-----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, IID0j1oF7fgcTL3qLDsXJExpsRQN4u+MBgVnhXQxs4PvSWp9WfkpfOzmd27UgRQG 3Mnn7F/9hIbZL1azmtz7/g== 0000930413-96-000316.txt : 19960830 0000930413-96-000316.hdr.sgml : 19960830 ACCESSION NUMBER: 0000930413-96-000316 CONFORMED SUBMISSION TYPE: N-30D/A PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 19960630 FILED AS OF DATE: 19960829 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/A SEC ACT: 1940 Act SEC FILE NUMBER: 811-04415 FILM NUMBER: 96623733 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/A 1 SEMI-ANNUAL REPORT SEMI-ANNUAL REPORT - -------------------------------------------------------------------------------- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT FINANCIAL STATEMENTS (UNAUDITED) INCLUDING STATEMENT OF INVESTMENTS JUNE 30, 1996 - -------------------------------------------------------------------------------- As required by the Investment Company Act of 1940, CREF provides its participants with this semi-annual report of the financial condition and portfolio holdings of the Stock Account. CREF also provides a semi-annual report to participants in the six other CREF accounts. Annual reports are also provided each year toward the end of February. - -------------------------------------------------------------------------------- [LOGO} COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT INDEX TO UNAUDITED FINANCIAL STATEMENTS JUNE 30, 1996 - -------------------------------------------------------------------------------- PAGE ---- Statement of Assets and Liabilities........................................ 2 Statement of Operations.................................................... 3 Statements of Changes in Net Assets........................................ 4 Notes to Financial Statements.............................................. 5 Statement of Investments................................................... 10 -1- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 1996
ASSETS Portfolio investments, at cost ............................................ $48,622,753,846 Net unrealized appreciation of portfolio investments....................... 27,800,752,263 --------------- Portfolio investments, at value............................................ 76,423,506,109 Cash....................................................................... 51,009,661 Dividends and interest receivable.......................................... 152,741,166 Receivable from securities transactions.................................... 344,357,752 Amounts due from TIAA...................................................... 22,759,351 --------------- TOTAL ASSETS 76,994,374,039 --------------- LIABILITIES Deposits for securities loaned--Note 4..................................... 1,298,666,738 Due to banks--Note 4 ..................................................... 18,430,353 Payable for securities transactions........................................ 410,519,138 --------------- TOTAL LIABILITIES 1,727,616,229 --------------- NET ASSETS Accumulation Fund ......................................................... 62,897,158,676 Annuity Fund............................................................... 12,369,599,134 ------------- TOTAL NET ASSETS $75,266,757,810 =============== NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6....................... 630,560,599 =========== NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5 . ............................. $99.75 ======
See notes to financial statements. -2- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENT OF OPERATIONS (UNAUDITED) SIX MONTHS ENDED JUNE 30, 1996
INVESTMENT INCOME Income: Dividends.............................................................................. $ 755,485,242 Interest............................................................................... 36,749,687 -------------- TOTAL INCOME 792,234,929 -------------- Expenses--Note 3: Investment ............................................................................ 30,024,650 Operating.............................................................................. 78,560,885 -------------- TOTAL EXPENSES 108,585,535 -------------- INVESTMENT INCOME--NET 683,649,394 -------------- REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments................................................................ 3,478,140,823 Futures transactions................................................................. 5,899,228 Foreign currency transactions........................................................ (2,790,446) -------------- Net realized gain 3,481,249,605 -------------- Net change in unrealized appreciation (depreciation) on: Portfolio investments................................................................ 2,101,416,782 Futures transactions................................................................. 2,439,653 Translation of assets (other than portfolio investments) and liabilities in foreign currencies ................................................................ (108,911) -------------- Net change in unrealized appreciation 2,103,747,524 -------------- NET REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS 5,584,997,129 -------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $6,268,646,523 ==============
See notes to financial statements. -3- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS YEAR ENDED ENDED DECEMBER 31, JUNE 30, 1996 1995 -------------- ------------ (UNAUDITED) FROM OPERATIONS Investment income--net................................................ $ 683,649,394 $ 1,228,462,175 Net realized gain on total investments............................... 3,481,249,605 1,868,662,373 Net change in unrealized appreciation on total investments.................................................. 2,103,747,524 13,323,134,706 --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 6,268,646,523 16,420,259,254 --------------- --------------- FROM PARTICIPANT TRANSACTIONS Premiums............................................................. 1,194,448,799 2,244,897,088 --------------- ---------------- Disbursements and transfers: Net transfers to TIAA.............................................. 108,272,788 359,202,304 Net transfers to other CREF Accounts............................... 494,522,973 551,347,519 Annuity payments................................................... 482,455,720 853,948,681 Withdrawals and repurchases........................................ 434,839,633 690,669,089 Death benefits..................................................... 46,530,283 91,070,246 --------------- --------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET 1,566,621,397 2,546,237,839 --------------- --------------- NET DECREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS (372,172,598) (301,340,751) --------------- --------------- NET INCREASE IN NET ASSETS 5,896,473,925 16,118,918,503 NET ASSETS Beginning of year.................................................... 69,370,283,885 53,251,365,382 --------------- --------------- End of period........................................................ $75,266,757,810 $69,370,283,885 =============== ===============
See notes to financial statements. -4- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 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 seven investment portfolios. The accompanying financial statements are those of the Stock Account ("Account"), which invests primarily in equity securities. The six other investment portfolios of CREF, which are not included in these financial statements, include a Money Market Account, which invests in money market instruments; a Bond Market Account, which invests in a broad range of fixed-income securities; a Social Choice Account, which invests in a diversified portfolio of equity and fixed-income securities while giving special consideration to certain social criteria; a Global Equities Account, which invests in equity securities of foreign and domestic companies; a Growth Account, which invests in a diversified portfolio of equity securities that present opportunities for growth; and an Equity Index Account, which invests in a diversified portfolio of equity securities selected to track the overall United States stock market. 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. 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 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. -5- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED) 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 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 adjusted to reflect the 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 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. 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 in foreign currencies. -6- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONCLUDED) 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 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. FEDERAL INCOME TAXES: CREF is a nonprofit educational organization exempt from federal income taxation under the Internal Revenue Code ("Code"). Accordingly, CREF is 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 are not taxable. Any nonpension related income is subject to federal income taxation as unrelated business income; however, for the periods covered by these financial statements there was no such income. 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. -7- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 4--INVESTMENTS At June 30, 1996, the value of securities loaned was $2,485,331,797 and collateral received in connection therewith was comprised of cash of $1,298,666,738, letters of credit of $692,945,000 and United States government securities amounting to $626,354,557. At June 30, 1996, the due to banks balance resulted from securities transactions which were settled and paid by July 1, 1996. At June 30, 1996, net unrealized appreciation of portfolio investments, consisting of gross unrealized appreciation and gross unrealized depreciation, was as follows: Gross unrealized appreciation of portfolio investments....... $29,016,678,793 Gross unrealized depreciation of portfolio investments....... 1,215,926,530 --------------- NET UNREALIZED APPRECIATION OF PORTFOLIO INVESTMENTS........ .$27,800,752,263 =============== For the six months ended June 30, 1996, the Account engaged in transactions in futures contracts in the Standard & Poor's 500 Index with the following results: Futures contracts open at June 30, 1996, at cost................ $ - Net unrealized appreciation..................................... $ - ----------- Futures contracts open at June 30, 1996, at value............... $ - =========== Net realized gain on futures contracts closed................... $ 5,899,228 Net change in unrealized appreciation........................... $ 2,439,653 Number of futures contracts open at June 30, 1996............... - Average fair value of futures contracts based on daily balances during the period.......................... $77,630,861 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 June 30, 1996, the total value of investments in affiliated companies was $588,407,311. For the six months ended June 30, 1996, total dividend income and the net realized gain relating to such investments were $5,812,318 and $103,755,130, respectively. Purchases and sales of portfolio securities, other than short-term money market instruments, for the six months ended June 30, 1996, were as follows: Purchases: Unaffiliated issuers..................................... $6,346,652,471 Affiliated issuers....................................... 34,965,582 -------------- TOTAL PURCHASES $6,381,618,053 ============== Sales: Unaffiliated issuers..................................... $7,668,269,914 Affiliated issuers....................................... 217,556,825 -------------- TOTAL SALES $7,885,826,739 ============== -8- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONCLUDED) NOTE 5--CONDENSED FINANCIAL INFORMATION Selected condensed financial information for an Accumulation Unit of the Account is presented below.
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED ---------------------------------------------------- JUNE 30,1996 1995 1994 1993 1992 1991 ---------- ------ ------ ------ ------ ------ (UNAUDITED) Per Accumulation Unit Data: Investment income.............. $ 1.047 $ 1.885 $ 1.699 $ 1.606 $ 1.523 $ 1.552 Expenses....................... .144 .271 .223 .210 .181 .184 ------- ------- ------- ------- ------- ------- Investment income--net.......... .903 1.614 1.476 1.396 1.342 1.368 Net realized and unrealized gain (loss) on investments... 7.385 19.984 (1.557) 7.139 2.294 11.994 ------- ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value........ 8.288 21.598 (.081) 8.535 3.636 13.362 Accumulation Unit Value: Beginning of year.............. 91.460 69.862 69.943 61.408 57.772 44.410 ------- ------- ------- ------- ------- ------- End of period.................. $99.748 $91.460 $69.862 $69.943 $61.408 $57.772 ======= ======= ======= ======= ======= ======= Total return..................... 9.06% 30.92% (0.12%) 13.90% 6.29% 30.09% Ratios to Average Net Assets: Expenses....................... 0.15% 0.34% 0.32% 0.32% 0.31% 0.36% Investment income--net.......... 0.94% 2.00% 2.11% 2.14% 2.32% 2.65% Portfolio turnover rate.......... 8.92% 16.25% 18.77% 22.93% 16.29% 22.47% Thousands of Accumulation Units outstanding at end of period... 630,561 632,803 637,435 642,528 645,564 640,298
NOTE 6--ACCUMULATION UNITS: Changes in the number of Accumulation Units outstanding were as follows:
SIX MONTHS YEAR ENDED ENDED DECEMBER 31, JUNE 30, 1996 1995 ------------ ----------- (UNAUDITED) Accumulation Units: Credited for premiums................................. 12,402,199 27,995,571 Cancelled for transfers, disbursements and amounts applied to the Annuity Fund................. (14,644,580) (32,627,261) Outstanding: Beginning of year................................... 632,802,980 637,434,670 ----------- ----------- End of period....................................... 630,560,599 632,802,980 =========== ===========
-9- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED) JUNE 30, 1996 SUMMARY BY INDUSTRY VALUE % -------------- ---- BONDS CORPORATE BONDS AUTOMOTIVE & RELATED ................... $ 130,056 0.00% BANKS .................................. 16,428,425 0.02 BROADCASTERS ........................... 7,882,725 0.01 CONGLOMERATES .......................... 113,001 0.00 ELECTRICAL EQUIPMENT ................... 176,401 0.00 ENVIRONMENTAL CONTROL .................. 4,568,232 0.01 FINANCIAL--MISCELLANEOUS ............... 2,005,920 0.00 HEALTHCARE--DRUGS ...................... 8,950,000 0.01 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY .................. 3,514,843 0.00 LEISURE TIME ........................... 638,560 0.00 METALS--STEEL .......................... 177,519 0.00 PETROLEUM--SERVICE ..................... 1,950,000 0.00 RETAIL--GENERAL MERCHANDISE ............ 10,584,173 0.02 TRUCKERS & SHIPPING .................... 3,738,334 0.01 UTILITIES--GAS & PIPELINE .............. 201,145 0.00 -------------- ------ TOTAL CORPORATE BONDS (Cost $ 55,975,528) ................... 61,059,334 0.08 -------------- ------ GOVERNMENT BONDS U.S. GOVERNMENT BONDS .................. 394,316 0.00 -------------- ------ TOTAL GOVERNMENT BONDS (Cost $ 381,469) ...................... 394,316 0.00 -------------- ------ TOTAL BONDS (Cost $ 56,356,997) ................... 61,453,650 0.08 -------------- ------ PREFERRED STOCK AUTOMOTIVE & RELATED ................... 2,169,235 0.00 BANKS .................................. 2,879,552 0.00 BEVERAGES .............................. 942,510 0.00 BUSINESS SERVICES ...................... 17,531,465 0.02 CHEMICALS--MAJOR ....................... 3,336,771 0.01 CHEMICALS--SPECIALTY ................... 88,234 0.00 CONGLOMERATES .......................... 469,489 0.00 CONSTRUCTION-- MATERIALS & BUILDERS ................. 362,453 0.00 COSMETICS .............................. 23,387 0.00 FINANCIAL--MISCELLANEOUS ............... 79,825 0.00 FOODS .................................. 254,701 0.00 FOREST PRODUCTS ........................ 3,627,435 0.01 HEALTHCARE--OTHER ...................... 5,999,999 0.01 HEALTHCARE--SERVICE .................... 10,205,852 0.02 HOUSEHOLD--DURABLE GOODS ............... 257,125 0.00 HOUSEHOLD--PRODUCTS .................... 48,789 0.00 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY .................. 122,790 0.00 MACHINERY .............................. 1,320,166 0.00 METALS--NON-FERROUS .................... 70,112 0.00 METALS--STEEL .......................... 11,095,120 0.01 PAPER .................................. 65,650,000 0.09 PETROLEUM-- EXPLORATION & PRODUCTION ............. 156,319 0.00 PETROLEUM--INTEGRATED .................. 1,333,519 0.00 PUBLISHING--NEWSPAPER .................. 10,242,880 0.01 PUBLISHING--OTHER ...................... 11,245,700 0.02 RETAIL--GENERAL MERCHANDISE ............ 2,844,636 0.00 UTILITIES--ELECTRIC .................... 6,504,054 0.01 UTILITIES--GAS & PIPELINE .............. 808,703 0.00 UTILITIES--OTHER ....................... 89,757 0.00 UTILITIES--TELEPHONE ................... 27,271,966 0.04 -------------- ------ TOTAL PREFERRED STOCK (Cost $ 141,458,550) ................... 187,032,544 0.25 -------------- ------ COMMON STOCK AEROSPACE .............................. 932,585,643 1.24 AIR TRANSPORTATION ..................... 386,391,194 0.51 AUTOMOTIVE & RELATED ................... 1,830,415,712 2.43 BANKS .................................. 6,279,171,178 8.34 BEVERAGES .............................. 2,067,231,708 2.75 BROADCASTERS ........................... 625,968,119 0.83 BUSINESS SERVICES ...................... 1,021,884,003 1.36 CHEMICALS--MAJOR ....................... 1,586,764,420 2.11 CHEMICALS--SPECIALTY ................... 939,049,544 1.25 COMMUNICATION EQUIPMENT & SERVICES ................. 1,591,374,387 2.11 COMPUTER SERVICE ....................... 2,072,436,168 2.75 CONGLOMERATES .......................... 1,719,995,112 2.29 CONSTRUCTION-- MATERIALS & BUILDERS ................. 893,493,139 1.19 CONTAINERS ............................. 91,814,390 0.12 COSMETICS .............................. 426,829,873 0.57 ELECTRICAL EQUIPMENT ................... 2,920,733,708 3.88 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED ............... 1,815,288,000 2.41 ELECTRICAL EQUIPMENT-- INSTRUMENTS .......................... 402,616,741 0.53 ENVIRONMENTAL CONTROL .................. 302,107,982 0.40 FINANCIAL--MISCELLANEOUS ............... 2,527,989,873 3.36 FOODS .................................. 1,518,875,843 2.02 FOREST PRODUCTS ........................ 449,927,384 0.60 HEALTHCARE--DRUGS ...................... 4,187,327,308 5.56 HEALTHCARE--HOSPITAL SUPPLY ............ 1,210,793,042 1.61 HEALTHCARE--OTHER ...................... 653,519,479 0.87 HEALTHCARE--SERVICE .................... 883,262,336 1.17 HOUSEHOLD-- CONSUMER ELECTRONICS ................. 222,201,012 0.30 HOUSEHOLD--DURABLE GOODS ............... 255,099,821 0.34 HOUSEHOLD--PRODUCTS .................... 1,098,881,567 1.46 INSURANCE--BROKERS & OTHER ............. 161,677,054 0.21 INSURANCE--LIFE ........................ 451,886,445 0.60 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY .................. 2,403,989,271 3.19 LEISURE TIME ........................... 1,112,596,384 1.48 MACHINERY .............................. 1,424,596,294 1.89 METALS--ALUMINIUM ...................... 180,785,052 0.24 METALS--GOLD ........................... 259,608,207 0.34 METALS--NON-FERROUS .................... 300,457,892 0.40 METALS--STEEL .......................... 421,467,749 0.56 MISCELLANEOUS MATERIALS & COMMODITIES .............. 52,740,957 0.07 OFFICE EQUIPMENT ....................... 2,435,147,040 3.24 PAPER .................................. 742,741,073 0.99 PETROLEUM-- EXPLORATION & PRODUCTION ............. 640,027,063 0.85 PETROLEUM--INTEGRATED .................. 3,384,464,524 4.50 PETROLEUM--SERVICE ..................... 714,439,125 0.95 See notes to financial statements. -10- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED)--(CONTINUED) JUNE 30, 1996 SUMMARY BY INDUSTRY VALUE % -------------- ---- PHOTOGRAPHY ............................ $ 258,574,389 0.34% PROPERTY--REAL ESTATE .................. 793,993,943 1.05 PUBLISHING--NEWSPAPER .................. 395,999,004 0.53 PUBLISHING--OTHER ...................... 578,638,943 0.77 RAILROAD ............................... 757,025,112 1.01 RESTAURANTS & HOTELS ................... 835,904,403 1.11 RETAIL--FOOD ........................... 544,543,440 0.72 RETAIL--GENERAL MERCHANDISE ............ 3,029,542,536 4.03 TEXTILE & APPAREL ...................... 368,584,121 0.49 TOBACCO ................................ 1,224,964,994 1.63 TRADING COMPANIES ...................... 153,113,933 0.20 TRUCKERS & SHIPPING .................... 229,791,358 0.31 UTILITIES--ELECTRIC .................... 2,930,705,127 3.89 UTILITIES--GAS & PIPELINE .............. 689,770,904 0.92 UTILITIES--OTHER ....................... 14,357,310 0.02 UTILITIES--TELEPHONE ................... 4,321,831,648 5.74 --------------- ------ TOTAL COMMON STOCK (Cost $ 44,976,711,977) ................ 72,727,993,981 96.63 --------------- ------ SHORT TERM INVESTMENTS BANK NOTES ............................. 200,780,603 0.27 BANKERS ACCEPTANCES .................... 99,014,908 0.13 CERTIFICATES OF DEPOSIT ................ 155,903,656 0.21 COMMERCIAL PAPER ....................... 2,191,077,775 2.91 GOVERNMENT AGENCIES .................... 453,709,628 0.60 MEDIUM TERM BONDS ...................... 101,544,567 0.14 VARIABLE RATE NOTES .................... 219,993,500 0.29 --------------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $ 3,423,226,322) ................. 3,422,024,637 4.55 --------------- ------ TIME DEPOSITS (Cost $ 25,000,000) .................... 25,000,000 0.03 --------------- ------ ROUNDING ............................... 1,297 0.00 --------------- ------ TOTAL PORTFOLIO (Cost $ 48,622,753,846) ................ 76,423,506,109 101.54 --------------- ------ OTHER ASSETS & LIABILITIES, NET ...... (1,156,748,299) (1.54) --------------- ------ NET ASSETS ............................... $75,266,757,810 100.00% =============== ====== See notes to financial statements. -11- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED) JUNE 30, 1996 SUMMARY BY COUNTRY VALUE % --------------- ------- DOMESTIC: UNITED STATES ................ $61,167,609,751 80.04% --------------- ------ TOTAL DOMESTIC ................. 61,167,609,751 80.04 --------------- ------ FOREIGN: ARGENTINA .................... 16,743,550 0.02 AUSTRALIA .................... 386,257,531 0.51 AUSTRIA ...................... 10,467,344 0.01 BELGIUM ...................... 95,806,849 0.13 BRAZIL ....................... 40,257,666 0.05 CANADA ....................... 278,550,152 0.37 CHILE ........................ 59,442,488 0.08 CHINA ........................ 24,843,863 0.03 DENMARK ...................... 63,380,445 0.08 FINLAND ...................... 66,536,544 0.09 FRANCE ....................... 608,516,208 0.80 GERMANY ...................... 545,417,762 0.71 HONG KONG .................... 1,026,738,973 1.34 INDIA ........................ 14,130,200 0.02 INDONESIA .................... 123,011,870 0.16 IRELAND ...................... 5,226,972 0.01 ITALY ........................ 399,035,152 0.52 JAPAN ........................ 4,067,993,419 5.32 KOREA ........................ 86,642,626 0.11 LUXEMBOURG ................... 1,905,000 0.00 MALAYSIA ..................... 217,519,709 0.29 MEXICO ....................... 23,662,125 0.03 MISCELLANEOUS ................ 37,599,247 0.05 NETHERLANDS .................. 484,738,907 0.64 NEW ZEALAND .................. 201,171,889 0.26 NORWAY ....................... 47,411,831 0.06 PHILIPPINES .................. 23,976,870 0.03 PORTUGAL ..................... 10,907,297 0.02 SINGAPORE .................... 213,700,335 0.28 SOUTH AFRICA ................. 29,098,796 0.04 SPAIN ........................ 223,069,746 0.29 SWEDEN ....................... 231,592,777 0.30 SWITZERLAND .................. 507,458,042 0.66 THAILAND ..................... 112,269,531 0.15 UNITED KINGDOM 1,523,790,005 1.99 --------------- ------ TOTAL FOREIGN .................. 11,808,871,721 15.45 --------------- ------ SHORT TERM INVESTMENTS ......... 3,422,024,637 4.48 --------------- ------ TIME DEPOSITS .................. 25,000,000 0.03 --------------- ------ TOTAL PORTFOLIO ................ $76,423,506,109 100.00% =============== ====== See notes to financial statements. -12- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED) JUNE 30, 1996 PRINCIPAL VALUE --------- ------------ BONDS--0.08% CORPORATE BONDS--0.08% AUTOMOTIVE & RELATED--0.00% MICHELIN S.A. CV 2,333(1) 2.500%, 01/01/01 ............. $ 130,056 ------------ BANKS--0.02% BANGKOK BANK PUBLIC CO LTD CV 6,000,000 3.250%, 03/03/04 ............. 6,870,000 BANK OF TOKYO CV 226,000,000(2) 6.100%, 03/31/97 ............. 4,079,675 SIAM COMMERCIAL BK CV 4,500,000 3.250%, 01/24/04 ............. 5,478,750 ------------ 16,428,425 ------------ BROADCASTERS--0.01% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 8,615,000 8.000%, 07/07/06 ............. 7,882,725 ------------ CONGLOMERATES--0.00% BRIERLEY INVESTMENTS LTD CV NOTE 129,875(3) 9.000%, 06/30/98 ............. 113,001 ------------ ELECTRICAL EQUIPMENT--0.00% OLIVETTI S.P.A. CV 255,000(4) 7.500%, 01/01/99 ............. 176,401 ------------ ENVIRONMENTAL CONTROL--0.01% WMX TECHNOLOGIES, INC (SUBORDINATED CV NOTE) 4,979,000 2.000%, 01/24/05 ............. 4,568,232 ------------ FINANCIAL--MISCELLANEOUS--0.00% EVEREN CAPITAL CORP 13.5% 1,152,100 13.500%, 09/15/07 ............. 313,947 FINANCE ONE PUBLIC CO LTD 57,578(5) 3.750%, 03/15/01 ............. 1,691,973 ------------ 2,005,920 ------------ HEALTHCARE--DRUGS--0.01% IVAX CORP CV 10,000,000 6.500%, 11/15/01 ............. 8,950,000 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.00% AXA S.A. CV 54,513(1) 4.500%, 01/01/99 ............. 3,478,338 CORPORACION MAPFRE CV 449(6) 8.500%, 02/27/99 ............. 36,505 ------------ 3,514,843 ------------ LEISURE TIME--0.00% SKIS ROSSIGNOL S.A. CV 1,250(1) 3.000%, 04/01/01 ............. 638,560 ------------ METALS--STEEL--0.00% #PREUSSAG AG. (W/W) 236(7) 5.750%, 05/17/01 ............. 177,519 ------------ PETROLEUM--SERVICE--0.00% FAR EAST LEVINGSTON 2,000,000 1.500%, 05/02/01 ............ 1,950,000 ------------ RETAIL--GENERAL MERCHANDISE--0.02% oCASTORAMA DUBOIS INVESTISSEMENT CV 1,799 3.150%, 01/01/03 ............. 419,323 GOLDLION CAPITAL CV 4,000,000 4.875%, 02/01/99 ............. 5,380,000 ROBINSON DEPARTMENT STORE PUBLIC CO CV 4,410,000 3.250%, 07/27/00 .............. 4,784,850 ------------ 10,584,173 ------------ TRUCKERS & SHIPPING--0.01% YAMATO TRANSPORT CV 340,000,000(2) 1.700%, 09/30/02 .............. 3,738,334 ------------ UTILITIES--GAS & PIPELINE--0.00% LYONNAISE DES EAUX 1,812(1) 4.000%, 01/01/06 .............. 201,145 ------------ TOTAL CORPORATE BONDS (Cost $55,975,528) ............... 61,059,334 ------------ GOVERNMENT BONDS--0.00% U.S. TREASURY BOND 325,000 11.750%, 02/15/01 ............. 394,316 ------------ TOTAL GOVERNMENT BONDS (Cost $381,469) .................. 394,316 ------------ TOTAL BONDS (Cost $56,356,997)...... .......... 61,453,650 ------------ - ---------------- (1) DENOMINATED IN FRENCH FRANCS (2) DENOMINATED IN JAPANESE YEN (3) DENOMINATED IN NEW ZEALAND DOLLARS (4) DENOMINATED IN ITALIAN LIRE (5) DENOMINATED IN THAILAND BAHTS (6) DENOMINATED IN SPANISH PESATA (7) DENOMINATED IN DEUTSCHE MARK SHARES ------- PREFERRED STOCK--0.25% AUTOMOTIVE & RELATED--0.00% 15,800 PIRELLI PNEUS S.A. ............... 29,897 7,800 VOLKSWAGENWERKE AG. .............. 2,139,338 ------------ 2,169,235 ------------ BANKS--0.00% 2,710,000 BANCO ITAU S.A. .................. 1,101,138 2,900 BANK AUSTRIA AG. ................. 120,193 197,356,038 BRADESCO S.A. .................... 1,611,711 1,717,600 UNIBANCO S.A. .................... 46,510 ------------ 2,879,552 ------------ BEVERAGES--0.00% 1,579,924 BRAHMA S.A. ...................... 942,510 ------------ See notes to financial statements. -13- SHARES VALUE ------ ----- BUSINESS SERVICES--0.02% 158,380 oPREMIER FARNELL PLC CV ADR ....... $ 4,038,690 91,000 SAP (VORZUG) AG. ................. 13,492,775 ------------ 17,531,465 ------------ CHEMICALS--MAJOR--0.01% 170,000 COPENE-PETROQUIMICA DO NORDESTE S.A. ................ 81,942 18,000 FRESENIUS VORZUG AG. ............. 3,254,829 ------------ 3,336,771 ------------ CHEMICALS--SPECIALTY--0.00% 20,700,000 oFERTILIZANTES FOSFATADOS S.A. .... 88,234 ------------ CONGLOMERATES--0.00% 26,194 TELEDYNE, INC SERIES E ........... 402,732 53,705 oTRAFALGAR HOUSE PLC 6% CV CUM .... 66,757 ------------ 469,489 ------------ CONSTRUCTION--MATERIALS & BUILDERS--0.00% 521,000 CIM ITAU S.A. .................... 147,359 1,500,000 DURATEX S.A. ..................... 64,834 582 oDYCKERHOFF ZEMENTWERKE AG. ....... 150,260 ------------ 362,453 ------------ COSMETICS--0.00% 40 WELLA GROUP AG. .................. 23,387 ------------ FINANCIAL--MISCELLANEOUS--0.00% 3,100 PHOENIX DUFF & PHELPS CORP ....... 79,825 ------------ FOODS--0.00% 4,600,000 CEVAL ALIMENTOS .................. 47,873 57,361,445 PERDIGAO COMERCIO E INDUSTRIA .... 102,257 150,000 SADIA CONCORDIA S.A. ............. 104,571 ------------ 254,701 ------------ FOREST PRODUCTS--0.01% 1,752,666 ARACRUZ CELULOSE S.A. ............ 3,264,103 173,750 KLABIN FABRICADORA S.A. .......... 219,761 1,670 KONINKLIJKE NV ................... 7,728 6,200,000 VOTORANTIM CELULOSE E PAPEL S.A. . 135,843 ------------ 3,627,435 ------------ HEALTHCARE--OTHER--0.01% 5,454,545 oDARWIN MOLECULAR CORP SERIES B ... 5,999,999 HEALTHCARE--SERVICE--0.02% 374,080 FHP INTERNATIONAL CORP SERIES A CV 9,539,040 113,500 oMEDIQ, INC SERIES A .............. 666,812 ------------ 10,205,852 ------------ HOUSEHOLD--DURABLE GOODS--0.00% 620,000 BRASMOTOR S.A. ................... 193,885 25,400,000 oREFRIGERACAO PARANA S.A. ......... 63,240 ------------ 257,125 ------------ HOUSEHOLD--PRODUCTS--0.00% 2,300,000 BOMBRIL S.A. ..................... 48,789 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.00% 23,604 INTERNATIONALE NEDERLANDEN GROEP NV ........................ 122,790 ------------ MACHINERY--0.00% 1,100,000 BELGO MINEIRA S.A. ............... 70,112 6,300 oMAN AG. (NON-VTG) ................ 1,216,791 20,000 oPIRELLI CABOS S.A. ............... 33,263 ------------ 1,320,166 ------------ METALS--NON-FERROUS--0.00% 8,800,000 oPARANAPANEMA S.A. ................ 70,112 ------------ METALS--STEEL--0.01% 77,597,100 CIA ACOS ESPECIAIS ITABIR-ACESITA 224,885 231,000,000 COMPANHIA SIDERURGICA DE TUBARAO S.A. ................. 3,680,909 175,000 oCONFAB INDUSTRIAL S.A. ........... 64,485 1,086,000 USINAS SIDERGIACAS DE MINAS GERAIS 1,146,459 308,632 VALE DO RIO DOCE CIA ............. 5,978,382 ------------ 11,095,120 ------------ PAPER--0.09% 2,600,000 JAMES RIVER CORP OF VIRGINIA SERIES P ....................... 65,650,000 ------------ PETROLEUM-- EXPLORATION & PRODUCTION--0.00% 10,900,000 IPIRANGA S.A. .................... 156,319 ------------ PETROLEUM--INTEGRATED--0.00% 10,842,000 PETROBRAS S.A. ................... 1,333,519 ------------ PUBLISHING--NEWSPAPER--0.01% 2,076,786 NEWS CORP LTD (LTD-VTG) .......... 10,134,757 36,150 RURAL PRESS LTD .................. 108,123 ------------ 10,242,880 ------------ PUBLISHING--OTHER--0.02% 210,200 HARCOURT GENERAL, INC SERIES A $.64 .................. 11,245,700 ------------ RETAIL--GENERAL MERCHANDISE--0.00% 50,800 oKMART CORP CV .................... 2,755,900 4,500,000 LOJAS AMERICANAS S.A. ............ 88,736 ------------ 2,844,636 ------------ UTILITIES--ELECTRIC--0.01% 1,885,893 ELECTROBRAS S.A. SERIES B ........ 539,041 50,000 NORTHERN ELECTRIC PLC ............ 78,272 191,470 oRHEIN-WESTFALEN ELECTRIC AG. (VORZUG) ........................ 5,886,741 ------------ 6,504,054 ------------ UTILITIES--GAS & PIPELINE--0.00% 30,412,697 CEMIG S.A. ....................... 808,703 ------------ UTILITIES--OTHER--0.00% 59,400 HYDER PLC ........................ 89,757 ------------ UTILITIES--TELEPHONE--0.04% 240,468 oCELLULAR COMMUNICATIONS, INC CV .. 12,714,745 232,000 SPRINT CORP ...................... 9,338,000 72,590,224 TELEBRAS S.A. .................... 5,067,798 707,181 TELESP S.A. ...................... 151,423 ------------ 27,271,966 ------------ TOTAL PREFERRED STOCK (Cost $141,458,550) .............. 187,032,544 ------------ COMMON STOCK--96.63% AEROSPACE--1.24% 149,550 AAR CORP ......................... 3,047,081 195,225 oALLIANT TECHSYSTEMS, INC ......... 9,199,978 170,000 oASIA AIR SURVEY CO LTD ........... 1,766,874 See notes to financial statements. -14- SHARES VALUE ------ ----- AEROSPACE--(continued) 214,588 oAVIALL, INC NEW ............................ $ 1,984,939 3,552,523 BOEING CO .................................. 309,513,566 2,429,968 BRITISH AEROSPACE PLC ...................... 36,888,435 7,134 oBRITISH AEROSPACE PLC WTS 11/15/00 ......... 51,433 572,600 COBHAM GROUP PLC ........................... 5,654,080 776,400 EG & G, INC ................................ 16,595,550 6,800 oFABBRICA ITALIANA APPARECCHIATURE .......... 22,079 330,300 FLIGHTSAFETY INTERNATIONAL, INC ............ 17,918,775 313,300 GENERAL DYNAMICS CORP ...................... 19,424,600 1,339,140 GENERAL MOTORS CORP (CLASS H) .............. 80,515,792 401,600 KAMAN CORP (CLASS A) ....................... 4,066,200 1,612,664 LOCKHEED MARTIN CORP ....................... 135,463,776 1,692,300 MCDONNELL DOUGLAS CORP ..................... 82,076,550 501,600 NORTHROP GRUMMAN CORP ...................... 34,171,500 465,200 oOEA, INC ................................... 17,445,000 342,400 oORBITAL SCIENCES CORP ...................... 5,564,000 231,750 PRECISION CASTPARTS CORP ................... 9,965,250 2,020,340 RAYTHEON CO ................................ 104,300,052 700 oROHR, INC .................................. 14,612 5,546,163 ROLLS ROYCE LTD ............................ 19,303,486 1,400 oSAGEM S.A .................................. 840,277 126,800 SMITHS INDUSTRIES PLC ...................... 1,387,033 8,512 oSOCIETE EUROPEENNE DE PROPULISIAN S.A ...... 983,750 47,300 SPAR AEROSPACE LTD ......................... 372,318 114,300 oTECH-SYM CORP .............................. 3,400,425 59,533 oTHOMSON-CSF ................................ 1,673,257 204,300 oWHITTAKER CORP ............................. 3,779,550 292,700 oWYMAN-GORDON CO ............................ 5,195,425 ------------ 932,585,643 ------------ AIR TRANSPORTATION--0.51% 72,000 oAIR CANADA, INC ............................ 253,056 136,762 oAIR EXPRESS INTERNATIONAL CORP ............. 3,863,526 158,100 AIRBORNE FREIGHT CORP ...................... 4,110,600 311,000 oALASKA AIR GROUP, INC ...................... 8,513,625 1,300 ALL NIPPON AIRWAYS CO LTD .................. 13,985 5,000 oAMERICA WEST AIRLINES, INC (CLASS B) ....... 110,000 869,300 oAMR CORP ................................... 79,106,300 212,798 ATLANTIC SOUTHEAST AIRLINES, INC ........... 6,011,543 1,100 oAUSTRIAN AIRLINES .......................... 169,322 3,262,460 BRITISH AIRWAYS PLC ........................ 28,083,425 200 oCANADIAN AIRLINES CORP ..................... 468 4,000 oCANADIAN AIRLINES CORP WTS 4/22/99 ......... 102 6,185,000 CATHAY PACIFIC AIRWAYS LTD ................. 11,346,018 481,800 COMAIR HOLDINGS, INC ....................... 13,008,600 85,800 oCONTINENTAL AIRLINES, INC (CLASS B) ........ 5,298,150 553,243 DELTA AIRLINES, INC ........................ 45,919,169 446,800 oFEDERAL EXPRESS CORP ....................... 36,637,600 131,850 HARPER GROUP ............................... 2,571,075 2,940,721 oJAPAN AIRLINES CO LTD ...................... 23,780,960 22,983 oKLM (ROYAL DUTCH AIRLINES) ................. 735,132 202,087 KOREAN AIR LINES CO ........................ 4,709,374 38,899 oLUFTHANSA AG ............................... 5,494,209 286,000 oMALAYSIAN AIRLINE SYSTEM BERHAD ............ 911,192 110,400 oMALAYSIAN HELICOPTER SERVICES BERHAD ....... 161,929 22,080 oMALAYSIAN HELICOPTER SERVICES BERHAD WTS 6/11/00 ........................ 10,087 574,000 oMESA AIRLINES, INC ......................... 6,816,250 393,500 oNORTHWEST AIRLINES CORP (CLASS A) .......... 15,543,250 12,800 SAS DANMARK AS ............................. 174,579 51,200 oSAS DANMARK AS RTS ......................... 39,280 428,000 oSINGAPORE INTERNATIONAL AIRLINES LTD (FR) .. 4,518,029 200 SKYWEST, INC ............................... 3,725 1,008,300 SOUTHWEST AIRLINES CO ...................... 29,366,737 4,735 oSWISS AIR TRANSPORT CO (REGD) .............. 4,581,035 897,000 oU.S. AIR GROUP, INC ........................ 16,146,000 489,320 oUAL CORP NEW ............................... 26,300,950 220,600 oVALUJET, INC ............................... 2,081,912 ------------ 386,391,194 ------------ AUTOMOTIVE & RELATED--2.43% 479,100 oALLEN GROUP, INC ........................... 10,420,425 119,700 oAMERICREDIT CORP ........................... 1,870,312 407,100 APOGEE ENTERPRISES, INC .................... 13,943,175 117,400 ARVIN INDUSTRIES, INC ...................... 2,612,150 140,800 AUTOLIV AB ................................. 4,286,149 121,900 BANDAG, INC ................................ 5,851,200 199,100 BANDAG, INC (CLASS A) ...................... 9,332,812 167,239 BBA GROUP PLC .............................. 800,356 3,100 BEKAERT S.A ................................ 2,498,381 200 BORG-WARNER AUTOMOTIVE, INC ................ 7,900 247,000 BREED TECHNOLOGIES, INC .................... 5,526,625 100,000 BREMBO S.P.A ............................... 1,180,120 1,570,100 BRIDGESTONE CORP ........................... 29,917,517 2,885,379 CHRYSLER CORP .............................. 178,893,498 59,221 oCIA INTERAMERICA DE AUTOMO (RENAULT) ....... 412,162 36,980 CONTINENTAL AG ............................. 600,056 1,193,200 COOPER TIRE & RUBBER CO .................... 26,548,700 1,025,000 oCOWIE GROUP PLC ............................ 6,545,770 292,300 CUMMINS ENGINE CO, INC ..................... 11,801,612 1,162,000 CYCLE & CARRIAGE LTD ....................... 12,430,886 1,000,000 DAIHATSU MOTOR CO LTD ...................... 6,536,889 70,436 oDAIMLER BENZ AG ............................ 37,688,957 70,436 oDAIMLER BENZ AG. RTS ....................... 9,717 996,980 DANA CORP .................................. 30,906,380 324,100 DANAHER CORP ............................... 14,098,350 31,000 oDETROIT DIESEL CORP ........................ 600,625 312,400 DONALSON, INC .............................. 8,044,300 824,934 EATON CORP ................................. 48,361,755 544,900 ECHLIN, INC ................................ 20,638,087 90,000 EDARAN OTOMOBIL NASIONAL BERHAD ............ 862,019 70,000 EXEDY CORP ................................. 1,289,143 7,500 FABRICA DE AUTOMOVILES RENAULT S.A ......... 163,779 55,400 FEDERAL-MOGUL CORP ......................... 1,017,975 7,963,995 oFIAT S.P.A ................................. 26,663,614 699,998 oFIAT S.P.A. DI RISP ........................ 1,195,764 1,333,334 oFIAT S.P.A. (PRIV) ......................... 2,338,507 9,824,248 FORD MOTOR CO .............................. 318,060,029 719,835 GENCORP, INC ............................... 10,887,504 6,594,069 GENERAL MOTORS CORP ........................ 345,364,363 842,300 GENUINE PARTS CO ........................... 38,535,225 1,272,452 GOODYEAR TIRE & RUBBER CO .................. 61,395,809 482,525 GRACO, INC ................................. 9,771,131 147,964 GUEST KEEN NETTLEFOLDS LTD ................. 2,271,475 588,600 HARLEY DAVIDSON, INC ....................... 24,206,175 363,600 HAYES WHEELS INTERNATIONAL, INC ............ 11,544,300 1,417,000 HONDA MOTOR CO LTD ......................... 36,689,360 139,000 oINTERMET CORP .............................. 1,937,312 27,000 ICB SHIPPING AB SERIES B ................... 1,011,121 103,800 oKIRBY CORP ................................. 1,751,625 1,802,920 LAIRD GROUP PLC ............................ 13,082,431 159,800 oLEAR CORP .................................. 5,632,950 56,000 LEX SERVICE GROUP LTD ...................... 326,298 369,706 LUCAS INDUSTRIES PLC ....................... 1,301,127 340,000 oMICHELIN S.A. (CLASS B) .................... 16,615,981 1,780,000 MITSUBISHI MOTORS CO LTD ................... 15,579,129 480,000 MODINE MANUFACTURING CO .................... 12,720,000 1,052,900 oNAVISTAR INTERNATIONAL CORP ................ 10,397,387 See notes to financial statements. -15- SHARES VALUE ------ ----- AUTOMOTIVE & RELATED--(Continued) 164,360 NGK INSULATORS LTD ......................... $ 1,843,118 1,189,337 NIPPON DENSO CO LTD ........................ 25,806,781 6,171,000 NISSAN MOTOR CORP LTD ...................... 54,741,959 322,000 PACCAR, INC ................................ 15,778,000 7,922 PENDRAGON PLC .............................. 40,866 205,000 PERUSAHAAN OTOMOBIL NASIONAL BERHAD ........ 1,117,299 81,634 oPEUGEOT S.A ................................ 10,925,133 4,914,999 PIRELLI S.P.A .............................. 8,219,746 42,100 POLARIS INDUSTRIES, INC .................... 1,436,662 2,600,000 oPT GADJAH TUNGGAL (FR) ..................... 1,285,700 2,500,000 oPT STEADY SAFE TRANSPORTATION (FR) ......... 3,117,500 5,100 oRENTERS CHOICE, INC ........................ 130,050 642,937 SAFETY-KLEEN CORP .......................... 11,251,397 50,000 SCANIA AB SERIES A ......................... 1,386,440 50,000 SCANIA AB SERIES B ......................... 1,390,207 1,702,400 oSHANGHAI FOREVER BICYCLES CO LTD SERIES B .. 214,502 557,375 SIMPSON INDUSTRIES, INC .................... 5,155,718 38,600 SMITH (A.O.) CORP .......................... 965,000 332,600 SNAP-ON, INC ............................... 15,756,925 476,050 SPARTAN MOTORS, INC ........................ 3,570,375 73,000 STANDARD MOTOR PRODUCTS, INC (CLASS A) ..... 1,304,875 73,943 STANDARD PRODUCTS CO ....................... 1,719,174 118,900 SUPERIOR INDUSTRIES INTERNATIONAL, INC ..... 3,150,850 237,653 T & N PLC .................................. 516,971 275,000 TAN CHONG MOTOR HOLDINGS BERHAD ............ 401,153 451,850 oTBC CORP ................................... 3,897,206 6,068,477 TOYOTA MOTOR CORP .......................... 151,594,075 122,000 TRANSPRO, INC .............................. 838,750 102,000 oUMW HOLDINGS BERHAD ........................ 363,803 25,000 VALEO S.A .................................. 1,337,821 34,740 VOLKSWAGEN AG .............................. 12,905,973 143,000 VOLVO AB SERIES A .......................... 3,264,840 627,380 VOLVO AB SERIES B FREE ..................... 14,276,471 245,250 WABASH NATIONAL CORP ....................... 4,353,187 200 oWBL CORP LTD ............................... 473 200,000 oZEXEL CORP ................................. 1,380,313 -------------- 1,830,415,712 -------------- BANKS--8.34% 903,700 ABBEY NATIONAL PLC ......................... 7,596,554 573,415 ABN-AMRO HOLDINGS NV ....................... 30,770,244 72,616 ADVANCE BANK AUSTRALIA LTD ................. 301,783 279,509 ALLIED IRISH BANK .......................... 1,463,594 121,326 AMALGAMATED BANKS OF SOUTH AFRICA .......... 672,398 467,000 oAMMB HOLDINGS BERHAD ....................... 6,550,307 410,225 AMSOUTH BANCORP ............................ 14,819,378 125,750 ANCHOR BANCORP WISCONSIN, INC .............. 4,369,812 143,000 ARGENTARIA S.A ............................. 6,234,286 4,122,540 ASAHI BANK LTD ............................. 47,733,200 1,751,000 ASHIKAGA BANK LTD .......................... 11,062,959 9,000 ASSA ABLOY AB SERIES B ..................... 130,204 72,000 ASSOCIATED BANC-CORP ....................... 2,790,000 1,109,893 AUSTRALIAN & NEW ZEALAND BANKING GROUP LTD ......................... 5,259,052 5,126,008 BANC ONE CORP .............................. 174,284,272 3,043,500 BANCA COMMERCIALE ITALIANA S.P.A ........... 6,111,834 115,000 BANCA POPOLARE DI BERGAMO .................. 1,750,783 750,000 BANCA POPOLARE MILANO ...................... 3,716,400 1,740,000 BANCO AMBROSIANO VENETO .................... 4,668,385 500,000 BANCO AMBROSIANO VENETO (RISP NCV) ......... 687,860 407,987 BANCO BILBAO VIZCAYA S.A. (REGD) ........... 16,514,012 72,973 BANCO CENTRALE HISPANOAMERICANO S.A ........ 1,485,393 44,000 BANCO DE EDWARDS (A) S.P.A. ADR ............ 924,000 128,654 oBANCO DE GALICIA BUENOS AIRES S.A SERIES A . 828,405 50,000 BANCO DE VALENCIA S.A. (REGD) .............. 783,799 102,665 oBANCO ESPANOL DE CREDITO S.A ............... 663,767 76,151 oBANCO FRANCES DEL RIO DE LA PLATA S.A. ..... 724,448 20,000 BANCO INTERCONTINENTAL ESPANOLA S.A. ....... 2,235,193 98,300 BANCO LATINO AMERICANO DE EXPORTACIONES S.A. (CLASS E) ............. 5,529,375 41,000 oBANCO OHIGGINS ADR ......................... 989,125 10,625 BANCO POPULAR ESPANOLA S.A. (REGD) ......... 1,892,622 296,014 #BANCO SANTANDER S.A ........................ 13,805,506 261,250 BANCORP HAWAII, INC ........................ 9,405,000 23,800 BANK AUSTRIA AG ............................ 1,910,626 3,900,000 oBANK INTERNATIONAL INDONESIA (FR) .......... 19,285,500 2,780 oBANK OF AUSTRIA NEW ........................ 256,909 697,700 BANK OF AYUDHYA PUBLIC CO LTD (FR) ......... 3,378,619 99,425 #oBANK OF AYUDHYA PUBLIC CO LTD (FR) RTS ..... 227,033 1,228,569 BANK OF BOSTON CORP ........................ 60,814,165 440,994 BANK OF EAST ASIA LTD ...................... 1,612,258 369,864 BANK OF MELBOURNE LTD ...................... 2,154,287 353,000 BANK OF MONTREAL ........................... 8,633,079 1,860,018 BANK OF NEW YORK CO, INC ................... 95,325,922 226,797 BANK OF NOVA SCOTIA ........................ 5,513,405 7,000 BANK OF OKINAWA LTD ........................ 250,808 1,586,050 BANK OF TOKYO MITSUBISHI LTD ............... 36,728,445 2,684,103 BANK OF TOKYO MITSUBISHI LTD NEW ........... 62,400,965 466,586 BANK OF YOKOHAMA LTD ....................... 4,232,595 4,871,107 BANKAMERICA CORP ........................... 368,986,355 681,674 BANKERS TRUST .............................. 50,358,666 49,914 BANPONCE CORP NEW .......................... 2,246,130 50,714 BANQIE DE PARIBAS S.A ...................... 2,994,593 72,558 BANQUE NATIONALE DE PARIS .................. 2,546,712 200,100 BARCLAYS BANK OF ZIMBABWE LTD .............. 293,670 2,679,554 BARCLAYS PLC ............................... 32,183,785 2,301,329 BARNETT BANKS, INC ......................... 140,381,069 323,300 BAYBANKS, INC .............................. 34,835,575 455,680 BAYERISCHE HYPOTHEKEN-UND WECHSEL-BANK ..... 11,055,226 354,010 BAYERISCHE VEREINSBANK AG .................. 9,930,514 1,277,300 BOATMENS BANCSHARES, INC ................... 51,251,662 154,020 oCALIFORNIA FEDERAL BANK (GOODWILL CERT) .... 1,347,675 331,383 CANADIAN IMPERIAL BANK OF COMMERCE ......... 10,688,596 431,421 CAPITAL ONE FINANCIAL CORP ................. 12,295,498 132,700 CCB FINANCIAL CORP ......................... 6,800,875 448,725 CENTRAL FIDELITY BANKS, INC ................ 10,208,493 710,080 CHARTER ONE FINANCIAL, INC ................. 24,764,040 4,301,205 CHASE MANHATTAN CORP (NEW) ................. 303,772,603 100,164 oCHASE MANHATTAN CORP (NEW) WTS 6/30/96 ..... 3,831,273 2,031,045 CHIBA BANK LTD ............................. 17,887,458 600,798 CHO HUNG BANK CO LTD ....................... 6,296,663 57,400 CITFED BANCORP, INC ........................ 2,245,775 4,813,783 oCITICORP CO ............................... 397,738,820 120,600 CITIZENS BANCORP MARYLAND .................. 3,527,550 1,099,158 COMERICA, INC .............................. 49,049,925 2,954,000 COMMERCE ASSET HOLDINGS BERHAD ............. 17,994,130 325,666 oCOMMERCE ASSET HOLDINGS BERHAD (TRUST RECEIPTS) 6/27/98 .................. 1,174,604 183,855 COMMERCE BANCORP, INC ...................... 4,320,592 987 COMMERCE BANCSHARES, INC ................... 33,681 See notes to financial statements. -16- SHARES VALUE ------ ----- BANKS--(CONTINUED) 60,178 COMPAGNIE DE SUEZ S.A ...................... $ 2,201,022 392,500 COMPASS BANCSHARES, INC .................... 12,854,375 2,446,597 CORESTATES FINANCIAL CORP .................. 94,193,984 215,401 CREDIT COMMERCIAL DE FRANCE S.A ............ 9,982,850 8,264 CREDIT NATIONAL S.A ........................ 568,237 6,500 CREDITANSTALT-BANKVEREIN ................... 329,164 11,000 CREDITANSTALT-BAVKVEREIN (STAMM) ........... 728,013 3,144,000 CREDITO ITALIANO S.P.A ..................... 3,681,598 604,885 CRESTAR FINANCIAL CORP ..................... 32,285,736 247,878 CS HOLDINGS (REGD) ......................... 23,565,921 310,800 CULLEN FROST BANKERS, INC .................. 8,624,700 276,660 DAEGU BANK LTD ............................. 3,854,676 1,500,000 DAH SING FINANCIAL HOLDINGS LTD ............ 4,544,117 5,418,199 DAI-ICHI KANGO BANK LTD .................... 100,771,349 295,000 DAIWA BANK LTD ............................. 2,038,652 11,700 DAUPHIN DEPOSIT CORP ....................... 333,450 2,609,000 DCB HOLDINGS BERHAD ........................ 8,939,577 78,000 oDCB HOLDINGS BERHAD WTS 12/28/99 ........... 102,528 89,289 DEN DANSKE BANK AF 1871 .................... 5,982,522 15,600 DEPOSIT GUARANTY CORP ...................... 686,400 835,700 DEUTSCHE BANK AG ........................... 39,528,583 20,000 DEUTSCHE PFANDBRIEF-UND HYPOTHEKENBANK ..... 790,960 256,250 DEVELOPMENT BANK OF SINGAPORE LTD (FR) ..... 3,195,181 87,800 oDIME BANCORP, INC .......................... 1,141,400 595,240 DRESDNER BANK AG ........................... 14,957,255 519,675 FIFTH THIRD BANCORP ........................ 28,062,450 1,270,638 FIRST BANK SYSTEM, INC ..................... 73,697,004 2,917,313 FIRST CHICAGO NBD CORP ..................... 114,139,871 326,217 FIRST COMMERCE CORP ........................ 11,539,926 106,500 FIRST HAWAIIAN, INC ........................ 3,035,250 144,000 FIRST MIDWEST BANCORP, INC ................. 4,032,000 122,000 FIRST NATIONAL BANK HOLDINGS LTD ........... 880,382 487,761 FIRST OF AMERICA BANK CORP ................. 21,827,304 1,338,175 FIRST SECURITY CORP ........................ 32,116,200 1,092,200 FIRST TENNESSEE NATIONAL CORP .............. 33,448,625 3,196,883 FIRST UNION CORP ........................... 194,610,252 468,150 FIRST VIRGINIA BANKS, INC .................. 18,726,000 496,500 FIRSTAR CORP NEW ........................... 22,901,062 234,300 FIRSTMERIT CORP ............................ 7,439,025 2,658,240 FLEET FINANCIAL GROUP, INC (NEW) ........... 115,633,440 131,000 FORT WAYNE NATIONAL CORP ................... 4,192,000 5,117,882 FUJI BANK LTD .............................. 110,116,963 279 GENERALE DE BANQUE NPV VVPR STRIP .......... 231 22,410 GENERALE DE BANQUE S.A ..................... 7,885,988 339,000 oGRUPO FINANCIERO BANAMEX ACCIVAL S.A. DE CV SERIES B ............... 704,833 159,506 oGRUPO FINANCIERO BANAMEX ACCIVAL S.A. DE CV SERIES L ............... 315,644 682,000 oGRUPO FINANCIERO BANCOMER S.A. SERIES B .... 296,912 1,400,000 oGRUPO FINANCIERO PROBURSA SERIES B ......... 120,052 904,000 GUNMA BANK LTD ............................. 10,054,956 6,550,319 HANG SENG BANK LTD ......................... 66,004,341 384,000 HANIL BANK CO .............................. 3,787,776 222,583 HIBERNIA CORP (CLASS A) .................... 2,420,590 100,800 HIGO FAMILY BANK LTD ....................... 804,119 147,000 oHOKKAIDO BANK LTD .......................... 485,152 1,005,205 HOKURIKU BANK LTD .......................... 6,039,375 12,152,000 HONG KONG CHINESE BANK ..................... 3,885,423 462,820 oHOUSING & COMMERCIAL BANK, KOREA ........... 10,671,287 7,033,783 HSBC HOLDINGS LTD .......................... 106,313,955 360,589 HSBC HOLDINGS LTD (HONG KONG) .............. 5,524,392 1,549,074 HSBC HOLDINGS LTD (UNITED KINGDOM) ......... 24,262,067 1,047,677 HUNTINGTON BANCSHARES, INC ................. 25,013,288 191,592 oIMPERIAL BANCORP ........................... 4,598,208 100,400 oIMPERIAL CREDIT INDUSTRIES, INC ............ 3,037,100 4,075,250 INDUSTRIAL BANK OF JAPAN LTD ............... 101,059,027 1,269,000 INSTITUTO BANCARIO SAN PAOLO DI TURINO ..... 8,191,141 2,120,000 ISTITUTO MOBILIARE ITALIANO S.P.A .......... 17,692,672 513,000 IYO BANK LTD ............................... 3,961,436 1,843,914 JOYO BANK .................................. 13,969,911 2,455,319 KEYCORP (NEW) .............................. 95,143,611 456,911 KOOKMIN BANK ............................... 8,506,906 22,069 KREDIETBANK NV ............................. 6,614,300 2,000,000 KRUNG THAI BANK LTD (FR) ................... 9,133,840 6,484,937 LLOYDS TSB GROUP PLC ....................... 31,740,329 199,100 LONG ISLAND BANCORP, INC ................... 6,084,993 15,000 MAF BANCORP, INC ........................... 367,500 578,000 MAGNA GROUP, INC ........................... 13,872,000 448,500 MALAYAN BANKING BERHAD ..................... 4,313,705 1,725,000 oMALAYSIAN INDUSTRIAL DEVELOPMENT FINANCE ....................... 2,668,413 1,270,400 oMALAYSIAN INDUSTRIAL DEVELOPMENT FINANCE WTS 11/07/99 .......... 992,777 658,920 MARSHALL & ILSLEY CORP ..................... 18,285,030 898,800 oMEDIOBANCA S.P.A ........................... 5,704,881 1,557,168 MELLON BANK CORP ........................... 88,758,576 507,375 MERCANTILE BANCORP, INC .................... 22,578,187 167,710 MERCANTILE BANKSHARES CORP ................. 4,276,605 464,665 oMERITA LTD ................................. 970,113 144,000 oMETROPOLITAN BANK & TRUST .................. 4,039,701 8,000 MICHINOKU BANK LTD ......................... 66,007 2,799,200 MITSUBISHI TRUST & BANKING CORP ............ 47,212,566 2,002,700 MITSUI TRUST & BANKING CO LTD .............. 23,371,028 1,441,843 MORGAN (J.P.) & CO, INC .................... 122,015,963 4,069,561 NATIONAL AUSTRALIA BANK LTD ................ 37,637,029 354,000 NATIONAL BANK OF CANADA .................... 2,954,967 1,074,326 NATIONAL CITY CORP ......................... 37,735,700 3,058,432 NATIONSBANK CORP ........................... 252,702,944 60,263 NEDCOR LTD ................................. 911,493 118,700 NORTH FORK BANCORP, INC .................... 3,101,037 823,450 NORTHERN TRUST CORP ........................ 47,554,237 3,156,118 NORWEST CORP ............................... 110,069,615 523,425 OLD KENT FINANCIAL CORP .................... 20,479,003 2,191,200 OVERSEAS-CHINESE BANKING CORP LTD (FR) ............................. 25,614,446 219,120 oOVERSEAS-CHINESE BANKING CORP LTD (FR) RTS ................................... 1,754,201 45,200 oPEOPLES HERITAGE FINANCIAL GROUP, INC ................................. 920,950 140,000 PHILIPPINE COMMERCIAL INTERNATIONAL BANK ... 1,750,002 121,000 oPHILIPPINE NATIONAL BANK ................... 2,020,518 2,984,964 PNC BANK CORP .............................. 88,802,679 108,450 PROVIDENT BANCORP, INC ..................... 3,822,862 103,110 PROVIDENT BANKSHARES CORP .................. 3,402,630 7,000,000 oPT BANK DAGANG NASIONAL INDONESIA (FR) ..... 5,869,500 500,000 PT BANK NISP (FR) .......................... 462,250 360,266 PUBLIC BANK BERHAD (FR) .................... 996,205 250,500 RCSB FINANCIAL, INC ........................ 6,481,687 631,052 REGIONS FINANCIAL CORP ..................... 29,501,681 327,250 REPUBLIC BANCORP, INC ...................... 3,599,750 450,625 REPUBLIC NEW YORK CORP ..................... 28,051,406 457,160 ROYAL BANK OF CANADA ....................... 10,962,865 343,854 ROYAL BANK OF SCOTLAND PLC ................. 2,634,002 6,460,300 SAKURA BANK LTD ............................ 71,856,237 See notes to financial statements. -17- SHARES VALUE ------ ----- BANKS--(CONTINUED) 850 SANWA BANK LTD ............................. $ 15,731 158,000 SEVENTY-SEVEN (77) BANK LTD ................ 1,570,129 1,707,660 SHIZUOKA BANK LTD .......................... 21,951,918 1,309,823 SIGNET BANKING CORP ........................ 30,453,384 794,000 SKANDINAVISKA ENSKILDA BANKEN SERIES A ..... 6,341,757 88,000 SKANDINAVISKA ENSKILDA BANKEN SERIES C FREE ............................. 653,796 113,020 SOCIETE GENERALE S.A ....................... 12,425,336 1,085,710 SOUTHERN NATIONAL CORP ..................... 34,471,292 729,330 SOUTHTRUST CORP ............................ 20,512,406 22,420 SOVEREIGN BANCORP, INC ..................... 224,200 432,500 ST. PAUL BANCORP, INC ...................... 9,947,500 50,000 STADSHYPOTEK AB SERIES A ................... 1,115,180 6,600 STANDARD BANK INVESTMENT CORP LTD .......... 259,092 1,433,552 STANDARD CHARTERED PLC ..................... 14,277,974 7,200 STANDARD FEDERAL BANCORP ................... 277,200 92,400 STAR BANC CORP ............................. 6,225,450 773,100 STATE STREET BOSTON CORP ................... 39,428,100 5,858,895 SUMITOMO BANK LTD .......................... 113,240,956 90,001 SUMITOMO TRUST & BANKING CO LTD ............ 1,230,808 775,821 SUMMIT BANCORP ............................. 27,250,712 2,054,080 SUNTRUST BANKS, INC ........................ 76,000,960 174,200 SVENSKA HANDELSBANKEN SERIES A ............. 3,635,893 209,500 SVENSKA HANDELSBANKEN SERIES B FREE ........ 4,151,671 124,307 SWISS BANK CORP (REGD) ..................... 24,529,688 14,795 oSWISS BANK CORP (REGD) WTS 6/30/00 ......... 48,461 69,850 SYNOVUS FINANCIAL CORP ..................... 1,510,506 687,000 TOHO BANK LTD .............................. 5,042,020 3,694,038 TOKAI BANK LTD ............................. 47,823,533 1,264,017 U.S. BANCORP ............................... 45,662,614 33,800 U.S. TRUST CORP NEW ........................ 1,706,900 85,500 UNI BANKDANMARK AS (CLASS A) ............... 3,964,868 35,286 UNION BANK OF SWITZERLAND (BR) ............. 34,533,294 4,545 UNION BANK OF SWITZERLAND (REGD) ........... 962,230 581,400 UNION PLANTERS CORP ........................ 17,660,025 406,890 UNITED OVERSEAS BANK LTD (FR) .............. 3,891,614 2,000,00 oUNITED OVERSEAS BANK LTD (FR) WTS 6/17/97 .. 7,934,819 288,000 UST CORP ................................... 4,284,000 1,434,880 WACHOVIA CORP (NEW) ........................ 62,776,000 1,918,453 WASHINGTON FEDERAL, INC .................... 39,328,286 1,477,500 WASHINGTON MUTUAL, INC ..................... 44,140,312 1,097,881 WELLS FARGO & CO ........................... 262,256,323 37,500 oWESTAMERICA BANCORP ........................ 1,884,375 5,077,409 WESTPAC BANKING CORP ....................... 22,499,893 75,100 WILMINGTON TRUST CORP ...................... 2,436,056 108,585 WING LUNG BANK LTD ......................... 628,439 411,000 YAMAGUCHI BANK LTD ......................... 6,969,581 566,000 YAMANASHI CHUO BANK LTD .................... 5,676,244 1,740,342 YASUDA TRUST & BANKING CO LTD .............. 10,995,621 83,800 ZIONS BANCORP .............................. 6,096,450 -------------- 6,279,171,178 -------------- BEVERAGES--2.75% 2,446,022 ANHEUSER BUSCH COS, INC .................... 183,451,650 1,646,080 ARTHUR GUINESS & SONS PLC .................. 11,969,938 170,400 ASAHI BREWERIES LTD ........................ 1,988,527 1,463,600 BASS LTD ................................... 18,397,806 1,880 oBRAU UND BRUNNEN AG ........................ 196,373 471,300 BROWN FORMAN, INC (CLASS B) ................ 18,852,000 63,449 oCARLSBERG BREWERIES AS (CLASS A) ........... 3,731,966 23,581 oCARLSBERG BREWERIES AS (CLASS B) ........... 1,386,995 400,000 CARLSBERG BREWERY MALAYSIA BERHAD .......... 2,725,120 63,500 CHRISTIAN DIOR S.A ......................... 8,263,898 290,100 COCA COLA BOTTLING CO CONSOLIDATED ......... 10,226,025 22,568,298 COCA COLA CO ............................... 1,103,025,564 787,800 COCA COLA ENTERPRISES, INC ................. 27,277,575 197,099 COCA-COLA AMATIL LTD ....................... 2,192,080 73,000 COMPANIA CERVECERIAS UNIDAS S.A ADR ....... 1,715,500 206,400 COORS ADOLPH CO (CLASS B) .................. 3,689,400 337,000 DELTA CORP ................................. 861,263 46,700 oEL AGUILA S.A .............................. 291,370 216,000 FOMENTO ECONOMICO MEXICANO S.A ............. DE CV SERIES B ............................. 621,213 5,877,396 FOSTERS BREWING GROUP LTD .................. 10,131,155 708,000 FRASER & NEAVE LTD ......................... 7,323,271 1,874,966 GRAND METROPOLITAN PLC ..................... 12,439,885 290,500 GRUPO MODELO S.A. SERIES C ................. 1,360,519 1,000,000 GUINESS ANCHOR BERHAD ...................... 2,063,877 106,053 HEINEKEN NV ................................ 23,695,728 76,666 HERMES INTERNATIONAL S.A ................... 20,252,476 619,175 KIRIN BREWERY CO LTD ....................... 7,564,324 4,816,600 LION NATHAN LTD ............................ 12,572,438 155,501 LVMH MOET HENNESSY LOUIS VUITTON ........... 36,879,522 16,000 MOLSON CO LTD (CLASS A) .................... 258,914 1,000 MOLSON CO LTD (CLASS B) .................... 16,108 14,137,986 PEPSICO, INC ............................... 500,131,254 19,680 PERNOD-RICARD S.A .......................... 1,261,465 143,500 SAPPORO BREWERIES LTD ...................... 1,347,538 238,857 SCOTTISH & NEWCASTLE PLC ................... 2,445,786 222,400 SEAGRAMS CO LTD ............................ 7,450,242 335,700 SEAGRAMS CO LTD (U.S.) ..................... 11,287,912 80,706 SOUTH AFRICAN BREWERIES LTD ................ 2,366,851 21,000 VINA CONCHA Y TORO S.A. ADR ................ 388,500 363,000 YAKULT HONSHA CO LTD ....................... 5,129,680 -------------- 2,067,231,708 -------------- BROADCASTERS--0.83% 39,000 ASATSU, INC ................................ 1,688,924 269,950 oASSOCIATED GROUP, INC (CLASS A) ............ 8,165,987 303,050 oASSOCIATED GROUP, INC (CLASS B) ............ 9,053,618 36,200 oAUDIOFINA .................................. 1,733,147 12,141 AUSTEREO LTD ............................... 19,494 98,500 oBHC COMMUNICATIONS, INC (CLASS A) .......... 9,628,375 2,200,000 oBRITISH SKY BROADCASTING GROUP PLC ......... 15,040,784 6,292 CANAL PLUS S.A ............................. 1,538,689 232,750 CARLTON COMMUNICATIONS PLC .................. 1,873,331 218,700 oCITICASTERS, INC ........................... 6,834,375 181,000 oCLEAR CHANNEL COMMUNICATIONS, INC .......... 14,909,875 707,800 COMCAST CORP (CLASS A) ..................... 13,005,825 1,050,168 COMCAST CORP (CLASS A) SPL ................. 19,428,108 36,338 oDATA BROADCASTING CORP ..................... 349,753 127,600 oEVERGREEN MEDIA CORP (CLASS A) ............. 5,454,900 527,105 GAYLORD ENTERTAINMENT CO ................... 14,890,716 677,600 HARTE-HANKS COMMUNICATIONS, INC ............ 18,803,400 302,457 oHERITAGE MEDIA CORP (CLASS A) NEW .......... 12,060,472 635,900 oINFINITY BROADCASTING CORP (CLASS A) ....... 19,077,000 120,000 oKATZ MEDIA GROUP, INC ...................... 1,725,000 303,300 oKING WORLD PRODUCTIONS, INC ................ 11,032,537 1,201,199 oLIBERTY MEDIA GROUP (CLASS A) .............. 31,831,773 289,569 oLIN TELEVISION CORP ........................ 10,424,484 48,000 METROPOLE TELEVISION S.A ................... 5,594,083 500 NIPPON TELEVISION NETWORK CORP ............. 154,989 See notes to financial statements. -18- SHARES VALUE ------ ----- BROADCASTERS--(Continued) 32,000 NRJ S.A .................................... $ 4,226,640 210,300 oROGERS COMMUNICATIONS (CLASS B) ............ 1,971,032 550,000 SCOTTISH TELEVISION PLC .................... 5,460,830 609,565 oSCRIPPS (E.W.) CO (CLASS A) ................ 28,420,968 101,100 TCA CABLE TV, INC .......................... 3,058,275 67,200 oTELE METROPOLE, INC (CLASS B) .............. 804,510 5,815,197 oTELE-COMMUNICATIONS, INC (CLASS A) (NEW) ... 105,400,445 170,000 TELEVISION BROADCASTS LTD .................. 637,985 96,870 oTELEVISION FRANCAISE (TFI) ................. 11,063,767 1,308,350 TOKYO BROADCASTING SYSTEMS, INC ............ 23,140,760 638,400 TURNER BROADCASTING SYSTEMS, INC (CLASS A) . 17,236,800 385,700 TURNER BROADCASTING SYSTEMS, INC (CLASS B) . 10,606,750 346,000 UNITED TELEVISION, INC ..................... 33,908,000 469,487 oVIACOM, INC (CLASS A) ...................... 17,899,191 3,198,148 oVIACOM, INC (CLASS B) ...................... 124,328,003 246,144 oVIACOM, INC (CLASS B) WTS 7/07/97 .......... 153,840 147,686 oVIACOM, INC (CLASS B) WTS 7/07/99 .......... 359,984 194,800 oWESTWOOD ONE, INC .......................... 2,970,700 ------------- 625,968,119 ------------- BUSINESS SERVICES--1.36% 206,700 oACCUSTAFF, INC ............................. 5,632,575 9,066 ADIA S.A. (BR) ............................. 2,274,284 236,100 ADIA S.A. ADR .............................. 7,437,150 503,430 ADVO, INC .................................. 5,223,086 16,150,000 oAEGIS GROUP PLC ............................ 13,174,281 10,000 oAFFILIATED COMPUTER SERVICES, INC .......... 470,000 90,900 oALLIANCE SEMICONDUCTOR CORP ................ 761,287 561,100 oALLWASTE, INC .............................. 2,595,087 24,000 oALTERNATIVE RESOURCES CORP ................. 882,000 361,300 oAMERICA ONLINE, INC ........................ 15,806,875 649,130 AMERICAN BUSINESS PRODUCTS, INC ............ 14,199,718 107,775 oAPOLLO GROUP, INC (CLASS A) ................ 3,017,700 99,200 oATRIA SOFTWARE, INC ........................ 4,960,000 538,500 AUTODESK, INC .............................. 16,087,687 45,455 oB.I.S. S.A ................................. 4,750,073 516,100 BANTA CORP ................................. 13,031,525 739,300 BLOCK (H&R), INC ........................... 24,119,662 790,500 oBOSTON LIFE SCIENCES, INC .................. 864,609 98,000 oCABLEVISION SYSTEMS CORP (CLASS A) ......... 4,532,500 668,000 oCALGENE, INC ............................... 4,425,500 60,000 oCAREER HORIZON, INC ........................ 2,100,000 180,400 oCATALINA MARKETING CORP .................... 16,506,600 540,700 oCHECKPOINT SYSTEMS, INC .................... 18,586,562 112,800 CHUBB SECURITY PLC ......................... 566,117 326,900 CINTAS CORP ................................ 17,489,150 70,000 oCOMPUTER HORIZONS CORP ..................... 2,765,000 535,600 oCOMPUTERVISION CORP ........................ 5,356,000 307,700 oCORPORATE EXPRESS, INC ..................... 12,308,000 229,200 oCORRECTIONS CORP OF AMERICA ................ 16,044,000 242,500 oCREDENCE SYSTEMS CORP ...................... 3,258,593 161,300 CROSS (A.T.) CO (CLASS A) .................. 2,863,075 720,600 DELUXE CORP ................................ 25,581,300 13,500 oDEVRY, INC ................................. 607,500 41,900 oDIALOGIC CORP .............................. 2,498,287 523,875 DIEBOLD, INC ............................... 25,276,968 84,300 oDOUBLETREE CORP ............................ 2,992,650 3,750 ECCO S.A ................................... 943,273 171,898 ELECTROCOMPONENTS PLC ...................... 1,020,303 438,550 ENNIS BUSINESS FORMS, INC .................. 4,988,506 28,000 ESSELTE AB SERIES B FREE ................... 571,755 8,100 FIRST INDUSTRIAL REALTY TRUST, INC ......... 190,350 8,400 FLUGHAFEN WIEN AG .......................... 576,716 505,000 oFORE SYSTEMS, INC .......................... 18,243,125 335,200 oFRANKLIN QUEST CO .......................... 6,955,400 38,300 oGATEWAY 2000, INC .......................... 1,302,200 622,040 GETRONICS NV ............................... 13,774,521 40,953 GUILBERT S.A ............................... 5,966,002 398,900 HARLAND (JOHN H.) CO ....................... 9,822,912 258,500 HENDERSON INVESTMENT LTD ................... 232,092 184,000 HUNT MANUFACTURING CO ...................... 2,737,000 631,950 IDEON GROUP, INC ........................... 8,531,325 259,900 oINFORMATION RESOURCES, INC ................. 3,183,775 25,300 oINSO CORP .................................. 1,325,087 167,500 oINTERIM SERVICES, INC ...................... 7,202,500 1,266,800 INTERPUBLIC GROUP OF COS, INC .............. 59,381,250 10,800 ISS INTERNATIONAL SERVICE SYSTEM AS SERIES B ............................... 241,206 30,900 oITRON, INC ................................. 876,787 447,393 KELLY SERVICES, INC (CLASS A) .............. 13,086,245 40,000 oKOKUSAI KOGYO .............................. 554,313 74,600 LIBERTY PROPERTY TRUST CO .................. 1,482,675 304,300 MACNEAL-SCHWENDLER CORP .................... 2,282,250 221,600 oMAIL BOXES ETC ............................. 5,069,100 756,600 MANPOWER, INC .............................. 29,696,550 186,300 oMCAFEE ASSOCIATES, INC ..................... 9,128,700 45,000 oMERCURY INTERACTIVE CORP ................... 618,750 501,200 oMERISEL, INC ............................... 1,879,500 106,500 oMICRO WAREHOUSE, INC ....................... 2,130,000 1,297,500 MISYS PLC .................................. 15,684,911 169,708 MOORE CORP LTD ............................. 3,174,956 102,354 MOORE CORP LTD (U.S.) ...................... 1,931,931 118,200 oNASHUA CORP ................................ 1,507,050 52,470 oNATIONAL AUTO CREDIT, INC .................. 596,846 305,100 oNATIONAL EDUCATION CORP .................... 4,347,675 461,249 NATIONAL SERVICE INDUSTRIES, INC ........... 18,046,367 359,200 NEW ENGLAND BUSINESS SERVICES, INC ......... 7,004,400 53,600 NIPPON KANZAI .............................. 1,641,935 254,800 oNU KOTE HOLDING, INC (CLASS A) ............. 4,236,050 1,441,498 oOFFICE DEPOT, INC .......................... 29,370,521 500 oOIS OPTICAL IMAGING SYSTEMS, INC ........... 1,531 900,518 OLSTEN CORP ................................ 26,452,716 698,200 OMNICOM GROUP, INC ......................... 32,466,300 86,600 oOPTICAL DATA SYSTEMS, INC .................. 1,905,200 594,018 PAYCHEX, INC ............................... 28,587,116 166,200 PHH CORP ................................... 9,473,400 196,580 oPREMIER FARNELL PLC ADR .................... 4,103,607 170,000 oPRICER AB SERIES B ......................... 3,561,041 83,076 PROSEGUR COMPANIA DE SEGURIDAD S.A ......... 2,915,593 6,000 PUBLICITAS HOLDINGS S.A. (REGD) ............ 1,183,989 228,300 oQUARTERDECK CORP ........................... 2,140,312 6,000 oREMEDY CORP ................................ 438,000 171,450 RENTOKIL GROUP PLC ......................... 1,089,571 3,742,400 REUTERS HOLDINGS PLC ....................... 45,298,391 492,600 oROBERT HALF INTERNATIONAL, INC ............. 13,731,225 380,250 ROLLINS, INC ............................... 8,935,875 82,750 SAP AG ..................................... 12,258,657 28,000 SCRIBONA AB SERIES B FREE .................. 293,262 160,727 SECOM CO LTD ............................... 10,609,119 159,000 SECURITAS AB SERIES B FREE ................. 3,330,620 473,950 SENSORMATIC ELECTRONICS CORP ............... 7,760,931 838,250 SERVICE CORP INTERNATIONAL ................. 48,199,375 25,604 SLIGOS S.A ................................. 2,387,181 3,040 SOCIETE GENERAL DE SURVEILLANCE (BR) ....... 7,273,943 See notes to financial statements. -19- SHARES VALUE ------ ----- BUSINESS SERVICES--(Continued) 330,300 oSOFTWARE PUBLISHING CORP ................... $ 949,612 1,166 SOPHUS BERENDSEN AS (CLASS A) .............. 155,055 50,150 SOPHUS BEREBDSEN AS (CLASS B) .............. 6,704,632 257,000 STANDARD REGISTER, INC ..................... 6,328,625 445,600 oSTRATACOM, INC ............................. 25,065,000 542,800 oSUNGARD DATA SYSTEMS, INC .................. 21,779,850 110,000 oTHERMOLASE CORP ............................ 2,997,500 68,800 TOKYO DOME CORP ............................ 1,386,221 122,300 TOKYO TOKEIBA CO LTD ....................... 547,469 70,000 TOTAL SYSTEM SERVICES, INC ................. 1,601,250 356,600 TRUE NORTH COMMUNICATIONS, INC ............. 7,934,350 320,800 oTSENG LABORATORIES, INC .................... 3,087,700 368,700 UNIFIRST CORP .............................. 7,788,787 254,700 oUNION CORP ................................. 5,030,325 36,248 oUNITED STATIONERS, INC ..................... 888,076 151,500 VALSPAR CORP ............................... 6,969,000 243,100 oVERIFONE, INC .............................. 10,270,975 298,000 oVOLT INFORMATION SCIENCES, INC ............. 13,261,000 117,400 WACKENHUT CORP SERIES A .................... 2,890,975 348,206 WACKENHUT CORP SERIES B .................... 6,398,285 236,300 WALLACE COMPUTER SERVICES, INC ............. 14,118,925 39,800 oWONDERWARE CORP ............................ 751,225 ------------- 1,021,884,003 -------------- CHEMICALS--MAJOR--2.11% 56,900 AECI LTD ................................... 308,774 25,000 oAFRICAN OXYGEN LTD ......................... 90,636 31,000 AGA AB SERIES A FREE ....................... 551,260 43,500 AGA AB SERIES B FREE ....................... 747,321 788,800 AIR PRODUCTS & CHEMICALS, INC .............. 45,553,200 119,017 AKZO NOBEL NV .............................. 14,258,332 226,200 ARCO CHEMICAL CO ........................... 11,762,400 101,660 BASF AG .................................... 29,051,443 1,146,950 BAYER AG ................................... 40,499,653 1,304,075 BOC GROUP PLC .............................. 18,722,750 4,800 CLARIANT LTD ............................... 1,752,495 159,000 COURTAULDS PLC ............................. 1,049,980 3,771 DEGUSSA AG ................................. 1,280,039 2,358,700 DOW CHEMICAL CO ............................ 179,261,200 4,716,561 DU PONT (E.I.) DE NEMOURS & CO ............. 373,197,889 126,000 DU PONT CANADA, INC (CLASS A) .............. 2,901,588 11,000 DYNO INDUSTRIER AS ......................... 243,820 796,748 EASTMAN CHEMICAL CO ........................ 48,502,034 126,962 ENGLISH CHINA CLAYS PLC .................... 510,938 65,600 xoERCROS S.A ................................. 38,371 12,000 FRESENIUS AG ............................... 2,199,448 479,800 GOODRICH (B.F.) CO ......................... 17,932,525 808,800 HERCULES, INC .............................. 44,686,200 287,000 HOECHST AG ................................. 9,728,815 706,000 ICI AUSTRALIA LTD .......................... 6,190,415 2,045,342 IMPERIAL CHEMICAL INDUSTRY PLC ............. 25,043,052 43,808 IMPERIAL CHEMICAL INDUSTRY PLC ADR (NEW) ... 2,152,068 25,984 #LAIR LIQUIDE (REGD) ........................ 4,587,819 721,977 LILLY INDUSTRIES, INC (CLASS A) ............ 12,273,609 126,600 MISSISSIPPI CHEMICAL CORP .................. 2,532,000 5,809,433 MITSUBISHI CHEMICAL CORP ................... 26,800,087 1,859,500 MITSUBISHI GAS CHEMICAL CO, INC ............ 8,188,328 395,667 MITSUI TOATSU CHEMICALS, INC ............... 1,561,959 4,561,000 MONSANTO CO ................................ 148,232,500 8,510,000 oMONTEDISON S.P.A ........................... 4,943,731 1,380,000 oMONTEDISON S.P.A. WTS 1/19/97 .............. 89,076 56,000 oNAMHAE CHEMICAK CORP ....................... 2,830,968 343,000 NIPPON OIL & FATS CO LTD ................... 2,135,830 103,600 NIPPON SHOKUBAI KAGAK KOGYO CO LTD ......... 1,001,192 55,000 oOAK TECHNOLOGY, INC ........................ 515,625 199,900 OLIN CORP .................................. 17,841,075 3,074,800 PPG INDUSTRIES, INC ........................ 149,896,500 3,118,780 PRAXAIR, INC ............................... 131,768,455 58,400 oQUINTILES TRANSNATIONAL CORP ............... 3,839,800 200,000 oRHODIA-STER S.A. GDR ....................... 1,175,000 130,743 RHONE-POULENC S.A. (CLASS A) ............... 3,435,996 466,700 ROHM & HAAS CO ............................. 29,285,425 187,984 SASOL LTD .................................. 2,040,235 10,000 SEKISUI PLASTICS CO LTD .................... 61,083 5,191,000 oSHOWA DENKO K.K ............................ 15,996,305 13,045 SOLVAY ET CIE S.A .......................... 8,067,174 2,470,160 SUMITOMO CHEMICAL CO LTD ................... 11,778,194 420 TOSHIBA CHEMICAL CORP ...................... 4,518 746,000 UBE INDUSTRIES LTD ......................... 2,836,134 1,000 UCB S.A .................................... 1,871,990 2,403,480 UNION CARBIDE CORP ......................... 95,538,330 299,000,000 WHITE MARTINS S.A .......................... 419,868 69,134,000 YIZHENZ CHEMICAL FIBER CO (CLASS H) ........ 15,272,257 25,676 ZENECA GROUP PLC ADR ....................... 1,726,711 -------------- 1,586,764.420 ------------- CHEMICALS--SPECIALTY--1.25% 780,500 oAIRGAS, INC ................................ 14,829,500 409,790 ALBEMARLE CORP ............................. 7,478,667 2,146,404 ASAHI CHEMICAL INDUSTRY CO LTD ............. 15,302,774 161,400 BETZ LABORATORIES, INC ..................... 7,081,425 163,200 CALGON CARBON CORP ......................... 2,203,200 179,400 CAMBREX CORP ............................... 9,171,825 221,800 CHEMED CORP ................................ 8,289,775 315,121 COMMERCIAL METALS CO ....................... 10,477,773 351,800 CROMPTON & KNOWLES CORP .................... 5,892,650 143,519 oCYTEC INDUSTRIES, INC ...................... 12,270,874 188,000 DAICEL CHEMICAL INDUSTRIES LTD ............. 1,156,947 1,057,380 DAINIPPON INK & CHEMICAL, INC .............. 5,417,755 202,000 DENKI KAGKU KOGYO .......................... 729,287 170,000 DEXTER CORP ................................ 5,057,500 120,360 oECOGEN, INC ................................ 571,710 568,800 ECOLAB, INC ................................ 18,770,400 1,169,255 ENGELHARD CORP ............................. 26,892,865 1,240,100 ETHYL CORP ................................. 11,935,962 321,000 oFERNZ CORP LTD ............................. 956,639 223,250 FERRO CORP ................................. 5,916,125 314,900 FIRST MISSISSIPPI CORP ..................... 7,006,525 238,400 FOSTER WHEELER CORP ........................ 10,698,200 111,543 FULLER (H.B.) CO ........................... 4,043,433 210,700 GEON CO .................................... 4,740,750 225,000 GEORGIA GULF CORP .......................... 6,581,250 837,300 oGRACE (W.R.) & CO .......................... 59,343,637 647,800 GREAT LAKES CHEMICAL CORP .................. 40,325,550 27,946 ICN PHARMACEUTICALS, INC (NEW) ............. 649,744 2,314,220 IMC GLOBAL, INC ............................ 87,072,527 51,500 oINTERNATIONAL SPECIALTY PRODUCTS, INC ...... 566,500 13,000 oISHIHARA SANGYO LTD ........................ 51,675 147,000 KANEKA CORP ................................ 987,726 613,000 KANSAI PAINT CO LTD ........................ 3,219,103 266,300 KUREHA CHEMICAL INDUSTRY CO LTD ............ 1,500,415 397,690 LAWTER INTERNATIONAL, INC .................. 4,971,125 120,237 LEARONAL, INC .............................. 3,005,925 412,800 LOCTITE CORP ............................... 19,195,200 518,200 LUBRIZOL CORP .............................. 15,740,325 430,500 LYONDELL PETROCHEMICAL CO .................. 10,385,812 4,102,550 MALLINCKRODT GROUP, INC .................... 159,486,631 76,450 oMCWHORTER TECHNOLOGIES, INC ................ 1,356,987 See notes to financial statements. -20- SHARES VALUE ------ ----- CHEMICALS--SPECIALTY--(Continued) 1,000 oMETHANEX CORP .............................. $ 7,615 517,700 MILLIPORE CORP ............................. 21,678,687 2,018,700 MORTON INTERNATIONAL, INC .................. 75,196,575 657,300 oMYCOGEN CORP ............................... 9,859,500 479,800 NALCO CHEMICAL CORP ........................ 15,113,700 21,100 NCH CORP ................................... 1,355,675 2,377 NORIT NV ................................... 31,609 254,200 NOVA CORP .................................. 2,298,725 330,000 NOVA CORP (U.S.) ........................... 2,970,000 111,900 PENWEST LTD ................................ 2,014,200 150,500 PETROLITE CORP ............................. 4,731,343 46,000 POTASH CORP OF SASKATCHEWAN, INC ........... 3,065,093 400,000 POTASH CORP OF SASKATCHEWAN, INC (U.S.) .... 26,500,000 356,800 RAYCHEM CORP ............................... 25,645,000 200,000 oRIKEN VINYL INDUSTRY CO .................... 1,969,272 586,906 RPM, INC ................................... 9,170,406 404,977 SCHULMAN A, INC ............................ 9,921,936 431,300 oSEALED AIR CORP ............................ 14,502,462 443,920 SEKISUI CHEMICAL CO LTD .................... 5,423,272 534,664 SHIN-ETSU CHEMICAL CO LTD .................. 10,236,516 341,900 SIGMA ALDRICH CORP ......................... 18,291,650 244,600 oSTERLING CHEMICALS, INC .................... 2,843,475 130,000 oTAKASAGO INTERNATIONAL ..................... 964,760 268,300 THIOKOL CORP ............................... 10,597,850 518,000 oTOSOH CORP ................................. 2,299,909 452,695 TREDEGAR INDUSTRIES, INC ................... 13,694,023 123,300 WD-40 CO ................................... 5,795,100 246,800 WELLMAN, INC ............................... 5,768,950 466,700 WITCO CORP ................................. 16,042,812 455,052 ZERO CORP .................................. 9,726,736 -------------- 939,049,544 -------------- COMMUNICATION EQUIPMENT & SERVICES--2.11% 924,473 o360 COMMUNICIATIONS CO ..................... 22,187,352 3,771,779 o3COM CORP .................................. 172,558,889 6,214,815 oAIRTOUCH COMMUNICATIONS, INC ............... 175,568,523 162,500 ALLGON AB SERIES B FREE .................... 2,706,006 447,900 oAMTECH CORP ................................ 3,359,250 514,712 oANDREW CORP ................................ 27,665,770 123,100 oANTEC CORP ................................. 1,954,212 248,700 oARCH COMMUNICATIONS GROUP, INC ............. 4,632,037 710,900 oASCEND COMMUNICATIONS, INC ................. 39,988,125 1,000,000 oASIA SATELLITE TELECOM HOLDINGS ............ 2,964,818 292,000 oAVID TECHNOLOGIES, INC ..................... 5,402,000 268,250 oAYDIN CORP ................................. 3,621,375 689,893 oBRINKER INTERNATIONAL, INC ................. 10,348,395 54,500 oBROADBAND TECHNOLOGIES, INC ................ 1,757,625 11,200 BRUNCOR INC ................................ 212,403 125,600 oCABLE DESIGN TECHNOLOGIES CO ............... 4,113,400 535,000 oCABLETRON SYSTEMS, INC ..................... 36,714,375 402,800 oCALIFORNIA MICROWAVE, INC .................. 6,142,700 669,900 oCASCADE COMMUNICATIONS CORP ................ 45,553,200 39,000 oCELLSTAR CORP .............................. 341,250 168,401 oCELLULAR COMMUNICATIONS INTERNATIONAL, INC . 5,683,533 614,100 CENTURY TELEPHONE ENTERPRISES, INC ......... 19,574,437 6,730,500 oCISCO SYSTEMS, INC ......................... 381,114,562 294,300 oCOMPRESSION LABORATORIES, INC .............. 1,692,225 324,400 COMSAT CORP SERIES 1 ....................... 8,434,400 1,563,564 CORNING, INC ............................... 60,001,768 329,500 oDIGI INTERNATIONAL, INC .................... 8,814,125 241,300 oDIGITAL MICROWAVE CORP ..................... 4,011,612 986,688 oDSC COMMUNICATIONS CORP .................... 29,723,976 72,700 oDSP COMMUNICATIONS, INC .................... 3,734,962 247,000 oDYNATECH CORP .............................. 8,027,500 45,000 ERICSSON S.P.A ............................. 528,120 1,843,350 ERICSSON TELEFON (LM) AB SERIES B .......... 39,724,376 279,600 oGENERAL DATACOMM INDUSTRIES, INC ........... 3,774,600 894,000 oGEOTEK COMMUNICATIONS, INC ................. 12,236,625 494,575 HARRIS CORP ................................ 30,169,075 20 oINTELLICALL, INC ........................... 110 96,900 oINTERDIGITAL COMMUNICATIONS CORP ........... 823,650 473,422 oINTERNATIONAL DAIRY QUEEN, INC (CLASS A) ... 13,965,949 580 oKOREA MOBILE TELECOMMUNICATIONS CORP ....... 457,689 911,000 oLCI INTERNATIONAL, INC ..................... 28,582,625 41,600 oLG INFORMATION & COMMUNICATIONS ............ 4,718,937 4,201 oLG INFORMATION & COMMUNICATIONS (NEW) ...... 472,659 130,900 LUCENT TECHNOLOGIES, INC ................... 4,957,837 250,000 FILMES LUSOMUNDO (NON-VTG) (PREF SHS) ...... 1,994,375 249,800 oMACROMEDIA, INC ............................ 5,464,375 956,600 oMFS COMMUNICATIONS CO, INC ................. 35,992,075 110,724 oMILLICOM INTERNATIONAL CELLULAR S.A ........ 5,273,230 488,800 oMITEL CORP ................................. 3,238,300 63,750 NERA AS .................................... 2,031,259 9,500 oNETCOM ON-LINE COMMUNICATION SERVICE, INC .. 256,500 248,300 oNETWORK EQUIPMENT TECHNOLOGIES, INC ........ 5,276,375 483,200 oNEW WORLD COMMUNICATIONS GROUP, INC ........ 7,066,800 82,100 oNEWBRIDGE NETWORKS ......................... 5,365,323 393,900 oNOKIA AB SERIES A .......................... 14,497,495 288,000 NOKIA AB SERIES K .......................... 10,519,260 143,700 NORTHERN TELECOMMUNICATIONS LTD ............ 7,812,639 217,409 NORTHERN TELECOMMUNICATIONS LTD (U.S.) ..... 11,821,614 2,817,700 oNOVELL, INC ................................ 39,095,587 333,920 oOCTEL COMMUNICATIONS CORP .................. 6,594,920 1,000,000 oOMNIPOINT CORP ............................. 26,062,500 53,100 oP-COM, INC ................................. 1,672,650 725,500 oPAGING NETWORK, INC ........................ 17,412,000 98,400 oPAIRGAIN TECHNOLOGIES, INC ................. 6,100,800 443,200 oPICTURETEL CORP NEW ........................ 17,451,000 124,800 oPORTUGAL TELECOM S.A. ADR .................. 3,276,000 41,000 oPREMISYS COMMUNICATIONS, INC ............... 2,501,000 462,000 oQUALCOMM, INC .............................. 24,543,750 31,191 SAMSUNG ELECTRONICS CO ..................... 2,634,407 15,962 oSAMSUNG ELECTRONICS CO (NEW) ............... 1,300,923 568,600 SCIENTIFIC-ATLANTA, INC .................... 8,813,300 241,500 SIRTI S.P.A ................................ 1,550,961 812,300 oTECH DATA CORP ............................. 17,667,525 309,600 oTELCO SYSTEMS, INC ......................... 5,263,200 490,000 oTELEC DE SAO PAULO S.A ..................... 86,375 723,100 oTELLABS, INC ............................... 48,357,312 113,000 oVANGUARD CELLULAR SYSTEMS, INC ............. 2,457,750 78,800 VODAFONE GROUP PLC ADR ..................... 2,905,750 -------------- 1,591,374,387 -------------- COMPUTER SERVICE--2.75% 37,800 o3DO CO ..................................... 401,625 88,000 oACXIOM CORP ................................ 3,003,000 382,600 oADAPTEC, INC ............................... 18,125,675 523,700 oADC TELECOMMUNICATIONS, INC ................ 23,566,500 See notes to financial statements. -21- SHARES VALUE ------ ----- COMPUTER SERVICE--(Continued) 539,544 ADOBE SYSTEMS, INC ......................... $ 19,356,141 646,025 oAMERICAN MANAGEMENT SYSTEMS, INC ........... 18,896,231 238,000 oAMERICAN SOFTWARE, INC (CLASS A) ........... 1,100,750 361,100 oAUSPEX SYSTEMS, INC ........................ 5,416,500 2,682,300 AUTOMATIC DATA PROCESSING, INC ............. 103,603,837 200,000 oBAAN CO NV ................................. 6,842,412 137,900 oBANYAN SYSTEMS, INC ........................ 999,775 1,699,838 oBAY NETWORKS, INC .......................... 43,770,828 222,100 oBBN CORP ................................... 4,830,675 217,700 oBISYS GROUP, INC ........................... 8,218,175 514,900 oBMC SOFTWARE, INC .......................... 30,765,275 469,337 oBORLAND INTERNATIONAL, INC ................. 4,282,700 137,000 oBOSTON TECHNOLOGY, INC ..................... 2,311,875 189,900 oBRODERBUND SOFTWARE, INC ................... 6,124,275 275,600 oC-CUBE MICROSYSTEMS, INC ................... 9,094,800 632,637 oCADENCE DESIGN SYSTEMS, INC ................ 21,351,498 186,900 oCAMBRIDGE TECHNOLOGY PARTNERS, INC ......... 5,700,450 83,800 oCDW COMPUTER CENTERS, INC .................. 5,824,100 598,726 oCERIDIAN CORP .............................. 30,235,663 520,675 oCHEYENNE SOFTWARE, INC ..................... 10,022,993 542,400 oCOMPUSA, INC ............................... 18,509,400 2,941,225 COMPUTER ASSOCIATES INTERNATIONAL, INC ...... 209,562,281 454,000 oCOMPUTER SCIENCES CORP ..................... 33,936,500 40,000 oCOMPUTRON SOFTWARE, INC .................... 195,000 162,900 oCOMPUWARE CORP ............................. 6,434,550 234,980 oCONTINUM, INC .............................. 13,628,840 26,000 CSK CORP ................................... 772,756 204,300 oCYRIX CORP ................................. 3,524,175 50,000 oDASSAULT SYSTEMS S.A ....................... 1,565,566 111,400 oDAVIDSON & ASSOCIATES, INC ................. 3,342,000 200,300 oDST SYSTEMS, INC ........................... 6,409,600 434,000 oELECTRONIC ARTS, INC ....................... 11,609,500 3,706,444 oELECTRONIC DATA SYSTEMS CORP ............... 199,221,365 1,687,200 oEMC CORP ................................... 31,424,100 240,800 oEXABYTE CORP ............................... 3,145,450 1,245,134 FIRST DATA CORP ............................ 99,143,794 494,075 oFISERV, INC ................................ 14,822,250 201,000 oFRONTEC AB SERIES B ........................ 2,468,692 133,500 oFTP SOFTWARE, INC .......................... 1,101,375 51,100 oGROUP AXIME S.A ............................ 7,146,441 780,600 HBO & CO ................................... 52,885,650 26,000 oHYPERION SOFTWARE CORP ..................... 321,750 3,000 INES CORP .................................. 56,069 1,548,700 oINFORMIX CORP .............................. 34,845,750 16,175 oINTEGRATED SYSTEMS CONSULTING GROUP ........ 315,412 27,000 oINTEGRATED SYSTEMS, INC .................... 1,081,687 584,365 oINTERGRAPH CORP ............................ 7,085,425 500 oINTERSOLV, INC ............................. 4,625 209,200 oINTUIT, INC ................................ 9,884,700 221,100 oLANDMARK GRAPHICS CORP ..................... 4,256,175 108,000 oLOXLEY PUBLIC CO LTD (FR) .................. 1,598,736 242,000 oLOXLEY PUBLIC CO LTD (LR) .................. 3,582,355 284,100 oMARCAM CORP ................................ 3,409,200 84,500 oMEDIC COMPUTER SYSTEMS, INC ................ 6,855,062 492,200 oMENTOR GRAPHICS CORP ....................... 7,998,250 348,150 oMICROCHIP TECHNOLOGY, INC .................. 8,616,712 56,300 oMICRON ELECTRONICS, INC .................... 689,675 3,038,850 oMICROSOFT CORP ............................. 365,041,856 70,200 MIROKO JYOHO SERVICE CO, LTD ............... 1,472,030 238,950 NATIONAL COMPUTER SYSTEMS, INC ............. 5,107,556 270,242 NATIONAL DATA CORP ......................... 9,255,788 291,300 oNETMANAGE, INC ............................. 3,204,300 477,200 oNETWORK GENERAL CORP ....................... 10,259,800 167 NTT DATA COMMUNICATIONS SYSTEM CORP ........ 4,993,927 4,824,925 oORACLE CORP ................................ 190,282,979 1,109,300 oPARAMETRIC TECHNOLOGY CORP ................. 48,115,887 143,600 oPEOPLESOFT, INC ............................ 10,231,500 114,200 oPHYSICIAN COMPUTER NETWORK, INC ............ 1,320,437 266,500 oPLATINUM TECHNOLOGY, INC ................... 4,030,812 122,000 oPOLICY MANAGEMENT SYSTEMS CORP ............. 6,100,000 121,600 oPROGRESS SOFTWARE CORP ..................... 1,991,200 1,700,000 oPT MULTIPOLAR CO (FR) ...................... 968,575 5,100,000 oPT MULTIPOLAR CO (FR) RTS .................. 712,725 174,100 oQLOGIC CORP ................................ 1,741,000 94,000 oRATIONAL SOFTWARE CORP ..................... 5,052,500 416,100 oREAD-RITE CORP ............................. 5,877,412 644,800 REYNOLDS & REYNOLDS CO (CLASS A) ........... 34,335,600 96,250 oSAFEGUARD SCIENTIFICS, INC ................. 7,507,500 85,500 oSECURITY DYNAMICS TECHNOLOGIES, INC ........ 7,032,375 651,400 SEI CORP ................................... 13,760,825 518,700 SHARED MEDICAL SYSTEMS CORP ................ 33,326,475 172,600 oSHIVA CORP ................................. 13,808,000 142,200 oSIERRA ON-LINE, INC ........................ 6,239,025 452,800 oSILICONWARE PRECISION INDUSTRIES GDR ....... 3,565,800 262,200 oSOFTKEY INTERNATIONAL, INC ................. 4,965,412 258,934 oSTERLING SOFTWARE, INC ..................... 19,937,918 322,000 oSTRUCTURAL DYNAMICS RESEARCH CORP .......... 7,084,000 591,300 oSYBASE, INC ................................ 13,969,462 447,000 oSYMANTEC CORP .............................. 5,587,500 147,200 oSYNOPSYS, INC .............................. 5,851,200 554,312 SYSTEM SOFTWARE ASSOCIATES, INC ............ 9,423,304 274,700 oSYSTEMS & COMPUTER TECHNOLOGY CORP ......... 3,983,150 22,300 oSYSTEMSOFT CORP ............................ 1,048,100 7,440 oTAK WING INVESTMENT HOLDINGS WTS 10/31/96 .. 57 246,800 TELXON CORP ................................ 2,899,900 86,000 oTKC CORP ................................... 2,540,360 297,400 WIRELESS TELECOM GROUP, INC ................ 3,494,450 57,400 oZEBRA TECHNOLOGY CORP ...................... 1,018,850 -------------- 2,072,436,168 -------------- CONGLOMERATES--2.29% 1,800 ACKERMANS & VAN HAAREN ..................... 302,774 19,340 oAGIV AG .................................... 368,453 902,100 ALCO STANDARD CORP ......................... 40,820,025 435,000 ALEXANDER & BALDWIN, INC ................... 10,494,375 5,824,304 ALLIED SIGNAL, INC ......................... 332,713,366 534,808 AMERICAN FINANCIAL GROUP, INC .............. 16,111,091 17,086 ANGLO AMERICAN INDUSTRIAL CORP ............. 686,516 20,600 ANGLOVAAL HOLDINGS LTD ..................... 777,761 62,000 oANGLOVAAL INSUDTRIES LTD ................... 303,521 71,500 oANIXTER INTERNATIONAL, INC ................. 1,063,562 3,160 oARTEMIS S.A ................................ 90,774 62,700 BARLOW LTD ................................. 655,160 30 oBERKSHIRE HATHAWAY, INC (CLASS A) .......... 921,000 641,800 BRADY (W.H.) CO (CLASS A) .................. 14,280,050 109,500 BRASCAN LTD (CLASS A) ...................... 2,036,537 19,426,198 BRIERLEY INVESTMENTS LTD ................... 18,366,265 5,293,437 BRIERLEY INVESTMENTS LTD (AUSTRALIA) ....... 4,916,427 4,293,808 BTR PLC .................................... 16,912,807 50,952 oBTR PLC WTS 10/18/96 ....................... 5,937 53,553 oBTR PLC WTS 11/30/97 ....................... 17,058 42,115 oBTR PLC WTS 11/26/98 ....................... 5,071 See notes to financial statements. -22- SHARES VALUE ------ ----- CONGLOMERATES--(Continued) 825,000 oCHARTER PLC ................................ $ 11,895,892 3,146,600 oCOLTEC INDUSTRIES, INC ..................... 44,839,050 502,425 oCONCORD EFS, INC ........................... 17,836,087 2,377,760 COOKSON GROUP PLC .......................... 10,474,087 361,000 oCOPYTELE, INC .............................. 3,158,750 5,000 oCORPORACION FINANCIERE ALBA S.A ............ 415,686 214,911 CRANE CO ................................... 8,811,351 33,900 CURTISS WRIGHT CORP ........................ 1,830,600 92,000 DE BEERS CENTENARY AG. (UNITS) ............. 3,122,962 83,000 oDESC SOCIEDAD DE FOMENTO INDUSTRIAL S.A. DE CV SERIES B ............ 447,849 1,729 oDESC SOCIEDAD DE FOMENTO INDUSTRIAL S.A. DE CV SERIES C ............ 9,009 62,000 oDYNACTION S.A .............................. 1,758,251 8,800 oEST ASIATIQUE .............................. 178,535 70,000 oFABER GROUP BERHAD ......................... 74,339 43,000 GENCOR LTD ................................. 158,872 759,100 GENTING INTERNATIONAL LTD .................. 1,328,425 46,174 GEVAERT PHOTO-PRODUCTION NV ................ 3,087,572 42,360 GRANDE HOLDINGS LTD ........................ 17,511 32,435 GROUPE BRUXELLES LAMBERT S.A ............... 4,099,630 885 GROUPE BRUXELLES LAMBERT S.A. NPV (VVPR) STRIP .............................. 254 2,655 oGROUPE BRUXELLES LAMBERT S.A. NPV (VVPR) WTS 12/20/98 ....................... 24,405 238,546 GRUPO INDUSTRIAL ALFA S.A. SERIES A ........ 1,077,861 4,873,463 HANSON PLC ................................. 13,668,158 101,234 HANSON PLC ADR ............................. 1,442,584 207,721 oHANSON PLC WTS 9/30/97 ..................... 8,875 310,783 HARRISON & CROSSFIELD PLC .................. 656,736 27,700,500 HUTCHINSON WHAMPOA LTD ..................... 174,273,767 10,000 oIFIL FINANZIARIA DI PARTECIPAZIONI ......... 30,057 844,236 ITT INDUSTRIES, INC ........................ 21,211,429 3,065,500 JARDINE MATHESON HOLDINGS LTD .............. 22,531,424 340,914 JOHNSON CONTROLS, INC ...................... 23,693,523 1,030,000 KEPPEL CORP ................................ 8,610,695 750,000 oKEPPEL CORP WTS 6/30/97 .................... 3,241,231 20,000 oLAGARDERE GROUPE S.A ....................... 515,510 20,000 oLAGARDERE GROUPE S.A. WTS 6/30/97 .......... 13,596 168,000 LAND & GENERAL BERHAD ...................... 414,058 31,500 LION LAND BERHAD ........................... 35,220 403,188 oLITTON INDUSTRIES, INC ..................... 17,538,678 866,100 LOEWS CORP ................................. 68,313,637 3,173,535 LONRHO PLC ................................. 9,122,421 40,000,000 oLUKS INDUSTRIAL CO ......................... 4,443,998 540,000 MALAYAN UNITED INDUSTRIES BERHAD ........... 437,141 490,000 MALAYSIA MINING CORP BERHAD ................ 494,849 210,000 oMALAYSIA MINING CORP RTS ................... 28,613 94,183 MALBAK LTD ................................. 467,597 1,068,590 MARK IV INDUSTRIES, INC .................... 24,176,848 3,276,800 MINNESOTA MINING & MANUFACTURING CO ........ 226,099,200 307,000 oMULTI-PURPOSE HOLDINGS BERHAD .............. 494,585 116,418 MURRAY & ROBERTS HOLDINGS LTD .............. 465,080 130,000 NAMPAK LTD ................................. 537,350 3,000 NOMA INDUSTRIES LTD (CLASS A) .............. 8,676 2,678,812 PACIFIC DUNLOP LTD ......................... 6,030,289 499,511 oNOBLEZA-PICCARDO SDAD INDUSTRIAL COMERCIAL Y FINANCIERA .................... 3,276,384 129,800 POWER CORP OF CANADA ....................... 2,052,924 71,448 PREMIER GROUP HOLDINGS LTD ................. 103,282 190,700 QUEBECOR, INC (CLASS B) .................... 2,981,213 1,288,800 ROCKWELL INTERNATIONAL CORP ................ 73,783,800 115,900 oSCHULLER CORP .............................. 1,202,462 1,151,400 SIME DARBY BERHAD .......................... 3,183,846 144,000 oSOCIEDAD COMERCIAL DEL PLATA S.A .......... 447,025 32,360,000 SOUTH CHINA HOLDINGS ....................... 6,688,734 52,046,000 SOUTH CHINA INDUSTRIES LTD ................. 6,858,086 1,897,824 SOUTHCORP HOLDINGS LTD ..................... 4,705,398 289,600 STANDEX INTERNATIONAL CORP ................. 8,253,600 2,640 SUPERFOS AS ................................ 245,667 676,000 SWIRE PACIFIC LTD (CLASS A) ................ 5,785,595 485,500 TELEDYNE, INC .............................. 17,538,687 618,800 TEXTRON, INC ............................... 49,426,650 39,099 TONGAAT HULETT GROUP LTD ................... 501,095 653,500 TRW, INC ................................... 58,733,312 2,587,600 TYCO INTERNATIONAL LTD ..................... 105,444,700 33,813 oU.S. INDUSTRIES, INC ....................... 815,738 1,080,000 UNITED INDUSTRIAL CORP ..................... 1,101,806 27,000 oUNITED INDUSTRIAL CORP WTS 7/05/99 ......... 9,755 994,800 UNITED TECHNOLOGIES CORP ................... 114,402,000 500,000 oWESTMONT INDUSTRIES BERHAD ................. 877,649 500,000 oWESTMONT INDUSTRIES BERHAD SERIES A (NEW) .. 829,558 1,291,446 WHITMAN CORP ............................... 31,156,134 241,600 WILLIAMS HOLDINGS PLC ...................... 1,272,599 2,460,000 YTL CORP BERHAD ............................ 12,816,080 -------------- 1,719,995,112 -------------- CONSTRUCTION-- MATERIALS & BUILDERS--1.19% 600,000 oACP INDUSTRIES BERHAD ...................... 3,294,189 13,934 ADELAIDE BRIGHTON HOLDINGS LTD ............. 14,257 14,502 AKER AS SERIES A ........................... 277,915 2,978 AKER AS SERIES B ........................... 53,173 9,900 ALPHA LTD NPV .............................. 256,044 90,000 AMEC PLC ................................... 137,045 300,550 oAOKI CONSTRUCTION CO LTD ................... 1,115,226 114,700 APASCO S.A ................................. 635,540 398,600 ARMSTRONG WORLD INDUSTRIES, INC ............ 22,969,325 20,000 oASANO SLATE CO ............................. 73,847 192,700 oATKINSON (G.F.) CO OF CALIFORNIA ........... 2,601,450 153,400 oAVATAR HOLDINGS, INC ....................... 5,273,125 99,750 BARRATT DEVELOPMENTS LTD ................... 393,678 1,660 oBILFINGER & BERGER AG ...................... 700,118 296,822 BLUE CIRCLE INDUSTRIES PLC ................. 1,660,327 3,374,308 BORAL LTD .................................. 8,764,528 5,459 oBOUYGUES S.A ............................... 608,641 209,500 oBPB INDUSTRIES PLC ......................... 1,038,412 60,100 BUTLER MANUFACTURING CO .................... 2,028,375 417,400 CALMAT CO .................................. 7,565,375 123,228 CAMAS PLC .................................. 170,409 4,950,481 CARADON PLC ................................ 16,614,843 275,200 CARLISLE COS, INC .......................... 14,620,000 140,028 oCASTLE & COOKE, INC ........................ 2,240,448 30,000 CBR NV ..................................... 2,278,945 6,600 oCBR NV WTS 12/20/96 ........................ 16,010 487,700 oCDI CORP ................................... 16,459,875 500,000 oCEDAR GROUP, INC ........................... 1,578,125 22,358 oCEMENTERA ARGENTINA S.A .................... 104,110 208,062 CEMEX S.A. (CLASS A) (REGD) ................ 750,724 357,750 CEMEX S.A. (CLASS B) ....................... 1,413,535 159,120 CEMEX S.A. CPO ............................. 570,984 213,100 CENTEX CORP ................................ 6,632,737 1,148,300 oCHAMPION ENTERPRISES, INC .................. 23,970,762 605,000 CHICHIBU ONODA CEMENT CORP ................. 3,469,428 267,000 CHIYODA CORP ............................... 3,164,510 See notes to financial statements. -23- SHARES VALUE ------ ----- CONSTRUCTION-- MATERIALS & BUILDERS--(Continued) 788,158 CLAYTON HOMES, INC ......................... $ 15,763,160 32,555 COLAS S.A .................................. 5,830,221 9,928 oCOSTAIN GROUP PLC .......................... 6,016 147,664 CRH PLC .................................... 1,489,067 82 CRISTALERIA ESPANOLA S.A ................... 5,141 2,724,250 CSR LTD .................................... 9,627,714 20,000 oCTI ENGINEERING CO LTD ..................... 692,892 323,082 DAITO TRUST CONSTRUCTION CO LTD ............ 4,830,683 1,090,000 DAIWA HOUSE INDUSTRY CO LTD ................ 16,893,801 587,900 DEBARTOLO REALTY CORP ...................... 9,479,887 738 oDLW AG ..................................... 63,512 2,799,900 oDMCI HOLDINGS, INC ......................... 2,003,748 26,586 DRAGADOS Y CONSTRUCCIONES S.A .............. 351,448 475,536 oDRAVO CORP ................................. 7,073,598 40,000 oEMPRESAS ICA SOCIEDAD CONTROLADORA S.A ..... 560,949 287,700 FASTENAL CO ................................ 12,514,950 350,500 FLEETWOOD ENTERPRISES, INC ................. 10,865,500 3,635,025 oFLETCHER CHALLENGE LTD (BUILDING DIVISION) . 7,097,513 214,500 FLORIDA ROCK INDUSTRIES, INC ............... 5,550,187 33,962 FOMENTO DE CONSTRUCCIONES Y CONTRATAS S.A .. 2,807,618 360 FORBO HOLDINGS AG. (REGD) .................. 152,432 1,726,300 FUJITA CORP ................................ 8,026,725 397,300 oGENLYTE GROUP, INC ......................... 3,079,075 182,100 GILBERT ASSOCIATES, INC (CLASS A) .......... 2,321,775 2,388 GLAVERBEL S.A .............................. 259,148 58 GLAVERBEL S.A. STRIP NPV (VVPR) ............ 9 212,100 GRANITE CONSTRUCTION, INC .................. 4,878,300 401,000 oHASEKO CORP ................................ 1,736,560 566,600 HAZAMA-GUMI LTD ............................ 2,474,366 1,570 oHEIDELBERGER ZEMENT AG ..................... 1,076,783 100,198 HEPWORTH PLC ............................... 449,937 7,007 HOCHTIEF AG ................................ 3,143,990 7,451 HOLDERBANK FINANCIERE GLARUS AG. (BR) ...... 5,952,700 1,300 HOLDERBANK FINANCIERE GLARUS AG. (REGD) .... 207,717 1,244 HOLLANDSCHE BETON GROEP NV (H.B.G.) ........ 238,305 101,000 HUME INDUSTRIES BERHAD ..................... 493,807 154,210 oHYUNDIA ENGINEERING & CONSTRUCTIONS CO ..... 6,407,749 37,231 oIMETAL S.A ................................. 5,279,149 325,000 oIMPREGILO S.P.A ............................ 345,397 157,853 INAX CORP .................................. 1,568,668 514,000 ITALCEMENTI S.P.A .......................... 4,122,074 340,000 ITALCEMENTI S.P.A. (S/S) ................... 1,072,931 9,000 oITALCEMENTI S.P.A. WTS 12/31/96 ............ 1,704 129,200 oJACOBS ENGINEERING GROUP, INC .............. 3,407,650 401,144 JAMES HARDIE INDUSTRIES LTD ................ 811,452 149,000 JAPAN FOUNDATION ENGINEERING CO ............ 2,852,709 191,970 JGC CONSTRUCTION CORP ...................... 2,520,274 84,700 JUSTIN INDUSTRIES, INC ..................... 1,111,687 2,461,756 KAJIMA CORP ................................ 25,361,527 249,797 KANDENKO CO, LTD ........................... 3,165,584 1,013,605 KAUFMAN & BROAD HOME CORP .................. 14,697,272 4,000,000 KEDAH CEMENT HOLDINGS ...................... 7,405,915 308,862 KINDEN CORP ................................ 4,899,657 26,000 KOMATSU CONSTRUCTION CO LTD ................ 161,188 124,000 KUMAGAI GUMI (HONG KONG) LTD ............... 111,332 1,189,279 KUMAGAI GUMI CO LTD ........................ 4,770,768 24,800 oKUMAGAI GUMI CO LTD WTS 06/30/98 ........... 3,780 266,353 LAFARGE CORP ............................... 5,393,648 29,896 LAFARGE S.A. (BR) .......................... 1,808,870 4,933 oLAFARGE S.A. (SPANISH CERTS) ............... 305,856 43,811 LAING (JOHN) (CLASS A) ..................... 196,732 77,500 LAPEYRE S.A ................................ 4,538,637 150,000 oLEGRIS S.A ................................. 6,876,060 9,768 LEIGHTON HOLDINGS LTD ...................... 34,597 817,700 LENNAR CORP ................................ 20,442,500 200,000 MAEDA CORP ................................. 1,987,506 231,000 MAEDA ROAD CONSTRUCTION CO LTD ............. 3,980,391 750,000 MALAYAN CEMENT BERHAD ...................... 1,803,388 138,515 MARLEY PLC ................................. 277,639 1,090,300 MASCO CORP ................................. 32,981,575 1,000 MATSUO BRIDGE CO LTD ....................... 6,855 27,000 MCALPINE (ALFRED) PLC ...................... 63,348 675,992 MEDUSA CORP ................................ 20,955,752 54,824 oMEYER INTERNATIONAL PLC .................... 324,556 286,484 MISAWA HOMES CO LTD ........................ 2,794,705 6,041,136 oNEW WORLD INFRASTRUCTURE ................... 12,877,098 158,000 NIHON CEMENT CO LTD ........................ 1,162,472 561,300 NIPPON HODO CO LTD ......................... 9,518,312 343,000 NISHIMATSU CONSTRUCTION CO LTD ............. 3,752,557 748,100 OAKWOOD HOMES CORP ......................... 15,429,562 875 OCP CONSTRUCCIONES S.A ..................... 22,417 1,041,320 OHBAYASHI-GUM LTD .......................... 9,408,271 101,280 OHKI CONSTRUCTION CO LTD ................... 632,508 98,000 oOKAMATO INDUSTRIES INC ..................... 616,491 362,740 OKUMURA CORP ............................... 3,029,304 115,500 ORIENTAL CONSTRUCTION CO ................... 1,927,014 504,400 oOWENS CORNING CO ........................... 21,689,200 210,000 PENTA OCEAN CONSTRUCTION CO LTD ............ 1,414,867 558,333 oPILECON ENGINEERING BERHAD WTS 7/06/99 ..... 199,140 3,813,264 PILKINGTON PLC ............................. 10,724,339 2,449,600 PIONEER INTERNATIONAL LTD .................. 7,133,896 62,700 PITTWAY CORP ............................... 2,758,800 251,419 PITTWAY CORP (CLASS A) ..................... 11,690,983 345,000 PLY-GEM INDUSTRIES, INC .................... 4,700,625 46,230 POHANG IRON & STEEL CO ..................... 2,901,380 18,088 PORTLAND VALDERRIVAS S.A ................... 1,184,973 2,400,000 oPT CITRA MARGA NUSAPHALA PERSADA (FR) ...... 3,663,600 2,762,000 PT SEMEN CIBINONG (FR) ..................... 5,285,087 1,880,000 oPT SEMEN GRESIK (FR) ....................... 5,476,910 582,648 PULTE CORP ................................. 15,585,834 217,140 REDLAND PLC ................................ 1,352,942 95,200 REPUBLIC GROUP, INC ........................ 1,356,600 853,250 RMC GROUP PLC .............................. 13,430,149 244,696 RUGBY GROUP PLC ............................ 418,229 331,000 RYLAND GROUP, INC .......................... 4,965,000 38,000 SANGETSU CO LTD ............................ 1,015,086 285,550 SANKYO ALUMINIUM INDUSTRY CO LTD ........... 1,671,356 152,000 SANWA SHUTTER CORP ......................... 1,427,357 36,900 EUROC INDUSTRIA AB SERIES A ................ 1,162,213 95,280 oSCHNEIDER S.A .............................. 4,996,914 1,335,850 SEKISUI HOUSE LTD .......................... 15,223,680 190,000 SEMAPA SOC INV E GESTAO - SGPS ............. 2,303,902 507,300 SHERWIN-WILLIAMS CO ........................ 23,589,450 2,285,000 SHIMIZU CORP ............................... 25,207,137 377,000 oSHOKUSEN JUTAKO ............................ 1,577,633 172,200 SKANSKA AB SERIES B FREE ................... 6,085,401 123,500 SKYLINE CORP ............................... 3,087,500 15,300 oSOLA INTERNATIONAL, INC .................... 439,875 34,993 ST. GOBAIN S.A ............................. 4,683,136 71,300 STARRETT (L.S.) CO (CLASS A) ............... 1,853,800 34,000 STARRETT (L.S.) CO (CLASS B) ............... 884,000 175,100 STONE & WEBSTER, INC ....................... 5,975,287 See notes to financial statements. -24- SHARES VALUE ------ ----- CONSTRUCTION-- MATERIALS & BUILDERS--(Continued) 900 oSTRABAG BAU AG ............................. $ 77,453 70,495 SUMITOMO FORESTRY CO LTD ................... 1,047,605 862,000 SUMITOMO OSAKA CEMENT CO ................... 4,196,628 471,000 SUNGEI WAY HOLDINGS BERHAD ................. 2,208,429 34,000 SUZUNUI INDUSTRY CO LTD .................... 192,186 2,407,000 TAISEI CORP ................................ 17,072,913 750 TAKASHIMA & CO LTD ......................... 3,952 4,385,977 TARMAC PLC ................................. 7,564,573 5,276,750 TAYLOR WOODROW PLC ......................... 12,790,462 137,894 TEXAS INDUSTRIES, INC ...................... 9,462,975 177,000 oTIME ENGINEERING BERHAD .................... 482,346 88,500 oTIME ENGINEERING BERHAD RTS ................ 85,119 98,000 TOA CORP ................................... 672,779 398,000 TOSTEM CORP ................................ 11,720,268 445,790 TOTO LTD ................................... 6,706,041 14,000 oTOYO ENGINEERING CO ........................ 94,196 48,000 TOYO EXTERIOR CORP ......................... 1,120,296 210,000 oUNICEM S.P.A ............................... 1,533,504 12,450 UNILAND CEMENTERA S.A ...................... 480,632 266,100 oUNITED ENGINEERING BERHAD .................. 1,844,878 200,000 oURALITA S.A ................................ 1,871,760 116,400 oUSG CORP ................................... 3,244,650 360,600 VULCAN MATERIALS CO ........................ 21,410,625 656,400 WEBB DEL CORP .............................. 13,128,000 2,340 WIENERBERGER BAUSTOFF AG ................... 472,468 81,100 WILSON (CONNOLLY) HOLDINGS PLC ............. 206,661 146,000 WIMPEY (GEORGE) LTD ........................ 338,013 227,035 WOLSELEY PLC ............................... 1,605,089 ------------- 893,493,139 ------------- CONTAINERS--0.12% 212,204 oALLTRISTA CORP ............................. 5,039,845 439,372 BALL CORP .................................. 12,631,945 97,300 CCL INDUSTRIES, INC (CLASS B) .............. 915,504 216,600 CLARCOR, INC ............................... 5,360,850 886,783 CROWN CORK & SEAL CO, INC .................. 39,905,235 35,000 FP CORP .................................... 1,139,169 275,400 oGAYLORD CONTAINER CO ....................... 2,151,562 617,500 oOWENS ILLINOIS, INC ........................ 9,880,000 440,500 oPLM AB ..................................... 7,169,401 110,000 SHIBUYA KOGYO .............................. 1,704,879 197,200 WEST CO, INC ............................... 5,916,000 ------------- 91,814,390 ------------- COSMETICS--0.57% 19,500 ALBERTO CULVER CO (CLASS A) ................ 780,000 317,300 ALBERTO CULVER CO (CLASS B) ................ 14,714,787 1,559,032 AVON PRODUCTS, INC ......................... 70,351,319 4,180 oBEIERSDORF AG .............................. 4,119,038 410,200 CARTER WALLACE, INC ........................ 5,999,175 82,500 CARTER WALLACE, INC (CLASS B) .............. 1,206,562 29,691 oCLARINS S.A ................................ 4,561,815 3,737,938 GILLETTE CO ................................ 233,153,882 1,522,200 INTIMATE BRANDS, INC ....................... 34,820,325 638,700 INTERNATIONAL FLAVORS & FRAGRANCES, INC .... 30,418,087 166,900 oJAN BELL MARKETING, INC .................... 438,112 25,180 LOREAL S.A ................................. 8,358,613 238,900 OPTICAL COATING LABORATORIES, INC .......... 4,300,200 409,334 SHISEIDO & CO LTD .......................... 5,224,657 3,098 #oWINDMERE CORP WTS 1/19/98 .................. 17,426 637,400 WINDMERE-DURABLE HOLDING, INC .............. 8,365,875 ------------- 426,829,873 ------------- ELECTRICAL EQUIPMENT--3.88% 882,723 ABB AB SERIES A ............................ $ 93,517,528 403,600 ABB AB SERIES B ............................ 42,636,586 109,520 ABB ASEA BROWN BOVERI LTD (BR) ............. 135,445,280 6,400 ABB ASEA BROWN BOVERI LTD (REGD) ........... 1,559,478 16,526,400 oACMA LTD ................................... 48,238,577 100,000 oADVANCED LIGHTING TECHNOLOGIES, INC ........ 1,750,000 129,910 ADVANTEST CORP ............................. 5,152,094 67,537 ALCATEL ALSTHOM CIE GEN .................... 5,890,125 29,000 ALVIS PLC .................................. 50,692 108,000 oAMCOL HOLDINGS LTD ......................... 238,724 875,300 oAMERICAN POWER CONVERSION CORP ............. 8,971,825 414,500 AMETEK, INC ................................ 9,015,375 38,500 oANADIGICS, INC ............................. 1,121,312 271,575 BALDOR ELECTRIC CO ......................... 6,110,437 11,876 BARCO INDUSTRIES NV ........................ 1,902,872 237,200 BELDEN, INC ................................ 7,116,000 147,345 BICC LTD ................................... 709,728 74,686 BOWTHORPE HOLDINGS PLC ..................... 522,211 1,327 CATENA CORP ................................ 17,421 150,000 oCMK CORP ................................... 2,502,616 1,020,000 oCOGENERATION PUBLIC CO LTD (FR) ............ 4,457,471 73,300 oCOMVERSE TECHNOLOGY, INC ................... 2,235,650 200,000 DAIWA INDUSTRIES LTD ....................... 2,133,378 65,674 DELTA PLC .................................. 358,175 1,273,500 DURACELL INTERNATIONAL, INC ................ 54,919,687 117,500 oELECTRO SCIENTIFIC INDUSTRIES, INC ......... 2,467,500 1,657,485 EMERSON ELECTRIC CO ........................ 149,795,206 206,894 oESCO ELECTRONICS CORP (TRUST RECEIPTS) ..... 2,353,419 72,900 EXIDE CORP ................................. 1,767,825 330 FUJITSU BUSINESS SYSTEMS LTD ............... 9,116 2,880,424 FUJITSU LTD ................................ 26,260,825 18,802,522 GENERAL ELECTRIC CO ........................ 1,626,418,153 2,186,336 oGENERAL ELECTRIC CO (UNITED KINGDOM) ....... 11,788,037 2,947,000 GENERAL SIGNAL CORP ........................ 111,617,625 326,700 GRAINGER (W.W.), INC ....................... 25,319,250 900 HITACHI ELECTRONICS LTD .................... 10,256 6,313,491 HITACHI LTD ................................ 58,711,299 193,000 HITACHI MAXELL LTD ......................... 4,029,440 1,040,400 HONEYWELL, INC ............................. 56,701,800 174,538 HUBBELL, INC (CLASS B) ..................... 11,563,142 427,500 JUNO LIGHTING, INC ......................... 7,267,500 32,500 KODENSHA CO LTD ............................ 349,636 156,666 oLEADER UNIVERSAL HOLDINGS BERHAD ........... 442,629 76,500 LEGRAND S.A ................................ 13,670,540 299,400 oMAGNETEK, INC .............................. 2,881,725 19,000 MARUWA CERAMIC CO LTD ...................... 1,489,717 20,000 oMIRAI INDUSTRY CO LTD ...................... 587,134 5,392,000 MITSUBISHI ELECTRIC CORP ................... 37,557,372 2,453,301 NIPPON ELECTRIC CORP (N.E.C.) .............. 26,616,426 2,000 NKT HOLDINGS AS ............................ 99,224 89,300 oOAK INDUSTRIES, INC (NEW) .................. 2,645,512 22,200 OXFORD INSTRUMENTS GROUP PLC ............... 170,402 500,125 OYL INDUSTRIES BERHAD ...................... 5,211,091 50,012 oOYL INDUSTRIES BERHAD RTS .................. 220,467 298,900 PACIFIC SCIENTIFIC CO ...................... 4,707,675 3,399,702 PHILIPS ELECTRONICS NV ..................... 110,535,110 114,228 RACAL ELECTRONICS PLC ...................... 541,336 49,397 REUNERT LTD ................................ 217,869 143,600 oSANMINA CORP ............................... 3,877,200 75,000 oSANSO ELECTRIC CO LTD ...................... 2,085,513 3,918,548 oSHANGHAI SHANGLING ELECTRIC CO SERIES B .... 2,068,993 See notes to financial statements. -25- SHARES VALUE ------ ----- ELECTRICAL EQUIPMENT--(Continued) 774,010 SIEMENS AG ................................. $ 41,339,523 937,500 SUMITOMO ELECTRIC INDUSTRIES CO ............ 13,419,084 252,400 oSYMBOL TECHNOLOGIES, INC ................... 11,231,800 275,000 TB WOODS CORP .............................. 2,681,250 377,500 TECNOST S.P.A .............................. 626,400 403,000 THOMAS & BETTS CORP ........................ 15,112,500 213,430 TOKYO ELECTRON CO LTD ...................... 6,207,233 3,381,300 WESTINGHOUSE ELECTRIC CORP ................. 63,399,375 481,000 WOODHEAD INDUSTRIES, INC ................... 5,651,750 330,000 oYAMATAKE HONEYWELL CO LTD .................. 5,987,133 643,000 YOKOGAWA ELECTRIC CORP ..................... 6,448,454 ------------- 2,920,733,708 ------------- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--2.41% 824,450 oADVANCED MICRO DEVICES, INC ................ 11,233,131 385,500 oALTERA CORP ................................ 14,649,000 230,701 oAMERICAN ANNUITY GROUP, INC ................ 2,999,113 70,000 oAMERICAN SUPERCONDUCTOR CORP ............... 997,500 1,576,182 AMP, INC ................................... 63,244,302 164,500 oAMPHENOL CORP (CLASS A) .................... 3,783,500 826,700 oANALOG DEVICES, INC ........................ 21,080,850 5,700 oAPPLIED INNOVATION, INC .................... 61,987 953,682 oARROW ELECTRONICS, INC ..................... 41,127,536 88,000 ASTEC LTD .................................. 205,101 705,400 oATMEL CORP ................................. 21,250,175 275,950 AUGAT, INC ................................. 5,277,543 206,400 AVNET, INC ................................. 8,694,600 308,686 oBELL INDUSTRIES, INC ....................... 5,170,490 445,000 oBURR BROWN CORP ............................ 7,898,750 145,900 CAE, INC ................................... 1,212,538 335,900 oCHIPS & TECHNOLOGIES, INC .................. 3,275,025 462,500 oCIRRUS LOGIC, INC .......................... 8,093,750 290,400 CORE INDUSTRIES, INC ....................... 4,174,500 63,000 oCOREL CORP ................................. 645,822 78,996 CTS CORP ................................... 3,712,812 88,000 CUBIC CORP ................................. 2,871,000 95,394 oCYBERGUARD CORP ............................ 1,645,546 647,100 oCYPRESS SEMICONDUCTOR CORP ................. 7,765,200 310,900 DALLAS SEMICONDUCTOR CORP .................. 5,635,062 192,360 oDII GROUP, INC ............................. 4,905,180 269,500 oEXAR CORP .................................. 3,503,500 298,500 FISHER SCIENTIFIC INTERNATIONAL, INC ....... 11,193,750 1,240,600 oGENERAL INSTRUMENT CORP (NEW) .............. 35,822,325 42,000 GEWISS S.P.A ............................... 629,832 55,000 HELIX TECHNOLOGY CORP ...................... 2,131,250 53,511 HIROSE ELECTRIC CO LTD ..................... 3,302,810 40,000 HOGANAS AB SERIES B ........................ 1,398,496 251,000 oHOSIDEN CORP ............................... 2,608,738 153,631 HOYA CORP .................................. 4,958,314 30,400 oHUTCHINSON TECHNOLOGY, INC ................. 1,079,200 36,972,000 INNOVATIVE INTERNATIONAL HOLDINGS LTD ...... 13,134,728 731,000 oINTEGRATED DEVICE TECHNOLOGY, INC .......... 7,766,875 7,812,500 INTEL CORP ................................. 573,730,468 441,000 oINTERNATIONAL RECTIFIER CORP ............... 7,111,125 140,000 oJOHNSON ELECTRIC HOLDINGS LTD .............. 314,697 115,000 oKATSURAGAWA ELECTRIC CO .................... 1,383,960 90,000 oKDK ........................................ 894,377 492,000 oKEMET CORP ................................. 9,840,000 645,000 oKENT ELECTRONICS CORP ...................... 20,156,250 9,300 KEYENCE CORP ............................... 1,263,342 333,156 KYOCERA CORP ............................... 23,539,720 147,200 oLAM RESEARCH CORP .......................... 3,827,200 434,150 oLATTICE SEMICONDUCTOR ...................... 10,473,868 652,900 LINEAR TECHNOLOGY CO ....................... $ 19,587,000 1,100 oLINOTYPE-HELL AG ........................... 54,197 493,900 LOGICON, INC ............................... 14,755,262 1,069,000 oLSI LOGIC CORP ............................. 27,794,000 40,400 oMARSHALL INDUSTRIES, INC ................... 1,131,200 310,000 MATSUSHITA-KOTOBUKI ELECTRONICS INDUSTRIES . 8,083,132 1,210,400 oMAXIM INTEGRATED PRODUCTS .................. 33,059,050 164,150 METHODE ELECTRONICS, INC (CLASS A) ......... 2,790,550 1,309,500 MICRON TECHNOLOGY, INC ..................... 33,883,312 1,533,000 MINEBEA CO LTD ............................. 12,872,228 224,197 MOLEX, INC ................................. 7,118,254 266,210 MOLEX, INC (CLASS A) ....................... 7,819,918 4,937,000 MOTOROLA, INC .............................. 310,413,875 249,500 MURATA MANUFACTURING CO LTD ................ 9,439,969 950,550 oNATIONAL SEMICONDUCTOR CORP ................ 14,733,525 1,164,000 NGK SPARK PLUG CO LTD ...................... 12,946,869 950 NIHON DEMPA KOGYO CO LTD ................... 22,518 70,000 NITTO DENKO CORP ........................... 1,231,706 823,944 OMRON TATEISI ELECTRONICS CO ............... 17,502,721 36,000 PIONEER-STANDARD ELECTRONICS, INC .......... 477,000 140,000 oROGERS CORP ................................ 3,482,500 470,800 ROHM CO .................................... 31,076,133 471,900 oS3, INC .................................... 5,810,268 70,000 SAES GETTERS S.P.A ......................... 1,957,956 60,000 oSAES GETTERS S.P.A. ADR .................... 1,207,500 100,000 SGL CARBON AG .............................. 11,693,603 179,016 oSGS-THOMSON MICROELECTRONICS NV ............ 6,293,711 340,200 oSIERRA SEMICONDUCTOR CORP .................. 3,954,825 131,300 oSTANDARD MICROSYSTEMS CORP ................. 2,002,325 286,000 oSUWA INTERNATIONAL HOLDINGS LTD ............ 8,497 191,600 oSYMMETRICOM, INC ........................... 2,586,600 120,000 TAIYO YUDEN CO LTD ......................... 1,509,775 226,000 TDK CORP ................................... 13,475,290 1,648,400 TEXAS INSTRUMENTS, INC ..................... 82,213,950 242,500 oTRICORD SYSTEMS, INC ....................... 1,091,250 193,700 oTRIMBLE NAVIGATION LTD ..................... 3,728,725 45,800 oTRIQUINT SEMICONDUCTOR, INC ................ 950,350 545,500 oU.S. ROBOTICS CORP ......................... 46,640,250 249,200 oUNITRODE CORP .............................. 4,828,250 10,167 oUNITRODE CORP WTS 8/21/97 .................. 16,521 202,000 oVICOR CORP ................................. 4,696,500 441,971 oVISHAY INTERTECHNOLOGY, INC ................ 10,441,564 63,700 oVITESSE SEMICONDUCTOR CORP ................. 1,528,800 275,100 oVLSI TECHNOLOGY, INC ....................... 3,817,012 327,500 oWESTERN DIGITAL CORP ....................... 8,555,937 95,075 WYLE ELECTRONICS ........................... 3,149,359 789,500 oXILINX, INC ................................ 25,066,625 254,700 oZILOG, INC ................................. 6,112,800 -------------- 1,815,288,000 -------------- ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.53% 136,000 ALPS ELECTRIC CO LTD ....................... 1,649,082 220,900 ANALOGIC CORP .............................. 5,909,075 1,514,200 oAPPLIED MATERIALS, INC ..................... 46,183,100 233,000 oASAHI OPTICAL CO LTD ....................... 1,266,059 180,626 oAURA SYSTEMS, INC .......................... 643,480 166,887 BECKMAN INSTRUMENTS, INC NEW ............... 6,341,706 6,973 CANON SALES CO, INC ........................ 193,897 2,903,236 CANON, INC ................................. 60,348,869 353,660 CITIZEN WATCH CO LTD ....................... 2,943,802 198,700 oCOHERENT, INC .............................. 10,332,400 287,000 DAI NIPPON SCREEN MANUFACTURING CO LTD ..... 2,553,781 See notes to financial statements. -26- SHARES VALUE ------ ----- ELECTRICAL EQUIPMENT-- INSTRUMENTS--(Continued) 268,019 DANIEL INDUSTRIES, INC ..................... $ 3,886,275 259,500 oDESTEC ENERGY, INC ......................... 3,308,625 132,600 oDIONEX CORP ................................ 4,276,350 193,200 oELECTROGLAS, INC ........................... 2,753,100 240,200 oELECTRONICS FOR IMAGING, INC ............... 16,663,875 8,000 oEPIC DESIGN TECHNOLOGY, INC ................ 202,000 182,700 oESTERLINE CORP ............................. 4,567,500 147,304 FLUKE CORP ................................. 5,947,399 1,178,711 FUJI PHOTO FILM CO LTD ..................... 37,182,226 60,000 HEUNG CHANG PRODUCTS CO .................... 3,292,110 494,600 oINPUT/OUTPUT, INC .......................... 16,012,675 28,000 oJEOL LTD ................................... 215,708 449,500 oKLA INSTRUMENT CORP ........................ 10,450,875 800,000 KONICA CORP ................................ 6,024,513 296,400 oKULICHE & SOFFA INDUSTRIES, INC ............ 4,334,850 1,215,300 oLORAL SPACE & COMMUNICATIONS LTD ........... 16,558,462 51,900 oLTX CORP ................................... 324,375 205,000 NIKON CORP ................................. 2,354,921 303,205 OLYMPUS OPTICAL CO LTD ..................... 3,040,751 352,853 PERKIN-ELMER CORP .......................... 17,025,157 473,863 RICOH CO LTD ............................... 5,011,442 63,000 SATO CORP .................................. 1,545,057 302,000 SEIKO CORP ................................. 2,835,934 294,700 oSILICON VALLEY GROUP, INC .................. 5,525,625 319,700 TEKTRONIX, INC ............................. 14,306,575 226,200 oTENCOR INSTRUMENTS ......................... 4,269,525 632,138 oTERADYNE, INC .............................. 10,904,380 88,593 oTHERMO INSTRUMENT SYSTEMS, INC ............. 2,857,124 32,000 oTHREE-FIVE SYSTEMS, INC .................... 324,000 2,707,800 TOPPAN PRINTING CO ......................... 39,499,220 135,950 VARIAN ASSOCIATES, INC ..................... 7,035,412 120,400 WATKINS-JOHNSON CO ......................... 3,295,950 449,400 X RITE, INC ................................ 6,853,350 94,908 YAMAHA CORP ................................ 1,566,149 -------------- 402,616,741 -------------- ENVIRONMENTAL CONTROL--0.40% 279,837 oAIR & WATER TECHNOLOGIES CORP (CLASS A) .... 1,679,022 27,000 oALLIED WASTE INDUSTRIES, INC ............... 239,625 176,685 oAMERICAN ECOLOGY CORP ...................... 220,856 1,554,175 BROWNING FERRIS INDUSTRIES, INC ............ 45,071,075 463,240 oCLEAN HARBORS, INC ......................... 1,331,815 60,000 oDAISEKI CO LTD ............................. 1,652,000 12,974 oFLUOR DANIEL/GTI, INC ...................... 142,714 680,000 FSI HOLDINGS LTD ........................... 136,275 231,800 oHANDEX CORP ................................ 2,289,025 689,875 oINTERNATIONAL TECHNOLOGY CORP .............. 1,897,156 908,684 OGDEN CORP ................................. 16,469,897 227,200 oOHM CORP ................................... 1,590,400 3,000 oOMEGA ENVIRONMENTAL, INC ................... 6,562 477,400 oREPUBLIC INDUSTRIES, INC ................... 13,904,275 460,749 oROLLINS ENVIRONMENTAL SERVICES, INC ........ 1,785,402 232,900 oSANIFILL, INC .............................. 11,470,325 298,700 oTETRA TECHNOLOGIES, INC .................... 5,189,912 131,200 oU.S. FILTER CORP ........................... 4,559,200 832,742 oU.S.A. WASTE SERVICES, INC ................. 24,669,981 419,200 oUNITED WASTE SYSTEMS, INC .................. 13,519,200 262,400 oWESTON (ROY F.), INC (CLASS A) (NEW) ....... 1,246,400 1,402,632 WHEELABRATOR TECHNOLOGIES, INC (NEW) ....... 21,390,138 3,868,257 WMX TECHNOLOGIES, INC ...................... 126,685,416 464,700 oYORK RESEARCH CORP ......................... 4,937,437 5,335 #oYORK RESEARCH CORP (CLASS B) WTS ........... 23,874 -------------- 302,107,982 -------------- FINANCIAL--MISCELLANEOUS--3.36% 22,000,000 oABOITIZ EQUITY VENTURES, INC ............... 4,114,510 252,200 ADVANTA CORP (CLASS A) ..................... 12,862,200 388,900 ADVANTA CORP (CLASS B) ..................... 17,597,725 157,500 oAMBAC, INC ................................. 8,209,687 4,234,699 AMERICAN EXPRESS CO ........................ 188,973,442 2,059,742 AMERICAN GENERAL CORP ...................... 74,923,115 60,500 oAMRESCO, INC ............................... 1,036,062 353,700 oASSOCIATES FIRST CAPITAL CORP .............. 13,307,962 280,600 ASTORIA FINANCIAL CORP ..................... 7,611,275 100 AVALON PROPERTIES, INC ..................... 2,175 1,900,000 BANCA FIDEURAM S.P.A ....................... 4,112,816 393,200 BANGKOK FIRST INVESTMENT & TRUST PUBLIC CO LTD (FR) .................. 2,430,404 144,700 BAY VIEW CAPITAL CORP ...................... 4,919,800 6,300 BEACON PROPERTIES CORP ..................... 161,437 1,282,822 BEAR STEARNS COS, INC ...................... 30,306,669 550,900 BENEFICIAL CORP ............................ 30,919,262 1,540,200 oCAL FED BANCORP, INC ....................... 28,108,650 349,100 CAPSTEAD MORTGAGE CORP ..................... 9,731,162 607,100 CASH AMERICA INTERNATIONAL, INC ............ 3,946,150 702,850 oCATELLUS DEVELOPMENT CORP .................. 6,413,506 16,979 CETELEM S.A ................................ 3,815,767 26,700 CMAC INVESTMENT CORP ....................... 1,535,250 615,500 oCOAST SAVINGS FINANCIAL, INC ............... 20,157,625 3,600 COLLECTIVE BANCORP, INC .................... 85,050 387,825 COMDISCO, INC .............................. 10,325,840 64,872 COMPAGNIE BANCAIRE S.A ..................... 7,308,390 40,600 oCONTIFINANCIAL CORP ........................ 1,197,700 1,296,292 COUNTRYWIDE CREDIT INDUSTRIES, INC ......... 32,083,227 23,313 oCREDIT FONCIER DE FRANCE S.A ............... 151,697 51,000 CREDIT SAISON CO ........................... 1,232,162 627,500 CWM MORTGAGE HOLDINGS, INC ................. 10,667,500 2,233,108 DAIWA SECURITIES CO LTD .................... 28,706,536 1,396,186 DEAN WITTER DISCOVER & CO .................. 79,931,648 33,900 DEVELOPERS DIVERSIFIED REALTY CORP ......... 1,080,562 533 DUFF & PHELPS CREDIT RATING CO ............. 11,326 109,600 EATON VANCE CORP ........................... 3,973,000 476,700 EDWARDS (A.G.), INC ........................ 12,930,487 175,500 EQUITY RESIDENTIAL PROPERTIES TRUST CO ..... 5,769,562 1,157 oEURAFRANCE S.A ............................. 447,221 1,673,700 FEDERAL HOME LOAN MORTGAGE CORP ............ 143,101,350 10,515,100 FEDERAL NATIONAL MORTGAGE ASSOCIATION ...... 352,255,850 4,000,000 FINANCE ONE CO, LTD (FR) ................... 20,157,440 575,780 oFINANCE ONE CO, LTD (FR) WTS 3/15/99 ....... 2,878,894 341,100 FINOVA GROUP, INC .......................... 16,628,625 606,400 FIRST FINANCIAL CORP (WISCONSIN) ........... 13,644,000 3,500 FIRST HUNGARY FUND LTD (UNITS) ............. 3,746,085 1,598,400 oFIRST NIS REGIONAL (FULLY PD) .............. 16,783,200 444,300 FIRST USA, INC ............................. 24,436,500 102,924 FRANCHISE FINANCE CORP OF AMERICA .......... 2,367,252 418,100 FRANKLIN RESOURCES, INC .................... 25,504,100 447,200 oGARTNER GROUP, INC (CLASS A) (NEW) ......... 16,378,700 72,700 GENERAL GROWTH PROPERTIES, INC ............. 1,753,887 35,440 oGENTRA, INC ................................ 54,235 1,518,800 oGLENDALE FEDERAL SAVINGS BANK, INC (NEW) ... 27,528,250 85,400 GLIMCHER REALTY TRUST ...................... 1,441,125 1,115,000 GOLDEN WEST FINANCIAL CORP ................. 62,440,000 See notes to financial statements. -27- SHARES VALUE ------ ----- FINANCIAL--MISCELLANEOUS--(Continued) 174,500 GREAT FINANCIAL CORP ....................... $ 4,515,187 2,802,373 GREAT WESTERN FINANCIAL CORP ............... 66,906,655 2,928,200 GREEN TREE FINANCIAL CORP .................. 91,506,250 3,273,900 H.F. AHMANSON & CO ......................... 88,395,300 4,800 oHANG LUNG DEVELOPMENT CO LTD WTS 10/31/97 .. 1,134 247,100 HEALTH AND RETIREMENT PROPERTY TRUST ....... 4,262,475 273,900 #oHEIZER CORP (LIQUIDATING TRUST) ............ 113,394 43,700 HIGHWOODS PROPERTIES, INC .................. 1,207,212 67,000 HITACHI CREDIT CORP ........................ 1,185,027 125,333 HONG LEONG CREDIT BERHAD ................... 592,685 809,909 HOUSEHOLD INTERNATIONAL, INC ............... 61,553,084 40,000 oIMPERIAL THRIFT & LOAN ASSOCIATION CO ...... 590,000 2,000 INCENTIVE AB SERIES A FREE ................. 106,394 800 INCENTIVE AB SERIES B FREE ................. 42,738 3,243,000 INVESCO MIM PLC ............................ 11,640,028 70,700 INVESCO PLC ADR ............................ 2,474,500 35,939 INVESTORS FINANCIAL SERVICES CORP .......... 835,581 52,600 INVESTORS GROUP INC ........................ 654,755 581,000 JACCS CO ................................... 5,291,680 720 JAPAN ASSOCIATED FINANCE CO ................ 84,022 911,242 LEHMAN BROTHERS HOLDINGS, INC .............. 22,553,239 215,000 oLG SECURITIES CO ........................... 3,896,896 1,425,000 LONDON FORFAITING CO PLC ................... 6,310,370 91,500 MARYLAND FEDERAL BANCORP ................... 2,699,250 600,000 oMBF CAPITAL BERHAD ......................... 827,154 1,765,275 MBNA CORP .................................. 50,310,337 460,600 oMEDAPHIS CORP .............................. 18,308,850 509,700 MEDITRUST CORP ............................. 17,011,237 11,895 oMERCAPITAL S.A ............................. 111,322 73,480 MERCURY ASSETS MANAGEMENT GROUP PLC ........ 1,101,771 922,200 MERCURY FINANCE CO ......................... 11,758,050 1,626,796 MERRILL LYNCH & CO, INC .................... 105,945,089 303,113 MERRY LAND & INVESTMENT CO, INC ............ 6,365,373 942,400 MORGAN STANLEY GROUP, INC .................. 46,295,400 1,600,000 NATIONAL FINANCE & SECURITIES PUBLIC CO LTD (FR) ......................... 6,110,224 3,500,000 NAVA FINANCE & SECURITIES PUBLIC CO LTD (FR) ........................ 9,438,957 72,531 NEW PLAN REALTY TRUST ...................... 1,532,217 150,000 oNEWCOURT CREDIT GROUP ...................... 3,695,905 600 NICE NICHIEI CO LTD ........................ 2,833 13,362 NICHIEI CO LTD (OTC) ....................... 889,295 372,000 NIKKO SECURITIES CO LTD .................... 4,171,574 385,000 NIPPON SHINPAN CO LTD ...................... 2,737,835 4,686,744 NOMURA SECURITIES CO LTD ................... 91,440,156 4,313 NPM HOLDINGS NV ............................ 170,549 114,900 oOLYMPIC FINANCIAL LTD ...................... 2,642,700 495,000 ORIENT CORP ................................ 3,249,298 27,187 ORIX CORP .................................. 1,006,327 112 ORREFORS KOSTA BODA AB ..................... 1,670 16,547 oPACIFIC CREST CAPITAL, INC ................. 148,923 608,300 PAINE WEBBER GROUP INC ..................... 14,447,125 73,500 PENNCORP FINANCIAL GROUP, INC .............. 2,333,625 250,000 PEREGRINE INVESTMENT HOLDINGS LTD .......... 360,105 25,000 oPEREGRINE INVESTMENT WTS 5/15/98 ........... 3,100 145,000 PERPETUAL PLC .............................. 5,339,633 885,000 oPHATRA THANAKIT CO LTD (FR) ................ 5,958,058 7,900 PHOENIX DUFF & PHELPS CORP ................. 59,250 190,000 oPHYSICIAN SUPPORT SYSTEMS, INC ............. 4,298,750 326,000 PIONEER GROUP, INC ......................... 8,720,500 55,000 PMI GROUP, INC ............................. 2,337,500 545,200 PRICE (T. ROWE) ASSOCIATES, INC ............ 16,764,900 191,000 PROMISE CO ................................. 9,403,273 1,525,694 PROVIDENT FINANCIAL PLC .................... 10,904,867 48,200 PUBLIC STORAGE, INC ........................ 994,125 97,162 QUICK & REILLY GROUP, INC .................. 3,157,765 10,100 RESOURCE MORTGAGE CAPITAL CORP ............. 227,250 283,600 RFS HOTEL INVESTORS, INC ................... 4,395,800 34,803 RIT CAPITAL PARTNERS PLC ................... 130,866 67,800 ROOSEVELT FINANCIAL GROUP, INC ............. 1,305,150 990,600 SALOMON, INC ............................... 43,586,400 79,760 SCHROEDERS LTD ............................. 1,679,266 1,043,900 SCHWAB (CHARLES) CORP ...................... 25,575,550 40,000 oSEACOR HOLDINGS, INC ....................... 1,790,000 327,100 SECURITY CAPITAL PACIFIC TRUST ............. 7,114,425 34,600 SPIEKER PROPERTIES, INC .................... 942,850 262,000 oSSANGYOUNG INVESTMENT & SECURITIES CO ...... 4,619,557 132,500 ST. FRANCIS CAPITAL CORP ................... 3,312,500 140,692 ST. JAMESS PLACE CAPITAL PLC ............... 264,514 221,900 STEWART INFORMATION SERVICES CORP .......... 4,465,737 1,600 STORAGE USA, INC ........................... 51,600 290,000 STUDENT LOAN CORP .......................... 10,440,000 1,255,050 STUDENT LOAN MARKETING ASSOCIATION ......... 92,873,700 710 oTAIPEI FUND IDR UNITS (REGD) ............... 6,177,000 656,800 TCF FINANCIAL CORP ......................... 21,838,600 444,075 THE MONEY STORE, INC ....................... 9,825,159 800 UNITED ASSET MANAGEMENT CORP ............... 19,600 417,700 UNITED COS FINANCIAL CORP .................. 14,201,800 299,498 UNITED DOMINION REALTY TRUST CO ............ 4,305,283 298,400 VALUE LINE, INC ............................ 10,145,600 90,150 WHITNEY HOLDING CORP ....................... 2,727,037 875,600 YAMAICHI SECURITIES CO LTD ................. 6,003,099 --------------- 2,527,989,873 --------------- FOODS--2.02% 1,000 AARHUS OLIEFABRIK AS (CLASS A) ............. 53,703 1,700 AARHUS OLIEFABRIK AS (CLASS B) ............. 89,847 534,610 AJINOMOTO CO LTD ........................... 6,384,991 5,168,671 ARCHER DANIELS MIDLAND CO .................. 98,850,832 88,000 ARIAKE JAPAN CO LTD ........................ 3,321,505 36,000 ARNOTTS LTD ................................ 241,135 365,200 ASSOCIATED BRITISH FOODS PLC ............... 2,196,022 3,720 AULT FOODS LTD ............................. 44,263 62,749 BAGLEY S.A. (CLASS B) ...................... 158,977 700 BONGRAIN S.A ............................... 338,558 700 oBONGRAIN S.A. RTS .......................... 34,250 455,534 BRL HARDY LTD .............................. 831,837 1,726,228 BURNS PHILP & CO LTD ....................... 3,260,913 423,629 CADBURY SCHWEPPES LTD ...................... 3,350,414 920,500 CAMPBELL SOUP CO ........................... 64,895,250 995,173 CARDINAL HEALTH, INC ....................... 71,776,852 423,900 CHIQUITA BRANDS INTERNATIONAL, INC ......... 5,510,700 2,206,904 CONAGRA, INC ............................... 100,138,269 1,209,400 CPC INTERNATIONAL, INC ..................... 87,076,800 40,500 CULTOR OY SERIES 2 ......................... 2,074,640 67,000 oDANISCO AS ................................. 3,335,427 29,041 DANONE GROUP ............................... 4,394,257 422,550 DEAN FOODS CO .............................. 10,458,112 237,000 DEL MONTE ROYAL FOODS ...................... 284,585 445,984 DOLE FOOD, INC ............................. 19,177,312 323,700 DREYERS GRAND ICE CREAM, INC ............... 10,196,550 105,032 oEARTHGRAINS CO ............................. 3,439,798 9,331 oERIDANIA BEGHIN-SAY S.A ................... 1,460,829 284,000 EZAKI GLICO CO LTD ......................... 3,158,858 95,986 oFINANZIARIA AUTOGRILL S.P.A ................ 109,958 618,450 FLOWERS INDUSTRIES, INC .................... 9,972,506 See notes to financial statements. -28- SHARES VALUE ------ ----- FOODS--(Continued) 1,869,700 GENERAL MILLS, INC ......................... $101,898,650 501,800 oGENERAL NUTRITION COS, INC ................. 8,781,500 162,600 GOLDEN ENTERPRISES, INC .................... 1,310,962 2,054,799 GOODMAN FIELDER LTD ........................ 2,086,358 153,000 GRUPO INDUSTRIAL BIMBO S.A. DE CV SERIES A . 708,482 366,000 GRUPO INDUSTRIAL MASECA S.A SERIES B ...... 382,416 2,653,850 HEINZ (H.J.) CO ............................ 80,610,693 625,000 HERDEZ S.A. SERIES B ....................... 210,257 393,948 HERSHEY FOODS CORP ......................... 28,905,934 100,000 HOHNEN OIL CO LTD .......................... 635,454 788,300 oHORMEL FOODS CORP .......................... 21,087,025 153,400 HOUSE FOODS CORP ........................... 2,908,979 61,500 HUTECH NORIN CO LTD ........................ 1,928,792 572,600 IBP, INC ................................... 15,818,075 408,800 oINTERNATIONAL DAIRY QUEEN, INC (CLASS A) ... 8,993,600 343,500 INTERNATIONAL MULTIFOODS CORP .............. 6,268,875 388,000 ITOHAM FOODS, INC .......................... 2,953,725 256,900 oJ & J SNACK FOODS CORP ..................... 2,954,350 399,115 KATOKICHI CO LTD ........................... 9,642,638 1,273,300 KELLOGG CO ................................. 93,269,225 1,000,000 KENTUCKY FRIED CHICKEN BERHAD .............. 5,410,165 65,000 KERRY GROUP (CLASS A) ...................... 676,679 103,301 oKIKKOMAN CORP .............................. 842,906 5,500 oKOIPE S.A .................................. 300,261 5,000 KORN-OG FODERSTOF KOMPAGNIET AS ............ 225,896 250,000 LA DORIA S.P.A ............................. 1,090,470 262,632 LANCE, INC ................................. 4,333,428 171,500 oLEDESMA S.A ................................ 245,588 4,119 MAPLE LEAF FOODS, INC ...................... 21,413 167,000 MARUDAI FOOD CO LTD ........................ 1,204,328 177,000 oMARUHA CORP ................................ 642,256 712,800 MCCORMICK & CO, INC ........................ 15,770,700 50,000 oMEFOS LTD .................................. 1,458,720 206,700 MEIJI MILK PRODUCTS CO LTD ................. 1,324,792 215,000 MEIJI SEIKA KAISHA LTD ..................... 1,330,945 252,675 MICHAEL FOODS, INC ......................... 2,937,346 115,000 oMIDWEST GRAIN PRODUCTS, INC ................ 1,495,000 34,779 MOLINOS RIO DE LA PLATA S.A. (CLASS B) ..... 365,691 130,900 NABISCO HOLDINGS CORP (CLASS A) ............ 4,630,587 80,800 oNATURES SUNSHINE PRODUCTS, INC ............. 2,060,400 79,000 oNBTY, INC .................................. 794,937 96,000 NESTLE MALAYSIA BERHAD ..................... 773,292 59,436 NESTLE S.A. (REGD) ......................... 67,854,911 132,000 NICHIREI CORP .............................. 944,703 200,000 NIPPON BEET SUGAR MANUFACTURING CO LTD ...................... 1,092,216 401,200 NIPPON MEAT PACKERS, INC ................... 5,706,075 219,000 oNIPPON SUISAN KAISHA LTD ................... 932,422 184,000 NISSIN FOOD PRODUCTS CO LTD ................ 4,713,853 63,870 NUTRICIA NV ................................ 6,753,680 71,500 ORKLA AS SERIES A .......................... 3,763,976 7,748 ORKLA AS SERIES B .......................... 376,869 3,275,000 oPARMALAT FINANZIARIA ....................... 4,398,718 12,300 oPASCUAL HERMANOS S.A ....................... 8,057 2,638,555 PERDIGAO COMERICO E INDUSTRIA .............. 4,204 526,400 PIONEER-HI-BRED INTERNATIONAL, INC ......... 27,833,400 350,000 oPOWER PACIFIC LTD .......................... 22,038 2,000,000 oPT CHAROEN POKPHAND INDONESIA (FR) ......... 3,870,000 2,560,000 oPT INDOFOOD SUKSES MAKMUR (FR) ............. 11,558,400 435,739 oQ.P. CORP .................................. 4,210,990 1,070,732 QUAKER OATS CO ............................. 36,538,729 30,000 oRAISION TEHTAAT OY ......................... 1,788,594 604,943 oRALCORP HOLDINGS, INC ...................... 12,476,949 961,191 RALSTON PURINA GROUP ....................... 61,636,372 139,600 RICHFOOD HOLDINGS, INC ..................... 4,537,000 3,916,800 SARA LEE CORP .............................. 126,806,400 385,800 SAVANNAH FOODS & INDUSTRIES, INC ........... 4,967,175 169,000 SHINOBU FOOD PRODUCTS CO LTD ............... 1,109,356 22,000 SMITH (C.G) LTD ............................ 114,305 205,800 oSMITHFIELD FOODS, INC ...................... 5,196,450 107,531 SMITH'S FOOD & DRUG CENTERS, INC (CLASS B) . 2,567,302 105,400 SMUCKER, (J.M.) CO (CLASS A) ............... 2,068,475 199,400 SMUCKER, (J.M.) CO (CLASS B) ............... 3,713,825 870,950 SNOW BRAND MILK PRODUCTS CO ................ 5,915,636 325,100 oSPAGHETTI WAREHOUSE, INC ................... 1,747,412 2,812 ST. LOUIS S.A .............................. 746,655 163,000 TAKARA SHUZO CO LTD ........................ 1,664,399 158,193 TATE & LYLE PLC ............................ 1,125,765 208,200 TCBY ENTERPRISES, INC ...................... 884,850 28,000 TIGER OATS LTD ............................. 392,794 260,482 TOOTSIE ROLL INDUSTRIES, INC ............... 9,279,671 444,200 TYSON FOODS, INC ........................... 12,159,975 97,900 UNIGATE PLC ................................ 605,425 635,400 UNILEVER LTD ............................... 12,637,241 274,800 UNILEVER NV CERTIFICATES ................... 39,763,087 227,980 UNITED BISCUITS HOLDINGS PLC ............... 758,063 424,620 UNIVERSAL FOODS CORP ....................... 15,657,862 8,420 oVISCOFAN S.A ............................... 132,976 97,600 WESTON (GEORGE) LTD ........................ 3,373,155 490,900 WRIGLEY (WM) JR CO ......................... 24,790,450 373,800 WRIGLEY (WM) JR CO (CLASS B) ............... 18,876,900 119,300 oYAMAZAKI BAKING CO LTD ..................... 2,207,945 280,000 oYOMEISHU SEIZO CO LTD ...................... 2,680,398 -------------- 1,518,875,843 -------------- FOREST PRODUCTS--0.60% 1,906,872 AMCOR LTD .................................. 12,982,775 350,000 ARACRUZ CELLULOSE S.A. ADR ................. 3,325,000 335,000 ARJO WIGGINS APPLETON PLC .................. 916,120 2,920,700 oASIA PACIFIC RESOURCES INTERNATIONAL HOLDINGS (CLASS A) .......... 21,905,250 122,000 AVENOR, INC ................................ 1,974,225 19,000 #oBIRKA KRAFT ................................ 180,387 503,932 BOISE CASCADE CORP ......................... 18,456,509 64,632 CANFOR CORP ................................ 624,692 17,643,377 oCARTER HOLT HARVEY LTD ..................... 40,251,300 125,000 CARTIERE BURGO S.P.A ....................... 682,562 692,290 CHAMPION INTERNATIONAL CORP ................ 28,903,107 119,000 oCOLLINS & AIKMAN CORP ...................... 714,000 150,300 DOMTAR, INC ................................ 1,106,036 503,680 DOMTAR, INC (U.S.) ......................... 3,651,680 47,300 DONOHUE, INC (CLASS A) ..................... 619,952 69,174 oFIBREBOARD CORP (NEW) ...................... 1,910,931 33,000 FLETCHER CHALLENGE CANADA LTD (CLASS A) .... 447,023 3,395,025 oFLETCHER CHALLENGE LTD ENERGY DIVISION ........................... 7,489,499 8,704,207 FLETCHER CHALLENGE LTD (FORESTS DIVISION) .. 10,793,486 824,300 GEORGIA-PACIFIC CORP ....................... 58,525,300 134,125 HOKUSHIN CO LTD ............................ 1,711,944 80,340 KONINKLIJKE KNP BT NV ...................... 1,924,959 19,000 oKORSNAS AB SERIES A ........................ 286,330 766,736 LOUISIANA PACIFIC CORP ..................... 16,964,034 48,400 MACMILLAN BLOEDEL LTD ...................... 641,458 30,000 MADERAS Y SINTETICOS S.A. ADR .............. 532,500 71,000 MO OCH DOMSJO AB SERIES B FREE ............. 1,818,949 See notes to financial statements. -29- SHARES VALUE ------ ----- FOREST PRODUCTS--(Continued) 63,800 NORSKE SKOGINDUSTRIER SERIES A ............. $ 1,924,826 2,400 NORSKE SKOGINDUSTRIER SERIES B ............. 66,865 2,500 PAPIERWERKE WALDHOF- ASCHAFFENBURG AG ...... 313,690 33,400 POPE & TALBOT, INC ......................... 505,175 200,000 PORTUCEL INDUSTRIA EMPRESA ................. 1,280,229 277,900 POTLATCH CORP .............................. 10,872,837 506,184 RAYONIER, INC .............................. 19,234,992 7,000 oREPAP ENTERPRISES, INC 27,421 204,974 REXAM PLC .................................. 1,079,676 319,900 SCA AB SERIES B ............................ 6,580,518 402,136 SMURFIT (JEFFERSON) GROUP PLC .............. 1,087,219 113,000 oSTONE CONSOLIDATED CORP .................... 1,385,918 454,450 STORA KOPPARBERG BERGSLAGS SERIES A FREE ............................. 5,992,491 75,550 STORA KOPPARBERG BERGSLAGS SERIES B FREE .............................. 996,221 77,142 oTABLEROS DE FIBRAS S.A. SERIES B ........... 700,899 85,000 oTEMBEC, INC (CLASS A) ...................... 581,935 331,400 TJ INTERNATIONAL, INC ...................... 5,965,200 1,297,900 oUPM-KYMMENE OY ............................. 26,845,747 2,186,450 WEYERHAEUSER CO ............................ 92,924,125 541,536 WILLAMETTE INDUSTRIES, INC ................. 32,221,392 -------------- 449,927,384 -------------- HEALTHCARE--DRUGS--5.56% 1,507,991 oAFFYMETRIX, INC ............................ 22,996,862 28,000 oAGOURON PHARMACEUTICALS, INC ............... 1,092,000 371,900 oALLIANCE PHARMACEUTICAL CORP ............... 6,136,350 22,900 oALPHA BETA TECHNOLOGY, INC ................. 203,237 686,000 oALZA CORP .................................. 18,779,250 5,705,102 AMERICAN HOME PRODUCTS CORP ................ 343,019,257 2,234,400 oAMGEN, INC ................................. 120,657,600 312,625 ARBOR DRUGS, INC ........................... 6,526,046 12,487 ARES-SERONO S.A. SERIES B .................. 10,973,629 1,830,080 ASTRA AB SERIES A FREE ..................... 80,807,364 144,400 ASTRA AB SERIES B FREE ..................... 6,288,952 73,600 oATHENA NEUROSCIENCES, INC .................. 1,260,400 265,000 BANYU PHARMACEUTICAL CO LTD ................ 3,744,807 289,642 BERGEN BRUNSWIG CORP (CLASS A) ............. 8,037,565 161,250 oBIO RAD LABORATORIES, INC (CLASS A) ........ 5,784,843 312,600 oBIO TECHNOLOGY GENERAL CORP ................ 2,598,487 17,000 oBIOCHEM PHARMACEUTICALS, INC ............... 637,951 329,700 oBIOGEN, INC ................................ 18,092,287 99,300 oBIOMIRA, INC ............................... 625,305 150,927 BLOCK DRUG, INC (CLASS A) .................. 6,338,934 4,847,240 BRISTOL MYERS SQUIBB CO .................... 436,251,600 523,800 xoCAMBRIDGE BIOTECH CORP ..................... 2,246,400 671,200 oCENTOCOR, INC .............................. 20,052,100 186,100 oCEPHALON, INC .............................. 3,675,475 712,767 oCHIRON CORP ................................ 69,851,166 326,180 CHUGAI PHARMACEUTICAL CO LTD ............... 3,181,947 12,000 CIBA-GEIGY AG. (BR) ........................ 14,552,999 32,519 CIBA-GEIGY AG. (REGD) ...................... 39,619,274 378,300 COLLAGEN CORP .............................. 7,234,987 700 oCOPLEY PHARMACEUTICAL, INC ................. 9,275 206,300 oCYGNUS, INC ................................ 3,146,075 524,982 oCYTOGEN CORP ............................... 4,757,649 115,468 DAIICHI PHARMACEUTICAL CO .................. 1,779,099 950 DAINIPPON PHARMACEUTICAL CO LTD ............ 10,220 357,270 oDR. REDDYS LABORATORIES LTD GDR ............ 3,572,700 95,800 oDURA PHARMACEUTICALS, INC .................. 5,364,800 743,641 EISAI CO LTD ............................... 14,034,134 241,577 ELF SANOFI S.A. ............................ 18,103,153 120,095 oENZO BIOCHEMICAL, INC ...................... 2,056,626 446,000 oFOREST LABORATORIES, INC ................... 17,226,750 615,000 FUJISAWA PHARMACUEUTICAL CO LTD ............ 6,447,998 40,500 oGENENTECH, INC ............................. 2,121,187 88,180 oGENETICS INSTITUTE, INC (DEPOSITORY SHARES) ....................... 5,599,430 404,700 #oGENSET S.A. ................................ 23,189,514 309,281 oGENSIA, INC ................................ 1,565,735 291,900 oGENZYME CORP ............................... 14,667,975 35,302 oGENZYME CORP (TISSUE REPAIR DIVISION) .................. 414,798 217,200 oGILEAD SCIENCES, INC ....................... 5,484,300 4,829,682 GLAXO WELLCOME PLC ......................... 65,025,278 13,410 HAFSLUND AS SERIES A ....................... 97,015 25,802 HAFSLUND AS SERIES B ....................... 162,836 171,500 oIMMUNE RESPONSE CORP ....................... 1,972,250 441,800 oIMMUNEX CORP (NEW) ......................... 6,019,525 638,600 oIMMUNOMEDICS, INC .......................... 5,907,050 285,200 oINTERNEURON PHARMACEUTICALS, INC ........... 8,556,000 69,900 oISIS PHARMACEUTICALS, INC .................. 1,310,625 1,752,859 IVAX CORP .................................. 27,826,636 25,555 KISSEI PHARMACEUTICALS CO LTD .............. 715,263 190,080 KYOWA HAKKO KOGYO .......................... 1,819,607 4,964,010 LILLY (ELI) & CO ........................... 322,660,650 308,300 oLIPOSOME CO, INC ........................... 5,780,625 447,200 #oMARTEK BIOSCIENCES CORP .................... 13,080,600 140,210 #oMARTEK BIOSCIENCES CORP WTS 5/18/98 ........ 2,711,661 23,500 oMATRIX PHARMACEUTICALS, INC ................ 423,000 504,000 MCKESSON CORP (NEW) ........................ 24,003,000 3,210 MEDEVA PLC ................................. 12,519 188,000 oMEDIMMUNE, INC ............................. 3,196,000 66,000 MERCK & CO KGAA ............................ 2,471,423 11,644,617 MERCK & CO, INC ............................ 752,533,373 75,000 oMILLENNIUM PHARMACEUTICALS, INC ............ 1,162,500 68,450 MOCHIDA PHARMACEUTICAL CO LTD .............. 892,403 210,550 oMOLECULAR BIOSYSTEMS, INC .................. 1,894,950 1,107,350 MYLAN LABORATORIES, INC .................... 19,101,787 38,900 oNEUROGEN CORP .............................. 1,001,675 198,472 oNEXSTAR PHARMACEUTICALS, INC ............... 4,416,002 308,700 oNORTH AMERICAN VACCINE, INC ................ 5,633,775 62,210 NOVO NORDISK AS (CLASS B) .................. 8,803,028 52,482 oNYCOMED SERIES A ........................... 755,330 25,802 oNYCOMED SERIES B ........................... 357,446 33,418 oNO PHARMACEUTICAL CO LTD ................... 1,148,613 5,303,300 PFIZER, INC ................................ 378,523,037 313,242 oPHARMACEUTICAL RESOURCES, INC .............. 1,566,210 3,465,685 PHARMACIA & UPJOHN, INC .................... 153,789,771 33,200 oPROTEIN DESIGN LABORATORIES, INC ........... 747,000 515,000 RANBAXY LABORATORIES LTD GDR ............... 10,557,500 230,000 oREGENERON PHARMACEUTICALS, INC ............. 3,996,250 244,300 oREPLIGEN CORP .............................. 251,934 308,500 RHONE-POULENC RORER, INC ................... 20,708,062 100,000 oRIBOZYME PHARMACEUTICALS, INC .............. 1,287,500 58,000 RIKEN VITAMIN CO LTD ....................... 872,496 230,700 oROBERTS PHARMACEUTICAL CORP ................ 4,642,837 1,780 ROCHE HOLDINGS AG. (BR) .................... 22,113,112 16,782 ROCHE HOLDINGS AG. (GENUSSCHEINE) .......... 127,973,231 75,231 ROUSSEL UCLAF S.A. ......................... 18,046,800 13,500 SANDOZ AG. (BR) ............................ 15,347,518 148,110 SANDOZ AG. (REGD) .......................... 169,325,942 671,713 SANKYO CO LTD .............................. 17,392,181 314,300 oSCHERER (R.P.) CORP ........................ 14,261,362 77,170 SCHERING AG. ............................... 5,612,087 3,650,456 SCHERING-PLOUGH CORP ....................... 229,066,114 782,550 oSCIOS, INC ................................. 5,184,393 See notes to financial statements. -30- SHARES VALUE ------ ----- HEALTHCARE--DRUGS (continued) 213,600 oSEPRACOR, INC .............................. $ 3,204,000 537,800 oSEQUUS PHARMACEUTICALS, INC ................ 10,697,180 359,950 SHIONOGI & CO LTD .......................... 3,091,327 5,100 SMITHKLINE BEECHAM PLC ADR ................. 277,312 5,040,190 SMITHKLINE BEECHAM/BECKMAN LTD ............. 53,919,514 132,400 oSOMATOGEN, INC ............................. 1,870,150 211,800 oSYNCOR INTERNATIONAL CORP (NEW) ............ 2,753,400 40,375 SYNTHELABO S.A. ............................ 3,411,443 139,700 TAISHO PHARMACEUTICAL CO LTD ............... 3,018,538 1,083,100 TAKEDA CHEMICAL INDUSTRY LTD ............... 19,156,768 377,702 TANABE SEIYAKU CO LTD ...................... 2,947,643 1,000 TEIKOKU HORMONE MANUFACTURING .............. 14,131 407,000 TERUMO CORP ................................ 5,157,760 543,250 oTHERMEDICS, INC ............................ 13,581,250 290,928 oU.S. BIOSCIENCE, INC ....................... 3,963,894 65,100 oVERTEX PHARMACEUTICALS, INC ................ 1,977,412 2,185,800 WARNER-LAMBERT CO .......................... 120,219,000 487,600 oWATSON PHARMACEUTICALS, INC ................ 18,467,850 427,303 oXOMA CORP .................................. 2,884,295 471,485 YAMANOUCHI PHARMACEUTICAL CO ............... 10,230,498 1,020,092 ZENECA GROUP PLC ........................... 22,554,819 -------------- 4,187,327,308 -------------- HEALTHCARE--HOSPITAL SUPPLY--1.61% 7,219,688 ABBOTT LABORATORIES CO ..................... 314,056,428 614,172 BARD (C.R.), INC ........................... 20,881,848 2,514,766 BAXTER INTERNATIONAL, INC .................. 118,822,693 631,406 BECTON DICKINSON & CO ...................... 50,670,331 700 oCNS, INC ................................... 16,975 356,600 DENTSPLY INTERNATIONAL, INC (NEW) .......... 15,155,500 1,459,313 GUIDANT CORP ............................... 71,871,165 32,900 oGULF SOUTH MEDICAL SUPPLY, INC ............. 1,283,100 26,800 oHAEMONETICS CORP ........................... 489,100 159,423 oHEALTHDYNE TECHNOLOGIES, INC ............... 2,072,499 19,400 HOGY MEDICAL CO ............................ 1,052,375 294,800 oIMMUCOR, INC ............................... 3,537,600 123,000 oISOLYSER CO, INC ........................... 1,476,000 11,429,854 JOHNSON & JOHNSON CO ....................... 565,777,773 110,000 oNOBEL BIOCARE AB ........................... 2,038,971 396,412 OWENS & MINOR, INC NEW ..................... 4,608,289 252,550 oPATTERSON DENTAL CO ........................ 9,154,937 224,900 oPHYSICIAN SALES & SERVICE, INC ............. 5,453,825 4,050 oRADIOMETER AS (CLASS B) .................... 251,333 160,500 oTECNOL MEDICAL PRODUCTS, INC ............... 3,089,625 434,200 U.S. SURGICAL CORP ......................... 13,460,200 325,400 oVENTRITEX, INC ............................. 5,572,475 -------------- 1,210,793,042 -------------- HEALTHCARE--OTHER--0.87% 61,900 oACCESS HEALTH, INC ......................... 2,924,775 300,800 oACUSON CORP ................................ 4,812,800 210,860 oADVANCED TECHNOLOGY LABORATORIES, INC ......................... 7,696,390 89,200 oADVANCED TISSUE SCIENCE CO ................. 1,438,350 623,650 ALLERGAN, INC .............................. 24,478,262 71,800 oAMERICAN DRUG CO ........................... 22,437 71,800 oAMERICAN DRUG CO WTS 8/05/96 ............... 718 169,600 oAMERICAN MEDICAL RESPONSE, INC ............. 5,978,400 150,500 oAPPLIED BIOSCIENCE INTERNATIONAL, INC ........................ 1,580,250 247,100 ARROW INTERNATIONAL, INC ................... 6,671,700 216,433 oBALLARD MEDICAL PRODUCTS CO ................ 4,139,281 665,200 BAUSCH & LOMB, INC ......................... 28,271,000 161,373 oBEC GROUP, INC ............................. 706,006 976,700 oBIOMET, INC ................................ 14,040,062 400,100 oBIOWHITTAKER, INC .......................... 3,375,843 937,178 oBOSTON SCIENTIFIC CORP ..................... 42,173,010 2,119,741 oCAREMARK INTERNATIONAL, INC ................ 53,523,460 203,900 oCIRCON CORP ................................ 2,395,825 133,812 oCORAM HEALTHCARE CORP ...................... 551,974 345,800 oCOVENTRY CORP .............................. 5,446,350 101,500 oDATASCOPE CORP ............................. 1,801,625 192,100 DIAGNOSTIC PRODUCTS CORP ................... 7,395,850 181,300 oE-Z-EM, INC (CLASS A) ...................... 2,243,587 213,429 oE-Z-EM, INC (CLASS B) ...................... 2,414,415 784,996 oENZON, INC ................................. 2,747,486 102,963 oEPITOPE, INC ............................... 1,608,796 8,600 oESSILOR INTERNATIONAL ...................... 2,435,523 45,000 FUKUDA DENSHI CO ........................... 1,152,844 136,800 oGENESIS HEALTH VENTURES, INC ............... 4,292,100 284,700 HILLENBRAND INDUSTRIES, INC ................ 10,605,075 185,100 oHUMAN GENOME SCIENCES, INC ................. 6,802,425 412,200 oIDEXX LABORATORIES, INC .................... 16,178,850 30,000 #oINTERNATIONAL HYDRON (LIQUIDATING TRUST) ... 600 81,600 KINETIC CONCEPTS, INC ...................... 1,264,800 143,760 KURAYA CORP ................................ 2,503,360 2,975,000 LONDON INTERNATIONAL GROUP PLC ............. 7,003,170 14,677 #oLYNX THERAPEUTICS, INC ..................... 124,754 165,700 oMEDCO RESEARCH, INC ........................ 1,636,287 1,991,872 MEDTRONIC, INC ............................. 111,544,832 531,400 MENTOR CORP ................................ 13,550,700 32,600 oMYRIAD GENETICS, INC ....................... 815,000 342,408 oNELLCOR PURITAN BENNETT, INC ............... 16,606,788 200,000 oNEOPATH, INC ............................... 5,050,000 924,200 oOXFORD HEALTH PLANS, INC ................... 38,007,725 927,926 PALL CORP .................................. 22,386,214 214,400 oPHYSICIAN RELIANCE NETWORK, INC ............ 4,770,400 60,000 oPIGEON CORP ................................ 1,411,311 142,200 oQUANTUM HEALTH RESOURCES, INC .............. 2,417,400 194,000 oRESEARCH MEDICAL, INC ...................... 4,292,250 16,000 SAGAMI RUBBER INDUSTRIES CO LTD ............ 113,488 200,000 oSEQUANA THERAPEUTICS, INC .................. 3,100,000 386,360 oSPACELABS MEDICAL, INC ..................... 8,982,870 710,095 oST. JUDE MEDICAL, INC ...................... 23,788,182 264,672 oSTERIS CORP ................................ 8,469,504 1,078,200 STEWART ENTERPRISES, INC (CLASS A) ......... 33,693,750 605,200 oSTRYKER CORP ............................... 13,768,300 521,000 oSUMMIT TECHNOLOGY, INC ..................... 7,294,000 196,879 SUN-S, INC ................................. 2,028,288 108,300 oSUNRISE MEDICAL, INC ....................... 2,084,775 756,800 oSYBRON INTERNATIONAL CORP .................. 18,920,000 212,600 oSYNETIC, INC ............................... 7,866,200 73,700 oTARGET THERAPEUTICS, INC ................... 3,021,700 190,900 oTEVA PHARMACEUTICALS INDUSTRIES LTD ADR .... 7,230,337 137,400 oTHERMO CARDIOSYSTEMS, INC .................. 6,148,650 75,500 oTHERMOTREX CORP ............................ 3,718,375 -------------- 653,519,479 -------------- HEALTHCARE--SERVICE--1.17% 195,200 ADAC LABORATORIES, INC NEW ................. 4,440,800 629,000 oAMERISOURCE HEALTH CORP (CLASS A) .......... 20,914,250 667,300 oAPRIA HEALTHCARE GROUP, INC ................ 20,936,537 761,961 oBEVERLY ENTERPRISES CO ..................... 9,143,532 220,300 oCERNER CORP ................................ 4,708,912 163,900 oCOASTAL PHYSICIAN GROUP, INC ............... 1,126,812 3,880,133 COLUMBIA/HCA HEALTHCARE CORP ............... 207,102,098 76,200 oCOMMUNITY HEALTH SYSTEMS, INC .............. 3,943,350 399,162 oCOMMUNITY PSYCHIATRIC CENTERS .............. 3,792,039 6,000 oEXTENDICARE (MULTI-VTG) .................... 74,906 64,000 oEXTENDICARE (SUB-VTG)(CLASS A) ............. 775,572 See notes to financial statements. -31- SHARES VALUE ------ ----- HEALTHCARE--SERVICE--(Continued) 98,464 oFHP INTERNATIONAL CORP ..................... $ 2,695,452 526,350 oFOUNDATION HEALTH CORP ..................... 18,882,806 303,200 oFOXMEYER HEALTH CORP ....................... 4,510,100 320,900 oGMIS, INC .................................. 3,850,800 319,000 oHEALTH CARE & RETIREMENT CORP .............. 7,576,250 771,900 oHEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) NEW ............................. 15,630,975 15,300 oHEALTH MANAGEMENT SYSTEMS, INC ............. 485,775 273,000 oHEALTH SYSTEMS INTERNATIONAL, INC .......... 7,405,125 397,127 oHEALTHCARE COMPARE CO ...................... 19,359,941 245,000 oHEALTHDYNE INFORMATION ENTERPRISES ......... 1,240,312 626,100 oHEALTHSOURCE, INC .......................... 10,956,750 1,125,525 oHEALTHSOUTH CORP ........................... 40,518,900 337,319 oHORIZON/CMS HEALTHCARE CORP ................ 4,342,982 1,787,232 oHUMANA, INC ................................ 31,946,772 200 oI-STAT CORP ................................ 3,775 195,200 oINTEGRATED HEALTH SERVICES, INC ............ 4,636,000 200 oINTEGRATED SILICON SOLUTION, INC ........... 2,300 208,400 INVACARE CORP .............................. 4,897,400 358,560 oLABORATORY CORP OF AMERICA HOLDINGS ........ 2,689,200 75,098 oLABORATORY CORP OF AMERICA HOLDINGS WTS 4/28/00 ...................... 37,549 574,600 oLINCARE HOLDINGS, INC ...................... 22,553,050 53,200 oLIVING CENTERS OF AMERICA, INC ............. 1,828,750 97,300 oMAGELLAN HEALTH SERVICES, INC .............. 2,091,950 442,950 MANOR CARE, INC ............................ 17,441,156 29,000 oMARINER HEALTH GROUP, INC .................. 532,875 496,100 oMATRIA HEALTHCARE, INC ..................... 4,216,850 57,000 oMAXICARE HEALTH PLANS, INC ................. 1,075,875 239,881 oMEDPARTNERS/MULLIKIN, INC .................. 5,007,515 1,478,100 oMID ATLANTIC MEDICAL SERVICES, INC ......... 21,062,925 73,868 MORRISON FRESH COOKING, INC ................ 387,807 98,490 MORRISON HEALTH CARE, INC .................. 1,378,860 92,400 oMULTICARE COS, INC ......................... 1,755,600 32,600 NICHII GAKKAN CO ........................... 1,694,120 251,100 oNOVACARE, INC .............................. 1,914,637 650,200 OMNICARE, INC .............................. 17,230,300 531,670 oORNDA HEALTHCORP ........................... 12,760,080 61,600 oORTHODONTIC CENTERS OF AMERICA, INC ........ 1,632,400 812,000 oOWEN HEALTHCARE, INC ....................... 11,266,500 230,446 oPACIFICARE HEALTH SYSTEMS, (CLASS A) ....... 15,209,436 47,246 oPACIFICARE HEALTH SYSTEMS, INC (CLASS B) ... 3,200,916 314,887 oPHYCOR, INC ................................ 11,965,706 261,600 oPHYSICIAN CORP OF AMERICA .................. 3,466,200 56,500 oPHYSICIANS HEALTH SERVICES, INC (CLASS A) .. 1,285,375 80,400 oRENAL TREATMENT CENTERS, INC ............... 2,311,500 52,100 oROTECH MEDICAL CORP ........................ 1,015,950 218,700 oSAFEGUARD HEALTH ENTERPRISES, INC .......... 3,963,937 9,900 oSUN HEALTHCARE GROUP, INC .................. 141,075 500,000 oSUNQUEST INFORMATION SYSTEMS, INC .......... 7,500,000 1,340,528 oTENET HEALTHCARE CORP ...................... 28,653,786 15,289 oTRANSPORT HOLDINGS, INC (CLASS A) .......... 703,294 1,465,445 U.S. HEALTHCARE, INC ....................... 80,599,475 1,496,194 UNITED HEALTHCARE CORP ..................... 75,557,797 601,132 oVALUE HEALTH, INC .......................... 14,201,743 766,988 oVENCOR, INC ................................ 23,393,134 54,700 oVISX, INC .................................. 1,866,637 97,500 VITAL SIGNS, INC ........................... 1,998,750 498,133 oVIVRA, INC ................................. 16,376,122 172,553 oWELLPOINT HEALTH NETWORKS, INC ............. 5,392,281 -------------- 883,262,336 -------------- HOUSEHOLD-- CONSUMER ELECTRONICS--0.30% 456,000 CASIO COMPUTER CO LTD ...................... 4,365,219 1,155 FUJI DENKI REIKI CO LTD .................... 14,742 286,580 oHARMAN INTERNATIONAL INDUSTRIES, INC ....... 14,114,065 4,585,854 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ...... 85,290,831 60,335 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ADR .. 11,222,310 164,582 PIONEER ELECTRONIC CORP .................... 3,916,289 3,504,400 SANYO ELECTRIC CO LTD ...................... 21,374,292 1,031,120 SHARP CORP ................................. 18,049,384 819,220 SONY CORP .................................. 53,850,255 207,800 SUN TELEVISION & APPLIANCES, INC ........... 753,275 116,000 oUNIDEN CORP ............................... 2,379,537 460 VICTOR CO OF JAPAN LTD ..................... 6,584 566,122 oZENITH ELECTRONICS CORP .................... 6,864,229 -------------- 222,201,012 -------------- HOUSEHOLD--DURABLE GOODS--0.34% 154,862 BASSETT FURNITURE INDUSTRIES, INC .......... 4,142,558 664,500 BLACK & DECKER CORP ........................ 25,666,312 701,800 CERAMCO CORP LTD ........................... 884,677 171,200 DYNAMICS CORP OF AMERICA ................... 4,558,200 91,674 ELECTROLUX AB SERIES B ..................... 4,607,393 1,559,157 EMAIL LTD .................................. 4,049,801 174,800 FEDDERS CORP ............................... 1,245,450 152,950 FEDDERS CORP (CLASS A) ..................... 898,581 1,452,738 oFISHER & PAYKEL INDUSTRIES LTD ............. 4,657,867 1,083,800 oGENTEX CORP ................................ 21,134,100 65,500 oINDUSTRIE NATUZZI S.P.A. ADR ............... 3,356,875 237,567 oLADD FURNITURE, INC ........................ 2,375,670 855,200 LEGGETT & PLATT, INC ....................... 23,731,800 1,161,903 MAYTAG CO .................................. 24,254,725 29,400 NATIONAL PRESTO INDUSTRIES, INC ............ 1,117,200 1,561,362 NEWELL COS, INC ............................ 47,816,711 47,670 RINNAI CORP ................................ 1,129,979 939,600 SHAW INDUSTRIES, INC ....................... 12,332,250 556,000 STANLEY WORKS CO ........................... 16,541,000 800,100 SUNBEAM CORP ............................... 11,801,475 645,000 TAKARA STANDARD CO ......................... 7,409,385 632,500 WHIRLPOOL CORP ............................. 31,387,812 -------------- 255,099,821 -------------- HOUSEHOLD--PRODUCTS--1.46% 47,800 AMSTRAD PLC ................................ 141,858 44,000 AMWAY JAPAN CO ............................. 2,206,314 519,413 APTARGROUP, INC ............................ 15,712,243 43,500 ARMOR ALL PRODUCTS CORP .................... 647,062 11,636 BIC S.A. ................................... 1,652,180 133,400 CHURCH & DWIGHT CO, INC .................... 2,784,725 316,233 CLOROX CO .................................. 28,026,149 1,196,186 COLGATE PALMOLIVE CO ....................... 101,376,763 1,009,000 DIAL CORP .................................. 28,882,625 60,500 EKCO GROUP, INC ............................ 317,625 259,500 oFIRST ALERT, INC ........................... 1,038,000 285,600 FIRST BRANDS CORP .......................... 7,711,200 162,200 GENERAL HOUSEWARES CORP .................... 2,007,225 139,900 oGIBSON GREETINGS, INC ...................... 1,923,625 966,183 KAO CORP ................................... 13,036,861 376,453 LANCASTER COLONY CORP ...................... 14,069,930 1,662,916 LION CORP .................................. 9,975,809 707,296 NORITAKE CO LTD ............................ 7,351,196 460,600 oPERRIGO CO ................................. 5,181,750 See notes to financial statements. -32- SHARES VALUE ------ ----- HOUSEHOLD--PRODUCTS--(Continued) 595,600 PREMARK INTERNATIONAL, INC ................. $ 11,018,600 8,500 oPRIPPS RINGNES AB .......................... 119,128 8,298,208 PROCTER & GAMBLE CO ........................ 752,025,100 1,206,100 RUBBERMAID, INC ............................ 32,866,225 370,300 oSCOTTS CO (CLASS A) ........................ 6,480,250 1,100 oSMH AG. (BR) ............................... 764,559 29,780 oSMH AG. (REGD) ............................. 4,651,263 166,900 STANHOME, INC .............................. 4,422,850 770,380 oSWEDISH MATCH CO ........................... 2,391,583 263,300 TAMBRANDS, INC ............................. 10,762,387 167,080 THOMAS INDUSTRIES, INC ..................... 3,195,405 595,600 oTUPPERWARE CORP ............................ 25,164,100 38,000 UNI CHARM CORP ............................. 976,977 -------------- 1,098,881,567 -------------- INSURANCE--BROKERS & OTHER--0.21% 44,500 oABR INFORMATION SERVICES, INC .............. 2,236,125 20,000 ACE, LTD ................................... 940,000 418,800 ALEXANDER & ALEXANDER SERVICES, INC ........ 8,271,300 153,200 CRAWFORD & CO (CLASS A) .................... 2,604,400 126,000 CRAWFORD & CO (CLASS B) .................... 2,189,250 1,382,098 EQUIFAX, INC ............................... 36,280,072 493,000 GALLAGHER (ARTHUR J.) & CO ................. 15,776,000 432,600 JOHN ALDEN FINANCIAL CORP .................. 9,571,275 80,000 LIFE PARTNERS GROUP, INC ................... 1,820,000 596,560 MARSH & MCLENNAN COS, INC .................. 57,568,040 264,600 MBIA, INC .................................. 20,605,725 17,100 oQUORUM HEALTH GROUP, INC ................... 451,012 283,272 WILLIS CORROON GROUP PLC ADR ............... 3,363,855 -------------- 161,677,054 -------------- INSURANCE--LIFE--0.60% 277,800 AMERICAN NATIONAL INSURANCE CO ............. 18,057,000 808,700 AON CORP ................................... 41,041,525 417,800 ARGONAUT GROUP, INC ........................ 13,056,250 175,200 oASSURANCES GENERALES DE FRANCE ............. 4,743,875 150,700 BERKLEY (W.R.) CORP ........................ 6,291,725 309,700 CONSECO, INC ............................... 12,388,000 329,100 EQUITABLE COS, INC ......................... 8,186,362 159,400 EQUITABLE IOWAS COS (NEW) .................. 5,658,700 433,106 FIRST COLONY CORP .......................... 13,426,286 128,821 IRISH LIFE PLC ............................. 510,413 632,950 JEFFERSON-PILOT CORP ....................... 32,676,043 1,857,862 LEGAL & GENERAL GROUP PLC .................. 19,312,330 73,588 LIBERTY LIFE ASSOCIATION OF AFICA LTD ...... 2,357,770 375,000 oMEDIOLANUM S.P.A. .......................... 3,728,625 18,000 METROPOLITAN LIFE LTD ...................... 261,863 28,300 PROTECTIVE LIFE CORP ....................... 994,037 376,975 PROVIDENT COMPANIES, INC ................... 13,948,075 839,100 PROVIDIAN CORP ............................. 35,976,412 3,235,924 PRUDENTIAL CORP PLC ........................ 20,413,593 2,826,500 PT LIPPO LIFE INSURANCE (FR) ............... 3,646,185 449,478 RELIANCE GROUP HOLDINGS, INC ............... 3,371,085 555,500 RELIASTAR FINANCIAL CORP ................... 23,955,937 268,384 SEAFIELD CAPITAL CORP ...................... 10,064,400 498,137 SUNAMERICA, INC ............................ 28,144,740 1,032,850 TORCHMARK CORP ............................. 45,187,187 1,000,300 UNUM CORP .................................. 62,268,675 333,150 USLIFE CORP ................................ 10,952,306 41,600 VESTA INSURANCE GROUP, INC ................. 1,388,400 291,512 WASHINGTON NATIONAL CORP ................... 7,506,434 129,100 WESTERN NATIONAL CORP ...................... 2,372,212 -------------- 451,886,445 -------------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--3.19% 307,200 o20TH CENTURY INDUSTRIES .................... $ 5,107,200 1,800 oAACHENER & MUNCHENER BERTEIL (REGD) ........ 1,324,399 2,007,650 oAETNA LIFE & CASUALTY CO ................... 143,546,975 2,072,023 AFLAC, INC ................................. 61,901,687 9,300 oAGF UNION-FENIX ............................ 72,893 16,966 oALLEANZA ASSICURAZIONI (S/S) NON CV ........ 109,843 129,807 oALLEGHANY CORP (DELAWARE) .................. 24,922,944 31,182 oALLIANZ AG. (REGD) ......................... 53,977,521 600 ALLMERICA PROPERTY & CASUALTY COS, INC ..... 16,200 5,197,553 ALLSTATE CORP .............................. 237,138,355 705,300 AMERICAN BANKERS INSURANCE GROUP, INC ...... 30,768,712 3,352,484 AMERICAN INTERNATIONAL GROUP, INC .......... 330,638,734 122,500 AMERICAN RE CORP ........................... 5,497,187 1,932,075 oASSICURAZIONI GENERALI S.P.A. .............. 44,530,851 62,062 oASSICURAZIONI GENERALI S.P.A. WTS 4/30/01 .. 1,232,141 15,444 ASSUR STAD ROTTERDAM NV .................... 559,132 405,053 AXA S.A. ................................... 22,155,468 134,800 AYUDHYA INSURANCE CO LTD (FR) .............. 1,008,344 19,000 CHIYODA FIRE & MARINE INSURANCE CO LTD ..... 111,728 2,677,200 CHUBB CORP ................................. 133,525,350 770,578 CIGNA CORP ................................. 90,831,881 298,487 CINCINNATI FINANCIAL CORP .................. 17,125,691 420,200 oCNA FINANCIAL CORP ......................... 43,280,600 1,202 oCOLONIA KONZERN AG. (REGD) ................. 971,265 1,266,525 COMMERICAL UNION ASSURANCE CO LTD .......... 11,413,973 7,625 CORPORACION MAPFRE S.A. .................... 388,916 2,900 ERSTE ALLGEMEINE VERSICHERUNGS AG. ......... 859,492 119,000 EVEREST RE HOLDINGS, INC ................... 3,079,125 123,830 oFAI INSURANCES LTD ......................... 65,302 166,744 FIRST AMERICAN FINANCIAL CORP .............. 5,627,610 407,400 FOREMOST CORP OF AMERICA ................... 23,119,950 1,312 oFORTIS AG. NPV (STRIP VVPR) ................ 753 57,156 FORTIS AG. ................................. 7,543,502 917,880 FREMONT GENERAL CORP ....................... 21,111,240 5,428 oGEFION FINANCE CORP ........................ 101,794 188,000 GENERAL ACCIDENT PLC ....................... 1,907,507 876,500 GENERAL REINSURANCE CORP ................... 133,447,125 5,520 oGROUPE DES ASSURANCES NATIONALE ............ 147,963 384,506 GUARDIAN ROYAL EXCHANGE ASSURANCE PLC ...... 1,481,664 211,800 HARTFORD STEAM BOILER & INSURANCE CO ....... 10,404,675 11,700 HCC INSURANCE HOLDINGS, INC ................ 263,250 85,331 oHIGHLANDS INSURANCE GROUP, INC ............. 1,599,956 439,783 HIH WINTERHUR INTERNATIONAL HOLDINGS LTD ... 830,767 900 HORACE MANN EDUCATORS CORP ................. 28,575 1,221,898 ING GROEP NV ............................... 36,435,031 11,100,000 oINSTITUTO NAZIONALE DELLE ASSICURAZION ..... 16,537,002 268,300 oINSURANCE AUTO AUCTIONS, INC ............... 2,683,000 610,949 oINTERNATIONALE NEDERLANDEN GROEP NV ........ 9,305,607 1,046,136 ITT HARTFORD GROUP, INC .................... 55,706,742 50,000 KOA FIRE & MARINE INSURANCE CO LTD ......... 324,109 248,740 LAWYERS TITLE CORP ......................... 4,477,320 1,121,400 LINCOLN NATIONAL CORP ...................... 51,864,750 3,602,000 MALAYSIA ASSURANCE ALLIANCE BERHAD ......... 19,054,362 See notes to financial statements. -33- SHARES VALUE ------ ----- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--(Continued) 29,298 MAPFRE VIDA S.A. ........................... $ 1,645,164 23,500 MERCURY GENERAL CORP NEW ................... 1,028,125 214,300 MGIC INVESTMENT CORP ....................... 12,027,587 20,000 MID OCEAN LTD .............................. 820,000 28,500 MILANO ASSICURAZIONI ....................... 88,264 7,125 MILANO ASSICURAZIONI DI RISP ............... 11,381 804,300 MITSUI TAISHO MARINE & FIRE CO LTD ......... 6,386,871 10,276 oMUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) ................. 21,197,375 364 oMUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) WTS 3/13/98 ..... 45,912 773,600 NAC RE CORP ................................ 25,915,600 190,050 NICHIDO FIRE & MARINE INSURANCE CO LTD ..... 1,467,584 2,838,650 NIPPON FIRE & MARINE INSURANCE CO LTD ...... 18,504,180 429,500 OHIO CASUALTY CORP ......................... 14,925,125 767,690 oOLD REPUBLIC INTERNATIONAL CORP ............ 16,505,335 689,006 ORION CAPITAL CORP ......................... 35,139,306 4,800,000 PACIFIC & ORIENT BERHAD .................... 13,465,300 497,250 PROGRESSIVE CORP ........................... 22,997,812 409,001 QBE INSURANCE GROUP LTD .................... 2,430,531 458,919 oRAS S.P.A. ................................. 4,741,064 19,600 oRAS S.P.A. WTS 12/31/97 .................... 74,374 812,593 ROYAL INSURANCE PLC ........................ 5,025,175 19,000 ROYALE BELGE VIE ACCIDENTS ................. 3,699,296 1,191,900 SAFECO CORP ................................ 42,163,462 200,000 oSAI S.P.A. ................................. 1,910,360 6,000 SAMPO INSURANCE CO SERIES A ................ 347,387 24,139 SCHWEIZERISCHE RUCKVERSICHERUNG (REGD) ..... 24,781,174 231,489 SEDGWICK GROUP LTD ......................... 496,368 595,500 SELECTIVE INSURANCE GROUP, INC ............. 19,353,750 171,833 SKANDIA (FORSAKRING) SERIE FRIA ............ 4,544,613 901,740 ST. PAUL COS, INC NOTES .................... 48,243,090 2,423,365 SUMITOMO MARINE & FIRE INSURANCE CO ........ 21,099,596 3,202,822 TOKIO MARINE & FIRE INSURANCE CO LTD ....... 42,632,187 604,900 TRANSAMERICA CORP .......................... 48,996,900 4,487,721 TRAVELERS GROUP, INC ....................... 204,752,270 513,000 oUNI-STOREBRAND AS SERIES A ................. 2,305,764 125,000 oUNION DES ASSURANCES DE PARIS S.A. ......... 2,537,246 59,950 UNION DES ASSURANCES FEDERALES ............. 7,394,338 57,400 oUNITED INSURANCE COS, INC .................. 1,305,850 539,000 UNITRIN, INC ............................... 25,333,000 513,200 USF&G CORP ................................. 8,403,650 170,750 WILLIS CORROON GROUP PLC ................... 413,885 68,520 ZURICH INSURANCE CO (REGD) ................. 18,666,857 -------------- 2,403,989,271 -------------- LEISURE TIME--1.48% 128,500 oACCLAIM ENTERTAINMENT, INC ................. 1,236,812 134,750 oAMC ENTERTAINMENT, INC ..................... 3,756,156 902,200 ARCTCO, INC ................................ 11,277,500 213,800 oARGOSY GAMING CORP ......................... 1,576,775 96,100 oATARI CORP ................................. 552,575 500 AUTHENTIC FITNESS CORP ..................... 9,312 427,000 oAUTOTOTE CORP (CLASS A) .................... 880,687 268,200 oBALLY ENTERTAINMENT CORP ................... 7,375,500 67,050 oBALLY TOTAL FITNESS HOLDING CORP ........... 293,343 44,000 oBELL SPORTS CORP ........................... 319,000 99,791 oBERLITZ INTERNATIONAL, INC NEW ............. 2,120,558 1,112,900 BRUNSWICK CORP ............................. 22,258,000 502,200 CALLAWAY GOLF CO ........................... 16,698,150 1,056,400 CARNIVAL CORP (CLASS A) .................... 30,503,550 96,750 oCASINO AMERICA, INC ........................ 798,187 190,200 oCASINO MAGIC CORP .......................... 1,046,100 559 oCHRIS CRAFT INDUSTRIES, INC ................ 24,596 958,384 oCIRCUS CIRCUS ENTERPRISES, INC ............. 39,293,744 256,000 COACHMEN INDUSTRIES, INC ................... 8,960,000 7,507,410 DISNEY (WALT) CO ........................... 472,028,403 373,400 oGALOOB LEWIS TOYS, INC ..................... 10,548,550 55,118 GAUMONT S.A. ............................... 4,121,835 44,080 oGC COS, INC ................................ 1,641,980 236,500 GENTING BERHAD ............................. 1,848,172 462,227 oGRANADA GROUP LTD (CLASS A) ................ 6,190,955 486,800 oGRAND CASINOS, INC ......................... 12,535,100 328,500 oGTECH HOLDINGS CORP ........................ 9,731,812 901,200 oHARRAHS ENTERTAINMENT, INC ................. 25,458,900 695,476 HASBRO, INC ................................ 24,863,267 242,500 oHOLLYWOOD ENTERTAINMENT CORP ............... 3,758,750 219,500 oHOLLYWOOD PARK, INC ........................ 2,112,687 290,525 HUFFY CORP ................................. 3,740,509 1,122,088 INTERNATIONAL GAME TECHNOLOGY CO ........... 18,935,235 1,038,436 oITT CORP NEW ............................... 68,796,385 391,200 JOSTENS, INC ............................... 7,726,200 464,358 K2, INC .................................... 12,595,710 265,900 KIMBALL INTERNATIONAL, INC (CLASS B) ....... 7,345,487 36,000 KONAMI CO .................................. 1,201,255 800 KUONI REISEN HOLDING (REGD)(CLASS B) ....... 1,834,304 5,858,312 LADBROKE GROUP PLC ......................... 16,384,761 611,250 MAGNUM CORP BERHAD ......................... 1,033,732 2,182,358 MATTEL, INC ................................ 62,469,997 544,600 oMIRAGE RESORT, INC ......................... 29,408,400 49,800 NAMCO LTD .................................. 1,648,116 33,060 oNATIONAL LODGING CORP ...................... 528,960 88,000 NINTENDO CO LTD ............................ 6,546,735 268,100 OUTBOARD MARINE CORP ....................... 4,859,312 441,600 oPLAYERS INTERNATIONAL, INC ................. 4,305,600 347,600 oPRESIDENT CASINOS, INC ..................... 586,575 143,500 oPRIMADONNA RESORTS, INC .................... 3,300,500 2,778,005 RANK ORGANIZATION PLC ...................... 21,495,991 127,100 oREGAL CINEMAS, INC ......................... 5,814,825 2,500 oSALOMON S.A. ............................... 2,284,736 31,700 SANKYO CO LTD .............................. 1,213,837 63,700 oSCIENTIFIC GAMES HOLDINGS CORP ............. 1,847,300 170,012 SEGA ENTERPRISES LTD ....................... 7,935,996 356,000 SHIMANO, INC ............................... 6,361,477 37,300 SHOCHIKU CO LTD ............................ 428,480 28,400 SHOWBOAT, INC .............................. 855,550 12,000 oSKIS ROSSIGNOL S.A. ........................ 4,426,318 126,750 xoSLM INTERNATIONAL, INC ..................... 71,296 5,850 SONY MUSIC ENTERTAINMENT INC ............... 272,005 15,000 oSPEEDWAY MOTORSPORTS, INC .................. 384,375 288,500 oSPORTS & RECREATION, INC ................... 2,632,562 216,100 oSTATION CASINOS, INC ....................... 3,106,437 187,000 oSTRUM RUGER & CO, INC ...................... 8,695,500 1,090,349 THORN EMI LTD .............................. 30,393,665 51,754 TOHO CO LTD ................................ 9,153,719 511,100 WINNEBAGO INDUSTRIES, INC .................. 4,216,575 550,300 oWMS INDUSTRIES, INC ........................ 13,551,137 600,000 ZIMBABWE SUN LTD ........................... 212,551 40,601 oZODIAC S.A. ................................ 10,173,323 -------------- 1,112,596,384 -------------- See notes to financial statements. -34- SHARES VALUE ------ ----- MACHINERY--1.89% 229,200 ACME CLEVELAND CORP (NEW) .................. $ 6,876,000 187,600 AGCO CORP .................................. 5,205,900 50,600 AIDA ENGINEERING LTD ....................... 423,030 119,744 AMADA CO LTD ............................... 1,288,213 143,220 AMADA METRECS CO LTD ....................... 2,167,522 44,200 AMANO CORP ................................. 656,843 284,010 ATLAS COPCO AB SERIES A FREE ............... 5,285,837 24,500 ATLAS COPCO AB SERIES B FREE ............... 455,980 1,352,844 AUSTRALIAN NATIONAL INDUSTRIES LTD ......... 1,096,768 289,325 BEARINGS, INC (NEW) ........................ 7,811,775 539,135 oBJ SERVICES CO ............................. 18,937,116 21,700 oBJ SERVICES CO WTS 4/13/00 ................. 287,525 12,000 BOMBARDIER, INC (CLASS A) .................. 179,248 392,252 BOMBARDIER, INC (CLASS B) .................. 5,873,581 6,000 xoBREMER VULKAN AG. .......................... 19,314 383,772 BRIGGS & STRATTON CORP ..................... 15,782,623 378,000 BROTHERS INDUSTRIES LTD .................... 2,312,417 65,100 BW/IP HOLDING, INC ......................... 1,236,900 1,835,500 CATERPILLAR, INC ........................... 124,355,125 323,100 CINCINNATI MILACRON, INC ................... 7,754,400 402,700 oCOGNEX CORP ................................ 6,493,537 215,250 COMMERCIAL INTERTECH CORP .................. 5,542,687 33,000 CONSTRUCCIONES Y AUXILIAR DE FERROCARRILES S.A. ........................ 1,255,950 269,398 oCOOPER CAMERON CORP ........................ 11,786,162 714,745 COOPER INDUSTRIES, INC ..................... 29,661,917 416,505 DAIFUKU CO LTD ............................. 6,379,423 390,000 DAIKIN INDUSTRIES LTD ...................... 4,266,756 381,000 oDANIELI & CO ............................... 2,558,643 3,820,973 DEERE & CO ................................. 152,838,920 24,200 DELTA & PINE LAND CO ....................... 1,022,450 41,000 DENYO CO LTD ............................... 568,171 837,100 DOVER CORP ................................. 38,611,237 123,800 DURIRON, INC ............................... 2,971,200 367,560 EBARA CORP ................................. 5,864,327 1,900 FAG KUGELFISCHER (GEORGE) SCHAFER & CO ..... 283,964 537,984 FANUC LTD .................................. 21,384,928 409,014 FEDERAL SIGNAL CORP ........................ 9,611,829 53,000 FINNING LTD ................................ 941,092 140 FISCHER (GEORGE) LTD (BR) .................. 161,620 28 FISCHER (GEORGE) LTD (REGD) ................ 6,352 253,503 FKI PLC .................................... 669,618 3,700 FLS INDUSTRIES AS (CLASS B) ................ 372,175 2,308,767 oFMC CORP NEW ............................... 150,647,046 172,800 oFSI INTERNATIONAL, INC ..................... 2,181,600 2,200 FUJI TEC CO ................................ 24,871 240,700 GATX CORP .................................. 11,613,775 292,000 GIDDINGS & LEWIS, INC ...................... 4,745,000 267,200 GOULDS PUMPS, INC .......................... 6,847,000 272,100 GREENFIELD INDUSTRIES, INC ................. 8,979,300 459,600 HARNISCHFEGER INDUSTRIES, INC .............. 15,281,700 199,900 HARSCO CORP ................................ 13,443,275 775,100 ILLINOIS TOOL WORKS, INC ................... 52,416,137 136,800 IMI PLC .................................... 751,399 943 oINDUSTRIE-WERKE KARLSRUHE AUGSBURG AG. ..... 193,902 915,000 INGERSOLL-RAND CO .......................... 40,031,250 118,000 oINTEGRATED PROCESS EQUIPMENT CORP .......... 2,448,500 26,000 oINTERVOICE, INC ............................ 516,750 400,000 ISHIKAWAJIMA-HARIMA HEAVY INDUSTRIES ....... 1,951,038 56,600 JLG INDUSTRIES, INC ........................ 4,202,550 75,000 KALMAR INDUSTRIES AB ....................... 1,582,350 352,000 KATO SPRING WORKS CO LTD ................... 1,694,449 277,700 KAYDON CORP ................................ 11,941,100 501,428 KENNAMETAL, INC ............................ 17,048,552 191,317 KEYSTONE INTERNATIONAL, INC ................ 3,969,827 21,750 oKLOECKNER HUMBOLDT-DEUTZ AG. ............... 80,015 1,824,950 KOMATSU LTD ................................ 17,969,114 234,660 KOMORI CORP ................................ 5,990,306 279,000 KOYO SEIKO CO LTD .......................... 2,721,698 2,881,000 KUBOTA LTD ................................. 18,990,373 51,700 KURITA WATER INDUSTRIES LTD ................ 1,258,501 12,735 KVAERNER INDUSTRIER AS SERIES A ............ 538,091 3,935 KVAERNER INDUSTRIER AS SERIES B ............ 152,031 191,300 LAWSON PRODUCTS, INC ....................... 4,830,325 11,693 LINDE AG. .................................. 7,604,829 39,000 MADECO S.A. ADR ............................ 1,096,875 17,900 MAGNA INTERNATIONAL, INC ................... 825,730 153,130 MAKINO MILLING MACHINE CO LTD .............. 1,549,655 67,500 MAKITA ELECTRIC WORKS LTD .................. 1,095,407 15,800 oMAN AG. (STAMM) ............................ 3,931,836 208,900 MANITOWOC, INC ............................. 7,494,287 71,102 oMANNESMANN AG. ............................. 24,569,476 125,300 MEASUREX CORP .............................. 3,665,025 11,000 METRA CO SERIES B .......................... 492,455 98,700 MINE SAFETY APPLIANCE CO ................... 4,046,700 8,019,000 MITSUBISHI HEAVY INDUSTRIES LTD ............ 69,673,089 125,000 MIURA KOGYO ................................ 2,119,702 298,700 oMOLTEN METAL TECHNOLOGY, INC ............... 8,811,650 150,000 MORI SEIKI CO LTD .......................... 3,008,610 414,600 NEWPORT CORP ............................... 4,094,175 131,000 oNIIGATA ENGINEERING CO ..................... 498,034 5,000 NIKKO CO LTD ............................... 39,704 150,680 NIPPON SHARYO LTD .......................... 1,497,387 44,000 NITTO KOHKI CO LTD ......................... 2,005,740 196,800 NORDSON CORP ............................... 11,119,200 218,500 oNOVELLUS SYSTEMS, INC ...................... 7,866,000 647,600 NSK LTD .................................... 4,894,556 435,700 NTN TOYO BEARING CO LTD .................... 3,078,514 445,900 oOKUMA CORP ................................. 4,959,629 748,400 PARKER-HANNIFIN CORP ....................... 31,713,450 25,236,000 POKPHAND (C.P.) CO LTD ..................... 10,024,924 850,000 POWERSCREEN INTL PLC ....................... 6,022,528 90 oRHEINELEKTRA AG. ........................... 80,942 149,000 ROPER INDUSTRIES, INC NEW .................. 7,263,750 500 SAKAI HEAVY INDUSTRIES LTD ................. 5,242 242,000 SANDEN CORP ................................ 1,848,891 58 SCHINDLER HOLDINGS LTD (PT CERT) ........... 61,628 460 SCHINDLER HOLDINGS LTD (REGD) .............. 485,099 518 oSCHINDLER HOLDINGS LTD WTS 12/16/96 ........ 931 87,000 SEMBAWANG CORP ............................. 431,455 720 SHIN NIPPON MACHINERY CO LTD ............... 4,923 47,923 SIDEL S.A. ................................. 12,184,846 392,926 SMITH (HOWARD) LTD ......................... 2,443,249 140,900 STEWART & STEVENSON SERVICES, INC .......... 3,205,475 17,257 STORK NV ................................... 495,367 64,894 oSTRATTEC SECURITY CORP ..................... 1,151,868 5,775 SULZER WINTERTHUR AG. (PT CERT) ............ 3,460,291 840 SULZER WINTERTHUR AG. (REGD) ............... 539,553 249,760 oSUMITOMO HEAVY INDUSTRIES LTD .............. 1,090,712 547,600 SUNDSTRAND CORP ............................ 20,055,850 20,000 SVENSKA KULLAGERFABRIKEN AB SERIES A FREE .. 464,156 27,000 SVENSKA KULLAGERFABRIKEN AB SERIES B FREE .. 640,851 185,000 TAKUMA CO .................................. 2,799,830 166,600 TECUMSEH PRODUCTS CO (CLASS A) ............. 8,954,750 31,600 TECUMSEH PRODUCTS CO (CLASS B) ............. 1,643,200 259,150 TELEFLEX, INC .............................. 12,374,412 See notes to financial statements. -35- SHARES VALUE ------ ----- MACHINERY--(Continued) 226,000 TENNANT CO ................................. $ 5,876,000 902,080 oTHERMO ELECTRON CORP ....................... 37,549,080 193,927 TI GROUP PLC ............................... 1,621,121 435,943 TIMKEN CO .................................. 16,892,791 226,250 TOMRA SYSTEMS AS ........................... 2,298,514 244,550 TORO CO .................................... 8,100,718 61,600 TOYO KANETSU K.K. .......................... 313,376 410,000 TOYODA MACHINE WORKS LTD ................... 4,410,804 360,250 TOYOTA AUTOMATIC LOOM WORKS LTD ............ 7,192,834 2,542,000 TRACTORS MALAYSIA HOLDINGS BERHAD .......... 5,052,822 107,700 TRIMAS CORP ................................ 2,517,487 712,100 TRINITY INDUSTRIES, INC .................... 24,211,400 296,000 TRINOVA CORP ............................... 9,879,000 331,000 TSUBAKIMOTO CHAIN CO ....................... 2,254,242 200 TSUBAKIMOTO MACHINERY & ENGINE CO LTD ...... 1,232 281,000 TSUGAMI CORP ............................... 1,470,517 97,100 oULTRATECH STEPPER, INC ..................... 1,820,625 6,000 VA TECHNOLOGIE AG. (BR) .................... 734,827 183,800 VALMET OY SERIES A ......................... 3,105,460 476,300 oVARITY CORP NEW ............................ 22,921,937 131,000 VICKERS PLC ................................ 492,585 592,300 WATTS INDUSTRIES, INC (CLASS A) ............ 11,031,587 1,150 YOKOHAMA RUBBER CO LTD ..................... 7,202 417,100 YORK INTERNATIONAL CORP .................... 21,584,925 24,958 ZARDOYA OTIS S.A. .......................... 2,388,324 24,958 oZARDOYA-OTIS S.A. RTS ...................... 236,496 233,400 ZURN INDUSTRIES, INC ....................... 4,843,050 -------------- 1,424,596,294 -------------- METALS--ALUMINIUM--0.24% 513,600 oACX TECHNOLOGIES, INC ...................... 10,207,800 235,100 ALCAN ALUMINIUM CO LTD ..................... 7,152,670 35,065 ALCAN ALUMINIUM CO LTD (U.S.) .............. 1,069,482 537,097 oALUMAX, INC ................................ 16,314,321 886,800 ALUMINUM CO OF AMERICA ..................... 50,880,150 583 ALUSUISSE LONZA HOLDINGS AG. (BR) .......... 479,739 79,262 ALUSUISSE LONZA HOLDINGS AG. (REGD) ........ 65,413,115 123,600 INTERNATIONAL ALUMINUM CORP ................ 3,120,900 83,300 oKAISER ALUMINUN CORP ....................... 916,300 428,290 REYNOLDS METALS CO ......................... 22,324,616 83,440 TOYO SEIKAN KAISHA LTD ..................... 2,905,959 -------------- 180,785,052 -------------- METALS--GOLD--0.34% 4,000 AGNICO EAGLE MINES LTD ..................... 65,168 503,501 oAMAX GOLD, INC ............................. 2,769,255 60,000 BARRICK GOLD CORP (U.S.) ................... 1,627,500 331,979 BARRICK GOLD CORP .......................... 9,006,237 1,182,650 BATTLE MOUNTAIN GOLD CO .................... 8,574,212 63,200 BEATRIX MINES LTD .......................... 507,146 37,000 CAMBIOR, INC ............................... 489,016 102,200 COEUR DALENE MINES CORP .................... 1,877,925 161,000 oDELTA GOLD NL .............................. 411,850 35,000 oDOMINION MINING LTD ........................ 20,385 31,700 DRIEFONTEIN CONSOLIDATED LTD ............... 424,569 45,000 ECHO BAY MINES LTD ......................... 481,071 294,800 ECHO BAY MINES LTD (U.S.) .................. 3,169,100 633,528 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A) ................................. 18,926,649 778,464 FREEPORT-MCMORAN COPPER & GOLD INC, (CLASS B) ................................. 24,813,540 33,000 FREESTATE CONSOLIDATED GOLDMINES LTD ....... 310,529 340,135 oGETCHELL GOLD CORP ......................... 11,224,455 17,300 GOLD FIELD OF SOUTH AFRICA LTD ............. 523,334 41,000 GOLD MINES OF KALGOORLIE LTD ............... 44,856 102,000 oGOLDEN KNIGHT RESOURCES, INC ............... 631,104 6,222 oGOLDFIELDS LTD ............................. 14,202 123,200 HARTEBEESTFONTEIN GOLD MINING CO LTD ....... 415,360 1,132,650 HOMESTAKE MINING CO ........................ 19,396,631 11,300 JOHNNIES INDUSTRIAL CORP LTD ............... 140,907 23,300 KLOOF GOLD MINING CO LTD ................... 220,597 628,233 oNEWCREST MINING LTD ........................ 2,521,859 127,400 NEWMONT GOLD CO ............................ 6,417,775 1,615,682 NEWMONT MINING CORP ........................ 79,774,298 13,000 oPEGASUS GOLD, INC .......................... 159,441 150,800 PLACER DOME, INC ........................... 3,605,197 65,548 PLACER DOME, INC (U.S.) .................... 1,564,958 3,500 PLUTONIC RESOURCES LTD ..................... 17,906 16,000 oRANDFONTEIN ESTATES GOLD MINING ............ 97,910 230,000 oRAYROCK YELLOWKNIFE RESOURCES, INC ......... 1,448,341 3,943,376 SANTA FE PACIFIC GOLD CORP ................. 55,700,186 4,700 SOUTHVAAL HOLDINGS LTD ..................... 168,225 60,000 TERRA MINING AB ............................ 1,148,334 4,500 oVAAL REEFS EXPLORATION & MINING CO LTD ..... 367,335 16,753 WESTERN AREAS GOLD MINING CO ............... 261,130 7,300 WESTERN DEEP LEVELS LTD .................... 269,714 -------------- 259,608,207 -------------- METALS--NON-FERROUS--0.40% 86,200 ABERFOYLE LTD .............................. 244,252 23,100 AMCOL INTERNATIONAL CORP ................... 349,387 254,600 ASARCO, INC ................................ 7,033,325 218,400 ASHLAND COAL, INC .......................... 5,678,400 893,000 ASHTON MINING LTD .......................... 1,265,184 385,000 BANPU PUBLIC CO LTD (FR) REGD .............. 10,731,474 195,000 BMC INDUSTRIES, INC ........................ 5,606,250 390,800 BRUSH WELLMAN, INC ......................... 7,425,200 70,300 CAMECO CORP ................................ 3,309,869 20,000 oCOLEMAN CO, INC ............................ 847,500 32,000 COMINCO LTD ................................ 692,391 1,030,771 CRA LTD .................................... 15,869,416 826,094 CYPRUS AMAX MINERALS CO .................... 18,690,376 202,754 ERAMET ..................................... 13,646,117 147,869 FREEPORT MCMORAN, INC ...................... 5,249,349 768,000 FUJIKURA LTD ............................... 6,357,685 335,000 FURUKAWA ELECTRIC CO LTD ................... 2,000,497 187,398 GREEN (A.P.) INDUSTRIES, INC ............... 3,794,809 269,000 oGRUPO MEXICO S.A. SERIES B ................. 800,256 938,600 oHECLA MINING CO ............................ 6,570,200 97 HITACHI CABLE LTD .......................... 811 88,236 HULLAS DEL COTO CORTES ..................... 1,637,803 8,300 IMPALA PLATINUM HOLDINGS LTD ............... 119,310 35,000 INCO LTD ................................... 1,126,345 87,060 INCO LTD CO (U.S.) ......................... 2,807,685 89,209 JOHNSON MATTHEY PLC ........................ 862,172 315,384 MAPCO, INC ................................. 17,779,773 750,000 MCKECHNIE PLC .............................. 5,372,263 4,959,414 MIM HOLDINGS LTD ........................... 6,401,829 1,520,000 MITSUBISHI MATERIALS CORP .................. 8,259,272 523,000 MITSUI MINING & SMELTING CO LTD ............ 2,136,149 91,700 oMUELLER INDUSTRIES, INC .................... 3,805,550 1,422,000 NIKKO KYODO CO ............................. 5,276,500 133,000 oNIPPON DENKO CO LTD ........................ 711,773 213,380 NIPPON LIGHT METAL CO LTD .................. 1,210,029 320,800 NORANDA, INC ............................... 6,565,392 See notes to financial statements. -36- SHARES VALUE ------ ----- METALS--NON-FERROUS--(Continued) 2,015,903 NORTH LTD .................................. $ 5,791,517 27,400 OGLEBAY NORTON CO .......................... 1,253,550 282,100 oOREGON METALLURICAL CORP ................... 8,321,950 102,500 OUTOKUMPU OY SERIES A ...................... 1,720,795 49,800 PENN VIRGINIA CORP ......................... 1,743,000 559,400 PHELPS DODGE CORP .......................... 34,892,575 397,900 PITTSTON BRINKS GROUP CO ................... 11,588,837 1,539,265 QCT RESOURCES LTD .......................... 2,035,413 747,478 RGC LTD .................................... 3,618,290 55,000 RIO ALGOM LTD .............................. 1,067,217 150,000 RTC CORP PLC (BR) .......................... 2,221,157 287,688 RTZ CORP PLC (REGD) ........................ 4,260,001 24,387 RUSTENBERG PLATINUM HOLDINGS LTD ........... 380,122 94,000 SOCIEDAD QUIMICA Y MINERA DE CHILE ADR ..... 5,099,500 45,000 oSTILLWATER MINING CO ....................... 1,063,125 121,000 STRAITS TRADING CO ......................... 317,180 761,400 SUMITOMO METAL MINING CO LTD ............... 6,587,657 353,054 oSUNSHINE MINING & REFINING CO .............. 441,317 1,977 oSUNSHINE MINING & REFINING CO WTS 3/03/99 .. 1,112 122,800 TECK CORP LTD (CLASS B) .................... 2,517,682 34,880 TRELLEBORG AB SERIES B FREE ................ 436,282 27,000 oUNION MINIERE GROUP S.A. ................... 2,094,139 67,000 oVIRIDIAN INC ............................... 883,063 3,055,844 WMC LTD .................................... 21,887,818 -------------- 300,457,892 -------------- METALS--STEEL--0.56% 44,770 ACERINOX S.A. .............................. 4,675,268 134,000 oACINDAR S.A. (CLASS B) ..................... 106,679 242,831 oACME METALS, INC ........................... 4,128,127 235,700 AK STEEL HOLDINGS CORP ..................... 9,221,762 87,100 ALLEGHENY LUDLUM CORP ...................... 1,644,012 504,000 AMSTEEL CORP BERHAD ........................ 379,721 84,000 oAMSTEEL CORP BERHAD WTS 5/19/00 ............ 30,296 20,500 oARBED S.A. ................................. 2,345,733 1,155,300 oBETHLEHEM STEEL CORP ....................... 13,719,187 362,000 BINDURA NICKEL CORP LTD .................... 476,317 364,700 BIRMINGHAM STEEL CORP ...................... 5,971,962 4,400 BOHLER-UDDEHOLM (BR) ....................... 340,903 1,641,000 BRITISH STEEL PLC .......................... 4,194,397 170,900 CARPENTER TECHNOLOGY CORP .................. 5,468,800 65,781 CLEVELAND CLIFFS, INC ...................... 2,573,681 108,000 CO STEEL, INC .............................. 1,783,260 58,000 COMPANHIA SIDERURGICA DE TUBARAO S.A. ADR .. 1,232,500 25,200,000 COMPANHIA SIDERURGICA NACIONAL S.A. ........ 642,485 22,000 CONSOLIDATED METALLURGICAL INDUSTRIES LTD .. 66,551 174,000 DAIDO STEEL CO LTD ......................... 859,806 190,000 DOFASCO, INC ............................... 2,796,367 6,000 ELKEM AS ................................... 82,658 34,000 oFLACK S.P.A. ............................... 127,244 367,100 oFANSTEEL, INC .............................. 2,294,375 630 oGRUPO SIDEK S.A. DE CV SERIES L ............ 207 752,962 HANNA (M.A.) CO ............................ 15,718,081 50,000 INCHON IRON & STEEL CO LTD ................. 1,387,125 42,943 oINCHON IRON & STEEL CO LTD (NEW) ........... 1,117,217 337,000 INLAND STEEL INDUSTRIES, INC ............... 6,613,625 33,200 IPSCO, INC ................................. 777,915 1,657,678 ISCOR LTD .................................. 1,297,661 1,000 oIVACO, INC (CLASS A) ....................... 2,233 190,700 J & L SPECIALTY STEEL, INC ................. 2,836,662 352,000 oJAPAN METALS & CHEMICALS CO ................ 1,861,326 990,000 oJAPAN STEEL WORKS LTD ...................... 3,249,298 3,419,360 KAWASAKI STEEL CORP ........................ 12,313,850 65,000 oKITAGAWA INDUSTRIES CO ..................... 2,773,391 2,276,620 oKOBE STEEL LTD ............................. 6,538,122 615,500 LTV CORP NEW ............................... 7,001,312 87,800 LUKENS, INC ................................ 2,096,225 422,945 oMATERIAL SCIENCES CORP ..................... 7,295,801 161,000 oMITSUBISHI STEEL MANUFACTURING CO LTD ...... 942,351 108,750 NATIONAL IRON & STEEL MILLS LTD ............ 215,727 10,513,000 NIPPON STEEL CORP .......................... 36,038,479 8,324,920 oNKK CORP ................................... 25,198,234 785,300 NUCOR CORP ................................. 39,755,812 179,800 OREGON STEEL MILLS, INC .................... 2,472,250 12,050 PREUSSAG AKTIEGESELLSCHAFT AG. ............. 3,047,727 124,800 QUANEX CORP ................................ 2,948,400 500,000 RAUTARUUKKI SERIES K ....................... 3,626,692 100,000 oREPUBLIC ENGINEERED STEELS, INC ............ 350,000 198,400 ROUGE STEEL CO (CLASS A) ................... 4,265,600 52,000 SAMANCOR LTD ............................... 675,441 60,500 SANDVIK AB SERIES B FREE ................... 1,394,954 170,000 SVENSKT STAL AB SERIES B ................... 2,203,234 43,000 oSTELCO, INC (CLASS A) ...................... 193,636 80 SUMIKIN BUSSAN KAISHA LTD .................. 412 6,026,080 SUMITOMO METAL INDUSTRIES LTD .............. 18,459,763 24,490 THYSSEN AG. ................................ 4,474,228 300,000 TOKYO STEEL MANUFACTURING CO LTD ........... 5,880,465 150,000 USINAS SIDERUGICAS DE MINAS GERAIS ADR ..... 1,622,250 5,556,390 oUSINOR SACILOR S.A. ........................ 80,135,621 773,664 USX-US STEEL GROUP, INC .................... 21,952,716 60,000 VOEST-ALPINE STAHL AG. ..................... 2,027,496 167,600 oWOLVERINE TUBE, INC ........................ 5,866,000 785,512 WORTHINGTON INDUSTRIES, INC ................ 16,397,563 413,000 YODOGAWA STEEL WORKS LTD ................... 3,151,573 950 YOKOGAWA BRIDGE CORP ....................... 12,991 120,000 ZIMBABWE ALLOYS LTD ........................ 115,992 -------------- 421,467,749 -------------- MISCELLANEOUS MATERIALS &COMMODITIES--0.07% 7,281 ANGLO AMERICAN COAL CORP LTD ............... 527,937 1,309,050 ASAHI GLASS CO LTD ......................... 15,634,337 120,000 oDAISHINKU CORP ............................. 1,312,848 900,000 GOLDEN HOPE PLANTATIONS BERHAD ............. 1,399,429 600,000 HIGHLANDS & LOWLANDS BERHAD ................ 1,062,796 4,000,000 oINDUSTRIAL OXYGEN, INC BERHAD .............. 5,546,421 1,766,000 ISLAND & PENINSULAR BERHAD ................. 4,989,495 2,400,000 KUALA LUMPUR KEPONG BERHAD ................. 6,059,385 438,000 LA GIOVANNI CRESPI S.P.A. .................. 1,799,128 100,000 oNICHIHA CORP ............................... 2,023,974 940,000 NIPPON SHEET GLASS CO LTD .................. 4,602,079 125,000 oNITTA CORP ................................. 2,336,231 120,000 PERLIS PLANTATIONS BERHAD .................. 461,667 306,233 PG INDUSTRIES ZIMBABWE LTD ................. 161,175 11,735 oPLASTIC OMNIUM S.A. ........................ 1,021,168 96,000 PRESTIGE PROPERTY HOLDINGS LTD ............. 15,254 48,000 VIDR SMARINA S.A. .......................... 188,825 66,000 VIDRALA S.A. ............................... 3,345,771 1,000,000 WANKIE COLLIERY CO LTD ..................... 253,037 -------------- 52,740,957 -------------- OFFICE EQUIPMENT--3.24% 695,800 oAMDAHL CORP ................................ 7,479,850 928,500 oAPPLE COMPUTER, INC ........................ 19,498,500 437,333 oAPPLIED MAGNETICS CORP ..................... 4,591,996 See notes to financial statements. -37- SHARES VALUE ------ ----- OFFICE EQUIPMENT--(Continued) 105,300 oASPECT TELECOMMUNICATIONS CORP ............. $ 5,212,350 308,041 oAST RESEARCH, INC .......................... 2,079,276 352,588 AVERY DENNISON CORP ........................ 19,348,266 2,300,500 oCOMPAQ COMPUTER CORP ....................... 113,299,625 356,550 oCONTROL DATA SYSTEMS, INC .................. 7,621,256 504,600 oCRAY COMPUTER CORP ......................... 1,009 65,216 xoCRAY RESEARCH, INC ......................... 1,573,336 58,000 DANKA BUSINESS SYSTEMS ADR ................. 1,696,500 531,300 oDATA GENERAL CORP .......................... 6,906,900 642,400 oDELL COMPUTER CORP ......................... 32,682,100 10,000 DIAMOND LEASE CO LTD ....................... 135,843 2,580,900 oDIGITAL EQUIPMENT CORP ..................... 116,140,500 224,200 oDREXLER TECHNOLOGY CORP .................... 3,419,050 174,100 oEMULEX CORP NEW ............................ 2,546,212 133,400 oEVANS & SUTHERLAND COMPUTER CORP ........... 2,834,750 168,200 oFILENET CORP ............................... 6,139,300 371,775 GERBER SCIENTIFIC, INC ..................... 5,994,871 3,493,404 HEWLETT-PACKARD CO ......................... 348,030,373 215,400 HON INDUSTRIES, INC ........................ 6,138,900 22,200 oIN FOCUS SYSTEMS, INC ...................... 538,350 7,347,200 INTERNATIONAL BUSINESS MACHINES CORP ....... 727,372,800 962,600 oIOMEGA CORP ................................ 27,915,400 163,000 KOKUYO CO LTD .............................. 4,502,795 423,100 oKOMAG, INC ................................. 11,159,262 32,000 oMICROCOM, INC .............................. 404,000 25,600 oMICROS SYSTEMS, INC ........................ 713,600 308,300 MILLER (HERMAN), INC ....................... 9,441,687 75,395 OCE VAN DER GRINTEN NV ..................... 7,985,597 3,282,896 PITNEY BOWES, INC .......................... 156,758,284 472,400 oQMS, INC ................................... 2,598,200 517,800 oQUANTUM CORP ............................... 7,572,825 356,900 oSCI SYSTEMS, INC ........................... 14,499,062 921,618 oSEAGATE TECHNOLOGY, INC .................... 41,472,810 526,900 oSEQUENT COMPUTER SYSTEMS, INC .............. 7,113,150 257,700 SHELBY WILLIAMS INDUSTRIES, INC ............ 2,834,700 1,501,788 oSILICON GRAPHICS, INC ...................... 36,042,912 295,500 xoSMITH CORONA CORP .......................... 14,775 510,800 oSOLECTRON CORP ............................. 19,346,550 391,923 oSTORAGE TECHNOLOGY CORP .................... 14,991,054 181,450 oSTRATUS COMPUTER, INC ...................... 5,262,050 512,000 oSTREAMLOGIC CORP ........................... 1,856,000 1,636,900 oSUN MICROSYSTEMS, INC ...................... 96,372,487 1,092,900 oTANDEM COMPUTERS, INC ...................... 13,524,637 1,643,200 oUNISYS CORP ................................ 11,707,800 950,100 oVIKING OFFICE PRODUCTS, INC ................ 29,809,387 491,608 oWANG LABORATORIES, INC ..................... 9,279,101 8,610,972 XEROX CORP ................................. 460,687,002 -------------- 2,435,147,040 -------------- PAPER--0.99% 85,900 ALBANY INTERNATIONAL CORP (CLASS A) NEW .... 1,943,487 190,500 oBED BATH & BEYOND, INC ..................... 5,095,875 525,900 BEMIS, INC ................................. 18,406,500 317,643 BOWATER, INC ............................... 11,951,317 557,800 CARAUSTAR INDUSTRIES, INC .................. 14,781,700 264,600 CHESAPEAKE CORP ............................ 6,945,750 327,600 CONSOLIDATED PAPERS, INC ................... 17,035,200 74,305 oCROWN VANTAGE, INC ......................... 1,077,422 98,000 oDAISHOWA PAPER MANUFACTURING CO ............ 754,978 825,000 FINE ART DEVELOPMENTS PLC .................. 6,691,439 7,270,050 oFLETCHER CHALLENGE LTD (PAPER DIVISION) .... 14,045,605 281,100 oFORT HOWARD CORP ........................... 5,586,862 336,700 GLATFELTER (P.H.) CO ....................... 6,186,862 239,000 HONSHU PAPER CO LTD ........................ 1,693,054 2,138,263 INTERNATIONAL PAPER CO ..................... 78,848,448 570,850 JAMES RIVER CORP OF VIRGINIA ............... 15,056,168 367,300 oJEFFERSON SMURFIT CORP ..................... 3,994,387 3,944,973 KIMBERLY-CLARK CORP ........................ 304,749,164 105,000 KIMBERLY CLARK DE MEXICO S.A. DE CV SERIES A 1,918,533 675,900 LONGVIEW FIBRE CO .......................... 11,490,300 537,154 MEAD CORP .................................. 27,864,863 758,900 MITSUBISHI PAPER MILLS LTD ................. 4,739,440 319,733 MOSINEE PAPER MILLS CORP ................... 8,552,857 683,500 NEW OJI PAPER CO LTD ....................... 5,894,970 1,261,000 NIPPON PAPER INDUSTRIES CO ................. 7,875,127 498,300 PENTAIR, INC ............................... 14,949,000 3,062,000 oPT FAJAR SURYA WISEA (FR) .................. 1,415,409 41,300 SAPPI LTD .................................. 456,822 274,000 oSETTSU CORP ................................ 954,258 507,700 oSHOREWOOD PACKAGING CORP ................... 7,805,887 917,965 SONOCO PRODUCTS CO ......................... 26,047,256 7,900 ST. JOE CORP ............................... 509,550 754,649 STONE CONTAINER CORP ....................... 10,376,423 551,214 TEMPLE-INLAND, INC ......................... 25,769,254 531,800 UNION CAMP CORP ............................ 25,925,250 477,628 WAUSAU PAPER MILLS CO ...................... 9,433,153 1,202,293 WESTVACO CORP .............................. 35,918,503 -------------- 742,741,073 -------------- PETROLEUM-- EXPLORATION & PRODUCTION--0.85% 759,800 AMERADA HESS CORP .......................... 40,744,275 502,264 ANADARKO PETROLEUM CORP .................... 29,131,312 248,742 oANDERSON EXPLORATION LTD ................... 2,367,756 3,925,888 APACHE CORP ................................ 129,063,568 530,600 ASHLAND, INC ............................... 21,025,025 184,970 ASTRA CIA AREGENTINA S.A. SERIES B ......... 438,993 411,560 oBARNETT RESOURCES CORP ..................... 12,243,910 25,200 oBENTON OIL & GAS CO ........................ 554,400 1,092,431 BURLINGTON RESOURCES, INC .................. 46,974,533 74,000 CALTEX AUSTRALIA LTD ....................... 297,051 81,000 oCANADIAN NATURAL RESOURCES LTD ............. 1,509,445 107,300 oCHESAPEAKE ENERGY CORP ..................... 9,643,587 56,000 oCORIMON S.A. ADR ........................... 36,897 103,400 DEVON ENERGY CORP .......................... 2,533,300 12,116 ENGEN LTD .................................. 82,535 721,000 ENRON OIL & GAS CO ......................... 20,097,875 1,700,000 oENTERPRISE OIL PLC ......................... 12,150,716 488,480 oEQUITY OIL CO .............................. 2,350,810 1,900 oGLOBAL NATURAL RESOURCES, INC .............. 31,112 33,298 HARDY OIL & GAS PLC ........................ 129,863 116,800 KCS ENERGY, INC ............................ 3,358,000 362,700 KERR-MCGEE CORP ............................ 22,079,362 402,870 LONDON & SCOTTISH MARINE OIL PLC ........... 1,101,723 329,400 LOUISIANA LAND & EXPLORATION CO ............ 18,981,675 214,800 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) 4,134,900 304,700 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS B) 5,789,300 100,000 oMORGAN HYDROCARBON, INC .................... 296,551 461,980 MURPHY OIL CORP ............................ 20,962,342 657,700 NOBLE AFFILIATES, INC ...................... 24,828,175 25,400 oNORTHSTAR ENERGY CORP ...................... 246,430 841,016 NOVUS PETROLEUM LTD ........................ 1,224,632 3,000 oNUMAC ENERGY, INC .......................... 13,729 500 oOCELOT ENERGY (CLASS B) .................... 3,295 981,300 oORYX ENERGY CO ............................. 15,946,125 See notes to financial statements. -38- SHARES VALUE ------ ----- PETROLEUM--EXPLORATION & PRODUCTION--(Continued) 232,000 PARKER & PARSLEY PETROLEUM CO .............. $ 6,438,000 415,400 PENNZOIL CO ................................ 19,212,250 101,000 PETRO-CANADA (VARIABLE-VTG) ................ 1,253,532 82,800 oPOCO PETROLEUM LTD ......................... 633,565 436,300 POGO PRODUCING CO .......................... 16,633,937 92,100 RANGER OIL LTD ............................. 674,379 106,100 oRENAISSANCE ENERGY LTD ..................... 2,796,806 363,500 oRIGEL ENERGY CORP (U.S.) ................... 3,510,046 97,000 SAGA PETROLEUM AS SERIES A ................. 1,425,902 3,822,810 oSANTA FE ENERGY RESOURCES, INC ............. 45,395,868 1,300 oSCEPTRE RESOURCES LTD ...................... 8,995 324,300 oSEAGULL ENERGY CORP ........................ 8,107,500 319,274 SOUTHDOWN INC .............................. 7,502,939 104,015 oTALISMAN ENERGY, INC ....................... 2,418,155 617,482 oTEJAS GAS CORP ............................. 21,457,499 431,415 oTESORO PETROLEUM CORP ...................... 4,961,272 317,392 TOTAL PETROLEUM (NORTH AMERICA) LTD ........ 3,094,572 322,835 oTRITON ENERGY LTD .......................... 15,697,851 682,600 UNION TEXAS PETROLEUM HOLDINGS, INC ........ 13,310,700 153,700 oUNITED MERIDIAN CORP ....................... 5,533,200 86,000 VINTAGE PETROLEUM, INC ..................... 2,193,000 13,700 oWASCANA ENERGY, INC ........................ 130,409 429,000 WISER OIL CO ............................... 5,416,125 6,500,000 ZHENHAI REFINING & CHEMICAL CO LTD SERIES H 1,847,359 -------------- 640,027,063 -------------- PETROLEUM--INTEGRATED--4.50% 31,000 ALBERTA ENERGY LTD ......................... 584,498 4,340,400 AMOCO CORP ................................. 314,136,450 19,200 oARABIAN OIL CO LTD ......................... 897,988 1,420,215 ATLANTIC RICHFIELD CO ...................... 168,295,477 6,736,784 BRITISH PETROLEUM PLC ...................... 59,089,686 12,413 BRITISH PETROLEUM PLC ADR .................. 1,326,639 5,504,006 BROKEN HILL PROPRIETARY CO LTD ............. 76,116,808 88,175 BURMAH CASTROL PLC ......................... 1,396,094 319,000 CANADIAN OCCIDENTAL PETROLEUM LTD .......... 5,360,655 5,455,100 CHEVRON CORP ............................... 321,850,900 165,000 oCOMPANIA ESPANOLA DE PETROLEOS S.A. ........ 5,539,824 2,179,000 COSMO OIL CO LTD ........................... 13,469,109 539,778 DIAMOND SHAMROCK, INC ...................... 15,586,089 15,650,000 ENTE NAZIONALE IDROCARBURI S.P.A. .......... 78,008,051 110,000 ESSO MALAYSIA BERHAD ....................... 308,579 11,350,777 EXXON CORP ................................. 986,098,751 50,000 oFORCENERGY GAS EXPLORATION, INC ............ 943,750 434,038 GETTY PETROLEUM CORP ....................... 6,510,570 29,461 oGULF CANADA RESOURCES LTD .................. 148,847 235,654 IMPERIAL OIL LTD ........................... 9,938,980 15,000 KANTO NATURAL GAS DEVELOPMENT CO LTD ....... 120,481 100 oLYNX ENERGY SERVICES CORP (CLASS B) ........ 708 420,000 MITSUBISHI OIL CO LTD ...................... 3,580,245 3,903,499 MOBIL CORP ................................. 437,679,825 786,300 NIPPON OIL CO LTD .......................... 5,326,341 76,000 NORCEN ENERGY RESOURCES LTD ................ 1,332,795 380,277 NORSK HYDRO AS ............................. 18,614,097 4,821,847 OCCIDENTAL PETROLEUM CORP .................. 119,340,713 10,125 OMV AKTIENGESELLS .......................... 1,025,475 32,277 PETROFINA S.A. ............................. 10,209,453 1,638 oPETROFINA S.A. WTS 6/03/97 ................. 16,625 2,793,317 PHILLIPS PETROLEUM CO ...................... 116,970,149 394,500 QUAKER STATE OIL REFINING CORP ............. 5,917,500 414,674 REPSOL S.A. ................................ 14,407,659 998,400 ROYAL DUTCH PETROLEUM CO ................... 154,175,866 270,000 ROYAL DUTCH PETROLEUM CO ADR ............... 41,512,500 1,901,328 SANTOS LTD ................................. 6,584,755 124,000 SHELL REFINERY BERHAD ...................... 350,338 220,000 SHOWA SHELL SEKIYU K.K. .................... 2,286,543 116,247 SOCIETE NATIONALE ELF AQUITAINE ............ 8,548,674 653,242 SUN CO, INC ................................ 19,842,225 116,000 SUNCOR, INC ................................ 3,660,832 445,000 TEIKOKU OIL CO LTD ......................... 3,050,912 2,362,700 TEXACO, INC ................................ 198,171,462 1,680 TONEN CORP ................................. 24,659 406,377 TOTAL S.A. ................................. 30,137,101 108,032 TOTAL S.A. ADR ............................. 4,010,688 1,817,305 UNOCAL CORP ................................ 61,334,043 2,218,621 USX-MARATHON GROUP, INC (NEW) .............. 44,649,747 281,100 WOODSIDE PETROLEUM LTD ..................... 1,690,379 71,000 YPF SOCIEDAD ANONIMA (CLASS D) ............. 1,599,739 119,300 YPF SOCIEDAD ANONIMA (CLASS D) ADR ......... 2,684,250 -------------- 3,384,464,524 -------------- PETROLEUM--SERVICE--0.95% 923,080 BAKER HUGHES, INC .......................... 30,346,255 1,926,600 CABOT CORP ................................. 47,201,700 75,600 CAMCO INTERNATIONAL, INC ................... 2,560,950 185,495 oCLIFFS DRILLING CO ......................... 6,306,830 1,302,700 oDIAMOND OFFSHORE DRILLING, INC ............. 74,579,575 1,390,320 DRESSER INDUSTRIES, INC .................... 41,014,440 733,150 oENSCO INTERNATIONAL, INC ................... 23,827,375 3,658,000 FAR EAST LEVINGSTON-SHIP BUILDING LTD ...... 20,214,235 646,000 FLUOR CORP ................................. 42,232,250 460,920 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC ........ 7,374,720 33,000 oGLOBAL INDUSTRIES LTD ...................... 981,750 1,442,300 oGLOBAL MARINE, INC NEW ..................... 20,011,912 809,517 HALLIBURTON CO ............................. 44,928,193 233,600 HELMERICH & PAYNE, INC ..................... 8,555,600 284,000 IHC CALAND NV .............................. 13,975,393 11,768 KONINKLIJKE PAKHOED HOLDINGS NV ............ 306,781 178,900 oMATRIX SERVICE CO .......................... 1,185,212 108,900 MCDERMOTT INTERNATIONAL, INC ............... 2,273,287 83,061 oMCMORAN OIL & GAS CO ....................... 218,035 988,000 oNABORS INDUSTRIES, INC ..................... 16,055,000 1,445,579 oNOBLE DRILLING CORP ........................ 20,057,408 527,800 oOCEANEERING INTERNATIONAL, INC ............. 7,982,975 990,400 oPARKER DRILLING CO ......................... 5,694,800 93,500 oPETROLEUM GEO-SERVICES ..................... 2,676,944 523,969 oPOOL ENERGY SERVICES CO .................... 6,222,131 624,600 oPRIDE PETROLEUM SERVICES, INC .............. 8,900,550 517,400 oREADING & BATES CORP ....................... 11,447,475 744,200 oROWAN COS, INC ............................. 10,976,950 384,700 oRPC, INC ................................... 4,424,050 1,640,000 SAIPEM AG. ................................. 6,896,856 804,030 SCHLUMBERGER LTD ........................... 67,739,527 1,221,428 SMEDVIG AS ................................. 28,295,617 758,100 oSMITH INTERNATIONAL, INC ................... 22,837,762 141,100 SONAT OFFSHORE DRILLING, INC ............... 7,125,550 70,000 TECHNIP S.A. ............................... 6,444,850 506,300 TIDEWATER, INC ............................. 22,213,912 351,272 TOSCO CORP ................................. 17,651,418 295,135 oTRANSOCEAN DRILLING AS ..................... 7,654,827 163,200 ULTRAMAR CORP .............................. 4,732,800 474,900 oVARCO INTERNATIONAL, INC ................... 8,607,562 108,500 VASTAR RESOURCES, INC ...................... 4,055,187 342,701 oWEATHERFORD ENTERRA, INC ................... 10,281,030 298,188 oWESTERN ATLAS, INC ......................... 17,369,451 -------------- 714,439,125 -------------- See notes to financial statements. -39- SHARES VALUE ------ ----- PHOTOGRAPHY--0.34% 263,700 CPI CORP ................................... $ 4,351,050 2,780,896 EASTMAN KODAK CO ........................... 216,214,664 227,500 NORITSU KOKI CO LTD ........................ 11,490,610 367,608 POLAROID CORP .............................. 16,772,115 151,100 oPRESSTEK, INC .............................. 9,745,950 -------------- 258,574,389 -------------- PROPERTY--REAL ESTATE--1.05% 2,400,000 oAYALA LAND, INC (CLASS B) .................. 4,305,350 2,449,600 BRITISH LAND PLC ........................... 16,100,177 23,336,508 CHEUNG KONG HOLDINGS LTD ................... 168,072,319 665,408 CHINESE ESTATES LTD ........................ 593,133 303,840 oCITY DEVELOPMENT LTD ....................... 2,367,863 27,726 oCITY DEVELOPMENT LTD WTS 7/18/98 ........... 161,072 2,454 oCOMPAGNIE IMMOBILIERE DE BELGIQUE .......... 169,969 183,000 CRESCENT REAL ESTATE EQUITIES, INC ......... 6,725,250 500 DAIBIRU CORP ............................... 6,655 694,000 DAIKYO, INC ................................ 5,156,666 1,025,000 DBS LAND LTD ............................... 3,514,699 6,122,500 oFILINVEST LAND, INC ........................ 2,512,098 260,418 GENERAL PROPERTY TRUST ..................... 446,845 130,640 GREAT PORTLAND ESTATES PLC ................. 330,871 116,120 HAMMERSON PLC .............................. 654,950 498,000 HANG LUNG DEVELOPMENT CO LTD ............... 936,068 6,566,000 HENDERSON LAND DEVELOPMENT CO LTD .......... 48,985,587 16,334,998 HON KWOK LAND INVESTMENT CO LTD ............ 5,697,683 240 HONG KONG LAND HOLDINGS LTD ................ 540 1,898,571 HOPEWELL HOLDINGS LTD ...................... 1,030,128 158,500 oHOTEL PROPERTIES LTD ....................... 280,729 400,000 HYSAN DEVELOPMENT CO LTD ................... 1,224,683 20,000 oHYSAN DEVELOPMENT CO LTD WTS 4/30/98 ....... 10,593 2,000,000 IOI PROPERTIES BERHAD ...................... 6,291,822 96,707 oIRSA S.A. .................................. 324,422 55,000 JAPAN INDUSTRIAL LAND DEVELOPMENT .......... 1,719,922 189,050 KIMCO REALTY CORP .......................... 5,340,662 123,000,00 oLAI SUN DEVELOPMENT CO LTD ................. 25,106,007 380,000 LAND & HOUSE CO LTD (FR) ................... 4,308,652 212,300 LAND SECURITIES PLC ........................ 2,055,100 170,000 oLANDMARKS HOLDINGS BERHAD .................. 228,910 6,900,000 LARUT CONSOLIDATED BERHAD .................. 9,954,704 624,270 LEND LEASE CORP LTD ........................ 9,581,576 163,320 MEPC PLC ................................... 1,030,292 4,249,750 MITSUBISHI ESTATE CO LTD ................... 58,504,905 2,094,072 MITSUI FUDOSAN CO LTD ...................... 28,255,648 23,682,877 NEW WORLD DEVELOPMENT CO LTD ............... 109,835,911 39,000 OSAKA STADIUM CO LTD ....................... 369,785 1,644,000 PT JAYA REAL PROPERTY (FR) ................. 5,301,900 7,670,000 RYODEN DEVELOPMENT LTD ..................... 1,951,987 25,805 SCHRODERS PROPERTY FUND .................... 44,887 5,000 oSEFIMEG S.A. ............................... 337,975 500,000 SELANGOR PROPERTIES BERHAD ................. 609,144 10,785 oSIMCO (REGD) ............................... 995,062 480 oSIMCO (REGD) NEW ........................... 40,090 1,385,000 SINGAPORE LAND LTD ......................... 9,370,702 4,009,900 SLOUGH ESTATES PLC ......................... 13,707,281 4,654 oSTOCKLAND TRUST (UNITS) NEW ................ 10,256 115,499 STOCKLAND TRUST GROUP (UNITS) .............. 263,636 178,200 STRAITS STEAMSHIP CO LTD ................... 595,893 44,550 oSTRAITS STEAMSHIP WTS 12/12/00 ............. 55,865 861,000 SUMITOMO REALTY & DEVELOPMENT CO LTD ....... 6,805,721 10,976,659 SUN HUNG KAI PROPERTIES LTD ................ 110,960,899 14,256,394 TAI CHEUNG HOLDINGS LTD .................... 11,879,136 74,400 TAK WING INVESTMENT HOLDINGS LTD ........... 10,284 623,800 TAUBMAN CENTERS, INC ....................... 6,939,775 14,414,625 TIAN AN CHINA INVESTMENTS CO LTD ........... 1,955,276 21,000 oTOKYO TATEMONO CO .......................... 135,743 953,600 oTOLL BROTHERS, INC ......................... 15,615,200 637 oTRIZEC CORP LTD WTS 7/25/99 ................ 536 1,500 UNIBAIL S.A. ............................... 149,758 5,000,000 UNITED OVERSEAS LAND LTD ................... 8,784,978 228,196 VALLEHERMOSO S.A. .......................... 4,502,642 27,800 WASHINGTON REAL ESTATE INVESTMENT TRUST .... 465,650 746,700 WEINGARTEN REALTY INVESTORS, INC ........... 28,934,625 15,400 WELLSFORD RESIDENTIAL PROPERTY TRUST ....... 346,500 1,510,663 WESTFIELD TRUST (UNITS) .................... 2,722,908 65,581 oWESTFIELD TRUST (UNITS) NEW ................ 115,626 7,878,200 WHARF HOLDINGS LTD ......................... 28,191,762 -------------- 793,993,943 -------------- PUBLISHING--NEWSPAPER--0.53% 19,655 oAGENCE HAVAS ............................... 1,607,280 521,040 AUSTRALIAN PROVINCIAL NEWSPAPER HOLDINGS ... 955,557 659,500 BELO (A.H.) CORP SERIES A .................. 24,566,375 180,400 BELO (A.H.) CORP SERIES B .................. 6,719,900 190,600 CENTRAL NEWSPAPERS, INC (CLASS A) .......... 7,147,500 473,389 oCOX COMMUNICATIONS, INC (CLASS A) NEW ...... 10,237,037 200 DOW JONES & CO, INC ........................ 8,350 419,700 DOW JONES & CO, INC (CLASS B) .............. 17,522,475 1,124,000 EMAP PLC ................................... 12,330,086 20,000 oEXEL LTD ................................... 1,410,000 968,200 GANNETT CO, INC ............................ 68,500,150 70,000 GTC TRANSCONTINENTAL GROUP LTD (CLASS A) ... 567,657 323,200 KNIGHT-RIDDER, INC ......................... 23,432,000 357,900 MEDIA GENERAL, INC (CLASS A) ............... 13,331,775 738,116 NEW YORK TIMES CO (CLASS A) ................ 24,081,034 5,875,915 NEWS CORP LTD .............................. 33,345,764 152,400 NEWS CORP LTD ADR (LTD-VTG) ................ 3,067,050 42,950,000 ORIENTAL PRESS GROUP LTD ................... 23,026,435 225,600 PEARSON PLC ................................ 2,327,567 72,300 RURAL PRESS LTD ............................ 231,043 137,280 SINGAPORE PRESS HOLDINGS LTD (FR) .......... 2,694,052 134,359 TIMES MIRROR CO (SERIES A) NEW ............. 5,844,616 762,159 TIMES MIRROR CO (SERIES C) NEW ............. 33,153,916 721,200 TRIBUNE CO NEW ............................. 52,377,150 240,000 oVALASSIS COMMUNICATIONS, INC ............... 4,440,000 64,800 WASHINGTON POST CO (CLASS B) ............... 20,995,200 312,850 WILSON & HORTON LTD ........................ 2,079,035 -------------- 395,999,004 -------------- PUBLISHING--OTHER--0.77% 38,500 oAMERICAN BUSINESS INFORMATION, INC ......... 702,625 651,300 AMERICAN GREETINGS CORP (CLASS A) .......... 17,829,337 369,500 BOWNE & CO, INC ............................ 7,620,937 960,964 DAI NIPPON PRINTING CO LTD ................. 18,573,550 90,152 DE LA RUE CO PLC ........................... 833,465 996,900 DONNELLEY (R.R.) & SONS CO ................. 34,766,887 1,637,139 DUN & BRADSTREET CORP ...................... 102,321,187 1,868,500 ELSEVIER UTIGEVERSMIJ NV ................... 28,350,406 55,858 FILIPACCHI MEDIAS S.A. ..................... 11,283,794 5,714 oFILIPACCHI MEDIAS S.A. WTS 9/30/96 ......... 333,186 41,700 GAKKEN CO LTD .............................. 308,705 287,700 oGOLDEN BOOKS FAMILY ENTERTAINMENT, INC ..... 3,452,400 80,000 GRUPO ANAYA S.A. ........................... 1,466,212 See notes to financial statements. -40- SHARES VALUE ------ ----- PUBLISHING--OTHER--(Continued) 347,108 HARCOURT GENERAL, INC ...................... $ 17,355,400 141,100 HOUGHTON MIFFLIN CO ........................ 7,019,725 628,700 LEE ENTERPRISES, INC ....................... 14,853,037 14,400 LEE ENTERPRISES, INC (CLASS B) ............. 340,200 94,100 oMARVEL ENTERTAINMENT GROUP, INC ............ 882,187 934,200 MCGRAW HILL COS, INC ....................... 42,739,650 116,500 oMEREDITH CORP .............................. 4,863,875 164,600 MEREDITH CORP (CLASS B) .................... 6,872,050 195,000 MONDADORI (ARNOLDO) EDITORE S.P.A. ......... 1,474,824 191,550 PLENUM PUBLISHING CORP ..................... 6,704,250 375,900 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VTG) ....................... 15,975,750 230,110 REED INTERNATIONAL PLC ..................... 3,850,758 260,100 oSCHOLASTIC CORP ............................ 16,126,200 3,316,000 SOUTH CHINA MORNING POST ................... 2,270,418 31,000 SOUTHAM, INC ............................... 365,453 143,750 THOMAS NELSON, INC ......................... 1,922,656 928,100 THOMSON CORP ............................... 14,678,885 4,221,424 TIME WARNER, INC ........................... 165,690,892 428,000 VERENIGDE NEDERLANDSE UITGEVERSBED ......... 6,644,404 142,587 WOLTERS KLUWER NV .......................... 16,196,611 74,000 oWOONG JIN PUBLISHING CO .................... 3,969,027 -------------- 578,638,943 -------------- RAILROAD--1.01% 1,115,328 BURLINGTON NORTHERN SANTA FE CORP .......... 90,202,152 374,700 CANADIAN PACIFIC LTD ....................... 8,203,504 210,300 CANADIAN PACIFIC LTD (U.S.) ................ 4,626,600 725,100 CONRAIL, INC ............................... 48,128,512 4,409,072 CSX CORP ................................... 212,737,724 2,760 EAST JAPAN RAILWAY CO ...................... 14,468,679 76,600 FLORIDA EAST COAST INDUSTRIES, INC ......... 6,357,800 367,377 oHANKYU CORP ................................ 2,150,299 316,650 ILLINOIS CENTRAL CORP SERIES A ............. 8,984,943 610,400 KANSAS CITY SOUTHERN INDUSTRIES, INC ....... 26,170,900 217,446 KEIHIN ELECTRIC EXPRESS RAILWAY ............ 1,286,613 650 KEIO TEITO ELECTRIC RAILWAY CO LTD ......... 3,851 933,781 KINKI NIPPON RAILWAY CO LTD ................ 6,716,979 336,861 NAGOYA RAILROAD CO LTD ..................... 1,716,779 176,150 NANKAI ELECTRIC RAILWAY CO ................. 1,116,141 2,189,160 NIPPON EXPRESS CO LTD ...................... 21,355,671 1,256,212 NORFOLK SOUTHERN CORP ...................... 106,463,967 312,378 ODAKYU ELECTRIC RAILWAY CO LTD ............. 2,101,787 1,185,400 SAGAMI RAILWAY CO .......................... 5,468,489 571,000 oSOUTHERN PACIFIC RAIL CORP ................. 14,275,000 950,000 oSTAGECOACH HOLDINGS PLC .................... 6,421,078 365,369 TOBU RAILWAY CO LTD ........................ 2,395,038 992,149 TOKYU CORP ................................. 7,552,927 1,874,965 UNION PACIFIC CORP ......................... 131,013,179 30,000 oUNION SWITCH & SIGNAL, INC ................. 255,000 826,200 oWISCONSIN CENTRAL TRANSIT CORP ............. 26,851,500 -------------- 757,025,112 -------------- RESTAURANTS & HOTELS--1.11% 10,032 ACCOR S.A. ................................. 1,402,996 379,000 APPLE SOUTH, INC ........................... 10,138,250 317,950 oAPPLEBEES INTERNATIONAL, INC ............... 10,293,631 810,900 oAZTAR CORP ................................. 9,325,350 430,282 BOB EVANS FARMS, INC ....................... 7,314,794 440,500 oBOSTON CHICKEN, INC ........................ 14,316,250 695,200 oBUFFETS, INC ............................... 8,516,200 288,172 oCKE RESTAURANTS, INC ....................... 7,348,386 2,652 CLUB MEDITERRANEE S.A. ..................... 237,471 855,000 COMPASS GROUP PLC .......................... 7,824,859 408,125 CRACKER BARREL OLD COUNTRY STORE, INC ...... 9,897,031 1,839,900 DARDEN RESTAURANTS, INC .................... 19,778,925 19,700 oDAVE & BUSTERS, INC ........................ 526,975 11,600 FELCOR SUITE HOTELS, INC ................... 353,800 195,177 FRISCHS RESTAURANTS, INC ................... 2,268,932 51,995 FUJITA KANKO, INC .......................... 1,042,884 17,149 GENKI SUSHI CO ............................. 378,360 45,000 oGROUPE PARTOUCHE S.A. ...................... 5,025,934 162,000 HARBOUR CENTRE DEVELOPMENT LTD ............. 219,745 957,600 oHFS, INC ................................... 67,032,000 288,200 HILTON HOTELS CORP ......................... 32,422,500 313,000 HONG KONG & SHANGHAI HOTELS LTD ............ 533,744 1,134,800 oHOST MARRIOTT CORP ......................... 14,894,250 226,380 oHOST MARRIOTT SERVICES CORP ................ 1,641,255 16,600 KERSAF INVESTMENT LTD ...................... 170,197 756,300 LA QUINTA INNS, INC ........................ 25,336,050 194,500 oLONE STAR STEAKHOUSE SALOON, INC ........... 7,342,375 422,450 LUBYS CAFETERIA, INC ....................... 9,927,575 1,165,700 MARRIOTT INTERNATIONAL, INC ................ 62,656,375 6,475,800 MCDONALDS CORP ............................. 302,743,650 200,000 oMIRAMAR HOTEL & INVESTMENT CO LTD .......... 441,816 3 MOS FOOD SERVICES, INC ..................... 73 322,700 oNPC INTERNATIONAL, INC ..................... 3,267,337 111,600 oOUTBACK STEAKHOUSE, INC .................... 3,848,456 50,000 OVERSEAS UNION ENTERPRISES LTD ............. 272,759 20,000 oOVERSEAS UNION ENTERPRISES LTD WTS 7/20/98 . 36,556 501,668 PICCADILLY CAFETERIAS, INC ................. 5,267,514 14,100 oPRIME HOSPITALITY CORP ..................... 232,650 355,550 oPROMUS HOTEL CORP .......................... 10,533,168 3,500 QUICK RESTAURANTS S.A. ..................... 346,310 443,000 RESORTS WORLD BERHAD ....................... 2,538,730 261,400 oRIO HOTEL & CASINO, INC .................... 4,019,025 141,336 RUBY TUESDAY, INC .......................... 3,197,727 668,250 oRYANS FAMILY STEAK HOUSES, INC ............. 6,181,312 110,475 SBARRO, INC ................................ 2,775,684 600,000 SHANGRI-LA ASIA LTD ........................ 841,000 2,703 SHANGRI-LA HOTELS BERHAD ................... 2,805 426,850 oSHONEYS, INC ............................... 4,641,993 435,200 oSHOWBIZ PIZZA TIME, INC (NEW) .............. 6,854,400 247,100 SKYLARK CO LTD ............................. 5,203,992 2,933 SODEXHO S.A. ............................... 1,301,201 229,750 oSONIC CORP ................................. 5,571,437 185,000 SUN INTERNATIONAL SOUTH AFRICA ............. 198,648 1,314,900 SYSCO CORP ................................. 45,035,325 1,107,000 oTPI ENTERPRISES, INC ....................... 3,978,281 318,100 oVICORP RESTAURANTS, INC .................... 3,896,725 4,000,469 WENDYS INTERNATIONAL, INC .................. 74,508,735 -------------- 835,904,403 -------------- RETAIL--FOOD--0.72% 179,201 AHOLD NV ................................... 9,710,656 1,617,400 ALBERTSONS, INC ............................ 66,919,925 1,296,616 AMERICAN STORES CO (NEW) ................... 53,485,410 3,293,957 ARGYLL GROUP PLC ........................... 17,759,981 7,600,000 ASDA GROUP PLC ............................. 13,757,345 4,878 oBRUNOS, INC ................................ 67,682 80,752 CARREFOUR SUPERMARCHE S.A. ................. 45,236,081 16,256 CASINO GUICHARD-PERRACHON S.A. ............. 670,979 11,500 oCASINO GUICHARD-PERRACHON S.A. RTS ........ 17,869 30,000 CENTROS COMERCIALES CONTINENTE S.A. ........ 711,268 109,000 CENTROS COMERCIALES PRYCA S.A. ............. 2,720,291 300,000 #oCOLCOM HOLDINGS LTD ........................ 65,283 2,350 oCOLRUYT S.A. ............................... 787,576 See notes to financial statements. -41- SHARES VALUE ------ ----- RETAIL--FOOD--(Continued) 151,500 DELCHAMPS, INC ............................. $ 3,673,875 54,750 DELHAIZE FRERES NV ......................... 2,752,329 40,772 DOCKS DE FRANCE S.A. ....................... 8,632,268 269,038 FLEMING COS, INC ........................... 3,867,421 1,099,050 FOOD LION, INC (CLASS A) ................... 8,723,709 1,596,450 FOOD LION, INC (CLASS B) ................... 12,372,487 484,300 GIANT FOOD, INC (CLASS A) .................. 17,374,262 211,200 GREAT ATLANTIC & PACIFIC TEA CO, INC ....... 6,943,200 551,000 HANNAFORD BROTHERS, INC .................... 17,976,375 1,026,204 oKROGER CO .................................. 40,535,058 245,000 MARUETSU, INC .............................. 2,206,861 234,700 NASH-FINCH CO .............................. 3,755,200 49,500 OSHAWA GROUP LTD (CLASS A) ................. 752,086 38,800 oPRIMISTERES REYNOIRD S.A. .................. 3,029,662 9,300 PROMODES S.A. .............................. 2,680,731 18,574 oPROVIGO, INC ............................... 100,642 125,926 oQUALITY FOOD CENTERS, INC .................. 3,242,594 880,300 RUDDICK CORP ............................... 10,783,675 314,437 oRYKOFF-SEXTON, INC ......................... 4,520,031 1,772,400 oSAFEWAY, INC NEW ........................... 58,489,200 781,478 SAINSBURY (J) PLC .......................... 4,602,047 74,300 oSCOTTS HOSPITALITY, INC .................... 696,375 904 SEIYO FOOD SYSTEMS ......................... 9,725 459,524 xoSIZZLER INTERNATIONAL, INC ................. 1,436,012 1,310,600 oSOUTHLAND CORP ............................. 3,972,756 320,500 oSTARBUCKS CORP ............................. 9,054,125 423,000 oSTOP & SHOP COS, INC NEW ................... 14,117,625 509,100 SUPER FOOD SERVICES, INC ................... 4,836,450 733,700 SUPERVALU, INC ............................. 23,111,550 837,585 TESCO PLC .................................. 3,826,232 60,500,000 oTINGYI HOLDINGS CORP ....................... 16,608,475 299,400 oVONS COS, INC .............................. 11,190,075 156,500 WEIS MARKETS, INC .......................... 5,105,812 612,132 WINN DIXIE STORES, INC ..................... 21,654,169 -------------- 544,543,440 -------------- RETAIL--GENERAL MERCHANDISE--4.03% 387,500 o50-OFF STORES, INC ......................... 363,281 120,000 ADIDAS AG. ................................. 10,082,776 113,000 AOYAMA TRADING CO LTD ...................... 2,956,734 1,386,000 oAPPLIED INTERNATIONAL HOLDINGS LTD ......... 123,545 277,200 oAPPLIED INTERNATIONAL HOLDINGS LTD WTS 12/30/99 .............................. 13,428 201,900 oAPS HOLDING CORP ........................... 4,441,800 112,942 oARGOS PLC 5/7 (P/P) ........................ 1,309,150 157,000 oASICS CORP ................................. 572,547 5,749 ASKO DEUTSCHE KAUFHAUS AG. ................. 4,248,867 1,265,400 oAUTOZONE, INC .............................. 43,972,650 14,000 oBABY SUPERSTORE, INC ....................... 231,000 181,500 oBARNES & NOBLE, INC ........................ 6,511,312 1,650 BAZAR DE LHOTEL DE VILLE ................... 174,989 48,533 oBEN FRANKLIN RETAIL STORES, INC ............ 54,599 616,300 oBEST BUY, INC .............................. 14,097,862 930 BEST DENKI CO LTD .......................... 13,905 387,500 BIG B, INC ................................. 3,681,250 111,200 BLAIR CORP ................................. 2,627,100 522,112 oBOMBAY, INC ................................ 3,263,200 419,800 BOOTS CO LTD ............................... 3,776,731 188,300 oBORDERS GROUP, INC ......................... 6,072,675 229,700 BROWN GROUP, INC ........................... 3,991,037 125,000 BULGARI S.P.A. ............................. 1,996,750 372,887 oBURLINGTON COAT FACTORY WAREHOUSE CORP ..... 3,915,313 4,850,000 BURTON GROUP ............................... 11,718,371 229,500 xoCALDOR CORP ................................ 602,437 160,000 CANADIAN TIRE, INC (CLASS A) ............... 2,026,798 655,000 CARPETRIGHT PLC ............................ 5,709,515 132,547 oCARSON PIRIE SCOTT & CO .................... 3,545,632 782,700 CASEYS GENERAL STORES, INC ................. 15,556,162 44,998 CASTORAMA DUBOIS INVESTISSEMENTS S.A. ...... 8,862,731 5,300,000 oCHAIFA HOLDINGS LTD ........................ 1,420,723 926,300 oCHARMING SHOPPES, INC ...................... 6,541,993 40 CHIYODA CO ................................. 937 834,000 oCIFRA S.A. DE CV SERIES B .................. 1,208,088 394,000 oCIFRA S.A. DE CV SERIES C .................. 562,411 3,101,600 CIRCUIT CITY STORES, INC ................... 112,045,300 322,300 CLAIRES STORES, INC ........................ 8,903,537 72,412 CLAIRES STORES, INC (CLASS A) .............. 2,000,381 547,000 xoCLOTHESTIME, INC ........................... 547,000 3,274,583 COLES MYER LTD ............................. 11,907,700 968 COMPTOIRS MODERNES ......................... 436,590 563,200 oCONSOLIDATED STORES CORP ................... 20,697,600 575,000 oCONTROLADORA COMERCIAL MEXICANA S.A. SERIES B .................................. 538,587 45,000 CORTEFIEL S.A. ............................. 1,026,543 1,676,385 oCUC INTERNATIONAL, INC ..................... 59,511,667 23,200 oCYRK, INC .................................. 316,100 1,182,550 DAIEI, INC ................................. 14,231,327 124,500 DAIICHI CORP ............................... 3,609,511 399,380 DAIMARU, INC ............................... 2,792,760 24,600 DART GROUP CORP (CLASS A) .................. 2,189,400 815,215 DAYTON HUDSON CORP ......................... 84,069,046 220,500 DEB SHOPS, INC ............................. 1,102,500 10,928,000 oDICKSON CONCEPTS LTD ....................... 13,976,271 2,612,300 DILLARD DEPARTMENT STORES (CLASS A) ........ 95,348,950 1,960,431 DIXONS GROUP PLC ........................... 16,113,962 769,106 DOLLAR GENERAL CORP ........................ 22,496,350 12,000 DOUGLAS HOLDINGS AG. ....................... 478,518 435,400 oDRESS BARN, INC ............................ 4,571,700 162,300 DUTY FREE INTERNATIONAL, INC ............... 2,475,075 114 oDYLEX LTD .................................. 242 38 oDYLEX LTD WTS 5/31/98 ...................... 10 671,500 oECKERD CORP ................................ 15,192,687 92,100 xoEDISON BROTHERS STORES, INC ................ 207,225 263,900 oEGGHEAD, INC ............................... 2,935,887 56,700 oETHAN ALLEN INTERIORS, INC ................. 1,403,325 219,300 oFABRI-CENTERS OF AMERICA (CLASS A) ......... 3,618,450 245,800 oFABRI-CENTERS OF AMERICA (CLASS B) ......... 3,717,725 366,200 FAMILY DOLLAR STORES, INC .................. 6,362,725 611,777 FAYS, INC .................................. 4,817,743 1,163,049 oFEDERATED DEPARTMENT STORES, INC ........... 39,689,047 609,200 FINGERHUT COS, INC ......................... 9,518,750 38,500 oFURNITURE BRANDS INTERNATIONAL, INC ........ 423,500 1,670,500 GAP, INC ................................... 53,664,812 585,000 oGEORGETOWN HOLDINGS BERHAD ................. 1,144,069 12,606,000 GOLDLION HOLDINGS CO LTD ................... 10,829,649 501,200 oGOOD GUYS, INC ............................. 4,385,500 310,300 oGOTTSCHALKS, INC ........................... 2,094,525 92,400 GRANDOPTICAL PHOTOSERVICE S.A. ............. 11,899,314 2,402,400 GREAT UNIVERSAL STORES PLC ................. 24,412,833 428,600 oGYMBOREE CORP .............................. 13,072,300 560,000 HALLENSTEIN GLASSON HOLDINGS ............... 1,055,054 270,678 HANCOCK FABRICS, INC ....................... 2,977,458 191,275 oHANDLEMAN CO ............................... 1,315,015 266,700 HANKYU DEPARTMENT STORES, INC .............. 3,501,365 274,375 oHANOVER DIRECT, INC ........................ 377,265 172,515 HECHINGER CO (CLASS A) ..................... 754,753 166,225 HECHINGER CO (CLASS B) ..................... 1,018,128 427,287 HEILIG MEYERS CO ........................... 10,254,888 See notes to financial statements. -42- SHARES VALUE ------ ----- RETAIL--GENERAL MERCHANDISE--(Continued) 61,200 HENNES & MAURITZ AB SERIES B ............... $ 5,672,046 61,771 HOMAC CORP ................................. 1,424,810 4,430,833 HOME DEPOT, INC ............................ 239,264,982 474,400 oHOME SHOPPING NETWORK, INC ................. 5,692,800 251,400 xoHOUSE OF FABRICS, INC ...................... 47,137 131,200 oIAMA LTD ................................... 294,312 217,800 oINTELLIGENT ELECTRONICS, INC ............... 1,851,300 94,000 ISETAN CO .................................. 1,422,616 749,248 ITO-YOKADO CO LTD .......................... 45,152,209 270,000 IZUMIYA CO LTD ............................. 5,415,498 96,050 JACOBSON STORES, INC ....................... 1,140,593 12,500,000 oJOYCE BOUTIQUE HOLDINGS .................... 4,198,545 636,350 JUSCO CO LTD ............................... 20,827,754 3,815,200 oK MART CORP ................................ 47,213,100 9,600 oKARSTADT AG. ............................... 3,881,750 11,000 KAUFHOF HOLDING AG. ........................ 4,160,951 37,000 KESKO CO ................................... 547,899 1,226,685 KINGFISHER PLC ............................. 12,331,969 639,400 oKOHLS CORP ................................. 23,418,025 205,600 oLANDS END, INC ............................. 5,088,600 31,000 LAOX CO LTD ................................ 740,482 147,000 oLECHTERS, INC .............................. 955,500 1,910,805 LIMITED, INC ............................... 41,082,307 50,700 LOBLAW COS LTD ............................. 410,218 238,321 LONGS DRUG STORES CORP ..................... 10,635,074 1,347,700 LOWES COS, INC ............................. 48,685,662 190,490 oLURIA (L.) & SON, INC ...................... 833,393 240,800 oMAC FRUGALS BARGAINS CLOSE-OUT, INC ........ 4,274,200 4,976,400 MARKS & SPENCER PLC ........................ 36,380,614 596,853 MARUI CO LTD ............................... 13,222,866 2,245,570 MAY DEPARTMENT STORES CO ................... 98,243,687 913,200 MELVILLE CORP .............................. 36,984,600 75,600 oMENS WAREHOUSE, INC ........................ 2,438,100 271,400 MERCANTILE STORES CO, INC .................. 15,910,825 2,737 MERKUR HOLDINGS AG. (REGD) ................. 575,082 136,100 oMEYER (FRED), INC .......................... 3,997,937 88,400 oMICHAELS STORES, INC ....................... 1,502,800 58,500 oMICROAGE, INC .............................. 797,062 37,000 oMINISTOP CO, LTD ........................... 985,000 836,900 MITSUKOSHI LTD ............................. 8,927,120 12,000 MIZUNO CORP ................................ 112,686 11,900 oMOVIE GALLERY, INC ......................... 249,900 183,669 MR MAX CORP ................................ 3,349,020 503,500 oMUSICLAND STORES CORP ...................... 1,636,375 272,849 oNEIMAN-MARCUS GROUP, INC ................... 7,366,923 1,977,600 NEXT PLC ................................... 17,299,835 113,400 NICHII CO LTD .............................. 1,881,639 4,520 NISSEN CO LTD .............................. 67,994 1,411,000 NORDSTROM, INC ............................. 62,789,500 294,200 oOFFICEMAX, INC ............................. 7,024,025 11,624 OPSM PROTECTOR LTD ......................... 20,585 20,000 oOTSUKA KAGU ................................ 1,347,492 21,594,000 PACIFIC CONCORD HOLDINGS ................... 4,965,563 346,923 oPAYLESS SHOESOURCE, INC .................... 11,014,805 1,812,900 PENNEY, (J.C.) CO, INC ..................... 95,177,250 569,400 PEP BOYS- MANNY, MOE, & JACK CO ............ 19,359,600 43,900 oPEPKOR LTD ................................. 212,885 183,600 oPETRIE STORES CORP (LIQUIDATING TRUST) ..... 504,900 348,250 oPETSMART, INC .............................. 16,628,937 22,600 PICKN PAY STORES LTD ....................... 78,542 482,161 PIER 1 IMPORTS, INC ........................ 7,172,144 11,038 oPINAULT-PRINTEMPS-REDOUTE S.A. ............. 3,861,362 96,000 PLAYMATES TOYS HOLDINGS LTD ................ 23,315 76,000 POLYGRAM NV ................................ 4,487,872 1,930,535 oPRICE/COSTCO, INC .......................... 41,747,819 141,200 oPROFFITTS, INC ............................. 5,012,600 4,606,500 oPT MATAHARI PUTRA PRIMA (FR) ............... 8,418,378 857,300 oREVCO (D.S.), INC NEW ...................... 20,468,037 240,884 oREX STORES CORP ............................ 3,703,591 30,750 oREXALL SUNDOWN, INC ........................ 830,250 65,000 RINASCENTE S.P.A. .......................... 465,120 3,250 oRINASCENTE S.P.A. WTS 12/31/99 ............. 2,644 921,058 RITE AID CORP .............................. 27,401,475 1,024,000 ROBINSON & CO LTD .......................... 4,352,815 2,476,100 ROBINSON DEPARTMENT STORE (FR) ............. 5,897,785 432,200 ROSS STORES, INC ........................... 15,018,950 1,571,800 oROUSE CO ................................... 40,670,325 2,400 ROYAL CO LTD ............................... 46,824 42,650 RUSS BERRIE & CO, INC ...................... 783,693 651,100 SEARS PLC .................................. 1,001,562 3,149,400 SEARS ROEBUCK & CO ......................... 153,139,575 449,430 SEIYU LTD .................................. 5,695,460 81,500 SENSHUKAI CO LTD ........................... 1,374,615 569,112 oSERVICE MERCHANDISE, INC ................... 3,201,255 715,234 SEVEN-ELEVEN JAPAN CO LTD .................. 45,580,310 216,000 SHIMACHU CO ................................ 6,400,134 57,500 SHIMAMAURA CO LTD .......................... 2,526,776 510,200 SOTHEBYS HOLDINGS, INC (CLASS A) ........... 7,397,900 1,162,668 oSTAPLES, INC ............................... 22,672,026 206,000 oSTEIN MART, INC ............................ 3,759,500 1,355,000 STOREHOUSE PLC ............................. 6,821,492 146,735 STRAWBRIDGE & CLOTHIER (CLASS A) ........... 2,384,443 487,700 STRIDE RITE CORP ........................... 4,023,525 476,500 oSUNGLASS HUT INTERNATIONAL, INC ............ 11,614,687 249,400 oSYMS CORP .................................. 1,839,325 1,159,000 TAKASHIMAYA CO LTD ......................... 17,963,225 134,200 TALBOTS, INC ............................... 4,344,725 701,501 TANDY CORP ................................. 33,233,609 62,700 TIFFANY & CO NEW ........................... 4,577,100 32,600 oTIMBERLAND CO .............................. 757,950 697,580 TJX COS, INC NEW ........................... 23,543,325 373,900 oTOPPS, INC ................................. 2,103,187 2,478,150 oTOYS R US, INC ............................. 70,627,275 126,000 oTRANS WORLD ENTERTAINMENT CORP ............. 858,375 300,000 UNY CO LTD ................................. 5,935,167 200,000 oVENDOME LUXURY GROUP PLC (UNITS) ........... 1,852,129 173,626 oVENTURE STORES, INC ........................ 1,128,569 387,650 oWABAN, INC ................................. 9,255,143 14,792,676 WAL-MART STORES, INC ....................... 375,364,153 2,066,300 WALGREEN CO ................................ 69,221,050 430,575 oWILLIAMS-SONOMA, INC ....................... 10,172,334 1,279,800 oWOOLWORTH CORP ............................. 28,795,500 12,000 XEBIO CO LTD ............................... 449,650 211,300 oZALE CORP .................................. 3,565,687 -------------- 3,029,542,536 -------------- TEXTILE & APPAREL--0.49% 92,855 oALGODONERA DE SAN ANTINIO S.A. ............. 749,522 145,000 oALPARAGATAS S.A. INDUSTRIAL Y COMERCIAL .... 108,902 130,400 ANGELICA CORP .............................. 3,080,700 182,900 oANN TAYLOR STORES CORP ..................... 3,703,725 200 ATSUGI NYLON CO ............................ 1,030 195,000 BENETTON GROUP S.P.A. ...................... 2,517,372 518,900 CATO CORP (CLASS A) NEW .................... 3,113,400 60,130 oCHARGEURS INTERNATIONAL S.A. ............... 2,687,473 527,800 CML GROUP, INC ............................. 2,243,150 289,800 COATS VIYELLA PLC .......................... 774,500 135,200 oCONE MILLS CORP ............................ 1,521,000 See notes to financial statements. -43- SHARES VALUE ------ ----- TEXTILE & APAPAREL--(Continued) 42,000 COURTAULDS TEXTILES PLC .................... $ 234,281 90,674 DAWSON INTERNATIONAL PLC ................... 115,529 74,500 oDE RIGO S.P.A. ADR ......................... 1,704,187 43,700 DOMINION TEXTILES, INC ..................... 233,587 17 ESCADA AG. (STAMM) ......................... 3,065 109,500 FAB INDUSTRIES, INC ........................ 2,983,875 122,100 oFIELDCREST CANNON, INC ..................... 2,396,212 14,000 FILA HOLDING S.P.A. ADR .................... 1,207,500 615,200 oFRUIT OF THE LOOM, INC (CLASS A) ........... 15,687,600 315,200 G & K SERVICES, INC (CLASS A) .............. 8,983,200 120,900 oGENESCO, INC ............................... 936,975 107,000 oGUCCI GROUP NV ADR ......................... 6,901,500 272,705 GUILFORD MILLS, INC ........................ 6,817,625 277,200 oHARTMARX CORP .............................. 1,732,500 2,000,000 IINER MONGOLIA ERDOS CASHMERE CO LTD ....... 972,000 144,300 oJUST FOR FEET INC .......................... 7,629,862 369,420 oKANEBO LTD ................................. 1,101,336 528,450 KELLWOOD CO ................................ 9,710,268 309,000 KURABO INDUSTRIES LTD ...................... 1,233,913 132,250 KURARAY CO LTD ............................. 1,483,039 672,800 LIZ CLAIBORNE, INC ......................... 23,295,700 22,000 MARZOTTO & FIGLI S.P.A. .................... 137,558 15,000 oMOHAWK INDUSTRIES, INC ..................... 266,250 241,500 oNAUTICA ENTERPRISES, INC ................... 6,943,125 506,600 NIKE, INC (CLASS B) ........................ 52,053,150 209,700 oNINE WEST GROUP, INC ....................... 10,720,912 152,000 NISSHINBO INDUSTRY, INC .................... 1,496,646 85,000 ONWARD KASHIYMA CO LTD ..................... 1,387,151 141,500 OSHKOSH B'GOSH, INC (CLASS A) .............. 2,547,000 161,500 OXFORD INDUSTRIES, INC ..................... 2,604,187 41,600 oPARAGON TRADE BRANDS, INC .................. 894,400 60,130 oPATHE SA ................................... 14,108,946 454,788 PHILLIPS-VAN HEUSEN CORP ................... 5,798,547 1,000,000 PT INDO RAMA SYNTHETICS (FR) ............... 2,537,000 784,600 REEBOK INTERNATIONAL LTD ................... 26,382,175 382,228 oRENOWN, INC ................................ 1,529,815 417,400 RUSSELL CORP ............................... 11,530,675 888 SALAMANDER AG. ............................. 113,756 282,000 oSANRIO CO LTD .............................. 3,265,162 259,000 SPRING INDUSTRIES, INC ..................... 13,079,500 12,000 oST. JOHN KNITS, INC ........................ 535,500 476,000 TEIJIN LTD ................................. 2,582,116 510,600 TOKYO STYLE CO LTD ......................... 8,891,317 575,000 TORAY INDUSTRIES, INC ...................... 3,963,159 301,000 TOYOBO CO LTD .............................. 1,127,873 109,900 oTULTEX CORP ................................ 522,025 615,325 UNIFI, INC ................................. 17,306,015 513,000 oUNITIKA LTD ................................ 1,548,093 523,600 VF CORP .................................... 31,219,650 28,100 WARNACO GROUP, INC (CLASS A) ............... 723,575 362,800 oWESTPOINT STEVENS, INC ..................... 8,661,850 2,593,000 oWING TAI HOLDINGS .......................... 5,511,157 320,750 WOLVERINE WORLD WIDE, INC .................. 10,424,375 46,500 oWORLD CO LTD ............................... 2,051,872 2,100,000 ZIMBABWE SPINNERS & WEAVERS ................ 255,061 -------------- 368,584,121 -------------- TOBACCO--1.63% 1,459,800 AMERICAN BRANDS, INC ....................... 66,238,425 6,631,161 B.A.T. INDUSTRIES LTD ...................... 51,620,524 1,500 oCIE FINANCIERE RICHEMONT AG. (UNITS A) ..... 2,372,771 727,550 DIMON, INC ................................. 13,459,675 287,800 EMPRESAS LA MODERN SERIES A NPV ............ 1,289,023 266,500 IMASCO LTD ................................. 5,444,349 35,328 NOBLEZA-PICCARDO S.A. (CLASS B) ............ 134,434 8,604,900 PHILIP MORRIS COS, INC ..................... 894,909,600 1,600,000 oPT HANJAYA MANDALA SAMPOERNA (FR) .......... 18,232,000 3,000,000 R.J. REYNOLDS BERHAD ....................... 8,836,603 148,700 REMBRANDT GROUP LTD ........................ 1,397,548 2,496,846 RJR NABISCO HOLDINGS CORP .................. 77,402,226 171,620 oROTHMANS HOLDINGS LTD ...................... 959,082 117,000 ROTHMANS OF PALL MALL BERHAD ............... 1,230,812 287,090 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ...... 8,074,406 22,000 SEITA S.A. ................................. 1,008,488 73,478 SOUZA CRUZ S.A. ............................ 640,307 246,071 oSTANDARD COMMERCIAL CORP ................... 2,952,852 15,000 TABACALERA S.A. SERIES A (REGD) ............ 754,553 700,000 TSL LTD .................................... 240,891 401,800 UNIVERSAL CORP ............................. 10,647,700 1,667,700 UST, INC ................................... 57,118,725 -------------- 1,224,964,994 -------------- TRADING COMPANIES--0.20% 65,000 INCHCAPE BERHAD ............................ 207,226 6,116,350 ITOCHU CORP ................................ 42,714,276 685,540 IWATANI & CO LTD ........................... 3,968,793 3,407,950 MARUBENI CORP .............................. 18,642,168 3,308,000 MITSUBISHI CORP ............................ 43,429,011 3,569,664 MITSUI & CO LTD ............................ 32,316,814 26,000 oNAGASE & CO ................................ 246,523 800 RYOSAN CO LTD .............................. 20,640 330,195 STELUX HOLDINGS INTERNATIONAL LTD .......... 73,795 1,293,310 SUMITOMO CORP .............................. 11,484,538 968 TACHIBANA SHOKAI LTD ....................... 10,149 -------------- 153,113,933 -------------- TRUCKERS & SHIPPING--0.31% 320 ACTINOR SHIPPING AS ........................ 8,127 6,000 AISIN SEIKI CO LTD ......................... 90,258 467,000 oAMERICAN FREIGHTWAYS CORP .................. 5,195,375 535,806 APL LTD .................................... 13,997,931 699,500 ARNOLD INDUSTRIES, INC ..................... 9,967,875 72,400 BERGESEN AS SERIES A ....................... 1,504,482 691,652 BRAMBLES INDUSTRIES LTD .................... 9,624,979 207,400 CALIBER SYSTEM, INC ........................ 7,051,600 306 DAMPSKIBSSELSKABET AF 1912 (CLASS B) ....... 6,938,520 294 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) ..... 9,598,644 595,000 oDUAL INVESTMENT (NON-VTG) SERIES B ......... 5,907,333 329,087 oHEARTLAND EXPRESS, INC ..................... 8,803,077 221,850 HUNT (J.B.) TRANSPORT SERVICES, INC ........ 4,631,118 45,000 JURONG SHIPYARD LTD ........................ 227,948 101,000 KAMIGUMI CO LTD ............................ 920,817 1,124,000 oKAWASAKI KISEN KAISHA LTD .................. 3,791,577 9,000 KON NEDLLOYD NV ............................ 207,205 6,000 LAIDLAW, INC (CLASS A) ..................... 61,067 340,000 LAIDLAW, INC (CLASS B) ..................... 3,448,047 362,300 oLANDSTAR SYSTEM, INC ....................... 10,506,700 1,000 oLAURITZEN J. HOLDINGS (CLASS B) ............ 115,079 98,000 oM.S. CARRIERS, INC ......................... 2,009,000 476,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) ... 1,478,377 125,900 MITSUBISHI WAREHOUSE & TRANSPORTATION CO LTD 2,249,747 342,960 oMITSUI ENGINEERING & SHIP BUILDING CO LTD .. 1,044,339 1,557,080 oMITSUI OSK LINES LTD ....................... 5,366,049 1,043,000 MITSUI SOKO ................................ 9,413,940 595,000 oMOSVOLD SHIPPING LTD ....................... 641,105 See notes to financial statements. -44- SHARES VALUE ------ ----- TRUCKERS & SHIPPING--(Continued) 17,142 oNCL HOLDINGS AS ............................ $ 39,051 199,000 NEPTUNE ORIENT LINES LTD ................... 208,657 498,840 NIPPON YUSEN K.K. .......................... 2,883,384 64,720 OCEAN GROUP PLC ............................ 459,568 1,175,300 oOMI, INC ................................... 10,136,962 449,660 OVERSEAS SHIPHOLDING GROUP, INC ............ 8,150,087 641,000 PARK MAY BERHAD ............................ 1,361,478 244,512 PENINSULAR & ORIENTAL STEAM NAVIGATION CO .. 1,846,424 210,650 PITTSTON BURLINGTON GROUP CO ............... 4,555,306 116,750 ROADWAY EXPRESS, INC ....................... 1,649,093 771,552 RYDER SYSTEMS, INC ......................... 21,699,900 122,000 SAFMARINE & RENNIES HOLDINGS LTD ........... 359,196 1,005,000 SEINO TRANSPORTATION CO LTD ................ 15,851,272 249,000 SENKO CO LTD ............................... 1,541,420 300 SHURGARD STORAGE CENTERS, INC .............. 7,575 37,254 oSOCIETE ANOMYNE DE GERANCE & D'ARMENENT .... 1,099,899 273,200 oSWIFT TRANSPORTATION CO, INC ............... 5,224,950 2,235,000 oTNT FINANCE LTD ............................ 2,515,610 61,700 TRANSPORTATION DEVELOPMENT GROUP PLC ....... 188,862 32,000 TRANSPORT MARITIMA MEXICO SERIES L ......... 237,677 32,824 TRENCOR LTD ................................ 174,333 524,100 WERNER ENTERPRISES, INC .................... 13,626,600 9,500 XTRA CORP .................................. 420,375 697,006 YAMATO TRANSPORT CO LTD .................... 8,197,438 192,900 oYELLOW CORP ................................ 2,555,925 -------------- 229,791,358 -------------- UTILITIES--ELECTRIC--3.89% 60,200 oAES CORP ................................... 1,700,650 1,402,600 ALLEGHENY POWER SYSTEMS, INC ............... 43,305,275 1,576,497 AMERICAN ELECTRIC POWER CO, INC ............ 67,198,184 1,041,900 ATLANTIC ENERGY, INC ....................... 19,014,675 1,150,524 BALTIMORE GAS & ELECTRIC CO ................ 32,646,118 395,350 BLACK HILLS CORP ........................... 9,834,331 715,986 BOSTON EDISON CO ........................... 18,257,643 1,248,536 CAROLINA POWER & LIGHT CO .................. 47,444,368 1,759,659 CENTERIOR ENERGY CORP ...................... 12,977,485 1,608,300 CENTRAL & SOUTH WEST CORP .................. 46,640,700 66,800 CENTRAL HUDSON GAS & ELECTRIC CORP ......... 2,087,500 1,134,364 CENTRAL LOUISIANA ELECTRIC, INC ............ 30,202,441 297,938 CENTRAL MAINE POWER CO ..................... 4,320,101 66,000 CHILECTRA S.A. ADR ......................... 3,663,000 78,200 CHILGENER S.A. ADR ......................... 1,876,800 860,400 CHINA LIGHT & POWER CO LTD ................. 3,901,422 57,200 CILCORP, INC ............................... 2,445,300 1,301,398 CINERGY CORP ............................... 41,644,736 434,909 CIPSCO, INC ................................ 16,798,360 339,861 oCITIZENS UTILITIES CO (CLASS B) ............ 3,950,884 2,303,900 CMS ENERGY CORP ............................ 71,132,912 2,986,800 CONSOLIDATED EDISON CO OF NEW YORK, INC .... 87,363,900 22,488,075 CONSOLIDATED ELECTRIC POWER ASIA LTD ....... 37,185,849 638,600 DELMARVA POWER & LIGHT CO .................. 13,410,600 1,293,500 DOMINION RESOURCES, INC .................... 51,740,000 629,550 DPL, INC ................................... 15,345,281 840,093 DQE, INC ................................... 23,102,557 1,459,318 DTE ENERGY CO .............................. 45,056,443 1,568,600 DUKE POWER CO .............................. 80,390,750 86,240 EAST MIDLANDS ELECTRICITY PLC .............. 698,138 527,100 EASTERN UTILITIES ASSOCIATION CO ........... 10,344,337 4,273,910 EDISON INTERNATIONAL CO .................... 75,327,663 2,089,000 EDISON ..................................... 12,598,759 42,714 xoEL PASO ELECTRIC CO ........................ 256,284 79,451 ELECTRABEL NV .............................. 17,066,721 2,000 ELECTRABEL S.A. VVPR STRIP ................. 2,042 9,977,766 ELECTROBRAS S.A. ........................... 2,682,997 514,840 EMPRESA NACIONAL DE ELECTRIDAD S.A. ........ 32,081,744 270,000 EMPRESA NACIONAL DE ELECTRIDAD S.A. ADR .... 5,805,000 129,000 ENERSIS S.A. ADR ........................... 3,999,000 868,290 ENOVA CORP ................................. 20,079,206 2,008,704 ENTERGY CORP NEW ........................... 56,996,976 634,339 FLORIDA PROGRESS CORP ...................... 22,043,280 1,318,248 FPL GROUP, INC ............................. 60,639,408 1,412,000 GENERAL PUBLIC UTILITIES CORP .............. 49,773,000 382,491 HAWAIIAN ELECTRIC INDUSTRIES, INC .......... 13,578,430 25 oHONG KONG ELECTRIC CO LTD .................. 76 2,812,900 HOUSTON INDUSTRIES, INC .................... 69,267,662 250,000 oHUANENG POWER INTERNATIONAL, INC SERIES N ADR .............................. 4,468,750 2,077,397 IBERDROLA 1 S.A. ........................... 21,305,129 481,200 IDAHO POWER CO ............................. 14,977,350 1,401,952 ILLINOVA CORP .............................. 40,306,120 691,500 IPALCO ENTERPRISES, INC .................... 18,151,875 1,500,914 KANSAI ELECTRIC POWER CO, INC .............. 34,346,420 582,834 KANSAS CITY POWER & LIGHT CO ............... 16,027,935 257,000 KOREA ELECTRIC POWER CORP .................. 8,809,291 18,300 KU ENERGY CORP ............................. 546,712 78,857 LONDON ELECTRICITY PLC ..................... 767,025 1,024,600 LONG ISLAND LIGHTING CO .................... 17,162,050 777,200 LOUISVILLE GAS & ELECTRIC ENERGY CORP ...... 17,778,450 307,820 oMANILA ELECTRIC CO SERIES B ................ 3,230,940 113,500 MDU RESOURCES GROUP, INC ................... 2,440,250 8,927 oMELCO INTERNATIONAL DEVELOPMENT ............ 2,479 74,900 MIDAMERICAN ENERGY CO ...................... 1,292,025 405,402 MINNESOTA POWER & LIGHT CO ................. 11,756,658 1,361,206 MONTANA POWER CO ........................... 30,286,833 686,795 NATIONAL GRID GROUP PLC .................... 1,819,477 2,958,900 oNATIONAL POWER PLC ......................... 23,907,201 1,736,900 NEVADA POWER CO ............................ 38,211,800 646,743 NEW ENGLAND ELECTRIC SYSTEMS CO ............ 23,525,276 980,686 NEW YORK STATE ELECTRIC & GAS CORP ......... 23,904,221 1,110,000 oNIAGARA MOHAWK POWER CORP .................. 8,602,500 639,379 NIPSCO INDUSTRIES, INC ..................... 25,735,004 682,700 NORTHEAST UTILITIES CO ..................... 9,131,112 44,231 NORTHERN ELECTRIC PLC ...................... 391,738 588,200 NORTHERN STATES POWER CO ................... 29,042,375 1,930,492 OHIO EDISON CO ............................. 42,229,512 835,329 OKLAHOMA GAS & ELECTRIC CO ................. 33,099,911 189,900 ORANGE & ROCKLAND UTILITY, INC ............. 6,978,825 12,000 OESTERREICHISCHE ELEKTRIZITAETSWIRSCHAFTS AG. 915,734 4,412,540 PACIFIC GAS & ELECTRIC CO .................. 102,591,555 2,131,300 PACIFICORP ................................. 47,421,425 4,698,702 oPAUL F LUZ S.A. ............................ 430,515 2,182,100 PECO ENERGY CO ............................. 56,734,600 920,800 PINNACLE WEST CAPITAL CORP ................. 27,969,300 1,323,000 PORTLAND GENERAL CORP ...................... 40,847,625 634,700 POTOMAC ELECTRIC POWER CO .................. 16,819,550 800,000 POWERGEN PLC ............................... 5,854,718 1,022,772 PP&L RESOURCES, INC ........................ 24,162,988 1,118,692 PUBLIC SERVICE CO OF COLORADO .............. 41,111,931 1,453,662 PUBLIC SERVICE CO OF NEW MEXICO ............ 29,800,071 2,304,246 PUBLIC SERVICE ENTERPRISE GROUP, INC ....... 63,078,734 1,086,903 PUGET SOUND POWER & LIGHT CO ............... 26,357,397 See notes to financial statements. -45- SHARES VALUE ------ ----- UTILITIES--ELECTRIC--(Continued) 533,920 oRHEIN-WESTFALEN ELECTRIC AG.(STAMM) ........ $ 20,799,803 700 ROCHESTER GAS & ELECTRIC CORP .............. 15,050 670,900 SCANA CORP ................................. 18,869,062 391,200 SCOTTISH POWER PLC ......................... 1,847,853 560,503 SEVILLANA DE ELECTRICIDAD .................. 5,158,208 178,544 SHUN TAK ENTERPRISES CORP LTD .............. 109,560 87,500 SIERRA PACIFIC RESOURCES ................... 2,220,312 4,840,762 SOUTHERN CO ................................ 119,203,764 55,800 SOUTHERN ELECTRICITY PLC ................... 619,052 447,083 SOUTHWESTERN PUBLIC SERVICE CO ............. 14,586,082 1,038,952 TECO ENERGY, INC ........................... 26,233,538 1,200,000 TENAGA NASIONAL BERHAD ..................... 5,049,487 1,662,407 TEXAS UTILITIES CO ......................... 71,067,899 931,603 TOHOKU ELECTRIC POWER CO, INC .............. 20,808,890 632,574 TOKYO ELECTRIC POWER CO, INC ............... 16,032,752 19,638 TRACTEBEL NV ............................... 8,038,782 66,000 TRANSALTA CORP ............................. 712,821 18,120 oTUCSON ELECTRIC POWER CO. .................. 244,620 2,450,270 UNICOM CORP ................................ 68,301,276 807,300 UNION ELECTRIC CO .......................... 32,493,825 100,000 UNION ELECTRICA FENOSA S.A. ................ 642,637 183,400 UNITED ILLUMINATING CO ..................... 6,854,575 1,583,765 UTILICORP UNITED, INC ...................... 43,751,508 839,230 VEBA AG. ................................... 44,585,823 24,346 oVIAG AG. ................................... 9,708,332 797,400 WASHINGTON WATER POWER CO .................. 14,851,575 819,129 WESTERN RESOURCES, INC ..................... 24,471,478 815,681 WISCONSIN ENERGY CORP ...................... 23,552,788 626,000 WPL HOLDINGS INC ........................... 20,579,750 856,400 WPS RESOURCES CORP ......................... 27,083,650 -------------- 2,930,705,127 -------------- UTILITIES--GAS & PIPELINE--0.92% 91,000 AGL RESOURCES, INC ......................... 1,717,625 276,500 oAMERICAN STANDARD COS, INC ................. 9,124,500 309,076 ATMOS ENERGY CORP .......................... 9,465,452 4,220,400 BRITISH GAS CORP PLC ....................... 11,803,783 352,350 BROOKLYN UNION GAS CO ...................... 9,601,537 785,100 CABOT OIL & GAS CORP (CLASS A) ............. 13,641,112 64,200 oCALENERGY, INC ............................. 1,637,100 87,000 CALOR GROUP PLC ............................ 328,488 754,037 COASTAL CORP ............................... 31,481,044 412,700 COLUMBIA GAS SYSTEMS, INC .................. 21,511,987 673,200 CONSOLIDATED NATURAL GAS CO ................ 35,174,700 213,338 EASTERN ENTERPRISES CO ..................... 7,093,488 303,645 EL PASO NATURAL GAS CO NEW ................. 11,690,332 6,287 oENERGIA E INDUSTRIAS ARAGONESAS S.A. ....... 30,939 1,761,300 ENRON CORP ................................. 71,993,137 633,200 ENSERCH CORP ............................... 13,772,100 490,675 EQUITABLE RESOURCES, INC ................... 13,861,568 65,041 GAS NATURAL SDG S.A. ....................... 13,645,153 48,032 oGENERALE DES EAUX .......................... 5,364,570 1,405,936 HONG KONG & CHINA GAS CO LTD ............... 2,234,015 117,161 oHONG KONG & CHINA GAS CO LTD WTS 11/30/97 .. 30,649 260,300 oIONICS, INC ................................ 12,234,100 2,097 IPL ENERGY, INC ............................ 52,666 77,181 IPL ENERGY, INC (U.S.) ..................... 1,948,820 1,990,000 oITALGAS S.P.A. ............................. 7,428,073 21,753 LYONNAISE DES EAUX S.A. .................... 2,077,148 770,376 MCN CORP ................................... 18,777,915 119,000 NATIONAL FUEL GAS CO ....................... 4,284,000 68,200 NEW JERSEY RESOURCES CORP .................. 1,960,750 601,640 NICOR, INC ................................. 17,071,535 18,500 NORAM ENERGY CORP .......................... 201,187 11,600 NORTHWEST NATURAL GAS CO ................... 406,000 223,802 ONEOK, INC ................................. 5,595,050 1,038,925 OSAKA GAS CO LTD ........................... 3,798,223 811,740 PACIFIC ENTERPRISES, INC ................... 24,047,797 1,456,383 PANENERGY CORP ............................. 47,878,591 289,215 PEOPLES ENERGY CORP ........................ 9,688,702 9,000 PRIMAGAZ ................................... 998,194 521,456 oPRIMARK CORP ............................... 17,012,502 654,640 QUESTAR CORP ............................... 22,257,760 678,700 SONAT, INC ................................. 30,541,500 30,500 SOUTHWESTERN ENERGY CO ..................... 430,812 1,547,688 TENNECO, INC ............................... 79,125,549 1,152,766 TOKYO GAS CO LTD ........................... 4,203,907 258,600 TRANS CANADA PIPELINES LTD ................. 3,834,406 15,000 TRANS CANADA PIPELINES LTD (U.S.) .......... 221,250 133,000 TRANSPORTADORA DE GAS DEL SUR S.A. SERIES B 320,979 324 UGI CORP NEW ............................... 7,128 428,300 VALERO ENERGY CORP ......................... 10,707,500 29,800 WASHINGTON ENERGY CO ....................... 588,550 643,600 WASHINGTON GAS LIGHT CO .................... 14,159,200 115,000 WESTCOAST ENERGY, INC ...................... 1,713,589 61,600 WESTERN GAS RESOURCES, INC ................. 1,001,000 988,465 WILLIAMS COS, INC .......................... 48,929,017 508,700 YANKEE ENERGY SYSTEMS, INC ................. 11,064,225 -------------- 689,770,904 -------------- UTILITIES--OTHER--0.02% 81,948 AGUAS DE BARCELONA S.A. .................... 3,042,175 1,638 oAGUAS DE BARCELONA S.A. NEW ................ 60,807 109,000 oANGLIAN WATER PLC .......................... 1,004,329 439,936 oAUTOPISTAS CONCESIONARIA ESPANOLA S.A. ..... 5,112,280 57,000 oHYDER PLC .................................. 632,365 79,625 oSOUTHERN WATER PLC ......................... 1,239,687 186,471 THAMES WATER PLC ........................... 1,642,818 192,701 UNITED UTILITIES PLC ....................... 1,622,849 -------------- 14,357,310 -------------- UTILITIES--TELEPHONE--5.74% 36,600 oADTRAN, INC ................................ 2,594,025 1,438,474 ALLTEL CORP ................................ 44,233,075 131,300 oAMERICAN MOBILE SATELLITE CORP ............. 2,035,150 5,043,248 AMERITECH CORP NEW ......................... 299,442,850 14,259,503 AT & T CORP ................................ 884,089,186 442,100 BCE, INC ................................... 17,399,771 15,621 BCE, INC (U.S.) ............................ 617,029 3,884,144 BELL ATLANTIC CORP ......................... 247,614,180 8,863,210 BELLSOUTH CORP ............................. 375,578,523 10,897,410 oBRITISH TELECOMMUNICATIONS PLC ............. 58,586,088 16,500 oC-TEC CORP ................................. 490,875 3,692,775 CABLE & WIRELESS PLC ....................... 24,443,171 285,883 oCELLULAR COMMUNICATIONS OF PUERTO RICO, INC 9,291,197 371,100 CINCINNATI BELL, INC ....................... 19,343,587 15,500 oCOMMNET CELLULAR, INC ...................... 465,000 339,900 COMPANIA TELECOM DE CHILE S.A. ADR ......... 33,352,687 1,026 DDI CORP ................................... 8,942,464 1,718,900 FRONTIER CORP .............................. 52,641,312 661,337 oGLENAYRE TECHNOLOGIES, INC ................. 33,066,850 2,650 GN STORE NORD AS ........................... 234,932 8,758,912 GTE CORP ................................... 391,961,312 400 HONG KONG TELECOMMUNICATIONS LTD ........... 718 921,600 KONINKLIJKE PTT NEDERLAND .................. 34,877,183 757,100 LINCOLN TELECOMMUNICATIONS CO .............. 12,397,512 See notes to financial statements. -46- SHARES VALUE ------ ----- UTILITIES--TELEPHONE--(Continued) 6,147,300 MCI COMMUNICATIONS CORP .................... $157,524,562 537,700 oMOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP 7,863,862 884,900 oNEXTEL COMMUNICATIONS, INC (CLASS A) ....... 16,868,406 356 NIPPON TELEGRAPH & TELEPHONE CORP .......... 2,635,469 3,870,444 NYNEX CORP ................................. 183,846,090 3,893,215 PACIFIC TELESIS GROUP CO ................... 131,396,006 100,000 PHILIPPINE LONG DISTANCE TELEPHONE CO ADR .. 5,812,500 204,000 PORTUGAL TELECOM S.A. ...................... 5,328,791 8,736,980 SBC COMMUNICATIONS, INC .................... 430,296,265 611,900 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP 25,699,800 3,188,219 SPRINT CORP ................................ 133,905,198 540,000 STET-SOCIETA FINANSIARIA TELEFONICA ........ 1,417,122 210,000 STET-SOCIETA FINANZIARIA TELEFONICA ........ 709,245 276,000 oTECHNOLOGY RESOURCES INDUSTRIES BERHAD ..... 962,288 5,575,000 TELCOM ITALIA MOBILE DRNC .................. 7,596,941 17,345,026 TELECOM ITALIA MOBILE S.P.A. ............... 38,733,177 205,900 TELE DANMARK AS (CLASS B) .................. 10,355,526 1,680,000 oTELEBRAS S.A. .............................. 98,715 18,100,760 TELECOM CORP OF NEW ZEALAND ................ 75,893,083 17,215,026 TELECOM ITALIA S.P.A. ...................... 36,983,728 5,425,000 TELECOM ITALIA S.P.A. DI RISP .............. 9,355,629 1,505,441 TELEFONICA DE ARGENTINA S.A. (CLASS B) ..... 4,462,352 2,102,959 TELEFONICA DE ESPANA S.A. .................. 38,706,306 4,085,500 TELEFONOS DE MEXICO S.A. SERIES L .......... 6,920,550 1,509,000 TELEKOM MALAYSIA BERHAD .................... 13,425,145 312,485 TELEPHONE & DATA SYSTEMS, INC .............. 14,061,825 56,000 TELUS CORP ................................. 754,484 1,000,000 oTHAI TELEPHONE & TELECOM LTD (FR) .......... 2,145,665 92,100 oU.S. LONG DISTANCE CORP .................... 3,269,550 4,180,646 U.S. WEST COMMUNICATIONS GROUP, INC ........ 133,258,091 3,920,046 oU.S. WEST MEDIA GROUP, INC ................. 71,540,839 2,285,801 VODAFONE GROUP PLC ......................... 8,506,267 3,391,413 oWORLDCOM, INC .............................. 187,799,494 -------------- 4,321,831,648 -------------- TOTAL COMMON STOCK (Cost $44,976,711,977) ...................... 72,727,993,981 -------------- PRINCIPAL --------- SHORT TERM INVESTMENTS--4.55% BANK NOTES--0.27% BANK OF AMERICA $25,000,000 5.420%, 11/21/96 ........................... 24,968,722 FIRST NATIONAL BANK OF CHICAGO 20,000,000 5.510%, 11/07/96 ........................... 19,986,362 20,000,000 5.450%, 11/25/96 ........................... 19,979,106 NATIONS BANK OF TEXAS 25,000,000 5.420%, 08/09/96 ........................... 24,999,282 NATIONSBANK SOUTH 25,000,000 5.350%, 07/03/96 ........................... 24,999,167 15,000,000 5.430%, 11/13/96 ........................... 14,983,810 17,000,000 5.530%, 12/09/96 ........................... 16,980,016 NATIONSBANK, N.A. 29,000,000 5.430%, 10/15/96 ........................... 28,978,325 25,000,000 5.660%, 04/30/97 ........................... 24,905,813 -------------- 200,780,603 -------------- BANKERS ACCEPTANCES--0.13% BANK OF BOSTON 5,000,000 5.310%, 10/08/96 ........................... 4,924,408 BANK OF MONTREAL $10,000,000 5.300%, 07/05/96 ........................... 9,992,211 8,000,000 5.300%, 08/05/96 ........................... 7,956,417 5,000,000 5.300%, 08/29/96 ........................... 4,954,369 27,000,000 5.280%, 09/19/96 ........................... 26,664,922 DEUTSCHE BANK 10,000,000 5.360%, 11/25/96 ........................... 9,775,460 NATIONS BANK OF TEXAS 5,000,000 5.370%, 08/20/96 ........................... 4,961,888 5,000,000 5.300%, 11/22/96 ........................... 4,889,997 NATIONSBANK SOUTH 13,000,000 5.350%, 07/19/96 ........................... 12,963,216 WACHOVIA BANK OF NORTH CAROLINA 12,000,000 5.290%, 08/07/96 ........................... 11,932,020 -------------- 99,014,908 -------------- CERTIFICATES OF DEPOSIT--0.21% CANADIAN IMPERIAL BANK OF COMMERCE 25,000,000 5.300%, 08/28/96 ........................... 24,991,817 FIRST ALABAMA BANK 15,000,000 5.370%, 08/05/96 ........................... 14,998,856 MELLON BANK, N.A. 25,000,000 5.400%, 10/22/96 ........................... 24,983,912 NATIONSBANK, N.A. 16,000,000 5.400%, 08/12/96 ........................... 15,999,083 ROYAL BANK OF CANADA 35,000,000 5.395%, 10/22/96 ........................... 34,976,928 30,000,000 5.420%, 10/24/96 ........................... 29,982,088 SOCIETE GENERALE 10,000,000 5.850%, 05/08/97 ........................... 9,970,972 -------------- 155,903,656 -------------- COMMERCIAL PAPER--2.91% AT & T CORP 35,000,000 5.250%, 07/09/96 ........................... 34,951,068 AT & T CAPITAL CORP 35,000,000 5.320%, 08/06/96 ........................... 34,802,559 ABBOTT LABORATORIES 25,000,000 5.300%, 07/22/96 ........................... 24,916,028 AMERICAN BRANDS, INC 15,000,000 # 5.280%, 07/29/96 ........................... 14,933,616 AMERICAN EXPRESS CREDIT CORP 5,500,000 5.300%, 07/01/96 ........................... 5,499,071 40,000,000 5.300%, 07/03/96 ........................... 39,981,001 50,000,000 5.270%, 08/26/96 ........................... 49,564,763 AMERICAN HOME PRODUCTS 20,000,000 # 5.350%, 07/12/96 ........................... 19,962,388 22,500,000 # 5.300%, 07/17/96 ........................... 22,440,956 17,000,000 # 5.400%, 07/24/96 ........................... 16,937,203 15,000,000 # 5.400%, 08/14/96 ........................... 14,896,008 AMRO NORTH AMERICA FINANCE, INC 20,000,000 5.300%, 11/12/96 ........................... 19,584,232 15,000,000 5.360%, 12/06/96 ........................... 14,628,800 ARIZONA PUBLIC SERVICE CO 15,000,000 5.480%, 07/09/96 ........................... 14,978,670 12,200,000 5.520%, 07/11/96 ........................... 12,178,849 ASSET SECURITIZATION COOPERATIVE CORP 10,000,000 # 5.300%, 07/18/96 ........................... 9,972,500 18,000,000 # 5.410%, 09/18/96 ........................... 17,779,090 ASSOCIATES CORP OF NORTH AMERICA 25,000,000 5.270%, 07/25/96 ........................... 24,904,569 BANKERS TRUST NEW YORK CORP 25,000,000 5.290%, 10/25/96 ........................... 24,549,527 BENEFICIAL CORP 25,000,000 5.260%, 07/22/96 ........................... 24,915,973 See notes to financial statements. -47- PRINCIPAL VALUE --------- ----- COMMERCIAL PAPER--(Continued) BETA FINANCE CORP $18,000,000 # 5.270%, 07/26/96 ........................... $17,928,550 6,500,000 # 5.420%, 09/13/96 ........................... 6,425,213 6,500,000 # 5.300%, 10/25/96 ........................... 6,382,880 BURLINGTON NORTHERN SANTA FE 19,500,000 # 5.470%, 07/24/96 ........................... 19,427,340 CANADIAN IMPERIAL HOLDINGS, INC 30,000,000 5.320%, 08/02/96 ........................... 29,849,032 CATERPILLAR FINANCIAL SERVICES CORP 20,000,000 5.300%, 10/03/96 ........................... 19,707,344 CIESCO LP 40,000,000 5.350%, 07/03/96 ........................... 39,981,112 9,000,000 5.285%, 07/22/96 ........................... 8,969,762 5,000,000 5.280%, 07/23/96 ........................... 4,982,438 25,312,000 5.270%, 08/02/96 ........................... 25,184,553 11,000,000 5.300%, 08/23/96 ........................... 10,909,298 CIT GROUP HOLDINGS INC 17,300,000 5.290%, 07/15/96 ........................... 17,260,315 COCA-COLA ENTERPRISES, INC 25,000,000 # 5.420%, 08/08/96 ........................... 24,851,500 25,000,000 # 5.410%, 08/13/96 ........................... 24,832,138 25,000,000 5.410%, 08/19/96 ........................... 24,809,263 COLUMBIA/HCA HEALTHCARE CORP 35,000,000 # 5.500%, 07/11/96 ........................... 34,939,283 30,000,000 # 5.550%, 08/05/96 ........................... 29,832,550 10,000,000 # 5.570%, 08/19/96 ........................... 9,922,350 COMMERZBANK U.S. FINANCE, INC 26,000,000 5.260%, 07/01/96 ........................... 25,995,551 CONAGRA, INC 20,000,000 5.570%, 07/23/96 ........................... 19,928,688 COOPER INDUSTRIES, INC 40,000,000 5.600%, 07/01/96 ........................... 39,993,676 CORPORATE ASSET FUNDING CORP, INC 30,000,000 5.330%, 07/16/96 ........................... 29,926,683 24,000,000 5.270%, 08/01/96 ........................... 23,882,812 8,000,000 5.250%, 10/25/96 ........................... 7,855,830 CSX CORP 5,500,000 5.460%, 07/16/96 ........................... 5,486,263 DAYTON HUDSON CORP 20,000,000 5.480%, 07/08/96 ........................... 19,974,700 21,000,000 5.500%, 07/10/96 ........................... 20,966,867 14,000,000 5.470%, 07/19/96 ........................... 13,958,684 EASTMAN CHEMICAL CO 10,000,000 5.540%, 07/08/96 ........................... 9,987,383 15,000,000 5.460%, 07/25/96 ........................... 14,941,775 EL PASO NATURAL GAS CO 11,500,000 5.700%, 07/01/96 ........................... 11,498,198 GENERAL ELECTRIC CAPITAL CORP 20,000,000 5.340%, 08/09/96 ........................... 19,878,067 20,000,000 5.360%, 10/07/96 ........................... 19,695,099 11,150,000 5.480%, 11/14/96 ........................... 10,914,889 GENERAL MOTORS ACCEPTANCE CORP 16,700,000 5.310%, 08/26/96 ........................... 16,553,300 8,000,000 5.500%, 02/04/96 ........................... 7,802,810 GOLDMAN SACHS GROUP, LP 30,000,000 5.370%, 07/10/96 ........................... 29,953,651 30,000,000 5.330%, 08/30/96 ........................... 29,720,658 30,000,000 5.370%, 10/15/96 ........................... 29,505,733 GTE CORP 30,000,000 5.500%, 07/05/96 ........................... 29,976,148 13,390,000 5.450%, 07/12/96 ........................... 13,364,633 HAWAIIAN ELECTRIC CO, INC 4,500,000 5.650%, 07/01/96 ........................... 4,499,282 12,250,000 5.500%, 07/16/96 ........................... 12,219,565 HEINZ (H.J.) CO $ 9,000,000 5.350%, 07/22/96 ........................... 8,969,795 10,000,000 5.350%, 07/24/96 ........................... 9,963,394 HEWLETT PACKARD CO 42,000,000 5.380%, 09/24/96 ........................... 41,445,834 HOUSEHOLD FINANCE CORP 25,000,000 5.270%, 07/25/96 ........................... 24,904,569 IBM CREDIT CORP 25,000,000 5.270%, 07/19/96 ........................... 24,927,401 MORGAN (J.P.) & CO 15,000,000 5.300%, 11/13/96 ........................... 14,685,866 MCCORMICK & CO, INC 15,000,000 5.310%, 07/11/96 ........................... 14,974,471 MCI COMMUNICATIONS CORP 35,000,000 5.310%, 07/10/96 ........................... 34,945,809 23,245,000 5.300%, 07/12/96 ........................... 23,201,853 MCKENNA TRIANGLE NATIONAL CORP 25,000,000 # 5.270%, 07/17/96 ........................... 24,935,014 20,000,000 # 5.270%, 07/19/96 ........................... 19,941,921 25,000,000 # 5.260%, 08/12/96 ........................... 24,836,055 MORGAN STANLEY GROUP, INC 22,000,000 5.600%, 07/01/96 ........................... 21,996,651 25,000,000 5.310%, 07/11/96 ........................... 24,957,452 20,000,000 5.300%, 07/15/96 ........................... 19,954,132 30,000,000 5.300%, 07/18/96 ........................... 29,917,501 NATIONAL RURAL UTILITIES COOP FINANCE 17,000,000 5.270%, 07/10/96 ........................... 16,973,641 NATIONSBANK CORP 25,000,000 5.200%, 07/08/96 ........................... 24,968,758 10,000,000 5.300%, 07/09/96 ........................... 9,986,047 NEW YORK STATE ELECTRIC & GAS CORP 13,000,000 # 5.550%, 07/08/96 ........................... 12,983,606 NORTHERN STATES POWER CO 10,000,000 5.300%, 07/30/96 ........................... 9,954,233 PHILIP MORRIS COS, INC 50,000,000 5.280%, 07/02/96 ........................... 49,983,886 25,000,000 5.370%, 09/18/96 ........................... 24,693,125 POTLATCH CORP 7,000,000 5.480%, 07/01/96 ........................... 6,998,818 PRAXAIR, INC 15,000,000 5.450%, 07/16/96 ........................... 14,962,691 QUAKER OATS CO 12,000,000 5.500%, 07/02/96 ........................... 11,996,119 23,500,000 5.570%, 07/09/96 ........................... 23,466,701 20,000,000 5.550%, 07/09/96 ........................... 19,971,638 SMITH BARNEY INC 10,000,000 5.320%, 07/01/96 ........................... 9,998,322 SOUTHWESTERN BELL CAPITAL CORP 10,000,000 5.270%, 07/30/96 ........................... 9,954,216 10,500,000 5.260%, 10/15/96 ........................... 10,326,942 TEXAS UTILITIES ELECTRIC CO 50,000,000 5.600%, 07/01/96 ........................... 49,991,890 25,000,000 5.600%, 07/01/96 ........................... 24,995,945 THE STANLEY WORKS 7,000,000 5.420%, 07/30/96 ........................... 6,968,010 12,000,000 5.290%, 08/08/96 ........................... 11,928,633 UNION OIL CO OF CALIFORNIA 15,000,000 # 5.470%, 07/12/96 ........................... 14,971,600 WALT DISNEY CO 32,000,000 5.240%, 08/23/96 ........................... 31,736,035 20,000,000 # 5.230%, 12/24/96 ........................... 19,448,923 20,000,000 # 5.230%, 12/27/96 ........................... 19,435,545 WESTERN RESOURCES CO 25,000,000 5.450%, 07/09/96 ........................... 24,964,409 See notes to financial statements. -48- PRINCIPAL VALUE --------- ----- COMMERCIAL PAPER--(Continued) WHIRLPOOL FINANCE $33,500,000 5.350%, 08/07/96 ........................... $ 33,304,119 40,000,000 5.400%, 08/23/96 ........................... 39,667,288 XEROX CORP 25,000,000 5.350%, 08/12/96 ........................... 24,836,180 -------------- 2,191,077,775 -------------- GOVERNMENT AGENCIES--0.60% FEDERAL HOME LOAN BANK 20,000,000 5.250%, 09/04/96 ........................... 19,805,611 7,000,000 5.300%, 09/11/96 ........................... 6,924,769 21,000,000 5.320%, 09/18/96 ........................... 20,752,690 35,830,000 5.230%, 10/21/96 ........................... 35,232,644 FEDERAL HOME LOAN MORTGAGE CORP 17,754,000 5.285%, 07/15/96 ........................... 17,715,030 22,000,000 5.250%, 08/05/96 ........................... 21,883,804 15,320,000 5.300%, 08/06/96 ........................... 15,236,880 25,000,000 5.300%, 08/08/96 ........................... 24,857,028 33,000,000 5.240%, 08/13/96 ........................... 32,786,965 24,316,000 5.210%, 08/26/96 ........................... 24,112,624 49,800,000 5.200%, 08/27/96 ........................... 49,376,146 23,896,000 5.330%, 09/06/96 ........................... 23,656,813 9,000,000 5.340%, 09/13/96 ........................... 8,900,645 50,000,000 5.340%, 09/16/96 ........................... 49,425,942 24,000,000 5.320%, 09/20/96 ........................... 23,710,292 FEDERAL NATIONAL MORTGAGE ASSOCIATION 25,000,000 5.270%, 07/19/96 ........................... 24,930,464 30,000,000 5.320%, 09/11/96 ........................... 29,677,615 25,000,000 5.090%, 09/13/96 ........................... 24,723,666 -------------- ` 453,709,628 -------------- MEDIUM TERM BONDS--0.14% BENEFICIAL CORP 10,000,000 6.030%, 07/01/97 ........................... 10,006,018 BETA FINANCE CORP (THE) 25,000,000 5.900%, 05/12/97 ........................... 24,985,000 CIT GROUP HOLDINGS INC 5,000,000 8.750%, 07/01/97 ........................... 5,132,807 FEDERAL HOME LOAN MORTGAGE CORP 20,000,000 5.470%, 04/01/97 ........................... 19,930,152 GENERAL MOTORS ACCEPTANCE CORP 30,000,000 8.125%, 01/27/97 ........................... 30,419,397 NORDSTROM CREDIT INC 11,000,000 8.050%, 08/28/96 ........................... 11,071,193 -------------- 101,544,567 -------------- VARIABLE RATE NOTES--0.29% AMERICAN EXPRESS CENTURION BANK 25,000,000 5.466%, 05/16/97 ........................... 24,990,000 20,000,000 5.450%, 06/27/97 ........................... 19,992,000 BETA FINANCE CORP 25,000,000 # 5.456%, 05/15/97 ........................... 24,987,500 CIT GROUP HOLDINGS INC 15,000,000 5.592%, 02/28/97 ........................... 15,012,000 FORD MOTOR CREDIT CO 15,000,000 5.813%, 09/15/96 ........................... 14,998,500 20,000,000 5.638%, 02/18/97 ........................... 20,026,000 GENERAL MOTORS ACCEPTANCE CORP 20,000,000 5.650%, 06/02/97 ........................... 20,000,000 HOUSEHOLD FINANCE CORP 25,000,000 5.472%, 05/23/97 ........................... 24,992,500 MERRILL LYNCH & CO, INC 20,000,000 5.713%, 06/16/97 ........................... 20,000,000 PHH CORP $25,000,000 5.465%, 06/11/97 ........................... 24,995,000 STUDENT LOAN MARKETING ASSOCIATION 10,000,000 5.370%, 10/04/96 ........................... 10,000,000 -------------- 219,993,500 -------------- TOTAL SHORT TERM INVESTMENTS (Cost $ 3,423,226,322) ........................ 3,422,024,637 TIME DEPOSITS--0.03% CANADIAN IMPERIAL BANK OF COMMERCE 25,000,000 5.500%, 07/01/96 ........................... 25,000,000 -------------- TOTAL TIME DEPOSITS (Cost $ 25,000,000) ........................... 25,000,000 -------------- ROUNDING ..................................... 1,297 -------------- TOTAL PORTFOLIO (Cost $ 48,622,753,846) ....................... $76,423,506,109 =============== - ---------------- o NON-INCOME PRODUCING x IN BANKRUPTCY # RESTRICTED See notes to financial statements. -49- COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES -- STOCK ACCOUNT (UNAUDITED) JANUARY 1, 1996 -- JUNE 30, 1996
PURCHASES SALES SHARES AT VALUE AT VALUE AT ---------- ----------- REALIZED DIVIDEND JUNE 30, JUNE 30, ISSUE DECEMBER 31, 1995 COST PROCEEDS GAIN (LOSS) INCOME 1996 1996 ----- ----------------- ---------- ----------- ---------- ---------- ---------- ----------- ACMA LTD $ 54,912,778 -- -- -- -- 16,526,400 $ 48,238,577 ACMA LANDIS HOLDINGS LTD 933,240 -- $ 643,765 $(1,777,403) $ 51,824 * * ##AFFYMETRIX, INC ** $22,621,095 1,230 -- -- 1,507,991 22,996,862 AFFYMETRIX, INC SERIES A SR CV 6,428,565 -- 14,620,695 9,620,700 -- * * ~APACHE CORP 115,819,596 -- 5,445 899 274,826 * * AYDIN CORP 4,486,831 -- 416,937 (112,238) -- 268,250 3,621,375 CENTRAL LOUISIANA ELECTRIC, INC ** 6,082,584 -- -- 436,730 226,200 30,202,441 DARWIN MOLECULAR CORP SERIES B ** 5,999,999 -- -- -- 5,454,545 5,999,999 DUPLEX PRODUCTS, INC 3,540,062 -- 770,349 (685,745) -- * * FMC CORP (NEW) 160,458,368 48,576 4,678,536 1,302,379 -- 2,308,767 150,647,046 GENERAL SIGNAL CORP 100,122,925 -- 5,339,321 725,679 1,459,440 2,947,000 111,617,625 #+GENSET S.A. ** -- -- -- -- 404,700 23,189,514 GRACE (W.R.) & CO 427,905,362 -- 177,809,344 92,087,269 799,325 * * INNOVATIVE INTERNATIONAL HOLDINGS LTD 10,878,030 -- -- -- 229,521 36,972,000 13,134,728 LUKS INDUSTRIAL CO 5,122,186 -- 1,173,385 (1,342,133) -- * * MALLINCKRODT GROUP, INC 156,203,343 54,590 7,867,241 3,259,063 1,271,728 4,102,550 159,486,631 NEWPORT CORP 3,596,125 -- 200,840 (208,889) -- * * PICCADILLY CAFETERIA 6,242,108 158,738 1,661,726 (141,359) 79,891 * * SOUTH CHINA HOLDINGS LTD 6,989,094 -- -- -- 334,501 32,360,000 6,688,734 SOUTH CHINA INDUSTRIES LTD 6,394,504 -- -- -- 840,614 52,046,000 6,858,086 SPAGHETTI WAREHOUSE 1,625,500 -- -- -- -- 325,100 1,747,412 STEWART INFORMATION SERVICES CORP 7,316,450 -- 2,368,011 1,026,908 33,918 * * TPI ENTERPRISES, INC 3,459,375 -- -- -- -- 1,107,000 3,978,281 -------------- ----------- ------------ ------------ ---------- ------------ TOTAL AFFILIATED TRANSACTIONS $1,082,434,442 $34,965,582 $217,556,825 $103,755,130 $5,812,318 $588,407,311 ============== =========== ============ ============ ========== ============ **Not an Affiliate as of December 31, 1995 *Not an Affiliate as of June 30, 1996 +Stock Split ##Series A shares converted to common shares company went public. #Outstanding shares previously unavailable. ~Shares outstanding increased
See notes to financial statements. -50- - ---------- | COLLEGE RETIREMENT EQUITIES FUND CREF | 730 Third Avenue | New York, NY 10017-3206 - ---------- | 212/490-9000 [LOGO] Printed on recycled paper SCAR--01S--6/96 EX-27 2 FDS
6 THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM THE SEMI-ANNUAL REPORT AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL STATEMENTS. 0000777535 COLLEGE RETIREMENT EQUITIES FUND 1 STOCK ACCOUNT 1 6-MOS DEC-31-1996 JAN-01-1996 JUN-30-1996 48,622,753,846 76,423,506,109 519,858,269 0 51,009,661 76,994,374,039 410,519,138 0 1,317,097,091 1,727,616,229 0 0 630,560,599 632,802,980 0 0 0 0 0 75,266,757,810 755,485,242 36,749,687 0 (108,585,535) 683,649,394 3,481,249,605 2,103,747,524 6,268,646,523 0 0 0 0 12,402,199 (14,644,580) 0 5,896,473,925 0 0 0 0 30,024,650 0 108,585,535 72,771,774,251 91.460 .903 7.385 0 0 0 99.748 .150 0 0
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