & GAS PLC .................. 157 273,900 #oHEIZER CORP (LIQUIDATING TRUST) ...... 113 15,000 KANTO NATURAL GAS DEVELOPMENT CO LTD .............................. 46 623,372 LONDON & SCOTTISH MARINE OIL PLC ..... 2,775 1,432,000 MITSUBISHI OIL CO LTD ................ 2,126 306,880 MURPHY OIL CORP ...................... 16,629 89,000 NIPPON OIL & FATS CO LTD ............. 150 1,619,200 NIPPON OIL CO LTD .................... 4,197 549,500 PENNZOIL CO .......................... 36,713 93,000 PETRO-CANADA (NON-RESIDENT) .......... 1,690 309,300 PETRO-CANADA (VARIABLE- VOTE) ........ 5,619 812,974 REPSOL S.A ........................... 34,670 4,582,170 ROYAL DUTCH PETROLEUM CO ............. 251,564 1,060,000 SAIPEM S.P.A ......................... 5,580 2,138,317 SANTOS LTD ........................... 8,806 186,484 SASOL LTD ............................ 1,950 150,000 SHELL REFINERY BERHAD ................ 235 195,688 oSLH CORP ............................. 10,959 850,942 SUN CO, INC .......................... 35,793 168,800 SUNCOR ENERGY, INC ................... 5,780 367,000 TEIKOKU OIL CO LTD ................... 960 389,815 oTESORO PETROLEUM CORP ................ 6,042 908,616 TOSCO CORP ........................... 34,357 133,000 TRANSPORTADORA DE GAS DEL SUR S.A. SERIES B .................. 302 1,058,799 ULTRAMAR DIAMOND SHAMROCK CORP ........................ 33,749 2,446,555 UNOCAL CORP .......................... 94,957 382,300 VALERO ENERGY CORP ................... 12,019 293,100 WOODSIDE PETROLEUM LTD ............... 2,066 See notes to financial statements. -54- VALUE SHARES 000 ------ ---------- PETROLEUM REFINING--(CONTINUED) 82,000 YPF SOCIEDAD ANONIMA (CLASS D) ....... $ 2,764 137,100 YPF SOCIEDAD ANONIMA (CLASS D) ADR ... 4,687 ---------- 1,533,285 ---------- PHOTOGRAPHIC EQUIPMENT AND SUPPLIES--0.67% 3,104,996 EASTMAN KODAK CO ..................... 188,823 1,292,500 FUJI PHOTO FILM CO LTD ............... 49,703 400 NORITSU KOKI CO LTD .................. 10 900 oPANAVISION, INC ...................... 23 130,808 POLAROID CORP ........................ 6,369 5,753,372 XEROX CORP ........................... 424,671 ----------- 669,599 ----------- PHOTOGRAPHIC STUDIOS, PORTRAIT--0.00% 159,887 CPI CORP ............................. 3,617 ----------- PIPELINES, EXCEPT NATURAL GAS--0.02% 525,368 MAPCO, INC ........................... 24,298 ----------- PLASTICS MATERIALS AND SYNTHETICS--0.84% 1,318,200 BASF AG .............................. 46,736 262,700 CAMBREX CORP ......................... 12,084 29,400 oCARBIDE/GRAPHITE GROUP, INC .......... 992 10,814,222 DU PONT (E.I.) DE NEMOURS & CO ....... 649,529 12,000 DU PONT CANADA, INC (CLASS A) ........ 294 634,148 EASTMAN CHEMICAL CO .................. 37,771 380,262 HANNA (M.A.) CO ...................... 9,602 1,382,000 HERCULES, INC ........................ 69,186 353,690 LAWTER INTERNATIONAL, INC ............ 3,846 76,450 oMCWHORTER TECHNOLOGIES, INC .......... 1,969 9,664 oSOMMER-ALLIBERT ...................... 336 258,900 WELLMAN, INC ......................... 5,049 ----------- 837,394 ----------- PLUMBING AND HEATING, EXCEPT ELECTRIC--0.05% 930,200 MASCO CORP ........................... 47,324 2,900 ROHN INDUSTRIES, INC ................. 15 ----------- 47,339 ----------- PLUMBING, HEATING, AIR- CONDITIONING--0.00% 61,600 oAMERICAN RESIDENTIAL SERVICES, INC ....................... 963 ----------- POTTERY AND RELATED PRODUCTS--0.00% 442,501 CARADON PLC .......................... 1,307 ----------- POULTRY AND EGGS--0.03% 144,100 HUDSON FOODS, INC (CLASS A) .......... 2,963 1,367,300 TYSON FOODS, INC ..................... 28,030 ----------- 30,993 ----------- PRESERVED FRUITS AND VEGETABLES--0.56% 889,600 AJINOMOTO CO LTD ..................... 8,689 1,425,800 CAMPBELL SOUP CO ..................... 82,875 161,428 oCASTLE & COOKE, INC .................. 2,724 594,384 DOLE FOOD, INC ....................... 27,193 2,499,250 HEINZ (H.J.) CO ...................... 126,993 125,000 HERDEZ S.A. SERIES B ................. 105 383,300 HORMEL FOODS CORP .................... 12,553 55,000 KIKKOMAN CORP ........................ 280 560,000 NICHIREI CORP ........................ 1,206 VALUE SHARES (000) ------ ---------- 721,000 Q.P. CORP ............................ $ 4,408 2,054,846 RJR NABISCO HOLDINGS CORP ............ 77,057 3,144,100 SARA LEE CORP ........................ 177,052 96,100 SMUCKER, (J.M.) CO (CLASS A) ......... 2,270 199,400 SMUCKER, (J.M.) CO (CLASS B) ......... 4,586 1,211,746 WHITMAN CORP ......................... 31,581 ---------- 559,572 ----------- PRIMARY NONFERROUS METALS--0.23% 307,800 ALCAN ALUMINIUM CO LTD ............... 8,474 481,297 oALUMAX, INC .......................... 16,364 1,196,300 ALUMINUM CO OF AMERICA ............... 84,190 251,900 ASARCO, INC .......................... 5,652 85,000 oBILLITON PLC ......................... 218 338,100 BRUSH WELLMAN, INC ................... 8,283 14,187 oGRANGES AB ........................... 223 213,300 INCO LTD ............................. 3,622 151,160 INCO LTD (U.S.) ...................... 2,570 833,500 PHELPS DODGE CORP .................... 51,885 256,850 PRECISION CAST PARTS CORP ............ 15,491 383,390 REYNOLDS METALS CO ................... 23,003 177,000 oTITANIUM METALS CORP ................. 5,111 ----------- 225,086 ----------- PRODUCERS, ORCHESTRAS, ENTERTAINERS--0.09% 602,728 EMI GROUP PLC ........................ 5,199 557,191 GRANADA GROUP LTD (CLASS A) .......... 8,590 365,000 KONICA CORP .......................... 1,684 9,673,302 LADBROKE GROUP PLC ................... 42,019 1,072,950 MAGNUM CORP BERHAD ................... 645 155,000 NINTENDO CO LTD ...................... 15,259 47,100 SEGA ENTERPRISES LTD ................. 855 122,000 SHIMANO, INC ......................... 2,252 37,000 SHOCHIKU CO LTD ...................... 188 1,100 SMH AG (BR) .......................... 608 23,320 SMH AG (REGD) ........................ 3,150 800 SONY MUSIC ENTERTAINMENT, INC ........ 30 136,400 oWESTWOOD ONE, INC .................... 5,064 20,862 ZODIAC S.A ........................... 4,858 ----------- 90,401 ----------- PRODUCTS OF PURCHASED GLASS--0.03% 82 CRISTALERIA ESPANOLA S.A ............. 6 485,300 oGENTEX CORP .......................... 13,042 284,200 oMEDIMMUNE, INC ....................... 12,185 ----------- 25,233 ----------- PROFESSIONAL AND COMMERCIAL EQUIPMENT--0.07% 161,373 oBEC GROUP, INC ....................... 958 365,500 oCHS ELECTRONICS, INC ................. 6,259 133,500 oFTP SOFTWARE, INC .................... 300 229,400 oGRAHAM-FIELD HEALTH PRODUCTS, INC .... 3,828 224,200 oGULF SOUTH MEDICAL SUPPLY, INC ....... 8,351 62,400 HOGY MEDICAL CO ...................... 1,900 70,900 oINGRAM MICRO, INC (CLASS A) .......... 2,065 114,800 oINTELLIGENT ELECTRONICS, INC ......... 639 212,300 oMERISEL, INC ......................... 929 389,012 OWENS & MINOR, INC ................... 5,641 174,850 oPATTERSON DENTAL CO .................. 7,912 58,900 oSPINE-TECH, INC ...................... 3,030 512,000 xoSTREAMLOGIC CORP ..................... 2 572,500 oTECH DATA CORP ....................... 22,256 29,200 oVWR SCIENTIFIC PRODUCTS CORP ......... 825 99,900 oWONDERWARE CORP ...................... 1,411 ----------- 66,306 ----------- See notes to financial statements. -55- VALUE SHARES 000 ------ ---------- PULP MILLS--0.01% 40,500 oEMPRESA NATIONAL DE CELULOSAS S.A .... $ 551 7,000 oREPAP ENTERPRISES, INC ............... 1 557,200 UPM-KYMMENE OY ....................... 11,153 ----------- 11,705 ----------- RADIO AND TELEVISION BROADCASTING--0.28% 130,900 oAMERICAN RADIO SYSTEMS CORP .......... 6,979 230 #oANTENA 3 DE TELEVISION GDS ........... 6,259 88,100 BHC COMMUNICATIONS, INC (CLASS A) ........................... 11,475 949,709 BRITISH SKY BROADCASTING GROUP PLC ........................... 7,094 55,795 CANAL PLUS S.A ....................... 10,378 308,650 oCHANCELLOR MEDIA CORP (CLASS A) ...... 23,033 575 oCHRIS CRAFT INDUSTRIES, INC .......... 30 307,900 oCLEAR CHANNEL COMMUNICATIONS, INC .... 24,459 4,900 oCOX RADIO, INC (CLASS A) ............. 197 13,000 oEMMIS BROADCASTING CORP (CLASS A) ........................... 593 734 oEUROPE 1 COMMUNICATION ............... 161 145,068 GAYLORD ENTERTAINMENT CO ............. 4,633 5,700 oGRUPO TELEVISA S.A. DE CV (PT CERT) ........................... 111 31,300 oHEFTEL BROADCASTING CORP (CLASS A) ........................... 1,463 40,600 oJACOR COMMUNICATIONS, INC ............ 2,157 214,700 oJACOR COMMUNICATIONS, INC WTS 09/18/01 ........................ 1,315 184,044 oLIN TELEVISION CORP .................. 10,030 3,343,284 MEDIASET S.P.A ....................... 16,444 25,200 oMIH HOLDINGS LTD ..................... 72 150 NIPPON TELEVISION NETWORK CORP ....... 44 32,000 NRJ S.A .............................. 4,457 4,430 PATHE S.A ............................ 860 623,295 REED INTERNATIONAL PLC ............... 6,076 2,300 oSFX BROADCASTING, INC (CLASS A) ...... 185 3,200 oTELE METROPOLE, INC (CLASS B) ........ 73 425,700 TELEVISION BROADCASTS LTD ............ 1,214 515,000 TOKYO BROADCASTING SYSTEMS, INC ...... 6,535 342,400 UNITED TELEVISION, INC ............... 35,567 6,600 oUNIVISION COMMUNICATIONS, INC ........ 461 454,487 oVIACOM, INC (CLASS A) ................ 18,577 1,765,665 oVIACOM, INC (CLASS B) ................ 73,165 147,686 oVIACOM, INC (CLASS B) WTS 07/07/99 ... 55 ----------- 274,152 ----------- RADIO, TELEVISION, AND COMPUTER STORES--0.16% 261,300 oBEST BUY, INC ........................ 9,635 1,304,169 CIRCUIT CITY STORES-CIRCUIT CITY GROUP ......................... 46,380 124,600 oCOMPUCOM SYSTEMS, INC ................ 1,028 1,285,800 oCOMPUSA, INC ......................... 39,860 163,300 oEGGHEAD, INC ......................... 1,061 310,800 oGOOD GUYS, INC ....................... 2,370 47,800 oINACOM CORP .......................... 1,341 780,400 oINFORMIX CORP ........................ 3,707 90,700 oMICROAGE, INC ........................ 1,366 479,200 oMUSICLAND STORES CORP ................ 3,504 240,184 oREX STORES CORP ...................... 2,462 207,800 oSUN TELEVISION & APPLIANCES, INC ..... 416 1,066,102 TANDY CORP ........................... 41,112 248,000 oTRANS WORLD ENTERTAINMENT CORP ....... 4,805 ----------- 159,047 ----------- VALUE SHARES (000) ------ ---------- RAILROAD EQUIPMENT--0.00% 3,400 WESTINGHOUSE AIR BRAKE CO ............ $ 87 ----------- RAILROADS--0.64% 711,826 BRAMBLES INDUSTRIES LTD .............. 14,123 1,560,628 BURLINGTON NORTHERN SANTA FE CORP .... 145,041 451,000 CANADIAN PACIFIC LTD ................. 12,133 131,700 CANADIAN PACIFIC LTD (U.S.) .......... 3,589 2,355,272 CSX CORP ............................. 127,185 70,800 FLORIDA EAST COAST INDUSTRIES, INC ... 6,806 1,741,639 HANKYU CORP .......................... 8,184 32,500 IES INDUSTRIES, INC .................. 1,196 700,050 ILLINOIS CENTRAL CORP SERIES A ....... 23,845 578,300 KANSAS CITY SOUTHERN INDUSTRIES, INC . 18,361 216,000 KEIHIN ELECTRIC EXPRESS RAILWAY ...... 756 1,679,203 KINKI NIPPON RAILWAY CO LTD .......... 9,002 1,867,875 NAGOYA RAILROAD CO LTD ............... 6,436 1,660,000 NIPPON EXPRESS CO LTD ................ 8,299 2,256,836 NORFOLK SOUTHERN CORP ................ 69,539 660,000 ODAKYU ELECTRIC RAILWAY CO LTD ....... 2,863 180,000 oRAILTEX, INC ......................... 2,576 4,299,150 RAILTRACK GROUP PLC .................. 68,687 704,000 SEINO TRANSPORTATION CO LTD .......... 3,525 572,000 TOBU RAILWAY CO LTD .................. 1,795 1,182,099 UNION PACIFIC CORP ................... 73,807 609,000 oWISCONSIN CENTRAL TRANSIT CORP ....... 14,235 1,066,878 YAMATO TRANSPORT CO LTD .............. 14,359 ----------- 636,342 ----------- REAL ESTATE AGENTS AND MANAGERS--0.08% 5,000,000 oBELLE CORP ........................... 195 300,000 oBELLE CORP WTS 12/31/00 .............. 0 2,724,390 BRITISH LAND PLC ..................... 29,810 14,800 oCB COMMERCIAL REAL ESTATE SERVICES ... 476 88,200 oDILIGENTIA AB ........................ 1,178 105,273 oEVERGO CHINA HOLDINGS LTD ............ 4 1,500 FOREST CITY ENTERPRISES, INC (CLASS A) .......................... 87 826,649 GENERAL PROPERTY TRUST ............... 1,465 31,200 oGRUBB & ELLIS CO ..................... 427 4,340,748 HOPEWELL HOLDINGS LTD ................ 1,081 374,112 LAND SECURITIES PLC .................. 6,033 1,958,000 MITSUBISHI ESTATE CO LTD ............. 21,384 3,938,074 NEW WORLD DEVELOPMENT CO LTD ......... 13,621 40,100 oROYAL LEPAGE LTD ..................... 84 2,437 SAGEM S.A ............................ 1,086 387,000 TOKYO TATEMONO CO LTD ................ 506 452,000 TOSTEM CORP .......................... 4,867 4,260 UNIBAIL S.A .......................... 426 1,500 oUNIBAIL S.A. (BR) .................... 150 13,200 oURBIS S.A ............................ 125 ----------- 83,005 ----------- REAL ESTATE OPERATORS AND LESSORS--0.07% 1,699,750 AYALA LAND, INC (CLASS B) ............ 682 20,000 oHYSAN DEVELOPMENT CO LTD WTS 04/30/98 ........................ 0 6,485,000 #METRO PACIFIC CORP ................... 182 93,200 PENN VIRGINIA CORP ................... 2,749 1,096,200 ROUSE CO ............................. 35,901 1,080,000 SWIRE PACIFIC LTD (CLASS B) .......... 1,094 599,600 WEINGARTEN REALTY INVESTORS, INC ..... 26,870 ----------- 67,478 ----------- See notes to financial statements. -56- VALUE SHARES 000 ------ ---------- REFRIGERATION AND SERVICE MACHINERY--0.09% 674,000 oAMERICAN STANDARD COS, INC ........... $ 25,823 14,100 oCHART INDUSTRIES, INC ................ 322 106,978 oCULLIGAN WATER TECHNOLOGIES, INC ..... 5,376 500,000 DAIWA INDUSTRIES LTD ................. 1,977 349,138 EASTERN ENTERPRISES CO ............... 15,711 174,800 FEDDERS CORP ......................... 1,093 152,950 FEDDERS CORP (CLASS A) ............... 937 3,900 SCOTSMAN INDUSTRIES, INC ............. 95 164,700 TECUMSEH PRODUCTS CO (CLASS A) ....... 8,029 31,600 TECUMSEH PRODUCTS CO (CLASS B) ....... 1,544 222,100 TENNANT CO ........................... 8,079 102,450 oU.S. FILTER CORP ..................... 3,067 424,100 YORK INTERNATIONAL CORP .............. 16,778 ----------- 88,831 ----------- RENTAL OF RAILROAD CARS--0.01% 193,300 GATX CORP ............................ 14,026 ----------- RESEARCH AND TESTING SERVICES--0.31% 379,100 oADVANCED TISSUE SCIENCE CO ........... 4,691 294,938 oAGOURON PHARMACEUTICALS, INC ......... 8,664 3,004,936 ASTRA AB SERIES A FREE ............... 52,073 385,066 ASTRA AB SERIES B FREE ............... 6,479 115,426 oAURA SYSTEMS, INC .................... 379 491,000 BANYU PHARMACEUTICAL CO LTD .......... 5,438 290,200 oCEPHALON, INC ........................ 3,301 779,000 CHUGAI PHARMACEUTICAL CO LTD ......... 4,014 85,500 oCLINTRIALS, INC ...................... 673 22,100 oCOLUMBIA LABORATORIES, INC ........... 351 51,200 oCURATIVE HEALTH SERVICES, INC ........ 1,555 524,982 oCYTOGEN CORP ......................... 853 430,000 DAIICHI PHARMACEUTICAL CO LTD ........ 4,861 374,036 EISAI CO LTD ......................... 5,725 154,269 oENZO BIOCHEMICAL, INC ................ 2,256 13,300 ESSILOR INTERNATIONAL ................ 3,979 241,700 oGENSET S.A ........................... 14,463 479,500 oHUMAN GENOME SCIENCES, INC ........... 19,060 126,300 oICOS CORP ............................ 2,313 20,100 oIDEC PHARMACEUTICALS CORP ............ 691 47,800 oIMMUNE RESPONSE CORP ................. 532 61,700 oINCYTE PHARMACEUTICALS, INC .......... 2,777 30,000 #oINTERNATIONAL HYDRON (LIQUIDATING TRUST) .................. 1 115,900 oISIS PHARMACEUTICALS, INC ............ 1,427 222,000 KYOWA HAKKO KOGYO .................... 965 381,160 oLABORATORY CORP OF AMERICA HOLDINGS ............................ 643 75,098 oLABORATORY CORP OF AMERICA HOLDINGS WTS 04/28/00 ............... 2 1,518,000 LION CORP ............................ 4,507 283,400 oLIPOSOME CO, INC ..................... 1,311 38,224 LOREAL S.A ........................... 14,963 136,400 oMEDCO RESEARCH, INC .................. 1,910 125,000 oMYRIAD GENETICS, INC ................. 3,031 2,500 oNEOPATH, INC ......................... 33 51,400 oNEUREX CORP .......................... 713 126,300 oNEUROMEDICAL SYSTEMS, INC ............ 355 3,000 oNFO WORLDWIDE, INC ................... 63 138,100 oOHM CORP ............................. 1,053 500 oOIS OPTICAL IMAGING SYSTEMS, INC ..... 1 38,800 oPRIMISTERES REYNOIRD S.A ............. 1,277 130,000 oREGENERON PHARMACEUTICALS, INC ....... 1,113 244,300 oREPLIGEN CORP ........................ 191 644,950 oSCIOS, INC ........................... 6,450 VALUE SHARES (000) ------ ---------- 200,000 oSEQUANA THERAPEUTICS, INC ............ $ 2,200 457,000 SHIONOGI & CO LTD .................... 2,102 915,340 SHISEIDO & CO LTD .................... 12,531 293,260 oSPACELABS MEDICAL, INC ............... 5,572 40,375 SYNTHELABO S.A ....................... 5,047 441,000 TAISHO PHARMACEUTICAL CO LTD ......... 11,294 1,898,000 TAKEDA CHEMICAL INDUSTRIES LTD ....... 54,303 3,000 TEJON RANCH CO ....................... 73 164,800 oTHERMO CARDIOSYSTEMS, INC ............ 4,408 75,500 oTHERMOTREX CORP ...................... 1,670 4,500 oTRANSKARYOTIC THERAPIES, INC ......... 158 206,528 oU.S. BIOSCIENCE, INC ................. 1,872 75,800 UNI CHARM CORP ....................... 2,693 853,849 YAMANOUCHI PHARMACEUTICAL CO LTD ..... 18,387 315,035 oYORK RESEARCH CORP ................... 2,658 3,712 #oYORK RESEARCH CORP (CLASS C) WTS 09/30/98 ........................ 7 ----------- 310,112 ----------- RESIDENTIAL BUILDING CONSTRUCTION--0.23% 203,500 ACS ACTIVIDADES CONS Y SERV .......... 4,927 3,500 oACS ACTIVIDADES CONS Y SERV RTS ...... 0 962,731 ADELAIDE BRIGHTON HOLDINGS LTD ....... 954 9,900 ALPHA LTD NPV ........................ 110 3,741,315 AMEC PLC ............................. 7,233 26,500 oAMERICAN HOMESTAR CORP ............... 437 958,000 oAOKI CONSTRUCTION CO LTD ............. 309 20,000 oASANO SLATE CO LTD ................... 15 445,950 BARRATT DEVELOPMENTS LTD ............. 1,699 6,336,968 BLUE CIRCLE INDUSTRIES PLC ........... 37,094 233,437 BPB PLC .............................. 1,298 648,697 CLAYTON HOMES, INC ................... 11,677 9,928 oCOSTAIN GROUP PLC .................... 4 1,970,000 DAIWA HOUSE INDUSTRY CO LTD .......... 10,454 132,000 oEKRAN BERHAD ......................... 93 328,054 ENGLISH CHINA CLAYS PLC .............. 1,452 153,848 FOMENTO CONSTRUCCIONES Y CONTRATAS S.A ....................... 5,855 30,000 FUJITA CORP .......................... 11 175,000 oHASEKO CORP .......................... 90 230,000 HAZAMA-GUMI LTD ...................... 113 141,630 HEPWORTH PLC ......................... 512 12,440 HOLLANDSCHE BETON GROEP NV (H.B.G.) ........................ 231 157,400 HORTON (D.R.), INC ................... 2,735 514,000 INAX CORP ............................ 1,498 1,214,000 JAMES HARDIE INDUSTRIES LTD .......... 3,538 1,429,000 KAJIMA CORP .......................... 3,616 759,805 KAUFMAN & BROAD HOME CORP ............ 17,048 26,000 KOMATSU CONSTRUCTION CO LTD .......... 30 334,449 MARLEY PLC ........................... 526 27,000 MCALPINE (ALFRED) PLC ................ 60 705,000 NIHON CEMENT CO LTD .................. 1,459 607,000 NISHIMATSU CONSTRUCTION CO LTD ....... 1,914 13,900 OASIS RESIDENTIAL, INC ............... 310 931,000 OBAYASHI CORP ........................ 3,179 101,000 OHKI CONSTRUCTION CO LTD ............. 132 575,000 OKUMURA CORP ......................... 1,371 1,100,000 PENTA OCEAN CONSTRUCTION CO LTD ...... 1,548 482,060 PILKINGTON PLC ....................... 1,015 241,542 REDLAND PLC .......................... 1,365 97,000 RMC GROUP PLC ........................ 1,369 583,016 RUGBY GROUP PLC ...................... 1,309 59,000 oSHOKUSAN JUTAKO SAGO ................. 24 52,046,000 +SOUTH CHINA INDUSTRIES LTD ........... 5,642 See notes to financial statements. -57- VALUE SHARES 000 ------ ---------- RESIDENTIAL BUILDING CONSTRUCTION--(CONTINUED) 150,750 ST. GOBAIN S.A ....................... $ 21,425 34,000 SUZUNUI INDUSTRY CO LTD .............. 58 2,366,000 TAISEI CORP .......................... 3,894 11,387,356 TARMAC PLC ........................... 21,454 76,000 TOA CORP ............................. 100 871,500 oTOLL BROTHERS, INC ................... 23,313 260,500 TOTO LTD ............................. 1,671 266,100 #UNITED ENGINEERING BERHAD ............ 221 133,500 oWALTER INDUSTRIES, INC ............... 2,753 411,718 WILLIAMS PLC ......................... 2,337 3,381,100 WILSON (CONNOLLY) HOLDINGS PLC ....... 8,679 4,082,500 WIMPEY (GEORGE) LTD .................. 7,120 290,018 WOLSELEY PLC ......................... 2,305 1,045 YOKOGAWA BRIDGE CORP ................. 3 718,000 YTL CORP BERHAD ...................... 968 ----------- 230,557 ----------- RESIDENTIAL CARE--0.00% 22,200 oRES-CARE, INC 644 ----------- RETAIL NURSERIES AND GARDEN STORES--0.00% 167,200 oCENTRAL GARDEN & PET CO .............. 4,389 ----------- RETAIL STORES, NEC--0.01% 140,000 oALDEASA S.A .......................... 2,967 74,600 oPETCO ANIMAL SUPPLIES, INC ........... 1,790 314,600 oPETSMART, INC ........................ 2,281 465,200 oSUNGLASS HUT INTERNATIONAL, INC ...... 2,937 ----------- 9,975 ----------- ROOMING AND BOARDING HOUSES--0.00% 33,060 oCHARTWELL LEISURE, INC ............... 552 ----------- RUBBER AND PLASTICS FOOTWEAR--0.00% 2,200 oCONVERSE, INC ........................ 13 6,000,000 #oPT ARTHA GRAHA INVESTAMA SENTRAL TBK (LR) ..................... 764 ----------- 777 ----------- SAND AND GRAVEL--0.01% 287,200 CALMAT CO ............................ 8,006 ----------- SANITARY SERVICES--0.45% 674,200 oALLIED WASTE INDUSTRIES, INC ......... 15,717 176,685 oAMERICAN ECOLOGY CORP ................ 221 1,738,775 BROWNING FERRIS INDUSTRIES, INC ...... 64,335 463,240 oCLEAN HARBORS, INC ................... 724 96,000 DAISEKI CO LTD ....................... 997 124,268 oINTERNATIONAL TECHNOLOGY CORP ........ 932 285,949 oLAIDLAW ENVIRONMENTAL SERVICES, INC ....................... 1,394 576,792 LAIDLAW, INC ......................... 7,859 442,584 OGDEN CORP ........................... 12,475 59,796 oPHILIP SERVICES CORP ................. 860 1,518,400 oREPUBLIC INDUSTRIES, INC ............. 35,398 60,000 oSANIX, INC ........................... 969 207,700 oTETRA TECHNOLOGIES, INC .............. 4,375 362,598 THAMES WATER PLC ..................... 5,435 2,113,505 oU.S.A. WASTE SERVICES, INC ........... 82,955 7,647,304 WASTE MANAGEMENT, INC ................ 210,301 ----------- 444,947 ----------- VALUE SHARES (000) ------ ---------- SAVINGS INSTITUTIONS--0.93% 20,700 ALBANK FINANCIAL CORP ................ $ 1,065 267,100 ANCHOR BANCORP WISCONSIN, INC ........ 9,716 364,100 ASTORIA FINANCIAL CORP ............... 20,299 77,600 BANK UNITED CORP (CLASS A) ........... 3,798 825,802 +BAY VIEW CAPITAL CORP ................ 29,935 78,400 oCALIFORNIA FEDERAL BANCORP ........... 2,234 154,020 oCALIFORNIA FEDERAL BANK (GOODWILL CERT) ..................... 3,716 500 CFX CORP ............................. 15 1,440,295 CHARTER ONE FINANCIAL, INC ........... 90,919 312,600 CHEMFIRST, INC ....................... 8,831 138,100 CITFED BANCORP, INC .................. 5,386 695,100 oCOAST SAVINGS FINANCIAL, INC ......... 47,658 117,350 COMMERCIAL FEDERAL CORP .............. 4,173 1,213,900 DIME BANCORP, INC .................... 36,720 19,300 DOWNEY FINANCIAL CORP ................ 549 7,000 FIRST COLORADO BANCORP, INC .......... 166 21,700 oFIRSTFED FINANCIAL CORP .............. 841 1,147,100 oGOLDEN STATE BANCORP, INC ............ 42,873 581,400 GOLDEN WEST FINANCIAL CORP ........... 56,868 187,400 GREAT FINANCIAL CORP ................. 9,557 3,244,200 H.F. AHMANSON & CO ................... 217,159 8,000 IBS FINANCIAL CORP ................... 142 2,300 oJSB FINANCIAL, INC ................... 115 351,700 LONG ISLAND BANCORP, INC ............. 17,453 70,200 MAF BANCORP, INC ..................... 2,483 197,350 MARYLAND FEDERAL BANCORP ............. 6,907 1,200 NEW YORK BANCORP, INC ................ 48 30,100 oOCWEN FINANCIAL CORP ................. 766 800 ORIENTAL FINANCIAL GROUP ............. 24 90,650 PEOPLES BANK OF BRIDGEPORT CO ........ 3,445 2,900 ROSLYN BANCORP, INC .................. 67 1,093,144 SOVEREIGN BANCORP, INC ............... 22,683 139,500 ST. FRANCIS CAPITAL CORP ............. 7,045 720,437 ST. PAUL BANCORP, INC ................ 18,911 822,300 TCF FINANCIAL CORP ................... 27,907 732,348 WASHINGTON FEDERAL, INC .............. 23,023 3,101,542 WASHINGTON MUTUAL, INC ............... 197,917 64,300 WEBSTER FINANCIAL CORP ............... 4,276 18,600 oWSFS FINANCIAL CORP .................. 372 ----------- 926,062 ----------- SAWMILLS AND PLANING MILLS--0.22% 543,432 BOISE CASCADE CORP ................... 16,439 77,000 oINTERNATIONAL FOREST PRODUCTS LTD .... 326 1,224,936 LOUISIANA PACIFIC CORP ............... 23,274 181,700 MACMILLAN BLOEDEL LTD ................ 1,885 755,736 PG INDUSTRIES ZIMBABWE LTD ........... 90 28,100 POPE & TALBOT, INC ................... 423 263,984 RAYONIER, INC ........................ 11,236 347,214 TEMPLE-INLAND, INC ................... 18,164 2,667,750 WEYERHAEUSER CO ...................... 130,886 617,972 WILLAMETTE INDUSTRIES, INC ........... 19,891 ----------- 222,614 ----------- SCHOOLS AND EDUCATIONAL SERVICES, NEC--0.03% 484,375 oAPOLLO GROUP, INC (CLASS A) .......... 22,887 99,791 oBERLITZ INTERNATIONAL, INC ........... 2,657 ----------- 25,544 ----------- SCREW MACHINE PRODUCTS, BOLTS, ETC.--0.03% 562,276 HUBBELL, INC (CLASS B) ............... 27,727 175,700 TRIMAS CORP .......................... 6,040 ----------- 33,767 ----------- See notes to financial statements. -58- VALUE SHARES 000 ------ ---------- SEARCH AND NAVIGATION EQUIPMENT--0.19% 46,080 PRIMEX TECHNOLOGIES, INC ............. $ 1,555 1,267,497 RAYTHEON CO (CLASS A) ................ 62,503 2,037,040 RAYTHEON CO (CLASS B) ................ 102,871 315,450 SENSORMATIC ELECTRONICS CORP ......... 5,185 264,201 oTRACOR, INC .......................... 8,025 155,500 oTRIMBLE NAVIGATION LTD ............... 3,392 60,600 WATKINS-JOHNSON CO ................... 1,572 ----------- 185,103 ----------- SECONDARY NONFERROUS METALS--0.00% 1,000 IMCO RECYCLING, INC .................. 16 ----------- SECURITY AND COMMODITY SERVICES--0.22% 475,300 oAMRESCO, INC ......................... 14,378 11,238 oDATA BROADCASTING CORP ............... 63 533 DUFF & PHELPS CREDIT RATING CO 22 206,500 EATON VANCE CORP ..................... 7,795 107,500 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD ......................... 5,187 402,900 FRANKLIN RESOURCES, INC .............. 35,027 6,800 FULTON FINANCIAL CORP ................ 221 132,700 oINSIGNIA FINANCIAL GROUP, INC ........ 3,052 90,000 oITLA CAPITAL CORP .................... 1,733 135,524 MERCURY ASSETS MANAGEMENT GROUP PLC ........................... 3,775 25,000 oPEREGRINE INVESTMENT WTS 05/15/98 .......................... 0 10,000 PHOENIX, DUFF & PHELPS CORP .......... 80 148,318 PIONEER GROUP, INC ................... 4,171 564,200 PRICE (T. ROWE) ASSOCIATES, INC ...... 35,474 363,412 SEI INVESTMENT CO .................... 15,263 751,200 TRANSAMERICA CORP .................... 80,003 80,200 UNITED ASSET MANAGEMENT CORP ......... 1,960 279,000 VALUE LINE, INC ...................... 11,021 ----------- 219,225 ----------- SECURITY BROKERS AND DEALERS--1.03% 1,058,552 ABBEY NATIONAL PLC ................... 18,271 2,760,000 AMVESCAP PLC ......................... 23,683 84,840 AMVESCAP PLC ADR ..................... 7,317 1,600,628 BEAR STEARNS COS, INC ................ 76,030 25,963 COMPAGNIE BANCAIRE S.A ............... 4,208 97,950 CREDIT SAISON CO LTD ................. 2,426 1,992,000 DAIWA SECURITIES CO LTD .............. 6,894 85,100 DONALDSON, LUFKIN, & JENRETTE, INC ... 6,765 1,752,850 EDWARDS (A.G.), INC .................. 69,676 224,746 EVEREN CAPITAL CORP .................. 10,675 76,727 FORTIS AG ............................ 16,008 1,300 oHAMBRECHT & QUIST GROUP .............. 47 162,932 HONG LEONG CREDIT BERHAD ............. 147 2,000 INCENTIVE AB SERIES A FREE ........... 180 800 INCENTIVE AB SERIES B FREE ........... 72 500 oINTERRA FINANCIAL, INC ............... 35 344,000 JACCS CO ............................. 2,117 120,000 JAPAN ASSOCIATED FINANCE CO .......... 4,292 1,400 oJEFFERIES GROUP, INC ................. 57 3,000 JOHN NUVEEN CO (CLASS A) ............. 105 33,066 oLEGG MASON, INC ...................... 1,850 1,374,342 LEHMAN BROTHERS HOLDINGS, INC ........ 70,091 120,000 oLONG BEACH FINANCIAL CORP ............ 1,395 600,000 MBF CAPITAL BERHAD ................... 139 11,895 oMERCAPITAL S.A ....................... 103 2,939,992 MERRILL LYNCH & CO, INC .............. 214,436 VALUE SHARES (000) ------ ---------- 362,700 MORGAN KEEGAN, INC ................... $ 9,181 4,103,612 MORGAN STANLEY, DEAN WITTER, DISCOVER ................ 242,626 517,000 NIPPON SHINPAN CO LTD ................ 585 3,932,000 NOMURA SECURITIES CO LTD ............. 52,619 4,313 NPM HOLDINGS NV ...................... 160 73,700 ORIX CORP ............................ 5,158 1,938,800 PAINE WEBBER GROUP, INC .............. 67,010 517,000 PEREGRINE INVESTMENT HOLDINGS LTD .... 367 280,638 PIPER JAFFRAY COS, INC ............... 10,226 145,743 QUICK & REILLY GROUP, INC ............ 6,267 155,000 RASHID HUSSAIN BERHAD ................ 120 250,500 RAYMOND JAMES FINANCIAL CORP ......... 9,942 101,356 SCHROEDERS LTD ....................... 3,127 1,277,100 SCHWAB (CHARLES) CORP ................ 53,558 4,264,529 SUN HUNG KAI PROPERTIES LTD .......... 29,720 183,000 TA ENTERPRISE BERHAD ................. 37 1,901,000 xoYAMAICHI SECURITIES CO LTD ........... 15 ----------- 1,027,737 ----------- SERVICES TO BUILDINGS--0.00% 4,800 oABM INDUSTRIES, INC .................. 147 93,600 NIPPON KANZAI CO LTD ................. 1,325 ----------- 1,472 ----------- SHIP, BOAT BUILDING AND REPAIRING--0.03% 4,000 oAVONDALE INDUSTRIES, INC ............. 119 6,000 xoBREMER VULKAN AG ..................... 5 156,000 GENERAL DYNAMICS CORP ................ 13,484 171,335 oHALTER MARINE GROUP, INC ............. 4,947 939,000 KAWASAKI HEAVY INDUSTRIES LTD ........ 1,459 3,935 KVAERNER INDUSTRIER AS SERIES B ...... 183 2,043,000 oMITSUI ENGINEERING & SHIP BUILDING CO LTD .............................. 1,304 383,537 NEWPORT NEWS SHIPBUILDING, INC ....... 9,756 ----------- 31,257 ----------- SHOE STORES--0.05% 129,000 ADIDAS AG ............................ 16,974 190,200 BROWN GROUP, INC ..................... 2,532 4,184 oEDISON BROTHERS STORES WTS 09/26/05 .. 5 81,700 oFINISH LINE, INC (CLASS A) ........... 1,072 225,850 oJUST FOR FEET, INC ................... 2,964 461,923 oPAYLESS SHOESOURCE, INC .............. 31,007 ----------- 54,554 ----------- SOAP, CLEANERS, AND TOILET GOODS--1.56% 315,000 oADERANS CO LTD ....................... 7,631 39,000 ALBERTO CULVER CO (CLASS A) .......... 1,053 265,300 ALBERTO CULVER CO (CLASS B) .......... 8,506 1,946,532 AVON PRODUCTS, INC ................... 119,468 220,000 oBENCKISER (CLASS B) .................. 9,105 148,700 CHEMED CORP .......................... 6,162 154,500 CHURCH & DWIGHT CO, INC .............. 4,336 470,466 CLOROX CO ............................ 37,196 2,050,772 COLGATE PALMOLIVE CO ................. 150,732 1,226,800 DIAL CORP ............................ 25,533 389,900 ECOLAB, INC .......................... 21,615 608,100 INTERNATIONAL FLAVORS & FRAGRANCES, INC ...................... 31,317 40,500 LAUDER (ESTEE) CO (CLASS A) .......... 2,083 21,100 NCH CORP ............................. 1,382 13,944,816 PROCTER & GAMBLE CO .................. 1,112,971 42,600 oREVLON, INC (CLASS A) ................ 1,504 5,000,000 SA SA INTERNATIONAL HOLDINGS LTD ........................ 1,032 See notes to financial statements. -59- VALUE SHARES 000 ------ ---------- SOAP, CLEANERS, AND TOILET GOODS--(CONTINUED) 205,137 SAFETY-KLEEN CORP .................... $ 5,628 86,800 oUSA DETERGENTS, INC .................. 705 ----------- 1,547,959 ----------- SOCIAL SERVICES, NEC--0.02% 333,362 INTEGRATED HEALTH SERVICES, INC ...... 10,397 388,000 oSUN HEALTHCARE GROUP, INC ............ 7,518 ----------- 17,915 ----------- SPECIAL INDUSTRY MACHINERY--0.23% 3,392,800 oAPPLIED MATERIALS, INC ............... 102,208 106,900 oASYST TECHNOLOGIES, INC .............. 2,325 632,196 oCOOPER CAMERON CORP .................. 38,564 314,400 oETEC SYSTEMS, INC .................... 14,620 421,400 FOSTER WHEELER CORP .................. 11,404 180,500 oFSI INTERNATIONAL, INC ............... 2,121 309,900 oINTEGRATED PROCESS EQUIPMENT CORP .... 4,881 195,600 oIONICS, INC .......................... 7,653 228,900 oKULICHE & SOFFA INDUSTRIES, INC ...... 4,263 79,959 oLAM RESEARCH CORP .................... 2,339 387,134 oNOVELLUS SYSTEMS, INC ................ 12,509 75,700 oOAKLEY, INC .......................... 686 51,400 PHOTRONICS, INC ...................... 1,246 277,100 oPRESSTEK, INC ........................ 7,135 128,900 oPRI AUTOMATION, INC .................. 3,722 3,133 oRAUMA OY ............................. 49 5,000 oSAURER AG (REGD) ..................... 3,634 107,956 oULTRATECH STEPPER, INC ............... 2,146 119,100 oZEBRA TECHNOLOGY CORP ................ 3,543 ----------- 225,048 ----------- STRUCTURAL CLAY PRODUCTS--0.00% 6,700 oDAL-TILE INTERNATIONAL, INC .......... 82 361,196 GREEN (A.P.) INDUSTRIES, INC ......... 4,176 ----------- 4,258 ----------- SUBDIVIDERS AND DEVELOPERS--0.19% 153,400 oAVATAR HOLDINGS, INC ................. 4,362 502,761 AXA UAP .............................. 38,919 75,600 BROOKFIELD PROPERTIES CORP ........... 1,260 4,500,000 C & P HOMES, INC ..................... 266 984,950 oCATELLUS DEVELOPMENT CORP ........... 19,699 5,066,508 CHEUNG KONG HOLDINGS LTD ............. 33,184 1,841,513 CHINESE ESTATES LTD .................. 814 617,600 CITY DEVELOPMENT LTD ................. 2,859 27,726 oCITY DEVELOPMENT LTD WTS 07/18/98 .... 82 2,454 oCOMPAGNIE IMMOBILIERE DE BELGIQUE S.A. ....................... 147 674,000 DAIKYO, INC .......................... 518 11,000,000 oFILINVEST LAND, INC .................. 441 27,000 FIRST CAPITAL CORP LTD ............... 25 151,542 GREAT PORTLAND ESTATES PLC ........... 598 129,157 HAMMERSON PLC ........................ 1,004 1,154,500 HANG LUNG DEVELOPMENT CO LTD ......... 1,624 240 HONG KONG LAND HOLDINGS LTD .......... 0 290,000 oHONG LEONG PROPERTIES BERHAD ......... 53 158,500 HOTEL PROPERTIES LTD ................. 103 954,600 HYSAN DEVELOPMENT CO LTD ............. 1,903 44,000 oIGB CORP BERHAD ...................... 10 5,800 oINMOBLIARIA METROPOLITANA S.A ........ 261 72,707 IRSA S.A ............................. 271 48,471 oIRSA S.A. RTS ........................ 20 104,000 oMALAYSIAN RESOURCES CORP BERHAD ...... 24 279,900 oMETROPLEX BERHAD ..................... 72 256,836 MISAWA HOMES CO LTD .................. 713 VALUE SHARES (000) ------ ---------- 2,445,000 MITSUI FUDOSAN CO LTD ................ $ 23,694 480,250 oMULPHA INTERNATIONAL BERHAD .......... 56 92,000 oMYCOM BERHAD ......................... 23 39,000 OSAKA STADIUM CO LTD ................. 92 4,607 oSALOMON S.A .......................... 397 996,971 SCHRODERS PROPERTY FUND .............. 1,541 500,000 SELANGOR PROPERTIES BERHAD ........... 153 1,385,000 SINGAPORE LAND LTD ................... 3,041 3,907,118 SLOUGH ESTATES PLC ................... 22,083 572,394 TAI CHEUNG HOLDINGS LTD .............. 227 74,400 TAK WING INVESTMENT HOLDINGS LTD ..... 7 14,880 #oTAK WING INVESTMENT WTS 12/31/98 ..... 0 637 oTRIZEC HAHN CORP WTS 07/25/99 ........ 3 377,000 UNITED OVERSEAS LAND LTD ............. 318 351,596 VALLEHERMOSO S.A ..................... 10,773 433,000 WEBB (DEL) CORP ...................... 11,258 4,858,372 WESTFIELD TRUST (UNITS) .............. 9,276 166,155 #oWESTFIELD TRUST (UNITS) NEW .......... 306 ----------- 192,480 ----------- SUGAR AND CONFECTIONERY PRODUCTS--0.13% 42,600 DANISCO AS ........................... 2,364 216,000 DEL MONTE ROYAL FOODS LTD ............ 141 520,700 EZAKI GLICO CO LTD ................... 3,376 566,296 HERSHEY FOODS CORP ................... 35,075 795,000 MEIJI SEIKA KAISHA LTD ............... 2,654 16,125,950 MONTEDISON S.P.A ..................... 14,503 274,000 NIPPON BEET SUGAR MANUFACTURING CO LTD ................ 371 190,154 SAVANNAH FOODS & INDUSTRIES, INC ..... 3,577 321,159 TATE & LYLE PLC ...................... 2,653 244,022 TOOTSIE ROLL INDUSTRIES, INC ......... 15,251 103,200 WESTON (GEORGE) LTD .................. 8,798 188,200 WRIGLEY (WM) JR CO ................... 14,974 373,800 WRIGLEY (WM) JR CO (CLASS B) ......... 29,740 ---------- 133,477 ----------- SURETY INSURANCE--0.08% 287,600 oAMERIN CORP .......................... 8,053 21,500 CAPITAL RE CORP ...................... 1,334 28,800 CAPMAC HOLDINGS, INC ................. 1,001 190,200 CMAC INVESTMENT CORP ................. 11,483 6,000 oCNA SURETY CORP ...................... 93 28,000 ENHANCE FINANCIAL SERVICES GROUP, INC .......................... 1,666 130,000 EXEL LTD ............................. 8,239 1,700 oMEDICAL ASSURANCE, INC ............... 48 685,700 MGIC INVESTMENT CORP ................. 45,599 300 MMI COS, INC ......................... 8 1,800 SCPIE HOLDINGS, INC .................. 52 4,000 oTRIAD GUARANTY, INC .................. 116 ----------- 77,692 ----------- TELEGRAPH AND OTHER COMMUNICATIONS--0.00% 620,337 oCABLE & WIRELESS COMMUNICATIONS PLC .................. 2,710 ----------- 2,710 ----------- TELEPHONE COMMUNICATIONS--7.29% 889,973 o360 COMMUNICATIONS CO ................ 17,966 48,250 oACC CORP ............................. 2,437 5,486,915 oAIRTOUCH COMMUNICATIONS, INC ......... 228,050 2,250,674 ALLTEL CORP .......................... 92,418 6,151,348 AMERITECH CORP ....................... 495,184 203,800 oARCH COMMUNICATIONS GROUP, INC ....... 1,044 See notes to financial statements. -60- VALUE SHARES 000 ------ ---------- TELEPHONE COMMUNCIATIONS--(CONTINUED) 23,695,803 AT & T CORP .......................... $1,451,368 6,571,448 BELL ATLANTIC CORP ................... 598,002 8,578,310 BELLSOUTH CORP ....................... 483,066 520,000 oBRIGHTPOINT, INC ..................... 7,215 106,700 oBROOKS FIBER PROPERTIES, INC ......... 5,869 452,100 CABLE & WIRELESS PLC ADR ............. 12,291 37,701 oCELLULAR COMMUNICATIONS INTERNATIONAL, INC .................. 1,763 3,500 oCENTENNIAL CELLULAR CORP (CLASS A) ........................... 72 645,900 CENTURY TELEPHONE ENTERPRISES, INC ... 32,174 2,000 oCFW COMMINICATIONS CO ................ 45 1,136,000 CIA DE TELECOMMUNICACIONES CHILE ADR ........................... 33,938 1,067,300 CINCINNATI BELL, INC ................. 33,086 650,000 oCOLT TELECOM GROUP PLC ............... 6,594 200,000 oCOLT TELECOM GROUP PLC ADR ........... 8,525 26,333 oCOMMONWEALTH TELEPHONE ENTERPRISES ......................... 681 267,183 oCORECOMM, INC ........................ 2,705 4,300,700 DEUTSCHE TELEKOM AG .................. 80,963 4,400,000 oENERGIS PLC .......................... 18,389 475,000 oESPRIT TELECOM GROUP PLC ADR ......... 5,344 412,700 oFRANCE TELECOM S.A ................... 14,975 2,127,500 FRONTIER CORP ........................ 51,193 19,750 GN STORE NORD AS GN GREAT NORDIC ..... 332 8,218,512 GTE CORP ............................. 429,417 21,100 oHIGHWAYMASTER COMMUNICATIONS, INC ................. 120 537,100 oICG COMMUNICATIONS, INC .............. 14,636 49,600 oIXC COMMUNICATIONS, INC .............. 1,556 623,730 KONINKLIJKE PTT NEDERLAND NV ......... 26,028 389,072 oLCI INTERNATIONAL, INC ............... 11,964 7,378,818 LUCENT TECHNOLOGIES, INC ............. 589,383 3,669,300 MCI COMMUNICATIONS CORP .............. 157,092 300,000 xoMIDCOM COMMUNICATIONS, INC ........... 5 723 oMILLICOM INTERNATIONAL CELLULAR S.A. ....................... 27 676,000 oMOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP .................... 14,872 1,222,000 oNEXTEL COMMUNICATIONS, INC (CLASS A) ........................... 31,772 19,994 NIPPON TELEGRAPH & TELEPHONE CORP ................................ 172,227 322,522 oNTL, INC ............................. 8,990 1,266,500 oOMNIPOINT CORP ....................... 29,446 7,400 oPACIFIC GATEWAY EXCHANGE, INC ........ 398 18,200 oPAGEMART WIRELESS, INC (CLASS A) ..... 143 438,695 PORTUGAL TELECOM S.A ................. 20,377 142,900 oPREMIERE TECHNOLOGIES, INC ........... 3,948 36,500 oRCN CORP ............................. 1,250 125,000 oRSL COMMUNICATIONS LTD (CLASS A) ..... 2,750 11,528,726 SBC COMMUNICATIONS, INC .............. 844,479 5,052,200 SINGAPORE TELECOMMUNICATIONS LTD ..... 9,415 167,120 SIRTI S.P.A .......................... 1,012 597 SK TELECOM CO ........................ 157 625,400 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP ............. 31,465 2,743,819 SPRINT CORP .......................... 160,856 111,700 oTEL-SAVE HOLDINGS, INC ............... 2,220 9,296,081 TELECOM ITALIA ....................... 59,456 23,052,696 TELECOM ITALIA MOBILE S.P.A .......... 97,353 234,200 TELE DANMARK AS (CLASS B) ............ 14,536 5,230,000 TELEBRAS S.A ......................... 532 VALUE SHARES (000) ------ ---------- 490,000 oTELEC DE SAO PAULO S.A ............... $ 112 50,000 oTELECEL-COMUNICACAOES PESSOAIS ....... 5,333 41,700 TELECOM ARGENTINA S.A ................ 300 2,482,359 TELEFONICA DE ESPANA S.A ............. 70,847 2,290,000 TELEFONOS DE MEXICO S.A. SERIES L .... 6,462 284,655 TELEPHONE & DATA SYSTEMS, INC ........ 13,254 60,900 oTELEPORT COMMUNICATIONS GROUP, INC SERIES A ................. 3,342 2,810,606 oTELSTRA CORP LTD (P/P) ............... 5,934 115,700 TELUS CORP ........................... 2,563 44,500 oU.S. CELLULAR CORP ................... 1,380 3,472,346 U.S. WEST COMMUNICATIONS GROUP, INC .......................... 156,690 3,667,646 oU.S. WEST MEDIA GROUP, INC ........... 105,903 140,700 oVANGUARD CELLULAR SYSTEMS, INC ....... 1,794 790,300 oVIATEL, INC .......................... 3,952 9,600 oWEST TELESERVICES CORP ............... 115 49,900 oWESTERN WIRELESS CORP (CLASS A) ...... 867 173,100 oWINSTAR COMMUNICATIONS, INC .......... 4,317 14,765,599 oWORLDCOM, INC ........................ 446,659 ----------- 7,253,395 ----------- TIRES AND INNER TUBES--0.17% 500 BANDAG, INC .......................... 27 199,100 BANDAG, INC (CLASS A) ................ 9,532 171,300 COOPER TIRE & RUBBER CO .............. 4,175 736,850 GOODRICH (B.F.) CO ................... 30,533 1,633,652 GOODYEAR TIRE & RUBBER CO ............ 103,941 384,967 MICHELIN S.A. (CLASS B) .............. 19,389 300 TITAN INTERNATIONAL, INC ............. 6 ----------- 167,603 ----------- TITLE INSURANCE--0.06% 129,451 oALLEGHANY CORP (DELAWARE) ............ 36,861 12,200 oFIDELITY NATIONAL FINANCIAL, INC ..... 380 158,744 FIRST AMERICAN FINANCIAL CORP ........ 11,727 202,040 LAWYERS TITLE CORP ................... 6,352 ----------- 55,320 ----------- TOYS AND SPORTING GOODS--0.15% 16,600 oAMER GROUP LTD PLC SERIES A .......... 319 27,000 oBELL SPORTS CORP ..................... 228 836,800 CALLAWAY GOLF CO ..................... 23,901 37,300 oGALOOB TOYS, INC ..................... 380 1,357,864 HASBRO, INC .......................... 42,773 292,458 K2, INC .............................. 6,653 1,908,258 MATTEL, INC .......................... 71,083 7,400 NAMCO LTD ............................ 216 ----------- 145,553 ----------- TRUCKING & COURIER SERVICES, EXCEPT AIR--0.07% 323,700 oAMERICAN FREIGHTWAYS CORP ............ 3,197 444,900 ARNOLD INDUSTRIES, INC ............... 7,675 103,900 CALIBER SYSTEM, INC .................. 5,059 17,200 CNF TRANSPORTATION, INC .............. 660 103,550 oCONSOLIDATED FREIGHTWAYS CORP ........ 1,411 4,000 oCOVENANT TRANSPORT, INC (CLASS A) .... 61 232,807 oHEARTLAND EXPRESS, INC ............... 6,257 189,550 HUNT (J.B.) TRANSPORT SERVICES, INC .. 3,554 172,500 oM.S. CARRIERS, INC ................... 4,291 172,050 ROADWAY EXPRESS, INC ................. 3,807 221,500 oSWIFT TRANSPORTATION CO, INC ......... 7,171 326,400 USFREIGHTWAYS CORP ................... 10,608 389,872 WERNER ENTERPRISES, INC .............. 7,992 350,400 oYELLOW CORP .......................... 8,804 ----------- 70,547 ----------- See notes to financial statements. -61- VALUE SHARES 000 ------ ---------- USED MERCHANDISE STORES--0.00% 173,448 CASH AMERICA INTERNATIONAL, INC $ 2,244 ----------- VARIETY STORES--0.18% 366,650 oBJS WHOLESALE CLUB, INC .............. 11,504 1,920 CANON SALES CO, INC .................. 22 968 COMPTOIRS MODERNES ................... 496 567,368 oCONSOLIDATED STORES CORP ............. 24,929 357,000 oCONTROLADORA COMERCIAL MEX UBC ....... 466 354,250 oDOLLAR TREE STORES, INC .............. 14,657 370,450 FAMILY DOLLAR STORES, INC ............ 10,859 354,420 HENNES & MAURITZ AB SERIES B ......... 15,634 275,150 oHOMEBASE, INC ........................ 2,167 5,500 oINSTRUMENTARIUM GROUP SERIES B FREE .. 192 4,228,400 oK MART CORP .......................... 48,891 1,000 LAOX CO LTD .......................... 8 314,200 oMAC FRUGALS BARGAINS CLOSE-OUTS, INC ..................... 12,921 53,000 METRO HOLDINGS LTD ................... 66 104,000 OKAMATO INDUSTRIES, INC .............. 184 11,624 OPSM PROTECTOR LTD ................... 29 1,228,800 ROBINSON & CO LTD .................... 4,376 70,500 oSHOPKO STORES, INC ................... 1,533 173,626 oVENTURE STORES, INC .................. 152 108,700 oWATERFORD WEDGWOOD PLC (UNITS) ....... 147 1,476,100 oWOOLWORTH CORP ....................... 30,076 88,580 oWOOLWORTHS HOLDINGS LTD .............. 123 ----------- 179,432 ----------- VETERINARY SERVICES--0.00% 48,200 oVETERINARY CENTERS OF AMERICA, INC ... 648 ----------- VIDEO TAPE RENTAL--0.00% 147,100 oHOLLYWOOD ENTERTAINMENT CORP ......... 1,563 ----------- VOCATIONAL SCHOOLS--0.00% 21,900 oCOMPUTER LEARNING CENTERS, INC ....... 1,341 47,900 oDEVRY, INC ........................... 1,527 14,900 oLEARNING TREE INTERNATIONAL, INC ..... 430 ----------- 3,298 ----------- WATCHES, CLOCKS, WATCHCASES AND PARTS--0.00% 4,800 oFOSSIL, INC .......................... 120 43,000 SEIKO CORP ........................... 151 ----------- 271 ----------- WATER SUPPLY--0.01% 26,400 oAGUAS DE BARCELONA S.A ............... 1,088 260,800 AMERICAN WATER WORKS CO, INC ......... 7,123 147,200 ANGLIAN WATER PLC .................... 1,962 700 oAQUARION CO .......................... 24 400 oCALIFORNIA WATER SERVICE CO .......... 24 2,600 ETOWN CORP ........................... 104 33,700 oPHILADELPHIA SUBURBAN CORP ........... 992 1,700 oSOUTHERN CALIFORNIA WATER CO ......... 43 18,200 UNITED WATER RESOURCES, INC .......... 356 ----------- 11,716 ----------- WATER TRANSPORTATION OF FREIGHT, NEC--0.00% 102,400 oKIRBY CORP ........................... 1,978 ----------- WATER TRANSPORTATION OF PASSENGERS--0.00% 19,100 #oSTAR CRUISES ......................... 42 ----------- VALUE SHARES (000) ------ ---------- WATER TRANSPORTATION SERVICES--0.03% 604,700 TIDEWATER, INC .......................$ 33,334 ----------- WATER WELL DRILLING--0.00% 1,000 oLAYNE CHRISTENSEN CO ................. 13 ----------- WOMEN'S ACCESSORY AND SPECIALTY STORES--0.12% 591,100 CLAIRES STORES, INC .................. 11,490 108,618 CLAIRES STORES, INC (CLASS A) ........ 2,111 39,700 oGOODYS FAMILY CLOTHING, INC .......... 1,079 4,010,105 LIMITED, INC ......................... 102,258 ----------- 116,938 ----------- WOMEN'S AND CHILDREN'S UNDERGARMENTS--0.01% 171,000 oDONNA KARAN INTERNATIONAL, INC ....... 2,202 426,000 GUNZE LTD ............................ 708 276,000 WACOAL CORP .......................... 2,760 ---------- 5,670 ----------- WOMEN'S AND MISSES' OUTERWEAR--0.04% 118,750 BENETTON GROUP S.P.A ................. 1,946 17 ESCADA AG (STAMM) .................... 2 316,500 oJONES APPAREL GROUP, INC ............. 13,610 421,300 LIZ CLAIBORNE, INC ................... 17,616 1,053,100 oRENOWN, INC .......................... 445 105,000 TOKYO STYLE CO LTD ................... 953 30,000 oWOLFORD AG ........................... 1,814 ----------- 36,386 ----------- WOMEN'S CLOTHING STORES--0.03% 142,600 oANN TAYLOR STORES CORP ............... 1,907 413,600 CATO CORP (CLASS A) .................. 3,671 394,900 oCHARMING SHOPPES, INC ................ 1,851 220,500 DEB SHOPS, INC ....................... 1,227 337,800 oDRESS BARN, INC ...................... 9,585 270,500 INTIMATE BRANDS, INC (CLASS A) ....... 6,509 189,100 oPAUL HARRIS STORES, INC .............. 1,903 183,600 oPETRIE STORES CORP (LIQUIDATING TRUST) ................. 549 25,600 TALBOTS, INC ......................... 464 2,000 oURBAN OUTFITTERS, INC ................ 37 5,900 oWET SEAL, INC (CLASS A) .............. 174 ----------- 27,877 ----------- WOOD BUILDINGS AND MOBILE HOMES--0.02% 507,400 oCHAMPION ENTERPRISES, INC ............ 10,433 152,800 SKYLINE CORP ......................... 4,202 488,000 SUMITOMO FORESTRY CO LTD ............. 2,383 ----------- 17,018 ----------- YARN AND THREAD MILLS--0.03% 591,000 RUDDICK CORP ......................... 10,306 109,900 oTULTEX CORP .......................... 446 356,325 UNIFI, INC ........................... 14,443 ----------- 25,195 ----------- TOTAL COMMON STOCK (COST $ 54,723,006) ................... 97,568,598 ----------- See notes to financial statements. -62- VALUE PRINCIPAL 000 --------- ---------- SHORT TERM INVESTMENTS--3.82% BANK NOTES--0.14% BANKBOSTON NA $25,000,000 5.650%, 01/12/98 ....................$ 25,000 FCC NATIONAL BANK 36,000,000 5.660%, 01/26/98 .................... 35,995 FIRST NATIONAL BANK OF CHICAGO 25,000,000 5.890%, 08/26/98 .................... 24,987 MORGAN GUARANTY TRUST CO 50,000,000 5.850%, 03/16/98 .................... 49,984 ----------- 135,966 ----------- BANKERS ACCEPTANCES--0.01% BANK OF MONTREAL 8,500,000 5.520%, 01/15/98 .................... 8,477 ----------- CERTIFICATES OF DEPOSIT--0.47% ABN AMRO BANK N.V. 17,000,000 5.890%, 03/06/98 .................... 16,998 25,000,000 5.710%, 10/09/98 .................... 24,961 BANK OF AMERICA 20,000,000 5.730%, 05/12/98 .................... 19,998 BANK OF NOVA SCOTIA 25,000,000 5.890%, 08/27/98 .................... 24,999 CREDIT AGRICOLE 25,000,000 5.670%, 03/27/98 .................... 24,993 CREDIT SUISSE 25,000,000 5.660%, 02/12/98 .................... 24,999 DEUTSCHE BANK 25,000,000 5.800%, 08/05/98 .................... 24,983 DRESDNER BANK 25,000,000 5.650%, 01/08/98 .................... 25,000 MORGAN GUARANTY TRUST CO 50,000,000 5.770%, 02/03/98 .................... 49,992 RABOBANK 25,000,000 5.690%, 03/30/98 .................... 24,994 REGIONS BANK (ALABAMA) 18,000,000 5.650%, 01/30/98 .................... 17,999 ROYAL BANK OF CANADA 12,500,000 5.770%, 01/27/98 .................... 12,498 25,000,000 6.050%, 06/10/98 .................... 25,011 SOCIETE GENERALE 25,000,000 6.350%, 04/15/98 .................... 25,026 SWISS BANK CORP 50,000,000 5.850%, 08/26/98 .................... 49,984 WESTDEUTSCHE LANDESBANK 25,000,000 5.840%, 01/05/98 .................... 25,001 25,000,000 5.650%, 01/21/98 .................... 24,998 25,000,000 5.850%, 08/20/98 .................... 24,991 ----------- 467,425 ----------- COMMERCIAL PAPER--2.18% AIRTOUCH COMMUNICATIONS, INC 13,000,000 7.000%, 01/02/98 .................... 12,996 AMERICAN EXPRESS CREDIT CORP 100,000,000 5.830%, 01/15/98 .................... 99,758 ASSET SECURITIZATION COOPERATIVE CORP 15,000,000 ~ 5.600%, 02/20/98 .................... 14,875 VALUE PRINCIPAL 000 --------- ---------- ASSOCIATES CORP OF NORTH AMERICA $75,000,000 5.750%, 01/20/98 ....................$ 74,757 25,000,000 5.520%, 01/26/98 .................... 24,895 B.B.V. FINANCE (DELAWARE), INC 25,000,000 5.470%, 03/31/98 .................... 24,639 BANKERS TRUST NEW YORK CORP 21,500,000 5.480%, 01/21/98 .................... 21,427 14,000,000 5.500%, 01/21/98 .................... 13,952 25,000,000 5.540%, 01/21/98 .................... 24,915 16,000,000 5.520%, 02/17/98 .................... 15,875 25,000,000 5.550%, 04/08/98 .................... 24,611 25,000,000 5.690%, 06/09/98 .................... 24,371 BELL ATLANTIC FINANCIAL SERVICES, INC 5,000,000 5.770%, 01/22/98 .................... 4,982 BETA FINANCE, INC 17,500,000 ~ 5.480%, 02/02/98 .................... 17,407 BURLINGTON NORTHERN SANTA FE 50,000,000 ~ 6.400%, 01/05/98 .................... 49,960 CADES 25,000,000 5.520%, 04/09/98 .................... 24,607 CATERPILLAR FINANCIAL SERVICES CORP 15,700,000 5.600%, 01/06/98 .................... 15,685 CIESCO LP 40,000,000 ~ 5.770%, 01/15/98 .................... 39,903 COCA COLA ENTERPRISE 25,000,000 5.530%, 01/21/98 .................... 24,914 30,000,000 ~ 5.600%, 02/19/98 .................... 29,754 15,000,000 5.600%, 02/20/98 .................... 14,874 COLGATE-PALMOLIVE CO 24,700,000 5.600%, 02/04/98 .................... 24,560 COMMERCIAL CREDIT CO 25,000,000 5.540%, 01/22/98 .................... 24,911 5,000,000 5.720%, 02/05/98 .................... 4,971 CONAGRA, INC 14,000,000 6.850%, 01/05/98 .................... 13,989 COOPER INDUSTRIES, INC 24,000,000 6.400%, 01/05/98 .................... 23,981 CSX CORP 15,000,000 ~ 5.900%, 01/30/98 .................... 14,926 25,000,000 ~ 5.980%, 01/30/98 .................... 24,877 11,000,000 ~ 5.930%, 02/06/98 .................... 10,933 DELAWARE FUNDING CORP 35,984,000 ~ 5.550%, 01/07/98 .................... 35,945 27,985,000 ~ 5.850%, 01/15/98 .................... 27,917 DUPONT (E.I.) DE NEMOURS & CO 50,000,000 ~ 5.700%, 01/14/98 .................... 49,880 50,000,000 5.490%, 06/02/98 .................... 48,797 EL PASO NATURAL GAS CO 25,000,000 6.000%, 02/06/98 .................... 24,848 FORD MOTOR CREDIT CO 90,000,000 5.670%, 01/23/98 .................... 89,665 GENERAL ELECTRIC CAPITAL CORP 100,000,000 5.560%, 03/31/98 .................... 98,558 GENERAL MOTORS ACCEPTANCE CORP 25,000,000 5.570%, 01/15/98 .................... 24,939 10,000,000 5.510%, 02/04/98 .................... 9,943 20,000,000 5.580%, 05/11/98 .................... 19,584 See notes to financial statements. -63- VALUE PRINCIPAL 000 --------- ---------- COMMERCIAL PAPER--(CONTINUED) GOLDMAN SACHS GROUP LP $100,000,00 6.500%, 01/02/98 ....................$ 99,969 HOUSEHOLD FINANCE CORP 38,000,000 5.500%, 01/20/98 .................... 37,877 HOUSTON INDUSTRIES FINANCECO LP 50,000,000 ~ 6.110%, 01/05/98 .................... 49,960 25,000,000 ~ 6.050%, 01/15/98 .................... 24,938 IBM CREDIT CORP 25,000,000 5.720%, 02/06/98 .................... 24,850 INGERSOLL RAND CO 75,000,000 ~ 6.050%, 01/09/98 .................... 74,883 MERRILL LYNCH & CO, INC 16,000,000 5.530%, 02/09/98 .................... 15,897 14,250,000 5.650%, 02/13/98 .................... 14,149 25,000,000 5.550%, 03/27/98 .................... 24,655 MORGAN STANLEY DEAN WITTER 25,000,000 5.770%, 02/18/98 .................... 24,801 NATIONAL FUEL GAS CO 15,000,000 5.650%, 02/12/98 .................... 14,895 NATIONAL RURAL UTILITIES COOP FINANCE 40,000,000 ~ 5.530%, 01/14/98 .................... 39,904 20,000,000 ~ 5.530%, 01/16/98 .................... 19,948 20,000,000 ~ 5.570%, 02/19/98 .................... 19,837 16,000,000 5.490%, 02/20/98 .................... 15,867 PARK AVENUE RECEIVABLES CORP 50,000,000 ~ 5.600%, 02/13/98 .................... 49,644 PRAXAIR, INC 12,000,000 6.010%, 01/16/98 .................... 11,968 23,000,000 5.970%, 01/29/98 .................... 22,890 40,000,000 5.990%, 01/29/98 .................... 39,809 PROCTOR & GAMBLE 31,000,000 5.560%, 03/06/98 .................... 30,672 SEARS ROEBUCK ACCEPTANCE CORP 25,000,000 5.510%, 02/02/98 .................... 24,867 SMITH BARNEY HOLDINGS 5,000,000 5.850%, 01/12/98 .................... 4,990 SONAT, INC 25,000,000 7.050%, 01/02/98 .................... 24,992 SWEDISH EXPORT CREDIT CORP 50,000,000 ~ 5.520%, 01/06/98 .................... 49,954 50,000,000 5.550%, 01/09/98 .................... 49,923 TEXAS UTILITIES CO 25,000,000 ~ 6.110%, 01/09/98 .................... 24,961 25,000,000 ~ 6.080%, 01/16/98 .................... 24,934 25,000,000 ~ 5.950%, 02/02/98 .................... 24,864 UBS FINANCE (DELAWARE), INC 20,000,000 6.750%, 01/02/98 .................... 19,994 WALT DISNEY CO 18,000,000 ~ 5.490%, 06/04/98 .................... 17,561 WHIRLPOOL FINANCE 75,000,000 7.000%, 01/02/98 .................... 74,976 ---------- 2,171,810 ---------- VALUE PRINCIPAL 000 --------- ---------- EURO CERTIFICATES OF DEPOSIT--0.04% CREDIT AGRICOLE $20,000,000 5.750%, 02/17/98 ....................$ 19,999 MORGAN GUARANTY TRUST CO 25,000,000 5.770%, 02/23/98 .................... 25,003 ---------- 45,002 ---------- MEDIUM TERM BONDS--0.07% BENEFICIAL CORP 8,300,000 9.125%, 02/15/98 .................... 8,333 FORD MOTOR CREDIT CO 7,000,000 6.250%, 02/26/98 .................... 7,003 INTERNATIONAL BUSINESS MACHINE CORP 50,000,000 5.670%, 01/28/98 .................... 50,000 ---------- 65,336 ---------- OTHER AGENCIES--0.07% INTERNATIONAL BANK FOR RECONSTRUCTION 38,500,000 5.470%, 03/13/98 .................... 38,072 36,100,000 5.620%, 01/30/98 .................... 35,925 ---------- 73,997 ---------- U.S. GOVERNMENT & AGENCIES--0.54% FEDERAL FARM CREDIT BANK 25,000,000 5.450%, 03/03/98 .................... 24,991 FEDERAL HOME LOAN BANK 50,000,000 4.900%, 01/07/98 .................... 49,945 10,000,000 5.643%, 02/12/98 .................... 10,000 30,000,000 5.400%, 02/18/98 .................... 29,775 9,740,000 5.575%, 02/20/98 .................... 9,739 16,675,000 5.400%, 05/05/98 .................... 16,361 28,000,000 5.390%, 08/14/98 .................... 27,044 FEDERAL HOME LOAN MORTGAGE CORP 200,000,000 5.400%, 01/06/98 .................... 199,811 36,000,000 5.660%, 02/11/98 .................... 35,768 FEDERAL NATIONAL MORTGAGE ASSOCIATION 7,000,000 5.400%, 03/30/98 .................... 6,904 22,280,000 5.380%, 04/09/98 .................... 21,943 25,000,000 5.890%, 05/21/98 .................... 25,040 67,185,000 5.390%, 07/27/98 .................... 65,070 STUDENT LOAN MARKETING ASSOCIATION 12,000,000 5.400%, 06/30/98 .................... 11,671 ---------- 534,062 ---------- VARIABLE RATE NOTES--0.30% ABN AMRO BANK N.V. 29,000,000 6.165%, 05/13/98 .................... 28,986 BANC ONE COLUMBUS, N.A. 25,000,000 5.570%, 05/18/98 .................... 24,983 BANC ONE, DAYTON, N.A. 12,000,000 6.220%, 08/21/98 .................... 11,999 BANKERS TRUST NEW YORK CORP 25,000,000 6.180%, 05/13/98 .................... 24,988 HOUSEHOLD FINANCE CORP 25,000,000 5.876%, 06/03/98 .................... 24,998 IBM CREDIT CORP 25,000,000 5.745%, 09/15/98 .................... 24,988 KEY BANK OF NEW YORK 50,000,000 6.110%, 07/02/98 .................... 49,950 MORGAN STANLEY GROUP, INC 25,000,000 5.825%, 05/18/98 .................... 25,000 See notes to financial statements. -64- VALUE PRINCIPAL 000 --------- ---------- PNC BANK, NA $25,000,000 6.000%, 06/05/98 .................$ 25,003 25,000,000 6.100%, 07/01/98 ................. 24,973 SEARS ROEBUCK ACCEPTANCE CORP 25,000,000 5.960%, 03/25/98 ................. 25,003 SOCIETE GENERALE 13,000,000 6.160%, 07/01/98 ................. 12,987 -------------- 303,858 -------------- TOTAL SHORT TERM INVESTMENTS (COST $3,806,928) ................... 3,805,933 -------------- TOTAL PORTFOLIO (COST $58,653,834) ...................$ 101,553,111 ============== - ---------------- o Non-income producing + Affiliate holding x In bankruptcy ~ Commercial Paper issued under the private placement exemption under Section 4(2) of the Securities Act of 1993, as amended. # Restricted Securities--Investment in securities not registered under the Securities Act of 1933 or not publicly traded in foreign markets. Additional information on each holdings is as follows: ACQUISITION ACQUISITION SECURITY DATE COST - -------- ----------- ----------- AMER SATELLITE NETWORK WTS 06/30/99 01/12/94 $ 0 ANTENA 3 DE TELEVISION GDS 12/12/96 5,982,300 BANCO BRADESCO S.A. RTS 12/22/97 1,136 BANCO BRADESCO S.A. PFD RTS 12/22/97 7,142 BB BIOVENTURES L.P. 05/08/97 3,999,800 CORIMON C.A. S.A. ADR 07/29/97 79,380 CRESTARAN INTERNATIONAL INVESTMENT BV 09/30/94 0 ELEC & ELTEK INTERNATIONAL INVESTMENT CO LTD 08/08/97 310,803 HEIZER CORP (LIQUIDATING TRUST) 11/19/91 0 INCHCAPE MARKETING SERVICES 12/26/97 40,671 INTERNATIONAL HYDRON (LIQUIDATING TRUST) 12/07/92 0 LAIR LIQUIDE (REGD) VARIOUS 3,818,254 LAFARGE S.A. (REGD) 04/03/97 2,033,864 MARTEK BIOSCIENCES CORP WTS 05/18/98 05/22/95 177,776 METRO PACIFIC CORP 08/13/97 706,687 PT ARTHA GRAHA INVESTAMA SENTRAL (LR) 11/13/97 1,845,900 PUBLIC BANK BERHAD (FR) RTS 12/16/97 59,422 PUBLIC BANK BERHAD (LR) RTS 12/16/97 2,983 SODEXHO ALLIANCE S.A. 07/05/88 6,466,219 STAR CRUISES 12/10/97 34,971 TAK WING INVESTMENT WTS 12/31/98 06/17/97 147 UNITED ENGINEERING BERHAD 08/02/88 1,506,185 VIGLEN TECHNOLOGY (CV LOAN STK) 08/05/97 126,019 WESTFIELD TRUST (UNITS) NEW 08/28/91 9,082,719 WINDMERE CORP WTS 01/19/98 09/02/93 0 YORK RESEARCH CORP (CLASS C) WTS 09/30/98 11/05/96 14,848 ----------- $36,297,226 ----------- See notes to financial statements. -65-
COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES -- STOCK ACCOUNT JANUARY 1, 1997 -- DECEMBER 31, 1997 VALUE AT SHARES AT VALUE AT DECEMBER 31, PURCHASE SALES REALIZED DIVIDEND DECEMBER 31, DECEMBER 31, ISSUE 1996 COST PROCEEDS GAIN (LOSS) INCOME 1997 1997 ----- ------------- ------------ ------------ -------------- -------- ------------ ----------- ACMA LTD $ 35,680,364 -- $ 14,266,209 $ (1,231,682) -- * * AFFYMETRIX, INC 30,442,568 $ 1,045,544 20,078,242 11,089,623 -- * * BAY VIEW CAPITAL CORP ** 10,143,446 -- -- $ 148,456 825,802 $ 29,935,322 CENTRAL LOUISIANA ELECTRIC, INC 31,336,805 34,538 13,160,637 2,650,242 885,355 * * FMC CORP 166,004,598 13,117,652 26,374,838 8,399,552 -- 2,195,657 147,795,834 GENERAL SIGNAL CORP 108,982,575 41,680,972 18,809,950 3,967,895 1,367,870 3,265,100 137,746,406 GENSET S.A. 18,994,144 -- 9,343,532 7,388,510 -- * * MALLINCKRODT GROUP, INC 181,572,168 61,618,334 10,725,518 3,726,651 3,185,240 5,555,050 211,091,900 MARTEX BIOSCIENCES ** 348,750 -- -- -- 577,200 4,761,900 PICCADILLY CAFETERIA ** 62,543 102,432 (15,660) -- * * ~PLENUM PUBLISHING CORP ** ** -- -- 118,760 191,550 8,859,187 SMEDVIG A/S SERIES A ** 34,083,547 -- -- -- 2,469,828 52,684,750 SOUTH CHINA HOLDINGS LTD 8,199,788 -- -- -- 459,817 32,360,000 7,517,312 SOUTH CHINA INDUSTRIES LTD 7,401,472 -- -- -- 336,027 52,046,000 5,642,196 TPI ENTERPRISES, INC 103,781 -- 260,145 260,145 -- 1,107,000 3,321 YANKEE ENERGY SYSTEM ** 2,373,219 -- -- 405,550 605,300 16,153,943 ------------ ----------- ---------- ----------- --------- ----------- $588,718,263 $ 164,508,545 $113,121,503 $ 36,235,276 $6,907,075 $622,192,071 ============ =========== ============ ========== ========= =========== ** Not an Affiliate as of December 31, 1996 * Not an Affiliate as of December 31, 1997 ~ Shares Outstanding Decreased See notes to financial statements.
-66- COLLEGE RETIREMENT EQUITIES FUND Participant Voting Results December 31, 1997 CREF's annual meeting was held on November 10, 1997. The annual meeting involved the election of trustees. The four trustees elected to four-year terms at the annual meeting were: Joyce A. Fecske: 28,480,710,596.27 (97.9%) votes were cast in favor, and 592,205,753.84 (2.1%) votes were withheld. Edes P. Gilbert: 28,471,708,344.65 (97.9%) votes were cast in favor, and 601,208,005.46 (2.1%) votes were withheld. Stephen A. Ross: 28,548,803,399.57 (98.2%) votes were cast in favor, and 524,112,950.54 (1.8%) votes were withheld. Maceo K. Sloan: 28,503,276,499.51 (98.0%) votes were cast in favor, and 569,639,850.60 (2.0%) votes were withheld). The other trustees currently in office are Robert H. Atwell, Elizabeth E. Bailey, John H. Biggs, Gary P. Brinson, Stuart Tse Kong Ho, Nancy L. Jacob, Marjorie Fine Knowles, Martin L. Leibowitz, Jay O. Light, Bevis Longstreth, Robert M. Lovell, Jr., Eugene C. Sit, David K. Storrs, and Robert W. Vishny. One shareholder proposal was submitted to a vote of CREF participants in the Social Choice Account, recommending adoption of an additonal screen for the account. On this proposal, 136,860,178.52 (35.3%) votes were cast in favor, 215,479,099.19 (55.6%) votes were cast in opposition and 35,154,453.48 (9.1%) abstained. The proposal was defeated. One shareholder proposal was submitted to a vote of CREF participants in accounts with investments in tobacco manufacturers, asking CREF to divest its investments in those companies. For the Stock Account, 6,682,194,602.60 (27.2%) votes were cast in favor, 16,572,514,580.57 (67.3%) votes were cast in opposition and 1,361,033,104.75 (5.5%) abstained. The proposal was defeated. For the Money Market Account, 221,387,284.06 (28.2%) votes were cast in favor, 520,891,890.64 (66.4%) votes were cast in opposition and 42,146,814.74 (5.4%) abstained. The proposal was defeated. For the Bond Market Account, 85,787,185.95 (29.7%) votes were cast in favor, 188,830,276.55 (65.3%) votes were cast in opposition and 14,334,751.76 (5.0%) abstained. The proposal was defeated. For the Global Equities Account, 393,616,992.12 (27.7%) votes were cast in favor, 959,415,719.31 (67.6%) votes were cast in opposition and 65,873,882.54 (4.7%) abstained. The proposal was defeated. For the Growth Account, 301,216,507.74 (27.8%) votes were cast in favor, 733,811,753.68 (67.8%) votes were cast in opposition and 47,323,637.81 (4.4%) abstained. The proposal was defeated. For the Equity Index Account, 130,532,515.21 (29.6%) votes were cast in favor, 291,004,882.41 (66.1%) votes were cast in opposition and 18,844,530.38 (4.3%) abstained. The proposal was defeated. For the Inflation-Linked Bond Account, 882,139.87 (1.6%) votes were cast in favor, 53,616,138.81 (98.1%) votes were cast in opposition and 163,427.42 (0.3%) abstained. The proposal was defeated. Shareholders also ratified the election of Ernst & Young LLP as the independent auditors for CREF for the fiscal year ending December 31, 1997. 28,338,862,134.56 (97.5%) votes were cast in favor, 253,277,471.08 (0.9%) votes were cast in opposition and 480,776,744.47 (1.6%) abstained. -67- [CREF LOGO] | COLLEGE RETIREMENT EQUITIES FUND | 730 Third Avenue | New York, NY 10017-3206 | 212/490-9000 CAR--01S-2/98 CAR--01S-2/98 Printed on recycled paper -----END PRIVACY-ENHANCED MESSAGE-----