-----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, AEfvDICxK2iWZMuPrTowz5mYiHzW8K7vkR3BePuHWAMbqa0gDrMRj2g1xFK4YnpR LoiyvmJL7WlbylS8pqlCDw== 0000930413-97-000434.txt : 19970827 0000930413-97-000434.hdr.sgml : 19970827 ACCESSION NUMBER: 0000930413-97-000434 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 9 CONFORMED PERIOD OF REPORT: 19970630 FILED AS OF DATE: 19970826 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: COLLEGE RETIREMENT EQUITIES FUND CENTRAL INDEX KEY: 0000777535 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 136022042 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-04415 FILM NUMBER: 97669919 BUSINESS ADDRESS: STREET 1: 730 THIRD AVE CITY: NEW YORK STATE: NY ZIP: 10017 BUSINESS PHONE: 2129164905 MAIL ADDRESS: STREET 1: 730 THIRD AVE CITY: NEW YORK STATE: NY ZIP: 10017 N-30D 1 SEMI-ANNUAL REPORT SEMI-ANNUAL REPORT ================================================================================ COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT FINANCIAL STATEMENTS (UNAUDITED) INCLUDING STATEMENT OF INVESTMENTS JUNE 30, 1997 - -------------------------------------------------------------------------------- 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 seven other CREF Accounts. Annual reports are also provided each year toward the end of February. - -------------------------------------------------------------------------------- CREF COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT INDEX TO UNAUDITED FINANCIAL STATEMENTS JUNE 30, 1997 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.............................................. 9 -1- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 1997
ASSETS Portfolio investments, at cost............................................ $55,269,514,978 Net unrealized appreciation of portfolio investments...................... 40,516,692,277 --------------- Portfolio investments, at value........................................... 95,786,207,255 Cash...................................................................... 167,829,046 Dividends and interest receivable......................................... 153,895,559 Receivable from securities transactions................................... 633,820,946 Amounts due from TIAA..................................................... 26,960,582 --------------- TOTAL ASSETS 96,768,713,388 --------------- LIABILITIES Deposits for securities loaned--Note 4.................................... 3,168,081,168 Payable for securities transactions....................................... 486,194,019 --------------- TOTAL LIABILITIES 3,654,275,187 --------------- NET ASSETS Accumulation Fund......................................................... 77,390,399,815 Annuity Fund.............................................................. 15,724,038,386 --------------- TOTAL NET ASSETS $93,114,438,201 =============== NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6..................... 608,999,196 =========== NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5 ............................. $127.08 =======
See notes to financial statements. -2- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENT OF OPERATIONS (UNAUDITED) SIX MONTHS ENDED JUNE 30, 1997
INVESTMENT INCOME Income: Dividends................................................................................ $ 775,876,208 Interest................................................................................. 81,597,390 --------------- TOTAL INCOME 857,473,598 --------------- Expenses--Note 3: Investment............................................................................... 37,662,580 Operating................................................................................ 95,336,364 --------------- TOTAL EXPENSES 132,998,944 --------------- INVESTMENT INCOME--NET 724,474,654 --------------- REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments................................................................ 3,360,652,212 Foreign currency transactions........................................................ (2,385,222) --------------- Net realized gain 3,358,266,990 --------------- Net change in unrealized appreciation on: Portfolio investments................................................................ 9,051,574,132 Futures transactions................................................................. 1,858,144 Translation of assets (other than portfolio investments) and liabilities in foreign currencies.............................................. 105,473 --------------- Net change in unrealized appreciation 9,053,537,749 --------------- NET REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS 12,411,804,739 --------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $13,136,279,393 ===============
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, 1997 1996 ------------- ------------- (UNAUDITED) FROM OPERATIONS Investment income--net................................................ $ 724,474,654 $ 1,364,402,033 Net realized gain on total investments............................... 3,358,266,990 6,232,549,023 Net change in unrealized appreciation on total investments............................................... 9,053,537,749 5,768,437,860 -------------- -------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 13,136,279,393 13,365,388,916 -------------- -------------- FROM PARTICIPANT TRANSACTIONS Premiums............................................................. 1,231,962,779 2,394,187,360 -------------- -------------- Disbursements and transfers: Net transfers to TIAA.............................................. 403,568,580 365,944,585 Net transfers to other CREF Accounts............................... 988,803,658 1,277,299,446 Annuity payments................................................... 582,826,278 1,105,208,681 Withdrawals and repurchases........................................ 555,790,462 938,057,019 Death benefits..................................................... 69,260,307 96,905,116 -------------- -------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET 2,600,249,285 3,783,414,847 -------------- -------------- NET DECREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS (1,368,286,506) (1,389,227,487) --------------- --------------- NET INCREASE IN NET ASSETS 11,767,992,887 11,976,161,429 NET ASSETS Beginning of year.................................................. 81,346,445,314 69,370,283,885 --------------- --------------- End of period...................................................... $93,114,438,201 $81,346,445,314 =============== ===============
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 eight investment portfolios. The accompanying financial statements are those of the Stock Account ("Account"), which invests primarily in equity securities. The seven other investment portfolios of CREF, which are not included in these financial statements, include 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; an Equity Index Account, which invests in a diversified portfolio of equity securities selected to track the overall United States stock market; and an Inflation-Linked Bond Account, which invests primarily in inflation-indexed bonds. TIAA-CREF Investment Management, Inc. ("Investment Management"), a subsidiary of Teachers Insurance and Annuity Association of America ("TIAA"), a companion organization, is registered with the Commission as an investment adviser and provides investment advisory services for the CREF Accounts pursuant to an Investment Management Services Agreement with CREF. TIAA-CREF Individual & Institutional Services, Inc. ("Services"), a subsidiary of TIAA, which is registered with the Commission as a broker-dealer and is a member of the National Association of Securities Dealers, Inc., provides administrative services for the CREF Accounts and performs distribution functions for CREF's certificates pursuant to a Principal Underwriting and Administrative Services Agreement with CREF. NOTE 2--SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements may require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, income, expenses and related disclosures. Actual results may differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Account, which are in conformity with generally accepted accounting principles. VALUATION OF INVESTMENTS: Securities listed or traded on any United States national securities exchange are valued at the last sales price as of the close of the principal securities exchange on which such securities are traded or, if there is no sale, at the mean of the last bid and asked prices on such exchange. Securities traded only in the over-the-counter market and quoted in the NASDAQ National Market System are valued at the last sales price, or at the mean of the last bid and asked prices if no sale is reported. All other over-the-counter securities are valued at the mean of the last bid and asked prices, except for bonds which are valued at the most recent bid price or the equivalent quoted yield of such bonds. Short-term money market instruments are stated at market value. Foreign investments are valued at the closing price in the principal market where they are traded; local currencies are converted into U.S. dollars as described below under Foreign Currency Transactions and Translation. Stock index futures and options which are traded on commodities exchanges are valued at the last sale price as of the close of such commodities exchanges. Portfolio securities for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Finance Committee of the Board of Trustees and in accordance with the responsibilities of the Board as a whole. ACCOUNTING FOR INVESTMENTS: Securities transactions are accounted for as of the date the securities are purchased or sold (trade date). Interest income is recorded as earned and, for short-term money market instruments, includes accrual of discount and amortization of premium. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as soon as the Account is informed of the ex-dividend date. Realized gains and losses on security transactions are accounted for on the average cost basis. FOREIGN CURRENCY TRANSACTIONS AND TRANSLATION: Foreign investments, bank deposits and forward foreign currency contracts are valued in U.S. dollars, based on the exchange rate at the end of the period. Investments traded in foreign 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 -5- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED) 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 in-vested in the equity markets while minimizing transaction costs. The Account sells futures contracts for the purpose of offsetting changes in market value while withdrawing from a specific market. A financial futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses from futures transactions by "marking-to-market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are received or made, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a realized gain or loss from futures transactions is recorded, equal to the net variation margin received or paid over the period of the contract. The contractual amounts under futures contracts reflect the extent of the Account's exposure to off-balance sheet risk. The credit risk to such contracts is limited to the failure of the exchange or board of trade which acts as the counterparty to the Account's futures transactions. FORWARD FOREIGN CURRENCY CONTRACTS: The Account enters into forward foreign currency contracts to purchase or sell foreign currency to accommodate foreign investment transactions. Forward foreign currency contracts are "marked-to-market" at the end of each day's trading. Daily changes in the value of such contracts are reflected in the net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies. When the contract is closed, payment is received or made and a realized gain or loss on foreign currency transactions is recognized, equal to the difference between the cost of the closing transaction and the basis in the contract. The Account may also enter into a forward foreign currency contract to offset an existing contract. Forward foreign currency contracts are entered into directly with a counterparty and the Account is exposed to the risk of default of such counterparty. The maximum potential loss from such risk is the aggregate face value in U.S. dollars at the time the contract is opened. There is no daily margin requirement for such contracts. SECURITIES PURCHASED ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS: The Account may purchase securities on a when-issued or delayed delivery basis. In addition to the normal market risks, this exposes the Account to the risk that the transaction may not be consummated. RESTRICTED SECURITIES: Restricted securities held by the Account may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in securities which are widely held and publicly traded. -6- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONCLUDED) 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 to the organization. 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. As a result of recent legislation, CREF will no longer be exempt from federal income tax under Section 501(a) of the Code, beginning January 1, 1998. Management believes that CREF should incur no material federal income tax liability as a result of this change. In that connection, management is reviewing whether any changes in CREF's corporate structure may be necessary or appropriate in order for CREF to minimize any federal income tax consequences. If needed, management intends to implement any such changes, subject to regulatory approval, prior to January 1, 1998. NOTE 3--MANAGEMENT AGREEMENTS All services necessary for the operation of CREF's Accounts are provided, at cost, by Investment Management and Services. Such services are provided in accordance with an Investment Management Services Agreement between CREF and Investment Management, and in accordance with a Principal Underwriting and Administrative Services Agreement between CREF and Services (see Note 1). Investment Management and Services receive management fee payments from the CREF Accounts on a daily basis according to formulas established each year with the objective of keeping the management fees as close as possible to each Account's actual expenses. Any differences between actual expenses and the management fees are adjusted quarterly. NOTE 4--INVESTMENTS At June 30, 1997, the value of securities loaned was $5,250,792,264 and collateral received in connection therewith was comprised of cash of $3,168,081,168, letters of credit of $2,112,485,000 and United States government securities amounting to $181,301,400. At June 30, 1997, net unrealized appreciation of portfolio investments, consisting of gross unrealized appreciation and gross unrealized depreciation, was as follows: Gross unrealized appreciation of portfolio investments....... $42,032,849,137 Gross unrealized depreciation of portfolio investments....... 1,516,156,860 -------------- NET UNREALIZED APPRECIATION OF PORTFOLIO INVESTMENTS......... $40,516,692,277 ============== At June 30, 1997, the Account held 230 open futures contracts in the Standard & Poor's 500 Index with a value of $102,378,750. 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, 1997, the total value of investments in affiliated companies was $416,003,014. For the six months ended June 30, 1997, total dividend income and the net realized gains relating to such investments were $3,476,867 and $14,253,925, respectively. Purchases and sales of portfolio securities, other than short-term money market instruments, for the six months ended June 30, 1997, were as follows: Purchases: Unaffiliated issuers............................ $8,590,787,709 Affiliated issuers.............................. 9,057,481 ------------- TOTAL PURCHASES $8,599,845,190 ============= Sales: Unaffiliated issuers............................ $9,913,059,155 Affiliated issuers.............................. 69,900,364 ------------- TOTAL SALES $9,982,959,519 ============= -7- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) 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 30,1997 1996 1995 1994 1993 1992 ---------- ------ ------ ------ ------ ------ (UNAUDITED) Per Accumulation Unit Data: Investment income.................... $ 1.162 $ 2.114 $ 1.885 $ 1.699 $ 1.606 $ 1.523 Expenses............................. .180 .304 .271 .223 .210 .181 -------- -------- ------ ------- ------- ------- Investment income--net................ .982 1.810 1.614 1.476 1.396 1.342 Net realized and unrealized gain (loss) on investments......... 16.873 15.953 19.984 (1.557) 7.139 2.294 -------- -------- ------ ------- ------- ------- Net increase (decrease) in Accumulation Unit Value............ 17.855 17.763 21.598 (.081) 8.535 3.636 Accumulation Unit Value: Beginning of year.................... 109.223 91.460 69.862 69.943 61.408 57.772 -------- -------- ------ ------- ------- ------- End of period........................ $127.078 $109.223 $91.460 $69.862 $69.943 $61.408 ======== ======== ======= ======= ======= ======= Total return........................... 16.35% 19.42% 30.92% (0.12%) 13.90% 6.29% Ratios to Average Net Assets: Expenses............................. 0.16% 0.31% 0.34% 0.32% 0.32% 0.31% Investment income--net............... 0.85% 1.82% 2.00% 2.11% 2.14% 2.32% Portfolio turnover rate................ 10.42% 19.57% 16.25% 18.77% 22.93% 16.29% Thousands of Accumulation Units outstanding at end of period......... 608,999 620,498 632,803 637,435 642,528 645,564
NOTE 6--ACCUMULATION UNITS Changes in the number of Accumulation Units outstanding were as follows:
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1997 DECEMBER 31, 1996 ------------- ----------------- (UNAUDITED) Accumulation Units: Credited for premiums................................................... 10,669,402 24,089,810 Cancelled for transfers, disbursements and amounts applied to the Annuity Fund................................... (22,168,541) (36,394,455) Outstanding: Beginning of year..................................................... 620,498,335 632,802,980 ----------- ----------- End of period......................................................... 608,999,196 620,498,335 =========== ===========
-8- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED) JUNE 30, 1997 SUMMARY BY INDUSTRY VALUE % ----- ----- BONDS CORPORATE BONDS AUTOMOTIVE & RELATED ..................... $ 268,663 0.00% BANKS .................................... 2,276,158 0.00 BROADCASTERS ............................. 8,356,550 0.01 CONGLOMERATES ............................ 221,346 0.00 ENVIRONMENTAL CONTROL .................... 4,655,365 0.01 FINANCIAL--MISCELLANEOUS ................. 50,606 0.00 INSURANCE--LIFE .......................... 44,625 0.00 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY .................... 340,797 0.00 LEISURE TIME ............................. 562,085 0.00 METALS--STEEL ............................ 107,735 0.00 OFFICE EQUIPMENT ......................... 150,689 0.00 PETROLEUM--SERVICE ....................... 1,690,000 0.00 RETAIL--GENERAL MERCHANDISE .............. 374,447 0.00 TRUCKERS & SHIPPING ...................... 3,922,063 0.01 UTILITIES--GAS & PIPELINE ................ 213,884 0.00 ----------- ---- TOTAL CORPORATE BONDS (COST $19,149,585) ...................... 23,235,013 0.03 ----------- ---- GOVERNMENT BONDS U.S. GOVERNMENT BONDS ................... 381,215 0.00 ----------- ---- TOTAL GOVERNMENT BONDS (COST $381,469) ......................... 381,215 0.00 ----------- ---- TOTAL BONDS (COST $19,531,054) ....................... 23,616,228 0.03 ----------- ---- PREFERRED STOCK AUTOMOTIVE & RELATED ..................... 24,937,420 0.03 BANKS .................................... 4,300,362 0.01 BEVERAGES ................................ 1,150,044 0.00 BUSINESS SERVICES ........................ 29,290,706 0.03 CHEMICALS--MAJOR ......................... 4,948,804 0.01 CHEMICALS--SPECIALTY ..................... 116,324 0.00 COMMUNICATION EQUIPMENT & SERVICES ....... 8,593,024 0.01 CONGLOMERATES ............................ 290,962 0.00 CONSTRUCTION--MATERIALS & BUILDERS ............................... 578,047 0.00 COSMETICS ................................ 27,315 0.00 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED ................. 104,477 0.00 FINANCIAL--MISCELLANEOUS ................. 84,862 0.00 FOODS .................................... 585,046 0.00 FOREST PRODUCTS .......................... 1,039,340 0.00 HEALTHCARE--SERVICE ...................... 16,321,594 0.02 INSURANCE--BROKERS & OTHER ............... 3,572,247 0.01 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY .................... 118,664 0.00 MACHINERY ................................ 2,425,913 0.00 METALS--STEEL ............................ 2,619,823 0.00 PAPER .................................... 89,700,000 0.10 PETROLEUM-- EXPLORATION & PRODUCTION ............... 284,622 0.00 PETROLEUM--INTEGRATED .................... 2,750,136 0.00 PUBLISHING--NEWSPAPER .................... 11,746,952 0.01 PUBLISHING--OTHER ........................ 10,510,000 0.01 RETAIL--GENERAL MERCHANDISE .............. 267,601 0.00 UTILITIES--ELECTRIC ...................... 12,492,640 0.01 UTILITIES--GAS & PIPELINE ................ 1,437,909 0.00 UTILITIES--OTHER ......................... 104,543 0.00 UTILITIES--TELEPHONE ..................... 11,190,207 0.01 ----------- ---- TOTAL PREFERRED STOCK (COST $147,085,028) ...................... 241,589,584 0.26 ----------- ---- COMMON STOCK AEROSPACE ................................ 1,145,679,755 1.23 AIR TRANSPORTATION ....................... 421,018,791 0.45 AUTOMOTIVE & RELATED ..................... 2,123,125,121 2.28 BANKS .................................... 8,399,720,655 9.02 BEVERAGES ................................ 2,596,156,165 2.78 BROADCASTERS ............................. 528,780,355 0.57 BUSINESS SERVICES ........................ 1,187,995,823 1.28 CHEMICALS--MAJOR ......................... 1,994,374,189 2.14 CHEMICALS--SPECIALTY ..................... 904,420,578 0.97 COMMUNICATION EQUIPMENT & SERVICES ....... 2,323,405,969 2.50 COMPUTER SERVICE ......................... 2,827,414,165 3.04 CONGLOMERATES ............................ 2,285,875,583 2.45 CONSTRUCTION--MATERIALS & BUILDERS ............................... 908,420,586 0.98 CONTAINERS ............................... 123,701,075 0.13 COSMETICS ................................ 771,653,381 0.83 ELECTRICAL EQUIPMENT ..................... 3,699,267,268 3.97 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED ................. 2,917,684,052 3.13 ELECTRICAL EQUIPMENT-- INSTRUMENTS ............................ 456,142,650 0.49 ENVIRONMENTAL CONTROL .................... 351,568,960 0.38 FINANCIAL--MISCELLANEOUS ................. 3,419,512,757 3.67 FOODS .................................... 1,788,160,703 1.92 FOREST PRODUCTS .......................... 443,717,173 0.48 HEALTHCARE--DRUGS ........................ 5,765,933,010 6.19 HEALTHCARE--HOSPITAL SUPPLY .............. 864,246,510 0.93 HEALTHCARE--OTHER ........................ 1,323,159,685 1.42 HEALTHCARE--SERVICE ...................... 1,348,011,580 1.45 HOUSEHOLD--CONSUMER ELECTRONICS .......... 187,113,529 0.20 HOUSEHOLD--DURABLE GOODS ................. 436,244,704 0.47 HOUSEHOLD--PRODUCTS ...................... 1,760,425,059 1.89 INSURANCE--BROKERS & OTHER ............... 228,473,756 0.25 INSURANCE--LIFE .......................... 596,339,144 0.64 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY .................... 3,090,508,648 3.32 LEISURE TIME ............................. 1,022,855,481 1.10 MACHINERY ................................ 1,561,413,574 1.68 METALS--ALUMINUM ......................... 197,316,554 0.21 METALS--GOLD ............................. 229,175,211 0.25 METALS--NON-FERROUS ...................... 319,679,171 0.34 METALS--STEEL ............................ 350,510,824 0.38 MISCELLANEOUS MATERIALS & COMMODITIES ............................ 62,241,510 0.07 OFFICE EQUIPMENT ......................... 3,097,838,745 3.33 PAPER .................................... 475,026,988 0.51 PETROLEUM-- EXPLORATION & PRODUCTION ............... 736,086,337 0.79 PETROLEUM--INTEGRATED .................... 4,708,255,962 5.06 PETROLEUM--SERVICE ....................... 842,510,606 0.91 See notes to financial statements. -9- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (Unaudited) JUNE 30, 1997 SUMMARY BY INDUSTRY (CONTINUED) VALUE % -------- --- PHOTOGRAPHY ............................... $ 288,128,739 0.31% PROPERTY--REAL ESTATE ..................... 487,015,603 0.52 PUBLISHING--NEWSPAPER ..................... 467,817,947 0.50 PUBLISHING--OTHER ......................... 588,803,907 0.63 RAILROAD .................................. 706,526,614 0.76 RESTAURANTS & HOTELS ...................... 999,993,164 1.07 RETAIL--FOOD .............................. 582,303,827 0.63 RETAIL--GENERAL MERCHANDISE ............... 3,216,371,121 3.45 TEXTILE & APPAREL ......................... 471,793,194 0.50 TOBACCO ................................... 1,436,795,307 1.54 TRADING COMPANIES ......................... 115,759,185 0.12 TRUCKERS & SHIPPING ....................... 242,614,231 0.26 UTILITIES--ELECTRIC ....................... 2,888,300,913 3.10 UTILITIES--GAS & PIPELINE ................. 807,638,520 0.87 UTILITIES--OTHER .......................... 68,394,390 0.07 UTILITIES--TELEPHONE ...................... 5,230,040,133 5.62 ---------------- ---- TOTAL COMMON STOCK (COST $49,000,290,077) .................... 89,419,459,137 96.03 ---------------- ---- SHORT TERM INVESTMENTS BANK NOTES ................................ 197,997,783 0.21 BANKERS ACCEPTANCES ....................... 102,439,872 0.11 CERTIFICATES OF DEPOSIT ................... 426,786,113 0.46 COMMERCIAL PAPER .......................... 3,473,140,380 3.73 MEDIUM TERM NOTES ......................... 120,800,820 0.13 U.S. GOVERNMENT & AGENCIES ................ 1,518,389,428 1.63 VARIABLE RATE NOTES ....................... 261,986,478 0.28 ---------------- ---- TOTAL SHORT TERM INVESTMENTS (COST $6,102,608,819) ..................... 6,101,540,874 6.55 ---------------- ---- ROUNDING ................................. 1,432 0.00 ---------------- ---- TOTAL PORTFOLIO (COST $55,269,514,978) .................... 95,786,207,255 102.87 ---------------- ------ OTHER ASSETS & LIABILITIES, NET ........ (2,671,769,054) (2.87) ---------------- ------ NET ASSETS .................................. $93,114,438,201 100.00% ================ ====== See notes to financial statements -10- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED) JUNE 30, 1997 SUMMARY BY COUNTRY VALUE % ------------ ------ DOMESTIC: UNITED STATES $77,244,706,435 80.64% --------------- ------ TOTAL DOMESTIC 77,244,706,435 80.64 --------------- ------ FOREIGN: ARGENTINA 23,463,502 0.02 AUSTRALIA 495,290,774 0.52 AUSTRIA 7,829,162 0.01 BELGIUM 113,787,486 0.12 BRAZIL 38,134,461 0.04 CANADA 431,610,674 0.45 CHILE 76,929,348 0.08 CHINA 7,400,077 0.01 DENMARK 84,564,247 0.09 FINLAND 87,141,305 0.09 FRANCE 594,902,845 0.62 GERMANY 1,019,443,073 1.07 HONG KONG 451,490,131 0.47 INDONESIA 134,808,449 0.14 IRELAND 6,207,339 0.01 ITALY 465,354,689 0.49 JAPAN 3,276,140,640 3.42 KOREA 38,831,477 0.04 LUXEMBOURG 1,910,000 0.00 MALAYSIA 196,298,910 0.20 MEXICO 24,972,533 0.03 MISCELLANEOUS 59,872,050 0.06 NETHERLANDS 820,916,390 0.86 NEW ZEALAND 139,861,682 0.15 NORWAY 88,147,539 0.09 PHILIPPINES 5,464,673 0.01 PORTUGAL 30,332,608 0.03 SINGAPORE 148,147,905 0.15 SOUTH AFRICA 32,595,583 0.03 SPAIN 355,232,015 0.37 SWEDEN 445,067,485 0.46 SWITZERLAND 655,957,362 0.68 THAILAND 6,548,339 0.01 UNITED KINGDOM 2,075,305,193 2.17 --------------- ------ TOTAL FOREIGN 12,439,959,946 12.99 --------------- ------ TOTAL SHORT TERM 6,101,540,874 6.37 ============== ===== TOTAL PORTFOLIO $95,786,207,255 100.00% =============== ====== See notes to financial statements. -11- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED) JUNE 30, 1997 PRINCIPAL VALUE --------- ----- BONDS--0.03% CORPORATE BONDS--0.03% AUTOMOTIVE & RELATED--0.00% DAIMLER BENZ W/WTS $ 314(1) 4.125%,07/05/03 ................$ 268,663 ----------- BANKS--0.00% DRESDNER BV 528(1) 5.500%, 04/30/04 305,514 SUMITOMO TRUST & BANKING CV 200,000,000(3) 0.500%, 10/01/07 ............... 1,970,644 ----------- 2,276,158 ----------- BROADCASTERS--0.01% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 8,615,000 8.000%, 07/07/06 .............. 8,356,550 ----------- CONGLOMERATES--0.00% BRIERLEY INVESTMENTS LTD CV NOTES 129,875(6) 9.000%, 06/30/98 ............. 117,959 MULTI PURPOSE ICULS 307,000(8) 3.000%, 12/31/02 ............. 103,387 ----------- 221,346 ----------- ENVIRONMENTAL CONTROL--0.01% WMX TECHNOLOGIES, INC (SUBORDINATED CV NOTES) 4,979,000 2.000%, 01/24/05 ............. 4,655,365 ----------- FINANCIAL--MISCELLANEOUS--0.00% VALUE REALISATION TRUST DEB 24,621(7) 1.400%, 09/30/06 ............. 50,606 ----------- INSURANCE--LIFE--0.00% LIBERTY LIFE INTERNATIONAL CV 35,000 6.500%, 09/30/04 ............. 44,625 ----------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.00% AXA S.A. CV 4,722(2) 4.500%, 01/01/99 ............. 312,065 CORPORACION MAPFRE CV 449(2) 8.500%, 02/27/99 ............. 28,732 ----------- 340,797 ----------- LEISURE TIME--0.00% SKIS ROSSIGNOL S.A. CV 1,250(2) 3.000%, 04/01/01 ............. 562,085 ----------- METALS--STEEL--0.00% ~PREUSSAG AG. WTS 126(1) 5.750%, 05/17/01 ............. 107,735 ----------- OFFICE EQUIPMENT--0.00% OLIVETTI S.P.A. CV 255,000(5) 7.500%, 01/01/99 150,689 ----------- PETROLEUM--SERVICE--0.00% KEPPEL FELS 2,000,000 1.500%, 05/02/01 ............. 1,690,000 ----------- RETAIL--GENERAL MERCHANDISE--0.00% CASTORAMA DUBOIS INVESTISSEMENT CV 1,799(2) 3.150%, 01/01/03 ............. 374,447 ----------- TRUCKERS & SHIPPING--0.01% YAMATO TRANSPORT CV 340,000,000(3) 1.700%, 09/30/02 ............. 3,922,063 ----------- UTILITIES--GAS & PIPELINE--0.00% LYONNAISE DES EAUX 1,812(2) 4.000%, 01/01/06 ............. 213,884 ----------- TOTAL CORPORATE BONDS (COST $19,149,585) ................ 23,235,013 ----------- GOVERNMENT BONDS--0.00% U.S. GOVERNMENT BONDS--0.00% U.S. TREASURY BOND 325,000 11.750%, 02/15/01 ............ 381,215 ----------- TOTAL GOVERNMENT BONDS (COST $381,469) ................... 381,215 ----------- TOTAL BONDS (COST $19,531,054) ................. 23,616,228 ----------- - ----------- (1) DENOMINATED IN GERMAN DEUTSCHE MARKS (2) DENOMINATED IN FRENCH FRANCS (3) DENOMINATED IN JAPANESE YEN (4) DENOMINATED IN SPANISH PESATA (5) DENOMINATED IN ITALIAN LIRA (6) DENOMINATED IN NEW ZEALAND DOLLARS (7) DENOMINATED IN BRITIAN POUNDS (8) DENOMINATED IN MALAYSIAN RINGGETS SHARES ------ PREFERRED STOCK--0.26% AUTOMOTIVE & RELATED--0.03% 25,800 PIRELLI PNEUS S.A. ...................... 75,727 2,200 PORSCHE AG. ............................. 2,928,955 39,000 VOLKSWAGENWERKE AG. ..................... 21,932,738 ----------- 24,937,420 ----------- BANKS--0.01% 2,920,000 BANCO ITAU S.A .......................... 1,635,481 2,900 BANK AUSTRIA AG ......................... 93,189 210,456,03 BRADESCO S.A ............................ 2,120,980 1 ~oCRESTARAN INTERNATIONAL INVESTMENT BV .......................... 0 12,287,600 UNIBANCO S.A ............................ 450,712 ------------ 4,300,362 ------------ BEVERAGES--0.00% 1,509,924 BRAHMA S.A .............................. 1,150,044 ------------ BUSINESS SERVICES--0.03% 141,000 SAP AG .................................. 29,290,706 ------------ CHEMICALS--MAJOR--0.01% 170,000 COPENE-PETROQUIMICA DO NORDESTE S.A ........................... 63,003 86,000 HENKEL KGAA ............................. 4,885,801 ------------ 4,948,804 ------------ CHEMICALS--SPECIALTY--0.00% 20,700,000 oFERTILIZANTES FOSFATADOS S.A ............ 116,324 ------------ See notes to financial statements. -12- SHARES VALUE ------ ----- COMMUNICATION EQUIPMENT & SERVICES--0.01% 136,025 AIRTOUCH COMMUNICATIONS, INC CV (CLASS B) ............................... $ 3,876,712 87,358 AIRTOUCH COMMUNICATIONS, INC CV (CLASS C) ............................... 4,193,184 8,800,000 ERICSSON TELECOMMUNICATIONS S.A ......... 523,128 ------------ 8,593,024 ------------ CONGLOMERATES--0.00% 175,000 CONFAB INDUSTRIAL S.A ................... 290,962 ------------ CONSTRUCTION--MATERIALS & BUILDERS--0.00% 521,000 CIM ITAU S.A ............................ 179,059 2,900,000 DURATEX S.A ............................. 153,511 679 DYCKERHOFF ZEMENTWERKE AG ............... 245,477 ------------ 578,047 ------------ COSMETICS--0.00% 40 WELLA GROUP AG .......................... 27,315 ------------ ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--0.00% 152,000 oWEG S.A ................................. 104,477 ------------ FINANCIAL--MISCELLANEOUS--0.00% 3,100 PHOENIX DUFF & PHELPS CORP .............. 84,862 ------------ FOODS--0.00% 8,000,000 CEVAL ALIMENTOS ......................... 93,628 114,361,44 PERDIGAO S.A. COMERCIO E INDUSTRIA ...... 270,872 212,000 SADIA CONCORDIA S.A ..................... 220,546 ------------ 585,046 ------------ FOREST PRODUCTS--0.00% 248,666 ARACRUZ CELULOSE S.A .................... 503,522 253,750 KLABIN FABRICADORA S.A .................. 247,480 1,670 KONINKLIJKE NV .......................... 7,594 9,300,000 VOTORANTIM CELULOSE E PAPEL S.A ......... 280,744 ------------ 1,039,340 ------------ HEALTHCARE--SERVICE--0.02% 109,372 AETNA, INC 6.25% (CLASS C) .............. 10,253,625 837,300 oFRESENIUS MEDICAL CARE (CLASS D) ........ 48,144 113,500 oMEDIQ, INC SERIES A ..................... 993,125 187,040 PACIFICARE HEALTH SYSTEMS CV SERIES A ............................... 5,026,700 ------------ 16,321,594 ------------ INSURANCE--BROKERS & OTHER--0.01% 15,000 oMARSCHOLLER LAUTENSCHLAEGER UND PARTNER A.G ........................ 3,572,247 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.00% 23,604 INTERNATIONALE NEDERLANDEN GROEP NV ............................... 118,664 ------------ MACHINERY--0.00% 1,100,000 BELGO MINEIRA S.A ....................... 78,673 8,000 KSB AG .................................. 1,974,061 900 oMAN AG. (NON-VTG) ....................... 228,279 20,000 PIRELLI CABOS S.A ....................... 144,900 ------------ 2,425,913 ------------ METALS--STEEL--0.00% 1,600,000 MET GERDAU S.A .......................... 77,280 51,100 USINAS SIDERGIACAS DE MINAS GERAIS ...... 569,096 89,232 VALE DO RIO DOCE CIA .................... 1,973,447 ------------ 2,619,823 ------------ PAPER--0.10% 2,600,000 JAMES RIVER CORP OF VIRGINIA SERIES P ................................ 89,700,000 ------------ PETROLEUM--EXPLORATION & PRODUCTION--0.00% 17,500,000 IPIRANGA S.A ............................ 284,622 ------------ PETROLEUM--INTEGRATED--0.00% 9,902,000 PETROBRAS S.A ........................... 2,750,136 ------------ PUBLISHING--NEWSPAPER--0.01% 2,978,287 NEWS CORP LTD ........................... 11,647,556 36,150 RURAL PRESS LTD ......................... 99,396 ------------ 11,746,952 ------------ PUBLISHING--OTHER--0.01% 210,200 HARCOURT GENERAL, INC SERIES A .......... 10,510,000 ------------ RETAIL--GENERAL MERCHANDISE--0.00% 4,500,000 oLOJAS AMERICANAS S.A .................... 61,025 6,400,000 LOJAS ARAPUA S.A ........................ 104,031 2,000,000 LOJAS RENNER S.A ........................ 102,545 ------------ 267,601 ------------ UTILITIES--ELECTRIC--0.01% 27,304 CIA PAULISTA DE FORCA & LUZ ............. 4,539 2,455,893 ELECTROBRAS S.A. SERIES B ............... 1,464,502 316,470 oRHEIN-WESTFALEN ELECTRIC AG ............. 11,023,599 ------------ 12,492,640 ------------ UTILITIES--GAS & PIPELINE--0.00% 27,792,697 CEMIG S.A ............................... 1,437,909 ------------ UTILITIES--OTHER--0.00% 59,400 HYDER PLC ............................... 104,543 ------------ UTILITIES--TELEPHONE--0.01% 72,590,224 TELEBRAS S.A ............................ 11,010,572 507,181 TELESP S.A .............................. 165,589 43,454 oTELESP S.A. NEW ......................... 14,046 ------------ 11,190,207 ------------ TOTAL PREFERRED STOCK (COST $147,085,028) ..................... 241,589,584 ------------ COMMON STOCK--96.03% AEROSPACE--1.23% 149,550 AAR CORP ................................ 4,832,334 169,025 oALLIANT TECHSYSTEMS, INC ................ 9,296,375 155,000 oASIA AIR SURVEY CO LTD .................. 1,422,272 213,988 oAVIALL, INC NEW ......................... 2,995,832 7,124,614 BOEING CO ............................... 378,049,830 1,389,908 BRITISH AEROSPACE PLC ................... 30,916,237 7,134 oBRITISH AEROSPACE PLC WTS 11/15/00 ..... 95,578 36,400 COBHAM GROUP PLC ........................ 436,179 593,400 EG & G, INC ............................. 13,351,500 6,800 oFABBRICA ITALIANA APPARECCHIATURE ....... 15,513 281,900 GENERAL DYNAMICS CORP ................... 21,142,500 1,702,740 GENERAL MOTORS CORP (CLASS H) ........... 98,333,235 295,900 oHEXCEL CORP ............................. 5,104,275 401,600 KAMAN CORP (CLASS A) .................... 6,174,600 1,753,731 LOCKHEED MARTIN CORP .................... 181,620,766 1,651,000 MCDONNELL DOUGLAS CORP .................. 113,093,500 550,600 NORTHROP GRUMMAN CORP ................... 48,349,562 319,000 oOEA, INC ................................ 12,600,500 322,900 oORBITAL SCIENCES CORP ................... 5,126,037 188,050 PRECISION CAST PARTS CORP ............... 11,212,481 46,080 PRIMEX TECHNOLOGIES, INC ................ 984,960 2,772,640 RAYTHEON CO ............................. 141,404,640 See notes to financial statements. -13- SHARES VALUE ------ ----- AEROSPACE--(CONTINUED) 112,500 oROHR, INC ............................... $ 2,467,912 10,526,989 ROLLS ROYCE LTD ......................... 40,208,555 1,400 oSAGEM S.A ............................... 711,804 126,800 SMITHS INDUSTRIES PLC ................... 1,623,900 100,300 oSPAR AEROSPACE LTD ...................... 930,588 65,400 oTECH-SYM CORP ........................... 2,182,725 60,616 oTHOMSON-CSF ............................. 1,563,153 221,700 oWHITTAKER CORP .......................... 2,466,412 258,000 oWYMAN-GORDON CO ......................... 6,966,000 ------------- 1,145,679,755 ------------- AIR TRANSPORTATION--0.45% 206,000 oAIR CANADA, INC ......................... 1,388,663 136,062 AIR EXPRESS INTERNATIONAL CORP .......... 5,408,464 388,000 AIR NEW ZEALAND LTD (CLASS B) ........... 1,183,438 224,900 AIRBORNE FREIGHT CORP ................... 9,417,687 372,100 oALASKA AIR GROUP, INC ................... 9,535,062 1,300 ALL NIPPON AIRWAYS CO LTD ............... 8,350 519,100 oAMERICA WEST HOLDINGS CORP (CLASS B) .............................. 7,526,950 921,300 oAMR CORP ................................ 85,220,250 226,998 ASA HOLDINGS, INC ....................... 6,497,817 87,500 oATLAS AIR, INC .......................... 3,018,750 1,100 oAUSTRIAN AIRLINES/OEST LUFTV AG ......... 177,635 256,300 oBE AEROSPACE, INC ....................... 8,105,487 3,344,847 BRITISH AIRWAYS PLC ..................... 38,104,943 200 oCANADIAN AIRLINES CORP .................. 333 4,000 oCANADIAN AIRLINES CORP WTS 04/22/99 ..... 57 1,185,000 CATHAY PACIFIC AIRWAYS LTD .............. 2,454,947 102,850 CIRCLE INTERNATIONAL GROUP, INC ......... 2,712,668 338,200 COMAIR HOLDINGS, INC .................... 9,363,912 241,500 oCONTINENTAL AIRLINES, INC (CLASS B) ..... 8,437,406 543,943 DELTA AIRLINES, INC ..................... 44,603,326 78,400 EXPEDITORS INTERNATIONAL OF WASHINGTON ............................. 2,224,600 717,300 oFEDERAL EXPRESS CORP .................... 41,424,075 2,086,721 oJAPAN AIRLINES CO LTD ................... 9,500,880 22,983 oKLM (ROYAL DUTCH AIRLINES) NV ........... 709,677 138,887 oKOREAN AIR LINES CO ..................... 2,611,658 673,990 LUFTHANSA AG ............................ 12,937,541 286,000 oMALAYSIAN AIRLINE SYSTEM BERHAD ......... 713,867 110,400 oMALAYSIAN HELICOPTER SERVICES BERHAD ................................. 97,540 22,080 oMALAYSIAN HELICOPTER WTS 06/11/00 ....... 8,223 546,400 oMESA AIR GROUP, INC ..................... 2,936,900 432,800 oNORTHWEST AIRLINES CORP (CLASS A) ....... 15,743,100 1,102,774 QUANTAS AIRWAYS LTD ..................... 2,561,214 850 oSAIR GROUP .............................. 953,837 18,488 SAS DANMARK AS .......................... 216,089 428,000 oSINGAPORE INTERNATIONAL AIRLINES LTD (FR) ...................... 3,831,587 200 SKYWEST, INC ............................ 3,125 940,700 SOUTHWEST AIRLINES CO ................... 24,340,612 564,820 oUAL CORP NEW ............................ 40,419,931 436,900 oUS AIRWAYS GROUP, INC ................... 15,291,500 192,100 oVALUJET, INC ............................ 1,326,690 ------------- 421,018,791 ------------- AUTOMOTIVE & RELATED--2.28% 352,300 oALLEN TELECOM, INC ...................... 7,310,225 274,700 oAMERICREDIT CORP ........................ 5,768,700 451,700 APOGEE ENTERPRISES, INC ................. 9,711,550 127,200 ARVIN INDUSTRIES, INC ................... 3,466,200 776,474 oAUTOLIV, INC ............................ 30,379,545 56,000 BANDAG, INC ............................. 2,744,000 199,100 BANDAG, INC (CLASS A) ................... 9,693,681 2,000 BAYERISCHE MOTOREN WERKE AG ............. 1,656,145 3,468,248 BBA GROUP PLC ........................... 20,491,328 2,600 BEKAERT S.A ............................. 1,762,839 133,100 BORG-WARNER AUTOMOTIVE, INC ............. 7,195,718 200,600 BREED TECHNOLOGIES, INC ................. 4,613,800 78,500 BREMBO S.P.A ............................ 840,075 975,100 BRIDGESTONE CORP ........................ 22,666,921 4,933,158 CHRYSLER CORP ........................... 161,869,246 43,143 CIA INTERAMERICA DE AUTOMO (RENAULT) .............................. 185,533 286,980 CONTINENTAL AG .......................... 7,130,856 627,800 COOPER TIRE & RUBBER CO ................. 13,811,600 315,200 CUMMINS ENGINE CO, INC .................. 22,241,300 87,000 CYCLE & CARRIAGE LTD .................... 900,546 993,360 DAIMLER BENZ AG ......................... 80,661,311 1,168,780 DANA CORP ............................... 44,413,640 192,700 DANAHER CORP ............................ 9,791,568 917,337 DENSO CORP .............................. 21,965,506 39,200 oDETROIT DIESEL CORP ..................... 938,350 4,200,000 oDIVERSIFIED RESOURCES BERHAD ............ 8,902,546 305,900 DONALDSON CO, INC ....................... 11,624,200 630,234 EATON CORP .............................. 55,027,306 484,200 ECHLIN, INC ............................. 17,431,200 90,000 EDARAN OTOMOBIL NASIONAL BERHAD ......... 766,641 165,000 EXEDY CORP .............................. 2,105,225 226,800 EXIDE CORP .............................. 4,975,425 7,500 FABRICA DE AUTOMOVILES RENAULT S.A ...... 158,076 328,100 FEDERAL-MOGUL CORP ...................... 11,483,500 6,343,995 oFIAT S.P.A .............................. 22,829,246 833,334 oFIAT S.P.A. (PRIV) ...................... 1,538,601 369,998 oFIAT S.P.A. DI RISP ..................... 695,100 76,200 oFOAMEX INTERNATIONAL, INC ............... 1,000,125 9,827,748 FORD MOTOR CO ........................... 370,997,487 386,535 GENCORP, INC ............................ 8,938,621 6,202,876 GENERAL MOTORS CORP ..................... 345,422,657 1,213,200 GENUINE PARTS CO ........................ 41,097,150 149,334 GKN PLC ................................. 2,571,110 1,757,752 GOODYEAR TIRE & RUBBER CO ............... 111,287,673 393,725 GRACO, INC .............................. 11,860,965 954,200 HARLEY DAVIDSON, INC .................... 45,741,962 72,720 oHAYES WHEELS INTERNATIONAL, INC.......... 2,308,860 1,391,000 HONDA MOTOR CO LTD ...................... 41,938,024 80,500 INTERMET CORP ........................... 1,293,031 103,800 oKIRBY CORP .............................. 1,894,350 52,920 LAIRD GROUP PLC ......................... 307,821 1,586,900 oLEAR CORP ............................... 70,418,687 756,000 LEX SERVICE GROUP LTD ................... 4,737,163 381,814 LUCASVARITY PLC ......................... 1,321,742 43,000 oMCCARTHY RETAIL LTD ..................... 123,250 2,356 oMICHELIN B .............................. 130,420 343,469 MICHELIN S.A. (CLASS B) ................. 20,645,613 346,300 MODINE MANUFACTURING CO ................. 10,302,425 683,700 oNAVISTAR INTERNATIONAL CORP ............. 11,793,825 149,360 NGK INSULATORS LTD ...................... 1,644,623 3,768,000 NISSAN MOTOR CO LTD ..................... 29,273,482 206,500 PACCAR, INC ............................. 9,589,343 7,922 PENDRAGON PLC ........................... 47,266 661,000 PERUSAHAAN OTOMOBIL NASIONAL BERHAD ................................. 3,090,257 21,634 oPEUGEOT S.A ............................. 2,093,021 227,000 oPININFARINA SPA ......................... 3,770,697 2,744,999 PIRELLI S.P.A ........................... 6,795,190 290,300 POLARIS INDUSTRIES, INC ................. 9,452,893 37,000 oRENTERS CHOICE, INC ..................... 735,375 226,600 oSAFESKIN CORP ........................... 6,670,537 See notes to financial statements. -14- SHARES VALUE ------ ----- AUTOMOTIVE & RELATED--(CONTINUED) 630,437 SAFETY-KLEEN CORP ....................... $10,638,624 50,000 SCANIA AB SERIES A ...................... 1,519,580 50,000 SCANIA AB SERIES B ...................... 1,526,046 403,375 SIMPSON INDUSTRIES, INC ................. 4,285,859 1,200,000 SINGAPORE TECH AUTOMOTIVE-(FR) .......... 3,004,618 83,600 SMITH (A.O.) CORP ....................... 2,973,025 387,600 SNAP-ON, INC ............................ 15,261,750 476,050 SPARTAN MOTORS, INC ..................... 3,689,387 12,000 SPX CORP ................................ 777,750 55,600 STANDARD MOTOR PRODUCTS, INC (CLASS A) ................ 764,500 73,943 STANDARD PRODUCTS CO .................... 1,867,060 116,700 SUPERIOR INDUSTRIES INTERNATIONAL, INC ..................... 3,092,550 237,653 T & N PLC ............................... 569,557 275,000 TAN CHONG MOTOR HOLDINGS BERHAD ......... 518,621 385,050 oTBC CORP ................................ 3,224,793 730,500 THAI ENGINE MANUFACTURING FR ............ 4,737,514 107,900 oTOWER AUTOMOTIVE, INC ................... 4,639,700 5,346,477 TOYOTA MOTOR CORP ....................... 157,923,275 122,000 TRANSPRO, INC ........................... 1,059,875 102,000 oUMW HOLDINGS BERHAD ..................... 480,903 125,223 VALEO S.A ............................... 7,785,124 72,940 VOLKSWAGEN AG ........................... 55,962,787 143,000 VOLVO AB SERIES A ....................... 3,846,672 627,380 VOLVO AB SERIES B FREE .................. 16,795,264 256,050 WABASH NATIONAL CORP .................... 7,137,393 ------------- 2,123,125,121 ------------- BANKS--9.02% 567,700 ABBEY NATIONAL PLC ...................... 7,747,549 2,375,240 ABN-AMRO HOLDINGS NV .................... 44,369,786 284,207 ALLIED IRISH BANK ....................... 2,173,461 165,326 AMALGAMATED BANKS OF SOUTH AFRICA ....... 1,186,498 158,000 oAMMB HOLDINGS BERHAD .................... 982,806 620,337 AMSOUTH BANCORP ......................... 23,456,492 132,150 ANCHOR BANCORP WISCONSIN, INC ........... 6,442,312 143,000 ARGENTARIA S.A .......................... 8,021,120 2,513,540 ASAHI BANK LTD .......................... 21,416,680 750,000 ASHIKAGA BANK LTD ....................... 2,752,785 9,000 ASSA ABLOY AB SERIES B .................. 183,901 90,800 ASSOCIATED BANC-CORP .................... 3,586,600 875,808 AUSTRALIAN & NEW ZEALAND BANKING GROUP LTD ...................... 6,495,938 6,758,803 BANC ONE CORP ........................... 327,379,520 2,043,500 BANCA COMMERCIALE ITALIANA S.P.A ........ 4,229,554 1,500,000 BANCA POPOLARE DI MILANO ................ 8,983,170 340,000 BANCO AMBROSIANO VENETO S.P.A ........... 979,608 407,987 BANCO BILBAO VIZCAYA S.A. (REGD) ........ 33,203,626 72,973 BANCO CENTRALE HISPANOAMERICANO S.A .................... 2,674,213 38,600 BANCO DE A. EDWARDS S.P.A. ADR .......... 805,775 197,448 oBANCO DE GALICIA BUENOS AIRES S.A. SERIES A .................... 1,313,160 4,000 oBANCO DE GALICIA Y BUENOS AIRES ADR ..... 105,500 41,000 BANCO DE SANTIAGO ADR ................... 1,045,500 50,000 BANCO DE VALENCIA S.A. (REGD) ........... 1,053,845 102,665 oBANCO ESPANOL DE CREDITO S.A ............ 1,036,558 110,523 oBANCO FRANCES DEL RIO DE LA PLATA S.A .............................. 1,197,083 55,000 BANCO INTERCONTINENTAL ESPANOLA S.A ............................ 9,722,570 60,800 BANCO LATINO AMERICANO DE EXPORTACIONES S.A. (CLASS E) ........... 2,622,000 10,625 BANCO POPULAR ESPANOLA S.A. (REGD) ...... 2,607,841 1,188,042 BANCO SANTANDER S.A ..................... 36,671,838 26,580 BANK AUSTRIA AG ......................... 1,474,129 9,630,664 oBANK INTERNATIONAL INDONESIA (FR) ....... 8,312,226 529,192 BANK OF EAST ASIA LTD ................... 2,206,300 312,100 BANK OF MONTREAL ........................ 12,193,530 2,964,836 BANK OF NEW YORK CO, INC ................ 128,970,366 307,396 BANK OF NOVA SCOTIA ..................... 13,480,330 7,000 BANK OF OKINAWA LTD ..................... 214,105 35,648 BANK OF SCOTLAND ........................ 227,823 6,208,605 BANK OF TOKYO MITSUBISHI LTD ............ 124,791,097 758,586 BANK OF YOKOHAMA LTD .................... 4,275,887 9,312,814 BANKAMERICA CORP ........................ 601,258,553 1,834,800 BANKBOSTON CORP ......................... 132,220,275 1,319,174 BANKERS TRUST NEW YORK CORP ............. 114,768,138 200,715 BANQIE DE PARIBAS S.A ................... 13,880,159 73,777 BANQUE NATIONALE DE PARIS ............... 3,043,573 1,088,199 BARCLAYS PLC ............................ 21,588,187 3,445,858 BARNETT BANKS, INC ...................... 180,907,545 293,480 BAYERISCHE HYPOTHEKEN-UND WECHSEL-BANK ........................... 8,782,840 522,010 BAYERISCHE VEREINSBANK AG ............... 21,358,488 1,142,953 BB&T CORPORATION ........................ 51,432,885 420,000 oBHW HOLDING AG .......................... 7,110,063 154,020 oCALIFORNIA FEDERAL BANK GOODWILL CERT .......................... 2,387,310 784,101 CANADIAN IMPERIAL BANK OF COMMERCE ...... 19,778,720 165,921 CAPITAL ONE FINANCIAL CORP .............. 6,263,517 140,900 CCB FINANCIAL CORP ...................... 10,303,312 456,725 CENTRAL FIDELITY BANKS, INC ............. 16,213,737 21,700 CENTURA BANKS, INC ...................... 995,487 563,429 CHARTER ONE FINANCIAL, INC .............. 30,354,737 4,568,275 CHASE MANHATTAN CORP NEW ................ 443,408,192 890,045 CHIBA BANK LTD .......................... 5,304,666 90,500 CITFED BANCORP, INC ..................... 3,506,875 5,280,683 CITICORP CO ............................. 636,652,344 255,400 CITY NATIONAL CORP ...................... 6,145,562 23,000 COLONIAL BANCGROUP, INC ................. 557,750 1,267,858 COMERICA, INC ........................... 86,214,344 5,908,000 COMMERCE ASSET HOLDINGS BERHAD .......... 15,565,866 267,600 oCOMMERCE ASSET HOLDINGS RTS ............. 9,542 217,500 oCOMMERCE ASSET RTS ...................... 33,607 198,447 COMMERCE BANCORP, INC ................... 7,689,821 51,336 COMMERCE BANCSHARES, INC ................ 2,322,954 214,000 COMMERZBANK AG .......................... 6,066,565 218,589 COMMONWEALTH BANK OF AUSTRALIA LTD .......................... 2,620,270 50,600 COMMUNITY FIRST BANKSHARES, INC ......... 1,941,775 1,251,740 COMPAGNIE DE SUEZ S.A ................... 3,080,850 690,400 COMPASS BANCSHARES, INC ................. 23,214,700 2,442,398 CORESTATES FINANCIAL CORP ............... 131,278,892 115,401 CREDIT COMMERCIAL DE FRANCE S.A ......... 4,894,378 13,150 CREDIT COMMUNAL HOLDINGS DEXIA .......... 1,413,741 8,506 CREDIT NATIONAL S.A ..................... 483,760 242,956 CREDIT SUISSE GROUP (REGD) .............. 31,246,480 6,500 CREDITANSTALT-BANKVEREIN (VORZUG) ....... 261,355 11,000 CREDITANSTALT-BAVKVEREIN (STAMM) ........ 642,358 5,594,000 CREDITO ITALIANO S.P.A .................. 10,229,635 1,061,109 CRESTAR FINANCIAL CORP .................. 41,250,612 337,400 CULLEN FROST BANKERS, INC ............... 14,297,325 199 DAI-ICHI KANGO BANK LTD ................. 2,712 1,000,000 oDAO HENG BANK GROUP LTD ................. 5,472,864 37,300 DAUPHIN DEPOSIT CORP .................... 1,662,181 89,289 DEN DANSKE BANK AF 1871 ................. 8,699,056 88,200 DEPOSIT GUARANTY CORP ................... 2,778,300 840,700 DEUTSCHE BANK AG ........................ 49,160,625 See notes to financial statements. -15- SHARES VALUE ------ ----- BANKS--(CONTINUED) 256,250 DEVELOPMENT BANK OF SINGAPORE LTD (FR) ..................... $ 3,225,977 709,700 DIME BANCORP, INC ....................... 12,419,750 825,240 DRESDNER BANK AG ........................ 28,556,156 10,032 oDRESDNER FIN WTS 04/30/02 ............... 91,822 525,175 FIFTH THIRD BANCORP ..................... 43,097,173 257,800 FIRST AMERICAN CORP ..................... 9,893,075 1,112,738 FIRST BANK SYSTEM, INC .................. 95,000,006 3,314,513 FIRST CHICAGO NBD CORP .................. 200,528,036 468,259 FIRST COMMERCE CORP ..................... 20,603,396 32,300 FIRST COMMERCIAL CORP ................... 1,328,337 195,700 FIRST HAWAIIAN, INC ..................... 6,678,262 189,500 FIRST MIDWEST BANCORP, INC .............. 6,004,781 145,000 FIRST NATIONAL BANK HOLDINGS LTD ........ 1,246,831 578,634 FIRST OF AMERICA BANK CORP .............. 26,472,505 1,280,212 FIRST SECURITY CORP ..................... 34,965,790 872,700 FIRST TENNESSEE NATIONAL CORP ........... 41,889,600 2,849,196 FIRST UNION CORP ........................ 263,550,630 430,650 FIRST VIRGINIA BANKS, INC ............... 25,973,578 1,158,500 FIRSTAR CORP ............................ 35,334,250 234,300 FIRSTMERIT CORP ......................... 11,246,400 5,074,840 FLEET FINANCIAL GROUP, INC .............. 320,983,630 137,700 FORT WAYNE NATIONAL CORP ................ 6,471,900 3,086,882 FUJI BANK LTD ........................... 46,399,170 922 oGENERALE DE BANQUE S.A. NPV STRIP VVPR ............................. 410 24,251 GENERALE DE BANQUE S.A .................. 9,342,736 44,600 GREENPOINT FINANCIAL CORP ............... 2,968,687 45,000 oGRUPO FINANCIERO BANAMEX ACCIVAL S.A. DE CV SERIES B ............ 115,406 159,506 oGRUPO FINANCIERO BANAMEX ACCIVAL S.A. DE CV SERIES L ............ 376,983 312,000 oGRUPO FINANCIERO BANCOMER S.A. SERIES B ............................... 149,832 814,000 GUNMA BANK LTD .......................... 7,326,952 795,719 HANG SENG BANK LTD ...................... 11,349,346 568,904 HIBERNIA CORP (CLASS A) ................. 7,929,099 167,800 HIGO FAMILY BANK LTD .................... 1,105,668 147,000 oHOKKAIDO BANK LTD ....................... 193,979 730,205 HOKURIKU BANK LTD ....................... 2,507,835 209,120 HOUSING & COMMERCIAL BANK ............... 3,484,942 725,337 HSBC HOLDINGS PLC ....................... 21,487,774 4,391,310 HSBC HOLDINGS PLC (HONG KONG) ........... 132,068,388 1,596,926 HSBC HOLDINGS LTD (UNITED KINGDOM) ...... 49,128,766 9,300 HUBCO, INC .............................. 269,700 1,076,535 HUNTINGTON BANCSHARES, INC .............. 31,623,215 613,711 oIMPERIAL BANCORP ........................ 17,720,905 415,500 oIMPERIAL CREDIT INDUSTRIES, INC ......... 8,543,718 2,702,160 INDUSTRIAL BANK OF JAPAN LTD ............ 42,033,233 1,069,000 INSTITUTO BANCARIO SAN PAOLO DI TURINO .............................. 7,788,007 14,900 INVESTEC GROUP LIMITED .................. 596,263 1,375,000 ISTITUTO MOBILIARE ITALIANO S.P.A ....... 12,370,050 1,356,305 JOYO BANK ............................... 7,502,790 2,733,819 KEYCORP ................................. 152,752,136 371,052 KOOKMIN BANK ............................ 5,306,117 21,420 KREDIETBANK NV .......................... 8,639,371 11,156,649 LLOYDS TSB GROUP PLC .................... 114,378,947 455,500 LONG ISLAND BANCORP, INC ................ 16,540,343 635,800 MAGNA GROUP, INC ........................ 22,094,050 448,500 MALAYAN BANKING BERHAD .................. 4,708,900 1,725,000 oMALAYSIAN INDUSTRIAL DEVELOPMENT FINANCE ................................ 2,378,370 658,920 MARSHALL & ILSLEY CORP .................. 26,768,625 373,800 oMEDIOBANCA S.P.A ........................ 2,268,278 2,601,736 MELLON BANK CORP ........................ 117,403,337 563,325 MERCANTILE BANCORP, INC ................. 34,221,993 177,493 MERCANTILE BANKSHARES CORP .............. 7,099,720 464,665 MERITA LTD .............................. 1,547,627 8,800 MICHINOKU BANK LTD ...................... 55,447 1,891,200 MITSUBISHI TRUST & BANKING CORP ......... 29,914,226 1,291,700 MITSUI TRUST & BANKING CO LTD ........... 9,764,263 1,653,143 MORGAN (J.P.) & CO, INC ................. 172,546,800 4,191,146 NATIONAL AUSTRALIA BANK LTD ............. 59,565,924 112,200 NATIONAL BANK OF CANADA ................. 1,406,973 1,306,248 NATIONAL CITY CORP ...................... 68,578,020 22,200 NATIONAL COMMERCE BANCORP ............... 488,400 1,300,000 NATIONAL WESTMINSTER BANK PLC ........... 17,470,989 7,622,068 NATIONSBANK CORP ........................ 491,623,386 75,472 NEDCOR LTD .............................. 1,672,349 51,000 NORDBANKEN AB ........................... 1,721,458 784,600 NORTH FORK BANCORP, INC ................. 16,770,825 1,794,200 NORTHERN TRUST CORP ..................... 86,794,425 2,735,418 NORWEST CORP ............................ 153,867,262 462,551 OLD KENT FINANCIAL CORP ................. 24,977,754 71,400 ONBANCORP, INC .......................... 3,641,400 14,300 ONE VALLEY BANCORP, INC ................. 600,600 2,340,384 OVERSEAS-CHINESE BANKING CORP LTD (FR) .......................... 24,225,560 430,750 PACIFIC CENTURY FINANCIAL CORP .......... 19,922,187 109,350 PEOPLES BANK OF BRIDGEPORT CO ........... 2,829,431 375,610 PEOPLES HERITAGE FINANCIAL GROUP, INC ............................. 14,226,228 72,000 oPHILIPPINE NATIONAL BANK ............... 488,622 3,813,364 PNC BANK CORP ........................... 158,731,276 102,205 POPULAR, INC ............................ 4,126,526 113,665 PROVIDENT BANKSHARES CORP ............... 4,731,305 16,400 PROVIDENT FINANCIAL GROUP ............... 701,100 9,400,000 PT BANK DANAMON (FR) .................... 4,925,835 4,078,000 oPT BANK MASHILL UTAMA (FR) .............. 3,184,510 3,700,000 oPT MODERNBANK (FR) ...................... 3,839,767 480,354 PUBLIC BANK BERHAD (FR).................. 749,840 749,000 oPUBLIC BANK BERHAD (LR) ................. 1,068,305 362,000 RCSB FINANCIAL, INC ..................... 17,330,750 1,314,904 REGIONS FINANCIAL CORP .................. 41,583,839 378,375 REPUBLIC BANCORP, INC ................... 5,391,843 558,725 REPUBLIC NEW YORK CORP .................. 60,062,937 1,609,000 RHB CAPITAL BERHAD ...................... 5,099,847 78,000 oRHB CAPITAL BERHAD WTS 12/28/99 ......... 86,838 64,300 RIGGS NATIONAL CORP ..................... 1,326,187 446,160 ROYAL BANK OF CANADA .................... 20,228,556 352,466 ROYAL BANK OF SCOTLAND PLC .............. 3,282,078 4,279,300 SAKURA BANK LTD ......................... 32,834,392 850 SANWA BANK LTD .......................... 12,627 158,000 SEVENTY-SEVEN (77) BANK LTD ............. 1,532,645 998,660 SHIZUOKA BANK LTD ....................... 11,432,749 860,671 SIGNET BANKING CORP ..................... 30,984,156 794,000 SKANDINAVISKA ENSKILDA BANKEN SERIES A ............................... 8,574,184 88,000 SKANDINAVISKA ENSKILDA BANKEN SERIES C FREE ........................... 899,074 91,035 SOCIETE GENERALE S.A .................... 10,171,870 1,153,030 SOUTHTRUST CORP ......................... 47,706,616 755,344 SOVEREIGN BANCORP, INC .................. 11,518,996 381,385 ST. GEORGE BANK LTD ..................... 2,517,313 540,625 ST. PAUL BANCORP, INC ................... 17,908,203 203,549 STANDARD CHARTERED PLC .................. 3,103,102 317,100 STAR BANC CORP .......................... 13,397,475 1,120,700 STATE STREET CORP ....................... 51,832,375 See notes to financial statements. -16- SHARES VALUE ------ ----- BANKS--(CONTINUED) 4,201,895 SUMITOMO BANK LTD ....................... $ 69,034,277 1 SUMITOMO TRUST & BANKING CO LTD ......... 10 979,821 SUMMIT BANCORP .......................... 49,113,527 1,486,380 SUNTRUST BANKS, INC ..................... 81,843,798 174,200 SVENSKA HANDELSBANKEN SERIES A .......... 5,542,032 209,500 SVENSKA HANDELSBANKEN SERIES B FREE ................................... 6,177,385 101,266 oSWISS BANK CORP (REGD) .................. 27,124,197 3,730 oSWISS BANK CORP (REGD) WTS 06/30/00 ..... 36,330 40,000 oSYDBANK A/S ............................. 1,827,865 283,975 SYNOVUS FINANCIAL CORP .................. 7,827,060 2,301,038 TOKAI BANK LTD .......................... 23,728,349 25,000 TRUSTMARK CORP .......................... 700,000 1,019,517 U.S. BANCORP ............................ 65,376,527 96,800 U.S. TRUST CORP ......................... 4,561,700 4,545 UBS REGISTERED .......................... 1,041,244 85,500 UNI BANKDANMARK AS (CLASS A) ............ 4,809,684 24,291 UNION BANK OF SWITZERLAND (BR) .......... 27,824,929 690,271 UNION PLANTERS CORP ..................... 35,807,808 66,100 UNITED CAROLINA BANCSHARES CORP ......... 3,437,200 406,890 UNITED OVERSEAS BANK LTD (FR) ........... 4,183,303 372,600 UST CORP ................................ 8,336,925 1,235,680 WACHOVIA CORP ........................... 72,055,590 773,448 WASHINGTON FEDERAL, INC ................. 19,867,945 1,060,000 WASHINGTON MUTUAL, INC .................. 63,335,000 661,381 WELLS FARGO & CO ........................ 178,242,179 114,400 WESTAMERICA BANCORP ..................... 8,694,400 4,937,409 WESTPAC BANKING CORP .................... 29,481,881 75,100 WILMINGTON TRUST CORP ................... 3,435,825 130,302 WING LUNG BANK LTD ...................... 830,858 301,000 YAMAGUCHI BANK LTD ...................... 4,524,355 1,692,342 YASUDA TRUST & BANKING CO LTD ........... 6,477,747 345,700 ZIONS BANCORP ........................... 13,006,962 -------------- $8,399,720,655 -------------- BEVERAGES--2.78% 4,063,044 ANHEUSER BUSCH COS, INC ................. 170,393,227 3,396,080 ARTHUR GUINESS & SONS PLC ............... 33,234,324 346,400 ASAHI BREWERIES LTD ..................... 5,176,494 357,200 BASS LTD ................................ 4,357,596 1,880 oBRAU UND BRUNNEN AG .................... 148,880 399,900 BROWN FORMAN, INC (CLASS B) ............. 19,520,118 43,449 oCARLSBERG BREWERIES AS (CLASS A) ........ 2,391,741 11,781 oCARLSBERG BREWERIES AS (CLASS B) ........ 650,286 975,000 CARLSBERG BREWERIES MALAYSIA BERHAD ................................. 5,021,796 3,020 CHO SUN BREWERY CO LTD .................. 78,892 63,500 CHRISTIAN DIOR S.A ...................... 10,491,414 154,227 COCA-COLA AMATIL LTD .................... 1,987,406 277,600 COCA COLA BOTTLING CO CONSOLIDATED ...... 13,463,600 21,322,598 COCA COLA CO ............................ 1,439,275,365 1,590,900 COCA COLA ENTERPRISES, INC .............. 36,590,700 87,800 COMPANIA CERVECERIAS UNIDAS S.A. ADR ........................ 1,926,112 234,400 COORS (ADOLPH) CO (CLASS B) ............. 6,240,900 52,000 COTT CORP ............................... 554,073 46,700 oEL AGUILA S.A ........................... 223,529 15,700 EMBOTELLADORA ANDINA ADR (CLASS B) ...... 327,737 156,500 FOMENTO ECONOMICO MEXICANO S.A .......... DE CV SERIES B ......................... 930,599 5,112,396 FOSTERS BREWING GROUP LTD ............... 9,422,309 108,000 FRASER & NEAVE LTD ...................... 770,457 3,718,496 GRAND METROPOLITAN PLC .................. 35,987,249 225,500 GRUPO MODELO S.A. SERIES C .............. 1,562,015 106,053 HEINEKEN NV ............................. 18,132,868 189,000 oITO EN LTD .............................. 4,277,827 2,613,175 KIRIN BREWERY CO LTD .................... 27,175,478 1,849,930 LION NATHAN LTD ......................... 4,676,981 148,001 LVMH MOET HENNESSY LOUIS VUITTON ........ 39,830,002 64,000 MOLSON CO LTD (CLASS A) ................. 1,064,656 1,000 MOLSON CO LTD (CLASS B) ................. 17,033 22,200 PEPSI-GEMEX S.A. ADR .................... 277,500 17,784,736 PEPSICO, INC ............................ 668,039,146 19,680 PERNOD-RICARD S.A ....................... 1,015,678 1,100,000 oPT GUDANG GARAM (FR) .................... 4,611,420 143,500 SAPPORO BREWERIES LTD ................... 1,193,852 238,857 SCOTTISH & NEWCASTLE PLC ................ 2,570,029 222,400 SEAGRAMS CO LTD ......................... 8,946,943 241,400 SEAGRAMS CO LTD (U.S.) .................. 9,716,350 88,002 SOUTH AFRICAN BREWERIES LTD ............. 2,701,771 38,200 VINA CONCHA Y TORO S.A. ADR ............. 1,181,812 ------------- 2,596,156,165 ------------- BROADCASTERS--0.57% 282,900 oAMERICAN RADIO SYSTEMS CORP ............. 11,280,637 230 ~oANTENA 3 DE TELEVISION GDS (RULE 144A) ............................ 5,316,818 134,250 oASSOCIATED GROUP, INC (CLASS A) ......... 5,370,000 303,050 oASSOCIATED GROUP, INC (CLASS B) ......... 11,743,187 48,200 AUDIOFINA ............................... 1,984,282 88,400 BHC COMMUNICATIONS, INC (CLASS A) ....... 10,563,800 700,000 BRITISH SKY BROADCASTING GROUP PLC ...... 5,126,044 60,390 oCANAL PLUS S.A .......................... 11,767,376 232,750 CARLTON COMMUNICATIONS PLC .............. 1,965,881 395,600 oCLEAR CHANNEL COMMUNICATIONS, INC ....... 24,329,400 707,800 COMCAST CORP (CLASS A) .................. 14,819,562 2,021,835 COMCAST CORP (CLASS A) SPECIAL .......... 43,216,723 36,338 oDATA BROADCASTING CORP .................. 172,605 283,950 oEVERGREEN MEDIA CORP (CLASS A) .......... 12,671,268 571,605 GAYLORD ENTERTAINMENT CO ................ 13,182,640 213,000 oGENERAL CABLE PLC ADR ................... 2,875,500 64,700 oGRUPO TELEVISA S.A. DE CV (PT CERT) ..... 984,185 554,900 HARTE-HANKS COMMUNICATIONS, INC ......... 16,369,550 457,014 oHERITAGE MEDIA CORP (CLASS A) ........... 8,626,139 214,700 oJACOR COMMUNICATIONS, INC WTS 9/18/01 ... 751,450 250,000 KING WORLD PRODUCTIONS, INC ............. 8,750,000 2,084,948 oLIBERTY MEDIA GROUP (CLASS A) ........... 49,517,515 149,169 oLIN TELEVISION CORP ..................... 6,582,082 2,455,454 MEDIASET S.P.A .......................... 10,417,067 25,200 oMIH HOLDINGS LIMITED .................... 94,454 47,700 oNASIONALE PERS BEPERK SERIES N .......... 546,886 150 NIPPON TELEVISION NETWORK CORP .......... 60,299 32,000 NRJ S.A ................................. 4,360,422 45,130 PATHE S.A ............................... 8,962,981 71,900 oROGERS COMMUNICATIONS INC (CLASS B) ..... 450,808 412,565 SCRIPPS (E.W.) CO (CLASS A) ............. 17,173,018 127,600 TCA CABLE TV, INC ....................... 4,800,950 573,449 oTCI SATELLITE ENTERTAINMENT (CLASS A).... 4,515,910 3,200 oTELE METROPOLE, INC (CLASS B) ........... 55,088 6,227,597 oTELE-COMMUNICATIONS, INC (CLASS A) ...... 92,635,505 170,000 TELEVISION BROADCASTS LTD ............... 763,619 336,350 TOKYO BROADCASTING SYSTEMS, INC ......... 6,907,502 342,400 UNITED TELEVISION, INC .................. 33,897,600 469,487 oVIACOM, INC (CLASS A) ................... 13,820,523 1,752,348 oVIACOM, INC (CLASS B) ................... 52,570,440 246,144 oVIACOM, INC (CLASS B) WTS 07/07/97 ...... 962 147,686 oVIACOM, INC (CLASS B) WTS 07/07/99 ...... 175,377 266,800 oWESTWOOD ONE, INC ....................... 8,604,300 -------------- 528,780,355 -------------- See notes to financial statements. -17- SHARES VALUE ------ ----- BUSINESS SERVICES--1.28% 554,215 oACCUSTAFF, INC .......................... $13,127,967 431,779 oACNEILSEN CORP .......................... 8,473,662 2,544 ADECCO S.A .............................. 977,563 223,900 ADECCO S.A. ADR ......................... 10,831,162 20,634 ADECCO S.A. (BR) ........................ 7,925,809 470,330 oADVO, INC ............................... 7,642,862 153,200 oAFFILIATED COMPUTER SERVICES, INC (CLASS A) ............................... 4,289,600 19,655 oAGENCE HAVAS S.A ........................ 1,417,800 90,900 oALLIANCE SEMICONDUCTOR CORP ............. 744,243 532,700 oALLWASTE, INC ........................... 5,060,650 122,000 oALTERNATIVE RESOURCES CORP .............. 2,485,750 824,100 oAMERICA ONLINE, INC ..................... 45,840,562 509,030 AMERICAN BUSINESS PRODUCTS, INC ......... 11,580,432 489,475 oAPOLLO GROUP, INC (CLASS A) ............. 17,253,993 157,600 oASPEN TECHNOLOGY, INC ................... 5,929,700 361,400 AUTODESK, INC ........................... 13,846,137 324,900 BANTA CORP .............................. 8,812,912 7,500 oBETA SYSTEMS SOFTWARE AG ................ 886,605 785,700 BLOCK (H&R), INC ........................ 25,338,825 79,050 oBOSTON LIFE SCIENCES, INC ............... 400,190 129,100 oCABLEVISION SYSTEMS CORP (CLASS A) ...... 6,906,850 342,400 oCATALINA MARKETING CORP ................. 16,478,000 302,200 oCHECKPOINT SYSTEMS, INC ................. 4,854,087 125,000 oCIBER, INC .............................. 4,273,437 307,500 CINTAS CORP ............................. 21,140,625 1,836,239 COGNIZANT CORP .......................... 74,367,679 198,000 oCOMPUTER HORIZONS CORP................... 6,781,500 681,500 oCOMPUTERVISION CORP ..................... 3,151,937 155,950 oCORESTAFF, INC .......................... 4,210,650 578,900 oCORPORATE EXPRESS, INC .................. 8,357,868 517,100 oCORRECTIONS CORP OF AMERICA ............. 20,554,725 344,700 oCREDENCE SYSTEMS CORP ................... 10,319,456 161,300 CROSS (A.T.) CO (CLASS A) ............... 2,056,575 794,400 DELUXE CORP ............................. 27,108,900 83,700 oDEVRY, INC .............................. 2,259,900 98,400 oDIALOGIC CORP ........................... 2,619,900 490,062 DIEBOLD, INC ............................ 19,112,418 152,000 oDIMENSION DATA HOLDINGS LTD ............. 603,241 398,200 oDOUBLETREE CORP ......................... 16,375,975 174,910 ELECTROCOMPONENTS PLC ................... 1,305,595 13,300 oENCAD, INC .............................. 551,950 438,550 ENNIS BUSINESS FORMS, INC ............... 4,221,043 148,900 oEQUITY CORP INTERNATIONAL ............... 3,601,518 28,000 ESSELTE AB SERIES B FREE ................ 659,045 345,800 FIRST INDUSTRIAL REALTY TRUST, INC ...... 10,114,650 8,400 FLUGHAFEN WIEN AG ....................... 354,879 277,500 oFORE SYSTEMS, INC ....................... 3,780,937 256,900 oFRANKLIN COVEY CO ....................... 6,502,781 57,900 oFRITZ COS, INC .......................... 560,906 625,495 GETRONICS NV ............................ 20,240,062 41,523 GUILBERT S.A ............................ 5,884,379 10,000 oHA-LO INDUSTRIES, INC ................... 236,250 230,700 HARLAND (JOHN H.) CO .................... 5,262,843 34,000 oHCIA, INC ............................... 1,139,000 258,500 HENDERSON INVESTMENT LTD ................ 285,282 169,400 HUNT MANUFACTURING CO ................... 3,176,250 44,500 oIMPERIAL HOLDINGS LTD ................... 632,841 259,900 oINFORMATION RESOURCES, INC .............. 3,671,087 82,600 oINSO CORP ............................... 1,698,462 216,200 oINTERIM SERVICES, INC ................... 9,620,900 723,100 INTERPUBLIC GROUP OF COS, INC ........... 44,335,068 10,800 oINTERNATIONAL SERVICE SYSTEM AS SERIES B ............................ 387,652 66,200 oITRON, INC .............................. 1,712,925 80,000 KCI KONESCRANES INT'L ................... 3,511,601 375,793 KELLY SERVICES, INC (CLASS A) ........... 11,790,505 252,000 LIBERTY PROPERTY TRUST CO ............... 6,268,500 304,300 oMACNEAL-SCHWENDLER CORP ................. 3,309,262 221,200 oMAIL BOXES ETC .......................... 6,165,950 852,000 MANPOWER, INC ........................... 37,914,000 70,300 oMANUGISTICS GROUP, INC .................. 3,128,350 352,250 oMCAFEE ASSOCIATES, INC .................. 22,235,781 170,000 oMEITEC CORP ............................. 5,065,998 45,000 oMERCURY INTERACTIVE CORP ................ 669,375 501,200 oMERISEL, INC ............................ 1,002,400 192,100 oMICRO WAREHOUSE, INC .................... 3,289,712 776,113 MISYS PLC ............................... 17,599,206 126,762 MOORE CORP LTD .......................... 2,499,198 118,200 oNASHUA CORP ............................. 1,285,425 52,470 oNATIONAL AUTO CREDIT, INC ............... 465,671 395,649 NATIONAL SERVICE INDUSTRIES, INC ........ 19,263,160 93,800 NEW ENGLAND BUSINESS SERVICES, INC ...... 2,468,112 94,320 NIPPON KANZAI CO LTD .................... 2,101,869 254,800 oNU KOTE HOLDING, INC (CLASS A) .......... 637,000 86,600 oODS NETWORKS, INC ....................... 1,028,375 1,162,898 oOFFICE DEPOT, INC ....................... 22,603,829 500 oOIS OPTICAL IMAGING SYSTEMS, INC ........ 1,218 478,094 OLSTEN CORP ............................. 9,292,952 801,800 OMNICOM GROUP, INC ...................... 49,410,925 642,227 PAYCHEX, INC ............................ 24,404,626 490,300 PITTSTON BRINKS GROUP CO ................ 14,709,000 7,100 oPREPAID LEGAL SERVICES, INC ............. 149,987 60,300 oPRI AUTOMATION, INC ..................... 2,287,631 217,166 oPRICER AB SERIES B ...................... 7,470,665 790,380 PROSEGUR COMPANIA DE SEGURIDAD S.A ......................... 9,672,828 246,471 oPURE ATRIA CORP ......................... 3,481,402 212,900 oQUARTERDECK CORP ........................ 538,903 20,000,000 oREGENT PACIFIC GROUP .................... 5,614,849 111,500 oREMEDY CORP ............................. 4,460,000 682,600 REUTERS HOLDINGS PLC .................... 7,191,203 551,900 oROBERT HALF INTERNATIONAL, INC .......... 25,973,793 434,150 ROLLINS, INC ............................ 8,737,268 60,000 oSANIX, INC .............................. 1,966,275 114,500 SAP AG .................................. 22,997,239 28,000 SCRIBONA AB SERIES B FREE ............... 325,901 122,727 SECOM CO LTD ............................ 9,019,819 1,000,000 oSECURICOR PLC .......................... 4,743,255 159,000 SECURITAS AB SERIES B FREE .............. 4,482,697 483,150 SENSORMATIC ELECTRONICS CORP ............ 6,220,556 1,755,900 SERVICE CORP INT'L ...................... 57,725,212 2,698 SOCIETE GENERAL DE SURVEILLANCE (BR) .... 5,773,893 1,282 SOPHUS BERENDSEN AS (CLASS A) ........... 184,643 32,665 SOPHUS BERENDSEN AS (CLASS B) ........... 4,729,285 211,500 STANDARD REGISTER, INC .................. 6,477,187 531,600 oSUNGARD DATA SYSTEMS, INC ............... 24,719,400 63,950 oSYLVAN LEARNING SYSTEMS, INC ............ 2,174,300 96,400 oTHERMOLASE CORP ......................... 1,355,625 68,800 TOKYO DOME CORP ......................... 925,914 122,300 TOKYO TOKEIBA CO LTD .................... 352,697 70,000 TOTAL SYSTEM SERVICES, INC .............. 1,701,875 277,700 oTRACOR, INC ............................. 6,977,212 24,000 oTRANS COSMOS ............................ 878,793 287,800 TRUE NORTH COMMUNICATIONS, INC .......... 7,123,050 336,100 UNIFIRST CORP ........................... 6,722,000 254,700 oUNION CORP .............................. 6,685,875 36,248 oUNITED STATIONERS, INC .................. 915,262 276,700 VALSPAR CORP ............................ 8,197,237 310,300 oVOLT INFORMATION SCIENCES, INC .......... 15,670,150 86,000 WACKENHUT CORP SERIES A ................. 2,064,000 See notes to financial statements. -18- SHARES VALUE ------ ----- BUSINESS SERVICES--(CONTINUED) 348,206 WACKENHUT CORP SERIES B ................. $ 6,942,357 71,000 oWACKENHUT CORRECTIONS CORP .............. 2,067,875 235,100 WALLACE COMPUTER SERVICES, INC .......... 7,067,693 114,300 oWIND RIVER SYSTEMS, INC ................. 4,371,975 39,800 oWONDERWARE CORP ......................... 562,175 8,248,000 WPP GROUP PLC ........................... 33,837,415 ------------- 1,187,995,823 ------------- CHEMICALS--MAJOR--2.14% 79,000 AFRICAN OXYGEN LTD ...................... 259,530 31,000 AGA AB SERIES A FREE .................... 420,956 43,500 AGA AB SERIES B FREE .................... 579,445 892,000 AIR PRODUCTS & CHEMICALS, INC ........... 72,475,000 119,017 AKZO NOBEL NV ........................... 16,340,300 83,100 ARCO CHEMICAL CO ........................ 3,952,443 1,231,600 BASF AG ................................. 45,550,670 1,161,950 BAYER AG ................................ 44,688,320 189,232 BOC GROUP PLC ........................... 3,291,110 100,000 oCANADIAN 88 ENERGY CORP ................. 405,914 314,900 CHEMFIRST, INC .......................... 8,541,662 159,000 COURTAULDS PLC .......................... 894,428 34,000 CYDSA SA (SERIES A) ..................... 92,752 217,710 DEGUSSA AG .............................. 11,531,405 2,392,400 DOW CHEMICAL CO ......................... 208,437,850 10,918,322 DU PONT (E.I.) DE NEMOURS & CO .......... 686,489,495 12,000 DU PONT CANADA, INC (CLASS A) ........... 260,945 11,000 DYNO INDUSTRIER AS ...................... 285,487 744,148 EASTMAN CHEMICAL CO ..................... 47,253,398 131,339 ENGLISH CHINA CLAYS PLC ................. 451,383 65,600 oERCROS S.A .............................. 66,902 449,900 GOODRICH (B.F.) CO ...................... 19,486,293 1,026,000 HERCULES, INC ........................... 49,119,750 839,000 ICI AUSTRALIA LTD ....................... 8,202,953 295,342 IMPERIAL CHEMICAL INDUSTRY PLC .......... 4,106,797 20,115 ~LAIR LIQUIDE (REGD) 1996 ................ 3,196,614 3,585 ~LAIR LIQUIDE (REGD) 1998 ................ 569,717 5,060 ~LAIR LIQUIDE (REGD) P.F. 1999 ........... 804,119 479,677 LILLY INDUSTRIES, INC (CLASS A).......... 9,653,499 246,877 MISSISSIPPI CHEMICAL CORP ............... 5,122,697 3,449,433 MITSUBISHI CHEMICAL CORP ................ 11,274,078 936,500 MITSUBISHI GAS CHEMICAL CO, INC ......... 3,830,146 825,667 MITSUI TOATSU CHEMICALS, INC ............ 2,272,883 4,684,600 MONSANTO CO ............................. 201,730,587 7,208,000 oMONTEDISON S.P.A ........................ 4,755,377 213,000 NIPPON OIL & FATS CO LTD ................ 912,089 321,600 NIPPON SHOKUBAI KAGAK KOGYO CO LTD ...... 2,557,520 305,900 oOAK TECHNOLOGY, INC...................... 2,982,525 400,900 OLIN CORP ............................... 15,660,156 3,296,600 PPG INDUSTRIES, INC ..................... 191,614,875 2,974,880 PRAXAIR, INC ............................ 166,593,280 114,100 oQUINTILES TRANSNATIONAL CORP ............ 7,944,212 133,043 RHONE-POULENC S.A. (CLASS A) ............ 5,438,659 478,400 ROHM & HAAS CO .......................... 43,085,900 160,484 SASOL LTD ............................... 2,105,347 781,000 oSHOWA DENKO K.K ......................... 2,047,547 40,000 SK KAKEN CO LTD ......................... 891,378 9,345 SOLVAY ET CIE S.A ....................... 5,510,739 1,149,160 SUMITOMO CHEMICAL CO LTD ................ 5,212,062 5,000 TESSENDERLO CHEMIE NV ................... 246,171 420 TOSHIBA CHEMICAL CORP ................... 2,330 341,000 UBE INDUSTRIES LTD ...................... 992,339 380 UCB S.A ................................. 1,204,989 1,118,580 UNION CARBIDE CORP ...................... 52,643,171 155,780 WHITE MARTINS S.A ....................... 455,793 41,544,000 YIZHENZ CHEMICAL FIBER CO (CLASS H) ..... 7,400,077 25,000 ZENECA GROUP PLC ADR .................... 2,478,125 ------------- 1,994,374,189 ------------- CHEMICALS--SPECIALTY--0.97% 169,951 AGRIUM, INC ............................. 1,946,380 646,400 oAIRGAS, INC ............................. 12,806,800 374,390 ALBEMARLE CORP .......................... 7,885,589 207,000 ARONKASEI CO LTD ........................ 1,454,414 1,034,404 ASAHI CHEMICAL INDUSTRY CO LTD .......... 6,192,164 137,500 BETZDEARBORN, INC ....................... 9,075,000 163,200 CALGON CARBON CORP ...................... 2,264,400 270,200 CAMBREX CORP ............................ 10,706,675 174,500 CHEMED CORP ............................. 6,532,843 2,000 oCIBA SPECIALTY CHEMICALS AG ............. 185,197 315,121 COMMERCIAL METALS CO .................... 10,162,652 351,800 CROMPTON & KNOWLES CORP ................. 7,827,550 547,257 oCYTEC INDUSTRIES, INC ................... 20,453,730 723,000 DAICEL CHEMICAL INDUSTRIES LTD .......... 2,799,005 896,380 DAINIPPON INK & CHEMICAL, INC ........... 3,869,731 2,368,000 DENKI KAGKU KOGYO ....................... 6,539,288 224,200 DEXTER CORP ............................. 7,174,400 120,360 oECOGEN, INC ............................. 421,260 427,500 ECOLAB, INC ............................. 20,413,125 954,255 ENGELHARD CORP .......................... 19,979,714 922,700 ETHYL CORP .............................. 8,534,975 190,750 FERRO CORP .............................. 7,069,671 231,100 FOSTER WHEELER CORP ..................... 9,359,550 87,204 FULLER (H.B.) CO ........................ 4,796,220 213,500 GEON CO ................................. 4,323,375 389,800 GEORGIA GULF CORP ....................... 11,328,562 837,300 GRACE (W.R.) & CO ....................... 46,156,162 689,800 GREAT LAKES CHEMICAL CORP ............... 36,128,275 250,346 ICN PHARMACEUTICALS, INC ................ 7,181,800 2,252,120 IMC GLOBAL, INC ......................... 78,824,200 109,700 oINTERNATIONAL SPECIALTY PRODUCTS, INC .......................... 1,542,656 663,000 KANEKA CORP ............................. 4,160,061 408,000 KANSAI PAINT CO LTD ..................... 1,690,052 55,000 KEMIRA OY ............................... 518,846 250,000 KONISHI CO LTD .......................... 5,112,315 430,300 KUREHA CHEMICAL INDUSTRY CO LTD ......... 1,861,393 357,190 LAWTER INTERNATIONAL, INC ............... 4,509,523 120,237 LEARONAL, INC ........................... 3,426,754 574,400 LUBRIZOL CORP ........................... 24,088,900 247,000 LYONDELL PETROCHEMICAL CO ............... 5,387,687 4,046,750 +MALLINCKRODT, INC ....................... 153,776,500 76,450 oMCWHORTER TECHNOLOGIES, INC ............. 1,825,243 305,000 oMETHANEX CORP ........................... 2,829,806 1,845,500 MORTON INTERNATIONAL, INC ............... 55,711,031 499,400 oMYCOGEN CORP ............................ 9,800,725 343,500 NALCO CHEMICAL CORP ..................... 13,267,687 21,100 NCH CORP ................................ 1,318,750 2,377 NORIT NV ................................ 40,277 354,200 NOVA CORP ............................... 3,029,545 305,000 NOVA CORP (U.S.) ........................ 2,592,500 111,900 PENWEST LTD ............................. 3,776,625 117,800 PETROLITE CORP .......................... 7,288,875 60,000 POTASH CORP OF SASKATCHEWAN, INC ........ 4,520,876 233,676 POTASH CORP OF SASKATCHEWAN, INC (U.S.) . 17,540,304 5,914,500 oPT ETERINDO WAHANATAMA (FR) ............. 4,922,490 497,100 RAYCHEM CORP ............................ 36,971,812 505,306 RPM, INC ................................ 9,284,997 See notes to financial statements. -19- SHARES VALUE ------ ----- CHEMICALS--SPECIALTY--(CONTINUED) 329,677 SCHULMAN (A.), INC ...................... $ 8,118,296 491,600 oSEALED AIR CORP ......................... 23,351,000 518,920 SEKISUI CHEMICAL CO LTD ................. 5,260,416 442,663 SHIN-ETSU CHEMICAL CO LTD ............... 11,760,033 499,100 SIGMA ALDRICH CORP ...................... 17,499,693 315,000 oSKW TROSTBERG AG ........................ 10,647,018 243,700 THIOKOL CORP ............................ 17,059,000 398,000 oTOSOH CORP .............................. 1,349,511 297,895 TREDEGAR INDUSTRIES, INC ................ 16,533,172 123,300 WD-40 CO ................................ 7,398,000 325,900 WELLMAN, INC ............................ 5,662,512 438,000 WITCO CORP .............................. 16,616,625 380,052 ZERO CORP ............................... 9,976,365 ----------- 904,420,578 ------------ COMMUNICATION EQUIPMENT & SERVICES--2.50% 788,873 o360 COMMUNICATIONS CO ................... 13,509,450 4,868,099 o3COM CORP ............................... 219,064,455 108,550 oACC CORP ................................ 3,351,481 121,000 AIPHONE CO LTD .......................... 2,114,838 6,167,415 oAIRTOUCH COMMUNICATIONS, INC ............ 168,832,985 325,000 ALLGON AB SERIES B FREE ................. 5,148,791 13,125 ~AMERICAN SATELLITE NETWORK WTS 06/30/99 . 0 447,900 oAMTECH CORP ............................. 2,099,531 793,618 oANDREW CORP ............................. 22,320,506 123,100 oANTEC CORP .............................. 1,446,425 79,900 oAPAC TELESERVICES, INC .................. 1,553,056 248,700 oARCH COMMUNICATIONS GROUP, INC .......... 1,896,337 2,997,600 oASCEND COMMUNICATIONS, INC .............. 118,030,500 760,000 oASaIA SATELLITE TELECOM HOLDINGS LTD .... 2,329,839 226,600 oAVID TECHNOLOGIES, INC .................. 5,976,575 254,650 oAYDIN CORP .............................. 3,183,125 805,393 oBRINKER INTERNATIONAL, INC .............. 11,476,850 54,500 oBROADBAND TECHNOLOGIES, INC ............. 442,812 263,800 oCABLE DESIGN TECHNOLOGIES CO ............ 7,765,612 921,400 oCABLETRON SYSTEMS, INC .................. 26,087,137 311,300 oCALIFORNIA MICROWAVE, INC ............... 4,358,200 594,500 oCASCADE COMMUNICATIONS CORP ............. 16,423,062 840,200 oCELLNET DATA SYSTEMS, INC ............... 10,449,987 58,500 oCELLSTAR CORP ........................... 1,791,562 37,701 oCELLULAR COMMUNICATIONS INTERNATIONAL, INC ..................... 1,262,983 504,700 CENTURY TELEPHONE ENTERPRISES, INC 17,002,081 366 oCHYRON CORP ............................. 1,647 50,300 oCIDCO, INC .............................. 691,625 6,168,000 oCISCO SYSTEMS, INC ...................... 414,027,000 200,000 oCOLT TELECOM GROUP PLC ADR .............. 4,150,000 324,400 COMSAT CORP SERIES 1 .................... 7,724,775 1,463,364 CORNING, INC ............................ 81,399,622 332,300 oDIGI INTERNATIONAL, INC ................. 3,364,537 201,600 oDIGITAL MICROWAVE CORP .................. 6,048,000 752,288 oDSC COMMUNICATIONS CORP ................. 16,738,408 366,000 oDSP COMMUNICATIONS, INC ................. 4,026,000 170,500 oDYNATECH CORP ........................... 6,095,375 1,843,350 ERICSSON TELEFON (LM) AB SERIES B ....... 72,590,693 430,000 ERICSSON TELEFON (LM) AB SERIES B ADR ... 16,931,250 475,000 oESPRIT TELECOM GROUP PLC-ADR ............ 3,800,000 319,200 oGENERAL DATACOMM INDUSTRIES, INC ........ 2,274,300 787,700 oGEOTEK COMMUNICATIONS, INC .............. 4,283,118 440,575 HARRIS CORP ............................. 37,008,300 16,800 oHEFTEL BROADCASTING CORP (CLASS A) ...... 928,200 11,200 oHIGHWAYMASTER COMMUNICATIONS, INC ....... 170,800 537,100 oICG COMMUNICATIONS, INC ................. 10,339,175 96,900 oINTERDIGITAL COMMUNICATIONS CORP ........ 532,950 61,200 oINTERMEDIA COMMUNICATIONS, INC .......... 1,981,350 103,600 oINTERNATIONAL FAMILY ENTERTAINMENT, INC ..................... 3,561,250 80,300 oJACOR COMMUNICATIONS, INC ............... 3,071,475 1,172,000 oLCI INTERNATIONAL, INC .................. 25,637,500 34,900 oLEVEL ONE COMMUNICATIONS, INC ........... 1,341,468 45,801 LG INFORMATION & COMMUNICATIONS ......... 5,672,911 284,300 oLORAL SPACE & COMMUNICATIONS LTD ........ 4,264,500 7,256,118 LUCENT TECHNOLOGIES, INC ................ 522,894,003 250,000 FILMES LUSOMUNDO (NON-VTG) .............. 2,090,707 305,400 oMACROMEDIA, INC ......................... 2,634,075 148,450 oMASTEC, INC ............................. 7,023,540 76,424 oMILLICOM INTERNATIONAL CELLULAR S.A ..... 3,649,246 4,800 oMITEL CORP .............................. 25,200 9,500 oNETCOM ON-LINE COMMUNICATIONS SERVICE, INC ........................... 140,125 195,800 oNETWORK EQUIPMENT TECHNOLOGIES, INC ...................... 3,524,400 207,800 oNEWBRIDGE NETWORKS CORP ................. 8,916,906 169,300 NOKIA AB SERIES A ADR ................... 12,485,875 288,000 NOKIA AB SERIES K ....................... 21,457,732 130,700 NORTHERN TELECOMMUNICATIONS LTD ......... 11,790,098 212,409 NORTHERN TELECOMMUNICATIONS LTD (U.S.) ............................. 19,329,219 1,917,000 oNOVELL, INC ............................. 13,299,187 355,022 oNTL, INC ................................ 8,831,172 445,320 oOCTEL COMMUNICATIONS CORP ............... 10,437,187 1,124,400 oOMNIPOINT CORP .......................... 18,693,150 393,900 OY NOKIA AB SERIES A .................... 29,416,169 216,300 oP-COM, INC .............................. 7,137,900 745,000 oPAGING NETWORK, INC ..................... 6,542,031 787,000 oPAIRGAIN TECHNOLOGIES, INC .............. 12,198,500 272,842 oPANAMSAT CORP ........................... 7,912,418 494,300 oPICTURETEL CORP ......................... 4,695,850 69,800 PLESSEY CORP LTD ........................ 133,890 292,700 oPMT SERVICES, INC ....................... 4,463,675 72,100 oPREMIERE TECHNOLOGIES INC ............... 1,874,600 113,900 oPREMISYS COMMUNICATIONS, INC ............ 1,793,925 100,000 PT TELEKOMUNIKASI INDONESIA SP ADR ...... 3,250,000 369,900 oQUALCOMM, INC ........................... 18,818,662 47,935 SAMSUNG ELECTRONICS CO .................. 3,805,224 785,900 SCIENTIFIC-ATLANTA, INC ................. 17,191,562 89,000 SIRTI S.P.A ............................. 513,115 232,400 oSITEL CORP .............................. 4,793,250 144,200 SK TELECOM CO LTD ADR ................... 1,451,012 529,400 oTECH DATA CORP .......................... 16,643,012 246,800 oTEL-SAVE HOLDINGS, INC .................. 3,763,700 230,600 oTELCO SYSTEMS, INC ...................... 2,046,575 84,300 oTELE-COMMUNICATIONS INT'L (CLASS A) ..... 1,301,381 41,700 TELECOM ARGENTINA S.A. B ................ 217,695 1,528,200 oTELLABS, INC ............................ 85,388,175 306,100 oTSENG LABORATORIES, INC ................. 937,431 237,000 oVANGUARD CELLULAR SYSTEMS, INC .......... 3,229,125 750,300 oVIATEL, INC ............................. 5,064,525 130,456 oVTEL CORP ............................... 782,736 20,800 oWESTELL TECHNOLOGIES, INC (CLASS A) ..... 520,000 278,400 oWINSTAR COMMUNICATIONS, INC ............. 3,723,600 ------------- 2,323,405,969 ------------- See notes to financial statements. -20- SHARES VALUE ------ ----- COMPUTER SERVICE--3.04% 37,800 o3DO CO .................................. $ 132,300 18,500 oACTEL CORP .............................. 315,656 475,000 oACXIOM CORP ............................. 9,737,500 1,373,200 oADAPTEC, INC ............................ 47,718,700 1,283,000 oADC TELECOMMUNICATIONS, INC ............. 42,820,125 553,244 ADOBE SYSTEMS, INC ...................... 19,398,117 616,425 oAMERICAN MANAGEMENT SYSTEMS, INC ........ 16,489,368 238,000 oAMERICAN SOFTWARE, INC (CLASS A) ........ 1,788,719 168,200 oAUSPEX SYSTEMS, INC ..................... 1,618,925 2,744,000 AUTOMATIC DATA PROCESSING, INC .......... 128,968,000 102,100 oAVANT CORP .............................. 3,299,106 200,000 oBAAN CO NV .............................. 13,576,267 117,300 oBANCTEC, INC ............................ 3,042,468 137,900 oBANYAN SYSTEMS, INC ..................... 310,275 1,055,638 oBAY NETWORKS, INC ....................... 28,040,384 155,100 oBDM INTERNATIONAL, INC .................. 3,567,300 61,100 oBELL & HOWELL CO ........................ 1,882,643 251,000 oBISYS GROUP, INC ........................ 10,479,250 890,400 oBMC SOFTWARE, INC ....................... 49,305,900 220,637 oBORLAND INTERNATIONAL, INC .............. 1,530,669 162,300 oBOSTON TECHNOLOGY, INC .................. 4,797,993 100,200 oBRODERBUND SOFTWARE, INC ................ 2,473,687 185,500 oC-CUBE MICROSYSTEMS, INC ................ 3,257,843 839,937 oCADENCE DESIGN SYSTEMS, INC ............. 28,137,889 266,800 oCAMBRIDGE TECHNOLOGY PARTNERS, INC .......................... 8,537,600 52,100 oCDW COMPUTER CENTERS, INC ............... 2,764,556 685,026 oCERIDIAN CORP ........................... 28,942,348 285,200 oCHECKFREE CORP .......................... 5,026,650 235,300 oCITRIX SYSTEMS, INC ..................... 10,323,787 113,100 oCLARIFY INC ............................. 1,279,443 1,020,200 oCOMPUSA, INC ............................ 21,934,300 3,916,639 COMPUTER ASSOCIATES INTERNATIONAL, INC ..................... 218,107,834 754,434 oCOMPUTER SCIENCES CORP .................. 54,413,552 22,800 COMPUTER TASK GROUP, INC ................ 849,300 685,300 oCOMPUWARE CORP .......................... 32,723,075 6,500 oCSG SYSTEMS INTERNATIONAL, INC .......... 200,687 120,600 CSK CORP ................................ 4,574,027 188,300 oCYRIX CORP .............................. 4,024,912 50,000 oDASSAULT SYSTEMS S.A .................... 3,551,359 25,000 oDECISIONONE CORP ........................ 568,750 163,300 oDIAMOND MULTIMEDIA SYSTEMS, INC ......... 1,173,718 15,400 oDOCUMENTUM, INC ......................... 383,075 87,100 oDST SYSTEMS, INC ........................ 2,901,518 280,800 oELECTRONIC ARTS, INC .................... 9,441,900 2,241,844 ELECTRONIC DATA SYSTEMS CORP ............ 91,915,604 1,996,200 oEMC CORP ................................ 77,851,800 163,900 oEMPLOYEE SOLUTIONS, INC ................. 911,693 137,300 oEXABYTE CORP ............................ 1,759,156 2,652,968 FIRST DATA CORP ......................... 116,564,781 494,475 oFISERV, INC ............................. 22,065,946 133,600 oFORTE SOFTWARE, INC ..................... 1,795,250 201,000 oFRONTEC AB SERIES B ..................... 1,689,644 133,500 oFTP SOFTWARE, INC ....................... 650,812 66,754 oGROUP AXIME S.A ......................... 7,902,248 232,000 oGT INTERACTIVE SOFTWARE CORP ............ 2,755,000 91,600 oHARBINGER CORP .......................... 2,564,800 882,428 HBO & CO ................................ 60,777,228 158,900 oHMT TECHNOLOGY CORP ..................... 2,055,768 196,200 oHNC SOFTWARE ............................ 7,480,125 26,000 oHYPERION SOFTWARE CORP .................. 581,750 430,110 oIMATION CORP ............................ 11,344,151 550,000 oINDUSTRIAL & FINANCIAL .................. 2,685,131 3,000 INES CORP ............................... 53,482 1,290,700 oINFORMIX CORP ........................... 11,616,300 16,175 oINTEGRATED SYSTEMS CONSULTING GROUP .................................. 175,903 152,900 oINTEGRATED SYSTEMS, INC ................. 1,796,575 213,165 oINTERGRAPH CORP ......................... 1,811,902 500 oINTERSOLV, INC .......................... 4,687 194,700 oINTUIT, INC ............................. 4,465,931 96,100 oJTS CORP ................................ 66,068 136,600 oKEANE, INC .............................. 7,103,200 385,900 oLEARNING CO, INC ........................ 3,617,812 11,200 oLEARNING TREE INTERNATIONAL, INC ........ 497,000 101,800 oLEGATO SYSTEMS, INC ..................... 1,883,300 350,000 LOXLEY PUBLIC CO LTD (FR) ............... 621,508 284,100 oMARCAM CORP ............................. 4,119,450 219,200 oMEDIC COMPUTER SYSTEMS, INC ............. 4,877,200 428,200 oMENTOR GRAPHICS CORP .................... 3,960,850 70,000 oMICRO FOCUS GROUP PLC ................... 2,111,580 351,375 oMICROCHIP TECHNOLOGY, INC ............... 10,453,406 230,200 oMICRON ELECTRONICS, INC ................. 4,100,437 6,683,500 oMICROSOFT CORP .......................... 844,627,312 245,450 NATIONAL COMPUTER SYSTEMS, INC .......... 6,535,106 213,442 NATIONAL DATA CORP ...................... 9,244,706 888,437 oNCR CORP ................................ 26,431,000 376,600 oNETMANAGE, INC .......................... 1,106,262 242,100 oNETSCAPE COMMUNICATIONS CORP ............ 7,762,331 143,400 oNETWORK APPLIANCE, INC .................. 5,449,200 626,600 oNETWORK GENERAL CORP .................... 9,320,675 72,500 NIDEC CORP .............................. 3,548,034 252 NTT DATA COMMUNICATIONS SYSTEM CORP ............................ 9,755,870 101,300 oOBJECTIVE SYSTEMS INTEGRATORS, INC ...... 873,712 5,006,225 oORACLE CORP ............................. 252,188,584 1,226,300 oPARAMETRIC TECHNOLOGY CORP .............. 52,194,393 570,300 oPEOPLESOFT, INC ......................... 30,083,325 191,400 oPHYSICIAN COMPUTER NETWORK, INC ......... 1,291,950 107,100 oPIXAR INC ............................... 1,686,825 701,700 oPLATINUM TECHNOLOGY, INC ................ 9,297,525 119,000 oPOLICY MANAGEMENT SYSTEMS CORP .......... 5,593,000 101,300 oPROGRESS SOFTWARE CORP .................. 1,620,800 79,200 oPSINET, INC ............................. 594,000 95,100 oQLOGIC CORP ............................. 2,425,050 372,900 oRATIONAL SOFTWARE CORP .................. 6,269,381 460,600 oREAD RITE CORP .......................... 9,615,025 1,176,600 REYNOLDS & REYNOLDS CO (CLASS A) ........ 18,531,450 281,700 oSAFEGUARD SCIENTIFICS, INC .............. 8,961,581 3,000 oSAPIENT CORP ............................ 148,500 161,000 oSCOPUS TECHNOLOGY, INC .................. 3,602,375 344,200 oSECURITY DYNAMICS TECHNOLOGIES, INC ..... 12,692,375 497,300 SEI INVESTMENT COMPANY .................. 11,997,362 269,600 SHARED MEDICAL SYSTEMS CORP ............. 14,558,400 182,000 oSHIVA CORP .............................. 1,899,625 237,720 oSILICONWARE PRECISION INDUSTRIES GDR ......................... 4,041,240 88,536 oSOFTWARE PUBLISHING CORP HOLDINGS, INC .......................... 182,605 427,633 oSTERLING COMMERCE, INC .................. 14,058,434 190,134 oSTERLING SOFTWARE, INC .................. 5,941,687 242,800 oSTRUCTURAL DYNAMICS RESEARCH CORP ....... 6,373,500 452,700 oSYBASE, INC ............................. 6,733,912 412,600 oSYMANTEC CORP ........................... 8,045,700 415,988 oSYNOPSYS, INC ........................... 15,287,559 284,062 oSYSTEM SOFTWARE ASSOCIATES, INC ......... 2,165,972 211,300 oSYSTEMS & COMPUTER TECHNOLOGY CORP ........................ 5,652,275 See notes to financial statements. -21- SHARES VALUE ------ ----- COMPUTER SERVICE--(CONTINUED) 163,000 oSYSTEMSOFT CORP ......................... $ 1,752,250 201,600 oTECHNOLOGY SOLUTIONS CO ................. 7,963,200 203,600 TELXON CORP ............................. 3,664,800 114,600 TKC CORP ................................ 2,874,274 284,600 oTRANSACTION SYSTEM ARCHITECTURE ......... 9,818,700 185,900 oVANSTAR CORP ............................ 2,625,837 118,400 oVANTIVE CORP ............................ 3,344,800 6,000,000 VENTURE MANUFACTURING LTD ............... 19,555,196 113,950 oVERITAS SOFTWARE CORP ................... 5,725,987 184,300 oVIASOFT INC ............................. 9,353,225 63,000 oVIDEOSERVER, INC ........................ 834,750 103,800 oVISIO CORP .............................. 7,317,900 52,800 oXIRCOM, INC ............................. 656,700 23,800 oYAHOO INC ............................... 838,950 57,400 oZEBRA TECHNOLOGY CORP ................... 1,600,025 ------------- 2,827,414,165 ------------- CONGLOMERATES--2.45% 2,700 ACKERMANS & VAN HAAREN .................. 615,846 19,340 oAGIV AG ................................. 441,159 375,000 ALEXANDER & BALDWIN, INC ................ 9,796,875 4,668,904 ALLIED SIGNAL, INC ...................... 392,187,936 429,908 AMERICAN FINANCIAL GROUP, INC ........... 18,244,220 24,460 ANGLO AMERICAN INDUSTRIAL CORP .......... 1,073,209 20,600 ANGLOVAAL HOLDINGS LTD .................. 565,472 79,000 oANGLOVAAL INDUSTRIES LTD ................ 289,141 278,500 oANIXTER INTERNATIONAL, INC .............. 4,786,718 3,400,000 oANTAH HOLDINGS BERHAD ................... 4,364,506 25,900 APARTMENT INVESTMENT & MANAGEMENT CO ........................... 731,675 3,160 oARTEMIS S.A ............................. 78,053 62,300 BARLOW LTD .............................. 677,876 30 oBERKSHIRE HATHAWAY, INC (CLASS A) ....... 1,416,000 276,600 oBLYTH INDUSTRIES, INC ................... 9,335,250 615,900 BRADY (W.H.) CO (CLASS A) ............... 17,861,100 109,500 BRASCAN LTD (CLASS A) ................... 2,710,514 10,609,198 BRIERLEY INVESTMENTS LTD ................ 10,354,916 5,293,437 BRIERLEY INVESTMENTS LTD (AUSTRALIA) ............................. 5,115,937 1,658,823 BTR PLC ................................. 5,673,401 53,553 oBTR PLC WTS 11/30/97 .................... 2,451 42,115 oBTR PLC WTS 11/26/98 .................... 1,752 1,848 oBUMI ARMADA BERHAD ...................... 4,539 78,500 CALI REALTY CORP ........................ 2,669,000 2,011,148 CHARTER PLC ............................. 26,743,757 2,194,400 oCOLTEC INDUSTRIES, INC .................. 42,790,800 679,637 oCONCORD EFS, INC ........................ 17,585,607 361,000 oCOPYTELE, INC ........................... 1,962,937 5,000 CORPORACION FINANCIERE ALBA S.A ......... 635,366 442,266 CRANE CO ................................ 18,492,247 33,900 CURTISS WRIGHT CORP ..................... 1,974,675 111,400 DE BEERS CENTENARY AG. (UNITS) .......... 4,114,102 61,000 DESC SOCIEDAD DE FOMENTO INDUSTRIAL S.A. DE CV SERIES B ......... 446,313 2,356 DESC S.A. DE CV SERIES C ................ 17,622 312,000 oEMPAQUES PONDEROSA S.A. SERIES B ........ 257,303 8,800 oEST ASIATIQUE ........................... 208,364 70,000 oFABER GROUP BERHAD ...................... 63,787 85,000 GENCOR LTD .............................. 391,688 19,100 GENTING INTERNATIONAL PLC ............... 56,345 41,674 GEVAERT PHOTO-PRODUCTION NV ............. 3,918,109 42,360 GRANDE HOLDINGS LTD ..................... 19,683 385 oGROUPE BRUX LAMBERT NPV STRIP VVPR ...... 64 34,835 GROUPE BRUXELLES LAMBERT S.A ............ 5,842,891 1,155 oGROUPE BRUXELLES LAMBERT S.A NPV (VVPR) WTS 12/20/98 ................ 50,440 298,000 GRUPO CARSO S.A. DE CV SERIES A ......... 2,079,200 176,551 GRUPO INDUSTRIAL ALFA S.A. SERIES A ..... 1,202,974 266,899 oHANSON PLC .............................. 1,325,937 75,272 oHANSON PLC WTS 09/30/97 ................. 313 310,783 HARRISON & CROSSFIELD PLC ............... 574,132 8,500,500 HUTCHINSON WHAMPOA LTD .................. 73,513,675 10,000 oIFIL FINANZIARIA DI PARTECIPAZIONI ...... 34,456 110,000 INDUSTRIAS PENOLES S.A .................. 524,105 942,436 ITT INDUSTRIES, INC ..................... 24,267,727 55,361 JARDINE MATHESON HOLDINGS LTD ........... 393,063 162,300 JOHNS MANVILLE CORP ..................... 1,917,168 1,048,828 JOHNSON CONTROLS, INC ................... 43,067,499 1,030,000 oKEPPEL CORP ............................. 4,574,419 257,500 oKEPPEL CORP (CLASS A) ................... 1,116,590 55,500 KEYSTONE FINANCIAL, INC ................. 1,734,375 20,414 oLAGARDERE S.C.A ......................... 593,540 168,000 LAND & GENERAL BERHAD ................... 193,027 31,500 oLION LAND BERHAD ........................ 29,203 449,288 oLITTON INDUSTRIES, INC .................. 21,706,226 482,200 LOEWS CORP .............................. 48,280,275 317,897 LONRHO PLC .............................. 674,571 540,000 MALAYAN UNITED INDUSTRIES BERHAD ........ 393,661 700,000 MALAYSIA MINING CORP BERHAD ............. 765,452 792,544 MARK IV INDUSTRIES, INC ................. 19,021,056 8,927 MELCO INTERNATIONAL DEVELOPMENT LTD ........................ 2,909 377,600 oMETROMEDIA INTERNATIONAL GROUP,INC ...... 4,767,200 819 MILLENNIUM CHEMICAL, INC ................ 18,632 3,985,400 MINNESOTA MINING & MANUFACTURING CO ....................... 406,510,800 307,000 oMULTI-PURPOSE HOLDINGS BERHAD ........... 430,578 116,418 MURRAY & ROBERTS HOLDINGS LTD ........... 273,366 3,000 NOMA INDUSTRIES LTD (CLASS A) ........... 10,546 2,820,812 PACIFIC DUNLOP LTD ...................... 8,284,341 534,324 NOBLEZA-PICCARDO SDAD INDUSTRIAL COMERCIAL Y FINANCIERA ................. 4,291,050 123,800 POWER CORP OF CANADA .................... 3,042,056 272,064 PREMIER GROUP HOLDINGS LTD .............. 395,904 86,700 QUEBECOR, INC (CLASS B) ................. 1,608,814 2,709,742 ROCKWELL INTERNATIONAL CORP ............. 159,874,778 1,151,400 SIME DARBY BERHAD ....................... 3,831,922 106,000 oSOCIEDAD COMERCIAL DEL PLATA S.A ........ 345,594 32,360,000 +SOUTH CHINA HOLDINGS LTD ................ 8,353,863 52,046,000 +SOUTH CHINA INDUSTRIES LTD .............. 6,382,044 1,057,272 SOUTHCORP HOLDINGS LTD .................. 3,928,856 289,600 STANDEX INTERNATIONAL CORP .............. 8,688,000 13,200 SUPERFOS AS ............................. 324,491 4,876,000 SWIRE PACIFIC LTD (CLASS A) ............. 43,899,216 1,006,800 TEXTRON, INC ............................ 66,826,350 25,099 TONGAAT HULETT GROUP LTD ................ 444,095 1,429,700 TRW, INC ................................ 81,224,831 4,182,342 TYCO INTERNATIONAL LTD .................. 290,934,165 405,613 oU.S. INDUSTRIES, INC .................... 14,449,962 1,080,000 UNITED INDUSTRIAL CORP .................. 815,778 27,000 oUNITED INDUSTRIAL CORP WTS 07/05/99 ..... 7,175 3,045,950 UNITED TECHNOLOGIES CORP ................ 252,813,850 818,300 VIAD CORP ............................... 15,752,275 1,240,446 WHITMAN CORP ............................ 29,770,704 318,118 WILLIAMS PLC ............................ 1,710,103 210,000 oYTL CORP BERHAD ......................... 648,970 113,800 ZEIGLER COAL HOLDING CO ................. 2,660,075 ------------- 2,285,875,583 ------------- See notes to financial statements. -22- SHARES VALUE ------ ----- CONSTRUCTION--MATERIALS & BUILDERS--0.98% 900,000 oACP INDUSTRIES BERHAD ................... $ 3,565,773 385,000 ACP INDUSTRIES BERHAD WTS 10/24/01 ...... 0 962,731 ADELAIDE BRIGHTON HOLDINGS LTD .......... 1,543,535 3,573 AKER RGI ASA ............................ 62,471 9,900 ALPHA LTD NPV ........................... 170,802 155,000 AMEC PLC ................................ 388,239 8,000 oAMLI RESIDENTIAL PROPERTIES TRUST ....... 189,000 807,550 oAOKI CONSTRUCTION CO LTD ................ 952,719 104,200 APASCO S.A .............................. 746,671 243,800 ARMSTRONG WORLD INDUSTRIES, INC ......... 17,888,825 20,000 oASANO SLATE CO LTD ...................... 48,938 192,700 oATKINSON (G.F.) CO OF CALIFORNIA ........ 1,345,890 153,400 oAVATAR HOLDINGS, INC .................... 5,138,900 99,750 BARRATT DEVELOPMENTS LTD ................ 408,394 16,600 oBILFINGER & BERGER AG ................... 676,345 3,007,034 BLUE CIRCLE INDUSTRIES PLC .............. 21,419,716 3,100,420 BORAL LTD ............................... 9,686,220 5,619 oBOUYGUES S.A ............................ 462,747 209,500 oBPB PLC ................................. 1,131,436 60,100 BUTLER MANUFACTURING CO ................. 1,990,812 375,300 CALMAT CO ............................... 8,068,950 123,228 CAMAS PLC ............................... 202,012 4,507,574 CARADON PLC ............................. 15,116,440 1,272,137 oCARADON PLC (LTD VOTING) (CLASS B) ...... 2,085,459 397,800 CARLISLE COS, INC ....................... 13,873,275 149,028 oCASTLE & COOKE, INC ..................... 2,468,276 42,900 CBR NV .................................. 3,937,911 250,300 oCDI CORP ................................ 10,434,381 208,062 oCEMEX S.A. (CLASS A) (REGD) ............. 897,168 98,750 oCEMEX S.A. (CLASS B) .................... 480,435 159,120 oCEMEX S.A. DE CV-CPO .................... 690,130 287,800 CENTEX CORP ............................. 11,691,875 425,800 oCHAMPION ENTERPRISES, INC ............... 6,387,000 1,049,000 CHICHIBU ONODA CEMENT CORP .............. 4,116,077 348,000 CHIYODA CORP ............................ 1,675,685 100,000 CIMENTOS DE PORTUGAL .................... 2,333,627 1,016,397 CLAYTON HOMES, INC ...................... 14,483,657 1,698 COLAS S.A ............................... 224,144 17,900 COMMERCIAL NET LEASE REALTY, INC ........ 274,093 40,416 oCORCEMAR S.A. ........................... 256,667 9,928 oCOSTAIN GROUP PLC ....................... 7,600 148,410 CRH PLC ................................. 1,549,917 82 CRISTALERIA ESPANOLA S.A ................ 7,080 2,557,250 CSR LTD ................................. 9,828,524 563,082 DAITO TRUST CONSTRUCTION CO LTD ......... 6,643,044 1,051,000 DAIWA HOUSE INDUSTRY CO LTD ............. 12,858,564 738 oDLW AG .................................. 92,408 1,000,000 oDMCI HOLDINGS, INC ...................... 329,843 26,586 DRAGADOS Y CONSTRUCCIONES S.A ........... 553,120 210,236 oDRAVO CORP .............................. 2,286,316 195,900 oEAGLE HARDWARE & GARDEN, INC ............ 4,481,212 47,700 EMPRESAS ICA SOCIEDAD CONTROLADORA S.A ....................... 761,568 240,700 FASTENAL CO ............................. 11,794,300 247,400 FLEETWOOD ENTERPRISES, INC .............. 7,375,612 2,417,525 FLETCHER CHALLENGE LTD (BUILDING DIVISION) .................... 7,258,991 214,500 FLORIDA ROCK INDUSTRIES, INC ............ 8,714,062 33,962 FOMENTO DE CONSTRUCCIONES Y CONTRATAS S.A .......................... 4,338,754 360 FORBO HOLDINGS AG. (REGD) ............... 155,566 2,283,300 FUJITA CORP ............................. 3,990,751 385,100 oGENLYTE GROUP, INC ...................... 5,054,437 8,388 GLAVERBEL S.A ........................... 1,231,932 58 oGLAVERBEL STRIP NPV (VVPR) .............. 4 245,100 GRANITE CONSTRUCTION, INC ............... 4,840,725 780,000 oHASEKO CORP ............................. 1,247,404 1,867,600 HAZAMA-GUMI LTD ......................... 3,851,745 15,700 HEIDELBERGER ZEMENT AG .................. 1,486,571 103,430 HEPWORTH PLC ............................ 407,968 32,200 HOCHTIEF AG ............................. 1,441,294 7,281 HOLDERBANK FINANCIERE GLARUS AG. (REGD) ...................... 5,902,528 1,244 HOLLANDSCHE BETON GROEP NV (H.B.G.) ..... 284,253 66,100 HORTON (D.R.), INC ...................... 685,787 101,000 HUME INDUSTRIES BERHAD .................. 464,184 4,141 IMETAL S.A .............................. 549,453 1,525,000 oIMPREGILO S.P.A ......................... 1,003,407 454,853 INAX CORP ............................... 3,410,515 65,000 oITALCEMENTI S.P.A ....................... 405,132 40,000 oITALCEMENTI S.P.A. (S/S) ................ 97,608 116,200 oJACOBS ENGINEERING GROUP, INC ........... 3,122,875 419,710 JAMES HARDIE INDUSTRIES LTD ............. 1,336,398 100,000 JAPAN FOUNDATION ENGINEERING CO ......... 1,092,375 13,800 JDN REALTY CORP ......................... 431,250 309,970 JGC CONSTRUCTION CORP ................... 2,139,973 117,700 JUSTIN INDUSTRIES, INC .................. 1,500,675 737,756 KAJIMA CORP ............................. 4,326,104 961,797 KANDENKO CO LTD ......................... 9,077,555 1,040,605 KAUFMAN & BROAD HOME CORP ............... 18,275,625 3,608,000 KEDAH CEMENT HOLDINGS BERHAD ............ 5,632,146 257,862 KINDEN CORP ............................. 3,650,598 26,000 KOMATSU CONSTRUCTION CO LTD ............. 72,254 2,669,279 KUMAGAI GUMI CO LTD ..................... 4,455,424 124,000 KUMAGAI GUMI (HK) LTD ................... 128,844 24,800 oKUMAGAI GUMI (HK) LTD WTS 06/30/98 ...... 6,882 123,000 KYUNDENKO CO., LTD ...................... 1,038,350 351,535 LAFARGE CORP ............................ 8,612,607 30,768 ~LAFARGE S.A. (REGD) ..................... 1,915,469 5,060 LAFARGE S.A. (SPANISH CERTS) ............ 318,227 45,218 LAING (JOHN) (CLASS A) .................. 281,458 1,337,072 LEIGHTON HOLDINGS LTD ................... 6,462,188 514,600 LENNAR CORP ............................. 16,435,037 525,000 MAEDA CORP .............................. 2,950,067 501,000 MAEDA ROAD CONSTRUCTION CO LTD .......... 4,312,565 937,500 MALAYAN CEMENT BERHAD ................... 1,567,454 22,500 MANUFACTURED HOME COMMUNITIES, INC ....................... 518,906 140,749 MARLEY PLC .............................. 292,810 465,507 MARTIN MARIETTA MATERIALS, INC .......... 15,070,789 1,036,600 MASCO CORP .............................. 43,278,050 1,000 MATSUO BRIDGE CO LTD .................... 3,355 27,000 MCALPINE (ALFRED) PLC ................... 62,685 496,192 MEDUSA CORP ............................. 19,041,368 55,469 MEYER INTERNATIONAL PLC ................. 389,577 273,350 oMILLER INDUSTRIES, INC .................. 4,373,600 597,484 MISAWA HOMES CO LTD ..................... 3,654,988 17,039 oMORRISON KNUDSEN CORP WTS 03/11/03 ...... 106,493 2,001,136 oNEW WORLD INFRASTUCTURE LTD ............. 5,656,783 624,000 NIHON CEMENT CO LTD ..................... 2,988,318 300 NIPPON HODO CO LTD ...................... 2,598 568,000 NISHIMATSU CONSTRUCTION CO LTD .......... 3,971,001 502,000 OAKWOOD HOMES CORP ...................... 12,048,000 609,320 OBAYASHI CORP ........................... 4,084,158 875 OCP CONSTRUCCIONES S.A .................. 55,207 101,280 OHKI CONSTRUCTION CO LTD ................ 290,308 100,000 OILES CORP .............................. 3,215,952 See notes to financial statements. -23- SHARES VALUE ------ ----- CONSTRUCTION--MATERIALS & BUILDERS--(CONTINUED) 98,000 OKAMATO INDUSTRIES INC .................. $ 435,918 628,740 OKUMURA CORP ............................ 3,335,197 546,600 OWENS CORNING CO ........................ 23,572,125 1,050,000 PENTA OCEAN CONSTRUCTION CO LTD ......... 3,395,101 401,160 PILKINGTON PLC .......................... 914,681 2,266,600 PIONEER INTERNATIONAL LTD ............... 8,694,460 62,700 PITTWAY CORP ............................ 3,135,000 252,119 PITTWAY CORP (CLASS A) .................. 12,542,920 327,400 PLY-GEM INDUSTRIES, INC ................. 5,934,125 330,000 oPORTLAND HOLDINGS LTD ................... 564,227 18,088 PORTLAND VALDERRIVAS S.A ................ 1,480,682 3,098,000 PT SEMEN CIBINONG (FR) .................. 8,117,147 880,000 oPT SEMEN GRESIK (FR) .................... 1,971,156 316,048 PULTE CORP .............................. 10,923,409 223,121 REDLAND PLC ............................. 1,264,413 104,720 REPUBLIC GROUP, INC ..................... 2,107,490 97,000 RMC GROUP PLC ........................... 1,574,818 244,696 RUGBY GROUP PLC ......................... 492,769 331,000 RYLAND GROUP, INC ....................... 4,675,375 182,100 SALIENT 3 COMMUNICATIONS (CLASS A) ...... 2,185,200 525,550 SANKYO ALUMINIUM INDUSTRY CO LTD ........ 1,699,329 95,000 SANWA SHUTTER CORP ...................... 863,413 79,000 oSATO KOGYO .............................. 165,691 36,900 EUROC INDUSTRIA AB SERIES A ............. 1,465,043 141,785 oSCHNEIDER S.A ........................... 7,554,150 19,000 SECURITY CAPITAL CORP ................... 1,795,500 1,503,850 SEKISUI HOUSE LTD ....................... 15,244,888 190,000 SEMAPA SOC INV E GESTAO - SGPS .......... 4,680,340 1,132,800 SHERWIN-WILLIAMS CO ..................... 34,975,200 711,000 SHIMIZU CORP ............................ 4,268,625 59,000 oSHOKUSAN JUTAKO SAGO .................... 84,042 601,160 SIMON DEBARTOLO GROUP, INC .............. 19,237,120 172,200 SKANSKA AB SERIES B FREE ................ 7,616,318 154,800 SKYLINE CORP ............................ 3,811,950 295,500 oSOLA INTERNATIONAL, INC ................. 9,899,250 135,836 ST. GOBAIN S.A .......................... 19,828,246 23,100 STANDARD-PACIFIC CORP ................... 236,775 71,300 STARRETT (L.S.) CO (CLASS A) ............ 2,272,687 34,000 STARRETT (L.S.) CO (CLASS B) ............ 1,083,750 119,300 STONE & WEBSTER, INC .................... 5,092,618 900 oSTRABAG BAU AG .......................... 83,409 242,495 SUMITOMO FORESTRY CO LTD ................ 2,670,146 2,184,000 SUMITOMO OSAKA CEMENT CO LTD ............ 6,870,951 1,036,200 SUNGEI WAY HOLDINGS BERHAD .............. 1,954,167 3,000,000 oSUNWAY CITY BHD GROUP ................... 3,969,893 34,000 SUZUNUI INDUSTRY CO LTD ................. 116,176 3,679,000 TAISEI CORP ............................. 17,072,064 750 TAKASHIMA & CO LTD ...................... 2,687 10,153,109 TARMAC PLC .............................. 21,122,274 9,671,750 TAYLOR WOODROW PLC ...................... 28,491,147 245,388 TEXAS INDUSTRIES, INC ................... 6,518,118 265,500 oTIME ENGINEERING BERHAD ................. 401,826 76,000 TOA CORP ................................ 342,708 72,000 oTOMOE ENGINEERING CO LTD ................ 704,712 366,000 TOSTEM CORP ............................. 10,139,162 299,369 TOTO LTD ................................ 3,688,821 270,000 TOYO ENGINEERING CO ..................... 1,217,517 108,000 TOYO EXTERIOR CORP ...................... 1,481,784 12,450 UNILAND CEMENTERA S.A ................... 724,583 266,100 oUNITED ENGINEERING BERHAD ............... 1,918,789 200,000 oURALITA S.A ............................. 2,236,871 294,600 oUSG CORP ................................ 10,752,900 305,700 VULCAN MATERIALS CO ..................... 23,997,450 509,100 WEBB (DELAWARE) CORP .................... 8,272,875 2,340 WIENERBERGER BAUSTOFF AG ................ 480,746 801,100 WILSON (CONNOLLY) HOLDINGS PLC .......... 2,139,899 3,976,000 WIMPEY (GEORGE) LTD ..................... 8,933,296 227,035 WOLSELEY PLC ............................ 1,770,247 ------------- 908,420,586 ------------- CONTAINERS--0.13% 212,204 oALLTRISTA CORP .......................... 5,809,084 258,660 BALL CORP ............................... 7,775,966 97,300 CCL INDUSTRIES, INC (CLASS B) ........... 1,202,497 216,600 CLARCOR, INC ............................ 5,360,850 922,983 CROWN CORK & SEAL CO, INC ............... 49,321,904 35,000 FP CORP ................................. 1,061,351 275,400 oGAYLORD CONTAINER CO .................... 2,117,137 1,117,600 oOWENS ILLINOIS, INC ..................... 34,645,600 440,500 PLM AB .................................. 7,605,241 271,000 SHIBUYA KOGYO ........................... 3,528,720 184,200 WEST CO, INC ............................ 5,272,725 ------------- 123,701,075 ------------- COSMETICS--0.83% 39,000 ALBERTO CULVER CO (CLASS A) ............. 909,187 414,100 ALBERTO CULVER CO (CLASS B) ............. 11,594,800 2,043,532 AVON PRODUCTS, INC ...................... 144,196,726 35,600 oBEIERSDORF AG ........................... 1,838,631 248,400 CARTER WALLACE, INC ..................... 4,440,150 82,500 CARTER WALLACE, INC (CLASS B) ........... 1,474,687 33,402 oCLARINS S.A ............................. 4,449,055 5,603,372 GILLETTE CO ............................. 530,919,497 608,100 INTERNATIONAL FLAVORS & FRAGRANCES, INC ......................... 30,709,050 166,900 oJAN BELL MARKETING, INC ................. 406,818 87,000 LAUDER (ESTEE) CO (CLASS A) ............. 4,371,750 27,698 oLOREAL S.A .............................. 11,681,205 245,900 OPTICAL COATING LABORATORIES, INC ....... 3,319,650 3,000,000 oSASA INTERNATIONAL HOLDINGS LTD ......... 977,758 845,334 SHISEIDO & CO LTD ....................... 13,962,136 3,098 ~oWINDMERE CORP WTS 1/19/98 ............... 27,494 389,300 WINDMERE-DURABLE HOLDING, INC ........... 6,374,787 ------------- 771,653,381 ------------- ELECTRICAL EQUIPMENT--3.97% 9,358,230 ABB AB SERIES A ......................... 131,313,476 2,104,400 ABB AB SERIES B ......................... 29,392,591 4,391 ABB AG (REGD) ........................... 1,295,102 59,206 ABB ASEA BROWN BOVERI LTD (BR) .......... 89,749,118 150,501 ADVANTEST CORP .......................... 11,574,008 148,640 ALCATEL ALSTHOM CIE GEN ................. 18,633,829 29,000 ALVIS PLC ............................... 57,193 108,000 ~oAMCOL HOLDINGS LTD (SINGAPORE) .......... 197,901 793,800 oAMERICAN POWER CONVERSION CORP .......... 15,082,200 301,700 AMETEK, INC ............................. 7,089,950 285,000 ANRITSU CORP ............................ 4,283,857 360,300 BELDEN, INC ............................. 12,272,718 174,135 BICC LTD ................................ 511,519 1,327 CATENA CORP ............................. 8,871 525,000 DAIWA INDUSTRIES LTD .................... 4,909,133 65,674 DELTA PLC ............................... 302,217 3,109,670 EMERSON ELECTRIC CO ..................... 171,226,204 330 FUJITSU BUSINESS SYSTEMS LTD ............ 9,257 275,000 FUJITSU DENSO ........................... 8,459,352 3,142,424 FUJITSU LTD ............................. 43,664,012 33,729,544 GENERAL ELECTRIC CO ..................... 2,205,068,939 2,240,994 oGENERAL ELECTRIC CO (UNITED KINGDOM) ....................... 13,389,573 See notes to financial statements. -24- SHARES VALUE ------ ----- ELECTRICAL EQUIPMENT--(CONTINUED) 2,257,300 GENERAL SIGNAL CORP ..................... $98,474,712 291,000 GRAINGER (W.W.), INC .................... 22,752,562 900 HITACHI ELECTRONICS LTD ................. 8,101 3,912,491 HITACHI LTD ............................. 43,764,811 193,000 HITACHI MAXELL LTD ...................... 4,790,020 855,200 HONEYWELL, INC .......................... 64,888,300 566,076 HUBBELL, INC (CLASS B) .................. 24,907,344 392,400 JUNO LIGHTING, INC ...................... 6,376,500 32,500 KODENSHA CO LTD ......................... 260,160 156,666 oLEADER UNIVERSAL HOLDINGS BERHAD ........ 281,800 155,000 MABUCHI MOTOR CO LTD .................... 9,007,724 209,750 MIRAI INDUSTRY CO LTD ................... 4,802,473 2,087,000 MITSUBISHI ELECTRIC CORP ................ 11,690,745 1,840,301 NIPPON ELECTRIC CORP (N.E.C.) ........... 25,731,824 242,000 NITTO ELECTRIC WORKS .................... 4,314,269 2,000 NKT HOLDINGS AS ......................... 135,732 3,140,002 PHILIPS ELECTRONICS NV .................. 225,327,395 51,900 PHILIPS ELECTRONICS NV (NY REGD) ........ 3,730,312 94,397 REUNERT LTD ............................. 323,641 140,000 oSANSHIN ELECTRONICS CO LTD .............. 2,691,612 100,000 SANSO ELECTRIC CO LTD ................... 865,161 260,622 SIEBE PLC ............................... 4,411,269 1,133,010 SIEMENS AG .............................. 67,326,496 1,517,500 SUMITOMO ELECTRIC INDUSTRIES CO ......... 25,461,950 1,394,608 THOMAS & BETTS CORP ..................... 73,304,083 146,023 TOKYO ELECTRON CO LTD ................... 6,993,000 8,257,864 WESTINGHOUSE ELECTRIC CORP .............. 190,963,105 330,000 YAMATAKE HONEYWELL CO LTD ............... 6,286,836 104,000 YOKOGAWA ELECTRIC CORP .................. 904,311 ------------- 3,699,267,268 ------------- ELECTRICAL EQUIPMENT--COMPONENTS DIVERSIFIED--3.13% 8,250,000 oACMA LTD ................................ 14,194,302 1,242,950 oADVANCED MICRO DEVICES, INC ............. 44,746,200 825,300 oALTERA CORP ............................. 41,677,650 230,701 oAMERICAN ANNUITY GROUP, INC ............. 4,152,618 70,000 oAMERICAN SUPERCONDUCTOR CORP ............ 857,500 1,599,382 AMP, INC ................................ 66,774,198 55,000 oANADIGICS, INC .......................... 1,705,000 1,081,166 oANALOG DEVICES, INC ..................... 28,718,471 362,782 oARROW ELECTRONICS, INC .................. 19,272,793 88,000 ASTEC LTD ............................... 202,112 866,300 oATMEL CORP .............................. 24,256,400 218,900 AVNET, INC .............................. 12,586,750 73,600 AVX CORP ................................ 1,987,200 271,575 BALDOR ELECTRIC CO ...................... 8,028,435 15,076 BARCO INDUSTRIES NV ..................... 3,057,090 370,423 oBELL INDUSTRIES, INC .................... 5,787,859 76,367 BOWTHORPE HOLDINGS PLC .................. 413,702 348,000 oBURR BROWN CORP ......................... 12,006,000 141,900 CAE, INC ................................ 1,131,415 236,000 oCHIPS & TECHNOLOGIES, INC ............... 2,448,500 432,700 oCIRRUS LOGIC, INC ....................... 4,543,350 124,600 oCOMPUCOM SYSTEMS, INC ................... 887,775 101,200 oCOMPUTER PRODUCTS, INC .................. 2,530,000 235,000 oCOMVERSE TECHNOLOGY, INC ................ 12,220,000 290,400 CORE INDUSTRIES, INC ..................... 7,187,400 63,000 oCOREL CORP .............................. 415,555 78,996 CTS CORP ................................ 5,445,786 130,000 CUBIC CORP .............................. 3,380,000 95,394 oCYBERGUARD CORP ......................... 846,621 467,400 oCYPRESS SEMICONDUCTOR CORP .............. 6,777,300 372,400 DALLAS SEMICONDUCTOR CORP ............... 14,616,700 207,560 oDII GROUP, INC .......................... 9,132,640 400,000 oELECTRICIDADE DE PORTUGAL SA ............ 7,350,188 139,500 oELECTRO SCIENTIFIC INDUSTRIES, INC ...... 5,841,562 206,894 oESCO ELECTRONICS CORP (TRUST RECEIPTS) ....................... 2,612,036 303,600 FISHER SCIENTIFIC INTERNATIONAL, INC .... 14,421,000 1,005,538 FUTURIS CORP LTD ........................ 1,604,633 1,187,500 oGENERAL INSTRUMENT CORP ................. 29,687,500 108,000 oHADCO CORP .............................. 7,074,000 55,000 HELIX TECHNOLOGY CORP ................... 2,227,500 15,511 HIROSE ELECTRIC CO LTD .................. 1,065,427 378,631 HOYA CORP ............................... 16,875,167 184,700 oHUTCHINSON TECHNOLOGY, INC .............. 4,502,062 747,200 oINTEGRATED DEVICE TECHNOLOGY, INC ....... 7,845,600 8,173,301 INTEL CORP .............................. 1,159,076,248 332,800 oINTERNATIONAL RECTIFIER CORP ............ 6,198,400 61,000 oJABIL CIRCUIT, INC ...................... 5,116,375 140,000 oJOHNSON ELECTRIC HOLDINGS LTD ........... 417,435 483,000 oKEMET CORP .............................. 12,014,625 394,100 oKENT ELECTRONICS CORP ................... 14,458,543 30 KEYENCE CORP ............................ 4,456 224,156 KYOCERA CORP ............................ 17,825,983 168,200 oLAM RESEARCH CORP ....................... 6,233,912 233,550 oLATTICE SEMICONDUCTOR CORP .............. 13,195,575 21,685 oLE CARBONE LORRAINE ..................... 5,281,825 46,500 LEGRAND S.A ............................. 8,197,508 670,000 LINEAR TECHNOLOGY CO .................... 34,672,500 8,800 oLITTLEFUSE, INC ......................... 248,600 446,200 LOGICON, INC ............................ 23,648,600 761,700 oLSI LOGIC CORP .......................... 24,374,400 339,100 oMAGNETEK, INC ........................... 5,637,537 45,600 oMARSHALL INDUSTRIES, INC ................ 1,698,600 166,000 oMATSUSHITA COMMUNICATION INDUSTRIAL CO .......................... 5,614,108 1,296,900 oMAXIM INTEGRATED PRODUCTS ............... 73,761,187 228,900 oMEMC ELECTRONIC MATERIALS, INC .......... 7,496,475 323,150 METHODE ELECTRONICS, INC (CLASS A) ...... 6,422,606 1,429,000 oMICRON TECHNOLOGY, INC .................. 57,070,687 163,000 MIMASU SEMICONDUCTOR INDUSTRY ........... 3,660,854 1,272,000 MINEBEA CO LTD .......................... 13,561,529 280,246 MOLEX, INC .............................. 10,228,979 332,762 MOLEX, INC (CLASS A) .................... 11,605,074 5,443,100 MOTOROLA, INC ........................... 413,675,600 97,400 oMRV COMMUNICATIONS, INC ................. 2,873,300 436,500 MURATA MANUFACTURING CO LTD ............. 17,394,455 1,513,250 oNATIONAL SEMICONDUCTOR CORP ............. 46,343,281 757,000 NGK SPARK PLUG CO LTD ................... 8,269,278 950 NIHON DEMPA KOGYO CO LTD ................ 17,268 197,000 NITTO DENKO CORP ........................ 3,839,130 89,300 oOAK INDUSTRIES, INC ..................... 2,567,375 277,944 OMRON CORP .............................. 5,902,354 22,200 OXFORD INSTRUMENTS GROUP PLC ............ 130,609 270,400 PACIFIC SCIENTIFIC CO ................... 3,582,800 36,000 PIONEER-STANDARD ELECTRONICS, INC ....... 486,000 200,900 oPMC-SIERRA, INC ......................... 5,273,625 114,228 RACAL ELECTRONICS PLC ................... 460,065 140,000 oROGERS CORP ............................. 4,935,000 322,100 ROHM CO ................................. 33,215,016 443,700 oS3, INC ................................. 4,880,700 70,000 SAES GETTERS S.P.A ...................... 1,111,320 29,350 SAMSUNG DISPLAY DEVICES CO .............. 1,523,517 225,800 oSANMINA CORP ............................ 14,338,300 48,500 SGL CARBON AG ........................... 6,646,273 See notes to financial statements. -25- SHARES VALUE ------ ----- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIRED--(CONTINUED) 159,016 oSGS-THOMSON MICROELECTRONICS NV ......... $12,567,456 159,700 oSMART MODULAR TECHNOLOGIES, INC ......... 5,389,875 76,000 oSTANDARD MICROSYSTEMS CORP .............. 674,500 286,000 oSUWA INTERNATIONAL HOLDINGS LTD ......... 15,320 295,000 SYMBOL TECHNOLOGIES, INC ................ 9,919,375 283,600 oSYMMETRICOM, INC ........................ 4,076,750 212,000 TAIYO YUDEN CO LTD ...................... 3,501,542 50,800 TB WOODS CORP ........................... 739,775 90,800 oTCSI CORP ............................... 476,700 132,000 TDK CORP ................................ 9,701,338 1,438,800 TEXAS INSTRUMENTS, INC .................. 120,949,125 242,500 oTRICORD SYSTEMS, INC .................... 303,125 155,500 oTRIMBLE NAVIGATION LTD .................. 2,760,125 143,900 oUCAR INTERNATIONAL,INC .................. 6,583,425 222,600 oUNIPHASE CORP ........................... 12,966,450 117,000 oUNITRODE CORP ........................... 5,893,875 10,167 oUNITRODE CORP WTS 08/21/97 .............. 223,674 207,000 oVICOR CORP .............................. 4,657,500 553,404 oVISHAY INTERTECHNOLOGY, INC ............. 16,014,128 379,100 oVITESSE SEMICONDUCTOR CORP .............. 12,391,831 286,200 oVLSI TECHNOLOGY, INC .................... 6,761,475 274,500 oWATERS CORP ............................. 9,847,687 1,106,200 oWESTERN DIGITAL CORP .................... 34,983,575 457,700 WOODHEAD INDUSTRIES, INC ................ 8,639,087 95,075 WYLE ELECTRONICS ........................ 3,755,462 751,600 oXILINX, INC ............................. 36,875,375 195,400 oZILOG, INC .............................. 3,712,600 ------------- 2,917,684,052 ------------- ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.49% 339,000 ALPS ELECTRIC CO LTD .................... 4,740,033 185,900 ANALOGIC CORP ........................... 6,320,600 1,547,900 oAPPLIED MATERIALS, INC .................. 109,610,668 50,000 ASAHI OPTICAL CO LTD .................... 204,055 180,626 oAURA SYSTEMS, INC ....................... 310,450 198,987 BECKMAN INSTRUMENTS, INC ................ 9,601,122 700 oBERG ELECTRICS CORP ..................... 25,156 2,670 CANON SALES CO, INC ..................... 62,299 1,390,236 CANON, INC .............................. 37,905,729 143,400 oCOHERENT, INC ........................... 6,381,300 661,000 DAI NIPPON SCREEN MANUFACTURING CO LTD ................... 6,238,597 266,519 DANIEL INDUSTRIES, INC .................. 4,114,387 215,000 oDESTEC ENERGY, INC ...................... 4,635,937 130,100 oDIONEX CORP ............................. 6,667,625 262,500 oELECTROGLAS, INC ........................ 6,611,718 410,600 oELECTRONICS FOR IMAGING, INC ............ 19,400,850 182,700 oESTERLINE CORP .......................... 6,508,687 77,704 FLUKE CORP .............................. 4,603,962 434,800 oGENERAL CABLE CORP ...................... 11,141,750 81,900 oGENRAD, INC ............................. 1,852,987 60,000 HUNG CHANG CO LTD ....................... 4,796,760 436,300 oINPUT/OUTPUT, INC ....................... 7,907,937 28,000 JEOL LTD ................................ 184,497 608,400 oKLA INSTRUMENTS CORP .................... 29,659,500 1,051,000 KONICA CORP ............................. 6,714,007 228,100 oKULICHE & SOFFA INDUSTRIES, INC ......... 7,406,121 51,900 oLTX CORP ................................ 337,350 179,000 NIKON CORP .............................. 3,019,062 407,205 OLYMPUS OPTICAL CO LTD .................. 3,665,321 308,253 PERKIN-ELMER CORP ....................... 24,525,379 2,000 oRADISYS CORP ............................ 79,500 751,863 RICOH CO LTD ............................ 9,855,796 155,980 SATO CORP ............................... 2,753,480 43,000 SEIKO CORP .............................. 311,519 397,500 oSILICON VALLEY GROUP, INC ............... 10,484,062 385,500 TEKTRONIX, INC .......................... 23,130,000 593,338 oTERADYNE, INC ........................... 23,288,516 88,593 oTHERMO INSTRUMENT SYSTEMS, INC .......... 2,702,086 32,000 oTHREE-FIVE SYSTEMS, INC ................. 476,000 1,382,800 TOPPAN PRINTING CO LTD .................. 21,751,720 301,150 VARIAN ASSOCIATES, INC .................. 16,337,387 63,700 WATKINS-JOHNSON CO ...................... 1,958,775 336,500 X RITE, INC ............................. 6,393,500 79,908 YAMAHA CORP ............................. 1,466,463 ----------- 456,142,650 ------------- ENVIRONMENTAL CONTROL--0.38% 279,837 oAIR & WATER TECHNOLOGIES CORP (CLASS A) ............................... 839,511 502,800 oALLIED WASTE INDUSTRIES, INC ............ 8,736,150 176,685 oAMERICAN ECOLOGY CORP ................... 287,113 1,821,775 BROWNING FERRIS INDUSTRIES, INC ......... 60,574,018 463,240 oCLEAN HARBORS, INC ...................... 781,717 65,100 oCULLIGAN WATER TECHNOLOGIES, INC ........ 2,913,225 190,650 oCUNO, INC ............................... 3,193,387 96,000 DAISEKI CO LTD .......................... 2,013,465 12,974 oFLUOR DANIEL GTI, INC ................... 87,574 172,468 oINTERNATIONAL TECHNOLOGY CORP ........... 1,315,068 460,749 oLAIDLAW ENVIRONMENTAL SERVICES, INC ..... 1,382,247 231,800 oNEW HORIZONS WORLDWIDE, INC ............. 2,607,750 554,684 OGDEN CORP .............................. 12,064,377 212,300 oOHM CORP ................................ 1,791,281 5,595 xoOMEGA ENVIRONMENTAL, INC ................ 2,622 1,283,500 oREPUBLIC INDUSTRIES, INC ................ 31,927,062 230,000 oTETRA TECHNOLOGIES, INC ................. 5,462,500 502,950 oU.S. FILTER CORP ........................ 13,705,387 1,331,882 oU.S.A. WASTE SERVICES, INC .............. 51,443,942 571,700 oUNITED WASTE SYSTEMS, INC ............... 23,439,700 3,454,004 WASTE MANAGEMENT, INC ................... 110,959,878 262,400 oWESTON (ROY F.), INC (CLASS A) .......... 787,200 752,332 WHEELABRATOR TECHNOLOGIES, INC NEW ...... 11,614,125 469,035 oYORK RESEARCH CORP ...................... 3,635,021 3,712 ~oYORK RESEARCH CORP (CLASS C) WTS 09/30/98 ........................... 4,640 ------------- 351,568,960 ------------- FINANCIAL--MISCELLANEOUS--3.67% 283,700 AAMES FINANCIAL CORP .................... 5,248,450 5,400,000 oABOITIZ EQUITY VENTURES, INC ............ 421,744 182,000 ACOM CO LTD ............................. 8,779,548 62,700 ADVANTA CORP (CLASS A) .................. 2,304,225 388,900 ADVANTA CORP (CLASS B) .................. 13,878,868 105,350 ALEX BROWN, INC ......................... 7,440,343 1,000 ALLIED CAPITAL COMMERCIAL CORP .......... 24,000 245,700 AMBAC, INC .............................. 18,765,337 3,503,199 AMERICAN EXPRESS CO ..................... 260,988,325 2,357,349 AMERICAN GENERAL CORP ................... 112,563,414 58,200 AMERICAN HEALTH PROPERTIES, INC ......... 1,462,275 239,600 oAMRESCO, INC ............................ 5,151,400 650,000 oAMVESCAP ORD ............................ 3,791,691 84,840 AMVESCAP PLC ADR ........................ 4,941,930 1,383,000 oARAB MALAYSIAN FINANCE (FR) ............. 2,931,481 306,300 oARCADIA FINANCIAL LTD ................... 2,814,131 28,700 ASSOCIATED ESTATES REALTY CORP .......... 674,450 350,600 ASSOCIATES FIRST CAPITAL CORP ........... 19,458,300 304,000 ASTORIA FINANCIAL CORP .................. 14,440,000 36,000 oAVMIN LTD ............................... 127,791 See notes to financial statements. -26- SHARES VALUE ------ ----- FINANCIAL--MISCELLANEOUS--(CONTINUED) 1,800,000 BANCA FIDEURAM S.P.A .................... $ 5,879,412 292,489 BAY VIEW CAPITAL CORP ................... 7,677,836 231,375 BEACON PROPERTIES CORP .................. 7,722,140 1,588,728 BEAR STEARNS COS, INC ................... 54,314,638 556,100 BENEFICIAL CORP ......................... 39,517,856 39,700 BERKSHIRE REALTY CO, INC ................ 421,812 16,778 BRADLEY REAL ESTATE, INC ................ 322,976 77,400 BRE PROPERTIES, INC (CLASS A) ........... 1,944,675 158,580 oCALIFORNIA FEDERAL BANCORP .............. 2,676,037 39,200 CAMDEN PROPERTY TRUST ................... 1,239,700 832,776 CAPSTEAD MORTGAGE CORP .................. 20,559,157 41,300 CARR AMERICA REALTY CORP ................ 1,187,375 272,600 CASE CORP ............................... 18,775,325 165,448 CASH AMERICA INTERNATIONAL, INC ......... 1,737,204 1,057,050 oCATELLUS DEVELOPMENT CORP ............... 19,159,031 39,500 CBL & ASSOCIATES PROPERTIES, INC ........ 948,000 32,200 CENTERPOINT PROPERTIES CORP ............. 1,022,350 2,520 CETELEM S.A ............................. 317,200 27,000 CHELSEA GCA REALTY, INC ................. 1,026,000 103,200 oCITYSCAPE FINANCIAL CORP ................ 2,057,550 146,400 CMAC INVESTMENT CORP .................... 6,990,600 715,600 oCOAST SAVINGS FINANCIAL, INC ............ 32,515,075 229,200 COLLECTIVE BANCORP, INC ................. 10,285,350 588,487 COMDISCO, INC ........................... 15,300,662 24,000 COMMERCIAL FEDERAL CORP ................. 891,000 15,721 COMPAGNIE BANCAIRE S.A .................. 2,008,306 9,700 oCONTIFINANCIAL CORP ..................... 354,050 993,857 COUNTRYWIDE CREDIT INDUSTRIES, INC ...... 30,995,915 104,300 oCREDIT ACCEPTANCE CORP .................. 1,342,862 144,650 CREDIT SAISON CO LTD .................... 3,539,469 771,200 CWM MORTGAGE HOLDINGS, INC .............. 18,460,600 1,193,108 DAIWA SECURITIES CO LTD ................. 9,425,620 35,100 DEVELOPERS DIVERSIFIED REALTY CORP ...... 1,404,000 21,500 DONALDSON, LUFKIN, & JENRETTE, INC ...... 1,284,625 533 DUFF & PHELPS CREDIT RATING CO .......... 16,189 84,552 DUKE REALTY INVESTMENTS, INC ............ 3,424,356 45,600 DYNEX CAPITAL, INC ...................... 635,550 228,800 EATON VANCE CORP ........................ 6,363,500 42,289 oECHELON INTERNATIONAL CORP .............. 964,717 1,002,000 EDWARDS (A.G.), INC ..................... 42,835,500 10,700 ENHANCE FINANCIAL SERVICES GROUP, INC ............................. 469,462 167,500 oENVOY CORP .............................. 5,569,375 370,162 EQUITY RESIDENTIAL PROPERTIES TRUST CO ............................... 17,582,695 1,157 oEURAFRANCE S.A .......................... 474,940 16,200 EVANS WITHYCOMBE RESIDENTIAL, INC ....... 336,150 224,746 EVEREN CAPITAL CORP ..................... 7,009,265 20,000 EXCEL REALTY TRUST, INC ................. 527,500 6,829,400 FEDERAL HOME LOAN MORTGAGE CORP ......... 234,760,625 10,322,800 FEDERAL NATIONAL MORTGAGE ASSOCIATION ............................ 450,332,150 50,500 FEDERAL REALTY INVESTMENT TRUST ......... 1,363,500 69,200 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD ........................... 2,694,475 233,300 FINOVA GROUP, INC ....................... 17,847,450 906,050 FIRST FINANCIAL CORP (WISCONSIN) ........ 26,615,218 3,620 oFIRST HUNGARY FUND LTD (CLASS A) ........ 4,316,415 1,598,400 oFIRST NIS REGIONAL FUND (FULLY PD) ...... 30,369,600 49,778 oFIRST RUSSIAN FRONTIER SERIES A WTS ..... 559,207 248,893 oFIRST RUSSIAN FRONTIERS PLC ORD SHS ..... 5,602,496 79,100 oFIRSTPLUS FINANCIAL GROUP, INC .......... 2,689,400 194,154 FRANCHISE FINANCE CORP OF AMERICA ....... 5,060,138 536,100 FRANKLIN RESOURCES, INC ................. 38,900,756 431,200 oGARTNER GROUP, INC (CLASS A) ............ 15,496,250 140,400 GENERAL GROWTH PROPERTIES, INC .......... 4,703,400 479,000 oGENTRA, INC ............................. 1,215,207 1,428,100 oGLENDALE FEDERAL SAVINGS BANK, INC .............................. 37,309,112 112,700 GLIMCHER REALTY TRUST ................... 2,324,437 551,700 GOLDEN WEST FINANCIAL CORP .............. 38,619,000 186,500 oGREAT FINANCIAL CORP .................... 6,550,812 2,074,381 GREAT WESTERN FINANCIAL CORP ............ 111,497,978 1,112,800 GREEN TREE FINANCIAL CORP ............... 39,643,500 3,282,400 H.F. AHMANSON & CO ...................... 141,143,200 4,800 oHANG LUNG DEVELOPMENT CO LTD WTS 10/31/97 ........................... 359 508,800 HEALTH AND RETIREMENT PROPERTY TRUST .................................. 9,571,800 13,800 HEALTH CARE REIT, INC ................... 335,512 31,700 HEALTHCARE REALTY TRUST, INC ............ 883,637 273,900 x~oHEIZER CORP (LIQUIDATING TRUST) ......... 113,394 217,300 HIGHWOODS PROPERTIES, INC ............... 6,953,600 25,066 oHOMG LEONG CREDIT ....................... 92,857 125,333 HONG LEONG CREDIT BERHAD ................ 466,771 12,533 oHONG LEONG CREDIT RTS ................... 12,166 713,272 HOUSEHOLD INTERNATIONAL, INC ............ 83,764,880 2,000 INCENTIVE AB SERIES A FREE .............. 181,056 800 INCENTIVE AB SERIES B FREE .............. 73,146 35,939 INVESTORS FINANCIAL SERVICES CORP ....... 1,707,102 90,000 oITLA CAPITAL CORP ....................... 1,462,500 294,000 JACCS CO ................................ 2,181,306A 120,000 oLONG BEACH FINANCIAL CORP ............... 1,050,000 60,400 MACERICH CO (THE) ....................... 1,676,100 96,075 MARYLAND FEDERAL BANCORP ................ 4,179,262 600,000 oMBF CAPITAL BERHAD ...................... 1,103,012 2,339,062 MBNA CORP ............................... 85,668,145 180,000 MEDIOLANUM S.P.A ........................ 2,028,952 828,500 MEDITRUST CORP .......................... 33,036,437 11,895 oMERCAPITAL S.A .......................... 105,945 73,480 MERCURY ASSETS MANAGEMENT GROUP PLC .............................. 1,505,423 1,196,300 oMERCURY FINANCE CO ...................... 2,915,981 3,266,792 MERRILL LYNCH & CO, INC ................. 194,782,473 354,449 MERRY LAND & INVESTMENT CO, INC ......... 7,687,112 4,300 MGI PROPERTIES, INC ..................... 94,868 4,868,712 MORGAN STANLEY, DEAN WITTER, DISCOVER ... 209,658,910 51,100 NATIONAL HEALTH INVESTORS, INC .......... 2,005,675 123,300 NATIONWIDE HEALTH PROPERTIES, INC ....... 2,712,600 333,851 NEW PLAN REALTY TRUST ................... 7,365,587 600 oNICE NICHIEI CO LTD ..................... 1,358 130,000 NICHIEI CO LTD (KYOTO) .................. 15,109,731 848,000 NIPPON SHINPAN CO LTD ................... 3,068,018 2,972,744 NOMURA SECURITIES CO LTD ................ 41,046,519 4,313 NPM HOLDINGS NV ......................... 169,499 822,000 ORIENT CORP ............................. 3,354,674 67,187 ORIX CORP ............................... 4,984,879 16,547 oPACIFIC CREST CAPITAL, INC .............. 219,247 872,100 PAINE WEBBER GROUP INC .................. 30,523,500 268,200 PENNCORP FINANCIAL GROUP, INC ........... 10,325,700 4,250,000 PEREGRINE INVESTMENT HOLDINGS LTD ....... 8,749,807 25,000 oPEREGRINE INVESTMENT WTS 05/15/98 ....... 10,971 7,900 PHOENIX, DUFF & PHELPS CORP ............. 58,262 256,700 PIONEER GROUP, INC ...................... 5,904,100 280,638 PIPER JAFFRAY COMPANIES, INC ............ 5,753,079 See notes to financial statements. -27- SHARES VALUE ------ ----- FINANCIAL--MISCELLANEOUS--(CONTINUED) 302,800 PMI GROUP, INC .......................... $18,887,150 62,900 POST PROPERTIES, INC .................... 2,551,381 38,000 POWER FINANCIAL CORP .................... 899,318 493,100 PRICE (T. ROWE) ASSOCIATES, INC ......... 25,456,287 147,000 PROMISE CO LTD .......................... 8,427,192 109,925 PROVIDENT FINANCIAL PLC ................. 1,019,021 264,300 PUBLIC STORAGE, INC ..................... 7,730,775 145,743 QUICK & REILLY GROUP, INC ............... 3,388,524 140,000 oRASHID HUSSAIN BERHAD ................... 887,481 35,800 REALTY INCOME CORP ...................... 939,750 7,600 REGENCY REALTY CORP ..................... 207,100 337,800 RFS HOTEL INVESTORS, INC ................ 6,080,400 34,803 RIT CAPITAL PARTNERS PLC ................ 150,888 395,000 ROOSEVELT FINANCIAL GROUP, INC .......... 8,690,000 831,800 SALOMON, INC ............................ 46,268,875 79,760 SCHROEDERS LTD .......................... 2,178,338 878,500 SCHWAB (CHARLES) CORP ................... 35,743,968 108,800 oSEACOR SMIT, INC ........................ 5,691,600 500,700 SECURITY CAPITAL PACIFIC TRUST .......... 11,453,512 17,000 oSHOKOH FUND & CO ........................ 5,155,136 2,500 SIRROM CAPITAL CORP ..................... 86,250 233,000 SPIEKER PROPERTIES, INC ................. 8,198,687 140,692 ST JAMES PLACE CAPITAL PLC .............. 306,741 139,100 ST. FRANCIS CAPITAL CORP ................ 5,390,125 213,400 STEWART INFORMATION SERVICES CORP ....... 4,401,375 55,600 STORAGE USA, INC ........................ 2,126,700 1,036,250 STUDENT LOAN MARKETING ASSOCIATION ............................ 131,603,750 28,100 SUMMIT PROPERTIES, INC .................. 579,562 39,700 SUN COMMUNITIES, INC .................... 1,332,431 426,500 TCF FINANCIAL CORP ...................... 21,058,437 397,875 THE MONEY STORE, INC .................... 11,414,039 18,300 THORNBURG MORTGAGE ASSET CORP ........... 393,450 615,200 TIG HOLDINGS, INC ....................... 19,225,000 12,100 TOWN & COUNTRY TRUST .................... 186,037 30,200 TRINET CORPORATE REALTY TRUST, INC ...... 998,487 161,300 UNITED ASSET MANAGEMENT CORP ............ 4,566,806 291,700 UNITED COS FINANCIAL CORP ............... 8,240,525 716,656 UNITED DOMINION REALTY TRUST, INC ....... 10,167,557 279,000 VALUE LINE, INC ......................... 12,066,750 46,897 VALUE REAL'N TRUST ...................... 74,343 94,850 WHITNEY HOLDING CORP .................... 4,007,412 875,600 YAMAICHI SECURITIES CO LTD .............. 2,609,287 ------------- 3,419,512,757 ------------- FOODS--1.92% 1,000 AARHUS OLIEFABRIK AS (CLASS A) .......... 49,768 1,700 AARHUS OLIEFABRIK AS (CLASS B) .......... 85,888 617,610 AJINOMOTO CO LTD ........................ 6,638,671 5,787,774 ARCHER DANIELS MIDLAND CO ............... 136,012,689 171,000 ARIAKE JAPAN CO LTD ..................... 6,545,336 36,000 ARNOTTS LTD ............................. 237,346 365,200 ASSOCIATED BRITISH FOODS PLC ............ 3,151,455 254 AULT FOODS LTD .......................... 6,250 62,749 BAGLEY S.A. (CLASS B) ................... 125,510 770 BONGRAIN S.A ............................ 301,521 470,225 BRL HARDY LTD ........................... 1,333,779 210,350 BURNS PHILP & CO LTD .................... 387,681 427,978 CADBURY SCHWEPPES LTD ................... 3,814,279 1,514,300 CAMPBELL SOUP CO ........................ 75,715,000 448,600 CHIQUITA BRANDS INTERNATIONAL, INC ...... 6,168,250 2,044,804 CONAGRA, INC ............................ 131,123,056 1,594,700 CPC INTERNATIONAL, INC .................. 147,210,743 48,800 CULTOR OY SERIES 2 ...................... 2,564,855 22,500 oDANISCO AS .............................. 1,377,685 29,042 DANONE GROUP ............................ 4,803,240 290,450 DEAN FOODS CO ........................... 11,726,918 57,900 DEKALB GENETICS CORP (CLASS B) .......... 4,617,525 216,000 DEL MONTE ROYAL FOODS LTD ............... 111,917 470,884 DOLE FOOD, INC .......................... 20,130,291 239,400 DREYERS GRAND ICE CREAM, INC ............ 9,456,300 99,332 EARTHGRAINS CO .......................... 6,512,454 9,331 oERIDANIA BEGHIN-SAY S.A ................. 1,398,619 255,700 EZAKI GLICO CO LTD ...................... 2,301,599 95,986 oFINANZIARIA AUTOGRILL S.P.A ............. 160,571 916,475 FLOWERS INDUSTRIES, INC ................. 15,408,235 11,000 G.I.B. HOLDINGS LTD ..................... 526,278 1,997,554 GENERAL MILLS, INC ...................... 130,090,704 901,700 oGENERAL NUTRITION COS, INC .............. 25,247,600 162,600 GOLDEN ENTERPRISES, INC ................. 1,158,525 3,696,417 GOODMAN FIELDER LTD ..................... 5,400,243 90,000 GRUPO INDUSTRIAL BIMBO S.A DE CV SERIES A ......................... 643,786 272,000 GRUPO INDUSTRIAL MASECA SERIES B ........ 297,491 2,556,850 HEINZ (H.J.) CO ......................... 117,934,706 33,000 HERDEZ S.A. SERIES B .................... 17,009 599,796 HERSHEY FOODS CORP ...................... 33,176,216 235,000 oHIPPO VALLEY ESTATES LTD ................ 339,983 284,300 HORMEL FOODS CORP ....................... 7,640,562 239,400 HOUSE FOODS CORP ........................ 4,246,996 100,000 HUDSON FOODS, INC ....................... 1,631,250 66,500 HUTECH NORIN CO LTD ..................... 1,104,172 617,600 IBP, INC ................................ 14,359,200 319,200 oINTERNATIONAL DAIRY QUEEN, INC (CLASS A) .............................. 7,660,800 266,800 INTERNATIONAL MULTIFOODS CORP ........... 6,703,350 131,700 INTERSTATE BAKERIES CORP ................ 7,811,456 1,051,000 ITOHAM FOODS, INC ....................... 5,804,723 256,900 oJ & J SNACK FOODS CORP .................. 3,949,837 42,600 oJP FOODSERVICE, INC ..................... 1,222,087 314,115 KATOKICHI CO LTD ........................ 5,599,904 596,300 KELLOGG CO .............................. 51,058,187 65,000 KERRY GROUP (CLASS A) ................... 616,623 386,301 oKIKKOMAN CORP ........................... 2,548,792 5,500 oKOIPE S.A ............................... 422,557 5,000 KORN-OG FODERSTOF KOMPAGNIET AS ......... 159,862 213,632 LANCE, INC .............................. 4,085,712 4,119 MAPLE LEAF FOODS, INC ................... 44,336 54,000 oMARUDAI FOOD CO LTD ..................... 237,840 124,000 MARUHA CORP ............................. 324,007 914,600 MCCORMICK & CO, INC (NON-VTG) ........... 23,093,650 110,000 MEFOS LTD ............................... 1,009,354 120,700 MEIJI MILK PRODUCTS CO LTD .............. 551,658 509,000 MEIJI SEIKA KAISHA LTD .................. 2,802,335 252,675 MICHAEL FOODS, INC ...................... 4,674,487 115,000 oMIDWEST GRAIN PRODUCTS, INC ............. 1,523,750 153,938 MOLINOS RIO DE LA PLATA S.A. (CLASS B) .. 601,957 1,260,800 NABISCO HOLDINGS CORP (CLASS A) ......... 50,274,400 80,800 NATURES SUNSHINE PRODUCTS, INC .......... 1,464,500 123,500 oNBTY, INC ............................... 3,458,000 96,000 NESTLE MALAYSIA BERHAD .................. 718,859 48,486 NESTLE S.A. (REGD) ...................... 64,053,791 132,000 NICHIREI CORP ........................... 658,675 292,000 NIPPON BEET SUGAR MANUFACTURING CO LTD ................................. 1,069,199 749,200 NIPPON MEAT PACKERS, INC ................ 9,689,943 1,982,000 oNIPPON SUISAN KAISHA LTD ................ 6,737,751 88,000 NISSIN FOOD PRODUCTS CO LTD ............. 2,291,715 See notes to financial statements. -28- SHARES VALUE ------ ----- FOODS-(CONTINUED) 64,625 NUTRICIA NV ............................. $10,224,945 71,500 ORKLA AS SERIES A ....................... 5,283,776 7,748 ORKLA AS SERIES B ....................... 526,001 1,570,000 oPARMALAT FINANZIARIA S.P.A .............. 2,220,199 12,300 oPASCUAL HERMANOS S.A .................... 6,021 2,638,555 PERDIGAO S.A. COMERICO E INDUSTRIA ...... 5,391 557,700 PIONEER-HI-BRED INTERNATIONAL, INC ...... 44,616,000 350,000 oPOWER PACIFIC LTD ....................... 14,159 18,574 oPROVIGO, INC ............................ 105,687 4,887,500 oPT CHAROEN POKPHAND INDONESIA (FR) ...... 2,209,638 2,200,000 oPT DAYA GUNA SAMUDERA (FR) .............. 3,955,875 704,739 oQ.P. CORP ............................... 6,281,888 1,122,532 QUAKER OATS CO .......................... 50,373,623 30,000 RAISION TEHTAAT OY ...................... 2,061,910 579,243 oRALCORP HOLDINGS, INC ................... 8,543,834 861,391 RALSTON PURINA CO ....................... 70,795,572 367,000 RICHFOOD HOLDINGS, INC .................. 9,542,000 35,000 SANDERSON FARMS, INC .................... 612,500 69,000 SANTISTA ALIMENTOS S.A .................. 147,408 3,515,100 SARA LEE CORP ........................... 146,316,037 272,800 SAVANNAH FOODS & INDUSTRIES, INC ........ 4,791,050 177,700 oSMITHFIELD FOODS, INC ................... 10,928,550 40,631 oSMITH'S FOOD & DRUG CENTERS, INC (CLASS B) .............................. 2,178,837 101,900 SMUCKER, (J.M.) CO (CLASS A) ............ 2,216,325 199,400 SMUCKER, (J.M.) CO (CLASS B) ............ 4,324,487 1,352,950 SNOW BRAND MILK PRODUCTS CO ............. 6,975,823 207,100 oSPAGHETTI WAREHOUSE, INC ................ 1,242,600 88,000 TAKARA SHUZO CO LTD ..................... 635,989 162,147 TATE & LYLE PLC ......................... 1,204,930 208,200 TCBY ENTERPRISES, INC ................... 1,314,262 41,700 TIGER OATS LTD .......................... 735,531 266,122 TOOTSIE ROLL INDUSTRIES, INC ............ 11,842,429 1,092,000 TYSON FOODS, INC ........................ 20,884,500 97,900 UNIGATE PLC ............................. 787,790 336,000 UNILEVER LTD ............................ 9,626,710 274,800 UNILEVER NV CERTIFICATES ................ 57,952,982 238,175 UNITED BISCUITS HOLDINGS PLC ............ 810,627 212,920 UNIVERSAL FOODS CORP .................... 8,117,575 8,420 VISCOFAN S.A ............................ 197,217 97,600 WESTON (GEORGE) LTD ..................... 6,243,260 79,400 oWHOLE FOODS MARKET, INC ................. 2,630,125 11,248 oWORMS CIE ............................... 666,719 281,500 WRIGLEY (WM) JR CO ...................... 18,860,500 373,800 WRIGLEY (WM) JR CO (CLASS B) ............ 25,044,600 119,300 oYAMAZAKI BAKING CO LTD .................. 2,105,976 300,000 YOMEISHU SEIZO CO LTD ................... 2,356,908 280 YOSHINOYA D&C CO LTD .................... 3,425,688 ------------- 1,788,160,703 ------------- FOREST PRODUCTS--0.48% 113,700 ABITIBI-CONSOLIDATED, INC ............... 2,031,535 1,906,872 AMCOR LTD ............................... 12,571,930 5,835,000 ARJO WIGGINS APPLETON PLC ............... 17,091,695 2,220,700 oASIA PACIFIC RESOURCES INTERNATIONAL HOLDINGS (CLASS A) ....... 10,825,912 72,300 AVENOR, INC ............................. 1,404,494 1,288,332 BOISE CASCADE CORP ...................... 45,494,223 10,450,977 CARTER HOLT HARVEY LTD .................. 26,988,791 53,280 CARTIERE BURGO S.P.A .................... 295,429 164,000 oCELULOSA ARGENTINA S.A .................. 114,811 1,180,390 CHAMPION INTERNATIONAL CORP ............. 65,216,547 119,000 oCOLLINS & AIKMAN CORP ................... 1,190,000 755,845 DELTA CORP .............................. 1,159,781 173,680 DOMTAR, INC ............................. 1,497,990 147,800 DOMTAR, INC ............................. 1,307,016 39,300 DONOHUE, INC (CLASS A) .................. 854,595 2,216,648 FLETCHER CHALLENGE LTD (ENERGY DIVISION) ...................... 6,685,875 4,044,647 FLETCHER CHALLENGE LTD (FORESTS DIVISION) ..................... 5,866,728 578,700 GEORGIA-PACIFIC CORP .................... 49,406,512 77,000 oINTERNATIONAL FOREST PRODUCTS LTD ....... 530,226 80,340 KONINKLIJKE KNP BT NV ................... 1,832,897 19,000 oKORSNAS AB SERIES A ..................... 255,548 868,836 LOUISIANA PACIFIC CORP .................. 18,354,160 159,400 MACMILLAN BLOEDEL LTD ................... 2,189,497 73,300 MADERAS Y SINTETICOS S.A. ADR ........... 1,218,612 16,000 MO OCH DOMSJO AB SERIES B FREE .......... 525,580 10,600 NORSKE SKOGINDUSTRIER SERIES A .......... 365,601 2,400 NORSKE SKOGINDUSTRIER SERIES B .......... 79,335 2,500 PAPIERWERKE WALDHOF- ASCHAFFENBURG AG ....................... 427,521 33,400 POPE & TALBOT, INC ...................... 549,012 200,000 PORTUCEL INDUSTRIA EMPRESA (144A) ....... 1,484,829 191,000 POTLATCH CORP ........................... 8,642,750 282,284 RAYONIER, INC ........................... 11,873,570 7,000 oREPAP ENTERPRISES, INC .................. 2,841 204,974 REXAM PLC ............................... 864,785 319,900 SCA AB SERIES B ......................... 6,702,164 95,000 SLOCAN FOREST PRODUCTS LTD .............. 946,832 412,779 SMURFIT (JEFFERSON) GROUP PLC ........... 1,202,229 454,450 STORA KOPPARBERG BERGSLAGS SERIES A FREE .......................... 7,346,525 75,550 STORA KOPPARBERG BERGSLAGS SERIES B FREE .......................... 1,231,092 77,142 TABLEROS DE FIBRAS S.A. SERIES B ........ 1,072,578 326,600 TJ INTERNATIONAL, INC ................... 7,675,100 483,300 UPM-KYMMENE OY .......................... 11,165,505 1,572,750 WEYERHAEUSER CO ......................... 81,783,000 362,736 WILLAMETTE INDUSTRIES, INC .............. 25,391,520 ------------- 443,717,173 ------------- HEALTHCARE--DRUGS--6.19% 340,100 oADVANCED TISSUE SCIENCE CO .............. 4,378,787 1,207,991 +oAFFYMETRIX, INC ......................... 41,977,687 148,800 oAGOURON PHARMACEUTICALS, INC ............ 12,034,200 136,300 oALKERMES, INC ........................... 1,976,350 734,150 ALLERGAN, INC ........................... 23,355,146 293,100 oALLIANCE PHARMACEUTICAL CORP ............ 2,949,318 22,900 oALPHA BETA TECHNOLOGY, INC .............. 208,962 805,800 oALZA CORP ............................... 23,368,200 5,559,502 AMERICAN HOME PRODUCTS CORP ............. 425,301,903 3,096,700 oAMGEN, INC .............................. 179,995,687 34,300 oAMYLIN PHARMACEUTICALS, INC ............. 471,625 102,549 oAQUILA BIOPHARMACEUTICALS, INC .......... 583,247 415,037 ARBOR DRUGS, INC ........................ 8,352,619 2,493,546 ASTRA AB SERIES A FREE .................. 46,437,167 385,066 ASTRA AB SERIES B FREE .................. 6,797,569 491,000 BANYU PHARMACEUTICAL CO LTD ............. 8,624,606 2,999,800 oBB BIOVENTURES L. P ..................... 2,999,800 620,277 BERGEN BRUNSWIG CORP (CLASS A) .......... 17,290,221 161,250 oBIO-RAD LABORATORIES, INC (CLASS A) ..... 4,202,578 355,400 oBIO-TECHNOLOGY GENERAL CORP ............. 4,797,900 34,000 oBIOCHEM PHARMACEUTICALS, INC ............ 763,989 944,900 oBIOGEN, INC ............................. 32,008,487 99,300 oBIOMIRA, INC ............................ 503,841 145,154 BLOCK DRUG, INC (CLASS A) ............... 6,350,487 9,585,880 BRISTOL MYERS SQUIBB CO ................. 776,456,280 750,000 oBRITISH BIOTECH PLC ..................... 2,845,953 See notes to financial statements. -29- SHARES VALUE ------ ----- HEALTHCARE--DRUGS--(CONTINUED) 122,600 oCELLPRO, INC ............................ $ 735,600 428,700 oCENTOCOR, INC ........................... 13,316,493 306,700 oCEPHALON, INC ........................... 3,527,050 4,096,568 oCHIRON CORP ............................. 85,515,857 854,180 CHUGAI PHARMACEUTICAL CO LTD ............ 7,688,619 85,500 oCLINTRIALS INC .......................... 1,026,000 373,400 COLLAGEN CORP ........................... 6,534,500 63,400 oCOLUMBIA LABORATORIES, INC .............. 1,038,175 700 oCOPLEY PHARMACEUTICAL, INC .............. 5,075 246,700 oCYGNUS, INC ............................. 4,255,575 524,982 oCYTOGEN CORP ............................ 2,559,287 530,468 DAIICHI PHARMACEUTICAL CO LTD ........... 9,364,234 950 DAINIPPON PHARMACEUTICAL CO LTD ......... 7,214 400,400 oDURA PHARMACEUTICALS, INC ............... 15,965,950 313,641 EISAI CO LTD ............................ 5,947,771 145,241 ELF SANOFI S.A .......................... 14,249,522 154,269 oENZO BIOCHEMICAL, INC ................... 2,439,378 497,214 F.H. FAULDING & CO LTD .................. 2,831,096 47,000 oFDM PHARMACEUTICALS ..................... 1,825,245 325,600 oFOREST LABORATORIES, INC ................ 13,492,050 3,400 oGENENTECH, INC .......................... 200,387 404,700 +oGENSET S.A .............................. 23,099,162 175,481 oGENSIA SICOR, INC ....................... 778,696 792,500 oGENZYME CORP (GENERAL DIVISION) ......... 21,991,875 35,302 oGENZYME CORP (TISSUE REPAIR DIVISION) ... 357,432 332,000 oGILEAD SCIENCES, INC .................... 9,171,500 6,166,381 GLAXO WELLCOME PLC ...................... 127,257,577 13,410 HAFSLUND AS SERIES A .................... 80,597 25,802 HAFSLUND AS SERIES B .................... 140,274 425,900 oHUMAN GENOME SCIENCES, INC .............. 14,161,175 2,400 oIDEC PHARMACEUTICALS CORP ............... 58,200 149,500 oIMMUNE RESPONSE CORP .................... 1,139,937 265,400 oIMMUNEX CORP ............................ 9,620,750 601,500 oIMMUNOMEDICS, INC ....................... 2,631,562 27,400 oINCYTE PHARMACEUTICALS, INC ............. 1,835,800 344,100 oINTERNEURON PHARMACEUTICALS, INC ........ 6,925,012 115,900 oISIS PHARMACEUTICALS, INC ............... 1,687,793 770,559 oIVAX CORP ............................... 8,620,628 287,100 JONES MEDICAL INDUSTRIES, INC ........... 13,637,250 137,000 KAKEN PHARMACEUTICALS CO LTD ............ 705,176 53,555 KISSEI PHARMACEUTICALS CO LTD ........... 1,179,403 491,080 KYOWA HAKKO KOGYO ....................... 3,682,148 25,000 LABORATORIO CHILE ADR ................... 712,500 4,576,610 LILLY (ELI) & CO ........................ 500,280,680 349,700 oLIPOSOME CO, INC ........................ 3,125,443 547,200 ~oMARTEK BIOSCIENCES CORP ................. 6,429,600 140,210 ~oMARTEK BIOSCIENCES CORP WTS 5/18/98 ..... 257,986 23,500 oMATRIX PHARMACEUTICALS, INC ............. 157,156 188,000 oMEDIMMUNE, INC .......................... 3,478,000 10,109,017 MERCK & CO, INC ......................... 1,046,283,259 66,000 MERCK KGAA .............................. 2,914,437 275,300 oMILLENNIUM PHARMACEUTICALS, INC ......... 4,439,212 450 MOCHIDA PHARMACEUTICAL CO LTD ........... 4,129 175,350 oMOLECULAR BIOSYSTEMS, INC ............... 1,578,150 1,328,550 MYLAN LABORATORIES, INC ................. 19,596,112 125,000 oMYRIAD GENETICS, INC .................... 3,375,000 38,900 oNEUROGEN CORP ........................... 884,975 302,672 oNEXSTAR PHARMACEUTICALS, INC ............ 4,313,076 237,400 oNORTH AMERICAN VACCINE, INC ............. 4,584,787 26,300 NOVARTIS AG (BR) ........................ 42,068,448 92,238 NOVARTIS AG (REGD) ...................... 147,666,821 124,420 NOVO NORDISK AS (CLASS B) ............... 13,585,337 13,410 NYCOMED AS SERIES A ..................... 197,830 25,802 NYCOMED AS SERIES B ..................... 370,069 134,200 oPAREXEL INTERNATIONAL CORP .............. 4,260,850 5,595,500 PFIZER, INC ............................. 668,662,250 313,242 oPHARMACEUTICAL RESOURCES, INC ........... 861,415 4,553,085 PHARMACIA & UPJOHN, INC ................. 158,219,703 143,300 oPROTEIN DESIGN LABORATORIES, INC ........ 4,084,050 130,000 oREGENERON PHARMACEUTICALS, INC .......... 1,316,250 244,300 oREPLIGEN CORP ........................... 290,106 412,700 RHONE-POULNEC RORER, INC ................ 37,504,112 100,000 oRIBOZYME PHARMACEUTICALS, INC ........... 875,000 128,000 RIKEN VITAMIN CO LTD .................... 1,566,028 213,700 oROBERTS PHARMACEUTICAL CORP ............. 2,390,768 1,369 ROCHE HOLDINGS AG. (BR) ................. 18,827,385 10,107 ROCHE HOLDINGS AG. (GENUSSCHEINE) ....... 91,544,629 770,713 SANKYO CO LTD ........................... 25,930,754 536,500 SANTEN PHARMACEUTICAL CO LTD ............ 10,830,373 279,200 oSCHERER (R.P.) CORP ..................... 14,413,700 134,170 SCHERING AG ............................. 14,347,855 6,619,412 SCHERING-PLOUGH CORP .................... 316,904,349 748,450 oSCIOS, INC .............................. 4,771,368 322,400 oSEPRACOR, INC ........................... 8,321,950 200,000 oSEQUANA THERAPEUTICS, INC ............... 2,175,000 451,500 oSEQUUS PHARMACEUTICALS, INC ............. 2,878,312 664,950 SHIONOGI & CO LTD ....................... 5,160,166 5,738,416 SMITHKLINE BEECHAM/BECKMAN LTD .......... 105,580,177 214,500 oSOMATOGEN, INC .......................... 992,062 211,800 oSYNCOR INTERNATIONAL CORP ............... 2,223,900 40,375 SYNTHELABO S.A .......................... 5,260,930 275,700 TAISHO PHARMACEUTICAL CO LTD ............ 7,444,867 1,544,100 TAKEDA CHEMICAL INDUSTRIES LTD .......... 43,450,325 702 TANABE SEIYAKU CO LTD ................... 6,318 1,000 TEIKOKU HORMONE MANUFACTURING ........... 11,972 652,000 TERUMO CORP ............................. 12,478,243 238,228 oU.S. BIOSCIENCE, INC .................... 2,292,944 231,100 oVERTEX PHARMACEUTICALS, INC ............. 8,839,575 1,910,800 WARNER-LAMBERT CO ....................... 237,416,900 351,600 oWATSON PHARMACEUTICALS, INC ............. 14,855,100 384,903 oXOMA CORP ............................... 1,852,345 445,485 YAMANOUCHI PHARMACEUTICAL CO LTD ........ 11,990,727 982,592 ZENECA GROUP PLC ........................ 32,477,611 ------------- 5,765,933,010 ------------- HEALTHCARE--HOSPITAL SUPPLY--0.93% 254,000 oAMERISOURCE HEALTH CORP (CLASS A) ....... 12,668,250 624,000 oBIOCOMPATIBLES INTERNATIONAL PLC ........ 13,516,379 902,400 oDEPUY, INC .............................. 20,755,200 62,400 HOGY MEDICAL CO ......................... 2,644,770 294,800 oIMMUCOR, INC ............................ 2,911,150 11,149,454 JOHNSON & JOHNSON CO .................... 717,746,101 373,500 MCKESSON CORP ........................... 28,946,250 954,700 MILLIPORE CORP .......................... 42,006,800 110,000 NOBEL BIOCARE AB ........................ 1,550,618 4,050 oRADIOMETER AS (CLASS B) ................. 208,892 571,600 U.S. SURGICAL CORP ...................... 21,292,100 ------------- 864,246,510 ------------- HEALTHCARE--OTHER--1.42% 6,243,588 ABBOTT LABORATORIES CO .................. 416,759,499 121,800 oACCESS HEALTH, INC ...................... 2,984,100 231,400 oACUSON CORP ............................. 5,322,200 217,060 oADVANCED TECHNOLOGY LABORATORIES, INC ...................... 9,333,580 596,793 ALLEGIANCE CORP ......................... 16,262,609 71,800 oAMERICAN DRUG CO ........................ 15,078 71,800 oAMERICAN DRUG CO WTS 08/05/98 ........... 2,333 See notes to financial statements. -30- SHARES VALUE ------ ----- HEALTHCARE--OTHER--(CONTINUED) 247,100 ARROW INTERNATIONAL, INC ................ $ 7,227,675 316,433 BALLARD MEDICAL PRODUCTS CO ............. 6,348,437 613,972 BARD (C.R.), INC ........................ 22,294,858 461,200 BAUSCH & LOMB, INC ...................... 21,734,050 1,918,737 BAXTER INTERNATIONAL, INC ............... 100,254,008 161,373 oBEC GROUP, INC .......................... 736,264 1,124,312 BECTON DICKINSON & CO ................... 56,918,295 1,339,300 oBIOMET, INC ............................. 24,944,462 120,000 oBIORA AB ................................ 1,117,376 400,100 oBIOWHITTAKER, INC ....................... 4,451,112 798,600 oBOSTON SCIENTIFIC CORP .................. 49,063,987 203,900 oCIRCON CORP ............................. 2,905,575 700 oCNS, INC ................................ 6,387 133,812 oCORAM HEALTHCARE CORP ................... 326,166 409,100 oCOVENTRY CORP ........................... 6,187,637 134,400 oDATASCOPE CORP .......................... 2,637,600 238,900 DENTSPLY INTERNATIONAL, INC ............. 11,706,100 165,800 DIAGNOSTIC PRODUCTS CORP ................ 5,233,062 181,300 oE-Z-EM, INC (CLASS A) ................... 1,495,725 225,270 oE-Z-EM, INC (CLASS B) ................... 1,605,048 784,996 oENZON, INC .............................. 1,766,241 102,963 oEPITOPE, INC ............................ 810,833 8,600 oESSILOR INTERNATIONAL ................... 2,321,754 869,037 oFRESENIUS MEDICAL CARE AG. ADR .......... 25,310,702 119,000 FUKUDA DENSHI CO ........................ 2,443,861 368,000 oGENESIS HEALTH VENTURES, INC ............ 12,420,000 610,913 GUIDANT CORP ............................ 51,927,605 125,100 oGULF SOUTH MEDICAL SUPPLY, INC .......... 2,439,450 26,800 oHAEMONETICS CORP ........................ 512,550 159,423 oHEALTHDYNE TECHNOLOGIES, INC ............ 2,750,046 336,800 HILLENBRAND INDUSTRIES, INC ............. 15,998,000 350,000 oIDEXX LABORATORIES, INC ................. 4,353,125 30,000 ~oINTERNATIONAL HYDRON (LIQUIDATING TRUST) .................... 600 123,000 oISOLYSER CO, INC ........................ 334,406 60,100 KINETIC CONCEPTS, INC ................... 1,081,800 57,000 LOEWEN GROUP, INC ....................... 1,979,052 5,094,652 LONDON INTERNATIONAL GROUP PLC .......... 14,668,720 14,677 oLYNX THERAPEUTICS, INC .................. 176,124 497,000 oMEDAPHIS CORP ........................... 5,001,062 165,700 oMEDCO RESEARCH, INC ..................... 1,594,862 1,811,472 MEDTRONIC, INC .......................... 146,729,232 372,000 MENTOR CORP ............................. 11,020,500 681,116 oNELLCOR PURITAN BENNETT, INC ............ 12,345,227 124,300 oNEUROMEDICAL SYSTEMS, INC ............... 687,534 396,412 OWENS & MINOR, INC ...................... 5,921,404 831,926 PALL CORP ............................... 19,342,279 177,350 oPATTERSON DENTAL CO ..................... 6,085,321 143,412 oPHARMACEUTICAL PRODUCT DEVELOPMENT ............................ 3,155,064 101,000 oPHYMATRIX CORP .......................... 1,552,875 328,600 oPHYSICIAN RELIANCE NETWORK, INC ......... 3,080,625 393,100 oPHYSICIAN SALES & SERVICE, INC .......... 7,468,900 180,900 oPLAYTEX PRODUCTS, INC ................... 1,695,937 228,008 oQUEST DIAGNOSTICS, INC .................. 4,688,414 16,000 SAGAMI RUBBER INDUSTRIES CO LTD ......... 78,301 51,500 oSCHEIN (HENRY), INC ..................... 1,609,375 265,500 oSOFAMOR DANEK GROUP, INC ................ 12,146,625 306,360 oSPACELABS MEDICAL, INC .................. 7,812,180 567,950 oST. JUDE MEDICAL, INC ................... 22,150,050 388,672 oSTERIS CORP ............................. 14,526,616 670,000 STEWART ENTERPRISES, INC (CLASS A) ...... 28,140,000 597,800 oSTRYKER CORP ............................ 20,848,275 351,100 oSUMMIT TECHNOLOGY, INC .................. 2,326,037 108,300 oSUNRISE MEDICAL, INC .................... 1,638,037 628,600 oSYBRON INTERNATIONAL CORP ............... 25,065,425 231,900 oSYNETIC, INC ............................ 8,580,300 163,500 oTECNOL MEDICAL PRODUCTS, INC ............ 3,637,875 395,450 oTHERMEDICS, INC ......................... 6,203,621 139,500 oTHERMO CARDIOSYSTEMS, INC ............... 3,627,000 75,500 oTHERMOTREX CORP ......................... 1,882,781 100,000 oTRANSKARYOTIC THERAPIES, INC ............ 3,087,500 3,443 oVITALINK PHARMACY SERVICES, INC ......... 65,847 428,200 oVIVUS, INC .............................. 10,196,512 ------------- 1,323,159,685 ------------- HEALTHCARE--SERVICE--1.45% 163,600 oADAC LABORATORIES, INC .................. 3,865,050 1,720,521 AETNA, INC .............................. 176,138,337 24,000 ANALYSTS INTERNATIONAL CORP ............. 804,000 314,300 oAPRIA HEALTHCARE GROUP, INC ............. 5,578,825 303,200 oAVATEX CORP ............................. 360,050 943,661 oBEVERLY ENTERPRISES CO .................. 15,334,491 2,142,229 CARDINAL HEALTH, INC ..................... 122,642,610 174,100 oCERNER CORP ............................. 3,656,100 1,934,181 oCHIROSCIENCE GROUP PLC .................. 7,806,214 163,900 oCOASTAL PHYSICIAN GROUP, INC ............ 266,337 6,110,499 COLUMBIA/HCA HEALTHCARE CORP ............ 240,218,991 772,416 oCOVANCE, INC ............................ 14,917,284 6,000 oEXTENDICARE INC (MULTI-VTG) ............. 91,330 64,000 oEXTENDICARE INC (SUB-VTG)(CLASS A) ...... 946,361 1,156,675 oFOUNDATION HEALTH SYSTEMS (CLASS A) ..... 35,061,710 21,000 FRESENIUS AG ............................ 4,338,343 347,700 oHEALTH CARE & RETIREMENT CORP ........... 11,604,487 35,300 HEALTH CARE PROPERTY INVESTORS, INC ..... 1,244,325 1,145,900 oHEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) .............................. 32,658,150 132,300 oHEALTH MANAGEMENT SYSTEMS, INC .......... 603,618 281,827 oHEALTHCARE COMPARE CO ................... 14,760,689 245,000 oHEALTHDYNE INFORMATION ENTERPRISES ...... 627,812 2,712,350 oHEALTHSOUTH CORP ........................ 67,639,228 464,919 oHORIZON/CMS HEALTHCARE CORP ............. 9,327,437 1,245,532 oHUMANA, INC ............................. 28,802,927 200 oI-STAT CORP ............................. 3,425 207,000 oINTEGRATED HEALTH SERVICES, INC ......... 7,969,500 200 oINTEGRATED SILICON SOLUTION, INC ........ 1,518 277,400 INVACARE CORP ........................... 6,484,225 358,160 oLABORATORY CORP OF AMERICA HOLDINGS ............................... 940,170 75,098 oLABORATORY CORP OF AMERICA HOLDINGS WTS 04/28/00 .................. 4,693 332,000 oLINCARE HOLDINGS, INC ................... 14,276,000 192,000 oLIVING CENTERS OF AMERICA, INC .......... 7,584,000 332,300 oMAGELLAN HEALTH SERVICES, INC ........... 9,802,850 524,650 MANOR CARE, INC ......................... 17,116,706 329,500 oMARINER HEALTH GROUP, INC ............... 5,086,656 500,100 oMATRIA HEALTHCARE, INC .................. 2,000,400 57,000 oMAXICARE HEALTH PLANS, INC .............. 1,275,375 47,000 MDS INC, (CLASS B) ...................... 1,028,849 2,790,313 oMEDPARTNERS, INC ........................ 60,340,518 299,800 oMID ATLANTIC MEDICAL SERVICES, INC ...... 4,665,637 78,590 MORRISON HEALTH CARE, INC ............... 1,252,528 116,100 oMULTICARE COS, INC ...................... 3,178,237 42,600 NICHII GAKKAN CO ........................ 2,382,600 713,200 oNOVACARE, INC ........................... 9,895,650 249,000 oOCCUSYSTEMS, INC ........................ 7,221,000 764,300 OMNICARE, INC ........................... 23,979,912 215,600 oORTHODONTIC CENTERS OF AMERICA, INC ..... 3,921,225 676,300 oOXFORD HEALTH PLANS, INC ................ 48,524,525 210,159 oPACIFICARE HEALTH SYSTEMS, INC CLASS A ................................ 12,727,754 85,858 oPACIFICARE HEALTH SYSTEMS, INC CLASS B ................................ 5,484,179 See notes to financial statements. -31- SHARES VALUE ------ ----- HEALTHCARE--SERVICE--(C0NTINUED) 103,200 oPEDIATRIX MEDICAL GROUP, INC ............ $ 4,727,850 514,087 oPHYCOR, INC ............................. 17,703,871 272,900 oPHYSICIAN CORP OF AMERICA ............... 1,739,737 24,700 oPHYSICIANS HEALTH SERVICES, INC (CLASS A) .............................. 666,900 252,800 oPHYSICIANS RESOURCE GROUP INC ........... 2,275,200 392,800 oRENAL TREATMENT CENTERS, INC ............ 10,556,500 236,900 oROTECH MEDICAL CORP ..................... 4,752,806 218,700 oSAFEGUARD HEALTH ENTERPRISES, INC ....... 2,323,687 73,900 oSIERRA HEALTH SERVICES, INC ............. 2,309,375 409,800 oSUN HEALTHCARE GROUP, INC ............... 8,528,962 3,427,762 oTENET HEALTHCARE CORP ................... 101,333,214 93,400 oTOTAL RENAL CARE HOLDINGS, INC .......... 3,753,512 1,398,794 UNITED HEALTHCARE CORP .................. 72,737,288 341,200 oUNIVERSAL HEALTH SERVICES, INC .......... 13,136,200 332,432 oVALUE HEALTH, INC ....................... 6,731,748 569,488 oVENCOR, INC ............................. 24,060,868 86,600 oVISX, INC ............................... 2,056,750 97,500 VITAL SIGNS, INC ........................ 1,712,343 228,053 oWELLPOINT HEALTH NETWORKS, INC .......... 10,461,931 ------------- 1,348,011,580 ------------- HOUSEHOLD--CONSUMER ELECTRONICS--0.20% 38,500 oBANG & OLUFSEN HOLDINGS A/S (CLASS B) ............................... 2,380,598 803,000 CASIO COMPUTER CO LTD ................... 6,996,364 1,212 FUJI DENKI REIKI CO LTD ................. 9,532 167,880 HARMAN INTERNATIONAL INDUSTRIES, INC ........................ 7,071,945 3,059,854 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ...................... 61,769,548 60,335 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ADR ............................. 12,338,507 247,582 PIONEER ELECTRONIC CORP ................. 6,014,861 2,544,400 SANYO ELECTRIC CO LTD ................... 11,429,052 996,120 SHARP CORP .............................. 13,754,046 637,220 SONY CORP ............................... 55,630,969 207,800 oSUN TELEVISION & APPLIANCES, INC ........ 409,106 374,000 UNIDEN CORP ............................. 5,523,572 460 VICTOR CO OF JAPAN LTD .................. 6,351 319,922 oZENITH ELECTRONICS CORP ................. 3,779,078 ------------- 187,113,529 ------------- HOUSEHOLD--DURABLE GOODS--0.47% 145,662 BASSETT FURNITURE INDUSTRIES, INC ....... 4,124,055 946,800 BLACK & DECKER CORP ..................... 35,209,125 1,114,200 CERAMCO CORP LTD ........................ 1,102,598 608,660 CITIZEN WATCH CO LTD .................... 4,702,066 171,200 DYNAMICS CORP OF AMERICA ................ 10,657,200 138,674 ELECTROLUX AB SERIES B .................. 10,007,257 1,641,505 EMAIL LTD ............................... 5,829,325 174,800 FEDDERS CORP ............................ 994,175 152,950 FEDDERS CORP (CLASS A) .................. 860,343 907,544 oFISHER & PAYKEL INDUSTRIES LTD .......... 3,537,016 501,200 oGENTEX CORP ............................. 9,898,700 100,000 oINDUSTRIE NATUZZI S.P.A. ADR ............ 2,562,500 57,913 JD GROUP LTD ............................ 357,527 178,567 oLADD FURNITURE, INC ..................... 2,455,296 905,400 LEGGETT & PLATT, INC .................... 38,932,200 61,600 LIBBEY, INC ............................. 2,156,000 1,019,003 MAYTAG CO ............................... 26,621,453 29,400 NATIONAL PRESTO INDUSTRIES, INC ......... 1,185,187 1,818,462 NEWELL COS, INC ......................... 72,056,556 1,303,700 SHAW INDUSTRIES, INC .................... 13,851,812 2,023,900 STANLEY WORKS CO ........................ 80,956,000 2,133,100 SUNBEAM CORP ............................ 80,524,525 188,000 TAKARA STANDARD CO ...................... 1,642,932 476,900 WHIRLPOOL CORP .......................... 26,020,856 ----------- 436,244,704 ----------- HOUSEHOLD--PRODUCTS--1.89% 47,800 AMSTRAD PLC ............................. 226,727 388,913 APTARGROUP, INC ......................... 17,598,313 11,636 BIC S.A ................................. 1,904,652 188,000 oBRIGHTPOINT, INC ........................ 6,121,750 26,500 oCHICAGO MINIATURE LAMP, INC ............. 659,187 123,400 CHURCH & DWIGHT CO, INC ................. 3,300,950 229,233 CLOROX CO ............................... 30,258,756 2,134,372 COLGATE PALMOLIVE CO .................... 139,267,773 1,154,300 DIAL CORP ............................... 18,035,937 60,500 oEKCO GROUP, INC ......................... 351,656 259,500 oFIRST ALERT, INC ........................ 729,843 301,100 FIRST BRANDS CORP ....................... 6,906,481 162,200 GENERAL HOUSEWARES CORP ................. 1,601,725 7,300 HERBALIFE INTERNATIONAL, INC ............ 118,625 1,533,183 KAO CORP ................................ 21,303,593 371,500 KIMBERLY CLARK DE MEXICO S.A DE CV SERIES A ......................... 1,494,499 7,891,746 KIMBERLY-CLARK CORP ..................... 392,614,363 135,053 LANCASTER COLONY CORP ................... 6,533,188 1,415,916 LION CORP ............................... 6,483,813 66,296 NORITAKE CO LTD ......................... 596,741 629,600 oPERRIGO CO .............................. 7,870,000 558,800 PREMARK INTERNATIONAL, INC .............. 14,947,900 6,975,908 PROCTER & GAMBLE CO ..................... 985,347,005 1,029,500 RUBBERMAID, INC ......................... 30,627,625 265,200 oSCOTTS CO (CLASS A) ..................... 7,690,800 1,100 SMH AG. (BR) ............................ 629,261 22,532 SMH AG. (REGD) .......................... 3,056,246 129,600 STANHOME, INC ........................... 4,260,600 770,380 SWEDISH MATCH CO ........................ 2,590,384 334,600 TAMBRANDS, INC .......................... 16,688,175 204,880 THOMAS INDUSTRIES, INC .................. 5,890,300 575,700 TUPPERWARE CORP ......................... 21,013,050 57,000 UNI CHARM CORP .......................... 2,032,341 163,200 oUSA DETERGENTS, INC ..................... 1,672,800 ------------- 1,760,425,059 ------------- INSURANCE--BROKERS & OTHER--0.25% 275,900 oABR INFORMATION SERVICES, INC ........... 8,001,100 229,800 CRAWFORD & CO (CLASS A) ................. 3,533,175 189,000 CRAWFORD & CO (CLASS B) ................. 3,071,250 234,000 DAI-TOKYO FIRE & MARINE INSURANCE ....... 1,357,830 1,337,598 EQUIFAX, INC ............................ 49,741,925 367,700 GALLAGHER (ARTHUR J.) & CO .............. 13,880,675 71,100 oINSIGNIA FINANCIAL GROUP, INC ........... 1,288,687 302,900 JOHN ALDEN FINANCIAL CORP ............... 6,341,968 20,500 oMARSCHOLLEK LAUTENSCHALEGER UND PARTNER A.G. ....................... 4,917,363 961,120 MARSH & MCLENNAN COS, INC ............... 68,599,940 385,900 MBIA, INC ............................... 43,534,343 69,200 NORRELL CORP ............................ 2,283,600 613,200 oQUORUM HEALTH GROUP, INC ................ 21,921,900 ------------- 228,473,756 ------------- INSURANCE--LIFE--0.64% 439,934 oAEGON NV ARS ............................ 30,822,875 252,200 AMERICAN NATIONAL INSURANCE CO .......... 22,508,850 303,600 oAMERIN CORP ............................. 7,362,300 1,251,750 AON CORP ................................ 64,778,062 412,300 ARGONAUT GROUP, INC ..................... 12,162,850 163,500 BERKLEY (W.R.) CORP ..................... 9,626,062 9,900 COMMERCE GROUP, INC ..................... 243,787 See notes to financial statements. -32- SHARES VALUE ------ ----- INSURANCE--LIFE--(CONTINUED) 1,305,912 CONSECO, INC ............................ $48,318,744 758,800 EQUITABLE COS, INC ...................... 25,230,100 231,300 EQUITABLE OF IOWA COS ................... 12,952,800 130,599 IRISH LIFE PLC .......................... 665,109 776,750 JEFFERSON-PILOT CORP .................... 54,275,406 505,347 LEGAL & GENERAL GROUP PLC ............... 3,410,453 11,400 LIBERTY CORP ............................ 464,550 68,874 LIBERTY LIFE ASSOCIATION OF AFICA LTD ... 1,867,822 36,000 LIFE RE CORP ............................ 1,678,500 60,000 METROPOLITAN LIFE LTD ................... 116,150 1,650,000 oNORWICH UNION PLC ....................... 8,773,773 27,100 PRESIDENTIAL LIFE CORP .................. 525,062 28,900 PROTECTIVE LIFE CORP .................... 1,452,225 232,575 PROVIDENT COS, INC ...................... 12,442,762 862,600 oPROVIDIAN FINANCIAL CORP ................ 27,711,025 822,102 PRUDENTIAL CORP PLC ..................... 7,956,224 1,300 REINSURANCE GROUP OF AMERICA, INC ....... 74,750 513,678 RELIANCE GROUP HOLDINGS, INC ............ 6,099,926 434,411 RELIASTAR FINANCIAL CORP ................ 31,766,304 266,384 SEAFIELD CAPITAL CORP ................... 9,523,228 29,200 SOUTHERN LIFE ASSOCIATION LTD ........... 315,467 963,574 SUNAMERICA, INC ......................... 46,974,232 850,050 TORCHMARK CORP .......................... 60,566,062 1,419,700 UNUM CORP ............................... 59,627,400 67,900 VESTA INSURANCE GROUP, INC .............. 2,936,675 291,924 WASHINGTON NATIONAL CORP ................ 8,319,834 551,600 WESTERN NATIONAL CORP ................... 14,789,775 ----------- 596,339,144 ----------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--3.32% 322,900 20TH CENTURY INDUSTRIES ................. 6,780,900 1,800 oAACHENER & MUNCHENER BERTEIL (REGD) ......................... 1,590,726 896,423 AFLAC, INC .............................. 42,355,986 9,300 oAGF UNION-FENIX ......................... 107,492 220,000 oALLEANZA ASSICURAZIONI .................. 1,727,602 18,662 oALLEANZA ASSICURAZIONI (S/S) NON CV ..... 94,370 129,751 oALLEGHANY CORP (DELAWARE) ............... 28,220,842 379,820 oALLIANZ AG. (REGD) ...................... 79,555,986 215,900 ALLIED GROUP, INC ....................... 8,204,200 497,500 ALLMERICA FINANCIAL CORP ................ 19,837,812 40,600 ALLMERICA PROPERTY & CASUALTY COS, INC ...................... 1,329,650 5,296,353 ALLSTATE CORP ........................... 386,633,769 352,400 AMERICAN BANKERS INSURANCE GROUP, INC ............................. 22,289,300 3,276,184 AMERICAN INTERNATIONAL GROUP, INC ....... 489,379,985 1,925,283 oASSICURAZIONI GENERALI S.P.A ............ 34,980,851 15,867 ASSUR STAD ROTTERDAM NV ................. 726,417 265,053 AXA UAP ................................. 16,500,940 134,800 AYUDHYA INSURANCE CO LTD (FR) ........... 1,014,718 4,600 CAPITAL RE CORP ......................... 246,100 800 CAPMAC HOLDINGS, INC .................... 26,900 19,950 CHIYODA FIRE & MARINE INSURANCE CO LTD ....................... 98,503 1,987,500 CHUBB CORP .............................. 132,914,062 819,278 CIGNA CORP .............................. 145,421,845 328,387 CINCINNATI FINANCIAL CORP ............... 25,942,573 189,700 oCNA FINANCIAL CORP ...................... 20,001,493 61,220 COLONIA KONZERN AG. (REGD) .............. 5,656,155 292,652 COMMERICAL UNION ASSURANCE CO LTD ....... 3,075,788 7,625 CORPORACION MAPFRE S.A .................. 406,444 2,900 EA-GENERALI AG .......................... 762,780 689,000 EVEREST REINSURANCE HOLDINGS, INC ....... 27,301,625 126,630 FAI INSURANCES LTD ...................... 61,666 7,850 oFAIRFAX FINANCIAL HOLDINGS LTD .......... 2,276,022 166,744 FIRST AMERICAN FINANCIAL CORP ........... 6,503,016 387,000 FOREMOST CORP OF AMERICA ................ 23,171,625 2,035 oFORTIS AG NPV (STRIP VVPR) .............. 452 63,327 FORTIS AG ............................... 13,087,973 437,280 FREMONT GENERAL CORP .................... 17,600,520 10,200 FRONTIER INSURANCE GROUP, INC ........... 660,450 5,428 GEFION FINANCE CORP ..................... 103,145 804,000 GENERAL REINSURANCE CORP ................ 146,328,000 1,992,662 GIO AUSTRALIAN HOLDINGS LTD ............. 6,120,899 5,520 oGROUPE DES ASSURANCES NATIONALE ......... 127,869 399,066 GUARDIAN ROYAL EXCHANGE ASSURANCE PLC .......................... 1,793,246 3,000 xHAFNIA HOLDINGS AS (REGD)(CLASS A) ...... 0 2,490 xHAFNIA HOLDINGS AS (REGD)(CLASS B) ...... 0 1,299,736 HARTFORD FINANCIAL SERVICES GROUP, INC ............................. 107,553,154 94,600 HCC INSURANCE HOLDINGS, INC ............. 2,524,637 85,331 oHIGHLANDS INSURANCE GROUP, INC .......... 1,717,286 873,774 HIH WINTERHUR INTERNATIONAL HOLDINGS LTD ........................... 2,094,820 149,800 HORACE MANN EDUCATORS CORP .............. 7,340,200 211,800 HSB GROUP, INC .......................... 11,304,825 1,550,514 ING GROEP NV ............................ 71,618,137 8,300,000 oINSTITUTO NAZIONALE DELLE ASSICURAZION ........................... 12,640,236 268,300 oINSURANCE AUTO AUCTIONS, INC ............ 2,548,850 50,000 KOA FIRE & MARINE INSURANCE CO LTD ...... 302,806 248,740 LAWYERS TITLE CORP ...................... 4,694,967 1,158,200 LINCOLN NATIONAL CORP ................... 74,559,125 3,537,600 oMALAYSIA ASSURANCE ALLIANCE BERHAD ...... 20,603,321 29,298 MAPFRE VIDA S.A ......................... 1,902,332 25,000 MERCURY GENERAL CORP .................... 1,818,750 564,600 MGIC INVESTMENT CORP .................... 27,065,512 28,500 MILANO ASSICURAZIONI .................... 68,707 7,125 MILANO ASSICURAZIONI DI RISP ............ 9,845 804,300 MITSUI TAISHO MARINE & FIRE CO LTD ...... 5,819,827 13,876 oMUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) .............. 38,938,150 364 oMUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) WTS 03/13/98 ........................... 128,463 447,200 NAC RE CORP ............................. 21,633,300 229,550 NICHIDO FIRE & MARINE INSURANCE CO LTD ................................. 1,677,047 702,650 NIPPON FIRE & MARINE INSURANCE CO LTD ................................. 3,794,803 209,600 NISSAN FIRE & MARINE INSURANCE .......... 1,153,967 387,500 OHIO CASUALTY CORP ...................... 17,050,000 1,012,390 OLD REPUBLIC INTERNATIONAL CORP ......... 30,688,071 516,706 ORION CAPITAL CORP ...................... 38,107,067 3,975,000 PACIFIC & ORIENT BERHAD ................. 9,449,298 278,450 PROGRESSIVE CORP ........................ 24,225,150 976,947 QBE INSURANCE GROUP LTD ................. 5,855,429 508,919 RAS S.P.A ............................... 4,024,836 19,600 oRAS S.P.A. WTS 12/31/97 ................. 41,489 3,252,007 ROYAL & SUN ALLIANCE INSURANCE GROUP PLC .............................. 23,976,556 19,000 ROYALE BELGE VIE ACCIDENTS .............. 5,522,866 1,092,400 SAFECO CORP ............................. 51,001,425 50,000 oSAI S.P.A ............................... 386,904 6,000 SAMPO INSURANCE CO SERIES A ............. 583,341 19,285 oSCHWEIZERISCHE RUCKVERSICHERUNG (REGD) ................................. 27,315,672 231,489 SEDGWICK GROUP LTD ...................... 477,731 526,000 SELECTIVE INSURANCE GROUP, INC .......... 25,478,125 231,833 SKANDIA FORSAKRINGS AB .................. 8,544,879 See notes to financial statements. -33- SHARES VALUE ------ ----- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--(CONTINUED) 1,692,840 ST. PAUL COS, INC ....................... $129,079,050 454,000 oUNI-STOREBRAND AS SERIES A .............. 2,710,057 1,926,365 SUMITOMO MARINE & FIRE INSURANCE CO ............................ 15,824,433 2,339,822 TOKIO MARINE & FIRE INSURANCE CO LTD ................................. 30,671,556 768,100 TRANSAMERICA CORP ....................... 71,865,356 9,800 TRANSATLANTIC HOLDINGS, INC ............. 972,650 5,546,028 TRAVELERS GROUP, INC .................... 349,746,390 226,400 TRAVELERS PROPERTY CASUALTY CORP ........ 9,027,700 100,500 oUICI .................................... 2,964,750 390,800 UNITRIN, INC ............................ 23,838,800 517,700 USF&G CORP .............................. 12,424,800 170,750 WILLIS CORROON GROUP PLC ................ 368,012 59,602 ZURICH INSURANCE CO (REGD) .............. 23,752,491 ------------- 3,090,508,648 ------------- LEISURE TIME--1.10% 128,100 oACCLAIM ENTERTAINMENT, INC .............. 528,412 134,750 oAMC ENTERTAINMENT, INC .................. 2,476,031 64,300 oANCHOR GAMING CO ........................ 3,070,325 668,900 ARCTIC CAT, INC ......................... 6,939,837 187,200 oARGOSY GAMING CORP ...................... 608,400 158,566 oASCENT ENTERTAINMENT GROUP, INC ......... 1,446,914 500 AUTHENTIC FITNESS CORP .................. 6,312 432,574 oAUTOTOTE CORP (CLASS A) ................. 513,681 67,050 oBALLY TOTAL FITNESS HOLDING CORP ........ 620,212 44,000 oBELL SPORTS CORP ........................ 357,500 99,791 oBERLITZ INTERNATIONAL, INC NEW .......... 2,488,538 1,238,300 BRUNSWICK CORP .......................... 38,696,875 803,500 CALLAWAY GOLF CO ........................ 28,524,250 1,046,600 CARNIVAL CORP (CLASS A) ................. 43,172,250 96,750 oCASINO AMERICA, INC ..................... 211,640 226,800 oCASINO MAGIC CORP ....................... 283,500 33,060 oCHARTWELL LEISURE, INC .................. 442,177 575 oCHRIS CRAFT INDUSTRIES, INC ............. 27,743 857,884 oCIRCUS CIRCUS ENTERPRISES, INC .......... 21,125,393 208,500 COACHMEN INDUSTRIES, INC ................ 3,570,562 6,072,310 DISNEY (WALT) CO ........................ 487,302,877 171,034 EMI GROUP PLC ........................... 3,067,124 219,400 oGALOOB TOYS, INC ........................ 4,141,175 36,847 GAUMONT S.A ............................. 2,692,452 44,080 oGC COS, INC ............................. 2,016,660 236,500 GENTING BERHAD .......................... 1,133,777 343,710 GRANADA GROUP LTD (CLASS A) ............. 4,519,088 331,000 oGRAND CASINOS, INC ...................... 4,882,250 290,700 oGTECH HOLDINGS CORP ..................... 9,375,075 1,087,100 oHARRAHS ENTERTAINMENT, INC .............. 19,567,800 1,300,264 HASBRO, INC ............................. 36,894,991 213,100 oHOLLYWOOD ENTERTAINMENT CORP ............ 4,874,662 219,500 oHOLLYWOOD PARK, INC ..................... 3,210,187 290,525 HUFFY CORP .............................. 4,248,928 1,462,988 INTERNATIONAL GAME TECHNOLOGY CO ........ 25,968,037 446,800 JOSTENS, INC ............................ 11,951,900 288,500 oJUMBOSPORTS, INC ........................ 1,099,906 393,458 K2, INC ................................. 12,467,700 264,700 KIMBALL INTERNATIONAL, INC (CLASS B) .... 10,654,175 9,250,193 LADBROKE GROUP PLC ...................... 36,178,476 611,250 MAGNUM CORP BERHAD ...................... 920,266 2,096,158 MATTEL, INC ............................. 71,007,352 1,022,300 oMIRAGE RESORT, INC ...................... 25,813,075 800 NAMCO LTD ............................... 30,901 15,000 NATIONAL GOLF PROPERTIES, INC ........... 521,250 86,000 NINTENDO CO LTD ......................... 7,214,918 178,100 OUTBOARD MARINE CORP .................... 3,161,275 370,500 oPLAYERS INTERNATIONAL, INC .............. 1,111,500 347,600 oPRESIDENT CASINOS, INC .................. 195,525 182,000 oPRIMADONNA RESORTS, INC ................. 3,514,875 339,000 RANK GROUP PLC .......................... 2,146,772 329,000 oREGAL CINEMAS, INC ...................... 10,857,000 25,000 oSALOMON S.A ............................. 1,908,110 700 SANKYO CO LTD ........................... 21,043 63,700 oSCIENTIFIC GAMES HOLDINGS CORP .......... 1,313,812 177,012 SEGA ENTERPRISES LTD .................... 5,878,249 54,000 SHIMANO, INC ............................ 1,132,574 37,300 SHOCHIKU CO LTD ......................... 352,041 28,400 SHOWBOAT, INC ........................... 495,225 1,892 xoSLM INTERNATIONAL, INC WTS 04/01/02 ..... 18,920 68,800 oSODAK GAMING, INC ....................... 1,014,800 850 SONY MUSIC ENTERTAINMENT INC ............ 39,889 65,500 oSPEEDWAY MOTORSPORTS, INC ............... 1,424,625 51,100 oSPELLING ENTERTAINMENT GROUP, INC ....... 351,312 261,600 oSTATION CASINOS, INC .................... 2,190,900 297,600 STRUM, RUGER & CO, INC .................. 5,840,400 2,108,000 oSYDNEY HARBOUR CASINO HOLDINGS LTD ........................... 3,284,972 125,000 TABCORP HOLDINGS LTD .................... 674,280 170,034 THORN PLC ............................... 486,738 104,000 TOEI CO ................................. 713,451 32,754 TOHO CO LTD ............................. 5,409,883 313,200 oTRUMP HOTEL & CASINO RESORT, INC ........ 3,366,900 105,275 oWHG RESORTS & CASINO, INC ............... 1,144,865 506,500 WINNEBAGO INDUSTRIES, INC ............... 3,640,468 335,400 oWMS INDUSTRIES, INC ..................... 8,405,962 1,512,049 ZIMBABWE SUN LTD ........................ 563,456 20,862 oZODIAC S.A .............................. 5,330,105 ------------- 1,022,855,481 ------------- MACHINERY--1.68% 375,000 AEROQUIP-VICKERS, INC ................... 17,718,750 388,800 AGCO CORP ............................... 13,972,500 36,600 AIDA ENGINEERING LTD .................... 240,525 548,744 AMADA CO LTD ............................ 4,843,428 220 AMADA METRECS CO LTD .................... 2,307 44,200 AMANO CORP .............................. 502,142 283,625 APPLIED INDUSTRIAL TECHNOLOGIES, INC .... 10,210,500 15,000 oAPPLIED POWER, INC (CLASS A) ............ 774,375 284,010 ATLAS COPCO AB SERIES A FREE ............ 7,419,435 24,500 ATLAS COPCO AB SERIES B FREE ............ 640,034 3,182,844 AUSTRALIAN NATIONAL INDUSTRIES LTD ...... 3,863,030 12,000 BOMBARDIER, INC (CLASS A) ............... 273,992 392,252 BOMBARDIER, INC (CLASS B) ............... 8,899,312 6,000 xoBREMER VULKAN AG ........................ 16,527 193,772 BRIGGS & STRATTON CORP .................. 9,688,600 504,000 BROTHERS INDUSTRIES LTD ................. 2,175,801 180,500 BW/IP HOLDING, INC ...................... 3,666,406 2,010,000 CATERPILLAR, INC ........................ 215,823,750 373,300 CINCINNATI MILACRON, INC ................ 9,682,468 306,700 oCOGNEX CORP ............................. 8,127,550 190,650 COMMERCIAL INTERTECH CORP ............... 2,657,184 33,000 CONSTRUCCIONES Y AUXILIAR DE FERROCARRILES S.A ...................... 1,492,040 510,796 oCOOPER CAMERON CORP ..................... 23,879,713 692,445 COOPER INDUSTRIES, INC .................. 34,449,138 47,505 DAIFUKU CO LTD .......................... 626,870 291,000 DAIKIN INDUSTRIES LTD ................... 2,644,770 81,000 oDANIELI & CO ............................ 534,862 2,827,473 DEERE & CO .............................. 155,157,580 196,432 DELTA & PINE LAND CO .................... 6,997,890 21,750 oDEUTZ AG ................................ 207,190 708,800 DOVER CORP .............................. 43,591,200 See notes to financial statements. -34- SHARES VALUE ------ ----- MACHINERY--(CONTINUED) 230,400 DURCO INTERNATIONAL, INC ................ $ 6,739,200 118,560 EBARA CORP .............................. 1,782,084 19,000 FAG KUGELFISCHER (GEORG) SCHAEFER AG ............................. 353,810 268,984 FANUC LTD ............................... 10,342,865 315,514 FEDERAL SIGNAL CORP ..................... 7,927,289 140 FISCHER (GEORGE) LTD (BR) ............... 194,937 28 FISCHER (GEORGE) LTD (REGD) ............. 7,682 240,873 FKI PLC ................................. 681,504 18,500 FLS INDUSTRIES AS (CLASS B) ............. 627,763 2,294,367 +oFMC CORP ................................ 182,258,778 172,800 oFSI INTERNATIONAL, INC .................. 2,764,800 161,000 oFUJI MACHINE MANUFACTURING CO ........... 5,838,962 2,200 FUJI TEC CO LTD ......................... 26,147 21,000 FUKUSIMA INDUSTRIES ..................... 414,752 196,200 GATX CORP ............................... 11,330,550 196,200 GIDDINGS & LEWIS, INC ................... 4,095,675 319,400 GREENFIELD INDUSTRIES, INC .............. 8,623,800 377,300 HARNISCHFEGER INDUSTRIES, INC ........... 15,657,950 375,900 HARSCO CORP ............................. 15,223,950 75,300 IDEX CORP ............................... 2,484,900 1,220,200 ILLINOIS TOOL WORKS, INC ................ 60,933,737 136,800 IMI PLC ................................. 780,929 943 oINDUSTRIE-WERKE KARLSRUHE AUGSBURG AG. ........................... 274,360 1,046,100 INGERSOLL-RAND CO ....................... 64,596,675 157,300 oINTEGRATED PROCESS EQUIPMENT CORP ....... 3,981,656 26,000 oINTERVOICE, INC ......................... 238,875 432,600 JLG INDUSTRIES, INC ..................... 5,894,175 1,958,000 KAWASAKI HEAVY INDUSTRIES, LTD .......... 9,120,142 220,800 KAYDON CORP ............................. 10,957,200 298,577 KENNAMETAL, INC ......................... 12,838,811 241,717 KEYSTONE INTERNATIONAL, INC ............. 8,384,558 1,349,950 KOMATSU LTD ............................. 10,971,408 136,660 KOMORI CORP ............................. 3,248,419 382,000 KOYO SEIKO CO LTD ....................... 3,057,880 8,000 oKSB AG .................................. 1,974,061 2,259,000 KUBOTA CORP ............................. 11,074,925 296,700 KURITA WATER INDUSTRIES LTD ............. 7,908,226 12,735 KVAERNER INDUSTRIER AS SERIES A ......... 771,496 3,935 KVAERNER INDUSTRIER AS SERIES B ......... 220,378 1,920 oLAHMEYER AG ............................. 85,609 151,800 LAWSON PRODUCTS, INC .................... 4,098,600 11,693 LINDE AG ................................ 8,957,965 20,000 LUCASVARITY PLC ADR ..................... 692,500 54,600 MADECO S.A. ADR ......................... 1,337,700 79,600 MAGNA INTERNATIONAL, INC ................ 4,788,925 39,130 MAKINO MILLING MACHINE CO LTD ........... 334,775 308,500 MAKITA CORP ............................. 4,529,248 5,000 oMAN AG. (STAMM) ......................... 1,540,800 175,250 MANITOWOC, INC .......................... 8,192,937 79,102 MANNESMANN AG ........................... 35,270,421 110,200 MASCOTECH, INC .......................... 2,300,425 727,424 oMETAL MANUFACTURES LTD .................. 1,798,454 22,000 METRA CO SERIES B ....................... 662,853 98,700 MINE SAFETY APPLIANCE CO ................ 5,971,350 3,876,000 MITSUBISHI HEAVY INDUSTRIES LTD ......... 29,773,807 290,000 MIURA KOGYO ............................. 4,105,582 266,000 oMOLTEN METAL TECHNOLOGY, INC ............ 1,330,000 185,000 MORI SEIKI CO LTD ....................... 2,974,755 414,600 NEWPORT CORP ............................ 4,664,250 316,037 NEWPORT NEWS SHIPBUILDING, INC .......... 6,142,969 131,000 oNIIGATA ENGINEERING CO LTD .............. 240,409 5,000 NIKKO CO LTD ............................ 27,440 69,680 NIPPON SHARYO LTD ....................... 450,001 81,400 NITTO KOHKI CO LTD ...................... 2,816,964 168,300 NORDSON CORP ............................ 10,813,275 165,200 oNOVELLUS SYSTEMS, INC ................... 14,289,800 712,600 NSK LTD ................................. 4,589,602 1,449,700 NTN TOYO BEARING CO LTD ................. 8,120,783 53,900 OKUMA CORP .............................. 475,742 550,137 OYL INDUSTRIES BERHAD ................... 3,487,402 799,000 PARKER-HANNIFIN CORP .................... 48,489,312 236,000 POKPHAND (C.P.) CO LTD .................. 73,109 3,135 oRAUMA OY ................................ 71,823 38,200 oREXEL, INC .............................. 706,700 174,900 ROPER INDUSTRIES, INC ................... 9,072,937 500 SAKAI HEAVY INDUSTRIES LTD .............. 2,626 58,000 SANDEN CORP ............................. 486,587 204,000 oSANTA FE INTERNATIONAL CORP ............. 6,936,000 5,000 oSAURER AG. (REGD) ....................... 3,316,413 58 SCHINDLER HOLDINGS LTD (PT CERT) ........ 72,604 460 SCHINDLER HOLDINGS LTD (REGD) ........... 591,604 87,000 SEMBAWANG CORP .......................... 395,510 720 SHIN NIPPON MACHINERY CO LTD ............ 2,862 191,692 SIDEL S.A ............................... 14,856,071 24,000 SMC ..................................... 2,030,244 400,808 SMITH (HOWARD) LTD ...................... 3,783,595 268,500 STEWART & STEVENSON SERVICES, INC ....... 6,981,000 17,711 STORK NV ................................ 723,155 64,894 oSTRATTEC SECURITY CORP .................. 1,338,438 5,519 SULZER WINTERTHUR AG. (REGD) ............ 4,731,976 525,760 SUMITOMO HEAVY INDUSTRIES LTD ........... 2,127,307 419,800 SUNDSTRAND CORP ......................... 22,669,200 27,000 SVENKA KULLAGERFABRIKEN AB SERIES B ..... 698,360 20,000 SVENSKA KULLAGERFABRIKEN AB SERIES A FREE .......................... 497,905 164,700 TECUMSEH PRODUCTS CO (CLASS A) .......... 9,861,412 31,600 TECUMSEH PRODUCTS CO (CLASS B) .......... 1,781,450 360,400 TELEFLEX, INC ........................... 11,262,500 222,100 TENNANT CO .............................. 7,384,825 744,880 oTHERMO ELECTRON CORP .................... 25,605,250 195,722 TI GROUP PLC ............................ 1,705,249 656,021 TIMKEN CO ............................... 23,329,746 226,250 TOMRA SYSTEMS AS ........................ 4,635,760 179,850 TORO CO ................................. 6,811,818 65,000 oTOWA CORP ............................... 2,743,609 61,600 TOYO KANETSU K.K ........................ 141,040 307,250 TOYOTA AUTOMATIC LOOM WORKS LTD ......... 6,981,150 2,542,000 TRACTORS MALAYSIA HOLDINGS BERHAD ....... 4,250,100 170,300 TRIMAS CORP ............................. 4,789,687 328,500 TRINITY INDUSTRIES, INC ................. 10,429,875 171,000 TSUBAKIMOTO CHAIN CO .................... 1,046,058 200 TSUBAKIMOTO MACHINERY & ENGINE CO LTD .......................... 713 32,000 oTSUGAMI CORP ............................ 95,639 209,100 oULTRATECH STEPPER, INC .................. 4,783,162 38,000 UNITED DOMINION INDUSTRIES LTD .......... 933,749 6,000 VA TECHNOLOGIE AG. (BR) ................. 1,098,232 183,800 VALMET OY SERIES A ...................... 3,177,621 131,000 VICKERS PLC ............................. 448,037 104,000 oVT HOLDING AS (CLASS B) ................. 4,156,433 253,600 WATTS INDUSTRIES, INC (CLASS A) ......... 6,086,400 800 YOKOHAMA RUBBER CO LTD .................. 3,425 402,700 YORK INTERNATIONAL CORP ................. 18,524,200 27,453 ZARDOYA OTIS S.A ........................ 3,619,200 167,700 ZURN INDUSTRIES, INC .................... 4,821,375 ----------- 1,561,413,574 ------------- See notes to financial statements. -35- SHARES VALUE ------ ----- METALS--ALUMINUM--0.21% 307,400 oACX TECHNOLOGIES, INC ................... $ 6,916,500 278,800 ALCAN ALUMINIUM CO LTD .................. 9,518,327 35,065 ALCAN ALUMINIUM CO LTD (U.S.) ........... 1,216,317 481,897 oALUMAX, INC ............................. 18,281,967 1,371,700 ALUMINUM CO OF AMERICA .................. 103,391,887 583 ALUSUISSE LONZA HOLDINGS AG. (BR) ....... 597,835 21,814 ALUSUISSE LONZA HOLDINGS AG. (REGD) .................... 22,623,473 14,187 oGRANGES ................................. 188,061 123,600 INTERNATIONAL ALUMINUM CORP ............. 3,275,400 129,500 oKAISER ALUMINUM CORP .................... 1,586,375 313,890 REYNOLDS METALS CO ...................... 22,364,662 331,384 TOYO SEIKAN KAISHA LTD .................. 7,355,750 ------------- 197,316,554 ------------- METALS--GOLD--0.25% 4,000 AGNICO EAGLE MINES LTD .................. 38,416 765,001 oAMAX GOLD, INC .......................... 4,685,631 60,000 BARRICK GOLD CORP (U.S.) ................ 1,320,000 274,979 BARRICK GOLD CORP ....................... 5,989,505 1,385,550 BATTLE MOUNTAIN GOLD CO ................. 7,880,315 25,500 BEATRIX MINES LTD ....................... 115,538 2,130,000 oBOUGAINVILLE COPPER LTD ................. 845,771 70,000 CAMBIOR, INC ............................ 796,607 102,200 oCOEUR DALENE MINES CORP ................. 1,322,212 161,000 DELTA GOLD NL ........................... 266,572 35,000 oDOMINION MINING LTD ..................... 17,306 17,500 oDOMINION MINING LTD WTS 12/31/98 ........ 2,491 17,000 oECHO BAY MINES LTD (U.S.) ............... 97,750 45,000 ECHO BAY MINES LTD ...................... 251,159 606,300 oEUOR-NEVADA MINING CORP ................. 18,677,701 300,200 oFRANCO-NEVADA MINING CORP LTD ........... 15,068,755 632,328 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS A) .................... 18,495,594 1,156,164 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) .................... 35,985,604 12,000 FREESTATE CONSOLIDATED GOLDMINES LTD .......................... 60,059 375,635 oGETCHELL GOLD CORP ...................... 13,194,179 102,000 oGOLDEN KNIGHT RESOURCES, INC ............ 208,495 6,222 oGOLDFIELDS LTD .......................... 9,183 508,000 GREAT CENTRAL MINES LTD ................. 959,857 174,000 oHJ JOEL GOLD MINING LTD ................. 134,274 1,028,950 HOMESTAKE MINING CO ..................... 13,440,659 15,096 JCI LIMITED ............................. 116,161 647,155 oNEWCREST MINING LTD ..................... 1,774,060 83,600 NEWMONT GOLD CO ......................... 3,338,775 2,022,970 NEWMONT MINING CORP ..................... 78,895,830 1,965,591 NORMANDY MINING LTD ..................... 2,194,204 13,000 oPEGASUS GOLD, INC ....................... 78,682 548 PLACER DOME, INC (U.S.) ................. 8,973 100,800 PLACER DOME, INC ........................ 1,636,648 3,500 PLUTONIC RESOURCES LTD .................. 10,855 230,000 oRAYROCK YELLOWKNIFE RESOURCES, INC ......................... 1,100,319 4,700 SOUTHVAAL HOLDINGS LTD .................. 94,300 1,300 VAAL REEFS EXPLORATION & MINING CO LTD .......................... 62,771 ------------- 229,175,211 ------------- METALS--NON-FERROUS--0.34% 86,200 ABERFOYLE LTD ........................... 238,949 23,100 AMCOL INTERNATIONAL CORP ................ 418,687 23,000 oANGLO AMERICAN PLATINUM CORP LTD ............................... 190,166 257,500 ASARCO, INC ............................. 7,885,937 188,400 ASHLAND COAL, INC ....................... 5,369,400 313,000 ASHTON MINING LTD ....................... 426,789 183,200 BMC INDUSTRIES, INC ..................... 6,274,600 392,000 BRUSH WELLMAN, INC ...................... 8,207,500 145,300 CAMECO CORP ............................. 5,450,331 40,800 oCOLEMAN CO, INC ......................... 703,800 125,200 COMINCO LTD ............................. 3,335,098 22,000 CONSOLIDATED METALLURGICAL INDUSTRIES LTD ......................... 61,602 737,794 CYPRUS AMAX MINERALS CO ................. 18,075,953 206,031 ERAMET .................................. 9,510,217 163,769 FREEPORT-MCMORAN, INC ................... 4,728,829 1,268,000 FUJIKURA LTD ............................ 11,856,725 1,099,000 FURUKAWA ELECTRIC CO LTD ................ 7,001,433 361,196 GREEN (A.P.) INDUSTRIES, INC ............ 3,386,212 144,000 GRUPO MEXICO S.A. SERIES B .............. 543,088 820,000 oHECLA MINING CO ......................... 4,407,500 97 HITACHI CABLE LTD ....................... 802 88,236 HULLAS DEL COTO CORTES S.A .............. 1,991,722 19,300 IMPALA PLATINUM HOLDINGS LTD ............ 215,957 35,000 INCO LTD ................................ 1,046,499 151,160 INCO LTD CO (U.S.) ...................... 4,544,247 1,195,000 JAPAN ENERGY CORP ....................... 3,132,931 89,209 JOHNSON MATTHEY PLC ..................... 859,644 557,568 MAPCO, INC .............................. 17,563,392 5,737,501 MIM HOLDINGS LTD ........................ 8,425,130 9,500 MINERALS TECHNOLOGIES, INC .............. 356,250 1,752,000 MITSUBISHI MATERIALS CORP ............... 7,012,313 1,480,000 MITSUI MINING & SMELTING CO LTD ......... 6,583,263 91,700 oMUELLER INDUSTRIES, INC ................. 4,011,875 65,000 oNIPPON DENKO CO LTD ..................... 176,090 772,380 NIPPON LIGHT METAL CO LTD ............... 2,814,678 372,800 NORANDA, INC ............................ 8,039,144 2,003,995 NORTH LTD ............................... 7,582,034 27,400 OGLEBAY NORTON CO ....................... 1,215,875 85,400 oOREGON METALLURICAL CORP ................ 2,401,875 1,016,000 OROGEN MINERALS LTD ..................... 2,884,899 45,000 OUTOKUMPU OY SERIES A ................... 892,339 49,800 PENN VIRGINIA CORP ...................... 2,440,200 723,800 PHELPS DODGE CORP ....................... 61,658,712 1,539,265 QCT RESOURCES LTD ....................... 1,879,744 540,000 QNI LTD ................................. 966,917 76,800 REGAL-BELOIT CORP ....................... 2,011,200 551,092 RGC LTD ................................. 2,002,458 72,800 RIO ALGOM LTD ........................... 1,778,313 992,771 RIO TINTO LTD ........................... 16,794,643 150,000 RIO TINTO PLC (BR) ...................... 2,621,272 287,688 RIO TINTO PLC (REGD) .................... 5,010,632 123,000 oRMI TITANIUM CO ......................... 3,351,750 36,655 RUSTENBERG PLATINUM HOLDINGS LTD ........ 670,789 94,000 SOCIEDAD QUIMICA Y MINERA DE CHILE ADR .............................. 6,215,750 46,000 oSTILLWATER MINING CO .................... 1,023,500 121,000 STRAITS TRADING CO ...................... 264,037 396,400 SUMITOMO METAL MINING CO LTD ............ 2,805,953 See notes to financial statements. -36- SHARES VALUE ------ ----- METALS--NON-FERROUS--(CONTINUED) 1,977 oSUNSHINE MINING & REFINING CO WTS 03/03/99 ........................... $ 432 702,054 oSUNSHINE MINING & REFINING CO ........... 482,662 50,300 TECK CORP LTD (CLASS B) ................. 1,019,052 34,880 TRELLEBORG AB SERIES B FREE ............. 572,883 35,300 oUNION MINIERE GROUP S.A ................. 3,309,019 3,893 oWESTAIM CORP ............................ 15,237 3,670,221 WMC LTD ................................. 22,960,241 ------------- 319,679,171 ------------- METALS--STEEL--0.38% 44,770 ACERINOX S.A ............................ 8,404,241 134,000 oACINDAR S.A. (CLASS B) .................. 343,074 242,831 oACME METALS, INC ........................ 4,158,480 242,200 AK STEEL HOLDINGS CORP .................. 10,687,075 1,165,587 ALLEGHENY TELEDYNE, INC ................. 31,470,849 504,000 AMSTEEL CORP BERHAD ..................... 385,388 84,000 oAMSTEEL CORP BERHAD WTS 05/19/00 ........ 37,607 26,700 oARMCO, INC .............................. 103,462 1,092,700 oBETHLEHEM STEEL CORP .................... 11,405,056 401,700 BIRMINGHAM STEEL CORP ................... 6,226,350 4,400 BOHLER-UDDEHOLM AG. (BR) ................ 341,275 821,000 BRITISH STEEL PLC ....................... 2,035,921 189,900 CARPENTER TECHNOLOGY CORP ............... 8,687,925 224,781 CLEVELAND CLIFFS, INC ................... 9,159,825 108,000 CO STEEL, INC ........................... 1,800,522 17,200,000 COMPANIA SIDERURGICA NACIONAL S.A ............................ 567,155 822,000 DAIDO STEEL CO LTD ...................... 2,657,879 318,400 DOFASCO, INC ............................ 6,035,200 6,000 ELKEM AS ................................ 117,610 47,600 oFLACK S.P.A ............................. 179,408 367,100 oFANSTEEL, INC ........................... 2,730,306 405,662 HANNA (M.A.) CO ......................... 11,688,136 35,398 HIGHVELD STEEL & VANDIUM CORP LTD ................................ 132,288 337,000 INLAND STEEL INDUSTRIES, INC ............ 8,804,125 33,200 IPSCO, INC .............................. 968,614 526,788 ISCOR LTD ............................... 348,443 1,000 IVACO, INC (CLASS A) .................... 3,624 237,500 J & L SPECIALTY STEEL, INC .............. 2,850,000 794,000 oJAPAN STEEL WORKS LTD ................... 1,547,344 2,721,360 KAWASAKI STEEL CORP ..................... 8,870,672 37,500 KITAGAWA INDUSTRIES CO LTD .............. 1,114,222 620 oKOBE STEEL LTD .......................... 1,186 477,100 LTV CORP ................................ 6,798,675 81,500 LUKENS, INC ............................. 1,533,218 409,645 oMATERIAL SCIENCES CORP .................. 6,323,894 58,000 oMITSUBISHI STEEL MANUFACTURING CO LTD ................................. 205,279 108,750 NATIONAL IRON & STEEL MILLS LTD ......... 276,857 10,946,000 NIPPON STEEL CORP ....................... 35,010,496 4,101,920 NKK CORP ................................ 8,818,283 464,000 NUCOR CORP .............................. 26,216,000 174,100 OREGON STEEL MILLS, INC ................. 3,471,118 15,480 POHANG IRON & STEEL CO. LTD ............. 1,108,578 38,450 PREUSSAG AKTIEGESELLSCHAFT AG ........... 11,264,041 124,800 QUANEX CORP ............................. 3,829,800 180,000 oRAILTEX, INC ............................ 3,240,000 198,400 ROUGE STEEL CO (CLASS A) ................ 3,348,000 52,000 SAMANCOR LTD ............................ 521,662 60,500 SANDVIK AB SERIES B FREE ................ 1,717,416 599,500 oSIDERCA S.A. (CLASS A) .................. 1,552,860 43,000 oSTELCO, INC (CLASS A) ................... 321,035 80 SUMIKIN BUSSAN CORP ..................... 258 9,460,080 SUMITOMO METAL INDUSTRIES LTD ........... 26,950,954 62,490 THYSSEN AG .............................. 14,810,262 365,000 oTOKYO KIKAI ............................. 2,574,116 6,000 TOKYO STEEL MANUFACTURING CO LTD ........ 67,115 17,300 oTUBOS DE ACERO DE MEXICO S.A ............ 317,095 697,090 oUSINOR SACILOR S.A. ..................... 12,585,871 501,764 USX-US STEEL GROUP, INC ................. 17,593,100 196,800 oWOLVERINE TUBE, INC ..................... 5,485,800 584,212 WORTHINGTON INDUSTRIES, INC ............. 10,698,382 1,045 YOKOGAWA BRIDGE CORP .................... 7,397 ------------- 350,510,824 ------------- MISCELLANEOUS MATERIALS & COMMODITIES--0.07% 9,174 ANGLO AMERICAN COAL CORP LTD ............ 564,336 944,050 ASAHI GLASS CO LTD ...................... 9,405,060 92,908 DELTIC TIMBER CORP ...................... 2,723,365 23,000 FRIED KRUPP AG HOESCH KRUPP ............. 4,500,744 400,000 GOLDEN HOPE PLANTATIONS BERHAD .......... 687,797 600,000 HIGHLANDS & LOWLANDS BERHAD ............. 917,592 8,000,000 oIOI CORP ................................ 9,128,378 2,800,000 KUALA LUMPUR KEPONG BERHAD .............. 6,933,447 140,000 NICHIHA CORP ............................ 2,202,228 832,000 NIPPON SHEET GLASS CO LTD ............... 3,068,297 140,800 oOAKLEY, INC ............................. 1,980,000 150,000 PERLIS PLANTATIONS BERHAD ............... 439,778 740,065 PG INDUSTRIES ZIMBABWE LTD .............. 282,269 96,000 PRESTIGE PROPERTY HOLDINGS LTD .......... 18,091 1,800,000 oPT MEDCO ENERGI CORP (FR) ............... 3,310,605 3,500,000 oPT WICAKSANA OVERSEAS INT (FR) .......... 4,279,537 48,000 VIDR SMARINA S.A ........................ 132,416 132,000 VIDRALA S.A ............................. 5,761,744 43,000 oVITRO S.A ............................... 159,469 152,800 oVITRO S.A. ADR .......................... 1,719,000 500,000 WANKIE COLLIERY CO LTD .................. 252,082 98,700 oZOLTEK COS, INC ......................... 3,775,275 ------------- 62,241,510 ------------- OFFICE EQUIPMENT--3.33% 150,000 oACCENT COLOR SCIENCES, INC .............. 614,062 717,100 oAMDAHL CORP ............................. 6,319,443 1,306,200 oAPPLE COMPUTER, INC ..................... 18,613,350 238,769 oAPPLIED MAGNETICS CORP .................. 5,402,148 403,300 oASPECT TELECOMMUNICATIONS CORP .......... 8,973,425 308,041 oAST RESEARCH, INC ....................... 1,626,841 688,176 AVERY DENNISON CORP ..................... 27,613,062 88,500 oBOISE CASCADE OFFICE PRODUCTS CORP ...... 1,504,500 2,530,900 oCOMPAQ COMPUTER CORP .................... 251,191,825 302,350 oCONTROL DATA SYSTEMS, INC ............... 4,497,456 504,600 xoCRAY COMPUTER CORP ...................... 504 379,400 oDATA GENERAL CORP ....................... 9,864,400 1,198,000 oDELL COMPUTER CORP ...................... 140,690,125 10,000 DIAMOND LEASE CO LTD .................... 118,850 1,243,500 oDIGITAL EQUIPMENT CORP .................. 44,066,531 224,200 oDREXLER TECHNOLOGY CORP ................. 2,326,075 147,100 oEMULEX CORP ............................. 2,243,275 133,400 oEVANS & SUTHERLAND COMPUTER CORP ........ 3,718,525 144,800 oFILENET CORP ............................ 2,099,600 376,400 oGATEWAY 2000, INC ....................... 12,209,475 445,675 GERBER SCIENTIFIC, INC .................. 8,802,081 7,743,908 HEWLETT-PACKARD CO ...................... 433,658,848 161,300 HON INDUSTRIES, INC ..................... 7,137,525 898,200 IKON OFFICE SOLUTIONS, INC .............. 22,398,862 500 oIN FOCUS SYSTEMS, INC ................... 12,812 See notes to financial statements. -37- SHARES VALUE ------ ----- OFFICE EQUIPMENT (CONTINUED) 10,644,600 *INTERNATIONAL BUSINESS MACHINES CORP ......................... $960,009,862 882,500 oIOMEGA CORP ............................. 17,539,687 219,000 KOKUYO CO LTD ........................... 5,932,907 335,000 oKOMAG, INC .............................. 5,485,625 614,300 oLEXMARK INTERNATIONAL GROUP (CLASS A) ............................... 18,659,362 25,600 oMICROS SYSTEMS, INC ..................... 1,075,200 259,000 MILLER (HERMAN), INC .................... 9,324,000 76,381 OCE NV .................................. 9,870,696 25,900 oPAXAR CORP .............................. 488,862 2,058,096 PITNEY BOWES, INC ....................... 143,037,672 472,400 oQMS, INC ................................ 1,240,050 1,229,200 oQUANTUM CORP ............................ 24,968,125 304,600 oSCI SYSTEMS, INC ........................ 19,418,250 2,201,236 oSEAGATE TECHNOLOGY, INC ................. 77,455,991 473,200 oSEQUENT COMPUTER SYSTEMS, INC ........... 9,966,775 257,700 SHELBY WILLIAMS INDUSTRIES, INC ......... 3,511,162 1,373,904 oSILICON GRAPHICS, INC ................... 20,608,560 14,775 oSMITH CORONA WTS 02/28/99 ............... 20,315 515,800 oSOLECTRON CORP .......................... 36,138,237 372,423 oSTORAGE TECHNOLOGY CORP ................. 16,572,823 243,250 oSTRATUS COMPUTER, INC ................... 12,162,500 512,000 oSTREAMLOGIC CORP ........................ 30,720 3,697,000 oSUN MICROSYSTEMS, INC ................... 137,597,718 1,450,800 oTANDEM COMPUTERS, INC ................... 29,378,700 391,800 oU.S. OFFICE PRODUCTS CO ................. 11,974,387 1,952,500 oUNISYS CORP ............................. 14,887,812 714,800 oVIKING OFFICE PRODUCTS, INC ............. 13,581,200 397,308 oWANG LABORATORIES, INC .................. 8,467,626 6,773 oWANG LABORATORIES, INC WTS 07/02/01 ..... 42,542 5,992,872 XEROX CORP .............................. 472,687,779 ------------- 3,097,838,745 ------------- PAPER--0.51% 194,900 ALBANY INTERNATIONAL CORP (CLASS A) .............................. 4,385,250 438,100 BEMIS, INC .............................. 18,947,825 235,243 BOWATER, INC ............................ 10,879,988 7,700 oBUCKEYE CELLULOSE CORP .................. 259,875 426,600 CARAUSTAR INDUSTRIES, INC ............... 14,771,025 117,400 CHESAPEAKE CORP ......................... 3,962,250 318,100 CONSOLIDATED PAPERS, INC ................ 17,177,400 74,305 oCROWN VANTAGE, INC ...................... 557,287 98,000 oDAISHOWA PAPER MANUFACTURING CO LTD ................................. 539,545 220,000 oENSO OY R SHARES ........................ 2,033,032 4,552,296 FLETCHER CHALLENGE LTD (PAPER DIVISION) .............................. 11,015,400 430,300 oFORT HOWARD CORP ........................ 21,783,937 397,000 GLATFELTER (P.H.) CO .................... 7,940,000 1,754,863 INTERNATIONAL PAPER CO .................. 85,220,534 830,050 JAMES RIVER CORP OF VIRGINIA ............ 30,711,850 148,100 oJEFFERSON SMURFIT CORP .................. 2,369,600 762,200 LONGVIEW FIBRE CO ....................... 12,671,575 485,654 MEAD CORP ............................... 30,231,961 485,900 MITSUBISHI PAPER MILLS LTD .............. 1,902,333 433,249 MOSINEE PAPER MILLS CORP ................ 10,614,600 97,000 NAMPAK LTD .............................. 421,320 1,231,000 NIPPON PAPER INDUSTRIES CO .............. 7,132,361 1,646,666 OJI PAPER CO LTD ........................ 10,202,661 544,600 PENTAIR, INC ............................ 17,903,725 3,062,000 oPT FAJAR SURYA WISEA (FR) ............... 1,289,944 1,778,913 oPT PABRIK KERTAS TJIWI KIMIA (FR) ....... 2,065,451 81,179 SAPPI LTD ............................... 733,842 88,000 oSETTSU CORP ............................. 119,199 337,000 oSHOREWOOD PACKAGING CORP ................ 7,666,750 908,065 SONOCO PRODUCTS CO ...................... 27,639,228 581,000 SPICERS PAPER LTD ....................... 921,063 7,900 ST. JOE CORP ............................ 661,625 936,649 oSTONE CONTAINER CORP .................... 13,405,788 393,014 TEMPLE-INLAND, INC ...................... 21,222,756 634,700 UNION CAMP CORP ......................... 31,735,000 716,200 UNISOURCE WORLDWIDE, INC ................ 11,459,200 378,928 WAUSAU PAPER MILLS CO ................... 7,152,266 805,393 WESTVACO CORP ........................... 25,319,542 ------------- 475,026,988 ------------- PETROLEUM--EXPLORATION & PRODUCTION--0.79% 688,200 AMERADA HESS CORP ....................... 38,238,112 426,264 ANADARKO PETROLEUM CORP ................. 25,575,840 151,944 oANDERSON EXPLORATION LTD ................ 1,960,426 3,640,088 APACHE CORP ............................. 118,302,860 194,170 ASTRA CIA AREGENTINA S.A. SERIES B ...... 411,681 286,960 oBARNETT RESOURCES CORP .................. 8,590,865 294,000 oBENTON OIL & GAS CO ..................... 4,410,000 158,100 oBROWN (TOM), INC ........................ 3,359,625 1,706,581 BURLINGTON RESOURCES, INC ............... 75,302,886 129,494 oCANADIAN NATURAL RESOURCES LTD .......... 3,365,005 310,100 CHESAPEAKE ENERGY CORP .................. 3,042,856 56,000 ~oCORIMON S.A. ADR ........................ 49,938 244,000 DEVON ENERGY CORP ....................... 8,967,000 594,400 ENRON OIL & GAS CO ...................... 10,773,500 488,480 oEQUITY OIL CO ........................... 1,618,090 251,600 oEVI, INC ................................ 10,567,200 150,700 oFALCON DRILLING CO, INC ................. 8,684,087 33,500 oFOREST OIL CORP ......................... 492,031 33,298 HARDY OIL & GAS PLC ..................... 185,372 75,500 oHARKEN ENERGY CORP ...................... 528,500 233,600 KCS ENERGY, INC ......................... 4,759,600 361,800 KERR-MCGEE CORP ......................... 22,929,075 111,800 LOMAK PETROLEUM, INC .................... 1,991,437 402,870 LONDON & SCOTTISH MARINE OIL PLC ........ 1,739,938 194,700 LOUISIANA LAND & EXPLORATION CO ......... 11,122,237 214,800 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) .......................... 4,349,700 304,700 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS B) ......................... 6,512,962 500,000 MOL MAGYAR OLAJ-ES GAZIPARI GDR (144A) ............................. 11,125,000 103,000 MONTEREY RESOURCES, INC ................. 1,532,125 325,180 MURPHY OIL CORP ......................... 15,852,525 225,200 oNEWFIELD EXPLORATION CO ................. 4,504,000 362,500 NOBLE AFFILIATES, INC ................... 14,024,218 521,016 NOVUS PETROLEUM LTD ..................... 1,776,070 165,400 oNUEVO ENERGY CO ......................... 6,781,400 3,000 oNUMAC ENERGY, INC ....................... 13,047 107,100 oOCEAN ENERGY, INC ....................... 4,953,375 500 oOCELOT ENERGY INC (CLASS B) ............. 2,718 1,340,100 oORYX ENERGY CO .......................... 28,309,612 388,400 PARKER & PARSLEY PETROLEUM CO ........... 13,739,650 566,900 PENNZOIL CO ............................. 43,509,575 93,000 PETRO-CANADA (NON-RESIDENT) ............. 1,510,003 342,000 PETRO-CANADA (VARIABLE- VTG) ............ 5,552,915 229,800 oPOCO PETROLEUM LTD ...................... 2,356,966 285,100 POGO PRODUCING CO ....................... 11,029,806 148,100 RANGER OIL LTD .......................... 1,384,814 141,100 oRENAISSANCE ENERGY LTD .................. 3,927,400 358,900 oRIGEL ENERGY CORP (U.S.) ................ 3,835,743 97,000 SAGA PETROLEUM AS SERIES A .............. 1,841,737 1,746,210 oSANTA FE ENERGY RESOURCES, INC .......... 25,647,459 See notes to financial statements. -38- SHARES VALUE ------ ----- PETROLEUM--EXPLORATION & PRODUCTION--(CONTINUED) 328,304 oSEAGULL ENERGY CORP ..................... $ 5,745,320 113,200 SNYDER OIL CORP ......................... 2,080,050 207,674 SOUTHDOWN, INC .......................... 9,059,778 29,438 oSTAMPEDER EXPLORATION LTD ............... 115,225 6,000 oSWIFT ENERGY CO ......................... 143,250 142,015 oTALISMAN ENERGY, INC .................... 4,369,772 548,582 oTEJAS GAS CORP .......................... 21,531,843 356,815 oTESORO PETROLEUM CORP ................... 5,285,322 299,919 TOTAL PETROLEUM (NORTH AMERICA) LTD ..... 2,961,700 149,635 oTRITON ENERGY LTD ....................... 6,855,153 2,289,691 UNION PACIFIC RESOURCES GROUP, INC ...... 56,956,063 1,023,100 UNION TEXAS PETROLEUM HOLDINGS, INC ..... 21,421,156 197,400 oUNITED MERIDIAN CORP .................... 5,922,000 165,600 VINTAGE PETROLEUM, INC .................. 5,092,200 13,700 oWASCANA ENERGY, INC ..................... 201,587 396,200 WISER OIL CO ............................ 7,304,937 ------------- 736,086,337 ------------- PETROLEUM--INTEGRATED--5.06% 225,000 oABACAN RESOURCE CORP .................... 717,187 160,000 ALBERTA ENERGY LTD ...................... 4,030,154 4,179,400 AMOCO CORP .............................. 363,346,587 19,200 oARABIAN OIL CO LTD ...................... 647,664 1,754,500 ASHLAND, INC ............................ 81,364,937 3,136,230 ATLANTIC RICHFIELD CO ................... 221,104,215 7,304,554 BRITISH PETROLEUM PLC ................... 90,751,775 5,837,252 BROKEN HILL PROPRIETARY CO LTD .......... 85,204,403 88,175 BURMAH CASTROL PLC ...................... 1,493,177 74,000 CALTEX AUSTRALIA LTD .................... 251,146 240,800 CANADIAN OCCIDENTAL PETROLEUM LTD ....... 5,410,845 5,409,100 CHEVRON CORP ............................ 399,935,331 165,000 COMPANIA ESPANOLA DE PETROLEOS S.A .......................... 5,609,175 1,166,000 COSMO OIL CO LTD ........................ 5,583,941 116,247 ELF AQUITANE S.A ........................ 12,553,349 27,700,000 ENTE NAZIONALE IDROCARBURI S.P.A ........ 156,768,149 110,000 ESSO MALAYSIA BERHAD .................... 276,743 23,694,754 EXXON CORP .............................. 1,457,227,371 120,200 oFORCENERGY GAS EXPLORATION, INC ......... 3,651,075 434,038 GETTY REALTY CORP ....................... 7,649,919 269,461 oGULF CANADA RESOURCES LTD ............... 2,207,096 210,988 IMPERIAL OIL LTD ........................ 10,820,096 15,000 KANTO NATURAL GAS DEVELOPMENT CO LTD ................................. 89,006 860,000 MITSUBISHI OIL CO LTD ................... 3,832,925 9,068,498 MOBIL CORP .............................. 633,661,297 1,957,300 NIPPON OIL CO LTD ....................... 10,724,737 120,900 NORCEN ENERGY RESOURCES LTD ............. 2,883,162 380,277 NORSK HYDRO AS .......................... 20,725,934 8,483,547 OCCIDENTAL PETROLEUM CORP ............... 212,618,896 10,125 OMV AKTIENGESELLS AG .................... 1,297,225 38,577 PETROFINA S.A ........................... 14,620,412 2,284,517 PHILLIPS PETROLEUM CO ................... 99,947,618 266,300 QUAKER STATE OIL REFINING CORP .......... 4,061,075 739,674 REPSOL S.A .............................. 31,330,941 3,993,600 ROYAL DUTCH PETROLEUM CO ................ 208,108,135 1,805,994 SANTOS LTD .............................. 7,536,492 124,000 SHELL REFINERY BERHAD ................... 393,027 2,301,000 oSHELL TRANSPORT & TRADING PLC ........... 15,682,024 518,842 SUN CO, INC ............................. 16,084,116 132,000 SUNCOR ENERGY, INC ...................... 3,540,157 109,000 TEIKOKU OIL CO LTD ...................... 488,658 2,552,400 TEXACO, INC ............................. 277,573,500 1,680 TONEN CORP .............................. 20,260 470,907 TOTAL S.A ............................... 47,644,216 1,879,712 UNOCAL CORP ............................. 72,956,322 3,356,721 USX-MARATHON GROUP, INC ................. 96,925,318 293,100 WOODSIDE PETROLEUM LTD .................. 2,503,331 71,000 YPF SOCIEDAD ANONIMA (CLASS D) .......... 2,187,018 137,100 YPF SOCIEDAD ANONIMA (CLASS D) ADR ...... 4,215,825 ------------- 4,708,255,962 ------------- PETROLEUM--SERVICE--0.91% 871,880 BAKER HUGHES, INC ....................... 33,730,857 396,635 oBJ SERVICES CO .......................... 21,269,551 21,700 oBJ SERVICES CO WTS 04/13/00 ............. 634,725 669,900 CABOT CORP .............................. 19,008,412 144,400 CAMCO INTERNATIONAL, INC ................ 7,905,900 262,390 oCLIFFS DRILLING CO ...................... 9,577,235 180,300 CROSS TIMBERS OIL CO .................... 3,470,775 1,068,100 oDIAMOND OFFSHORE DRILLING, INC .......... 83,445,312 1,138,820 DRESSER INDUSTRIES, INC ................. 42,421,045 824,750 oENSCO INTERNATIONAL, INC ................ 43,505,562 497,400 FLUOR CORP .............................. 27,450,262 434,038 oGETTY PETROLEUM MARKETING, INC .......... 2,170,190 344,020 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC ..... 7,052,410 293,500 oGLOBAL INDUSTRIES LTD ................... 6,855,978 1,505,000 oGLOBAL MARINE, INC ...................... 34,991,250 762,836 HALLIBURTON CO .......................... 60,454,753 206,300 HELMERICH & PAYNE, INC .................. 11,888,037 45,000 oHVIDE MARINE, INC (CLASS A) ............. 995,625 284,000 IHC CALAND NV ........................... 15,553,094 4,058,000 KEPPEL FELS LTD ......................... 13,736,699 12,124 KONINKLIJKE PAKHOED HOLDINGS NV ......... 428,204 515,000 oMARINE DRILLING CO, INC ................. 10,106,875 178,900 oMATRIX SERVICE CO ....................... 1,543,012 16,200 MCDERMOTT INTERNATIONAL, INC ............ 472,837 83,061 oMCMORAN OIL & GAS CO .................... 280,330 655,700 oNABORS INDUSTRIES, INC .................. 16,392,500 139,000 oNEWPARK RESOURCES, INC .................. 4,691,250 1,407,079 oNOBLE DRILLING CORP ..................... 31,747,219 406,000 oOCEANEERING INTERNATIONAL, INC .......... 7,511,000 448,000 oPARKER DRILLING CO ...................... 4,984,000 93,500 oPETROLEUM GEO-SERVICES AS ............... 4,508,452 433,769 oPOOL ENERGY SERVICES CO ................. 7,862,063 313,500 oPRIDE INTERNATIONAL, INC ................ 7,524,000 522,400 oREADING & BATES CORP .................... 13,974,200 825,300 oROWAN COS, INC .......................... 23,263,143 384,700 oRPC, INC ................................ 5,674,325 760,000 SAIPEM S.P.A ............................ 3,887,856 242,280 SCHLUMBERGER LTD ........................ 30,285,000 1,235,828 oSMEDVIG A/S SERIES A .................... 30,892,302 305,357 SMEDVIG A/S SERIES B .................... 7,507,953 250,500 oSMITH INTERNATIONAL, INC ................ 15,217,875 70,000 TECHNIP S.A ............................. 8,131,506 555,100 TIDEWATER, INC .......................... 24,424,400 962,316 TOSCO CORP .............................. 28,809,335 293,500 TRANSOCEAN OFFSHORE, INC (U.S.) ......... 21,315,437 73,273 TRANSOCEAN OFFSHORE, INC ................ 5,054,480 472,500 oTUBOSCOPE VETCO INTERNATIONAL CORP ...... 9,390,937 818,157 ULTRAMAR DIAMOND SHAMROCK CORP .......... 26,692,372 103,900 oVARCO INTERNATIONAL, INC ................ 3,350,775 111,800 VASTAR RESOURCES, INC ................... 3,919,987 382,001 oWEATHERFORD ENTERRA, INC ................ 14,707,038 298,188 oWESTERN ATLAS, INC ...................... 21,842,271 ------------- 842,510,606 ------------- See notes to financial statements. -39- SHARES VALUE ------ ----- PHOTOGRAPHY--0.31% 198,187 CPI CORP ................................ $ 4,161,927 2,832,896 EASTMAN KODAK CO ........................ 217,424,768 800,711 FUJI PHOTO FILM CO LTD .................. 32,258,075 1,000 NORITSU KOKI CO LTD ..................... 49,375 14,600 oPHOTRONICS, INC ......................... 697,150 409,208 POLAROID CORP ........................... 22,711,044 124,800 oPRESSTEK, INC ........................... 10,826,400 ------------- 288,128,739 ------------- PROPERTY--REAL ESTATE--0.52% 279,200 AVALON PROPERTIES, INC .................. 7,992,100 798,750 AYALA LAND, INC (CLASS B) ............... 734,362 2,347,600 BRITISH LAND PLC ........................ 22,114,246 29,100 oCAMBRIDGE SHOPPING CENTERS LTD .......... 251,007 310,000 oCASTELLUM AB ............................ 2,325,281 6,471,508 CHEUNG KONG HOLDINGS LTD ................. 63,902,197 675,913 CHINESE ESTATES LTD ..................... 636,887 303,840 CITY DEVELOPMENT LTD .................... 2,975,075 27,726 oCITY DEVELOPMENT LTD WTS 07/18/98 ....... 217,185 4,454 oCOMPAGNIE IMMOBILIERE DE BELGIQUE S.A ........................... 333,890 724,100 CRESCENT REAL ESTATE EQUITIES, INC ...... 22,990,175 72,410 oCRESECENT OPERATING, INC ................ 868,920 500 DAIBIRU CORP ............................ 6,029 804,000 DAIKYO, INC ............................. 3,147,717 1,025,000 DBS LAND LTD ............................ 3,240,315 88,200 oDILIGENTIA AB ........................... 1,072,216 105,273 oEVERGO CHINA HOLDINGS LTD ............... 13,588 5,000,000 oFILINVEST LAND, INC ..................... 1,251,129 260,418 GENERAL PROPERTY TRUST .................. 517,028 151,542 GREAT PORTLAND ESTATES PLC .............. 524,599 117,225 HAMMERSON PLC ........................... 912,081 498,000 HANG LUNG DEVELOPMENT CO LTD ............ 912,780 2,000,000 oHENDERSON LAND DEVELOPMENT CO LTD ..................... 17,748,087 240 HONG KONG LAND HOLDINGS LTD ............. 638 1,898,571 HOPEWELL HOLDINGS LTD ................... 1,200,803 58,100 HOSPITALITY PROPERTIES TRUST ............ 1,779,312 158,500 oHOTEL PROPERTIES LTD .................... 269,377 400,000 HYSAN DEVELOPMENT CO LTD ................ 1,179,763 20,000 oHYSAN DEVELOPMENT CO LTD WTS 04/30/98 ... 7,744 303,000 IOI PROPERTIES BERHAD ................... 576,228 72,707 oIRSA S.A ................................ 317,761 178,200 KEPPEL LAND LTD ......................... 473,605 44,550 oSTRAITS STEAMSHIP WTS 12/12/00 .......... 40,505 244,650 KIMCO REALTY CORP ....................... 7,767,637 212,300 LAND SECURITIES PLC ..................... 2,994,479 170,000 LANDMARKS HOLDINGS BERHAD ............... 199,366 624,270 LEND LEASE CORP LTD ..................... 13,095,686 214,500 MEIWA ESTATE CO LTD ..................... 4,686,288 163,320 MEPC PLC ................................ 1,340,040 1,969,750 MITSUBISHI ESTATE CO LTD ................ 28,574,651 981,072 MITSUI FUDOSAN CO LTD ................... 13,546,269 5,682,877 NEW WORLD DEVELOPMENT CO LTD ............ 33,889,026 110,000 oNK CITYFASTIGHETER ...................... 782,422 39,000 OSAKA STADIUM CO LTD .................... 245,731 320,700 PATRIOT AMERICAN HOSPITALITY ............ 8,177,850 5,000,000 oPT DUTA ANGGADA REALTY (FR) ............. 4,829,250 3,288,000 oPT JAYA REAL PROPERTY (FR) .............. 4,425,730 47,200 oRECKSON ASSOCIATES REALTY CORP .......... 1,085,600 15,500 REDWOOD TRUST, INC ...................... 724,625 40,100 oROYAL LEPAGE LTD ........................ 98,825 28,070 SCHRODERS PROPERTY FUND ................. 50,051 5,000 oSEFIMEG S.A ............................. 319,366 500,000 SELANGOR PROPERTIES BERHAD .............. 479,398 11,744 oSIMCO (REGD) NEW ........................ 931,425 1,385,000 SINGAPORE LAND LTD ...................... 6,296,339 66,596 oSLH CORP ................................ 5,127,892 3,759,900 SLOUGH ESTATES PLC ...................... 18,647,652 1,551,153 STOCKLAND TRUST GROUP (UNITS) ........... 4,044,190 861,000 SUMITOMO REALTY & DEVELOPMENT CO LTD ................................. 7,599,521 2,966,659 SUN HUNG KAI PROPERTIES LTD ............. 35,707,984 256,394 TAI CHEUNG HOLDINGS LTD ................. 203,531 74,400 TAK WING INVESTMENT HOLDINGS LTD ........ 11,235 14,880 ~oTAK WING INVESTMENT WTS 12/31/98 ........ 134 624,100 TAUBMAN CENTERS, INC .................... 8,269,325 231,000 oTOKYO TATEMONO CO LTD ................... 1,221,318 1,078,100 oTOLL BROTHERS, INC ...................... 19,810,087 637 oTRIZEC HAHN CORP WTS 07/25/99 ........... 2,701 1,500 UNIBAIL S.A ............................. 140,521 5,000,000 UNITED OVERSEAS LAND LTD ................ 6,784,170 328,196 VALLEHERMOSO S.A ........................ 8,869,833 19,400 VORNADO REALTY TRUST .................... 1,399,225 27,800 WASHINGTON REAL ESTATE INVESTMENT TRUST .................................. 493,450 687,700 WEINGARTEN REALTY INVESTORS, INC ........ 29,055,325 6,425 oWELLSFORD REAL PROPERTIES, INC .......... 70,675 4,056,246 WESTFIELD TRUST (UNITS) ................. 8,265,915 165,130 ~oWESTFIELD TRUST (UNITS) NEW ............ 324,344 5,148,200 WHARF HOLDINGS LTD ...................... 22,327,677 4,708,000 oWING TAI HOLDINGS LTD ................... 13,566,214 ------------- 487,015,603 ------------- PUBLISHING--NEWSPAPER--0.50% 190,400 BELO (A.H.) CORP SERIES A ............... 7,925,400 180,400 BELO (A.H.) CORP SERIES B ............... 7,509,150 134,000 CENTRAL NEWSPAPERS, INC (CLASS A) ....... 9,597,750 621,689 oCOX COMMUNICATIONS, INC (CLASS A) NEW ... 14,920,536 4,400 DOW JONES & CO, INC ..................... 176,825 416,800 DOW JONES & CO, INC (CLASS B) ........... 16,750,150 1,124,000 EMAP PLC ................................ 13,908,455 130,000 EXEL LTD ................................ 6,857,500 943,200 GANNETT CO, INC ......................... 93,141,000 83,200 HOLLINGER INTERNATIONAL, INC ............ 930,800 609,500 KNIGHT-RIDDER, INC ...................... 29,903,593 170,200 MEDIA GENERAL, INC (CLASS A) ............ 6,808,000 637,916 NEW YORK TIMES CO (CLASS A) ............. 31,576,842 5,798,225 NEWS CORP LTD ........................... 27,584,591 742,260 NEWS CORP LTD ADR (LTD-VTG) ............. 11,597,812 600,000 ORIENTAL PRESS GROUP .................... 245,891 60,000 oORIENTAL PRESS GROUP WTS 02/10/98 ....... 3,330 3,203,000 PEARSON PLC ............................. 37,075,386 72,300 RURAL PRESS LTD ......................... 216,668 137,280 SINGAPORE PRESS HOLDINGS LTD (FR) ....... 2,765,188 391,159 TIMES MIRROR CO SERIES A ................ 21,611,534 762,159 TIMES MIRROR CO SERIES C NEW ............ 42,109,284 1,185,000 TRIBUNE CO NEW .......................... 56,954,062 244,900 oVALASSIS COMMUNICATIONS, INC ............ 5,877,600 54,700 WASHINGTON POST CO (CLASS B) ............ 21,770,600 ------------- 467,817,947 ------------- PUBLISHING--OTHER--0.63% 38,500 oAMERICAN BUSINESS INFORMATION, INC ...... 837,375 629,200 AMERICAN GREETINGS CORP (CLASS A) ....... 23,359,050 321,800 BOWNE & CO, INC ......................... 11,222,775 938,964 DAI NIPPON PRINTING CO LTD .............. 21,252,520 90,152 DE LA RUE CO PLC ........................ 553,647 706,300 DONNELLEY (R.R.) & SONS CO .............. 25,868,237 1,829,839 DUN & BRADSTREET CORP ................... 48,033,273 See notes to financial statements. -40- SHARES VALUE ------ ----- PUBLISHING--OTHER--(CONTINUED) 1,868,500 ELSEVIER UTIGEVERSMIJ NV ................ $31,279,924 62,270 FILIPACCHI MEDIAS S.A ................... 13,226,164 211,700 GAKKEN CO LTD ........................... 1,115,577 105,800 oGIBSON GREETINGS, INC ................... 2,380,500 163,200 oGOLDEN BOOKS FAMILY ENTERTAINMENT, INC ..................... 2,040,000 80,000 GRUPO ANAYA S.A ......................... 1,566,489 300,008 HARCOURT GENERAL, INC ................... 14,287,881 124,900 HOUGHTON MIFFLIN CO ..................... 8,337,075 352,900 oK-III COMMUNICATIONS CORP ............... 4,234,800 423,000 LEE ENTERPRISES, INC .................... 11,156,625 14,400 LEE ENTERPRISES, INC (CLASS B) .......... 379,800 94,100 xoMARVEL ENTERTAINMENT GROUP, INC ......... 223,487 1,031,300 MCGRAW HILL COS, INC .................... 60,653,331 79,400 MEREDITH CORP ........................... 2,302,600 329,200 MEREDITH CORP (CLASS B) ................. 9,546,800 50,000 MONDADORI (ARNOLDO) EDITORE S.P.A ....... 288,708 191,550 PLENUM PUBLISHING CORP .................. 7,374,675 381,400 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VTG) .................... 10,941,412 460,220 REED INTERNATIONAL PLC .................. 4,457,794 291,800 oSCHOLASTIC CORP ......................... 10,213,000 692,000 SOUTH CHINA MORNING POST ................ 678,841 31,000 SOUTHAM, INC ............................ 530,298 143,750 THOMAS NELSON, INC ...................... 1,994,531 763,500 THOMSON CORP ............................ 17,598,802 4,255,839 TIME WARNER, INC ........................ 205,344,231 428,000 VERENIGDE NEDERLANDSE UITGEVERSBED ........................... 9,480,522 144,041 WOLTERS KLUWER NV ....................... 17,570,445 84,872 WOONG JIN PUBLISHING CO ................. 4,596,718 163,200 oWORLD COLOR PRESS, INC .................. 3,876,000 ------------- 588,803,907 ------------- RAILROAD--0.76% 1,693,528 BURLINGTON NORTHERN SANTA FE CORP ....... 152,205,829 319,000 CANADIAN PACIFIC LTD .................... 9,087,201 131,700 CANADIAN PACIFIC LTD (U.S.) ............. 3,745,218 2,343,372 CSX CORP ................................ 130,057,146 6,560 EAST JAPAN RAILWAY CO ................... 33,708,769 76,600 FLORIDA EAST COAST INDUSTRIES, INC ...... 8,502,600 543,377 HANKYU CORP ............................. 3,005,845 532,150 ILLINOIS CENTRAL CORP SERIES A .......... 18,591,990 259,700 KANSAS CITY SOUTHERN INDUSTRIES, INC .... 16,750,650 216,726 KEIHIN ELECTRIC EXPRESS RAILWAY ......... 1,018,955 650 KEIO TEITO ELECTRIC RAILWAY CO LTD ...... 3,095 1,268,781 KINKI NIPPON RAILWAY CO LTD ............. 7,761,514 1,540,861 NAGOYA RAILROAD CO LTD .................. 6,355,755 228,900 NANKAI ELECTRIC RAILWAY CO .............. 1,168,208 1,207,160 NIPPON EXPRESS CO LTD ................... 9,652,674 1,121,312 NORFOLK SOUTHERN CORP ................... 112,972,184 312,378 ODAKYU ELECTRIC RAILWAY CO LTD .......... 1,856,312 100,000 oRAILAMERICA, INC ........................ 437,500 3,931,000 oRAILTRACK GROUP PLC ..................... 40,922,482 400 SAGAMI RAILWAY CO ....................... 1,457 2,875,928 STAGECOACH HOLDINGS PLC ................. 30,345,820 365,369 TOBU RAILWAY CO LTD ..................... 1,689,075 862,149 TOKYU CORP .............................. 5,356,901 47,700 TRANZ RAIL HOLDINGS LTD ................. 271,580 1,224,399 UNION PACIFIC CORP ...................... 86,320,129 664,100 oWISCONSIN CENTRAL TRANSIT CORP .......... 24,737,725 ------------- 706,526,614 ------------- RESTAURANTS & HOTELS--1.07% 10,300 ACCOR S.A ............................... 1,543,862 395,200 APPLE SOUTH, INC ........................ 6,026,800 310,950 oAPPLEBEES INTERNATIONAL, INC ............ 8,317,912 655,000 oAZTAR CORP .............................. 4,625,937 395,982 BOB EVANS FARMS, INC .................... 6,706,945 378,100 oBOSTON CHICKEN, INC ..................... 5,293,400 696,000 oBUFFETS, INC ............................ 5,872,500 549,150 oCHOICE HOTELS INTERNATIONAL, INC ........ 9,301,228 460,608 CKE RESTAURANTS, INC .................... 14,566,728 2,652 oCLUB MEDITERRANEE S.A ................... 188,093 855,000 COMPASS GROUP PLC ....................... 9,590,861 542,725 CRACKER BARREL OLD COUNTRY STORE, INC ............................. 14,382,212 1,986,500 DARDEN RESTAURANTS, INC ................. 18,002,656 19,700 oDAVE & BUSTERS, INC ..................... 526,975 35,200 EQUITY INNS INC ......................... 470,800 551,100 oEXTENDED STAY AMERICA, INC .............. 8,679,825 368,800 FELCOR SUITE HOTELS, INC ................ 13,737,800 226,700 oFOODMAKER, INC .......................... 3,712,212 202,984 FRISCHS RESTAURANTS, INC ................ 3,374,609 63,995 FUJITA KANKO, INC ....................... 805,323 33,169 GROUPE PARTOUCHE S.A .................... 2,259,857 162,000 HARBOUR CENTRE DEVELOPMENT LTD .......... 259,289 1,583,202 oHFS INC ................................. 91,825,716 1,449,400 HILTON HOTELS CORP ...................... 38,499,687 26,083 oHK & SHANGAI HOTELS LTD WTS 12/10/98 .... 6,060 58,384 oHOMESTEAD VILLAGE, INC .................. 1,043,614 39,169 oHOMESTEAD VILLAGE, INC WTS 10/29/97 ..... 332,936 339,083 HONG KONG & SHANGHAI HOTELS LTD ......... 540,532 1,861,100 oHOST MARRIOTT CORP ...................... 33,150,843 226,380 oHOST MARRIOTT SERVICES CORP ............. 2,659,965 778,836 oITT CORP ................................ 47,557,673 863,350 LA QUINTA INNS, INC ..................... 18,885,781 141,500 oLANDRYS SEAFOOD RESTAURANTS, INC ........ 3,254,500 273,700 oLONE STAR STEAKHOUSE & SALOON, INC ...... 7,116,200 275,250 LUBYS CAFETERIA, INC .................... 5,487,796 730,700 MARRIOTT INTERNATIONAL, INC ............. 44,846,712 5,749,600 MCDONALDS CORP .......................... 277,777,550 160,700 oMGM GRAND, INC .......................... 5,945,900 200,000 oMIRAMAR HOTEL & INVESTMENT CO LTD ....... 367,869 73,868 MORRISON FRESH COOKING, INC ............. 341,639 322,700 oNPC INTERNATIONAL, INC .................. 3,751,387 283,400 oOUTBACK STEAKHOUSE, INC ................. 6,854,737 50,000 OVERSEAS UNION ENTERPRISES LTD .......... 230,801 20,000 oOVERSEAS UNION ENTERPRISES LTD WTS 07/20/98 23,220 198,300 oPAPA JOHNS INTERNATIONAL, INC ........... 7,287,525 509,721 PICCADILLY CAFETERIAS, INC .............. 5,415,785 320,100 oPRIME HOSPITALITY CORP .................. 6,321,975 498,150 oPROMUS HOTEL CORP ....................... 19,303,312 7,500,000 oPT JAKARTA INT'L HOTELS & DEVELOPEMENT (FR) ...................... 8,553,937 100,000 oQUALITY DINING, INC ..................... 468,750 78,300 oRAINFOREST CAFE, INC .................... 1,986,862 47,900 oRED ROOF INNS, INC ...................... 862,200 443,000 RESORTS WORLD BERHAD .................... 1,333,916 219,400 oRIO HOTEL & CASINO, INC ................. 3,304,712 135,936 oRUBY TUESDAY, INC ....................... 3,050,064 532,650 oRYANS FAMILY STEAK HOUSES, INC .......... 4,560,815 111,875 SBARRO, INC ............................. 3,104,531 3,300 oSCOTTS RESTAURANTS, INC ................. 14,710 600,000 SHANGRI-LA ASIA LTD ..................... 720,249 2,703 SHANGRI-LA HOTELS BERHAD ................ 2,580 460,978 oSHONEYS, INC ............................ 2,737,056 343,300 oSHOWBIZ PIZZA TIME, INC ................. 9,054,537 191,100 SKYLARK CO LTD .......................... 2,922,540 2,933 SODEXHO ALLIANCE S.A .................... 1,503,221 75,000 oSOL MELIA S.A ........................... 3,085,046 See notes to financial statements. -41- SHARES VALUE ------ ----- RESTAURANTS & HOTELS--(CONTINUED) 190,650 oSONIC CORP .............................. $ 4,194,300 317,000 SUN INTERNATIONAL SOUTH AFRICA .......... 178,926 1,108,100 SYSCO CORP .............................. 40,445,650 6,750,000 THISTLE HOTELS PLC ...................... 17,805,929 1,107,000 +TPI ENTERPRISES, INC .................... 154,980 318,100 oVICORP RESTAURANTS, INC ................. 3,817,200 4,590,069 WENDYS INTERNATIONAL, INC ............... 119,054,914 ------------- 999,993,164 ------------- RETAIL--FOOD--0.63% 1,471,900 ALBERTSONS, INC ......................... 53,724,350 1,705,716 AMERICAN STORES CO ...................... 84,219,727 4,878 oBRUNOS, INC ............................. 56,097 70,752 CARREFOUR SUPERMARCHE S.A ............... 51,434,169 16,256 CASINO GUICHARD-PERRACHON S.A ........... 805,463 30,000 CENTROS COMERCIALES CONTINENTE S.A ...... 674,120 109,000 CENTROS COMERCIALES PRYCA S.A ........... 2,364,080 151,500 DELCHAMPS, INC .......................... 4,848,000 51,750 DELHAIZE FRERES NV ...................... 2,720,613 313,373 FLEMING COS, INC ........................ 5,640,714 1,099,050 FOOD LION, INC (CLASS A) ................ 7,865,076 1,842,450 FOOD LION, INC (CLASS B) ................ 13,242,609 18,200 oFOODCORP LTD ............................ 138,441 297,300 GIANT FOOD, INC (CLASS A) ............... 9,699,412 159,900 GREAT ATLANTIC & PACIFIC TEA CO, INC .... 4,347,281 438,300 HANNAFORD BROTHERS, INC ................. 15,587,043 100,000 oHEMKOPSKEDJAN AB ........................ 1,028,141 60,248 KONINKLIJKE AHOLD NV .................... 5,092,156 2,600,408 oKROGER CO ............................... 75,411,832 1,700 LOBLAW COS LTD .......................... 23,412 265,000 MARUETSU, INC ........................... 1,248,235 234,700 NASH FINCH CO ........................... 5,192,737 84,500 OSHAWA GROUP LTD (CLASS A) .............. 1,264,805 38,800 oPRIMISTERES REYNOIRD S.A ................ 1,521,337 9,300 PROMODES S.A ............................ 3,625,912 2,900,000 oPT FISKARAGUNG PERKASA (FR) ............. 4,678,207 9,275,000 oPT SIERAD PRODUCA (FR) .................. 3,049,620 54,026 oQUALITY FOOD CENTERS, INC ............... 2,052,988 754,600 RUDDICK CORP ............................ 12,450,900 314,437 oRYKOFF-SEXTON, INC ...................... 7,330,312 20,000 RYOSHOKU LTD ............................ 405,489 458,001 SAFEWAY PLC ............................. 2,648,822 2,416,843 oSAFEWAY, INC ............................ 111,476,883 807,347 SAINSBURY (J) PLC ....................... 4,897,668 904 SEIYO FOOD SYSTEMS ...................... 6,920 20,000 oSELECTA GROUP (REGD) .................... 3,045,475 459,524 xoSIZZLER INTERNATIONAL, INC .............. 1,349,851 1,465,200 oSOUTHLAND CORP .......................... 4,899,262 594,400 oSTARBUCKS CORP .......................... 23,144,450 637,400 SUPERVALU, INC .......................... 21,990,300 866,170 TESCO PLC ............................... 5,326,589 156,500 WEIS MARKETS, INC ....................... 4,518,937 463,232 WINN DIXIE STORES, INC .................. 17,255,392 ------------- 582,303,827 ------------- RETAIL--GENERAL MERCHANDISE--3.45% 387,500 o50-OFF STORES, INC ...................... 775 387,500 50-OFF STORES (RTS) ..................... 0 136,800 AOYAMA TRADING CO LTD ................... 4,399,422 1,386,000 oAPPLIED INTERNATIONAL HOLDINGS LTD ...... 103,762 277,200 oAPPLIED INTERNATIONAL HOLDINGS LTD WTS 12/30/99 ........................... 6,082 196,700 oAPS HOLDING CORP ........................ 1,721,125 112,942 ARGOS PLC 5/7 (P/P) ..................... 1,029,132 150,000 oASICS CORP .............................. 305,428 1,464,900 oAUTOZONE, INC ........................... 34,516,706 257,300 oBARNES & NOBLE, INC ..................... 11,063,900 1,650 BAZAR DEL HOTEL DE VILLE ................ 163,004 481,700 oBED BATH & BEYOND, INC .................. 14,631,637 38,533 xoBEN FRANKLIN RETAIL STORES, INC ......... 192 273,900 oBEST BUY, INC ........................... 4,074,262 930 BEST DENKI CO LTD ....................... 9,996 111,200 BLAIR CORP .............................. 1,598,500 522,512 oBOMBAY, INC ............................. 2,612,560 419,800 BOOTS CO LTD ............................ 4,915,165 742,500 oBORDERS GROUP, INC ...................... 17,912,812 172,100 BROWN GROUP, INC ........................ 3,216,118 120,000 BULGARI S.P.A ........................... 678,787 189,287 oBURLINGTON COAT FACTORY WAREHOUSE CORP ......................... 3,691,096 7,700,000 BURTON GROUP PLC ........................ 15,089,792 229,500 xoCALDOR CORP ............................. 329,906 139,400 CANADIAN TIRE, INC (CLASS A) ............ 2,728,182 153,347 oCARSON PIRIE SCOTT & CO ................. 4,868,767 562,000 CASEYS GENERAL STORES, INC .............. 12,100,562 45,518 CASTORAMA DUBOIS S.A .................... 6,411,760 597,000 oCHARMING SHOPPES, INC ................... 3,115,593 40 CHIYODA CO .............................. 681 696,000 CIFRA S.A. DE CV SERIES B ............... 1,294,965 216,000 CIFRA S.A. DE CV SERIES C ............... 344,861 111,544 CIFRA S.A. DE CV SERIES A ............... 205,854 1,666,269 CIRCUIT CITY STORES-CIRCUIT CITY GROUP .................................. 59,256,691 542,300 CLAIRES STORES, INC ..................... 9,490,250 108,618 CLAIRES STORES, INC (CLASS A) ........... 1,900,815 547,000 xoCLOTHESTIME, INC ........................ 21,880 546,700 oCML GROUP, INC .......................... 990,893 2,334,213 COLES MYER LTD .......................... 12,049,179 968 COMPTOIRS MODERNES ...................... 511,123 640,968 oCONSOLIDATED STORES CORP ................ 22,273,638 100,000 CORTEFIEL S.A ........................... 4,371,757 1,684,335 oCOSTCO COMPANIES, INC ................... 55,372,513 2,500,000 oCOURTS (SINGAPORE) LTD .................. 3,531,964 3,084,332 oCUC INTERNATIONAL, INC .................. 79,614,319 846,278 oCVS CORP ................................ 43,371,747 23,200 oCYRK, INC ............................... 272,600 739,550 DAIEI, INC .............................. 4,750,251 362,380 DAIMARU, INC ............................ 2,086,946 24,600 DART GROUP CORP (CLASS A) ............... 2,527,650 2,007,545 DAYTON HUDSON CORP ...................... 106,776,299 220,500 DEB SHOPS, INC .......................... 882,000 38,500 oDEPARTMENT 56, INC ...................... 854,218 1,200,000 DICKSON CONCEPTS LTD .................... 4,367,965 1,616,500 DILLARDS, INC (CLASS A) ................. 55,971,312 688,057 DOLLAR GENERAL CORP ..................... 25,802,137 185,400 oDOLLAR TREE STORES, INC ................. 9,339,525 12,000 DOUGLAS HOLDINGS AG ..................... 478,595 374,200 oDRESS BARN, INC ......................... 7,296,900 162,300 DUTY FREE INTERNATIONAL, INC ............ 3,043,125 114 oDYLEX LTD ............................... 586 38 oDYLEX LTD WTS 05/31/98 .................. 69 92,100 xoEDISON BROTHERS STORES, INC ............. 115,125 252,800 oEGGHEAD, INC ............................ 995,400 138,200 ETHAN ALLEN INTERIORS, INC .............. 7,877,400 180,700 oFABRI-CENTERS OF AMERICA (CLASS A) ...... 4,924,075 245,800 oFABRI-CENTERS OF AMERICA (CLASS B) ...... 5,745,575 298,700 FAMILY DOLLAR STORES, INC ............... 8,139,575 1,597,649 oFEDERATED DEPARTMENT STORES, INC ........ 55,518,302 477,400 FINGERHUT COS, INC ...................... 8,324,662 280,090 oFOOTSTAR, INC ........................... 7,317,351 446,000 oFURNITURE BRANDS INTERNATIONAL, INC ..... 8,641,250 1,777,100 GAP, INC ................................ 69,084,762 476,700 oGOOD GUYS, INC .......................... 2,681,437 310,300 oGOTTSCHALKS, INC ........................ 2,559,975 See notes to financial statements. -42- SHARES VALUE ------ ----- RETAIL--GENERAL MERCHANDISE--(CONTINUED) 92,400 GRANDOPTICAL PHOTOSERVICE S.A ........... $14,038,652 395,400 GREAT UNIVERSAL STORES PLC .............. 4,001,030 151,300 oGUESS?, INC ............................. 1,531,912 335,800 oGYMBOREE CORP ........................... 8,059,200 270,678 HANCOCK FABRICS, INC .................... 3,738,739 191,275 oHANDLEMAN CO ............................ 1,219,378 142,700 HANKYU DEPARTMENT STORES, INC ........... 1,508,936 274,375 oHANOVER DIRECT, INC ..................... 308,671 193,815 oHECHINGER CO (CLASS A) .................. 411,856 166,225 oHECHINGER CO (CLASS B) .................. 561,009 649,887 HEILIG MEYERS CO ........................ 12,754,032 306,000 HENNES & MAURITZ AB SERIES B ............ 10,764,061 4,110,533 HOME DEPOT, INC ......................... 283,369,868 1,890 oHOUSE OF FABRICS, INC ................... 5,197 291,200 oHSN, INC ................................ 9,100,000 121,000 HUDSONS BAY CO .......................... 2,718,904 167,400 oINTELLIGENT ELECTRONICS, INC ............ 470,812 1,860,300 INTIMATE BRANDS, INC (CLASS A) .......... 39,066,300 121,000 ISETAN CO ............................... 1,501,534 559,248 ITO-YOKADO CO LTD ....................... 32,500,334 249,000 IZUMIYA CO LTD .......................... 4,003,860 96,050 oJACOBSON STORES, INC .................... 912,475 158,700 oJONES APPAREL GROUP, INC ................ 7,577,925 262,350 JUSCO CO LTD ............................ 8,872,658 3,280,200 oK MART CORP ............................. 40,182,450 3,800 oKARSTADT AG ............................. 1,354,183 37,000 KESKO CO ................................ 521,426 280,336 KINGFISHER PLC .......................... 3,181,961 395,500 oKOHLS CORP .............................. 20,936,781 246,500 oLANDS END, INC .......................... 7,302,562 1,400 LAOX CO LTD ............................. 19,697 147,000 oLECHTERS, INC ........................... 643,125 1,944,905 LIMITED, INC ............................ 39,384,326 421,942 LONGS DRUG STORES CORP .................. 11,049,606 1,198,300 LOWES COS, INC .......................... 44,486,887 190,490 oLURIA (L.) & SON, INC ................... 285,735 306,500 oMAC FRUGALS BARGAINS CLOSE- OUTS, INC .............................. 8,352,125 4,761,400 MARKS & SPENCER PLC ..................... 39,463,502 1,092,853 MARUI CO LTD ............................ 20,342,442 2,863,970 MAY DEPARTMENT STORES CO ................ 135,322,582 262,400 MEIKLES AFRICA LTD ...................... 645,504 135,500 oMENS WAREHOUSE, INC ..................... 4,268,250 271,200 MERCANTILE STORES CO, INC ............... 17,068,650 94,566 oMETRO AG ................................ 10,370,456 228,100 oMEYER (FRED), INC ....................... 11,789,918 101,800 oMICHAELS STORES, INC .................... 2,156,887 86,700 oMICROAGE, INC ........................... 1,593,112 68,560 MINISTOP CO LTD ......................... 2,336,668 195,900 MITSUKOSHI LTD .......................... 1,395,255 12,000 MIZUNO CORP ............................. 78,441 11,900 oMOVIE GALLERY, INC ...................... 75,862 6,700 oMSC INDUSTRIAL DIRECT CO (CLASS A) ...... 268,837 503,500 oMUSICLAND STORES CORP ................... 1,353,156 848,400 MYCAL CORP .............................. 12,233,376 195,849 oNEIMAN-MARCUS GROUP, INC ................ 5,141,036 1,977,600 NEXT PLC ................................ 22,331,604 78 oNISSEN CO LTD ........................... 297 380,500 NORDSTROM, INC .......................... 18,668,281 591,800 oOFFICEMAX, INC .......................... 8,544,112 11,624 OPSM PROTECTOR LTD ...................... 31,177 454,023 oPAYLESS SHOESOURCE, INC ................. 24,829,382 2,502,117 PENNEY, (J.C.) CO, INC .................. 130,579,230 581,000 PEP BOYS MANNY, MOE, & JACK CO .......... 19,790,312 93,900 PEPKOR LTD .............................. 548,638 42,300 oPETCO ANIMAL SUPPLIES, INC .............. 1,269,000 183,600 xoPETRIE STORES CORP (LIQUIDATING TRUST) .. 573,750 686,800 oPETSMART, INC ........................... 7,898,200 89,600 PICKN PAY STORES LTD .................... 134,335 45,200 PICKN PAY STORES LTD SERIES N ........... 64,777 537,861 PIER 1 IMPORTS, INC ..................... 14,253,316 11,038 oPINAULT-PRINTEMPS-REDOUTE S.A ........... 5,309,378 96,000 PLAYMATES TOYS HOLDINGS LTD ............. 17,100 18,300 PRICE ENTERPRISES, INC .................. 352,275 187,000 oPROFFITTS, INC .......................... 8,204,625 78,500 REGIS CORP .............................. 1,854,562 240,884 oREX STORES CORP ......................... 2,438,950 135,150 oREXALL SUNDOWN, INC ..................... 5,270,850 65,000 RINASCENTE S.P.A ........................ 360,987 130,000 oRINASCENTE S.P.A. RTS ................... 13,624 3,250 oRINASCENTE S.P.A. WTS 12/31/99 .......... 1,605 573,463 RITE AID CORP ........................... 28,601,467 1,024,000 ROBINSON & CO LTD ....................... 5,335,575 476,100 ROBINSON DEPARTMENT STORE (FR) .......... 174,599 596,400 ROSS STORES, INC ........................ 19,494,825 1,312,500 ROUSE CO ................................ 38,718,750 2,400 ROYAL CO LTD ............................ 44,883 69,650 RUSS BERRIE & CO, INC ................... 1,527,946 57,200 oSAMSONITE CORP .......................... 2,523,950 651,100 SEARS PLC ............................... 726,029 3,456,100 SEARS ROEBUCK & CO ...................... 185,765,375 485,430 SEIYU LTD ............................... 3,898,556 500 SENSHUKAI CO LTD ........................ 5,112 569,112 oSERVICE MERCHANDISE, INC ................ 1,707,336 165,234 SEVEN-ELEVEN JAPAN CO LTD ............... 12,504,866 248,000 SHIMACHU CO ............................. 7,455,415 500 SHIMAMAURA CO LTD ....................... 17,827 11,200 oSHOPKO STORES, INC ...................... 285,600 464,900 SOTHEBYS HOLDINGS, INC (CLASS A) ........ 7,845,187 214,000 SPECIALTY STORES LTD .................... 186,374 1,010,268 oSTAPLES, INC ............................ 23,488,731 127,700 oSTEIN MART, INC ......................... 3,831,000 146,735 STRAWBRIDGE & CLOTHIER (CLASS A) ........ 2,384,443 603,800 STRIDE RITE CORP ........................ 7,773,925 553,200 oSUNGLASS HUT INTERNATIONAL, INC ......... 3,492,075 249,400 oSYMS CORP ............................... 2,478,412 15,300 oTAG HEUER INTERNATIONAL S.A ............. 2,298,305 350,000 TAKASHIMAYA CO LTD ...................... 4,771,494 48,900 TALBOTS, INC ............................ 1,662,600 590,101 TANDY CORP .............................. 33,045,656 372,500 oTHE SPORTS AUTHORITY, INC ............... 7,240,468 125,400 TIFFANY & CO ............................ 5,791,912 32,600 oTIMBERLAND CO ........................... 2,102,700 2,043,760 TJX COS, INC ............................ 53,904,170 3,134,444 TOMKINS PLC ............................. 13,563,303 534,100 oTOPPS, INC .............................. 2,236,543 3,664,741 oTOYS R US, INC .......................... 128,265,935 126,000 oTRANS WORLD ENTERTAINMENT CORP .......... 2,173,500 57,000 oUNITED AUTO GROUP, INC .................. 1,129,312 427,000 UNY CO LTD .............................. 8,358,678 1,637 oVALORA HOLDINGS AG (REGD) ............... 348,082 173,626 oVENTURE STORES, INC ..................... 401,510 283,750 oWABAN, INC .............................. 9,133,203 12,545,976 WAL-MART STORES, INC .................... 424,210,813 1,500,700 WALGREEN CO ............................. 80,475,037 39,100 oWEST MARINE, INC ........................ 1,006,825 278,675 oWILLIAMS-SONOMA, INC .................... 11,913,356 42,000 WOOLTRU LTD ............................. 238,915 61,000 WOOLTRU LTD (CLASS N) (NON-VTG) ......... 330,856 1,496,900 oWOOLWORTH CORP .......................... 35,925,600 371,400 oZALE CORP ............................... 7,358,362 ------------- 3,216,371,121 ------------- See notes to financial statements. -43- SHARES VALUE ------ ----- TEXTILE & APPAREL--0.50% 120,000 ADIDAS AG ............................... $13,290,481 130,400 ANGELICA CORP ........................... 2,282,000 158,500 oANN TAYLOR STORES CORP .................. 3,090,750 200 ATSUGI NYLON INDUSTRIAL CO LTD .......... 630 144,560 BENETTON GROUP S.P.A .................... 2,307,784 236,700 oBURLINGTON INDUSTRIES, INC .............. 2,840,400 456,300 CATO CORP (CLASS A) ..................... 2,481,131 4,430 CHARGEURS S.A ........................... 255,493 289,800 COATS VIYELLA PLC ....................... 614,950 148,100 oCONE MILLS CORP ......................... 1,184,800 10,000 CONFECCOES GUARARAPES SA ................ 72,450 42,000 COURTAULDS TEXTILES PLC ................. 214,245 90,674 DAWSON INTERNATIONAL PLC ................ 107,899 168,700 DOMINION TEXTILES, INC .................. 990,483 17 ESCADA AG. (STAMM) ...................... 2,780 109,500 FAB INDUSTRIES, INC ..................... 3,421,875 130,300 oFIELDCREST CANNON, INC .................. 2,475,700 12,000 FILA HOLDING S.P.A. ADR ................. 401,250 858,100 oFRUIT OF THE LOOM, INC (CLASS A) ........ 26,601,100 344,800 G & K SERVICES, INC (CLASS A) ........... 12,843,800 120,900 oGENESCO, INC ............................ 1,715,268 67,000 oGUCCI GROUP NV ADR ...................... 4,313,125 409,057 GUILFORD MILLS, INC ..................... 8,513,498 360,000 GUNZE LTD ............................... 1,642,232 277,200 oHARTMARX CORP ........................... 2,286,900 229,998 HERMES INTERNATIONAL S.A ................ 21,546,431 284,250 oJUST FOR FEET, INC ...................... 4,956,609 203,800 oKANEBO LTD .............................. 374,011 489,150 KELLWOOD CO ............................. 13,573,912 515,000 KURABO INDUSTRIES LTD ................... 1,390,680 132,250 KURARAY CO LTD .......................... 1,317,535 429,200 LIZ CLAIBORNE, INC ...................... 20,011,450 172,000 MARZOTTO & FIGLI S.P.A .................. 1,438,659 393,000 MITSUBISHI RAYON CO LTD ................. 1,621,049 257,200 oMOHAWK INDUSTRIES, INC .................. 5,851,300 450,700 oNAUTICA ENTERPRISES, INC ................ 11,915,381 1,111,800 NIKE, INC (CLASS B) ..................... 64,901,325 314,400 oNINE WEST GROUP, INC .................... 12,006,150 443,000 NISSHINBO INDUSTRY, INC ................. 4,026,232 233,000 ONWARD KASHIYMA CO LTD .................. 3,868,755 141,500 OSHKOSH B'GOSH, INC (CLASS A) ........... 3,077,625 161,500 OXFORD INDUSTRIES, INC .................. 4,582,562 44,600 oPARAGON TRADE BRANDS, INC ............... 760,987 329,588 PHILLIPS VAN HEUSEN CORP ................ 4,943,820 8,250,000 oPT GREAT RIVER INDUSTRIES (FR) .......... 5,170,893 20,801,800 oPT INDO RAMA SYNTHETICS (FR) ............ 18,808,987 312,910 oREEBOK INTERNATIONAL LTD ................ 14,687,213 523,228 oRENOWN, INC ............................. 1,303,159 460,100 RUSSELL CORP ............................ 13,630,462 888 oSALAMANDER AG ........................... 127,395 52,000 oSANRIO CO LTD ........................... 428,980 195,100 SPRING INDUSTRIES, INC .................. 10,291,525 88,500 ST. JOHN KNITS, INC ..................... 4,779,000 367,855 oTAVEX ALGODONERA S.A .................... 4,726,977 1,220,000 TEIJIN LTD .............................. 5,757,253 190,600 TOKYO STYLE CO LTD ...................... 2,648,388 1,097,000 TORAY INDUSTRIES, INC ................... 7,832,320 383,000 TOYOBO CO LTD ........................... 1,014,152 109,900 oTULTEX CORP ............................. 673,137 452,425 UNIFI, INC .............................. 16,909,384 194,000 oUNITIKA LTD ............................. 389,934 491,400 VF CORP ................................. 41,646,150 44,000 WACOAL CORP ............................. 546,012 302,600 WARNACO GROUP, INC (CLASS A) ............ 9,645,375 214,200 oWESTPOINT STEVENS, INC .................. 8,380,575 632,787 WOLVERINE WORLD WIDE, INC ............... 19,220,905 160,600 WORLD CO LTD ............................ 7,059,521 ------------- 471,793,194 ------------- TOBACCO--1.54% 1,255,975 B.A.T. INDUSTRIES LTD ................... 11,235,465 547,250 DIMON, INC .............................. 14,502,125 122,800 oEMPRESAS LA MODERN SERIES A NPV ......... 652,247 1,303,600 FORTUNE BRANDS, INC ..................... 48,640,575 2,200,000 oGALLAHER GROUP PLC ...................... 10,288,702 1,133,700 oGALLAHER GROUP PLC ADR .................. 20,902,593 300,900 IMASCO LTD .............................. 8,724,270 16,000 MAFCO CONSOLIDATED GROUP, INC ........... 536,000 24,928 oNOBLEZA-PICCARDO S.A. (CLASS B) ......... 164,541 25,643,400 PHILIP MORRIS COS, INC .................. 1,137,925,875 2,092,000 R.J. REYNOLDS BERHAD .................... 5,221,717 148,700 REMBRANDT GROUP LTD ..................... 1,586,833 2,661,846 RJR NABISCO HOLDINGS CORP ............... 87,840,918 171,620 ROTHMANS HOLDINGS LTD ................... 1,056,908 117,000 oROTHMANS OF PALL MALL BERHAD ............ 1,149,605 184,060 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ..................... 6,902,250 22,000 SEITA S.A ............................... 696,986 64,478 SOUZA CRUZ S.A .......................... 679,755 256,061 oSTANDARD COMMERCIAL CORP ................ 4,449,059 90,000 TABACALERA S.A. SERIES A (REGD) ......... 4,840,208 302,000 UNIVERSAL CORP .......................... 9,588,500 2,133,700 UST, INC ................................ 59,210,175 ------------- 1,436,795,307 ------------- TRADING COMPANIES--0.12% 65,000 INCHCAPE BERHAD ......................... 234,123 4,900,000 INCHCAPE PLC ............................ 23,078,848 1,416,350 ITOCHU CORP ............................. 7,636,906 102,540 IWATANI & CO LTD ........................ 412,204 2,384,950 MARUBENI CORP ........................... 10,837,880 2,428,000 MITSUBISHI CORP ......................... 30,342,157 3,041,664 MITSUI & CO LTD ......................... 29,239,211 224,000 NAGASE & CO ............................. 1,775,485 800 RYOSAN CO LTD ........................... 18,736 330,195 STELUX HOLDINGS INTERNATIONAL LTD ....... 63,930 66,039 oSTELUX HOLDINGS INTERNATIONAL WTS 02/28/98 ........................... 2,216 1,271,310 SUMITOMO CORP ........................... 12,109,876 968 TACHIBANA SHOKAI LTD .................... 7,613 ------------- 115,759,185 ------------- TRUCKERS & SHIPPING--0.26% 6,000 AISIN SEIKI CO LTD ...................... 91,759 285,000 oAMERICAN FREIGHTWAYS CORP ............... 4,453,125 275,906 APL LTD ................................. 8,622,062 638,900 ARNOLD INDUSTRIES, INC .................. 10,861,300 34,639 oBCR PARTICIPATIONS C.V.G. 05/19/99 ...... 6,549 72,400 BERGESEN AS SERIES A .................... 1,715,849 629,652 BRAMBLES INDUSTRIES LTD ................. 12,355,218 72,000 oBUDGET GROUP, INC ....................... 2,484,000 303,800 CALIBER SYSTEM, INC ..................... 11,316,550 59,100 CNF TRANSPORTATION, INC ................. 1,905,975 13,750 oCONSOLIDATED FREIGHTWAYS CORP ........... 225,156 306 DAMPSKIBSSELSKABET AF 1912 (CLASS B) .............................. 10,960,407 294 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) .............................. 15,208,385 145,257 oHALTER MARINE GROUP, INC ................ 3,486,168 242,580 oHEARTLAND EXPRESS, INC .................. 5,700,630 See notes to financial statements. -44- SHARES VALUE ------ ----- TRUCKERS & SHIPPING--(CONTINUED) 300,000 HITACHI ZOSEN CORP ...................... $ 1,195,495 201,350 HUNT (J.B.) TRANSPORT SERVICES, INC ..... 2,995,081 45,000 JURONG SHIPYARD LTD ..................... 195,132 1,073,000 KAMIGUMI CO LTD ......................... 6,048,130 1,111,000 oKAWASAKI KISEN KAISHA LTD ............... 2,242,785 9,000 KONINKLIJKE NEDLLOYD GROEP NV ........... 260,449 6,000 LAIDLAW, INC (CLASS A) .................. 94,375 363,392 LAIDLAW, INC (CLASS B) .................. 5,017,845 265,800 oLANDSTAR SYSTEM, INC .................... 7,475,625 1,000 oLAURITZEN J. HOLDINGS (CLASS B) ......... 100,291 114,000 oM.S. CARRIERS, INC ...................... 2,864,250 476,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) ................................ 1,235,263 124,900 MITSUBISHI WAREHOUSE & TRANSPORTATION CO LTD .................. 1,790,061 411,960 oMITSUI ENGINEERING & SHIP BUILDING CO LTD ........................ 900,029 2,094,080 oMITSUI OSK LINES LTD .................... 4,318,838 106,000 MITSUI SOKO CO LTD ...................... 740,140 17,142 oNCL HOLDINGS AS ......................... 54,089 199,000 NEPTUNE ORIENT LINES LTD ................ 178,150 1,069,840 NIPPON YUSEN KABUSHIKI KAISHA ........... 4,160,452 64,720 OCEAN GROUP PLC ......................... 568,188 762,500 oOMI, INC ................................ 7,291,406 427,560 OVERSEAS SHIPHOLDING GROUP, INC ......... 8,390,865 641,000 PARK MAY BERHAD ......................... 1,066,641 250,073 PENINSULAR & ORIENTAL STEAM NAVIGATION CO .......................... 2,497,178 225,450 PITTSTON BURLINGTON GROUP CO ............ 6,340,781 116,750 ROADWAY EXPRESS, INC .................... 2,729,031 888,352 RYDER SYSTEM, INC ....................... 29,315,616 167,500 SAFMARINE & RENNIES HOLDINGS LTD ........ 409,933 734,000 SEINO TRANSPORTATION CO LTD ............. 7,953,888 69,100 SHURGARD STORAGE CENTERS, INC ........... 1,934,800 8,659 oSOCIETE DE GERANCE DARMEMENT NEW ........ 101,029 34,639 ~oSOCIETE ANOMYNE DE GERANCE & D'ARMENENT ............................. 486,752 238,100 oSWIFT TRANSPORTATION CO, INC ............ 7,023,950 61,700 TRANSPORTATION DEVELOPMENT GROUP PLC ............................... 178,162 52,000 oTRANSPORT MARITIMA MEXICO SERIES L ................................ 319,014 8,300 TRENCOR LTD ............................. 34,770 236,000 USFREIGHTWAYS CORP ...................... 6,106,500 466,250 WERNER ENTERPRISES, INC ................. 9,033,593 9,500 XTRA CORP ............................... 417,406 1,191,006 YAMATO TRANSPORT CO LTD ................. 14,883,728 190,900 oYELLOW CORP ............................. 4,271,387 ------------- 242,614,231 ------------- UTILITIES--ELECTRIC--3.10% 466,800 oAES CORP ................................ 33,026,100 821,700 ALLEGHENY POWER SYSTEMS, INC ............ 21,929,118 1,269,997 AMERICAN ELECTRIC POWER CO, INC ......... 53,339,874 335,500 ATLANTIC ENERGY, INC .................... 5,640,593 474,000 AUSTRALIA GAS LIGHT CO .................. 2,769,942 1,594,624 BALTIMORE GAS & ELECTRIC CO ............. 42,556,528 395,350 BLACK HILLS CORP ........................ 11,267,475 349,986 BOSTON EDISON CO ........................ 9,230,880 1,097,536 CAROLINA POWER & LIGHT CO ............... 39,374,104 1,694,859 CENTERIOR ENERGY CORP ................... 18,961,235 1,883,600 CENTRAL & SOUTH WEST CORP ............... 40,026,500 94,600 CENTRAL HUDSON GAS & ELECTRIC CORP ...... 3,257,787 661,764 oCENTRAL LOUISIANA ELECTRIC, INC ......... 18,612,112 145,938 CENTRAL MAINE POWER CO .................. 1,805,982 280,700 CHILECTRA S.A. ADR ...................... 8,189,600 860,400 CHINA LIGHT & POWER CO LTD .............. 4,875,439 4,268,702 CIA PAULISTA DE FORCA & LUZ ............. 717,662 1,666,598 CINERGY CORP ............................ 58,018,442 300,309 CIPSCO, INC ............................. 10,980,047 425,237 oCITIZENS UTILITIES CO (CLASS B) ......... 3,401,896 1,798,400 CMS ENERGY CORP ......................... 63,393,600 2,205,000 CONSOLIDATED EDISON CO OF NEW YORK, INC .......................... 64,909,687 548,800 DELMARVA POWER & LIGHT CO ............... 10,461,500 1,557,800 DOMINION RESOURCES, INC ................. 57,054,425 629,550 DPL, INC ................................ 15,502,668 733,293 DQE, INC ................................ 20,715,527 1,173,818 DTE ENERGY CO ........................... 32,426,722 2,391,498 DUKE ENERGY CORP ........................ 114,642,435 214,000 EASTERN UTILITIES ASSOCIATION CO ........ 3,905,500 7,857,410 EDISON INTERNATIONAL CO ................. 195,453,073 889,000 EDISON .................................. 4,419,699 42,714 oEL PASO ELECTRIC CO ..................... 301,667 77,251 ELECTRABEL NV ........................... 16,567,354 2,000 oELECTRABEL S.A. STRIP (VVPR) ............ 1,335 9,977,766 ELECTROBRAS S.A ......................... 5,579,244 414,840 EMPRESA NACIONAL DE ELECTRIDAD S.A. ........................ 34,889,549 494,000 EMPRESA NACIONAL DE ELECTRIDAD S.A. ADR .................... 11,145,875 1,485,000 ENERGY GROUP PLC ........................ 15,842,222 150,000 ENERSIS S.A. ADR ........................ 5,334,375 706,090 ENOVA CORP .............................. 16,990,290 2,125,704 ENTERGY CORP ............................ 58,191,147 787,139 FLORIDA PROGRESS CORP ................... 24,647,289 1,194,848 FPL GROUP, INC .......................... 55,037,686 1,040,000 GPU, INC ................................ 37,310,000 382,491 HAWAIIAN ELECTRIC INDUSTRIES, INC ....... 14,773,714 4,700,025 HONG KONG ELECTRIC CO LTD ............... 18,927,951 1,673,600 HOUSTON INDUSTRIES, INC ................. 35,877,800 1,452,397 IBERDROLA S.A ........................... 18,367,215 970,400 IDAHO POWER CO .......................... 30,446,300 14,500 IES INDUSTRIES, INC ..................... 427,750 776,552 ILLINOVA CORP ........................... 17,084,144 504,400 IPALCO ENTERPRISES, INC ................. 15,762,500 1,209,114 KANSAI ELECTRIC POWER CO, INC ........... 23,351,848 582,834 KANSAS CITY POWER & LIGHT CO ............ 16,647,196 137,000 KOREA ELECTRIC POWER CORP ............... 4,087,943 27,700 KU ENERGY CORP .......................... 945,262 1,370,000 LIGHT SERVICOS DE ELETRICIDADE S.A ...... 681,742 1,222,400 LONG ISLAND LIGHTING CO ................. 28,115,200 666,400 LOUISVILLE GAS & ELECTRIC ENERGY CORP ............................. 14,702,450 76,232 MANILA ELECTRIC CO SERIES B ............. 375,723 454,400 MIDAMERICAN ENERGY HOLDINGS CO .......... 7,866,800 405,402 MINNESOTA POWER & LIGHT CO .............. 12,314,085 473,886 MONTANA POWER CO ........................ 10,988,231 686,795 NATIONAL GRID GROUP PLC ................. 2,508,957 3,862,900 NATIONAL POWER PLC ...................... 33,559,507 1,786,900 NEVADA POWER CO ......................... 37,971,625 625,143 NEW ENGLAND ELECTRIC SYSTEMS CO ......... 23,130,291 448,086 NEW YORK STATE ELECTRIC & GAS CORP ...... 9,353,795 1,855,400 oNIAGARA MOHAWK POWER CORP ............... 15,886,862 638,579 NIPSCO INDUSTRIES, INC .................. 26,381,294 868,800 NORTHEAST UTILITIES CO .................. 8,307,900 527,300 NORTHERN STATES POWER CO ................ 27,287,775 833,729 OGE ENERGY CORP ......................... 37,934,669 926,392 OHIO EDISON CO .......................... 20,206,925 See notes to financial statements. -45- SHARES VALUE ------ ----- UTILITIES--ELECTRIC--(CONTINUED) 12,000 OESTERREICHISCHE ELEKTRIZITAETSWIRSCHAFTS AG. ........... $ 845,359 2,067,500 PACIFICORP .............................. 45,485,000 2,120,200 PECO ENERGY CO .......................... 44,524,200 4,239,640 PG&E CORP ............................... 102,811,270 1,106,100 PINNACLE WEST CAPITAL CORP .............. 33,252,131 545,500 PORTLAND GENERAL CORP ................... 21,649,531 634,700 POTOMAC ELECTRIC POWER CO ............... 14,677,437 1,450,000 POWERGEN PLC ............................ 17,254,630 1,860,072 PP&L RESOURCES, INC ..................... 37,085,185 1,459,592 PUBLIC SERVICE CO OF COLORADO ........... 60,573,068 560,662 PUBLIC SERVICE CO OF NEW MEXICO ......... 10,021,833 2,294,746 PUBLIC SERVICE ENTERPRISE GROUP, INC .... 57,368,650 1,608,031 PUGET SOUND ENERGY, INC ................. 42,612,821 550,920 oRHEIN-WESTFALEN ELECTRIC AG. (STAMM) ................... 23,711,114 165,600 ROCHESTER GAS & ELECTRIC CORP ........... 3,487,950 679,000 SCANA CORP .............................. 16,847,687 466,201 SCOTTISH POWER PLC ...................... 3,033,762 20,188 SEVILLANA DE ELECTRICIDAD S.A ........... 208,632 186,346 SHUN TAK ENTERPRISES CORP LTD ........... 114,251 604,300 SIERRA PACIFIC RESOURCES ................ 19,337,600 4,699,962 SOUTHERN CO ............................. 102,811,668 103,015 SOUTHERN ELECTRIC PLC ................... 760,371 436,283 SOUTHWESTERN PUBLIC SERVICE CO .......... 17,151,375 947,252 TECO ENERGY, INC ........................ 24,214,129 5,200,000 TENAGA NASIONAL BERHAD .................. 25,340,760 2,407,807 TEXAS UTILITIES CO ...................... 82,918,853 916,903 TOHOKU ELECTRIC POWER CO, INC ........... 16,346,143 1,696,574 TOKYO ELECTRIC POWER CO, INC ............ 35,731,528 19,638 TRACTEBEL NV ............................ 8,193,759 6,138 oTRACTEBEL NV PUT WTS 11/15/1999 ......... 65,903 204,000 TRANSALTA CORP .......................... 2,432,444 262,220 oTUCSON ELECTRIC POWER CO ................ 3,802,190 2,358,070 UNICOM CORP ............................. 52,467,057 712,000 UNION ELECTRIC CO ....................... 26,833,500 100,000 UNION ELECTRICA FENOSA S.A .............. 911,066 76,100 UNITED ILLUMINATING CO .................. 2,349,587 4,800 UNITED WATER RESOURCES, INC ............. 93,000 333,172 UTILICORP UNITED, INC ................... 9,703,634 931,230 VEBA AG ................................. 52,370,317 50,846 oVIAG AG ................................. 23,138,337 878,600 WASHINGTON WATER POWER CO ............... 17,242,525 556,229 WESTERN RESOURCES, INC .................. 18,042,678 928,481 WISCONSIN ENERGY CORP ................... 23,095,964 164,000 WPL HOLDINGS, INC ....................... 4,581,750 591,500 WPS RESOURCES CORP ...................... 15,822,625 ----------- 2,888,300,913 ------------- UTILITIES--GAS & PIPELINE--0.87% 238,900 AGL RESOURCES, INC ...................... 4,927,312 472,400 oAMERICAN STANDARD COS, INC .............. 21,139,900 191,600 AMERICAN WATER WORKS CO, INC ............ 4,095,450 322,825 ATMOS ENERGY CORP ....................... 7,747,800 9,825,400 BG PLC .................................. 36,138,833 154,900 oBLACK BOX CORP .......................... 6,234,725 441,250 BROOKLYN UNION GAS CO ................... 12,630,781 436,800 CABOT OIL & GAS CORP (CLASS A) .......... 7,698,600 353,700 oCALENERGY, INC .......................... 13,440,600 1,770,400 oCENTRICA PLC ............................ 2,158,294 892,137 COASTAL CORP ............................ 47,450,536 576,600 COLUMBIA GAS SYSTEMS, INC ............... 37,623,150 678,600 CONSOLIDATED NATURAL GAS CO ............. 36,517,162 337,038 EASTERN ENTERPRISES CO .................. 11,691,005 316,902 EL PASO NATURAL GAS CO .................. 17,429,610 6,287 oENERGIA E INDUSTRIAS ARAGONESAS S.A ..... 45,310 1,667,000 ENRON CORP .............................. 68,034,437 638,200 ENSERCH CORP ............................ 14,199,950 427,875 EQUITABLE RESOURCES, INC ................ 12,140,953 65,041 GAS NATURAL SDG S.A ..................... 14,234,860 6,687,123 HONG KONG & CHINA GAS CO LTD ............ 13,378,883 117,161 oHONG KONG & CHINA GAS WTS 11/30/97 ...... 125,519 18,200 INDIANA ENERGY, INC ..................... 444,762 232,700 oIONICS, INC ............................. 10,587,850 140,096 IPL ENERGY, INC ......................... 4,675,112 520,000 ITALGAS S.P.A ........................... 1,681,680 693,176 MCN ENERGY GROUP, INC ................... 21,228,515 292,800 NATIONAL FUEL GAS CO .................... 12,279,300 71,400 NEW JERSEY RESOURCES CORP ............... 2,240,175 773,600 NGC CORP ................................ 11,942,450 423,140 NICOR, INC .............................. 15,180,147 750,568 NORAM ENERGY CORP ....................... 11,446,162 37,000 NORTHWEST NATURAL GAS CO ................ 968,937 174,062 ONEOK, INC .............................. 5,602,620 1,754,925 OSAKA GAS CO LTD ........................ 5,045,639 832,640 PACIFIC ENTERPRISES, INC ................ 27,997,520 387,715 PEOPLES ENERGY CORP ..................... 14,515,080 28,600 PIEDMONT NATURAL GAS CO, INC ............ 734,662 9,000 PRIMAGAZ ................................ 797,139 337,056 oPRIMARK CORP ............................ 8,974,116 499,340 QUESTAR CORP ............................ 20,160,852 505,800 SONAT, INC .............................. 25,922,250 30,500 SOUTHWESTERN ENERGY CO .................. 396,500 1,673,188 TENNECO, INC ............................ 75,607,182 1,840,766 TOKYO GAS CO LTD ........................ 5,115,492 258,600 TRANS CANADA PIPELINES LTD .............. 5,201,617 15,000 TRANS CANADA PIPELINES LTD (U.S.) ....... 301,875 133,000 TRANSPORTADORA DE GAS DEL SUR S.A SERIES B ............................... 321,892 18,800 oTRIARC COS, INC ......................... 383,050 324 UGI CORP ................................ 7,168 352,900 VALERO ENERGY CORP ...................... 12,792,625 735,600 WASHINGTON GAS LIGHT CO ................. 18,481,950 116,384 WESTCOAST ENERGY, INC ................... 2,134,325 90,500 WESTERN GAS RESOURCES, INC .............. 1,764,750 3,600 WICOR, INC .............................. 140,175 1,853,747 WILLIAMS COS, INC ....................... 81,101,431 505,300 YANKEE ENERGY SYSTEMS, INC .............. 12,379,850 ------------- 807,638,520 ------------- UTILITIES--OTHER--0.07% 109,000 ANGLIAN WATER PLC ....................... 1,181,877 461,932 oAUTOPISTAS CONCESIONARIA ESPANOLA S.A. .......................... 6,281,351 116,000 oBILLING INFORMATION CONCEPTS CORP ....... 4,045,500 48,973 oCOMPAGNIE GENERALE DES EAUX ............. 6,281,166 48,973 oCOMPAGNIE GENERALE DES EAUX WTS 05/02/01 ............................ 29,362 558,128 HYDER PLC ............................... 7,547,251 22,224 LYONNAISE DES EAUX S.A .................. 2,240,951 196,805 oTHAMES WATER PLC ........................ 2,271,507 3,503,727 UNITED UTILITIES PLC .................... 38,515,425 ------------- 68,394,390 ------------- UTILITIES--TELEPHONE--5.62% 89,900 oADTRAN, INC ............................. 2,225,025 564,400 ALIANT COMMUNICATIONS, INC .............. 11,005,800 2,080,274 ALLTEL CORP ............................. 69,559,161 131,300 oAMERICAN MOBILE SATELLITE CORP .......... 1,345,825 6,399,148 AMERITECH CORP .......................... 434,742,117 17,449,803 AT & T CORP ............................. 611,833,717 822,200 BCE, INC ................................ 22,885,248 42 BCE, INC (U.S.) ......................... 1,176 See notes to financial statements. -46- SHARES VALUE ------ ----- UTILITIES--TELEPHONE--(CONTINUED) 4,006,244 BELL ATLANTIC CORP ...................... $303,973,763 8,791,610 BELLSOUTH CORP .......................... 407,710,913 12,667,410 oBRITISH TELECOMMUNICATIONS PLC .......... 94,027,372 36,500 oC-TEC CORP .............................. 1,272,937 620,337 oCABLE & WIRELESS COMMUNICATIONS PLC ..................... 3,288,279 10,938,038 CABLE & WIRELESS PLC .................... 100,578,075 321,900 CABLE & WIRELESS PLC ADR ................ 8,993,081 1,136,000 CIA DE TELECOMMUNICACIONES CHILE ADR .............................. 37,488,000 737,600 CINCINNATI BELL, INC .................... 23,234,400 15,500 oCOMMNET CELLULAR, INC ................... 538,625 285,883 oCORECOMM, INC ........................... 4,931,481 306 DDI CORP ................................ 2,262,317 3,725,000 DEUTSCHE TELEKOM AG ..................... 89,779,614 1,997,000 FRONTIER CORP ........................... 39,815,187 521,337 oGLENAYRE TECHNOLOGIES, INC .............. 8,536,893 2,650 GN STORE NORD AS--GN GREAT NORDIC ....... 281,758 8,849,212 GTE CORP ................................ 388,259,176 4,719,669 HONG KONG TELECOMMUNICATIONS LTD ........ 11,270,213 945,230 KONINKLIJKE PTT NEDERLAND NV ............ 37,147,276 4,924,500 MCI COMMUNICATIONS CORP ................. 188,516,015 582,400 oMOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP ...................... 8,335,600 95,000 xoMOBILEMEDIA CORP ........................ 26,600 1,301,100 oNEXTEL COMMUNICATIONS, INC (CLASS A) ............................... 24,639,581 12,861 NIPPON TELEGRAPH & TELEPHONE CORP ....... 123,631,506 3,763,344 NYNEX CORP .............................. 216,862,698 129,000 PHILIPPINE LONG DISTANCE TELEPHONE CO ADR ................................. 8,288,250 204,000 PORTUGAL TELECOM S.A .................... 8,239,947 2,082,600 oPRICELLULAR CORP (CLASS A) .............. 18,743,400 475,000 PT INDONESIAN SATELLITE CORP ADR ........ 14,220,312 11,947,426 SBC COMMUNICATIONS, INC ................. 739,246,983 2,400,000 oSINGAPORE TELECOMMUNICATIONS LTD ........ 4,431,392 597 SK TELECOM CO ........................... 307,205 590,900 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP ................ 22,971,237 2,948,219 SPRINT CORP ............................. 155,150,024 910,000 STET-SOCIETA FINANSIARIA TELEFONICA ..... 4,474,092 276,000 oTECHNOLOGY RESOURCES INDUSTRIES BERHAD ...................... 474,580 205,900 TELE DANMARK AS (CLASS B) ............... 10,713,147 1,680,000 TELEBRAS S.A ............................ 227,828 490,000 oTELEC DE SAO PAULO S.A .................. 144,505 50,000 oTELECEL-COMUNICACAOES PESSOAIS .......... 4,152,970 10,954,160 TELECOM CORP OF NEW ZEALAND ............. 55,685,472 20,780,026 TELECOM ITALIA MOBILE S.P.A ............. 59,717,070 15,565,026 TELECOM ITALIA S.P.A .................... 46,584,877 4,225,000 TELECOM ITALIA S.P.A. DI RISP ........... 8,359,669 1,505,441 TELEFONICA DE ARGENTINA S.A ............. (CLASS B) ............................... 5,194,290 2,297,959 TELEFONICA DE ESPANA S.A ................ 66,557,487 2,610,000 TELEFONOS DE MEXICO S.A. SERIES L ....... 6,240,769 2,788,500 TELEKOM MALAYSIA BERHAD ................. 13,036,584 315,974 TELEPHONE & DATA SYSTEMS, INC ........... 11,987,263 115,700 TELUS CORP .............................. 2,125,975 116,000 oU.S. LONG DISTANCE CORP ................. 2,001,000 4,286,146 U.S. WEST COMMUNICATIONS GROUP, INC ............................. 161,534,807 3,581,146 oU.S. WEST MEDIA GROUP, INC .............. 72,518,206 1,290,110 VODAFONE GROUP PLC ...................... 6,280,355 13,794,719 oWORLDCOM, INC ........................... 441,431,008 ------------- 5,230,040,133 ------------- TOTAL COMMON STOCK (Cost $49,000,290,077) ................... 89,419,459,137 -------------- PRINCIPAL --------- SHORT TERM INVESTMENTS--6.55% BANK NOTES--0.21% BANK OF AMERICA $25,000,000 5.720%, 08/01/97 ..................... 24,999,910 20,000,000 5.860%, 09/26/97 ..................... 19,994,818 25,000,000 5.850%, 11/03/97 ..................... 25,003,850 BANK ONE OF COLUMBUS, N.A. 20,000,000 5.690%, 10/28/97 ..................... 19,984,226 FCC NATIONAL BANK 37,000,000 5.500%, 07/01/97 ..................... 36,998,790 20,000,000 5.900%, 10/17/97 ..................... 20,007,244 25,000,000 5.880%, 11/05/97 ..................... 25,006,742 13,000,000 5.870%, 11/10/97 ..................... 13,003,350 HUNTINGTON NATIONAL BANK 13,000,000 5.740%, 09/02/97 ..................... 12,998,853 ------------- 197,997,783 ------------- BANKERS ACCEPTANCES--0.11% BANK OF MONTREAL 10,000,000 5.540%, 08/27/97 ..................... 9,909,778 10,000,000 5.570%, 09/15/97 ..................... 9,880,222 NATIONS BANK OF TEXAS 5,000,000 5.570%, 11/24/97 ..................... 4,885,258 NATIONSBANK SOUTH 5,000,000 5.560%, 07/08/97 ..................... 4,993,922 5,000,000 5.450%, 09/09/97 ..................... 4,944,975 5,000,000 * 5.670%, 10/06/97 ..................... 4,923,641 NATIONSBANK, NA 25,000,000 5.580%, 07/07/97 ..................... 24,973,652 8,000,000 5.520%, 07/21/97 ..................... 7,974,006 REPUBLIC NATIONAL BANK OF NEW YORK 30,000,000 5.320%, 07/10/97 ..................... 29,954,418 ------------- 102,439,872 ------------- CERTIFICATES OF DEPOSIT--0.46% ABN AMRO BANK N.V. 20,000,000 5.650%, 12/23/97 ..................... 19,972,312 17,000,000 5.890%, 03/06/98 ..................... 16,986,219 DEUTSCHE BANK 25,000,000 5.680%, 07/01/97 ..................... 24,999,387 MORGAN GUARANTY TRUST CO 50,000,000 5.770%, 02/03/98 ..................... 49,930,325 NATIONAL WESTMINSTER BANK PLC 42,500,000 5.890%, 10/02/97 ..................... 42,513,230 RABOBANK 15,000,000 5.500%, 12/05/97 ..................... 14,970,948 REGIONS BANK (ALABAMA) 15,000,000 5.800%, 08/22/97 ..................... 15,002,412 ROYAL BANK OF CANADA 25,000,000 5.960%, 09/26/97 ..................... 25,002,437 25,000,000 5.580%, 12/11/97 ..................... 24,958,967 12,500,000 5.770%, 01/27/98 ..................... 12,483,380 25,000,000 6.050%, 06/10/98 ..................... 24,990,852 SOCIETE GENERALE 40,000,000 5.920%, 09/17/97 ..................... 39,999,464 15,000,000 5.560%, 11/20/97 ..................... 14,978,650 WESTDEUTSCHE LANDESBANK 100,000,000 5.550%, 07/08/97 ..................... 99,997,530 ------------- 426,786,113 ------------- See notes to financial statements. -47- PRINCIPAL VALUE --------- ----- COMMERCIAL PAPER--3.73% AIR PRODUCTS & CHEMICALS, INC 23,500,000 5.520%, 08/12/97 ...................... $ 23,343,372 20,000,000 5.450%, 10/06/97 ...................... 19,694,022 AIRTOUCH COMMUNICATIONS, INC 16,000,000 # 5.700%, 07/14/97 ...................... 15,964,284 5,000,000 # 5.750%, 07/17/97 ...................... 4,986,589 AMERICAN EXPRESS CREDIT CORP 23,000,000 5.280%, 07/07/97 ...................... 22,975,716 AMERICAN HOME PRODUCTS CORP 15,000,000 # 5.600%, 07/14/97 ...................... 14,966,808 30,000,000 # 5.620%, 07/21/97 ...................... 29,901,474 30,000,000 # 5.620%, 07/22/97 ...................... 29,896,782 AMRO NORTH AMERICA FINANCE, INC 30,000,000 5.330%, 07/09/97 ...................... 29,957,850 4,000,000 5.360%, 07/09/97 ...................... 3,994,380 ARIZONA PUBLIC SERVICE CO 10,475,000 5.800%, 07/10/97 ...................... 10,458,298 5,300,000 5.950%, 07/22/97 ...................... 5,281,603 11,581,000 5.900%, 07/29/97 ...................... 11,528,009 ASSET SECURITIZATION COOPERATIVE CORP 50,000,000 # 5.520%, 07/17/97 ...................... 49,868,250 50,000,000 # 5.530%, 07/18/97 ...................... 49,860,500 ASSOCIATES CORP OF NORTH AMERICA 25,000,000 6.200%, 07/01/97 ...................... 24,995,485 50,000,000 5.540%, 07/22/97 ...................... 49,829,500 25,000,000 5.540%, 07/28/97 ...................... 24,891,500 B.B.V. FINANCE (DELAWARE), INC 25,000,000 5.360%, 07/23/97 ...................... 24,910,875 25,000,000 5.350%, 07/29/97 ...................... 24,887,625 BANKERS TRUST NEW YORK CORP 25,000,000 5.370%, 07/07/97 ...................... 24,973,605 20,000,000 5.400%, 07/29/97 ...................... 19,910,100 16,500,000 5.620%, 08/12/97 ...................... 16,390,027 BELL ATLANTIC FINANCIAL SERVICES, INC 20,000,000 5.530%, 07/02/97 ...................... 19,993,966 BETA FINANCE, INC 11,000,000 # 5.570%, 09/23/97 ...................... 10,854,555 15,000,000 5.750%, 11/10/97 ...................... 14,687,449 21,000,000 # 5.640%, 12/12/97 ...................... 20,457,150 BURLINGTON NORTHERN SANTA FE 23,000,000 5.740%, 07/01/97 ...................... 22,995,655 10,000,000 5.710%, 07/01/97 ...................... 9,998,111 7,000,000 # 5.750%, 07/08/97 ...................... 6,991,070 35,000,000 # 5.710%, 07/21/97 ...................... 34,884,034 CADES 25,000,000 5.550%, 11/18/97 ...................... 24,447,750 50,000,000 5.625%, 12/09/97 ...................... 48,731,000 CAMPBELL SOUP CO 25,000,000 # 5.370%, 07/14/97 ...................... 24,945,360 26,000,000 5.570%, 07/22/97 ...................... 25,911,340 25,000,000 # 5.420%, 08/25/97 ...................... 24,783,000 CANADIAN IMPERIAL HOLDINGS, INC 50,000,000 5.576%, 07/14/97 ...................... 49,890,720 30,000,000 5.600%, 07/17/97 ...................... 29,920,950 CATERPILLAR FINANCIAL SERVICES CORP 22,000,000 5.580%, 09/22/97 ...................... 21,712,532 25,000,000 # 5.600%, 10/02/97 ...................... 24,633,140 CIESCO LP 25,000,000 5.570%, 07/14/97 ...................... 24,945,360 15,000,000 # 5.570%, 07/17/97 ...................... 14,960,475 25,000,000 5.570%, 07/25/97 ...................... 24,903,125 35,000,000 5.560%, 08/01/97 ...................... 34,826,400 COCA COLA ENTERPRISE 25,000,000 # 5.630%, 07/07/97 ...................... 24,973,312 29,000,000 # 5.650%, 07/15/97 ...................... 28,931,971 20,000,000 # 5.660%, 07/28/97 ...................... 19,912,422 COLUMBIA/HCA HEALTHCARE CORP 27,000,000 # 5.700%, 07/01/97 ...................... 26,994,937 20,000,000 # 5.580%, 08/21/97 ...................... 19,837,356 28,000,000 5.820%, 08/29/97 ...................... 27,737,267 COMMERCIAL CREDIT CO 25,000,000 5.610%, 07/08/97 ...................... 24,968,777 CONAGRA, INC 7,000,000 5.720%, 07/07/97 ...................... 6,992,459 50,000,000 5.740%, 07/30/97 ...................... 49,763,335 18,000,000 5.720%, 08/22/97 ...................... 17,849,480 CORPORATE ASSET FUNDING CORP, INC 18,000,000 5.550%, 07/08/97 ...................... 17,977,519 50,000,000 # 5.550%, 08/04/97 ...................... 49,728,750 30,000,000 # 5.550%, 08/12/97 ...................... 29,800,050 COX COMMUNICATIONS, INC 10,000,000 5.800%, 07/11/97 ...................... 9,982,461 19,000,000 5.760%, 07/16/97 ...................... 18,952,036 20,500,000 5.780%, 07/21/97 ...................... 20,432,077 CROWN CORK & SEAL CO, INC 7,000,000 5.770%, 07/08/97 ...................... 6,991,070 5,000,000 5.770%, 07/09/97 ...................... 4,992,825 26,000,000 5.730%, 07/14/97 ...................... 25,941,962 8,900,000 5.760%, 07/15/97 ...................... 8,878,936 10,000,000 5.800%, 08/04/97 ...................... 9,944,778 15,000,000 5.800%, 08/08/97 ...................... 14,907,700 CSX CORP 40,000,000 5.720%, 07/14/97 ...................... 39,910,712 25,000,000 # 5.730%, 07/21/97 ...................... 24,917,167 10,000,000 5.800%, 07/24/97 ...................... 9,962,133 DAYTON HUDSON CORP 50,000,000 5.720%, 07/09/97 ...................... 49,928,250 25,000,000 5.740%, 07/25/97 ...................... 24,901,390 DETROIT EDISON CO 31,000,000 6.550%, 07/01/97 ...................... 30,994,144 DUPONT (E.I.) DE NEMOURS & CO 25,000,000 5.570%, 08/18/97 ...................... 24,810,125 26,000,000 # 5.560%, 09/16/97 ...................... 25,684,534 50,000,000 5.650%, 11/04/97 ...................... 49,005,165 EASTMAN CHEMICAL CO 20,000,000 5.700%, 07/17/97 ...................... 19,946,356 FEDERAL EXPRESS CORP 5,355,000 5.850%, 07/09/97 ...................... 5,347,315 FORD MOTOR CREDIT CO 14,000,000 5.540%, 07/07/97 ...................... 13,985,218 21,000,000 5.350%, 10/03/97 ...................... 20,688,557 44,000,000 5.700%, 11/05/97 ...................... 43,117,654 GENERAL ELECTRIC CAPITAL CORP 50,000,000 5.690%, 11/17/97 ...................... 48,903,335 25,000,000 5.750%, 12/31/97 ...................... 24,271,667 GENERAL MOTORS ACCEPTANCE CORP 30,000,000 5.410%, 07/30/97 ...................... 29,860,500 26,000,000 5.400%, 08/04/97 ...................... 25,858,950 24,000,000 5.730%, 11/17/97 ...................... 23,473,600 21,000,000 5.700%, 12/08/97 ...................... 20,470,310 GENERAL SIGNAL CORP 9,894,000 5.620%, 07/22/97 ...................... 9,859,958 16,800,000 # 5.620%, 07/23/97 ...................... 16,739,572 GOLDMAN SACHS GROUP, LP 20,000,000 5.350%, 07/25/97 ...................... 19,922,500 11,000,000 5.610%, 10/06/97 ...................... 10,831,712 20,000,000 5.820%, 11/17/97 ...................... 19,561,334 25,000,000 5.680%, 12/02/97 ...................... 24,392,917 See notes to financial statements. -48- PRINCIPAL VALUE --------- ----- HEINZ (H.J.) CO $25,000,000 5.550%, 12/17/97 ..................... $ 24,334,167 HOUSEHOLD FINANCE CORP 50,000,000 5.540%, 07/21/97 ...................... 49,837,250 HOUSTON LIGHTING & POWER CO 10,000,000 5.730%, 07/02/97 ...................... 9,996,922 IBM CREDIT CORP 22,000,000 5.750%, 07/03/97 ...................... 21,990,045 27,500,000 5.540%, 08/01/97 ...................... 27,363,600 J.P. MORGAN & CO 12,000,000 5.500%, 07/21/97 ...................... 11,960,940 20,000,000 5.410%, 09/09/97 ...................... 19,779,900 LOCKHEED MARTIN 10,000,000 5.750%, 08/19/97 ...................... 9,921,111 MCCORMICK & CO, INC 10,000,000 5.320%, 08/07/97 ...................... 9,941,100 15,000,000 5.560%, 09/09/97 ...................... 14,834,925 MCI COMMUNICATIONS CORP 15,000,000 # 5.640%, 10/17/97 ...................... 14,744,758 13,000,000 # 5.650%, 10/28/97 ...................... 12,756,467 10,000,000 5.630%, 11/10/97 ...................... 9,791,633 26,000,000 # 5.560%, 11/20/97 ...................... 25,417,514 MERRILL LYNCH & CO, INC 60,000,000 6.200%, 07/01/97 ...................... 59,989,164 15,000,000 5.640%, 08/18/97 ...................... 14,886,075 25,000,000 5.610%, 08/28/97 ...................... 24,771,375 NATIONAL RURAL UTILITIES COOP FINANCE 50,000,000 # 5.560%, 07/18/97 ...................... 49,860,500 18,000,000 # 5.600%, 07/18/97 ...................... 17,949,780 NATIONSBANK CORP 10,000,000 5.610%, 07/09/97 ...................... 9,985,950 25,000,000 5.590%, 09/08/97 ...................... 24,728,750 NORFOLK SOUTHERN CORP 30,030,000 5.730%, 07/10/97 ...................... 29,982,120 20,000,000 5.770%, 07/21/97 ...................... 19,933,734 NYNEX CORP 24,500,000 5.500%, 07/01/97 ...................... 24,495,575 25,000,000 5.520%, 07/03/97 ...................... 24,988,687 48,800,000 5.560%, 07/25/97 ...................... 48,610,900 PACIFIC BELL 60,750,000 6.150%, 07/01/97 ...................... 60,739,028 PHILIP MORRIS COS, INC 50,000,000 5.560%, 07/01/97 ...................... 49,990,970 POTLATCH CORP 5,750,000 5.770%, 07/10/97 ...................... 5,740,832 PRAXAIR, INC 15,000,000 # 5.750%, 08/04/97 ...................... 14,917,167 20,000,000 5.780%, 08/05/97 ...................... 19,886,400 25,000,000 5.780%, 08/08/97 ...................... 24,846,167 15,000,000 5.760%, 08/11/97 ...................... 14,900,599 PUBLIC SERVICE CO OF COLORADO 14,000,000 5.820%, 07/08/97 ...................... 13,982,141 SCHERING CORP 15,900,000 5.330%, 07/22/97 ...................... 15,845,781 22,435,000 5.690%, 10/21/97 ...................... 22,039,233 SEARS ROEBUCK ACCEPTANCE CORP 50,000,000 6.200%, 07/01/97 ...................... 49,990,970 #SONAT INC 30,000,000 5.750%, 07/18/97 ...................... 29,914,800 #SOUTHERN CALIFORNIA GAS CO 9,321,000 5.610%, 07/07/97 ...................... 9,311,158 TEXAS UTILITIES CO 55,000,000 # 5.750%, 07/11/97 ...................... 54,903,535 20,000,000 5.780%, 07/17/97 ...................... 19,946,356 TEXTRON INC 10,000,000 5.750%, 07/11/97 ...................... 9,982,461 TORONTO DOMINION HOLDINGS (U.S.) 20,000,000 5.340%, 07/08/97 ...................... 19,975,022 30,000,000 5.260%, 08/12/97 ...................... 29,800,050 US WEST CAPITAL FUNDING CORP, INC 10,000,000 5.780%, 07/01/97 ...................... 9,998,111 20,000,000 # 5.850%, 07/09/97 ....................... 19,971,300 5,000,000 5.750%, 07/21/97 ....................... 4,983,433 WALT DISNEY CO 30,000,000 5.310%, 10/14/97 ...................... 29,503,566 30,000,000 5.340%, 10/21/97 ...................... 29,470,782 WHIRLPOOL FINANCE 19,000,000 5.800%, 07/18/97 ...................... 18,946,040 30,000,000 5.760%, 08/08/97 ...................... 29,815,401 XEROX CORP 29,000,000 5.630%, 12/02/97 ...................... 28,295,784 XEROX CREDIT CORP 25,000,000 5.570%, 07/24/97 ...................... 24,907,000 25,000,000 5.500%, 07/24/97 ...................... 24,907,000 ------------- 3,473,140,380 ------------- MEDIUM TERM NOTES--0.13% ABBEY NATIONAL TREASURY SERVICES 20,000,000 5.500%, 11/21/97 ...................... 19,966,000 BENEFICIAL CORP DEB 8,300,000 9.125%, 02/15/98 ...................... 8,460,190 CIT GROUP HOLDINGS, INC DEB 5,000,000 8.750%, 07/01/97 ...................... 5,006,000 FIRST NATIONAL BANK OF CHICAGO 14,340,000 6.830%, 09/08/97 ...................... 14,368,680 FORD MOTOR CREDIT CO (UNSUBORDINATED NOTE) 7,000,000 6.250%, 02/26/98 ...................... 7,013,300 INTL BUSINESS MACHINE CORP 50,000,000 5.670%, 01/28/98 ...................... 49,910,000 RABOBANK DEPOSIT NOTE 5,500,000 5.770%, 08/26/97 ...................... 5,500,000 XEROX CORP DEB 10,500,000 9.625%, 09/01/97 ...................... 10,576,650 ------------- 120,800,820 ------------- U.S. GOVERNMENT & AGENCIES--1.63% FEDERAL FARM CREDIT BANKS 25,000,000 5.450%, 03/03/98 ...................... 24,981,535 FEDERAL HOME LOAN BANKS 33,700,000 5.220%, 07/03/97 ...................... 33,684,693 22,220,000 5.250%, 07/10/97 ...................... 22,186,361 42,235,000 5.220%, 07/10/97 ...................... 42,171,060 9,000,000 5.275%, 07/15/97 ...................... 8,979,562 5,450,000 5.470%, 07/17/97 ...................... 5,435,973 16,000,000 5.510%, 07/31/97 ...................... 15,924,910 24,200,000 5.280%, 08/08/97 ...................... 24,057,118 24,000,000 6.000%, 09/24/97 ...................... 24,025,591 38,735,000 5.570%, 09/25/97 ...................... 38,224,829 10,000,000 5.160%, 10/08/97 ...................... 9,848,611 48,575,000 5.590%, 10/09/97 ...................... 47,832,273 30,000,000 5.310%, 10/15/97 ...................... 29,514,042 8,055,000 5.300%, 10/24/97 ...................... 7,913,545 7,490,000 5.300%, 10/28/97 ...................... 7,353,931 See notes to financial statements. -49- PRINCIPAL VALUE - --------- ----- U.S. GOVERNMENT & AGENCIES--(CONTINUED) $15,000,000 5.160%, 11/07/97 .......................$ 14,704,791 45,000,000 5.490%, 11/28/97 ....................... 43,961,877 71,000,000 5.480%, 12/05/97 ....................... 69,286,138 50,000,000 5.510%, 12/05/97 ....................... 48,793,055 50,000,000 5.490%, 12/05/97 ....................... 48,793,055 10,000,000 5.643%, 02/12/98 ....................... 10,004,870 9,740,000 5.575%, 02/20/98 ....................... 9,740,760 FEDERAL HOME LOAN MORTGAGE CORP 20,000,000 5.510%, 07/14/97 ....................... 19,957,612 28,937,000 5.470%, 07/15/97 ....................... 28,871,289 70,962,000 5.510%, 07/15/97 ....................... 70,800,859 21,612,000 5.470%, 07/21/97 ....................... 21,543,291 8,000,000 5.520%, 07/23/97 ....................... 7,972,144 13,000,000 5.500%, 07/25/97 ....................... 12,950,798 19,000,000 5.500%, 07/30/97 ....................... 18,913,707 28,000,000 5.530%, 08/07/97 ....................... 27,838,921 34,000,000 5.530%, 08/08/97 ....................... 33,799,257 5,000,000 5.470%, 09/02/97 ....................... 4,951,555 23,000,000 5.600%, 10/30/97 ....................... 22,575,203 FEDERAL NATIONAL MORTGAGE ASSOCIATION 5,000,000 * 5.160%, 07/30/97 ....................... 4,977,291 12,630,000 5.190%, 07/31/97 ....................... 12,570,726 7,000,000 5.530%, 08/11/97 ....................... 6,955,491 40,000,000 5.460%, 08/26/97 ....................... 39,654,832 9,000,000 5.490%, 09/04/97 ....................... 8,910,074 19,000,000 5.480%, 09/04/97 ....................... 18,810,157 18,250,000 5.470%, 09/05/97 ....................... 18,064,888 6,000,000 5.450%, 09/08/97 ....................... 5,936,416 9,000,000 5.430%, 09/08/97 ....................... 8,904,625 100,000,000 5.310%, 09/11/97 ....................... 98,894,860 50,000,000 5.470%, 09/12/97 ....................... 49,439,860 25,000,000 5.430%, 09/26/97 ....................... 24,666,945 22,000,000 5.450%, 09/29/97 ....................... 21,696,919 50,000,000 * 5.590%, 10/07/97 ....................... 49,250,625 50,000,000 5.590%, 10/14/97 ....................... 49,197,640 48,265,000 5.610%, 10/20/97 ....................... 47,446,637 35,000,000 5.610%, 10/30/97 ....................... 34,353,571 75,000,000 * 5.600%, 11/10/97 ....................... 73,489,897 43,910,000 5.160%, 11/19/97 ....................... 42,966,057 25,000,000 5.890%, 05/21/98 ....................... 25,060,492 INTERNATIONAL BANK FOR RECONSTRUCTION 19,800,000 5.430%, 09/22/97 ...................... 19,548,209 ------------- 1,518,389,428 ------------- VARIABLE RATE NOTES--0.28% ABN AMRO BANK N.V. 29,000,000 5.615%, 05/13/98 ........................ 28,994,200 BANC ONE COLUMBUS, N.A. 25,000,000 5.690%, 05/18/98 ........................ 25,007,500 BANKERS TRUST NEW YORK CORP 25,000,000 5.630%, 05/13/98 ........................ 25,037,500 BENEFICIAL CORP 20,000,000 5.856%, 07/14/97 ........................ 19,996,000 CORESTATES BANK NA/ PHILADELPHIA NTL B 25,000,000 5.630%, 07/28/97 ....................... 24,995,000 HOUSEHOLD FINANCE CORP 25,000,000 5.782%, 06/03/98 ....................... 24,995,000 KEY BANK OF NEW YORK 50,000,000 5.560%, 07/02/98 ....................... 49,970,000 MORGAN STANLEY GROUP, INC 25,000,000 5.762%, 05/18/98 ....................... 24,997,500 SEARS ROEBUCK ACCEPTANCE CORP 25,000,000 5.687%, 03/25/98 ....................... 25,000,000 SOCIETE GENERALE 13,000,000 5.590%, 07/01/98 ....................... 12,993,778 ------------ 261,986,478 ------------ TOTAL SHORT TERM INVESTMENTS (Cost $6,102,608,819) .................... $ 6,101,540,874 --------------- ROUNDING 1,432 --------------- TOTAL PORTFOLIO (Cost $55,269,514,978) ................... $95,786,207,255 =============== - ---------------- o Non-Income Producing + Affiliate holdings x In Bankruptcy * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. # Commercial Paper issued under the private placement exemption under Section 4(2) of the Securities Act of 1933, as amended. ~ Restricted Securities--Investment in securities not registered under the Securities Act of 1933 or not publicly traded in foreign markets. At 06/30/97, the value of these securities amounted to $20,081,599 or 0.02% of net assets. Additional information on each holdings is as follows: ACQUISITION ACQUISITION SECURITY DATE COST - -------- ----------- ----------- AMERICAN SATELLITE NETWORK WTS 06/30/99 01/12/94 $ 0 AMCOL HOLDINGS LTD (SINGAPORE) 05/24/93 207,511 ANTENA 3 DE TELEVISION GDS 12/12/96 5,982,300 CORIMON S.A. ADR 04/27/93 553,000 CRESTARAN INTERNATIONAL INVESTMENT BV 09/30/94 0 HEIZER CORP (LIQUIDATING TRUST) 11/19/91 0 INTERNATIONAL HYDRON (LIQUIDATING TRUST) 12/07/92 0 LAFARGE S.A. (REGD) 04/03/97 2,033,864 LAIR LIQUIDE (REGD) VARIOUS 4,377,677 MARTEK BIOSCIENCES CORP 05/22/95 6,178,150 MARTEK BIOSCIENCES CORP WTS 05/18/98 05/22/95 117,776 PREUSSAG AG. WTS 05/17/01 05/17/96 94,529 SOCIETE ANOMYNE DE GERANCE & D'ARMENENT 04/22/94 215,461 TAK WING INVESTMENT WTS 12/31/98 06/17/97 147 WESTFIELD TRUST (UNITS) NEW 02/28/97 306,336 WINDMERE CORP WTS 01/19/98 09/02/93 0 YORK RESEARCH CORP (CLASS C) WTS 09/30/98 11/05/96 14,848 ----------- $20,081,599 =========== See notes to financial statements. -50-
COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES -- STOCK ACCOUNT (UNAUDITED) JANUARY 1, 1997 -- JUNE 30, 1997 VALUE AT REALIZED DIVIDEND ISSUE DECEMBER 31, 1996 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME ----- ----------------- ------------- -------------- ----------- ------ ACMA LTD $ 35,680,364 -- $ 14,266,209 $ (1,231,682) -- AFFYMETRIX, INC 30,442,568 -- 9,273,591 4,773,591 -- CENTRAL LOUISIANA ELECTRIC, INC 31,336,805 $ 34,538 13,160,637 2,650,242 $ 885,355 FMC CORP NEW 166,004,598 3,367,794 7,769,017 1,351,389 -- GENERAL SIGNAL CORP 108,982,575 1,685,807 18,605,002 3,934,811 650,071 GENSET S.A 18,994,144 -- -- -- -- MALLINCKRODT, INC 181,572,168 3,906,799 6,723,476 2,791,234 1,333,809 PICCADILLY CAFETERIA ** 62,543 102,432 (15,660) -- SOUTH CHINA HOLDINGS LTD 8,199,788 -- -- -- 271,605 SOUTH CHINA INDUSTRIES LTD 7,401,472 -- -- -- 336,027 TPI ENTERPRISES, INC 103,781 -- -- -- -- ------------ ------------ ------------ ------------ ------------ TOTAL AFFILIATED TRANSACTIONS $588,718,263 $ 9,057,481 $ 69,900,364 $ 14,253,925 $ 3,476,867 ============ ============ ============ ============ ============
SHARES AT VALUE AT ISSUE JUNE 30, 1997 JUNE 30, 1997 ----- ------------- ------------- ACMA LTD * * AFFYMETRIX, INC 1,207,991 $ 41,977,687 CENTRAL LOUISIANA ELECTRIC, INC -- * FMC CORP NEW 2,294,367 182,258,778 GENERAL SIGNAL CORP -- * GENSET S.A 404,700 23,099,162 MALLINCKRODT, INC 4,046,750 153,776,500 PICCADILLY CAFETERIA * * SOUTH CHINA HOLDINGS LTD 32,360,000 8,353,863 SOUTH CHINA INDUSTRIES LTD 52,046,000 6,382,044 TPI ENTERPRISES, INC 1,107,000 154,980 ------------ TOTAL AFFILIATED TRANSACTIONS $416,003,014 ============
* Not an Affiliate as of June 30, 1997 ** Not an Affiliate as of December 31, 1996 See notes to financial statements. -51- [LOGO] CREF | COLLEGE RETIREMENT EQUITIES TRUST | 730 THIRD AVENUE | NEW YORK, NY 10017-3206 | 212/490-9000 Printed on recycled paper SEMI-ANNUAL REPORT ================================================================================ COLLEGE RETIREMENT EQUITIES FUND MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT BOND MARKET ACCOUNT GROWTH ACCOUNT SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT INFLATION-LINKED BOND ACCOUNT FINANCIAL STATEMENTS (UNAUDITED) INCLUDING STATEMENTS OF INVESTMENTS JUNE 30, 1997 - -------------------------------------------------------------------------------- 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 Money Market Account, Bond Market Account, Social Choice Account, Global Equities Account, Growth Account, Equity Index Account and Inflation-Linked Bond Account. CREF also provides a semi-annual report to participants in the Stock Account. Annual reports are also provided each year toward the end of February. - -------------------------------------------------------------------------------- CREF [LOGO] COLLEGE RETIREMENT EQUITIES FUND MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT BOND MARKET ACCOUNT GROWTH ACCOUNT SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT INFLATION-LINKED BOND ACCOUNT INDEX TO UNAUDITED FINANCIAL STATEMENTS JUNE 30, 1997 - -------------------------------------------------------------------------------- PAGE ---- Statements of Assets and Liabilities............................. 2 Statements of Operations......................................... 4 Statements of Changes in Net Assets.............................. 6 Notes to Financial Statements.................................... 8 Statements of Investments: Money Market Account........................................... 17 Bond Market Account............................................ 20 Social Choice Account.......................................... 24 Global Equities Account........................................ 31 Growth Account................................................. 47 Equity Index Account........................................... 60 Inflation-Linked Bond Account.................................. 78 -1- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 1997
MONEY MARKET BOND MARKET ACCOUNT ACCOUNT --------------- --------------- ASSETS Portfolio investments, at cost..................................... $4,001,503,185 $1,164,021,964 Net unrealized appreciation (depreciation) of portfolio investments (570,376) 1,008,849 -------------- -------------- Portfolio investments, at value.................................... 4,000,932,809 1,165,030,813 Cash............................................................... 4,634 11,185 Dividends and interest receivable.................................. 14,383,756 11,938,757 Receivable from securities transactions............................ 26,232,634 Amounts due from TIAA.............................................. 3,048,786 1,256,401 -------------- -------------- TOTAL ASSETS 4,018,369,985 1,204,469,790 ------------- ------------- LIABILITIES Deposits for securities loaned--Note 4............................. Payable for securities transactions................................ 190,148 96,788,677 -------------- -------------- TOTAL LIABILITIES 190,148 96,788,677 -------------- --------------- NET ASSETS Accumulation Fund.................................................. 3,883,824,578 1,098,465,629 Annuity Fund....................................................... 134,355,259 9,215,484 --------------- --------------- TOTAL NET ASSETS $ 4,018,179,837 $ 1,107,681,113 =============== =============== NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6.............. 229,343,918 24,217,362 ============ ========== NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5....................... $16.93 $45.36 ====== ======
See notes to financial statements. -2-
SOCIAL CHOICE GLOBAL EQUITIES ACCOUNT ACCOUNT --------------- --------------- ASSETS Portfolio investments, at cost..................................... $1,409,660,374 $4,548,579,840 Net unrealized appreciation (depreciation) of portfolio investments 538,170,541 858,289,076 -------------- -------------- Portfolio investments, at value.................................... 1,947,830,915 5,406,868,916 Cash............................................................... 264,668 31,045,250 Dividends and interest receivable.................................. 11,068,360 11,806,471 Receivable from securities transactions............................ 5,492,243 65,041,407 Amounts due from TIAA.............................................. 2,492,226 5,170,031 -------------- -------------- TOTAL ASSETS 1,967,148,412 5,519,932,075 -------------- -------------- LIABILITIES Deposits for securities loaned--Note 4............................. 357,382,633 Payable for securities transactions................................ 32,798,349 65,053,879 -------------- -------------- TOTAL LIABILITIES 32,798,349 422,436,512 -------------- -------------- NET ASSETS Accumulation Fund.................................................. 1,858,824,045 4,924,713,428 Annuity Fund....................................................... 75,526,018 172,782,135 --------------- --------------- TOTAL NET ASSETS $1,934,350,063 $5,097,495,563 =============== =============== NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6.............. 27,975,126 84,389,421 =========== =========== NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5....................... $66.45 $58.36 ====== ======
GROWTH EQUITY INDEX INFLATION-LINKED ACCOUNT ACCOUNT BOND ACCOUNT -------------- --------------- -------------- ASSETS Portfolio investments, at cost..................................... $2,880,426,061 $1,085,264,241 $72,102,674 Net unrealized appreciation (depreciation) of portfolio investments 784,761,147 319,815,607 (158,329) -------------- -------------- ----------- Portfolio investments, at value.................................... 3,665,187,208 1,405,079,848 71,944,345 Cash............................................................... 8,656,052 447,918 54,629 Dividends and interest receivable.................................. 3,103,267 1,630,686 1,101,381 Receivable from securities transactions............................ 25,104,780 Amounts due from TIAA.............................................. 5,236,399 2,080,799 15,015 -------------- -------------- ----------- TOTAL ASSETS 3,707,287,706 1,409,239,251 73,115,370 LIABILITIES Deposits for securities loaned--Note 4............................. Payable for securities transactions................................ 46,292,036 7,053,822 --------------- -------------- ------------ TOTAL LIABILITIES 46,292,036 7,053,822 --------------- -------------- ------------ NET ASSETS Accumulation Fund.................................................. 3,563,312,123 1,357,760,625 73,065,027 Annuity Fund....................................................... 97,683,547 44,424,804 50,343 --------------- -------------- ----------- TOTAL NET ASSETS $3,660,995,670 $1,402,185,429 $73,115,370 NUMBER OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6............... 68,191,749 26,985,688 2,865,475 ========== ========== ========= NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5........................ $52.25 $50.31 $25.50 ======= ====== ======
-3- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF OPERATIONS (UNAUDITED)
MONEY MARKET BOND MARKET ACCOUNT ACCOUNT ------------ ------------ SIX MONTHS ENDED JUNE 30, 1997 ------------------------------------ INVESTMENT INCOME Income: Dividends ......................................................... $ 130,573 Interest .......................................................... $ 107,851,860 36,414,490 ------------- ------------- TOTAL INCOME 107,851,860 36,545,063 ------------- ------------- Expenses--Note 3: Investment ........................................................ 719,415 360,424 Operating ......................................................... 4,372,193 1,165,028 ------------- ------------- TOTAL EXPENSES 5,091,608 1,525,452 ------------- ------------- INVESTMENT INCOME--NET 102,760,252 35,019,611 ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments ........................................... (20,206) (2,496,510) Futures transactions Foreign currency transactions.................................... ------------- ------------- Net realized gain (loss) (20,206) (2,496,510) ------------- ------------- Net change in unrealized appreciation (depreciation) on: Portfolio investments ........................................... 701,196 (152,493) Futures transactions Translation of assets (other than portfolio investments) and liabilities in foreign currencies.......................... ------------- ------------- Net change in unrealized appreciation (depreciation) .............. 701,196 (152,493) ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS ...... 680,990 (2,649,003) ------------- ------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .............. $ 103,441,242 $ 32,370,608 ============= =============
-4- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF OPERATIONS (UNAUDITED)
SOCIAL CHOICE GLOBAL EQUITIES GROWTH ACCOUNT ACCOUNT ACCOUNT ------------- ------------- ------------- SIX MONTHS ENDED JUNE 30, 1997 ------------------------------------------------- INVESTMENT INCOME Income: Dividends ......................................................... $ 9,114,858 $ 39,576,909 $ 15,338,564 Interest .......................................................... 22,999,119 5,142,397 3,901,451 ------------- ------------- ------------- TOTAL INCOME 32,113,977 44,719,306 19,240,015 ------------- ------------- ------------- Expenses--Note 3: Investment ........................................................ 774,143 3,314,699 1,912,572 Operating ......................................................... 1,912,337 4,983,702 3,346,828 ------------- ------------- ------------- TOTAL EXPENSES 2,686,480 8,298,401 5,259,400 ------------- ------------- ------------- INVESTMENT INCOME--NET 29,427,497 36,420,905 13,980,615 ------------- ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments ........................................... 3,098,965 308,090,023 118,146,775 Futures transactions ............................................ 1,084,111 4,481,563 Foreign currency transactions ................................... (1,407,155) 18,810 ------------- ------------- ------------- Net realized gain (loss) 3,098,965 307,766,979 122,647,148 ------------- ------------- ------------- Net change in unrealized appreciation (depreciation) on: Portfolio investments ........................................... 187,953,539 317,072,384 368,810,613 Futures transactions ............................................ (618,000) Translation of assets (other than portfolio investments) and liabilities in foreign currencies ......................... (750,302) 2,660 ------------- ------------- ------------- Net change in unrealized appreciation (depreciation) 187,953,539 316,322,082 368,195,273 ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS 191,052,504 624,089,061 490,842,421 ------------- ------------- ------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 220,480,001 $ 660,509,966 $ 504,823,036 ============= ============= =============
EQUITY INDEX INFLATION-LINKED ACCOUNT BOND ACCOUNT -------------- ----------------- SIX MONTHS JANUARY 13, 1997 ENDED (DATE ESTABLISHED) JUNE 30, 1997 TO JUNE 30, 1997 -------------- ----------------- INVESTMENT INCOME Income: Dividends ......................................................... $ 10,138,471 Interest .......................................................... 362,157 $ 1,155,749 ------------- ------------- TOTAL INCOME 10,500,628 1,155,749 ------------- ------------- Expenses--Note 3: Investment ........................................................ 501,194 21,323 Operating ......................................................... 1,257,693 23,222 ------------- ------------- TOTAL EXPENSES 1,758,887 44,545 ------------- ------------- INVESTMENT INCOME--NET 8,741,741 1,111,204 ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments ........................................... 11,027,194 (16,920) Futures transactions ............................................ 188,903 Foreign currency transactions.................................... ------------- ------------- Net realized gain (loss) 11,216,097 (16,920) ------------- ------------- Net change in unrealized appreciation (depreciation) on: Portfolio investments ........................................... 168,294,798 (158,329) Futures transactions ............................................ (36,498) Translation of assets (other than portfolio investments) and liabilities in foreign currencies.......................... ------------- ------------- Net change in unrealized appreciation (depreciation) 168,258,300 (158,329) ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS 179,474,397 (175,249) ------------- ------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 188,216,138 $ 935,955 ============= =============
-5- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT ------------------------------- ---------------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1997 1996 1997 1996 ------------------------------- ----------------------------------- (UNAUDITED) (UNAUDITED) FROM OPERATIONS Investment income--net ..... $ 102,760,252 $ 170,635,153 $ 35,019,611 $ 61,572,915 Net realized gain (loss) on total investments ........ (20,206) 3,598 (2,496,510) (3,512,730) Net change in unrealized appreciation (depreciation) on total investments .............. 701,196 (876,263) (152,493) (28,782,350) --------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 103,441,242 169,762,488 32,370,608 29,277,835 --------------- --------------- --------------- --------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 158,159,832 318,965,231 65,950,532 132,033,697 --------------- --------------- --------------- --------------- Disbursements and transfers: Net transfers to (from) TIAA ................... 84,510,165 95,923,855 4,744,769 (1,718,077) Net transfers to (from) other CREF Accounts .... (236,080,547) (392,761,156) (29,188,771) (30,526,334) Annuity payments ......... 7,372,684 17,724,643 603,873 2,012,288 Withdrawals and repurchases ............ 114,142,169 179,855,420 13,796,331 23,479,960 Death benefits ........... 3,190,096 5,126,067 917,237 1,215,107 --------------- --------------- --------------- --------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET ....... (26,865,433) (94,131,171) (9,126,561) (5,537,056) --------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 185,025,265 413,096,402 75,077,093 137,570,753 --------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS 288,466,507 582,858,890 107,447,701 166,848,588 NET ASSETS Beginning of period ........ 3,729,713,330 3,146,854,440 1,000,233,412 833,384,824 --------------- --------------- --------------- --------------- End of period .............. $ 4,018,179,837 $ 3,729,713,330 $ 1,107,681,113 $ 1,000,233,412 =============== =============== =============== ===============
SOCIAL CHOICE ACCOUNT ---------------------------------- SIX MONTHS YEAR ENDED ENDED JUNE 30, DECEMBER 31, 1997 1996 ----------------------------------- (UNAUDITED) FROM OPERATIONS Investment income--net ..... $ 29,427,497 $ 48,432,690 Net realized gain (loss) on total investments ........ 3,098,965 11,910,403 Net change in unrealized appreciation (depreciation) on total investments .............. 187,953,539 140,408,956 --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 220,480,001 200,752,049 --------------- --------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 127,809,674 228,713,491 --------------- --------------- Disbursements and transfers: Net transfers to (from) TIAA ................... (838,421) (5,237,657) Net transfers to (from) other CREF Accounts .... (26,477,068) (5,021,174) Annuity payments ......... 2,532,901 4,694,000 Withdrawals and repurchases ............ 13,983,960 22,310,524 Death benefits ........... 478,085 1,298,901 --------------- --------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET ....... (10,320,543) 18,044,594 --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 138,130,217 210,668,897 --------------- --------------- NET INCREASE IN NET ASSETS 358,610,218 411,420,946 NET ASSETS Beginning of period ........ 1,575,739,845 1,164,318,899 --------------- --------------- End of period .............. $ 1,934,350,063 $ 1,575,739,845 =============== =============== See notes to financial statements. -6-
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT ----------------------------------- ------------------------------------ SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1997 1996 1997 1996 ----------------------------------- ------------------------------------ (UNAUDITED) (UNAUDITED) FROM OPERATIONS Investment income--net ..... $ 36,420,905 $ 46,685,666 $ 13,980,615 $ 18,664,159 Net realized gain (loss) on total investments ........ 307,766,979 357,715,738 122,647,148 111,570,297 Net change in unrealized appreciation (depreciation) on total investments .............. 316,322,082 207,389,762 368,195,273 261,921,473 --------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 660,509,966 611,791,166 504,823,036 392,155,929 --------------- --------------- --------------- --------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 244,584,379 452,200,153 252,598,373 339,775,324 --------------- --------------- --------------- --------------- Disbursements and transfers: Net transfers to (from) TIAA ................... (11,640,967) (22,446,528) (50,372,081) (48,595,717) Net transfers to (from) other CREF Accounts .... (33,935,665) (81,428,574) (460,854,428) (523,988,719) Annuity payments ......... 5,352,713 11,896,195 3,305,758 4,727,193 Withdrawals and repurchases ............ 37,525,297 57,494,834 24,060,957 34,266,315 Death benefits ........... 3,474,322 4,093,573 1,180,679 1,056,662 --------------- --------------- --------------- --------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET ....... 775,700 (30,390,500) (482,679,115) (532,534,266) --------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 243,808,679 482,590,653 735,277,488 872,309,590 --------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS 904,318,645 1,094,381,819 1,240,100,524 1,264,465,519 NET ASSETS Beginning of period ........ 4,193,176,918 3,098,795,099 2,420,895,146 1,156,429,627 --------------- --------------- --------------- --------------- End of period .............. $ 5,097,495,563 $ 4,193,176,918 $ 3,660,995,670 $ 2,420,895,146 =============== =============== =============== ===============
INFLATION-LINKED EQUITY INDEX ACCOUNT BOND ACCOUNT ----------------------------------- --------------- SIX MONTHS YEAR JANUARY 13, 1997 ENDED ENDED (DATE ESTABLISHED) JUNE 30, DECEMBER 31, TO 1997 1996 JUNE 30, 1997 ----------------------------------- --------------- (UNAUDITED) (UNAUDITED) FROM OPERATIONS Investment income--net ..... $ 8,741,741 $ 12,449,866 $ 1,111,204 Net realized gain (loss) on total investments ........ 11,216,097 10,324,266 (16,920) Net change in unrealized appreciation (depreciation) on total investments .............. 168,258,300 108,747,047 (158,329) --------------- --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 188,216,138 131,521,179 935,955 --------------- --------------- --------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 101,139,860 139,323,573 50,185,104 --------------- --------------- --------------- Disbursements and transfers: Net transfers to (from) TIAA ................... (22,643,093) (30,322,707) (371,487) Net transfers to (from) other CREF Accounts .... (180,643,434) (243,573,489) (21,623,745) Annuity payments ......... 1,591,294 2,224,641 269 Withdrawals and repurchases ............ 10,196,544 11,191,497 652 Death benefits ........... 594,343 277,271 --------------- --------------- --------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET ....... (190,904,346) (260,202,787) (21,994,311) --------------- --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 292,044,206 399,526,360 72,179,415 --------------- --------------- --------------- NET INCREASE IN NET ASSETS 480,260,344 531,047,539 73,115,370 NET ASSETS Beginning of period ........ 921,925,085 390,877,546 --------------- --------------- --------------- End of period .............. $ 1,402,185,429 $ 921,925,085 $ 73,115,370 =============== =============== ===============
See notes to financial statements. -7- COLLEGE RETIREMENT EQUITIES FUND 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 eight investment portfolios ("Accounts"). The accompanying financial statements are those of the Money Market Account, which invests in money market instruments; the Bond Market Account, which invests in a broad range of fixed-income securities; the Social Choice Account, which invests in a diversified portfolio of equity and fixed-income securities while giving special consideration to certain social criteria; the Global Equities Account, which invests in equity securities of foreign and domestic companies; the Growth Account, which invests in a diversified portfolio of equity securities that present opportunities for growth; the Equity Index Account, which invests in a diversified portfolio of equity securities selected to track the overall United States stock market and the Inflation-Linked Bond Account, which invests primarily in inflation-indexed bonds. The eighth investment portfolio of CREF, the Stock Account, which invests primarily in equity securities, is not included in these financial statements. The Inflation-Linked Bond Account was established on January 13, 1997 with a $50,000,000 investment by Teachers Insurance and Annuity Association of America ("TIAA"), a companion organization, which purchased 2,000,000 Accumulation Units at the established $25.00 initial Accumulation Unit Value. On May 1, 1997, the Inflation-Linked Bond Account was registered with the Commission under the Securities Act of 1933 and the Investment Company Act of 1940 as an additional series of CREF. On May 1, 1997, CREF began to offer Accumulation Units of the Inflation-Linked Bond Account to participants other than TIAA. TIAA's Accumulation Units shared in the pro rata investment experience and were subject to the same valuation procedures and expense deductions as all other Accumulation Units in the Account. At June 30, 1997, TIAA's investment in the Inflation-Linked Bond Account remained at 2,000,000 Accumulation Units, with a total value of $50,996,800. TIAA-CREF Investment Management, Inc. ("Investment Management"), a subsidiary of TIAA, 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 preparation of financial statements may require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, income, expenses and related disclosures. Actual results may differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Accounts, 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 or amortized cost, which approximates 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. -8- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (Unaudited) -- (CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIE -- (CONTINUED) 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 Accounts are informed of the ex-dividend date. Realized gains and losses on security transactions are accounted for on the average cost basis. FOREIGN CURRENCY TRANSACTIONS AND TRANSLATION: Foreign investments, bank deposits and forward foreign currency contracts are valued in U.S. dollars, based on the exchange rate at the end of the period. Investments traded in foreign 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 Accounts may 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. An 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 Accounts write (sell) 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 an 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 Accounts purchase futures contracts for the purpose of acquiring a position in a security or group of securities which the Accounts intend to purchase at a later date, or for cash management purposes to remain highly invested in the equity markets while minimizing transaction costs. The Accounts sell futures contracts for the purpose of offsetting changes in market value while withdrawing from a specific market. A financial futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses from futures transactions by "marking-to-market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are received or made, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a realized gain or loss from futures transactions is recorded, equal to the net variation margin received or paid over the period of the contract. The contractual amounts under futures contracts reflect the extent of an 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. -9- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES - (CONCLUDED) FORWARD FOREIGN CURRENCY CONTRACTS: The Accounts may enter 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. 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. An 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 an 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 Accounts may purchase securities on a when-issued or delayed delivery basis. In addition to the normal market risks, this exposes the Accounts to the risk that the transaction may not be consummated. RESTRICTED SECURITIES: Restricted securities held by the Accounts may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in securities which are widely held and publicly traded. FEDERAL INCOME TAXES: CREF is a nonprofit educational organization 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 income to the organization. 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. As a result of recent legislation, CREF will no longer be exempt from federal income tax under Section 501(a) of the Code, beginning January 1, 1998. Management believes that CREF should incur no material federal income tax liability as a result of this change. In that connection, management is reviewing whether any changes in CREF's corporate structure may be necessary or appropriate in order for CREF to minimize any federal income tax consequences. If needed, management intends to implement any such changes, subject to regulatory approval, prior to January 1, 1998. 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. -10- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED) NOTE 4--INVESTMENTS At June 30, 1997, the value of Global Equities Account securities loaned was $392,915,741 and collateral received in connection therewith was comprised of cash of $357,382,633, letters of credit of $55,795,000 and United States government securities amounting to $5,530,600. At June 30, 1997, net unrealized appreciation (depreciation) of portfolio investments, consisting of gross unrealized appreciation and gross unrealized depreciation, was as follows:
MONEY MARKET BOND MARKET SOCIAL CHOICE ACCOUNT ACCOUNT ACCOUNT ----------- ----------- ----------- Gross unrealized appreciation of portfolio investments......... $ 129,313 $ 5,496,680 $550,721,878 Gross unrealized depreciation of portfolio investments......... 699,689 4,487,831 12,551,337 ------------ ------------ ----------- NET UNREALIZED APPRECIATION (DEPRECIATION) OF PORTFOLIO INVESTMENTS........................................ $ (570,376) $ 1,008,849 $538,170,541 ============ ============ ============ GLOBAL EQUITIES GROWTH ACCOUNT ACCOUNT ----------- ----------- Gross unrealized appreciation of portfolio investments......... $924,893,618 $844,984,939 Gross unrealized depreciation of portfolio investments......... 66,604,542 60,223,792 ------------ ------------ NET UNREALIZED APPRECIATION OF PORTFOLIO INVESTMENTS........................................ $858,289,076 $784,761,147 ============ ============ EQUITY INDEX INFLATION-LINKED ACCOUNT BOND ACCOUNT ----------- ------------- Gross unrealized appreciation of portfolio investments......... $342,429,224 -- Gross unrealized depreciation of portfolio investments......... 22,613,617 $ 158,329 ------------ ------------ NET UNREALIZED APPRECIATION OF PORTFOLIO INVESTMENTS........................................ $319,815,607 $ (158,329) ============ ============
At June 30, 1997 the Growth Account held 60 open futures contracts in the Standard & Poor's 500 Index with a value of $26,707,500 and the Equity Index Account held 6 open futures contracts in the Standard & Poor's 500 Index with a value of $2,670,750. -11- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED) NOTE 4--INVESTMENTS--(Concluded) Companies in which any of the Accounts held 5% or more of the outstanding voting shares are defined as "affiliated" in the Investment Company Act of 1940. At June 30, 1997, the total value of the Global Equities Account's investments in affiliated companies was $358,041,540. For the six months ended June 30, 1997, total dividend income and net realized loss relating to such investments of the Global Equities Account were $4,251,045 and $7,485,864, respectively. For the periods and CREF Accounts covered by these financial statements, there were no other investments in affiliated companies. Purchases and sales of portfolio securities, other than short-term money market instruments, for the Bond Market Account, Social Choice Account, Global Equities Account, Growth Account and Equity Index Account, for the six months ended June 30, 1997 and for the Inflation-Linked Bond Account for the period January 13, 1997 (date established) to June 30, 1997, were as follows:
BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES ACCOUNT ACCOUNT ACCOUNT ----------- ----------- ----------- Purchases: Unaffiliated issuers.................................. $2,152,638,650 $ 771,687,657 $2,659,603,711 Affiliated issuers.................................... -- -- 64,063,474 -------------- ------------- -------------- TOTAL PURCHASES $2,152,638,650 $ 771,687,657 $2,723,667,185 ============== ============= ============== Sales: Unaffiliated issuers.................................. $2,049,882,215 $ 614,776,590 $2,436,217,924 Affiliated issuers.................................... -- -- 23,616,524 -------------- ------------- -------------- TOTAL SALES $2,049,882,215 $ 614,776,590 $2,459,834,448 ============== ============= ============== GROWTH EQUITY INDEX INFLATION-LINKED ACCOUNT ACCOUNT BOND ACCOUNT ----------- ----------- ------------ Purchases: Unaffiliated issuers.................................. $1,132,900,466 $ 323,848,993 $ 75,179,890 Affiliated issuers.................................... -- -- -- -------------- ------------- -------------- TOTAL PURCHASES $1,132,900,466 $ 323,848,993 $ 75,179,890 ============== ============= ============== Sales: Unaffiliated issuers.................................. $ 431,685,749 $ 31,997,633 $ 7,459,781 Affiliated issuers.................................... -- -- -- -------------- ------------- -------------- TOTAL SALES $ 431,685,749 $ 31,997,633 $ 7,459,781 ============== ============= ==============
-12- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION Selected condensed financial information for an Accumulation Unit of each Account is presented below.
MONEY MARKET ACCOUNT --------------------------------------------------------------------- SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED -------------------------------------------------------- JUNE 30, 1997 1996 1995 1994 1993 1992 ------------ ------- ------- ------- ------- ------- (UNAUDITED) Per Accumulation Unit Data: Investment income...................... $ .460 $ .880 $ .910 $ .631 $ .464 $ .539 Expenses.............................. .022 .049 .048 .041 .039 .036 ------- ------- ------- ------- ------- ------- Investment income--net.................. .438 .831 .862 .590 .425 .503 Net realized and unrealized gain (loss) on total investments................ .003 (.003) .009 (.012) (.002) (.009) ------- ------- ------- ------- ------- ------- Net increase in Accumulation Unit Value ............. .441 .828 .871 .578 .423 .494 Accumulation Unit Value: Beginning of year..................... 16.494 15.666 14.795 14.217 13.794 13.300 ------- ------- ------- ------- ------- ------- End of period.......................... $16.935 $16.494 $15.666 $14.795 $14.217 $13.794 ======= ======= ======= ======= ======= ======= Total return............................. 2.67% 5.28% 5.88% 4.07% 3.07% 3.71% Ratios to Average Net Assets: Expenses............................... 0.13% 0.30% 0.32% 0.28% 0.27% 0.26% Investment income--net.................. 2.62% 5.16% 5.64% 4.03% 3.02% 3.70% Portfolio turnover rate.................. n/a n/a n/a n/a n/a n/a Thousands of Accumulation Units outstanding at end of period.......... 229,344 218,292 193,181 183,135 174,073 184,768
BOND MARKET ACCOUNT ---------------------------------------------------------------------- SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED --------------------------------------------------------- JUNE 30, 1997 1996 1995 1994 1993 1992 ------------ ------- ------- ------- ------- ------- (UNAUDITED) Per Accumulation Unit Data: Investment income...................... $ 1.552 $ 3.039 $ 2.863 $ 2.502 $ 2.348 $ 2.287 Expenses............................... .065 .126 .123 .108 .103 .093 ------- ------- ------- ------- ------- ------- Investment income--net.................. 1.487 2.913 2.740 2.394 2.245 2.194 Net realized and unrealized gain (loss) on total investments................ (.130) (1.600) 3.722 (3.897) 1.606 .056 ------- ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value.............. 1.357 1.313 6.462 (1.503) 3.851 2.250 Accumulation Unit Value: Beginning of year...................... 44.002 42.689 36.227 37.730 33.879 31.629 ------- ------- ------- ------- ------- ------- End of period.......................... $45.359 $44.002 $42.689 $36.227 $37.730 $33.879 ======= ======= ======= ======= ======= ======= Total return............................. 3.08% 3.08% 17.84% (3.98%) 11.37% 7.12% Ratios to Average Net Assets: Expenses............................... 0.15% 0.30% 0.31% 0.29% 0.28% 0.29% Investment income--net................. 3.36% 6.86% 6.93% 6.54% 6.18% 6.78% Portfolio turnover rate.................. 202.37% 145.27% 185.11% 161.46% 139.55% 217.89% Thousands of Accumulation Units outstanding at end of period.......... 24,217 22,611 19,522 14,939 14,698 13,583
-13- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED)
SOCIAL CHOICE ACCOUNT ------------------------------------------------------------------- SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED ----------------------------------------------------- JUNE 30, 1997 1996 1995 1994 1993 1992 ------------ ------- ------- ------- ------- ------- (UNAUDITED) Per Accumulation Unit Data: Investment income...................... $ 1.140 $ 2.068 $ 1.832 $ 1.621 $ 1.452 $ 1.363 Expenses............................... .095 .158 .144 .125 .117 .105 ------- ------- ------- ------- ------- ------- Investment income--net.................. 1.045 1.910 1.688 1.496 1.335 1.258 Net realized and unrealized gain (loss) on total investments................ 6.811 5.968 9.863 (2.015) 2.082 2.367 ------- ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value.............. 7.856 7.878 11.551 (.519) 3.417 3.625 Accumulation Unit Value: Beginning of year...................... 58.590 50.712 39.161 39.680 36.263 32.638 ------- ------- ------- ------- ------- ------- End of period.......................... $66.446 $58.590 $50.712 $39.161 $39.680 $36.263 ======= ======= ======= ======= ======= ======= Total return............................. 13.41% 15.53% 29.49% (1.31%) 9.42% 11.11% Ratios to Average Net Assets: Expenses............................... 0.16% 0.30% 0.32% 0.32% 0.31% 0.33% Investment income--net................. 1.70% 3.58% 3.75% 3.80% 3.52% 3.88% Portfolio turnover rate.................. 36.01% 40.93% 52.65% 49.06% 39.85% 77.48% Thousands of Accumulation Units outstanding at end of period.......... 27,975 25,841 22,196 18,302 16,790 9,224
GLOBAL EQUITIES ACCOUNT ------------------------------------------------------------------------- APRIL 1, 1992 SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, (DATE ESTABLISHED) ENDED ------------------------------------------ TO DECEMBER 31, JUNE 30, 1997 1996 1995 1994 1993 1992 ------------ ------- ------- ------- ------- ------- (UNAUDITED) Per Accumulation Unit Data: Investment income...................... $ .518 $ .751 $ .727 $ .687 $ .487 $ .569 Expenses............................... .096 .167 .157 .134 .103 .121 ------- ------- ------- ------- ------- ------- Investment income--net................. .422 .584 .570 .553 .384 .448 Net realized and unrealized gain (loss) on total investments................ 7.255 7.138 6.618 (.719) 9.021 1.083 ------- ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value............. 7.677 7.722 7.188 (.166) 9.405 1.531 Accumulation Unit Value: Beginning of period ................... 50.680 42.958 35.770 35.936 26.531 25.000 ------- ------- ------- ------- ------- ------- End of period.......................... $58.357 $50.680 $42.958 $35.770 $35.936 $26.531 ======= ======= ======= ======= ======= ======= Total return............................. 15.15% 17.98% 20.09% (0.46%) 35.45% 6.12% Ratios to Average Net Assets: Expenses............................... 0.19% 0.37% 0.40% 0.41% 0.45% 0.40% Investment income--net................. 0.81% 1.28% 1.47% 1.71% 1.67% 1.47% Portfolio turnover rate.................. 56.68% 88.84% 67.50% 51.63% 16.75% 12.50% Thousands of Accumulation Units outstanding at end of period.......... 84,389 80,016 70,163 70,700 36,796 8,277
-14- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONCLUDED)
GROWTH ACCOUNT --------------------------------------------------------- FOR THE YEARS APRIL 4, 1994 SIX MONTHS ENDED (DATE ESTABLISHED) ENDED DECEMBER 31, TO DECEMBER 31, ----------------------- JUNE 30, 1997 1996 1995 1994 ------------- --------- --------- --------- (UNAUDITED) Per Accumulation Unit Data: Investment income............................ $ .274 $ .484 $ .417 $ .398 Expenses..................................... .075 .119 .114 .084 ------- ------- ------- ------- Investment income--net........................ .199 .365 .303 .314 Net realized and unrealized gain on total investments...................... 7.742 8.638 8.891 .802 ------- ------- ------- ------- Net increase in Accumulation Unit Value................... 7.941 9.003 9.194 1.116 Accumulation Unit Value: Beginning of period ......................... 44.313 35.310 26.116 25.000 ------- ------- ------- ------- End of period................................ $52.254 $44.313 $35.310 $26.116 ======= ======= ======= ======= Total return................................... 17.92% 25.50% 35.20% 4.46% Ratios to Average Net Assets: Expenses..................................... 0.17% 0.35% 0.43% 0.33% Investment income--net....................... 0.46% 1.07% 1.13% 1.21% Portfolio turnover rate........................ 14.96% 38.51% 24.42% 12.29% Thousands of Accumulation Units outstanding at end of period................ 68,192 53,201 32,375 10,446
INFLATION-LINKED EQUITY INDEX ACCOUNT BOND ACCOUNT ------------------------------------------------------ ----------- APRIL 4, 1994 JANUARY 13, FOR THE YEARS (DATE 1997 (DATE SIX MONTHS ENDED ESTABLISHED) TO ESTABLISHED) ENDED DECEMBER 31, DECEMBER 31, TO JUNE 30, ---------------------- JUNE 30, 1997 1996 1995 1994 1997 ------------- ------- ------- ---------- --------- (UNAUDITED) (UNAUDITED) Per Accumulation Unit Data: Investment income...................... $ .397 $ .773 $ .755 $ .552 $ .553 Expenses............................... .067 .106 .100 .072 .021 ------- ------- ------- ------- ------- Investment income-net.................. .330 .667 .655 .480 .532 Net realized and unrealized gain (loss) on total investments................ 7.150 6.936 8.703 .393 (.034) ------- ------- ------- ------- ------- Net increase in Accumulation Unit Value........................... 7.480 7.603 9.358 .873 .498 Accumulation Unit Value: Beginning of period ................... 42.834 35.231 25.873 25.000 25.000 ------- ------- ------- ------- ------- End of period.......................... $50.314 $42.834 $35.231 $25.873 $25.498 ======= ======= ======= ======= ======= Total return............................. 17.46% 21.58% 36.17% 3.49% 1.99% Ratios to Average Net Assets: Expenses............................... 0.15% 0.30% 0.34% 0.27% 0.08% Investment income--net................. 0.77% 1.87% 2.22% 1.83% 2.06% Portfolio turnover rate.................. 2.82% 7.85% 8.31% 1.33% 27.00% Thousands of Accumulation Units outstanding at end of period........... 26,986 20,725 10,911 2,716 2,865
-15- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONCLUDED) NOTE 6--ACCUMULATION UNITS Changes in the number of Accumulation Units outstanding were as follows:
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT --------------------------- --------------------------- --------------------------- SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31, JUNE 30, 1997 1996 JUNE 30, 1997 1996 JUNE 30, 1997 1996 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) Accumulation Units: Credited for premiums....... 9,464,917 19,834,908 1,487,165 3,106,394 2,061,114 4,247,359 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund.............. 1,587,365 5,275,300 119,063 (17,727) 72,676 (601,590) Outstanding: Beginning of year......... 218,291,636 193,181,428 22,611,134 19,522,467 25,841,336 22,195,567 ----------- ----------- ---------- ---------- ---------- --------- End of period............. 229,343,918 218,291,636 24,217,362 22,611,134 27,975,126 25,841,336 =========== =========== ========== ========== ========== ==========
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT --------------------------- --------------------------- --------------------------- SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31, JUNE 30, 1997 1996 JUNE 30, 1997 1996 JUNE 30, 1997 1996 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) (UNAUDITED) (UNAUDITED) Accumulation Units: Credited for premiums....... 4,642,548 9,768,800 5,300,442 8,540,579 2,205,214 3,588,285 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund.............. (269,040) 84,205 9,690,754 12,284,736 4,055,763 6,225,770 Outstanding: Beginning of year......... 80,015,913 70,162,908 53,200,553 32,375,238 20,724,711 10,910,656 ---------- ---------- ---------- ---------- ---------- ---------- End of period............. 84,389,421 80,015,913 68,191,749 53,200,553 26,985,688 20,724,711 ========== ========== ========== ========== ========== ==========
INFLATION-LINKED BOND ACCOUNT --------------- JANUARY 13, 1997 (DATE ESTABLISHED) TO JUNE 30, 1997 ----------- (UNAUDITED) Accumulation Units: Credited for premiums....... 2,007,235 Credited for transfers, disbursements and amounts applied to the Annuity Fund.............. 858,240 Outstanding: Beginning of period....... -- --------- End of period............. 2,865,475 ========= -16- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT (UNAUDITED) JUNE 30, 1997 SUMMARY BY INDUSTRY VALUE % ----------- ----- SHORT TERM INVESTMENTS BANK NOTES ........................ $ 90,961,580 2.26% BANKERS ACCEPTANCES ............... 122,185,723 3.04 CERTIFICATES OF DEPOSIT ........... 418,736,194 10.42 COMMERCIAL PAPER .................. 2,608,416,001 64.92 MEDIUM TERM BONDS ................. 60,021,325 1.50 U.S. GOVERNMENT & AGENCIES ........ 13,795,693 0.34 VARIABLE RATE NOTES ............... 686,816,222 17.09 ------------- ------ TOTAL SHORT TERM INVESTMENTS (COST $4,001,503,185) .............. 4,000,932,738 99.57 ------------- ------ ROUNDING 71 0.00 ------------- ------ TOTAL PORTFOLIO (COST $4,001,503,185) .............. 4,000,932,809 99.57 ------------- ------ OTHER ASSETS & LIABILITIES, NET .. 17,247,028 0.43 ------------- ------ NET ASSETS .......................... $4,018,179,837 100.00% ============= ====== ========================================= PRINCIPAL VALUE --------- ----- SHORT TERM INVESTMENTS--99.57% BANK NOTES--2.26% BANK OF AMERICA $16,000,000 5.500%, 08/04/97 ........... $ 15,994,889 FCC NATIONAL BANK 25,000,000 5.900%, 10/17/97 ........... 25,009,055 25,000,000 5.880%, 11/05/97 ........... 25,006,742 15,000,000 5.830%, 12/08/97 ........... 15,002,335 FIRST UNION CORP 9,900,000 6.750%, 01/15/98 ........... 9,948,559 ------------- 90,961,580 ------------- BANKERS ACCEPTANCES--3.04% BANK OF BOSTON 5,000,000 5.280%, 07/22/97 ........... 4,983,483 5,000,000 5.640%, 08/29/97 ........... 4,953,537 BANK OF MONTREAL 9,300,000 5.610%, 10/09/97 ........... 9,151,538 CANADIAN IMPERIAL BANK OF COMMERCE 12,000,000 5.570%, 08/27/97 ........... 11,890,442 KEY BANK OF WASHINGTON 6,000,000 5.650%, 08/11/97 ........... 5,961,234 KEYCORP/SOCIETY 4,000,000 5.600%, 07/15/97 ........... 3,991,111 NATIONAL BANK OF DETROIT 8,000,000 5.540%, 07/02/97 ........... 7,998,805 NATIONS BANK OF TEXAS 5,000,000 5.370%, 07/14/97 ........... 4,989,683 10,000,000 5.720%, 11/03/97 ........... 9,803,300 NATIONSBANK, NA 8,894,338 5.560%, 07/01/97 ........... 8,894,338 30,000,000 5.520%, 07/21/97 ........... 29,908,000 10,000,000 5.600%, 08/12/97 ........... 9,933,933 10,000,000 5.580%, 12/22/97 ........... 9,726,319 ------------- 122,185,723 ------------- CERTIFICATES OF DEPOSIT--10.42% BANKERS TRUST NEW YORK CORP 25,000,000 5.640%, 12/05/97 ........... 24,966,160 CANADIAN IMPERIAL BANK OF COMMERCE 20,566,000 5.650%, 07/15/97 ........... 20,565,656 26,586,000 5.625%, 09/19/97 ........... 26,583,410 10,000,000 5.970%, 03/19/98 ........... 9,997,852 DEUTSCHE BANK 21,000,000 5.550%, 07/10/97 ........... 20,998,741 15,000,000 5.690%, 10/28/97 ........... 14,988,679 HUNTINGTON NATIONAL BANK 50,000,000 5.750%, 08/20/97 ........... 50,006,800 MORGAN GUARANTY TRUST CO 7,000,000 5.910%, 09/18/97 ........... 6,999,611 NATIONAL WESTMINSTER BANK, U.S.A. 20,000,000 5.590%, 09/08/97 ........... 19,993,812 RABOBANK 25,000,000 5.500%, 12/05/97 ........... 24,951,580 REGIONS BANK (ALABAMA) 5,000,000 5.690%, 08/12/97 ........... 5,000,259 20,000,000 6.000%, 06/25/98 ........... 19,990,000 ROYAL BANK OF CANADA 25,000,000 5.770%, 01/27/98 ........... 24,966,760 SOCIETE GENERALE 15,000,000 5.580%, 09/03/97 ........... 14,995,329 16,000,000 6.130%, 09/12/97 ........... 16,006,504 10,000,000 5.850%, 03/03/98 ........... 9,989,222 SWISS BANK CORP 25,000,000 5.490%, 07/09/97 ........... 24,998,651 10,000,000 5.930%, 12/19/97 ........... 10,003,109 WESTDEUTSCHE LANDESBANK 29,000,000 5.530%, 07/28/97 ........... 28,994,663 43,740,000 5.660%, 09/11/97 ........... 43,739,396 ------------- 418,736,194 ------------- COMMERCIAL PAPER--64.92% ABBOTT LABORATORIES 43,000,000 5.500%, 07/15/97 ........... 42,908,027 AIR PRODUCTS & CHEMICALS, INC 20,000,000 5.450%, 10/06/97 ........... 19,694,022 AMERICAN EXPRESS CREDIT CORP 20,200,000 5.520%, 07/07/97 ........... 20,181,415 AMERICAN HOME PRODUCTS CORP 20,000,000 # 5.640%, 07/21/97 ........... 19,935,385 10,000,000 # 5.640%, 07/24/97 ........... 9,962,969 AMRO NORTH AMERICA FINANCE, INC 23,800,000 5.650%, 11/03/97 ........... 23,330,188 ASSET SECURITIZATION COOPERATIVE CORP 7,000,000 # 5.650%, 07/17/97 ........... 6,981,968 10,000,000 # 5.640%, 07/23/97 ........... 9,964,896 16,361,000 # 5.400%, 07/25/97 ........... 16,298,255 15,000,000 # 5.570%, 08/01/97 ........... 14,928,054 28,000,000 # 5.680%, 08/22/97 ........... 27,768,145 9,000,000 # 5.600%, 08/28/97 ........... 8,917,142 40,000,000 # 5.640%, 08/28/97 ........... 39,631,828 ASSOCIATES CORP OF NORTH AMERICA 25,000,000 5.600%, 07/18/97 ........... 24,933,888 25,000,000 5.550%, 07/22/97 ........... 24,919,062 30,000,000 5.570%, 08/14/97 ........... 29,791,605 20,000,000 5.550%, 08/25/97 ........... 19,824,793 See notes to financial statements. -17- MONEY MARKET ACCOUNT (CONTINUED) PRINCIPAL VALUE --------- ----- COMMERCIAL PAPER - (CONTINUED) B.B.V. FINANCE (DELAWARE), INC $10,000,000 5.400%, 07/15/97 ........... $ 9,977,543 20,000,000 5.500%, 10/10/97 ........... 19,681,534 BETA FINANCE, INC 9,000,000 # 5.620%, 07/03/97 ........... 8,997,132 25,000,000 5.600%, 07/11/97 ........... 24,960,098 6,000,000 # 5.650%, 07/14/97 ........... 5,987,532 CATERPILLAR FINANCIAL SERVICES CORP 20,000,000 5.580%, 08/11/97 ........... 19,870,550 22,396,000 5.700%, 09/16/97 ........... 22,124,262 15,000,000 # 5.610%, 10/06/97 ........... 14,770,516 18,900,000 5.700%, 11/12/97 ........... 18,500,265 10,450,000 # 5.650%, 12/04/97 ........... 10,192,964 25,000,000 5.640%, 12/12/97 ........... 24,353,750 CHRYSLER FINANCIAL CORP 14,000,000 5.630%, 07/02/97 ........... 13,997,770 40,000,000 5.590%, 07/16/97 ........... 39,903,416 CIESCO LP 8,675,000 # 5.550%, 07/01/97 ........... 8,675,000 9,744,000 # 5.600%, 07/02/97 ........... 9,742,447 34,415,000 5.520%, 07/18/97 ........... 34,325,291 15,000,000 5.560%, 08/01/97 ........... 14,925,630 26,000,000 5.520%, 08/04/97 ........... 25,864,453 20,000,000 # 5.540%, 08/12/97 ........... 19,870,733 CIT GROUP HOLDINGS, INC 46,866,000 5.580%, 10/10/97 ........... 46,119,738 20,000,000 5.600%, 12/18/97 ........... 19,464,200 COLUMBIA/HCA HEALTHCARE CORP 17,600,000 # 5.600%, 08/20/97 ........... 17,463,111 21,087,000 # 5.630%, 09/16/97 ........... 20,828,859 21,217,000 5.600%, 09/16/97 ........... 20,957,267 5,095,000 5.600%, 09/26/97 ........... 5,024,632 COMMERCIAL CREDIT CO 25,000,000 5.560%, 07/21/97 ........... 24,922,777 27,000,000 5.570%, 08/05/97 ........... 26,853,787 30,806,000 5.550%, 08/08/97 ........... 30,625,528 17,000,000 5.540%, 09/15/97 ........... 16,796,377 CORPORATE ASSET FUNDING CORP, INC 30,000,000 # 5.630%, 07/16/97 ........... 29,927,562 23,000,000 # 5.550%, 07/22/97 ........... 22,925,537 50,000,000 5.550%, 07/25/97 ........... 49,808,416 21,821,000 5.630%, 08/07/97 ........... 21,692,399 DELAWARE FUNDING CORP 42,238,000 # 5.600%, 07/17/97 ........... 42,129,181 10,108,000 # 5.630%, 07/23/97 ........... 10,072,517 20,287,000 # 5.600%, 08/26/97 ........... 20,106,690 20,000,000 5.600%, 08/28/97 ........... 19,815,871 DILLARD INVESTMENT CO, INC 24,300,000 5.570%, 07/09/97 ........... 24,269,922 FORD MOTOR CREDIT CO 27,000,000 5.520%, 07/07/97 ........... 26,975,160 832,000 5.320%, 07/08/97 ........... 831,070 36,000,000 5.280%, 07/10/97 ........... 35,948,246 25,000,000 5.650%, 08/12/97 ........... 24,832,757 25,000,000 5.650%, 08/13/97 ........... 24,830,295 8,400,000 5.600%, 12/01/97 ........... 8,197,335 GENERAL ELECTRIC CAPITAL CORP 28,000,000 5.280%, 07/11/97 ........... 27,955,227 35,000,000 5.550%, 07/17/97 ........... 34,913,666 25,000,000 5.680%, 09/29/97 ........... 24,644,847 GENERAL MOTORS ACCEPTANCE CORP 9,822,000 5.400%, 08/04/97 ........... 9,768,715 11,000,000 5.330%, 08/06/97 ........... 10,936,925 25,000,000 5.320%, 08/19/97 ........... 24,804,884 10,000,000 5.780%, 10/07/97 ........... 9,845,450 9,260,000 5.850%, 10/08/97 ........... 9,115,441 10,000,000 5.700%, 12/01/97 ........... 9,758,733 18,000,000 5.700%, 12/03/97 ........... 17,560,080 8,000,000 5.680%, 12/08/97 ........... 7,798,213 GENERAL SIGNAL CORP 10,000,000 5.580%, 07/07/97 ........... 9,990,700 7,900,000 # 5.550%, 07/11/97 ........... 7,887,820 7,800,000 # 5.600%, 07/11/97 ........... 7,787,866 6,924,000 5.650%, 07/15/97 ........... 6,908,313 7,800,000 5.650%, 07/15/97 ........... 7,782,329 1,106,000 5.600%, 07/22/97 ........... 1,102,387 GOLDMAN SACHS GROUP, LP 15,000,000 5.650%, 07/24/97 ........... 14,944,951 50,000,000 # 5.600%, 09/04/97 ........... 49,488,500 9,000,000 5.610%, 10/09/97 ........... 8,858,095 15,000,000 5.650%, 11/04/97 ........... 14,701,549 13,000,000 5.750%, 11/25/97 ........... 12,698,572 25,000,000 5.780%, 12/29/97 ........... 24,279,582 GTE CORP 3,623,000 5.580%, 07/22/97 ........... 3,611,207 26,000,000 5.560%, 07/22/97 ........... 25,915,673 45,000,000 5.590%, 08/08/97 ........... 44,734,475 HEINZ (H.J.) CO 33,000,000 5.500%, 07/18/97 ........... 32,914,291 HOUSEHOLD FINANCE CORP 18,000,000 5.580%, 08/05/97 ........... 17,899,121 50,000,000 5.600%, 08/26/97 ........... 49,555,602 IBM CREDIT CORP 50,000,000 5.530%, 07/21/97 ........... 49,846,388 J.P. MORGAN & CO 22,859,000 5.420%, 07/14/97 ........... 22,811,499 MAY DEPARTMENT STORES CO 29,000,000 5.580%, 07/07/97 ........... 28,972,334 MCCORMICK & CO, INC 15,000,000 5.590%, 10/07/97 ........... 14,768,175 MCGRAW-HILL, INC 11,500,000 5.520%, 07/09/97 ........... 11,485,893 MCI COMMUNICATIONS CORP 20,000,000 5.530%, 07/18/97 ........... 19,945,215 35,000,000 # 5.420%, 08/04/97 ........... 34,810,123 18,000,000 5.680%, 09/02/97 ........... 17,821,440 14,000,000 5.650%, 09/17/97 ........... 13,827,955 20,000,000 5.550%, 09/24/97 ........... 19,732,444 14,228,000 5.730%, 10/27/97 ........... 13,963,683 MERRILL LYNCH & CO, INC 21,847,000 5.650%, 07/14/97 ........... 21,801,602 25,000,000 5.380%, 07/21/97 ........... 24,919,937 15,000,000 5.570%, 07/22/97 ........... 14,949,738 17,613,000 5.650%, 07/24/97 ........... 17,548,361 5,000,000 5.650%, 08/18/97 ........... 4,962,044 3,716,000 5.580%, 08/29/97 ........... 3,681,190 2,754,000 5.600%, 09/15/97 ........... 2,721,013 MORGAN STANLEY GROUP, INC 35,000,000 5.620%, 07/08/97 ........... 34,960,907 23,103,000 5.600%, 07/09/97 ........... 23,073,509 16,198,000 5.570%, 07/23/97 ........... 16,141,139 NATIONAL FUEL GAS CO 15,000,000 5.580%, 07/02/97 ........... 14,997,675 10,000,000 5.580%, 07/07/97 ........... 9,990,700 15,000,000 5.620%, 07/21/97 ........... 14,953,166 NATIONSBANK CORP 30,000,000 5.610%, 07/11/97 ........... 29,952,120 20,000,000 5.620%, 08/05/97 ........... 19,887,912 See notes to financial statements. -18- MONEY MARKET ACCOUNT (CONTINUED) PRINCIPAL VALUE --------- ----- COMMERCIAL PAPER - (CONTINUED) NYNEX CORP $20,000,000 5.520%, 07/09/97 ............. $ 19,975,466 PACIFIC GAS & ELECTRIC CO 20,900,000 5.540%, 08/14/97 ............. 20,754,805 SCHERING CORP 20,000,000 5.630%, 07/29/97 ............. 19,911,279 15,350,000 5.570%, 09/16/97 ............. 15,163,753 4,855,000 5.590%, 09/23/97 ............. 4,790,806 35,000,000 5.650%, 12/02/97 ............. 34,150,084 SEARS ROEBUCK ACCEPTANCE CORP 28,940,000 5.310%, 07/07/97 ............. 28,912,392 9,000,000 5.640%, 08/21/97 ............. 8,926,891 8,110,000 5.550%, 08/22/97 ............. 8,044,984 SOUTHERN CALIFORNIA EDISON CO 15,805,000 5.570%, 08/07/97 ............. 15,711,837 25,000,000 5.620%, 08/08/97 ............. 24,848,668 THE STANLEY WORKS 15,000,000 5.600%, 08/12/97 ............. 14,899,654 TORONTO DOMINION HOLDINGS (U.S.) 20,000,000 5.550%, 12/08/97 ............. 19,495,534 15,568,000 5.570%, 12/15/97 ............. 15,158,250 UBS FINANCE, (DELAWARE) INC 18,880,000 6.150%, 07/01/97 ............. 18,880,000 WALT DISNEY CO 10,000,000 5.350%, 07/07/97 ............. 9,990,460 ------------- 2,608,416,001 ------------- MEDIUM TERM BONDS--1.50% BENEFICIAL CORP 5,000,000 9.375%, 07/28/97 ............. 5,012,825 BETA FINANCE, INC 10,000,000 6.355%, 05/05/98 ............. 10,031,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 10,000,000 5.500%, 02/18/98 ............. 9,983,000 HEINZ (H.J.) CO NOTES 10,000,000 5.500%, 09/15/97 ............. 9,991,000 IBM NOTES 5,000,000 6.375%, 11/01/97 ............. 5,007,500 KEY BANK OF NEW YORK BANK NOTE 10,000,000 5.600%, 11/04/97 ............. 9,987,000 PEPSICO, INC NOTES 10,000,000 6.125%, 01/15/98 ............. 10,009,000 ------------- 60,021,325 ------------- U.S. GOVERNMENT & AGENCIES--0.34% FEDERAL HOME LOAN BANKS 12,000,000 5.420%, 07/24/97 ............. 11,958,446 FEDERAL NATIONAL MORTGAGE ASSOCIATION 1,875,000 5.580%, 11/10/97 ............. 1,837,247 ------------- 13,795,693 ------------- VARIABLE RATE NOTES--17.09% AMERICAN EXPRESS CENTURION BANK 10,000,000 5.657%, 09/11/97 ............. 9,997,000 25,000,000 5.657%, 10/15/97 ............. 25,020,000 30,000,000 5.647%, 11/31/97 ............. 30,000,000 25,000,000 5.647%, 11/17/97 ............. 24,995,000 ASSOCIATES CORP OF NORTH AMERICA 25,000,000 5.570%, 03/02/98 ............. 24,975,000 BANC ONE, DAYTON, N.A. 55,000,000 5.690%, 02/05/98 ............. 54,967,000 BANKERS TRUST CO OF NEW YORK 15,000,000 5.680%, 12/22/97 ............. 15,000,000 BANKERS TRUST NEW YORK CORP 25,000,000 5.640%, 08/18/97 ............. 24,992,000 25,000,000 5.620%, 12/10/97 ............. 24,985,000 CATERPILLAR FINANCIAL SERVICES CORP 14,000,000 5.731%, 03/20/98 ............. 13,997,200 CHRYSLER FINANCIAL CORP 20,000,000 6.031%, 01/16/98 ............. 19,988,000 CORESTATES BANK NA/ PHILADELPHIA NATIONAL BK 25,000,000 5.640%, 10/31/97 ............. 24,992,500 12,000,000 5.657%, 12/03/97 ............. 11,997,600 8,000,000 5.647%, 02/13/98 ............. 8,000,000 FIRST BANK SYSTEM 25,000,000 5.607%, 04/10/98 ............. 24,995,000 FIRST UNION NATIONAL BANK, CHARLOTTE 20,000,000 5.657%, 12/19/97 ............. 19,994,000 15,000,000 5.731%, 12/19/97 ............. 14,995,500 GENERAL ELECTRIC CAPITAL CORP 34,000,000 5.750%, 07/08/97 ............. 33,999,206 HOUSEHOLD FINANCE CORP 25,000,000 5.782%, 06/03/98 ............. 24,995,000 MERRILL LYNCH & CO, INC 10,000,000 6.001%, 05/19/98 ............. 10,020,000 5,000,000 5.820%, 05/20/98 ............. 5,000,000 18,000,000 5.820%, 06/04/98 ............. 17,992,800 MORGAN GUARANTY TRUST CO 30,000,000 5.630%, 02/02/98 ............. 29,988,000 MORGAN GUARANTY TRUST CO 15,000,000 5.615%, 02/19/98 ............. 14,994,000 MORGAN STANLEY GROUP, INC 50,000,000 5.647%, 08/29/97 ............. 49,975,416 NATIONS BANK OF TEXAS 23,000,000 5.720%, 01/09/98 ............. 23,000,000 PNC BANK, NA 25,000,000 5.587%, 11/25/97 ............. 24,977,500 20,000,000 5.597%, 12/11/97 ............. 19,996,000 SEARS ROEBUCK ACCEPTANCE CORP 25,000,000 5.687%, 03/25/98 ............. 25,000,000 SOCIETE GENERALE 13,000,000 5.610%, 01/15/98 ............. 12,993,500 SOUTHTRUST 20,000,000 5.627%, 05/11/98 ............. 19,994,000 ------------- 686,816,222 ------------- TOTAL SHORT TERM INVESTMENTS (COST $4,001,503,185)............. 4,000,932,738 ------------- ROUNDING........................ 71 ------------- TOTAL PORTFOLIO (COST $4,001,503,185).............$4,000,932,809 ============== - ---------------- # Commercial Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. See notes to financial statements. -19- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT (UNAUDITED) JUNE 30, 1997 SUMMARY BY INDUSTRY VALUE % -------- ----- BONDS CORPORATE BONDS AIR TRANSPORTATION ............. $ 10,157,150 0.92% BANKS .......................... 51,648,376 4.66 BROADCASTERS ................... 5,281,100 0.48 ELECTRICAL EQUIPMENT ........... 4,982,498 0.45 FINANCIAL--MISCELLANEOUS ....... 187,437,264 16.92 HEALTHCARE--HOSPITAL SUPPLY .... 10,029,850 0.91 INSURANCE--LIFE ................ 10,140,041 0.92 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ............ 9,895,943 0.89 MISCELLANEOUS MATERIALS & COMMODITIES .................... 992,094 0.09 PETROLEUM--INTEGRATED .......... 14,578,629 1.32 PUBLISHING--NEWSPAPER .......... 13,543,380 1.22 RAILROAD ....................... 4,780,006 0.43 TOBACCO ........................ 1,214,280 0.11 TRUCKERS & SHIPPING ............ 10,028,600 0.91 UTILITIES--ELECTRIC ............ 6,016,180 0.54 UTILITIES--GAS & PIPELINE ...... 8,760,630 0.79 UTILITIES--TELEPHONE ........... 5,080,119 0.45 --------------- ------ TOTAL CORPORATE BONDS (COST $354,357,631) ............ 354,566,140 32.01 --------------- ------ GOVERNMENT BONDS AGENCY SECURITIES ............. 16,123,280 1.46 FOREIGN GOVERNMENT BONDS ...... 27,140,398 2.45 MORTGAGE BACKED SECURITIES .... 336,470,526 30.38 U.S. GOVERNMENT BONDS ......... 11,645,971 1.05 U.S. TREASURY SECURITIES ...... 328,260,400 29.63 --------------- ------ TOTAL GOVERNMENT BONDS (COST $718,783,146) ............ 719,640,575 64.97 --------------- ------ TOTAL BONDS (COST $1,073,140,777) ........... 1,074,206,715 96.98 --------------- ------ PREFERRED STOCK FINANCIAL--MISCELLANEOUS ....... 4,956,896 0.45 --------------- ------ TOTAL PREFERRED STOCK (COST $5,000,000) ............... 4,956,896 0.45 --------------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ............... 83,502,171 7.54 U.S. GOVERNMENT & AGENCIES ..... 2,364,977 0.21 --------------- ------ TOTAL SHORT TERM INVESTMENTS (COST $85,881,187) .............. 85,867,148 7.75 --------------- ------ ROUNDING ...................... 54 0.00 --------------- ------ TOTAL PORTFOLIO (COST $1,164,021,964) ........... 1,165,030,813 105.18 --------------- ------ OTHER ASSETS & LIABILITIES, NET (57,349,700) (5.18) --------------- ------ NET ASSETS ....................... $ 1,107,681,113 100.00% =============== ====== ================================ PRINCIPAL VALUE --------- ----- BONDS--96.98% CORPORATE BONDS--32.01% AIR TRANSPORTATION--0.92% DELTA AIRLINES, INC SERIES 1993-A2 (PASS-THRU TRUST) $5,000,000 10.500%, 04/30/16 ............. $ 6,150,150 FEDERAL EXPRESS CORP NOTE 4,000,000 6.250%, 04/15/98 .............. 4,007,000 ------------ 10,157,150 ------------ BANKS--4.66% ABN AMRO BANK NV (SUBORDINATED DEB) 5,000,000 7.125%, 06/18/07 .............. 5,012,164 ANDINA DE FOMENTO CORP DEB 4,000,000 7.250%, 03/01/07 .............. 4,014,200 ^BANCO DO BRASIL S.A. NOTE 2,000,000 8.375%, 06/15/02 .............. 1,998,569 ^BANCO DO BRASIL S.A. REGD NOTE 3,000,000 9.375%, 06/15/07 .............. 3,000,520 ^BANCO SUD AMERICANO (SUBORDINATED NOTE) 5,000,000 7.600%, 03/15/07 .............. 4,955,220 CHASE MANHATTAN CREDIT CARD MASTER TRUST SERIES 1996-4 (ASSET BACKED CERT) 5,000,000 6.730%, 02/15/03 .............. 5,042,150 CHASE MANHATTAN AUTO OWNER TRUST SERIES 1997-A (CLASS A-4) (ASSET BACKED CERT) 5,000,000 6.400%, 07/16/01 .............. 5,000,586 LONG ISLAND SAVINGS BANK FSB (MEDIUM TERM NOTE) 11,500,000 7.000%, 06/13/02 .............. 11,473,435 MONEY STORE TRUST SERIES 1996-D (ASSET BACKED CERT) 5,000,000 7.000%, 04/15/28 .............. 4,987,500 NATIONSBANK AUTO GRANTOR TRUST SERIES 1995-A (ASSET BACKED CERT) 1,205,122 5.850%, 06/15/02 .............. 1,202,482 SWISS BANK CORP (MEDIUM TERM NOTE) 5,000,000 7.375%, 06/15/17 .............. 4,961,550 ------------ 51,648,376 ------------ BROADCASTERS--0.48% CONTINENTAL CABLEVISION (SR NOTE) 5,000,000 8.500%, 09/15/01 .............. 5,281,100 ------------ ELECTRICAL EQUIPMENT--0.45% HARMAN INTERNATIONAL INDUSTRIES NOTE 5,000,000 7.320%, 07/01/07 .............. 4,982,498 ------------ See notes to financial statements. -20- BOND MARKET ACCOUNT (CONTINUED) PRINCIPAL VALUE - --------- ----- FINANCIAL--MISCELLANEOUS--16.92% AAMES MORTGAGE TRUST SERIES 1997-B (CLASS M2F) (ASSET BACKED CERT) $5,000,000 7.380%, 06/15/27 ............... $ 4,973,219 AAMES MORTGAGE TRUST SERIES 1997-B (CLASS M1F) (ASSET BACKED CERT) 5,000,000 7.130%, 06/15/27 ............... 4,971,765 ASSOCIATED P & C HOLDINGS, INC (SR NOTE) 5,000,000 6.750%, 07/15/03 ............... 4,792,229 ASSOCIATES CORP N.A. DEB 5,000,000 6.000%, 06/15/01 ............... 4,857,250 AT&T CAPITAL CORP (MEDIUM TERM NOTE) 5,000,000 5.850%, 01/05/99 ............... 4,965,900 AT&T CAPITAL CORP (MEDIUM TERM NOTE) 10,000,000 6.390%, 01/22/99 ............... 10,019,200 BENEFICIAL CORP (MEDIUM TERM NOTE) 5,000,000 8.170%, 11/09/99 ............... 5,178,550 BLOCK MORTGAGE FINANCE, INC SERIES 1997-1 (CLASS A-2) (ASSET BACKED CERT) 5,000,000 6.850%, 10/25/11 ............... 5,003,012 ^CARR AMERICA REALTY CORP 10,000,000 7.375%, 07/01/07 ............... 9,975,519 CASE EQUIPMENT LOAN TRUST SERIES 1997-A (CLASS A-3) (ASSET BACKED CERT) 5,000,000 6.450%, 03/15/04 ............... 5,010,351 CONTI MORTGAGE HOME EQUITY LOAN TRUST 5,000,000 6.480%, 01/15/12 ............... 4,996,850 DELTA FUNDING HOME EQUITY LOAN TRUST SERIES 1997-2 (ASSET BACKED CERT) 5,000,000 7.240%, 06/25/29 ............... 4,987,500 ^DR INVESTMENTS (SR NOTE) 5,000,000 7.450%, 05/15/07 ............... 5,051,800 ^ERAC USA FINANCE CO NOTE 5,000,000 6.950%, 03/01/04 ............... 4,961,450 FIRST PLUS HOME LOAN TRUST SERIES 1997-1 (CLASS A-3) (ASSET BACKED CERT) 4,000,000 6.450%, 02/10/09 ............... 3,979,531 FLEETWOOD CREDIT CORP GRANTOR TRUST SERIES 1996-B (CLASS A) (ASSET BACKED CERT) 4,204,419 6.900%, 03/15/12 ............... 4,237,758 GMAC GRANTOR TRUST SERIES 1997-A (ASSET BACKED CERT) 4,605,713 6.500%, 04/15/02 ............... 4,621,510 GREEN TREE FINANCIAL CORP SERIES 1993-3 (CLASS A-5) (ASSET BACKED CERT) 5,000,000 5.750%, 10/15/18 ............... 4,871,850 HIGHWOODS/FORSYTH LTD PARTNERSHIP NOTE 5,000,000 7.000%, 12/01/06 ............... 4,847,150 HOMESIDE LENDING, INC (MEDIUM TERM NOTE) 7,000,000 6.875%, 06/30/02 ............... 6,969,421 HOUSEHOLD INTERNATIONAL NETHERLANDS (SR NOTE) 3,000,000 6.125%, 03/01/03 ............... 2,870,280 IMC HOME EQUITY LOAN TRUST SREIES 1997-2 (CLASS A-2) (ASSET BACKED CERT) 7,500,000 6.700%, 11/20/11 ............... 7,510,547 IMC HOME EQUITY LOAN TRUST SERIES 1997-3 (CLASS B) (ASSET BACKED CERT) 3,000,000 7.870%, 08/20/28 ............... 3,004,687 IMC HOME EQUITY LOAN TRUST SERIES 1997-3 (CLASS M2)(ASSET BACKED CERT) 5,000,000 7.550%, 08/20/28 ............... 5,006,054 LEHMAN BROTHERS HOLDINGS, INC (MEDIUM TERM NOTE) 6,450,000 6.900%, 01/29/01 ............... 6,460,126 ^NATIONAL CITY CAPTIAL TRUST (GUARANTEE NOTE) 10,000,000 6.750%, 06/01/99 ............... 10,045,744 NAVISTAR FINANCIAL CORP OWNER TRUST SERIES 1997-A (CLASS A-3) (ASSET BACKED CERT) 10,000,000 6.750%, 03/15/02 ............... 10,077,344 POPULAR, INC (MEDUIM TERM NOTE) 10,000,000 6.715%, 06/06/00 ............... 10,005,803 SALOMON, INC 4,000,000 7.300%, 05/15/02 ............... 4,036,040 STANDARD CREDIT CARD MASTER TRUST SERIES 1991-6 (CLASS B) (ASSET BACKED CERT) 4,225,000 8.350%, 01/07/00 ............... 4,338,525 TOYOTA AUTO RECEIVABLES GRANTOR TRUST SERIES 1997-A (CLASS B) (ASSET BACKED CERT) 4,627,314 6.600%, 04/15/02 ............... 4,644,666 VANDERBILT MORTGAGE & FINANCE, INC SERIES 1997-A (CLASS IA-2) 5,000,000 6.525%, 12/07/28 ............... 4,998,633 ^ZURICH CAPITAL TRUST (GUARANTEE NOTE) 5,000,000 8.376%, 06/01/37 ............... 5,167,000 ------------ 187,437,264 ------------ HEALTHCARE--HOSPITAL SUPPLY--0.91% COLUMBIA/HCA HEALTHCARE CORP NOTE 5,000,000 6.500%, 03/15/99 ............... 5,017,350 TENET HEALTHCARE CORP (SR NOTE) 5,000,000 7.875%, 01/15/03 ............... 5,012,500 ------------ 10,029,850 ------------ INSURANCE--LIFE--0.92% ^AON CAPITAL CORP NOTE 5,000,000 8.205%, 01/01/27 ............... 5,126,941 ^NEW ENGLAND MUTUAL LIFE INSURANCE CO NOTE 5,000,000 7.875%, 02/15/24 ............... 5,013,100 ------------ 10,140,041 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.89% INTEGON CORP (SR NOTE) 5,000,000 8.000%, 08/15/99 ............... 5,101,436 ^TRANSAMERICA CORP NOTE 5,000,000 7.800%, 12/01/26 ............... 4,794,507 ------------ 9,895,943 ------------ See notes to financial statements. -21- BOND MARKET ACCOUNT (CONTINUED) PRINCIPAL VALUE - --------- ----- MISCELLANEOUS MATERIALS & COMMODITIES--0.09% ^CSN IRON S.A. (GUARANTEE NOTE) $1,000,000 9.125%, 06/01/07 ............... $ 992,094 ----------- PETROLEUM--INTEGRATED--1.32% ^PETROZUATA FINANCE, INC SERIES B 5,000,000 8.220%, 04/01/17 ............... 5,090,450 SOCIEDAD YPF ANONIMA NOTE 9,383,886 7.500%, 10/26/02 ............... 9,488,179 ----------- 14,578,629 ----------- PUBLISHING--NEWSPAPER--1.22% BELO (A.H.) CORP (SR NOTE) 6,000,000 6.875%, 06/01/02 ............... 5,999,580 BELO (A.H.) CORP DEB 7,500,000 7.750%, 06/01/27 ............... 7,543,800 ----------- 13,543,380 ----------- RAILROAD--0.43% ^RAILCAR LEASING (SR NOTE) (ASSET BACKED CERT) 4,796,199 6.750%, 07/15/06 ............... 4,780,006 ----------- TOBACCO--0.11% PHILIP MORRIS COS, INC NOTE 1,200,000 7.375%, 02/15/99 ............... 1,214,280 ----------- TRUCKERS & SHIPPING--0.91% ^PENINSULAR & ORIENTAL STEAM NOTE 10,000,000 7.300%, 06/01/07 ............... 10,028,600 ----------- UTILITIES--ELECTRIC--0.54% ^CLEVELAND ELECTRIC/TOLEDO EDISON CO NOTE 5,000,000 7.190%, 07/01/00 ............... 5,014,350 EL PASO ELECTRIC CO (FIRST MTGE BOND) 1,000,000 7.250%, 02/01/99 ............... 1,001,830 ----------- 6,016,180 ----------- UTILITIES--GAS & PIPELINE--0.79% BURLINGTON RESOURCES, INC NOTE 3,250,000 7.150%, 05/01/99 ............... 3,289,130 EL PASO NATURAL GAS DEB 2,500,000 7.500%, 11/15/26 ............... 2,473,300 TENNESSEE GAS PIPELINE DEB 3,000,000 7.000%, 03/15/27 ............... 2,998,200 ----------- 8,760,630 ----------- UTILITIES--TELEPHONE--0.45% US WEST CAPITAL FUNDING, INC DEB 5,000,000 7.950%, 02/01/97 ............... 5,080,119 ----------- TOTAL CORPORATE BONDS (COST $354,357,631) ................ 354,566,140 ----------- GOVERNMENT BONDS--64.97% AGENCY SECURITIES--1.46% FEDERAL FARM CREDIT BANK 5,000,000 6.440%, 11/05/99 ............... 4,986,700 FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 3,000,000 7.100%, 04/10/07 ............... 3,060,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION 3,000,000 8.250%, 12/18/00 ............... 3,161,730 5,000,000 6.850%, 09/12/05 ............... 4,914,850 ----------- 16,123,280 ----------- FOREIGN GOVERNMENT BONDS--2.45% EMPRESSA NACIONAL DE ELECTRICIDAD CHILE NOTE 5,000,000 8.125%, 02/01/97 ............... 5,115,800 EXPORT \ IMPORT BANK OF KOREA NOTE 3,000,000 6.500%, 05/15/00 ............... 2,978,610 PHILIPPINE LONG DISTANCE TELEPHONE CO NOTE 6,000,000 7.850%, 03/06/07 ............... 5,744,950 REPUBLIC OF COLUMBIA NOTE 3,500,000 7.625%, 02/15/07 ............... 3,416,000 REPUBLIC SOUTH AFRICA NOTE 5,000,000 8.500%, 06/23/17 ............... 4,966,631 ^SAKURA CAPITAL FUNDING (GUARANTEE NOTE) 5,000,000 7.320%, 08/29/49 ............... 4,918,407 ----------- 27,140,398 ----------- MORTGAGE BACKED SECURITIES--30.38% EASTVIEW CREDIT CORP (CLASS A) (COMMERICAL MTGE PASS- THRU) 5,000,000 6.950%, 06/15/04 ............... 4,939,885 FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 3,884,078 5.500%, 09/01/00 ............... 3,776,877 871,370 7.000%, 09/01/10 ............... 872,546 6,556,002 6.000%, 04/01/11 ............... 6,336,769 3,341,794 7.000%, 05/01/23 ............... 3,300,021 5,197,346 7.500%, 05/01/24 ............... 5,239,548 4,622,983 6.500%, 12/01/25 ............... 4,433,718 9,374,639 7.500%, 12/01/25 ............... 9,425,918 4,901,370 6.500%, 04/01/26 ............... 4,700,707 12,000,000 8.000%, 07/01/27 ............... 12,281,250 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 13,057,537 7.000%, 01/01/12 ............... 13,028,940 3,755,723 7.500%, 08/01/01 ............... 3,803,796 4,431,319 6.000%, 12/01/02 ............... 4,320,403 4,048,825 7.000%, 04/01/09 ............... 4,060,202 16,082,124 6.500%, 05/01/09 ............... 15,857,617 4,030,125 7.500%, 11/01/10 ............... 4,093,075 3,257,493 8.000%, 06/01/11 ............... 3,351,145 898,816 8.000%, 07/01/11 ............... 924,656 1,965,789 6.500%, 02/01/16 ............... 1,904,338 978,463 6.500%, 03/01/16 ............... 947,876 1,911,165 6.500%, 04/01/16 ............... 1,847,255 9,000,000 7.000%, 03/18/24 ............... 8,796,094 14,031,962 8.500%, 12/01/24 ............... 14,634,915 965,074 9.000%, 02/01/25 ............... 1,019,957 1,746,065 9.000%, 03/01/25 ............... 1,845,363 4,754,574 7.500%, 07/01/26 ............... 4,764,938 9,563,729 6.500%, 04/01/27 ............... 9,142,255 32,000,000 7.000%, 07/01/27 ............... 31,350,000 16,000,000 8.000%, 07/01/27 ............... 16,355,000 See notes to financial statements. -22- BOND MARKET ACCOUNT (CONTINUED) PRINCIPAL VALUE - --------- ----- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) $ 581,559 8.500%, 10/15/09 ............. $ 606,089 4,732,638 9.000%, 12/15/09 ............. 5,052,043 1,307,275 8.500%, 12/15/09 ............. 1,362,415 1,255,954 8.500%, 01/15/10 ............. 1,308,929 204,642 9.000%, 06/15/16 ............. 219,732 316,705 9.000%, 08/15/16 ............. 340,058 739,415 9.000%, 09/15/16 ............. 793,938 227,278 9.000%, 10/15/16 ............. 244,037 187,624 9.000%, 11/15/16 ............. 201,459 757,367 9.000%, 12/15/16 ............. 813,214 3,065,904 9.500%, 12/15/16 ............. 3,326,505 280,556 9.000%, 07/15/17 ............. 301,244 282,733 9.000%, 06/15/20 ............. 302,388 4,618,438 7.000%, 03/20/22 ............. 4,743,274 8,351,325 7.000%, 02/20/23 ............. 8,582,322 6,851,285 6.500%, 09/15/23 ............. 6,602,925 13,196,807 6.875%, 12/20/23 ............. 13,510,231 4,432,353 6.500%, 01/15/24 ............. 4,267,513 2,648,820 6.500%, 03/15/24 ............. 2,550,310 4,025,452 8.000%, 06/15/24 ............. 4,127,295 5,300,719 6.500%, 09/15/24 ............. 5,103,585 5,375,555 9.000%, 01/15/25 ............. 5,684,593 1,708,966 8.000%, 06/15/25 ............. 1,749,536 2,581,248 8.000%, 08/15/25 ............. 2,642,526 1,828,206 7.000%, 12/15/25 ............. 1,795,627 12,146,557 7.500%, 12/15/25 ............. 12,188,219 19,728,267 7.500%, 05/15/26 ............. 19,783,703 10,069,423 7.000%, 03/20/27 ............. 9,842,760 8,058,412 7.000%, 04/20/27 ............. 7,877,017 MORTGAGE CAPITAL FUNDING, INC SERIES 1996 (CLASS A-3) 5,000,000 7.008%, 09/20/06 ............. 5,068,554 RESOLUTION TRUST CORP SERIES 1992-8 (CLASS A-2) (MTGE PASS-THROUGH CERT) 498,817 8.250%, 12/25/26 ............. 495,394 US DEPT OF VETERANS (CLASS 2-1) (MTGE PASS-THRU) 7,500,000 7.500%, 09/15/17 ............. 7,628,027 ------------ 336,470,526 ------------ U.S. GOVERNMENT BONDS--1.05% ^NEW YORK CITY TAX LIEN SERIES 1996-1 (COLLECTIBLE BOND) 1,556,417 6.810%, 05/25/05 ............. 1,565,171 TENNESSEE VALLEY AUTHORITY DEB 10,000,000 5.980%, 04/01/36 ............. 10,080,800 ------------ 11,645,971 ------------ U.S. TREASURY SECURITIES--29.63% U.S. TREASURY BONDS 30,000,000 6.875%, 08/15/25 ............. 30,112,500 46,000,000 * 7.500%, 11/15/16 ............. 49,155,140 22,500,000 6.500%, 11/15/26 ............. 21,578,850 U.S. TREASURY NOTES 28,000,000 * 8.875%, 02/15/99 ............. 29,216,320 25,000,000 6.750%, 05/31/99 ............. 25,289,000 7,000,000 6.375%, 05/15/00 ............. 7,025,130 19,000,000 7.750%, 01/31/00 ............. 19,691,790 35,000,000 * 8.750%, 08/15/00 ............. 37,433,550 38,000,000 5.625%, 02/28/01 ............. 37,151,080 13,000,000 6.500%, 05/31/02 ............. 13,052,780 15,000,000 7.250%, 05/15/04 ............. 15,635,100 43,000,000 * 6.500%, 05/15/05 ............. 42,919,160 -------------- 328,260,400 -------------- TOTAL GOVERNMENT BONDS (COST $718,783,146) ............. 719,640,575 -------------- TOTAL BONDS (COST $1,073,140,777)............. 1,074,206,715 -------------- SHARES ------ PREFERRED STOCK--0.45% FINANCIAL--MISCELLANEOUS--0.45% 5,000 HIGHWOODS PROPERTIES ............ 4,956,896 -------------- TOTAL PREFERRED STOCK (COST $5,000,000) ................ 4,956,896 -------------- PRINCIPAL --------- SHORT TERM INVESTMENTS--7.75% COMMERCIAL PAPER--7.54% BURLINGTON NORTHERN SANTA FE 20,000,000 5.720%, 07/14/97 ............. 19,955,356 CONAGRA, INC 2,700,000 6.100%, 07/02/97 ............. 2,699,168 5,470,000 5.720%, 07/14/97 ............. 5,457,789 CSX CORP 6,300,000 5.800%, 07/07/97 ............. 6,293,213 5,000,000 5.770%, 07/14/97 ............. 4,988,839 DAYTON HUDSON CORP 13,000,000 5.750%, 07/14/97 ............. 12,970,981 7,000,000 5.720%, 07/14/97 ............. 6,984,374 FEDERAL EXPRESS CORP 4,000,000 5.800%, 07/09/97 ............. 3,994,260 HOUSTON LIGHTING & POWER CO 7,182,000 5.800%, 07/01/97 ............. 7,180,643 TEXAS UTILITIES CO 12,980,000 5.800%, 07/01/97 ............. 12,977,548 -------------- 83,502,171 -------------- U.S. GOVERNMENT & AGENCIES--0.21% FEDERAL HOME LOAN MORTGAGE CORP 2,370,000 5.410%, 07/14/97 ............. 2,364,977 -------------- TOTAL SHORT TERM INVESTMENTS (COST $85,881,187)................ 85,867,148 -------------- ROUNDING........................ 54 -------------- TOTAL PORTFOLIO (COST $1,164,021,964).............$1,165,030,813 ============== - ---------- * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. ^ Security is exempt from registration under Rule 144A of the Securities Act of 1933 and may be resold in transactions exempt from registration normally to qualified institutional buyers. At 06/30/97, the value of these securities amounted to $92,479,448 or 8.35% of net assets. See notes to financial statements. -23- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (UNAUDITED) JUNE 30, 1997 SUMMARY BY INDUSTRY VALUE % -------- ------- BONDS CORPORATE BONDS AIR TRANSPORTATION ............... $ 2,640,563 0.14% BANKS ............................ 52,507,009 2.71 BROADCASTERS ..................... 12,146,775 0.63 BUSINESS SERVICES ................ 1,052,930 0.05 CHEMICAL--SPECIALTY .............. 5,312,400 0.27 COMMUNICATION EQUIPMENT & SERVICES 5,000,200 0.26 FINANCIAL--MISCELLANEOUS ......... 39,372,214 2.04 FOODS ............................ 6,962,250 0.36 HEALTHCARE--DRUGS ................ 5,050,950 0.26 HEALTHCARE--HOSPITAL SUPPLY ...... 3,007,500 0.16 HEALTHCARE--OTHER ................ 5,123,800 0.26 INSURANCE--LIFE .................. 2,859,840 0.15 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY .............. 3,441,745 0.18 OFFICE EQUIPMENT ................. 5,014,900 0.26 PUBLISHING--OTHER ................ 4,789,400 0.25 RAILROAD ......................... 3,017,490 0.16 RETAIL--FOOD ..................... 2,112,500 0.11 RETAIL--GENERAL MERCHANDISE ...... 17,961,730 0.93 UTILITIES--ELECTRIC .............. 6,341,890 0.33 UTILITIES--GAS & PIPELINE ........ 4,935,650 0.25 UTILITIES--TELEPHONE ............. 11,145,400 0.57 ------------ ----- TOTAL CORPORATE BONDS (COST $199,984,301) .............. 199,797,136 10.33 ------------ ----- GOVERNMENT BONDS AGENCY SECURITIES ................ 36,082,610 1.87 MORTGAGE BACKED SECURITIES ....... 226,662,873 11.72 U.S. TREASURY SECURITIES ......... 278,347,140 14.38 ------------ ----- TOTAL GOVERNMENT BONDS (COST $538,250,418) .............. 541,092,623 27.97 ------------ ----- TOTAL BONDS (COST $738,234,719) .............. 740,889,759 38.30 ------------ ----- COMMON STOCK AIR TRANSPORTATION ............... 12,014,236 0.62 AUTOMOTIVE & RELATED ............. 17,204,280 0.89 BANKS ............................ 107,056,979 5.53 BEVERAGES ........................ 36,335,250 1.88 BROADCASTERS ..................... 6,038,764 0.31 BUSINESS SERVICES ................ 6,544,680 0.34 CHEMICALS--MAJOR ................. 16,007,850 0.83 CHEMICALS--SPECIALTY ............. 18,441,392 0.95 COMMUNICATION EQUIPMENT & SERVICES 11,857,949 0.61 COMPUTER SERVICE ................. 44,956,623 2.32 CONGLOMERATES .................... 24,281,040 1.26 COSMETICS ........................ 20,553,337 1.06 ELECTRICAL EQUIPMENT ............. 2,588,006 0.13 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED ........... 34,941,875 1.81 ELECTRICAL EQUIPMENT--INSTRUMENTS 3,342,350 0.17 FINANCIAL--MISCELLANEOUS ......... 67,274,044 3.48 FOODS ............................ 53,008,631 2.74 HEALTHCARE--DRUGS ................ 64,881,830 3.35 HEALTHCARE--HOSPITAL SUPPLY ...... 4,371,000 0.23 HEALTHCARE--OTHER ................ 43,800,187 2.26 HEALTHCARE--SERVICE .............. 9,329,036 0.48 HOUSEHOLD--DURABLE GOODS ......... 6,050,737 0.31 HOUSEHOLD--PRODUCTS .............. 48,465,175 2.51 INSURANCE--BROKERS & OTHER ....... 571,000 0.03 INSURANCE--LIFE .................. 24,346 0.00 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY .............. 54,291,904 2.81 LEISURE TIME ..................... 20,782,387 1.07 MACHINERY ........................ 17,190,671 0.89 METALS--ALUMINUM ................. 3,346,087 0.17 METALS--GOLD ..................... 4,781,127 0.25 METALS--STEEL .................... 7,177,811 0.37 OFFICE EQUIPMENT ................. 69,786,520 3.61 PAPER ............................ 19,624,081 1.01 PETROLEUM-- EXPLORATION & PRODUCTION ......... 19,409,993 1.00 PETROLEUM--SERVICE ............... 39,704,593 2.05 PROPERTY--REAL ESTATE ............ 5,319,275 0.27 PUBLISHING--NEWSPAPER ............ 16,866,948 0.87 PUBLISHING--OTHER ................ 11,935,705 0.62 RAILROAD ......................... 14,145,300 0.73 RESTAURANTS & HOTELS ............. 14,057,430 0.73 RETAIL--FOOD ..................... 5,488,475 0.28 RETAIL--GENERAL MERCHANDISE ...... 36,697,689 1.90 TEXTILE & APPAREL ................ 7,998,175 0.41 TRUCKERS & SHIPPING .............. 4,000,912 0.21 UTILITIES--ELECTRIC .............. 26,954,310 1.40 UTILITIES--GAS & PIPELINE ........ 28,273,724 1.47 UTILITIES--TELEPHONE ............. 80,016,388 4.15 ------------- ------ TOTAL COMMON STOCK (COST $632,268,240) ............... 1,167,790,102 60.37 ------------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER .................. 35,179,407 1.82 U.S. GOVERNMENT & AGENCIES ........ 3,971,564 0.21 ------------- ------ TOTAL SHORT TERM INVESTMENTS (COST $39,157,415) ................ 39,150,971 2.03 ------------- ------ ROUNDING ....................... 83 0.00 ------------- ------ TOTAL PORTFOLIO (COST $1,409,660,374) ............. 1,947,830,915 100.70 ------------- ------ OTHER ASSETS & LIABILITIES, NET (13,480,852) (0.70) ------------- ------ NET ASSETS .........................$ 1,934,350,063 100.00% =============== ====== See notes to financial statements. -24- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (UNAUDITED) JUNE 30, 1997 PRINCIPAL VALUE --------- ----- BONDS--38.30% CORPORATE BONDS--10.33% AIR TRANSPORTATION--0.14% DELTA AIRLINES, INC SERIES 1992-B1 (PASS-THRU CERT) $2,498,262 8.270%, 09/23/07 ..............$ 2,640,563 ------------- BANKS--2.71% BANC ONE CORP (MEDIUM TERM NOTE) 5,000,000 7.000%, 03/25/02 .............. 5,033,000 BANKAMERICA CORP (SUBORDINATED NOTE) 2,000,000 9.750%, 07/01/00 .............. 2,168,180 BANKERS TRUST NEW YORK CORP NOTE 5,000,000 6.750%, 10/03/01 .............. 4,996,900 BARNETT BANK, INC (MEDIUM TERM NOTE) 4,000,000 6.250%, 07/28/98 .............. 4,006,200 CAPITAL ONE BANK (SR NOTE) 5,000,000 7.200%, 07/19/99 .............. 5,058,600 CHASE MANHATTAN CORP NEW (SUBORDINATED NOTE) 5,000,000 8.500%, 02/15/02 .............. 5,326,800 CHASE MANHATTAN AUTO OWNER TRUST SERIES 1997-A (CLASS A-4) (ASSET BACKED CERT) 5,000,000 6.400%, 07/16/01 .............. 5,000,586 EQUICREDIT HOME EQUITY LOAN TRUST SERIES 1996-3 (CLASS A4) (ASSET BACKED CERT) 3,000,000 6.700%, 06/15/08 .............. 3,003,750 FLEET MORTGAGE GROUP, INC NOTE 1,200,000 6.500%, 09/15/99 .............. 1,201,056 NATIONSBANK CORP (ASSET BACKED CERT) 2,885,110 6.125%, 07/15/99 .............. 2,890,505 NATIONSBANK CREDIT CARD MASTER TRUST SERIES 1993-2 (CLASS A) (ASSET BACKED CERT) 3,000,000 6.000%, 12/15/05 .............. 2,878,110 UCFCM SERIES 1997-2B1 (SUBORDINATED DEB) (ASSET BACKED CERT) 6,000,000 7.370%, 02/15/18 .............. 5,957,812 ^WACH0VIA CAPITAL TRUST DEB 5,000,000 7.965%, 06/01/27 .............. 4,985,510 ------------- 52,507,009 ------------- BROADCASTERS--0.63% BLOCKBUSTER ENTERTAINMENT CORP (SR NOTE) 3,000,000 6.625%, 02/15/98 .............. 3,002,490 CONTINENTAL CABLEVISION (SR NOTE) 5,000,000 8.300%, 05/15/06 .............. 5,301,900 COX COMMUNICIATIONS, INC (CLASS A) NOTE 3,500,000 8.700%, 06/15/99 .............. 3,643,535 VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 205,000 8.000%, 07/07/06 .............. 198,850 ------------- 12,146,775 ------------- BUSINESS SERVICES--0.05% DELUXE CORP DEB 1,000,000 8.550%, 02/15/01 .............. 1,052,930 ------------- CHEMICAL--SPECIALTY--0.27% LYONDELL PETROCHEMICAL CO NOTE 5,000,000 10.000%, 06/01/99 ............. 5,312,400 ------------- COMMUNICATION EQUIPMENT & SERVICES--0.26% 360 COMMUNICATIONS CO (SR NOTE) 5,000,000 7.600%, 04/01/09 .............. 5,000,200 ------------- FINANCIAL--MISCELLANEOUS--2.04% ADVANTA MORTGAGE LOAN TRUST SERIES 1997-1 (CLASS A-2) (ASSET BACKED CERT) 5,000,000 7.100%, 04/25/20 .............. 5,031,250 AMERICAN EXPRESS MASTER TRUST SERIES 1994-2 (CLASS A) (ASSET BACKED CERT) 3,125,000 7.600%, 08/15/02 .............. 3,224,593 CITIBANK CREDIT CARD MASTER TRUST SERIES 1997-2 (CLASS B) (ASSET BACKED CERT) 3,000,000 6.700%, 02/15/04 .............. 2,986,860 DEAN WITTER DISCOVERY & CO NOTE 5,000,000 6.875%, 03/01/03 .............. 4,993,800 DISCOVER CARD TRUST SERIES 1993-B (ASSET BACKED CERT) 3,000,000 6.750%, 02/16/02 .............. 3,010,290 FLEETWOOD CREDIT 1993-B GRANTOR TRUST (CLASS A) (ASSET BACKED CERT) 3,365,233 4.950%, 08/15/08 .............. 3,251,656 HOUSEHOLD INTERNATIONAL NETHERLANDS BV (SR NOTE) 4,000,000 5.250%, 10/15/98 .............. 3,950,960 MORGAN STANLEY GROUP, INC (SR NOTE) 5,000,000 9.750%, 02/15/03 .............. 5,279,650 SMITH BARNEY HOLDINGS NOTE 5,000,000 7.000%, 03/15/04 .............. 5,004,100 STANDARD CREDIT CARD MASTER TRUST SERIES 1991-6 (CLASS B) (ASSET BACKED CERT) 2,570,000 8.350%, 01/07/00 .............. 2,639,055 ------------- 39,372,214 ------------- FOODS--0.36% CAMPBELL SOUP CO NOTE 2,000,000 5.625%, 09/15/03 .............. 1,859,900 SYSCO CORP NOTE 5,000,000 7.250%, 04/15/07 .............. 5,102,350 ------------- 6,962,250 ------------- HEALTHCARE--DRUGS--0.26% MERCK & CO, INC (MEDUIM TERM NOTE) 5,000,000 5.760%, 05/03/37 .............. 5,050,950 ------------- HEALTHCARE--HOSPITAL SUPPLY--0.16% TENET HEALTHCARE CORP (SR NOTE) 3,000,000 8.000%, 01/15/05 .............. 3,007,500 ------------- HEALTHCARE--OTHER--0.26% SERVICE CORP INTERNATIONAL NOTE 5,000,000 7.375%, 04/15/04 .............. 5,123,800 ------------- See notes to financial statements. -25- SOCIAL CHOICE ACCOUNT (CONTINUED) INSURANCE--LIFE--0.15% ^HANCOCK (JOHN) MUTUAL LIFE INSURANCE CO (SURPLUS NOTE) $3,000,000 7.375%, 02/15/24 ............... $ 2,859,840 ----------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.18% CHUBB CAPITAL CORP NOTE 1,500,000 6.875%, 02/01/03 ............... 1,501,665 TRAVELERS CAPITAL CORP DEB 2,000,000 7.750%, 12/01/36 ............... 1,940,080 ----------- 3,441,745 ----------- OFFICE EQUIPMENT--0.26% ^XEROX CAPTIAL TRUST DEB 5,000,000 8.000%, 02/01/27 ............... 5,014,900 ----------- PUBLISHING--OTHER--0.25% ^TIME WARNER SERIES (PASS-THRU CERT) 5,000,000 6.100%, 12/30/01 ............... 4,789,400 ----------- RAILROAD--0.16% NORFOLK SOUTHERN CORP NOTE 3,000,000 6.950%, 05/01/02 ............... 3,017,490 ----------- RETAIL--FOOD--0.11% KROGER CO (SUBORDINATED NOTE) 2,000,000 10.000%, 05/01/99 .............. 2,112,500 ----------- RETAIL--GENERAL MERCHANDISE--0.93% DILLIARD DEPARTMENT STORES, INC NOTE 2,000,000 7.150%, 09/01/02 ............... 2,027,500 MAY DEPARTMENT STORES CO NOTE 3,000,000 7.150%, 08/15/04 ............... 3,025,650 SEARS ROEBUCK ACCEPTANCE CORP (MEDIUM TERM NOTE) 5,000,000 6.990%, 09/30/02 ............... 5,013,650 WAL-MART STORES, INC DEB 5,500,000 9.100%, 07/15/00 ............... 5,885,770 WAL-MART STORES, INC DEB 2,000,000 7.250%, 06/01/13 ............... 2,009,160 ----------- 17,961,730 ----------- UTILITIES--ELECTRIC--0.33% IDAHO POWER CO (FIRST MTGE BOND) 1,000,000 8.650%, 01/01/00 ............... 1,046,390 PUGET SOUND POWER & LIGHT CO (MEDIUM TERM NOTE) 5,000,000 8.060%, 06/19/06 ............... 5,295,500 ----------- 6,341,890 ----------- UTILITIES--GAS & PIPELINE--0.25% EL PASO NATURAL GAS CO NOTE 5,000,000 6.750%, 11/15/03 ............... 4,935,650 ----------- UTILITIES--TELEPHONE--0.57% NEW YORK TELEPHONE CO DEB 3,000,000 7.250%, 02/15/24 ............... 2,847,720 SOUTHWESTERN BELL TELEPHONE CO NOTE 3,000,000 6.250%, 10/15/02 ............... 2,939,550 US WEST CAPITAL FUNDING, INC (GUARANTEED NOTE) 3,000,000 6.950%, 01/15/37 ............... 2,993,430 US WEST COMMUNICATIONS, INC NOTE 2,500,000 6.125%, 11/15/05 ............... 2,364,700 ----------- 11,145,400 ----------- TOTAL CORPORATE BONDS (COST $199,984,301) ................ 199,797,136 ------------ GOVERNMENT BONDS--27.97% AGENCY SECURITIES--1.87% FEDERAL FARM CREDIT BANK 3,000,000 6.440%, 11/05/99 ............... 2,992,020 FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 5,000,000 7.090%, 11/24/06 ............... 4,910,150 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 3,000,000 6.670%, 09/05/00 ............... 2,990,610 2,000,000 6.375%, 10/13/00 ............... 1,975,620 1,000,000 8.250%, 12/18/00 ............... 1,053,910 9,000,000 7.875%, 02/24/05 ............... 9,634,230 8,000,000 5.800%, 02/22/06 ............... 7,442,480 1,000,000 7.400%, 07/01/04 ............... 1,042,340 U.S. S.B.A. SERIES 1997-A (PASS-THRU CERT) 4,000,000 7.380%, 03/10/07 ............... 4,041,250 ------------- 36,082,610 ------------- MORTGAGE BACKED SECURITIES--11.72% FEDERAL HOME LOAN MORTGAGE ASSOCIATION 2,045,000 6.000%, 10/15/10 ............... 2,039,887 4,492,112 6.000%, 03/01/11 ............... 4,341,895 1,337,508 7.000%, 05/01/23 ............... 1,320,789 4,291,713 7.500%, 02/01/24 ............... 4,330,595 4,901,370 6.500%, 04/01/26 ............... 4,700,707 5,847,624 7.500%, 04/01/26 ............... 5,879,610 3,000,000 8.000%, 07/01/27 ............... 3,070,312 FEDERAL NATIONAL MORTGAGE ASSOCIATION 10,452,052 7.000%, 04/01/12 ............... 10,429,162 4,431,319 6.000%, 12/01/02 ............... 4,320,403 6,550,000 6.500%, 08/25/03 ............... 6,550,000 645,163 8.500%, 02/01/05 ............... 660,279 6,465,340 6.500%, 05/01/11 ............... 6,346,118 1,843,866 7.500%, 06/01/11 ............... 1,872,667 1,556,061 8.000%, 06/01/11 ............... 1,600,797 1,797,633 8.000%, 07/01/11 ............... 1,849,314 439,150 7.500%, 08/01/11 ............... 445,460 720,535 7.500%, 09/01/11 ............... 730,888 1,660,740 7.500%, 10/01/11 ............... 1,684,603 6,410,345 6.500%, 12/01/23 ............... 6,169,957 3,000,000 7.000%, 03/18/24 ............... 2,932,031 9,354,641 8.500%, 12/01/24 ............... 9,756,609 4,258,423 9.000%, 04/01/25 ............... 4,500,599 717,051 9.000%, 06/01/25 ............... 757,829 4,389,389 7.500%, 09/01/25 ............... 4,405,849 8,481,955 6.500%, 06/01/26 ............... 8,118,842 13,500,000 7.000%, 07/01/27 ............... 13,225,781 10,300,000 8.000%, 07/01/27 ............... 10,528,531 See notes to financial statements. -26- SOCIAL CHOICE ACCOUNT (CONTINUED) PRINCIPAL VALUE - --------- ----- MORTGAGE BACKED SECURITIES--(CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION $ 774,955 8.500%, 09/15/09 ............... $ 807,642 676,106 8.500%, 10/15/09 ............... 704,624 4,575,845 9.000%, 12/15/09 ............... 4,884,668 565,927 8.500%, 12/15/09 ............... 589,797 4,380,161 9.000%, 12/15/17 ............... 4,703,154 459,911 9.000%, 03/15/20 ............... 491,884 263,294 9.000%, 08/15/20 ............... 281,598 4,618,438 7.000%, 03/20/22 ............... 4,743,274 4,278,851 8.000%, 06/15/22 ............... 4,404,478 4,854,917 7.125%, 07/20/22 ............... 5,005,128 4,844,865 6.875%, 10/20/22 ............... 4,977,323 4,496,868 7.000%, 02/20/23 ............... 4,621,251 4,642,448 7.125%, 07/20/23 ............... 4,767,933 6,367,765 7.000%, 10/15/23 ............... 6,284,219 2,476,421 7.000%, 11/15/23 ............... 2,443,930 6,800,395 6.875%, 12/20/23 ............... 6,961,904 3,978,349 7.125%, 05/20/24 ............... 4,097,699 1,461,777 8.000%, 06/15/24 ............... 1,498,759 7,376,523 7.000%, 09/15/24 ............... 7,279,743 610,484 9.000%, 01/15/25 ............... 645,580 1,722,764 8.000%, 08/15/25 ............... 1,763,662 6,540,452 7.500%, 12/15/25 ............... 6,562,885 9,864,259 7.500%, 05/15/26 ............... 9,891,977 2,516,608 7.000%, 03/20/27 ............... 2,459,959 4,942,952 5.500%, 04/20/27 ............... 4,905,088 2,493,320 7.000%, 04/20/27 ............... 2,437,195 MORTGAGE CAPITAL FUNDING, INC SERIES 1996-MC-2 (CLASS A-3) 5,639,783 7.008%, 09/20/06 ............... 5,717,109 RESOLUTION TRUST CORP SERIES 1992-8 (CLASS A-2) (MTGE PASS- THROUGH CERT) 162,008 8.250%, 12/25/26 ............... 160,896 ------------ 226,662,873 ------------ U.S. TREASURY SECURITIES--14.38% U.S. TREASURY BOND 35,000,000 * 7.500%, 11/15/16 ............... 37,400,650 31,000,000 8.500%, 02/15/20 ............... 36,725,390 8,000,000 6.500%, 11/15/26 ............... 7,672,480 20,000,000 6.625%, 02/15/27 ............... 19,568,800 U.S. TREASURY NOTE 31,500,000 6.750%, 05/31/99 ............... 31,864,140 14,000,000 * 6.875%, 07/31/99 ............... 14,203,420 15,000,000 * 7.750%, 01/31/00 ............... 15,546,150 30,000,000 6.250%, 05/31/00 ............... 30,014,100 25,000,000 6.375%, 03/31/01 ............... 25,035,250 17,000,000 * 7.500%, 11/15/01 ............... 17,714,510 5,000,000 6.500%, 05/31/02 ............... 5,020,300 15,000,000 6.500%, 08/15/05 ............... 14,957,850 17,000,000 * 5.875%, 11/15/05 ............... 16,264,240 6,500,000 6.250%, 02/15/07 ............... 6,359,860 ------------ 278,347,140 ------------ TOTAL GOVERNMENT BONDS (COST $538,250,418) ............... 541,092,623 ------------ TOTAL BONDS (COST $738,234,719) ................. 740,889,759 ------------ SHARES - ------ COMMON STOCK--60.37% AIR TRANSPORTATION--0.62% 44,700 oAMR CORP .......................... 4,134,750 63,900 DELTA AIRLINES, INC ............... 5,239,800 44,250 SOUTHWEST AIRLINES CO ............. 1,144,968 20,300 oUAL CORP NEW ...................... 1,452,718 1,200 oUS AIRWAYS GROUP, INC ............. 42,000 ----------- 12,014,236 ----------- AUTOMOTIVE & RELATED--0.89% 24,100 BANDAG, INC ....................... 1,180,900 30,600 CUMMINS ENGINE CO, INC ............ 2,159,212 124,400 ECHLIN, INC ....................... 4,478,400 23,500 FEDERAL-MOGUL CORP ................ 822,500 191,850 GENUINE PARTS CO .................. 6,498,918 46,800 GRACO, INC ........................ 1,409,850 22,000 MODINE MANUFACTURING CO ........... 654,500 ----------- 17,204,280 ----------- BANKS--5.53% 136,565 BANC ONE CORP ..................... 6,614,867 44,800 BANK OF NEW YORK CO, INC .......... 1,948,800 226,200 BANKAMERICA CORP .................. 14,604,037 13,600 BANKERS TRUST NEW YORK CORP ....... 1,183,200 39,800 BARNETT BANKS, INC ................ 2,089,500 101,800 CHASE MANHATTAN CORP NEW .......... 9,880,962 103,491 CITICORP CO ....................... 12,477,133 38,200 CORESTATES FINANCIAL CORP ......... 2,053,250 82,140 FIRST CHICAGO NBD CORP ............ 4,969,470 76,740 FIRST UNION CORP .................. 7,098,450 55,167 FLEET FINANCIAL GROUP, INC ........ 3,489,312 3,400 KEYCORP ........................... 189,975 77,500 MORGAN (J.P.) & CO, INC ........... 8,089,062 148,372 NATIONSBANK CORP .................. 9,569,994 88,600 NORWEST CORP ...................... 4,983,750 104,600 PNC BANK CORP ..................... 4,353,975 99,000 SUNTRUST BANKS, INC ............... 5,451,187 1,100 U.S. BANCORP ...................... 70,537 58,400 WACHOVIA CORP ..................... 3,405,450 16,824 WELLS FARGO & CO .................. 4,534,068 ------------ 107,056,979 ------------ BEVERAGES--1.88% 538,300 COCA COLA CO ...................... 36,335,250 ------------ BROADCASTERS--0.31% 6,300 COMCAST CORP (CLASS A) ............ 131,906 15,650 COMCAST CORP (CLASS A) SPECIAL .... 334,518 40,912 oLIBERTY MEDIA GROUP (CLASS A) ..... 971,660 13,320 oTCI SATELLITE ENTERTAINMENT (CLASS A) 104,895 146,800 oTELE-COMMUNICATIONS, INC (CLASS A) 2,183,650 76,931 oVIACOM, INC (CLASS B) ............. 2,307,930 5,873 oVIACOM, INC (CLASS B) WTS 07/07/97. 22 3,523 oVIACOM, INC (CLASS B) WTS 07/07/99. 4,183 ------------ 6,038,764 ------------ BUSINESS SERVICES--0.34% 32,900 oACNEILSEN CORP ..................... 645,662 98,700 COGNIZANT CORP ..................... 3,997,350 12,600 DELUXE CORP ........................ 429,975 10,462 DIEBOLD, INC ....................... 408,018 48,400 SENSORMATIC ELECTRONICS CORP ....... 623,150 13,400 oSERVICE CORP INT'L ................. 440,525 ------------ 6,544,680 ------------ See notes to financial statements. -27- SOCIAL CHOICE ACCOUNT (CONTINUED) CHEMICALS--MAJOR--0.83% 94,600 AIR PRODUCTS & CHEMICALS, INC ... $ 7,686,250 148,600 PRAXAIR, INC .................... 8,321,600 ------------- 16,007,850 ------------- CHEMICALS--SPECIALTY--0.95% 26,900 BETZDEARBORN, INC ............... 1,775,400 18,546 FULLER (H.B.) CO ................ 1,020,030 104,400 LYONDELL PETROCHEMICAL CO ....... 2,277,225 54,500 MALLINCKRODT, INC ............... 2,071,000 70,700 NALCO CHEMICAL CORP ............. 2,730,787 9,000 NCH CORP ........................ 562,500 11,500 RAYCHEM CORP .................... 855,312 80,462 SCHULMAN (A.), INC .............. 1,981,376 108,200 SIGMA ALDRICH CORP .............. 3,793,762 22,900 WD-40 CO ........................ 1,374,000 ------------- 18,441,392 ------------- COMMUNICATION EQUIPMENT & SERVICES--0.61% 15,900 o360 COMMUNICATIONS CO ........... 272,287 107,082 oAIRTOUCH COMMUNICATIONS, INC .... 2,931,369 118,900 oCISCO SYSTEMS, INC .............. 7,981,162 12,200 oDSC COMMUNICATIONS CORP ......... 271,450 57,900 oNOVELL, INC ..................... 401,681 ------------- 11,857,949 ------------- COMPUTER SERVICE--2.32% 92,000 AUTOMATIC DATA PROCESSING, INC .. 4,324,000 67,750 COMPUTER ASSOCIATES INTERNATIONAL, INC ............. 3,772,828 21,840 oIMATION CORP .................... 576,030 241,600 oMICROSOFT CORP .................. 30,532,200 114,175 oORACLE CORP ..................... 5,751,565 ------------- 44,956,623 ------------- CONGLOMERATES--1.26% 4,410 MARK IV INDUSTRIES, INC ......... 105,840 220,400 MINNESOTA MINING & MANUFACTURING CO ............... 22,480,800 70,600 WHITMAN CORP .................... 1,694,400 ------------- 24,281,040 ------------- COSMETICS--1.06% 68,600 AVON PRODUCTS, INC .............. 4,840,587 136,200 GILLETTE CO ..................... 12,904,950 55,600 INTERNATIONAL FLAVORS & FRAGRANCES, INC ................ 2,807,800 ------------- 20,553,337 ------------- ELECTRICAL EQUIPMENT--0.13% 33,100 GRAINGER (W.W.), INC ............ 2,588,006 ------------- ELECTRICAL EQUIPMENT--COMPONENTS DIVERSIFIED--1.81% 30,800 oADVANCED MICRO DEVICES, INC ..... 1,108,800 24,400 AVNET, INC ...................... 1,403,000 10,350 BALDOR ELECTRIC CO .............. 305,971 182,600 INTEL CORP ...................... 25,894,962 47,500 oMICRON TECHNOLOGY, INC .......... 1,897,031 20,116 MOLEX, INC ...................... 734,234 43,500 oNATIONAL SEMICONDUCTOR CORP ..... 1,332,187 78,296 oVISHAY INTERTECHNOLOGY, INC ..... 2,265,690 ------------- 34,941,875 ------------- ELECTRICAL EQUIP--INSTRUMENTS--0.17% 47,200 oAPPLIED MATERIALS, INC .......... 3,342,350 ------------- FINANCIAL--MISCELLANEOUS--3.48% 171,200 AMERICAN EXPRESS CO ............. 12,754,400 3,100 BENEFICIAL CORP ................. 220,293 162,000 FEDERAL HOME LOAN MORTGAGE CORP . 5,568,750 353,600 FEDERAL NATIONAL MORTGAGE ASSOCIATION .................... 15,425,800 84,454 GREAT WESTERN FINANCIAL CORP .... 4,539,402 12,800 H.F. AHMANSON & CO .............. 550,400 24,842 HOUSEHOLD INTERNATIONAL, INC .... 2,917,382 55,200 MBNA CORP ....................... 2,021,700 164,200 MERRILL LYNCH & CO, INC ......... 9,790,425 250,048 MORGAN STANLEY, DEAN WITTER, DISCOVER ....................... 10,767,692 21,400 STUDENT LOAN MARKETING ASSOCIATION 2,717,800 ------------- 67,274,044 ------------- FOODS--2.74% 228,200 CAMPBELL SOUP CO ................ 11,410,000 74,400 CPC INTERNATIONAL, INC .......... 6,868,050 102,000 GENERAL MILLS, INC .............. 6,642,750 155,850 HEINZ (H.J.) CO ................. 7,188,581 105,200 HERSHEY FOODS CORP .............. 5,818,875 74,200 KELLOGG CO ...................... 6,353,375 5,800 MCCORMICK & CO, INC (NON-VTG) ... 146,450 107,600 QUAKER OATS CO .................. 4,828,550 56,000 WRIGLEY (WM) JR CO .............. 3,752,000 ------------- 53,008,631 ------------- HEALTHCARE--DRUGS--3.35% 38,300 ALLERGAN, INC ................... 1,218,418 48,100 oALZA CORP ....................... 1,394,900 6,680 oALZA CORP WTS 12/31/99 .......... 1,043 77,400 oAMGEN, INC ...................... 4,498,875 12,402 BERGEN BRUNSWIG CORP (CLASS A) .. 345,705 24,600 oFOREST LABORATORIES, INC ........ 1,019,362 36,800 oGENZYME CORP (GENERAL DIVISION) . 1,021,200 2,484 oGENZYME CORP (TISSUE REPAIR DIVISION) ....... 25,150 23,400 oIVAX CORP ....................... 261,787 351,100 MERCK & CO, INC ................. 36,338,850 34,500 MYLAN LABORATORIES, INC ......... 508,875 379,600 SCHERING-PLOUGH CORP ............ 18,173,350 6,680 oTHERAPEUTIC DISCOVERY CORP (CLASS A) ...................... 74,315 ------------- 64,881,830 ------------- HEALTHCARE--HOSPITAL SUPPLY--0.23% 56,400 MCKESSON CORP ................... 4,371,000 ------------- HEALTHCARE--OTHER--2.26% 25,600 BAUSCH & LOMB, INC .............. 1,206,400 218,800 BECTON DICKINSON & CO ........... 11,076,750 6,500 oBIOMET, INC ..................... 121,062 28,600 HILLENBRAND INDUSTRIES, INC ..... 1,358,500 377,000 JOHNSON & JOHNSON CO ............ 24,269,375 65,000 MEDTRONIC, INC .................. 5,265,000 12,900 oST. JUDE MEDICAL, INC ........... 503,100 ------------- 43,800,187 ------------- HEALTHCARE--SERVICE--0.48% 186,055 COLUMBIA/HCA HEALTHCARE CORP .... 7,314,287 11,700 oHUMANA, INC ..................... 270,562 59,000 oTENET HEALTHCARE CORP ........... 1,744,187 ------------- 9,329,036 ------------- HOUSEHOLD--DURABLE GOODS--0.31% 65,400 NEWELL COS, INC ................. 2,591,475 63,400 WHIRLPOOL CORP .................. 3,459,262 ------------- 6,050,737 ------------- See notes to financial statements. -28- SOCIAL CHOICE ACCOUNT (CONTINUED) SHARES VALUE - ------ ----- HOUSEHOLD--PRODUCTS--2.51% 66,100 CLOROX CO ........................ $ 8,725,200 120,200 COLGATE PALMOLIVE CO ............. 7,843,050 206,800 PROCTER & GAMBLE CO .............. 29,210,500 90,300 RUBBERMAID, INC .................. 2,686,425 ------------- 48,465,175 ------------- INSURANCE--BROKERS & OTHER--0.03% 8,000 oMARSH & MCLENNAN COS, INC ........ 571,000 ------------- INSURANCE--LIFE--0.00% 658 CONSECO, INC ..................... 24,346 ------------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--2.81% 97,153 ALLSTATE CORP .................... 7,092,169 193,030 AMERICAN INTERNATIONAL GROUP, INC 28,833,856 49,700 CHUBB CORP ....................... 3,323,687 1,300 CIGNA CORP ....................... 230,750 3,500 oCNA FINANCIAL CORP ............... 369,031 14,900 GENERAL REINSURANCE CORP ......... 2,711,800 1,400 SAFECO CORP ...................... 65,362 25,000 TRANSAMERICA CORP ................ 2,339,062 147,888 TRAVELERS GROUP, INC ............. 9,326,187 ------------- 54,291,904 ------------- LEISURE TIME--1.07% 194,475 DISNEY (WALT) CO ................. 15,606,618 57,900 HASBRO, INC ...................... 1,642,912 104,291 MATTEL, INC ...................... 3,532,857 ------------- 20,782,387 ------------- MACHINERY--0.89% 106,200 DEERE & CO ....................... 5,827,725 112,000 ILLINOIS TOOL WORKS, INC ......... 5,593,000 87,500 KEYSTONE INTERNATIONAL, INC ...... 3,035,156 25,900 NORDSON CORP ..................... 1,664,075 30,108 TIMKEN CO ........................ 1,070,715 ------------- 17,190,671 ------------- METALS--ALUMINUM--0.17% 88,200 oALUMAX, INC ...................... 3,346,087 ------------- METALS--GOLD--0.25% 122,593 NEWMONT MINING CORP .............. 4,781,127 ------------- METALS--STEEL--0.37% 27,600 BIRMINGHAM STEEL CORP ............ 427,800 45,750 HANNA (M.A.) CO .................. 1,318,171 64,100 NUCOR CORP ....................... 3,621,650 98,850 WORTHINGTON INDUSTRIES, INC ...... 1,810,190 ------------- 7,177,811 ------------- OFFICE EQUIPMENT--3.61% 48,300 oAPPLE COMPUTER, INC .............. 688,275 92,000 AVERY DENNISON CORP .............. 3,691,500 68,900 oCOMPAQ COMPUTER CORP ............. 6,838,325 262,200 HEWLETT-PACKARD CO ............... 14,683,200 50,900 IKON OFFICE SOLUTIONS, INC ....... 1,269,318 271,800 INTERNATIONAL BUSINESS MACHINES CORP 24,512,962 54,900 PITNEY BOWES, INC ................ 3,815,550 54,300 oSUN MICROSYSTEMS, INC ............ 2,020,978 84,200 oTANDEM COMPUTERS, INC ............ 1,705,050 133,900 XEROX CORP ....................... 10,561,362 ------------- 69,786,520 ------------- PAPER--1.01% 149,400 CONSOLIDATED PAPERS, INC ......... 8,067,600 135,500 SONOCO PRODUCTS CO ............... 4,124,281 140,500 UNION CAMP CORP .................. 7,025,000 25,450 UNISOURCE WORLDWIDE, INC ......... 407,200 ------------- 19,624,081 ------------- PETROLEUM-- EXPLORATION & PRODUCTION--1.00% 56,800 ANADARKO PETROLEUM CORP .......... 3,408,000 41,500 APACHE CORP ...................... 1,348,750 60,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS B) .................. 1,286,775 109,100 MURPHY OIL CORP .................. 5,318,625 78,200 NOBLE AFFILIATES, INC ............ 3,025,362 164,400 oORYX ENERGY CO ................... 3,472,950 105,500 oSANTA FE ENERGY RESOURCES, INC ... 1,549,531 ------------- 19,409,993 ------------- PETROLEUM--SERVICE--2.05% 63,000 oBJ SERVICES CO ................... 3,378,375 40,300 CABOT CORP ....................... 1,143,512 107,900 DRESSER INDUSTRIES, INC .......... 4,019,275 5,775 oENSCO INTERNATIONAL, INC ......... 304,631 81,700 HELMERICH & PAYNE, INC ........... 4,707,962 102,900 oNABORS INDUSTRIES, INC ........... 2,572,500 97,800 oNOBLE DRILLING CORP .............. 2,206,612 192,700 oPARKER DRILLING CO ............... 2,143,787 123,900 oROWAN COS, INC ................... 3,492,431 131,000 oSMITH INTERNATIONAL, INC ......... 7,958,250 32,200 TRANSOCEAN OFFSHORE, INC (U.S.) .. 2,338,525 47,658 oWEATHERFORD ENTERRA, INC ......... 1,834,833 49,200 oWESTERN ATLAS, INC ............... 3,603,900 ------------- 39,704,593 ------------- PROPERTY--REAL ESTATE--0.27% 125,900 WEINGARTEN REALTY INVESTORS, INC . 5,319,275 ------------- PUBLISHING--NEWSPAPER--0.87% 55,745 oCOX COMMUNICATIONS, INC (CLASS A) NEW ............................. 1,337,880 41,000 DOW JONES & CO, INC .............. 1,647,687 77,700 GANNETT CO, INC .................. 7,672,875 11,300 KNIGHT-RIDDER, INC ............... 554,406 13,100 NEW YORK TIMES CO (CLASS A) ...... 648,450 90,600 TIMES MIRROR CO SERIES A ......... 5,005,650 ------------- 16,866,948 ------------- PUBLISHING--OTHER--0.62% 59,100 DUN & BRADSTREET CORP ............ 1,551,375 46,600 MCGRAW HILL COS, INC ............. 2,740,662 158,418 TIME WARNER, INC ................. 7,643,668 ------------- 11,935,705 ------------- RAILROAD--0.73% 140,400 NORFOLK SOUTHERN CORP ............ 14,145,300 ------------- RESTAURANTS & HOTELS--0.73% 102,200 DARDEN RESTAURANTS, INC .......... 926,187 217,100 MCDONALDS CORP ................... 10,488,643 72,400 SYSCO CORP ....................... 2,642,600 ------------- 14,057,430 ------------- RETAIL--FOOD--0.28% 88,300 ALBERTSONS, INC .................. 3,222,950 23,800 AMERICAN STORES CO ............... 1,175,125 37,600 oKROGER CO ........................ 1,090,400 ------------- 5,488,475 ------------- See notes to financial statements. -29- SOCIAL CHOICE ACCOUNT (CONTINUED) SHARES VALUE - ------ ----- RETAIL--GENERAL MERCHANDISE--1.90% 1,300 CVS CORP ...........................$ 66,625 1,000 oFEDERATED DEPARTMENT STORES, INC ... 34,750 4,200 GAP, INC ........................... 163,275 58,900 HOME DEPOT, INC .................... 4,060,418 148,600 oK MART CORP ........................ 1,820,350 16,806 LIMITED, INC ....................... 340,321 33,600 MAY DEPARTMENT STORES CO ........... 1,587,600 53,600 PENNEY, (J.C.) CO, INC ............. 2,797,250 20,600 ROUSE CO ........................... 607,700 104,800 SEARS ROEBUCK & CO ................. 5,633,000 1,000 TANDY CORP ......................... 56,000 45,950 oTOYS R US, INC ..................... 1,608,250 492,000 WAL-MART STORES, INC ............... 16,635,750 53,600 oWOOLWORTH CORP ..................... 1,286,400 ------------- 36,697,689 ------------- TEXTILE & APPAREL--0.41% 15,800 LIZ CLAIBORNE, INC ................. 736,675 121,200 NIKE, INC (CLASS B) ................ 7,075,050 2,200 VF CORP ............................ 186,450 ------------- 7,998,175 ------------- TRUCKERS & SHIPPING--0.21% 74,400 ARNOLD INDUSTRIES, INC ............. 1,264,800 57,200 CALIBER SYSTEM, INC ................ 2,130,700 21,100 ROADWAY EXPRESS, INC ............... 493,212 3,400 RYDER SYSTEM, INC .................. 112,200 ------------- 4,000,912 ------------- UTILITIES--ELECTRIC--1.40% 32,500 IDAHO POWER CO ..................... 1,019,687 104,700 LOUISVILLE GAS & ELECTRIC ENERGY CORP ....................... 2,309,943 118,700 NIPSCO INDUSTRIES, INC ............. 4,903,793 33,000 OGE ENERGY CORP .................... 1,501,500 137,800 PACIFICORP ......................... 3,031,600 279,800 POTOMAC ELECTRIC POWER CO .......... 6,470,375 122,800 PUGET SOUND ENERGY, INC ............ 3,254,200 174,600 TECO ENERGY, INC ................... 4,463,212 ------------- 26,954,310 ------------- UTILITIES--GAS & PIPELINE--1.47% 30,800 BROOKLYN UNION GAS CO .............. 881,650 20,900 COLUMBIA GAS SYSTEMS, INC .......... 1,363,725 110,600 CONSOLIDATED NATURAL GAS CO ........ 5,951,662 33,400 EL PASO NATURAL GAS CO ............. 1,837,000 24,600 EQUITABLE RESOURCES, INC ........... 698,025 1,400 oIONICS, INC ........................ 63,700 18,800 MCN ENERGY GROUP, INC .............. 575,750 55,700 NICOR, INC ......................... 1,998,237 89,600 PACIFIC ENTERPRISES, INC ........... 3,012,800 9,200 PEOPLES ENERGY CORP ................ 344,425 134,900 SONAT, INC ......................... 6,913,625 105,900 WILLIAMS COS, INC .................. 4,633,125 ------------- 28,273,724 ------------- UTILITIES--TELEPHONE--4.15% 162,700 AMERITECH CORP ................... 11,053,431 166,300 BELL ATLANTIC CORP ............... 12,618,012 335,000 BELLSOUTH CORP ................... 15,535,625 89,100 MCI COMMUNICATIONS CORP .......... 3,410,859 139,300 NYNEX CORP ....................... 8,027,162 262,439 SBC COMMUNICATIONS, INC .......... 16,238,413 71,500 SPRINT CORP ...................... 3,762,687 162,044 U.S. WEST COMMUNICATIONS GROUP, INC 6,107,033 161,144 oU.S. WEST MEDIA GROUP, INC ....... 3,263,166 ------------- 80,016,388 ------------- TOTAL COMMON STOCK (COST $632,268,240) ...............1,167,790,102 ------------- PRINCIPAL --------- SHORT TERM INVESTMENTS--2.03% COMMERCIAL PAPER--1.82% CONAGRA, INC $2,102,000 5.800%, 07/01/97 .............. 2,101,602 5,030,000 5.720%, 07/14/97 .............. 5,018,772 COX COMMUNICATIONS, INC 6,712,000 5.770%, 07/14/97 .............. 6,697,017 MERRILL LYNCH & CO, INC 4,770,000 6.200%, 07/01/97 .............. 4,769,138 SONAT, INC 10,000,000 5.730%, 07/14/97 .............. 9,977,678 WHIRLPOOL FINANCE 6,630,000 5.740%, 07/14/97 .............. 6,615,200 -------------- 35,179,407 -------------- U.S. GOVERNMENT & AGENCIES--0.21% FEDERAL HOME LOAN MORTGAGE CORP 3,980,000 5.410%, 07/14/97 .............. 3,971,564 -------------- TOTAL SHORT TERM INVESTMENTS (COST $39,157,415) ............... 39,150,971 -------------- ROUNDING........................ 83 -------------- TOTAL PORTFOLIO (COST $1,409,660,374)..............$1,947,830,915 ============== - ---------- o Non-income producing. * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. ^ Security is exempt from registration under Rule 144A of the Securities Act of 1933 and may be resold in transactions exempt from registration normally to qualified institutional buyers. At 06/30/97, the value of these securities amounted to $17,649,650 or .91% of net assets. See notes to financial statements. -30- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED) JUNE 30, 1997 SUMMARY BY INDUSTRY VALUE % -------- ----- BONDS CORPORATE BONDS BANKS ............................... $ 30,088 0.00% BROADCASTERS ........................ 86,330 0.00 INSURANCE--LIFE ..................... 13,597,875 0.27 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ............... 101,180 0.00 METALS--STEEL ....................... 96,619 0.00 ------------- ------ TOTAL CORPORATE BONDS (COST $14,138,487) .................. 13,912,092 0.27 ------------- ------ TOTAL BONDS (COST $14,138,487) ................... 13,912,092 0.27 ------------- ------ PREFERRED STOCK AUTOMOTIVE & RELATED ................ 4,686,295 0.09 BUSINESS SERVICES ................... 1,591,669 0.03 COMMUNICATION EQUIPMENT & SERVICES .. 1,859,514 0.04 HEALTHCARE--SERVICE ................. 95,062 0.00 MACHINERY ........................... 178,698 0.00 PUBLISHING--NEWSPAPE ................ 1,189,836 0.03 UTILITIES--ELECTRIC ................. 1,939,153 0.04 UTILITIES--TELEPHONE ................ 21,422,500 0.42 ------------- ------ TOTAL PREFERRED STOCK (COST $25,685,686) ................... 32,962,727 0.65 ------------- ------ COMMON STOCK AEROSPACE ........................... 70,295,560 1.38 AIR TRANSPORTATION .................. 128,247,804 2.52 AUTOMOTIVE & RELATED ................ 87,435,848 1.72 BANKS ............................... 280,906,130 5.51 BEVERAGES ........................... 24,281,596 0.48 BROADCASTERS ........................ 91,356,292 1.79 BUSINESS SERVICES ................... 89,794,679 1.76 CHEMICALS--MAJOR .................... 44,663,462 0.88 CHEMICALS--SPECIALTY ................ 10,432,239 0.20 COMMUNICATION EQUIPMENT & SERVICES .. 94,453,082 1.85 COMPUTER SERVICE .................... 95,140,411 1.87 CONGLOMERATES ....................... 182,073,184 3.57 CONSTRUCTION--MATERIALS & BUILDERS .. 47,854,205 0.94 CONTAINERS .......................... 1,499,401 0.03 COSMETICS ........................... 13,003,928 0.25 ELECTRICAL EQUIPMENT ................ 212,686,683 4.17 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED ............ 269,677,182 5.29 ELECTRICAL EQUIPMENT--INSTRUMENTS ... 11,693,864 0.23 ENVIRONMENTAL CONTROL ............... 74,285,295 1.46 FINANCIAL--MISCELLANEOUS ............ 65,834,574 1.29 FOODS ............................... 57,551,129 1.13 FOREST PRODUCTS ..................... 9,370,135 0.18 HEALTHCARE--DRUGS ................... 292,903,444 5.75 HEALTHCARE--HOSPITAL SUPPY .......... 11,339,974 0.22 HEALTHCARE--OTHER ................... 8,019,173 0.16 HEALTHCARE--SERVICE ................. 109,290,517 2.14 HOUSEHOLD--CONSUMER ELECTRONICS ..... 15,875,674 0.31 HOUSEHOLD--DURABLE GOODS ............ 6,028,203 0.12 HOUSEHOLD--PRODUCTS ................. 23,105,813 0.45 INSURANCE--BROKERS & OTHER .......... 23,009,312 0.45 INSURANCE--LIFE ..................... 11,053,797 0.22 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ............... 149,767,469 2.94 LEISURE TIME ........................ 170,927,835 3.35 MACHINERY ........................... 169,317,929 3.32 METALS--ALUMINUM .................... 6,311,241 0.12 METALS--GOLD ........................ 67,575,612 1.33 METALS--NON-FERROUS ................. 13,532,084 0.27 METALS--STEEL ....................... 70,141,985 1.38 MISCELLANEOUS MATERIALS & COMMODITIES ....................... 24,046,045 0.47 OFFICE EQUIPMENT .................... 86,424,168 1.70 PAPER ............................... 8,234,637 0.16 PETROLEUM-- EXPLORATION & PRODUCTION .......... 102,915,815 2.02 PETROLEUM--INTEGRATED ............... 273,892,245 5.37 PETROLEUM--SERVICE .................. 134,027,078 2.63 PHOTOGRAPHY ......................... 6,611,469 0.13 PROPERTY--REAL ESTATE ............... 25,803,383 0.51 PUBLISHING--NEWSPAPER ............... 8,419,858 0.17 PUBLISHING--OTHER ................... 16,037,840 0.31 RAILROAD ............................ 176,738,349 3.47 RESTAURANTS & HOTELS ................ 132,273,390 2.59 RETAIL--FOOD ........................ 18,001,900 0.35 RETAIL--GENERAL MERCHANDISE ......... 91,100,795 1.79 TEXTILE & APPAREL ................... 73,144,865 1.43 TOBACCO ............................. 140,865,573 2.76 TRADING COMPANIES ................... 9,108,127 0.18 TRUCKERS & SHIPPING ................. 22,569,713 0.44 UTILITIES--ELECTRIC ................. 52,524,183 1.03 UTILITIES--GAS & PIPELINE ........... 14,715,515 0.29 UTILITIES--OTHER .................... 7,592,083 0.15 UTILITIES--TELEPHONE ................ 362,259,592 7.11 -------------- ----- TOTAL COMMON STOCK (COST $4,046,769,577) ................ 4,898,043,368 96.09 -------------- ----- SHORT TERM INVESTMENTS BANK NOTES .......................... 16,992,394 0.33 COMMERCIAL PAPER .................... 145,753,273 2.86 U.S. GOVERNMENT & AGENCIES .......... 299,204,531 5.87 -------------- ------ TOTAL SHORT TERM INVESTMENTS (COST $461,986,090) .................. 461,950,198 9.06 -------------- ------ ROUNDING ............................ 531 0.00 -------------- ------ TOTAL PORTFOLIO (COST $4,548,579,840) ................ 5,406,868,916 106.07 OTHER ASSETS & LIABILITIES, NET .... (309,373,353 (6.07) -------------- ------ NET ASSETS ............................ $5,097,495,563 100.00% ============== ====== See notes to financial statements. -31- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (Unaudited) JUNE 30, 1997 SUMMARY BY COUNTRY VALUE % ------- ---- DOMESTIC: UNITED STATES $2,239,870,882 41.43% ------------- ------ TOTAL DOMESTIC 2,239,870,882 41.43 -------------- ------ FOREIGN: AUSTRALIA ............ 25,216,829 0.47 AUSTRIA .............. 2,881,365 0.05 BELGIUM .............. 11,196,709 0.21 CANADA ............... 164,543,464 3.04 DENMARK .............. 8,139,334 0.15 FINLAND .............. 5,844,230 0.11 FRANCE ............... 121,938,006 2.26 GERMANY .............. 222,566,712 4.12 HONG KONG ............ 35,320,001 0.65 INDONESIA ............ 19,803,470 0.37 IRELAND .............. 2,515,409 0.04 ITALY ................ 198,443,045 3.67 JAPAN ................ 351,275,790 6.50 MALAYSIA ............. 18,527,586 0.34 NETHERLANDS .......... 384,461,210 7.11 NEW ZEALAND .......... 3,710,280 0.07 NORWAY ............... 67,179,101 1.24 SINGAPORE ............ 10,101,499 0.19 SOUTH AFRICA ......... 13,597,875 0.25 SPAIN ................ 21,160,910 0.39 SWEDEN ............... 138,548,358 2.56 SWITZERLAND .......... 230,510,346 4.26 UNITED KINGDOM ....... 647,566,307 11.98 -------------- ------ TOTAL FOREIGN .......... 2,705,047,836 50.03 -------------- ------ TOTAL SHORT TERM ....... 461,950,198 8.54 -------------- ------ TOTAL PORTFOLIO ........ $5,406,868,916 100.00% ============== ====== See notes to financial statements. -32- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED) JUNE 30, 1997 PRINCIPAL VALUE - --------- ----- BONDS--0.27% CORPORATE BONDS--0.27% BANKS--0.00% DRESDNER BV 52(1) 5.500%, 04/30/04 .............. $ 30,088 ----------- BROADCASTERS--0.00% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) $ 89,000 8.000%, 07/07/06 ............. 86,330 ----------- INSURANCE--LIFE--0.27% LIBLIFE INTERNATIONAL CV 10,665,000 6.500%, 09/30/04 ............. 13,597,875 ----------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.00% AXA S.A. CV 1,531(2) 4.500%, 01/01/99 ............. 101,180 ----------- METALS--STEEL--0.00% ~PREUSSAG AG. 113(1) WTS 5.750%, 05/17/01 ......... 96,619 ----------- TOTAL CORPORATE BONDS (COST $14,138,487) ............... 13,912,092 ----------- TOTAL BONDS (COST $14,138,487) ................ 13,912,092 ----------- - ---------- (1) Denominated in German Deutsche Marks (2) Denominated in French Francs SHARES ------ PREFERRED STOCK--0.65% AUTOMOTIVE & RELATED--0.09% 8,333 VOLKSWAGENWERKE AG. 4,686,295 ----------- BUSINESS SERVICES--0.03% 7,662 SAP AG. 1,591,669 ----------- COMMUNICATION EQUIPMENT & SERVICES--0.04% 24,900 NOKIA AB OY SERIES A 1,859,514 ----------- HEALTHCARE--SERVICE--0.00% 1,014 AETNA, INC (CLASS C) 95,062 ----------- MACHINERY--0.00% 900 oRHEINMETALL AG. 178,698 ----------- PUBLISHING--NEWSPAPER--0.03% 304,242 NEWS CORP LTD (LTD-VTG) 1,189,836 ----------- UTILITIES--ELECTRIC--0.04% 55,670 oRHEIN-WESTFALEN ELECTRIC AG. 1,939,153 ----------- UTILITIES--TELEPHONE--0.42% 190,000 WORLDCOM, INC SERIES A 21,422,500 ----------- TOTAL PREFERRED STOCK (COST $25,685,686) 32,962,727 ----------- COMMON STOCK--96.09% AEROSPACE--1.38% 1,167,026 BOEING CO ........................ 61,925,317 112,880 BRITISH AEROSPACE PLC ............ 2,510,831 5,868 oBRITISH AEROSPACE PLC WTS 11/15/00 78,617 22,700 COBHAM GROUP PLC ................. 272,013 14,400 EG & G, INC ...................... 324,000 19,500 GENERAL DYNAMICS CORP ............ 1,462,500 44,500 MCDONNELL DOUGLAS CORP ........... 3,048,250 91,050 ROLLS ROYCE LTD .................. 347,771 22,433 SMITHS INDUSTRIES PLC ............ 287,294 4,200 oSPAR AEROSPACE LTD ............... 38,967 ----------- 70,295,560 ----------- AIR TRANSPORTATION--2.52% 10,400 oAIR CANADA, INC .................. 70,107 5,910,000 AIRTOURS PLC ..................... 113,999,390 7,000 ALL NIPPON AIRWAYS CO LTD ........ 44,962 28,600 oAMR CORP ......................... 2,645,500 257,046 BRITISH AIRWAYS PLC .............. 2,928,302 12,700 DELTA AIRLINES, INC .............. 1,041,400 11,800 oFEDERAL EXPRESS CORP ............. 681,450 54,000 oHONG KONG AIRCRAFT ENGINEERING CO LTD .............. 196,558 223,000 oJAPAN AIRLINES CO LTD ............ 1,015,323 26,200 oKLM (ROYAL DUTCH AIRLINES) NV .... 809,012 100,100 LUFTHANSA AG. .................... 1,921,464 207,000 oMALAYSIAN AIRLINE SYSTEM BERHAD .. 516,680 12,700 SAS DANMARK AS ................... 148,438 106,000 oSINGAPORE INTERNATIONAL AIRLINES LTD (FR) ............... 948,944 9,100 SOUTHWEST AIRLINES CO ............ 235,462 14,600 oUAL CORP NEW ..................... 1,044,812 ----------- 128,247,804 ----------- AUTOMOTIVE & RELATED--1.72% 776,700 oAUTOLIV, INC ..................... 30,388,387 70 BAYERISCHE MOTOREN WERKE AG. ..... 57,965 54,537 BBA GROUP PLC .................... 322,219 113,000 BRIDGESTONE CORP ................. 2,626,768 62,308 CHRYSLER CORP .................... 2,044,481 178,000 oCOMFORT GROUP LTD ................ 140,677 26,520 CONTINENTAL AG. .................. 658,966 13,000 CUMMINS ENGINE CO, INC ........... 917,312 73,000 CYCLE & CARRIAGE LTD ............. 755,630 67,310 oDAIMLER BENZ AG. ................. 5,465,604 101,000 DENSO CORP ....................... 2,418,430 8,500 EATON CORP ....................... 742,156 20,000 EDARAN OTOMOBIL NASIONAL BERHAD .. 170,364 554,900 oFIAT S.P.A. ...................... 1,996,840 86,767 GENERAL MOTORS CORP .............. 4,831,837 68,596 GKN PLC .......................... 1,181,029 29,200 GOODYEAR TIRE & RUBBER CO ........ 1,848,725 24,000 HARLEY DAVIDSON, INC ............. 1,150,500 134,000 HONDA MOTOR CO LTD ............... 4,040,039 8,100 LAIRD GROUP PLC .................. 47,115 78 LEX SERVICE GROUP LTD ............ 488 96,467 LUCASVARITY PLC .................. 333,944 10,283 MICHELIN S.A. (CLASS B) .......... 618,101 750 oMICHELIN S.A. (CLASS B) RTS ...... 41,517 23,600 oNAVISTAR INTERNATIONAL CORP ...... 407,100 See notes to financial statements. -33- GLOBAL EQUITIES ACCOUNT (CONTINUED) SHARES VALUE ------ ----- AUTOMOTIVE & RELATED--(Continued) 445,000 NISSAN MOTOR CO LTD .............. $ 3,457,192 41,000 ORIENTAL HOLDINGS ................ 308,637 89,000 PERUSAHAAN OTOMOBIL NASIONAL BERHAD .......................... 416,086 275,200 PIRELLI S.P.A. ................... 681,252 182,600 T & N PLC ........................ 437,617 138,000 TAN CHONG MOTOR HOLDINGS BERHAD .. 260,253 531,645 TOYOTA MOTOR CORP ................ 15,703,634 88,000 oUMW HOLDINGS BERHAD .............. 414,897 16,000 VALEO S.A. ....................... 994,721 58,100 VOLVO AB SERIES B FREE ........... 1,555,365 ----------- 87,435,848 ----------- BANKS--5.51% 250,781 ABBEY NATIONAL PLC ............... 3,422,473 206,528 ABN-AMRO HOLDINGS NV ............. 3,857,969 89,400 ALLIED IRISH BANKS PLC ........... 684,167 37,000 oAMMB HOLDINGS BERHAD ............. 230,150 293,000 ASAHI BANK LTD ................... 2,496,513 51,000 ASHIKAGA BANK LTD ................ 187,189 930,000 ASSA ABLOY AB SERIES B ........... 19,003,162 431 AUSTRALIAN & NEW ZEALAND BANKING GROUP LTD ....................... 3,196 95,801 BANC ONE CORP .................... 4,640,360 26,100 BANCA COMMERCIALE ITALIANA S.P.A. 54,020 52,000 BANCA POPOLARE DI MILANO ......... 311,416 30,500 BANCO BILBAO VIZCAYA S.A. (REGD) . 2,482,212 17,180 BANCO CENTRALE HISPANOAMERICANO S.A. ........... 629,588 113,800 BANCO SANTANDER S.A. ............. 3,512,716 9,600 BANK AUSTRIA AG. ................. 532,417 5,000 BANK OF MONTREAL ................. 195,346 15,200 BANK OF NEW YORK CO, INC ......... 661,200 63,304 BANK OF NOVA SCOTIA .............. 2,776,089 694,747 BANK OF TOKYO MITSUBISHI LTD ..... 13,964,206 135,000 BANK OF YOKOHAMA LTD ............. 760,948 92,514 BANKAMERICA CORP ................. 5,972,935 31,188 BANKBOSTON CORP .................. 2,247,485 5,000 BANKERS TRUST NEW YORK CORP ...... 435,000 752 BANQIE DE PARIBAS S.A. ........... 52,003 54,938 BANQUE NATIONALE DE PARIS ........ 2,266,394 187,652 BARCLAYS PLC ..................... 3,722,725 4,200 BAYERISCHE HYPOTHEKEN-UND WECHSEL-BANK .................... 125,691 60,100 BAYERISCHE VEREINSBANK AG. ....... 2,459,043 33,471 CANADIAN IMPERIAL BANK OF COMMERCE 844,296 133,000 CHIBA BANK LTD ................... 792,679 195,634 CITICORP CO ...................... 23,586,124 29,600 COMERICA, INC .................... 2,012,800 115,000 COMMERCE ASSET HOLDINGS BERHAD ... 302,991 50 COMMERZBANK AG. .................. 1,417 593,340 COMPAGNIE DE SUEZ S.A. ........... 1,460,360 65,400 CORESTATES FINANCIAL CORP ........ 3,515,250 832 CREDIT NATIONAL S.A. ............. 47,318 15,527 CREDIT SUISSE GROUP (REGD) ....... 1,996,921 5,200 CREDITANSTALT-BAVKVEREIN (STAMM) . 303,660 111,600 CREDITO ITALIANO S.P.A. .......... 204,080 2,000 DAI-ICHI KANGO BANK LTD .......... 27,265 52,930 DEUTSCHE BANK AG. ................ 3,095,125 43,000 DEVELOPMENT BANK OF SINGAPORE LTD (FR) .............. 541,334 92,700 DRESDNER BANK AG. ................ 3,207,740 988 oDRESDNER FIN WTS 04/30/02 ........ 9,043 73,950 FIRST CHICAGO NBD CORP ........... 4,473,975 59,833 FIRST UNION CORP ................. 5,534,552 66,126 FLEET FINANCIAL GROUP, INC ....... 4,182,469 401,000 FUJI BANK LTD .................... 6,027,463 2,000 GENERALE DE BANQUE S.A. .......... 770,503 104,000 GUNMA BANK LTD ................... 936,121 131,200 HANG SENG BANK LTD ............... 1,871,306 97,000 HOKURIKU BANK LTD ................ 333,139 54,977 HSBC HOLDINGS PLC ................ 1,628,668 67,387 HSBC HOLDINGS PLC (HONG KONG) .... 2,026,660 201,186 HSBC HOLDINGS LTD (UNITED KINGDOM) 6,189,403 347,190 INDUSTRIAL BANK OF JAPAN LTD ..... 5,400,686 225,600 INSTITUTO BANCARIO SAN PAOLO DI TURINO ................. 1,643,568 122,700 ISTITUTO MOBILIARE ITALIANO S.P.A. 1,103,858 115,415 JOYO BANK ........................ 638,451 65,000 KEYCORP .......................... 3,631,875 1,900 KREDIETBANK NV ................... 766,330 819,383 LLOYDS TSB GROUP PLC ............. 8,400,386 126,400 MALAYAN BANKING BERHAD ........... 1,327,101 88,500 MALAYAN BANKING BERHAD (SINGAPORE) 909,883 110,000 oMEDIOBANCA S.P.A. ............... 667,497 87,700 MERITA LTD ....................... 292,096 203,000 MITSUBISHI TRUST & BANKING CORP .. 3,210,970 148,000 MITSUI TRUST & BANKING CO LTD .... 1,118,766 24,430 MORGAN (J.P.) & CO, INC .......... 2,549,881 277,300 NATIONAL AUSTRALIA BANK LTD ...... 3,941,077 5,600 NATIONAL BANK OF CANADA .......... 70,223 134 NATIONAL CITY CORP ............... 7,035 87,546 NATIONSBANK CORP ................. 5,646,717 18,300 NORWEST CORP ..................... 1,029,375 89,781 OVERSEAS-CHINESE BANKING CORP LTD (FR) ................... 929,332 88,800 PNC BANK CORP .................... 3,696,300 51,000 PUBLIC BANK BERHAD (FR) .......... 79,611 67,300 ROYAL BANK OF CANADA ............. 3,051,331 17,207 ROYAL BANK OF SCOTLAND PLC ....... 160,227 405,000 SAKURA BANK LTD .................. 3,107,501 5,000 SANWA BANK LTD ................... 74,281 94,000 SEVENTY-SEVEN (77) BANK LTD ...... 911,827 109,000 SHIZUOKA BANK LTD ................ 1,247,841 69,900 SKANDINAVISKA ENSKILDA BANKEN SERIES A ................. 754,830 22,523 SOCIETE GENERALE S.A. ............ 2,516,625 19,700 STATE STREET CORP ................ 911,125 448,000 SUMITOMO BANK LTD ................ 7,360,335 29,500 SVENSKA HANDELSBANKEN SERIES A ... 938,518 11,358 oSWISS BANK CORP (REGD) ........... 3,042,251 5,025 oSWISS BANK CORP (REGD) WTS 06/30/00 48,943 268,000 TOKAI BANK LTD ................... 2,763,621 12,500 UNI BANKDANMARK AS (CLASS A) ..... 703,170 4,169 UNION BANK OF SWITZERLAND (BR) ... 4,775,518 75,000 UNITED OVERSEAS BANK LTD (FR) .... 771,087 709,700 WASHINGTON MUTUAL, INC ........... 42,404,575 5,416 WELLS FARGO & CO ................. 1,459,612 346,100 WESTPAC BANKING CORP ............. 2,066,606 72,600 WING LUNG BANK LTD ............... 462,926 18,000 YAMAGUCHI BANK LTD ............... 270,559 113,000 YASUDA TRUST & BANKING CO LTD .... 432,528 ----------- 280,906,130 ----------- BEVERAGES--0.48% 10,100 ALLIED DOMECQ PLC ................ 72,532 71,900 ANHEUSER BUSCH COS, INC .......... 3,015,306 428,932 ARTHUR GUINESS & SONS PLC ........ 4,197,564 70,000 ASAHI BREWERIES LTD .............. 1,046,058 131,030 BASS LTD ......................... 1,598,476 784 oBRAU UND BRUNNEN AG. ............. 62,086 See notes to financial statements. -34- GLOBAL EQUITIES ACCOUNT (CONTINUED) SHARES VALUE ------ ----- BEVERAGES-(CONTINUED) 24,500 CADBURY SCHWEPPS PLC AUSTRALIA ...... $ 211,454 6,264 COCA COLA CO ........................ 422,820 108,662 COCA-COLA AMATIL LTD ................ 1,400,244 15,500 COTT CORP ........................... 165,156 8,700 oEL AGUILA S.A. ...................... 41,642 12,000 FRASER & NEAVE LTD .................. 85,606 128,162 GRAND METROPOLITAN PLC .............. 1,240,339 8,300 HEINEKEN NV ......................... 1,419,128 204 HOLSTEN BRAUEREI AG. ................ 42,729 110,000 KIRIN BREWERY CO LTD ................ 1,143,935 162,700 LION NATHAN LTD ..................... 411,337 8,530 LVMH MOET HENNESSY LOUIS VUITTON .... 2,295,592 19,600 MOLSON CO LTD (CLASS A) ............. 326,051 1,200 oOSTERREICHISCHE BRAU- AKTIENGESELLSCHAF .................. 70,956 90 PEPSICO, INC ........................ 3,380 17,636 PERNOD-RICARD S.A. .................. 910,188 16,000 SAPPORO BREWERIES LTD ............... 133,112 177,159 SCOTTISH & NEWCASTLE PLC ............ 1,906,177 51,200 SEAGRAMS CO LTD ..................... 2,059,728 ---------- 24,281,596 ---------- BROADCASTERS--1.79% 196,600 BRITISH SKY BROADCASTING GROUP PLC .. 1,439,686 90 oCANAL PLUS S.A. ..................... 17,537 29,200 oLIBERTY MEDIA GROUP (CLASS A) ....... 693,500 315,800 MEDIASET S.P.A. ..................... 1,339,756 362 PATHE S.A. .......................... 71,894 18,020 oTCI SATELLITE ENTERTAINMENT (CLASS A) 141,907 71,600 oTELE-COMMUNICATIONS, INC (CLASS A) .. 1,065,050 37,000 TOKYO BROADCASTING SYSTEMS, INC ..... 759,856 160 oVIACOM, INC (CLASS B) ............... 4,800 2,557 oVIACOM, INC (CLASS B) WTS 07/07/97 .. 10 1,534 oVIACOM, INC (CLASS B) WTS 07/07/99 .. 1,821 2,661,100 +oWESTWOOD ONE, INC ...................85,820,475 ---------- 91,356,292 ---------- BUSINESS SERVICES--1.76% 574 ADECCO S.A. ......................... 220,566 4,450 ADECCO S.A. (BR) .................... 1,709,307 8,800 oAMERICA ONLINE, INC ................. 489,500 12,100 BLOCK (H&R), INC .................... 390,225 53,800 COGNIZANT CORP ...................... 2,178,900 9,223,000 +CORPORATE SERVICES GROUP PLC ..........................28,934,446 41,000 DAIWA KOSHO LEASE CO LTD ............ 317,452 22,500 DELUXE CORP ......................... 767,812 10,417 ELECTROCOMPONENTS PLC ............... 77,756 3,100 FLUGHAFEN WIEN AG. .................. 130,967 25,258 GETRONICS NV ........................ 817,310 9,400 HARLAND (JOHN H.) CO ................ 214,437 3,300,000 oHAYS PLC ............................31,360,404 25,700 INTERPUBLIC GROUP OF COS, INC ....... 1,575,731 25,700 MANPOWER, INC ....................... 1,143,650 14,200 MOORE CORP LTD ...................... 279,965 12,000 PITTSTON BRINKS GROUP CO ............ 360,000 3,487,600 RENTOKIL INITIAL PLC ................12,247,310 113,360 REUTERS HOLDINGS PLC ................ 1,194,249 10,628 SAP AG. ............................. 2,134,625 17,000 SECOM CO LTD ........................ 1,249,414 11,100 SERVICE CORP INT'L .................. 364,912 3,800 SOPHUS BERENDSEN AS (CLASS B) ....... 550,169 2,220 SURVEILLANCE S.A. ................... 875,574 2,000 TOKYO DOME CORP ..................... 26,916 5,000 oTRANS COSMOS ........................ 183,082 ---------- 89,794,679 ---------- CHEMICALS--MAJOR--0.88% 13,600 AGA AB SERIES A FREE ................ 184,677 46,200 AGA AB SERIES B FREE ................ 615,410 13,500 AKZO NOBEL NV ....................... 1,853,466 112,800 BASF AG. ............................ 4,171,902 77,040 BAYER AG. ........................... 2,962,940 59,046 BOC GROUP PLC ....................... 1,026,924 7,400 COURTAULDS PLC ...................... 41,627 17,140 DEGUSSA AG. ......................... 907,851 55,002 DOW CHEMICAL CO ..................... 4,792,049 134,038 DU PONT (E.I.) DE NEMOURS & CO ...... 8,427,639 7,600 DYNO INDUSTRIER AS .................. 197,246 2,475 EASTMAN CHEMICAL CO ................. 157,162 80,600 ICI AUSTRALIA LTD ................... 788,031 57,426 IMPERIAL CHEMICAL INDUSTRY PLC ...... 798,521 17,800 ~LAIR LIQUIDE ........................ 2,828,721 1,389 ~LAIR LIQUIDE (REGD) 1996 ............ 220,735 662 ~LAIR LIQUIDE (REGD) 1998 ............ 105,203 532,737 MITSUBISHI CHEMICAL CORP ............ 1,741,190 135,000 MITSUBISHI GAS CHEMICAL CO, INC ..... 552,130 41,300 MONSANTO CO ......................... 1,778,481 1,168,550 oMONTEDISON S.P.A. ................... 770,934 54,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD .. 429,434 56,400 PPG INDUSTRIES, INC ................. 3,278,250 13,556 RHONE-POULENC S.A. (CLASS A) ........ 554,155 19,500 ROHM & HAAS CO ...................... 1,756,218 2,425 SOLVAY ET CIE S.A. .................. 1,430,020 160,000 SUMITOMO CHEMICAL CO LTD ............ 725,686 29,000 UBE INDUSTRIES LTD .................. 84,392 31,500 UNION CARBIDE CORP .................. 1,482,468 ---------- 44,663,462 ---------- CHEMICALS--SPECIALTY--0.20% 8,500 AGRIUM INC .......................... 97,347 79,000 ASAHI CHEMICAL INDUSTRY CO LTD ...... 472,910 101,000 DAICEL CHEMICAL INDUSTRIES LTD ...... 391,009 129,000 DAINIPPON INK & CHEMICAL, INC ....... 556,901 92,000 DENKI KAGKU KOGYO ................... 254,060 39,100 ENGELHARD CORP ...................... 818,656 95,000 KANEKA CORP ......................... 596,087 89,000 KANSAI PAINT CO LTD ................. 368,663 68,000 KUREHA CHEMICAL INDUSTRY CO LTD ..... 294,154 15,900 LUBRIZOL CORP ....................... 666,806 14,800 MALLINCKRODT, INC ................... 562,400 50,300 oMETHANEX CORP ....................... 466,686 54,900 NOVA CORP ........................... 469,571 12,800 POTASH CORP OF SASKATCHEWAN, INC .... 964,453 13,800 RAYCHEM CORP ........................ 1,026,375 2,572 oRWE-DEA AG FUER MINERAL & CHEMICAL .. 634,660 63,000 SEKISUI CHEMICAL CO LTD ............. 638,646 43,395 SHIN-ETSU CHEMICAL CO LTD ........... 1,152,855 ---------- 10,432,239 ---------- COMMUNICATION EQUIPMENT & SERVICES--1.85% 83 o360 COMMUNICATIONS CO ............... 1,421 46,520 oAIRTOUCH COMMUNICATIONS, INC ........ 1,273,485 79,300 oASCEND COMMUNICATIONS, INC .......... 3,122,437 262,000 oCISCO SYSTEMS, INC ..................17,586,750 16,900 CORNING, INC ........................ 940,062 700 oDSC COMMUNICATIONS CORP ............. 15,575 121,500 ERICSSON TELEFON (LM) AB SERIES B ... 4,784,641 See notes to financial statements. -35- GLOBAL EQUITIES ACCOUNT (CONTINUED) SHARES VALUE ------ ----- COMMUNICATION EQUIPMENT & SERVICES--(CONTINUED) 971,082 oGLOBALSTAR TELECOMMUNICATIONS LTD .$ 29,739,386 12,600 HARRIS CORP ....................... 1,058,400 76,175 LUCENT TECHNOLOGIES, INC .......... 5,489,360 37,600 oNEWBRIDGE NETWORKS CORP ........... 1,613,453 11,000 oNIPPON COMSYS CORP ................ 163,419 14,600 NOKIA AB SERIES K ................. 1,087,787 36,300 NORTHERN TELECOMMUNICATIONS LTD ... 3,274,526 12,900 oQUALCOMM, INC ..................... 656,287 560,500 oSFX BROADCASTING, INC (CLASS A) ... 23,646,093 ---------- 94,453,082 ---------- COMPUTER SERVICE--1.87% 9,300 ADOBE SYSTEMS, INC ................ 326,081 34,400 AUTOMATIC DATA PROCESSING, INC .... 1,616,800 50 oBAY NETWORKS, INC ................. 1,328 12,400 oBMC SOFTWARE, INC ................. 686,650 1,007,050 COMPUTER ASSOCIATES INTERNATIONAL, INC ............... 56,080,096 27,000 oCREATIVE TECHNOLOGY LTD ........... 464,540 20,400 CSK CORP .......................... 773,716 83,600 ELECTRONIC DATA SYSTEMS CORP ...... 3,427,600 47,700 oEMC CORP .......................... 1,860,300 23,300 FIRST DATA CORP ................... 1,023,743 23,700 HBO & CO .......................... 1,632,337 162,600 oMICROSOFT CORP .................... 20,548,575 88 oNCR CORP .......................... 2,618 115,825 oORACLE CORP ....................... 5,834,684 7,100 oPARAMETRIC TECHNOLOGY CORP ........ 302,193 10,600 oPEOPLESOFT, INC ................... 559,150 ---------- 95,140,411 ---------- CONGLOMERATES--3.57% 14,000 oAGIV AG. .......................... 319,350 145,000 oBERJAYA GROUP BERHAD .............. 178,090 15,600 BRASCAN LTD (CLASS A) ............. 386,155 552,560 BTR PLC ........................... 1,889,830 4,681 oBTR PLC WTS 11/30/97 .............. 214 5,147 oBTR PLC WTS 11/26/98 .............. 214 8,348 GEVAERT PHOTO-PRODUCTION NV ....... 784,862 2,000 GROUPE BRUXELLES LAMBERT S.A. ..... 335,460 90,899 oHANSON PLC ........................ 451,580 388,000 HUTCHINSON WHAMPOA LTD ............ 3,355,485 37,100 ITT INDUSTRIES, INC ............... 955,325 26,400 JOHNSON CONTROLS, INC ............. 1,084,050 2,000 oKEPPEL CORP ....................... 8,882 16,500 oKEPPEL CORP SERIES A .............. 71,548 34,522 oLAGARDERE S.C.A. .................. 1,003,732 14,500 oLITTON INDUSTRIES, INC ............ 700,531 409,700 LOEWS CORP ........................ 41,021,212 2,304 LONRHO PLC ........................ 4,889 533,000 MALAYAN UNITED INDUSTRIES BERHAD .. 388,558 106,000 MALAYSIAN RESOURCES CORP BERHAD ... 291,878 37,100 MELCO INTERNATIONAL DEVELOPMENT LTD .................. 12,091 45,080 MINNESOTA MINING & MANUFACTURING CO ................. 4,598,160 256,000 oMULTI-PURPOSE HOLDINGS BERHAD ..... 359,049 311,600 PACIFIC DUNLOP LTD ................ 915,126 8,300 QUEBECOR, INC (CLASS B) ........... 154,015 6,000 oRENONG BERHAD ..................... 7,844 59,600 oROCKWELL INTERNATIONAL CORP ....... 3,516,400 516,200 SIME DARBY BERHAD ................. 1,717,941 43,993 SOUTHCORP HOLDINGS LTD ............ 163,479 278,400 SWIRE PACIFIC LTD (CLASS A) ....... 2,506,468 39,100 TRW, INC .......................... 2,221,368 1,591,980 TYCO INTERNATIONAL LTD 110,742,108 8,346 oU.S. INDUSTRIES, INC .............. 297,326 9,900 UNITED TECHNOLOGIES CORP .......... 821,700 27,700 VIAD CORP ......................... 533,225 89,000 oYTL CORP BERHAD ................... 275,039 ----------- 182,073,184 ----------- CONSTRUCTION--MATERIALS & BUILDERS--0.94% 82,000 oAOKI CONSTRUCTION CO LTD .......... 96,740 12,700 ARMSTRONG WORLD INDUSTRIES, INC ... 931,862 86,462 BARRATT DEVELOPMENTS LTD .......... 353,990 1,190 oBILFINGER & BERGER AG. ............ 48,485 227,800 BLUE CIRCLE INDUSTRIES PLC ........ 1,622,665 338,463 BORAL LTD ......................... 1,057,413 889 oBOUYGUES S.A. ..................... 73,212 11,200 oBPB PLC ........................... 60,487 158,156 CARADON PLC ....................... 530,386 44,635 oCARADON PLC (LTD VTG) (REGD) SERIES B .................. 73,171 1,600 CBR NV ............................ 146,868 8,900 CENTEX CORP ....................... 361,562 884,500 oCHAMPION ENTERPRISES, INC ......... 13,267,500 155,000 CHICHIBU ONODA CEMENT CORP ........ 608,190 30,000 CHIYODA CORP ...................... 144,455 5,600 CLAYTON HOMES, INC ................ 79,800 50,100 CRH PLC ........................... 523,054 6,000 CSR LTD ........................... 23,060 65,000 DAIWA HOUSE INDUSTRY CO LTD ....... 795,249 300 DYCKERHOFF AG. .................... 108,802 3,700 FOMENTO DE CONSTRUCCIONES Y CONTRATAS S.A. ................... 472,686 130 FORBO HOLDINGS AG. (REGD) ......... 56,176 600 oFRIEDRICH GROHE AG. VORZUG ........ 185,929 148,000 FUJITA CORP ....................... 258,674 4,632 oGTM ENTREPOSE S.A. ................ 232,034 134,000 oHASEKO CORP ....................... 214,297 81,000 HAZAMA-GUMI LTD ................... 167,054 13,250 HEIDELBERGER ZEMENT AG. ........... 1,254,590 68,800 HEPWORTH PLC ...................... 271,374 30 HOCHTIEF AG. ...................... 1,342 530 HOLDERBANK FINANCIERE GLARUS AG. (REGD) ................ 501,316 800 HOLLANDSCHE BETON GROEP NV ........ 182,799 5,057 IMETAL S.A. ....................... 670,994 65,000 INAX CORP ......................... 487,374 28,100 oITALCEMENTI S.P.A. ................ 175,141 46,354 JAMES HARDIE INDUSTRIES LTD ....... 147,595 55,000 JGC CONSTRUCTION CORP ............. 379,709 27,000 KAJIMA CORP ....................... 158,324 55,000 KANDENKO CO LTD ................... 519,096 14,548 KINDEN CORP ....................... 205,958 187,000 KUMAGAI GUMI CO LTD ............... 312,130 26,000 KYUNDENKO CO LTD .................. 219,488 1,468 LAFARGE S.A. (BR) ................. 91,390 32,000 MAEDA ROAD CONSTRUCTION CO LTD .... 275,453 69,000 MALAYAN CEMENT BERHAD ............. 115,364 111,500 MARLEY PLC ........................ 231,961 900 MASCO CORP ........................ 37,575 39,791 MEYER INTERNATIONAL PLC ........... 279,465 51,000 MISAWA HOMES CO LTD ............... 311,982 1,146 oMORRISON KNUDSEN CORP WTS 03/11/03 ................ 7,162 1,770 oNEW WORLD INFRASTUCTURE LTD ....... 5,003 90,000 NIHON CEMENT CO LTD ............... 431,007 45,000 OBAYASHI CORP ..................... 301,626 See notes to financial statements. -36- GLOBAL EQUITIES ACCOUNT (CONTINUED) SHARES VALUE ------ ----- CONSTRUCTION--MATERIALS & BUILDERS--(CONTINUED) 70,000 OKUMURA CORP ...................... $ 371,320 8,700 OWENS CORNING CO .................. 375,187 104,600 PIONEER INTERNATIONAL LTD ......... 401,235 2,300 PORTLAND VALDERRIVAS S.A. ......... 188,277 6,300 PULTE CORP ........................ 217,743 29,458 REDLAND PLC ....................... 166,936 72,618 RMC GROUP PLC ..................... 1,178,971 201,870 RUGBY GROUP PLC ................... 406,526 70,000 SANKYO ALUMINIUM INDUSTRY CO LTD .................. 226,340 50,000 oSATO KOGYO ........................ 104,868 28,629 oSCHNEIDER S.A. .................... 1,525,321 164,000 SEKISUI HOUSE LTD ................. 1,662,507 54,000 SHERWIN-WILLIAMS CO ............... 1,667,250 102,000 SHIMIZU CORP ...................... 612,376 680 SIKA FINANZ AG. (BR) .............. 213,622 2,900 SIMON DEBARTOLO GROUP, INC ........ 92,800 29,700 SKANSKA AB SERIES B FREE .......... 1,313,615 2,313 ST. GOBAIN S.A. ................... 337,633 144,000 SUMITOMO OSAKA CEMENT CO LTD ...... 453,029 284,000 TAISEI CORP ....................... 1,317,876 296,465 TARMAC PLC ........................ 616,758 123,373 TAYLOR WOODROW PLC ................ 363,433 6,000 TOSTEM CORP ....................... 166,215 22,700 TOTO LTD .......................... 279,709 48,000 TOYO ENGINEERING CO ............... 216,447 9,000 TOYO EXTERIOR CORP ................ 123,482 100,000 oUNITED ENGINEERING BERHAD ......... 721,078 14,220 oURALITA S.A. ...................... 159,041 9,300 VULCAN MATERIALS CO ............... 730,050 900 WIENERBERGER BAUSTOFF AG. ......... 184,902 74,873 WILSON (CONNOLLY) HOLDINGS PLC .... 200,000 152,700 WOLSELEY PLC ...................... 1,190,639 ---------- 47,854,205 ---------- CONTAINERS--0.03% 10,200 CCL INDUSTRIES, INC (CLASS B) ..... 126,058 25,700 CROWN CORK & SEAL CO, INC ......... 1,373,343 ---------- 1,499,401 ---------- COSMETICS--0.25% 27,300 AVON PRODUCTS, INC ................ 1,926,356 79,900 GILLETTE CO ....................... 7,570,525 2,200 INTERNATIONAL FLAVORS & FRAGRANCES, INC .................. 111,100 5,820 oLOREAL S.A. ....................... 2,454,495 57,000 SHISEIDO & CO LTD ................. 941,452 ---------- 13,003,928 ---------- ELECTRICAL EQUIPMENT--4.17% 142,000 ABB AB SERIES B ................... 1,983,343 32,940 ABB ASEA BROWN BOVERI LTD (BR) .... 49,933,047 10,200 ADVANTEST CORP .................... 784,412 19,887 ALCATEL ALSTHOM CIE GEN ........... 2,493,076 109,000 ~oAMCOL HOLDINGS LTD (SINGAPORE) .... 199,734 17,200 oAMERICAN POWER CONVERSION CORP .... 326,800 436 BICC LTD .......................... 1,280 56,360 DELTA PLC ......................... 259,356 270,000 FUJITSU LTD ....................... 3,751,652 461,328 GENERAL ELECTRIC CO ............... 30,159,318 229,081 oGENERAL ELECTRIC CO (UNITED KINGDOM) ................. 1,368,721 13,900 GENERAL SIGNAL CORP ............... 606,387 536,000 HITACHI LTD ....................... 5,995,653 191,000 MITSUBISHI ELECTRIC CORP .......... 1,069,924 183,000 NIPPON ELECTRIC CORP .............. 2,558,779 69,100 PHILIPS ELECTRONICS NV ............ 4,958,634 624,000 PHILIPS ELECTRONICS NV (NY REGD) .. 44,850,000 79,940 SIEMENS AG. ....................... 4,750,249 72,000 SUMITOMO ELECTRIC INDUSTRIES CO ... 1,208,079 19,700 TOKYO ELECTRON CO LTD ............. 943,427 2,356,100 WESTINGHOUSE ELECTRIC CORP ........ 54,484,812 ----------- 212,686,683 ----------- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--5.29% 21,200 AMP, INC .......................... 885,100 4,800 AVNET, INC ........................ 276,000 2,300 BARCO INDUSTRIES NV ............... 466,390 3,000 HOYA CORP ......................... 133,706 587,974 INTEL CORP ........................ 83,382,062 18,000 oINTER-CITY PRODUCTS CORP .......... 97,854 113,000 oJOHNSON ELECTRIC HOLDINGS LTD ..... 336,929 99,420 KEYENCE CORP ...................... 14,770,133 26,000 KYOCERA CORP ...................... 2,067,647 5,550 LEGRAND S.A. ...................... 978,412 628,300 LINEAR TECHNOLOGY CO .............. 32,514,525 910,700 oMICRON TECHNOLOGY, INC ............ 36,371,081 15,000 MINEBEA CO LTD .................... 159,923 56,174 MOTOROLA, INC ..................... 4,269,224 39,200 MURATA MANUFACTURING CO LTD ....... 1,562,113 42,000 NGK SPARK PLUG CO LTD ............. 458,797 44,000 NITTO DENKO CORP .................. 857,470 41,000 OMRON CORP ........................ 870,666 7,430 OXFORD INSTRUMENTS GROUP PLC ...... 43,712 20,700 ROHM CO ........................... 2,134,588 613,600 SGL CARBON AG. .................... 84,085,641 136,000 SINGAPORE TECHNOLOGIES IND ........ 350,035 31,000 TAIYO YUDEN CO LTD ................ 512,018 24,900 TEXAS INSTRUMENTS, INC ............ 2,093,156 ----------- 269,677,182 ----------- ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.23% 56,000 ALPS ELECTRIC CO LTD .............. 783,014 38,800 oAPPLIED MATERIALS, INC ............ 2,747,525 6,000 ASAHI OPTICAL CO LTD .............. 24,486 109,000 CANON, INC ........................ 2,971,959 96,000 KONICA CORP ....................... 613,268 8,000 NIKON CORP ........................ 134,930 39,000 OLYMPUS OPTICAL CO LTD ............ 351,045 7,200 PERKIN-ELMER CORP ................. 572,850 2,000 RICOH CO LTD ...................... 26,217 4,000 SEIKO CORP ........................ 28,978 10,400 TEKTRONIX, INC .................... 624,000 147,000 TOPPAN PRINTING CO LTD ............ 2,312,339 8,600 VARIAN ASSOCIATES, INC ............ 466,550 2,000 YAMAHA CORP ....................... 36,703 ----------- 11,693,864 ----------- ENVIRONMENTAL CONTROL--1.46% 28,000 BROWNING FERRIS INDUSTRIES, INC ... 931,000 1,100 OGDEN CORP ........................ 23,925 1,835,600 oU.S.A. WASTE SERVICES, INC ........ 70,900,050 75,652 WASTE MANAGEMENT, INC ............. 2,430,320 ----------- 74,285,295 ----------- See notes to financial statements. -37- GLOBAL EQUITIES ACCOUNT (CONTINUED) SHARES VALUE ------ ----- FINANCIAL--MISCELLANEOUS--1.29% 20,000 ACOM CO LTD ....................... $ 964,785 40,000 AMERICAN EXPRESS CO ............... 2,980,000 2,100 BEACON PROPERTIES CORP ............ 70,087 3,500 CASE CORP ......................... 241,062 28,100 oCATELLUS DEVELOPMENT CORP ......... 509,312 641 COMPAGNIE BANCAIRE S.A. ........... 81,885 189 COUNTRYWIDE CREDIT INDUSTRIES, INC 5,894 2,944 CPR-COMPAGNIE PARISIENNE DE REESCOMPTE .................... 213,667 43,185 CREDIT SAISON CO LTD .............. 1,056,702 179,000 DAIWA SECURITIES CO LTD ........... 1,414,110 3,800 EQUITY RESIDENTIAL PROPERTIES TRUST CO ......................... 180,500 400 oEURAFRANCE S.A. ................... 164,197 165,988 FEDERAL NATIONAL MORTGAGE ASSOCIATION ...................... 7,241,226 17,000 GOLDEN WEST FINANCIAL CORP ........ 1,190,000 37 GREAT WESTERN FINANCIAL CORP ...... 1,988 19,900 H.F. AHMANSON & CO ................ 855,700 25,501 HOUSEHOLD INTERNATIONAL, INC ...... 2,994,773 261,000 oMBF CAPITAL BERHAD ................ 479,810 38,500 MBNA CORP ......................... 1,410,062 275 MERCURY ASSETS MANAGEMENT GROUP PLC ........................ 5,634 49,100 MERRILL LYNCH & CO, INC ........... 2,927,587 29,000 NIPPON SHINPAN CO LTD ............. 104,920 303,000 NOMURA SECURITIES CO LTD .......... 4,183,708 9,000 ORIX CORP ......................... 667,746 28,700 PAINE WEBBER GROUP INC ............ 1,004,500 72,551 PROVIDENT FINANCIAL PLC ........... 672,558 11,600 SALOMON, INC ...................... 645,250 29,591 SCHROEDERS LTD .................... 808,164 18,800 SCHWAB (CHARLES) CORP ............. 764,925 104,000 oSHOKOH FUND & CO .................. 31,537,303 114,000 oTA ENTERPRISE BERHAD .............. 121,497 32,982 WOODCHESTER INVESTMENTS PLC ....... 144,303 64,000 YAMAICHI SECURITIES CO LTD ........ 190,719 ---------- 65,834,574 ---------- FOODS--1.13% 80,000 AJINOMOTO CO LTD ................... 859,917 157,086 ARCHER DANIELS MIDLAND CO .......... 3,691,521 160,000 ARIAKE JAPAN CO LTD ................ 6,124,291 120,940 ASSOCIATED BRITISH FOODS PLC ....... 1,043,639 84 AULT FOODS LTD ..................... 2,067 283,313 CADBURY SCHWEPPES LTD .............. 2,524,977 24,700 CAMPBELL SOUP CO ................... 1,235,000 43,400 CONAGRA, INC ....................... 2,783,025 6,300 CULTOR OY SERIES 2 ................. 331,118 18,400 oDANISCO AS ......................... 1,126,640 14,971 DANONE GROUP ....................... 2,476,045 15,500 EBRO CIA AZUC ALCO ................. 302,980 8,138 oERIDANIA BEGHIN-SAY S.A. ........... 1,219,800 38,500 EZAKI GLICO CO LTD ................. 346,545 13,834 oFINANZIARIA AUTOGRILL S.P.A. ....... 23,142 14,400 GENERAL MILLS, INC ................. 937,800 17,400 GREENCORE GROUP PLC ................ 85,316 48,550 HEINZ (H.J.) CO .................... 2,239,368 31,000 HOUSE FOODS CORP ................... 549,945 50,000 ITOHAM FOODS, INC .................. 276,152 17,000 KATOKICHI CO LTD ................... 303,068 15,300 KERRY GROUP CLASS A ................ 147,731 50,000 oKIKKOMAN CORP ...................... 329,897 90,000 MEIJI SEIKA KAISHA LTD ............. 495,501 2,000 NESTLE MALAYSIA BERHAD ............. 14,976 5,899 NESTLE S.A. (REGD) ................. 7,793,039 44,000 NIPPON MEAT PACKERS, INC ........... 569,083 93,000 oNIPPON SUISAN KAISHA LTD ........... 316,150 13,000 NISSIN FOOD PRODUCTS CO LTD ........ 338,548 2,400 ORKLA AS SERIES A .................. 177,357 215,900 oPARMALAT FINANZIARIA S.P.A. ........ 305,312 550 oPECHINEY S.A. ...................... 21,687 22,100 PIONEER-HI-BRED INTERNATIONAL, INC . 1,768,000 21,000 PRIMA LTD .......................... 71,380 23,700 oPROVIGO, INC ....................... 134,854 38,000 oQ.P. CORP .......................... 338,723 26,100 QUAKER OATS CO ..................... 1,171,237 32,556 RALSTON PURINA CO .................. 2,675,696 35,500 SARA LEE CORP ...................... 1,477,687 102,000 SNOW BRAND MILK PRODUCTS CO ........ 525,913 75,900 UNIGATE PLC ........................ 610,758 167,613 UNILEVER LTD ....................... 4,802,267 20,400 UNILEVER NV CERTIFICATES ........... 4,302,186 166,306 UNITED BISCUITS HOLDINGS PLC ....... 566,021 4,900 VISCOFAN S.A. ...................... 114,770 ---------- 57,551,129 ---------- FOREST PRODUCTS--0.18% 244,669 ARJO WIGGINS APPLETON PLC .......... 716,676 19,300 AVENOR, INC ........................ 374,920 9,400 BOISE CASCADE CORP ................. 331,937 489,200 CARTER HOLT HARVEY LTD ............. 1,263,318 19,600 CHAMPION INTERNATIONAL CORP ........ 1,082,900 16,600 DOMTAR, INC ........................ 146,796 5,900 EMPRESA NATIONAL DE CELULOSAS S.A. . 104,296 31,200 FLETCHER CHALLENGE LTD (ENERGY DIVISION) ................. 94,105 214,916 FLETCHER CHALLENGE LTD (FOREST DIVISION) ................. 311,733 200 GEORGIA-PACIFIC CORP ............... 17,075 10,500 oINTERNATIONAL FOREST PRODUCTS LTD .. 72,303 17,000 JAYA TIASA HOLDINGS BERHAD ......... 85,538 146,331 JEFFERSON SMURFIT GROUP PLC ........ 423,877 34,100 LOUISIANA PACIFIC CORP ............. 720,362 1,600 oMAYR MELNHOF KARTO ................. 82,211 1,670 PAPIERWERKE WALDHOF- ASCHAFFENBURG AG. ................. 285,584 55,600 oREPAP ENTERPRISES, INC. ............ 22,568 91,666 REXAM PLC .......................... 386,738 16,800 oSARRIO CIA PAPELERA DE LEIZA S.A. .. 66,249 21,100 SCA AB SERIES B .................... 442,062 9,600 STORA KOPPARBERG BERGSLAGS SERIES A FREE ..................... 155,191 75,100 STORA KOPPARBERG BERGSLAGS SERIES B FREE ..................... 1,223,760 36,400 oUPM-KYMMENE OY ..................... 840,936 1,700 WILLAMETTE INDUSTRIES, INC ......... 119,000 ---------- 9,370,135 ---------- HEALTHCARE--DRUGS--5.75% 107,964 AMERICAN HOME PRODUCTS CORP ........ 8,259,246 676,700 oAMGEN, INC ......................... 39,333,187 26,133 ASTRA AB SERIES A FREE ............. 486,673 220,533 ASTRA AB SERIES B FREE ............. 3,893,068 163,326 BRISTOL MYERS SQUIBB CO ............ 13,229,406 67,000 CHUGAI PHARMACEUTICAL CO LTD ....... 603,078 74,000 DAIICHI PHARMACEUTICAL CO LTD ...... 1,306,305 14,000 EISAI CO LTD ....................... 265,490 16,900 ELF SANOFI S.A. .................... 1,658,050 419,219 GLAXO WELLCOME PLC ................. 8,651,556 See notes to financial statements. -38- GLOBAL EQUITIES ACCOUNT (CONTINUED) SHARES VALUE ------ ----- HEALTHCARE--DRUGS--(CONTINUED) 23,000 KAKEN PHARMACEUTICAL CO LTD ...... $ 118,387 600 KISSEI PHARMACEUTICALS CO LTD .... 13,213 32,000 KYOWA HAKKO KOGYO ................ 239,937 59,162 LILLY (ELI) & CO ................. 6,467,146 170,782 MERCK & CO, INC .................. 17,675,937 32,730 MERCK KGAA ....................... 1,445,296 200 MOCHIDA PHARMACEUTICAL CO LTD .... 1,835 86,227 oNOVARTIS AG. (REGD) .............. 138,043,616 10,300 NOVO NORDISK AS (CLASS B) ........ 1,124,650 35,300 oNYCOMED AS SERIES B .............. 506,296 73,162 PFIZER, INC ...................... 8,742,859 1,250 oRHONE-POULENC RORER INC-CTF SICO . 113,268 50 ROCHE HOLDINGS AG. (BR) .......... 687,632 1,248 ROCHE HOLDINGS AG. (GENUSSCHEINE) 11,303,818 41,100 SANKYO CO LTD .................... 1,382,815 7,300 SCHERING AG. ..................... 780,646 142,600 SCHERING-PLOUGH CORP ............. 6,826,975 111,000 SHIONOGI & CO LTD ................ 861,385 311,921 SMITHKLINE BEECHAM/BECKMAN LTD ... 5,738,983 22,100 TAISHO PHARMACEUTICAL CO LTD ..... 596,777 125,000 TAKEDA CHEMICAL INDUSTRIES LTD ... 3,517,447 19,200 WARNER-LAMBERT CO ................ 2,385,600 67,000 YAMANOUCHI PHARMACEUTICAL CO LTD . 1,803,380 146,416 ZENECA GROUP PLC ................. 4,839,487 ----------- 292,903,444 ----------- HEALTHCARE--HOSPITAL SUPPLY--0.22% 5,200 INSTRUMENTARIUM GROUP SERIES B FREE ................... 194,216 173,138 JOHNSON & JOHNSON CO ............. 11,145,758 ----------- 11,339,974 ----------- HEALTHCARE--OTHER--0.16% 99,833 ABBOTT LABORATORIES CO ........... 6,663,852 2,100 BAXTER INTERNATIONAL, INC ........ 109,725 22,100 BECTON DICKINSON & CO ............ 1,118,812 463 oESSILOR INTERNATIONAL ............ 124,996 87 oQUEST DIAGNOSTICS, INC ........... 1,788 ----------- 8,019,173 ----------- HEALTHCARE--SERVICE--2.14% 1,200,333 +oADAC LABORATORIES, INC ........... 28,357,867 685,343 AETNA, INC ....................... 70,161,989 118,200 COLUMBIA/HCA HEALTHCARE CORP ..... 4,646,737 75 oCOVANCE, INC ..................... 1,448 8,000 oEXTENDICARE INC (SUB-VTG)(CLASS A) 118,295 57,800 oHEALTHSOUTH CORP ................. 1,441,387 51,200 oHUMANA, INC ...................... 1,184,000 19,700 MANOR CARE, INC .................. 642,712 8,300 MDS INC, (CLASS B) ............... 181,690 6,917 oMEDPARTNERS, INC ................. 149,580 17,500 oOXFORD HEALTH PLANS, INC ......... 1,255,625 3,800 oPACIFICARE HEALTH SYSTEMS, INC (CLASS A) ....................... 230,137 1,200 oPACIFICARE HEALTH SYSTEMS, INC (CLASS B) ....................... 76,650 16,200 UNITED HEALTHCARE CORP ........... 842,400 ----------- 109,290,517 ----------- HOUSEHOLD--CONSUMER ELECTRONICS--0.31% 3,100 oBANG & OLUFSEN HOLDING A/S (CLASS B) 191,684 89,000 CASIO COMPUTER CO LTD ............. 775,437 333,000 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ................ 6,722,300 38,000 PIONEER ELECTRONIC CORP ........... 923,187 344,000 SANYO ELECTRIC CO LTD ............. 1,545,195 100,000 SHARP CORP ........................ 1,380,762 45,200 SONY CORP ......................... 3,946,077 12,000 UNIDEN CORP ....................... 177,226 18,100 oZENITH ELECTRONICS CORP ........... 213,806 ----------- 15,875,674 ----------- HOUSEHOLD--DURABLE GOODS--0.12% 29,400 BLACK & DECKER CORP ............... 1,093,312 94,000 CITIZEN WATCH CO LTD .............. 726,175 5,700 ELECTROLUX AB SERIES B ............ 411,334 83,133 EMAIL LTD ......................... 295,222 30,500 MAYTAG CO ......................... 796,812 50,100 NEWELL COS, INC ................... 1,985,212 35,500 SHAW INDUSTRIES, INC .............. 377,187 33,000 TAKARA STANDARD CO ................ 288,387 1,000 WHIRLPOOL CORP .................... 54,562 ----------- 6,028,203 ----------- HOUSEHOLD--PRODUCTS--0.45% 24,800 AMSTRAD PLC ....................... 117,632 8,596 BIC S.A. .......................... 1,407,046 30,000 DIAL CORP ......................... 468,750 128,000 KAO CORP .......................... 1,778,561 106,500 KIMBERLY-CLARK CORP ............... 5,298,375 58,000 LION CORP ......................... 265,595 86,000 PROCTER & GAMBLE CO ............... 12,147,500 12,500 RUBBERMAID, INC ................... 371,875 3,550 SMH AG. (REGD) .................... 481,523 4,000 TAMBRANDS, INC .................... 199,500 12,000 UNI CHARM CORP .................... 427,861 108,500 WATERFORD WEDGWOOD PLC (UNITS) .... 141,595 ----------- 23,105,813 ---------- INSURANCE--BROKERS & OTHER--0.45% 291,000 oACE LTD ........................... 21,497,625 13,400 MBIA, INC ......................... 1,511,687 ---------- 23,009,312 ---------- INSURANCE--LIFE--0.22% 700 AEGON NV .......................... 48,946 12,511 oAEGON NV ARS ...................... 876,551 43,600 AON CORP .......................... 2,256,300 28,900 IRISH LIFE ........................ 148,244 11,600 JEFFERSON-PILOT CORP .............. 810,550 64,735 LEGAL & GENERAL GROUP PLC ......... 436,879 100 LIBERTY CORP ...................... 4,075 12,600 oPROVIDIAN FINANCIAL CORP .......... 404,775 377,427 PRUDENTIAL CORP PLC ............... 3,652,702 19,400 SUNAMERICA, INC ................... 945,750 20,500 TORCHMARK CORP .................... 1,460,625 200 UNUM CORP ......................... 8,400 ----------- 11,053,797 ----------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--2.94% 310 oAACHENER & MUNCHENER BETEIL (BR) . 272,357 835 oAACHENER & MUNCHENER BETEIL (REGD) ................... 737,920 27 oALLEANZA ASSICURAZIONI (S/S) NON CV 136 31,590 oALLIANZ AG. (REGD) ............... 6,616,749 199,468 ALLSTATE CORP .................... 14,561,164 78,887 AMERICAN INTERNATIONAL GROUP, INC 11,783,745 173,122 oASSICURAZIONI GENERALI S.P.A. .... 3,145,488 9,200 ASSUR STAD ROTTERDAM NV .......... 421,190 1,051,560 AXA UAP .......................... 65,465,130 21,000 CIGNA CORP ....................... 3,727,500 See notes to financial statements. -39- GLOBAL EQUITIES ACCOUNT (CONTINUED) SHARES VALUE ------ ----- INSURANCE--MULTI-LINE PROPERTY & CASUALTY--(CONTINUED) 7,300 COLONIA KONZERN AG. (REGD) ....... $ 674,451 198,299 COMMERICAL UNION ASSURANCE CO LTD 2,084,133 900 EA-GENERALI AG. .................. 236,725 832 oFORTIS AG NPV (STRIP VVPR) ....... 185 5,295 FORTIS AG. ....................... 1,094,332 18,700 GENERAL REINSURANCE CORP ......... 3,403,400 150,540 GUARDIAN ROYAL EXCHANGE ASSURANCE PLC ................... 676,468 35,000 HARTFORD FINANCIAL SERVICES GROUP, INC ...................... 2,896,250 96,075 ING GROEP NV ..................... 4,437,697 198,900 oINSTITUTO NAZIONALE DELLE ASSICURAZION .................... 302,908 157,000 MITSUI TAISHO MARINE & FIRE CO LTD 1,136,035 703 oMUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) ........ 1,972,724 115 oMUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) WTS 03/13/98 .................... 40,585 106,000 NIPPON FIRE & MARINE INSURANCE CO LTD .......................... 572,474 29,700 RAS S.P.A. ....................... 234,885 377,289 ROYAL & SUN ALLIANCE INSURANCE GRP PLC ......................... 2,781,694 2,000 ROYALE BELGE VIE ACCIDENTS ....... 581,354 1,300 SAMPO INSURANCE CO SERIES A ...... 126,390 3,150 oSCHWEIZERISCHE RUCKVERSICHERUNG (REGD) ......... 4,461,725 172,000 SEDGWICK GROUP LTD ............... 354,961 12,700 SKANDIA FORSAKRINGS AB ........... 468,095 6,400 ST. PAUL COS, INC ................ 488,000 152,000 SUMITOMO MARINE & FIRE INSURANCE CO .................... 1,248,628 181,000 TOKIO MARINE & FIRE INSURANCE CO LTD ................ 2,372,638 20,900 TRANSAMERICA CORP ................ 1,955,456 107,758 TRAVELERS GROUP, INC ............. 6,795,488 5,100 USF&G CORP ....................... 122,400 109,300 WILLIS CORROON GROUP PLC ......... 235,570 3,213 ZURICH INSURANCE CO (REGD) ....... 1,280,439 ----------- 149,767,469 ----------- LEISURE TIME--3.35% 30,900 BRUNSWICK CORP ................... 965,625 17,700 CALLAWAY GOLF CO ................. 628,350 3,715,800 CARNIVAL CORP (CLASS A) .......... 153,276,750 113,521 DISNEY (WALT) CO ................. 9,110,060 403 EMI GROUP PLC .................... 7,226 8,000 GENTING BERHAD ................... 38,351 129,371 GRANADA GROUP LTD (CLASS A) ...... 1,700,966 26,150 oHARRAHS ENTERTAINMENT, INC ....... 470,700 33,300 INTERNATIONAL GAME TECHNOLOGY CO . 591,075 358,372 LADBROKE GROUP PLC ............... 1,401,630 401,500 MAGNUM CORP BERHAD ............... 604,477 14,500 MATTEL, INC ...................... 491,187 4,000 NAMCO LTD ........................ 154,505 1,150 oSALOMON S.A. ..................... 87,773 136,102 THORN PLC ........................ 389,605 25,000 TOEI CO .......................... 171,502 5,000 TOHO CO LTD ...................... 825,835 1,700 WINNEBAGO INDUSTRIES, INC ........ 12,218 ----------- 170,927,835 ----------- MACHINERY--3.32% 91,000 AMADA CO LTD ..................... 803,201 744,000 oASM LITHOGRAPHY HOLDINGS NV ...... 43,099,035 48,500 ATLAS COPCO AB SERIES B FREE ..... 1,267,006 265,300 AUSTRALIAN NATIONAL INDUSTRIES LTD 321,995 43,500 BOMBARDIER, INC (CLASS B) ........ 986,916 18,530 xoBREMER VULKAN AG. ................ 51,040 83,000 BROTHERS INDUSTRIES LTD .......... 358,316 44,300 CATERPILLAR, INC ................. 4,756,712 1,000 CINCINNATI MILACRON, INC ......... 25,937 10,136 COOPER INDUSTRIES, INC ........... 504,266 32,000 DAIKIN INDUSTRIES LTD ............ 290,833 71,800 DEERE & CO ....................... 3,940,025 16,600 oDEUTZ AG ......................... 158,131 16,920 FAG KUGELFISCHER (GEORG) SCHAEFER AG. .................... 315,077 38,200 FANUC LTD ........................ 1,468,851 241 FISCHER (GEORGE) LTD (BR) ........ 335,571 21 FISCHER (GEORGE) LTD (REGD) ...... 5,761 193,744 FKI PLC .......................... 548,161 12,500 FLS INDUSTRIES AS (CLASS B) ...... 424,164 400 oFMC CORP ......................... 31,775 86,590 IMI PLC .......................... 494,303 653 oINDUSTRIE-WERKE KARLSRUHE AUGSBURG AG. .................... 189,986 17,500 INGERSOLL-RAND CO ................ 1,080,625 90,000 KAWASAKI HEAVY INDUSTRIES, LTD ... 419,209 198,000 KOMATSU LTD ...................... 1,609,199 24,000 KOMORI CORP ...................... 570,481 1,700 KONE CORP SERIES B ............... 202,918 58,000 KOYO SEIKO CO LTD ................ 464,285 169,000 KUBOTA CORP ...................... 828,535 13,000 KVAERNER INDUSTRIER AS SERIES A .. 787,550 2,420 LINDE AG. ........................ 1,853,953 11,000 MAGNA INTERNATIONAL, INC ......... 661,786 51,000 MAKITA CORP ...................... 748,757 1,495 oMAN AG. (STAMM) .................. 460,699 2,939 MANNESMANN AG. ................... 1,310,457 51,500 oMETAL MANUFACTURES LTD ........... 127,326 480,000 MITSUBISHI HEAVY INDUSTRIES LTD .. 3,687,158 27,000 MORI SEIKI CO LTD ................ 434,153 105,000 oNIIGATA ENGINEERING CO LTD ....... 192,694 119,000 NSK LTD .......................... 766,436 146,000 NTN TOYO BEARING CO LTD .......... 817,848 6,000 OKUMA CORP ....................... 52,958 23,500 PARKER-HANNIFIN CORP ............. 1,426,156 1,013 oRAUMA OY ......................... 23,207 18,000 SANDEN CORP ...................... 151,009 410 SCHINDLER HOLDINGS LTD (REGD) .... 527,299 2,100 SIDEL S.A. ....................... 162,749 2,110,800 +STORK NV ......................... 86,185,821 1,090 SULZER WINTERTHUR AG. (REGD) ..... 934,563 147,000 SUMITOMO HEAVY INDUSTRIES LTD .... 594,785 8,000 TAKUMA CO LTD .................... 109,062 47,700 TI GROUP PLC ..................... 415,591 30,000 TOYOTA AUTOMATIC LOOM WORKS LTD .. 681,642 100 TRINITY INDUSTRIES, INC .......... 3,175 5,000 oTSUGAMI CORP ..................... 14,943 11,600 UNITED DOMINION INDUSTRIES LTD ... 285,039 1,900 VA TECHNOLOGIE AG. (BR) .......... 347,773 300 VICKERS PLC ...................... 1,026 ----------- 169,317,929 ----------- See notes to financial statements. -40- GLOBAL EQUITIES ACCOUNT (CONTINUED) SHARES VALUE ------ ----- METALS--ALUMINUM--0.12% 27,400 ALCAN ALUMINIUM CO LTD ............. $ 935,445 3,900 ALCAN ALUMINIUM CO LTD (U.S.) ...... 135,281 36,100 ALUMINUM CO OF AMERICA ............. 2,721,037 1,130 ALUSUISSE LONZA HOLDINGS AG. (BR) .. 1,158,755 2,850 oGRANGES ............................ 37,779 59,600 TOYO SEIKAN KAISHA LTD ............. 1,322,944 ----------- 6,311,241 ----------- METALS--GOLD--1.33% 25,400 BARRICK GOLD CORP .................. 553,254 55,700 BARRICK GOLD CORP (U.S.) ........... 1,225,400 22,800 ECHO BAY MINES LTD ................. 127,254 958,900 oEUOR-NEVADA MINING CORP ............ 29,539,911 650,400 oFRANCO-NEVADA MINING CORP LTD ...... 32,647,298 4,500 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS A) ............... 131,625 12,500 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) ............... 389,062 69,400 GREAT CENTRAL MINES LTD ............ 131,130 45,200 NEWMONT MINING CORP ................ 1,762,800 428,288 NORMANDY MINING LTD ................ 478,101 30,000 PLACER DOME, INC ................... 487,097 27,800 SONS OF GWALIA NL .................. 102,680 ----------- 67,575,612 ----------- METALS--NON-FERROUS--0.27% 25,500 ABERFOYLE LTD ...................... 70,687 14,700 COMINCO LTD ........................ 391,581 88,000 FUJIKURA LTD ....................... 822,864 188,000 FURUKAWA ELECTRIC CO LTD ........... 1,197,697 5,381 INCO LTD ........................... 160,891 20,000 INCO LTD (U.S.) .................... 601,250 18,350 JOHNSON MATTHEY PLC ................ 176,826 360,850 MIM HOLDINGS LTD ................... 529,883 261,000 MITSUBISHI MATERIALS CORP .......... 1,044,642 169,000 NIPPON LIGHT METAL CO LTD .......... 615,863 27,500 NORANDA, INC ....................... 593,016 199,444 NORTH LTD .......................... 754,588 34,500 OUTOKUMPU OY SERIES A .............. 684,126 18,200 PHELPS DODGE CORP .................. 1,550,412 66,520 RGC LTD ............................ 241,708 8,200 RIO ALGOM LTD ...................... 200,304 71,900 RIO TINTO LTD ...................... 1,216,327 36,050 RIO TINTO PLC (BR) ................. 629,979 34,910 RIO TINTO PLC (REGD) ............... 608,023 95,300 STRAITS TRADING CO ................. 207,956 31,000 SUMITOMO METAL MINING CO LTD ....... 219,436 16,200 TECK CORP LTD (CLASS B) ............ 328,203 5,800 TRELLEBORG AB SERIES B FREE ........ 95,261 6,300 oUNION MINIERE GROUP S.A. ........... 590,561 ----------- 13,532,084 ----------- METALS--STEEL--1.38% 2,900 ACERINOX S.A. ...................... 544,389 55,400 ALLEGHENY TELEDYNE, INC ............ 1,495,800 408,000 AMSTEEL CORP BERHAD ................ 311,981 1,100 oBETHLEHEM STEEL CORP ............... 11,481 1,600 BOHLER-UDDEHOLM AG.(BR) ............ 124,100 133,000 DAIDO STEEL CO LTD ................. 430,046 9,100 DOFASCO, INC ....................... 172,488 8,900 HOOGOVENS NEN STAALIADRIEREN NV .... 496,942 72,000 oJAPAN STEEL WORKS LTD .............. 140,313 354,000 KAWASAKI STEEL CORP ................ 1,153,915 48,000 oKOBE STEEL LTD ..................... 91,864 861,000 NIPPON STEEL CORP .................. 2,753,886 506,000 NKK CORP ........................... 1,087,795 20,100 NUCOR CORP ......................... 1,135,650 2,513 PREUSSAG AKTIEGESELLSCHAFT AG. ..... 736,190 10,800 oSTELCO, INC (CLASS A) .............. 80,632 656,000 SUMITOMO METAL INDUSTRIES LTD ...... 1,868,887 2,740,500 SVENSKT STAL AB SERIES A ........... 55,998,028 1,884 THYSSEN AG. ........................ 446,511 9,000 TOKYO STEEL MANUFACTURING CO LTD ... 100,673 53,000 oUSINOR SACILOR S.A. ................ 956,908 100 USX-US STEEL GROUP, INC ............ 3,506 ----------- 70,141,985 ----------- MISCELLANEOUS MATERIALS & COMMODITIES--0.47% 96,000 ASAHI GLASS CO LTD ................. 956,396 950,000 oFIRST OLSEN TANKERS LTD ............ 7,461,611 225,000 GOLDEN HOPE PLANTATIONS BERHAD ..... 386,886 49,000 oGOLDEN PLUS HOLDINGS BHD ........... 88,914 110,000 HIGHLANDS & LOWLANDS BERHAD ........ 168,225 73,000 oIOI CORP ........................... 83,296 145,000 oKEMAYAN CORP BERHAD ................ 168,898 135,000 NIPPON SHEET GLASS CO LTD .......... 497,860 123,000 PERLIS PLANTATIONS BERHAD .......... 360,618 1,900 oRADEX HERAKLITH INDUSTRIEBETEIL AG. ............... 80,425 3,100 SOMMER ALLIBERT .................... 108,772 1,726,428 WASSALL PLC ........................ 8,878,478 3,750,000 oWASSALL FLTG RTE NON CUM PRF B ..... 4,805,666 ----------- 24,046,045 ----------- OFFICE EQUIPMENT--1.70% 24,800 oAPPLE COMPUTER, INC ................ 353,400 200 oDATA GENERAL CORP .................. 5,200 17,000 oDIGITAL EQUIPMENT CORP ............. 602,437 151,152 HEWLETT-PACKARD CO ................. 8,464,512 3,200 IKON OFFICE SOLUTIONS, INC ......... 79,800 160,480 INTERNATIONAL BUSINESS MACHINES CORP ..................... 14,473,290 5,000 KOKUYO CO LTD ...................... 135,454 70,800 oSEAGATE TECHNOLOGY, INC ............ 2,491,275 758,400 XEROX CORP ......................... 9,818,800 ----------- 86,424,168 ----------- PAPER--0.16% 235,300 FLETCHER CHALLENGE LTD (PAPER DIVISION) .................. 569,366 55,500 INTERNATIONAL PAPER CO ............. 2,695,218 20,400 JAMES RIVER CORP OF VIRGINIA ....... 754,800 86,000 MALAYSIAN PACIFIC INDUSTRIES BERHAD ............................ 374,802 16,500 MEAD CORP .......................... 1,027,125 66,000 MITSUBISHI PAPER MILLS LTD ......... 258,394 41,000 NIPPON PAPER INDUSTRIES CO ......... 237,552 212,666 OJI PAPER CO LTD ................... 1,317,668 31,800 WESTVACO CORP ...................... 999,712 ----------- 8,234,637 ----------- PETROLEUM-- EXPLORATION & PRODUCTION--2.02% 30,700 oANDERSON EXPLORATION LTD ............ 396,100 1,950,000 BRITISH-BORNEO PETROLEUM SYNDICATE PLC ......................46,003,332 11,866 LONDON & SCOTTISH MARINE OIL PLC .... 51,247 14,300 oPOCO PETROLEUM LTD .................. 146,669 14,700 RANGER OIL LTD ...................... 137,452 2,904,000 SAGA PETROLEUM AS SERIES A ..........55,138,198 400 oSANTA FE ENERGY RESOURCES, INC ...... 5,875 33,700 oTALISMAN ENERGY, INC ................ 1,036,942 ----------- 102,915,815 ----------- See notes to financial statements. -41- GLOBAL EQUITIES ACCOUNT (CONTINUED) SHARES VALUE ------ ----- PETROLEUM--INTEGRATED--5.37% 29,600 ALBERTA ENERGY LTD ................. $ 745,578 57,500 AMOCO CORP ......................... 4,998,906 71,500 ATLANTIC RICHFIELD CO .............. 5,040,750 2,400,873 BRITISH PETROLEUM PLC .............. 29,828,444 268,193 BROKEN HILL PROPRIETARY CO LTD ..... 3,914,723 21,076 BURMAH CASTROL PLC ................. 356,906 20,200 CANADIAN OCCIDENTAL PETROLEUM LTD .. 453,899 89,900 CHEVRON CORP ....................... 6,646,981 44,882 ELF AQUITANE S.A. .................. 4,846,743 18,608,500 ENTE NAZIONALE IDROCARBURI S.P.A. ..105,314,805 315,700 EXXON CORP ......................... 19,415,550 8,200 oGULF CANADA RESOURCES LTD .......... 67,164 27,600 IMPERIAL OIL LTD ................... 1,415,410 140,000 MITSUBISHI OIL CO LTD .............. 623,964 293,200 MOBIL CORP ......................... 20,487,350 308,000 NIPPON OIL CO LTD .................. 1,687,640 25,400 NORCEN ENERGY RESOURCES LTD ........ 605,726 45,100 NORSK HYDRO AS ..................... 2,458,049 103,200 OCCIDENTAL PETROLEUM CORP .......... 2,586,450 4,000 OMV AKTIENGESELLS AG. .............. 512,484 3,000 PETROFINA S.A. ..................... 1,136,979 64,608 REPSOL S.A. ........................ 2,736,650 986,400 ROYAL DUTCH PETROLEUM CO ........... 51,401,709 163,175 SANTOS LTD ......................... 680,936 19,200 SUNCOR ENERGY, INC ................. 514,932 24,750 TOTAL S.A. ......................... 2,504,091 18,420 UNOCAL CORP ........................ 714,926 76,000 USX-MARATHON GROUP, INC ............ 2,194,500 ----------- 273,892,245 ----------- PETROLEUM--SERVICE--2.63% 11,300 BAKER HUGHES, INC .................. 437,168 20 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC 410 52,300 oGLOBAL MARINE, INC ................. 1,215,975 1,300 HALLIBURTON CO ..................... 103,025 6,800 HELMERICH & PAYNE, INC ............. 391,850 2,350,850 +IHC CALAND NV ......................128,742,931 9,375 KONINKLIJKE PAKHOED HOLDINGS NV .... 331,112 12,700 MCDERMOTT INTERNATIONAL, INC ....... 370,681 3,200 TECHNIP S.A. ....................... 371,726 18,900 TIDEWATER, INC ..................... 831,600 16,800 oWESTERN ATLAS, INC ................. 1,230,600 ----------- 134,027,078 ----------- PHOTOGRAPHY--0.13% 45,200 EASTMAN KODAK CO ................... 3,469,100 78,000 FUJI PHOTO FILM CO LTD ............. 3,142,369 ----------- 6,611,469 ----------- PROPERTY--REAL ESTATE--0.51% 41,000 BRITISH LAND PLC ................... 386,217 480,000 CHEUNG KONG HOLDINGS LTD ........... 4,739,707 197 CHINESE ESTATES LTD ................ 185 193,560 CITY DEVELOPMENT LTD ............... 1,895,259 13,665 oCITY DEVELOPMENT LTD WTS 07/18/98 .. 107,041 4,400 CRESCENT REAL ESTATE EQUITIES, INC . 139,700 440 oCRESECENT OPERATING, INC ........... 5,280 14,000 DAIKYO, INC ........................ 54,811 130,000 DBS LAND LTD ....................... 410,966 61,084 oEVERGO CHINA HOLDINGS LTD .......... 7,884 56,400 GENERAL PROPERTY TRUST ............. 111,975 13,520 GREAT PORTLAND ESTATES PLC ......... 46,802 11,627 HAMMERSON PLC ...................... 90,465 425,000 HANG LUNG DEVELOPMENT CO LTD ....... 778,979 11,000 oHENDERSON LAND DEVELOPMENT CO LTD .. 97,614 234,000 HONG LEONG PROPERTIES BERHAD ....... 266,077 1,299,000 HOPEWELL HOLDINGS LTD .............. 821,588 127,000 oHOTEL PROPERTIES LTD ............... 215,841 1,000 HYSAN DEVELOPMENT CO LTD ........... 2,949 165,000 oIGB CORP BERHAD .................... 164,738 592 LAND SECURITIES PLC ................ 8,350 107,200 MEPC PLC ........................... 879,575 196,000 MITSUBISHI ESTATE CO LTD ........... 2,843,321 149,000 MITSUI FUDOSAN CO LTD .............. 2,057,335 149,000 MULPHA INTERNATIONAL BERHAD ........ 119,837 37,250 oMULPHA INTERNATIONAL BERHAD RTS .... 6,346 236,128 NEW WORLD DEVELOPMENT CO LTD ....... 1,408,115 8,566 SCHRODERS PROPERTY FUND ............ 15,274 99 oSIMCO (REGD) NEW ................... 7,706 397,000 SINO LAND CO ....................... 430,445 29,300 SLOUGH ESTATES PLC ................. 145,316 418,900 SUN HUNG KAI PROPERTIES LTD ........ 5,042,060 136,000 TAI CHEUNG HOLDINGS LTD ............ 107,960 46,200 UNITED OVERSEAS LAND LTD ........... 62,685 13,800 VALLEHERMOSO S.A. .................. 372,959 343,700 WESTFIELD TRUST (UNITS) ............ 700,400 3,516 ~oWESTFIELD TRUST (UNITS) NEW ........ 6,906 287,000 WHARF HOLDINGS LTD ................. 1,244,715 ----------- 25,803,383 ---------- PUBLISHING--NEWSPAPER--0.17% 17,600 GANNETT CO, INC .................... 1,738,000 18,000 oNEW STRAITS TIMES PRESS BERHAD ............................ 105,546 510,634 NEWS CORP LTD ...................... 2,429,300 16,900 PEARSON PLC ........................ 195,620 19,000 SINGAPORE PRESS HOLDINGS LTD (FR) .. 382,711 31,100 TIMES MIRROR CO SERIES A ........... 1,718,275 38,500 TRIBUNE CO ......................... 1,850,406 ----------- 8,419,858 ----------- PUBLISHING--OTHER--0.31% 137,000 DAI NIPPON PRINTING CO LTD ......... 3,100,859 55 DE LA RUE CO PLC ................... 337 21,700 DUN & BRADSTREET CORP .............. 569,625 38,400 ELSEVIER UTIGEVERSMIJ NV ........... 642,841 32,000 GAKKEN CO LTD ...................... 168,627 36,900 INDEPENDENT NEWSPAPERS PLC ......... 217,117 5,800 MCGRAW HILL COS, INC ............... 341,112 5,500 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VTG) ............... 157,781 155,320 REED INTERNATIONAL PLC ............. 1,504,464 470,000 SOUTH CHINA MORNING POST ........... 461,063 9,600 SOUTHAM, INC ....................... 164,221 104,500 THOMSON CORP ....................... 2,408,742 96,371 TIME WARNER, INC ................... 4,649,900 13,536 WOLTERS KLUWER NV .................. 1,651,151 ---------- 16,037,840 ---------- RAILROAD--3.47% 43,100 BURLINGTON NORTHERN SANTA FE CORP .. 3,873,612 2,189,900 CANADIAN PACIFIC LTD ............... 62,382,644 66,196 CSX CORP ........................... 3,673,878 490 EAST JAPAN RAILWAY CO .............. 2,517,880 94,250 HANKYU CORP ........................ 521,370 121,769 KINKI NIPPON RAILWAY CO LTD ........ 744,897 221,490 NAGOYA RAILROAD CO LTD ............. 913,603 117,000 NANKAI ELECTRIC RAILWAY CO ......... 597,118 136,000 NIPPON EXPRESS CO LTD .............. 1,087,481 6,100 NORFOLK SOUTHERN CORP .............. 614,575 14,950 ODAKYU ELECTRIC RAILWAY CO LTD ..... 88,840 9,444,700 oRAILTRACK GROUP PLC ................ 98,321,182 See notes to financial statements. -42- GLOBAL EQUITIES ACCOUNT (CONTINUED) SHARES VALUE ------ ----- RAILROAD--(CONTINUED) 15,020 TOBU RAILWAY CO LTD ............... $ 69,436 144,000 TOKYU CORP ........................ 894,733 6,200 UNION PACIFIC CORP ................ 437,100 ----------- 176,738,349 ----------- RESTAURANTS & HOTELS--2.59% 5,233 ACCOR S.A. ........................ 784,371 10,796,200 COMPASS GROUP PLC ................. 121,105,099 15,100 CRACKER BARREL OLD COUNTRY STORE, INC ....................... 400,150 39,100 DARDEN RESTAURANTS, INC ........... 354,343 27,700 HILTON HOTELS CORP ................ 735,781 251,000 HONG KONG & SHANGHAI HOTELS LTD ... 400,119 63,700 oHOST MARRIOTT CORP ................ 1,134,656 9,300 oITT CORP .......................... 567,881 89,166 MCDONALDS CORP .................... 4,307,832 339 MOEVENPICK HOLDINGS (BR) .......... 102,427 42,000 OVERSEAS UNION ENTERPRISES LTD .... 193,873 16,075 oPROMUS HOTEL CORP ................. 622,906 1,030,800 REGAL HOTELS INTERNATIONAL LTD .... 279,410 5,000 RESORTS WORLD BERHAD .............. 15,055 5,800 oSCOTTS RESTAURANTS INC ............ 25,855 348,000 SHANGRI-LA ASIA LTD ............... 417,744 13,000 SHANGRI-LA HOTEL LTD .............. 38,914 28,000 SKYLARK CO LTD .................... 428,211 700 SODEXHO ALLIANCE S.A. ............. 358,763 ----------- 132,273,390 ----------- RETAIL--FOOD--0.35% 2,200 ALBERTSONS, INC ................... 80,300 45,500 AMERICAN STORES CO ................ 2,246,562 6,295 CARREFOUR SUPERMARCHE S.A. ........ 4,576,239 15,000 CASINO GUICHARD-PERRACHON S.A. .... 743,230 826 DAIRY FARM INTERNATIONAL HOLDINGS LTD ..................... 619 14,100 DELHAIZE FRERES NV ................ 741,268 13,512 KONINKLIJKE AHOLD NV .............. 1,142,033 79,900 oKROGER CO ......................... 2,317,100 4,400 PROMODES S.A. ..................... 1,715,485 224,434 SAFEWAY PLC ....................... 1,298,001 25,573 SAINSBURY (J) PLC ................. 155,135 17,300 SUPERVALU, INC .................... 596,850 388,494 TESCO PLC ......................... 2,389,078 ----------- 18,001,900 ----------- RETAIL--GENERAL MERCHANDISE--1.79% 23,000 AOYAMA TRADING CO LTD ............. 739,668 114,280 BOOTS CO LTD ...................... 1,338,030 77,600 BULGARI S.P.A. .................... 438,949 21,400 CANADIAN TIRE, INC (CLASS A) ...... 418,817 11,400 oCML GROUP, INC .................... 20,662 34,600 COLES MYER LTD .................... 178,604 875 COMPTOIRS MODERNES ................ 462,017 31,700 oCOSTCO COMPANIES, INC ............. 1,042,137 99,900 oCUC INTERNATIONAL, INC ............ 2,578,668 94,000 DAIEI, INC ........................ 603,777 85,000 DAIMARU, INC ...................... 489,515 39,100 DAYTON HUDSON CORP ................ 2,079,631 6,700 DOUGLAS HOLDINGS AG. .............. 267,215 12,400 GAP, INC .......................... 482,050 37,190 GREAT UNIVERSAL STORES PLC ........ 376,323 29,200 HENNES & MAURITZ AB SERIES B ...... 1,027,158 50,900 HOME DEPOT, INC ................... 3,508,918 14,800 HUDSONS BAY CO .................... 332,560 1,317,500 INTIMATE BRANDS, INC (CLASS A) .... 27,667,500 6,000 ISETAN CO ......................... 74,456 55,000 ITO-YOKADO CO LTD ................. 3,196,289 180 oJELMOLI HOLDING AG (BR) ........... 112,353 28,000 JUSCO CO LTD ...................... 946,958 1,682 oK MART CORP ....................... 20,604 50 oKARSTADT AG. ...................... 17,818 202,640 KINGFISHER PLC .................... 2,300,070 44,700 LIMITED, INC ...................... 905,175 474,866 MARKS & SPENCER PLC ............... 3,935,791 45,000 MARUI CO LTD ...................... 837,633 70,800 MAY DEPARTMENT STORES CO .......... 3,345,300 13,286 oMETRO AG .......................... 1,456,991 32,000 oMETRO HOLDINGS LTD ................ 104,741 85,000 MYCAL CORP ........................ 1,225,644 117,570 NEXT PLC .......................... 1,327,632 70,600 PENNEY, (J.C.) CO, INC ............ 3,684,437 4,900 oPINAULT-PRINTEMPS-REDOUTE S.A. .... 2,356,944 600 RINASCENTE S.P.A. ................. 3,332 1200 oRINASCENTE S.P.A. RTS ............. 124 9,300 ROUSE CO .......................... 274,350 43 SEARS PLC ......................... 47 82,400 SEARS ROEBUCK & CO ................ 4,429,000 50,000 SEIYU LTD ......................... 401,557 249 SEVEN-ELEVEN JAPAN CO LTD ......... 18,844 14,000 SHIMACHU CO ....................... 420,870 7,900 oSTAPLES, INC ...................... 183,675 3,800 STOCKMANN B FREE .................. 201,917 46,000 TAKASHIMAYA CO LTD ................ 627,110 17,000 TANDY CORP ........................ 952,000 74,600 oTOYS R US, INC .................... 2,611,000 54,000 UNY CO LTD ........................ 1,057,069 267 oVALORA HOLDINGS AG REGD ........... 56,773 264,958 WAL-MART STORES, INC .............. 8,958,892 41,800 oWOOLWORTH CORP .................... 1,003,200 ---------- 91,100,795 ---------- TEXTILE & APPAREL--1.43% 562,970 ADIDAS AG. ........................ 62,351,187 12,480 BENETTON GROUP S.P.A. ............. 199,233 2,962 CHARGEURS S.A. .................... 170,828 119,098 COATS VIYELLA PLC ................. 252,723 42,990 COURTAULDS TEXTILES PLC ........... 219,295 40,100 DAWSON INTERNATIONAL PLC .......... 47,717 90 oDOLLFUS-MIEG & CIE S.A. ........... 1,536 24,000 oFRUIT OF THE LOOM, INC (CLASS A) .. 744,000 88,000 GUNZE LTD ......................... 401,434 97,000 KURABO INDUSTRIES LTD ............. 261,934 5,400 LIZ CLAIBORNE, INC ................ 251,775 44,000 MITSUBISHI RAYON CO LTD ........... 181,491 39,300 NIKE, INC (CLASS B) ............... 2,294,137 71,000 NISSHINBO INDUSTRY, INC ........... 645,287 42,000 ONWARD KASHIYMA CO LTD ............ 697,372 89,000 oRENOWN, INC ....................... 221,664 218,000 TEIJIN LTD ........................ 1,028,755 32,000 TOKYO STYLE CO LTD ................ 444,640 158,000 TORAY INDUSTRIES, INC ............. 1,128,082 18,900 VF CORP ........................... 1,601,775 ---------- 73,144,865 ---------- TOBACCO--2.76% 505,361 B.A.T. INDUSTRIES LTD ............. 4,520,763 50 oCIE FINANCIERE RICHEMONT AG. (UNITS A) ........................ 72,364 2,605,000 PHILIP MORRIS COS, INC ............ 115,596,875 5,195,000 oPT HANJAYA MANDALA SAMPOERNA (FR) . 19,803,469 87,000 R.J. REYNOLDS BERHAD .............. 217,155 See notes to financial statements. -43- GLOBAL EQUITIES ACCOUNT (CONTINUED) SHARES VALUE ------ ----- TOBACCO--(C0NTINUED) 33,300 ROTHMANS HOLDINGS LTD ............. $ 205,075 14,200 SEITA S.A. ........................ 449,872 ---------- 140,865,573 ---------- TRADING COMPANIES--0.18% 33,000 INCHCAPE BERHAD .................... 118,862 68,000 ITOCHU CORP ........................ 366,653 161,000 oMALAYSIAN MOSAICS BERHAD ........... 218,153 311,000 MARUBENI CORP ...................... 1,413,271 271,000 MITSUBISHI CORP .................... 3,386,624 142,000 MITSUI & CO LTD .................... 1,365,031 47,000 NAGASE & CO ........................ 372,534 196,000 SUMITOMO CORP ...................... 1,866,999 ---------- 9,108,127 ---------- TRUCKERS & SHIPPING--0.44% 9,600 BERGESEN D.Y. AS (CLASS B) .......... 226,860 10,900 CALIBER SYSTEM, INC ................. 406,025 185,000 CHUAN HUP HOLDINGS LTD .............. 133,270 45 DAMPSKIBSSELSKABET AF 1912 (CLASS B) .......................... 1,611,824 33 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) ................ 1,707,063 144,000 oHAI SUN HUP GROUP LTD ............... 103,734 43,200 oHAI SUN HUP WTS 05/10/02 ............ 11,481 144 oHALTER MARINE GROUP, INC ............ 3,456 59,000 HITACHI ZOSEN CORP .................. 235,114 1,127,656 ICB SHIPPING AB SERIES B ............11,520,983 76,000 KAMIGUMI CO LTD ..................... 428,385 148,000 oKAWASAKI KISEN KAISHA LTD ........... 298,768 100 KONINKLIJKE NEDLLOYD GROEP NV ....... 2,893 85,286 LAIDLAW, INC (CLASS B) .............. 1,177,659 10,000 LEIF HOEGH & CO ..................... 214,457 87,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) ................... 225,772 8,000 MITSUBISHI WAREHOUSE & TRANSPORTATION CO LTD .............. 114,655 230,000 oMITSUI ENGINEERING & SHIP BUILDING CO LTD .................... 502,492 266,000 oMITSUI OSK LINES LTD ................ 548,599 17,000 MITSUI SOKO CO LTD .................. 118,701 200 NEPTUNE ORIENT LINES LTD ............ 179 102,000 NIPPON YUSEN KABUSHIKI KAISHA ....... 396,663 51,680 OCEAN GROUP PLC ..................... 453,708 20,455 PENINSULAR & ORIENTAL STEAM NAVIGATION CO ...................... 204,259 2,900 PITTSTON BURLINGTON GROUP CO ........ 81,562 47,000 SEINO TRANSPORTATION CO LTD ......... 509,308 800 oUNITOR AS ........................... 11,474 36,000 VAN DER HORST LTD ................... 66,219 100,358 YAMATO TRANSPORT CO LTD ............. 1,254,150 ---------- 22,569,713 ---------- UTILITIES--ELECTRIC--1.03% 67,700 AUSTRALIA GAS LIGHT CO .............. 395,622 45,700 BALTIMORE GAS & ELECTRIC CO ......... 1,219,618 34,800 CENTERIOR ENERGY CORP ............... 389,325 66,600 CENTRAL & SOUTH WEST CORP ........... 1,415,250 348,000 CHINA LIGHT & POWER CO LTD .......... 1,971,935 100 CHUBU ELECTRIC POWER CO INC ......... 1,808 73,700 CONSOLIDATED EDISON CO OF NEW YORK, INC ...................... 2,169,543 28,100 DOMINION RESOURCES, INC ............. 1,029,162 45,100 DTE ENERGY CO ....................... 1,245,887 8,500 DUKE ENERGY CORP .................... 407,468 72,250 EDISON .............................. 359,193 9,150 ELECTRABEL NV ....................... 1,962,321 10,950 oELECTRABEL S.A. (STRIP VVPR) ........ 7,310 14,527 EMPRESA NACIONAL DE ELECTRIDAD S.A. . 1,221,773 74,600 ENTERGY CORP ........................ 2,042,175 37,800 GPU, INC ............................ 1,356,075 1,700 HOUSTON INDUSTRIES, INC ............. 36,443 73,404 IBERDROLA S.A. ...................... 928,277 16,800 ILLINOVA CORP ....................... 369,600 148,210 KANSAI ELECTRIC POWER CO, INC ....... 2,862,407 37,900 LONG ISLAND LIGHTING CO ............. 871,700 239,308 NATIONAL GRID GROUP PLC ............. 874,225 291,900 NATIONAL POWER PLC .................. 2,535,923 44,900 oNIAGARA MOHAWK POWER CORP ........... 384,456 1,600 NORTHEAST UTILITIES CO .............. 15,300 3,900 OESTERREICHISCHE ELEKTRIZITAETSWIRSCHAFTS AG. ....... 274,741 55,400 PECO ENERGY CO ...................... 1,163,400 21,900 PG&E CORP ........................... 531,075 51,100 PP&L RESOURCES, INC ................. 1,018,806 57,500 PUBLIC SERVICE ENTERPRISE GROUP, INC. 1,437,500 4,610 oRHEIN-WESTFALEN ELECTRIC AG. (STAMM) ............... 198,410 335,872 SCOTTISH POWER PLC .................. 2,185,657 38,700 SOUTHERN CO ......................... 846,562 66,700 SOUTHERN ELECTRIC PLC ............... 492,324 457,000 TENAGA NASIONAL BERHAD .............. 2,227,062 70,500 TEXAS UTILITIES CO .................. 2,427,843 90,654 TOHOKU ELECTRIC POWER CO, INC ....... 1,616,139 218,987 TOKYO ELECTRIC POWER CO, INC ........ 4,612,083 900 TRACTEBEL NV ........................ 375,516 600 oTRACTEBEL NV PUT WTS 11/15/99 ....... 6,442 20,500 TRANSALTA CORP ...................... 244,436 9,200 oTUCSON ELECTRIC POWER CO ............ 133,400 17,400 UNICOM CORP ......................... 387,150 76,350 VEBA AG. ............................ 4,293,755 4,349 oVIAG AG. ............................ 1,979,086 ---------- 52,524,183 ---------- UTILITIES--GAS & PIPELINE--0.29% 607,370 BG PLC .............................. 2,233,969 615,170 oCENTRICA PLC ........................ 749,953 29,700 COASTAL CORP ........................ 1,579,668 17,400 COLUMBIA GAS SYSTEMS, INC ........... 1,135,350 100 CONSOLIDATED NATURAL GAS CO ......... 5,381 4,700 EASTERN ENTERPRISES CO .............. 163,031 6,287 oENERGIA E INDUSTRIAS ARAGONESAS S.A. .................... 45,310 36,000 ENRON CORP .......................... 1,469,250 7,700 ENSERCH CORP ........................ 171,325 10,900 GAS NATURAL SDG S.A. ................ 2,385,571 537,000 HONG KONG & CHINA GAS CO LTD ........ 1,074,372 10,368 IPL ENERGY, INC ..................... 346,827 54,500 ITALGAS S.P.A. ...................... 176,253 115,000 OSAKA GAS CO LTD .................... 330,640 23,700 PACIFIC ENTERPRISES, INC ............ 796,912 229,000 TOKYO GAS CO LTD .................... 636,391 32,350 WILLIAMS COS, INC ................... 1,415,312 ---------- 14,715,515 ---------- UTILITIES--OTHER--0.15% 80,390 ANGLIAN WATER PLC .................... 871,661 24,394 oCOMPAGNIE GENERALE DES EAUX ..........3,128,719 24,394 oCOMPAGNIE GENERALE DES EAUX WTS 05/02/01 ........................ 14,625 44,000 HYDER PLC ............................ 594,987 116,774 oTHAMES WATER PLC .....................1,347,796 148,671 UNITED UTILITIES PLC .................1,634,295 ---------- 7,592,083 ---------- See notes to financial statements. -44- GLOBAL EQUITIES ACCOUNT (CONTINUED) SHARES VALUE ------ ----- UTILITIES--TELEPHONE--7.11% 201,719 AT & T CORP ....................... $ 7,072,772 77,700 BCE, INC .......................... 2,162,714 10,500 BCE, INC (U.S.) ................... 294,000 78,700 BELL ATLANTIC CORP ................ 5,971,362 173,394 BELLSOUTH CORP .................... 8,041,146 1,063,991 oBRITISH TELECOMMUNICATIONS PLC .... 7,897,768 147,238 CABLE & WIRELESS PLC .............. 1,353,891 267,950 DEUTSCHE TELEKOM AG ............... 6,458,106 2,202,372 HONG KONG TELECOMMUNICATIONS LTD .. 5,259,098 71,410 KONINKLIJKE PTT NEDERLAND NV ...... 2,806,393 1,766 NIPPON TELEGRAPH & TELEPHONE CORP . 16,976,381 57,100 NYNEX CORP ........................ 3,290,387 160,926 SBC COMMUNICATIONS, INC ........... 9,957,296 384,000 oSINGAPORE TELECOMMUNICATIONS LTD .. 709,022 100 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP .......... 3,887 21,350 SPRINT CORP ....................... 1,123,543 165,000 oTECHNOLOGY RESOURCES INDUSTRIES BERHAD ................ 283,716 10,600 TELE DANMARK AS (CLASS B) ......... 551,526 208,600 TELECOM CORP OF NEW ZEALAND ....... 1,060,418 23,492,099 TELECOM ITALIA MOBILE S.P.A. ...... 75,973,448 1,008,200 TELECOM ITALIA S.P.A. ............. 3,017,461 167,503 TELEFONICA DE ESPANA S.A. ......... 4,851,513 513,000 TELEKOM MALAYSIA BERHAD ........... 2,398,338 20,200 TELUS CORP ........................ 371,172 208,804 VODAFONE GROUP PLC ................ 1,016,474 6,042,430 oWORLDCOM, INC ..................... 193,357,760 ------------- 362,259,592 ------------- TOTAL COMMON STOCK (COST $4,046,769,577) .............4,898,043,368 ------------- PRINCIPAL --------- SHORT TERM INVESTMENTS--9.06% BANK NOTES--0.33% BANK OF AMERICA $17,000,000 5.580%, 09/08/97 ................ 16,992,394 ------------- COMMERCIAL PAPER--2.86% AIRTOUCH COMMUNICATIONS, INC 7,500,000 # 5.750%, 07/17/97 .............. 7,479,883 CIESCO LP 17,500,000 5.530%, 07/11/97 .............. 17,469,949 COLUMBIA/HCA HEALTHCARE CORP 7,500,000 5.700%, 07/10/97 .............. 7,488,145 CONAGRA, INC 7,500,000 5.720%, 07/10/97 .............. 7,488,042 CORPORATE ASSET FUNDING CORP, INC 25,000,000 # 5.570%, 07/09/97 .............. 24,964,875 CSX CORP 7,000,000 5.720%, 07/14/97 .............. 6,984,374 GENERAL ELECTRIC CAPITAL CORP 18,000,000 6.625%, 07/01/97 .............. 17,996,749 GENERAL MOTORS ACCEPTANCE CORP 25,000,000 5.800%, 10/09/97 .............. 24,605,820 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE 8,900,000 # 5.550%, 08/20/97 .............. 8,829,645 PRAXAIR, INC 7,500,000 5.750%, 07/28/97 .............. 7,466,866 WALT DISNEY CO 15,000,000 5.330%, 07/09/97 .............. 14,978,925 ------------- 145,753,273 ------------- U.S. GOVERNMENT & AGENCIES--5.87% FEDERAL HOME LOAN BANKS 2,000,000 5.220%, 07/03/97 .............. 1,999,091 18,000,000 5.500%, 09/23/97 .............. 17,768,374 35,000,000 5.550%, 09/25/97 .............. 34,539,022 7,000,000 * 5.580%, 10/03/97 .............. 6,899,326 FEDERAL HOME LOAN MORTGAGE CORP 6,000,000 5.500%, 07/16/97 .............. 5,985,466 3,000,000 * 5.520%, 07/23/97 .............. 2,989,554 25,000,000 5.470%, 09/02/97 .............. 24,757,777 30,000,000 5.480%, 09/05/97 .............. 29,695,707 FEDERAL NATIONAL MORTGAGE ASSOCIATION 12,000,000 5.410%, 07/17/97 .............. 11,969,116 5,000,000 5.500%, 08/15/97 .............. 4,965,180 20,000,000 5.480%, 09/04/97 .............. 19,800,166 21,000,000 5.460%, 09/08/97 .............. 20,777,458 5,000,000 5.430%, 09/08/97 .............. 4,947,014 4,000,000 5.460%, 09/12/97 .............. 3,955,188 50,000,000 5.430%, 09/26/97 .............. 49,333,890 50,000,000 5.520%, 11/06/97 .............. 49,023,540 10,000,000 5.490%, 11/10/97 .............. 9,798,662 ------------- 299,204,531 ------------- TOTAL SHORT TERM INVESTMENTS (COST $461,986,090) .............. 461,950,198 ROUNDING ...................... 531 ------------- TOTAL PORTFOLIO (COST $4,548,579,840) ............$5,406,868,916 ============== - ---------- o Non-income producing x In bankruptcy + Affiliate holdings * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open furtures contracts, covered call options written and securities purchased on a delayed delivery basis. # Commercial Paper issued under the Private Placement exemption under 4(2) of the Securities Act of 1993, as amended. ~ Restricted securities-investment in securities not registered under the Securities Act of 1993 or not publicly traded on foreign markets. At 06/30/97, the value of these securities amounted to $3,519,752 or 0.07% of net assets. Additional information on each holding is as follows: ACQUISITION ACQUISITION SECURITY DATE COST - -------- ---- ---- AMCOL HOLDINGS LTD (SINGAPORE) 05/09/96 $ 302,216 LAIR LIQUIDE (REGD) VARIOUS 3,126,236 PREUSSAG AG WTS 5/17/01 05/17/96 84,776 WESTFIELD TRUST (UNITS) 02/28/97 6,524 ---------- $3,519,752 ========== See notes to financial statements. -45-
COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES--GLOBAL EQUITIES ACCOUNT (UNAUDITED) JANUARY 1, 1997--JUNE 30, 1997 VALUE AT PURCHASE SALES REALIZED DIVIDEND SHARES AT VALUE AT ISSUE DECEMBER 31, 1996 COST PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1997 JUNE 30, 1997 ----- ----------------- ----------- --------- ----------- --------- ----------------- ------------- ADAC LABORATORIES, INC NEW $ 28,657,950 -- -- -- -- 1,200,333 $ 28,357,867 CHAMPION ENTERPRISES, INC ** $14,046,591 $23,459,637 $(7,483,303) -- * * CORPORATE SERVICES GROUP PLC ** 7,508,135 -- -- $ 357,784 9,223,000 28,934,446 IHC CALAND NV 134,136,368 -- -- -- 2,178,395 2,350,850 128,742,931 STORK NV ** 42,508,748 156,887 (2,561) 1,714,866 2,110,800 86,185,821 WESTWOOD ONE, INC 44,240,787 -- -- -- -- 2,661,100 85,820,475 ----------- ---------- ---------- ---------- ---------- ----------- TOTAL AFFILIATED TRANSACTIONS $207,035,105 $64,063,474 $23,616,524 $(7,485,864) $4,251,045 $358,041,540 ============ =========== =========== =========== ========== ===========
* Not an Affiliate as of June 30, 1997 ** Not an Affiliate as of December 31, 1996 See notes to financial statements. -46- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT (UNAUDITED) JUNE 30, 1997 SUMMARY BY INDUSTRY
VALUE % ------ ------ PREFERRED STOCK HEALTHCARE--SERVICE ........................ $ 349,586 0.01% -------------- ----- TOTAL PREFERRED STOCK (COST $245,900) ............................ 349,586 0.01 -------------- ----- COMMON STOCK AEROSPACE .................................. 16,872,455 0.46 AIR TRANSPORTATION ......................... 9,343,988 0.26 AUTOMOTIVE & RELATED ....................... 81,473,792 2.23 BANKS ...................................... 36,749,759 1.00 BEVERAGES .................................. 136,542,448 3.73 BROADCASTERS ............................... 19,946,865 0.54 BUSINESS SERVICES .......................... 49,498,735 1.35 CHEMICALS--MAJOR ........................... 69,968,689 1.91 CHEMICALS--SPECIALTY ....................... 17,167,616 0.47 COMMUNICATION EQUIPMENT & SERVICES ......... 121,038,986 3.31 COMPUTER SERVICE ........................... 260,628,682 7.12 CONGLOMERATES .............................. 101,137,818 2.76 CONSTRUCTION--MATERIALS & BUILDERS ......... 11,835,310 0.32 CONTAINERS ................................. 3,153,671 0.09 COSMETICS .................................. 37,690,603 1.03 ELECTRICAL EQUIPMENT ....................... 160,991,655 4.40 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED ................... 240,220,376 6.56 ELECTRICAL EQUIPMENT--INSTRUMENTS .......... 15,951,275 0.44 ENVIRONMENTAL CONTROL ...................... 12,456,837 0.34 FINANCIAL--MISCELLANEOUS ................... 64,300,167 1.76 FOODS ...................................... 91,340,095 2.49 HEALTHCARE--DRUGS .......................... 274,043,196 7.49 HEALTHCARE--HOSPITAL SUPPLY ................ 46,993,780 1.28 HEALTHCARE--OTHER .......................... 120,283,443 3.28 HEALTHCARE--SERVICE ........................ 186,064,611 5.08 HOUSEHOLD--CONSUMER ELECTRONICS ............ 523,793 0.01 HOUSEHOLD--DURABLE GOODS ................... 49,814,543 1.36 HOUSEHOLD--PRODUCTS ........................ 147,856,278 4.04 INSURANCE--BROKERS & OTHER ................. 10,931,520 0.30 INSURANCE--LIFE ............................ 4,590,230 0.13 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ...................... 64,288,670 1.76 LEISURE TIME ............................... 159,507,301 4.35 MACHINERY .................................. 21,054,762 0.58 METALS--ALUMINUM ........................... 87,750 0.00 METALS--GOLD ............................... 16,997,005 0.46 METALS--NON-FERROUS ........................ 2,352,749 0.06 METALS--STEEL .............................. 4,878,644 0.13 MISCELLANEOUS MATERIALS & COMMODITIES .............................. 365,703 0.01 OFFICE EQUIPMENT ........................... 78,263,575 2.14 PAPER ...................................... 5,221,843 0.14 PETROLEUM-- EXPLORATION & PRODUCTION ................. 47,813,893 1.31 PETROLEUM--INTEGRATED ...................... 2,487,499 0.07 PETROLEUM--SERVICE ......................... 31,905,749 0.87 PHOTOGRAPHY ................................ 9,758,350 0.27 PROPERTY--REAL ESTATE ...................... 2,249,600 0.06 PUBLISHING--NEWSPAPER ...................... 11,634,590 0.32 PUBLISHING--OTHER .......................... 21,204,164 0.58 RAILROAD ................................... 3,302,121 0.09 RESTAURANTS & HOTELS ....................... 97,652,745 2.67 RETAIL--FOOD ............................... 16,328,855 0.45 RETAIL--GENERAL MERCHANDISE ................ 165,004,560 4.51 TEXTILE & APPAREL .......................... 37,722,974 1.03 TOBACCO .................................... 130,416,425 3.56 TRUCKERS & SHIPPING ........................ 755,147 0.02 UTILITIES--ELECTRIC ........................ 9,559,387 0.26 UTILITIES--GAS & PIPELINE .................. 9,836,514 0.27 UTILITIES--TELEPHONE ....................... 156,320,863 4.27 -------------- ------ TOTAL COMMON STOCK (COST $2,721,726,625) ....................... 3,506,382,654 95.78 -------------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ......................... 14,625,685 0.40 U.S. GOVERNMENT & AGENCIES ............... 143,829,036 3.93 --------------- ------ TOTAL SHORT TERM INVESTMENTS (COST $158,453,536) ....................... 158,454,721 4.33 --------------- ------ ROUNDING ................................. 247 0.00 --------------- ------ TOTAL PORTFOLIO (COST $2,880,426,061) ..................... 3,665,187,208 100.12 OTHER ASSETS & LIABILITIES, NET ......... (4,191,538) (0.12) --------------- ------ NET ASSETS ................................. $ 3,660,995,670 100.00% =============== ======
See notes to financial statements. -47- GROWTH ACCOUNT (CONTINUED) SHARES VALUE ------ ----- PREFERRED STOCK--0.01% HEALTHCARE--SERVICE--0.01% 3,640 AETNA, INC 6.25% (CLASS C) .............. $ 341,250 32,800 oFRESENIUS MEDICAL CARE (CLASS D) ........ 1,886 240 PACIFICARE HEALTH SYSTEMS CV SERIES A ............................... 6,450 ----------- 349,586 ----------- TOTAL PREFERRED STOCK (COST $245,900)........................... 349,586 ----------- COMMON STOCK--95.78% AEROSPACE--0.46% 6,900 oALLIANT TECHSYSTEMS, INC ................ 379,500 279,500 BOEING CO ............................... 14,830,968 24,300 oHEXCEL CORP ............................. 419,175 11,000 oOEA, INC ................................ 434,500 6,900 PRECISION CAST PARTS CORP ............... 411,412 14,700 oWYMAN-GORDON CO ......................... 396,900 ----------- 16,872,455 ----------- AIR TRANSPORTATION--0.26% 17,100 AIR EXPRESS INTERNATIONAL CORP .......... 679,725 184,900 ASA HOLDINGS, INC ....................... 5,292,762 22,450 COMAIR HOLDINGS, INC .................... 621,584 10,700 oCONTINENTAL AIRLINES, INC (CLASS B) ..... 373,831 7,800 oFEDERAL EXPRESS CORP .................... 450,450 8,850 oMESA AIR GROUP, INC ..................... 47,568 53,600 SOUTHWEST AIRLINES CO ................... 1,386,900 10,600 oUS AIRWAYS GROUP, INC ................... 371,000 17,400 oVALUJET, INC ............................ 120,168 ----------- 9,343,988 ----------- AUTOMOTIVE & RELATED--2.23% 15,900 oALLEN TELECOM, INC ...................... 329,925 20,400 oAMERICREDIT CORP ........................ 428,400 20,800 APOGEE ENTERPRISES, INC ................. 447,200 19,948 oAUTOLIV, INC ............................ 780,465 8,500 BREED TECHNOLOGIES, INC ................. 195,500 1,681,100 COOPER TIRE & RUBBER CO ................. 36,984,200 17,300 DANAHER CORP ............................ 879,056 8,300 oDISCOUNT AUTO PARTS, INC ................ 161,850 11,900 ECHLIN, INC ............................. 428,400 3,400 EXIDE CORP .............................. 74,587 10,000 oFOAMEX INTERNATIONAL, INC ............... 131,250 12,000 GRACO, INC .............................. 361,500 756,100 HARLEY DAVIDSON, INC .................... 36,245,543 13,400 INTERMET CORP ........................... 215,237 9,700 oKIRBY CORP .............................. 177,025 37,100 oLEAR CORP ............................... 1,646,312 18,400 oLO-JACK CORP ............................ 264,500 6,200 MODINE MANUFACTURING CO ................. 184,450 13,500 POLARIS INDUSTRIES, INC ................. 439,593 11,700 oRENTERS CHOICE, INC ..................... 232,537 11,600 oSAFESKIN CORP ........................... 341,475 9,600 SUPERIOR INDUSTRIES INTERNATIONAL, INC ..................... 254,400 9,700 WABASH NATIONAL CORP .................... 270,387 ----------- 81,473,792 ----------- BANKS--1.00% 79,048 BANC ONE CORP ........................... 3,828,887 4,800 CAPITAL ONE FINANCIAL CORP .............. 181,200 211,100 CITICORP CO ............................. 25,450,743 30,300 FIFTH THIRD BANCORP ..................... 2,486,493 42 FIRST UNION CORP ........................ 3,885 15,025 OLD NATIONAL BANCORP .................... 661,100 12,800 STATE STREET CORP ....................... 592,000 85,950 SYNOVUS FINANCIAL CORP .................. 2,368,996 22,395 TRUSTCO BANK CORP ....................... 478,693 11,700 U.S. TRUST CORP ......................... 551,362 3,200 WILMINGTON TRUST CORP ................... 146,400 ----------- 36,749,759 ----------- BEVERAGES--3.73% 47,850 ANHEUSER BUSCH COS, INC ................. 2,006,709 14,700 BROWN FORMAN, INC (CLASS B) ............. 717,543 1,254,000 COCA COLA CO ............................ 84,645,000 93,800 COCA COLA ENTERPRISES, INC .............. 2,157,400 1,244,750 PEPSICO, INC ............................ 46,755,921 5,500 oROBERT MONDAVI CORP (CLASS A) .......... 259,875 ----------- 136,542,448 ----------- BROADCASTERS--0.54% 16,600 ACKERLEY GROUP, INC ..................... 180,525 9,675 oASSOCIATED GROUP, INC (CLASS A) ......... 387,000 575 oASSOCIATED GROUP, INC (CLASS B) ......... 22,281 27,400 oCLEAR CHANNEL COMMUNICATIONS, INC ....... 1,685,100 18,400 COMCAST CORP (CLASS A) .................. 385,250 110,543 COMCAST CORP (CLASS A) SPL .............. 2,362,856 30,000 oDATA BROADCASTING CORP .................. 142,500 17,500 oEVERGREEN MEDIA CORP (CLASS A) .......... 780,937 35,320 GAYLORD ENTERTAINMENT CO ................ 814,567 15,000 HARTE-HANKS COMMUNICATIONS, INC ......... 442,500 20,100 oHERITAGE MEDIA CORP (CLASS A) ........... 379,387 5,000 oJACOR COMMUNICATIONS, INC WTS 09/18/01 ........................... 17,500 115,575 oLIBERTY MEDIA GROUP (CLASS A) ........... 2,744,906 8,600 oLIN TELEVISION CORP ..................... 379,475 12,800 oNATIONAL MEDIA CORP ..................... 83,200 2,300 SCRIPPS (E.W.) CO (CLASS A) ............. 95,737 13,100 TCA CABLE TV, INC ....................... 492,887 36,160 oTCI SATELLITE ENTERTAINMENT (CLASS A) ... 284,760 367,850 oTELE-COMMUNICATIONS, INC (CLASS A) ...... 5,471,768 5,900 UNITED TELEVISION, INC .................. 584,100 12,196 oVIACOM, INC (CLASS A) ................... 359,019 61,687 oVIACOM, INC (CLASS B) ................... 1,850,610 ----------- 19,946,865 ----------- BUSINESS SERVICES--1.35% 29,899 oACCUSTAFF, INC .......................... 708,232 36,066 oACNEILSEN CORP .......................... 707,795 13,900 oADVO, INC ............................... 225,875 17,050 oAFFILIATED COMPUTER SERVICES, INC (CLASS A) .............................. 477,400 12,800 oALLIANCE SEMICONDUCTOR CORP ............. 104,800 9,800 oALTERNATIVE RESOURCES CORP .............. 199,675 60,800 oAMERICA ONLINE, INC ..................... 3,382,000 See notes to financial statements. -48- GROWTH ACCOUNT (CONTINUED) SHARES VALUE ------ ----- BUSINESS SERVICES--(CONTINUED) 6,600 oAMRE, INC ............................... $ 6 27,700 oAPOLLO GROUP, INC (CLASS A) ............. 976,425 21,820 AUTODESK, INC ........................... 835,978 53,800 BLOCK (H&R), INC ........................ 1,735,050 2,500 oCABLEVISION SYSTEMS CORP (CLASS A) ...... 133,750 13,500 oCATALINA MARKETING CORP ................. 649,687 20,000 oCHECKPOINT SYSTEMS, INC ................. 321,250 17,800 CINTAS CORP ............................. 1,223,750 79,800 COGNIZANT CORP .......................... 3,231,900 12,825 oCOMPUTER HORIZONS CORP .................. 439,256 36,000 oCOMPUTERVISION CORP ..................... 166,500 62,370 oCORPORATE EXPRESS, INC .................. 900,466 46,000 oCORRECTIONS CORP OF AMERICA ............. 1,828,500 11,500 oCREDENCE SYSTEMS CORP ................... 344,281 10,600 oDATA TRANSMISSION NETWORK CORP .......... 336,550 9,800 DELUXE CORP ............................. 334,425 18,900 oDEVRY, INC .............................. 510,300 5,200 oDIALOGIC CORP ........................... 138,450 34,850 DIEBOLD, INC ............................ 1,359,150 22,861 oDOUBLETREE CORP ......................... 940,158 6,300 oENCAD, INC .............................. 261,450 15,700 oFAIRCHILD CORP (CLASS A) ................ 282,600 20,200 oFORE SYSTEMS, INC ....................... 275,225 3,900 oFRANKLIN COVEY CO ....................... 98,718 10,300 oFRITZ COS, INC .......................... 99,781 27,900 oGENERAL MAGIC, INC ...................... 55,800 9,200 HARLAND (JOHN H.) CO .................... 209,875 8,000 oINSO CORP ............................... 164,500 12,400 oINTERIM SERVICES, INC ................... 551,800 38,000 INTERPUBLIC GROUP OF COS, INC ........... 2,329,875 7,500 oITRON, INC .............................. 194,062 9,880 KELLY SERVICES, INC (CLASS A) ........... 309,985 42,100 MANPOWER, INC ........................... 1,873,450 22,960 oMCAFEE ASSOCIATES, INC .................. 1,449,350 11,300 oMERCURY INTERACTIVE CORP ................ 168,087 15,300 oMICRO WAREHOUSE, INC .................... 262,012 11,800 oNFO RESEARCH, INC ....................... 292,050 8,800 oODS NETWORKS, INC ....................... 104,500 70,850 oOFFICE DEPOT, INC ....................... 1,377,146 31,198 OLSTEN CORP ............................. 606,411 40,300 OMNICOM GROUP, INC ...................... 2,483,487 47,815 PAYCHEX, INC ............................ 1,816,970 18,700 PITTSTON BRINKS GROUP CO ................ 561,000 15,600 oPREPAID LEGAL SERVICES, INC ............. 329,550 14,788 oPURE ATRIA CORP ......................... 208,880 21,100 oQUARTERDECK CORP ........................ 53,409 7,380 oREMEDY CORP ............................. 295,200 34,300 oROBERT HALF INTERNATIONAL, INC .......... 1,614,243 12,900 ROLLINS, INC ............................ 259,612 18,500 SENSORMATIC ELECTRONICS CORP ............ 238,187 129,800 SERVICE CORP INT'L ...................... 4,267,175 20,150 oSPECTRUM HOLOBYTE, INC .................. 98,231 16,000 oSTAC, INC ............................... 57,000 23,700 oSUNGARD DATA SYSTEMS, INC ............... 1,102,050 12,350 oSYLVAN LEARNING SYSTEMS, INC ............ 419,900 8,900 oTHERMOLASE CORP ......................... 125,156 16,400 TOTAL SYSTEM SERVICES, INC .............. 398,725 20,000 UNIFIRST CORP ........................... 400,000 10,600 oUNITED STATIONERS, INC .................. 267,650 14,000 VALSPAR CORP ............................ 414,750 13,500 WACKENHUT CORP SERIES A ................. 324,000 11,350 oWIND RIVER SYSTEMS, INC ................. 434,137 10,700 oWONDERWARE CORP ......................... 151,137 ----------- 49,498,735 ----------- CHEMICALS--MAJOR--1.91% 9,600 AIR PRODUCTS & CHEMICALS, INC ........... 780,000 5,500 oAPPLIX, INC ............................. 38,156 4,500 CHEMFIRST, INC .......................... 122,062 8,100 DOW CHEMICAL CO ......................... 705,712 55,600 DU PONT (E.I.) DE NEMOURS & CO .......... 3,495,850 52,100 HERCULES, INC ........................... 2,494,287 4,935 MISSISSIPPI CHEMICAL CORP ............... 102,401 314,550 MONSANTO CO ............................. 13,545,309 18,000 oOAK TECHNOLOGY, INC ..................... 175,500 8,100 PPG INDUSTRIES, INC ..................... 470,812 837,100 PRAXAIR, INC ............................ 46,877,600 12,200 oQUINTILES TRANSNATIONAL CORP ............ 849,425 10,300 oTECHNE CORP ............................. 311,575 ----------- 69,968,689 ----------- CHEMICALS--SPECIALTY--0.47% 32,500 oAIRGAS, INC ............................. 643,906 4,550 ALBEMARLE CORP .......................... 95,834 5,100 BETZDEARBORN, INC ....................... 336,600 17,400 CROMPTON & KNOWLES CORP ................. 387,150 24,300 oCYTEC INDUSTRIES, INC ................... 908,212 30,200 ECOLAB, INC ............................. 1,442,050 8,450 oENERGY CONVERSION DEVICES, INC .......... 107,737 51,150 ENGELHARD CORP .......................... 1,070,953 19,700 FOSTER WHEELER CORP ..................... 797,850 18,000 GEORGIA GULF CORP ....................... 523,125 40,400 GRACE (W.R.) & CO ....................... 2,227,050 6,100 GREAT LAKES CHEMICAL CORP ............... 319,487 23,700 ICN PHARMACEUTICALS, INC ................ 679,893 9,300 LYONDELL PETROCHEMICAL CO ............... 202,856 8,550 oMCWHORTER TECHNOLOGIES, INC ............. 204,131 58,500 MORTON INTERNATIONAL, INC ............... 1,765,968 12,800 oMYCOGEN CORP ............................ 251,200 3,400 NALCO CHEMICAL CORP ..................... 131,325 24,200 RAYCHEM CORP ............................ 1,799,875 30,850 RPM, INC ................................ 566,868 4,825 SCHULMAN (A.), INC ...................... 118,815 22,200 oSEALED AIR CORP ......................... 1,054,500 43,700 SIGMA ALDRICH CORP ...................... 1,532,231 ----------- 17,167,616 ----------- COMMUNICATION EQUIPMENT & SERVICES--3.31% 28,900 o360 COMMUNICATIONS CO ................... 494,912 502,661 o3COM CORP ............................... 22,619,745 12,010 oACC CORP ................................ 370,808 263,300 oAIRTOUCH COMMUNICATIONS, INC ............ 7,207,837 48,575 oANDREW CORP ............................. 1,366,171 12,900 oARCH COMMUNICATIONS GROUP, INC .......... 98,362 181,200 oASCEND COMMUNICATIONS, INC .............. 7,134,750 11,450 oAVID TECHNOLOGIES, INC .................. 301,993 29,300 oBRINKER INTERNATIONAL, INC .............. 417,525 9,900 oBROADBAND TECHNOLOGIES, INC ............. 80,437 9,750 oCABLE DESIGN TECHNOLOGIES CO ............ 287,015 58,200 oCABLETRON SYSTEMS, INC .................. 1,647,787 34,100 oCAI WIRELESS SYSTEMS, INC ............... 36,231 33,400 oCASCADE COMMUNICATIONS CORP ............. 922,675 7,200 oCELLULAR COMMUNICATIONS INTERNATIONAL, INC ..................... 241,200 14,800 oCELLULAR TECHNICAL SERVICES CO .......... 135,050 20,400 oCENTURY COMMUNICATIONS CORP (CLASS A) .............................. 109,650 7,200 CENTURY TELEPHONE ENTERPRISES, INC ...... 242,550 See notes to financial statements. -49- GROWTH ACCOUNT (CONTINUED) SHARES VALUE ------ ----- COMMUNICATION EQUIPMENT & SERVICE--(CONTINUED) 21,100 oCHYRON CORP ............................. $ 94,950 8,300 oCIDCO, INC .............................. 114,125 520,350 oCISCO SYSTEMS, INC ...................... 34,928,493 118,400 CORNING, INC ............................ 6,586,000 10,100 oDIGI INTERNATIONAL, INC ................. 102,262 11,300 oDIGITAL MICROWAVE CORP .................. 339,000 61,200 oDSC COMMUNICATIONS CORP ................. 1,361,700 24,400 oDSP COMMUNICATIONS, INC ................. 268,400 9,800 oDYNATECH CORP ........................... 350,350 6,800 oEMMIS BROADCASTING CORP (CLASS A) ....... 296,650 13,900 oEXECUTIVE TELECARD LTD .................. 92,087 14,000 oGENERAL DATACOMM INDUSTRIES, INC ........ 99,750 36,800 oGEOTEK COMMUNICATIONS, INC .............. 200,100 7,400 oHARMONIC LIGHTWAVES, INC ................ 126,725 12,300 oHIGHWAYMASTER COMMUNICATIONS, INC ....... 187,575 25,900 oINTELIDATA TECHNOLOGIES CORP ............ 124,643 27,000 oINTERDIGITAL COMMUNICATIONS CORP ........ 148,500 10,300 oINTERMEDIA COMMUNICATIONS, INC .......... 333,462 18,300 oINTERNATIONAL FAMILY ENTERTAINMENT, INC ..................... 629,062 6,600 oJACOR COMMUNICATIONS, INC ............... 252,450 47,300 oLCI INTERNATIONAL, INC .................. 1,034,687 8,840 oLEVEL ONE COMMUNICATIONS, INC ........... 339,787 214,223 LUCENT TECHNOLOGIES, INC ................ 15,437,444 17,000 oMACROMEDIA, INC ......................... 146,625 7,050 oMASTEC, INC ............................. 333,553 13,900 oMETROCALL, INC .......................... 62,550 7,200 oNETCOM ON-LINE COMMUNICATIONS SERVICE, INC ........................... 106,200 14,100 oNETWORK EQUIPMENT TECHNOLOGIES, INC ...................... 253,800 133,250 oNOVELL, INC ............................. 924,421 29,300 oOCTEL COMMUNICATIONS CORP ............... 686,718 9,800 oP-COM, INC .............................. 323,400 54,600 oPAGING NETWORK, INC ..................... 479,456 39,950 oPAIRGAIN TECHNOLOGIES, INC .............. 619,225 21,787 oPANAMSAT CORP ........................... 631,823 16,700 oPICTURETEL CORP ......................... 158,650 19,200 oPMT SERVICES, INC ....................... 292,800 11,100 oPREMISYS COMMUNICATIONS, INC ............ 174,825 6,900 oPROXIM, INC ............................. 167,325 28,300 oQUALCOMM, INC ........................... 1,439,762 36,400 SCIENTIFIC-ATLANTA, INC ................. 796,250 7,800 oSTANFORD TELECOMMUNICATIONS, INC ........ 120,412 21,800 oTECH DATA CORP .......................... 685,337 87,650 oTELLABS, INC ............................ 4,897,443 5,250 oTELTREND, INC ........................... 76,781 18,700 oTSENG LABORATORIES, INC ................. 57,268 16,400 oVANGUARD CELLULAR SYSTEMS, INC .......... 223,450 16,300 oWINSTAR COMMUNICATIONS, INC ............. 218,012 ----------- 121,038,986 ----------- COMPUTER SERVICE--7.12% 11,720 oACTEL CORP .............................. 199,972 29,720 oACXIOM CORP ............................. 609,260 891,300 oADAPTEC, INC ............................ 30,972,675 69,460 oADC TELECOMMUNICATIONS, INC ............. 2,318,227 33,080 ADOBE SYSTEMS, INC ...................... 1,159,867 128,575 oAMERICAN MANAGEMENT SYSTEMS, INC ........ 3,439,381 18,500 oAUSPEX SYSTEMS, INC ..................... 178,062 153,200 AUTOMATIC DATA PROCESSING, INC .......... 7,200,400 10,680 oAVANT CORP .............................. 345,097 12,200 oBANCTEC, INC ............................ 316,437 96,055 oBAY NETWORKS, INC ....................... 2,551,460 9,900 oBELL & HOWELL CO ........................ 305,043 16,350 oBISYS GROUP, INC ........................ 682,612 57,200 oBMC SOFTWARE, INC ....................... 3,167,450 9,000 oBORLAND INTERNATIONAL, INC .............. 62,437 14,100 oBOSTON TECHNOLOGY, INC .................. 416,831 8,600 oBRODERBUND SOFTWARE, INC ................ 212,312 15,600 oC-CUBE MICROSYSTEMS, INC ................ 273,975 53,100 oCADENCE DESIGN SYSTEMS, INC ............. 1,778,850 19,100 oCAMBRIDGE TECHNOLOGY PARTNERS, INC ...... 611,200 3,230 oCDW COMPUTER CENTERS, INC ............... 171,391 8,900 oCENTENNIAL TECHNOLOGIES, INC ............ 21,137 40,300 oCERIDIAN CORP ........................... 1,702,675 13,660 oCHECKFREE CORP .......................... 240,757 12,950 oCITRIX SYSTEMS, INC ..................... 568,181 49,800 oCOMPUSA, INC ............................ 1,070,700 818,725 COMPUTER ASSOCIATES 0 INTERNATIONAL, INC .................... 45,592,748 31,100 oCOMPUTER NETWORK TECHNOLOGY CORP ........ 139,950 38,104 oCOMPUTER SCIENCES CORP .................. 2,748,251 15,800 COMPUTER TASK GROUP, INC ................ 588,550 40,060 oCOMPUWARE CORP .......................... 1,912,865 7,950 oCOMSHARE, INC ........................... 98,381 8,750 oCYRIX CORP .............................. 187,031 16,500 oDIAMOND MULTIMEDIA SYSTEMS, INC ......... 118,593 18,200 oDST SYSTEMS, INC ........................ 606,287 28,700 oELECTRONIC ARTS, INC .................... 965,037 175,200 ELECTRONIC DATA SYSTEMS CORP ............ 7,183,200 126,200 oEMC CORP ................................ 4,921,800 16,900 oEMPLOYEE SOLUTIONS, INC ................. 94,006 11,950 oEXCALIBUR TECHNOLOGIES CORP ............. 64,231 218,622 FIRST DATA CORP ......................... 9,605,704 25,950 oFISERV, INC ............................. 1,158,018 10,800 oGEOWORKS ................................ 62,775 14,700 oGT INTERACTIVE SOFTWARE CORP ............ 174,562 47,934 HBO & CO ................................ 3,301,454 11,640 oHNC SOFTWARE ............................ 443,775 12,600 oHYPERION SOFTWARE CORP .................. 281,925 17,500 oIDENTIX, INC ............................ 196,875 20,100 oIMATION CORP ............................ 530,137 4,100 oIMNET SYSTEMS, INC ...................... 127,356 79,700 oINFORMIX CORP ........................... 717,300 10,000 oINTEGRATED SYSTEMS, INC ................. 117,500 16,740 oINTERSOLV, INC .......................... 156,937 19,350 oINTUIT, INC ............................. 443,840 10,700 JACK HENRY & ASSOCIATES INC ............. 259,475 20,100 oKEANE, INC .............................. 1,045,200 22,014 oLEARNING CO, INC ........................ 206,381 10,800 oLEGATO SYSTEMS, INC ..................... 199,800 14,500 oMEDIC COMPUTER SYSTEMS, INC ............. 322,625 34,400 oMENTOR GRAPHICS CORP .................... 318,200 28,170 oMICROCHIP TECHNOLOGY, INC ............... 838,057 11,900 oMICRON ELECTRONICS, INC ................. 211,968 420,300 oMICROSOFT CORP .......................... 53,115,412 15,800 NATIONAL DATA CORP ...................... 684,337 48,937 oNCR CORP ................................ 1,455,875 22,900 oNETMANAGE, INC .......................... 67,268 23,950 oNETSCAPE COMMUNICATIONS CORP ............ 767,896 7,000 oNETWORK GENERAL CORP .................... 104,125 9,500 oNETWORK PERIPHERALS, INC ................ 67,093 6,600 oOBJECTIVE SYSTEMS INTEGRATORS, INC ...... 56,925 266,925 oORACLE CORP ............................. 13,446,346 68,200 oPARAMETRIC TECHNOLOGY CORP .............. 2,902,762 43,000 oPEOPLESOFT, INC ......................... 2,268,250 See notes to financial statements. -50- GROWTH ACCOUNT (CONTINUED) SHARES VALUE ------ ----- COMPUTER SERVICE--(CONTINUED) 14,800 oPHOENIX TECHNOLOGIES LTD ................ $ 192,400 12,600 oPHYSICIAN COMPUTER NETWORK, INC ......... 85,050 29,300 oPLATINUM TECHNOLOGY, INC ................ 388,225 8,100 oPOLICY MANAGEMENT SYSTEMS CORP .......... 380,700 7,900 oPROJECT SOFTWARE & DEVELOPMENT, INC ....................... 114,550 16,000 oPSINET, INC ............................. 120,000 21,320 oRATIONAL SOFTWARE CORP .................. 358,442 12,400 oREAD RITE CORP .......................... 258,850 46,700 REYNOLDS & REYNOLDS CO (CLASS A) ........ 735,525 1,020,000 oSABRE GROUP HOLDINGS, INC ............... 27,667,500 16,600 oSAFEGUARD SCIENTIFICS, INC .............. 528,087 15,800 oSECURITY DYNAMICS TECHNOLOGIES, INC ..... 582,625 13,700 SEI INVESTMENT CO ....................... 330,512 13,400 SHARED MEDICAL SYSTEMS CORP ............. 723,600 11,700 oSHIVA CORP .............................. 122,118 5,600 oSPYGLASS, INC ........................... 45,675 42,696 oSTERLING COMMERCE INC ................... 1,403,631 19,300 oSTERLING SOFTWARE, INC .................. 603,125 18,640 oSTRUCTURAL DYNAMICS RESEARCH CORP ....... 489,300 40,300 oSYBASE, INC ............................. 599,462 29,050 oSYMANTEC CORP ........................... 566,475 20,512 oSYNOPSYS, INC ........................... 753,816 17,800 oSYSTEM SOFTWARE ASSOCIATES, INC ......... 135,725 10,200 oSYSTEMSOFT CORP ......................... 109,650 16,920 oTRANSACTION SYSTEM ARCHITECTURE ......... 583,740 5,400 oTRIDENT MICROSYSTEMS, INC ............... 60,750 9,720 oVIASOFT, INC ............................ 493,290 7,000 oVIDEOSERVER, INC ........................ 92,750 11,900 oVIEWLOGIC SYSTEMS, INC .................. 174,037 10,000 oXIRCOM, INC ............................. 124,375 12,600 oZEBRA TECHNOLOGY CORP ................... 351,225 ----------- 260,628,682 ----------- CONGLOMERATES--2.76% 90,500 ALLIED SIGNAL, INC ...................... 7,602,000 15,100 oANIXTER INTERNATIONAL, INC .............. 259,531 15,450 oBLYTH INDUSTRIES, INC ................... 521,437 30,235 oCONCORD, INC ............................ 782,330 31,400 oCOPYTELE, INC ........................... 170,737 8,550 CRANE CO ................................ 357,496 24,400 oMETROMEDIA INTERNATIONAL GROUP INC ...... 308,050 153,300 MINNESOTA MINING & MANUFACTURING CO ....................... 15,636,600 11,100 STANDEX INTERNATIONAL CORP .............. 333,000 1,023,800 TYCO INTERNATIONAL LTD .................. 71,218,087 21,700 UNITED TECHNOLOGIES CORP ................ 1,801,100 46,600 VIAD CORP ............................... 897,050 52,100 WHITMAN CORP ............................ 1,250,400 ----------- 101,137,818 ----------- CONSTRUCTION--MATERIALS & BUILDERS--0.32% 16,100 CARLISLE COS, INC ....................... 561,487 8,300 oCDI CORP ................................ 346,006 28,720 oCHAMPION ENTERPRISES, INC ............... 430,800 49,520 CLAYTON HOMES, INC ...................... 705,660 15,370 FASTENAL CO ............................. 753,130 9,900 oJACOBS ENGINEERING GROUP, INC ........... 266,062 50,500 MASCO CORP .............................. 2,108,375 8,200 MEDUSA CORP ............................. 314,675 7,260 oNCI BUILDING SYSTEMS, INC ............... 235,042 25,500 OAKWOOD HOMES CORP ...................... 612,000 24,600 OWENS CORNING CO ........................ 1,060,875 11,800 PITTWAY CORP (CLASS A) .................. 587,050 6,800 SHERWIN-WILLIAMS CO ..................... 209,950 58,664 SIMON DEBARTOLO GROUP, INC .............. 1,877,248 16,000 oSOLA INTERNATIONAL, INC ................. 536,000 25,300 oUSG CORP ................................ 923,450 12,300 WATSCO, INC ............................. 307,500 ----------- 11,835,310 ----------- CONTAINERS--0.09% 41,650 CROWN CORK & SEAL CO, INC ............... 2,225,671 32,000 oGAYLORD CONTAINER CO .................... 246,000 22,000 oOWENS ILLINOIS, INC ..................... 682,000 ----------- 3,153,671 ----------- COSMETICS--1.03% 65,900 AVON PRODUCTS, INC ...................... 4,650,068 1,500 CARTER WALLACE, INC ..................... 26,812 290,386 GILLETTE CO ............................. 27,514,073 48,400 INTERNATIONAL FLAVORS & FRAGRANCES, INC ........................ 2,444,200 115,300 oNU SKIN ASIA PACIFIC, INC (CLASS A) ..... 3,055,450 ----------- 37,690,603 ----------- ELECTRICAL EQUIPMENT--4.40% 2,420,000 ABB AB SERIES A ......................... 33,957,127 42,200 oAMERICAN POWER CONVERSION CORP .......... 801,800 14,000 AMETEK, INC ............................. 329,000 12,500 BELDEN, INC ............................. 425,781 72,000 EMERSON ELECTRIC CO ..................... 3,964,500 1,496,300 GENERAL ELECTRIC CO ..................... 97,820,612 3,600 GRAINGER (W.W.), INC .................... 281,475 21,400 HONEYWELL, INC .......................... 1,623,725 7,140 HUBBELL, INC (CLASS B) .................. 314,160 260,600 THOMAS & BETTS CORP ..................... 13,697,787 336,246 WESTINGHOUSE ELECTRIC CORP .............. 7,775,688 ----------- 160,991,655 ----------- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--6.56% 20,600 oADVANCED MICRO DEVICES, INC ............. 741,600 45,800 oALTERA CORP ............................. 2,312,900 10,050 oALTRON, INC ............................. 150,750 60,600 AMP, INC ................................ 2,530,050 92,666 oANALOG DEVICES, INC ..................... 2,461,440 552,400 oARROW ELECTRONICS, INC .................. 29,346,250 51,000 oATMEL CORP .............................. 1,428,000 4,500 AVNET, INC .............................. 258,750 11,700 AVX CORP ................................ 315,900 15,100 oCALIFORNIA AMPLIFIER, INC ............... 67,950 15,000 oCHIPS & TECHNOLOGIES, INC ............... 155,625 9,500 oCHRONIMED, INC .......................... 80,156 30,900 oCIRRUS LOGIC, INC ....................... 324,450 16,100 oCOMPUCOM SYSTEMS, INC ................... 114,712 15,300 oCOMPUTER PRODUCTS, INC .................. 382,500 12,350 oCOMVERSE TECHNOLOGY, INC ................ 642,200 8,300 oCREE RESEARCH, INC ...................... 101,675 25,200 oCYPRESS SEMICONDUCTOR CORP .............. 365,400 9,900 DALLAS SEMICONDUCTOR CORP ............... 388,575 7,700 oDII GROUP, INC .......................... 338,800 9,000 oESS TECHNOLOGY .......................... 120,937 14,200 FISHER SCIENTIFIC INTERNATIONAL, INC .... 674,500 71,200 oGENERAL INSTRUMENT CORP ................. 1,780,000 2,300 oHADCO CORP .............................. 150,650 6,200 HELIX TECHNOLOGY CORP ................... 251,100 8,700 oHUTCHINSON TECHNOLOGY, INC .............. 212,062 18,400 oIMP, INC ................................ 28,750 See notes to financial statements. -51- GROWTH ACCOUNT (CONTINUED) SHARES VALUE ------ ----- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--(CONTINUED) 29,700 oINTEGRATED DEVICE TECHNOLOGY, INC ....... $ 311,850 671,050 INTEL CORP .............................. 95,163,278 27,200 oINTERNATIONAL RECTIFIER CORP ............ 506,600 21,540 oKEMET CORP .............................. 535,807 16,200 oKENT ELECTRONICS CORP ................... 594,337 13,200 oLAM RESEARCH CORP ....................... 489,225 12,140 oLATTICE SEMICONDUCTOR CORP .............. 685,910 853,700 LINEAR TECHNOLOGY CO .................... 44,178,975 68,300 oLSI LOGIC CORP .......................... 2,185,600 34,150 oMAXIM INTEGRATED PRODUCTS ............... 1,942,281 9,800 oMEMC ELECTRONIC MATERIALS, INC .......... 320,950 19,700 METHODE ELECTRONICS, INC (CLASS A) ...... 391,537 88,800 oMICRON TECHNOLOGY, INC .................. 3,546,450 46,706 MOLEX, INC .............................. 1,704,769 318,500 MOTOROLA, INC ........................... 24,206,000 9,100 oMRV COMMUNICATIONS, INC ................. 268,450 16,260 oMYLEX CORP .............................. 154,470 10,400 oOAK INDUSTRIES, INC ..................... 299,000 17,300 PIONEER-STANDARD ELECTRONICS, INC ....... 233,550 7,500 oPLANTRONICS, INC ........................ 375,937 16,800 oPMC-SIERRA, INC ......................... 441,000 13,450 oROBOTIC VISION SYSTEMS, INC ............. 159,718 27,250 oS3, INC ................................. 299,750 10,440 oSANMINA CORP ............................ 662,940 10,000 oSEMITOOL, INC ........................... 116,250 20,000 SYMBOL TECHNOLOGIES, INC ................ 672,500 13,120 oSYMMETRICOM, INC ........................ 188,600 9,200 oTCSI CORP ............................... 48,300 73,000 TEXAS INSTRUMENTS, INC .................. 6,136,562 12,800 oTRIMBLE NAVIGATION LTD .................. 227,200 11,600 oUCAR INTERNATIONAL, INC ................. 530,700 9,340 oUNIPHASE CORP ........................... 544,055 7,700 oUNITRODE CORP ........................... 387,887 18,000 oVICOR CORP .............................. 405,000 13,149 oVISHAY INTERTECHNOLOGY, INC ............. 380,499 16,575 oVITESSE SEMICONDUCTOR CORP .............. 541,795 20,900 oVLSI TECHNOLOGY, INC .................... 493,762 14,600 oWATERS CORP ............................. 523,775 43,200 oWESTERN DIGITAL CORP .................... 1,366,200 5,300 WYLE ELECTRONICS ........................ 209,350 38,000 oXILINX, INC ............................. 1,864,375 10,500 oZILOG, INC .............................. 199,500 ----------- 240,220,376 ----------- ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.44% 96,150 oAPPLIED MATERIALS, INC .................. 6,808,621 55,300 oAURA SYSTEMS, INC ....................... 95,046 11,100 oDIONEX CORP ............................. 568,875 9,200 oELECTROGLAS, INC ........................ 231,725 28,420 oELECTRONICS FOR IMAGING, INC ............ 1,342,845 12,900 oGENRAD, INC ............................. 291,862 22,400 oINPUT/OUTPUT, INC ....................... 406,000 39,900 oKLA INSTRUMENTS CORP .................... 1,945,125 10,500 oKULICHE & SOFFA INDUSTRIES, INC ......... 340,921 21,700 oLTX CORP ................................ 141,050 10,800 oNORTHFIELD LABORATORIES, INC ............ 112,050 23,900 PERKIN-ELMER CORP ....................... 1,901,543 8,900 oSILICON VALLEY GROUP, INC ............... 234,737 2,500 TEKTRONIX, INC .......................... 150,000 23,100 oTERADYNE, INC ........................... 906,675 7,200 oTHERMO INSTRUMENT SYSTEMS, INC .......... 219,600 13,400 X RITE, INC ............................. 254,600 ----------- 15,951,275 ----------- ENVIRONMENTAL CONTROL--0.34% 48,100 oALLIED WASTE INDUSTRIES, INC ............ 835,737 16,200 BROWNING FERRIS INDUSTRIES, INC ......... 538,650 12,100 oCULLIGAN WATER TECHNOLOGIES, INC ........ 541,475 78,760 oREPUBLIC INDUSTRIES, INC ................ 1,959,155 30,650 oU.S. FILTER CORP ........................ 835,212 69,900 oU.S.A. WASTE SERVICES, INC .............. 2,699,887 25,600 oUNITED WASTE SYSTEMS, INC ............... 1,049,600 124,424 WASTE MANAGEMENT, INC ................... 3,997,121 ----------- 12,456,837 ----------- FINANCIAL--MISCELLANEOUS--1.76% 17,900 AAMES FINANCIAL CORP .................... 331,150 21,600 ADVANTA CORP (CLASS A) .................. 793,800 2,100 AMBAC, INC .............................. 160,387 83,600 AMERICAN EXPRESS CO ..................... 6,228,200 20,600 oARCADIA FINANCIAL LTD ................... 189,262 23,100 CARR AMERICA REALTY CORP ................ 664,125 3,000 CASE CORP ............................... 206,625 48,900 oCATELLUS DEVELOPMENT CORP ............... 886,312 7,800 CMAC INVESTMENT CORP .................... 372,450 7,731 COUNTRYWIDE CREDIT INDUSTRIES, INC ...... 241,110 12,800 oCREDIT ACCEPTANCE CORP .................. 164,800 10,600 oEIS INTERNATIONAL, INC .................. 85,462 9,100 oENVOY CORP .............................. 302,575 177,100 FEDERAL HOME LOAN MORTGAGE CORP ......... 6,087,812 388,200 FEDERAL NATIONAL MORTGAGE ASSOCIATION ............................ 16,935,225 5,300 FINOVA GROUP, INC ....................... 405,450 43,050 FRANKLIN RESOURCES, INC ................. 3,123,815 24,660 oGARTNER GROUP, INC (CLASS A) ............ 886,218 20,700 GENERAL GROWTH PROPERTIES, INC .......... 693,450 75,200 GREEN TREE FINANCIAL CORP ............... 2,679,000 34,628 HOUSEHOLD INTERNATIONAL, INC ............ 4,066,625 160,650 MBNA CORP ............................... 5,883,806 79,650 oMERCURY FINANCE CO ...................... 194,146 23,200 MILLS CORP .............................. 642,350 30,300 MORGAN STANLEY, DEAN WITTER, DISCOVER ............................... 1,304,793 15,300 PENNCORP FINANCIAL GROUP, INC ........... 589,050 21,900 PIONEER GROUP, INC ...................... 503,700 25,700 PRICE (T. ROWE) ASSOCIATES, INC ......... 1,326,762 11,700 QUICK & REILLY GROUP, INC ............... 272,025 60,900 SCHWAB (CHARLES) CORP ................... 2,477,868 19,200 SPIEKER PROPERTIES, INC ................. 675,600 23,300 STUDENT LOAN MARKETING ASSOCIATION ...... 2,959,100 17,850 THE MONEY STORE, INC .................... 512,071 11,700 TIG HOLDINGS, INC ....................... 365,625 28,700 UNITED ASSET MANAGEMENT CORP ............ 812,568 9,800 UNITED COS FINANCIAL CORP ............... 276,850 ----------- 64,300,167 ----------- FOODS--2.49% 116,900 CAMPBELL SOUP CO ........................ 5,845,000 111,500 CONAGRA, INC ............................ 7,149,937 164,400 CPC INTERNATIONAL, INC .................. 15,176,175 24,400 DOLE FOOD, INC .......................... 1,043,100 3,744 EARTHGRAINS CO .......................... 245,466 17,250 FLOWERS INDUSTRIES, INC ................. 290,015 427,662 GENERAL MILLS, INC ...................... 27,851,487 45,300 oGENERAL NUTRITION COS, INC .............. 1,268,400 73,900 HEINZ (H.J.) CO ......................... 3,408,637 29,800 HERSHEY FOODS CORP ...................... 1,648,312 39,300 KELLOGG CO .............................. 3,365,062 15,300 LANCE, INC .............................. 292,612 See notes to financial statements. -52- GROWTH ACCOUNT (CONTINUED) SHARES VALUE ------ ----- FOODS--(CONTINUED) 10,400 MCCORMICK & CO, INC (NON-VTG) ........... $ 262,600 20,600 NABISCO HOLDINGS CORP (CLASS A) ......... 821,425 12,400 NATURES SUNSHINE PRODUCTS, INC .......... 224,750 36,300 PIONEER-HI-BRED INTERNATIONAL, INC ...... 2,904,000 14,300 QUAKER OATS CO .......................... 641,712 10,200 oRALCORP HOLDINGS, INC ................... 150,450 44,250 RALSTON PURINA CO ....................... 3,636,796 22,800 RICHFOOD HOLDINGS, INC .................. 592,800 216,500 SARA LEE CORP ........................... 9,011,812 9,050 oSMITHFIELD FOODS, INC ................... 556,575 9,400 oTHE CHEESECAKE FACTORY CO ............... 197,400 11,206 TOOTSIE ROLL INDUSTRIES, INC ............ 498,667 13,150 TYSON FOODS, INC ........................ 251,493 12,100 oWHOLE FOODS MARKET, INC ................. 400,812 53,800 WRIGLEY (WM) JR CO ...................... 3,604,600 ----------- 91,340,095 ----------- HEALTHCARE--DRUGS--7.49% 22,650 oADVANCED TISSUE SCIENCE CO .............. 291,618 7,750 oAGOURON PHARMACEUTICALS, INC ............ 626,781 17,800 ALLERGAN, INC ........................... 566,262 17,000 oALLIANCE PHARMACEUTICALS CORP ........... 171,062 44,300 oALZA CORP ............................... 1,284,700 236,700 AMERICAN HOME PRODUCTS CORP ............. 18,107,550 438,300 oAMGEN, INC .............................. 25,476,187 17,650 oAMYLIN PHARMACEUTICALS, INC ............. 242,687 15,250 ARBOR DRUGS, INC ........................ 306,906 8,400 oBIO-RAD LABORATORIES, INC (CLASS A) ..... 218,925 29,700 oBIO-TECHNOLOGY GENERAL CORP ............. 400,950 38,600 oBIOGEN, INC ............................. 1,307,575 247,600 BRISTOL MYERS SQUIBB CO ................. 20,055,600 14,300 oCELLPRO, INC ............................ 85,800 29,300 oCENTOCOR, INC ........................... 910,131 14,300 oCEPHALON, INC ........................... 164,450 85,416 oCHIRON CORP ............................. 1,783,059 19,100 oCOLUMBIA LABORATORIES, INC .............. 312,762 21,280 oCREATIVE BIOMOLECULES, INC .............. 150,290 12,300 oCYGNUS, INC ............................. 212,175 38,700 oCYTOGEN CORP ............................ 188,662 23,750 oDURA PHARMACEUTICALS, INC ............... 947,031 15,960 oENZO BIOCHEMICAL, INC ................... 252,367 19,300 oFOREST LABORATORIES, INC ................ 799,743 23,800 oGENZYME CORP (GENERAL DIVISION) ......... 660,450 37,710 oGENZYME CORP (TISSUE REPAIR DIVISION) ................ 381,813 17,900 oGILEAD SCIENCES, INC .................... 494,487 30,000 oICOS CORP ............................... 247,500 9,100 oIDEC PHARMACEUTICALS CORP ............... 220,675 11,200 oIMMUNEX CORP ............................ 406,000 20,700 oINTERNEURON PHARMACEUTICALS, INC ........ 416,587 17,120 oISIS PHARMACEUTICALS, INC ............... 249,310 57,300 oIVAX CORP ............................... 641,043 13,300 JONES MEDICAL INDUSTRIES, INC ........... 631,750 18,840 oLIGAND PHARMACEUTICALS CO (CLASS A) ..... 242,565 399,584 LILLY (ELI) & CO ........................ 43,679,526 19,700 oLIPOSOME CO, INC ........................ 176,068 426,800 ~MARTEK BIOSCIENCES CORP ................. 5,014,900 109,440 ~MARTEK BIOSCIENCES CORP WTS 05/18/98 ............................ 201,369 18,850 oMATRIX PHARMACEUTICALS, INC ............. 126,059 630,500 *MERCK & CO, INC ......................... 65,256,750 65,400 MYLAN LABORATORIES, INC ................. 964,650 13,700 oNEOPROBE CORP ........................... 191,800 9,680 oNEUREX CORP ............................. 136,730 9,200 oNEUROGEN CORP ........................... 209,300 16,080 oNOVEN PHARMACEUTICALS, INC .............. 114,570 334,400 PFIZER, INC ............................. 39,960,800 106,200 PHARMACIA & UPJOHN, INC ................. 3,690,450 7,500 oPROTEIN DESIGN LABORATORIES, INC ........ 213,750 14,600 oREGENERON PHARMACEUTICALS, INC .......... 147,825 17,700 RHONE-POULNEC RORER, INC ................ 1,608,487 8,100 oROBERTS PHARMACEUTICAL CORP ............. 90,618 13,600 oSCHERER (R.P.) CORP ..................... 702,100 381,200 SCHERING-PLOUGH CORP .................... 18,249,950 17,000 oSEPRACOR, INC ........................... 438,812 20,400 oSEQUUS PHARMACEUTICALS, INC ............. 130,050 17,100 oSOMATOGEN, INC .......................... 79,087 12,200 oU.S. BIOSCIENCE, INC .................... 117,425 12,740 oVERTEX PHARMACEUTICALS, INC ............. 487,305 12,100 oVICAL, INC .............................. 154,275 94,500 WARNER-LAMBERT CO ....................... 11,741,625 16,650 oWATSON PHARMACEUTICALS, INC ............. 703,462 ----------- 274,043,196 ----------- HEALTHCARE--HOSPITAL SUPPLY--1.28% 695,976 JOHNSON & JOHNSON CO .................... 44,803,455 3,000 MCKESSON CORP ........................... 232,500 22,400 MILLIPORE CORP .......................... 985,600 26,100 U.S. SURGICAL CORP ...................... 972,225 ----------- 46,993,780 ----------- HEALTHCARE--OTHER--3.28% 405,600 ABBOTT LABORATORIES CO .................. 27,073,800 7,650 oACCESS HEALTH, INC ...................... 187,425 7,650 oADVANCED TECHNOLOGY LABORATORIES, INC ...................... 328,950 26,850 oAMERICAN ONCOLOGY RESOURCES, INC ........ 453,093 8,340 ARROW INTERNATIONAL, INC ................ 243,945 18,500 BALLARD MEDICAL PRODUCTS CO ............. 371,156 11,200 BARD (C.R.), INC ........................ 406,700 62,000 BECTON DICKINSON & CO ................... 3,138,750 61,900 oBIOMET, INC ............................. 1,152,887 54,215 oBOSTON SCIENTIFIC CORP .................. 3,330,834 15,520 oCNS, INC ................................ 141,620 10,750 oCONMED CORP ............................. 182,750 36,500 oCORAM HEALTHCARE CORP ................... 88,968 18,200 oCOVENTRY CORP ........................... 275,275 7,400 oCURATIVE HEALTH SERVICES, INC ........... 212,750 1,011,950 DENTSPLY INTERNATIONAL, INC ............. 49,585,550 7,300 DIAGNOSTIC PRODUCTS CORP ................ 230,406 13,100 oENDOSONICS CORP ......................... 142,462 11,200 oEPITOPE, INC ............................ 88,200 24,710 oFRESENIUS MEDICAL CARE AG. ADR .......... 719,678 21,250 oGENESIS HEALTH VENTURES, INC ............ 717,187 37,781 GUIDANT CORP ............................ 3,211,385 8,700 oGULF SOUTH MEDICAL SUPPLY, INC .......... 169,650 13,600 oHAEMONETICS CORP ........................ 260,100 24,400 HILLENBRAND INDUSTRIES, INC ............. 1,159,000 7,300 oHOLOGIC, INC ............................ 194,362 12,400 oHUMAN GENOME SCIENCES, INC .............. 412,300 18,500 oIDEXX LABORATORIES, INC ................. 230,093 44,400 oIMATRON, INC ............................ 112,387 19,600 oISOLYSER CO, INC ........................ 53,287 9,300 oLIFECORE BIOMEDICAL, INC ................ 127,875 39,700 oMEDAPHIS CORP ........................... 399,481 124,650 MEDTRONIC, INC .......................... 10,096,650 14,300 MENTOR CORP ............................. 423,637 26,300 oNABI, INC ............................... 174,237 34,550 oNELLCOR PURITAN BENNETT, INC ............ 626,218 8,900 oNEOPATH, INC ............................ 169,100 23,400 oNEUROMEDICAL SYSTEMS, INC ............... 129,431 See notes to financial statements. -53- GROWTH ACCOUNT (CONTINUED) SHARES VALUE ------ ----- HEALTHCARE--OTHER--(CONTINUED) 12,500 oORGANOGENESIS, INC ...................... $ 244,531 22,250 OWENS & MINOR, INC ...................... 332,359 67,050 PALL CORP ............................... 1,558,912 11,800 oPATTERSON DENTAL CO ..................... 404,887 9,018 oPHARMACEUTICAL PRODUCT DEVELOPMENT ............................ 198,396 14,700 oPHYSICIAN RELIANCE NETWORK, INC ......... 137,812 21,850 oPHYSICIAN SALES & SERVICE, INC .......... 415,150 11,300 oPOSSIS MEDICAL, INC ..................... 190,687 16,750 oQUEST DIAGNOSTICS, INC .................. 344,421 12,900 oRESPIRONICS, INC ........................ 272,512 12,300 oSOFAMOR DANEK GROUP, INC ................ 562,725 44,575 oST. JUDE MEDICAL, INC ................... 1,738,425 19,500 oSTERIS CORP ............................. 728,812 34,400 STEWART ENTERPRISES, INC (CLASS A) ...... 1,444,800 40,400 oSTRYKER CORP ............................ 1,408,950 21,000 oSUMMIT TECHNOLOGY, INC .................. 139,125 7,100 oSUNRISE MEDICAL, INC .................... 107,387 26,700 oSYBRON INTERNATIONAL CORP ............... 1,064,662 12,000 oSYNETIC, INC ............................ 444,000 11,600 oTECNOL MEDICAL PRODUCTS, INC ............ 258,100 14,000 oTHERMEDICS, INC ......................... 219,625 11,400 oTHERMO CARDIOSYSTEMS, INC ............... 296,400 7,700 oTHERMOTREX CORP ......................... 192,018 23,800 oUROMED CORP ............................. 83,300 19,900 oVIVUS, INC .............................. 473,868 ----------- 120,283,443 ----------- HEALTHCARE--SERVICE--5.08% 420,515 AETNA, INC .............................. 43,050,223 8,920 oAMERICAN HOMEPATIENT, INC ............... 223,000 15,500 oAMERISOURCE HEALTH CORP (CLASS A) ....... 773,062 12,400 ANALYSTS INTERNATIONAL CORP ............. 415,400 25,400 oAPRIA HEALTHCARE GROUP, INC ............. 450,850 16,600 oBEVERLY ENTERPRISES CO .................. 269,750 618,626 CARDINAL HEALTH, INC .................... 35,416,338 15,200 oCERNER CORP ............................. 319,200 353,330 COLUMBIA/HCA HEALTHCARE CORP ............ 13,890,285 32,500 oCOVANCE, INC ............................ 627,656 6,500 FAIR ISSAC & CO, INC .................... 289,656 60,120 oFOUNDATION HEALTH SYSTEMS (CLASS A) ..... 1,822,387 21,900 oHEALTH CARE & RETIREMENT CORP ........... 730,912 16,900 HEALTH CARE PROPERTY INVESTORS, INC ..... 595,725 55,212 oHEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) .............................. 1,573,542 14,900 oHEALTH MANAGEMENT SYSTEMS, INC .......... 67,981 18,100 oHEALTHCARE COMPARE CO ................... 947,987 164,456 oHEALTHSOUTH CORP ........................ 4,101,121 3,800 oHORIZON/CMS HEALTHCARE CORP ............. 76,237 74,600 oHUMANA, INC ............................. 1,725,125 7,900 oI-STAT CORP ............................. 135,287 4,300 oINTEGRATED SILICON SOLUTION, INC ........ 32,653 17,600 INVACARE CORP ........................... 411,400 19,804 oLABORATORY CORP OF AMERICA HOLDINGS ............................... 51,985 2,560 oLABORATORY CORP OF AMERICA HOLDINGS WTS 04/28/00 .................. 160 17,140 oLINCARE HOLDINGS, INC ................... 737,020 7,400 oLIVING CENTERS OF AMERICA, INC .......... 292,300 25,400 MANOR CARE, INC ......................... 828,675 8,100 oMARINER HEALTH GROUP, INC ............... 125,043 28,400 oMATRIA HEALTHCARE, INC .................. 113,600 9,900 oMAXICARE HEALTH PLANS, INC .............. 221,512 73,151 oMEDPARTNERS, INC ........................ 1,581,890 22,600 oMID ATLANTIC MEDICAL SERVICES, INC ...... 351,712 1,766 MORRISON HEALTH CARE, INC ............... 28,145 14,900 oMULTICARE COS, INC ...................... 407,887 39,900 OMNICARE, INC ........................... 1,251,862 11,000 oORTHODONTIC CENTERS OF AMERICA, INC ..... 200,062 40,000 oOXFORD HEALTH PLANS, INC ................ 2,870,000 4,065 oPACIFICARE HEALTH SYSTEMS, INC (CLASS A) .............................. 246,186 888,034 oPACIFICARE HEALTH SYSTEMS, INC (CLASS B) .............................. 56,723,171 5,800 oPEDIATRIX MEDICAL GROUP, INC ............ 265,712 8,900 oPHP HEALTHCARE CORP ..................... 116,812 29,050 oPHYCOR, INC ............................. 1,000,409 6,900 oPHYSICIAN CORP OF AMERICA ............... 43,987 15,300 oPHYSICIANS RESOURCE GROUP INC ........... 137,700 18,400 oRENAL TREATMENT CENTERS, INC ............ 494,500 16,840 oROTECH MEDICAL CORP ..................... 337,852 5,800 oSIERRA HEALTH SERVICES, INC ............. 181,250 8,200 oSUN HEALTHCARE GROUP, INC ............... 170,662 62,935 oTENET HEALTHCARE CORP ................... 1,860,515 93,000 UNITED HEALTHCARE CORP .................. 4,836,000 18,900 oUNIVERSAL HEALTH SERVICES, INC .......... 727,650 26,000 oVALUE HEALTH, INC ....................... 526,500 25,700 oVENCOR, INC ............................. 1,085,825 9,600 oVETERINARY CENTERS OF AMERICA, INC ...... 117,000 7,800 oVISX, INC ............................... 185,250 ----------- 186,064,611 ----------- HOUSEHOLD--CONSUMER ELECTRONICS--0.01% 8,200 HARMAN INTERNATIONAL INDUSTRIES, INC ........................ 345,425 15,100 oZENITH ELECTRONICS CORP ................. 178,368 ----------- 523,793 ----------- HOUSEHOLD--DURABLE GOODS--1.36% 10,100 BLACK & DECKER CORP ..................... 375,593 20,500 oGENTEX CORP ............................. 404,875 1,035,700 LEGGETT & PLATT, INC .................... 44,535,100 82,400 NEWELL COS, INC ......................... 3,265,100 10,000 SHAW INDUSTRIES, INC .................... 106,250 6,600 STANLEY WORKS CO ........................ 264,000 21,900 SUNBEAM CORP ............................ 826,725 24,600 oTOP SOURCE TECHNOLOGIES, INC ............ 36,900 ----------- 49,814,543 ----------- HOUSEHOLD--PRODUCTS--4.04% 5,800 APTARGROUP, INC ......................... 262,450 14,350 CLOROX CO ............................... 1,894,200 152,800 COLGATE PALMOLIVE CO .................... 9,970,200 52,000 DIAL CORP ............................... 812,500 18,100 FIRST BRANDS CORP ....................... 415,168 1,070,460 KIMBERLY-CLARK CORP ..................... 53,255,385 565,000 LANCASTER COLONY CORP ................... 27,331,875 13,200 oPERRIGO CO .............................. 165,000 356,300 PROCTER & GAMBLE CO ..................... 50,327,375 75,600 RUBBERMAID, INC ......................... 2,249,100 10,200 TAMBRANDS, INC .......................... 508,725 18,200 TUPPERWARE CORP ......................... 664,300 ----------- 147,856,278 ----------- INSURANCE--BROKERS & OTHER--0.30% 12,600 oABR INFORMATION SERVICES, INC ........... 365,400 21,600 CRAWFORD & CO (CLASS B) ................. 351,000 78,400 EQUIFAX, INC ............................ 2,915,500 13,900 GALLAGHER (ARTHUR J.) & CO .............. 524,725 23,800 oINSIGNIA FINANCIAL GROUP, INC ........... 431,375 69,200 MARSH & MCLENNAN COS, INC ............... 4,939,150 11,400 NORRELL CORP ............................ 376,200 28,760 oQUORUM HEALTH GROUP, INC ................ 1,028,170 ----------- 10,931,520 ----------- See notes to financial statements. -54- GROWTH ACCOUNT (CONTINUED) SHARES VALUE ------ ----- INSURANCE--LIFE--0.13% 9,100 oCOMPDENT CORP ........................... $ 191,668 7,900 EQUITABLE COS, INC ...................... 262,675 7,000 REINSURANCE GROUP OF AMERICA, INC ....... 402,500 61,300 SUNAMERICA, INC ......................... 2,988,375 5,600 UNUM CORP ............................... 235,200 7,200 VESTA INSURANCE GROUP, INC .............. 311,400 7,400 WESTERN NATIONAL CORP ................... 198,412 ----------- 4,590,230 ----------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--1.76% 29,400 20TH CENTURY INDUSTRIES ................. 617,400 14,600 AFLAC, INC .............................. 689,850 664,400 ALLSTATE CORP ........................... 48,501,200 47,200 AMERICAN INTERNATIONAL GROUP, INC ....... 7,050,500 5,615 FRONTIER INSURANCE GROUP, INC ........... 363,571 4,600 GENERAL REINSURANCE CORP ................ 837,200 20,600 HCC INSURANCE HOLDINGS, INC ............. 549,762 10,650 oHIGHLANDS INSURANCE GROUP, INC .......... 214,331 5,000 HSB GROUP, INC .......................... 266,875 61,200 MGIC INVESTMENT CORP .................... 2,933,775 8,100 PROGRESSIVE CORP ........................ 704,700 16,900 TRAVELERS GROUP, INC .................... 1,065,756 12,500 oZURICH REINSURANCE CENTRE HOLDINGS, INC .......................... 493,750 ----------- 64,288,670 ----------- LEISURE TIME--4.35% 18,000 oACCLAIM ENTERTAINMENT, INC .............. 74,250 28,300 oALLIANCE ENTERTAINMENT CORP ............. 7,959 5,840 oANCHOR GAMING CO ........................ 278,860 11,400 ARCTIC CAT, INC ......................... 118,275 15,800 AUTHENTIC FITNESS CORP .................. 199,475 27,900 oBOYD GAMING CORP ........................ 160,425 15,500 BRUNSWICK CORP .......................... 484,375 40,000 CALLAWAY GOLF CO ........................ 1,420,000 1,580,800 CARNIVAL CORP (CLASS A) ................. 65,208,000 54,800 oCIRCUS CIRCUS ENTERPRISES, INC .......... 1,349,450 12,200 COACHMEN INDUSTRIES, INC ................ 208,925 357,370 DISNEY (WALT) CO ........................ 28,678,942 11,800 oGALOOB TOYS, INC ........................ 222,725 19,500 oGRAND CASINOS, INC ...................... 287,625 24,000 oGTECH HOLDINGS CORP ..................... 774,000 53,300 oHARRAHS ENTERTAINMENT, INC .............. 959,400 13,500 oHOLLYWOOD ENTERTAINMENT CORP ............ 308,812 61,000 INTERNATIONAL GAME TECHNOLOGY CO ........ 1,082,750 10,500 JOSTENS, INC ............................ 280,875 18,600 oJUMBOSPORTS, INC ........................ 70,912 14,800 K2, INC ................................. 468,975 1,537,718 MATTEL, INC ............................. 52,090,197 99,100 oMIRAGE RESORT, INC ...................... 2,502,275 14,500 oPLAYERS INTERNATIONAL, INC .............. 43,500 9,100 oPRIMADONNA RESORTS, INC ................. 175,743 17,850 oREGAL CINEMAS, INC ...................... 589,050 8,700 oSCIENTIFIC GAMES HOLDINGS CORP .......... 179,437 12,400 SHOWBOAT, INC ........................... 216,225 22,500 oSTATION CASINOS, INC .................... 188,437 13,300 STRUM, RUGER & CO, INC .................. 261,012 18,600 oTRUMP HOTEL & CASINO RESORT, INC ........ 199,950 22,000 oVALUEVISION INTERNATIONAL, INC .......... 86,625 2,675 oWHG RESORTS & CASINO, INC ............... 29,090 12,000 oWMS INDUSTRIES, INC ..................... 300,750 ----------- 159,507,301 ----------- MACHINERY--0.58% 4,000 AEROQUIP-VICKERS, INC ................... 189,000 6,500 AGCO CORP ............................... 233,593 6,100 ALLIED PRODUCTS CORP .................... 202,062 3,900 BW/IP HOLDING, INC ...................... 79,218 7,150 CINCINNATI MILACRON, INC ................ 185,453 17,900 oCOGNEX CORP ............................. 474,350 17,033 DELTA & PINE LAND CO .................... 606,800 55,000 DOVER CORP .............................. 3,382,500 11,100 DURCO INTERNATIONAL, INC ................ 324,675 28,000 FEDERAL SIGNAL CORP ..................... 703,500 16,700 oFIGGIE INTERNATIONAL, INC (CLASS A) ..... 229,625 10,000 GREENFIELD INDUSTRIES, INC .............. 270,000 17,150 IDEX CORP ............................... 565,950 100,400 ILLINOIS TOOL WORKS, INC ................ 5,013,725 9,900 oINTEGRATED PROCESS EQUIPMENT CORP ....... 250,593 9,900 oINTERVOICE, INC ......................... 90,956 25,700 JLG INDUSTRIES, INC ..................... 350,162 11,900 KAYDON CORP ............................. 590,537 2,642 KENNAMETAL, INC ......................... 113,606 4,700 KEYSTONE INTERNATIONAL, INC ............. 163,031 15,700 oMOLTEN METAL TECHNOLOGY, INC ............ 78,500 10,200 NORDSON CORP ............................ 655,350 8,100 oNOVELLUS SYSTEMS, INC ................... 700,650 8,700 ROPER INDUSTRIES, INC ................... 451,312 10,600 SUNDSTRAND CORP ......................... 572,400 78,375 oTHERMO ELECTRON CORP .................... 2,694,140 5,900 TRIMAS CORP ............................. 165,937 14,500 TRINITY INDUSTRIES, INC ................. 460,375 10,700 oULTRATECH STEPPER, INC .................. 244,762 22,000 YORK INTERNATIONAL CORP ................. 1,012,000 ----------- 21,054,762 ----------- METALS--ALUMINUM--0.00% 3,900 oACX TECHNOLOGIES, INC ................... 87,750 ----------- METALS--GOLD--0.46% 14,000 BATTLE MOUNTAIN GOLD CO ................. 79,625 309,000 oEUOR-NEVADA MINING CORP ................. 9,519,066 9,300 oFRANCO-NEVADA MINING CORP LTD ........... 466,820 53,104 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS A) .................... 1,553,292 38,177 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) .................... 1,188,259 16,300 oGETCHELL GOLD CORP ...................... 572,537 20,500 HOMESTAKE MINING CO ..................... 267,781 5,900 NEWMONT GOLD CO ......................... 235,631 79,846 NEWMONT MINING CORP ..................... 3,113,994 ----------- 16,997,005 ----------- METALS--NON-FERROUS--0.06% 18,400 BMC INDUSTRIES, INC ..................... 630,200 6,700 FREEPORT-MCMORAN, INC ................... 193,462 7,000 MINERALS TECHNOLOGIES, INC .............. 262,500 11,000 oMUELLER INDUSTRIES, INC ................. 481,250 6,000 oOREGON METALLURICAL CORP ................ 168,750 8,100 oRMI TITANIUM CO ......................... 220,725 8,800 oSOLV-EX CORP ............................ 29,150 11,000 oSTILLWATER MINING CO .................... 244,750 177,400 oSUNSHINE MINING & REFINING CO ........... 121,962 ----------- 2,352,749 ----------- METALS--STEEL--0.13% 5,500 AK STEEL HOLDINGS CORP .................. 242,687 8,300 HANNA (M.A.) CO ......................... 239,143 9,800 oMATERIAL SCIENCES CORP .................. 151,287 44,900 NUCOR CORP .............................. 2,536,850 41,800 oUNR INDUSTRIES, INC ..................... 287,375 See notes to financial statements. -55- GROWTH ACCOUNT (CONTINUED) SHARES VALUE ------ ----- METALS--STEEL--(CONTINUED) 15,200 USX-US STEEL GROUP, INC ................. $ 532,950 10,400 oWOLVERINE TUBE, INC ..................... 289,900 32,680 WORTHINGTON INDUSTRIES, INC ............. 598,452 ----------- 4,878,644 ----------- MISCELLANEOUS MATERIALS & COMMODITIES--0.01% 11,100 oOAKLEY, INC ............................. 156,093 5,480 oZOLTEK COS, INC ......................... 209,610 ----------- 365,703 ----------- OFFICE EQUIPMENT--2.14% 14,000 oAPPLIED MAGNETICS CORP .................. 316,750 28,000 oASPECT TELECOMMUNICATIONS CORP .......... 623,000 50,850 AVERY DENNISON CORP ..................... 2,040,356 6,400 oBOISE CASCADE OFFICE PRODUCTS CORP ...... 108,800 127,700 oCOMPAQ COMPUTER CORP .................... 12,674,225 12,000 oCONTROL DATA SYSTEMS, INC ............... 178,500 72,650 oDELL COMPUTER CORP ...................... 8,531,834 9,100 oDH TECHNOLOGY, INC ...................... 147,875 8,700 oFILENET CORP ............................ 126,150 19,000 oGATEWAY 2000, INC ....................... 616,312 439,900 HEWLETT-PACKARD CO ...................... 24,634,400 14,900 HON INDUSTRIES, INC ..................... 659,325 70,000 IKON OFFICE SOLUTIONS, INC .............. 1,745,625 5,000 oIN FOCUS SYSTEMS, INC ................... 128,125 60,200 oIOMEGA CORP ............................. 1,196,475 25,250 oKOMAG, INC .............................. 413,468 34,100 oLEXMARK INTERNATIONAL GROUP (CLASS A) .............................. 1,035,787 5,800 oMICROS SYSTEMS, INC ..................... 243,600 18,800 oPAXAR CORP .............................. 354,850 6,900 oPERCEPTRON INC .......................... 187,162 8,700 PITNEY BOWES, INC ....................... 604,650 35,000 oQUANTUM CORP ............................ 710,937 15,660 oSCI SYSTEMS, INC ........................ 998,325 113,000 oSEAGATE TECHNOLOGY, INC ................. 3,976,187 4,500 oSEQUENT COMPUTER SYSTEMS, INC ........... 94,781 95,900 oSILICON GRAPHICS, INC ................... 1,438,500 23,900 oSOLECTRON CORP .......................... 1,674,493 192,450 oSUN MICROSYSTEMS, INC ................... 7,162,748 19,500 oU.S. OFFICE PRODUCTS CO ................. 595,968 48,400 oUNISYS CORP ............................. 369,050 45,000 oVIKING OFFICE PRODUCTS, INC ............. 855,000 21,780 oWANG LABORATORIES, INC .................. 464,186 42,550 XEROX CORP .............................. 3,356,131 ----------- 78,263,575 ----------- PAPER--0.14% 24,900 BEMIS, INC .............................. 1,076,925 12,700 CARAUSTAR INDUSTRIES, INC ............... 439,737 20,850 oFORT HOWARD CORP ........................ 1,055,531 8,700 oJEFFERSON SMURFIT CORP .................. 139,200 16,700 oLYDALL, INC ............................. 352,787 14,100 oSHOREWOOD PACKAGING CORP ................ 320,775 34,245 SONOCO PRODUCTS CO ...................... 1,042,332 29,900 UNISOURCE WORLDWIDE, INC ................ 478,400 16,750 WAUSAU PAPER MILLS CO ................... 316,156 ----------- 5,221,843 ----------- PETROLEUM--EXPLORATION & PRODUCTION--1.31% 28,200 ANADARKO PETROLEUM CORP ................. 1,692,000 1,011,200 APACHE CORP ............................. 32,864,000 19,700 oBARNETT RESOURCES CORP .................. 589,768 20,300 oBENTON OIL & GAS CO ..................... 304,500 2,900 BURLINGTON RESOURCES, INC ............... 127,962 21,700 CHESAPEAKE ENERGY CORP .................. 212,931 4,500 DEVON ENERGY CORP ....................... 165,375 31,100 ENRON OIL & GAS CO ...................... 563,687 18,800 oEVI, INC ................................ 789,600 15,000 KCS ENERGY, INC ......................... 305,625 14,000 LOMAK PETROLEUM, INC .................... 249,375 13,800 LOUISIANA LAND & EXPLORATION CO ......... 788,325 25,100 oNEWFIELD EXPLORATION CO ................. 502,000 25,400 NOBLE AFFILIATES, INC ................... 982,662 5,900 oNUEVO ENERGY CO ......................... 241,900 8,400 oOCEAN ENERGY, INC ....................... 388,500 51,800 oORYX ENERGY CO .......................... 1,094,275 18,700 POGO PRODUCING CO ....................... 723,456 14,248 oSEAGULL ENERGY CORP ..................... 249,340 9,500 oSTONE ENERGY CORP ....................... 260,062 10,650 oSWIFT ENERGY CO ......................... 254,268 8,400 oTEJAS GAS CORP .......................... 329,700 129,389 UNION PACIFIC RESOURCES GROUP, INC ...... 3,218,551 17,100 UNION TEXAS PETROLEUM HOLDINGS, INC .......................... 358,031 18,600 oUNITED MERIDIAN CORP ................... 558,000 ----------- 47,813,893 ----------- PETROLEUM--INTEGRATED--0.07% 48,400 PHILLIPS PETROLEUM CO ................... 2,117,500 9,533 UNOCAL CORP ............................. 369,999 ----------- 2,487,499 ----------- PETROLEUM--SERVICE--0.87% 57,300 BAKER HUGHES, INC ....................... 2,216,793 7,400 oBJ SERVICES CO .......................... 396,825 4,400 CABOT CORP .............................. 124,850 21,850 CROSS TIMBERS OIL CO .................... 420,612 63,500 oDIAMOND OFFSHORE DRILLING, INC .......... 4,960,937 31,800 DRESSER INDUSTRIES, INC ................. 1,184,550 37,900 oENSCO INTERNATIONAL, INC ................ 1,999,225 44,300 FLUOR CORP .............................. 2,444,806 7,400 oGASONICS INTERNATIONAL CORP ............. 100,825 19,660 oGLOBAL INDUSTRIES LTD ................... 459,245 64,700 oGLOBAL MARINE, INC ...................... 1,504,275 62,451 HALLIBURTON CO .......................... 4,949,241 25,240 oMARINE DRILLING CO, INC ................. 495,335 29,400 oNABORS INDUSTRIES, INC .................. 735,000 20,400 oNOBLE DRILLING CORP ..................... 460,275 18,100 oOCEANEERING INTERNATIONAL, INC .......... 334,850 28,400 oPRIDE INTERNATIONAL INC ................. 681,600 36,200 oREADING & BATES CORP .................... 968,350 22,600 oSMITH INTERNATIONAL, INC ................ 1,372,950 31,700 TIDEWATER, INC .......................... 1,394,800 48,500 TOSCO CORP .............................. 1,451,968 17,400 TRANSOCEAN OFFSHORE, INC (U.S.) ......... 1,263,675 9,000 VASTAR RESOURCES, INC ................... 315,562 17,100 oWEATHERFORD ENTERRA, INC ................ 658,350 13,800 oWESTERN ATLAS, INC ...................... 1,010,850 ----------- 31,905,749 ----------- PHOTOGRAPHY--0.27% 116,800 EASTMAN KODAK CO ........................ 8,964,400 5,000 oPHOTRONICS, INC ......................... 238,750 6,400 oPRESSTEK, INC ........................... 555,200 ----------- 9,758,350 ----------- See notes to financial statements. -56- GROWTH ACCOUNT (CONTINUED) SHARES VALUE ------ ----- PROPERTY--REAL ESTATE--0.06% 12,600 KIMCO REALTY CORP ....................... $ 400,050 15,200 VORNADO REALTY TRUST .................... 1,096,300 20,300 WASHINGTON REAL ESTATE INVESTMENT TRUST ....................... 360,325 9,300 WEINGARTEN REALTY INVESTORS, INC ........ 392,925 ----------- 2,249,600 ----------- PUBLISHING--NEWSPAPER--0.32% 43,400 oAMERICAN MEDIA, INC (CLASS A) ........... 303,800 22,400 BELO (A.H.) CORP SERIES A ............... 932,400 3,200 DOW JONES & CO, INC ..................... 128,600 10,400 oEXPRESS SCRIPTS, INC .................... 434,200 43,100 GANNETT CO, INC ......................... 4,256,125 16,150 NEW YORK TIMES CO (CLASS A) ............. 799,425 6,525 NEWS CORP LTD ADR (LTD-VTG) ............. 101,953 37,400 TIMES MIRROR CO (SERIES A) .............. 2,066,350 50,200 TRIBUNE CO .............................. 2,412,737 500 WASHINGTON POST CO (CLASS B) ............ 199,000 ----------- 11,634,590 ----------- PUBLISHING--OTHER--0.58% 2,800 DONNELLEY (R.R.) & SONS CO .............. 102,550 41,300 DUN & BRADSTREET CORP ................... 1,084,125 27,150 HARCOURT GENERAL, INC ................... 1,293,018 4,400 HOUGHTON MIFFLIN CO ..................... 293,700 72,000 oK-III COMMUNICATIONS CORP ............... 864,000 24,600 LEE ENTERPRISES, INC .................... 648,825 13,100 XoMARVEL ENTERTAINMENT GROUP, INC ........ 31,112 18,600 MCGRAW HILL COS, INC .................... 1,093,912 25,700 MEREDITH CORP ........................... 745,300 16,300 oPLAYBOY ENTERPRISES, INC (CLASS B) ...... 188,468 40,000 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VTG) ..................... 1,147,500 43,200 oSCHOLASTIC CORP ......................... 1,512,000 9,500 THOMAS NELSON, INC ...................... 131,812 243,090 TIME WARNER, INC ........................ 11,729,092 10,000 WILEY (JOHN) & SONS, INC (CLASS A) ...... 338,750 ----------- 21,204,164 ----------- RAILROAD--0.09% 10,500 BURLINGTON NORTHERN SANTA FE CORP ....... 943,687 29,750 ILLINOIS CENTRAL CORP SERIES A .......... 1,039,390 3,900 KANSAS CITY SOUTHERN INDUSTRIES, INC .... 251,550 4 UNION PACIFIC CORP ...................... 282 28,650 oWISCONSIN CENTRAL TRANSIT CORP ......... 1,067,212 ----------- 3,302,121 ----------- RESTAURANTS & HOTELS--2.67% 17,200 APPLE SOUTH, INC ........................ 262,300 19,340 oAPPLEBEES INTERNATIONAL, INC ............ 517,345 29,350 oBOSTON CHICKEN, INC ..................... 410,900 19,700 oBUFFETS, INC ............................ 166,218 21,500 oCHOICE HOTELS INTERNATIONAL, INC ........ 364,156 20,500 CKE RESTAURANTS, INC .................... 648,312 33,320 CRACKER BARREL OLD COUNTRY STORE, INC ............................. 882,980 10,300 DARDEN RESTAURANTS, INC ................. 93,343 27,200 oFOODMAKER, INC .......................... 445,400 72,300 oHFS, INC ................................ 4,193,400 99,200 HILTON HOTELS CORP ...................... 2,635,000 9,400 oHOST MARRIOTT CORP ...................... 167,437 22,680 oHOST MARRIOTT SERVICES CORP ............. 266,490 7,100 oIHOP CORP ............................... 220,100 43,800 oITT CORP ................................ 2,674,537 37,000 LA QUINTA INNS, INC ..................... 809,375 12,000 oLANDRYS SEAFOOD RESTAURANTS, INC ........ 276,000 17,050 oLONE STAR STEAKHOUSE & SALOON, INC ...... 443,300 8,700 LUBYS CAFETERIA, INC .................... 173,456 54,100 MARRIOTT INTERNATIONAL, INC ............. 3,320,387 360,150 MCDONALDS CORP .......................... 17,399,746 9,000 oMGM GRAND, INC .......................... 333,000 1,325 MORRISON FRESH COOKING, INC ............. 6,128 25,500 oOUTBACK STEAKHOUSE, INC ................. 616,781 10,230 oPAPA JOHNS INTERNATIONAL, INC ........... 375,952 18,800 oPRIME HOSPITALITY CORP .................. 371,300 29,300 oPROMUS HOTEL CORP ....................... 1,135,375 8,400 oRAINFOREST CAFE, INC .................... 213,150 2,950 oRUBY TUESDAY, INC ....................... 66,190 11,300 oSONIC CORP .............................. 248,600 92,600 SYSCO CORP .............................. 3,379,900 2,102,600 WENDYS INTERNATIONAL, INC ............... 54,536,187 ----------- 97,652,745 ----------- RETAIL--FOOD--0.45% 114,500 ALBERTSONS, INC ......................... 4,179,250 46,380 FOOD LION, INC (CLASS B) ................ 333,356 11,200 HANNAFORD BROTHERS, INC ................. 398,300 113,300 oKROGER CO ............................... 3,285,700 117,600 oSAFEWAY, INC ............................ 5,424,300 49,000 oSOUTHLAND CORP .......................... 163,843 41,900 oSTARBUCKS CORP .......................... 1,631,481 24,500 WINN DIXIE STORES, INC .................. 912,625 ----------- 16,328,855 ----------- RETAIL--GENERAL MERCHANDISE--4.51% 79,500 oAUTOZONE, INC ........................... 1,873,218 13,700 oBARNES & NOBLE, INC ..................... 589,100 23,960 oBED BATH & BEYOND, INC .................. 727,785 9,600 oBEST BUY, INC ........................... 142,800 10,000 oBOMBAY, INC ............................. 50,000 20,300 oBORDERS GROUP, INC ...................... 489,737 21,800 CASEYS GENERAL STORES, INC .............. 469,381 680,800 CIRCUIT CITY STORES-CIRCUIT CITY GROUP ............................. 24,210,950 26,000 CLAIRES STORES, INC ..................... 455,000 14,300 oCML GROUP, INC .......................... 25,918 10,200 oCOLE NATIONAL CORP (CLASS A) ............ 448,800 46,218 oCONSOLIDATED STORES CORP ................ 1,606,075 43,700 oCOSTCO CO, INC .......................... 1,436,637 207,023 oCUC INTERNATIONAL, INC .................. 5,343,781 16,820 oCVS CORP ................................ 862,025 11,100 DAYTON HUDSON CORP ...................... 590,381 10,600 oDEPARTMENT 56, INC ...................... 235,187 59,712 DOLLAR GENERAL CORP ..................... 2,239,200 7,300 FAMILY DOLLAR STORES, INC ............... 198,925 35,368 oFEDERATED DEPARTMENT STORES, INC ........ 1,229,038 110,500 GAP, INC ................................ 4,295,687 11,600 oGARDEN RIDGE CORP ....................... 145,000 6,000 oGLOBAL DIRECTMAIL CORP .................. 156,375 15,500 oGYMBOREE CORP ........................... 372,000 9,600 HEILIG MEYERS CO ........................ 188,400 263,350 HOME DEPOT, INC ......................... 18,154,690 20,565 oHSN, INC ................................ 642,656 21,600 oJONES APPAREL GROUP, INC ................ 1,031,400 29,400 oKOHLS CORP .............................. 1,556,362 7,200 oLANDS END, INC .......................... 213,300 22,190 LIMITED, INC ............................ 449,347 77,400 LOWES COS, INC .......................... 2,873,475 8,400 oMENS WAREHOUSE, INC ..................... 264,600 5,400 oMOVIE GALLERY, INC ...................... 34,425 11,300 oNEIMAN-MARCUS GROUP, INC ................ 296,625 See notes to financial statements. -57- GROWTH ACCOUNT (CONTINUED) SHARES VALUE ------ ----- RETAIL--GENERAL MERCHANDISE --(CONTINUED) 12,800 NORDSTROM, INC .......................... $ 628,000 55,300 oOFFICEMAX, INC .......................... 798,393 16,280 oPAYLESS SHOESOURCE, INC ................. 890,312 9,469 PENNEY, (J.C.) CO, INC .................. 494,163 33,000 PEP BOYS MANNY, MOE, & JACK CO .......... 1,124,062 11,600 oPETCO ANIMAL SUPPLIES, INC .............. 348,000 58,740 oPETSMART, INC ........................... 675,510 16,300 PIER 1 IMPORTS, INC ..................... 431,950 8,300 oPROFFITTS, INC .......................... 364,162 11,800 REGIS CORP .............................. 278,775 7,500 oREXALL SUNDOWN, INC ..................... 292,500 14,400 ROSS STORES, INC ........................ 470,700 37,500 ROUSE CO ................................ 1,106,250 165,500 SEARS ROEBUCK & CO ...................... 8,895,625 33,200 SOTHEBYS HOLDINGS, INC (CLASS A) ........ 560,250 84,940 oSTAPLES, INC ............................ 1,974,855 26,450 oSUNGLASS HUT INTERNATIONAL, INC ......... 166,965 7,000 TALBOTS, INC ............................ 238,000 12,800 TANDY CORP .............................. 716,800 19,450 oTHE SPORTS AUTHORITY, INC ............... 378,059 17,200 TIFFANY & CO ............................ 794,425 95,800 TJX COS, INC ............................ 2,526,725 24,600 oTOPPS, INC .............................. 103,012 16,185 oTOYS R US, INC .......................... 566,475 1,737,200 WAL-MART STORES, INC .................... 58,739,075 131,100 WALGREEN CO ............................. 7,030,237 12,000 oWILLIAMS-SONOMA, INC .................... 513,000 ----------- 165,004,560 ----------- TEXTILE & APPAREL--1.03% 4,800 oANN TAYLOR STORES CORP .................. 93,600 10,000 oDONNKENNY, INC .......................... 38,750 6,600 oFRUIT OF THE LOOM, INC (CLASS A) ........ 204,600 14,550 G & K SERVICES, INC (CLASS A) ........... 541,987 11,950 oJUST FOR FEET, INC ...................... 208,378 2,900 LIZ CLAIBORNE, INC ...................... 135,212 23,700 oNAUTICA ENTERPRISES, INC ................ 626,568 68,700 NIKE, INC (CLASS B) ..................... 4,010,362 14,200 oNINE WEST GROUP, INC .................... 542,262 10,950 ST. JOHN KNITS, INC ..................... 591,300 20,200 UNIFI, INC .............................. 754,975 10,900 oURBAN OUTFITTERS, INC ................... 152,600 27,700 WARNACO GROUP, INC (CLASS A) ............ 882,937 718,200 oWESTPOINT STEVENS, INC .................. 28,099,575 27,650 WOLVERINE WORLD WIDE, INC ............... 839,868 ----------- 37,722,974 ----------- TOBACCO--3.56% 22,700 DIMON, INC .............................. 601,550 2,839,400 PHILIP MORRIS COS, INC .................. 125,998,375 17,150 RJR NABISCO HOLDINGS CORP ............... 565,950 12,360 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ..................... 463,500 4,400 UNIVERSAL CORP .......................... 139,700 95,400 UST, INC ................................ 2,647,350 ----------- 130,416,425 ----------- TRUCKERS & SHIPPING--0.02% 12,600 oAMERICAN FREIGHTWAYS CORP ............... 196,875 7,528 oHALTER MARINE GROUP, INC ................ 180,672 12,800 oSWIFT TRANSPORTATION CO, INC ............ 377,600 ------------ 755,147 ------------ UTILITIES--ELECTRIC--0.26% 129,450 oAES CORP ................................ 9,158,587 4,500 OTTER TAIL POWER CO ..................... 148,500 17,400 oTUCSON ELECTRIC POWER CO ................ 252,300 ------------ 9,559,387 ------------ UTILITIES--GAS & PIPELINE--0.27% 42,800 oAMERICAN STANDARD COS, INC .............. 1,915,300 11,140 oBLACK BOX CORP .......................... 448,385 19,700 oCALENERGY, INC .......................... 748,600 6,900 COASTAL CORP ............................ 366,993 1 EL PASO NATURAL GAS CO .................. 55 104,000 ENRON CORP .............................. 4,244,500 8,500 ENSERCH CORP ............................ 189,125 11,400 oIONICS, INC ............................. 518,700 44,300 NGC CORP ................................ 683,881 2,800 SONAT, INC .............................. 143,500 14,600 oTRIARC COS, INC ......................... 297,475 6,400 WILLIAMS COS, INC ....................... 280,000 ----------- 9,836,514 ----------- UTILITIES--TELEPHONE--4.27% 8,150 oADTRAN, INC ............................. 201,712 11,900 ALIANT COMMUNICATIONS, INC .............. 232,050 5,700 ALLTEL CORP ............................. 190,593 28,700 AMERITECH CORP .......................... 1,949,806 576,200 AT & T CORP ............................. 20,203,012 3,800 oC-TEC CORP .............................. 132,525 75,500 CINCINNATI BELL, INC .................... 2,378,250 10,800 oCOMMNET CELLULAR, INC ................... 375,300 10,800 oCORECOMM, INC ........................... 186,300 67,000 FRONTIER CORP ........................... 1,335,812 30,950 oGLENAYRE TECHNOLOGIES, INC .............. 506,806 170,300 GTE CORP ................................ 7,471,912 22,400 MCI COMMUNICATIONS CORP ................. 857,500 21,700 oMOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP ..................... 310,581 12,250 oPRICELLULAR CORP (CLASS A) .............. 110,250 596,828 SBC COMMUNICATIONS, INC ................. 36,928,732 15,669 TELEPHONE & DATA SYSTEMS, INC ........... 594,442 14,400 oU.S. LONG DISTANCE CORP ................. 248,400 2,565,840 oWORLDCOM, INC ........................... 82,106,880 ------------ 156,320,863 ------------ TOTAL COMMON STOCK (COST $2,721,726,625) .................... 3,506,382,654 ------------- See notes to financial statements. -58- GROWTH ACCOUNT (CONTINUED) PRINCIPAL VALUE --------- ----- SHORT TERM INVESTMENTS--4.33% COMMERCIAL PAPER--0.40% *FORD MOTOR CREDIT CO $ 5,000,000 5.350%, 07/28/97 ............... $ 4,978,300 #MCI COMMUNICATIONS CORP 4,695,000 5.500%, 08/11/97 ............... 4,664,435 *SCHERING CORP 5,000,000 5.340%, 07/22/97 ............... 4,982,950 ----------- 14,625,685 ----------- U.S. GOVERNMENT & AGENCIES--3.93% FEDERAL FARM CREDIT BANKS 23,700,000 5.400%, 07/07/97 ............... 23,674,885 18,200,000 5.410%, 10/14/97 ............... 17,907,940 FEDERAL HOME LOAN MORTGAGE CORP 528,000 5.500%, 07/25/97 ............... 526,001 FEDERAL NATIONAL MORTGAGE ASSOCIATION 31,410,000 5.400%, 07/24/97 ............... 31,295,878 11,460,000 5.510%, 08/04/97 ............... 11,399,278 20,000,000 * 5.480%, 09/04/97 ............... 19,800,166 40,000,000 5.600%, 11/05/97 ............... 39,224,888 ----------- 143,829,036 ----------- TOTAL SHORT TERM INVESTMENTS (COST $158,453,536)...... ........... 158,454,721 ----------- ROUNDING............................ 247 ----------- TOTAL PORTFOLIO (COST $2,880,426,061) .............$3,665,187,208 ============== - --------------- o Non-income producing x In bankruptcy * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. # Commercial Paper issued under the Private Placement exemption under 4 (2) of the Securities Act of 1993, as amended. ~ Restricted Securities--Investment in securities not registered under the Securities Act of 1933 or not publicly traded in foreign markets. At 06/30/97, the value of these securities amounted to $4,838,680 or 0.13% of net assets. Additional information on each holding is as follows: ACQUISITION ACQUISITION SECURITY DATE COST -------- ----------- ----------- MARTEK BIOSCIENCES CORP 05/22/95 $4,746,750 MARTEK BIOSCIENCES CORP WTS 05/18/98 05/22/95 91,930 --------- $4,838,680 ========= See notes to financial statements. -59- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (UNAUDITED) JUNE 30, 1997 SUMMARY BY INDUSTRY VALUE % ----- ----- BONDS CORPORATE BONDS BROADCASTERS ............................. $ 7,760 0.00% ENVIRONMENTAL CONTROL .................... 13,090 0.00 ------------ ------- TOTAL CORPORATE BONDS (COST $15,239) ........................... 20,850 0.00 ------------ ------- TOTAL BONDS (COST $15,239) ........................... 20,850 0.00 ------------ ------- PREFERRED STOCK BUSINESS SERVICES ........................ 25,385 0.00 HEALTHCARE--SERVICE ...................... 124,287 0.01 ------------ ------- TOTAL PREFERRED STOCK (COST $116,703) ........................... 149,672 0.01 ------------ ------- COMMON STOCK AEROSPACE ................................ 17,496,994 1.25 AIR TRANSPORTATION ....................... 7,544,257 0.54 AUTOMOTIVE & RELATED ..................... 31,338,285 2.23 BANKS .................................... 122,404,799 8.73 BEVERAGES ................................ 44,802,136 3.20 BROADCASTERS ............................. 8,359,268 0.60 BUSINESS SERVICES ........................ 19,322,871 1.38 CHEMICALS--MAJOR ......................... 30,190,031 2.15 CHEMICALS--SPECIALTY ..................... 11,149,883 0.80 COMMUNICATION EQUIPMENT & SERVICES ....... 34,661,304 2.47 COMPUTER SERVICE ......................... 55,970,297 3.99 CONGLOMERATES ............................ 28,380,319 2.02 CONSTRUCTION--MATERIALS & BUILDERS ....... 8,905,949 0.63 CONTAINERS ............................... 1,792,663 0.13 COSMETICS ................................ 12,068,122 0.86 ELECTRICAL EQUIPMENT ..................... 48,876,614 3.49 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED ................. 50,468,821 3.60 ELECTRICAL EQUIPMENT--INSTRUMENTS ........ 6,560,993 0.47 ENVIRONMENTAL CONTROL .................... 6,940,966 0.50 FINANCIAL--MISCELLANEOUS ................. 61,124,618 4.36 FOODS .................................... 29,339,442 2.09 FOREST PRODUCTS .......................... 5,973,336 0.43 HEALTHCARE--DRUGS ........................ 92,939,462 6.63 HEALTHCARE--HOSPITAL SUPPLY .............. 16,370,343 1.17 HEALTHCARE--OTHER ........................ 26,689,517 1.90 HEALTHCARE--SERVICE ...................... 24,105,035 1.72 HOUSEHOLD--CONSUMER ELECTRONICS .......... 188,881 0.01 HOUSEHOLD--DURABLE GOODS ................. 5,189,886 0.37 HOUSEHOLD--PRODUCTS ...................... 29,091,244 2.07 INSURANCE--BROKERS & OTHER ............... 4,383,312 0.31 INSURANCE--LIFE .......................... 10,707,244 0.76 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY .................... 45,729,377 3.26 LEISURE TIME ............................. 17,350,208 1.24 MACHINERY ................................ 21,479,010 1.53 METALS--ALUMINUM ......................... 3,519,312 0.25 METALS--GOLD ............................. 3,021,933 0.22 METALS--NON-FERROUS ...................... 3,344,240 0.24 METALS--STEEL ............................ 4,320,062 0.31 MISCELLANEOUS MATERIALS & COMMODITIES ............................ 173,683 0.01 OFFICE EQUIPMENT ......................... 51,382,842 3.67 PAPER .................................... 9,096,228 0.65 PETROLEUM-- EXPLORATION & PRODUCTION ............... 10,869,053 0.78 PETROLEUM--INTEGRATED .................... 68,810,778 4.91 PETROLEUM--SERVICE ....................... 14,183,092 1.01 PHOTOGRAPHY .............................. 5,059,025 0.36 PROPERTY--REAL ESTATE .................... 2,827,641 0.20 PUBLISHING--NEWSPAPER .................... 7,434,007 0.53 PUBLISHING--OTHER ........................ 9,286,454 0.66 RAILROAD ................................. 10,268,586 0.73 RESTAURANTS & HOTELS ..................... 17,470,715 1.25 RETAIL--FOOD ............................. 8,873,124 0.63 RETAIL--GENERAL MERCHANDISE .............. 54,525,513 3.89 TEXTILE & APPAREL ........................ 6,638,735 0.47 TOBACCO .................................. 23,729,507 1.69 TRUCKERS & SHIPPING ...................... 2,572,443 0.18 UTILITIES--ELECTRIC ...................... 45,456,878 3.24 UTILITIES--GAS & PIPELINE ................ 15,404,147 1.10 UTILITIES--OTHER ......................... 118,575 0.01 UTILITIES--TELEPHONE ..................... 74,120,687 5.29 ------------- ------- TOTAL COMMON STOCK (COST $1,070,624,133) ..................... 1,390,402,747 99.17 ------------- ------- SHORT TERM INVESTMENTS U.S. GOVERNMENT & AGENCIES ............... 14,506,195 1.03 ------------- ------- TOTAL SHORT TERM INVESTMENTS (COST $14,508,166) ........................ 14,506,195 1.03 ------------- ------- ROUNDING ................................ 384 0.00 ------------- ------- TOTAL PORTFOLIO (COST $1,085,264,241) ..................... 1,405,079,848 100.21 OTHER ASSETS & LIABILITIES, NET ......... (2,894,419) (0.21) ------------- ------- NET ASSETS ................................. $1,402,185,429 100.00% ============== ======= See notes to financial statements. -60- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (UNAUDITED) JUNE 30, 1997 PRINCIPAL VALUE - --------- ------ BONDS--0.00% CORPORATE BONDS--0.00% BROADCASTERS--0.00% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) $ 8,000 8.000%, 07/07/06 $ 7,760 ------------ ENVIRONMENTAL CONTROL--0.00% WMX TECHNOLOGIES, INC (SUBORDINATED CV NOTES) 14,000 2.000%, 01/24/05 13,090 ------------ TOTAL CORPORATE BONDS (COST $15,239) 20,850 ------------ TOTAL BONDS (COST $15,239) .......... 20,850 ------------ SHARES ------ PREFERRED STOCK--0.01% BUSINESS SERVICES--0.00% 1,122 oPREMIER FARNELL PLC CV ADR 25,385 ------------ HEALTHCARE--SERVICE--0.01% 1,273 AETNA, INC 6.25% (CLASS C) 119,343 11,200 oFRESENIUS MEDICAL CARE (CLASS D) 644 160 PACIFICARE HEALTH SYSTEMS CV SERIES A 4,300 ------------ 124,287 ------------ TOTAL PREFERRED STOCK (COST $116,703) ......... 149,672 ------------ COMMON STOCK--99.17% AEROSPACE--1.25% 5,100 AAR CORP ................................ 164,793 2,900 oALLIANT TECHSYSTEMS, INC ................ 159,500 121,696 BOEING CO ............................... 6,457,494 10,100 EG & G, INC ............................. 227,250 9,000 GENERAL DYNAMICS CORP ................... 675,000 20,000 GENERAL MOTORS CORP (CLASS H) ........... 1,155,000 8,200 oHEXCEL CORP ............................. 141,450 28,376 LOCKHEED MARTIN CORP .................... 2,938,689 26,300 MCDONNELL DOUGLAS CORP .................. 1,801,550 8,800 NORTHROP GRUMMAN CORP ................... 772,750 3,100 oOEA, INC ................................ 122,450 7,800 oORBITAL SCIENCES CORP ................... 123,825 4,600 PRECISION CAST PARTS CORP ............... 274,275 750 PRIMEX TECHNOLOGIES, INC ................ 16,031 41,800 RAYTHEON CO ............................. 2,131,800 5,800 oROHR, INC ............................... 127,237 7,700 oWYMAN-GORDON CO ......................... 207,900 ------------ 17,496,994 ------------ AIR TRANSPORTATION--0.54% 7,100 AIR EXPRESS INTERNATIONAL CORP .......... 282,225 4,400 AIRBORNE FREIGHT CORP ................... 184,250 11,400 oAMERICA WEST HOLDINGS CORP (CLASS B) ......................... 165,300 15,400 oAMR CORP ................................ 1,424,500 4,600 ASA HOLDINGS, INC ....................... 131,675 2,500 oATLAS AIR, INC .......................... 86,250 4,700 oBE AEROSPACE, INC ....................... 148,637 8,925 COMAIR HOLDINGS, INC .................... 247,110 6,300 oCONTINENTAL AIRLINES, INC (CLASS B) ..... 220,106 12,800 DELTA AIRLINES, INC ..................... 1,049,600 5,900 EXPEDITORS INTERNATIONAL OF WASHINGTON .......................... 167,412 20,500 oFEDERAL EXPRESS CORP .................... 1,183,875 1,000 oMESA AIR GROUP, INC ..................... 5,375 12,900 oNORTHWEST AIRLINES CORP (CLASS A) ....... 469,237 400 SKYWEST, INC ............................ 6,250 26,000 SOUTHWEST AIRLINES CO ................... 672,750 1,500 oTRANS WORLD AIRLINES, INC ............... 13,125 9,800 oUAL CORP ................................ 701,312 10,100 oUS AIRWAYS GROUP, INC ................... 353,500 4,600 oVALUJET, INC ............................ 31,768 ------------ 7,544,257 ----------- AUTOMOTIVE & RELATED--2.23% 5,600 oALLEN TELECOM, INC ...................... 116,200 8,200 oAMERICREDIT CORP ........................ 172,200 9,800 APOGEE ENTERPRISES, INC ................. 210,700 5,600 ARVIN INDUSTRIES, INC ................... 152,600 17,899 oAUTOLIV, INC ............................ 700,298 4,600 BANDAG, INC ............................. 225,400 5,400 BORG-WARNER AUTOMOTIVE, INC ............. 291,937 2,600 BREED TECHNOLOGIES, INC ................. 59,800 104,662 CHRYSLER CORP ........................... 3,434,221 12,300 COOPER TIRE & RUBBER CO ................. 270,600 6,500 CUMMINS ENGINE CO, INC .................. 458,656 17,900 DANA CORP ............................... 680,200 6,000 DANAHER CORP ............................ 304,875 5,100 oDETROIT DIESEL CORP ..................... 122,081 4,300 DONALDSON CO, INC ....................... 163,400 11,500 EATON CORP .............................. 1,004,093 10,200 ECHLIN, INC ............................. 367,200 4,600 EXIDE CORP .............................. 100,912 6,900 FEDERAL-MOGUL CORP ...................... 241,500 4,500 oFOAMEX INTERNATIONAL, INC ............... 59,062 207,900 FORD MOTOR CO ........................... 7,848,225 5,700 GENCORP, INC ............................ 131,812 131,800 GENERAL MOTORS CORP ..................... 7,339,612 30,000 GENUINE PARTS CO ........................ 1,016,250 26,200 GOODYEAR TIRE & RUBBER CO ............... 1,658,787 3,700 GRACO, INC .............................. 111,462 12,900 HARLEY DAVIDSON, INC .................... 618,393 560 oHAYES WHEELS INTERNATIONAL, INC ......... 17,780 5,200 oKIRBY CORP .............................. 94,900 11,300 oLEAR CORP ............................... 501,437 5,100 MODINE MANUFACTURING CO ................. 151,725 15,500 oNAVISTAR INTERNATIONAL CORP ............. 267,375 11,200 PACCAR, INC ............................. 520,100 8,600 POLARIS INDUSTRIES, INC ................. 280,037 4,000 oRENTERS CHOICE, INC ..................... 79,500 5,500 oSAFESKIN CORP ........................... 161,906 13,700 SAFETY-KLEEN CORP ....................... 231,187 5,900 SMITH (A.O.) CORP ....................... 209,818 11,450 SNAP-ON, INC ............................ 450,843 2,600 SPX CORP ................................ 168,512 500 STANDARD PRODUCTS CO .................... 12,625 See notes to financial statements. -61- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- AUTOMOTIVE & RELATED-(CONTINUED) 3,900 SUPERIOR INDUSTRIES INTERNATIONAL, INC ..................... $ 103,350 1,800 oTBC CORP ................................ 15,075 3,100 oTOWER AUTOMOTIVE, INC ................... 133,300 675 TRANSPRO, INC ........................... 5,864 2,600 WABASH NATIONAL CORP .................... 72,475 ------------ 31,338,285 ------------ BANKS--8.73% 3,900 ALBANK FINANCIAL CORP ................... 154,050 16,200 AMSOUTH BANCORP ......................... 612,562 4,080 ASSOCIATED BANC-CORP .................... 161,160 101,928 BANC ONE CORP ........................... 4,937,137 67,000 BANK OF NEW YORK CO, INC ................ 2,914,500 126,300 BANKAMERICA CORP ........................ 8,154,243 25,974 BANKBOSTON CORP ......................... 1,871,751 14,000 BANKERS TRUST NEW YORK CORP ............. 1,218,000 31,900 BARNETT BANKS, INC ...................... 1,674,750 19,764 BB&T CORPORATION ........................ 889,380 470 oCALIFORNIA FEDERAL BANK GOODWILL CERT .......................... 7,285 1,808 CAPITAL ONE FINANCIAL CORP .............. 68,252 4,100 CCB FINANCIAL CORP ...................... 299,812 12,250 CENTRAL FIDELITY BANKS, INC ............. 434,875 7,700 CENTURA BANKS, INC ...................... 353,237 8,825 CHARTER ONE FINANCIAL, INC .............. 475,446 76,058 CHASE MANHATTAN CORP NEW ................ 7,382,379 83,621 CITICORP CO ............................. 10,081,556 3,800 CITIZENS BANKING CORP (MICHIGAN) ........ 130,150 9,300 CITY NATIONAL CORP ...................... 223,781 9,000 COLONIAL BANCGROUP, INC ................. 218,250 18,400 COMERICA, INC ........................... 1,251,200 3,800 COMMERCE BANCORP, INC ................... 147,250 9,419 COMMERCE BANCSHARES, INC ................ 426,209 5,900 COMMUNITY FIRST BANKSHARES, INC ......... 226,412 13,650 COMPASS BANCSHARES, INC ................. 458,981 35,909 CORESTATES FINANCIAL CORP ............... 1,930,108 15,309 CRESTAR FINANCIAL CORP .................. 595,137 9,500 CULLEN FROST BANKERS, INC ............... 402,562 6,500 DAUPHIN DEPOSIT CORP .................... 289,656 9,900 DEPOSIT GUARANTY CORP ................... 311,850 15,800 DIME BANCORP, INC ....................... 276,500 14,700 FIFTH THIRD BANCORP ..................... 1,206,318 12,600 FIRST AMERICAN CORP ..................... 483,525 22,554 FIRST BANK SYSTEM, INC .................. 1,925,547 54,855 FIRST CHICAGO NBD CORP .................. 3,318,727 9,565 FIRST COMMERCE CORP ..................... 420,860 4,516 FIRST COMMERCIAL CORP ................... 185,720 8,300 FIRST HAWAIIAN, INC ..................... 283,237 10,220 FIRST MICHIGAN BANK CORP ................ 309,155 3,300 FIRST MIDWEST BANCORP, INC .............. 104,568 16,489 FIRST OF AMERICA BANK CORP .............. 754,371 21,075 FIRST SECURITY CORP ..................... 575,610 12,600 FIRST TENNESSEE NATIONAL CORP ........... 604,800 48,676 FIRST UNION CORP ........................ 4,502,530 6,100 FIRST VIRGINIA BANKS, INC ............... 367,906 22,600 FIRSTAR CORP ............................ 689,300 7,500 FIRSTMERIT CORP ......................... 360,000 45,188 FLEET FINANCIAL GROUP, INC .............. 2,858,141 6,400 GREENPOINT FINANCIAL CORP ............... 426,000 22,519 HIBERNIA CORP (CLASS A) ................. 313,858 7,000 HUBCO, INC .............................. 203,000 27,852 HUNTINGTON BANCSHARES, INC .............. 818,152 4,500 oIMPERIAL BANCORP ........................ 129,937 5,000 oIMPERIAL CREDIT INDUSTRIES, INC ......... 102,812 39,500 KEYCORP ................................. 2,207,062 10,300 LONG ISLAND BANCORP, INC ................ 374,018 2,600 oMAF BANCORP, INC ........................ 108,875 15,600 MAGNA GROUP, INC ........................ 542,100 16,500 MARSHALL & ILSLEY CORP .................. 670,312 44,548 MELLON BANK CORP ........................ 2,010,228 13,399 MERCANTILE BANCORP, INC ................. 813,989 12,070 MERCANTILE BANKSHARES CORP .............. 482,800 34,400 MORGAN (J.P.) & CO, INC ................. 3,590,500 38,892 NATIONAL CITY CORP ...................... 2,041,830 13,800 NATIONAL COMMERCE BANCORP ............... 303,600 135,924 NATIONSBANK CORP ........................ 8,767,098 18,600 NORTH FORK BANCORP, INC ................. 397,575 19,660 NORTHERN TRUST CORP ..................... 951,052 65,048 NORWEST CORP ............................ 3,658,950 10,958 OLD KENT FINANCIAL CORP ................. 591,732 1,142 OLD NATIONAL BANCORP .................... 50,248 5,800 ONBANCORP, INC .......................... 295,800 3,050 ONE VALLEY BANCORP, INC ................. 128,100 10,500 PACIFIC CENTURY FINANCIAL CORP .......... 485,625 7,200 PEOPLES BANK OF BRIDGEPORT CO ........... 186,300 8,800 PEOPLES HERITAGE FINANCIAL GROUP, INC ............................. 333,300 57,480 PNC BANK CORP ........................... 2,392,605 3,200 PROVIDENT FINANCIAL GROUP ............... 136,800 1,000 oQUEENS COUNTY BANCORP, INC .............. 45,500 8,000 RCSB FINANCIAL, INC ..................... 383,000 22,752 REGIONS FINANCIAL CORP .................. 719,532 9,300 REPUBLIC NEW YORK CORP .................. 999,750 7,900 RIGGS NATIONAL CORP ..................... 162,937 10,649 SIGNET BANKING CORP ..................... 383,364 18,100 SOUTHTRUST CORP ......................... 748,887 30,534 SOVEREIGN BANCORP, INC .................. 465,643 14,550 ST. PAUL BANCORP, INC ................... 481,968 15,700 STAR BANC CORP .......................... 663,325 27,700 STATE STREET CORP ....................... 1,281,125 16,902 SUMMIT BANCORP .......................... 847,212 37,600 SUNTRUST BANKS, INC ..................... 2,070,350 3,000 SUSQUEHANNA BANCSHARES, INC ............. 117,750 29,825 SYNOVUS FINANCIAL CORP .................. 822,051 8,400 TRUSTMARK CORP .......................... 235,200 26,366 U.S. BANCORP ............................ 1,690,719 4,700 U.S. TRUST CORP ......................... 221,487 11,989 UNION PLANTERS CORP ..................... 621,929 1,900 UNIONBANCAL CORP ........................ 136,562 4,850 UNITED CAROLINA BANCSHARES CORP ......... 252,200 5,600 UST CORP ................................ 125,300 1,323 VALLEY NATIONAL BANCORP ................. 35,886 28,500 WACHOVIA CORP ........................... 1,661,906 8,795 WASHINGTON FEDERAL, INC ................. 225,921 8,800 WASHINGTON MUTUAL, INC .................. 525,800 15,768 WELLS FARGO & CO ........................ 4,249,476 4,200 WESTAMERICA BANCORP ..................... 319,200 9,100 WILMINGTON TRUST CORP ................... 416,325 12,000 ZIONS BANCORP ........................... 451,500 ----------- 122,404,799 ----------- BEVERAGES--3.20% 81,500 ANHEUSER BUSCH COS, INC ................. 3,417,906 9,000 BROWN FORMAN, INC (CLASS B) ............. 439,312 436,000 COCA COLA CO ............................ 29,430,000 37,200 COCA COLA ENTERPRISES, INC .............. 855,600 9,700 COORS (ADOLPH) CO (CLASS B) ............. 258,262 276,900 PEPSICO, INC ............................ 10,401,056 ----------- 44,802,136 ----------- See notes to financial statements. -62- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- BROADCASTERS--0.60% 5,300 oAMERICAN RADIO SYSTEMS CORP ............. $ 211,337 8,300 oCLEAR CHANNEL COMMUNICATIONS, INC ....... 510,450 2,800 COMCAST CORP (CLASS A) .................. 58,625 39,728 COMCAST CORP SPECIAL (CLASS A) .......... 849,186 5,650 oEVERGREEN MEDIA CORP (CLASS A) .......... 252,131 12,290 GAYLORD ENTERTAINMENT CO ................ 283,438 6,000 HARTE-HANKS COMMUNICATIONS, INC ......... 177,000 11,000 HERITAGE MEDIA CORP (CLASS A) ........... 207,625 4,300 oJACOR COMMUNICATIONS, INC WTS 9/18/01 ... 15,050 5,900 KING WORLD PRODUCTIONS, INC ............. 206,500 39,582 oLIBERTY MEDIA GROUP (CLASS A) ........... 940,072 4,850 oLIN TELEVISION CORP ..................... 214,006 9,700 SCRIPPS (E.W.) CO (CLASS A) ............. 403,762 3,800 TCA CABLE TV, INC ....................... 142,975 14,040 oTCI SATELLITE ENTERTAINMENT (CLASS A) ... 110,565 127,300 oTELE-COMMUNICATIONS, INC (CLASS A) ...... 1,893,587 400 UNITED TELEVISION, INC .................. 39,600 6,460 oVIACOM, INC (CLASS A) ................... 190,166 50,693 oVIACOM, INC (CLASS B) ................... 1,520,790 250 oVIACOM, INC (CLASS B) WTS 07/07/97 ...... 0 150 oVIACOM, INC (CLASS B) WTS 07/07/99 ...... 178 4,100 oWESTWOOD ONE, INC ....................... 132,225 ------------ 8,359,268 ------------ BUSINESS SERVICES--1.38% 10,444 oACCUSTAFF, INC .......................... 247,392 14,766 oACNEILSEN CORP .......................... 289,782 7,700 oADVO, INC ............................... 125,125 5,800 oAFFILIATED COMPUTER SERVICES, INC (CLASS A) ............................... 162,400 1,500 oALLIANCE SEMICONDUCTOR CORP ............. 12,281 4,500 oALTERNATIVE RESOURCES CORP .............. 91,687 18,000 oAMERICA ONLINE, INC ..................... 1,001,250 8,325 oAPOLLO GROUP, INC (CLASS A) ............. 293,456 5,800 oASPEN TECHNOLOGY, INC ................... 218,225 6,200 AUTODESK, INC ........................... 237,537 8,100 BANTA CORP .............................. 219,712 18,400 BLOCK (H&R), INC ........................ 593,400 3,100 oCABLEVISION SYSTEMS CORP (CLASS A) ...... 165,850 4,100 oCATALINA MARKETING CORP ................. 197,312 1,700 CENTRAL PARKING CORP .................... 59,181 6,300 oCHECKPOINT SYSTEMS, INC ................. 101,193 2,300 oCIBER, INC .............................. 78,631 6,100 CINTAS CORP ............................. 419,375 29,600 COGNIZANT CORP .......................... 1,198,800 4,950 oCOMPUTER HORIZONS CORP .................. 169,537 10,000 oCOMPUTERVISION CORP ..................... 46,250 5,850 oCORESTAFF, INC .......................... 157,950 19,590 oCORPORATE EXPRESS, INC .................. 282,830 14,100 oCORRECTIONS CORP OF AMERICA ............. 560,475 4,300 oCREDENCE SYSTEMS CORP ................... 128,731 15,200 DELUXE CORP ............................. 518,700 5,500 oDEVRY, INC .............................. 148,500 2,100 oDIALOGIC CORP ........................... 55,912 12,475 DIEBOLD, INC ............................ 486,525 7,257 oDOUBLETREE CORP ......................... 298,444 1,700 oENCAD, INC .............................. 70,550 3,700 oEQUITY CORP INTERNATIONAL ............... 89,493 7,000 FIRST INDUSTRIAL REALTY TRUST, INC ...... 204,750 5,700 oFORE SYSTEMS, INC ....................... 77,662 4,600 oFRANKLIN COVEY CO ....................... 116,437 3,000 oFRITZ COS, INC .......................... 29,062 8,300 HARLAND (JOHN H.) CO .................... 189,343 1,400 oHCIA, INC ............................... 46,900 1,600 oINFORMATION RESOURCES, INC .............. 22,600 3,000 oINSO CORP ............................... 61,687 5,900 oINTERIM SERVICES, INC ................... 262,550 11,500 INTERPUBLIC GROUP OF COS, INC ........... 705,093 2,000 oITRON, INC .............................. 51,750 7,200 KELLY SERVICES, INC (CLASS A) ........... 225,900 10,300 LIBERTY PROPERTY TRUST CO ............... 256,212 13,000 MANPOWER, INC ........................... 578,500 2,400 oMANUGISTICS GROUP, INC .................. 106,800 6,887 oMCAFEE ASSOCIATES, INC .................. 434,741 900 oMERISEL, INC ............................ 1,800 4,400 oMICRO WAREHOUSE, INC .................... 75,350 2,860 oNATIONAL AUTO CREDIT, INC ............... 25,382 2,800 oNATIONAL INSTRUMENTS CORP ............... 98,700 9,600 NATIONAL SERVICE INDUSTRIES, INC ........ 467,400 3,500 oNU KOTE HOLDING, INC (CLASS A) .......... 8,750 1,400 oODS NETWORKS, INC ....................... 16,625 22,350 oOFFICE DEPOT, INC ....................... 434,428 7,800 oOIS OPTICAL IMAGING SYSTEMS, INC ........ 19,012 11,482 OLSTEN CORP ............................. 223,181 12,100 OMNICOM GROUP, INC ...................... 745,662 15,312 PAYCHEX, INC ............................ 581,856 6,800 PITTSTON BRINKS GROUP CO ................ 204,000 1,392 PREMIER FARNELL PLC ADR ................. 21,924 3,600 oPREPAID LEGAL SERVICES, INC ............. 76,050 2,900 oPRI AUTOMATION, INC ..................... 110,018 4,880 oPURE ATRIA CORP ......................... 68,930 2,100 oQUARTERDECK CORP ........................ 5,315 2,600 oREMEDY CORP ............................. 104,000 10,600 oROBERT HALF INT'L, INC .................. 498,862 6,700 ROLLINS, INC ............................ 134,837 14,300 SENSORMATIC ELECTRONICS CORP ............ 184,112 41,700 SERVICE CORP INT'L ...................... 1,370,887 2,900 STANDARD REGISTER, INC .................. 88,812 7,100 oSUNGARD DATA SYSTEMS, INC ............... 330,150 5,200 oSYLVAN LEARNING SYSTEMS, INC ............ 176,800 3,200 oTHERMOLASE CORP ......................... 45,000 4,100 TOTAL SYSTEM SERVICES, INC .............. 99,681 7,600 oTRACOR, INC ............................. 190,950 6,500 TRUE NORTH COMMUNICATIONS, INC .......... 160,875 5,400 oU.S. CELLULAR CORP ...................... 159,975 6,200 VALSPAR CORP ............................ 183,675 2,900 oWACKENHUT CORRECTIONS CORP .............. 84,462 2,800 WALLACE COMPUTER SERVICES, INC .......... 84,175 3,600 oWIND RIVER SYSTEMS, INC ................. 137,700 500 oWONDERWARE CORP ......................... 7,062 ------------ 19,322,871 ------------ CHEMICALS--MAJOR--2.15% 19,200 AIR PRODUCTS & CHEMICALS, INC ........... 1,560,000 2,900 ARCO CHEMICAL CO ........................ 137,931 5,100 CHEMFIRST, INC .......................... 138,337 40,900 DOW CHEMICAL CO ......................... 3,563,412 196,300 DU PONT (E.I.) DE NEMOURS & CO .......... 12,342,362 13,800 EASTMAN CHEMICAL CO ..................... 876,300 10,400 GOODRICH (B.F.) CO ...................... 450,450 17,700 HERCULES, INC ........................... 847,387 7,168 MISSISSIPPI CHEMICAL CORP ............... 148,736 104,500 MONSANTO CO ............................. 4,500,031 5,800 oOAK TECHNOLOGY, INC ..................... 56,550 9,000 OLIN CORP ............................... 351,562 31,700 PPG INDUSTRIES, INC ..................... 1,842,562 27,500 PRAXAIR, INC ............................ 1,540,000 3,700 oQUINTILES TRANSNATIONAL CORP ............ 257,612 6,900 ROHM & HAAS CO .......................... 621,431 20,300 UNION CARBIDE CORP ...................... 955,368 ----------- 30,190,031 ----------- See notes to financial statements. -63- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- CHEMICALS--SPECIALTY--0.80% 10,600 oAIRGAS, INC ............................. $ 210,012 7,200 ALBEMARLE CORP .......................... 151,650 4,700 BETZDEARBORN, INC ....................... 310,200 9,300 CALGON CARBON CORP ...................... 129,037 2,800 COMMERCIAL METALS CO .................... 90,300 12,400 CROMPTON & KNOWLES CORP ................. 275,900 8,500 oCYTEC INDUSTRIES, INC .................. 317,687 5,100 DEXTER CORP ............................. 163,200 9,600 ECOLAB, INC ............................. 458,400 16,700 ENGELHARD CORP .......................... 349,656 20,300 ETHYL CORP .............................. 187,775 4,400 FERRO CORP .............................. 163,075 6,600 FOSTER WHEELER CORP ..................... 267,300 2,921 FULLER (H.B.) CO ........................ 160,655 7,500 GEON CO ................................. 151,875 5,700 GEORGIA GULF CORP ....................... 165,656 13,100 GRACE (W.R.) & CO ....................... 722,137 10,300 GREAT LAKES CHEMICAL CORP ............... 539,462 10,444 ICN PHARMACEUTICALS, INC ................ 299,612 12,800 IMC GLOBAL, INC ......................... 448,000 5,700 oINTERNATIONAL SPECIALTY PRODUCTS, INC ........................... 80,156 10,100 LAWTER INTERNATIONAL, INC ............... 127,512 9,800 LUBRIZOL CORP ........................... 410,987 8,000 LYONDELL PETROCHEMICAL CO ............... 174,500 6,700 MALLINCKRODT, INC ....................... 254,600 200 oMCWHORTER TECHNOLOGIES, INC ............ 4,775 24,800 MORTON INTERNATIONAL, INC ............... 748,650 5,200 oMYCOGEN CORP ........................... 102,050 11,800 NALCO CHEMICAL CORP ..................... 455,775 4,650 OM GROUP, INC ........................... 154,031 1,913 POTASH CORP OF SASKATCHEWAN, INC (U.S.) .............................. 143,594 8,100 RAYCHEM CORP ............................ 602,437 16,550 RPM, INC ................................ 304,106 7,575 SCHULMAN (A.), INC ...................... 186,534 7,100 oSEALED AIR CORP ........................ 337,250 17,300 SIGMA ALDRICH CORP ...................... 606,581 7,800 TERRA INDUSTRIES, INC ................... 90,675 4,000 THIOKOL CORP ............................ 280,000 6,800 WELLMAN, INC ............................ 118,150 10,700 WITCO CORP .............................. 405,931 ----------- 11,149,883 ------------ COMMUNICATION EQUIPMENT & SERVICES--2.47% 22,800 o360 COMMUNICATIONS CO ................... 390,450 58,340 o3COM CORP ............................... 2,625,300 3,600 oACC CORP ................................ 111,150 88,800 oAIRTOUCH COMMUNICATIONS, INC ............ 2,430,900 15,687 oANDREW CORP ............................. 441,196 6,000 oANTEC CORP .............................. 70,500 2,600 oAPAC TELESERVICES INC ................... 50,537 5,200 oARCH COMMUNICATIONS GROUP, INC .......... 39,650 20,300 oASCEND COMMUNICATIONS, INC .............. 799,312 4,400 oAVID TECHNOLOGIES, INC .................. 116,050 15,100 oBRINKER INTERNATIONAL, INC .............. 215,175 4,200 oCABLE DESIGN TECHNOLOGIES CO ............ 123,637 18,900 oCABLETRON SYSTEMS, INC .................. 535,106 7,600 oCAI WIRELESS SYSTEMS, INC ............... 8,075 1,500 oCALIFORNIA MICROWAVE, INC ............... 21,000 10,300 oCASCADE COMMUNICATIONS CORP ............. 284,537 1,950 oCELLSTAR CORP ........................... 59,718 400 oCELLULAR COMMUNICATIONS INTERNATIONAL, INC ..................... 13,400 11,000 CENTURY TELEPHONE ENTERPRISES, INC 370,562 4,066 oCHYRON CORP ............................. 18,297 1,900 oCIDCO, INC .............................. 26,125 116,180 oCISCO SYSTEMS, INC ...................... 7,798,582 9,200 COMSAT CORP SERIES 1 .................... 219,075 38,900 CORNING, INC ............................ 2,163,812 2,700 oDIGITAL MICROWAVE CORP .................. 81,000 19,400 oDSC COMMUNICATIONS CORP ................. 431,650 8,100 oDSP COMMUNICATIONS, INC ................. 89,100 3,100 oDYNATECH CORP ........................... 110,825 1,600 oGENERAL DATACOMM INDUSTRIES, INC ........ 11,400 9,900 oGEOTEK COMMUNICATIONS, INC .............. 53,831 6,900 HARRIS CORP ............................. 579,600 2,900 oHEARTLAND WIRELESS COMMUNICATIONS INC ..................... 6,887 4,400 oHIGHWAYMASTER COMMUNICATIONS, INC ....... 67,100 3,900 oINTERCEL, INC ........................... 54,112 1,100 oINTERDIGITAL COMMUNICATIONS CORP ........ 6,050 4,100 oINTERMEDIA COMMUNICATIONS, INC .......... 132,737 5,800 oINTERNATIONAL FAMILY ENTERTAINMENT, INC ..................... 199,375 3,900 oJACOR COMMUNICATIONS, INC ............... 149,175 15,400 oLCI INTERNATIONAL, INC .................. 336,875 2,500 oLEVEL ONE COMMUNICATIONS, INC ........... 96,093 2,300 oLORAL SPACE & COMMUNICATIONS LTD ........ 34,500 112,162 LUCENT TECHNOLOGIES, INC ................ 8,082,674 3,800 oMACROMEDIA, INC ......................... 32,775 2,700 oMASTEC, INC ............................. 127,743 1,100 oNETCOM ON-LINE COMMUNICATIONS SERVICE, INC ........................... 16,225 3,400 oNETWORK EQUIPMENT TECHNOLOGIES, INC ...................... 61,200 55,500 oNOVELL, INC ............................. 385,031 6,466 oNTL, INC ................................ 160,841 9,400 oOCTEL COMMUNICATIONS CORP ............... 220,312 5,000 oOMNIPOINT CORP .......................... 83,125 2,800 oP-COM, INC .............................. 92,400 20,000 oPAGING NETWORK, INC ..................... 175,625 12,100 oPAIRGAIN TECHNOLOGIES, INC .............. 187,550 4,810 oPANAMSAT CORP ........................... 139,490 5,300 PICTURETEL CORP ......................... 50,350 7,000 oPMT SERVICES, INC ....................... 106,750 5,300 oPREMIERE TECHNOLOGIES, INC .............. 137,800 3,100 oPREMISYS COMMUNICATIONS, INC ............ 48,825 8,900 oQUALCOMM, INC ........................... 452,787 12,100 SCIENTIFIC-ATLANTA, INC ................. 264,687 5,600 oSITEL CORP .............................. 115,500 8,400 oTECH DATA CORP .......................... 264,075 6,600 oTEL-SAVE HOLDINGS, INC .................. 100,650 5,100 oTELE-COMMUNICATIONS INT'L (CLASS A) ........................ 78,731 29,260 oTELLABS, INC ............................ 1,634,902 7,600 oVANGUARD CELLULAR SYSTEMS, INC .......... 103,550 3,400 oWESTELL TECHNOLOGIES, INC (CLASS A) ..... 85,000 6,000 oWINSTAR COMMUNICATIONS, INC ............. 80,250 ------------ 34,661,304 ------------ COMPUTER SERVICE--3.99% 400 o3DO CO .................................. 1,400 3,600 oACTEL CORP .............................. 61,425 11,300 oACXIOM CORP ............................. 231,650 19,100 oADAPTEC, INC ............................ 663,725 22,900 oADC TELECOMMUNICATIONS, INC ............. 764,287 9,972 ADOBE SYSTEMS, INC ...................... 349,643 7,725 oAMERICAN MANAGEMENT SYSTEMS, INC ........ 206,643 See notes to financial statements. -64- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- COMPUTER SERVICE--(CONTINUED) 2,400 oARBOR SOFTWARE CORP ..................... $ 84,600 4,200 oAUSPEX SYSTEMS, INC ..................... 40,425 50,500 AUTOMATIC DATA PROCESSING, INC .......... 2,373,500 3,700 oAVANT CORP .............................. 119,556 6,100 oBANCTEC, INC ............................ 158,218 400 oBANYAN SYSTEMS, INC ..................... 900 32,845 oBAY NETWORKS, INC ....................... 872,445 6,200 oBDM INTERNATIONAL, INC .................. 142,600 3,900 oBELL & HOWELL CO ........................ 120,168 8,000 oBISYS GROUP, INC ........................ 334,000 18,300 oBMC SOFTWARE, INC ....................... 1,013,362 2,200 oBORLAND INTERNATIONAL, INC .............. 15,262 4,500 oBOSTON TECHNOLOGY, INC .................. 133,031 3,000 oBRODERBUND SOFTWARE, INC ................ 74,062 4,500 oC-CUBE MICROSYSTEMS, INC ................ 79,031 16,525 oCADENCE DESIGN SYSTEMS, INC ............. 553,587 5,600 oCAMBRIDGE TECHNOLOGY PARTNERS, INC ...... 179,200 1,250 oCDW COMPUTER CENTERS, INC ............... 66,328 12,800 oCERIDIAN CORP ........................... 540,800 6,100 oCHECKFREE CORP .......................... 107,512 5,200 oCITRIX SYSTEMS, INC ..................... 228,150 2,200 oCLARIFY, INC ............................ 24,887 14,800 oCOMPUSA, INC ............................ 318,200 48,550 COMPUTER ASSOCIATES INTERNATIONAL, INC ..................... 2,703,628 12,160 oCOMPUTER SCIENCES CORP .................. 877,040 4,000 COMPUTER TASK GROUP, INC ................ 149,000 12,000 oCOMPUWARE CORP .......................... 573,000 1,800 oCSG SYSTEMS INTERNATIONAL, INC .......... 55,575 2,900 oCYRIX CORP .............................. 61,987 6,100 oDECISIONONE CORP ........................ 138,775 5,700 oDIAMOND MULTIMEDIA SYSTEMS, INC ......... 40,968 2,700 oDOCUMENTUM, INC ......................... 67,162 7,300 oDST SYSTEMS, INC ........................ 243,181 8,200 oELECTRONIC ARTS, INC .................... 275,725 58,600 ELECTRONIC DATA SYSTEMS CORP ............ 2,402,600 41,600 oEMC CORP ................................ 1,622,400 3,700 oEMPLOYEE SOLUTIONS, INC ................. 20,581 3,100 oEXABYTE CORP ............................ 39,718 72,648 FIRST DATA CORP ......................... 3,191,971 8,500 oFISERV, INC ............................. 379,312 5,600 oFORTE SOFTWARE, INC ..................... 75,250 1,600 oFTP SOFTWARE, INC ....................... 7,800 8,300 oGT INTERACTIVE SOFTWARE CORP ............ 98,562 3,500 oHARBINGER CORP .......................... 98,000 15,600 HBO & CO ................................ 1,074,450 7,200 oHMT TECHNOLOGY CORP ..................... 93,150 4,000 oHNC SOFTWARE ............................ 152,500 9,100 oIMATION CORP ............................ 240,012 25,400 oINFORMIX CORP ........................... 228,600 267 oINTEGRATED SYSTEMS CONSULTING GROUP .................................. 2,903 3,800 oINTEGRATED SYSTEMS, INC ................. 44,650 8,400 oINTERGRAPH CORP ......................... 71,400 6,000 oINTUIT, INC ............................. 137,625 500 oJTS CORP ................................ 343 7,000 oKEANE, INC .............................. 364,000 5,600 oLEARNING CO, INC ........................ 52,500 1,200 oLEARNING TREE INTERNATIONAL, INC ........ 53,250 3,400 oLEGATO SYSTEMS, INC ..................... 62,900 4,700 oMEDIC COMPUTER SYSTEMS, INC ............. 104,575 12,300 oMENTOR GRAPHICS CORP .................... 113,775 8,650 oMICROCHIP TECHNOLOGY, INC ............... 257,337 3,100 oMICRON ELECTRONICS, INC ................. 55,218 140,500 oMICROSOFT CORP .......................... 17,755,687 6,100 NATIONAL DATA CORP ...................... 264,206 19,968 oNCR CORP ................................ 594,048 4,200 oNETMANAGE, INC .......................... 12,337 7,900 oNETSCAPE COMMUNICATIONS CORP ............ 253,293 3,200 oNETWORK APPLIANCE, INC .................. 121,600 8,500 oNETWORK GENERAL CORP .................... 126,437 3,900 oOBJECTIVE SYSTEMS INTEGRATORS, INC ...... 33,637 89,125 oORACLE CORP ............................. 4,489,671 21,800 oPARAMETRIC TECHNOLOGY CORP .............. 927,862 13,100 oPEOPLESOFT, INC ......................... 691,025 5,200 oPHYSICIAN COMPUTER NETWORK, INC ......... 35,100 4,800 oPIXAR, INC .............................. 75,600 9,500 oPLATINUM TECHNOLOGY, INC ................ 125,875 2,800 oPOLICY MANAGEMENT SYSTEMS CORP .......... 131,600 1,400 PROGRESS SOFTWARE CORP .................. 22,400 4,500 oPSINET, INC ............................. 33,750 7,600 oRATIONAL SOFTWARE CORP .................. 127,775 6,300 oREAD RITE CORP .......................... 131,512 15,100 REYNOLDS & REYNOLDS CO (CLASS A) ........ 237,825 7,300 oSAFEGUARD SCIENTIFICS, INC .............. 232,231 800 oSAPIENT CORP ............................ 39,600 3,000 oSCOPUS TECHNOLOGY, INC .................. 67,125 5,500 oSECURITY DYNAMICS TECHNOLOGIES, INC ..... 202,812 2,000 SEI INVESTMENT COMPANY .................. 48,250 4,300 SHARED MEDICAL SYSTEMS CORP ............. 232,200 3,900 oSHIVA CORP .............................. 40,706 14,077 oSTERLING COMMERCE, INC .................. 462,781 5,500 oSTERLING SOFTWARE, INC .................. 171,875 6,000 oSTRUCTURAL DYNAMICS RESEARCH CORP ....... 157,500 13,400 oSYBASE, INC ............................. 199,325 8,800 oSYMANTEC CORP ........................... 171,600 7,372 oSYNOPSYS, INC ........................... 270,921 3,950 oSYSTEM SOFTWARE ASSOCIATES, INC ......... 30,118 2,400 oSYSTEMSOFT CORP ......................... 25,800 3,200 oTECHNOLOGY SOLUTIONS CO ................. 126,400 6,200 oTRANSACTION SYSTEM ARCHITECTURE ......... 213,900 9,800 oVANSTAR CORP ............................ 138,425 2,500 oVANTIVE CORP ............................ 70,625 2,200 oVERITAS SOFTWARE CORP ................... 110,550 2,800 oVIASOFT, INC ............................ 142,100 2,800 oVIDEOSERVER, INC ........................ 37,100 2,800 oVISIO CORP .............................. 197,400 3,900 oXIRCOM, INC ............................. 48,506 4,200 oYAHOO, INC .............................. 148,050 3,700 oZEBRA TECHNOLOGY CORP ................... 103,137 ------------ 55,970,297 ------------ CONGLOMERATES--2.02% 11,200 ALEXANDER & BALDWIN, INC ................ 292,600 43,200 ALLIED SIGNAL, INC ...................... 3,628,800 6,800 AMERICAN FINANCIAL GROUP, INC ........... 288,575 9,300 oANIXTER INTERNATIONAL, INC .............. 159,843 14,700 APARTMENT INVESTMENT & MANAGEMENT CO .......................... 415,275 5,700 oBLYTH INDUSTRIES, INC ................... 192,375 4,900 BRADY (W.H.) CO (CLASS A) ............... 142,100 8,500 oCOLTEC INDUSTRIES, INC .................. 165,750 10,275 oCONCORD EFS, INC ........................ 265,865 7,800 oCOPYTELE, INC ........................... 42,412 9,150 CRANE CO ................................ 382,584 21,400 ITT INDUSTRIES, INC ..................... 551,050 7,900 JOHNS MANVILLE CORP ..................... 93,318 14,800 JOHNSON CONTROLS, INC ................... 607,725 See notes to financial statements. -65- CONGLOMERATES--(CONTINUED) 13,350 KEYSTONE FINANCIAL, INC ................. $ 417,187 7,000 oLITTON INDUSTRIES, INC .................. 338,187 12,200 LOEWS CORP .............................. 1,221,525 12,913 MARK IV INDUSTRIES, INC ................. 309,912 9,200 oMETROMEDIA INTERNATIONAL GROUP, INC ............................. 116,150 72,000 MINNESOTA MINING & MANUFACTURING CO ....................... 7,344,000 28,900 ROCKWELL INTERNATIONAL CORP ............. 1,705,100 1,100 STANDEX INTERNATIONAL CORP .............. 33,000 23,900 TEXTRON, INC ............................ 1,586,362 22,700 TRW, INC ................................ 1,289,643 24,900 TYCO INTERNATIONAL LTD .................. 1,732,106 10,800 oU.S. INDUSTRIES, INC ................... 384,750 44,900 UNITED TECHNOLOGIES CORP ................ 3,726,700 17,200 VIAD CORP ............................... 331,100 21,200 WHITMAN CORP ............................ 508,800 4,600 ZEIGLER COAL HOLDING CO ................. 107,525 ----------- 28,380,319 ------------ CONSTRUCTION--MATERIALS & BUILDERS--0.63% 7,400 ARMSTRONG WORLD INDUSTRIES, INC ......... 542,975 10,400 BAY APARTMENT COMMUNITIES, INC .......... 384,800 5,600 CARLISLE COS, INC ....................... 195,300 1,200 oCASTLE & COOKE, INC ..................... 19,875 3,000 oCDI CORP ................................ 125,062 6,100 CENTEX CORP ............................. 247,812 10,600 oCHAMPION ENTERPRISES, INC ............... 159,000 17,316 CLAYTON HOMES, INC ...................... 246,753 3,900 oEAGLE HARDWARE & GARDEN, INC ............ 89,212 4,900 FASTENAL CO ............................. 240,100 5,300 FLEETWOOD ENTERPRISES, INC .............. 158,006 9,200 HORTON (D.R.), INC ...................... 95,450 4,900 oJACOBS ENGINEERING GROUP, INC ........... 131,687 600 JUSTIN INDUSTRIES, INC .................. 7,650 13,700 KAUFMAN & BROAD HOME CORP ............... 240,606 10,450 LAFARGE CORP ............................ 256,025 10,350 LENNAR CORP ............................. 330,553 2,300 LONE STAR INDUSTRIES, INC ............... 104,218 2,300 MANUFACTURED HOME COMMUNITIES, INC ....................... 53,043 11,368 MARTIN MARIETTA MATERIALS, INC .......... 368,039 28,600 MASCO CORP .............................. 1,194,050 4,600 MEDUSA CORP ............................. 176,525 7,400 oMILLER INDUSTRIES, INC .................. 118,400 8,100 OAKWOOD HOMES CORP ...................... 194,400 8,800 OWENS CORNING CO ........................ 379,500 700 PLY-GEM INDUSTRIES, INC ................. 12,687 8,200 PULTE CORP .............................. 283,412 2,440 SECURITY CAPITAL CORP ................... 230,580 25,600 SHERWIN-WILLIAMS CO ..................... 790,400 14,356 SIMON DEBARTOLO GROUP, INC .............. 459,392 6,200 oSOLA INTERNATIONAL, INC ................. 207,700 4,600 TEXAS INDUSTRIES, INC ................... 122,187 7,600 oUSG CORP ................................ 277,400 5,900 VULCAN MATERIALS CO ..................... 463,150 ------------ 8,905,949 ------------ CONTAINERS--0.13% 8,750 BALL CORP ............................... 263,046 16,600 CROWN CORK & SEAL CO, INC ............... 887,062 6,500 oGAYLORD CONTAINER CO .................... 49,968 18,100 oOWENS ILLINOIS, INC ..................... 561,100 1,100 WEST CO, INC ............................ 31,487 ------------ 1,792,663 ------------ COSMETICS--0.86% 9,000 ALBERTO CULVER CO (CLASS B) ............. 252,000 21,500 AVON PRODUCTS, INC ...................... 1,517,093 600 oBUSH BOAKE ALLEN, INC ................... 18,675 4,700 CARTER WALLACE, INC ..................... 84,012 96,911 GILLETTE CO ............................. 9,182,317 16,000 INTERNATIONAL FLAVORS & FRAGRANCES, INC ........................ 808,000 4,100 LAUDER (ESTEE) CO (CLASS A) ............. 206,025 ------------ 12,068,122 ------------ ELECTRICAL EQUIPMENT--3.49% 12,900 oAMERICAN POWER CONVERSION CORP .......... 245,100 7,400 AMETEK, INC ............................. 173,900 7,400 BELDEN, INC ............................. 252,062 77,800 EMERSON ELECTRIC CO ..................... 4,283,862 577,200 GENERAL ELECTRIC CO ..................... 37,734,450 8,700 GENERAL SIGNAL CORP ..................... 379,537 7,600 GRAINGER (W.W.), INC .................... 594,225 22,000 HONEYWELL, INC .......................... 1,669,250 8,250 HUBBELL, INC (CLASS B) .................. 363,000 1,700 JUNO LIGHTING, INC ...................... 27,625 10,005 THOMAS & BETTS CORP ..................... 525,887 113,631 WESTINGHOUSE ELECTRIC CORP .............. 2,627,716 ----------- 48,876,614 ------------ ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--3.60% 25,100 oADVANCED MICRO DEVICES, INC ............. 903,600 14,500 oALTERA CORP ............................. 732,250 38,700 AMP, INC ................................ 1,615,725 1,200 oANADIGICS, INC .......................... 37,200 30,333 oANALOG DEVICES, INC ..................... 805,720 1,000 oAPPLIED INNOVATION, INC ................. 4,000 8,937 oARROW ELECTRONICS, INC .................. 474,778 16,700 oATMEL CORP .............................. 467,600 8,000 AVNET, INC .............................. 460,000 4,300 AVX CORP ................................ 116,100 7,000 BALDOR ELECTRIC CO ...................... 206,937 6,600 oBURR BROWN CORP ......................... 227,700 4,100 oCHIPS & TECHNOLOGIES, INC ............... 42,537 12,300 oCIRRUS LOGIC, INC ....................... 129,150 8,200 oCOMPUCOM SYSTEMS, INC ................... 58,425 5,000 oCOMPUTER PRODUCTS, INC .................. 125,000 3,600 oCOMVERSE TECHNOLOGY, INC ................ 187,200 13,000 oCYPRESS SEMICONDUCTOR CORP .............. 188,500 8,000 DALLAS SEMICONDUCTOR CORP ............... 314,000 3,900 oESS TECHNOLOGY .......................... 52,406 2,900 oETEC SYSTEMS, INC ....................... 124,337 4,900 FISHER SCIENTIFIC INTERNATIONAL, INC .... 232,750 23,200 oGENERAL INSTRUMENT CORP ................. 580,000 1,900 oHADCO CORP .............................. 124,450 1,100 HELIX TECHNOLOGY CORP ................... 44,550 2,700 oHUTCHINSON TECHNOLOGY, INC .............. 65,812 12,800 oINTEGRATED DEVICE TECHNOLOGY, INC ....... 134,400 145,300 INTEL CORP .............................. 20,605,356 8,800 oINTERNATIONAL RECTIFIER CORP ............ 163,900 1,400 oJABIL CIRCUIT, INC ...................... 117,425 6,800 oKEMET CORP .............................. 169,150 6,100 oKENT ELECTRONICS CORP ................... 223,793 5,200 oLAM RESEARCH CORP ....................... 192,725 3,600 oLATTICE SEMICONDUCTOR CORP .............. 203,400 13,000 LINEAR TECHNOLOGY CO .................... 672,750 5,200 oLITTLEFUSE, INC ......................... 146,900 3,000 LOGICON, INC ............................ 159,000 22,300 oLSI LOGIC CORP .......................... 713,600 See notes to financial statements. -66- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--(CONTINUED) 4,400 oMAGNETEK, INC ........................... $ 73,150 5,900 oMARSHALL INDUSTRIES, INC ................ 219,775 11,000 oMAXIM INTEGRATED PRODUCTS ............... 625,625 3,500 oMEMC ELECTRONIC MATERIALS, INC .......... 114,625 8,200 METHODE ELECTRONICS, INC (CLASS A) ...... 162,975 29,200 oMICRON TECHNOLOGY, INC .................. 1,166,175 17,906 MOLEX, INC .............................. 653,569 107,300 MOTOROLA, INC ........................... 8,154,800 3,100 oMRV COMMUNICATIONS, INC ................. 91,450 1,000 oMYLEX CORP .............................. 9,500 24,300 oNATIONAL SEMICONDUCTOR CORP ............. 744,187 2,400 oOAK INDUSTRIES, INC ..................... 69,000 1,950 PIONEER-STANDARD ELECTRONICS, INC ....... 26,325 5,300 oPMC-SIERRA, INC ......................... 139,125 8,700 oS3, INC ................................. 95,700 3,300 oSANMINA CORP ............................ 209,550 2,900 oSMART MODULAR TECHNOLOGIES, INC ......... 97,875 7,200 SYMBOL TECHNOLOGIES, INC ................ 242,100 2,200 oTCSI CORP ............................... 11,550 33,900 TEXAS INSTRUMENTS, INC .................. 2,849,718 3,400 oTRIMBLE NAVIGATION LTD .................. 60,350 3,900 oUCAR INTERNATIONAL, INC ................. 178,425 3,300 oUNIPHASE CORP ........................... 192,225 1,700 oUNITRODE CORP ........................... 85,637 6,300 oVICOR CORP .............................. 141,750 9,636 oVISHAY INTERTECHNOLOGY, INC ............. 278,841 5,100 oVITESSE SEMICONDUCTOR CORP .............. 166,706 7,100 oVLSI TECHNOLOGY, INC .................... 167,737 7,600 oWATERS CORP ............................. 272,650 15,400 oWESTERN DIGITAL CORP .................... 487,025 4,000 WYLE ELECTRONICS ........................ 158,000 12,400 oXILINX, INC ............................. 608,375 4,800 oZILOG, INC .............................. 91,200 ------------ 50,468,821 ------------ ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.47% 31,000 oAPPLIED MATERIALS, INC .................. 2,195,187 5,400 BECKMAN INSTRUMENTS, INC ................ 260,550 1,400 oBERG ELECTRICS CORP ..................... 50,312 2,800 oCOHERENT, INC ........................... 124,600 3,300 oDESTEC ENERGY, INC ...................... 71,156 3,300 oDIONEX CORP ............................. 169,125 1,600 oELECTROGLAS, INC ........................ 40,300 9,200 oELECTRONICS FOR IMAGING, INC ............ 434,700 4,700 oGENRAD, INC ............................. 106,337 2,100 oIDX SYSTEMS CORP ........................ 72,450 8,300 oINPUT/OUTPUT, INC ....................... 150,437 13,700 oKLA INSTRUMENTS CORP .................... 667,875 3,900 oKULICHE & SOFFA INDUSTRIES, INC ......... 126,628 2,600 oLTX CORP ................................ 16,900 7,400 PERKIN-ELMER CORP ....................... 588,762 1,100 oRADISYS CORP ............................ 43,725 5,900 oSILICON VALLEY GROUP, INC ............... 155,612 5,600 TEKTRONIX, INC .......................... 336,000 13,500 oTERADYNE, INC ........................... 529,875 3,175 oTHERMO INSTRUMENT SYSTEMS, INC .......... 96,837 5,300 VARIAN ASSOCIATES, INC .................. 287,525 1,900 X RITE, INC ............................. 36,100 ------------ 6,560,993 ------------ ENVIRONMENTAL CONTROL--0.50% 19,200 oALLIED WASTE INDUSTRIES, INC ............ 333,600 35,000 BROWNING FERRIS INDUSTRIES, INC ......... 1,163,750 3,900 oCULLIGAN WATER TECHNOLOGIES, INC ........ 174,525 11,900 OGDEN CORP .............................. 258,825 800 XoOMEGA ENVIRONMENTAL, INC ............... 375 25,100 oREPUBLIC INDUSTRIES, INC ................ 624,362 9,050 oU.S. FILTER CORP ........................ 246,612 21,960 oU.S.A. WASTE SERVICES, INC .............. 848,205 9,400 oUNITED WASTE SYSTEMS, INC ............... 385,400 82,701 WASTE MANAGEMENT, INC ................... 2,656,769 16,100 WHEELABRATOR TECHNOLOGIES, INC .......... 248,543 ----------- 6,940,966 ------------ FINANCIAL--MISCELLANEOUS--4.36% 6,100 AAMES FINANCIAL CORP .................... 112,850 8,600 ADVANTA CORP (CLASS A) .................. 316,050 4,850 ALEX BROWN, INC ......................... 342,531 5,800 AMBAC, INC .............................. 442,975 84,000 AMERICAN EXPRESS CO ..................... 6,258,000 45,001 AMERICAN GENERAL CORP ................... 2,148,797 3,600 AMERICAN HEALTH PROPERTIES, INC ......... 90,450 5,400 oAMRESCO, INC ............................ 116,100 6,100 oARCADIA FINANCIAL LTD ................... 56,043 12,500 ASTORIA FINANCIAL CORP .................. 593,750 6,852 BEACON PROPERTIES CORP .................. 228,685 23,101 BEAR STEARNS COS, INC ................... 789,765 9,700 BENEFICIAL CORP ......................... 689,306 730 oCALIFORNIA FEDEREAL BANCORP ............. 12,318 20,055 CAPSTEAD MORTGAGE CORP .................. 495,107 7,800 CARR AMERICA REALTY CORP ................ 224,250 9,500 CASE CORP ............................... 654,312 13,900 oCATELLUS DEVELOPMENT CORP ............... 251,937 1,300 CBL & ASSOCIATES PROPERTIES, INC ........ 31,200 2,500 oCITYSCAPE FINANCIAL CORP ................ 49,843 5,600 CMAC INVESTMENT CORP .................... 267,400 4,500 oCOAST SAVINGS FINANCIAL, INC ............ 204,468 7,500 COLLECTIVE BANCORP, INC ................. 336,562 10,275 COMDISCO, INC ........................... 267,150 5,100 COMMERCIAL FEDERAL CORP ................. 189,337 1,700 oCONTIFINANCIAL CORP ..................... 62,050 19,406 COUNTRYWIDE CREDIT INDUSTRIES, INC ...... 605,224 4,800 oCREDIT ACCEPTANCE CORP .................. 61,800 21,900 CWM MORTGAGE HOLDINGS, INC .............. 524,231 2,300 oDELPHI FINANCIAL GROUP, INC ............. 88,550 4,600 DEVELOPERS DIVERSIFIED REALTY CORP ...... 184,000 2,200 DONALDSON, LUFKIN, & JENRETTE, INC ...... 131,450 5,170 DUKE REALTY INVESTMENTS, INC ............ 209,385 16,800 DYNEX CAPITAL, INC ...................... 234,150 846 oECHELON INTERNATIONAL CORP .............. 19,299 11,900 EDWARDS (A.G.), INC ..................... 508,725 3,900 ENHANCE FINANCIAL SERVICES GROUP, INC ............................. 171,112 3,500 oENVOY CORP .............................. 116,375 8,600 EQUITY RESIDENTIAL PROPERTIES TRUST CO ............................... 408,500 123,800 FEDERAL HOME LOAN MORTGAGE CORP ......... 4,255,625 187,700 FEDERAL NATIONAL MORTGAGE ASSOCIATION ............................. 8,188,412 8,500 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD ........................... 330,968 5,000 FINOVA GROUP, INC ....................... 382,500 11,875 FIRST FINANCIAL CORP (WISCONSIN) ........ 348,828 3,400 oFIRSTPLUS FINANCIAL GROUP, INC ......... 115,600 20,504 FRANCHISE FINANCE CORP OF AMERICA ....... 534,385 13,850 FRANKLIN RESOURCES, INC ................. 1,004,990 7,300 oGARTNER GROUP, INC (CLASS A) ............ 262,343 5,700 GENERAL GROWTH PROPERTIES, INC .......... 190,950 See notes to financial statements. -67- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- FINANCIAL--MISCELLANEOUS--(CONTINUED) 13,300 oGLENDALE FEDERAL SAVINGS BANK, INC .............................. $ 347,462 2,800 GLIMCHER REALTY TRUST ................... 57,750 6,900 GOLDEN WEST FINANCIAL CORP .............. 483,000 3,700 oGREAT FINANCIAL CORP .................... 129,962 20,885 GREAT WESTERN FINANCIAL CORP ............ 1,122,568 25,300 GREEN TREE FINANCIAL CORP ............... 901,312 14,800 H.F. AHMANSON & CO ...................... 636,400 15,500 HEALTH AND RETIREMENT PROPERTY TRUST ................................... 291,593 20,400 HIGHWOODS PROPERTIES, INC ............... 652,800 17,117 HOUSEHOLD INTERNATIONAL, INC ............ 2,010,177 3,900 LEGG MASON, INC ......................... 209,868 21,320 LEHMAN BROTHERS HOLDINGS, INC ........... 863,460 6,900 oLEUCADIA NATIONAL CORP .................. 213,468 54,025 MBNA CORP ............................... 1,978,665 12,000 MEDITRUST CORP .......................... 478,500 20,850 oMERCURY FINANCE CO ...................... 50,821 67,100 MERRILL LYNCH & CO, INC ................. 4,000,837 9,266 MERRY LAND & INVESTMENT CO, INC ......... 200,956 79,800 MORGAN STANLEY, DEAN WITTER, DISCOVER ................................ 3,436,387 14,231 NEW PLAN REALTY TRUST ................... 313,971 12,900 PAINE WEBBER GROUP INC .................. 451,500 800 oPEC ISRAEL ECONOMIC CORP ................ 19,200 7,900 PENNCORP FINANCIAL GROUP, INC ........... 304,150 7,500 PIONEER GROUP, INC ...................... 172,500 4,800 PMI GROUP, INC .......................... 299,400 3,600 POST PROPERTIES, INC .................... 146,025 8,500 PRICE (T. ROWE) ASSOCIATES, INC ......... 438,812 11,100 PUBLIC STORAGE, INC ..................... 324,675 4,125 QUICK & REILLY GROUP, INC ............... 95,906 20,700 REALTY INCOME CORP ...................... 543,375 4,200 RFS HOTEL INVESTORS, INC ................ 75,600 14,900 ROOSEVELT FINANCIAL GROUP, INC .......... 327,800 18,800 SALOMON, INC ............................ 1,045,750 19,800 SCHWAB (CHARLES) CORP ................... 805,612 2,500 oSEACOR SMIT, INC ........................ 130,781 8,000 SECURITY CAPITAL PACIFIC TRUST .......... 183,000 600 SIRROM CAPITAL CORP ..................... 20,700 7,700 SPIEKER PROPERTIES, INC ................. 270,943 3,000 oSPS TRANSACTION SERVICES, INC ........... 55,500 9,000 STUDENT LOAN MARKETING ASSOCIATION ...... 1,143,000 7,600 TCF FINANCIAL CORP ...................... 375,250 6,350 THE MONEY STORE, INC .................... 182,165 12,900 TIG HOLDINGS, INC ....................... 403,125 14,500 UNITED ASSET MANAGEMENT CORP ............ 410,531 6,280 UNITED COS FINANCIAL CORP ............... 177,410 16,445 UNITED DOMINION REALTY TRUST, INC ....... 233,313 ----------- 61,124,618 ------------ FOODS--2.09% 94,172 ARCHER DANIELS MIDLAND CO ............... 2,213,042 43,800 CAMPBELL SOUP CO ........................ 2,190,000 8,000 CHIQUITA BRANDS INTERNATIONAL, INC ...... 110,000 39,500 CONAGRA, INC ............................ 2,532,937 24,200 CPC INTERNATIONAL, INC .................. 2,233,962 7,500 DEAN FOODS CO ........................... 302,812 2,000 DEKALB GENETICS CORP (CLASS B) .......... 159,500 7,900 DOLE FOOD, INC .......................... 337,725 700 DREYERS GRAND ICE CREAM, INC ............ 27,650 2,540 EARTHGRAINS CO .......................... 166,528 14,850 FLOWERS INDUSTRIES, INC ................. 249,665 27,011 GENERAL MILLS, INC ...................... 1,759,091 14,500 oGENERAL NUTRITION COS, INC .............. 406,000 55,350 HEINZ (H.J.) CO ......................... 2,553,018 16,900 HERSHEY FOODS CORP ...................... 934,781 9,400 HORMEL FOODS CORP ....................... 252,625 17,100 IBP, INC ................................ 397,575 4,000 INTERSTATE BAKERIES CORP ................ 237,250 15,400 KELLOGG CO .............................. 1,318,625 6,300 LANCE, INC .............................. 120,487 14,100 MCCORMICK & CO, INC (NON-VTG) ........... 356,025 15,000 NABISCO HOLDINGS CORP (CLASS A) ......... 598,125 3,200 NATURES SUNSHINE PRODUCTS, INC .......... 58,000 3,890 oNBTY, INC ............................... 108,920 11,500 PIONEER-HI-BRED INTERNATIONAL, INC ...... 920,000 24,900 QUAKER OATS CO .......................... 1,117,387 10,500 oRALCORP HOLDINGS, INC ................... 154,875 17,200 RALSTON PURINA CO ....................... 1,413,625 10,350 RICHFOOD HOLDINGS, INC .................. 269,100 83,900 SARA LEE CORP ........................... 3,492,337 4,400 oSMITHFIELD FOODS, INC ................... 270,600 2,388 oSMITH'S FOOD & DRUG CENTERS, INC (CLASS B) .............................. 128,056 951 TOOTSIE ROLL INDUSTRIES, INC ............ 42,319 21,900 TYSON FOODS, INC ........................ 418,837 4,900 UNIVERSAL FOODS CORP .................... 186,812 4,000 oWHOLE FOODS MARKET, INC ................. 132,500 351 WLR FOODS, INC .......................... 2,851 17,400 WRIGLEY (WM) JR CO ...................... 1,165,800 ----------- 29,339,442 ------------ FOREST PRODUCTS--0.43% 8,300 BOISE CASCADE CORP ...................... 293,093 14,000 CHAMPION INTERNATIONAL CORP ............. 773,500 11,300 oCOLLINS & AIKMAN CORP ................... 113,000 15,400 GEORGIA-PACIFIC CORP .................... 1,314,775 22,300 LOUISIANA PACIFIC CORP .................. 471,087 6,100 POTLATCH CORP ........................... 276,025 6,500 RAYONIER, INC ........................... 273,406 1,100 TJ INTERNATIONAL, INC ................... 25,850 34,800 WEYERHAEUSER CO ......................... 1,809,600 8,900 WILLAMETTE INDUSTRIES, INC .............. 623,000 ----------- 5,973,336 ------------ HEALTHCARE--DRUGS--6.63% 8,000 oADVANCED TISSUE SCIENCE CO .............. 103,000 2,500 oAGOURON PHARMACEUTICALS, INC ............ 202,187 3,200 oALKERMES, INC ........................... 46,400 11,900 ALLERGAN, INC ........................... 378,568 3,000 oALLIANCE PHARMACEUTICAL CORP ............ 30,187 15,700 oALZA CORP ............................... 455,300 112,500 AMERICAN HOME PRODUCTS CORP ............. 8,606,250 46,950 oAMGEN, INC .............................. 2,728,968 6,800 oAMYLIN PHARMACEUTICALS, INC ............. 93,500 11,625 ARBOR DRUGS, INC ........................ 233,953 9,825 BERGEN BRUNSWIG CORP (CLASS A) .......... 273,871 9,300 oBIO-TECHNOLOGY GENERAL CORP ............. 125,550 12,500 oBIOGEN, INC ............................. 423,437 951 BLOCK DRUG, INC (CLASS A) ............... 41,606 175,600 BRISTOL MYERS SQUIBB CO ................. 14,223,600 600 oCELLPRO, INC ............................ 3,600 11,800 oCENTOCOR, INC ........................... 366,537 4,500 oCEPHALON, INC ........................... 51,750 30,228 oCHIRON CORP ............................. 631,009 3,200 oCLINTRIALS INC .......................... 38,400 6,800 oCOLUMBIA LABORATORIES, INC .............. 111,350 200 oCOPLEY PHARMACEUTICAL, INC .............. 1,450 1,100 oCOR THERAPEUTICS, INC ................... 11,687 2,200 oCYGNUS, INC ............................. 37,950 See notes to financial statements. -68- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- HEALTHCARE--DRUGS--(CONTINUED) 7,500 oDURA PHARMACEUTICALS, INC ............... $ 299,062 2,364 oELAN CORP PLC ADR ....................... 106,971 1,890 oENZO BIOCHEMICAL, INC ................... 29,885 7,800 oFOREST LABORATORIES, INC ................ 323,212 600 oGENSIA SICOR, INC ....................... 2,662 13,800 oGENZYME CORP (GENERAL DIVISION) ......... 382,950 81 oGENZYME CORP (TISSUE REPAIR DIVISION) ... 820 6,900 oGILEAD SCIENCES, INC .................... 190,612 2,300 oIDEC PHARMACEUTICALS CORP ............... 55,775 5,200 oIMMUNEX CORP ............................ 188,500 7,800 oINTERNEURON PHARMACEUTICALS, INC ........ 156,975 6,300 oISIS PHARMACEUTICALS, INC ............... 91,743 21,192 oIVAX CORP ............................... 237,085 4,300 JONES MEDICAL INDUSTRIES, INC ........... 204,250 2,000 LIFE TECHNOLOGIES, INC .................. 55,500 600 oLIGAND PHARMACEUTICALS CO (CLASS A) .............................. 7,725 80,738 LILLY (ELI) & CO ........................ 8,825,672 6,200 oLIPOSOME CO, INC ........................ 55,412 2,400 oMATRIX PHARMACEUTICALS, INC ............. 16,050 212,400 MERCK & CO, INC ......................... 21,983,400 23,650 MYLAN LABORATORIES, INC ................. 348,837 1,200 oNEUROGEN CORP ........................... 27,300 4,700 oNEXSTAR PHARMACEUTICALS, INC ............ 66,975 4,200 oPAREXEL INTERNATIONAL CORP .............. 133,350 1,700 oPDT, INC ................................ 62,050 112,600 PFIZER, INC ............................. 13,455,700 77,445 PHARMACIA & UPJOHN, INC ................. 2,691,213 3,000 oPROTEIN DESIGN LABORATORIES, INC ........ 85,500 8,000 RHONE-POULNEC RORER, INC ................ 727,000 1,900 oROBERTS PHARMACEUTICAL CORP ............. 21,256 4,400 oSCHERER (R.P.) CORP ..................... 227,150 128,500 SCHERING-PLOUGH CORP .................... 6,151,937 6,700 oSEPRACOR, INC ........................... 172,943 6,400 oSEQUUS PHARMACEUTICALS, INC ............. 40,800 2,200 oSOMATOGEN, INC .......................... 10,175 1,900 oU.S. BIOSCIENCE, INC .................... 18,287 4,500 oVERTEX PHARMACEUTICALS, INC ............. 172,125 47,100 WARNER-LAMBERT CO ....................... 5,852,175 5,688 oWATSON PHARMACEUTICALS, INC ............. 240,318 ` ------------ 92,939,462 ------------ HEALTHCARE--HOSPITAL SUPPLY--1.17% 234,210 JOHNSON & JOHNSON CO .................... 15,077,268 7,000 MCKESSON CORP ........................... 542,500 8,000 MILLIPORE CORP .......................... 352,000 10,700 U.S. SURGICAL CORP ...................... 398,575 ----------- 16,370,343 ------------ HEALTHCARE--OTHER--1.90% 135,200 ABBOTT LABORATORIES CO .................. 9,024,600 2,900 oACCESS HEALTH, INC ...................... 71,050 3,800 oACUSON CORP ............................. 87,400 3,100 oADVANCED TECHNOLOGY LABORATORIES, INC ...................... 133,300 11,940 ALLEGIANCE CORP ......................... 325,365 1,900 ARROW INTERNATIONAL, INC ................ 55,575 6,300 BALLARD MEDICAL PRODUCTS CO ............. 126,393 10,100 BARD (C.R.), INC ........................ 366,756 8,700 BAUSCH & LOMB, INC ...................... 409,987 45,700 BAXTER INTERNATIONAL, INC ............... 2,387,825 22,600 BECTON DICKINSON & CO ................... 1,144,125 19,500 oBIOMET, INC ............................. 363,187 17,952 oBOSTON SCIENTIFIC CORP .................. 1,102,926 1,300 oCNS, INC ................................ 11,862 5,178 oCORAM HEALTHCARE CORP ................... 12,621 5,100 oCOVENTRY CORP ........................... 77,137 1,000 oCYTYC CORP .............................. 27,125 1,200 oDATASCOPE CORP .......................... 23,550 3,600 DENTSPLY INTERNATIONAL, INC ............. 176,400 400 DIAGNOSTIC PRODUCTS CORP ................ 12,625 9,383 oFRESENIUS MEDICAL CARE AG. ADR .......... 273,279 6,800 oGENESIS HEALTH VENTURES, INC ............ 229,500 12,271 GUIDANT CORP ............................ 1,043,035 2,900 oGULF SOUTH MEDICAL SUPPLY, INC .......... 56,550 5,300 oHAEMONETICS CORP ........................ 101,362 8,600 HILLENBRAND INDUSTRIES, INC ............. 408,500 4,500 oHUMAN GENOME SCIENCES, INC .............. 149,625 5,400 oIDEXX LABORATORIES, INC ................. 67,162 3,200 oISOLYSER CO, INC ........................ 8,700 7,000 KINETIC CONCEPTS, INC ................... 126,000 12,100 oMEDAPHIS CORP ........................... 121,756 40,900 MEDTRONIC, INC .......................... 3,312,900 5,600 MENTOR CORP ............................. 165,900 6,300 oNABI, INC ............................... 41,737 11,100 oNELLCOR PURITAN BENNETT, INC ............ 201,187 7,000 oNEUROMEDICAL SYSTEMS, INC ............... 38,718 10,500 OWENS & MINOR, INC ...................... 156,843 21,900 PALL CORP ............................... 509,175 4,600 oPATTERSON DENTAL CO ..................... 157,837 3,500 oPHARMACEUTICAL PRODUCT DEVELOPMENT ............................ 77,000 3,600 oPHYMATRIX CORP .......................... 55,350 4,900 oPHYSICIAN RELIANCE NETWORK, INC ......... 45,937 7,600 oPHYSICIAN SALES & SERVICE, INC .......... 144,400 8,700 oPLAYTEX PRODUCTS, INC ................... 81,562 3,775 oQUEST DIAGNOSTICS, INC .................. 77,623 5,000 oSCHEIN (HENRY), INC ..................... 156,250 3,600 oSOFAMOR DANEK GROUP, INC ................ 164,700 13,900 oST. JUDE MEDICAL, INC ................... 542,100 7,010 STERIS CORP ............................. 261,998 13,600 STEWART ENTERPRISES, INC (CLASS A) ...... 571,200 13,100 oSTRYKER CORP ............................ 456,862 4,250 oSUMMIT TECHNOLOGY, INC .................. 28,156 2,200 oSUNRISE MEDICAL, INC .................... 33,275 9,700 oSYBRON INTERNATIONAL CORP ............... 386,787 1,000 oTECNOL MEDICAL PRODUCTS, INC ............ 22,250 7,500 oTHERMEDICS, INC ......................... 117,656 3,300 oTHERMO CARDIOSYSTEMS, INC ............... 85,800 2,600 oTHERMOTREX CORP ......................... 64,837 2,066 oVITALINK PHARMACY SERVICES, INC ......... 39,512 7,000 oVIVUS, INC .............................. 166,687 ------------ 26,689,517 ------------ HEALTHCARE--SERVICE--1.72% 24,918 AETNA, INC .............................. 2,550,980 5,900 oAMERISOURCE HEALTH CORP (CLASS A) ....... 294,262 3,500 oANALYSTS INTERNATIONAL CORP ............. 117,250 9,400 oAPRIA HEALTHCARE GROUP, INC ............. 166,850 2,600 oAVATEX CORP ............................. 3,087 18,900 oBEVERLY ENTERPRISES CO .................. 307,125 18,771 CARDINAL HEALTH, INC .................... 1,074,639 5,300 oCERNER CORP ............................. 111,300 1,800 oCOASTAL PHYSICIAN GROUP, INC ............ 2,925 118,955 COLUMBIA/HCA HEALTHCARE CORP ............ 4,676,418 13,950 oCOVANCE, INC ............................ 269,409 1,500 FAIR ISSAC & CO, INC .................... 66,843 20,770 oFOUNDATION HEALTH SYSTEMS (CLASS A) ..... 629,590 7,250 oHEALTH CARE & RETIREMENT CORP ........... 241,968 See notes to financial statements. -69- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- HEALTHCARE--SERVICE--(CONTINUED) 17,362 oHEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) .......................... $ 494,817 3,500 oHEALTH MANAGEMENT SYSTEMS, INC .......... 15,968 5,300 oHEALTHCARE COMPARE CO ................... 277,587 54,890 oHEALTHSOUTH CORP ........................ 1,368,819 9,517 oHORIZON/CMS HEALTHCARE CORP ............. 190,934 28,200 oHUMANA, INC ............................. 652,125 6,200 oINTEGRATED HEALTH SERVICES, INC ......... 238,700 2,300 oINTEGRATED SILICON SOLUTION, INC ........ 17,465 8,800 INVACARE CORP ........................... 205,700 20,080 oLABORATORY CORP OF AMERICA HOLDINGS ............................... 52,710 244 oLABORATORY CORP OF AMERICA HOLDINGS WTS 04/28/00 .................. 15 5,500 oLINCARE HOLDINGS, INC ................... 236,500 5,000 oLIVING CENTERS OF AMERICA, INC .......... 197,500 6,700 oMAGELLAN HEALTH SERVICES, INC ........... 197,650 8,700 MANOR CARE, INC ......................... 283,837 5,000 oMARINER HEALTH GROUP, INC ............... 77,187 3,100 oMAXICARE HEALTH PLANS, INC .............. 69,362 27,519 oMEDPARTNERS, INC ........................ 595,098 6,200 oMID ATLANTIC MEDICAL SERVICES, INC ...... 96,487 1,100 MORRISON HEALTH CARE, INC ............... 17,531 7,450 oMULTICARE COS, INC ...................... 203,943 10,500 oNOVACARE, INC ........................... 145,687 5,200 oOCCUSYSTEMS, INC ........................ 150,800 2,200 OMEGA HEALTHCARE INVESTORS, INC ......... 71,912 12,700 OMNICARE, INC ........................... 398,462 4,000 oORTHODONTIC CENTERS OF AMERICA, INC ..... 72,750 13,000 oOXFORD HEALTH PLANS, INC ................ 932,750 824 oPACIFICARE HEALTH SYSTEMS, INC CLASS A ................................ 49,903 4,220 oPACIFICARE HEALTH SYSTEMS, INC CLASS B ................................ 269,552 2,500 oPEDIATRIX MEDICAL GROUP, INC ............ 114,531 9,825 oPHYCOR, INC ............................. 338,348 5,300 oPHYSICIAN CORP OF AMERICA ............... 33,787 5,400 oPHYSICIANS RESOURCE GROUP INC ........... 48,600 6,400 oRENAL TREATMENT CENTERS, INC ............ 172,000 6,800 oROTECH MEDICAL CORP ..................... 136,425 3,600 oSIERRA HEALTH SERVICES, INC ............. 112,500 12,100 oSUN HEALTHCARE GROUP, INC ............... 251,831 52,850 oTENET HEALTHCARE CORP ................... 1,562,378 5,000 oTOTAL RENAL CARE HOLDINGS, INC .......... 200,937 32,900 UNITED HEALTHCARE CORP .................. 1,710,800 10,200 oUNIVERSAL HEALTH SERVICES, INC .......... 392,700 10,198 oVALUE HEALTH, INC ....................... 206,509 9,215 oVENCOR, INC ............................. 389,333 1,500 oVISX, INC ............................... 35,625 6,634 oWELLPOINT HEALTH NETWORKS, INC .......... 304,334 ------------ 24,105,035 ------------- HOUSEHOLD--CONSUMER ELECTRONICS--0.01% 3,250 HARMAN INTERNATIONAL INDUSTRIES, INC ......................... 136,906 4,400 oZENITH ELECTRONICS CORP ................. 51,975 ------------ 188,881 ------------ HOUSEHOLD--DURABLE GOODS--0.37% 800 BASSETT FURNITURE INDUSTRIES, INC ....... 22,650 16,300 BLACK & DECKER CORP ..................... 606,156 7,000 oGENTEX CORP ............................. 138,250 1,500 LA-Z-BOY, INC ........................... 54,000 16,500 LEGGETT & PLATT, INC .................... 709,500 3,700 LIBBEY, INC ............................. 129,500 17,700 MAYTAG CO ............................... 462,412 27,200 NEWELL COS, INC ......................... 1,077,800 23,000 SHAW INDUSTRIES, INC .................... 244,375 11,700 STANLEY WORKS CO ........................ 468,000 14,900 SUNBEAM CORP ............................ 562,475 13,100 WHIRLPOOL CORP .......................... 714,768 ----------- 5,189,886 ------------ HOUSEHOLD--PRODUCTS--2.07% 4,100 APTARGROUP, INC ......................... 185,525 3,500 oBRIGHTPOINT, INC ........................ 113,968 1,500 oCHICAGO MINIATURE LAMP, INC ............. 37,312 4,100 CHURCH & DWIGHT CO, INC ................. 109,675 5,800 CLOROX CO ............................... 765,600 49,800 COLGATE PALMOLIVE CO .................... 3,249,450 20,300 DIAL CORP ............................... 317,187 1,200 oFIRST ALERT, INC ........................ 3,375 8,000 FIRST BRANDS CORP ....................... 183,500 2,000 HERBALIFE INTERNATIONAL, INC ............ 32,500 96,288 KIMBERLY-CLARK CORP ..................... 4,790,328 4,500 LANCASTER COLONY CORP ................... 217,687 16,100 oPERRIGO CO .............................. 201,250 10,300 PREMARK INTERNATIONAL, INC .............. 275,525 119,400 PROCTER & GAMBLE CO ..................... 16,865,250 25,900 RUBBERMAID, INC ......................... 770,525 4,600 oSCOTTS CO (CLASS A) ..................... 133,400 4,500 STANHOME, INC ........................... 147,937 6,400 TAMBRANDS, INC .......................... 319,200 9,800 TUPPERWARE CORP ......................... 357,700 1,400 oUSA DETERGENTS INC ...................... 14,350 ------------ 29,091,244 ------------ INSURANCE--BROKERS & OTHER--0.31% 5,400 oABR INFORMATION SERVICES, INC ........... 156,600 2,400 ACORDIA, INC ............................ 96,000 25,200 EQUIFAX, INC ............................ 937,125 3,500 GALLAGHER (ARTHUR J.) & CO .............. 132,125 4,400 JOHN ALDEN FINANCIAL CORP ............... 92,125 24,200 MARSH & MCLENNAN COS, INC ............... 1,727,275 7,000 MBIA, INC ............................... 789,687 3,200 NORRELL CORP ............................ 105,600 9,700 oQUORUM HEALTH GROUP, INC ................ 346,775 ------------ 4,383,312 ------------ INSURANCE--LIFE--0.76% 6,863 oAEGON N.V. ARS .......................... 480,838 500 AMERICAN NATIONAL INSURANCE CO .......... 44,625 8,100 oAMERIN CORP ............................. 196,425 24,050 AON CORP ................................ 1,244,587 4,700 BERKLEY (W.R.) CORP ..................... 276,712 27,184 CONSECO, INC ............................ 1,005,808 12,600 EQUITABLE COS, INC ...................... 418,950 4,800 EQUITABLE OF IOWA COS ................... 268,800 12,750 JEFFERSON-PILOT CORP .................... 890,906 4,300 LIBERTY CORP ............................ 175,225 2,200 LIFE RE CORP ............................ 102,575 7,800 PRESIDENTIAL LIFE CORP .................. 151,125 6,100 PROTECTIVE LIFE CORP .................... 306,525 7,054 PROVIDENT COS, INC ...................... 377,389 15,800 oPROVIDIAN FINANCIAL CORP ................ 507,575 2,400 REINSURANCE GROUP OF AMERICA, INC ....... 138,000 14,000 RELIANCE GROUP HOLDINGS, INC ............ 166,250 See notes to financial statements. -70- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- INSURANCE--LIFE--(CONTINUED) 7,234 RELIASTAR FINANCIAL CORP ................ $ 528,986 19,600 SUNAMERICA, INC ......................... 955,500 11,500 TORCHMARK CORP .......................... 819,375 23,600 UNUM CORP ............................... 991,200 5,400 VESTA INSURANCE GROUP, INC .............. 233,550 15,900 WESTERN NATIONAL CORP ................... 426,318 ----------- 10,707,244 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--3.26% 9,400 20TH CENTURY INDUSTRIES ................. 197,400 22,750 AFLAC, INC .............................. 1,074,937 8,100 ALLIED GROUP, INC ....................... 307,800 10,500 ALLMERICA FINANCIAL CORP ................ 418,687 11,500 ALLMERICA PROPERTY & CASUALTY COS, INC ............................... 376,625 72,428 ALLSTATE CORP ........................... 5,287,244 6,300 AMERICAN BANKERS INSURANCE GROUP, INC ............................. 398,475 67,650 AMERICAN INTERNATIONAL GROUP, INC ....... 10,105,218 2,500 CAPITAL RE CORP ......................... 133,750 1,700 CAPMAC HOLDINGS, INC .................... 57,162 30,700 CHUBB CORP .............................. 2,053,062 12,500 CIGNA CORP .............................. 2,218,750 10,203 CINCINNATI FINANCIAL CORP ............... 806,037 2,000 oCNA FINANCIAL CORP ...................... 210,875 10,000 EVEREST REINSURANCE HOLDINGS, INC ....... 396,250 1,000 FIRST AMERICAN FINANCIAL CORP ........... 39,000 5,900 FREMONT GENERAL CORP .................... 237,475 2,200 FRONTIER INSURANCE GROUP, INC ........... 142,450 13,400 GENERAL REINSURANCE CORP ................ 2,438,800 1,500 HARLEYSVILLE GROUP, INC ................. 56,812 20,000 HARTFORD FINANCIAL SERVICES GROUP, INC ............................. 1,655,000 7,900 HCC INSURANCE HOLDINGS, INC ............. 210,831 850 oHIGHLANDS INSURANCE GROUP, INC .......... 17,106 4,500 HORACE MANN EDUCATORS CORP .............. 220,500 3,800 HSB GROUP, INC .......................... 202,825 800 oINSURANCE AUTO AUCTIONS, INC ............ 7,600 17,700 LINCOLN NATIONAL CORP ................... 1,139,437 2,400 MERCURY GENERAL CORP .................... 174,600 17,800 MGIC INVESTMENT CORP .................... 853,287 7,000 NAC RE CORP ............................. 338,625 6,200 OHIO CASUALTY CORP ...................... 272,800 17,750 OLD REPUBLIC INTERNATIONAL CORP ......... 538,046 3,300 ORION CAPITAL CORP ...................... 243,375 7,400 PROGRESSIVE CORP ........................ 643,800 22,200 SAFECO CORP ............................. 1,036,462 2,000 SELECTIVE INSURANCE GROUP, INC .......... 96,875 12,200 ST. PAUL COS, INC ....................... 930,250 11,700 TRANSAMERICA CORP ....................... 1,094,681 1,900 TRANSATLANTIC HOLDINGS, INC ............. 188,575 113,100 TRAVELERS GROUP, INC .................... 7,132,368 13,000 TRAVELERS PROPERTY CASUALTY CORP ........ 518,375 7,800 oUICI .................................... 230,100 1,600 UNITED WISCONSIN SERVICES, INC .......... 53,900 7,000 UNITRIN, INC ............................ 427,000 19,300 USF&G CORP .............................. 463,200 2,100 oZURICH REINSURANCE CENTRE HOLDINGS, INC .......................... 82,950 ------------ 45,729,377 ------------ LEISURE TIME--1.24% 2,900 oACCLAIM ENTERTAINMENT, INC .............. 11,962 2,300 oANCHOR GAMING CO ........................ 109,825 2,600 ARCTIC CAT, INC ......................... 26,975 600 oARGOSY GAMING CORP ...................... 1,950 4,496 oASCENT ENTERTAINMENT GROUP, INC ......... 41,026 4,700 AUTHENTIC FITNESS CORP .................. 59,337 1,500 oAUTOTOTE CORP (CLASS A) ................. 1,781 850 oBALLY TOTAL FITNESS HOLDINGS CORP ....... 7,862 12,800 oBOYD GAMING CORP ........................ 73,600 17,500 BRUNSWICK CORP .......................... 546,875 12,000 CALLAWAY GOLF CO ........................ 426,000 500 oCASINO MAGIC CORP ....................... 625 100 oCHARTWELL LEISURE, INC .................. 1,337 2,461 oCHRIS CRAFT INDUSTRIES, INC ............. 118,743 17,600 oCIRCUS CIRCUS ENTERPRISES, INC .......... 433,400 2,600 COACHMEN INDUSTRIES, INC ................ 44,525 119,726 DISNEY (WALT) CO ........................ 9,608,011 2,800 oGALOOB TOYS, INC ........................ 52,850 6,450 oGRAND CASINOS, INC ...................... 95,137 7,700 oGTECH HOLDINGS CORP ..................... 248,325 18,400 oHARRAHS ENTERTAINMENT, INC .............. 331,200 19,400 HASBRO, INC ............................. 550,475 3,700 oHOLLYWOOD ENTERTAINMENT CORP ............ 84,637 1,000 oHOLLYWOOD PARK, INC ..................... 14,625 19,900 INTERNATIONAL GAME TECHNOLOGY CO ........ 353,225 6,900 JOSTENS, INC ............................ 184,575 800 oJUMBOSPORTS, INC ........................ 3,050 5,500 K2, INC ................................. 174,281 5,000 KIMBALL INTERNATIONAL, INC (CLASS B) .... 201,250 49,556 MATTEL, INC ............................. 1,678,709 33,000 oMIRAGE RESORT, INC ...................... 833,250 3,000 OUTBOARD MARINE CORP .................... 53,250 3,250 oPLAYERS INTERNATIONAL, INC .............. 9,750 3,600 oPRIMADONNA RESORTS, INC ................. 69,525 6,800 oREGAL CINEMAS, INC ...................... 224,400 2,300 oSCIENTIFIC GAMES HOLDINGS CORP .......... 47,437 3,100 SHOWBOAT, INC ........................... 54,056 2,000 oSODAK GAMING, INC ....................... 29,500 5,500 oSPEEDWAY MOTORSPORTS, INC ............... 119,625 10,000 oSPELLING ENTERTAINMENT GROUP, INC ....... 68,750 6,700 oSTATION CASINOS, INC .................... 56,112 4,200 STRUM, RUGER & CO, INC .................. 82,425 5,100 oTRUMP HOTEL & CASINO RESORT, INC ........ 54,825 1,450 oWHG RESORTS & CASINO, INC ............... 15,768 5,800 oWMS INDUSTRIES, INC ..................... 145,362 ------------ 17,350,208 ------------ MACHINERY--1.53% 5,000 AEROQUIP-VICKERS, INC ................... 236,250 10,200 AGCO CORP ............................... 366,562 2,200 oAPPLIED POWER, INC (CLASS A) ............ 113,575 4,600 BW/IP HOLDING, INC ...................... 93,437 32,700 CATERPILLAR, INC ........................ 3,511,162 8,400 CINCINNATI MILACRON, INC ................ 217,875 5,300 oCOGNEX CORP ............................. 140,450 7,514 oCOOPER CAMERON CORP ..................... 351,279 15,930 COOPER INDUSTRIES, INC .................. 792,517 44,000 DEERE & CO .............................. 2,414,500 6,000 DELTA & PINE LAND CO .................... 213,750 19,700 DOVER CORP .............................. 1,211,550 10,500 DURCO INTERNATIONAL, INC ................ 307,125 9,700 FEDERAL SIGNAL CORP ..................... 243,712 2,500 oFMC CORP ................................ 198,593 1,500 oFSI INTERNATIONAL, INC .................. 24,000 4,100 GATX CORP ............................... 236,775 7,400 GIDDINGS & LEWIS, INC ................... 154,475 5,000 GREENFIELD INDUSTRIES, INC .............. 135,000 8,400 HARNISCHFEGER INDUSTRIES, INC ........... 348,600 9,000 HARSCO CORP ............................. 364,500 See notes to financial statements. -71- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- MACHINERY--(CONTINUED) 6,600 IDEX CORP ............................... $ 217,800 34,500 ILLINOIS TOOL WORKS, INC ................ 1,722,843 19,000 INGERSOLL-RAND CO ....................... 1,173,250 900 oINTEGRATED PROCESS EQUIPMENT CORP ....... 22,781 2,100 oINTERVOICE, INC ......................... 19,293 7,900 JLG INDUSTRIES, INC ..................... 107,637 4,200 KAYDON CORP ............................. 208,425 5,439 KENNAMETAL, INC ......................... 233,877 8,200 KEYSTONE INTERNATIONAL, INC ............. 284,437 6,348 LUCASVARITY PLC ADR ..................... 219,799 2,200 MANITOWOC, INC .......................... 102,850 7,200 MASCOTECH, INC .......................... 150,300 3,800 oMOLTEN METAL TECHNOLOGY, INC ............ 19,000 8,106 NEWPORT NEWS SHIPBUILDING, INC .......... 157,560 3,300 NORDSON CORP ............................ 212,025 2,400 oNOVELLUS SYSTEMS, INC ................... 207,600 13,150 PARKER-HANNIFIN CORP .................... 798,040 3,500 oREXEL, INC .............................. 64,750 2,900 ROPER INDUSTRIES, INC ................... 150,437 5,800 STEWART & STEVENSON SERVICES, INC ....... 150,800 10,400 SUNDSTRAND CORP ......................... 561,600 6,700 TECUMSEH PRODUCTS CO (CLASS A) .......... 401,162 7,700 TELEFLEX, INC ........................... 240,625 26,550 oTHERMO ELECTRON CORP .................... 912,656 3,700 oTHERMO FIBERTEK, INC .................... 37,925 11,812 TIMKEN CO ............................... 420,064 2,400 TORO CO ................................. 90,900 4,000 TRIMAS CORP ............................. 112,500 9,800 TRINITY INDUSTRIES, INC ................. 311,150 3,700 oULTRATECH STEPPER, INC .................. 84,637 1,800 WATTS INDUSTRIES, INC (CLASS A) ......... 43,200 7,900 YORK INTERNATIONAL CORP ................. 363,400 ------------ 21,479,010 ------------ METALS--ALUMINUM--0.25% 5,500 oACX TECHNOLOGIES, INC ................... 123,750 9,000 oALUMAX, INC ............................. 341,437 27,400 ALUMINUM CO OF AMERICA .................. 2,065,275 8,600 oKAISER ALUMINUN CORP .................... 105,350 12,400 REYNOLDS METALS CO ...................... 883,500 ------------ 3,519,312 ------------ METALS--GOLD--0.22% 18,600 oAMAX GOLD, INC .......................... 113,925 44,300 BATTLE MOUNTAIN GOLD CO ................. 251,956 4,500 oCOEUR DALENE MINES CORP ................. 58,218 17,692 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS A) ..................... 517,491 12,033 FREEPORT-MCMORAN COPPER & GOLD INC, (CLASS B) ..................... 374,527 5,891 oGETCHELL GOLD CORP ...................... 206,921 25,100 HOMESTAKE MINING CO ..................... 327,868 3,800 NEWMONT GOLD CO ......................... 151,762 26,135 NEWMONT MINING CORP ..................... 1,019,265 ----------- 3,021,933 ------------ METALS--NON-FERROUS--0.24% 9,500 ASARCO, INC ............................. 290,937 6,500 BMC INDUSTRIES, INC ..................... 222,625 1,200 BRUSH WELLMAN, INC ...................... 25,125 7,400 oCOLEMAN CO, INC ......................... 127,650 20,100 CYPRUS AMAX MINERALS CO ................. 492,450 4,916 FREEPORT-MCMORAN, INC ................... 141,949 6,700 oHECLA MINING CO ......................... 36,012 10,900 MAPCO, INC .............................. 343,350 5,400 MINERALS TECHNOLOGIES, INC .............. 202,500 3,300 oMUELLER INDUSTRIES, INC ................. 144,375 1,500 oOREGON METALLURICAL CORP ................ 42,187 11,200 PHELPS DODGE CORP ....................... 954,100 5,700 REGAL-BELOIT CORP ....................... 149,268 2,400 oRMI TITANIUM CO ......................... 65,400 4,500 oSTILLWATER MINING CO .................... 100,125 9,000 oSUNSHINE MINING & REFINING CO ........... 6,187 ------------ 3,344,240 ------------ METALS--STEEL--0.31% 5,300 AK STEEL HOLDINGS CORP .................. 233,862 23,425 ALLEGHENY TELEDYNE, INC ................. 632,475 10,300 oARMCO, INC .............................. 39,912 19,400 oBETHLEHEM STEEL CORP .................... 202,487 9,200 BIRMINGHAM STEEL CORP ................... 142,600 2,900 CARPENTER TECHNOLOGY CORP ............... 132,675 2,100 CLEVELAND CLIFFS, INC ................... 85,575 8,775 HANNA (M.A.) CO ......................... 252,829 8,500 INLAND STEEL INDUSTRIES, INC ............ 222,062 9,200 J & L SPECIALTY STEEL, INC .............. 110,400 20,500 LTV CORP ................................ 292,125 200 LUKENS, INC ............................. 3,762 14,500 NUCOR CORP .............................. 819,250 5,300 OREGON STEEL MILLS, INC ................. 105,668 300 ROUGE STEEL CO (CLASS A) ................ 5,062 17,400 oUNR INDUSTRIES, INC ..................... 119,625 15,000 USX-US STEEL GROUP, INC ................. 525,937 4,600 oWOLVERINE TUBE, INC ..................... 128,225 14,500 WORTHINGTON INDUSTRIES, INC ............. 265,531 ------------ 4,320,062 ------------ MISCELLANEOUS MATERIALS & COMMODITIES--0.01% 1,857 DELTIC TIMBER CORP ...................... 54,433 4,400 oOAKLEY, INC ............................. 61,875 1,500 oZOLTEK COS, INC ......................... 57,375 ------------ 173,683 ------------ OFFICE EQUIPMENT--3.67% 15,500 oAMDAHL CORP ............................. 136,593 23,300 oAPPLE COMPUTER, INC ..................... 332,025 3,900 oAPPLIED MAGNETICS CORP .................. 88,237 9,100 oASPECT TELECOMMUNICATIONS CORP .......... 202,475 2,742 oAST RESEARCH, INC ....................... 14,481 16,900 AVERY DENNISON CORP ..................... 678,112 2,200 oBOISE CASCADE OFFICE PRODUCTS CORP ...... 37,400 49,300 oCOMPAQ COMPUTER CORP .................... 4,893,025 7,600 oDATA GENERAL CORP ....................... 197,600 24,000 oDELL COMPUTER CORP ...................... 2,818,500 27,300 oDIGITAL EQUIPMENT CORP .................. 967,443 2,600 FILENET CORP ............................ 37,700 5,000 oGATEWAY 2000, INC ....................... 162,187 147,800 HEWLETT-PACKARD CO ...................... 8,276,800 4,000 HON INDUSTRIES, INC ..................... 177,000 25,300 IKON OFFICE SOLUTIONS, INC .............. 630,918 1,700 oIN FOCUS SYSTEMS, INC ................... 43,562 176,800 *INTERNATIONAL BUSINESS MACHINES CORP .......................... 15,945,150 20,200 oIOMEGA CORP ............................. 401,475 8,900 oKOMAG, INC .............................. 145,737 11,700 oLEXMARK INTERNATIONAL GROUP (CLASS A) ........................ 355,387 8,400 MILLER (HERMAN), INC .................... 302,400 6,900 oPAXAR CORP .............................. 130,237 26,800 PITNEY BOWES, INC ....................... 1,862,600 See notes to financial statements. -72- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- OFFICE EQUIPMENT--(CONTINUED) 19,200 oQUANTUM CORP ............................ $ 390,000 4,500 oSCI SYSTEMS, INC ........................ 286,875 44,100 oSEAGATE TECHNOLOGY, INC ................. 1,551,768 8,400 oSEQUENT COMPUTER SYSTEMS, INC ........... 176,925 32,268 oSILICON GRAPHICS, INC ................... 484,020 8,000 oSOLECTRON CORP .......................... 560,500 10,600 oSTORAGE TECHNOLOGY CORP ................. 471,700 4,900 oSTRATUS COMPUTER, INC ................... 245,000 64,200 oSUN MICROSYSTEMS, INC ................... 2,389,443 23,100 oTANDEM COMPUTERS, INC ................... 467,775 6,200 oU.S. OFFICE PRODUCTS CO ................. 189,487 37,500 oUNISYS CORP ............................. 285,937 14,300 oVIKING OFFICE PRODUCTS, INC ............. 271,700 7,900 oWANG LABORATORIES, INC .................. 168,368 58,400 XEROX CORP .............................. 4,606,300 ------------ 51,382,842 ----------- PAPER--0.65% 5,500 ALBANY INTERNATIONAL CORP (CLASS A) ............................... 123,750 9,700 BEMIS, INC .............................. 419,525 6,200 BOWATER, INC ............................ 286,750 4,200 oBUCKEYE CELLULOSE CORP .................. 141,750 7,300 CARAUSTAR INDUSTRIES, INC ............... 252,762 3,800 CHESAPEAKE CORP ......................... 128,250 4,900 CONSOLIDATED PAPERS, INC ................ 264,600 270 oCROWN VANTAGE, INC ...................... 2,025 5,900 oFORT HOWARD CORP ........................ 298,687 6,400 GLATFELTER (P.H.) CO .................... 128,000 52,248 INTERNATIONAL PAPER CO .................. 2,537,293 12,700 JAMES RIVER CORP OF VIRGINIA ............ 469,900 5,300 oJEFFERSON SMURFIT CORP .................. 84,800 12,400 LONGVIEW FIBRE CO ....................... 206,150 9,100 MEAD CORP ............................... 566,475 10,600 PENTAIR, INC ............................ 348,475 1,900 oSHOREWOOD PACKAGING CORP ................ 43,225 16,930 SONOCO PRODUCTS CO ...................... 515,306 15,600 oSTONE CONTAINER CORP .................... 223,275 10,200 TEMPLE-INLAND, INC ...................... 550,800 12,000 UNION CAMP CORP ......................... 600,000 16,350 UNISOURCE WORLDWIDE, INC ................ 261,600 7,325 WAUSAU PAPER MILLS CO ................... 138,259 16,050 WESTVACO CORP ........................... 504,571 ------------ 9,096,228 ------------ PETROLEUM-- EXPLORATION & PRODUCTION--0.78% 15,500 AMERADA HESS CORP ....................... 861,218 8,600 ANADARKO PETROLEUM CORP ................. 516,000 12,800 APACHE CORP ............................. 416,000 6,300 oBARNETT RESOURCES CORP .................. 188,606 2,300 oBELCO OIL & GAS CORP .................... 49,306 6,100 oBENTON OIL & GAS CO ..................... 91,500 6,900 oBROWN (TOM), INC ........................ 146,625 21,600 BURLINGTON RESOURCES, INC ............... 953,100 5,400 CHESAPEAKE ENERGY CORP .................. 52,987 5,900 DEVON ENERGY CORP ....................... 216,825 11,200 ENRON OIL & GAS CO ...................... 203,000 4,800 oENSERCH EXPLORATION, INC ................ 52,500 5,800 oEVI, INC ................................ 243,600 2,500 oFALCON DRILLING CO, INC ................. 144,062 3,800 oFOREST OIL CORP ......................... 55,812 15,300 oHARKEN ENERGY CORP ...................... 107,100 4,800 KCS ENERGY, INC ......................... 97,800 8,200 KERR-MCGEE CORP ......................... 519,675 5,500 LOUISIANA LAND & EXPLORATION CO ......... 314,187 2,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) ......................... 44,550 8,200 MURPHY OIL CORP ......................... 399,750 11,000 oNEWFIELD EXPLORATION CO ................. 220,000 7,800 NOBLE AFFILIATES, INC ................... 301,762 4,300 oNUEVO ENERGY CO ......................... 176,300 2,400 oOCEAN ENERGY, INC ....................... 111,000 19,700 oORYX ENERGY CO .......................... 416,162 6,000 PARKER & PARSLEY PETROLEUM CO ........... 212,250 8,900 PENNZOIL CO ............................. 683,075 5,300 POGO PRODUCING CO ....................... 205,043 16,500 oSANTA FE ENERGY RESOURCES, INC .......... 242,343 11,192 oSEAGULL ENERGY CORP ..................... 195,860 8,800 SNYDER OIL CORP ......................... 161,700 4,500 SOUTHDOWN INC ........................... 196,312 3,500 oSWIFT ENERGY CO ......................... 83,562 4,025 oTEJAS GAS CORP .......................... 157,981 2,700 oTRITON ENERGY LTD ....................... 123,693 42,792 UNION PACIFIC RESOURCES GROUP, INC ...... 1,064,451 15,500 UNION TEXAS PETROLEUM HOLDINGS, INC ..... 324,531 5,400 oUNITED MERIDIAN CORP .................... 162,000 5,100 VINTAGE PETROLEUM, INC .................. 156,825 ------------ 10,869,053 ------------ PETROLEUM--INTEGRATED--4.91% 86,100 AMOCO CORP .............................. 7,485,318 9,800 ASHLAND, INC ............................ 454,475 55,700 ATLANTIC RICHFIELD CO ................... 3,926,850 115,300 CHEVRON CORP ............................ 8,524,993 436,500 EXXON CORP .............................. 26,844,750 3,200 oFORCENERGY GAS EXPLORATION, INC ......... 97,200 138,100 MOBIL CORP .............................. 9,649,737 58,900 OCCIDENTAL PETROLEUM CORP ............... 1,476,181 36,400 PHILLIPS PETROLEUM CO ................... 1,592,500 12,000 QUAKER STATE OIL REFINING CORP .......... 183,000 15,100 SUN CO, INC ............................. 468,100 45,600 TEXACO, INC ............................. 4,959,000 44,076 UNOCAL CORP ............................. 1,710,699 49,800 USX-MARATHON GROUP, INC ................. 1,437,975 ----------- 68,810,778 ------------ PETROLEUM--SERVICE--1.01% 900 oATWOOD OCEANICS, INC .................... 60,300 24,800 BAKER HUGHES, INC ....................... 959,450 5,950 oBJ SERVICES CO .......................... 319,068 160 oBJ SERVICES CO WTS 04/13/00 ............. 4,680 13,200 CABOT CORP .............................. 374,550 8,620 CAMCO INTERNATIONAL, INC ................ 471,945 3,000 oCLIFFS DRILLING CO ...................... 109,500 9,900 CROSS TIMBERS OIL CO .................... 190,575 3,500 oDIAMOND OFFSHORE DRILLING, INC .......... 273,437 30,200 DRESSER INDUSTRIES, INC ................. 1,124,950 12,225 oENSCO INTERNATIONAL, INC ................ 644,868 14,600 FLUOR CORP .............................. 805,737 5,300 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC ..... 108,650 6,800 oGLOBAL INDUSTRIES LTD ................... 158,843 22,800 oGLOBAL MARINE, INC ...................... 530,100 22,036 HALLIBURTON CO .......................... 1,746,353 5,000 HELMERICH & PAYNE, INC .................. 288,125 7,000 oMARINE DRILLING CO, INC ................. 137,375 190 oMCMORAN OIL & GAS CO .................... 641 17,900 oNABORS INDUSTRIES, INC .................. 447,500 6,400 oNEWPARK RESOURCES, INC .................. 216,000 See notes to financial statements. -73- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- PETROLEUM--SERVICE--(CONTINUED) 4,900 oNL INDUSTRIES, INC ...................... $ 71,050 20,300 oNOBLE DRILLING CORP ..................... 458,018 10,300 oPARKER DRILLING CO ...................... 114,587 8,800 oPRIDE INTERNATIONAL INC ................. 211,200 12,100 oREADING & BATES CORP .................... 323,675 12,500 oROWAN COS, INC .......................... 352,343 6,500 oSMITH INTERNATIONAL, INC ................ 394,875 9,500 TIDEWATER, INC .......................... 418,000 23,247 TOSCO CORP .............................. 695,957 5,100 TRANSOCEAN OFFSHORE, INC (U.S.) ......... 370,387 11,100 oTUBOSCOPE VETCO INTERNATIONAL CORP ...... 220,612 14,294 ULTRAMAR DIAMOND SHAMROCK CORP .......... 466,341 2,800 oVARCO INTERNATIONAL, INC ................ 90,300 3,200 VASTAR RESOURCES, INC ................... 112,200 9,200 oWEATHERFORD ENTERRA, INC ................ 354,200 7,600 oWESTERN ATLAS, INC ...................... 556,700 ------------ 14,183,092 ------------ PHOTOGRAPHY--0.36% 57,800 EASTMAN KODAK CO ........................ 4,436,150 1,900 oPHOTRONICS, INC ......................... 90,725 7,400 POLAROID CORP ........................... 410,700 1,400 oPRESSTEK, INC ........................... 121,450 ------------ 5,059,025 ------------ PROPERTY--REAL ESTATE--0.20% 6,900 AVALON PROPERTIES, INC .................. 197,512 10,400 CRESCENT REAL ESTATE EQUITIES, INC ...... 330,200 1,040 oCRESECENT OPERATING, INC ................ 12,480 14,400 HOSPITALITY PROPERTIES TRUST ............ 441,000 6,250 KIMCO REALTY CORP ....................... 198,437 8,400 PATRIOT AMERICAN HOSPITALITY ............ 214,200 11,200 oRECKSON ASSOCIATES REALTY CORP .......... 257,600 5,300 REDWOOD TRUST, INC ...................... 247,775 8,400 SECURITY CAPITAL INDUSTRIAL TRUST ....... 180,600 12,500 TAUBMAN CENTERS, INC .................... 165,625 15,900 oTOLL BROTHERS, INC ...................... 292,162 6,800 WASHINGTON REAL ESTATE INVESTMENT TRUST ....................... 120,700 3,800 WEINGARTEN REALTY INVESTORS, INC ........ 160,550 800 oWELLSFORD REAL PROPERTIES, INC .......... 8,800 ------------ 2,827,641 ------------ PUBLISHING--NEWSPAPER--0.53% 7,700 BELO (A.H.) CORP SERIES A ............... 320,512 2,400 CENTRAL NEWSPAPERS, INC (CLASS A) ....... 171,900 13,484 oCOX COMMUNICATIONS, INC (CLASS A) NEW ........................... 323,616 8,500 DOW JONES & CO, INC ..................... 341,593 24,000 GANNETT CO, INC ......................... 2,370,000 14,400 HOLLINGER INTERNATIONAL, INC ............ 161,100 15,000 KNIGHT-RIDDER, INC ...................... 735,937 3,100 MEDIA GENERAL, INC (CLASS A) ............ 124,000 17,300 NEW YORK TIMES CO (CLASS A) ............. 856,350 12,180 NEWS CORP LTD ADR (LTD-VTG) ............. 190,312 14,400 TIMES MIRROR CO SERIES A ................ 795,600 17,400 TRIBUNE CO .............................. 836,287 5,300 oVALASSIS COMMUNICATIONS, INC ............ 127,200 200 WASHINGTON POST CO (CLASS B) ............ 79,600 ------------ 7,434,007 ------------ PUBLISHING--OTHER--0.66% 4,400 oAMERICAN BUSINESS INFORMATION, INC ...... 95,700 13,100 AMERICAN GREETINGS CORP (CLASS A) ....... 486,337 4,600 BOWNE & CO, INC ......................... 160,425 18,200 DONNELLEY (R.R.) & SONS CO .............. 666,575 29,400 DUN & BRADSTREET CORP ................... 771,750 700 oGIBSON GREETINGS, INC ................... 15,750 9,500 HARCOURT GENERAL, INC ................... 452,437 2,700 HOUGHTON MIFFLIN CO ..................... 180,225 33,000 oK-III COMMUNICATIONS CORP ............... 396,000 1,400 LEE ENTERPRISES, INC .................... 36,925 5,300 XoMARVEL ENTERTAINMENT GROUP, INC ......... 12,587 17,300 MCGRAW HILL COS, INC .................... 1,017,456 8,300 MEREDITH CORP ........................... 240,700 16,400 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VTG) ..................... 470,475 3,300 oSCHOLASTIC CORP ......................... 115,500 82,093 TIME WARNER, INC ........................ 3,960,987 8,700 oWORLD COLOR PRESS, INC .................. 206,625 ------------ 9,286,454 ------------ RAILROAD--0.73% 27,045 BURLINGTON NORTHERN SANTA FE CORP .......................... 2,430,669 37,600 CSX CORP ................................ 2,086,800 9,600 ILLINOIS CENTRAL CORP SERIES A .......... 335,400 5,200 KANSAS CITY SOUTHERN INDUSTRIES, INC .... 335,400 21,600 NORFOLK SOUTHERN CORP ................... 2,176,200 36,385 UNION PACIFIC CORP ...................... 2,565,142 9,100 oWISCONSIN CENTRAL TRANSIT CORP .......... 338,975 ------------ 10,268,586 ------------ RESTAURANTS & HOTELS--1.25% 7,500 APPLE SOUTH, INC ........................ 114,375 6,800 oAPPLEBEES INTERNATIONAL, INC ............ 181,900 9,300 oAZTAR CORP .............................. 65,681 14,300 BOB EVANS FARMS, INC .................... 242,206 11,100 oBOSTON CHICKEN, INC ..................... 155,400 4,000 oBRISTOL HOTEL CO ........................ 154,000 5,600 oBUFFETS, INC ............................ 47,250 8,500 oCHOICE HOTELS INTERNATIONAL, INC ........ 143,968 7,600 CKE RESTAURANTS, INC .................... 240,350 11,000 CRACKER BARREL OLD COUNTRY STORE, INC .............................. 291,500 30,300 DARDEN RESTAURANTS, INC ................. 274,593 10,200 oEXTENDED STAY AMERICA, INC .............. 160,650 11,300 FELCOR SUITE HOTELS, INC ................ 420,925 7,800 oFOODMAKER, INC .......................... 127,725 26,767 oHFS INC ................................. 1,552,486 32,800 HILTON HOTELS CORP ...................... 871,250 1,344 oHOMESTEAD VILLAGE, INC .................. 24,024 902 oHOMESTEAD VILLAGE, INC WTS 10/29/97 ..... 7,667 29,400 oHOST MARRIOTT CORP ...................... 523,687 1,940 oHOST MARRIOTT SERVICES CORP ............. 22,795 20,100 oITT CORP ................................ 1,227,356 12,150 LA QUINTA INNS, INC ..................... 265,781 5,500 oLANDRYS SEAFOOD RESTAURANTS, INC ........ 126,500 5,200 oLONE STAR STEAKHOUSE & SALOON, INC ...... 135,200 9,500 LUBYS CAFETERIA, INC .................... 189,406 17,400 MARRIOTT INTERNATIONAL, INC ............. 1,067,925 119,300 MCDONALDS CORP .......................... 5,763,681 3,300 oMGM GRAND, INC .......................... 122,100 825 MORRISON FRESH COOKING, INC ............. 3,815 8,600 oOUTBACK STEAKHOUSE, INC ................. 208,012 5,050 oPAPA JOHNS INTERNATIONAL, INC ........... 185,587 8,100 oPRIME HOSPITALITY CORP .................. 159,975 9,500 oPROMUS HOTEL CORP ....................... 368,125 2,100 oRAINFOREST CAFE, INC .................... 53,287 3,100 oRED ROOF INNS, INC ...................... 55,800 800 oRIO HOTEL & CASINO, INC ................. 12,050 2,250 oRUBY TUESDAY, INC ....................... 50,484 See notes to financial statements. -74- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- RESTAURANTS & HOTELS--(CONTINUED) 10,900 oRYANS FAMILY STEAK HOUSES, INC .......... $ 93,331 2,700 SBARRO, INC ............................. 74,925 5,600 oSHONEYS, INC ............................ 33,250 30,400 SYSCO CORP .............................. 1,109,600 20,900 WENDYS INTERNATIONAL, INC ............... 542,093 ----------- 17,470,715 ------------ RETAIL--FOOD--0.63% 38,800 ALBERTSONS, INC ......................... 1,416,200 20,200 AMERICAN STORES CO ...................... 997,375 12,152 FLEMING COS, INC ........................ 218,736 45,500 FOOD LION, INC (CLASS B) ................ 327,031 10,200 GIANT FOOD, INC (CLASS A) ............... 332,775 5,100 GREAT ATLANTIC & PACIFIC TEA CO, INC .... 138,656 6,000 HANNAFORD BROTHERS, INC ................. 213,375 38,900 oKROGER CO ............................... 1,128,100 2,612 oQUALITY FOOD CENTERS, INC ............... 99,256 4,600 RUDDICK CORP ............................ 75,900 9,100 oRYKOFF-SEXTON, INC ...................... 212,143 42,642 oSAFEWAY, INC ............................ 1,966,862 21,700 oSOUTHLAND CORP .......................... 72,559 13,100 oSTARBUCKS CORP .......................... 510,081 13,100 SUPERVALU, INC .......................... 451,950 6,700 VALMONT INDUSTRIES ...................... 127,300 15,700 WINN DIXIE STORES, INC .................. 584,825 ------------ 8,873,124 ------------ RETAIL--GENERAL MERCHANDISE--3.89% 26,700 oAUTOZONE, INC ........................... 629,118 5,400 oBARNES & NOBLE, INC ..................... 232,200 7,700 oBED BATH & BEYOND, INC .................. 233,887 3,900 oBEST BUY, INC ........................... 58,012 1,200 oBOMBAY, INC ............................. 6,000 12,400 oBORDERS GROUP, INC ...................... 299,150 2,200 BROWN GROUP, INC ........................ 41,112 5,100 oBURLINGTON COAT FACTORY WAREHOUSE CORP .......................... 99,450 1,300 XoCALDOR CORP ............................. 1,868 5,000 oCARSON PIRIE SCOTT & CO ................. 158,750 11,500 CASEYS GENERAL STORES, INC .............. 247,609 19,500 oCHARMING SHOPPES, INC ................... 101,765 16,200 CIRCUIT CITY STORES-CIRCUIT CITY GROUP ................................... 576,112 9,700 CLAIRES STORES, INC ..................... 169,750 2,600 oCML GROUP, INC .......................... 4,712 14,437 oCONSOLIDATED STORES CORP ................ 501,685 30,200 oCOSTCO COMPANIES, INC ................... 992,825 67,259 oCUC INTERNATIONAL, INC .................. 1,736,122 23,631 oCVS CORP ................................ 1,211,088 37,500 DAYTON HUDSON CORP ...................... 1,994,531 3,600 oDEPARTMENT 56, INC ...................... 79,875 20,400 DILLARDS, INC (CLASS A) ................. 706,350 19,115 DOLLAR GENERAL CORP ..................... 716,812 3,400 oDOLLAR TREE STORES, INC ................. 171,275 300 XoEDISON BROTHERS STORES, INC ............. 375 3,900 ETHAN ALLEN INTERIORS, INC .............. 222,300 6,900 FAMILY DOLLAR STORES, INC ............... 188,025 36,213 oFEDERATED DEPARTMENT STORES, INC ........ 1,258,401 9,900 FINGERHUT COS, INC ...................... 172,631 8,369 oFOOTSTAR, INC ........................... 218,640 14,600 oFURNITURE BRANDS INTERNATIONAL, INC ..... 282,875 36,300 GAP, INC ................................ 1,411,162 1,500 oGLOBAL DIRECTMAIL CORP .................. 39,093 5,100 oGYMBOREE CORP ........................... 122,400 1,800 oHANDLEMAN CO ............................ 11,475 1,700 oHECHINGER CO (CLASS A) .................. 3,612 9,700 HEILIG MEYERS CO ........................ 190,362 87,400 HOME DEPOT, INC ......................... 6,025,137 9,065 oHSN, INC ................................ 283,281 900 oINTELLIGENT ELECTRONICS, INC ............ 2,531 6,300 oJONES APPAREL GROUP, INC ................ 300,825 94,200 oK MART CORP ............................. 1,153,950 8,700 oKOHLS CORP .............................. 460,556 3,200 oLANDS END, INC .......................... 94,800 37,592 LIMITED, INC ............................ 761,238 6,900 LONGS DRUG STORES CORP .................. 180,693 25,200 LOWES COS, INC .......................... 935,550 4,400 oMAC FRUGALS BARGAINS CLOSE-OUTS, INC ......................... 119,900 45,000 MAY DEPARTMENT STORES CO ................ 2,126,250 3,300 oMENS WAREHOUSE, INC ..................... 103,950 4,700 MERCANTILE STORES CO, INC ............... 295,806 4,500 oMEYER (FRED), INC ....................... 232,593 4,000 oMICHAELS STORES, INC .................... 84,750 600 oMICROAGE, INC ........................... 11,025 1,000 oMOVIE GALLERY, INC ...................... 6,375 3,700 oMSC INDUSTRIAL DIRECT CO (CLASS A) ...... 148,462 1,700 oMUSICLAND STORES CORP ................... 4,568 4,200 oNEIMAN-MARCUS GROUP, INC ................ 110,250 8,600 NORDSTROM, INC .......................... 421,937 22,000 oOFFICEMAX, INC .......................... 317,625 7,396 oPAYLESS SHOESOURCE, INC ................. 404,468 36,805 PENNEY, (J.C.) CO, INC .................. 1,920,760 10,300 PEP BOYS MANNY, MOE, & JACK CO .......... 350,843 4,400 oPETCO ANIMAL SUPPLIES, INC .............. 132,000 2,900 XoPETRIE STORES CORP (LIQUIDATING TRUST) .................... 9,062 19,800 oPETSMART, INC ........................... 227,700 9,580 PIER 1 IMPORTS, INC ..................... 253,870 4,450 oPROFFITTS, INC .......................... 195,243 3,500 REGIS CORP .............................. 82,687 3,200 oREXALL SUNDOWN, INC ..................... 124,800 19,615 RITE AID CORP ........................... 978,298 7,900 ROSS STORES, INC ........................ 258,231 7,600 ROUSE CO ................................ 224,200 3,700 RUSS BERRIE & CO, INC ................... 81,168 2,400 oSAMSONITE CORP .......................... 105,900 59,800 SEARS ROEBUCK & CO ...................... 3,214,250 17,200 oSERVICE MERCHANDISE, INC ................ 51,600 13,400 oSHOPKO STORES, INC ...................... 341,700 10,800 SOTHEBYS HOLDINGS, INC (CLASS A) ........ 182,250 600 oSPIEGEL, INC (CLASS A) .................. 4,125 27,250 oSTAPLES, INC ............................ 633,562 4,200 oSTEIN MART, INC ......................... 126,000 10,500 STRIDE RITE CORP ........................ 135,187 6,600 SUNGLASS HUT INTERNATIONAL, INC ......... 41,662 2,500 TALBOTS, INC ............................ 85,000 9,100 TANDY CORP .............................. 509,600 9,050 oTHE SPORTS AUTHORITY, INC ............... 175,909 5,000 TIFFANY & CO ............................ 230,937 30,400 TJX COS, INC ............................ 801,800 1,000 oTOPPS, INC .............................. 4,187 45,301 oTOYS R US, INC .......................... 1,585,535 4,800 oWABAN, INC .............................. 154,500 246,800 WAL-MART STORES, INC .................... 8,344,925 42,700 WALGREEN CO ............................. 2,289,787 2,500 oWEST MARINE, INC ........................ 64,375 3,600 oWILLIAMS-SONOMA, INC .................... 153,900 23,500 oWOOLWORTH CORP .......................... 564,000 10,500 oZALE CORP ............................... 208,031 ------------ 54,525,513 ------------ See notes to financial statements. -75- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- TEXTILE & APPAREL--0.47% 3,700 oANN TAYLOR STORES CORP .................. $ 72,150 14,900 oBURLINGTON INDUSTRIES, INC .............. 178,800 600 CATO CORP (CLASS A) ..................... 3,262 1,600 oCONE MILLS CORP ......................... 12,800 13,300 oFRUIT OF THE LOOM, INC (CLASS A) ........ 412,300 5,200 G & K SERVICES, INC (CLASS A) ........... 193,700 3,600 oJUST FOR FEET INC ....................... 62,775 5,700 KELLWOOD CO ............................. 158,175 12,100 LIZ CLAIBORNE, INC ...................... 564,162 5,400 oMOHAWK INDUSTRIES, INC .................. 122,850 8,400 oNAUTICA ENTERPRISES, INC ................ 222,075 22,400 NIKE, INC (CLASS B) ..................... 1,307,600 5,200 oNINE WEST GROUP, INC .................... 198,575 1,300 PHILLIPS VAN HEUSEN CORP ................ 19,500 7,990 oREEBOK INTERNATIONAL LTD ................ 375,030 7,800 RUSSELL CORP ............................ 231,075 4,800 SPRING INDUSTRIES, INC .................. 253,200 4,400 ST. JOHN KNITS, INC ..................... 237,600 10,500 UNIFI, INC .............................. 392,437 9,300 VF CORP ................................. 788,175 10,500 WARNACO GROUP, INC (CLASS A) ............ 334,687 5,300 oWESTPOINT STEVENS, INC .................. 207,362 9,562 WOLVERINE WORLD WIDE, INC ............... 290,445 ------------ 6,638,735 ------------ TOBACCO--1.69% 12,900 DIMON, INC .............................. 341,850 30,500 FORTUNE BRANDS, INC ..................... 1,138,031 800 MAFCO CONSOLIDATED GROUP, INC ........... 26,800 427,700 PHILIP MORRIS COS, INC .................. 18,979,187 58,483 RJR NABISCO HOLDINGS CORP ............... 1,929,939 3,860 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ..................... 144,750 7,800 UNIVERSAL CORP .......................... 247,650 33,200 UST, INC ................................ 921,300 ------------ 23,729,507 ------------ TRUCKERS & SHIPPING--0.18% 5,200 oAMERICAN FREIGHTWAYS CORP ............... 81,250 5,800 APL LTD ................................. 181,250 3,000 ARNOLD INDUSTRIES, INC .................. 51,000 4,200 CALIBER SYSTEM, INC ..................... 156,450 6,900 CNF TRANSPORTATION, INC ................. 222,525 3,450 oCONSOLIDATED FREIGHTWAYS CORP ........... 56,493 3,410 oHALTER MARINE GROUP, INC ................ 81,840 3,300 oHEARTLAND EXPRESS, INC .................. 77,550 6,200 HUNT (J.B.) TRANSPORT SERVICES, INC ..... 92,225 800 oLANDSTAR SYSTEM, INC .................... 22,500 200 oM.S. CARRIERS, INC ...................... 5,025 6,200 oOMI, INC ................................ 59,287 1,600 OVERSEAS SHIPHOLDING GROUP, INC ......... 31,400 4,000 PITTSTON BURLINGTON GROUP CO ............ 112,500 700 ROADWAY EXPRESS, INC .................... 16,362 13,600 ROLLINS TRUCK LEASING CORP .............. 202,300 14,300 RYDER SYSTEM, INC ....................... 471,900 5,300 SWIFT TRANSPORTATION CO, INC ............ 156,350 6,400 USFREIGHTWAYS CORP ...................... 165,600 7,700 WERNER ENTERPRISES, INC ................. 149,187 2,200 XTRA CORP ............................... 96,662 3,700 oYELLOW CORP ............................. 82,787 ------------ 2,572,443 ------------ UTILITIES--ELECTRIC--3.24% 8,400 oAES CORP ................................ 594,300 21,200 ALLEGHENY POWER SYSTEMS, INC ............ 565,775 31,100 AMERICAN ELECTRIC POWER CO, INC ......... 1,306,200 16,100 ATLANTIC ENERGY, INC .................... 270,681 25,500 BALTIMORE GAS & ELECTRIC CO ............. 680,531 9,900 BOSTON EDISON CO ........................ 261,112 23,400 CAROLINA POWER & LIGHT CO ............... 839,475 31,200 CENTERIOR ENERGY CORP ................... 349,050 34,200 CENTRAL & SOUTH WEST CORP ............... 726,750 4,900 CENTRAL HUDSON GAS & ELECTRIC CORP ...... 168,743 7,100 oCENTRAL LOUISIANA ELECTRIC, INC ......... 199,687 8,500 CENTRAL MAINE POWER CO .................. 105,187 1,900 CILCORP, INC ............................ 78,256 25,523 CINERGY CORP ............................ 888,519 5,700 CIPSCO, INC ............................. 208,406 29,280 oCITIZENS UTILITIES CO (CLASS B) ......... 234,240 13,600 CMS ENERGY CORP ......................... 479,400 5,700 COMMONWEALTH ENERGY SYSTEM CO ........... 136,443 39,800 CONSOLIDATED EDISON CO OF NEW YORK, INC .......................... 1,171,612 15,700 DELMARVA POWER & LIGHT CO ............... 299,281 31,400 DOMINION RESOURCES, INC ................. 1,150,025 16,600 DPL, INC ................................ 408,775 12,600 DQE, INC ................................ 355,950 25,300 DTE ENERGY CO ........................... 698,912 61,070 DUKE ENERGY CORP ........................ 2,927,543 3,300 EASTERN UTILITIES ASSOCIATION CO ........ 60,225 68,800 EDISON INTERNATIONAL CO ................. 1,711,400 16,600 ENOVA CORP .............................. 399,437 39,200 ENTERGY CORP ............................ 1,073,100 16,400 FLORIDA PROGRESS CORP ................... 513,525 28,200 FPL GROUP, INC .......................... 1,298,962 20,000 GPU, INC ................................ 717,500 5,800 HAWAIIAN ELECTRIC INDUSTRIES, INC ....... 224,025 30,400 HOUSTON INDUSTRIES, INC ................. 651,700 7,400 IDAHO POWER CO .......................... 232,175 6,500 IES INDUSTRIES, INC ..................... 191,750 14,500 ILLINOVA CORP ........................... 319,000 10,700 IPALCO ENTERPRISES, INC ................. 334,375 8,900 KANSAS CITY POWER & LIGHT CO ............ 254,206 6,200 KU ENERGY CORP .......................... 211,575 19,300 LONG ISLAND LIGHTING CO ................. 443,900 12,400 LOUISVILLE GAS & ELECTRIC ENERGY CORP ............................ 273,575 6,500 MDU RESOURCES GROUP, INC ................ 156,000 23,200 MIDAMERICAN ENERGY HOLDINGS CO .......... 401,650 6,900 MINNESOTA POWER & LIGHT CO .............. 209,587 12,900 MONTANA POWER CO ........................ 299,118 14,100 NEVADA POWER CO ......................... 299,625 11,100 NEW ENGLAND ELECTRIC SYSTEMS CO ......... 410,700 14,500 NEW YORK STATE ELECTRIC & GAS CORP ...... 302,687 33,000 oNIAGARA MOHAWK POWER CORP ............... 282,562 8,600 NIPSCO INDUSTRIES, INC .................. 355,287 27,800 NORTHEAST UTILITIES CO .................. 265,837 11,300 NORTHERN STATES POWER CO ................ 584,775 7,400 OGE ENERGY CORP ......................... 336,700 24,900 OHIO EDISON CO .......................... 543,131 5,300 ORANGE & ROCKLAND UTILITY, INC .......... 178,212 50,100 PACIFICORP .............................. 1,102,200 40,700 PECO ENERGY CO .......................... 854,700 See notes to financial statements. -76- EQUITY INDEX ACCOUNT (CONTINUED) SHARES VALUE ------ ----- UTILITIES--ELECTRIC--(CONTINUED) 69,500 PG&E CORP ............................... $ 1,685,375 13,200 PINNACLE WEST CAPITAL CORP .............. 396,825 7,400 PORTLAND GENERAL CORP ................... 293,687 20,600 POTOMAC ELECTRIC POWER CO ............... 476,375 29,000 PP&L RESOURCES, INC ..................... 578,187 10,800 PUBLIC SERVICE CO OF COLORADO ........... 448,200 12,800 PUBLIC SERVICE CO OF NEW MEXICO ......... 228,800 39,200 PUBLIC SERVICE ENTERPRISE GROUP, INC .... 980,000 19,040 PUGET SOUND ENERGY, INC ................. 504,560 11,700 ROCHESTER GAS & ELECTRIC CORP ........... 246,431 17,900 SCANA CORP .............................. 444,143 10,100 SIERRA PACIFIC RESOURCES ................ 323,200 114,600 SOUTHERN CO ............................. 2,506,875 6,200 SOUTHWESTERN PUBLIC SERVICE CO .......... 243,737 17,800 TECO ENERGY, INC ........................ 455,012 37,500 TEXAS UTILITIES CO ...................... 1,291,406 4,940 oTUCSON ELECTRIC POWER CO ................ 71,630 38,300 UNICOM CORP ............................. 852,175 16,700 UNION ELECTRIC CO ....................... 629,381 1,500 UNITED ILLUMINATING CO .................. 46,312 6,500 UNITED WATER RESOURCES, INC ............. 125,937 10,864 UTILICORP UNITED, INC ................... 316,414 17,600 WASHINGTON WATER POWER CO ............... 345,400 10,800 WESTERN RESOURCES, INC .................. 350,325 20,200 WISCONSIN ENERGY CORP ................... 502,475 11,000 WPL HOLDINGS, INC ....................... 307,312 7,800 WPS RESOURCES CORP ...................... 208,650 ------------ 45,456,878 ------------ UTILITIES--GAS & PIPELINE--1.10% 10,800 AGL RESOURCES, INC ...................... 222,750 13,500 oAMERICAN STANDARD COS, INC .............. 604,125 12,100 AMERICAN WATER WORKS CO, INC ............ 258,637 5,900 oBLACK BOX CORP .......................... 237,475 8,900 BROOKLYN UNION GAS CO ................... 254,762 1,400 CABOT OIL & GAS CORP (CLASS A) .......... 24,675 8,100 oCALENERGY, INC .......................... 307,800 16,800 COASTAL CORP ............................ 893,550 8,600 COLUMBIA GAS SYSTEMS, INC ............... 561,150 15,500 CONSOLIDATED NATURAL GAS CO ............. 834,093 6,400 EASTERN ENTERPRISES CO .................. 222,000 8,348 EL PASO NATURAL GAS CO .................. 459,140 36,500 ENRON CORP .............................. 1,489,656 13,700 ENSERCH CORP ............................ 304,825 7,700 EQUITABLE RESOURCES, INC ................ 218,487 7,500 INDIANA ENERGY, INC ..................... 183,281 4,800 oIONICS, INC ............................. 218,400 4,100 KN ENERGY, INC .......................... 172,712 11,400 MCN ENERGY GROUP, INC ................... 349,125 6,400 NATIONAL FUEL GAS CO .................... 268,400 4,400 NEW JERSEY RESOURCES CORP ............... 138,050 30,200 NGC CORP ................................ 466,212 8,100 NICOR, INC .............................. 290,587 18,411 NORAM ENERGY CORP ....................... 280,767 8,500 NORTHWEST NATURAL GAS CO ................ 222,593 5,929 ONEOK, INC .............................. 190,839 12,400 PACIFIC ENTERPRISES, INC ................ 416,950 6,300 PEOPLES ENERGY CORP ..................... 235,856 8,081 PIEDMONT NATURAL GAS CO, INC ............ 207,580 4,200 oPRIMARK CORP ............................ 111,825 6,400 QUESTAR CORP ............................ 258,400 13,800 SONAT, INC .............................. 707,250 5,800 SOUTHWEST GAS CORP ...................... 115,275 1,300 SOUTHWESTERN ENERGY CO .................. 16,900 30,230 TENNECO, INC ............................ 1,366,018 3,800 oTRIARC COS, INC ......................... 77,425 7,610 UGI CORP ................................ 168,371 7,700 VALERO ENERGY CORP ...................... 279,125 10,800 WASHINGTON GAS LIGHT CO ................. 271,350 3,300 WESTERN GAS RESOURCES, INC .............. 64,350 6,400 WICOR, INC .............................. 249,200 27,067 WILLIAMS COS, INC ....................... 1,184,181 ------------- 15,404,147 ------------- UTILITIES--OTHER--0.01% 3,400 oBILLING INFORMATION CONCEPTS CORP ....... 118,575 ------------- UTILITIES--TELEPHONE--5.29% 2,400 oADTRAN, INC ............................. 59,400 9,500 ALIANT COMMUNICATIONS, INC .............. 185,250 32,900 ALLTEL CORP ............................. 1,100,093 3,700 oAMERICAN MOBILE SATELLITE CORP .......... 37,925 95,700 AMERITECH CORP .......................... 6,501,618 284,400 AT & T CORP ............................. 9,971,775 76,500 BELL ATLANTIC CORP ...................... 5,804,437 173,600 BELLSOUTH CORP .......................... 8,050,700 4,600 oC-TEC CORP .............................. 160,425 24,100 CINCINNATI BELL, INC .................... 759,150 29,200 FRONTIER CORP ........................... 582,175 10,287 oGLENAYRE TECHNOLOGIES, INC .............. 168,449 167,100 GTE CORP ................................ 7,331,512 121,380 MCI COMMUNICATIONS CORP ................. 4,646,578 10,100 oMOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP ...................... 144,556 4,200 XoMOBILEMEDIA CORP ........................ 1,176 29,000 oNEXTEL COMMUNICATIONS, INC (CLASS A) .... 549,187 76,200 NYNEX CORP .............................. 4,391,025 158,713 SBC COMMUNICATIONS, INC ................. 9,820,366 13,000 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP ................ 505,375 75,800 SPRINT CORP ............................. 3,988,975 12,464 TELEPHONE & DATA SYSTEMS, INC ........... 472,853 3,400 oU.S. LONG DISTANCE CORP ................. 58,650 83,200 U.S. WEST COMMUNICATIONS GROUP, INC ..... 3,135,600 98,100 oU.S. WEST MEDIA GROUP, INC .............. 1,986,525 115,841 oWORLDCOM, INC ........................... 3,706,912 ------------- 74,120,687 ------------- TOTAL COMMON STOCK (COST $1,070,624,133) ..................... 1,390,402,747 ------------- PRINCIPAL --------- SHORT TERM INVESTMENTS--1.03% U.S. GOVERNMENT & AGENCIES--1.03% FEDERAL FARM CREDIT BANKS $ 1,200,000 5.400%, 07/07/97 ..................... 1,198,728 * FEDERAL NATIONAL MORTGAGE ASSOCIATION 13,450,000 5.460%, 09/08/97 .................... 13,307,467 ------------- 14,506,195 ------------- TOTAL SHORT TERM INVESTMENTS (COST $14,508,166) 14,506,195 ROUNDING .............................. 384 ------------- TOTAL PORTFOLIO (COST $1,085,264,241) ..................... $1,405,079,848 ============== - --------------- o Non-income producing x In bankruptcy * All or a portion of this security has been segregated by the custodian to cover margin or other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. See notes to financial statements. -77- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--INFLATION-LINKED BOND ACCOUNT (UNAUDITED) JUNE 30, 1997 SUMMARY BY INDUSTRY VALUE % ------- ------- BONDS CORPORATE BONDS BANKS ................................... $ 2,397,807 3.28% ------------- ---- TOTAL CORPORATE BONDS (COST $2,446,225) ....................... 2,397,807 3.28 ------------- ---- GOVERNMENT BONDS U.S. TREASURY SECURITIES ................ 65,147,368 89.10 ------------- ---- TOTAL GOVERNMENT BONDS (COST $65,256,449) ...................... 65,147,368 89.10 ------------- ---- TOTAL BONDS (COST $67,702,674) ....................... 67,545,175 92.38 ------------- ---- SHORT TERM INVESTMENTS COMMERCIAL PAPER......................... 4,399,168 6.02 ------------- ---- TOTAL SHORT TERM INVESTMENTS (COST $4,400,000) ........................ 4,399,168 6.02 ------------- ---- ROUNDING ............................... 2 0.00 ------------- ---- TOTAL PORTFOLIO (COST $72,102,674) ....................... 71,944,345 98.40 ------------- ---- OTHER ASSETS & OTHER LIABILITIES, NET .. 1,171,025 1.60 ------------- ---- NET ASSETS ................................ $73,115,370 100.00% ============= ====== PRINCIPAL VALUE --------- ----- BONDS--92.38% CORPORATE BONDS--3.28% BANKS--3.28% J.P. MORGAN INFLATION INDEXED $2,500,000 6.641%, 02/15/12 ............. $ 2,397,807 ----------- TOTAL CORPORATE BONDS (COST $2,446,225) ................ 2,397,807 ----------- GOVERNMENT BONDS--89.10% U.S. TREASURY SECURITIES--89.10% U.S. TREASURY INFLATION INDEXED 66,732,260 3.375%, 01/15/07.............. 65,147,368 ----------- TOTAL GOVERNMENT BONDS (COST $65,256,449) ............... 65,147,368 ---------- TOTAL BONDS (COST $67,702,674) ................ 67,545,175 ---------- SHORT TERM INVESTMENTS--6.02% COMMERCIAL PAPER--6.02% FEDERAL EXPRESS CORP 1,900,000 6.600%, 07/01/97.............. 1,899,641 RYDER SYSTEMS, INC 2,500,000 6.350%, 07/01/97.............. 2,499,527 ---------- 4,399,168 ---------- TOTAL SHORT TERM INVESTMENTS (COST $4,400,000) ................. 4,399,168 ---------- ROUNDING ....................... 2 ---------- TOTAL PORTFOLIO (COST $72,102,674) ................. $71,944,345 =========== See notes to financial statements. -78- [LOGO] CREF | COLLEGE RETIREMENT EQUITIES TRUST | 730 THIRD AVENUE | NEW YORK, NY 10017-3206 | 212/490-9000 Printed on recycled paper 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-31-1997 JAN-01-1997 JUN-30-1997 55,269,514,978 95,786,207,255 814,677,087 0 167,829,046 96,768,713,388 486,194,019 0 3,168,081,168 3,654,275,187 0 0 608,999,196 620,498,335 0 0 0 0 0 93,114,438,201 775,876,208 81,597,390 0 (132,998,944) 724,474,654 3,358,266,990 9,053,537,749 13,136,279,393 0 0 0 0 10,669,402 (22,168,541) 0 11,767,992,887 0 0 0 0 37,662,580 0 132,998,944 85,465,840,911 109.223 .982 16.873 0 0 0 127.078 .160 0 0
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6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 2 MONEY MARKET ACCOUNT 1 6-MOS DEC-31-1997 JAN-01-1997 JUN-30-1997 4,001,503,185 4,000,932,809 17,432,542 0 4,634 4,018,369,985 190,148 0 0 190,148 0 0 229,343,918 218,291,636 0 0 0 0 0 4,018,179,837 0 107,851,860 0 (5,091,608) 102,760,252 (20,206) 701,196 103,441,242 0 0 0 0 11,052,282 0 0 288,466,507 0 0 0 0 719,415 0 5,091,608 3,921,908,472 16.494 .438 .003 0 0 0 16.935 .130 0 0
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6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 3 BOND MARKET ACCOUNT 1 6-MOS DEC-31-1997 JAN-01-1997 JUN-30-1997 1,164,021,964 1,165,030,813 39,427,792 0 11,185 1,204,469,790 96,788,677 0 0 96,788,677 0 0 24,217,362 22,611,134 0 0 0 0 0 1,107,681,113 130,573 36,414,490 0 (1,525,452) 35,019,611 (2,496,510) (152,493) 32,370,608 0 0 0 0 1,606,228 0 0 107,447,701 0 0 0 0 360,424 0 1,525,452 1,043,310,051 44.002 1.487 (.130) 0 0 0 45.359 .150 0 0
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6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 4 SOCIAL CHOICE ACCOUNT 1 6-MOS DEC-31-1997 JAN-01-1997 JUN-30-1997 1,409,660,374 1,947,830,915 19,052,829 0 264,668 1,967,148,412 32,798,349 0 0 32,798,349 0 0 27,975,126 25,841,336 0 0 0 0 0 1,934,350,063 9,114,858 22,999,119 0 (2,686,480) 29,427,497 3,098,965 187,953,539 220,480,001 0 0 0 0 2,133,790 0 0 358,610,218 0 0 0 0 774,143 0 2,686,480 1,728,979,662 58.590 1.045 6.811 0 0 0 66.446 .160 0 0
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6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 5 GLOBAL EQUITIES ACCOUNT 1 6-MOS DEC-31-1997 JAN-01-1997 JUN-30-1997 4,548,579,840 5,406,868,916 82,017,909 0 31,045,250 5,519,932,075 65,053,879 0 357,382,633 422,436,512 0 0 84,389,421 80,015,913 0 0 0 0 0 5,097,495,563 39,576,909 5,142,397 0 (8,298,401) 36,420,905 307,766,979 316,322,082 660,509,966 0 0 0 0 4,642,548 (269,040) 0 904,318,645 0 0 0 0 3,314,699 0 8,298,401 4,477,372,979 50.680 .422 7.255 0 0 0 58.357 .190 0 0
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6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 6 GROWTH ACCOUNT 1 6-MOS DEC-31-1997 JAN-01-1997 JUN-30-1997 2,880,426,061 3,665,187,208 33,444,446 0 8,656,052 3,707,287,706 46,292,036 0 0 46,292,036 0 0 68,191,749 53,200,553 0 0 0 0 0 3,660,995,670 15,338,564 3,901,451 0 (5,259,400) 13,980,615 122,647,148 368,195,273 504,823,036 0 0 0 0 14,991,196 0 0 1,240,100,524 0 0 0 0 1,912,572 0 5,259,400 3,014,948,173 44.313 .199 7.742 0 0 0 52.254 .170 0 0
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6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 7 EQUITY INDEX ACCOUNT 1 6-MOS DEC-31-1997 JAN-01-1997 JUN-30-1997 1,085,264,241 1,405,079,848 3,711,485 0 447,918 1,409,239,251 7,053,822 0 0 7,053,822 0 0 26,985,688 20,724,711 0 0 0 0 0 1,402,185,429 10,138,471 362,157 0 (1,758,887) 8,741,741 11,216,097 168,258,300 188,216,138 0 0 0 0 6,260,977 0 0 480,260,344 0 0 0 0 501,194 0 1,758,887 1,142,538,822 42.834 .330 7.150 0 0 0 50.314 .150 0 0
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6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 8 INFLATION-LINKED BOND ACCOUNT 1 6-MOS DEC-31-1997 JAN-01-1997 JUN-30-1997 72,102,674 71,944,345 1,116,396 0 54,629 73,115,370 0 0 0 0 0 0 2,865,475 0 0 0 0 0 0 73,115,370 0 1,155,749 0 (44,545) 1,111,204 (16,920) (158,329) 935,955 0 0 0 0 2,865,475 0 0 73,115,370 0 0 0 0 21,323 0 44,545 54,067,424 25.000 .532 (.034) 0 0 0 25.498 .080 0 0
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