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<SEC-DOCUMENT>0000930413-98-000802.txt : 19980831
<SEC-HEADER>0000930413-98-000802.hdr.sgml : 19980831
ACCESSION NUMBER: 0000930413-98-000802
CONFORMED SUBMISSION TYPE: N-30D
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 19980630
FILED AS OF DATE: 19980828
SROS: NONE
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: COLLEGE RETIREMENT EQUITIES FUND
CENTRAL INDEX KEY: 0000777535
STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000]
IRS NUMBER: 136022042
STATE OF INCORPORATION: NY
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: N-30D
SEC ACT:
SEC FILE NUMBER: 811-04415
FILM NUMBER: 98699699
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
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-30D
<SEQUENCE>1
<DESCRIPTION>SEMI-ANNUAL REPORT
<TEXT>
SEMI-ANNUAL REPORT
================================================================================
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
FINANCIAL STATEMENTS (UNAUDITED)
INCLUDING
STATEMENT OF INVESTMENTS
JUNE 30, 1998
- --------------------------------------------------------------------------------
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
[LOGO]
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
INDEX TO UNAUDITED FINANCIAL STATEMENTS
JUNE 30, 1998
- --------------------------------------------------------------------------------
Page
----
Statement of Assets and Liabilities ....................................... 2
Statement of Operations ................................................... 3
Statements of Changes in Net Assets ....................................... 4
Notes to Financial Statements ............................................. 5
Statement of Investments .................................................. 10
-1-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1998
(amounts in thousands, except per accumulation unit amount)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Portfolio investments, at cost........................................................... $ 67,459,599
Net unrealized appreciation of portfolio investments..................................... 49,656,488
-------------
Portfolio investments, at value.......................................................... 117,116,087
Cash..................................................................................... 57,950
Dividends and interest receivable........................................................ 180,053
Receivable from securities transactions.................................................. 426,550
Amounts due from TIAA.................................................................... 18,066
-------------
TOTAL ASSETS 117,798,706
-------------
LIABILITIES
Deposits for securities loaned--Note 4................................................... 4,889,762
Payable for securities transactions...................................................... 462,837
-------------
TOTAL LIABILITIES 5,352,599
-------------
NET ASSETS
Accumulation Fund........................................................................ 93,019,149
Annuity Fund............................................................................. 19,426,958
-------------
TOTAL NET ASSETS $ 112,446,107
=============
THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6................................. 586,220
========
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5............................................. $ 158.68
========
</TABLE>
See notes to financial statements.
-2-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENT OF OPERATIONS (UNAUDITED)
SIX MONTHS ENDED JUNE 30, 1998
(amounts in thousands)
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Income:
Interest................................................................................. $ 47,135
Dividends................................................................................ 846,990
-------------
TOTAL INCOME 894,125
-------------
Expenses--Note 3:
Investment............................................................................... 53,801
Operating................................................................................ 131,168
-------------
TOTAL EXPENSES 184,969
-------------
INVESTMENT INCOME--NET 709,156
-------------
REALIZED AND UNREALIZED GAIN ON TOTAL
INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments................................................................ 7,329,922
Foreign currency transactions........................................................ (7,515)
-------------
Net realized gain 7,322,407
-------------
Net change in unrealized appreciation on:
Portfolio investments................................................................ 6,757,211
Translation of assets (other than portfolio investments)
and liabilities denominated in foreign currencies.................................. 421
-------------
Net change in unrealized appreciation 6,757,632
-------------
NET REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS 14,080,039
-------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 14,789,195
=============
</TABLE>
See notes to financial statements.
-3-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
STATEMENTS OF CHANGES IN NET ASSETS
(amounts in thousands)
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 1998 1997
------------- -------------
(UNAUDITED)
<S> <C> <C>
FROM OPERATIONS
Investment income--net............................................... $ 709,156 $ 1,417,042
Net realized gain on total investments............................... 7,322,407 8,253,175
Net change in unrealized appreciation
on total investments............................................... 6,757,632 11,432,448
------------ -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 14,789,195 21,102,665
------------ -----------
FROM PARTICIPANT TRANSACTIONS
Premiums............................................................. 1,394,189 2,507,501
------------ -----------
Disbursements and transfers:
Net transfers to TIAA.............................................. 488,299 742,005
Net transfers to other CREF Accounts............................... 1,180,950 1,916,205
Annuity payments................................................... 728,673 1,294,165
Withdrawals and repurchases........................................ 807,288 1,305,554
Death benefits..................................................... 81,469 149,280
------------ -----------
TOTAL DISBURSEMENTS AND TRANSFERS, NET 3,286,679 5,407,209
------------ -----------
NET DECREASE IN NET ASSETS RESULTING
FROM PARTICIPANT TRANSACTIONS (1,892,490) (2,899,708)
------------ -----------
NET INCREASE IN NET ASSETS 12,896,705 18,202,957
NET ASSETS
Beginning of year.................................................... 99,549,402 81,346,445
------------ -----------
End of period........................................................ $112,446,107 $99,549,402
============ ===========
</TABLE>
See notes to financial statements.
-4-
<PAGE>
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 the Money Market
Account, which invests in money market instruments; the Bond Market Account,
which invests in a broad range of fixed-income securities; the Social Choice
Account, which invests in a diversified portfolio of equity and fixed-income
securities while giving special consideration to certain social criteria; the
Global Equities Account, which invests in equity securities of foreign and
domestic companies; the Growth Account, which invests in a diversified portfolio
of equity securities that present opportunities for growth; the Equity Index
Account, which invests in a diversified portfolio of equity securities selected
to track the overall United States stock market; and the Inflation-Linked Bond
Account, which invests primarily in inflation-indexed bonds.
TIAA-CREF Investment Management, LLC ("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. TIAA provides guarantees for the CREF Accounts for certain
mortality and expense risks pursuant to an Immediate Annuity Purchase Rate
Guarantee Agreement.
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
translated at the prevailing exchange rate at the end of the period. The
cumulative impact of changes in foreign exchange
-5-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
rates on portfolio investments sold during the period is reflected in the net
realized gain (loss) on portfolio investments. The cumulative impact of changes
in foreign exchange rates on portfolio investments held at the end of the period
is reflected in the net change in unrealized appreciation (depreciation) on
portfolio investments. Currency gains and losses arising from the settlement of
forward foreign currency contracts, changes in exchange rates between the trade
and settlement dates of portfolio investment transactions, and changes in
exchange rates between the accrual and receipt dates for dividend and interest
income are recorded as net realized gains (losses) on foreign currency
transactions. For assets other than portfolio investments and liabilities,
changes in foreign exchange rates are reflected in the net change in unrealized
appreciation (depreciation) on translation of assets (other than portfolio
investments) and liabilities denominated in foreign currencies.
SECURITIES LENDING: The Account has a program to lend portfolio securities to
qualified institutions. Such loans are secured by collateral at least equal to
102% of the market value of the securities loaned for United States securities
and 105% of the market value of securities loaned for foreign securities. The
Account continues to receive income on the securities loaned and receives
additional income from the lending transaction. Additionally, any change in the
market value of the securities loaned is recognized by the Account. Although
each transaction is collateralized, the Account would bear the risk of delay in
recovery of, or loss of rights in, the securities loaned should a borrower fail
to return the securities in a timely manner.
COVERED CALL OPTIONS WRITTEN: The Account writes (sells) covered call options to
provide protection against adverse movements in the price of securities in the
portfolio. When an option is written, an amount equal to the premium received is
recorded as a liability; the liability is adjusted on a daily basis to the
current market price of the option written and an unrealized gain or loss is
recorded. Premiums received from writing options which expire unexercised are
recognized as realized gains from option transactions on the expiration date.
Premiums received from writing options which are exercised are added to the
proceeds from the sale of the underlying securities in recognizing the net
realized gain or loss on portfolio investments. In writing options, it is
assumed that the option may be exercised at any time prior to the expiration of
the Account's obligation as a writer, and that in such circumstances the net
proceeds of the sale of the underlying securities pursuant to the call option
may be below the prevailing market value.
FUTURES CONTRACTS: The Account purchases futures contracts for the purpose of
acquiring a position in a security or group of securities which it intends to
purchase at a later date, or for cash management purposes to remain highly
invested in the equity markets while minimizing transaction costs. The Account
sells futures contracts for the purpose of offsetting changes in market value
while withdrawing from a specific market. A financial futures contract is an
agreement between two parties to buy and sell a financial instrument for a set
price on a future date. Initial margin deposits are made upon entering into
futures contracts and can be either cash or securities. During the period the
futures contract is open, changes in the value of the contract are recognized as
unrealized gains or losses from futures transactions by "marking-to-market" on a
daily basis to reflect the market value of the contract at the end of each day's
trading.
Variation margin payments are received or made, depending upon whether
unrealized gains or losses are incurred. When the contract is closed, a realized
gain or loss from futures transactions is recorded, equal to the net variation
margin received or paid over the period of the contract. The contractual amounts
under futures contracts reflect the extent of the Account's exposure to
off-balance sheet risk. The credit risk to such contracts is limited to the
failure of the exchange or board of trade which acts as the counterparty to the
Account's futures transactions.
FORWARD FOREIGN CURRENCY CONTRACTS: The Account enters into forward foreign
currency contracts to purchase or sell foreign currency to accommodate foreign
investment transactions. Forward foreign currency contracts are
"marked-to-market" at the end of each day's trading. Daily changes in the value
of such contracts are reflected in the net change in unrealized appreciation
(depreciation) on translation of assets and liabilities denominated in foreign
currencies. When the contract is closed, payment is received or made and a
realized gain or loss on foreign currency transactions is recognized, equal to
the difference between the cost of the closing transaction and the basis in the
contract. The 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.
-6-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
SECURITIES PURCHASED ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS: The Account may
purchase securities on a when-issued or delayed delivery basis. In addition to
the normal market risks, this exposes the Account to the risk that the
transaction may not be consummated.
RESTRICTED SECURITIES: Restricted securities held by the Account may not be sold
except in exempt transactions or in a public offering registered under the
Securities Act of 1933. The risk of investing in such securities is generally
greater than the risk of investing in securities which are widely held and
publicly traded.
FEDERAL INCOME TAXES: CREF is taxed as a life insurance company under Subchapter
L of the Internal Revenue Code ("Code"), not as a regulated investment company
under Subchapter M of the Code. CREF should incur no material federal income tax
liability. Under the rules of taxation applicable to life insurance companies,
CREF's Accumulation and Annuity Funds for participants will generally be treated
as life insurance reserves; therefore, any increase in such reserves will be
deductible.
NOTE 3--MANAGEMENT AGREEMENTS
Through management agreements with each company, Investment Management and
Services provide services necessary for the operation of CREF's Accounts. Such
services are provided at cost 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, 1998, the value of securities loaned was $7,308,360,434 and
collateral received in connection therewith was comprised of cash of
$4,889,762,095 letters of credit of $2,145,151,878 and United States government
securities amounting to $506,144,558.
At June 30, 1998, net unrealized appreciation of portfolio investments,
consisting of gross unrealized appreciation and gross unrealized depreciation,
was as follows:
Gross unrealized appreciation
of portfolio investments.................................... $51,952,177,686
Gross unrealized depreciation
of portfolio investments.................................... 2,295,689,874
---------------
NET UNREALIZED APPRECIATION OF PORTFOLIO INVESTMENTS $49,656,487,812
===============
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,
1998, the total value of investments in affiliated companies was $572,211,831.
For the six months ended June 30, 1998, total dividend income and the net
realized loss relating to such investments were $4,329,118 and $271,758,
respectively.
Purchases and sales of portfolio securities, other than short-term money market
instruments, for the six months ended June 30, 1998, were as follows:
Purchases:
Unaffiliated issuers.................................. $19,514,807,733
Affiliated issuers.................................... 92,110,194
---------------
TOTAL PURCHASES $19,606,917,927
===============
Sales:
Unaffiliated issuers.................................. $20,031,871,512
Affiliated issuers.................................... 58,356,103
---------------
TOTAL SALES $20,090,227,615
===============
-7-
<PAGE>
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.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED FOR THE YEARS ENDED DECEMBER 31,
-----------------------------------------------------
JUNE 30,1998(1) 1997 1996 1995 1994 1993
--------------- ------ ------ ------ ------ ------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income.................... $ 1.252 $ 2.317 $ 2.114 $ 1.885 $ 1.699 $ 1.606
Expenses............................. .259 .387 .304 .271 .223 .210
-------- -------- -------- ------- ------- -------
Investment income--net.............. .993 1.930 1.810 1.614 1.476 1.396
Net realized and unrealized
gain (loss) on investments......... 19.666 26.864 15.953 19.984 (1.557) 7.139
-------- -------- -------- ------- ------- -------
Net increase (decrease) in
Accumulation Unit Value............ 20.659 28.794 17.763 21.598 (.081) 8.535
Accumulation Unit Value:
Beginning of year.................. 138.017 109.223 91.460 69.862 69.943 61.408
-------- -------- -------- ------- ------- -------
End of period...................... $158.676 $138.017 $109.223 $91.460 $69.862 $69.943
======== ======== ======== ======= ======= =======
Total return........................... 14.97% 26.36% 19.42% 30.92% (0.12%) 13.90%
Ratios to Average Net Assets:
Expenses............................. 0.17% 0.31% 0.31% 0.34% 0.32% 0.32%
Investment income--net............... 0.66% 1.55% 1.82% 2.00% 2.11% 2.14%
Portfolio turnover rate................ 18.45% 23.25% 19.57% 16.25% 18.77% 22.93%
Thousands of Accumulation Units
outstanding at end of period......... 586,220 597,531 620,498 632,803 637,435 642,528
</TABLE>
(1) The percentages shown for this period are not annualized.
NOTE 6--ACCUMULATION UNITS
Changes in the number of Accumulation Units outstanding were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, 1997
------------ ----------------
(UNAUDITED)
<S> <C> <C>
Accumulation Units:
Credited for premiums................................................... 9,246,316 20,134,412
Cancelled for transfers, disbursements and
amounts applied to the Annuity Fund................................... (20,557,974) (43,101,543)
Outstanding:
Beginning of year..................................................... 597,531,204 620,498,335
----------- -----------
End of period......................................................... 586,219,546 597,531,204
=========== ===========
</TABLE>
-8-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STOCK ACCOUNT
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 7--LINE OF CREDIT
The Stock, Social Choice, Global Equities, Growth, Equity Index and
Inflation-Linked Bond Accounts share in a $2 billion unsecured revolving credit
facility for temporary or emergency purposes, including, without limitation, the
funding of participant redemptions that otherwise might require the untimely
disposition of securities. An annual commitment fee is charged for this
facility, which is allocated among the participating Accounts. Interest
associated with any borrowing under the credit facility will be charged to the
borrowing Accounts at rates which are based on the Federal Funds Rate in effect
during the time of the borrowing. For the six months ended June 30, 1998, there
were no borrowings under the line of credit.
-9-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED)
JUNE 30, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
----------- ------
BONDS
CORPORATE BONDS
AMUSEMENT AND RECREATION SERVICES ................ $ 20 0.00%
BUSINESS SERVICES ................................ 581 0.00
COMMUNICATIONS ................................... 8,895 0.01
DEPOSITORY INSTITUTIONS .......................... 461 0.00
ELECTRIC, GAS, AND SANITARY SERVICES ............. 4,845 0.01
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT .......... 10,744 0.01
HOLDING AND OTHER INVESTMENT OFFICES ............. 131 0.00
INSURANCE CARRIERS ............................... 36 0.00
REAL ESTATE ...................................... 554 0.00
SECURITY AND COMMODITY BROKERS ................... 10,679 0.01
TRANSPORTATION EQUIPMENT ......................... 334 0.00
TRUCKING AND WAREHOUSING ......................... 3,552 0.00
WHOLESALE TRADE-DURABLE GOODS .................... 124 0.00
----------- ------
TOTAL CORPORATE BONDS
(COST $35,703) .................................. 40,956 0.04
----------- ------
GOVERNMENT BONDS
GOVERNMENT BONDS ................................ 374 0.00
----------- ------
TOTAL GOVERNMENT BONDS
(COST $381) ..................................... 374 0.00
----------- ------
TOTAL BONDS
(COST $36,084) .................................. 41,330 0.04
----------- ------
PREFERRED STOCK
AGRICULTURAL PRODUCTION--LIVESTOCK ............... 60 0.00
APPAREL AND OTHER TEXTILE
PRODUCTS ........................................ 711 0.00
BUILDING MATERIALS AND
GARDEN SUPPLIES ................................. 357 0.00
BUSINESS SERVICES ................................ 62,506 0.06
CHEMICALS AND ALLIED PRODUCTS .................... 9,429 0.01
COMMUNICATIONS ................................... 20,762 0.02
DEPOSITORY INSTITUTIONS .......................... 4,626 0.00
ELECTRIC, GAS, AND SANITARY SERVICES ............. 15,784 0.02
FOOD AND KINDRED PRODUCTS ........................ 1,080 0.00
GENERAL BUILDING CONTRACTORS ..................... 276 0.00
HEALTH SERVICES .................................. 58 0.00
HOLDING AND OTHER INVESTMENT OFFICES ............. 726 0.00
INDUSTRIAL MACHINERY AND
EQUIPMENT ....................................... 471 0.00
INSTRUMENTS AND RELATED PRODUCTS ................. 53 0.00
INSURANCE AGENTS, BROKERS AND
SERVICE ......................................... 7,313 0.01
INSURANCE CARRIERS ............................... 8,973 0.01
METAL MINING ..................................... 1,303 0.00
MOTION PICTURES .................................. 15,735 0.01
OIL AND GAS EXTRACTION ........................... 1,929 0.00
PAPER AND ALLIED PRODUCTS ........................ 6 0.00
PRIMARY METAL INDUSTRIES ......................... 353 0.00
PRINTING AND PUBLISHING .......................... 25,467 0.02
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ................................ 5,556 0.01
TRANSPORTATION EQUIPMENT ......................... 3,732 0.00
----------- ------
TOTAL PREFERRED STOCK
(COST $91,535) .................................. 187,266 0.17
----------- ------
COMMON STOCK
AGRICULTURAL PRODUCTION--CROPS ................... 56,324 0.05
AGRICULTURAL SERVICES ............................ 7,522 0.01
AMUSEMENT AND RECREATION SERVICES ................ 252,318 0.22
APPAREL AND ACCESSORY STORES ..................... 531,868 0.47
APPAREL AND OTHER TEXTILE PRODUCTS ............... 275,174 0.24
AUTO REPAIR, SERVICES AND PARKING ................ 49,316 0.04
AUTOMOTIVE DEALERS AND
SERVICE STATIONS ................................ 107,849 0.10
BUILDING MATERIALS AND
GARDEN SUPPLIES ................................. 572,578 0.51
BUSINESS SERVICES ................................ 5,472,672 4.87
CHEMICALS AND ALLIED PRODUCTS .................... 13,322,615 11.85
COAL MINING ...................................... 7,434 0.01
COMMUNICATIONS ................................... 11,423,115 10.16
DEPOSITORY INSTITUTIONS .......................... 11,696,027 10.40
EATING AND DRINKING PLACES ....................... 686,916 0.61
EDUCATIONAL SERVICES ............................. 36,097 0.03
ELECTRIC, GAS, AND SANITARY SERVICES ............. 4,197,549 3.73
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT ....................................... 8,168,505 7.26
ENGINEERING AND MANAGEMENT SERVICES .............. 350,020 0.31
FABRICATED METAL PRODUCTS ........................ 1,263,794 1.12
FOOD AND KINDRED PRODUCTS ........................ 5,369,315 4.78
FOOD STORES ...................................... 677,998 0.60
FORESTRY ......................................... 2,828 0.00
FURNITURE AND FIXTURES ........................... 94,467 0.08
FURNITURE AND HOMEFURNISHING
STORES .......................................... 201,858 0.18
GENERAL BUILDING CONTRACTORS ..................... 410,696 0.37
GENERAL MERCHANDISE STORES ....................... 2,284,349 2.03
HEALTH SERVICES .................................. 806,376 0.72
HEAVY CONSTRUCTION, EXCEPT BUILDING .............. 121,304 0.11
HOLDING AND OTHER
INVESTMENT OFFICES .............................. 1,374,268 1.22
HOTELS AND OTHER LODGING PLACES .................. 321,384 0.29
INDUSTRIAL MACHINERY AND EQUIPMENT ............... 6,179,395 5.50
INSTRUMENTS AND RELATED PRODUCTS ................. 2,452,135 2.18
INSURANCE AGENTS, BROKERS
AND SERVICE ..................................... 403,589 0.36
INSURANCE CARRIERS ............................... 4,997,800 4.44
LEATHER AND LEATHER PRODUCTS ..................... 65,501 0.06
LEGAL SERVICES ................................... 2,058 0.00
LOCAL AND INTERURBAN PASSENGER
TRANSIT ......................................... 89,109 0.08
LUMBER AND WOOD PRODUCTS ......................... 332,222 0.30
METAL MINING ..................................... 298,397 0.27
MISCELLANEOUS MANUFACTURING
INDUSTRIES ...................................... 1,263,526 1.12
MISCELLANEOUS RETAIL ............................. 1,068,187 0.95
MOTION PICTURES .................................. 589,538 0.52
NONDEPOSITORY INSTITUTIONS ....................... 2,586,572 2.30
NONMETALLIC MINERALS, EXCEPT FUELS ............... 72,079 0.06
OIL AND GAS EXTRACTION ........................... 4,093,475 3.64
PAPER AND ALLIED PRODUCTS ........................ 867,845 0.77
PERSONAL SERVICES ................................ 162,826 0.15
PETROLEUM AND COAL PRODUCTS ...................... 2,510,997 2.23
PIPELINES, EXCEPT NATURAL GAS .................... 2,027 0.00
See notes to financial statements.
-10-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED)
JUNE 30, 1998
SUMMARY BY INDUSTRY (CONTINUED)
(000)
VALUE %
------------ ------
PRIMARY METAL INDUSTRIES ......................... $ 778,667 0.69%
PRINTING AND PUBLISHING .......................... 1,412,323 1.26
RAILROAD TRANSPORTATION .......................... 530,654 0.47
REAL ESTATE ...................................... 303,742 0.27
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS ....................................... 858,944 0.76
SECURITY AND COMMODITY BROKERS ................... 1,328,075 1.18
SOCIAL SERVICES .................................. 3,220 0.00
SPECIAL TRADE CONTRACTORS ........................ 18,014 0.02
STONE, CLAY, AND GLASS PRODUCTS .................. 463,206 0.41
TEXTILE MILL PRODUCTS ............................ 168,925 0.15
TOBACCO PRODUCTS ................................. 939,365 0.84
TRANSPORTATION BY AIR ............................ 727,016 0.65
TRANSPORTATION EQUIPMENT ......................... 4,051,756 3.60
TRANSPORTATION SERVICES .......................... 144,600 0.13
TRUCKING AND WAREHOUSING ......................... 95,948 0.09
WATER TRANSPORTATION ............................. 125,799 0.11
WHOLESALE TRADE--DURABLE GOODS ................... 210,894 0.19
WHOLESALE TRADE--NONDURABLE GOODS ................ 781,679 0.70
------------ ------
TOTAL COMMON STOCK
(COST $61,565,907) .............................. 111,122,641 98.82
------------ ------
SHORT TERM INVESTMENTS
BANK NOTES ....................................... 130,016 0.12
BANKERS ACCEPTANCES .............................. 6,841 0.00
CERTIFICATES OF DEPOSIT .......................... 496,799 0.44
COMMERCIAL PAPER ................................. 3,520,009 3.13
MEDIUM TERM BONDS ................................ 17,623 0.02
U.S. GOVERNMENT & AGENCIES ....................... 1,071,181 0.95
VARIABLE RATE NOTES .............................. 522,381 0.46
------------ ------
TOTAL SHORT TERM INVESTMENTS
(COST $5,766,073) ............................... 5,764,850 5.12
------------ ------
TOTAL PORTFOLIO
(COST $67,459,599) .............................. 117,116,087 104.15
OTHER ASSETS & LIABILITIES, NET ............... (4,669,980) (4.15)
------------ ------
NET ASSETS ......................................... $112,446,107 100.00%
============ ======
See notes to financial statements.
-11-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED)
JUNE 30, 1998
SUMMARY BY COUNTRY
(000)
VALUE %
------------ ------
DOMESTIC
UNITED STATES .................................... $ 91,575,053 78.19%
------------ ------
TOTAL DOMESTIC ................................... 91,575,053 78.19
------------ ------
FOREIGN:
ARGENTINA ........................................ 17,463 0.02
AUSTRALIA ........................................ 491,283 0.42
AUSTRIA .......................................... 36,025 0.03
BELGIUM .......................................... 248,474 0.21
BRAZIL ........................................... 22,986 0.02
CANADA ........................................... 791,916 0.68
CHILE ............................................ 55,209 0.05
CHINA ............................................ 16,585 0.01
DENMARK .......................................... 125,049 0.11
FINLAND .......................................... 220,033 0.19
FRANCE ........................................... 1,892,628 1.62
GERMANY .......................................... 2,051,396 1.75
GREECE ........................................... 2,905 0.00
HONG KONG ........................................ 212,002 0.18
HUNGARY .......................................... 6,328 0.01
INDIA ............................................ 2,930 0.00
IRELAND .......................................... 88,227 0.08
ITALY ............................................ 1,346,656 1.15
JAPAN ............................................ 3,435,002 2.93
KOREA ............................................ 1,388 0.00
LUXEMBOURG ....................................... 15,017 0.01
MALAYSIA ......................................... 35,336 0.03
MEXICO ........................................... 8,145 0.01
NETHERLANDS ...................................... 1,308,282 1.12
NEW ZEALAND ...................................... 49,734 0.04
NORWAY ........................................... 115,135 0.10
PHILIPPINES ...................................... 112 0.00
PORTUGAL ......................................... 108,133 0.09
SINGAPORE ........................................ 50,797 0.04
SOUTH AFRICA ..................................... 21,826 0.02
SPAIN ............................................ 727,031 0.62
SWEDEN ........................................... 706,143 0.60
SWITZERLAND ...................................... 1,454,602 1.24
UNITED KINGDOM ................................... 4,109,777 3.51
ZIMBABWE ......................................... 1,629 0.00
------------ ------
TOTAL FOREIGN ...................................... 19,776,184 16.89
TOTAL SHORT TERM ................................... 5,764,850 4.92
------------ ------
TOTAL PORTFOLIO .................................... $117,116,087 100.00%
============ ======
See notes to financial statements.
-12-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED)
JUNE 30, 1998
VALUE
PRINCIPAL (000)
--------- -----------
BONDS--0.04%
CORPORATE BONDS--0.04%
AMUSEMENT AND RECREATION
SERVICES--0.00%
MULTI PURPOSE ICULS
307,000(1) 3.000%,12/31/02 ............................... $ 20
BUSINESS SERVICES--0.00%
SUEZ LYON DES EAUX
1,812(2) 4.000%,01/01/06 ............................... 309
VIGLEN TECHNOLOGY (CV LOAN STK)
77,914(3) #7.582%,01/01/00 .............................. 272
-----------
581
-----------
COMMUNICATIONS--0.01%
VIACOM INTERNATIONAL, INC
(SUB DEB)
8,615,000 8.000%,07/07/06 ............................... 8,895
-----------
DEPOSITORY INSTITUTIONS--0.00%
BANCA INTESA
210,885(4) 3.150%,01/01/03 ............................... 416
BANCA INTESA (RISP)
16,220(4) 3.150%,01/01/03 ............................... 45
-----------
461
-----------
ELECTRIC, GAS, AND SANITARY
SERVICES--0.01%
WMX TECHNOLOGIES, INC
(SUB CV NOTE)
4,979,000 2.000%,01/24/05 ............................... 4,845
-----------
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT--0.01%
OLIVETTI S.P.A. CV
255,000(4) 7.500%,01/01/99 ............................... 237
SONY CORP
950,000,000(5) 1.400%,03/31/05 ............................... 10,507
-----------
10,744
-----------
HOLDING AND OTHER
INVESTMENT OFFICES--0.00%
BRIERLEY INVESTMENTS LTD CV NOTE
129,875(6) 9.000%,06/30/98 ............................... 63
VALUE REALISATION TR DEB
24,621(3) 1.400%,09/30/06 ............................... 68
-----------
131
-----------
INSURANCE CARRIERS--0.00%
LIBLIFE INTERNATIONAL CV
35,000 6.500%,09/30/04 ............................... 36
-----------
REAL ESTATE--0.00%
AXA S.A. CV
4,722(2) 4.500%,01/01/99 ............................... 554
-----------
SECURITY AND COMMODITY
BROKERS--0.01%
MORGAN STANLEY DEAN WITTER
5,987,000 0.000%,05/09/00 ............................... 10,679
-----------
TRANSPORTATION EQUIPMENT--0.00%
DAIMLER BENZ (W/W)
314(7) 4.125%,07/05/03 ............................... 334
-----------
TRUCKING AND WAREHOUSING--0.00%
YAMATO TRANSPORT CV
340,000,000(5) 1.700%,09/30/02 ............................... 3,552
-----------
WHOLESALE TRADE-DURABLE GOODS--0.00%
PREUSSAG AG. (W/W)
126(7) 5.750%, 05/17/01 .............................. 124
-----------
TOTAL CORPORATE BONDS
(COST $35,703) .................................. 40,956
-----------
GOVERNMENT BONDS--0.00%
GOVERNMENT BONDS--0.00%
U.S. TREASURY BOND
325,000 11.750%,02/15/01 .............................. 374
-----------
TOTAL GOVERNMENT BONDS
(COST $381) ..................................... 374
-----------
TOTAL BONDS
(COST $36,084) .................................. 41,330
-----------
- -----------
(1) Denominated in Malaysian Ringets
(2) Denominated in French Francs
(3) Denominated in British Pounds
(4) Denominated in Italian Lire
(5) Denominated in Japanese Yen
(6) Denominated in New Zealand Dollars
(7) Denominated in German Deutsche Marks
SHARES
------
PREFERRED STOCK--0.17%
AGRICULTURAL PRODUCTION--
LIVESTOCK--0.00%
48,044,045 PERDIAGO S.A .................................... 60
-----------
APPAREL AND OTHER TEXTILE
PRODUCTS--0.00%
4,500 ESCADA AG ....................................... 711
-----------
BUILDING MATERIALS AND
GARDEN SUPPLIES--0.00%
521,000 CIM ITAU S.A .................................... 92
679 DYCKERHOFF ZEMENTWERKE AG ....................... 265
-----------
357
-----------
BUSINESS SERVICES--0.06%
92,100 SAP AG .......................................... 62,506
-----------
CHEMICALS AND ALLIED
PRODUCTS--0.01%
43,000 HENKEL KGAA ..................................... 4,252
2,500,000 #oNETGENICS, INC CV SERIES D ...................... 5,000
212,000 SADIA CONCORDIA S.A ............................. 132
40 WELLA GROUP AG .................................. 45
-----------
9,429
-----------
COMMUNICATIONS--0.02%
132,625 AIRTOUCH COMMUNICATIONS, INC
CV (CLASS B) ................................... 6,399
85,158 AIRTOUCH COMMUNICATIONS, INC
CV (CLASS C) ................................... 7,026
See notes to financial statements.
-13-
<PAGE>
VALUE
SHARES (000)
------ -----------
COMMUNICATIONS--(CONTINUED)
66,267,124 TELEBRAS S.A .................................... $ 7,208
550,635 TELESP S.A ...................................... 129
-----------
20,762
-----------
DEPOSITORY INSTITUTIONS--0.00%
3,252,000 BANCO ITAU S.A .................................. 1,856
11,564 BANK AUSTRIA AG ................................. 939
219,454,122 BRADESCO S.A .................................... 1,831
-----------
4,626
-----------
ELECTRIC, GAS, AND SANITARY
SERVICES--0.02%
38,848,207 CEMIG S.A ....................................... 1,209
23,122,930 oCENTRAIS GERADORAS BRASIL ....................... 33
45,614 oCIA PAULISTA DE FORCA & LUZ ..................... 4
23,122,930 ELECTROBRAS S.A. SERIES B ....................... 696
2,200,000 ELETROPAULO METROPOLITANA ....................... 165
5,000 HOUSTON INDUSTRIES, INC ......................... 373
311,470 oRHEIN-WESTFALEN ELECTRIC AG ..................... 13,304
-----------
15,784
-----------
FOOD AND KINDRED PRODUCTS--0.00%
1,734,924 BRAHMA S.A ...................................... 1,080
-----------
GENERAL BUILDING CONTRACTORS--0.00%
5,800 oBAU HOLDINGS AG ................................. 276
-----------
HEALTH SERVICES--0.00%
8,534 oMEDIQ, INC SERIES A ............................. 58
-----------
HOLDING AND OTHER INVESTMENT
OFFICES--0.00%
18,432 KIMCO REALTY CORP SERIES D ...................... 500
11,020 oPRIME RETAIL, INC ............................... 226
-----------
726
-----------
INDUSTRIAL MACHINERY AND
EQUIPMENT--0.00%
1,050 FRIEDRICH-GROHE AG .............................. 355
18,000 PIRELLI CABOS S.A ............................... 60
25,800 PIRELLI PNEUS S.A ............................... 56
-----------
471
-----------
INSTRUMENTS AND RELATED
PRODUCTS--0.00%
816,100 oFRESENIUS MEDICAL CARE (CLASS D) ................ 53
-----------
INSURANCE AGENTS, BROKERS AND
SERVICE--0.01%
15,000 MARSCHOLLER LAUT UND PARTNER .................... 7,313
-----------
INSURANCE CARRIERS--0.01%
106,672 AETNA, INC (CLASS C) ............................ 8,014
8,400 AXA COLONIA KONZERN AG .......................... 849
23,604 INTERNATIONALE NEDERLANDEN
GROEP NV ....................................... 110
-----------
8,973
-----------
METAL MINING--0.00%
65,532 oVALE DO RIO DOCE NAVEGACAO S.A .................. 1,303
-----------
MOTION PICTURES--0.01%
210,200 HARCOURT GENERAL, INC
SERIES A ....................................... 13,663
40,000 oPROSIEBEN MEDIA AG .............................. 2,072
-----------
15,735
-----------
OIL AND GAS EXTRACTION--0.00%
10,377,000 PETROBRAS S.A ................................... 1,929
-----------
PAPER AND ALLIED PRODUCTS--0.00%
1,670 KONINKLIJKE NV .................................. 6
-----------
PRIMARY METAL INDUSTRIES--0.00%
1,600,000 MET GERDAU S.A .................................. 51
59,300 USINAS SIDERGIACAS DE MINAS GERAIS .............. 302
-----------
353
-----------
PRINTING AND PUBLISHING--0.02%
3,594,646 NEWS CORP LTD ................................... 25,467
-----------
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS--0.01%
132,287 SEALED AIR CORP (CLASS A) ....................... 5,556
-----------
TRANSPORTATION EQUIPMENT--0.00%
900 oMAN AG. (NON-VOTE) .............................. 243
42,600 oRHEINMETALL AG .................................. 1,215
3,300 VOLKSWAGENWERKE AG .............................. 2,274
-----------
3,732
-----------
TOTAL PREFERRED STOCK
(COST $91,535) .................................. 187,266
-----------
COMMON STOCK--98.82%
AGRICULTURAL PRODUCTION--
CROPS--0.05%
14,872 oAGRITOPE, INC ................................... 59
376,900 DEKALB GENETICS CORP (CLASS B) .................. 35,664
509 DELTA & PINE LAND CO ............................ 23
22,000 EBRO AGRICOLAS CIA S.A .......................... 560
235,000 oHIPPO VALLEY ESTATES LTD ........................ 127
480,740 PIONEER-HI-BRED INTERNATIONAL, INC .............. 19,891
-----------
56,324
-----------
AGRICULTURAL SERVICES--0.01%
59,100 oCADIZ LAND CO, INC .............................. 683
198,259 oMYCOGEN CORP .................................... 4,764
110,300 oVETERINARY CENTERS OF AMERICA, INC .............. 2,075
-----------
7,522
-----------
AMUSEMENT AND RECREATION
SERVICES--0.22%
109,900 oANCHOR GAMING CO ................................ 8,531
186,500 oARGOSY GAMING CORP .............................. 571
169,366 oASCENT ENTERTAINMENT GROUP, INC ................. 1,884
87,950 oBALLY TOTAL FITNESS HOLDINGS CORP ............... 3,166
33,900 oBOYD GAMING CORP ................................ 195
2,020,900 CARNIVAL CORP (CLASS A) ......................... 80,078
206,300 oCASINO MAGIC CORP ............................... 419
900 oDOVER DOWNS ENTERTAINMENT, INC .................. 28
525,928 EMI GROUP PLC ................................... 4,598
52,200 oFLORIDA PANTHERS HOLDINGS, INC .................. 1,028
849,591 GRANADA GROUP LTD (CLASS A) ..................... 15,621
219,900 oGRAND CASINOS, INC .............................. 3,683
1,759,200 oHARRAHS ENTERTAINMENT, INC ...................... 40,901
1,600 oHOLLYWOOD PARK, INC ............................. 20
203,000 KONICA CORP ..................................... 914
640 KUONI REISEN HOLDING (REGD) (CLASS B) ........... 3,177
8,765,002 oLADBROKE GROUP PLC .............................. 48,114
1,324,950 oMAGNUM CORP BERHAD .............................. 492
26,527 oMIRAGE RESORT, INC .............................. 565
760 MOEVENPICK HOLDINGS (BR) ........................ 377
65,000 NINTENDO CO LTD ................................. 6,018
129,500 oPENN NATIONAL GAMING, INC ....................... 979
216,100 oPLAYERS INTERNATIONAL, INC ...................... 1,074
9,846 oPREMIER PARKS, INC .............................. 656
57,934 oPRESIDENT CASINOS, INC .......................... 116
75,000 oQUINTEL ENTERTAINMENT, INC ...................... 291
1,200 oSCIENTIFIC GAMES HOLDINGS CORP .................. 28
60,100 SEGA ENTERPRISES LTD ............................ 1,037
21,700 oSFX ENTERTAINMENT, INC (CLASS A) ................ 995
See notes to financial statements.
-14-
<PAGE>
VALUE
SHARES (000)
------ -----------
AMUSEMENT AND RECREATION
SERVICES--(CONTINUED)
190,000 SHIMANO, INC .................................... $ 4,819
1,100 SMH AG. (BR) .................................... 850
59,090 SMH AG. (REGD) .................................. 9,856
800 SONY MUSIC ENTERTAINMENT, INC ................... 34
2,300 oSPEEDWAY MOTORSPORTS, INC ....................... 59
902,000 oSTAR CITY HOLDINGS LTD .......................... 525
818,400 TABCORP HOLDINGS LTD ............................ 4,181
255,300 oWESTWOOD ONE, INC ............................... 6,438
-----------
252,318
-----------
APPAREL AND ACCESSORY STORES--0.47%
203,889 oABERCROMBIE & FITCH CO (CLASS A) ................ 8,971
145,800 ADIDAS SALOMON AG ............................... 25,404
138,600 oAMERICAN EAGLE OUTFITTERS, INC .................. 5,345
17,100 oANN TAYLOR STORES CORP .......................... 362
15,250 oBUCKLE, INC (THE) ............................... 450
155,700 CATO CORP (CLASS A) ............................. 2,710
12,900 oCHARMING SHOPPES, INC ........................... 61
227,400 CLAIRES STORES, INC ............................. 4,662
108,618 CLAIRES STORES, INC (CLASS A) ................... 2,227
220,500 DEB SHOPS, INC .................................. 1,902
305,200 oDRESS BARN, INC ................................. 7,592
4,184 oEDISON BROTHERS STORES WTS 09/26/05 ............. 17
105,900 oFINISH LINE, INC (CLASS A) ...................... 2,978
57,000 oGADZOOKS, INC ................................... 1,571
2,493,550 GAP, INC ........................................ 153,665
105,200 oGOODYS FAMILY CLOTHING, INC ..................... 5,773
770,300 INTIMATE BRANDS, INC (CLASS A) .................. 21,231
92,450 oJACOBSON STORES, INC ............................ 1,283
31,050 oJUST FOR FEET, INC .............................. 885
3,275,800 LIMITED, INC .................................... 108,511
149,850 oMENS WAREHOUSE, INC ............................. 4,945
20,495 NORDSTROM, INC .................................. 1,583
384,900 oPACIFIC SUNWEAR CALIFORNIA, INC ................. 13,472
123,300 oPAUL HARRIS STORES, INC ......................... 1,634
682,723 oPAYLESS SHOESOURCE, INC ......................... 50,308
183,600 oPETRIE STORES CORP (LIQUIDATING TR) ............. 525
46,400 oSAKS HOLDINGS, INC .............................. 1,282
300 oSTAGE STORES, INC ............................... 14
330,400 oSTEIN MART, INC ................................. 4,460
183,200 oSYMS CORP ....................................... 2,611
1,000 TALBOTS, INC .................................... 26
3,703,920 TJX COS,INC ..................................... 89,357
4,400 oURBAN OUTFITTERS, INC ........................... 80
186,600 oWET SEAL, INC (CLASS A) ......................... 5,971
-----------
531,868
-----------
APPAREL AND OTHER TEXTILE
PRODUCTS--0.24%
228,000 AOYAMA TRADING CO LTD ........................... 5,618
189,600 AUTHENTIC FITNESS CORP .......................... 2,998
2,424,500 BENETTON GROUP S.P.A ............................ 5,037
355,850 COATS VIYELLA PLC ............................... 439
337,500 oCOURTAULDS PLC .................................. 2,509
308,900 COURTAULDS TEXTILES PLC ......................... 1,495
9,100 oCYRK, INC ....................................... 100
235,500 oDONNA KARAN INTERNATIONAL, INC .................. 3,459
17 ESCADA AG. (STAMM) .............................. 3
226,000 oETAM DEVELOPMENT S.A ............................ 17,756
1,035,500 oFRUIT OF THE LOOM, INC (CLASS A) ................ 34,366
933,000 GUNZE LTD ....................................... 2,131
324,900 oGYMBOREE CORP ................................... 4,924
114,400 oHARTMARX CORP ................................... 865
1,077,900 oJONES APPAREL GROUP, INC ........................ 39,411
129,000 oKANEBO LTD ...................................... 107
320,511 KELLWOOD CO ..................................... 11,458
1,082,000 KURABO INDUSTRIES LTD ........................... 1,411
2,478,000 KURARAY CO LTD .................................. 21,050
484,700 LIZ CLAIBORNE, INC .............................. 25,326
95,500 MARZOTTO & FIGLI S.P.A .......................... 1,457
626,700 oNAUTICA ENTERPRISES, INC ........................ 16,803
709,000 NISSHINBO INDUSTRY, INC ......................... 2,835
162,900 oNORTH FACE, INC ................................. 3,910
176,000 ONWARD KASHIYMA CO LTD .......................... 2,200
80,800 OSHKOSH B'GOSH, INC (CLASS A) ................... 3,596
91,800 OXFORD INDUSTRIES, INC .......................... 3,207
91,701 xoPARAGON TRADE BRANDS, INC ....................... 281
323,588 PHILLIPS VAN HEUSEN CORP ........................ 4,773
6,522 PILLOWTEX CORP .................................. 262
367,800 oPOLO RALPH LAUREN CORP .......................... 10,298
217,000 oQUIKSILVER, INC ................................. 4,326
786,100 oRENOWN, INC ..................................... 583
500 SHIMAMAURA CO LTD ............................... 14
3,394,000 TEIJIN LTD ...................................... 10,271
391,000 TOKYO STYLE CO LTD .............................. 3,831
1,956,000 TORAY INDUSTRIES,INC ............................ 10,147
729,000 TOYOBO CO LTD ................................... 956
194,000 oUNITIKA LTD ..................................... 145
163,400 VF CORP ......................................... 8,415
501,000 WACOAL CORP ..................................... 5,090
30,899 WARNACO GROUP, INC (CLASS A) .................... 1,311
-----------
275,174
-----------
AUTO REPAIR, SERVICES AND
PARKING--0.04%
2,800 oAMERCO .......................................... 82
235,600 BORG-WARNER AUTOMOTIVE, INC ..................... 11,324
46,300 oBUDGET GROUP, INC ............................... 1,479
366,000 oCOMFORT GROUP LTD ............................... 82
605,800 oDOLLAR THRIFTY AUTOMOTIVE GROUP, INC ............ 8,027
370,300 HERTZ CORP (CLASS A) ............................ 16,409
53,422 IMPERIAL HOLDINGS LTD ........................... 526
210,057 MIDAS, INC ...................................... 4,227
61,770 oNATIONAL AUTO CREDIT, INC ....................... 64
178,300 oRENTERS CHOICE, INC ............................. 5,059
4,000 ROLLINS TRUCK LEASING CORP ...................... 50
62,952 RYDER SYSTEM, INC ............................... 1,987
-----------
49,316
-----------
AUTOMOTIVE DEALERS AND SERVICE
STATIONS--0.10%
1,000 AUTOBACS SEVEN CO LTD ........................... 29
1,375,700 oAUTOZONE, INC ................................... 43,936
246,300 CANADIAN TIRE, INC (CLASS A) .................... 7,143
1,000,469 CIRCUIT CITY STORES-CIRCUIT CITY GROUP .......... 46,897
157,800 oCIRCUIT CITY STORES, INC (CARMAX GROUP) ......... 1,608
16,000 oCOPART, INC ..................................... 370
10,700 oDISCOUNT AUTO PARTS, INC ........................ 278
56,000 oINSURANCE AUTO AUCTIONS, INC .................... 791
323,957 oLONHRO AFRICA PLC ............................... 397
46,500 oOREILLY AUTOMOTIVE, INC ......................... 1,674
55,400 PEP BOYS MANNY, MOE, & JACK CO .................. 1,049
118,700 oUGLY DUCKLING CORP .............................. 1,150
113,300 oUNITED AUTO GROUP, INC .......................... 2,478
2,700 oWEST MARINE, INC ................................ 49
-----------
107,849
-----------
BUILDING MATERIALS AND GARDEN
SUPPLIES--0.51%
32,700 CBR NV .......................................... 3,665
40,416 oCORCEMAR S.A .................................... 244
See notes to financial statements.
-15-
<PAGE>
VALUE
SHARES (000)
------ -----------
BUILDING MATERIALS AND GARDEN
SUPPLIES--(CONTINUED)
347,580 CRH PLC ......................................... $ 4,931
8,300 DAITO TRUST CONSTRUCTION CO LTD ................. 63
108,500 oEAGLE HARDWARE & GARDEN, INC .................... 2,509
265,200 FASTENAL CO ..................................... 12,315
85,000 oGUJARAT AMBUJA CEMENTS .......................... 410
117,370 HEIDELBERGER ZEMENT AG .......................... 11,119
5,325,099 HOME DEPOT, INC ................................. 442,316
236,000 HONG LEONG INDUSTRIES BERHAD .................... 175
260,020 ITALCEMENTI S.P.A ............................... 2,339
203,000 KEDAH CEMENT HOLDINGS BERHAD .................... 56
666,772 LEIGHTON HOLDINGS LTD ........................... 2,335
1,395,700 LOWES COS, INC .................................. 56,613
307,500 MALAYAN CEMENT BERHAD ........................... 100
482,400 OAKWOOD HOMES CORP .............................. 14,472
610,000 PAN-MALAYSIA CEMENT WORKS BERHAD ................ 127
15,454 PORTLAND VALDERRIVAS S.A ........................ 1,897
135,000 SANWA SHUTTER CORP .............................. 593
35,600 EUROC INDUSTRIA AB SERIES A ..................... 1,540
1,063,150 SEKISUI HOUSE LTD ............................... 8,234
3,074,000 SUMITOMO OSAKA CEMENT CO LTD .................... 3,942
22,700 oTRACTOR SUPPLY CO ............................... 565
8,340 WIENERBERGER BAUSTOFF AG ........................ 2,018
-----------
572,578
-----------
BUSINESS SERVICES--4.87%
66,300 o3DFX INTERACTIVE, INC ........................... 1,135
29,600 o3DO CO .......................................... 93
27,400 oAARON RENTS, INC ................................ 548
99,300 oABACUS DIRECT CORP .............................. 5,157
500 oABM INDUSTRIES, INC ............................. 14
353,600 oABR INFORMATION SERVICES, INC ................... 8,398
227,500 oACCLAIM ENTERTAINMENT, INC ...................... 1,351
1,758,915 oACCUSTAFF, INC .................................. 54,966
1,200 ACKERLEY GROUP, INC ............................. 25
708,379 oACNEILSEN CORP .................................. 17,887
3,400 oACTIVISION, INC ................................. 35
112,300 oACXIOM CORP ..................................... 2,800
12,736 ADECCO S.A. (BR) ................................ 5,743
223,900 ADECCO S.A. ADR ................................. 12,426
1,100 oADMINSTAFF, INC ................................. 51
641,944 ADOBE SYSTEMS, INC .............................. 27,242
63,300 oADVANTAGE LEARNING SYSTEMS, INC ................. 1,733
26,800 oADVENT SOFTWARE, INC ............................ 1,126
350,030 oADVO, INC ....................................... 9,866
193,100 oAFFILIATED COMPUTER SERVICES, INC (CLASS A) ..... 7,434
118,240 oAGIV AG ......................................... 3,275
151,500 oALTERNATIVE RESOURCES CORP ...................... 1,875
1,147,200 AMERICA ONLINE, INC ............................. 121,603
53,200 oAMERICAN BUSINESS INFORMATION, INC (CLASS A) .... 811
8,200 oAMERICAN BUSINESS INFORMATION, INC (CLASS B) .... 131
383,225 oAMERICAN MANAGEMENT SYSTEMS, INC ................ 11,473
82,600 oAMERICAN SOFTWARE, INC (CLASS A) ................ 578
92,100 ANALYSTS INTERNATIONAL CORP ..................... 2,613
631,900 oANIXTER INTERNATIONAL, INC ...................... 12,046
78,000 ANTAH HOLDINGS BERHAD ........................... 9
4,100 oAPAC TELESERVICES, INC .......................... 24
30,800 oARBOR SOFTWARE CORP ............................. 968
60,600 oARIS CORP ....................................... 1,697
3,160 ARTEMIS S.A ..................................... 100
59,300 oASPECT DEVELOPMENT, INC ......................... 4,485
104,900 oASPEN TECHNOLOGY, INC ........................... 5,297
806,100 AUTODESK, INC ................................... 31,136
1,750,079 AUTOMATIC DATA PROCESSING, INC .................. 127,537
177,200 oAVANT CORP ...................................... 4,386
3,000 oAWARE, INC ...................................... 34
41,351 oAZTEC TECHNOLOGY PARTNERS, INC .................. 315
30,200 oBANYAN SYSTEMS, INC ............................. 249
247,300 oBILLING CONCEPTS CORP ........................... 3,833
182,500 oBISYS GROUP, INC ................................ 7,483
1,470,600 oBMC SOFTWARE, INC ............................... 76,379
223,300 oBOOLE & BABBAGE, INC ............................ 5,331
110,000 oBORG-WARNER SECURITY CORP ....................... 2,489
18,000 oBRC HOLDINGS, INC ............................... 345
134,212 oBRODERBUND SOFTWARE, INC ........................ 3,062
6,512,562 BTR PLC ......................................... 18,473
42,115 oBTR PLC WTS 11/26/98 ............................ 0
2,200 oCACI INTERNATIONAL, INC (CLASS A) ............... 46
1,200,974 oCADENCE DESIGN SYSTEMS, INC ..................... 37,530
114,200 oCAMBRIDGE TECHNOLOGY PARTNERS, INC .............. 6,238
178,500 oCAP GEMINI S.A .................................. 28,048
1,600,000 oCAPITA GROUP PLC ................................ 13,762
7,500 oCARIBINER INTERNATIONAL, INC .................... 131
339,900 oCATALINA MARKETING CORP ......................... 17,654
1,600 oCCC INFORMATION SERVICES GROUP, INC ............. 26
59,700 oCDI CORP ........................................ 1,597
47,900 oCELLULAR TECHNICAL SERVICES CO .................. 22
687,326 oCERIDIAN CORP ................................... 40,380
141,800 oCERNER CORP ..................................... 4,015
285,500 oCHECKFREE HOLDINGS CORP ......................... 8,404
130,900 oCHECKPOINT SYSTEMS, INC ......................... 1,849
180,329 oCHOICEPOINT, INC ................................ 9,129
378,800 oCIBER, INC ...................................... 14,394
647,735 oCITRIX SYSTEMS, INC ............................. 44,289
40,300 oCKS GROUP, INC .................................. 725
500 oCLAREMONT TECHNOLOGY GROUP, INC ................. 13
4,200 oCLARIFY, INC .................................... 57
115,200 oCMG INFORMATION SERVICES, INC ................... 8,150
265,500 oCOGNEX CORP ..................................... 4,912
1,809,819 COGNIZANT CORP .................................. 114,019
30,174 COMDISCO, INC ................................... 573
746,666 COMMERCE ASSET HOLDINGS BERHAD .................. 279
24,200 oCOMPLETE BUSINESS SOLUTIONS, INC ................ 870
4,439,205 COMPUTER ASSOCIATES
INTERNATIONAL, INC ............................. 246,653
525,300 oCOMPUTER HORIZONS CORP .......................... 19,469
8,900 oCOMPUTER MANAGEMENT SCIENCES, INC ............... 211
2,091,168 oCOMPUTER SCIENCES CORP .......................... 133,835
231,400 COMPUTER TASK GROUP, INC ........................ 7,752
1,832,700 oCOMPUWARE CORP .................................. 93,697
89,000 oCOREL CORP ...................................... 185
17,600 CORPORACION FINANCIERE ALBA S.A ................. 1,937
25,400 oCORSAIR COMMUNICATIONS, INC ..................... 237
37,200 oCORT BUSINESS SERVICES CORP ..................... 1,172
164,000 oCSG SYSTEMS INTERNATIONAL, INC .................. 7,688
245,000 CSK CORP ........................................ 4,872
1,909,663 CSR LTD ......................................... 5,511
4,894 oCYBERGUARD CORP ................................. 47
11,600 oCYBERMEDIA, INC ................................. 51
440,000 DAIWA KOSHO LEASE CO LTD ........................ 1,848
54,300 oDAOU SYSTEMS, INC ............................... 1,242
56,000 oDASSAULT SYSTEMS S.A ............................ 2,640
46,638 oDATA BROADCASTING CORP .......................... 297
208,000 oDATA DIMENSIONS, INC ............................ 3,549
25,200 oDATA PROCESSING RESOURCES CORP .................. 783
45,900 oDATASTREAM SYSTEMS, INC ......................... 875
80,700 oDATAWORKS CORP .................................. 1,069
6,485 oDBT ONLINE, INC ................................. 175
73,252 DE LA RUE CO PLC ................................ 366
12,500 oDELTEK SYSTEMS, INC ............................. 306
See notes to financial statements.
-16-
<PAGE>
VALUE
SHARES (000)
------ -----------
BUSINESS SERVICES--(CONTINUED)
30,800 oDENDRITE INTERNATIONAL, INC ..................... $ 1,159
3,000 oDIGITAL LIGHTWAVE, INC .......................... 10
1,700 oDOCUMENTUM, INC ................................. 82
1,200 oDST SYSTEMS, INC ................................ 67
216,139 DUN & BRADSTREET CORP ........................... 7,781
2,600 oE TRADE GROUP, INC .............................. 60
47,700 oEARTHLINK NETWORK, INC .......................... 3,661
1,649,130 EDISON S.P.A .................................... 13,244
11,200 oELECTRO RENT CORP ............................... 251
6,400 oELECTRONIC ARTS, INC ............................ 346
2,897,444 ELECTRONIC DATA SYSTEMS CORP .................... 115,898
2,100 oELECTRONICS FOR IMAGING, INC .................... 44
362,600 oEMPLOYEE SOLUTIONS, INC ......................... 1,382
31,000 oENGINEERING ANIMATION, INC ...................... 1,891
287,029 oENVOY CORP ...................................... 13,598
1,703,198 EQUIFAX, INC .................................... 61,847
35,300 ESSELTE AB SERIES B FREE ........................ 819
81,200 oEXCITE, INC ..................................... 7,592
14,700 oFACTSET RESEARCH SYSTEMS, INC ................... 478
1,900 FAIR ISSAC & CO, INC ............................ 72
600 oFILENET CORP .................................... 17
83,100 oFIREARMS TRAINING SYSTEMS, INC .................. 208
2,093,168 FIRST DATA CORP ................................. 69,729
21,962 oFISERV, INC ..................................... 933
18,500 FLUGHAFEN WIEN AG ............................... 887
526,300 oFORE SYSTEMS, INC ............................... 13,947
119,400 oFORTE SOFTWARE, INC ............................. 716
203,900 oFTP SOFTWARE, INC ............................... 344
255,000 oGAKKEN CO LTD ................................... 426
230,700 oGARTNER GROUP, INC (CLASS A) .................... 8,075
111,500 oGENESYS TELECOMM LABS, INC ...................... 3,686
21,500 oGEOTEL COMMUNICATIONS CORP ...................... 876
119,670 GETRONICS NV .................................... 6,206
8,472 oGRANDE HOLDINGS WTS 10/15/00 .................... 0
58,700 oGREAT PLAINS SOFTWARE, INC ...................... 1,988
34,035 GROUPE BRUXELLES LAMBERT S.A .................... 6,869
1,155 oGROUPE BRUXELLES LAMBERT S.A
WTS 12/20/98 ................................... 98
63,700 oGT INTERACTIVE SOFTWARE CORP .................... 480
462,900 oGTECH HOLDINGS CORP ............................. 15,594
20,750 oHARBINGER CORP .................................. 502
389,000 HAW PAR CORP LTD ................................ 408
4,378,468 HBO & CO ........................................ 154,341
6,300 oHCIA, INC ....................................... 81
83,300 oHEALTH MANAGEMENT SYSTEMS, INC .................. 937
8,300 oHERLITZ AG ...................................... 451
15,200 oHNC SOFTWARE .................................... 620
200,200 oHYPERION SOFTWARE CORP .......................... 5,706
8,000 oI2 TECHNOLOGIES, INC ............................ 281
24,800 oIKOS SYSTEMS, INC ............................... 97
64,600 oIMNET SYSTEMS, INC .............................. 864
76,000 oINCHCAPE MARKETING SERVICES ..................... 18
2,000 oINDUSTRI-MATEMATIK INTERNATIONAL CORP ........... 22
3,000 INES CORP ....................................... 21
168,550 oINFORMATION MANAGEMENT
RESOURCES, INC ................................. 5,699
209,900 oINFORMATION RESOURCES, INC ...................... 3,883
752,500 oINFORMIX CORP ................................... 5,949
138,300 oINFOSEEK CORP ................................... 4,962
64,937 oINPRISE CORP .................................... 479
98,900 oINSO CORP ....................................... 1,354
18,175 oINTEGRATED SYSTEMS CONSULTING GROUP ............. 250
100,800 oINTEGRATED SYSTEMS, INC ......................... 1,550
272,100 oINTERIM SERVICES, INC ........................... 8,741
20,900 oINTERNATIONAL NETWORK SERVICES .................. 857
74,300 oINTERNATIONAL TELECOMMUNICATIONS ................ 2,155
700 oINTERPOOL, INC .................................. 10
1,285,700 INTERPUBLIC GROUP OF COS, INC ................... 78,026
29,000 oINTERSOLV, INC .................................. 466
191,400 oINTERVOICE, INC ................................. 3,397
1,200 oINTUIT, INC ..................................... 74
1,500,000 oIPC CORP ........................................ 62
35,700 ISS INTERNATIONAL SERVICE SYSTEM AS SERIES B .... 2,076
3,352,400 ITOCHU CORP ..................................... 7,246
4,000 oITRON, INC ...................................... 51
66,700 oJDA SOFTWARE GROUP, INC ......................... 2,918
930,000 oKEANE, INC ...................................... 52,080
272,815 KELLY SERVICES, INC (CLASS A) ................... 9,651
44,550 oKEPPEL LAND WTS 12/12/00 ........................ 5
149,000 KOKUYO CO LTD ................................... 2,523
18,700 KONAMI CO LTD ................................... 402
10,000 oKRONOS, INC ..................................... 363
168,150 oLABOR READY, INC ................................ 5,076
154,988 LAGARDERE S.C.A ................................. 6,452
331,220 oLAIRD GROUP PLC ................................. 1,542
214,294 oLANDSTAR SYSTEM, INC ............................ 7,487
512,500 oLEARNING CO, INC ................................ 15,183
157,400 oLEGATO SYSTEMS, INC ............................. 6,139
82,400 oLHS GROUP, INC .................................. 5,428
323,957 LONRHO PLC ...................................... 1,519
75,700 oLYCOS, INC ...................................... 5,706
28,224 oM-WEB HOLDINGS LTD .............................. 102
253,000 oMACNEAL-SCHWENDLER CORP ......................... 2,483
32,600 oMACROMEDIA, INC ................................. 609
1,364,000 MALAYAN UNITED INDUSTRIES BERHAD ................ 158
939,300 MANPOWER, INC ................................... 26,946
71,776 oMANUGISTICS GROUP, INC .......................... 1,776
700 oMAPICS, INC ..................................... 14
133,700 oMARCAM SOLUTIONS CORP ........................... 2,407
4,741,900 MARUBENI CORP ................................... 9,464
2,900 oMAY & SEPH, INC ................................. 58
20,500 MCGRATH RENTCORP ................................ 433
213,100 oMEDQUIST, INC ................................... 6,153
472,800 MEITEC CORP ..................................... 16,351
1,011,300 oMENTOR GRAPHICS CORP ............................ 10,682
169,500 oMERCURY INTERACTIVE CORP ........................ 7,564
842,300 oMERKANTILDATA ASA ............................... 10,647
271,250 oMETAMOR WORLDWIDE, INC .......................... 9,545
74,300 METRA CO SERIES B ............................... 2,438
250,000 oMETROMEDIA INTERNATIONAL GROUP, INC ............. 2,984
13,644,500 oMICROSOFT CORP .................................. 1,478,723
94,678 oMIDWAY GAMES, INC ............................... 1,479
33,700 oMINDSPRING ENTERPRISES, INC ..................... 3,467
272,029 MISYS PLC ....................................... 15,455
2,624,000 MITSUBISHI CORP ................................. 16,259
365,000 MITSUBISHI LOGISTICS CORP ....................... 3,253
1,782,000 MITSUI & CO LTD ................................. 9,629
121,000 MITSUI SOKO CO LTD .............................. 363
507,200 NATIONAL COMPUTER SYSTEMS, INC .................. 12,173
623,642 NATIONAL DATA CORP .............................. 27,284
100,100 oNCO GROUP, INC .................................. 2,202
115,700 oNEOPATH, INC .................................... 832
211,100 oNETMANAGE, INC .................................. 633
18,491 oNETSCAPE COMMUNICATIONS CORP .................... 500
52,000 oNETSPEAK CORP ................................... 647
440,200 oNETWORK APPLIANCE, INC .......................... 17,140
1,304,280 oNETWORKS ASSOCIATES, INC ........................ 62,442
See notes to financial statements.
-17-
<PAGE>
VALUE
SHARES (000)
------ ----------
BUSINESS SERVICES--(CONTINUED)
1,943,706 NEWELL COS, INC ................................. $ 96,821
102,960 NIPPON KANZAI CO LTD ............................ 1,261
1,100 NORRELL CORP .................................... 22
50,100 oNORSTAN, INC .................................... 1,256
100 oNOVA CORP/GEORGIA ............................... 4
18,500 oNOVELL, INC ..................................... 236
166 oNTT DATA ........................................ 5,992
332 NTT DATA COMMUNICATIONS SYSTEM CORP ............. 11,984
26,400 oOBJECTIVE SYSTEMS INTEGRATORS, INC .............. 195
90,700 oODS NETWORKS, INC ............................... 590
4,894 OLSTEN CORP ..................................... 55
1,313,700 OMNICOM GROUP, INC .............................. 65,521
15,100 oON ASSIGNMENT, INC .............................. 528
106,400 oONSALE, INC ..................................... 2,633
159,500 oOPEN MARKET, INC ................................ 3,011
6,296,537 oORACLE CORP ..................................... 154,659
1,050 oOUTDOOR SYSTEMS, INC ............................ 29
892,800 PACIFIC DUNLOP LTD .............................. 1,443
1,555,900 oPAGING NETWORK, INC ............................. 21,783
2,043,346 oPARAMETRIC TECHNOLOGY CORP ...................... 55,426
97,653 PAYCHEX, INC .................................... 3,973
2,100 oPAYMENTECH, INC ................................. 43
4,195,528 PEARSON PLC ..................................... 76,863
22,200 oPEGASYSTEMS, INC ................................ 602
1,207,900 oPEOPLESOFT, INC ................................. 56,771
102,000 oPEREGRINE SYSTEMS, INC .......................... 2,907
68,500 oPERITUS SOFTWARE SERVICES, INC .................. 274
145,800 oPERSONNEL GROUP OF AMERICA, INC ................. 2,916
41,500 oPHOENIX TECHNOLOGIES LTD ........................ 529
111,200 #oPHYSICIAN COMPUTER NETWORK, INC ................. 175
5,000 oPINKERTONS, INC ................................. 104
597,700 PITTSTON BRINKS GROUP CO ........................ 22,040
111,900 oPLATINUM SOFTWARE CORP .......................... 2,728
606,600 oPLATINUM TECHNOLOGY, INC ........................ 17,326
193,200 oPMT SERVICES, INC ............................... 4,915
401,200 oPOLICY MANAGEMENT SYSTEMS CORP .................. 15,747
42,000 oPRECISION RESPONSE CORP ......................... 336
3,479 oPRIMARK CORP .................................... 109
205,000 oPROGRESS SOFTWARE CORP .......................... 8,405
60,300 oPROJECT SOFTWARE & DEVELOPMENT, INC ............. 1,210
92,785 PROSEGUR COMPANIA DE SEGURIDAD S.A .............. 1,106
2,100 oPSINET, INC ..................................... 27
73,600 oQAD, INC ........................................ 662
28,300 oQRS CORP ........................................ 1,065
53,100 oQUADRAMED CORP .................................. 1,450
165,500 oQUARTERDECK CORP ................................ 114
77,000 oRADIANT SYSTEMS, INC ............................ 1,117
100,000 RANDSTAD HOLDINGS NV ............................ 6,022
290,200 oREMEDY CORP ..................................... 4,933
189,800 oRENTAL SERVICE CORP ............................. 6,382
5,629,520 oRENTOKIL INITIAL PLC ............................ 40,483
792,650 oROBERT HALF INTERNATIONAL, INC .................. 44,289
342,350 ROLLINS, INC .................................... 7,018
131,253 oROMAC INTERNATIONAL, INC ........................ 3,987
2,010,781 RUETERS GROUP PLC ............................... 22,982
35,100 oSANCHEZ COMPUTER ASSOCIATES, INC ................ 715
42,600 oSANTA CRUZ OPERATION, INC ....................... 202
179,700 SAP AG .......................................... 109,015
68,900 oSAPIENT CORP .................................... 3,634
59,500 oSEATTLE FILMWORKS, INC .......................... 459
252,300 SECOM CO LTD .................................... 14,561
2,500,000 oSECURICOR PLC ................................... 20,356
86,900 SECURITAS AB SERIES B FREE ...................... 4,255
314,500 SHARED MEDICAL SYSTEMS CORP ..................... 23,096
275,717 oSIEBEL SYSTEMS, INC ............................. 8,892
2,087,900 SIME DARBY BERHAD ............................... 1,440
147,700 oSITEL CORP ...................................... 979
59,930 oSOCIEDAD COMERCIAL DEL PLATA S.A ................ 66
1,698 SOCIETE GENERAL DE SURVEILLANCE (BR) ............ 2,878
29,512 oSOFTWARE PUBLISHING CORP HOLDINGS, INC .......... 44
665,834 SOTHEBYS HOLDINGS, INC (CLASS A) ................ 14,898
11,000 oSPS TRANSACTION SERVICES, INC ................... 345
2,800 oSTAFFMARK, INC .................................. 103
11,133 oSTERLING COMMERCE, INC .......................... 540
1,214,496 oSTERLING SOFTWARE, INC .......................... 35,904
26,700 STEWART INFORMATION SERVICES CORP ............... 1,297
18,000 oSTRUCTURAL DYNAMICS RESEARCH CORP ............... 416
415,115 LYONNAISE DES EAUX S.A .......................... 68,316
2,054,000 SUMITOMO CORP ................................... 9,871
608,000 oSUNGARD DATA SYSTEMS, INC ....................... 23,332
626,200 oSUNGEI WAY HOLDINGS BERHAD ...................... 97
43,100 oSUNQUEST INFORMATION SYSTEMS, INC ............... 393
7,610 SURVEILLANCE S.A. SOCIETE DE .................... 2,619
5,700 oSYBASE, INC ..................................... 40
93,200 oSYKES ENTERPRISES, INC .......................... 1,870
347,400 oSYMANTEC CORP ................................... 9,076
55,967 oSYNOPSYS, INC ................................... 2,560
146,750 oSYNTEL, INC ..................................... 4,586
5,464 oSYSTEM SOFTWARE ASSOCIATES, INC ................. 39
617,032 oSYSTEMS & COMPUTER TECHNOLOGY CORP .............. 16,660
52,100 oSYSTEMSOFT CORP ................................. 78
85,500 oTCSI CORP ....................................... 502
61,000 oTECHNOLOGY SOLUTIONS CO ......................... 1,933
47,200 oTELESPECTRUM WORLDWIDE, INC ..................... 413
15,800 oTELETECH HOLDINGS, INC .......................... 194
103,200 TELXON CORP ..................................... 3,341
36,343 THORN PLC ....................................... 139
28,600 oTMP WORLDWIDE, INC .............................. 997
295,000 TOKYO DOME CORP ................................. 1,594
264,000 oTOKYO TOKEIBA CO LTD ............................ 390
3,387,000 TOKYU CORP ...................................... 10,274
17,200 TOTAL SYSTEM SERVICES, INC ...................... 361
45,200 TRANS COSMOS .................................... 1,088
256,000 oTRANSACTION SYSTEM ARCHITECTURE ................. 9,856
3,000 oTRANSITION SYSTEMS, INC ......................... 32
299,900 TRUE NORTH COMMUNICATIONS, INC .................. 8,772
90,000 oU.S. RENTALS, INC ............................... 3,549
1,533,000 UNITED INDUSTRIAL CORP .......................... 440
27,000 oUNITED INDUSTRIAL CORP WTS 07/05/99 ............. 0
103,300 oUSCS INTERNATIONAL, INC ......................... 2,137
6,003 oVANSTAR CORP .................................... 87
3,200 oVANTIVE CORP (THE) .............................. 66
5,000 oVERISIGN, INC ................................... 187
313,727 oVERITAS SOFTWARE CORP ........................... 12,980
4,600 oVIASOFT, INC .................................... 74
303,400 oVISIO CORP ...................................... 14,487
399,123 VIVENDI S.A ..................................... 85,225
48,973 oVIVENDI S.A. WTS 05/02/01 ....................... 96
78,100 oVOLT INFORMATION SCIENCES, INC .................. 2,118
71,556 oVTEL CORP ....................................... 461
31,657 WACKENHUT CORP SERIES A ......................... 716
348,206 WACKENHUT CORP SERIES B ......................... 7,486
19,400 oWALKER INTERACTIVE SYSTEMS, INC ................. 286
55,508 oWANG LABORATORIES, INC .......................... 1,412
6,673 oWANG LABORATORIES, INC WTS 07/02/01 ............. 58
See notes to financial statements.
-18-
<PAGE>
VALUE
SHARES (000)
------ -----------
BUSINESS SERVICES--(CONTINUED)
2,699,261 WHARF HOLDINGS LTD .............................. $ 2,665
134,963 #WHARF HOLDINGS LTD WTS 12/31/99 ................. 0
188,600 oWIND RIVER SYSTEMS, INC ......................... 6,766
124,000 WM-DATA AB SERIES B ............................. 4,307
2,492,000 WPP GROUP PLC ................................... 16,330
41,800 XTRA CORP ....................................... 2,529
401,400 oYAHOO, INC ...................................... 63,221
-----------
5,472,672
-----------
CHEMICALS AND ALLIED PRODUCTS--11.85%
12,784,476 ABBOTT LABORATORIES CO .......................... 522,565
315,000 ADERANS CO LTD .................................. 6,900
488,500 oADVANCED TISSUE SCIENCE CO ...................... 2,168
31,000 AGA AB SERIES A FREE ............................ 486
257,300 AGA AB SERIES B FREE ............................ 3,936
344,338 oAGOURON PHARMACEUTICALS, INC .................... 10,438
132,651 AGRIUM, INC ..................................... 1,655
693,520 AIR PRODUCTS & CHEMICALS, INC ................... 27,741
20,700 oAIRGAS, INC ..................................... 298
197,770 AKZO NOBEL NV ................................... 43,964
394,390 ALBEMARLE CORP .................................. 8,701
38,100 ALBERTO CULVER CO (CLASS A) ..................... 967
253,900 ALBERTO CULVER CO (CLASS B) ..................... 7,363
4,000 oALGOS PHARMACEUTICAL CORP ....................... 108
375,700 oALKERMES, INC ................................... 6,716
109,193 ALLEGIANCE CORP ................................. 5,596
32,372 oALLERGAN SPECIALTY THERAPEUTICS, INC (CLASS A) .. 332
1,119,150 ALLERGAN, INC ................................... 51,901
227,100 oALLIANCE PHARMACEUTICAL CORP .................... 951
279,300 ALPAHARMA, INC (CLASS A) ........................ 6,145
22,900 oALPHA BETA TECHNOLOGY, INC ...................... 56
101,700 oALZA CORP ....................................... 4,399
70,000 oAMERICAN DRUG CO ................................ 20
70,000 oAMERICAN DRUG CO WTS 08/05/98 ................... 2
12,892,104 AMERICAN HOME PRODUCTS CORP ..................... 667,166
2,229,400 oAMGEN, INC ...................................... 145,747
177,300 oAMYLIN PHARMACEUTICALS, INC ..................... 670
20,600 oAPHTON CORP ..................................... 342
84,349 oAQUILA BIOPHARMACEUTICALS, INC .................. 353
700 ARCO CHEMICAL CO ................................ 40
1,326,000 ASAHI CHEMICAL INDUSTRY CO LTD .................. 4,777
50,700 oAVIRON, INC ..................................... 1,581
1,175,832 AVON PRODUCTS, INC .............................. 91,127
491,000 BANYU PHARMACEUTICAL CO LTD ..................... 5,306
149,200 oBARR LABORATORIES, INC .......................... 5,931
1,680,600 BASF AG ......................................... 79,840
1,722,450 BAYER AG ........................................ 89,128
244,600 BEIERSDORF AG ................................... 15,584
6,500 BETZDEARBORN, INC ............................... 269
434,700 oBIO-TECHNOLOGY GENERAL CORP ..................... 3,084
1,086,500 oBIOGEN, INC ..................................... 53,239
1,787,656 BOC GROUP PLC ................................... 24,354
68,600 oBORDEN CHEMICALS & PLASTICS LTD ................. 394
79,050 oBOSTON LIFE SCIENCES, INC ....................... 247
8,831,180 BRISTOL MYERS SQUIBB CO ......................... 1,015,034
888,200 CABOT CORP ...................................... 28,700
5,400 CALGON CARBON CORP .............................. 54
374,704 oCAMBREX CORP .................................... 9,836
5,900 oCARBIDE/GRAPHITE GROUP, INC (THE) ............... 164
301,700 CARTER WALLACE, INC ............................. 5,449
82,500 CARTER WALLACE, INC (CLASS B) ................... 1,490
136,900 oCELL GENESYS, INC ............................... 1,172
39,987 oCENTOCOR, INC ................................... 1,450
137,100 CHEMED CORP ..................................... 4,670
212,800 CHEMFIRST, INC .................................. 5,373
4,172,568 oCHIRON CORP ..................................... 65,457
2,416,417 oCHIROSCIENCE GROUP PLC .......................... 11,188
581,000 CHUGAI PHARMACEUTICAL CO LTD .................... 3,801
273,500 CHURCH & DWIGHT CO, INC ......................... 8,855
4,000 CIN-CORPARACAO INDUSTRIAL DO NORTE S.A .......... 296
298,266 CLOROX CO ....................................... 28,447
1,775,632 COLGATE PALMOLIVE CO ............................ 156,256
188,700 COLLAGEN CORP ................................... 3,420
6,000 oCOLUMBIA LABORATORIES, INC ...................... 35
4,200 oCOPLEY PHARMACEUTICAL, INC ...................... 26
672,700 CORDANT TECHNOLOGIES, INC ....................... 31,028
852,916 oCOVANCE, INC .................................... 19,191
211,700 oCREATIVE BIOMOLECULES, INC ...................... 1,019
1,695 oCRESCENDO PHARMACEUTICALS CORP .................. 22
2,500 CROMPTON & KNOWLES CORP ......................... 63
276,200 oCYGNUS, INC ..................................... 2,883
781,457 oCYTEC INDUSTRIES, INC ........................... 34,579
524,982 oCYTOGEN CORP .................................... 410
1,407,000 DAICEL CHEMICAL INDUSTRIES LTD .................. 2,980
423,000 DAIICHI PHARMACEUTICAL CO LTD ................... 5,577
810,000 DAINIPPON INK & CHEMICAL, INC ................... 2,480
376,710 DEGUSSA AG ...................................... 24,105
333,440 DEXTER CORP ..................................... 10,608
202,719 DIAL CORP ....................................... 5,258
2,001,133 DOW CHEMICAL CO ................................. 193,485
10,398,975 DU PONT (E.I.) DE NEMOURS & CO .................. 776,024
158,300 oDURA PHARMACEUTICALS, INC ....................... 3,542
27,100 DYNO INDUSTRIER AS .............................. 484
45,748 EASTMAN CHEMICAL CO ............................. 2,848
120,360 oECOGEN, INC ..................................... 316
880,590 ECOLAB, INC ..................................... 27,298
45,340 oELAN CORP PLC ADR ............................... 2,916
1,298,549 oELEMENTIS PLC ................................... 3,337
207,529 ELF SANOFI S.A .................................. 24,405
73,400 oEMISPHERE TECHNOLOGIES, INC ..................... 885
923,554 ENGLISH CHINA CLAYS PLC ......................... 3,190
491,496 oENZON, INC ...................................... 3,133
469,800 ETHYL CORP ...................................... 2,878
415,825 FERRO CORP ...................................... 10,526
2,310,367 +oFMC CORP ........................................ 157,538
2,400 oFOREST LABORATORIES, INC ........................ 86
36,931 oFREEPORT-MCMORAN SULPHUR, INC ................... 489
4,000 oFUISZ TECHNOLOGIES LTD .......................... 44
36,235 FULLER (H.B.) CO ................................ 2,009
9,300 oGELTEX PHARMACEUTICALS, INC ..................... 173
100 oGENENTECH, INC .................................. 7
16,800 oGENERAL CHEMICAL GROUP, INC ..................... 466
291,081 oGENSIA SICOR, INC ............................... 1,164
936,900 oGENZYME CORP (GENERAL DIVISION) ................. 23,950
48,177 oGENZYME CORP
(TISSUE REPAIR DIVISION) ....................... 316
570,200 GEORGIA GULF CORP ............................... 13,008
128,500 oGILEAD SCIENCES, INC ............................ 4,120
9,056,403 GLAXO WELLCOME PLC .............................. 271,840
829,100 GREAT LAKES CHEMICAL CORP ....................... 32,698
274,200 GREENCORE GROUP PLC ............................. 1,492
6,300 oGUILFORD PHARMACEUTICALS, INC ................... 111
66,410 HAFSLUND AS SERIES A ............................ 359
34,402 HAFSLUND AS SERIES B ............................ 136
808,462 HANNA (M.A.) CO ................................. 14,805
1,569,200 HERCULES, INC ................................... 64,533
32,500 oHESKA CORP ...................................... 360
455,900 oHUMAN GENOME SCIENCES, INC ...................... 16,270
673,254 ICN PHARMACEUTICALS, INC ........................ 30,759
194,400 oIDEC PHARMACEUTICALS CORP ....................... 4,581
See notes to financial statements.
-19-
<PAGE>
VALUE
SHARES (000)
------ ----------
CHEMICALS AND ALLIED
PRODUCTS--(CONTINUED)
309,000 oIDEXX LABORATORIES, INC ......................... $ 7,686
1,888,442 IMC GLOBAL, INC ................................. 56,889
54,155 oIMC GLOBAL, INC WTS 12/22/00 .................... 135
258,000 oIMMUCOR, INC .................................... 2,241
38,800 oIMMUNE RESPONSE CORP ............................ 582
240,000 oIMMUNEX CORP .................................... 15,900
429,300 oIMMUNOMEDICS, INC ............................... 1,905
1,550,173 oIMPERIAL CHEMICAL INDUSTRY PLC .................. 24,882
227,100 oINTERNATIONAL SPECIALTY PRODUCTS, INC ........... 4,230
413,800 oINTERNEURON PHARMACEUTICALS, INC ................ 1,500
1,035,700 INTERNATIONAL FLAVORS & FRAGRANCES, INC ......... 44,988
317,000 oISHIHARA SANGYO KAISHA LTD ...................... 439
185,000 oISIS PHARMACEUTICALS, INC ....................... 2,532
593,359 oIVAX CORP ....................................... 5,489
10,837,154 JOHNSON & JOHNSON CO ............................ 799,240
406,100 JONES PHARMACEUTICAL, INC ....................... 13,452
143,000 KAKEN PHARMACEUTICAL CO LTD ..................... 381
930,000 KANEKA CORP ..................................... 4,891
1,363,000 KANSAI PAINT CO LTD ............................. 3,143
167,900 KEMIRA OY ....................................... 1,735
186,400 KERRY GROUP (CLASS A) ........................... 2,574
65,000 KERRY GROUP (CLASS A) (U.K.) .................... 889
70,000 oKING PHARMACEUTICALS, INC ....................... 980
226,490 KISSEI PHARMACEUTICALS CO LTD ................... 3,345
1,769,564 KONINKLIJKE AHOLD NV ............................ 56,805
250,000 KONISHI CO LTD .................................. 2,342
44,600 oKOS PHARMACEUTICALS, INC ........................ 452
800,000 KUREHA CHEMICAL INDUSTRY CO LTD ................. 1,844
25,000 LABORATORIO CHILE ADR ........................... 359
53,597 LAIR LIQUIDE .................................... 8,865
26,958 #LAIR LIQUIDE (REGD) 1996 ........................ 4,459
5,692 #LAIR LIQUIDE (REGD) 1999 ........................ 941
150,100 LAUDER (ESTEE) CO (CLASS A) ..................... 10,460
398,190 LAWTER INTERNATIONAL, INC ....................... 4,330
112,155 LEARONAL, INC ................................... 2,678
49,500 LIFE TECHNOLOGIES, INC .......................... 1,553
3,500 oLIGAND PHARMACEUTICALS CO (CLASS A) ............. 45
7,554,220 LILLY (ELI) & CO ................................ 499,051
310,377 LILLY INDUSTRIES, INC (CLASS A) ................. 6,712
198,500 oLIPOSOME CO, INC ................................ 1,073
1,024,683 LUBRIZOL CORP ................................... 30,997
1,400 MACDERMID, INC .................................. 40
112,000 MALAYSIAN OXYGEN BERHAD ......................... 248
1,283,650 +oMARTEK BIOSCIENCES CORP ......................... 18,693
50,300 oMATRIX PHARMACEUTICALS, INC ..................... 220
76,150 oMCWHORTER TECHNOLOGIES, INC ..................... 2,013
146,200 MDS, INC (CLASS B) .............................. 3,132
57,600 oMEDCO RESEARCH, INC ............................. 1,469
47,568 oMEDICIS PHARMACEUTICAL CORP (CLASS A) ........... 1,736
500 oMEDIMMUNE, INC .................................. 31
1,586,281 oMEDPARTNERS, INC ................................ 12,690
11,047,317 MERCK & CO, INC ................................. 1,477,579
113,500 MERCK & CO KGAA ................................. 5,087
686,915 MILLENNIUM CHEMICAL, INC ........................ 23,269
350,300 oMILLENNIUM PHARMACEUTICALS, INC ................. 4,948
1,000 MINERALS TECHNOLOGIES, INC ...................... 51
200 oMIRAVANT MEDICAL TECHNOLOGY ..................... 4
257,477 MISSISSIPPI CHEMICAL CORP ....................... 4,232
6,307,000 MITSUBISHI CHEMICAL CORP ........................ 11,406
963,000 MITSUBISHI GAS CHEMICAL CO, INC ................. 2,907
1,400 MITSUI CHEMICAL CORP ............................ 4
800,000 MONTEDISON S.P.A. RISP .......................... 619
1,335,500 MORTON INTERNATIONAL, INC ....................... 33,388
2,007,850 MYLAN LABORATORIES, INC ......................... 60,361
13,300 oNABI, INC ....................................... 40
575,000 NAGASE & CO ..................................... 2,096
2,400 NALCO CHEMICAL CORP ............................. 84
240,400 NATURES SUNSHINE PRODUCTS, INC .................. 5,424
845,100 oNBTY, INC ....................................... 15,529
18,100 NCH CORP ........................................ 1,160
50,000 #oNETGENICS, INC STOCK OPTIONS 03/20/08 ........... 70
900 oNEUROGEN CORP ................................... 16
230,772 oNEXSTAR PHARMACEUTICALS, INC .................... 2,301
362,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD .............. 1,943
34,100 NL INDUSTRIES, INC .............................. 682
2,377 NORIT NV ........................................ 28
3,000 NORITAKE CO LTD ................................. 14
250,478 NORSK HYDRO AS .................................. 11,017
165,600 oNORTH AMERICAN VACCINE, INC ..................... 2,567
26,300 NOVARTIS AG. (BR) ............................... 43,799
177,858 NOVARTIS AG. (REGD) ............................. 295,961
184,120 NOVO NORDISK AS (CLASS B) ....................... 25,381
38,875 oOCTEL CORP ...................................... 773
732,400 OLIN CORP ....................................... 30,532
38,801 OM GROUP, INC ................................... 1,601
198,500 oORGANOGENESIS, INC .............................. 3,920
540,224 ORICA LTD ....................................... 3,195
125,300 oPAREXEL INTERNATIONAL CORP ...................... 4,558
6,300 oPATHOGENESIS CORP ............................... 183
84,700 oPERRIGO CO ...................................... 852
11,362,441 PFIZER, INC ..................................... 1,234,955
310,012 oPHARMACEUTICAL PRODUCT DEVELOPMENT .............. 6,820
274,442 oPHARMACEUTICAL RESOURCES, INC ................... 1,252
4,568,101 PHARMACIA & UPJOHN, INC ......................... 210,704
30,300 oPHARMACYCLICS, INC .............................. 720
419,105 PRAXAIR, INC .................................... 19,619
12,389,316 PROCTER & GAMBLE CO ............................. 1,128,202
113,900 oPROTEIN DESIGN LABORATORIES, INC ................ 2,744
130,000 oREGENERON PHARMACEUTICALS, INC .................. 1,198
34,700 oREVLON, INC (CLASS A) ........................... 1,783
200,000 oRHODIA S.A ...................................... 5,577
818,272 RHONE-POULENC S.A. (CLASS A) .................... 46,151
100,000 oRIBOZYME PHARMACEUTICALS, INC ................... 494
8,000 RIKEN VITAMIN CO LTD ............................ 75
106,200 oROBERTS PHARMACEUTICAL CORP ..................... 2,443
1,369 ROCHE HOLDINGS AG. (BR) ......................... 20,285
21,931 ROCHE HOLDINGS AG. (GENUSSCHEINE) ............... 215,363
629,995 ROHM & HAAS CO .................................. 65,480
3,557 RPM, INC ........................................ 60
20,000,000 oSA SA INTERNATIONAL HOLDINGS LTD ................ 3,355
2,300 oSANGSTAT MEDICAL CORP ........................... 72
500 SANTEN PHARMACEUTICAL CO LTD .................... 5
178 oSCHERER (R.P.) CORP ............................. 16
102,270 SCHERING AG ..................................... 12,040
5,287,112 SCHERING-PLOUGH CORP ............................ 484,432
556,077 SCHULMAN (A.), INC .............................. 10,878
200,400 oSCOTTS CO (CLASS A) ............................. 7,465
740,000 SEKISUI CHEMICAL CO LTD ......................... 3,786
391,400 oSEQUUS PHARMACEUTICALS, INC ..................... 4,452
85,100 oSEROLOGICALS CORP ............................... 2,744
59,700 SHERWIN-WILLIAMS CO ............................. 1,978
1,527,745 SHIN-ETSU CHEMICAL CO LTD ....................... 26,418
9,000 oSHOWA DENKO K.K ................................. 9
See notes to financial statements.
-20-
<PAGE>
VALUE
SHARES (000)
------ -----------
CHEMICALS AND ALLIED
PRODUCTS--(CONTINUED)
3,800 SIGMA ALDRICH CORP .............................. $ 133
830 SIKA FINANZ AG. (BR) ............................ 329
15,661,528 SMITHKLINE BEECHAM/BECKMAN LTD .................. 191,150
9,014,490 SNIA BDP S.P.A .................................. 11,064
72,000 SOCIEDAD QUIMICA Y MINERA DE CHILE ADR .......... 2,412
119,650 SOLVAY ET CIE S.A ............................... 9,486
53,164 SOMMER-ALLIBERT ................................. 2,763
200 oSONUS PHARMACEUTICALS, INC ...................... 2
900 STEPAN CO ....................................... 27
2,013,000 SUMITOMO CHEMICAL CO LTD ........................ 6,208
34,500 SUPERFOS AS ..................................... 928
44,000 oSUPERGEN, INC ................................... 443
453,000 TAISHO PHARMACEUTICAL CO LTD .................... 8,453
2,382,000 TAKEDA CHEMICAL INDUSTRIES LTD .................. 63,329
5,600 oTECHNE CORP ..................................... 107
1,000 TEIKOKU HORMONE MANUFACTURING ................... 6
652,000 TERUMO CORP ..................................... 10,335
45,400 oTETRA TECHNOLOGIES, INC ......................... 749
210,200 oTHERATECH, INC .................................. 2,128
143,000 TOSOH CORP ...................................... 248
31,500 oTRIANGLE PHARMACEUTICALS, INC ................... 469
2,100 oTWINLAB CORP .................................... 92
2,079 UCB S.A ......................................... 10,786
1,430,780 UNION CARBIDE CORP .............................. 76,368
100,900 oU.S.A. DETERGENTS, INC .......................... 1,671
171,200 VALSPAR CORP .................................... 6,784
63,400 oVERTEX PHARMACEUTICALS, INC ..................... 1,427
96,000 oVICAL, INC ...................................... 1,626
5,481,700 WARNER-LAMBERT CO ............................... 380,293
1,384,600 oWATSON PHARMACEUTICALS, INC ..................... 64,644
293,700 WELLMAN, INC .................................... 6,663
7,209 WITCO CORP ...................................... 211
143,703 oXOMA CORP ....................................... 692
372,849 YAMANOUCHI PHARMACEUTICAL CO LTD ................ 7,764
2,013,279 ZENECA GROUP PLC ................................ 86,397
75,000 ZENECA GROUP PLC ADR ............................ 3,291
23,600 oZILA, INC ....................................... 171
-----------
13,322,615
-----------
COAL MINING--0.01%
5,497 ANGLO AMERICAN COAL CORP LTD .................... 256
166,166 ARCH COAL, INC .................................. 4,133
593,000 WANKIE COLLIERY CO LTD .......................... 99
172,000 ZEIGLER COAL HOLDINGS CO ........................ 2,946
-----------
7,434
-----------
COMMUNICATIONS--10.16%
72,900 o@ENTERTAINMENT, INC ............................. 802
1,845,073 o360 COMMUNICATIONS CO ........................... 59,042
57,200 oADELPHIA COMMUNICATIONS CORP (CLASS A) .......... 2,124
9,300 oAERIAL COMMUNICATIONS, INC ...................... 58
4,509,415 oAIRTOUCH COMMUNICATIONS, INC .................... 263,519
595,600 ALIANT COMMUNICATIONS, INC ...................... 16,342
2,142,830 ALLTEL CORP ..................................... 99,642
165,700 oAMERICAN MOBILE SATELLITE CORP .................. 1,616
11,000 oAMERICAN TOWER SYSTEMS (CLASS A) ................ 274
13,125 #AMERICAN SATELLITE NETWORKS WTS 06/30/99 ........ 0
14,025,359 AMERITECH CORP .................................. 629,388
230 #oANTENA 3 DE TELEVISION GDS ...................... 6,232
183,700 oARCH COMMUNICATIONS GROUP, INC .................. 723
159,572 oASSOCIATED GROUP, INC (CLASS A) ................. 6,542
606,100 oASSOCIATED GROUP, INC (CLASS B) ................. 24,092
26,564,303 AT & T CORP ..................................... 1,517,486
119,100 oAT HOME CORP SERIES A ........................... 5,635
968,900 BCE, INC ........................................ 41,079
456,242 BCE, INC (U.S.) ................................. 19,476
14,073,158 BELL ATLANTIC CORP .............................. 642,088
7,644,410 BELLSOUTH CORP .................................. 513,131
29,600 oBET HOLDINGS, INC (CLASS A) ..................... 1,863
80,155 BHC COMMUNICATIONS, INC (CLASS A) ............... 11,247
1,793,909 BRITISH SKY BROADCASTING GROUP PLC .............. 12,885
13,665,901 oBRITISH TELECOMMUNICATIONS PLC .................. 168,732
3,620,337 oCABLE & WIRELESS COMMUNICATIONS PLC ............. 36,636
452,100 oCABLE & WIRELESS PLC ADR ........................ 16,671
9,125 oCABLE MICHIGAN, INC ............................. 356
581,900 oCABLEVISION SYSTEMS CORP (CLASS A) .............. 48,589
18,799 oCANAL PLUS S.A .................................. 3,514
478,846 CARLTON COMMUNICATIONS PLC ...................... 4,274
9,982,707 CBS CORP ........................................ 316,951
44,301 oCELLULAR COMMUNICATIONS
INTERNATIONAL, INC ............................. 2,210
56,900 oCENTENNIAL CELLULAR CORP (CLASS A) .............. 2,123
42,100 oCENTURY COMMUNICATIONS CORP (CLASS A) ........... 789
1,135,000 CENTURY TELEPHONE ENTERPRISES, INC .............. 52,068
17,200 oCFW COMMUNICATIONS CO ........................... 400
2,940,800 oCHANCELLOR MEDIA CORP (CLASS A) ................. 146,029
1,392 oCHRIS CRAFT INDUSTRIES, INC ..................... 76
1,218,200 CIA DE TELECOMMUNICACIONES CHILE ADR ............ 24,745
26,895 oCIA TELECOM CHILE RTS ........................... 9
1,674,500 CINCINNATI BELL, INC ............................ 47,933
1,206,426 oCLEAR CHANNEL COMMUNICATIONS, INC ............... 131,651
635,000 oCOLT TELECOM GROUP PLC .......................... 25,454
200,000 oCOLT TELECOM GROUP PLC ADR ...................... 32,700
706,800 COMCAST CORP (CLASS A) .......................... 28,095
1,859,735 COMCAST CORP (CLASS A) SPECIAL .................. 75,494
1,833 oCOMMONWEALTH TELEPHONE ENTERPRISES .............. 48
1,800 COMSAT CORP SERIES 1 ............................ 51
215,883 oCORECOMM, INC ................................... 5,667
647,389 oCOX COMMUNICATIONS, INC (CLASS A) ............... 31,358
1,800 oCOX RADIO, INC (CLASS A) ........................ 78
4,224,400 DEUTSCHE TELEKOM AG ............................. 115,615
164,912 oDIMENSION DATA HOLDINGS LTD ..................... 896
53,600 oDYCOM INDUSTRIES, INC ........................... 1,809
198,000 oE.SPIRE COMMUNCIATIONS, INC ..................... 4,467
15,800 oEMMIS BROADCASTING CORP (CLASS A) ............... 755
1,800,000 oENERGIS PLC ..................................... 27,405
475,000 oESPRIT TELECOM GROUP PLC ADR .................... 8,728
22,235 oEXCEL COMMUNICATIONS, INC ....................... 510
1,642,400 FRANCE TELECOM S.A .............................. 113,279
524,400 FRONTIER CORP ................................... 16,519
34,768 GAYLORD ENTERTAINMENT CO ........................ 1,121
43,750 GN STORE NORD AS--GN GREAT NORDIC ............... 1,336
651,000 oGOLDTRON LTD .................................... 48
7,541,312 GTE CORP ........................................ 419,485
49,300 oHEARST-ARGYLE TELEVISION, INC ................... 1,972
33,300 oHEFTEL BROADCASTING CORP (CLASS A) .............. 1,490
111,300 oHIGHWAYMASTER COMMUNICATIONS, INC ............... 473
See notes to financial statements.
-21-
<PAGE>
VALUE
SHARES (000)
------ -----------
COMMUNICATIONS--(CONTINUED)
19,766,54 HONG KONG TELECOMMUNICATIONS LTD ................ $ 37,117
400,000 oHYPERION TELECOMMUNICATIONS, INC (CLASS A) ...... 6,275
613,925 oICG COMMUNICATIONS, INC ......................... 22,447
142,400 oIDT CORP ........................................ 4,281
2,000 oINTERMEDIA COMMUNICATIONS, INC .................. 84
2,400 oIXC COMMUNICATIONS, INC ......................... 116
10,900 oJACOR COMMUNICATIONS, INC ....................... 643
214,700 oJACOR COMMUNICATIONS, INC WTS 09/18/01 .......... 1,503
3,400 oJONES INTERCABLE, INC (CLASS A) ................. 85
832,418 KONINKLIJKE KPN NV .............................. 32,041
2,699,872 oLIBERTY MEDIA GROUP (CLASS A) ................... 104,789
1,800 oLORAL SPACE & COMMUNICATIONS LTD ................ 51
15,180,236 LUCENT TECHNOLOGIES, INC ........................ 1,262,806
163,100 oMAHANAGAR TELEPHONE NIGAM LTD GDR ............... 1,664
2,150 oMASTEC, INC ..................................... 51
3,429,800 MCI COMMUNICATIONS CORP ......................... 199,357
2,700 oMCLEODUSA, INC (CLASS A) ........................ 105
3,760,746 oMEDIA ONE GROUP, INC ............................ 165,238
1,595,830 MEDIASET S.P.A .................................. 10,193
723 oMILLICOM INTERNATIONAL CELLULAR S.A ............. 32
129,500 oNETCOM SYSTEMS AB SERIES B ...................... 4,961
247,100 oNEXTEL COMMUNICATIONS, INC (CLASS A) ............ 6,147
108,400 oNEXTLINK COMMUNICATIONS, INC .................... 4,106
38,000 NIPPON COMSYS CORP .............................. 436
28,706 NIPPON TELEGRAPH & TELEPHONE CORP ............... 237,851
150 NIPPON TELEVISION NETWORK CORP .................. 43
369,422 oNTL, INC ........................................ 19,764
7,000 oPACIFIC GATEWAY EXCHANGE, INC ................... 280
75,000 oPAGEMART WIRELESS, INC (CLASS A) ................ 680
81,042 oPANAMSAT CORP ................................... 4,609
22,680 PATHE S.A ....................................... 4,445
55,600 oPERPHONICS CORP ................................. 698
546,495 PORTUGAL TELECOM S.A ............................ 28,966
51,200 oPOWERTEL, INC ................................... 947
110,216 oPREMIERE TECHNOLOGIES, INC ...................... 914
130,611 oQWEST COMMUNICATIONS INTERNATIONAL, INC ......... 4,555
129,200 oRCN CORP ........................................ 2,503
1,999,742 REED INTERNATIONAL PLC .......................... 18,084
131,600 oROGERS COMMUNICATIONS, INC (CLASS B) ............ 1,172
125,000 oRSL COMMUNICATIONS LTD (CLASS A) ................ 3,750
24,511,359 SBC COMMUNICATIONS, INC ......................... 980,454
6,750,200 oSINGAPORE TELECOMMUNICATIONS LTD ................ 9,589
280,920 SIRTI S.P.A ..................................... 1,529
1 SK TELECOM CO ................................... 0
908,900 oSKYTEL COMMUNICATIONS, INC ...................... 21,274
280,100 oSMARTALK TELESERVICES, INC ...................... 4,079
37,000 SOCIETE TELEVISION FRANCAISE 1 .................. 5,734
214,900 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP ........................ 14,076
2,658,801 SPRINT CORP ..................................... 187,445
142,615 oSTAR TELECOMMUNICATIONS, INC .................... 3,191
70,000 oSTET HELLAS TELECOMMUNICATIONS S.A. ADR ......... 2,905
287,300 TCA CABLE TV, INC ............................... 17,238
1,034,049 oTCI SATELLITE ENTERTAINMENT (CLASS A) ........... 6,075
40,900 oTEL-SAVE HOLDINGS, INC .......................... 603
37,818,696 TELECOM ITALIA MOBILE S.P.A ..................... 203,326
220,700 TELE DANMARK AS (CLASS B) ....................... 21,181
134,700 oTELE-COMMUNICATIONS INTERNATIONAL (CLASS A) ..... 2,707
4,282,930 oTELE-COMMUNICATIONS, INC (CLASS A) .............. 164,625
5,230,000 TELEBRAS S.A .................................... 414
490,000 oTELEC DE SAO PAULO S.A .......................... 74
50,000 TELECEL-COMUNICACAOES PESSOAIS .................. 8,879
41,700 TELECOM ARGENTINA S.A. (CLASS B) ................ 246
7,792,460 TELECOM CORP OF NEW ZEALAND ..................... 32,118
16,454,681 TELECOM ITALIA .................................. 121,219
2,752,934 oTELECOM-TCI VENTURES GROUP (CLASS A) ............ 55,231
3,056,899 TELEFONICA DE ESPANA S.A ........................ 141,571
2,290,000 TELEFONOS DE MEXICO S.A. SERIES L ............... 5,505
118,700 oTELEGROUP, INC .................................. 1,098
2,978,500 TELEKOM MALAYSIA BERHAD ......................... 5,027
37,300 oTELEMUNDO GROUP, INC (CLASS A) .................. 1,588
246 TELEPHONE & DATA SYSTEMS, INC ................... 10
1,918 oTELEPORT COMMUNICATIONS GROUP, INC (CLASS A) .... 104
1,593,700 TELEVISION BROADCASTS LTD ....................... 4,216
8,164,606 TELSTRA CORP LTD (P/P) .......................... 20,933
231,700 TELUS CORP ...................................... 5,995
489,000 TOKYO BROADCASTING SYSTEMS, INC ................. 5,461
53,300 oTRANSACTION NETWORK SERVICES, INC ............... 1,123
3,500 oU.S. CELLULAR CORP .............................. 108
111,300 oUNITED INTERNATIONAL HOLDINGS, INC .............. 1,781
342,400 UNITED TELEVISION, INC .......................... 39,205
116,600 oUNITED VIDEO SATELLITE GROUP, INC ............... 4,620
1,300 oUNIVISION COMMUNICATIONS, INC ................... 48
140,700 oU.S. SATELLITE BROADCASTING, INC (CLASS A) ...... 1,644
3,944,909 U.S. WEST, INC .................................. 185,411
303,334 oU.S.A. NETWORKS, INC ............................ 7,621
87,900 oVANGUARD CELLULAR SYSTEMS, INC .................. 1,659
454,487 oVIACOM, INC (CLASS A) ........................... 26,587
2,176,365 oVIACOM, INC (CLASS B) ........................... 126,773
147,686 oVIACOM, INC (CLASS B) WTS 07/07/99 .............. 471
928,700 oVIATEL, INC ..................................... 15,788
54,750 oVIDESH SANCHAR NIGAM LTD (SPONS GDR) ............ 567
5,246,137 VODAFONE GROUP PLC .............................. 66,568
30,400 oWEST TELESERVICES CORP .......................... 369
67,800 oWESTERN WIRELESS CORP (CLASS A) ................. 1,352
39,900 oWINSTAR COMMUNICATIONS, INC ..................... 1,713
18,504,317 oWORLDCOM, INC ................................... 896,303
-----------
11,423,115
-----------
DEPOSITORY INSTITUTIONS--10.40%
3,768,916 ABN-AMRO HOLDINGS NV ............................ 88,192
193,799 ABSA GROUP LTD .................................. 1,217
9,900 AFFILIATED COMMUNITY BANCORP, INC ............... 360
21,000 ALBANK FINANCIAL CORP ........................... 1,482
415,095 ALLIED IRISH BANK ............................... 6,001
904,300 ALLIED IRISH BANK PLC ........................... 13,056
221 ALLIED IRISH BANK PLC (SPONS ADR) ............... 19
94,300 oAMCORE FINANCIAL, INC ........................... 2,263
874,105 AMSOUTH BANCORP ................................. 34,363
272,300 ANCHOR BANCORP WISCONSIN, INC ................... 10,637
13,200 oAREA BANCSHARES CORP ............................ 449
1,662,044 ARGENTARIA S.A .................................. 37,346
6,201,486 ASAHI BANK LTD .................................. 27,256
671,000 ASHIKAGA BANK LTD ............................... 836
1,195,216 ASSOCIATED BANC-CORP ............................ 44,970
463,700 ASTORIA FINANCIAL CORP .......................... 24,808
1,653,808 AUSTRALIAN & NEW ZEALAND
BANKING GROUP LTD .............................. 11,410
See notes to financial statements.
-22-
<PAGE>
VALUE
SHARES (000)
------ -----------
DEPOSITORY INSTITUTIONS--(CONTINUED)
6,988,879 BANC ONE CORP ................................... $ 390,067
8,435,090 oBANCA COMMERCIALE ITALIANA S.P.A ................ 50,481
700,000 oBANCA FIDEURAM S.P.A ............................ 3,994
896,420 BANCA INTESA RISP S.P.A ......................... 2,645
1,834,210 BANCA INTESA S.P.A .............................. 10,270
1,800,000 oBANCA POPOLARE DI BRESCIA ....................... 34,050
1,350,500 oBANCA POPOLARE DI MILANO ........................ 10,759
64,880 oBANCO AMBROSIANO VENETO RISP WTS 05/31/02 ....... 45
843,540 oBANCO AMBROSIANO VENETO WTS 05/31/02 ............ 1,031
1,702,261 BANCO BILBAO VIZCAYA S.A. (REGD) ................ 87,508
1,251,442 BANCO CENTRALE HISPANOAMERICANO S.A ............. 39,401
57,205 oBANCO CENTRALE HISPANOAMERICANO S.A. NEW ........ 1,791
227,732 BANCO COMERCIAL PORTUGUES S.A. (REGD) ........... 6,467
38,600 BANCO DE A. EDWARDS S.P.A. ADR .................. 548
4,700 oBANCO DE GALICIA BUENOS AIRES ADR ............... 86
232,001 oBANCO DE GALICIA BUENOS AIRES S.A. SERIES A ..... 1,044
7,500,000 oBANCO DI NAPOLI ................................. 10,282
31,687 #oBANCO ESPIRITO SANTO BABY SHS ................... 930
106,400 BANCO ESPIRITO SANTO E COMERCIAL ................ 3,195
129,261 oBANCO FRANCES S.A ............................... 977
165,000 oBANCO INTERCONTINENTAL ESPANOLA S.A. ............ 10,724
3,559,784 oBANCO SANTANDER S.A ............................. 91,266
175,000 BANCO SANTIAGO ADR .............................. 2,931
67,000 BANCO TOTTA & ACORES S.A. (REGD) ................ 2,031
163,300 BANCORPSOUTH, INC ............................... 3,429
105,344 BANK AUSTRIA AG ................................. 8,568
116,908 #oBANK AUSTRIA AG. RTS ............................ 119
1,558,990 oBANK OF EAST ASIA LTD ........................... 1,690
528,700 BANK OF MONTREAL ................................ 29,121
2,741,536 BANK OF N.Y. CO, INC ............................ 166,377
979,844 BANK OF NOVA SCOTIA ............................. 24,253
1,900 BANK OF OKINAWA LTD ............................. 34
9,817,830 BANK OF TOKYO MITSUBISHI LTD .................... 103,913
3,170,000 BANK OF YOKOHAMA LTD ............................ 7,766
3,000 oBANK PLUS CORP .................................. 37
179,600 BANK UNITED CORP (CLASS A) ...................... 8,598
8,144,455 BANKAMERICA CORP ................................ 703,986
137,550 BANKATLANTIC BANCORP, INC (CLASS A) ............. 1,625
15,100 BANKATLANTIC BANCORP, INC (CLASS B) ............. 194
2,828,200 BANKBOSTON CORP ................................. 157,319
1,576,818 BANKERS TRUST CORP .............................. 183,009
67,400 oBANKNORTH GROUP, INC ............................ 2,494
883,184 oBANQUE NATIONALE DE PARIS ....................... 72,162
3,959,240 BARCLAYS PLC .................................... 114,152
825,802 oBAY VIEW CAPITAL CORP ........................... 26,219
619,500 oBAYERISCHE HYPOTHEKEN-UND WECHSEL-BANK .......... 39,264
1,137,110 oBAYERISCHE VEREINSBANK AG ....................... 96,387
718,476 BB&T CORP ....................................... 48,587
520,000 oBHF-BANK AG ..................................... 19,792
90,800 BPI-SGPS S.A. (REGD) ............................ 2,930
37,840 BRENTON BANKS, INC .............................. 773
12,900 BSB BANCORP, INC ................................ 390
2,000 oBT FINANCIAL CORP ............................... 53
73,900 oCALIFORNIA FEDERAL BANK (SCLP) .................. 1,589
146,220 oCALIFORNIA FEDERAL BANK GOODWILL CERT ........... 2,888
911,859 CANADIAN IMPERIAL BANK OF COMMERCE .............. 29,329
22,400 CAROLINA FIRST CORP ............................. 568
194,900 CCB FINANCIAL CORP .............................. 20,708
85,800 CENTURA BANKS, INC .............................. 5,363
3,792,390 CHARTER ONE FINANCIAL, INC ...................... 127,756
7,884,499 CHASE MANHATTAN CORP ............................ 595,280
1,596,540 CHIBA BANK LTD .................................. 5,521
66,050 oCHITTENDEN CORP ................................. 2,312
591,900 CHRISTIANIA BANK OG KREDITKASSE ................. 2,476
4,773,983 CITICORP CO ..................................... 712,517
11,500 CITIZENS BANCSHARES, INC (OHIO) ................. 380
47,800 CITIZENS BANKING CORP (MICHIGAN) ................ 1,607
30,300 CITY NATIONAL CORP .............................. 1,119
44,351 CNB BANCSHARES, INC ............................. 2,129
154,400 COLONIAL BANCGROUP, INC ......................... 4,979
1,717,474 COMERICA, INC ................................... 113,783
214,626 COMMERCE BANCORP, INC ........................... 12,556
148,060 COMMERCE BANCSHARES, INC ........................ 7,227
3,305 COMMERCIAL FEDERAL CORP ......................... 105
817,000 COMMONWEALTH BANK OF AUSTRALIA LTD .............. 9,532
48,600 COMMUNITY BANK SYSTEM, INC ...................... 1,522
285,900 COMMUNITY FIRST BANKSHARES, INC ................. 7,487
38,800 COMMUNITY TRUST BANCORP, INC .................... 1,290
755,400 COMPASS BANCSHARES, INC ......................... 34,087
945,455 oCONCORD EFS, INC ................................ 24,700
29,900 CORUS BANKSHARES, INC ........................... 1,203
240,279 CREDIT COMMERCIAL DE FRANCE S.A ................. 20,229
10,427,860 CREDITO ITALIANO S.P.A .......................... 54,629
998,735 CRESTAR FINANCIAL CORP .......................... 54,493
312,100 CULLEN FROST BANKERS, INC ....................... 16,931
44,900 D & N FINANCIAL CORP ............................ 1,204
1,500,000 DAO HENG BANK GROUP LTD ......................... 2,129
63,700 DEN DANSKE BANK AF 1871 ......................... 7,642
702,000 DEN NORSKE BANK ASA ............................. 3,678
1,206,500 oDEUTSCHE BANK AG ................................ 102,001
710,325 DEVELOPMENT BANK OF SINGAPORE LTD (FR) .......... 3,931
1,202,300 DIME BANCORP, INC ............................... 35,994
38,295 DOWNEY FINANCIAL CORP ........................... 1,252
1,593,340 DRESDNER BANK AG ................................ 86,067
20,000 #oEAST-WEST BANKING CORP .......................... 200
90,800 F & M NATIONAL CORP ............................. 2,633
14,380 F.N.B. CORP ..................................... 480
948,128 FIFTH THIRD BANCORP ............................. 59,732
339,938 FIRST AMERICAN CORP ............................. 16,360
2,528,037 FIRST CHICAGO NBD CORP .......................... 224,047
10,900 FIRST CITIZENS BANCSHARES, INC (CLASS A) ........ 1,091
4,200 FIRST COLORADO BANCORP, INC ..................... 117
768 FIRST COMMERCIAL CORP ........................... 53
75,800 FIRST COMMONWEALTH FINANCIAL CORP ............... 2,141
16,000 FIRST FEDERAL CAPITAL CORP ...................... 287
11,900 FIRST FINANCIAL BANCORP ......................... 308
322,200 FIRST HAWAIIAN, INC ............................. 11,720
6,000 FIRST INDIANA CORP .............................. 157
314,600 FIRST MIDWEST BANCORP, INC ...................... 13,833
6,400 oFIRST REPUBLIC BANK ............................. 231
50,000 FIRST SAVINGS BANK OF WASHINGTON BANCORP ........ 1,263
1,874,568 FIRST SECURITY CORP ............................. 40,127
1,700 oFIRST SOURCE BANCORP, INC ....................... 16
4,800 FIRST SOURCE CORP ............................... 172
1,203,800 FIRST TENNESSEE NATIONAL CORP ................... 37,995
12,900 oFIRST UNITED BANCSHARES, INC .................... 630
460,625 FIRST VIRGINIA BANKS, INC ....................... 23,549
13,704 FIRST WESTERN BANCORP, INC ...................... 403
See notes to financial statements.
-23-
<PAGE>
VALUE
SHARES (000)
------ -----
DEPOSITORY INSTITUTIONS--(CONTINUED)
1,699,000 FIRSTAR CORP .................................... $ 64,562
17,300 oFIRSTBANK OF ILLINOIS CO ........................ 727
165,700 FIRSTBANK PUERTO RICO ........................... 4,308
170,200 oFIRSTFED FINANCIAL CORP ......................... 8,850
417,100 FIRSTMERIT CORP ................................. 12,148
4,824,079 FLEET FINANCIAL GROUP, INC ...................... 402,811
453,000 FORENINGSSPARBANKEN AB .......................... 13,633
257,771 FRANCHISE FINANCE CORP OF AMERICA ............... 6,686
5,690,334 FUJI BANK LTD ................................... 25,378
139,050 FULTON FINANCIAL CORP ........................... 3,528
40,200 GBC BANCORP ..................................... 1,065
922 oGENERALE DE BANQUE NPV (STRIP VVPR) ............. 0
22,273 GENERALE DE BANQUE S.A .......................... 16,535
479,000 oGENTRA, INC ..................................... 1,212
731,200 oGOLDEN STATE BANCORP, INC ....................... 21,753
731,200 oGOLDEN STATE BANCORP, INC
LIT WTS 01/01/01 ............................... 3,885
650,800 GOLDEN WEST FINANCIAL CORP ...................... 69,188
21,300 oGRAND PREMIER FINANCIAL, INC .................... 341
176,300 GREENPOINT FINANCIAL CORP ....................... 6,633
159,506 oGRUPO FINANCIERO BANAMEX
ACCIVAL S.A. DE CV SERIES L .................... 263
665,000 GUNMA BANK LTD .................................. 4,499
3,591,332 H.F. AHMANSON & CO .............................. 254,985
6,400 oHAMILTON BANCORP, INC ........................... 231
21,400 HANCOCK HOLDING CO .............................. 1,134
2,281,259 HANG SENG BANK LTD .............................. 12,895
6,009 HARBOR FLORIDA BANCSHARES, INC .................. 72
2,500 HARRIS FINANCIAL, INC ........................... 55
19,500 HERITAGE FINANCIAL SERVICES, INC ................ 670
11,739 HIBERNIA CORP (CLASS A) ......................... 237
205,000 HIGO FAMILY BANK LTD ............................ 923
1,199,000 HOKURIKU BANK LTD ............................... 1,555
3,528,987 oHSBC HOLDINGS PLC ............................... 85,495
2,517,135 oHSBC HOLDINGS PLC (HONG KONG) ................... 61,559
1,640,282 oHSBC HOLDINGS LTD (U.K.) ........................ 41,627
397,111 HUBCO, INC ...................................... 14,222
1,096,088 HUNTINGTON BANCSHARES, INC ...................... 36,719
19,800 IBS FINANCIAL CORP .............................. 376
1,159,016 oIMPERIAL BANCORP ................................ 34,770
89,900 INDEPENDENT BANK CORP ........................... 1,742
3,815,223 INDUSTRIAL BANK OF JAPAN LTD .................... 23,915
4,107,020 INSTITUTO BANCARIO SAN PAOLO DI TURINO .......... 59,309
25,400 INVESTEC GROUP LTD .............................. 992
22,200 IRWIN FINANCIAL CORP ............................ 645
2,960,930 oISTITUTO MOBILIARE ITALIANO S.P.A ............... 46,676
1,934,305 JOYO BANK ....................................... 7,136
12,800 JSB FINANCIAL, INC .............................. 750
5,768,838 KEYCORP ......................................... 205,515
120,532 KEYSTONE FINANCIAL, INC ......................... 4,460
13,033,128 oLLOYDS TSB GROUP PLC ............................ 182,338
317,200 LONG ISLAND BANCORP, INC ........................ 19,270
32,296 M & T BANK CORP ................................. 17,892
195,200 MAF BANCORP, INC ................................ 7,100
361,100 MAGNA GROUP, INC ................................ 20,402
30,600 MAINSTREET FINANCIAL CORP ....................... 903
2,064,200 MALAYAN BANKING BERHAD .......................... 2,080
542,858 MARSHALL & ILSLEY CORP .......................... 27,720
207,350 MARYLAND FEDERAL BANCORP ........................ 8,216
3,514,843 MBNA CORP ....................................... 115,990
1,793,036 MELLON BANK CORP ................................ 124,840
872,888 MERCANTILE BANCORP, INC ......................... 43,972
348,039 MERCANTILE BANKSHARES CORP ...................... 12,116
2,172,265 oMERITA LTD ...................................... 14,333
8,000 MICHINOKU BANK LTD .............................. 40
36,900 oMID-AM, INC ..................................... 932
5,000 MISSISSIPPI VY BANCSHARES ....................... 198
2,520,000 MITSUBISHI TRUST & BANKING CORP ................. 21,407
2,255,000 MITSUI TRUST & BANKING CO LTD ................... 5,313
1,597,243 MORGAN (J.P.) & CO, INC ......................... 187,077
4,393,852 NATIONAL AUSTRALIA BANK LTD ..................... 57,960
25,400 NATIONAL BANCORP OF ALASKA, INC ................. 784
639,200 NATIONAL BANK OF CANADA ......................... 12,496
7,400 oNATIONAL CITY BANCSHARES, INC ................... 298
2,632,280 NATIONAL CITY CORP .............................. 186,892
1,100 NATIONAL COMMERCE BANCORP ....................... 46
23,526 oNATIONAL PROCESSING, INC ........................ 251
2,580,000 oNATIONAL WESTMINSTER BANK PLC ................... 46,104
9,492,955 NATIONSBANK CORP ................................ 726,211
10,933 NBT BANCORP, INC ................................ 277
1,817,792 NORTH FORK BANCORP, INC ......................... 44,422
1,169,043 NORTHERN TRUST CORP ............................. 89,140
30,600 NORTHWEST BANCORP, INC .......................... 484
4,889,236 NORWEST CORP .................................... 182,735
40,800 oOCEAN FINANCIAL CORP ............................ 780
13,200 OCWEN ASSET INVESTMENT .......................... 219
91,400 oOCWEN FINANCIAL CORP ............................ 2,456
851,237 OLD KENT FINANCIAL CORP ......................... 30,618
46,270 OLD NATIONAL BANCORP ............................ 2,209
1,400 OMEGA FINANCIAL CORP ............................ 51
191,650 ONE VALLEY BANCORP, INC ......................... 6,971
27,800 ORIENTAL FINANCIAL GROUP ........................ 1,025
1,131,384 OVERSEAS-CHINESE BANKING CORP LTD (FR) .......... 3,851
1,166,100 PACIFIC CENTURY FINANCIAL CORP .................. 27,986
316,715 oPARIBAS S.A ..................................... 33,893
60,806 PEOPLES BANCORP, INC ............................ 608
1,150 PEOPLES BANK OF BRIDGEPORT CO ................... 40
9,600 PEOPLES FIRST CORP .............................. 336
1,162,986 PEOPLES HERITAGE FINANCIAL
GROUP, INC ..................................... 27,476
26,900 oPFF BANCORP, INC ................................ 501
2,872,164 PNC BANK CORP ................................... 154,558
435,470 POPULAR, INC .................................... 28,959
9,700 PREMIER BANCSHARES, INC ......................... 257
440,076 PROVIDENT BANKSHARES CORP ....................... 12,982
163,100 PROVIDENT FINANCIAL GROUP ....................... 7,441
3,409,424 PUBLIC BANK BERHAD (FR) ......................... 1,028
272,532 PUBLIC BANK BERHAD (LR) ......................... 81
7,400 QUEENS COUNTY BANCORP, INC ...................... 323
1,376,004 REGIONS FINANCIAL CORP .......................... 56,502
19,500 RELIANCE BANCORP, INC ........................... 747
425,712 REPUBLIC BANCORP, INC ........................... 8,035
1,347,650 REPUBLIC NEW YORK CORP .......................... 84,818
1,241,600 RHB CAPITAL BERHAD .............................. 506
78,000 oRHB CAPITAL BERHAD WTS 12/28/99 ................. 8
19,500 RHB SAKURA MERCHANT BANKERS BERHAD .............. 5
400 RIGGS NATIONAL CORP ............................. 12
10,100 oROSLYN BANCORP, INC ............................. 225
666,905 ROYAL BANK OF CANADA ............................ 40,134
1,791,350 ROYAL BANK OF SCOTLAND PLC ...................... 31,084
12,400 S & T BANCORP, INC .............................. 685
10,195,000 SAKURA BANK LTD ................................. 26,444
9,000 oSANTA BARBARA BANCORP CALIFORNIA ................ 259
560,765 SANWA BANK LTD .................................. 5,014
319,000 SEVENTY-SEVEN (77) BANK LTD ..................... 2,666
1,614,000 SHIZUOKA BANK LTD ............................... 17,327
49,800 oSILICON VALLEY BANCSHARES ....................... 1,773
1,598,665 SKANDIA FORSAKRINGS AB .......................... 22,853
1,422,870 oSKANDINAVISKA ENSKILDA BANKEN SERIES A .......... 24,354
See notes to financial statements.
-24-
<PAGE>
VALUE
SHARES (000)
------ -----
DEPOSITORY INSTITUTIONS--(CONTINUED)
384,248 oSOCIETE GENERALE S.A ............................ $ 79,888
1,844,995 SOUTHTRUST CORP ................................. 80,257
29,400 oSOUTHWEST BANCORP OF TEXAS, INC ................. 553
1,348,172 SOVEREIGN BANCORP, INC .......................... 22,034
141,200 ST. FRANCIS CAPITAL CORP ........................ 5,472
849,282 ST. GEORGE BANK LTD ............................. 5,491
649,637 ST. PAUL BANCORP, INC ........................... 14,678
216,391 STAR BANC CORP .................................. 13,822
914,200 STATE STREET CORP ............................... 63,537
16,300 STERLING BANCSHARES, INC ........................ 257
6,864,550 SUMITOMO BANK LTD ............................... 66,770
900 SUMITOMO BANK OF CALIFORNIA ..................... 34
658,259 SUMMIT BANCORP .................................. 31,267
1,100,880 SUNTRUST BANKS, INC ............................. 89,515
51,700 SUSQUEHANNA BANCSHARES, INC ..................... 1,932
382,800 oSVENSKA HANDELSBANKEN SERIES A .................. 17,760
209,500 oSVENSKA HANDELSBANKEN SERIES B FREE ............. 9,194
3,730 oSWISS BANK CORP (REGD) WTS 06/30/00 ............. 87
594,862 SYNOVUS FINANCIAL CORP .......................... 14,128
855,600 TCF FINANCIAL CORP .............................. 25,240
87,500 TEXAS REGIONAL BANCSHARES, INC (CLASS A) ........ 2,866
3,466,609 TOKAI BANK LTD .................................. 19,082
25,100 TORONTO DOMINION BANK ........................... 1,135
26,900 oTR FINANCIAL CORP ............................... 1,126
29,900 oTRANS FINANCIAL, INC ............................ 1,716
52,800 TRIANGLE BANCORP, INC ........................... 1,657
6,900 oTRUST CO OF N.J. (THE) .......................... 186
72,400 TRUSTCO BANK CORP ............................... 1,901
28,300 TRUSTMARK CORP .................................. 621
5,429,430 U.S. BANCORP .................................... 233,465
108,669 U.S. TRUST CORP ................................. 8,286
32,665 UMB FINANCIAL CORP .............................. 1,617
64,100 UNI BANKDANMARK AS (CLASS A) .................... 5,760
450,126 oUNION BANK OF SWITZERLAND AG (REGD) ............. 167,373
1,042,095 UNION PLANTERS CORP ............................. 61,288
121,400 UNIONBANCAL CORP ................................ 11,715
53,000 UNITED BANKSHARES, INC .......................... 1,809
922,890 UNITED OVERSEAS BANK LTD (FR) ................... 2,868
21,000 USBANCORP, INC .................................. 1,624
950,700 UST CORP ........................................ 25,194
259,525 VALLEY NATIONAL BANCORP ......................... 7,526
114,700 VERMONT FINANCIAL SERVICES CORP ................. 3,147
1,225,512 WACHOVIA CORP ................................... 103,556
789,082 WASHINGTON FEDERAL, INC ......................... 21,798
3,514,430 WASHINGTON MUTUAL, INC .......................... 152,658
411,184 WEBSTER FINANCIAL CORP .......................... 13,672
1,013,081 WELLS FARGO & CO ................................ 373,827
21,400 WESBANCO, INC ................................... 575
11,100 WEST COAST BANCORP (OREGON) ..................... 273
144,700 oWESTAMERICA BANCORP ............................. 4,648
800 WESTCORP ........................................ 11
23,000 WESTERN BANCORP ................................. 970
24,000 oWESTERNBANK PUERTO RICO ......................... 405
7,275,742 WESTPAC BANKING CORP ............................ 44,383
130,650 WHITNEY HOLDINGS CORP ........................... 6,630
138,900 WILMINGTON TRUST CORP ........................... 8,456
333,302 WING LUNG BANK LTD .............................. 774
18,600 WSFS FINANCIAL CORP ............................. 381
367,000 YAMAGUCHI BANK LTD .............................. 4,707
4,948,000 oYASUDA TRUST & BANKING CO LTD ................... 4,635
124,500 ZIONS BANCORP ................................... 6,614
-----------
11,696,027
-----------
EATING AND DRINKING PLACES--0.61%
63,802 ACCOR S.A ....................................... 17,855
427,400 APPLE SOUTH, INC ................................ 5,583
480,457 oAPPLEBEES INTERNATIONAL, INC .................... 10,750
631,182 BOB EVANS FARMS, INC ............................ 13,373
1,300 oBOSTON CHICKEN, INC ............................. 2
887,293 oBRINKER INTERNATIONAL, INC ...................... 17,080
759,600 oBUFFETS, INC .................................... 11,916
827,928 CKE RESTAURANTS, INC ............................ 34,152
53,225 oCONSOLIDATED PRODUCTS, INC ...................... 1,124
206,825 CRACKER BARREL OLD COUNTRY STORE, INC ........... 6,567
1,948,200 DARDEN RESTAURANTS, INC ......................... 30,928
49,750 oDAVE & BUSTERS, INC ............................. 1,238
1,800 oEINSTEIN/NOAH BAGEL CORP ........................ 8
718,300 oFOODMAKER, INC .................................. 12,121
202,984 FRISCHS RESTAURANTS, INC ........................ 2,309
2,000 FUJITA KANKO, INC ............................... 16
11,000 oIHOP CORP ....................................... 455
243,700 INTERNATIONAL MULTIFOODS CORP ................... 6,702
38,400 oLANDRYS SEAFOOD RESTAURANTS, INC ................ 695
1,500 oLONE STAR STEAKHOUSE & SALOON, INC .............. 21
322,391 LUBYS CAFETERIA, INC ............................ 5,662
4,520,500 MCDONALDS CORP .................................. 311,915
50,590 MORRISON HEALTH CARE, INC ....................... 961
251,800 oNPC INTERNATIONAL, INC .......................... 3,085
329,300 oOUTBACK STEAKHOUSE, INC ......................... 12,843
80,000 OVERSEAS UNION ENTERPRISES LTD .................. 118
21,790 oOVERSEAS UNION ENTERPRISES LTD WTS 07/20/98 ..... 0
266,800 oPAPA JOHNS INTERNATIONAL, INC ................... 10,522
513,594 PICCADILLY CAFETERIAS, INC ...................... 6,613
6,300 oPLANET HOLLYWOOD, INC (CLASS A) ................. 44
274,350 oRAINFOREST CAFE, INC ............................ 3,807
70,800 oRARE HOSPITALITY INTERNATIONAL, INC ............. 1,040
489,872 RUBY TUESDAY, INC ............................... 7,593
11,450 oRYANS FAMILY STEAK HOUSES, INC .................. 117
231,375 oSBARRO, INC ..................................... 6,276
3,300 oSCOTTS RESTAURANTS, INC ......................... 12
2,727,500 SHANGRI-LA ASIA LTD ............................. 1,760
7,878 oSHONEYS, INC .................................... 28
263,000 oSHOWBIZ PIZZA TIME, INC ......................... 10,602
294,624 xoSIZZLER INTERNATIONAL, INC ...................... 810
332,575 oSONIC CORP ...................................... 7,441
205,600 oSPAGHETTI WAREHOUSE, INC ........................ 1,645
31,300 TCBY ENTERPRISES, INC ........................... 288
75,350 oTHE CHEESECAKE FACTORY CO ....................... 1,705
1,107,000 +oTPI ENTERPRISES, INC ............................ 3
1,381,171 oTRICON GLOBAL RESTAURANTS, INC .................. 43,766
389,348 oU.S. FOODSERVICE, INC ........................... 13,652
297,600 oVICORP RESTAURANTS, INC ......................... 4,576
2,431,369 WENDYS INTERNATIONAL, INC ....................... 57,137
-----------
686,916
-----------
EDUCATIONAL SERVICES--0.03%
731,062 oAPOLLO GROUP, INC (CLASS A) ..................... 24,171
97,291 oBERLITZ INTERNATIONAL, INC ...................... 2,627
165,600 oCOMPUTER LEARNING CENTERS, INC .................. 4,119
50,100 oDEVRY, INC ...................................... 1,099
4,400 oEDUCATION MANAGEMENT CORP ....................... 145
900 oLEARNING TREE INTERNATIONAL, INC ................ 18
119,625 oSYLVAN LEARNING SYSTEMS, INC .................... 3,918
-----------
36,097
-----------
See notes to financial statements.
-25-
<PAGE>
VALUE
SHARES (000)
------ -----
ELECTRIC, GAS, AND SANITARY
SERVICES--3.73%
1,404,200 oAES CORP ........................................ $ 73,808
556,600 AGL RESOURCES, INC .............................. 11,062
318,654 oAGUAS DE BARCELONA S.A .......................... 17,796
1,627,500 ALLEGHENY ENERGY, INC ........................... 49,028
431,600 oALLIED WASTE INDUSTRIES, INC .................... 10,358
765,981 AMEREN CORP ..................................... 30,448
94,700 oAMERICAN DISPOSAL SERVICES, INC ................. 4,439
176,685 oAMERICAN ECOLOGY CORP ........................... 221
635,397 AMERICAN ELECTRIC POWER CO, INC ................. 28,831
1,018,700 oAMERICAN STANDARD COS, INC ...................... 45,523
139,736 AMERICAN WATER WORKS CO, INC .................... 4,332
165,700 ANGLIAN WATER PLC ............................... 2,322
11,800 oAQUARION CO ..................................... 403
1,500 oAQUILA GAS PIPELINE CORP ........................ 18
183,749 ATMOS ENERGY CORP ............................... 5,604
2,189,224 BALTIMORE GAS & ELECTRIC CO ..................... 68,003
7,100 oBAY STATE GAS CO ................................ 272
35,186 BEC ENERGY ...................................... 1,460
140,000 oBERLINER KRAFT-UND LICHT (BEWAG) AG ............. 5,972
396,954 oBLACK HILLS CORP ................................ 9,130
500,000 BRITISH ENERGY PLC .............................. 4,371
2,413,906 BROWNING FERRIS INDUSTRIES, INC ................. 83,883
28,000 oBSES LTD-SPONSORED GDR .......................... 289
306,800 oCALENERGY, INC .................................. 9,223
42,900 oCALIFORNIA WATER SERVICE GROUP .................. 1,078
4,200 oCALPINE CORP .................................... 85
992,636 CAROLINA POWER & LIGHT CO ....................... 43,056
105,677,660 oCENTRAIS GERADORAS DO SUL (BR) .................. 144
1,698,000 CENTRAL & SOUTH WEST CORP ....................... 45,634
131,000 CENTRAL HUDSON GAS & ELECTRIC CORP .............. 5,993
190,399 CENTRAL MAINE POWER CO .......................... 3,713
165,000 CHILECTRA S.A. ADR .............................. 3,589
4,268,702 oCIA PAULISTA DE FORCA & LUZ ..................... 436
32,200 CILCORP, INC .................................... 1,546
2,073,398 CINERGY CORP .................................... 72,569
3,461 oCITIZENS UTILITIES CO (CLASS B) ................. 33
463,240 oCLEAN HARBORS, INC .............................. 912
322,964 CLECO CORP ...................................... 9,608
3,151,120 CLP HOLDINGS LTD ................................ 14,355
394,700 CMS ENERGY CORP ................................. 17,367
918,037 COASTAL CORP .................................... 64,090
18,400 COLONIAL GAS CO ................................. 527
129,800 COMMONWEALTH ENERGY SYSTEM CO ................... 4,900
1,077,775 CONECTIV, INC ................................... 22,094
62,012 CONECTIV, INC (CLASS A) ......................... 2,248
28,300 CONNECTICUT ENERGY CORP ......................... 789
1,169,200 CONSOLIDATED EDISON CO OF N.Y., INC ............. 53,856
24,400 oCTG RESOURCES, INC .............................. 573
105,600 DAISEKI CO LTD .................................. 624
2,275,500 DOMINION RESOURCES, INC ......................... 92,727
792,075 DPL, INC ........................................ 14,356
763,793 DQE, INC ........................................ 27,497
1,900,218 DTE ENERGY CO ................................... 76,721
2,024,924 DUKE ENERGY CORP ................................ 119,977
98,500 oEASTERN ENVIRONMENTAL SERVICES, INC ............. 3,349
299,600 EASTERN UTILITIES ASSOCIATION CO ................ 7,865
1,496,932 EDISON INTERNATIONAL CO ......................... 44,253
400,750 EDPERBRASCAN CORP (CLASS A) ..................... 6,731
268,814 oEL PASO ELECTRIC CO ............................. 2,470
1,604 EL PASO NATURAL GAS CO .......................... 61
141,807 ELECTRABEL NV ................................... 40,205
2,000 oELECTRABEL S.A. (STRIP VVPR) .................... 0
1,070,394 ELECTRICIDADE DE PORTUGAL S.A ................... 24,884
105,677,660 ELECTROBRAS S.A ................................. 3,107
20,800 EMPIRE DISTRICT ELECTRIC CO ..................... 434
619,000 EMPRESA NACIONAL DE ELECTRIDAD S.A. ADR ......... 8,821
2,194,060 ENDESA S.A ...................................... 48,083
309,500 oENERGEN CORP .................................... 6,229
1,016,186 ENERGY EAST CORP ................................ 42,299
192,000 ENERSIS S.A. ADR ................................ 4,692
2,907,104 ENTERGY CORP .................................... 83,579
3,975 EQUITABLE RESOURCES, INC ........................ 121
22,700 ETOWN CORP ...................................... 851
2,802,297 FIRSTENERGY CORP ................................ 86,171
329,839 FLORIDA PROGRESS CORP ........................... 13,565
12,974 oFLUOR DANIEL GTI, INC ........................... 78
591,148 FPL GROUP, INC .................................. 37,242
320,519 GAS NATURAL SDG S.A ............................. 23,197
57,870 GENER S.A. (SPONS ADR) .......................... 1,056
1,916,400 GPU, INC ........................................ 72,464
385 GROUPE BRUX LAMBERT NPV (STRIP VVPR) ............ 0
436,191 HAWAIIAN ELECTRIC INDUSTRIES, INC ............... 17,311
7,114,285 HONG KONG & CHINA GAS CO LTD .................... 8,080
124,922 oHONG KONG & CHINA GAS CO LTD WTS 03/30/99 ....... 9
2,000,025 HONG KONG ELECTRIC CO LTD ....................... 6,195
984,015 HOUSTON INDUSTRIES, INC ......................... 30,381
647,467 HYDER PLC ....................................... 10,166
2,436,397 oIBERDROLA S.A ................................... 39,627
352,700 IDAHO POWER CO .................................. 12,212
664,452 ILLINOVA CORP ................................... 19,934
104,800 INDIANA ENERGY, INC ............................. 3,131
130,437 oINTERNATIONAL TECHNOLOGY CORP ................... 1,239
203,593 INTERSTATE ENERGY CORP .......................... 6,617
2,700 IPALCO ENTERPRISES, INC ......................... 120
105,180 IPL ENERGY, INC ................................. 4,738
84,400 IPL ENERGY, INC (U.S.) .......................... 3,819
941,640 ITALGAS S.P.A ................................... 3,838
180,000 IWATANI & CO LTD ................................ 316
1,624,600 KANSAI ELECTRIC POWER CO, INC ................... 28,210
387,434 KANSAS CITY POWER & LIGHT CO .................... 11,236
1,000 KN ENERGY, INC .................................. 54
131,300 LACLEDE GAS CO .................................. 3,217
1,615,132 oLAIDLAW ENVIRONMENTAL SERVICES, INC ............. 5,855
210,000 LIGHT SERVICOS DE ELETRICIDADE S.A .............. 64
747,367 LOUISVILLE GAS & ELECTRIC ENERGY CORP ........... 20,226
34,400 MADISON GAS & ELECTRIC CO ....................... 787
1,900,690 oMARKETSPAN CORP ................................. 56,902
127,176 MCN ENERGY GROUP, INC ........................... 3,164
20,719 MDU RESOURCES GROUP, INC ........................ 739
427,400 MIDAMERICAN ENERGY HOLDINGS CO .................. 9,243
27,193 MINNESOTA POWER, INC ............................ 1,081
49,906 MONTANA POWER CO ................................ 1,734
996,600 NATIONAL FUEL GAS CO ............................ 43,414
1,995,010 NATIONAL GRID GROUP PLC ......................... 13,448
2,221,463 NATIONAL POWER PLC .............................. 20,905
611,200 NEVADA POWER CO ................................. 15,738
878,460 NEW CENTURY ENERGIES, INC ....................... 39,915
399,443 NEW ENGLAND ELECTRIC SYSTEMS CO ................. 17,276
224,700 oNEW HORIZONS WORLDWIDE, INC ..................... 4,382
1,129,900 oNIAGARA MOHAWK POWER CORP ....................... 16,878
450,640 NICOR, INC ...................................... 18,082
286,358 NIPSCO INDUSTRIES, INC .......................... 8,018
3,385 NORTH CAROLINA NATURAL GAS CORP ................. 86
1,400 oNORTHEAST UTILITIES CO .......................... 24
136,100 NORTHERN STATES POWER CO ........................ 3,896
See notes to financial statements.
-26-
<PAGE>
VALUE
SHARES (000)
------ -----------
ELECTRIC, GAS, AND SANITARY
SERVICES--(CONTINUED)
166,100 NORTHWEST NATURAL GAS CO ........................ $ 4,646
65,600 NORTHWESTERN CORP ............................... 1,640
410,800 NOVA CORP ....................................... 4,707
531,900 NOVA CORP (U.S.) ................................ 6,150
152,100 NUI CORP ........................................ 3,869
49,184 OGDEN CORP ...................................... 1,362
482,344 OGE ENERGY CORP ................................. 13,023
280,954 ONEOK, INC ...................................... 11,203
17,100 ORANGE & ROCKLAND UTILITY, INC .................. 918
2,662,000 OSAKA GAS CO LTD ................................ 6,828
28,870 OESTERREICHISCHE ELEKTRIZITAET
SWIRSCHAFTS AG ................................. 3,456
7,500 OTTER TAIL POWER CO ............................. 278
4,062,900 PACIFICORP ...................................... 91,923
2,639,000 PECO ENERGY CO .................................. 77,026
11,700 PENNSYLVANIA ENTERPRISES, INC ................... 315
569,815 PEOPLES ENERGY CORP ............................. 22,009
1,573,916 PG&E CORP ....................................... 49,677
23,633 oPHILADELPHIA SUBURBAN CORP ...................... 517
408,296 oPHILIP SERVICES CORP ............................ 1,684
84,055 PIEDMONT NATURAL GAS CO, INC .................... 2,826
302,400 PINNACLE WEST CAPITAL CORP ...................... 13,608
1,029,900 POTOMAC ELECTRIC POWER CO ....................... 25,812
278,314 POWERGEN PLC .................................... 3,845
2,337,972 PP&L RESOURCES, INC ............................. 53,043
52,239 PRIMAGAZ ........................................ 4,588
712,562 PUBLIC SERVICE CO OF NEW MEXICO ................. 16,166
52,100 PUBLIC SERVICE CO OF NORTH CAROLINA ............. 1,133
2,692,546 PUBLIC SERVICE ENTERPRISE GROUP, INC ............ 92,725
258,431 PUGET SOUND ENERGY, INC ......................... 6,929
1,970,800 oREPUBLIC INDUSTRIES, INC ........................ 49,270
1,018,720 oRHEIN-WESTFALEN ELECTRIC AG (STAMM) ............. 60,277
652,400 ROCHESTER GAS & ELECTRIC CORP ................... 20,836
240,600 oRWE AG. CV WTS .................................. 4,206
40,000 SANIX, INC ...................................... 850
750,700 SCANA CORP ...................................... 22,380
2,803,272 SCOTTISH POWER PLC .............................. 24,556
2,205 SEMCO ENERGY, INC ............................... 39
1,596,104 oSEMPRA ENERGY ................................... 44,292
1,124,146 SHUN TAK ENTERPRISES CORP LTD ................... 110
8,600 SIERRA PACIFIC RESOURCES ........................ 312
73,300 oSIG CORP, INC ................................... 2,350
1,200 SONAT, INC ...................................... 46
38,200 SOUTH JERSEY INDUSTRIES, INC .................... 1,055
72,300 SOUTHERN CALIFORNIA WATER CO .................... 1,961
6,195,293 SOUTHERN CO ..................................... 171,532
1,048,289 SOUTHERN ELECTRIC PLC ........................... 9,480
20,400 oSOUTHERN UNION CO ............................... 658
2,800 SOUTHWEST GAS CORP .............................. 68
3,000 oSUPERIOR SERVICES, INC .......................... 90
248,594 TAYLOR WOODROW PLC .............................. 834
491,352 TECO ENERGY, INC ................................ 13,174
3,053,000 TENAGA NASIONAL BERHAD .......................... 3,681
2,621,364 TEXAS UTILITIES CO .............................. 109,114
834,098 THAMES WATER PLC ................................ 15,183
114,900 TNP ENTERPRISES, INC ............................ 3,548
1,301,900 TOHOKU ELECTRIC POWER CO, INC ................... 19,182
2,814,474 TOKYO ELECTRIC POWER CO, INC .................... 55,157
442,550 TOKYO ELECTRON CO LTD ........................... 13,551
3,243,000 TOKYO GAS CO LTD ................................ 7,220
281,357 TRACTEBEL NV .................................... 41,208
6,138 oTRACTEBEL NV PUT WTS 11/15/99 ................... 2
289,337 TRANS CANADA PIPELINES LTD ...................... 6,414
15,614 TRANS CANADA PIPELINES LTD (U.S.) ............... 347
341,600 TRANSALTA CORP .................................. 5,459
1,914,805 oU.S.A. WASTE SERVICES, INC ...................... 94,543
12,524 UGI CORP ........................................ 312
2,677,070 UNICOM CORP ..................................... 93,865
572,500 UNION ELECTRICA FENOSA S.A ...................... 7,386
400,520 oUNISOURCE ENERGY CORP HOLDINGS CO ............... 6,308
98,600 UNITED ILLUMINATING CO .......................... 4,992
713,406 UNITED UTILITIES PLC ............................ 10,374
117,600 UNITED WATER RESOURCES, INC ..................... 2,117
94,886 UTILICORP UNITED, INC ........................... 3,576
1,355,530 VEBA AG ......................................... 91,132
75,446 oVIAG AG. ........................................ 51,914
630,537 WASHINGTON GAS LIGHT CO ......................... 16,867
132,200 WASHINGTON WATER POWER CO ....................... 2,966
6,296,704 WASTE MANAGEMENT, INC ........................... 220,385
244,304 WESTCOAST ENERGY, INC ........................... 5,441
39,000 WESTERN GAS RESOURCES, INC ...................... 570
229 WESTERN RESOURCES, INC .......................... 9
27,800 WICOR, INC ...................................... 643
1,958,902 WILLIAMS COS, INC ............................... 66,113
736,881 WISCONSIN ENERGY CORP ........................... 22,383
306,424 WPS RESOURCES CORP .............................. 10,055
471,000 YANKEE ENERGY SYSTEMS, INC ...................... 11,598
271,335 oYORK RESEARCH CORP .............................. 1,645
3,712 #oYORK RESEARCH CORP WTS 09/30/98 ................. 0
-----------
4,197,549
-----------
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT--7.26%
9,224,630 ABB AB SERIES A ................................. 130,708
58,000 ABB AB SERIES B ................................. 807
207,600 oACTEL CORP ...................................... 2,232
1,646,365 oADC TELECOMMUNICATIONS, INC ..................... 60,144
167,324 oADTRAN, INC ..................................... 4,371
981,700 oADVANCED FIBRE COMMUNICATIONS ................... 39,329
6,400 oADVANCED LIGHTING TECHNOLOGIES, INC ............. 149
3,850 oADVANCED MICRO DEVICES, INC ..................... 66
163,929 ADVANTEST CORP .................................. 8,811
6,000 AISIN SEIKI CO LTD .............................. 55
942,890 ALCATEL ALSTHOM CIE GEN ......................... 191,978
4,200 oALLEN TELECOM,INC ............................... 49
7,600 oALLIANCE SEMICONDUCTOR CORP ..................... 27
1,418,000 ALPS ELECTRIC CO LTD ............................ 16,858
958,000 oALSTOM .......................................... 31,532
2,413,200 oALTERA CORP ..................................... 71,340
1,119,000 AMADA CO LTD .................................... 5,442
316,000 AMANO CORP ...................................... 2,775
1,182,400 oAMERICAN POWER CONVERSION CORP .................. 35,472
243,200 AMETEK, INC ..................................... 7,129
1,273,182 AMP, INC ........................................ 43,766
6,000 oAMPEX CORP (CLASS A) ............................ 12
20,992 AMSTRAD PLC ..................................... 15
343,800 oAMTECH CORP ..................................... 1,633
4,300 oANADIGICS, INC .................................. 59
248,966 oANALOG DEVICES, INC ............................. 6,115
1,564,818 oANDREW CORP ..................................... 28,265
29,400 oANTEC CORP ...................................... 682
1,386,000 oAPPLIED INTERNATIONAL HOLDINGS LTD .............. 42
277,200 oAPPLIED INTERNATIONAL HOLDINGS LTD
WTS 12/30/99 ................................... 0
56,669 oAPPLIED MAGNETICS CORP .......................... 432
221,449 oARTESYN TECHNOLOGIES, INC ....................... 3,543
2,746,500 oASCEND COMMUNICATIONS, INC ...................... 136,123
489,700 oASPECT TELECOMMUNICATIONS CORP .................. 13,406
407,300 oATMEL CORP ...................................... 5,549
4,126 oAURA SYSTEMS, INC ............................... 8
See notes to financial statements.
-27-
<PAGE>
VALUE
SHARES (000)
------ -----------
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT--(CONTINUED)
2,200 AUSTRIA MIKRO SYSTEM
INTERNATIONAL AG ............................... $ 149
159,000 oAVID TECHNOLOGIES, INC .......................... 5,327
154,500 AVX CORP ........................................ 2,482
254,650 oAYDIN CORP ...................................... 2,228
161,333 BALDOR ELECTRIC CO .............................. 3,932
54,100 oBANG & OLUFSEN HOLDINGS AS (CLASS B) ............ 3,894
52,515 BARCO INDUSTRIES NV ............................. 14,677
85,500 oBENCHMARK ELECTRONICS, INC ...................... 1,710
154,200 oBERG ELECTRICS CORP ............................. 3,017
1,187,635 BICC LTD ........................................ 2,596
3,300 BMC INDUSTRIES, INC ............................. 29
488,045 BOWTHORPE HOLDINGS PLC .......................... 4,263
36,600 oBROADBAND TECHNOLOGIES, INC ..................... 151
395,000 BROTHERS INDUSTRIES LTD ......................... 1,474
608,100 oBURR BROWN CORP ................................. 12,770
112,800 C&D TECHNOLOGIES, INC ........................... 6,542
17,264,515 oCABLE & WIRELESS PLC ............................ 209,707
209,200 CAE, INC ........................................ 1,771
243,800 oCALIFORNIA MICROWAVE, INC ....................... 4,267
1,084,000 CASIO COMPUTER CO LTD ........................... 10,067
1,000 CATENA CORP ..................................... 3
578,300 oCELLNET DATA SYSTEMS, INC ....................... 5,602
1,866 oCHYRON CORP ..................................... 7
17,100 oCIDCO, INC ...................................... 79
570,225 oCIENA CORP ...................................... 39,702
997,000 CITIZEN WATCH CO LTD ............................ 8,225
107,900 oCOHERENT COMMUNICATIONS
SYSTEMS CORP ................................... 5,051
764,365 oCOMVERSE TECHNOLOGY, INC ........................ 39,651
2,160,345 COOPER INDUSTRIES, INC .......................... 118,684
111,000 oCREATIVE TECHNOLOGY LTD ......................... 1,347
408,256 CTS CORP ........................................ 12,044
2,996 oCYMER, INC ...................................... 48
7,700 oCYPRESS SEMICONDUCTOR CORP ...................... 64
117,000 DAI NIPPON SCREEN MANUFACTURING CO LTD .......... 479
14,385 DALLAS SEMICONDUCTOR CORP ....................... 446
146,700 oDAVOX CORP ...................................... 3,209
636,700 oDIGITAL MICROWAVE CORP .......................... 4,616
435,120 oDII GROUP, INC .................................. 7,424
125,700 oDREXLER TECHNOLOGY CORP ......................... 1,791
218,088 oDSC COMMUNICATIONS CORP ......................... 6,543
724,800 oDSP COMMUNICATIONS, INC ......................... 9,966
117,400 oECHOSTAR COMMUNICATIONS CORP (CLASS A) .......... 2,825
1,026,000 ELEC & ELTEK INTERNATIONAL
HOLDNGS LTD .................................... 196
56,100 oELECTRO SCIENTIFIC INDUSTRIES, INC .............. 1,771
266,658 ELECTROCOMPONENTS PLC ........................... 2,091
1,020,170 ELECTROLUX AB SERIES B .......................... 17,525
40,800 oELTRON INTERNATIONAL, INC ....................... 1,122
747,848 EMAIL LTD ....................................... 1,297
2,647,270 EMERSON ELECTRIC CO ............................. 159,829
7,800 EMPRESA FABRIL DE MAQUINAS
ELECTRICAS ..................................... 71
4,797,000 ERICSSON TELEFON (LM) AB SERIES B ............... 140,152
243,800 oESTERLINE CORP .................................. 5,089
169,800 oEXAR CORP ....................................... 3,566
3,100 EXIDE CORP ...................................... 52
5,400 oFEI CO .......................................... 50
1,109,117 FISHER & PAYKEL INDUSTRIES LTD .................. 2,821
1,683,195 oFKI PLC ......................................... 4,901
453,000 FUJIKURA LTD .................................... 2,017
861,000 FURUKAWA ELECTRIC CO LTD ........................ 2,897
25,000 GEA AG .......................................... 9,765
345,600 oGENERAL DATACOMM INDUSTRIES, INC ................ 1,728
31,712,144 GENERAL ELECTRIC CO ............................. 2,885,805
4,465,961 oGENERAL ELECTRIC CO (U.K.) ...................... 38,487
512,300 oGENERAL INSTRUMENT CORP ......................... 13,928
257,700 oGENERAL SEMICONDUCTOR, INC ...................... 2,545
285,400 oGENLYTE GROUP, INC .............................. 7,563
883,000 oGEOTEK COMMUNICATIONS, INC ...................... 138
544,637 oGLENAYRE TECHNOLOGIES, INC ...................... 5,855
3,300 oGROUPE SEB S.A .................................. 457
2,600 oHADCO CORP ...................................... 61
4,380 HARMAN INTERNATIONAL INDUSTRIES, INC ............ 169
1,427,833 HARRIS CORP ..................................... 63,806
56,100 HELIX TECHNOLOGY CORP ........................... 842
43,900 HIROSE ELECTRIC CO LTD .......................... 2,141
5,982,230 HITACHI LTD ..................................... 39,007
2,600 oHMT TECHNOLOGY CORP ............................. 22
51,700 oHOLOPHANE CORP .................................. 1,318
47,000 HOYA CORP ....................................... 1,331
75,270 oHUTCHINSON TECHNOLOGY, INC ...................... 2,051
321,600 oINTEGRATED DEVICE TECHNOLOGY, INC ............... 2,301
101,100 oINTEGRATED SILICON SOLUTION, INC ................ 708
14,635,502 INTEL CORP ...................................... 1,084,857
165,700 INTER-TEL, INC .................................. 2,651
64,100 oINTERNATIONAL RECTIFIER CORP .................... 545
158,692 oJABIL CIRCUIT, INC .............................. 5,247
787,160 oJOHNSON ELECTRIC HOLDINGS LTD ................... 2,916
6,900 oJPM CO .......................................... 82
281,000 JUNO LIGHTING, INC .............................. 6,639
1,031,000 KANDENKO CO LTD ................................. 6,381
47,200 oKEMET CORP ...................................... 621
251,000 KYUNDENKO CO LTD ................................ 1,642
79,150 oLATTICE SEMICONDUCTOR CORP ...................... 2,248
461,666 oLEADER UNIVERSAL HOLDINGS BERHAD ................ 69
29,325 LEGRAND S.A ..................................... 7,761
578,200 oLEVEL ONE COMMUNICATIONS, INC ................... 13,588
934,600 LEX SERVICE GROUP LTD ........................... 7,750
27,600 oLIGHTBRIDGE, INC ................................ 235
1,490,700 LINEAR TECHNOLOGY CO ............................ 89,908
500 oLITTLEFUSE, INC ................................. 13
8,000 oLO-JACK CORP .................................... 100
679,400 oLSI LOGIC CORP .................................. 15,669
155,000 oMABUCHI MOTOR CO LTD ............................ 9,828
70,200 oMAGNETEK, INC ................................... 1,106
4,559,650 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ........... 73,261
60,335 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ADR ....... 9,699
2,891,200 oMAXIM INTEGRATED PRODUCTS ....................... 91,615
12,003 MAYTAG CO ....................................... 593
150,300 oMEMC ELECTRONIC MATERIALS, INC .................. 1,559
264,250 METHODE ELECTRONICS, INC (CLASS A) .............. 4,096
222,875 oMICREL, INC ..................................... 7,243
76,200 oMICRO LINEAR CORP ............................... 348
401,475 oMICROCHIP TECHNOLOGY, INC ....................... 10,489
435,800 oMICRON TECHNOLOGY, INC .......................... 10,813
300,000 MIMASU SEMICONDUCTOR INDUSTRY ................... 3,026
4,800 oMITEL CORP ...................................... 66
4,665,000 oMITSUBISHI ELECTRIC CORP ........................ 10,722
907 MOLEX, INC ...................................... 23
387,052 MOLEX, INC (CLASS A) ............................ 9,047
800 oMOOG, INC (CLASS A) ............................. 31
See notes to financial statements.
-28-
<PAGE>
VALUE
SHARES (000)
------ -----------
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT--(CONTINUED)
3,717,300 MOTOROLA, INC ................................... $ 195,391
338,900 oMRV COMMUNICATIONS, INC ......................... 7,032
453,000 MURATA MANUFACTURING CO LTD ..................... 14,687
81,700 NATIONAL PRESTO INDUSTRIES, INC ................. 3,181
366,998 oNATIONAL SEMICONDUCTOR CORP ..................... 4,840
69,400 oNATURAL MICROSYSTEMS CORP ....................... 1,110
185,100 oNEOMAGIC CORP ................................... 2,869
218,400 oNEWBRIDGE NETWORKS CORP ......................... 5,220
747,000 NGK INSULATORS LTD .............................. 6,485
900 NIHON DEMPA KOGYO CO LTD ........................ 8
291,000 NIKON CORP ...................................... 2,092
103,700 oNIMBUS CD INTERNATIONAL, INC .................... 1,180
3,178,000 NIPPON ELECTRIC CORP (N.E.C.) ................... 29,606
78 oNISSEN CO LTD ................................... 0
598,000 NOKIA AB SERIES K ............................... 44,034
998,000 oNOKIA OYJ SERIES A .............................. 73,397
3,000 oNOMA INDUSTRIES LTD (CLASS A) ................... 16
550,042 NORTHERN TELECOMMUNICATIONS LTD ................. 31,194
551,318 NORTHERN TELECOMMUNICATIONS LTD (U.S.) .......... 31,287
8,700 oOAK INDUSTRIES, INC ............................. 308
110,232 OCE NV .......................................... 4,693
500 oOIS OPTICAL IMAGING SYSTEMS, INC ................ 0
3,049,600 oOLIVETTI GROUP S.P.A ............................ 4,541
1,326,500 oOMNIPOINT CORP .................................. 30,427
334,000 OMRON CORP ...................................... 5,102
489,300 oP-COM, INC ...................................... 4,480
21,500 oPAIRGAIN TECHNOLOGIES, INC ...................... 375
2,200 PARK ELECTROCHEMICAL CORP ....................... 46
15,100 oPARVERVISION, INC ............................... 291
2,785,441 oPHILIPS ELECTRONICS NV .......................... 234,151
51,900 oPHILIPS ELECTRONICS NV (N.Y. REGD) .............. 4,412
32,600 oPICTURETEL CORP ................................. 302
200,250 PIONEER ELECTRONIC CORP ......................... 3,823
2,000,000 PIRELLI S.P.A. RISP ............................. 4,786
62,700 PITTWAY CORP .................................... 4,781
221,619 PITTWAY CORP (CLASS A) .......................... 16,372
16,900 oPLANTRONICS, INC ................................ 870
173,200 oPLEXUS CORP ..................................... 3,442
22,000 oPMC-SIERRA, INC ................................. 1,031
32,500 oPOWERWAVE TECHNOLOGIES, INC ..................... 544
466,500 oPREMISYS COMMUNICATIONS, INC .................... 11,604
45,503 oQLOGIC CORP ..................................... 1,624
386,743 oQMS, INC ........................................ 1,378
726,028 oRACAL ELECTRONICS PLC ........................... 4,101
59,900 oRADISYS CORP .................................... 1,288
226,500 oRAMBUS, INC ..................................... 13,845
30,650 oREAD RITE CORP .................................. 278
400 oREMEC, INC ...................................... 5
712,923 RICOH CO LTD .................................... 7,505
116,000 oROGERS CORP ..................................... 3,828
425,000 ROHM CO ......................................... 43,635
107,200 oROYAL APPLIANCE MANUFACTURING CO, INC ........... 670
8,900 oS3, INC ......................................... 45
182,100 SALIENT 3 COMMUNICATIONS (CLASS A) .............. 1,662
144,400 oSANDISK CORP .................................... 1,995
756,214 oSANMINA CORP .................................... 32,801
294,000 oSANRIO CO LTD ................................... 3,506
3,969,000 SANYO ELECTRIC CO LTD ........................... 12,011
118,100 oSAWTEK, INC ..................................... 1,742
1,090,600 oSCI SYSTEMS, INC ................................ 41,034
20,300 SCIENTIFIC-ATLANTA, INC ......................... 515
10,700 oSDL, INC ........................................ 255
191,800 oSEMTECH CORP .................................... 3,392
6,450 oSENSORMATIC ELECTRONICS CORP .................... 90
72,800 SGL CARBON AG ................................... 8,478
1,719,000 SHARP CORP ...................................... 13,921
15,400 oSHELDAHL, INC ................................... 136
854,010 SIEMENS AG ...................................... 52,116
9,100 oSILICONIX, INC .................................. 223
323,299 oSILICONWARE PRECISION INDUSTRIES GDR ............ 2,611
128,900 oSIPEX CORP ...................................... 2,771
356,600 oSMART MODULAR TECHNOLOGIES, INC ................. 5,215
1,029,698 SONY CORP ....................................... 88,657
1,000 oSPECTRIAN CORP .................................. 16
400 oSPEEDFAM INTERNATIONAL, INC ..................... 7
13,100 oSTANDARD MOTOR PRODUCTS, INC (CLASS A) .......... 291
2,337,500 SUMITOMO ELECTRIC INDUSTRIES CO ................. 23,629
142,700 oSUPERTEX, INC ................................... 1,730
286,000 oSUWA INTERNATIONAL HOLDINGS LTD ................. 9
57,200 oSUWA INTERNATIONAL HOLDINGS LTD
WTS 10/15/99 ................................... 0
287,300 oSYMMETRICOM, INC ................................ 1,724
505,000 TAKARA STANDARD CO .............................. 2,929
132,000 TDK CORP ........................................ 9,748
155,400 TECHNITROL, INC ................................. 6,206
181,200 oTEKELEC ......................................... 8,109
45,200 oTELCO SYSTEMS, INC .............................. 641
5,776,386 TELECOM ITALIA RISP ............................. 27,984
2,656,600 oTELLABS, INC .................................... 190,279
3,374,500 TEXAS INSTRUMENTS, INC .......................... 196,776
380 oTHERMICEDGE CORP ................................ 0
107,480 oTHERMO ELECTRON CORP ............................ 3,674
1,450,108 THOMAS & BETTS CORP ............................. 71,418
201,070 THOMAS INDUSTRIES, INC .......................... 4,914
123,420 TOWA CORP ....................................... 3,059
23,500 #oTRANSCRYPT INTERNATIONAL, INC ................... 166
17,100 oTRIDENT MICROSYSTEMS, INC ....................... 91
25,000 oTRIQUINT SEMICONDUCTOR, INC ..................... 475
254,200 oUCAR INTERNATIONAL, INC ......................... 7,419
141,000 UNIDEN CORP ..................................... 1,539
310,434 oUNITRODE CORP ................................... 3,570
190,600 oVICOR CORP ...................................... 2,645
37,700 oVIDEOSERVER, INC ................................ 462
170 oVISHAY INTERTECHNOLOGY, INC ..................... 3
193,400 oVISX, INC ....................................... 11,507
1,047,800 oVITESSE SEMICONDUCTOR CORP ...................... 32,351
171,600 oVLSI TECHNOLOGY, INC ............................ 2,880
773,600 WHIRLPOOL CORP .................................. 53,185
432,600 WOODHEAD INDUSTRIES, INC ........................ 6,651
2,900 WOODWARD GOVERNOR CO ............................ 90
400 oWORLD ACCESS, INC ............................... 12
503,500 oXILINX, INC ..................................... 17,119
260,000 YAMAHA CORP ..................................... 2,529
786,000 YOKOGAWA ELECTRIC CORP .......................... 4,191
472,622 xoZENITH ELECTRONICS CORP ......................... 142
98,800 oZORAN CORP ...................................... 1,247
-----------
8,168,505
-----------
ENGINEERING AND MANAGEMENT
SERVICES--0.31%
28,900 oAHL SERVICES, INC ............................... 1,138
305,037 oAIR & WATER TECHNOLOGIES CORP (CLASS A) ......... 953
3,918,336 ASTRA AB SERIES A FREE .......................... 80,087
385,066 ASTRA AB SERIES B FREE .......................... 7,677
52,100 oAURORA BIOSCIENCE CORP .......................... 306
See notes to financial statements.
-29-
<PAGE>
VALUE
SHARES (000)
------ -----------
ENGINEERING AND MANAGEMENT
SERVICES--(CONTINUED)
63,400 BLOUNT INTERNATIONAL, INC ....................... $ 1,807
248,500 oCEPHALON, INC ................................... 1,957
52,700 oCOR THERAPEUTICS, INC ........................... 731
100 oCORRECTIONS CORP OF AMERICA ..................... 2
34,300 DAMES & MOORE GROUP ............................. 442
8,100 oDATA TRANSMISSION NETWORK CORP .................. 324
342,036 EISAI CO LTD .................................... 4,658
43,200 oESSILOR INTERNATIONAL ........................... 18,270
119,200 oGENSET S.A ...................................... 10,686
174,200 oICOS CORP ....................................... 3,332
7,700 oINCYTE PHARMACEUTICALS, INC ..................... 263
30,000 #oINTERNATIONAL HYDRON
(LIQUIDATING TR) ............................... 1
353,700 oJACOBS ENGINEERING GROUP, INC ................... 11,363
357,000 KYOWA HAKKO KOGYO ............................... 1,415
71,800 oLASON, INC ...................................... 3,913
1,576,000 oLION CORP ....................................... 5,337
162,963 LOREAL S.A ...................................... 90,646
1,500 oMAXIMUS, INC .................................... 43
46,400 oMEDAPHIS CORP ................................... 278
2,500 oMETZLER GROUP, INC .............................. 92
178,000 oMYRIAD GENETICS, INC ............................ 2,603
204,700 oNEUREX CORP ..................................... 6,218
135,400 oNEUROMEDICAL SYSTEMS, INC ....................... 97
52,500 oNFO WORLDWIDE, INC .............................. 935
154,000 NICHII GAKKAN CO ................................ 5,115
11,500 oNICHOLS RESEARCH CORP ........................... 314
63,600 oOYO CORP ........................................ 856
2,200 oPROBUSINESS SERVICES, INC ....................... 103
2,900 oPROFIT RECOVERY GROUP INTERNATIONAL ............. 81
886,800 oQUINTILES TRANSNATIONAL CORP .................... 43,619
34,000 oRAMTRON INTERNATIONAL CORP ...................... 118
2,602 oRENAISSANCE WORLDWIDE, INC ...................... 57
244,300 oREPLIGEN CORP ................................... 374
632,450 oSCIOS, INC ...................................... 5,613
1,054,000 SHIONOGI & CO LTD ............................... 6,075
361,340 SHISEIDO & CO LTD ............................... 4,103
79,100 oSTAFF LEASING, INC .............................. 2,333
105,000 STONE & WEBSTER, INC ............................ 4,161
40,375 SYNTHELABO S.A .................................. 6,812
9,100 TEJON RANCH CO .................................. 238
3,100 oTETRA TECH, INC ................................. 75
189,500 TKC CORP ........................................ 3,072
168,000 TOYO ENGINEERING CO ............................. 224
1,700 oTRANSKARYOTIC THERAPIES, INC .................... 44
73,828 oU.S. BIOSCIENCE, INC ............................ 604
248,200 UNI CHARM CORP .................................. 9,192
38,000 oVALENCE TECHNOLOGY, INC ......................... 216
1,300 oWACKENHUT CORRECTIONS CORP ...................... 30
262,400 oWESTON (ROY F.), INC (CLASS A) .................. 1,017
-----------
350,020
-----------
FABRICATED METAL PRODUCTS--1.12%
480,400 AEROQUIP-VICKERS, INC ........................... 28,043
34,225 oALLIANT TECHSYSTEMS, INC ........................ 2,165
183,291 oALLTRISTA CORP .................................. 4,685
4,400 oAMCAST INDUSTRIAL CORP .......................... 82
16,900 oAMERICAN SAFETY RAZOR CO ........................ 247
113,082 APTARGROUP, INC ................................. 7,032
15,076 BALL CORP ....................................... 606
36,600 BARNES GROUP, INC ............................... 990
38,100 BUTLER MANUFACTURING CO ......................... 1,298
229,650 CLARCOR, INC .................................... 4,823
8,100 oCOLEMAN CO, INC ................................. 94
8,816 oCOLEP-COMPANHIA PORTUGUESA DE EMBALAGE .......... 117
320,966 CRANE CO ........................................ 15,587
397,456 CROWN CORK & SEAL CO, INC ....................... 18,879
162,200 GENERAL HOUSEWARES CORP ......................... 1,632
11,486,344 GILLETTE CO ..................................... 651,132
5,700 oGRIFFON CORP .................................... 73
146,900 HARSCO CORP ..................................... 6,730
420,076 HUBBELL, INC (CLASS B) .......................... 17,486
1,246,400 ILLINOIS TOOL WORKS, INC ........................ 83,119
122,500 INTERNATIONAL ALUMINUM CORP ..................... 3,798
303,788 oISCOR LTD ....................................... 58
75,000 KIAN JOO CAN FACTORY BERHAD ..................... 69
768,950 MAGNETI MARELLI ................................. 1,688
648,100 MASCO CORP ...................................... 39,210
34,100 MASCOTECH, INC .................................. 818
290,245 oMATERIAL SCIENCES CORP .......................... 3,374
6,450 oMILLER INDUSTRIES, INC .......................... 50
88,600 oNCI BUILDING SYSTEMS, INC ....................... 5,117
1,761,300 PARKER-HANNIFIN CORP ............................ 67,150
23,980 PRIMEX TECHNOLOGIES, INC ........................ 1,229
2,817,842 ROCKWELL INTERNATIONAL CORP ..................... 135,433
2,900 oROHN INDUSTRIES, INC ............................ 14
39,200 SAMANCOR LTD .................................... 166
1,200 oSHAW GROUP, INC ................................. 31
35,600 oSILGAN HOLDINGS, INC ............................ 997
8,400 oSIMPSON MANUFACTURING CO, INC ................... 324
143,300 SMC CORP ........................................ 10,893
652,300 SNAP-ON, INC .................................... 23,646
620,700 oSOLECTRON CORP .................................. 26,108
1,338,400 STANLEY WORKS CO ................................ 55,627
418,400 STELCO, INC (CLASS A) ........................... 2,987
153,500 STRUM, RUGER & CO, INC .......................... 2,571
9,900 oTOWER AUTOMOTIVE, INC ........................... 424
122,000 TRANSPRO, INC ................................... 907
187,300 TRINITY INDUSTRIES, INC ......................... 7,773
90,900 oU.S. CAN CORP ................................... 1,335
179,800 UNITED DOMINION INDUSTRIES LTD .................. 5,930
1,100 VALMONT INDUSTRIES .............................. 22
281,400 WATTS INDUSTRIES, INC (CLASS A) ................. 5,874
77,937 oWHITTAKER CORP .................................. 1,033
353,300 oWYMAN-GORDON CO ................................. 7,044
256,352 ZERO CORP ....................................... 7,274
-----------
1,263,794
-----------
FOOD AND KINDRED PRODUCTS--4.78%
3,000 AARHUS OLIEFABRIK AS (CLASS A) .................. 153
1,700 AARHUS OLIEFABRIK AS (CLASS B) .................. 87
145,989 oAGRIBRANDS INTERNATIONAL, INC ................... 4,416
1,649,600 AJINOMOTO CO LTD ................................ 14,441
51,000 oAMERICAN ITALIAN PASTA CO (CLASS A) ............. 1,900
3,836,744 ANHEUSER BUSCH COS, INC ......................... 181,046
5,995,762 ARCHER DANIELS MIDLAND CO ....................... 116,168
428,000 ARIAKE JAPAN CO LTD ............................. 10,762
582,000 ASAHI BREWERIES LTD ............................. 7,338
144,000 oASIA FOOD & PROPERTIES LTD ...................... 20
10,800 oASIA FOOD & PROPERTIES LTD WTS 07/12/02 ......... 1
926,825 ASSOCIATED BRITISH FOODS PLC .................... 8,745
2,715,196 BASS PLC ........................................ 50,875
2,266,700 BESTFOODS, INC .................................. 131,610
1,373 BONGRAIN S.A .................................... 689
10,380 oBRAU UND BRUNNEN AG ............................. 1,346
398,500 BROWN FORMAN, INC (CLASS B) ..................... 25,604
4,600 oBUSH BOAKE ALLEN, INC ........................... 135
934,476 CADBURY SCHWEPPES LTD ........................... 14,461
1,197,300 CAMPBELL SOUP CO ................................ 63,607
See notes to financial statements.
-30-
<PAGE>
VALUE
SHARES (000)
------ -----------
FOOD AND KINDRED PRODUCTS--(CONTINUED)
94,405 oCANANDAIGUA BRANDS, INC (CLASS A) ............... $ 4,644
65,209 oCARLSBERG BREWERIES AS (CLASS A) ................ 4,741
11,781 oCARLSBERG BREWERIES AS (CLASS B) ................ 857
170,028 oCASTLE & COOKE, INC ............................. 3,231
685,000 CHIQUITA BRANDS INTERNATIONAL, INC .............. 9,633
885,129 COCA COLA AMATIL LTD ............................ 5,920
277,600 COCA COLA BOTTLING CO CONSOLIDATED .............. 18,356
18,130,998 COCA COLA CO .................................... 1,550,200
1,943,600 COCA COLA ENTERPRISES, INC ...................... 76,286
158,200 COMPANIA CERVECERIAS UNIDAS S.A. ADR ............ 3,342
4,552,908 CONAGRA, INC .................................... 144,270
164,800 COORS (ADOLPH) CO (CLASS B) ..................... 5,603
452,400 oCORN PRODUCTS INTERNATIONAL, INC ................ 15,325
26,300 COTT CORP ....................................... 187
56,000 oCULTOR OYJ ...................................... 908
72,400 oDANISCO AS ...................................... 4,864
190,818 DANONE GROUP .................................... 52,612
164,000 DCC PLC ......................................... 1,464
766,391 DEAN FOODS CO ................................... 42,104
9,589,270 DIAGEO PLC (CLASS A) ............................ 113,598
864,084 DOLE FOOD, INC .................................. 42,934
481,544 DREYERS GRAND ICE CREAM, INC .................... 9,691
393,364 EARTHGRAINS CO .................................. 21,979
40,700 EMBOTELLADORA ANDINA ADR (CLASS B) .............. 636
52,646 oERIDANIA BEGHIN-SAY S.A ......................... 11,625
366,700 EZAKI GLICO CO LTD .............................. 2,079
37,475 FLOWERS INDUSTRIES, INC ......................... 766
6,197,858 FOSTERS BREWING GROUP LTD ....................... 14,586
322,800 FRASER & NEAVE LTD .............................. 867
1,545,454 GENERAL MILLS, INC .............................. 105,670
9,988 GLAVERBEL S.A ................................... 1,428
58 GLAVERBEL STRIP NPV (VVPR) ...................... 0
162,600 GOLDEN ENTERPRISES, INC ......................... 1,026
4,641,162 GOODMAN FIELDER LTD ............................. 6,755
272,000 GRUPO INDUSTRIAL MASECA SERIES B ................ 198
389,600 GUINESS ANCHOR BERHAD ........................... 413
884,631 HEINEKEN NV ..................................... 34,747
1,990,750 HEINZ (H.J.) CO ................................. 111,731
125,000 HERDEZ S.A. SERIES B ............................ 60
159,998 HERMES INTERNATIONAL S.A ........................ 12,570
192,663 HERSHEY FOODS CORP .............................. 13,294
2,420 HOLSTEN BRAUEREI AG ............................. 563
773,000 HORMEL FOODS CORP ............................... 26,717
323,000 HOUSE FOODS CORP ................................ 4,145
970,800 IBP, INC ........................................ 17,596
128,781 IMPERIAL HOLLY CORP ............................. 1,167
785,200 INTERSTATE BAKERIES CORP ........................ 26,059
2,565,000 oIOI CORP ........................................ 1,280
811,700 ITOEN, LTD ...................................... 25,148
1,002,000 ITOHAM FOODS, INC ............................... 4,332
132,800 oJ & J SNACK FOODS CORP .......................... 2,772
117,000 KATOKICHI CO LTD ................................ 1,391
992,600 KELLOGG CO ...................................... 37,285
148,000 oKEMAYAN CORP BERHAD ............................. 16
3,000 oKIKKOMAN CORP ................................... 16
3,705,000 oKIRIN BREWERY CO LTD ............................ 34,970
546,529 LANCASTER COLONY CORP ........................... 20,700
279,632 LANCE, INC ...................................... 6,257
1,789,930 LION NATHAN LTD ................................. 3,977
205,833 LVMH MOET HENNESSY LOUIS VUITTON ................ 41,194
124,000 MARUHA CORP ..................................... 128
904,200 MCCORMICK & CO, INC (NON-VOTE) .................. 32,297
110,000 MEFOS LTD ....................................... 765
77,000 MEIJI MILK PRODUCTS CO LTD ...................... 205
1,491,000 MEIJI SEIKA KAISHA LTD .......................... 4,533
245,375 MICHAEL FOODS, INC .............................. 7,208
102,400 oMIDWEST GRAIN PRODUCTS, INC ..................... 1,485
12,000 MIZUNO CORP ..................................... 40
140,800 MOLSON CO LTD (CLASS A) ......................... 2,561
1,000 MOLSON CO LTD (CLASS B) ......................... 18
13,530,050 MONTEDISON S.P.A ................................ 16,796
2,008,450 NABISCO HOLDINGS CORP (CLASS A) ................. 72,430
218,700 NESTLE MALAYSIA BERHAD .......................... 991
97,121 NESTLE S.A. REGD ................................ 207,842
751,000 NICHIREI CORP ................................... 1,542
246,000 NIPPON BEET SUGAR MANUFACTURING CO LTD .......... 346
47,000 oNIPPON DENKO CO LTD ............................. 55
672,000 NIPPON MEAT PACKERS, INC ........................ 8,226
1,126,000 oNIPPON SUISAN KAISHA LTD ........................ 1,290
220,000 NISSIN FOOD PRODUCTS CO LTD ..................... 3,939
168,000 NITTO DENKO CORP ................................ 2,524
321,270 NUMICO NV ....................................... 10,060
815,040 ORKLA AS SERIES A ............................... 18,959
42,992 ORKLA AS SERIES B ............................... 905
6,600 OSTERREICHISCHE BRAUAKTIENGESELLSCHAF ........... 390
2,002,220 oPARMALAT FINANZIARIA S.P.A ...................... 4,086
12,300 oPASCUAL HERMANOS S.A ............................ 9
99,900 PENFORD CORP .................................... 3,022
17,569,036 PEPSICO, INC .................................... 723,625
2,638,555 PERDIGAO S.A .................................... 3
484,750 PERLIS PLANTATIONS BERHAD ....................... 421
148,900 PILGRIMS PRIDE CORP ............................. 2,978
350,000 xPOWER PACIFIC LTD ............................... 0
625 PPB OIL PALMS BERHAD ............................ 0
940,000 oQ.P. CORP ....................................... 6,129
348,615 QUAKER OATS CO .................................. 19,152
1,200,000 RAISIO GROUP PLC ................................ 21,784
451,743 oRALCORP HOLDINGS, INC ........................... 8,527
1,406,591 RALSTON PURINA CO ............................... 164,307
1,619,046 RJR NABISCO HOLDINGS CORP ....................... 38,452
247,150 SAPPORO BREWERIES LTD ........................... 946
2,797,200 SARA LEE CORP ................................... 156,468
903,829 SCOTTISH & NEWCASTLE PLC ........................ 12,788
457,000 SEAGRAMS CO LTD ................................. 18,630
241,400 SEAGRAMS CO LTD (U.S.) .......................... 9,882
57,000 oSKYLARK CO LTD .................................. 563
554,400 oSMITHFIELD FOODS, INC ........................... 16,909
96,500 oSMUCKER, (J.M.) CO (CLASS A) .................... 2,394
195,700 SMUCKER, (J.M.) CO (CLASS B) .................... 4,770
723,000 SNOW BRAND MILK PRODUCTS CO ..................... 2,188
99,999 SOUTH AFRICAN BREWERIES LTD ..................... 2,071
6,102 SOUTH AFRICAN BREWERIES LTD (U.S.) .............. 124
1,115,362 SOUTHCORP LTD ................................... 3,240
3,000 TAKARA SHUZO CO LTD ............................. 12
2,378,259 TATE & LYLE PLC ................................. 18,859
46,700 TIGER OATS LTD .................................. 414
1,000 oTONEN CORP ...................................... 5
201,826 TOOTSIE ROLL INDUSTRIES, INC .................... 15,490
710,900 TOYO SEIKAN KAISHA LTD .......................... 8,707
600 oTRIARC COS, INC ................................. 13
1,503,760 TYSON FOODS, INC ................................ 32,613
253,000 UBE INDUSTRIES LTD .............................. 328
20,400 UNICER-UNIAO CERVEIJEIRA S.A .................... 451
725,650 UNIGATE PLC ..................................... 8,039
9,270,271 UNILEVER LTD .................................... 98,682
1,662,069 UNILEVER NV CERT ................................ 131,874
10,906 UNITED BISCUITS HOLDINGS PLC .................... 44
878,696 UNIVERSAL FOODS CORP ............................ 19,496
See notes to financial statements.
-31-
<PAGE>
VALUE
SHARES (000)
------ -----------
FOOD AND KINDRED PRODUCTS--(CONTINUED)
38,200 VINA CONCHA Y TORO S.A. ADR ..................... $ 1,089
55,720 VISCOFAN S.A .................................... 2,599
136,500 oVLASIC FOODS INTERNATIONAL, INC ................. 2,747
441,500 WESTON (GEORGE) LTD ............................. 15,611
418,806 WHITMAN CORP .................................... 9,606
67,066 WORTHINGTON FOODS, INC .......................... 1,404
45,600 WRIGLEY (WM) JR CO .............................. 4,469
373,800 WRIGLEY (WM) JR CO (CLASS B) .................... 36,632
106,000 oYAMAZAKI BAKING CO LTD .......................... 939
-----------
5,369,315
-----------
FOOD STORES--0.60%
1,516,100 ALBERTSONS, INC ................................. 78,553
3,137,032 AMERICAN STORES CO .............................. 75,877
4,878 xoBRUNOS, INC ..................................... 5
208,500 CULTOR OY SERIES 2 .............................. 3,344
2,000,000 DAIRY FARM INTERNATIONAL
HOLDINGS LTD ................................... 2,140
183,950 DE BOER UNIGRO NV ............................... 9,721
97,359 oEL AGUILA S.A ................................... 909
1,119,050 FOOD LION, INC (CLASS A) ........................ 11,890
1,858,850 FOOD LION, INC (CLASS B) ........................ 18,705
891,500 oGENERAL NUTRITION COS, INC ...................... 27,748
42,800 GIANT FOOD, INC (CLASS A) ....................... 1,843
122,600 GREAT ATLANTIC & PACIFIC TEA CO, INC ............ 4,053
473,600 HANNAFORD BROTHERS, INC ......................... 20,838
81,750 JERONIMO MARTINS SGPS S.A ....................... 3,928
1,919,008 oKROGER CO ....................................... 82,277
5,000 MARUETSU, INC ................................... 12
132,400 MEIKLES AFRICA LTD .............................. 162
45,200 PICKN PAY STORES LTD SERIES N ................... 48
784,003 SAFEWAY PLC ..................................... 5,134
4,073,236 oSAFEWAY, INC .................................... 165,730
3,713,406 SAINSBURY (J) PLC ............................... 33,086
6,500,000 oSOMERFIELD PLC .................................. 41,483
44,100 SONAE INVESTIMENTOS-SGPS S.A .................... 2,409
1,182,300 oSOUTHLAND CORP .................................. 3,251
17,900 oSTARBUCKS CORP .................................. 957
6,306,015 TESCO PLC ....................................... 61,551
109,731 WEIS MARKETS, INC ............................... 4,033
201,300 oWHOLE FOODS MARKET, INC ......................... 12,179
63,000 oWILD OATS MARKETS, INC .......................... 1,914
1,332 WINN DIXIE STORES, INC .......................... 68
480 YOSHINOYA D&C CO LTD ............................ 4,150
-----------
677,998
-----------
FORESTRY--0.00%
15,700 CORTICEIRA AMORIM S.A ........................... 301
1,469,718 FLETCHER CHALLENGE LTD
(FORESTS DIVISION) ............................. 824
886,400 HIGHLANDS & LOWLANDS BERHAD ..................... 626
666,800 KUALA LUMPUR KEPONG BERHAD ...................... 1,077
-----------
2,828
-----------
FURNITURE AND FIXTURES--0.08%
42,362 BASSETT FURNITURE INDUSTRIES, INC ............... 1,194
47,400 BUSH INDUSTRIES, INC (CLASS A) .................. 1,031
947,500 oFURNITURE BRANDS INTERNATIONAL, INC ............. 26,589
227,400 HON INDUSTRIES, INC ............................. 7,732
383,996 KIMBALL INTERNATIONAL, INC (CLASS B) ............ 6,960
199,400 oKNOLL, INC ...................................... 5,882
69,300 LA-Z-BOY, INC ................................... 3,915
44,867 oLADD FURNITURE, INC ............................. 1,346
267,900 LEGGETT & PLATT, INC ............................ 6,698
242,500 MILLER (HERMAN), INC ............................ 5,896
111,800 oOSULLIVAN INDUSTRIES HOLDINGS, INC .............. 1,565
246,500 SHELBY WILLIAMS INDUSTRIES, INC ................. 3,698
887,319 U.S. INDUSTRIES, INC ............................ 21,961
-----------
94,467
-----------
FURNITURE AND HOMEFURNISHING
STORES--0.18%
553,600 AUSTRALIA GAS LIGHT CO .......................... 3,463
510,400 oBED BATH & BEYOND, INC .......................... 26,445
36,100 oBEST BUY, INC ................................... 1,304
351,812 oBOMBAY, INC ..................................... 1,671
10,900 oCOMPUCOM SYSTEMS, INC ........................... 71
1,650,700 oCOMPUSA, INC .................................... 29,816
119,400 oEGGHEAD.COM, INC ................................ 1,007
6,700 ETHAN ALLEN INTERIORS, INC ...................... 335
208,900 oGOOD GUYS, INC .................................. 2,814
15,587 HEILIG MEYERS CO ................................ 192
18,900 oINACOM CORP ..................................... 600
58,765 JD GROUP LTD .................................... 398
59,800 oLECHTERS, INC ................................... 293
10,300 oLINENS N THINGS, INC ............................ 315
35,500 oMAXIM GROUP, INC (THE) .......................... 706
3,700 oMICROAGE, INC ................................... 52
203,100 oMUSICLAND STORES CORP ........................... 2,843
1,236,849 PIER 1 IMPORTS, INC ............................. 29,530
199,684 oREX STORES CORP ................................. 2,521
207,800 oSUN TELEVISION & APPLIANCES, INC ................ 416
515,300 SUNBEAM CORP .................................... 5,346
1,268,402 TANDY CORP ...................................... 67,305
129,700 oTRANS WORLD ENTERTAINMENT CORP .................. 5,593
591,650 oWILLIAMS-SONOMA, INC ............................ 18,822
-----------
201,858
-----------
GENERAL BUILDING CONTRACTORS--0.37%
200,000 oACS ACTIVIDADES CONS Y SERV ..................... 6,016
13,934 ADELAIDE BRIGHTON HOLDINGS LTD .................. 8
9,900 ALPHA LTD NPV ................................... 74
346,215 AMEC PLC ........................................ 991
1,703,000 oAOKI CONSTRUCTION CO LTD ........................ 834
20,000 ASANO SLATE CO LTD .............................. 19
649,950 BARRATT DEVELOPMENTS LTD ........................ 2,874
322,500 oBERKELEY GROUP PLC .............................. 3,368
5,391,568 BLUE CIRCLE INDUSTRIES PLC ...................... 30,451
233,437 oBPB PLC ......................................... 1,414
1,094,202 CENTEX CORP ..................................... 41,306
29,974,000 CHINA RESOURCES BEIJING LAND .................... 9,671
9,928 oCOSTAIN GROUP PLC ............................... 6
30,200 oCROSSMAN COMMUNITIES, INC ....................... 917
2,391,000 DAIWA HOUSE INDUSTRY CO LTD ..................... 21,103
833,000 oEKRAN BERHAD .................................... 90
540,300 FLETCHER CHALLENGE LTD
(BUILDING DIVISION) ............................ 673
166,948 FOMENTO CONSTRUCCIONES Y
CONTRATAS S.A .................................. 8,626
2,039,000 FUJITA CORP ..................................... 1,117
175,000 oHASEKO CORP ..................................... 101
379,000 oHAZAMA-GUMI LTD ................................. 218
174,630 HEPWORTH PLC .................................... 629
397,600 HILLENBRAND INDUSTRIES, INC ..................... 23,856
43,478 HOLLANDSCHE BETON GROEP NV ...................... 906
536,025 HORTON (D.R.), INC .............................. 11,190
404,000 INAX CORP ....................................... 1,388
1,484,723 JAMES HARDIE INDUSTRIES LTD ..................... 4,147
43,200 JARVIS PLC ...................................... 499
1,734,000 KAJIMA CORP ..................................... 4,748
720,362 KAUFMAN & BROAD HOME CORP ....................... 22,871
26,000 KOMATSU CONSTRUCTION CO LTD ..................... 37
793,677 LENNAR CORP ..................................... 23,413
974,249 MARLEY PLC ...................................... 1,780
50,000 MDC HOLDINGS, INC ............................... 988
361,000 NIHON CEMENT CO LTD ............................. 723
235,000 NISHIMATSU CONSTRUCTION CO LTD .................. 1,151
See notes to financial statements.
-32-
<PAGE>
VALUE
SHARES (000)
------ -----------
GENERAL BUILDING
CONTRACTORS--(CONTINUED)
73,100 oNVR, INC ........................................ $ 3,002
991,000 OBAYASHI CORP ................................... 4,198
864,000 OKUMURA CORP .................................... 3,032
189,000 PENTA OCEAN CONSTRUCTION CO LTD ................. 436
457,060 oPILKINGTON PLC .................................. 846
557,161 PULTE CORP ...................................... 16,645
330,000 RMC GROUP PLC ................................... 5,721
1,497,616 RUGBY GROUP PLC ................................. 2,811
59,000 oSHOKUSAN JUTAKO SAGO ............................ 31
429,860 SKANSKA AB SERIES B FREE ........................ 19,297
52,046,000 +SOUTH CHINA INDUSTRIES LTD ...................... 1,511
288,028 ST. GOBAIN S.A .................................. 53,404
337,200 STANDARD-PACIFIC CORP ........................... 6,955
34,000 SUZUNUI INDUSTRY CO LTD ......................... 59
3,276,000 TAISEI CORP ..................................... 7,081
12,814,892 TARMAC PLC ...................................... 22,878
123,000 TOA CORP ........................................ 180
454,400 oTOLL BROTHERS, INC .............................. 13,036
287,500 TOTO LTD ........................................ 1,746
100 oU.S. HOME CORP .................................. 4
679,100 #oUNITED ENGINEERING BERHAD ....................... 277
3,300 oUNIVERSALE-BAU AG ............................... 103
1,100 oWALTER INDUSTRIES, INC .......................... 21
2,584,540 WILLIAMS PLC .................................... 16,602
265,600 WILSON (CONNOLLY) HOLDINGS PLC .................. 607
465,900 WIMPEY (GEORGE) LTD ............................. 906
47,643 WOLSELEY PLC .................................... 280
1,045 YOKOGAWA BRIDGE CORP ............................ 3
1,091,000 YTL CORP BERHAD ................................. 821
-----------
410,696
-----------
GENERAL MERCHANDISE STORES--2.03%
387,500 #50-OFF STORES, INC .............................. 0
2,900 oAMES DEPARTMENT STORES, INC ..................... 76
682,850 oBJS WHOLESALE CLUB, INC ......................... 27,741
1,211,301 BOOTS CO LTD .................................... 20,069
229,500 xoCALDOR CORP ..................................... 103
1,920 oCANON SALES CO, INC ............................. 26
56,427 CARREFOUR SUPERMARCHE S.A ....................... 35,699
943,250 CASEYS GENERAL STORES, INC ...................... 15,623
162,700 oCASINO GUICHARD-PERRACHON S.A ................... 12,992
1,300,434 COLES MYER LTD .................................. 5,074
5,600 oCOLRUYT S.A ..................................... 4,394
1,064 COMPTOIRS MODERNES .............................. 554
432,606 oCONSOLIDATED STORES CORP ........................ 15,682
1,001,335 oCOSTCO COS, INC ................................. 63,147
57,000 DAIEI, INC ...................................... 133
466,000 DAIMARU, INC .................................... 1,222
1,201,600 DAVID JONES LTD ................................. 1,377
2,531,231 DAYTON HUDSON CORP .............................. 122,765
73,650 DELHAIZE FRERES NV .............................. 5,146
1,091,900 DILLARDS, INC (CLASS A) ......................... 45,246
853,507 DOLLAR GENERAL CORP ............................. 33,767
560,575 oDOLLAR TREE STORES, INC ......................... 22,773
32,000 EL PUERTO DE LIVERPOOL S.A.(NON-VOTE) ........... 40
4,000 FAMILY DOLLAR STORES, INC ....................... 74
2,224,849 oFEDERATED DEPARTMENT STORES, INC ................ 119,725
134,953 oFRED MEYER, INC ................................. 5,736
71,900 FREDS, INC ...................................... 1,833
1,602,000 oGIORDANO INTERNATIONAL LTD ...................... 325
310,300 oGOTTSCHALKS, INC ................................ 2,754
1,442,729 GREAT UNIVERSAL STORES PLC ...................... 19,017
650,000 HAGEMEYER NV .................................... 28,119
285,000 HANKYU DEPARTMENT STORES, INC ................... 1,483
8 HARCOURT GENERAL, INC ........................... 0
787,920 HENNES & MAURITZ AB SERIES B .................... 50,289
57,650 oHOMEBASE, INC ................................... 458
67,300 HUDSONS BAY CO .................................. 1,542
28,800 INSTRUMENTARIUM GROUP SERIES B FREE ............. 1,837
659,000 ISETAN CO ....................................... 5,508
1,175,000 ITO-YOKADO CO LTD ............................... 55,282
2,080 JELMOLI HOLDINGS AG. (BR) ....................... 2,640
757,000 JUSCO CO LTD .................................... 13,881
5,138,900 oK MART CORP ..................................... 98,924
3,200 oKARSTADT AG ..................................... 1,556
3,055,177 KINGFISHER PLC .................................. 49,191
675,500 oKOHLS CORP ...................................... 35,042
6,087,931 MARKS & SPENCER PLC ............................. 55,410
1,690,000 MARUI CO LTD .................................... 25,205
2,254,627 MAY DEPARTMENT STORES CO ........................ 147,678
130,000 oMEIKLES AFRICA LTD (ZIMBABWE) ................... 168
298,400 MERCANTILE STORES CO, INC ....................... 23,555
407,970 oMETRO AG ........................................ 24,636
93,552 oMETRO AG. RTS ................................... 4
160,000 oMETRO HOLDINGS LTD .............................. 97
45,000 MITSUKOSHI LTD .................................. 129
1,046,800 MYCAL CORP ...................................... 6,637
360,949 oNEIMAN-MARCUS GROUP, INC ........................ 15,679
730,470 NEXT PLC ........................................ 6,277
11,624 OPSM PROTECTOR LTD .............................. 23
2,140,017 PENNEY (J.C.) CO, INC ........................... 154,750
89,600 PICKN PAY STORES LTD ............................ 110
82,217 oPINAULT-PRINTEMPS-REDOUTE S.A ................... 68,809
570,832 oPROFFITTS, INC .................................. 23,047
33,339 PROMODES S.A .................................... 18,473
1,933,350 RINASCENTE S.P.A ................................ 19,266
3,250 oRINASCENTE S.P.A. WTS 12/31/99 .................. 7
28,800 ROBINSON & CO LTD ............................... 73
884,300 ROSS STORES, INC ................................ 38,025
2,000 oROYAL CO LTD .................................... 27
22,973 oSCHOOL SPECIALTY, INC ........................... 376
1,571,923 SEARS PLC ....................................... 1,397
481,000 SEIYU LTD ....................................... 1,005
164,440 SEVEN-ELEVEN JAPAN CO LTD ....................... 9,786
84,800 SHIMACHU CO ..................................... 1,393
251,800 oSHOPKO STORES, INC .............................. 8,561
28,350 oSTOCKMANN AB OY SERIES A ........................ 847
62,825 STOCKMANN B FREE ................................ 1,466
572,000 TAKASHIMAYA CO LTD .............................. 4,311
623,000 UNY CO LTD ...................................... 10,100
4,867 VALORA HOLDINGS AG. (REGD) ...................... 1,283
10,500 oVALUE CITY DEPARTMENT STORES, INC ............... 221
1,002,000 oVENATOR GROUP, INC .............................. 19,163
173,626 xoVENTURE STORES, INC ............................. 3
10,962,876 WAL-MART STORES, INC ............................ 665,995
1,047,879 WATERFORD WEDGWOOD PLC (UNITS) .................. 1,359
42,000 WOOLTRU LTD ..................................... 54
61,000 WOOLTRU LTD (CLASS N) (NON-VOTE) ................ 79
-----------
2,284,349
-----------
HEALTH SERVICES--0.72%
337,000 oACCESS HEALTH, INC .............................. 8,594
36,600 oADVANCE PARADIGM, INC ........................... 1,345
144,100 oAMERICAN HOMEPATIENT, INC ....................... 2,756
142,900 oAMERICAN ONCOLOGY RESOURCES, INC ................ 1,746
14,300 oAMERICAN RETIREMENT CORP ........................ 254
4,000 oAPPLIED ANALYTICAL INDUSTRIES, INC .............. 58
352,600 oAPRIA HEALTHCARE GROUP, INC ..................... 2,358
738,561 oBEVERLY ENTERPRISES, INC ........................ 10,201
46,300 oCAREMATRIX CORP ................................. 1,247
See notes to financial statements.
-33-
<PAGE>
VALUE
SHARES (000)
------ -----------
HEALTH SERVICES--(CONTINUED)
70,200 oCENTENNIAL HEALTHCARE CORP ...................... $ 1,272
77,000 oCLINTRIALS, INC ................................. 375
159,800 oCOASTAL PHYSICIAN GROUP, INC .................... 130
4,945,299 COLUMBIA/HCA HEALTHCARE CORP .................... 144,032
267,600 oCONCENTRA MANAGED CARE, INC ..................... 6,958
205,212 oCORAM HEALTHCARE CORP ........................... 398
212,595 #oCORAM HEALTHCARE CORP WTS 07/11/99 .............. 0
30,700 oCOVENTRY HEALTH CARE, INC ....................... 457
66,600 oCURATIVE HEALTH SERVICES, INC ................... 1,898
97,782 oENZO BIOCHEMICAL, INC ........................... 1,308
68,163 oEPITOPE, INC .................................... 443
34,800 oEXPRESS SCRIPTS, INC ............................ 2,806
10,000 oEXTENDICARE, INC (CLASS A) ...................... 81
812,106 oFIRST HEALTH GROUP CORP ......................... 23,145
645,400 oGENESIS HEALTH VENTURES, INC .................... 16,135
278,300 oHEALTH CARE & RETIREMENT CORP ................... 10,975
1,954,500 oHEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) ..... 65,354
58,000 oHEALTHCARE RECOVERIES, INC ...................... 1,146
2,384,803 oHEALTHSOUTH CORP ................................ 63,644
714,032 oHUMANA, INC ..................................... 22,269
131,562 oINTEGRATED HEALTH SERVICES, INC ................. 4,934
266,384 LAB HOLDINGS, INC ............................... 6,177
593,660 oLABORATORY CORP OF AMERICA
HOLDINGS ....................................... 1,373
75,098 oLABORATORY CORP OF AMERICA
HOLDINGS WTS 04/28/00 .......................... 3
120,083 oLCA-VISION, INC ................................. 353
294,700 oLINCARE HOLDINGS, INC ........................... 12,396
154,100 oMAGELLAN HEALTH SERVICES, INC ................... 3,910
668,250 MANOR CARE, INC ................................. 25,686
412,300 oMARINER HEALTH GROUP, INC ....................... 6,854
188,500 oMATRIA HEALTHCARE, INC .......................... 660
69,920 oMAXICARE HEALTH PLANS, INC ...................... 472
47,900 oMEDICAL RESOURCES, INC .......................... 147
637,700 oMID ATLANTIC MEDICAL SERVICES, INC .............. 7,334
28,550 oMOLECULAR BIOSYSTEMS, INC ....................... 205
169,200 oNATIONAL SURGERY CENTERS, INC ................... 4,917
1,127,900 oNOVACARE, INC ................................... 13,253
1,201,400 OMNICARE, INC ................................... 45,803
7,000 oORTHODONTIC CENTERS OF AMERICA, INC ............. 147
33,400 oPARACELSUS HEALTHCARE CORP ...................... 104
389,024 oPARAGON HEALTH NETWORK, INC ..................... 6,273
132,100 oPEDIATRIX MEDICAL GROUP, INC .................... 4,912
571,729 oPHARMERICA, INC ................................. 6,896
110,700 oPHP HEALTHCARE CORP ............................. 816
394,246 oPHYCOR, INC ..................................... 6,530
287,600 oPHYSICIAN RELIANCE NETWORK, INC ................. 3,289
76,600 oPHYSICIANS RESOURCE GROUP, INC .................. 349
59,800 oPRIME MEDICAL SERVICES, INC ..................... 561
709,775 oPSS WORLD MEDICAL, INC .......................... 10,380
243,308 oQUEST DIAGNOSTICS, INC .......................... 5,322
955,600 oQUORUM HEALTH GROUP, INC ........................ 25,323
2,600 oRENAL CARE GROUP, INC ........................... 115
226,484 oRESPONSE ONCOLOGY, INC .......................... 1,486
107,550 oSIERRA HEALTH SERVICES, INC ..................... 2,709
10,766 oSUN HEALTHCARE GROUP, INC ....................... 157
3,076,162 oTENET HEALTHCARE CORP ........................... 96,130
9,432 oTOTAL RENAL CARE HOLDINGS, INC .................. 325
1,361,394 UNITED HEALTHCARE CORP .......................... 86,449
350,900 oUNIVERSAL HEALTH SERVICES, INC .................. 20,484
242,388 oVENCOR, INC ..................................... 1,757
-----------
806,376
-----------
HEAVY CONSTRUCTION, EXCEPT
BUILDING--0.11%
176,700 xoATKINSON (G.F.) CO OF CALIFORNIA ................ 9
421,353 oAUTOPISTAS CONCESIONARIA ESPANOLA RTS ........... 319
421,353 AUTOPISTAS CONCESIONARIA ESPANOLA S.A ........... 6,537
10,400 oBILFINGER & BERGER AG ........................... 356
2,639,169 BORAL LTD ....................................... 4,952
10,784 oBOUYGUES S.A .................................... 1,958
70,400 BRISA-AUTO ESTRADAS DE PORTUGAL S.A ............. 3,011
2,249,000 CHICHIBU ONODA CEMENT CORP ...................... 4,067
103,986 DRAGADOS Y CONSTRUCCIONES S.A ................... 3,335
11,100 ENGIL-SGPS ...................................... 126
3,000 FLUOR CORP ...................................... 153
745,100 FOSTER WHEELER CORP ............................. 15,973
42,000 oGOLDEN PLUS HOLDINGS BERHAD ..................... 8
171,500 GRANITE CONSTRUCTION, INC ....................... 5,252
31,552 GROUPE GTM ...................................... 3,277
30,200 HOCHTIEF AG ..................................... 1,449
698,410 oIMPREGILO S.P.A ................................. 617
269,000 JGC CONSTRUCTION CORP ........................... 657
1,081,000 KINDEN CORP ..................................... 13,085
2,771,000 oKUMAGAI GUMI CO LTD ............................. 1,997
466,000 KUMAGAI GUMI CO LTD (HONG KONG) ................. 194
93,200 #oKUMAGAI GUMI CO LTD WTS 12/31/99 ................ 0
190,000 MAEDA ROAD CONSTRUCTION CO LTD .................. 1,017
89,800 oMATRIX SERVICE CO ............................... 651
1,000 MATSUO BRIDGE CO LTD ............................ 2
100 oMORRSION KNUDSEN CORP ........................... 1
2,919,732 PIONEER INTERNATIONAL LTD ....................... 6,962
437,000 SATO KOGYO ...................................... 359
488,217 oSCHNEIDER S.A ................................... 38,930
1,697,000 SHIMIZU CORP .................................... 4,891
570,100 SINGAPORE TECHNOLOGIES
INDUSTRIAL CORP ................................ 422
9,200 oSOCIEDADE DE CONSTRUCOES SOARES DA COS .......... 76
10,900 SOMAGUE-SGPS S.A ................................ 103
2,134 #oSOMAGUE-SGPS S.A. BABY SHS ...................... 20
900 oSTRABAG BAU AG .................................. 78
613,500 oTIME ENGINEERING BERHAD ......................... 84
66,000 oTOMOE ENGINEERING CO LTD ........................ 376
-----------
121,304
-----------
HOLDING AND OTHER INVESTMENT
OFFICES--1.22%
17,750 oAACHENER & MUNCHENER BETEIL (BR) ................ 2,075
97,900 AACHENER & MUNCHENER BETEIL (REGD) .............. 11,444
21,500 ALEXANDER HAAGEN PROPERTIES, INC ................ 324
17,100 ALEXANDRIA REAL ESTATE EQUITIES, INC ............ 512
623,300 AMBAC FINANCIAL GROUP, INC ...................... 36,463
3,400 AMERICAN GENERAL HOSPITALITY CORP ............... 72
183,700 AMERICAN HEALTH PROPERTIES, INC ................. 4,593
124,000 oAMERICAN REAL ESTATE PARTNERS L.P. .............. 1,271
20,000 AMLI RESIDENTIAL PROPERTIES TR .................. 429
20,960 ANGLO AMERICAN INDUSTRIAL CORP .................. 352
67,235 ANGLO AMERICAN PLATINUM CORP LTD ................ 736
20,600 ANGLOVAAL HOLDINGS LTD .......................... 136
63,000 oANGLOVAAL INDUSTRIES LTD ........................ 70
152,953 oAPARTMENT INVESTMENT & MANAGEMENT CO ............ 6,042
413,500 ARDEN REALTY GROUP, INC ......................... 10,699
24,900 ASSOCIATED ESTATES REALTY CORP .................. 465
405,727 AVALON BAY COMMUNITIES, INC ..................... 15,418
64,187 BARLOW LTD ...................................... 341
See notes to financial statements.
-34-
<PAGE>
VALUE
SHARES (000)
------ -----------
HOLDING AND OTHER
INVESTMENT OFFICES--(CONTINUED)
3,999,800 #oBB BIOVENTURES L. P ............................. $ 4,000
34,400 BEDFORD PROPERTY INVESTORS, INC ................. 628
75,000 BERKSHIRE REALTY CO, INC ........................ 877
138,577 BOHLER-UDDEHOLM AG. (BR) ........................ 9,155
266,500 BOSTON PROPERTIES, INC .......................... 9,194
29,900 BOYKIN LODGING CO ............................... 648
157,273 BRADLEY REAL ESTATE, INC ........................ 3,322
222,000 BRE PROPERTIES, INC (CLASS A) ................... 5,786
4,681,523 BRIERLEY INVESTMENTS LTD ........................ 2,333
39,000 BURNHAM PACIFIC PROPERTIES, INC ................. 553
259,541 oBURNS PHILP & CO LTD ............................ 21
8,872 CAMDEN PROPERTY TR .............................. 264
383,056 CAPSTEAD MORTGAGE CORP .......................... 3,208
448,200 CARRAMERICA REALTY CORP ......................... 12,718
3,543,000 +oCASTELLUM AB .................................... 41,761
169,500 CBL & ASSOCIATES PROPERTIES, INC ................ 4,110
252,500 CCA PRISON REALTY TR ............................ 7,733
98,750 CEMEX S.A. (CLASS B) ............................ 434
72,720 CEMEX S.A. DE CV-CPO ............................ 273
92,900 CENTERPOINT PROPERTIES CORP ..................... 3,072
111,100 CHARLES E. SMITH RESIDENTIAL REALTY ............. 3,555
16,100 CHARTER MUNICIPAL MORTGAGE ACCEPTANCE ........... 226
69,400 CHATEAU PROPERTIES, INC ......................... 1,995
41,200 CHELSEA GCA REALTY, INC ......................... 1,648
651,100 oCOAST FEDERAL LITIGATION CONTINGENT RT .......... 9,848
59,900 COLONIAL PROPERTIES TR .......................... 1,857
63,300 COMMERCIAL NET LEASE REALTY, INC ................ 1,025
65,000 COMPASS GROUP PLC ............................... 749
187,400 CORNERSTONE PROPERTIES, INC ..................... 3,303
52,900 COUSINS PROPERTIES, INC ......................... 1,580
530,716 CREDIT SUISSE GROUP (REGD) ...................... 118,089
815,400 CRESCENT REAL ESTATE EQUITIES, INC .............. 27,418
42,410 oCRESECENT OPERATING, INC ........................ 721
1 #CRESTARAN INTERNATIONAL INVESTMENT BV ........... 0
75,715 CRIIMI MAE, INC ................................. 1,051
85,400 CROWN AMERICAN REALTY TR ........................ 827
1,354,800 DBS LAND LTD .................................... 1,123
111,400 DE BEERS CENTENARY AG. (UNITS) .................. 1,971
788,436 DELTA CORP ...................................... 517
162,800 DEVELOPERS DIVERSIFIED REALTY CORP .............. 6,380
10,000 DIAMOND LEASE CO LTD ............................ 64
95,900 DOUGLAS HOLDINGS AG ............................. 5,106
395,402 DUKE REALTY INVESTMENTS, INC .................... 9,341
107,621 DYNEX CAPITAL, INC .............................. 1,197
7,200 EA-GENERALI AG .................................. 2,115
48,800 EASTGROUP PROPERTIES, INC ....................... 979
122,000 EQUITY INNS, INC ................................ 1,609
1,110,090 EQUITY OFFICE PROPERTIES TR ..................... 31,499
272,412 EQUITY RESIDENTIAL PROPERTIES TR CO ............. 12,923
2,400 ESSEX PROPERTY TR, INC .......................... 74
10,477 oEURAFRANCE S.A .................................. 6,585
930,433 EVEREST REINSURANCE HOLDINGS, INC ............... 35,764
94,600 EXCEL REALTY TR, INC ............................ 2,726
94,300 FEDERAL REALTY INVESTMENT TR .................... 2,269
575,600 FELCOR SUITE HOTELS, INC ........................ 18,059
3,620 oFIRST HUNGARY FUND LTD (CLASS A) ................ 6,328
361,600 FIRST INDUSTRIAL REALTY TR, INC ................. 11,503
1,598,400 FIRST NIS REGIONAL FUND (FULLY PD) .............. 14,985
49,778 oFIRST RUSSIAN FRONTIER SERIES A
WTS 06/30/01 ................................... 210
248,893 oFIRST RUSSIAN FRONTIERS PLC ORD ................. 2,637
3,100 oFIRST UNION REAL ESTATE INVESTMENTS ............. 29
2,980 FORBO HOLDINGS AG. (REGD) ....................... 1,517
1,050 FUJI DENKI REIKI CO LTD ......................... 4
143,000 GENERAL GROWTH PROPERTIES, INC .................. 5,345
1,123,891 GENERAL PROPERTY TR ............................. 1,817
385,338 GETTY REALTY CORP ............................... 7,466
118,300 GLENBOROUGH REALTY TR, INC ...................... 3,120
132,100 GLIMCHER REALTY TR .............................. 2,568
34,200 GREAT LAKES REIT, INC ........................... 596
1,638,851 HANSON PLC ...................................... 9,960
759,600 HEALTH & RETIREMENT PROPERTY TR ................. 14,290
108,500 HEALTH CARE PROPERTY INVESTORS, INC ............. 3,913
107,695 HEALTH CARE REIT, INC ........................... 2,746
85,500 HEALTHCARE REALTY TR, INC ....................... 2,330
660,900 HIGHWOODS PROPERTIES, INC ....................... 21,355
2,600 HOME PROPERTIES OF N.Y., INC .................... 69
4,218 oHORIZON GROUP PROPERTIES, INC ................... 28
227,000 HOSPITALITY PROPERTIES TR ....................... 7,292
4,906,400 HUTCHINSON WHAMPOA LTD .......................... 25,898
17,300 IMPAC MORTGAGE HOLDINGS, INC .................... 269
220,000 INCHAPE MOTORS .................................. 151
801,740 INDYMAC MORTGAGE HOLDINGS, INC .................. 18,240
206,500 INNKEEPERS USA TR ............................... 2,607
243,400 oINTERDIGITAL COMMUNICATIONS CORP ................ 1,308
134,000 IRT PROPERTY CO ................................. 1,474
55,400 IRVINE APARTMENT COMMUNITIES, INC ............... 1,603
16,800 JDN REALTY CORP ................................. 536
101,600 JP REALTY, INC .................................. 2,394
2,667,055 KAO CORP ........................................ 41,123
355,248 oKBC BANCASSURANCE HOLDINGS NV ................... 31,791
128,400 KESCO OYJ ....................................... 2,024
41,200 KILROY REALTY CORP .............................. 1,030
375,050 KIMCO REALTY CORP ............................... 15,377
7,300 KOGER EQUITY, INC ............................... 147
801,015 LAND SECURITIES PLC ............................. 12,383
763,169 LEND LEASE CORP LTD ............................. 15,431
255,300 LIBERTY PROPERTY TR CO .......................... 6,526
31,500 oLION LAND BERHAD ................................ 3
84,700 LTC PROPERTIES, INC ............................. 1,578
68,100 MACERICH CO (THE) ............................... 1,996
384,400 MACK-CALI REALTY CORP ........................... 13,214
139,000 MALAYSIAN MOSAICS BERHAD ........................ 29
96,800 MANUFACTURED HOME COMMUNITIES, INC .............. 2,335
638,444 MEDITRUST CORP PAIRED ........................... 17,837
8,927 MELCO INTERNATIONAL
DEVELOPMENT LTD ................................ 1
181,220 MEPC PLC ........................................ 1,593
97,900 MERIDIAN INDUSTRIAL TR, INC ..................... 2,252
400,572 MERRY LAND & INVESTMENT CO, INC ................. 8,437
50,800 MGI PROPERTIES, INC ............................. 1,330
15,600 MID-AMERICA APARTMENT
COMMUNITIES, INC ............................... 410
2,922 MILLS CORP ...................................... 70
2,124,000 MITSUBISHI ESTATE CO LTD ........................ 18,670
200,270 oMUENCHENER RUECKVER AG. (REGD) .................. 99,414
1,217,700 oMULTI-PURPOSE HOLDINGS BERHAD ................... 302
116,418 MURRAY & ROBERTS HOLDINGS LTD ................... 121
151,000 NAMPAK LTD ...................................... 359
140,000 NATIONAL GOLF PROPERTIES, INC ................... 4,209
72,700 NATIONAL HEALTH INVESTORS, INC .................. 2,408
194,100 NATIONWIDE HEALTH PROPERTIES, INC ............... 4,634
76,979 NEDCOR LTD ...................................... 1,660
529,085 NEW PLAN REALTY TR .............................. 12,963
80,400 NICHIEI CO LTD (KYOTO) .......................... 5,468
64,800 OMEGA HEALTHCARE INVESTORS, INC ................. 2,276
426,000 ORIENT CORP ..................................... 930
See notes to financial statements.
-35-
<PAGE>
VALUE
SHARES (000)
------ -----------
HOLDING AND OTHER
INVESTMENT OFFICES--(CONTINUED)
262,240 oORIENTAL HOLDINGS ............................... $ 436
30,100 PACIFIC GULF PROPERTIES, INC .................... 651
39,800 PAN PACIFIC RETAIL PROPERTIES, INC .............. 771
52,300 PARKWAY PROPERTIES, INC ......................... 1,543
525,725 PATRIOT AMERICAN HOSPITALITY, INC ............... 12,585
30,700 oPEC ISRAEL ECONOMIC CORP ........................ 733
3,000 PENNSYLVANIA REAL ESTATE
INVESTMENT TR .................................. 67
74,900 PEPKOR LTD ...................................... 279
520,324 NOBLEZA-PICCARDO SDAD INDUSTRIAL
COMERCIAL Y FINANCIERA ......................... 2,612
138,904 PERNOD-RICARD S.A ............................... 9,626
106,740 POST PROPERTIES, INC ............................ 4,109
195,700 POWER CORP OF CANADA ............................ 9,182
299,000 PRENTISS PROPERTIES TR .......................... 7,269
96,000 PRESTIGE PROPERTY HOLDINGS LTD .................. 5
4,575 oPRICESMART, INC ................................. 73
71,194 oPRIME RETAIL, INC ............................... 850
426,220 PROVIDENT FINANCIAL PLC ......................... 6,685
850,300 PUBLIC STORAGE, INC ............................. 23,808
102,300 REALTY INCOME CORP .............................. 2,698
167,700 RECKSON ASSOCIATES REALTY CORP .................. 3,962
13,416 oRECKSON SERVICES INDUSTRIES, INC ................ 44
215,500 REDWOOD TR, INC ................................. 3,785
76,600 REGENCY REALTY CORP ............................. 1,925
156,700 REMBRANDT GROUP LTD ............................. 984
375,800 RFS HOTEL INVESTORS, INC ........................ 7,140
22,719 ROYALE BELGE VIE ACCIDENTS ...................... 8,639
167,500 SAFMARINE & RENNIES HOLDINGS LTD ................ 128
1,603,196 SANKYO CO LTD ................................... 36,501
39,400 oSAUL CENTERS, INC ............................... 682
163,225 SECURITY CAPITAL ATLANTIC, INC .................. 3,642
124,700 SECURITY CAPITAL INDUSTRIAL TR .................. 3,118
455,028 SECURITY CAPITAL PACIFIC TR ..................... 10,238
105,300 SHURGARD STORAGE CENTERS, INC ................... 2,922
11,744 SIMCO (REGD) .................................... 963
812,860 SIMON DEBARTOLO GROUP, INC ...................... 26,418
4,282,012 SINO LAND CO .................................... 1,492
54,600 SOVRAN SELF STORAGE, INC ........................ 1,542
306,100 SPIEKER PROPERTIES, INC ......................... 11,861
593,732 ST. JAMES PLACE CAPITAL PLC ..................... 3,225
1,273,237 STARWOOD HOTELS & RESORTS TR .................... 61,513
330,195 oSTELUX HOLDINGS INTERNATIONAL LTD ............... 12
1,855,542 STOCKLAND TR GROUP (UNITS) ...................... 4,240
26,500 STORAGE TR REALTY ............................... 619
198,200 STORAGE U.S.A., INC ............................. 6,937
48,100 SUMMIT PROPERTIES, INC .......................... 911
63,600 SUN COMMUNITIES, INC ............................ 2,107
3,900 SUNSTONE HOTEL INVESTORS, INC ................... 52
2,000 TANGER FACTORY OUTLET CENTERS, INC .............. 63
509,800 TAUBMAN CENTERS, INC ............................ 7,265
1,505,441 oTELEFONICA DE ARGENTINA S.A. (CLASS B) .......... 4,878
7,637 THORNBURG MORTGAGE ASSET CORP ................... 93
49,900 TOHO CO LTD ..................................... 5,249
25,025 TONGAAT HULETT GROUP LTD ........................ 188
27,600 TOWN & COUNTRY TR ............................... 457
83,400 TRINET CORPORATE REALTY TR, INC ................. 2,836
38,800 U.S. RESTAURANT PROPERTIES, INC ................. 1,050
1,015,947 UNITED DOMINION REALTY TR, INC .................. 14,096
37,300 UNIVERSAL HEALTH REALTY INCOME TR ............... 746
58,200 URBAN SHOPPING CENTERS, INC ..................... 1,833
21,188 oVENTAS, INC ..................................... 293
109,300 VORNADO REALTY TR ............................... 4,338
110,100 WALDEN RESIDENTIAL PROPERTIES, INC .............. 2,697
85,800 WASHINGTON REAL ESTATE INVESTMENT TR ............ 1,491
53,900 WEEKS CORP ...................................... 1,705
2,225 oWELLSFORD REAL PROPERTIES, INC .................. 31
55,300 oWESTERN INVESTMENT REAL ESTATE TR ............... 757
60,700 WESTFIELD AMERICA, INC .......................... 1,115
7,600 WINSTON HOTELS, INC ............................. 95
92,993 WOLTERS KLUWER NV ............................... 12,764
-----------
1,374,268
-----------
HOTELS AND OTHER LODGING
PLACES--0.29%
295,600 oAVATEX CORP ..................................... 610
225,500 oAZTAR CORP ...................................... 1,536
611,000 BERJAYA LAND BERHAD ............................. 336
111,500 oBRISTOL HOTEL CO ................................ 2,732
208,500 oCAPSTAR HOTEL CO ................................ 5,838
51,250 oCASINO AMERICA, INC ............................. 179
5,005,771 oCENDANT CORP .................................... 104,495
551,850 oCHOICE HOTELS INTERNATIONAL, INC ................ 7,484
9,384 oCIRCUS CIRCUS ENTERPRISES, INC .................. 159
154,151 oCROWN LTD ....................................... 46
504,400 oEXTENDED STAY AMERICA, INC ...................... 5,675
70,000 oFABER GROUP BERHAD .............................. 8
6,500 GENTING BERHAD .................................. 12
19,100 oGENTING INTERNATIONAL PLC ....................... 2
2,000 HARBOUR CENTRE DEVELOPMENT LTD .................. 1
172,500 HILTON HOTELS CORP .............................. 4,916
36,953 oHOMESTEAD VILLAGE, INC .......................... 439
1,281,283 HONG KONG & SHANGHAI HOTELS LTD ................. 641
26,083 oHONG KONG & SHANGHAI HOTELS LTD
WTS 12/10/98 ................................... 0
1,689,600 oHOST MARRIOTT CORP .............................. 30,096
147,080 oHOST MARRIOTT SERVICES CORP ..................... 2,142
13,000 oJURYS HOTEL GROUP PLC ........................... 109
41,000 oJURYS HOTEL GROUP PLC (U.K.) .................... 352
17,989 oKERSAF INVESTMENT LTD ........................... 82
1,059,450 LA QUINTA INNS, INC ............................. 22,381
440,000 oLANDMARKS HOLDINGS BERHAD ....................... 55
44,500 MARCUS CORP ..................................... 795
644,700 MARRIOTT INTERNATIONAL (CLASS A) ................ 20,872
361,900 oMGM GRAND, INC .................................. 11,422
1,285,000 oMIRAMAR HOTEL & INVESTMENT CO LTD ............... 1,128
130,700 oPRIMADONNA RESORTS, INC ......................... 1,875
839,100 oPRIME HOSPITALITY CORP .......................... 14,632
1,175,468 oPROMUS HOTEL CORP ............................... 45,256
1,703,612 RANK GROUP PLC .................................. 9,352
94,700 oRED ROOF INNS, INC .............................. 1,604
6,646,000 REGAL HOTELS INTERNATIONAL LTD .................. 798
968,100 RESORTS WORLD BERHAD ............................ 1,064
341,600 oRIO HOTEL & CASINO, INC ......................... 6,448
115,600 oSERVICO, INC .................................... 1,734
2,703 SHANGRI-LA HOTELS BERHAD ........................ 1
279,000 oSIGNATURE RESORTS, INC .......................... 4,604
67,500 oSODEXHO MARRIOTT SERVICES, INC .................. 1,958
18,000 oSTATION CASINOS, INC ............................ 264
16,200 oSUBURBAN LODGES OF AMERICA, INC ................. 245
526,000 SUN INTERNATIONAL SOUTH AFRICA .................. 178
193,683 oSUNBURST HOSPITALITY CORP ....................... 1,344
52,800 oTRADEWEST RESORTS, INC .......................... 670
394,900 oTRUMP HOTEL & CASINO RESORT, INC ................ 2,789
64,000 oVAIL RESORTS, INC ............................... 1,704
3,500 oVISTANA, INC .................................... 64
1,654,666 ZIMBABWE SUN LTD ................................ 257
-----------
321,384
-----------
See notes to financial statements.
-36-
<PAGE>
VALUE
SHARES (000)
------ -----------
INDUSTRIAL MACHINERY AND
EQUIPMENT--5.50%
3,187,949 o3COM CORP ....................................... $ 97,830
4,391 ABB AG. (REGD) .................................. 1,332
68,776 ABB ASEA BROWN BOVERI LTD (BR) .................. 101,568
2,570,900 oADAPTEC, INC .................................... 36,796
1,300 oAG-CHEM EQUIPMENT CO, INC ....................... 29
16,700 AGCO CORP ....................................... 343
6,700 oALAMO GROUP, INC ................................ 127
22,400 ALLIED PRODUCTS CORP ............................ 475
71,000 oAPEX PC SOLUTIONS, INC .......................... 1,979
1,007,100 oAPPLE COMPUTER, INC ............................. 28,891
3,608,700 oAPPLIED MATERIALS, INC .......................... 106,457
62,500 oAPPLIED POWER, INC (CLASS A) .................... 2,148
1,000 oASICS CORP ...................................... 1
45,000 oASK ASA ......................................... 349
158,700 oASYST TECHNOLOGIES, INC ......................... 2,004
284,010 ATLAS COPCO AB SERIES A FREE .................... 7,746
180,270 ATLAS COPCO AB SERIES B FREE .................... 4,916
2,000 oATMI, INC ....................................... 30
90,300 oAUSPEX SYSTEMS, INC ............................. 491
1,341,072 AUSTRALIAN NATIONAL INDUSTRIES LTD .............. 772
432,574 oAUTOTOTE CORP (CLASS A) ......................... 1,244
264,450 BAKER HUGHES, INC ............................... 9,140
4,000 oBANCTEC, INC .................................... 93
453,138 oBAY NETWORKS, INC ............................... 14,614
3,096,168 oBBA GROUP PLC ................................... 23,350
4,842 BEKAERT S.A ..................................... 4,021
1,100 oBELL & HOWELL CO ................................ 28
1,200 BEWCKISER WASSER TECHNIK AG ..................... 255
28,100 BLACK & DECKER CORP ............................. 1,714
156,600 oBLACK BOX CORP .................................. 5,197
12,000 BOMBARDIER, INC (CLASS A) ....................... 326
658,852 BOMBARDIER, INC (CLASS B) ....................... 17,921
48,400 oBROWN & SHARPE MANUFACTURING CO (CLASS A) ....... 581
1,370,300 BRUNSWICK CORP .................................. 33,915
602,600 oC-CUBE MICROSYSTEMS, INC ........................ 11,186
15,400 oCABLETRON SYSTEMS, INC .......................... 207
900 CAMCO INTERNATIONAL, INC ........................ 70
22,700 oCASCADE CORP .................................... 414
423,000 CASE CORP ....................................... 20,410
3,334,700 CATERPILLAR, INC ................................ 176,322
103,600 CHART INDUSTRIES, INC ........................... 2,473
752,000 oCHIYODA CORP .................................... 921
645,000 CINCINNATI MILACRON, INC ........................ 15,682
169,100 oCIRRUS LOGIC, INC ............................... 1,881
9,798,725 oCISCO SYSTEMS, INC .............................. 902,095
265,200 COBHAM GROUP PLC ................................ 4,646
3,000 oCOINMACH LAUNDRY CORP ........................... 71
2,476,200 oCOLTEC INDUSTRIES, INC .......................... 49,214
7,000 COLUMBUS MCKINNON CORP .......................... 182
12,065,469 COMPAQ COMPUTER CORP ............................ 342,358
295,580 CONTINENTAL AG .................................. 9,285
335,496 oCOOPER CAMERON CORP ............................. 17,110
361,000 oCOPYTELE, INC ................................... 812
504,600 xoCRAY COMPUTER CORP .............................. 1
493,400 CUMMINS ENGINE CO, INC .......................... 25,287
127,850 oCUNO, INC ....................................... 2,765
86,000 DAIFUKU CO LTD .................................. 320
422,000 DAIKIN INDUSTRIES LTD ........................... 2,718
470,000 DAIWA INDUSTRIES LTD ............................ 1,879
69,400 oDANIELI & CO .................................... 584
13,900 oDATA GENERAL CORP ............................... 208
2,067,473 DEERE & CO ...................................... 109,318
4,510,866 oDELL COMPUTER CORP .............................. 418,665
109,374 DELTA PLC ....................................... 399
84,000 oDETROIT DIESEL CORP ............................. 1,811
58,650 oDEUTZ AG ........................................ 694
160,200 oDIALOGIC CORP ................................... 4,766
609,600 oDIAMOND MULTIMEDIA SYSTEMS, INC ................. 4,172
252,462 DIEBOLD, INC .................................... 7,290
82,400 oDIGI INTERNATIONAL, INC ......................... 1,669
325,700 DONALDSON CO, INC ............................... 7,695
664,615 DOVER CORP ...................................... 22,763
557,620 oDRESSER INDUSTRIES, INC ......................... 24,570
30,200 DT INDUSTRIES, INC .............................. 732
77,531 oDUPONT PHOTOMASKS, INC .......................... 2,675
354,338 EASTERN ENTERPRISES CO .......................... 15,192
944,634 EATON CORP ...................................... 73,445
372,000 EBARA CORP ...................................... 3,307
176,800 oELECTROGLAS, INC ................................ 2,309
4,321,300 oEMC CORP ........................................ 193,648
13,300 oEMULEX CORP ..................................... 79
45,100 oENCAD, INC ...................................... 614
83,794 oESCO ELECTRONICS CORP (TR RECEIPTS) ............. 1,592
20,400 oEST ASIATIQUE ................................... 150
394,000 oETEC SYSTEMS, INC ............................... 13,864
136,200 oEVANS & SUTHERLAND COMPUTER CORP ................ 3,431
155,200 oEXABYTE CORP .................................... 1,295
551,220 FANUC LTD ....................................... 19,063
390,200 FEDDERS CORP .................................... 2,609
153,550 FEDDERS CORP (CLASS A) .......................... 979
1,828 FISCHER (GEORGE) LTD (REGD) ..................... 711
718,272 FLOWSERVE CORP .................................. 17,687
51,700 FLS INDUSTRIES AS (CLASS B) ..................... 1,316
96,200 oFSI INTERNATIONAL, INC .......................... 932
2,000 FUJI TEC CO LTD ................................. 12
4,671,000 FUJITSU LTD ..................................... 49,136
114,300 oGARDNER DENVER, INC ............................. 3,158
944,200 oGATEWAY 2000, INC ............................... 47,800
2,500 oGENERAL BINDING CORP ............................ 92
2,599,574 +GENERAL SIGNAL CORP ............................. 93,585
355,275 oGERBER SCIENTIFIC, INC .......................... 8,083
500,000 GILDEMEISTER S.P.A .............................. 2,191
921,206 GKN PLC ......................................... 11,735
78,100 GLEASON CORP .................................... 2,197
313,920 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC ............. 4,513
333,606 GRACO, INC ...................................... 11,635
47,562 oGRADCO SYSTEMS, INC ............................. 321
133,100 oHANOVER COMPRESSOR CO ........................... 3,602
3,018,000 HARBIN POWER EQUIPMENT CO LTD SERIES H .......... 273
119,900 HARNISCHFEGER INDUSTRIES, INC ................... 3,395
6,638,508 HEWLETT-PACKARD CO .............................. 397,481
796,000 HITACHI ZOSEN CORP .............................. 1,285
702,773 HUSSMANN INTERNATIONAL, INC ..................... 13,045
111,200 IDEX CORP ....................................... 3,836
391,210 oIMATION CORP .................................... 6,479
237,500 oIN FOCUS SYSTEMS, INC ........................... 1,677
4,543 oINDUSTRIE-WERKE KARLSRUHE
AUGSBURG AG .................................... 1,065
1,819,500 INGERSOLL-RAND CO ............................... 80,172
139,700 oINTEGRATED PROCESS EQUIPMENT CORP ............... 1,572
1,265 oINTERGRAPH CORP ................................. 11
10,631,300 INTERNATIONAL BUSINESS MACHINES CORP ............ 1,220,606
12,000 oINTEVAC, INC .................................... 129
135,800 oIOMEGA CORP ..................................... 798
1,100 oIONICS, INC ..................................... 41
366,000 oJAPAN STEEL WORKS LTD ........................... 451
161,100 JLG INDUSTRIES, INC ............................. 3,262
See notes to financial statements.
-37-
<PAGE>
VALUE
SHARES (000)
------ -----------
INDUSTRIAL MACHINERY AND
EQUIPMENT--(CONTINUED)
96,100 oJTS CORP ........................................ $ 6
422,300 KAYDON CORP ..................................... 14,912
80,000 oKCI KONESCRANES INTERNATIONAL ................... 4,054
520,773 KENNAMETAL, INC ................................. 21,742
625,900 KEPPEL CORP ..................................... 941
30 KEYENCE CORP .................................... 3
4,300 oKOMAG, INC ...................................... 23
2,345,000 KOMATSU LTD ..................................... 11,388
8,400 KONE CORP SERIES B .............................. 1,179
11,100 KORN-OG FODERSTOF KOMPAGNIET AS ................. 262
632,000 KOYO SEIKO CO LTD ............................... 2,359
1,788,000 KUBOTA CORP ..................................... 4,122
68,400 oKULICHE & SOFFA INDUSTRIES, INC ................. 1,163
21,000 KURITA WATER INDUSTRIES LTD ..................... 248
41,335 KVAERNER INDUSTRIER AS SERIES A ................. 1,401
405,800 KYOCERA CORP .................................... 19,823
2,659 oLAM RESEARCH CORP ............................... 51
1,073,700 oLEXMARK INTERNATIONAL GROUP (CLASS A) ........... 65,496
54,800 oLINCOLN ELECTRIC HOLDINGS CO .................... 1,212
14,693 LINDE AG ........................................ 10,094
44,050 LINDSAY MANUFACTURING CO ........................ 1,195
609,788 oLITTON INDUSTRIES, INC .......................... 35,977
326,000 MAKINO MILLING MACHINE CO LTD ................... 2,295
124,000 MAKITA CORP ..................................... 1,429
975 MANITOWOC, INC .................................. 39
200 MCDERMOTT INTERNATIONAL, INC .................... 7
2,400 oMICRON ELECTRONICS, INC ......................... 29
111,200 oMICROS SYSTEMS, INC ............................. 3,680
64,900 oMICROTOUCH SYSTEMS, INC ......................... 1,205
2,015,000 MINEBEA CO LTD .................................. 20,049
6,345,000 MITSUBISHI HEAVY INDUSTRIES LTD ................. 23,955
601,300 oMOHAWK INDUSTRIES, INC .......................... 19,054
200,800 xoMOLTEN METAL TECHNOLOGY, INC .................... 24
341,000 MORI SEIKI CO LTD ............................... 4,174
120,100 oMTI TECHNOLOGY CORP ............................. 1,100
86,900 oNASHUA CORP ..................................... 1,358
1,650 oNATIONAL INSTRUMENTS CORP ....................... 59
694,637 oNCR CORP ........................................ 22,576
278,000 oNETWORK COMPUTING DEVICES, INC .................. 2,259
2,500 oNETWORK EQUIPMENT TECHNOLOGIES, INC ............. 39
302,000 NIDEC CORP ...................................... 20,628
356,000 oNIIGATA ENGINEERING CO LTD ...................... 239
5,000 NIKKO CO LTD .................................... 12
81,000 NIPPON SHARYO LTD ............................... 191
141,572 NORDSON CORP .................................... 6,654
1,800 oNORTEK, INC ..................................... 55
614,534 oNOVELLUS SYSTEMS, INC ........................... 21,931
1,515,000 NSK LTD ......................................... 6,167
446,000 NTN TOYO BEARING CO LTD ......................... 1,401
56,700 oOAKLEY, INC ..................................... 758
73,000 OKUMA CORP ...................................... 332
204,400 OMNIQUIP INTERNATIONAL, INC ..................... 3,781
6,026 PALL CORP ....................................... 124
2,925 oPAXAR CORP ...................................... 34
441,700 PENTAIR, INC .................................... 18,772
328,200 oPHOTRONICS, INC ................................. 7,241
2,704,092 PITNEY BOWES, INC ............................... 130,134
2,000 oPOKPHAND (C.P.) CO LTD .......................... 0
154,500 oPRESSTEK, INC ................................... 1,728
1,800 oPRI AUTOMATION, INC ............................. 31
77,600 oPROXIM, INC ..................................... 1,290
24,600 oQUANTUM CORP .................................... 510
4,623 oRATIONAL SOFTWARE CORP .......................... 71
3,133 RAUMA OY ........................................ 64
32,400 ROBBINS & MYERS, INC ............................ 942
348,800 ROPER INDUSTRIES, INC ........................... 9,112
115,000 oSAFEGUARD SCIENTIFICS, INC ...................... 4,794
159,000 SANDEN CORP ..................................... 1,076
233,000 SANDVIK AB SERIES A ............................. 6,442
73,000 SANDVIK AB SERIES B FREE ........................ 2,005
100,000 SANSO ELECTRIC CO LTD ........................... 378
5,000 oSAURER AG. (REGD) ............................... 5,109
4,058 SCHINDLER HOLDINGS LTD (PT CERT) ................ 6,180
3,480 SCHINDLER HOLDINGS LTD (REGD) ................... 5,392
36,539 SCOTSMAN INDUSTRIES, INC ........................ 1,014
322,636 oSEAGATE TECHNOLOGY, INC ......................... 7,683
18,500 oSECURITY DYNAMICS TECHNOLOGIES, INC ............. 342
87,000 SEMBAWANG CORP .................................. 102
249,600 oSEQUENT COMPUTER SYSTEMS, INC ................... 3,011
201,400 oSHIVA CORP ...................................... 1,687
211,607 SIDEL S.A ....................................... 15,400
704 oSILICON GRAPHICS, INC ........................... 9
27,300 oSILICON VALLEY GROUP, INC ....................... 439
116,350 oSLI, INC ........................................ 3,040
14,775 oSMITH CORONA WTS 02/28/99 ....................... 6
400 oSMITH INTERNATIONAL, INC ........................ 14
7,100 oSPECIALTY EQUIPMENT COS, INC .................... 161
216,900 oSPLASH TECHNOLOGY HOLDINGS, INC ................. 3,728
51 oSPS TECHNOLOGIES, INC ........................... 3
74,800 oSTANDARD MICROSYSTEMS CORP ...................... 659
69,200 STARRETT (L.S.) CO (CLASS A) .................... 2,733
34,000 STARRETT (L.S.) CO (CLASS B) .................... 1,343
432,400 STEWART & STEVENSON SERVICES, INC ............... 7,783
1,648,246 oSTORAGE TECHNOLOGY CORP ......................... 71,493
40,211 STORK NV ........................................ 1,281
1,250 oSTRATUS COMPUTER, INC ........................... 32
6,275 SULZER WINTERTHUR AG. (REGD) .................... 4,952
927,000 SUMITOMO HEAVY INDUSTRIES LTD ................... 2,117
3,582,700 oSUN MICROSYSTEMS, INC ........................... 155,624
20,000 SVENSKA KULLAGERFABRIKEN AB SERIES A FREE ....... 355
114,900 SVENSKA KULLAGERFABRIKEN AB SERIES B ............ 2,089
241,100 SYMBOL TECHNOLOGIES, INC ........................ 9,102
80,000 oSYNNEX TECHNOLOGY INTERNATIONAL GDR ............. 1,368
313,000 TAIYO YUDEN CO LTD .............................. 3,329
77,000 TAKUMA CO LTD ................................... 554
896,000 oTECHNOLOGY RESOURCES INDUSTRIES BERHAD .......... 616
167,500 TECUMSEH PRODUCTS CO (CLASS A) .................. 8,846
31,300 TECUMSEH PRODUCTS CO (CLASS B) .................. 1,792
216,500 TENNANT CO ...................................... 9,580
1,100 oTEREX CORP ...................................... 31
40,600 oTHREE-FIVE SYSTEMS, INC ......................... 708
1,450,612 TI GROUP PLC .................................... 11,013
910,820 TIMKEN CO ....................................... 28,065
270,250 TOMRA SYSTEMS AS ................................ 8,100
221,550 TORO CO ......................................... 7,588
106,000 TOYO EXTERIOR CORP .............................. 1,054
61,000 TOYO KANETSU K.K ................................ 64
599,900 TOYODA AUTOMATIC LOOM WORKS LTD ................. 10,590
146,580 TRELLEBORG AB SERIES B FREE ..................... 1,930
242,500 oTRICORD SYSTEMS, INC ............................ 273
297,600 oTSENG LABORATORIES, INC ......................... 800
127,000 TSUBAKIMOTO CHAIN CO ............................ 425
32,000 oTSUGAMI CORP .................................... 40
4,533 oU.S. FILTER CORP ................................ 127
18,156 oULTRATECH STEPPER, INC .......................... 359
See notes to financial statements.
-38-
<PAGE>
VALUE
SHARES (000)
------ -----------
INDUSTRIAL MACHINERY AND
EQUIPMENT--(CONTINUED)
417,000 oUMW HOLDINGS BERHAD ............................. $ 187
4,511,600 oUNISYS CORP ..................................... 127,453
88,988 oUNOVA, INC ...................................... 1,913
14,100 VA TECHNOLOGIE AG. (BR) ......................... 1,754
183,800 VALMET OY SERIES A .............................. 3,169
206,000 oVAN DER HORST LTD ............................... 37
639,200 oVARCO INTERNATIONAL, INC ........................ 12,664
3,893 oWESTAIM CORP .................................... 24
21,600 oWESTERN DIGITAL CORP ............................ 255
7,200 oXIRCOM, INC ..................................... 112
222,300 oXYLAN CORP ...................................... 6,627
550 YOKOHAMA RUBBER CO LTD .......................... 1
691,600 YORK INTERNATIONAL CORP ......................... 30,128
105,425 ZARDOYA OTIS S.A ................................ 3,140
118,200 oZEBRA TECHNOLOGY CORP ........................... 5,053
-----------
6,179,395
-----------
INSTRUMENTS AND RELATED
PRODUCTS--2.18%
236,100 oACUSON CORP ..................................... 4,294
257,475 oADAC LABORATORIES, INC .......................... 5,793
21,862 ADCOCK INGRAM LTD (CLASS N) ..................... 74
2,000 oADE CORP ........................................ 29
2,600 oADVANCED ENERGY INDUSTRIES, INC ................. 30
823,780 oAFFYMETRIX, INC ................................. 19,822
72,200 oALARIS MEDICAL, INC ............................. 501
166,600 ANALOGIC CORP ................................... 7,455
237,094 ARROW INTERNATIONAL, INC ........................ 6,505
1,167,100 oARTERIAL VASCULAR ENGINEERING, INC .............. 41,724
267,565 oATL ULTRASOUND, INC ............................. 12,208
122,800 oAXYS PHARMACEUTICALS, INC ....................... 875
4,000 oBACOU U.S.A., INC ............................... 83
257,933 BALLARD MEDICAL PRODUCTS CO ..................... 4,643
1,020,747 BARD (C.R.), INC ................................ 38,852
922,100 BAUSCH & LOMB, INC .............................. 46,220
1,525,698 BAXTER INTERNATIONAL, INC ....................... 82,102
97,100 oBAXTER INTERNATIONAL, INC RTS ................... 20
16,887 BECKMAN COULTER, INC ............................ 984
569,212 BECTON DICKINSON & CO ........................... 44,185
140,650 oBIO-RAD LABORATORIES, INC (CLASS A) ............. 4,307
1,177,700 oBIOMET, INC ..................................... 38,938
137,008 BLOCK DRUG, INC (CLASS A) ....................... 5,206
53,624 oBOLLE, INC ...................................... 295
573,400 oBOSTON SCIENTIFIC CORP .......................... 41,070
1,500,000 CANON, INC ...................................... 34,044
8,200 oCELLPRO, INC .................................... 25
203,900 oCIRCON CORP ..................................... 3,160
12,400 oCLOSURE MEDICAL CORP ............................ 308
29,600 oCNS, INC ........................................ 138
175,780 oCOHERENT, INC ................................... 3,016
57,300 COHU, INC ....................................... 1,393
17,600 oCOLE NATIONAL CORP (CLASS A) .................... 704
73,500 oCONMED CORP ..................................... 1,691
227,500 oCOOPER COS, INC ................................. 8,290
310,100 oCREDENCE SYSTEMS CORP ........................... 5,892
123,300 CUBIC CORP ...................................... 2,944
97,100 oCYBERONICS, INC ................................. 1,032
3,900 oCYTEC CORP ...................................... 64
130,319 DANIEL INDUSTRIES, INC .......................... 2,476
243,700 oDATASCOPE CORP .................................. 6,473
682,200 DENTSPLY INTERNATIONAL, INC ..................... 17,055
74,600 oDEPUY, INC ...................................... 2,107
149,000 DIAGNOSTIC PRODUCTS CORP ........................ 4,293
270,200 oDIONEX CORP ..................................... 7,127
139,250 oDYNATECH CORP ................................... 435
176,700 oE-Z-EM, INC (CLASS A) ........................... 1,126
231,467 oE-Z-EM, INC (CLASS B) ........................... 1,418
2,912,383 EASTMAN KODAK CO ................................ 212,786
1,800 EG & G, INC ..................................... 54
2,408 FLUKE CORP ...................................... 79
5,750 oFOSSIL, INC ..................................... 143
303,037 FRESENIUS MEDICAL CARE AG. ADR .................. 6,250
1,275,500 FUJI PHOTO FILM CO LTD .......................... 44,388
69,000 FUKUDA DENSHI CO ................................ 800
363,900 oGENRAD, INC ..................................... 7,187
1,003,926 GUIDANT CORP .................................... 71,592
168,800 oHAEMONETICS CORP ................................ 2,701
194,800 oHEALTHDYNE INFORMATION ENTERPRISES .............. 676
197,500 oHEARTPORT, INC .................................. 1,296
69,100 oHOLOGIC, INC .................................... 1,257
1,742,600 HONEYWELL, INC .................................. 145,616
200 oI-STAT CORP ..................................... 2
210,400 oIMATRON, INC .................................... 579
940,456 IMI PLC ......................................... 5,829
741,591 oINPUT/OUTPUT, INC ............................... 13,210
203,400 oINTEGRATED CIRCUIT SYSTEMS, INC ................. 3,382
180,600 INVACARE CORP ................................... 4,628
115,400 oISOLYSER CO, INC ................................ 307
935,028 JOHNSON CONTROLS, INC ........................... 53,472
26,900 oKLA-TENCOR CORP ................................. 745
1,700 oLECROY CORP ..................................... 39
36,800 oLIFECORE BIOMEDICAL, INC ........................ 607
8,200 oLTX CORP ........................................ 40
1,000 oLUNAR CORP ...................................... 18
5,389,550 +MALLINCKRODT, INC ............................... 160,002
43,900 oMARQUETTE MEDICAL SYSTEMS, INC (CLASS A) ........ 1,126
3,315,678 MEDTRONIC, INC .................................. 211,374
268,200 MENTOR CORP ..................................... 6,504
2,600 MILLIPORE CORP .................................. 71
98,700 MINE SAFETY APPLIANCE CO ........................ 7,403
6,500 oMINIMED, INC .................................... 340
183,800 MTS SYSTEMS CORP ................................ 2,952
85,000 oNEOPROBE CORP ................................... 234
241,900 NEWPORT CORP .................................... 4,778
79,300 oOCULAR SCIENCES, INC ............................ 2,577
22,800 oOEC MEDICAL SYSTEMS, INC ........................ 513
1,306,000 OLYMPUS OPTICAL CO LTD .......................... 11,348
36,100 OPTICAL COATING LABORATORIES, INC ............... 690
60,100 oORBITAL SCIENCES CORP ........................... 2,246
9,300 oOSMONICS, INC ................................... 111
86 oPANAVISION, INC ................................. 2
3,100 oPERCEPTION, INC ................................. 37
116,900 oPERCLOSE, INC ................................... 3,302
1,053 PERKIN-ELMER CORP ............................... 65
78,900 oPHYSIO-CONTROL INTERNATIONAL CORP ............... 2,076
569,108 POLAROID CORP ................................... 20,239
110,500 oPOSSIS MEDICAL, INC ............................. 1,381
12,050 oRADIOMETER AS (CLASS B) ......................... 481
1,150,199 RAYTHEON CO (CLASS A) ........................... 66,280
1,222,559 RAYTHEON CO (CLASS B) ........................... 72,284
334,788 oRESPIRONICS, INC ................................ 5,210
72,400 oROBOTIC VISION SYSTEMS, INC ..................... 319
2,400 oROFIN-SINAR TECHNOLOGIES, INC ................... 43
700 SANKYO CO LTD ................................... 11
16,300 oSCHICK TECHNOLOGIES, INC ........................ 252
83,800 oSCOTT TECHNOLOGIES, INC (CLASS A) ............... 1,226
433,400 oSEPRACOR, INC ................................... 17,986
1,679,722 oSIEBE PLC ....................................... 33,547
73,000 oSOFAMOR DANEK GROUP, INC ........................ 6,319
84,055 oSONOSIGHT, INC .................................. 615
See notes to financial statements.
-39-
<PAGE>
VALUE
SHARES (000)
------ -----------
INSTRUMENTS AND
RELATED PRODUCTS--(CONTINUED)
214,860 oSPACELABS MEDICAL, INC .......................... $ 3,599
5,780 oST. JUDE MEDICAL, INC ........................... 213
41,300 oSTAAR SURGICAL CO ............................... 643
392,872 oSTERIS CORP ..................................... 24,984
335,100 oSTRYKER CORP .................................... 12,859
240,100 oSUMMIT TECHNOLOGY, INC .......................... 1,306
59,400 oSUNRISE MEDICAL, INC ............................ 891
808,800 oSYBRON INTERNATIONAL CORP ....................... 20,422
216,600 oSYNETIC, INC .................................... 12,346
73,400 oTECH-SYM CORP ................................... 2,041
931,708 TEKTRONIX, INC .................................. 32,959
427,538 oTERADYNE, INC ................................... 11,437
8,000 oTHERAGENICS CORP ................................ 209
244,350 oTHERMEDICS, INC ................................. 3,024
89,400 oTHERMO CARDIOSYSTEMS, INC ....................... 2,034
108,141 oTHERMO INSTRUMENT SYSTEMS, INC .................. 2,839
3,600 oTHERMO OPTEK CORP ............................... 53
18,900 oTHERMOQUEST CORP ................................ 282
7,000 oTHERMOSPECTRA CORP .............................. 89
73,600 oTHERMOTREX CORP ................................. 1,260
10,000 oTREX MEDICAL CORP ............................... 165
75,100 oTRIMBLE NAVIGATION LTD .......................... 1,216
363,000 U.S. SURGICAL CORP .............................. 16,562
501,000 oUNIPHASE CORP ................................... 31,453
230,750 VARIAN ASSOCIATES, INC .......................... 8,999
147,100 oVEECO INSTRUMENTS, INC .......................... 3,659
90,600 oVITAL SIGNS, INC ................................ 1,653
295,500 oVIVUS, INC ...................................... 1,782
1,200 oWATERS CORP ..................................... 71
38,000 WATKINS-JOHNSON CO .............................. 988
58,900 oWESLEY JESSEN VISIONCARE, INC ................... 1,362
7,000 oWIRELESS TELECOM GROUP, INC ..................... 27
267,800 X RITE, INC ..................................... 3,666
5,037,372 XEROX CORP ...................................... 511,923
139,500 oZYGO CORP ....................................... 2,066
-----------
2,452,135
-----------
INSURANCE AGENTS, BROKERS AND
SERVICE--0.36%
568,231 ALLMERICA FINANCIAL CORP ........................ 36,935
566,450 AON CORP ........................................ 39,793
5,323,823 oASSICURAZIONI GENERALI S.P.A .................... 173,245
335,750 BERKLEY (W.R.) CORP ............................. 13,451
1,300 oBLANCH (E.W.) HOLDINGS, INC ..................... 48
235,100 CRAWFORD & CO (CLASS A) ......................... 4,408
189,300 CRAWFORD & CO (CLASS B) ......................... 3,549
33,950 oFAIRFAX FINANCIAL HOLDINGS LTD .................. 13,251
2,035 oFORTIS AG. NPV (STRIP VVPR) ..................... 0
223,200 GALLAGHER (ARTHUR J.) & CO ...................... 9,988
2,210,819 GIO AUSTRALIAN HOLDINGS LTD ..................... 5,674
206,100 oHEALTHPLAN SERVICES CORP ........................ 3,607
918,701 HIH WINTERHUR INTERNATIONAL HOLDINGS LTD ........ 1,622
41,562 HILB, ROGAL & HAMILTON CO ....................... 649
20,500 MARSCHOLLEK LAUT UND PARTNER .................... 9,801
1,241,430 MARSH & MCLENNAN COS, INC ....................... 75,029
5,320 oMUENCHENER RUECK
GESELLSCHAFT AG. (BR) .......................... 1,898
16,200 POE & BROWN, INC ................................ 602
360,000 RAS RISP ........................................ 3,243
1,658,522 SEDGWICK GROUP LTD .............................. 3,542
1,278,939 WILLIS CORROON GROUP PLC ........................ 3,254
-----------
403,589
-----------
INSURANCE CARRIERS--4.44%
900 20TH CENTURY INDUSTRIES ......................... 26
1,800 oACCEPTANCE INSURANCE COS, INC ................... 44
65,000 ACE LTD ......................................... 2,535
297,368 AEGON NV ARS .................................... 25,722
328,000 AEGON NV ........................................ 28,540
1,001,221 AETNA, INC ...................................... 76,218
1,668,246 AFLAC, INC ...................................... 50,569
3,880 oAGF ASSUR. GEN. DE FRANCE CVG ................... 1
60,000 oALFA CORP ....................................... 1,245
5,260,000 oALLEANZA ASSICURAZIONI .......................... 71,517
116,751 oALLEGHANY CORP (DELAWARE) ....................... 27,232
5,497 oALLIANZ AG ...................................... 1,817
645,720 oALLIANZ AG. (REGD) .............................. 215,181
296,100 ALLIED GROUP, INC ............................... 13,861
4,982,953 ALLSTATE CORP ................................... 456,252
209,901 oAMERICAN ANNUITY GROUP, INC ..................... 5,051
548,600 AMERICAN BANKERS
INSURANCE GROUP, INC ........................... 32,985
400,908 AMERICAN FINANCIAL GROUP, INC ................... 17,364
56,000 oAMERICAN HERITAGE LIFE INVESTMENT CORP .......... 1,295
4,713,026 AMERICAN INTERNATIONAL GROUP, INC ............... 688,102
252,200 AMERICAN NATIONAL INSURANCE CO .................. 26,544
367,600 oAMERIN CORP ..................................... 10,729
55,230 AMERUS LIFE HOLDINGS, INC (CLASS A) ............. 1,788
286,852 ARGONAUT GROUP, INC ............................. 9,072
140,800 ARM FINANCIAL GROUP, INC (CLASS A) .............. 3,115
48,326 ASR VERZEKERINGSGROEP NV ........................ 4,100
10 oBERKSHIRE HATHAWAY, INC (CLASS A) ............... 783
76,100 CAPITAL RE CORP ................................. 5,451
3,900 oCENTURY BUSINESS SERVICES, INC .................. 78
1,661,772 CGU PLC ......................................... 30,998
29,500 oCHARTWELL RE CORP ............................... 868
363,753 oCHICAGO TITLE CORP .............................. 16,801
950 CHIYODA FIRE & MARINE
INSURANCE CO LTD ............................... 4
1,569,500 CHUBB CORP ...................................... 126,149
2,129,234 CIGNA CORP ...................................... 146,917
920,541 CINCINNATI FINANCIAL CORP ....................... 35,326
1,900 CITIZENS CORP ................................... 59
27,600 CMAC INVESTMENT CORP ............................ 1,697
4,000 oCNA FINANCIAL CORP .............................. 186
34,000 oCNA SURETY CORP ................................. 502
127,420 COLONIA KONZERN AG. (REGD) ...................... 15,813
24,500 COMMERCE GROUP, INC ............................. 949
19,600 COMPANHIA DE SEGUROS
TRANQUILIDADE .................................. 531
95,200 oCOMPDENT CORP ................................... 1,488
2,160,736 CONSECO, INC .................................... 101,014
37,556 CORPORACION MAPFRE S.A .......................... 1,320
95,620 oDELPHI FINANCIAL GROUP, INC ..................... 5,385
40,800 ENHANCE FINANCIAL
SERVICES GROUP, INC ............................ 1,377
129,800 EQUITABLE COS, INC .............................. 9,727
42,600 ERIE INDEMNITY CO (CLASS A) ..................... 1,230
27,000 oEXEL LTD ........................................ 2,101
130,039 FAI INSURANCES LTD .............................. 35
35,400 FBL FINANCIAL GROUP, INC (CLASS A) .............. 907
111,200 FIDELITY NATIONAL FINANCIAL, INC ................ 4,427
98,300 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD ................................... 5,775
165,516 FIRST AMERICAN FINANCIAL CORP ................... 14,896
923,700 FOREMOST CORP OF AMERICA ........................ 22,284
See notes to financial statements.
-40-
<PAGE>
VALUE
SHARES (000)
------ -----------
INSURANCE CARRIERS--(CONTINUED)
885,175 oFOUNDATION HEALTH SYSTEMS (CLASS A) ............. $ 23,346
341,800 oFPA MEDICAL MANAGEMENT, INC ..................... 395
4,900 oFPIC INSURANCE GROUP, INC ....................... 165
286,280 FREMONT GENERAL CORP ............................ 15,513
573,540 FRONTIER INSURANCE GROUP, INC ................... 12,940
10,300 GAINSCO, INC .................................... 68
407,700 GENERAL REINSURANCE CORP ........................ 103,352
30,600 GUARANTEE LIFE COS, INC ......................... 669
1,633,075 oGUARDIAN ROYAL EXCHANGE PLC ..................... 9,564
3,000 xHAFNIA HOLDINGS AS (REGD) (CLASS A) ............. 0
2,490 xHAFNIA HOLDINGS AS (REGD) (CLASS B) ............. 0
67,800 HARLEYSVILLE GROUP, INC ......................... 1,407
1,146,436 HARTFORD FINANCIAL SERVICES GROUP, INC .......... 131,124
73,687 HARTFORD LIFE, INC (CLASS A) .................... 4,196
79,100 HCC INSURANCE HOLDINGS, INC ..................... 1,740
2,351 oHIGHLANDS INSURANCE GROUP, INC .................. 43
244,232 HORACE MANN EDUCATORS CORP ...................... 8,426
1,100 HSB GROUP, INC .................................. 59
252,000 oIDRIS HYDRAULIC (M) BERHAD ...................... 32
10,000 oIFIL FINANZIARIA DI PARTECIPAZIONI .............. 46
2,517,229 ING GROEP NV .................................... 164,829
14,428,360 oINSTITUTO NAZIONALE DELLE ASSICURAZION .......... 41,022
304,500 IRISH LIFE ...................................... 2,803
177,599 IRISH LIFE PLC .................................. 1,658
1,369,975 JEFFERSON-PILOT CORP ............................ 79,373
359,800 JOHN ALDEN FINANCIAL CORP ....................... 7,916
112,540 LANDAMERICA FINANCIAL GROUP, INC ................ 6,443
942,399 LEGAL & GENERAL GROUP PLC ....................... 10,055
29,100 LIBERTY CORP .................................... 1,464
10,000 LIBERTY FINANCIAL COS, INC ...................... 345
84,270 LIBERTY LIFE ASSOCIATION OF AFRICA LTD .......... 1,654
31,200 LIFE RE CORP .................................... 2,586
1,700 LIFE U.S.A. HOLDINGS, INC ....................... 22
569,600 LINCOLN NATIONAL CORP ........................... 52,047
456,000 LOEWS CORP ...................................... 39,729
5,400 oMARKEL CORP ..................................... 961
356,587 MBIA, INC ....................................... 26,699
7,800 MEADOWBROOK INSURANCE GROUP ..................... 212
9,985 oMEDICAL ASSURANCE, INC .......................... 277
260,000 oMEDIOLANUM S.P.A ................................ 8,256
800 MERCURY GENERAL CORP ............................ 52
233,000 METROPOLITAN LIFE LTD ........................... 645
642,700 MGIC INVESTMENT CORP ............................ 36,674
716,050 MITSUI TAISHO MARINE & FIRE CO LTD .............. 3,596
23,700 MMI COS, INC .................................... 548
243,300 NAC RE CORP ..................................... 12,986
300 NATIONWIDE FINANCIAL SERVICES, INC (CLASS A) .... 15
981,000 NICHIDO FIRE & MARINE INSURANCE CO LTD .......... 5,124
707,000 NIPPON FIRE & MARINE
INSURANCE CO LTD ............................... 2,888
396,600 NISSAN FIRE & MARINE INSURANCE .................. 1,363
300,700 OHIO CASUALTY CORP .............................. 13,306
2,018,185 OLD REPUBLIC INTERNATIONAL CORP ................. 59,158
570,812 ORION CAPITAL CORP .............................. 31,894
120,400 oOXFORD HEALTH PLANS, INC ........................ 1,844
210,159 oPACIFICARE HEALTH SYSTEMS, INC (CLASS A) ........ 17,758
174,947 oPACIFICARE HEALTH SYSTEMS, INC (CLASS B) ........ 15,461
21,900 oPENN TREATY AMERICAN CORP ....................... 690
241,600 PENNCORP FINANCIAL GROUP, INC ................... 4,953
2,000 oPHILADELPHIA CONSOLIDATED HOLDING CORP .......... 42
281,000 oPHYMATRIX CORP .................................. 2,476
414,300 PMI GROUP, INC .................................. 30,399
56,900 POHJOLA INSURANCE CO LTD SERIES B ............... 2,831
38,000 POWER FINANCIAL CORP ............................ 1,776
195,600 PRESIDENTIAL LIFE CORP .......................... 4,181
157,050 PROGRESSIVE CORP ................................ 22,144
204,900 PROTECTIVE LIFE CORP ............................ 7,517
201,650 PROVIDENT COS, INC .............................. 6,957
269,500 PROVIDIAN FINANCIAL CORP ........................ 21,173
3,140,442 PRUDENTIAL CORP PLC ............................. 41,368
48,500 PXRE CORP ....................................... 1,455
1,401,588 QBE INSURANCE GROUP LTD ......................... 4,948
1,099,859 RAS S.P.A ....................................... 14,335
720,000 oREINSURANCE AUSTRALIA CORP LTD .................. 1,838
69,650 REINSURANCE GROUP OF AMERICA, INC ............... 4,118
940,278 RELIANCE GROUP HOLDINGS, INC .................... 16,455
1,431,348 RELIASTAR FINANCIAL CORP ........................ 68,705
37,400 oRISK CAPITAL HOLDINGS, INC ...................... 933
7,600 RLI CORP ........................................ 309
4,461,345 oROYAL & SUN ALLIANCE
INSURANCE GROUP PLC ............................ 46,114
665,200 SAFECO CORP ..................................... 30,183
213,200 oSAFEGUARD HEALTH ENTERPRISES, INC ............... 1,333
669,250 oSAI (S/S) (NON-VOTE) CV ......................... 4,375
203,590 oSAI S.P.A ....................................... 2,602
163,000 SAMPO INSURANCE CO SERIES A ..................... 7,724
34,455 oSCHWEIZERISCHE RUCKVERSICHERUNG (REGD) .......... 87,137
21,200 SCPIE HOLDINGS, INC ............................. 718
930,300 SELECTIVE INSURANCE GROUP, INC .................. 20,845
4,117,892 ST. PAUL COS, INC ............................... 173,209
297,300 UNI-STOREBRAND AS SERIES A ...................... 2,635
2,324,028 SUMITOMO MARINE & FIRE INSURANCE CO ............. 12,994
848,261 SUNAMERICA, INC ................................. 48,722
760,300 TIG HOLDINGS, INC ............................... 17,487
4,445,000 TOKIO MARINE & FIRE INSURANCE CO LTD ............ 45,669
2,392,100 TORCHMARK CORP .................................. 109,439
781,100 TRANSAMERICA CORP ............................... 89,924
59,800 TRANSATLANTIC HOLDINGS, INC ..................... 4,623
8,600,945 TRAVELERS GROUP, INC ............................ 521,432
997,300 TRAVELERS PROPERTY CASUALTY CORP ................ 42,759
15,400 TRENWICK GROUP, INC ............................. 598
36,500 oTRIAD GUARANTY, INC ............................. 1,241
246,700 oTRIGON HEALTHCARE, INC .......................... 8,927
120,500 oUICI ............................................ 3,284
57,400 UNITED WISCONSIN SERVICES, INC .................. 1,629
260,004 UNITRIN, INC .................................... 18,070
819,900 UNUM CORP ....................................... 45,504
163,200 VESTA INSURANCE GROUP, INC ...................... 3,478
326,653 oWELLPOINT HEALTH NETWORKS, INC .................. 24,172
9,400 ZENITH NATIONAL INSURANCE CORP .................. 265
110,272 ZURICH INSURANCE CO (REGD) ...................... 70,374
-----------
4,997,800
-----------
LEATHER AND LEATHER PRODUCTS--0.06%
240,900 BROWN GROUP, INC ................................ 4,788
460,578 oFOOTSTAR, INC ................................... 22,108
178,300 JUSTIN INDUSTRIES, INC .......................... 2,875
454,800 oNINE WEST GROUP, INC ............................ 12,194
136,008 oSAMSONITE CORP .................................. 1,471
535,100 STRIDE RITE CORP ................................ 8,060
8,000 oTIMBERLAND CO ................................... 576
619,187 WOLVERINE WORLD WIDE, INC ....................... 13,429
-----------
65,501
-----------
See notes to financial statements.
-41-
<PAGE>
VALUE
SHARES (000)
------ -----------
LEGAL SERVICES--0.00%
65,200 oPREPAID LEGAL SERVICES, INC ..................... $ 2,058
-----------
LOCAL AND INTERURBAN
PASSENGER TRANSIT--0.08%
8,317 EAST JAPAN RAILWAY CO ........................... 39,070
169,100 oGREYHOUND LINES, INC ............................ 1,025
685,292 LAIDLAW, INC .................................... 8,271
600,010 NANKAI ELECTRIC RAILWAY CO ...................... 2,594
1,136 oNEW WORLD INFRASTUCTURE LTD ..................... 1
27,000 oRURAL/METRO CORP ................................ 351
183,600 STAGECOACH HOLDINGS PLC ......................... 3,906
1,221,300 VIAD CORP ....................................... 33,891
-----------
89,109
-----------
LUMBER AND WOOD PRODUCTS--0.30%
2,700 oABT BUILDING PRODUCTS CORP ...................... 46
589,383 oAMCOR LTD ....................................... 2,581
123,500 oAMERICAN HOMESTAR CORP .......................... 2,956
20,000 oAOKAM PERDANA BERHAD ............................ 3
3,135,742 CARTER HOLT HARVEY LTD .......................... 2,735
168,370 CARTIERE BURGO S.P.A ............................ 1,349
866,700 oCHAMPION ENTERPRISES, INC ....................... 25,459
492,697 CLAYTON HOMES, INC .............................. 9,361
70,208 DELTIC TIMBER CORP .............................. 1,760
326,200 GEORGIA-PACIFIC CORP (PACKAGING GROUP) .......... 19,225
493,500 GEORGIA-PACIFIC CORP (TIMBER GROUP) ............. 11,381
69,400 oINTERNATIONAL FOREST PRODUCTS LTD ............... 224
226,000 oJAYA TIASA HOLDINGS BERHAD ...................... 281
1,111,800 JEFFERSON SMURFIT GROUP PLC ..................... 3,303
435,000 oLAND & GENERAL BERHAD ........................... 49
1,835,736 LOUISIANA PACIFIC CORP .......................... 33,502
3,781,700 MACMILLAN BLOEDEL LTD ........................... 40,373
73,300 MADERAS Y SINTETICOS S.A. ADR ................... 596
38,500 NORSKE SKOGINDUSTRIER SERIES A .................. 1,189
2,400 NORSKE SKOGINDUSTRIER SERIES B .................. 67
22,300 oPALM HARBOR HOMES, INC .......................... 951
785,965 PG INDUSTRIES ZIMBABWE LTD ...................... 57
507,384 RAYONIER, INC ................................... 23,340
1,147,640 SCA AB SERIES B ................................. 29,717
88,000 oSETTSU CORP ..................................... 46
110,200 SKYLINE CORP .................................... 3,595
130,000 STORA KOPPARBERG BERGSLAGS SERIES A FREE ........ 2,046
258,800 STORA KOPPARBERG BERGSLAGS SERIES B FREE ........ 4,089
377,000 SUMITOMO FORESTRY CO LTD ........................ 2,116
746 TJ INTERNATIONAL, INC ........................... 22
38,200 oTRIANGLE PACIFIC CORP ........................... 2,101
43,300 UNIVERSAL FOREST PRODUCTS, INC .................. 709
2,284,010 WEYERHAEUSER CO ................................. 105,493
46,872 WILLAMETTE INDUSTRIES, INC ...................... 1,500
-----------
332,222
-----------
METAL MINING--0.27%
289,200 ABERFOYLE LTD ................................... 457
89,900 oACINDAR S.A. (CLASS B) .......................... 150
95,500 AGNICO EAGLE MINES LTD .......................... 529
3,000 oALTAIR INTERNATIONAL, INC ....................... 26
29,718 oALUSUISSE LONZA HOLDINGS AG. (REGD) ............. 37,696
6,887 ANGLOGOLD LTD ................................... 279
582,842 ASHTON MINING LTD ............................... 307
822,579 BARRICK GOLD CORP ............................... 15,662
60,000 BARRICK GOLD CORP (U.S.) ........................ 1,151
55,750 BATTLE MOUNTAIN GOLD CO ......................... 331
96,200 CAMBIOR, INC .................................... 566
223,800 CAMECO CORP ..................................... 6,239
193,881 CLEVELAND CLIFFS, INC ........................... 10,397
3,466 oCOEUR DALENE MINES CORP ......................... 23
44,200 COMINCO LTD ..................................... 655
859,594 CYPRUS AMAX MINERALS CO ......................... 11,390
545,400 DELTA GOLD NL ................................... 669
35,000 oDOMINION MINING LTD ............................. 7
17,500 oDOMINION MINING LTD WTS 12/31/98 ................ 0
45,000 oECHO BAY MINES LTD .............................. 96
4,500 oECHO BAY MINES LTD (U.S.) ....................... 10
50,500 ELKEM AS ........................................ 605
206,031 ERAMET .......................................... 8,165
182,000 EUOR-NEVADA MINING CORP ......................... 2,481
655,228 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) ............................ 9,337
1,814,364 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) ............................ 27,556
8,935 oGETCHELL GOLD CORP .............................. 137
6,222 oGOLDFIELDS LTD .................................. 7
785,110 GREAT CENTRAL MINES LTD ......................... 749
667,100 oHECLA MINING CO ................................. 3,544
163,224 HOMESTAKE MINING CO ............................. 1,693
8,030 HULLAS DEL COTO CORTES S.A ...................... 157
5,746 IMETAL S.A ...................................... 790
19,300 IMPALA PLATINUM HOLDINGS LTD .................... 165
205,900 INCO LTD CO ..................................... 2,807
157,160 INCO LTD CO (U.S.) .............................. 2,141
657,809 JOHNSON MATTHEY PLC ............................. 5,916
101,992 oKINROSS GOLD CORP ............................... 331
726,600 MALAYSIA MINING CORP BERHAD ..................... 231
3,795,979 MIM HOLDINGS LTD ................................ 1,834
4,006,000 MITSUBISHI MATERIALS CORP ....................... 8,168
3,694,000 MITSUI MINING & SMELTING CO LTD ................. 15,330
17,039 oMORRISON KNUDSEN CORP WTS 03/11/03 .............. 100
395,284 oNEWCREST MINING LTD ............................. 485
3,200 NEWMONT GOLD CO ................................. 79
1,930,370 NEWMONT MINING CORP ............................. 45,605
2,062,000 NIPPON LIGHT METAL CO LTD ....................... 2,377
409,400 NORANDA, INC .................................... 7,071
2,533,550 NORMANDY MINING LTD ............................. 2,071
1,803,537 NORTH LTD ....................................... 3,708
176,100 OUTOKUMPU OY SERIES A ........................... 2,247
13,000 #xoPEGASUS GOLD, INC ............................... 7
16,300 PHELPS DODGE CORP ............................... 932
240,800 PLACER DOME, INC ................................ 2,800
548 PLACER DOME, INC (U.S.) ......................... 6
1,344,760 QCT RESOURCES LTD ............................... 891
665,992 oRGC LTD ......................................... 660
224,200 RIO ALGOM LTD ................................... 3,324
873,169 RIO TINTO LTD ................................... 10,382
150,000 RIO TINTO PLC (BR) .............................. 1,764
1,065,506 RIO TINTO PLC (REGD) ............................ 12,000
281,039 SMITH (HOWARD) LTD .............................. 1,653
470,077 SONS OF GWALIA LTD .............................. 1,164
77,200 SOUTHERN PERU COPPER CORP ....................... 1,004
157,800 oSTILLWATER MINING CO ............................ 4,280
121,000 STRAITS TRADING CO .............................. 71
561,000 SUMITOMO METAL MINING CO LTD .................... 2,276
751,454 oSUNSHINE MINING & REFINING CO ................... 704
1,977 oSUNSHINE MINING & REFINING CO
WTS 03/03/99 ................................... 0
291,100 TECK CORP LTD (CLASS B) ......................... 3,177
35,700 UNION MINIERE GROUP S.A ......................... 2,207
2,182,172 WMC LTD ......................................... 6,568
-----------
298,397
-----------
See notes to financial statements.
-42-
<PAGE>
VALUE
SHARES (000)
------ -----------
MISCELLANEOUS MANUFACTURING
INDUSTRIES--1.12%
32,600 oAMER GROUP LTD PLC SERIES A ..................... $ 630
699,900 ARMSTRONG WORLD INDUSTRIES, INC ................. 47,156
12,500 oBELL SPORTS CORP ................................ 120
148,230 BIC S.A ......................................... 10,542
574,200 oBLYTH INDUSTRIES, INC ........................... 19,092
539,300 BRADY (W.H.) CO (CLASS A) ....................... 14,999
380,100 BULGARI S.P.A ................................... 1,994
362,600 CALLAWAY GOLF CO ................................ 7,139
41,300 CCL INDUSTRIES, INC (CLASS B) ................... 528
345,900 oCML GROUP, INC .................................. 670
171,100 CROSS (A.T.) CO (CLASS A) ....................... 2,545
3,738 DLW AG .......................................... 698
24,200 oESS TECHNOLOGY .................................. 113
23,100 oGALOOB TOYS, INC ................................ 231
454,664 HASBRO, INC ..................................... 17,874
333,100 oHEXCEL CORP ..................................... 7,536
1,300,888 INTERNATIONAL GAME TECHNOLOGY CO ................ 31,547
123,900 oJAN BELL MARKETING, INC ......................... 805
679,600 JOSTENS, INC .................................... 16,225
196,158 K2, INC ......................................... 3,457
44,000 oLYDALL, INC ..................................... 641
1,274,958 MATTEL, INC ..................................... 53,947
3,542,000 MINNESOTA MINING & MANUFACTURING CO ............. 291,108
22,400 NACCO INDUSTRIES, INC (CLASS A) ................. 2,895
27,400 NAMCO LTD ....................................... 640
254,800 oNU KOTE HOLDINGS, INC (CLASS A) ................. 104
104,000 OKAMATO INDUSTRIES, INC ......................... 232
10,300 RHI AG .......................................... 499
15,300 TAG HEUER INTERNATIONAL S.A ..................... 1,450
562,400 TIFFANY & CO .................................... 26,995
2,100 oTOY BIZ, INC (CLASS A) .......................... 19
11,096,884 TYCO INTERNATIONAL LTD .......................... 699,104
292,000 VARITRONIX INTERNATIONAL LTD .................... 584
336,100 oWMS INDUSTRIES, INC ............................. 1,407
-----------
1,263,526
-----------
MISCELLANEOUS RETAIL--0.95%
55,400 oAMAZON. COM, INC ................................ 5,526
11,642 oBARNES & NOBLE, INC ............................. 436
91,200 BLAIR CORP ...................................... 2,918
941,700 oBORDERS GROUP, INC .............................. 34,843
53,400 oBRYLANE, INC .................................... 2,456
78,048 oCASH AMERICA INTERNATIONAL, INC ................. 1,190
125,800 oCDW COMPUTER CENTERS, INC ....................... 6,290
56,500 oCOLDWATER CREEK, INC ............................ 1,554
4,919,522 CVS CORP ........................................ 191,554
800 oDELIA*S, INC .................................... 13
304,500 ENESCO GROUP, INC ............................... 9,363
133,800 oFABRI-CENTERS OF AMERICA (CLASS A) .............. 3,663
245,800 oFABRI-CENTERS OF AMERICA (CLASS B) .............. 5,822
859,097 FINGERHUT COS, INC .............................. 28,350
6,000 oFINLAY ENTERPRISES, INC ......................... 145
195,000 oGARDEN RIDGE CORP ............................... 3,778
3,200 GENOVESE DRUG STORES, INC (CLASS A) ............. 63
1,800 oGLOBAL DIRECTMAIL CORP .......................... 23
265,678 HANCOCK FABRICS, INC ............................ 3,321
516,674 oHANOVER DIRECT, INC ............................. 1,744
236,100 oJUMBOSPORTS, INC ................................ 266
270,300 oLANDS END, INC .................................. 8,548
448,042 LONGS DRUG STORES CORP .......................... 12,937
190,490 xoLURIA (L.) & SON, INC ........................... 1
54,600 oMICHAELS STORES, INC ............................ 1,926
485,500 oMICRO WAREHOUSE, INC ............................ 7,525
138,216 MINISTOP CO LTD ................................. 2,589
1,200 oMSC INDUSTRIAL DIRECT CO (CLASS A) .............. 34
17,700 oNATIONAL MEDIA CORP ............................. 20
1,725,598 oOFFICE DEPOT, INC ............................... 54,464
2,056,700 oOFFICEMAX, INC .................................. 33,936
46,500 oPARTY CITY CORP ................................. 1,366
379,000 oPETCO ANIMAL SUPPLIES, INC ...................... 7,556
12,700 oPETSMART, INC ................................... 127
96,000 PLAYMATES TOYS HOLDINGS LTD ..................... 6
941,262 RITE AID CORP ................................... 35,356
4,383,600 SEARS ROEBUCK & CO .............................. 267,674
448,512 oSERVICE MERCHANDISE, INC ........................ 701
2,051,552 oSTAPLES, INC .................................... 59,367
80,600 oSUNGLASS HUT INTERNATIONAL, INC ................. 892
98,400 oSYNCOR INTERNATIONAL CORP ....................... 1,697
165,500 oTHE SPORTS AUTHORITY, INC ....................... 2,472
4,618,141 oTOYS R US, INC .................................. 108,815
45,320 oTRUWORTHS INTERNATIONAL LTD ..................... 31
722,600 oVIKING OFFICE PRODUCTS, INC ..................... 22,672
3,443 oVITALINK PHARMACY SERVICES, INC ................. 76
2,750,700 WALGREEN CO ..................................... 113,638
642,600 oZALE CORP ....................................... 20,443
-----------
1,068,187
-----------
MOTION PICTURES--0.52%
13,750 oAMC ENTERTAINMENT, INC .......................... 248
9,200 oCNET, INC ....................................... 628
5,568,810 DISNEY (WALT) CO ................................ 585,073
28,593 oGC COS, INC ..................................... 1,483
44,900 oHOLLYWOOD ENTERTAINMENT CORP .................... 609
2,200 oKING WORLD PRODUCTIONS, INC ..................... 56
34,868 MILLENNIUM ENTERTAINMENT GROUP AFRICA LTD ....... 37
2,400 oMOVIE GALLERY, INC .............................. 17
4,500 oPIXAR, INC ...................................... 272
40,600 oSPELLING ENTERTAINMENT GROUP, INC ............... 381
233,000 TOEI CO ......................................... 734
-----------
589,538
-----------
NONDEPOSITORY INSTITUTIONS--2.30%
4,300 AAMES FINANCIAL CORP ............................ 59
513,300 ACOM CO LTD ..................................... 24,372
174,044 ADVANTA CORP (CLASS A) .......................... 3,818
211,397 ADVANTA CORP (CLASS B) .......................... 4,202
144,200 AIFUL CORP ...................................... 7,034
43,840 ALLIED CAPITAL CORP ............................. 1,074
3,276,599 AMERICAN EXPRESS CO ............................. 373,532
2,133,882 AMERICAN GENERAL CORP ........................... 151,906
540,000 oAMERICREDIT CORP ................................ 19,271
362,800 oAMMB HOLDINGS BERHAD ............................ 191
725,400 oAMRESCO, INC .................................... 21,127
6,881 oARCADIA FINANCIAL LTD ........................... 52
2,930,647 ASSOCIATES FIRST CAPITAL CORP ................... 225,293
256,400 BENEFICIAL CORP ................................. 39,277
139,521 CAPITAL ONE FINANCIAL CORP ...................... 17,327
99,400 oCITYSCAPE FINANCIAL CORP ........................ 5
1,700 oCONTIFINANCIAL CORP ............................. 39
74,480 COUNTRYWIDE CREDIT INDUSTRIES, INC .............. 3,780
83,400 oCREDIT ACCEPTANCE CORP .......................... 709
3,300 oDELTA FINANCIAL CORP ............................ 61
183,000 oDORAL FINANCIAL CORP ............................ 3,203
9,166,600 FEDERAL NATIONAL MORTGAGE ASSOCIATION ........... 556,871
82,800 FINOVA GROUP, INC ............................... 4,689
7,594,372 FIRST UNION CORP ................................ 442,372
494,400 oFIRSTPLUS FINANCIAL GROUP, INC .................. 17,798
1,175,850 oFIRSTRAND LTD ................................... 1,817
5,679,600 FREDDIE MAC ..................................... 267,296
See notes to financial statements.
-43-
<PAGE>
VALUE
SHARES (000)
------ -----------
NONDEPOSITORY INSTITUTIONS--(CONTINUED)
6,300 FUND AMERICAN ENTERPRISES
HOLDINGS, INC .................................. $ 932
646,000 GREEN TREE FINANCIAL CORP ....................... 27,657
2,588,298 oHALIFAX PLC ..................................... 33,599
51,300 oHEALTHCARE FINANCIAL PARTNERS, INC .............. 3,145
1,641,583 HOUSEHOLD INTERNATIONAL, INC .................... 81,669
110,600 oIMC MORTGAGE CO ................................. 1,168
392,100 oIMPERIAL CREDIT INDUSTRIES, INC ................. 9,214
40,000 oIRISH PERMANENT PLC ............................. 471
97,000 oIRISH PERMANENT PLC (U.K.) ...................... 1,153
63,900 oLEUCADIA NATIONAL CORP .......................... 2,113
17,400 oLONG BEACH FINANCIAL CORP ....................... 191
33,700 MEDALLION FINANCIAL CORP ........................ 927
774,550 oMEDIOBANCA S.P.A ................................ 9,833
1,212,400 oMERCURY FINANCE CO .............................. 158
60,000 METRIS COS, INC ................................. 3,825
10,702 oOMEGA WORLDWIDE, INC ............................ 81
16,547 oPACIFIC CREST CAPITAL, INC ...................... 292
17,000,000 oREGENT PACIFIC GROUP LTD ........................ 5,595
122,225 RESOURCE BANCSHARES
MORTGAGE GROUP, INC ............................ 2,276
79,000 RYLAND GROUP, INC ............................... 2,074
251,292 SIRROM CAPITAL CORP ............................. 6,534
4,083,134 SLM HOLDING CORP ................................ 200,074
139,700 oSOUTHERN PACIFIC FUNDING CORP ................... 2,192
237,400 UNITED COS FINANCIAL CORP ....................... 3,709
73,600 oWFS FINANCIAL, INC .............................. 515
-----------
2,586,572
-----------
NONMETALLIC MINERALS,
EXCEPT FUELS--0.06%
41,650 oAMCOL INTERNATIONAL CORP ........................ 502
195,500 CALMAT CO ....................................... 4,301
49,500 JOHNS MANVILLE CORP ............................. 746
623,107 MARTIN MARIETTA MATERIALS, INC .................. 28,040
133,500 POTASH CORP OF SASKATCHEWAN, INC ................ 10,058
8,476 POTASH CORP OF SASKATCHEWAN, INC (U.S.) ......... 640
260,500 VULCAN MATERIALS CO ............................. 27,792
-----------
72,079
-----------
OIL AND GAS EXTRACTION--3.64%
235,200 ALBERTA ENERGY LTD .............................. 5,518
7,777,900 AMOCO CORP ...................................... 323,755
20,464 ANADARKO PETROLEUM CORP ......................... 1,375
341,944 oANDERSON EXPLORATION LTD ........................ 3,953
3,405,288 APACHE CORP ..................................... 107,267
109,100 oATWOOD OCEANICS, INC ............................ 4,344
8,160 oBARNETT RESOURCES CORP .......................... 305
200 BELCO OIL & GAS CORP ............................ 2
4,500 oBENTON OIL & GAS CO ............................. 48
40,100 BERRY PETROLEUM CO (CLASS A) .................... 521
865,470 oBJ SERVICES CO .................................. 25,153
21,700 oBJ SERVICES CO WTS 04/13/00 ..................... 681
57,400 BRITISH PETROLEUM CO PLC ADR .................... 5,066
3,795,000 BRITISH-BORNEO PETROLEUM SYNDICATE PLC .......... 18,901
1,600 oBROWN (TOM), INC ................................ 30
1,848 oBUMI ARMADA BERHAD .............................. 1
2,420,213 BURLINGTON RESOURCES, INC ....................... 104,220
121,400 CABOT OIL & GAS CORP (CLASS A) .................. 2,428
58,000 oCAL DIVE INTERNATIONAL, INC ..................... 1,599
189,194 oCANADIAN NATURAL RESOURCES LTD .................. 3,242
182,258 CANADIAN OCCIDENTAL PETROLEUM LTD ............... 3,892
7,163,296 oCENTRICA PLC .................................... 12,071
16,500 CHESAPEAKE ENERGY CORP .......................... 66
125,590 oCLIFFS DRILLING CO .............................. 4,121
46,700 oCOFLEXIP S.A .................................... 5,716
197,200 oCOHO ENERGY, INC ................................ 1,331
1,238,750 COLUMBIA ENERGY GROUP ........................... 68,905
1,121,000 CONSOLIDATED NATURAL GAS CO ..................... 65,999
50,000 CORNERSTONE PROPANE PARTNERS L.P. ............... 1,103
1,250 CROSS TIMBERS OIL CO ............................ 24
90,500 oDEEPTECH INTERNATIONAL, INC ..................... 1,273
326,800 DEVON ENERGY CORP ............................... 11,418
227,600 DIAMOND OFFSHORE DRILLING, INC .................. 9,104
1,784 oEEX CORP ........................................ 17
50,400 ENGEN LTD ....................................... 140
823,200 ENRON OIL & GAS CO .............................. 16,670
2,370,800 ENSCO INTERNATIONAL, INC ........................ 41,193
474,480 oEQUITY OIL CO ................................... 1,246
955,150 oEVI WEATHERFORD, INC ............................ 35,460
22,247,454 EXXON CORP ...................................... 1,586,522
601,023 FLETCHER CHALLENGE LTD (ENERGY DIVISION) ........ 1,435
16,000 oFORCENERGY GAS EXPLORATION, INC ................. 285
37,500 oFOREST OIL CORP ................................. 537
157,500 oFRIEDE GOLDMAN INTERNATIONAL, INC ............... 4,548
62,100 oFRONTIER OIL CORP ............................... 497
1,012,000 oGLOBAL INDUSTRIES LTD ........................... 17,078
672,500 oGLOBAL MARINE, INC .............................. 12,567
264,000 oGREY WOLF, INC .................................. 842
161,710 oGULF CANADA RESOURCES LTD ....................... 792
1,579,672 HALLIBURTON CO .................................. 70,394
73,100 oHARKEN ENERGY CORP .............................. 352
857,800 HELMERICH & PAYNE, INC .......................... 19,086
89,900 oHOUSTON EXPLORATION CO .......................... 2,062
22,300 oHS RESOURCES, INC ............................... 325
303,700 IHC CALAND NV ................................... 17,095
1,042,864 IMPERIAL OIL LTD ................................ 18,225
160,600 KCS ENERGY, INC ................................. 1,837
49,100 oKELLEY OIL & GAS CORP ........................... 114
866,100 KERR-MCGEE CORP ................................. 50,126
22,400 oKEY ENERGY GROUP, INC ........................... 294
42,891 KONINKLIJKE PAKHOED HOLDINGS NV ................. 1,392
2,400 oLOUIS DREYFUS NATURAL GAS CORP .................. 45
501,800 oMARINE DRILLING CO, INC ......................... 8,029
233,444 oMCMORAN OIL & GAS CO ............................ 992
5,000 oMERIDIAN RESOURCE CORP .......................... 35
657,600 oMETHANEX CORP ................................... 5,746
168,000 MITCHELL ENERGY &
DEVELOPMENT CORP (CLASS A) ..................... 3,360
358,800 MITCHELL ENERGY &
DEVELOPMENT CORP (CLASS B) ..................... 6,907
8,514,798 MOBIL CORP ...................................... 652,446
2,100 oNABORS INDUSTRIES, INC .......................... 42
117,600 NEW JERSEY RESOURCES CORP ....................... 4,197
2,500 oNEWFIELD EXPLORATION CO ......................... 62
1,136,800 oNEWPARK RESOURCES, INC .......................... 12,647
907,500 NGC CORP ........................................ 11,344
400 NOBLE AFFILIATES, INC ........................... 15
1,599,079 oNOBLE DRILLING CORP ............................. 38,478
521,016 NOVUS PETROLEUM LTD ............................. 645
300 oNUEVO ENERGY CO ................................. 10
3,000 oNUMAC ENERGY, INC ............................... 8
2,542,747 OCCIDENTAL PETROLEUM CORP ....................... 68,654
113,910 oOCEAN ENERGY, INC ............................... 2,228
230,500 oOCEANEERING INTERNATIONAL, INC .................. 4,091
500 oOCELOT ENERGY, INC (CLASS B) .................... 2
276,677 oOIL SEARCH LTD .................................. 418
25,925 OMV AKTIENGESELLS AG ............................ 3,473
761,800 oORYX ENERGY CO .................................. 16,855
1,229,000 oPARKER DRILLING CO .............................. 8,680
226,800 oPATTERSON ENERGY, INC ........................... 2,218
See notes to financial statements.
-44-
<PAGE>
VALUE
SHARES (000)
------ -----------
OIL AND GAS EXTRACTION--(CONTINUED)
33,307 PETROFINA S.A ................................... $ 13,673
257,400 oPETROLEUM GEO-SERVICES AS ....................... 8,017
2,272,617 PHILLIPS PETROLEUM CO ........................... 109,512
179,500 PIONEER NATURAL RESOURCES CO .................... 4,286
380 oPLAINS RESOURCES, INC ........................... 7
486,200 oPOCO PETROLEUM LTD .............................. 4,761
600 POGO PRODUCING CO ............................... 15
268,269 oPOOL ENERGY SERVICES CO ......................... 3,957
1,000 oPRIDE INTERNATIONAL, INC ........................ 17
1,071,980 QUESTAR CORP .................................... 21,038
1,886,580 oR & B FALCON CORP ............................... 42,684
221,200 oRANGER OIL LTD .................................. 1,587
129,800 oRANGER OIL LTD (U.S.) ........................... 949
251,250 oRENAISSANCE ENERGY LTD .......................... 3,767
325,900 oRIGEL ENERGY CORP (CANADA) ...................... 2,970
1,004,000 oROWAN COS, INC .................................. 19,515
712,500 RPC, INC ........................................ 8,906
56,110 oSANTA FE ENERGY RESOURCES, INC .................. 603
721,860 oSCHLUMBERGER LTD ................................ 49,312
2,304 oSEAGULL ENERGY CORP ............................. 38
10,700 oSEITEL, INC ..................................... 173
50 oSERVAL GROWTH FUND TR (UNITS) ................... 0
2,517,828 +SMEDVIG AS SERIES A ............................. 30,515
305,357 SMEDVIG AS SERIES B ............................. 3,462
25,300 SNYDER OIL CORP ................................. 504
336,400 SOUTHWESTERN ENERGY CO .......................... 3,091
118,500 ST. MARY LAND & EXPLORATION CO .................. 2,859
11,500 oSTONE ENERGY CORP ............................... 409
2,400 oSWIFT ENERGY CO ................................. 38
160,615 oTALISMAN ENERGY, INC ............................ 4,598
32,760 TECHNIP S.A ..................................... 4,004
697,069 TOTAL S.A ....................................... 90,621
5,300 oTRANSMONTAIGNE OIL CO ........................... 79
290,700 TRANSOCEAN OFFSHORE, INC ........................ 12,936
4,500 oTRANSTEXAS GAS CORP ............................. 40
635 oTRITON ENERGY LTD ............................... 23
2,800 oTUBOSCOPE, INC .................................. 55
305,000 oTULLOW OIL PLC .................................. 553
1,884,891 UNION PACIFIC RESOURCES GROUP, INC .............. 33,103
4,900 oUNIT CORP ....................................... 30
67,800 VASTAR RESOURCES, INC ........................... 2,962
333,500 oVERITAS DGC, INC ................................ 16,654
557,100 VINTAGE PETROLEUM, INC .......................... 10,515
381,188 oWESTERN ATLAS, INC .............................. 32,353
189,300 WISER OIL CO .................................... 2,094
-----------
4,093,475
-----------
PAPER AND ALLIED PRODUCTS--0.77%
334,200 ABITIBI CONSOLIDATED, INC ....................... 4,306
180,200 oAMERICAN PAD & PAPER CO ......................... 811
2,106,795 ARJO WIGGINS APPLETON PLC ....................... 7,136
940,000 oASIA PULP & PAPER CO LTD (ADR) .................. 10,575
186,600 AVENOR, INC ..................................... 4,365
81,976 AVERY DENNISON CORP ............................. 4,406
142,500 BEMIS, INC ...................................... 5,825
1,362,000 BERJAYA GROUP BERHAD ............................ 167
487,032 BOISE CASCADE CORP .............................. 15,950
727,343 BOWATER, INC .................................... 34,367
388,227 oBUCKEYE TECHNOLOGIES, INC ....................... 9,148
431,700 CARAUSTAR INDUSTRIES, INC ....................... 12,465
590 CHAMPION INTERNATIONAL CORP ..................... 29
1,400 CHESAPEAKE CORP ................................. 55
44,000 oCLONDALKIN GROUP PLC ............................ 368
12,000 oCLONDALKIN GROUP PLC (UNITS) .................... 100
963,275 CONSOLIDATED PAPERS, INC ........................ 26,249
56,605 oCROWN VANTAGE, INC .............................. 594
337,200 DOMTAR, INC ..................................... 2,259
10,580 DOMTAR, INC (U.S.) .............................. 71
39,300 DONOHUE, INC (CLASS A) .......................... 889
19,300 EMPRESA NATIONAL DE CELULOSAS S.A ............... 340
677,000 FIRST BRANDS CORP ............................... 17,348
1,180,846 FLETCHER CHALLENGE LTD (PAPER DIVISION) ......... 1,312
1,716,812 FORT JAMES CORP ................................. 76,398
477,400 oGAYLORD CONTAINER CO ............................ 3,670
366,400 GLATFELTER (P.H.) CO ............................ 5,794
5,400 GREIF BROTHERS CORP (CLASS A) ................... 202
1,356,031 INTERNATIONAL PAPER CO .......................... 58,309
13,700 INVESTIMENTOS PARTICIPACOES E GESTAO ............ 177
82,500 oIVEX PACKAGING CORP ............................. 1,918
829,485 oJEFFERSON SMURFIT CORP .......................... 13,038
4,741,144 KIMBERLY CLARK CORP ............................. 217,500
386,500 KIMBERLY CLARK DE MEXICO S.A. DE CV SERIES A .... 1,372
136,550 KONINKLIJKE KNP BT NV ........................... 3,524
19,000 oKORSNAS AB SERIES A ............................. 250
367,900 LONGVIEW FIBRE CO ............................... 5,243
613,660 oMAIL-WELL, INC .................................. 13,309
177,000 MALAYSIAN PACIFIC INDUSTRIES BERHAD ............. 209
10,800 MAYR-MELNHOF KARTON AG .......................... 706
1,868,308 MEAD CORP ....................................... 59,319
688,000 oMETSA SERLA OYJ SERIES B ........................ 6,646
92,586 MEYER INTERNATIONAL PLC ......................... 548
364,000 MITSUBISHI PAPER MILLS LTD ...................... 708
1,384,000 NIPPON PAPER INDUSTRIES CO ...................... 5,764
2,259,666 OJI PAPER CO LTD ................................ 9,834
3,400 oPLAYTEX PRODUCTS, INC ........................... 54
32,600 POPE & TALBOT, INC .............................. 381
92,519 PORTUCEL INDUSTRIA EMPRESA ...................... 736
1,059 POTLATCH CORP ................................... 44
134,000 oRENO DE MEDICI S.P.A ............................ 459
7,000 oREPAP ENTERPRISES, INC .......................... 1
992,924 REXAM PLC ....................................... 4,349
88,400 oROCK-TENN CO (CLASS A) .......................... 1,111
32,879 oSAPPI LTD ....................................... 124
100,700 oSARRIO CIA PAPELERA DE LEIZA S.A ................ 474
290,439 SCHWEITZER-MAUDUIT
INTERNATIONAL, INC ............................. 8,423
322,147 oSHOREWOOD PACKAGING CORP ........................ 5,114
579,079 SMURFIT (JEFFERSON) GROUP PLC ................... 1,744
466,621 SONOCO PRODUCTS CO .............................. 14,115
1,161,000 SPICERS PAPER LTD ............................... 884
256,900 ST. JOE CORP .................................... 7,033
1,564,249 oSTONE CONTAINER CORP ............................ 24,441
714 TEMPLE-INLAND, INC .............................. 38
2,151,888 TENNECO, INC .................................... 81,906
900 UNION CAMP CORP ................................. 45
848,100 UPM-KYMMENE OY .................................. 23,342
597,532 WAUSAU-MOSINEE PAPER CORP ....................... 13,669
1,265,093 WESTVACO CORP ................................... 35,739
2,300 oZOLTEK COS, INC ................................. 46
-----------
867,845
-----------
PERSONAL SERVICES--0.15%
82,500 ANGELICA CORP ................................... 1,733
1,038,300 BLOCK (H&R), INC ................................ 43,738
1,100 CINTAS CORP ..................................... 56
154,287 oCPI CORP ........................................ 3,674
160,100 oEQUITY CORP INTERNATIONAL ....................... 3,842
288,400 G & K SERVICES, INC (CLASS A) ................... 12,581
267,600 LOEWEN GROUP, INC ............................... 7,188
See notes to financial statements.
-45-
<PAGE>
VALUE
SHARES (000)
------ -----------
PERSONAL SERVICES--(CONTINUED)
685,549 NATIONAL SERVICE INDUSTRIES, INC ................ $ 34,877
75,900 REGIS CORP ...................................... 2,244
1,052,684 SERVICE CORP INTERNATIONAL ...................... 45,134
98,000 STEWART ENTERPRISES, INC (CLASS A) .............. 2,609
5,900 oTHERMOLASE CORP ................................. 43
172,597 UNIFIRST CORP ................................... 4,315
36,000 UNITOG CO ....................................... 792
-----------
162,826
-----------
PETROLEUM AND COAL PRODUCTS--2.23%
1,219,800 AMERADA HESS CORP ............................... 66,250
2,200 oARABIAN OIL CO LTD .............................. 32
2,642,000 ASHLAND, INC .................................... 136,393
2,799,930 ATLANTIC RICHFIELD CO ........................... 218,745
11,040,434 BG PLC .......................................... 63,829
13,197,486 BRITISH PETROLEUM PLC ........................... 192,455
6,009,454 BROKEN HILL PROPRIETARY CO LTD .................. 50,801
312,030 BURMAH CASTROL PLC .............................. 5,571
5,268,200 CHEVRON CORP .................................... 437,590
2,109,000 COSMO OIL CO LTD ................................ 3,799
13,300 oELCOR CORP ...................................... 336
717,132 ELF AQUITANE S.A ................................ 100,821
30,655,480 ENTE NAZIONALE IDROCARBURI S.P.A ................ 201,068
3,000 oESSO MALAYSIA BERHAD ............................ 3
7,161 oGEOPHYSIQUE (COMPAGNIE GENERALE DE) ............. 1,051
434,038 oGETTY PETROLEUM MARKETING, INC .................. 1,980
273,900 #oHEIZER CORP (LIQUIDATING TR) .................... 45
3,300 oHOLLY CORP ...................................... 85
45,000 JAPAN ENERGY CORP ............................... 48
15,000 oKANTO NATURAL GAS DEVELOPMENT CO LTD ............ 70
1,019,572 LONDON & SCOTTISH MARINE OIL PLC ................ 4,083
706,800 LYONDELL PETROCHEMICAL CO ....................... 21,513
1,525,000 oMITSUBISHI OIL CO LTD ........................... 2,143
503,580 MURPHY OIL CORP ................................. 25,525
50,000 NIPPON OIL & FATS CO LTD ........................ 92
2,434,200 NIPPON OIL CO LTD ............................... 7,857
535,600 PENNZOIL CO ..................................... 27,115
93,000 PETRO-CANADA (NON-RESIDENT) ..................... 1,492
376,900 PETRO-CANADA (VARIABLE- VOTE) ................... 6,048
4,500 QUAKER STATE OIL REFINING CORP .................. 74
1,001,174 REPSOL S.A ...................................... 55,260
5,426,770 ROYAL DUTCH PETROLEUM CO ........................ 300,924
2,688,017 SANTOS LTD ...................................... 8,323
175,484 SASOL LTD ....................................... 1,023
324,000 SHELL REFINERY BERHAD ........................... 461
312,276 oSLH CORP ........................................ 5,699
1,188,542 SUN CO, INC ..................................... 46,130
294,300 SUNCOR ENERGY, INC .............................. 10,006
491,000 oTEIKOKU OIL CO LTD .............................. 1,518
481,215 oTESORO PETROLEUM CORP ........................... 7,639
4,332,126 TEXACO, INC ..................................... 258,574
2,371,216 TOSCO CORP ...................................... 69,654
133,000 TRANSPORTADORA DE GAS DEL SUR
S.A. SERIES B .................................. 298
1,398,899 ULTRAMAR DIAMOND SHAMROCK CORP .................. 44,153
2,773,878 UNOCAL CORP ..................................... 99,166
369,100 VALERO ENERGY CORP .............................. 12,273
215,700 WD-40 CO ........................................ 5,851
293,100 WOODSIDE PETROLEUM LTD .......................... 1,463
82,000 YPF SOCIEDAD ANONIMA (CLASS D) .................. 2,448
107,100 YPF SOCIEDAD ANONIMA (CLASS D) ADR .............. 3,220
-----------
2,510,997
-----------
PIPELINES, EXCEPT NATURAL GAS--0.00%
56,100 KINDER MORGAN ENERGY PARTNERS L.P. .............. 2,027
-----------
PRIMARY METAL INDUSTRIES--0.69%
6,910 ACERINOX S.A .................................... 922
214,431 oACME METALS, INC ................................ 1,072
95,100 oAFC CABLE SYSTEMS, INC .......................... 3,376
915,300 AK STEEL HOLDINGS CORP .......................... 16,361
379,135 ALCAN ALUMINIUM CO LTD .......................... 10,441
57,065 ALCAN ALUMINUM CO LTD (U.S.) .................... 1,576
1,149,135 ALLEGHENY TELEDYNE, INC ......................... 26,286
111,700 oALPINE GROUP, INC ............................... 2,318
279,454 oALUMAX, INC ..................................... 12,960
1,737,400 ALUMINUM CO OF AMERICA .......................... 114,560
1,087,000 AMSTEEL CORP BERHAD ............................. 110
84,000 oAMSTEEL CORP BERHAD WTS 05/19/00 ................ 2
248,300 oARMCO, INC ...................................... 1,583
703,900 ASARCO, INC ..................................... 15,662
423,100 BELDEN, INC ..................................... 12,957
1,060,356 oBETHLEHEM STEEL CORP ............................ 13,188
98,400 BIRMINGHAM STEEL CORP ........................... 1,218
1,855,831 BRITISH STEEL PLC ............................... 4,080
155,700 BRUSH WELLMAN, INC .............................. 3,202
384,050 oCABLE DESIGN TECHNOLOGIES CO .................... 7,921
62,200 CARPENTER TECHNOLOGY CORP ....................... 3,126
20,800 CENTURY ALUMINUM CO ............................. 307
14,100 oCHASE INDUSTRIES, INC ........................... 278
128,100 oCITATION CORP ................................... 2,562
169,800 CO STEEL, INC ................................... 2,511
46,200 COMMONWEALTH INDUSTRIES, INC .................... 462
121,433 oCOMMSCOPE, INC .................................. 1,966
1,688,000 DAIDO STEEL CO LTD .............................. 3,028
141,300 DOFASCO, INC .................................... 2,301
229,450 oENCORE WIRE CORP ................................ 3,700
18,066 ENGELHARD CORP .................................. 366
5,700 oESSEX INTERNATIONAL, INC ........................ 135
142,200 oFLACK S.P.A ..................................... 921
357,800 oFANSTEEL, INC ................................... 3,131
111,000 oFOSTER (LB) CO (CLASS A) ........................ 576
43,000 FRIED. KRUPP AG. HOESCH KRUPP ................... 8,124
464,400 GENERAL CABLE CORP .............................. 13,410
90,270 GERDAU METALURGICA S.A .......................... 2
33,000 GRANGES AB ...................................... 604
48,720 HOOGOVENS NEN STAALIADRIEREN NV ................. 2,108
860 IMCO RECYCLING, INC ............................. 16
491,300 INLAND STEEL INDUSTRIES, INC .................... 13,849
338,500 INTERMET CORP ................................... 6,135
1,000 IVACO, INC (CLASS A) ............................ 4
324,602 J & L SPECIALTY STEEL, INC ...................... 1,927
11,700 oKAISER ALUMINUN CORP ............................ 112
5,720,000 KAWASAKI STEEL CORP ............................. 10,303
115,500 oLONE STAR TECHNOLOGIES, INC ..................... 1,761
1,604,500 LTV CORP ........................................ 15,343
44,600 MADECO S.A. ADR ................................. 393
1,174,020 MANNESMANN AG ................................... 120,654
14,000 oMATTHEWS INTERNATIONAL CORP (CLASS A) ........... 344
88,400 oMAVERICK TUBE CORP .............................. 1,028
11,600 oMAXXAM, INC ..................................... 658
115,900 oMETALS U.S.A., INC .............................. 1,999
58,000 MITSUBISHI STEEL MANUFACTURING CO LTD ........... 54
485,600 oMUELLER INDUSTRIES, INC ......................... 18,028
451,450 NATIONAL IRON & STEEL MILLS LTD ................. 438
386,800 NATIONAL STEEL CORP (CLASS B) ................... 4,593
18,556,000 NIPPON STEEL CORP ............................... 32,622
See notes to financial statements.
-46-
<PAGE>
VALUE
SHARES (000)
------ -----------
PRIMARY METAL INDUSTRIES--(CONTINUED)
12,390,200 NKK CORP ........................................ $ 11,873
8,300 NKT HOLDINGS AS ................................. 646
18,200 NN BALL & ROLLER, INC ........................... 217
141,200 oNS GROUP, INC ................................... 1,430
2,000 NUCOR CORP ...................................... 92
216,500 OREGON STEEL MILLS, INC ......................... 4,032
14,300 PECHINEY S.A .................................... 576
49,130 POHANG IRON & STEEL CO LTD ...................... 1,388
326,550 PRECISION CAST PARTS CORP ....................... 17,430
35,000 oPROMET BERHAD ................................... 2
243,300 QUANEX CORP ..................................... 7,375
146,590 REYNOLDS METALS CO .............................. 8,200
265,900 oRMI TITANIUM CO ................................. 6,049
152,744 ROUGE INDUSTRIES, INC (CLASS A) ................. 1,947
127,550 oSANKYO ALUMINIUM INDUSTRY CO LTD ................ 121
643,101 SIDERCA S.A. (CLASS A) .......................... 1,093
30,520 #oSILVERSTONE BERHAD .............................. 0
23,000 oSPECIAL METALS CORP ............................. 322
243,500 STANDEX INTERNATIONAL CORP ...................... 7,214
1,300 oSTEEL DYNAMICS, INC ............................. 18
4,918,000 SUMITOMO METAL INDUSTRIES LTD ................... 7,902
1,625 SUPERIOR TELECOM, INC ........................... 68
99,050 SVENSKT STAL AB SERIES A (SSAB) ................. 1,528
22,350 SVENSKT STAL AB SERIES B ........................ 336
389,388 TEXAS INDUSTRIES, INC ........................... 20,638
129,890 THYSSEN AG ...................................... 33,030
205,300 TITANIUM METALS CORP ............................ 4,529
418,000 TOKYO STEEL MANUFACTURING CO LTD ................ 2,150
4,500 TREMONT CORP .................................... 253
588,473 oUSINOR .......................................... 9,091
1,982,221 USX-MARATHON GROUP, INC ......................... 68,015
655,064 USX-US STEEL GROUP, INC ......................... 21,617
81,500 oWHX CORP ........................................ 1,049
229,400 oWOLVERINE TUBE, INC ............................. 8,717
3,012 WORTHINGTON INDUSTRIES, INC ..................... 45
-----------
778,667
-----------
PRINTING AND PUBLISHING--1.26%
58,852 AGENCE HAVAS S.A ................................ 4,994
360,830 AMERICAN BUSINESS PRODUCTS, INC ................. 7,397
1,031,100 AMERICAN GREETINGS CORP (CLASS A) ............... 52,522
16,600 oAPPLIED GRAPHICS TECHNOLOGIES, INC .............. 759
521,900 BANTA CORP ...................................... 16,114
107,200 BELO (A.H.) CORP SERIES A ....................... 2,613
360,800 BELO (A.H.) CORP SERIES B ....................... 8,795
236,900 oBIG FLOWER HOLDINGS, INC ........................ 7,107
258,400 BOWNE & CO, INC ................................. 11,628
200,200 CENTRAL NEWSPAPERS, INC (CLASS A) ............... 13,964
145,300 oCONSOLIDATED GRAPHICS, INC ...................... 8,573
10,500 oCSS INDUSTRIES, INC ............................. 344
1,622,662 DAI NIPPON PRINTING CO LTD ...................... 25,896
106,800 oDAY RUNNER, INC ................................. 2,690
1,492,518 DELUXE CORP ..................................... 53,451
1,400 DONNELLEY (R.R.) & SONS CO ...................... 64
100 DOW JONES & CO, INC ............................. 6
416,800 DOW JONES & CO, INC (CLASS B) ................... 23,237
907,468 ELSEVIER UTIGEVERSMIJ NV ........................ 13,695
262,850 ENNIS BUSINESS FORMS, INC ....................... 3,056
62,270 FILIPACCHI MEDIAS S.A ........................... 18,024
222,925 oFRANKLIN COVEY CO ............................... 4,291
2,426,800 GANNETT CO, INC ................................. 172,454
288,900 oGIBSON GREETINGS, INC ........................... 7,223
203,600 oGOLDEN BOOKS FAMILY ENTERTAINMENT, INC .......... 783
555,800 HARLAND (JOHN H.) CO ............................ 9,414
590,600 HARTE-HANKS, INC ................................ 15,245
100 HOLLINGER INTERNATIONAL, INC .................... 2
600 HOUGHTON MIFFLIN CO ............................. 19
370,100 INDEPENDENT NEWSPAPERS PLC ...................... 1,988
129,400 oJOURNAL REGISTER CO ............................. 2,167
1,200 KNIGHT-RIDDER, INC .............................. 66
178,000 KOMORI CORP ..................................... 3,379
436,800 LEE ENTERPRISES, INC ............................ 13,377
14,400 LEE ENTERPRISES, INC (CLASS B) .................. 441
136,100 xoMARVEL ENTERTAINMENT GROUP, INC ................. 38
1,235 MCCLATCHY CO (CLASS A) .......................... 43
273,392 MCGRAW HILL COS, INC ............................ 22,299
207,800 MEDIA GENERAL, INC (CLASS A) .................... 10,234
11,000 MEREDITH CORP ................................... 516
329,200 MEREDITH CORP (CLASS B) ......................... 15,452
33,200 MERRILL CORP .................................... 732
169,900 MONDADORI (ARNOLDO) EDITORE S.P.A ............... 2,009
79,508 MOORE CORP LTD .................................. 1,054
854 MOORE CORP LTD (U.S.) ........................... 11
33,400 oNASIONALE PERS BEPERK SERIES N .................. 221
126,500 NEW ENGLAND BUSINESS SERVICES, INC .............. 4,080
299,000 NEW STRAITS TIMES PRESS BERHAD (THE) ............ 111
474,816 NEW YORK TIMES CO (CLASS A) ..................... 37,629
7,225,696 NEWS CORP LTD ................................... 58,979
898,471 NEWS CORP LTD ADR (LTD-VOTE) .................... 25,382
2,744,000 ORIENTAL PRESS GROUP ............................ 255
60,000 oORIENTAL PRESS GROUP WTS 02/10/98 ............... 0
81,900 oPETERSEN COS, INC (CLASS A) ..................... 2,099
190,250 +PLENUM PUBLISHING CORP .......................... 13,936
659,100 oPRIMEDIA, INC ................................... 8,939
800 PULITZER PUBLISHING CO .......................... 71
86,700 QUEBECOR, INC (CLASS B) ......................... 1,736
942,000 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE) ........................... 25,552
1,101,600 REYNOLDS & REYNOLDS CO (CLASS A) ................ 20,035
4,300 RURAL PRESS LTD ................................. 13
75,000 SCHIBSTED ASA ................................... 1,261
715,700 oSCHOLASTIC CORP ................................. 28,539
348,365 SCRIPPS (E.W.) CO (CLASS A) ..................... 19,095
418,829 SINGAPORE PRESS HOLDINGS LTD (LR) ............... 2,801
3,424,000 SOUTH CHINA MORNING POST ........................ 1,646
252,800 SOUTHAM, INC .................................... 4,590
184,000 STANDARD REGISTER, INC .......................... 6,509
173,160 THOMAS NELSON, INC .............................. 2,316
1,251,250 THOMSON CORP .................................... 36,331
3,631,606 TIME WARNER, INC ................................ 310,275
900 TIMES MIRROR CO SERIES A ........................ 57
762,159 TIMES MIRROR CO SERIES C ........................ 47,921
1,162,000 TOPPAN PRINTING CO LTD .......................... 12,424
528,400 oTOPPS, INC ...................................... 1,635
1,279,600 TRIBUNE CO ...................................... 88,052
1,500 oVALASSIS COMMUNICATIONS, INC .................... 58
279,000 VALUE LINE, INC ................................. 10,672
398,000 VERENIGDE NEDERLANDSE UITGEVERSBED .............. 14,459
598,900 WALLACE COMPUTER SERVICES, INC .................. 14,224
71,100 WASHINGTON POST CO (CLASS B) .................... 40,954
10,000 oWILEY (JOHN) & SONS, INC (CLASS A) .............. 609
27,567 oWORKFLOW MANAGEMENT, INC ........................ 222
299,100 oWORLD COLOR PRESS, INC .......................... 10,469
-----------
1,412,323
-----------
RAILROAD TRANSPORTATION--0.47%
539,726 BRAMBLES INDUSTRIES LTD ......................... 10,592
1,508,328 BURLINGTON NORTHERN SANTA FE CORP ............... 148,099
See notes to financial statements.
-47-
<PAGE>
VALUE
SHARES (000)
------ -----------
RAILROAD TRANSPORTATION--(CONTINUED)
3,386 oCANADIAN NATIONAL RAILWAY CO .................... $ 180
538,800 CANADIAN PACIFIC LTD ............................ 15,168
131,700 CANADIAN PACIFIC LTD (U.S.) ..................... 3,737
2,297,272 CSX CORP ........................................ 104,526
247,600 FLORIDA EAST COAST INDUSTRIES, INC .............. 7,242
2,747,639 HANKYU CORP ..................................... 11,264
37,800 KANSAS CITY SOUTHERN INDUSTRIES, INC ............ 1,876
329,000 KEIHIN ELECTRIC EXPRESS RAILWAY ................. 953
2,589,203 KINKI NIPPON RAILWAY CO LTD ..................... 12,126
2,723,875 NAGOYA RAILROAD CO LTD .......................... 8,243
1,506,000 NIPPON EXPRESS CO LTD ........................... 8,073
1,915,736 NORFOLK SOUTHERN CORP ........................... 57,113
415,000 ODAKYU ELECTRIC RAILWAY CO LTD .................. 1,271
30,500 PROVIDENCE AND WORCESTER RAILROAD CO ............ 446
2,909,102 oRAILTRACK GROUP PLC ............................. 71,303
524,000 SEINO TRANSPORTATION CO LTD ..................... 2,907
641,000 TOBU RAILWAY CO LTD ............................. 1,695
860,199 UNION PACIFIC CORP .............................. 37,956
710,100 oWISCONSIN CENTRAL TRANSIT CORP .................. 15,533
923,878 YAMATO TRANSPORT CO LTD ......................... 10,351
-----------
530,654
-----------
REAL ESTATE--0.27%
11,950 oASTICUS AB ...................................... 132
153,400 oAVATAR HOLDINGS, INC ............................ 4,276
702,780 AXA ............................................. 79,043
389,700 AYALA LAND, INC ................................. 112
45,506,000 oBEIJING NORTH STAR CO LTD SERIES H .............. 12,333
1,442,396 BRITISH LAND PLC ................................ 14,813
75,600 BROOKFIELD PROPERTIES CORP ...................... 1,041
477,450 oCATELLUS DEVELOPMENT CORP ....................... 8,445
10,500 oCB RICHARD ELLIS SERVICES GROUP, INC ............ 351
5,246,508 CHEUNG KONG HOLDINGS LTD ........................ 25,797
2,877,513 CHINESE ESTATES LTD ............................. 501
918,600 CITY DEVELOPMENT LTD ............................ 2,566
27,726 oCITY DEVELOPMENT LTD WTS 07/18/98 ............... 32
628,000 oDAIKYO, INC ..................................... 719
50,900 DILIGENTIA AB ................................... 440
11,889 oECHELON INTERNATIONAL CORP ...................... 313
105,273 oEVERGO CHINA HOLDINGS LTD ....................... 2
58,500 oEXCEL LEGACY CORP ............................... 256
453,600 oFAIRFIELD COMMUNITIES, INC ...................... 8,703
205,750 oFASTIGHETS AB BALDER RTS ........................ 206
571,000 oFIRST CAPITAL CORP LTD .......................... 194
12,200 FOREST CITY ENTERPRISES, INC (CLASS A) .......... 722
15,342 GREAT PORTLAND ESTATES PLC ...................... 64
75,700 oGRUBB & ELLIS CO ................................ 1,079
245,339 HAMMERSON PLC ................................... 2,000
2,405,500 HANG LUNG DEVELOPMENT CO LTD .................... 2,390
400,000 HENDERSON LAND DEVELOPMENT CO LTD ............... 1,319
240 HONG KONG LAND HOLDINGS LTD ..................... 0
728,000 HONG LEONG PROPERTIES BERHAD .................... 104
11,900,748 HOPEWELL HOLDINGS LTD ........................... 1,275
411,500 oHOTEL PROPERTIES LTD ............................ 146
1,965,600 HYSAN DEVELOPMENT CO LTD ........................ 1,624
196,560 oHYSAN DEVELOPMENT CO LTD WTS 04/30/99 ........... 2
210,000 oIGB CORP BERHAD ................................. 50
353,300 oINSIGNIA FINANCIAL GROUP, INC ................... 8,656
36,000 oLASALLE PARTNERS, INC ........................... 1,602
380,122 oLNR PROPERTY CORP ............................... 9,741
449,000 oLUM CHANG HOLDINGS LTD .......................... 90
816,000 oMALAYSIAN RESOURCES CORP BERHAD ................. 207
1,534,900 oMETROPLEX BERHAD ................................ 246
11,600 METROVACESA ..................................... 342
11,600 oMETROVACESA S.A. BONUS RTS ...................... 16
462,836 MISAWA HOMES CO LTD ............................. 1,267
1,493,000 MITSUI FUDOSAN CO LTD ........................... 11,790
889,250 oMULPHA INTERNATIONAL BERHAD ..................... 91
92,000 MYCOM BERHAD .................................... 6
2,820,074 NEW WORLD DEVELOPMENT CO LTD .................... 5,459
199,000 PARKWAY HOLDINGS LTD ............................ 345
59,200 PENN VIRGINIA CORP .............................. 1,532
72,000 PETALING GARDEN BERHAD .......................... 50
18,300 PRICE ENTERPRISES, INC .......................... 336
873,000 ROUSE CO ........................................ 27,445
107,200 oROYAL LEPAGE LTD ................................ 456
11,192 oSAGEM S.A ....................................... 8,708
1,907,309 SCHRODERS PROPERTY FUND ......................... 2,882
162,800 oSECURITY CAPITAL GROUP, INC (CLASS B) ........... 4,335
33,398 oSECURITY CAPITAL GROUP, INC WTS 09/18/98 ........ 11
500,000 SELANGOR PROPERTIES BERHAD ...................... 205
12,504,000 SILVER GRANT INTERNATIONAL INDUSTRIES ........... 1,517
233,318 SLOUGH ESTATES PLC .............................. 1,341
55,496 oSTOCKLAND TR GROUP .............................. 123
1,204,394 TAI CHEUNG HOLDINGS LTD ......................... 292
74,400 oTAK WING INVESTMENT HOLDINGS LTD ................ 2
14,880 #oTAK WING INVESTMENT HOLDINGS LTD WTS 12/31/98 ... 0
766,000 oTOKYO TATEMONO CO LTD ........................... 1,440
320,000 TOSTEM CORP ..................................... 4,145
637 oTRIZEC HAHN CORP WTS 07/25/99 ................... 2
2,860 UNIBAIL S.A ..................................... 370
960,000 UNITED OVERSEAS LAND LTD ........................ 517
122,200 oURBIS S.A ....................................... 1,708
66,920 VALLEHERMOSO S.A ................................ 2,465
272,019 WEBB (DEL) CORP ................................. 7,055
512,500 WEINGARTEN REALTY INVESTORS, INC ................ 21,429
2,268,327 WESTFIELD TRUST (UNITS) ......................... 4,355
60,824 oWESTFIELD TRUST (UNITS) NEW ..................... 113
-----------
303,742
-----------
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS--0.76%
5,300 oAEP INDUSTRIES, INC ............................. 115
79,647 AFRICAN OXYGEN LTD .............................. 135
200 BANDAG, INC ..................................... 8
153,900 BANDAG, INC (CLASS A) ........................... 5,310
128,900 CARLISLE COS, INC ............................... 5,551
13,200 oCONVERSE, INC ................................... 73
100 COOPER TIRE & RUBBER CO ......................... 2
601,000 DENKI KAGKU KOGYO ............................... 970
102,200 FOAMEX INTERNATIONAL, INC ....................... 1,782
260,000 FURON CO ........................................ 4,713
590,835 GENCORP, INC .................................... 14,919
911,000 GOLDEN HOPE PLANTATIONS BERHAD .................. 835
453,750 GOODRICH (B.F.) CO .............................. 22,517
1,572,052 GOODYEAR TIRE & RUBBER CO ....................... 101,299
251,940 oGRACE, W.R. & CO ................................ 4,299
54,800 oINSITUFORM TECHNOLOGIES, INC (CLASS A) .......... 759
902,144 MARK IV INDUSTRIES, INC ......................... 19,509
552,967 MICHELIN S.A. (CLASS B) ......................... 31,920
189,750 MIRAI INDUSTRY CO LTD ........................... 1,593
5,522,600 MONSANTO CO ..................................... 308,575
1,262,600 NIKE, INC (CLASS B) ............................. 61,473
904,100 PREMARK INTERNATIONAL, INC ...................... 29,157
1,537,700 RAYCHEM CORP .................................... 45,458
517,810 oREEBOK INTERNATIONAL LTD ........................ 14,337
1,087,900 RUBBERMAID, INC ................................. 36,105
See notes to financial statements.
-48-
<PAGE>
VALUE
SHARES (000)
------ -----------
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS--(CONTINUED)
594,964 oSAFESKIN CORP ................................... $ 24,468
532,020 oSEALED AIR CORP ................................. 19,552
1,742,045 SOLUTIA, INC .................................... 49,975
3,000 SPARTECH CORP ................................... 64
49,143 STANDARD PRODUCTS CO ............................ 1,382
24,500 TITAN INTERNATIONAL, INC ........................ 417
216,895 TREDEGAR INDUSTRIES, INC ........................ 18,409
986,100 TUPPERWARE CORP ................................. 27,734
149,600 WEST CO, INC .................................... 4,236
67,150 WYNNS INTERNATIONAL, INC ........................ 1,293
-----------
858,944
-----------
SECURITY AND COMMODITY
BROKERS--1.18%
2,144,952 ABBEY NATIONAL PLC .............................. 38,115
2,300 oAMERITRADE HOLDINGS CORP (CLASS A) .............. 62
4,560,000 AMVESCAP PLC .................................... 44,509
169,680 AMVESCAP PLC ADR ................................ 8,336
1,797,528 BEAR STEARNS COS, INC ........................... 102,234
90,150 CREDIT SAISON CO LTD ............................ 1,786
400 DAIN RAUSCHER CORP .............................. 22
5,622,000 DAIWA SECURITIES CO LTD ......................... 24,182
428,800 DONALDSON, LUFKIN, & JENRETTE, INC .............. 21,788
533 DUFF & PHELPS CREDIT RATING CO .................. 30
185,200 EATON VANCE CORP ................................ 8,577
1,920,832 EDWARDS (A.G.), INC ............................. 81,996
471,692 EVEREN CAPITAL CORP ............................. 13,207
108,527 FORTIS AG ....................................... 27,707
524,600 FRANKLIN RESOURCES, INC ......................... 28,328
6,100 oHAMBRECHT & QUIST GROUP ......................... 222
37,932 HONG LEONG CREDIT BERHAD ........................ 26
15,339 INVESTORS FINANCIAL SERVICES CORP ............... 813
521,000 JACCS CO ........................................ 2,748
14,500 JEFFERIES GROUP, INC ............................ 595
15,800 JOHN NUVEEN CO (CLASS A) ........................ 627
1,266 LEGG MASON, INC ................................. 73
1,353,042 LEHMAN BROTHERS HOLDINGS, INC ................... 104,945
1,303,000 oMBF CAPITAL BERHAD .............................. 218
38,000 MCDONALD & CO INVESTMENTS ....................... 1,247
7,056 oMERCAPITAL S.A .................................. 78
2,359,092 MERRILL LYNCH & CO, INC ......................... 217,626
383,700 MORGAN KEEGAN, INC .............................. 9,928
3,773,312 MORGAN STANLEY, DEAN WITTER, & CO ............... 344,786
395,000 NIPPON SHINPAN CO LTD ........................... 655
4,521,000 NOMURA SECURITIES CO LTD ........................ 52,607
97,000 OM GRUPPEN AB ................................... 2,019
80,000 ORIX CORP ....................................... 5,401
2,111,700 PAINE WEBBER GROUP, INC ......................... 90,803
517,000 xoPEREGRINE INVESTMENT HOLDINGS LTD ............... 287
75,741 PHOENIX INVESTMENT PARTNERS LTD ................. 658
82,918 PIONEER GROUP, INC .............................. 2,182
756,100 PRICE (T. ROWE) ASSOCIATES, INC ................. 28,401
313,000 oRASHID HUSSAIN BERHAD ........................... 154
678,800 RAYMOND JAMES FINANCIAL CORP .................... 20,322
349,512 SCHROEDERS LTD .................................. 9,016
125,600 SCHWAB (CHARLES) CORP ........................... 4,082
229,112 SEI INVESTMENT CO ............................... 14,205
13,700 SOUTHWEST SECURITIES GROUP, INC ................. 308
2,841,029 SUN HUNG KAI PROPERTIES LTD ..................... 12,063
390,000 oTA ENTERPRISE BERHAD ............................ 58
600 UNITED ASSET MANAGEMENT CORP .................... 16
1,901,000 xoYAMAICHI SECURITIES CO LTD ...................... 27
-----------
1,328,075
-----------
SOCIAL SERVICES--0.00%
4,350 oRES-CARE, INC ................................... 80
50,700 oRWD TECHNOLOGIES, INC ........................... 1,198
56,500 oSUNRISE ASSISTED LIVING, INC .................... 1,942
-----------
3,220
-----------
SPECIAL TRADE CONTRACTORS--0.02%
51,000 oAMERICAN RESIDENTIAL SERVICES, INC .............. 574
271,800 APOGEE ENTERPRISES, INC ......................... 4,162
102,700 oCOMFORT SYSTEMS U.S.A., INC ..................... 2,401
425,700 GEON CO ......................................... 9,764
5,600 oLAYNE CHRISTENSEN CO ............................ 69
10,236 oNSC CORP ........................................ 19
3,095 xoOMEGA ENVIRONMENTAL, INC ........................ 0
334,569 PORTLAND HOLDINGS LTD ........................... 242
84,600 oWESTELL TECHNOLOGIES, INC (CLASS A) ............. 783
-----------
18,014
-----------
STONE, CLAY, AND GLASS
PRODUCTS--0.41%
210,500 oACX TECHNOLOGIES, INC ........................... 4,578
3,573 AKER RGI ASA .................................... 51
78,800 AKER RGI ASA SERIES A ........................... 1,237
1,200 AMERON INTERNATIONAL CORP ....................... 69
1,507,000 ASAHI GLASS CO LTD .............................. 8,143
966,201 CARADON PLC ..................................... 2,999
308,600 CEMENTIR S.P.A .................................. 351
35,300 CENTEX CONSTRUCTION PRODUCTS, INC ............... 1,359
497,989 CIMENTOS DE PORTUGAL ............................ 17,498
632,290 CORNING, INC .................................... 21,972
1,442,998 CRH PLC ......................................... 20,525
82 CRISTALERIA ESPANOLA S.A ........................ 8
84,000 oDAL-TILE INTERNATIONAL, INC ..................... 824
319,600 oDEPARTMENT 56, INC .............................. 11,346
68,536 oDRAVO CORP ...................................... 630
314,100 FLORIDA ROCK INDUSTRIES, INC .................... 9,168
104,900 oGIANT CEMENT HOLDINGS, INC ...................... 3,003
361,096 GREEN (A.P.) INDUSTRIES, INC .................... 7,899
9,721 HOLDERBANK FINANCIERE GLARUS AG. (BR) ........... 12,369
1,300 HOLDERBANK FINANCIERE GLARUS AG. (REGD) ......... 327
196,000 HUME INDUSTRIES BERHAD .......................... 147
40,000 ITALCEMENTI S.P.A. (S/S) ........................ 175
577,030 LAFARGE CORP .................................... 22,684
363,778 LAFARGE S.A. (BR) ............................... 37,605
30,768 #LAFARGE S.A. (REGD) ............................. 3,181
5,481 LAFARGE S.A. (SPANISH CERT) ..................... 573
136,100 LIBBEY, INC ..................................... 5,214
125,200 LONE STAR INDUSTRIES, INC ....................... 9,648
278,392 MEDUSA CORP ..................................... 17,469
1,694,000 NIPPON SHEET GLASS CO LTD ....................... 2,673
901,300 OWENS CORNING CO ................................ 36,784
361,481 oOWENS ILLINOIS, INC ............................. 16,176
1,794,993 PPG INDUSTRIES, INC ............................. 124,864
136,120 REPUBLIC GROUP, INC ............................. 2,859
81,000 oSHIBUYA KOGYO ................................... 435
444,900 oSOLA INTERNATIONAL, INC ......................... 14,543
295,474 SOUTHDOWN, INC .................................. 21,089
323,200 oUSG CORP ........................................ 17,493
396,000 VIDRALA S.A ..................................... 5,238
-----------
463,206
-----------
TEXTILE MILL PRODUCTS--0.15%
325,267 ALBANY INTERNATIONAL CORP
(CLASS A) ...................................... 7,786
718,500 oBURLINGTON INDUSTRIES, INC ...................... 10,104
See notes to financial statements.
-49-
<PAGE>
VALUE
SHARES (000)
------ -----------
TEXTILE MILL PRODUCTS--(CONTINUED)
19,090 CHARGEURS S.A ................................... $ 1,577
338,300 oCOLLINS & AIKMAN CORP ........................... 2,516
2,500 oCONE MILLS CORP ................................. 22
23,900 CONFECCOES GUARARAPES S.A ....................... 71
8,600 CULP, INC ....................................... 111
107,838 FAB INDUSTRIES, INC ............................. 3,006
11,500 oGALEY & LORD, INC ............................... 171
178,500 oGOLD ZACK AG .................................... 56,863
295,557 GUILFORD MILLS, INC ............................. 5,911
2,700 oLENZING AG ...................................... 206
458,000 MITSUBISHI RAYON CO LTD ......................... 1,280
90,100 oPOLYMER GROUP, INC .............................. 1,025
455,200 RUDDICK CORP .................................... 8,251
314,800 RUSSELL CORP .................................... 9,503
1,658,600 SHAW INDUSTRIES, INC ............................ 29,233
219,500 SPRING INDUSTRIES, INC .......................... 10,124
78,100 ST. JOHN KNITS, INC ............................. 3,017
67,100 oTULTEX CORP ..................................... 164
307,325 UNIFI, INC ...................................... 10,526
226,000 oWESTPOINT STEVENS, INC .......................... 7,458
-----------
168,925
-----------
TOBACCO PRODUCTS--0.84%
5,285,093 B.A.T. INDUSTRIES LTD ........................... 52,909
110,600 oCONSOLIDATED CIGAR HOLDINGS, INC ................ 1,355
314,900 FORTUNE BRANDS, INC ............................. 12,104
2,950,000 oGALLAHER GROUP PLC .............................. 16,304
307,500 oGENERAL CIGAR HOLDINGS, INC (CLASS A) ........... 3,037
1,103,100 IMASCO LTD ...................................... 20,365
24,928 NOBLEZA-PICCARDO S.A. (CLASS B) ................. 101
19,036,600 PHILIP MORRIS COS, INC .......................... 749,566
215,000 R.J. REYNOLDS BERHAD ............................ 298
338,463 ROTHMANS HOLDINGS LTD ........................... 2,081
302,300 ROTHMANS OF PALL MALL BERHAD .................... 2,096
153,096 SEITA S.A ....................................... 6,938
63,878 SOUZA CRUZ S.A .................................. 475
3,323,500 TABACALERA S.A. SERIES A (REGD) ................. 68,167
132,200 UST, INC ........................................ 3,569
-----------
939,365
-----------
TRANSPORTATION BY AIR--0.65%
4,197,300 oAIR CANADA, INC ................................. 37,532
1,342,600 AIR NEW ZEALAND LTD (CLASS B) ................... 1,443
20,000 oAIRNET SYSTEMS, INC ............................. 323
157,100 oAIRTRAN HOLDINGS, INC ........................... 1,183
356,300 oALASKA AIR GROUP, INC ........................... 19,441
1,170 ALL NIPPON AIRWAYS CO LTD ....................... 4
722,100 oAMERICA WEST HOLDINGS CORP (CLASS B) ............ 20,625
1,800,763 oAMR CORP ........................................ 149,914
704,098 ASA HOLDINGS, INC ............................... 34,941
76,200 oATLANTIC COAST AIRLINES HOLDINGS ................ 2,286
26,000 oATLAS AIR, INC .................................. 879
22,900 AUSTRIAN AIRLINES/OEST LUFTV AG ................. 754
208,688 oAVIALL, INC ..................................... 2,856
1,268,601 BRITISH AIRPORT AUTHORITIES PLC ................. 13,695
3,887,513 BRITISH AIRWAYS PLC ............................. 42,064
200 oCANADIAN AIRLINES CORP .......................... 1
4,000 oCANADIAN AIRLINES CORP WTS 04/22/99 ............. 0
3,172,800 CATHAY PACIFIC AIRWAYS LTD ...................... 2,232
1,158,800 COMAIR HOLDINGS, INC ............................ 35,778
240,000 oCONTINENTAL AIRLINES, INC (CLASS B) ............. 14,610
409,043 DELTA AIRLINES, INC ............................. 52,869
722,990 DEUTSCHE LUFTHANSA AG. (REGD) ................... 18,205
29,700 oEAGLE U.S.A. AIRFREIGHT, INC .................... 1,030
480,571 oFDX CORP ........................................ 30,156
396,800 GALILEO INTERNATIONAL, INC ...................... 17,881
21,800 HELIKOPTER SERVICES GROUP ASA ................... 222
52,500 HONG KONG AIRCRAFT ENGINEERING CO LTD ........... 81
2,998,400 oJAPAN AIRLINES CO LTD ........................... 8,339
39,000 oKITTY HAWK, INC ................................. 663
96,883 oKLM (ROYAL DUTCH AIRLINES) NV ................... 3,934
692,000 oMALAYSIAN AIRLINE SYSTEM BERHAD ................. 229
13,850 oMIDWEST EXPRESS HOLDINGS, INC ................... 501
110,400 NALURI BERHAD ................................... 10
22,080 oMALAYSIAN HELICOPTER WTS 06/11/00 ............... 1
340,600 oNORTHWEST AIRLINES CORP (CLASS A) ............... 13,134
360,400 oOFFSHORE LOGISTICS, INC ......................... 6,397
307,950 PITTSTON BAX GROUP .............................. 4,792
251,000 oRYANAIR HOLDINGS PLC ............................ 1,779
415,000 oRYANAIR HOLDINGS PLC ADR ........................ 14,784
19,100 SAIRGROUP ....................................... 6,284
56,388 SAS DANMARK AS .................................. 1,132
52,000 SAS NORGE ASA SERIES B .......................... 888
1,079,000 oSINGAPORE INTERNATIONAL AIRLINES LTD (FR) ....... 5,045
127,000 SKYWEST, INC .................................... 3,556
59,301 SODEXHO ALLIANCE S.A ............................ 11,211
413,455 SOUTHWEST AIRLINES CO ........................... 12,249
1,729,200 SWIRE PACIFIC LTD (CLASS A) ..................... 6,528
3,500 oTRANS WORLD AIRLINES, INC ....................... 36
999,900 oU.S. AIRWAYS GROUP, INC ......................... 79,242
564,820 oUAL CORP ........................................ 44,056
30,500 oVIRGIN EXPRESS HOLDINGS ......................... 1,221
-----------
727,016
-----------
TRANSPORTATION EQUIPMENT--3.60%
9,900 oAFTERMARKET TECHNOLOGY CORP ..................... 186
9,156,943 ALLIED SIGNAL, INC .............................. 406,339
361,900 ARCTIC CAT, INC ................................. 3,574
113,400 ARVIN INDUSTRIES, INC ........................... 4,118
933,574 AUTOLIV, INC .................................... 29,524
1,000 oAVONDALE INDUSTRIES, INC ........................ 28
310,598 oBE AEROSPACE, INC ............................... 9,046
8,224,954 BOEING CO ....................................... 366,525
9,000 oBREED TECHNOLOGIES, INC ......................... 138
6,000 xoBREMER VULKAN AG ................................ 4
2,316,895 BRIDGESTONE CORP ................................ 54,754
6,591,737 BRITISH AEROSPACE PLC ........................... 50,482
7,134 oBRITISH AEROSPACE PLC WTS 11/15/00 .............. 154
6,426,597 CHRYSLER CORP ................................... 362,299
69,100 COACHMEN INDUSTRIES, INC ........................ 1,805
165,150 COMMERCIAL INTERTECH CORP ....................... 2,993
52,900 CURTISS WRIGHT CORP ............................. 2,073
236,000 CYCLE & CARRIAGE LTD ............................ 576
696,013 DAIMLER BENZ AG ................................. 68,445
280,040 DANA CORP ....................................... 14,982
351,000 DANAHER CORP .................................... 12,877
1,283,400 DENSO CORP ...................................... 21,268
34,100 oDUCOMMUN, INC ................................... 682
1,500 ECHLIN, INC ..................................... 74
96,000 EXCEL INDUSTRIES, INC ........................... 1,374
305,000 EXEDY CORP ...................................... 1,868
6,800 oFABBRICA ITALIANA APPARECCHIATURE ............... 27
179,300 FAG KUGELFISCHER (GEORG)
SCHAEFER AG .................................... 2,687
2,714 FEDERAL SIGNAL CORP ............................. 66
1,100 FEDERAL-MOGUL CORP .............................. 74
10,341,584 oFIAT S.P.A ...................................... 45,298
366,667 oFIAT S.P.A. (PRIV) .............................. 913
See notes to financial statements.
-50-
<PAGE>
VALUE
SHARES (000)
------ -----------
TRANSPORTATION EQUIPMENT--
(CONTINUED)
3,146,997 oFIAT S.P.A. DI RISP ............................. $ 7,796
2,100 FLEETWOOD ENTERPRISES, INC ...................... 84
8,797,048 FORD MOTOR CO ................................... 519,026
1,507,915 FUTURIS CORP LTD ................................ 1,326
198,900 GENERAL DYNAMICS CORP ........................... 9,249
5,490,376 GENERAL MOTORS CORP ............................. 366,826
2,269,440 oGENERAL MOTORS CORP (CLASS H) ................... 106,947
1,309,700 oGENTEX CORP ..................................... 23,738
1,062,400 oGULFSTREAM AEROSPACE CORP ....................... 49,402
20,435 oHALTER MARINE GROUP, INC ........................ 308
508,900 HARLEY DAVIDSON, INC ............................ 19,720
110,120 oHAYES LEMMERZ INTERNATIONAL, INC ................ 4,377
11,100 oHEICO CORP ...................................... 294
5,550 oHEICO CORP (CLASS A) ............................ 142
2,182,000 HONDA MOTOR CO LTD .............................. 77,663
225,025 HUFFY CORP ...................................... 4,079
1,785,136 ITT INDUSTRIES, INC ............................. 66,719
271,800 KAMAN CORP (CLASS A) ............................ 5,173
1,061,000 KAWASAKI HEAVY INDUSTRIES LTD ................... 2,140
3,935 KVAERNER INDUSTRIER AS SERIES B ................. 122
1,050,300 oLEAR CORP ....................................... 53,894
1,268,231 LOCKHEED MARTIN CORP ............................ 134,274
2,173,643 LUCASVARITY PLC ................................. 8,632
191,400 MAGNA INTERNATIONAL, INC ........................ 13,106
48,500 oMAN AG. (STAMM) ................................. 18,916
2,965,147 MERITOR AUTOMOTIVE, INC ......................... 71,164
3,226,000 oMITSUI ENGINEERING & SHIP BUILDING CO LTD ....... 2,441
126,570 MODINE MANUFACTURING CO ......................... 4,382
200 oMOTIVEPOWER INDUSTRIES, INC ..................... 5
1,239,900 oNAVISTAR INTERNATIONAL CORP ..................... 35,802
126,137 NEWPORT NEWS SHIPBUILDING, INC .................. 3,374
1,048,000 NGK SPARK PLUG CO LTD ........................... 8,910
5,159,000 NISSAN MOTOR CO LTD ............................. 16,244
529,375 NORTHROP GRUMMAN CORP ........................... 54,592
2,300 oOEA, INC ........................................ 37
401,400 PACCAR, INC ..................................... 20,973
7,922 PENDRAGON PLC ................................... 30
573,000 oPERUSAHAAN OTOMOBIL NASIONAL BERHAD ............. 366
89,306 PEUGEOT S.A ..................................... 19,202
4,149,849 PIRELLI S.P.A ................................... 12,967
379,700 POLARIS INDUSTRIES, INC ......................... 14,286
264,200 REGAL-BELOIT CORP ............................... 7,530
28,200 oRHEINMETALL AG .................................. 937
3,031,895 ROLLS ROYCE LTD ................................. 12,520
10,200 oSEQUA CORP (CLASS A) ............................ 681
289,975 SIMPSON INDUSTRIES, INC ......................... 3,969
101,000 SMITH (A.O.) CORP ............................... 5,220
15,900 oSPAR AEROSPACE LTD .............................. 112
243,150 SPARTAN MOTORS, INC ............................. 1,732
1,000 oSPX CORP ........................................ 64
7,400 STEYR-DAIMLER-PUCH AG ........................... 203
61,294 oSTRATTEC SECURITY CORP .......................... 1,846
723,600 SUNDSTRAND CORP ................................. 41,426
1,800 SUPERIOR INDUSTRIES INTERNATIONAL, INC .......... 51
1,479,000 #oTAN CHONG INTERNATIONAL LTD ..................... 132
493,000 TAN CHONG MOTOR HOLDINGS BERHAD ................. 90
293,600 TELEFLEX, INC ................................... 11,157
481,667 TEXTRON, INC .................................... 34,530
285,378 oTHOMSON-CSF ..................................... 10,856
7,050 THOR INDUSTRIES, INC ............................ 195
8,319,880 TOYOTA MOTOR CORP ............................... 215,202
1,530 oTRIUMPH GROUP, INC .............................. 64
1,539,280 TRW, INC ........................................ 84,083
2,775,650 UNITED TECHNOLOGIES CORP ........................ 256,748
254,119 VALEO S.A ....................................... 25,975
64,900 VARLEN CORP ..................................... 2,239
77,264 VOLKSWAGEN AG ................................... 74,610
143,000 VOLVO AB SERIES A ............................... 4,160
906,470 VOLVO AB SERIES B FREE .......................... 26,995
1,650 WABASH NATIONAL CORP ............................ 42
49,800 oWALBRO CORP ..................................... 703
23,300 oWESTINGHOUSE AIR BRAKE CO ....................... 612
242,400 WINNEBAGO INDUSTRIES, INC ....................... 3,091
-----------
4,051,756
-----------
TRANSPORTATION SERVICES--0.13%
8,993 AIR EXPRESS INTERNATIONAL CORP .................. 241
535,200 AIRBORNE FREIGHT CORP ........................... 18,699
3,423,100 AIRTOURS PLC .................................... 25,759
72,400 BERGESEN AS SERIES A ............................ 1,378
122,850 oCIRCLE INTERNATIONAL GROUP, INC ................. 3,440
4,560 DANZAS HOLDINGS AG. (REGD) ...................... 1,227
229,100 EXPEDITORS INTERNATIONAL OF WASHINGTON .......... 10,080
30,900 oFRITZ COS, INC .................................. 413
539,200 GATX CORP ....................................... 23,657
2,400 LAURITZEN J. HOLDINGS (CLASS B) ................. 236
386,500 oMESA AIR GROUP, INC ............................. 3,140
20,675 oNAVIGANT INTERNATIONAL, INC ..................... 176
1,438,600 +oSABRE GROUP HOLDINGS, INC ....................... 54,667
27,088 TRENCOR LTD ..................................... 90
83,400 oU.S. EXPRESS ENTERPRISES, INC (CLASS A) ......... 1,397
-----------
144,600
-----------
TRUCKING AND WAREHOUSING--0.09%
351,200 oAMERICAN FREIGHTWAYS CORP ....................... 3,512
397,700 ARNOLD INDUSTRIES, INC .......................... 5,866
1,400 CNF TRANSPORTATION, INC ......................... 60
242,350 oCONSOLIDATED FREIGHTWAYS CORP ................... 3,378
130,100 oCOVENANT TRANSPORT, INC (CLASS A) ............... 2,537
220,407 oHEARTLAND EXPRESS, INC .......................... 4,463
385,450 HUNT (J.B.) TRANSPORT SERVICES, INC ............. 13,732
81,000 oKNIGHT TRANSPORTATION, INC ...................... 1,549
105,000 oM.S. CARRIERS, INC .............................. 2,848
48,800 oPIERCE LEAHY CORP ............................... 1,135
228,950 ROADWAY EXPRESS, INC ............................ 4,321
228,450 oSWIFT TRANSPORTATION CO, INC .................... 4,526
832,418 oTNT POST GROUP NV ............................... 21,279
480,000 USFREIGHTWAYS CORP .............................. 15,765
107,090 WERNER ENTERPRISES, INC ......................... 2,041
481,400 oYELLOW CORP ..................................... 8,936
-----------
95,948
-----------
WATER TRANSPORTATION--0.11%
245,034 ALEXANDER & BALDWIN, INC ........................ 7,137
39,500 oAMERICAN CLASSIC VOYAGES CO ..................... 583
164,200 BERGESEN D.Y. AS (CLASS B) ...................... 3,071
12,900 CMB CIE MARITIME BELGE S.A ...................... 974
1,971 DAMPSKIBSSELSKABET AF 1912 (CLASS B) ............ 16,910
2,048 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) .......... 25,016
24,200 oGULFMARK OFFSHORE, INC .......................... 551
1,036,000 oHAI SUN HUP GROUP LTD ........................... 242
69,700 oHVIDE MARINE, INC (CLASS A) ..................... 945
13,000 oIRISH CONTINENTAL GROUP PLC ..................... 209
26,000 oIRISH CONTINENTAL GROUP PLC (U.K.) .............. 434
652,000 KAMIGUMI CO LTD ................................. 2,725
781,000 KAWASAKI KISEN KAISHA LTD ....................... 1,351
See notes to financial statements.
-51-
<PAGE>
VALUE
SHARES (000)
------ -----------
WATER TRANSPORTATION--(CONTINUED)
39,000 oKIRBY CORP ...................................... $ 985
28,500 KONINKLIJKE NEDLLOYD GROEP NV ................... 579
34,400 LEIF HOEGH & CO ................................. 502
1,849,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) ........ 2,697
110,800 MALAYSIAN INTERNATIONAL SHIPPING CO (LR) ........ 162
70,350 oMARINE TRANSPORT CORP ........................... 286
3,347,000 MITSUI OSK LINES LTD ............................ 5,691
223,168 oNCL HOLDINGS AS ................................. 1,102
1,345,000 oNEPTUNE ORIENT LINES LTD ........................ 466
1,561,800 NIPPON YUSEN KABUSHIKI KAISHA ................... 5,289
110,120 OCEAN GROUP PLC ................................. 1,390
591,900 oOMI CORP ........................................ 4,735
298,260 OVERSEAS SHIPHOLDING GROUP, INC ................. 6,077
621,632 PENINSULAR & ORIENTAL STEAM NAVIGATION CO ....... 8,951
195,900 oSEACOR SMIT, INC ................................ 12,011
174,000 SEMBAWANG MARINE & LOGISTICS .................... 92
19,100 oSTAR CRUISES PUBLIC CO LTD ...................... 36
365,900 TIDEWATER, INC .................................. 12,075
195,313 TRANSPORT DEVELOPMENT GROUP PLC ................. 968
91,800 oTRICO MARINE SERVICES, INC ...................... 1,257
20,400 UNITOR AS ....................................... 300
-----------
125,799
-----------
WHOLESALE TRADE--
DURABLE GOODS--0.19%
1,125 AAR CORP ........................................ 33
12,700 oACT MANUFACTURING, INC .......................... 121
68,400 oACTION PERFORMANCE COS, INC ..................... 2,202
121,000 AIPHONE CO LTD .................................. 867
48,100 oANICOM, INC ..................................... 715
275,837 APPLIED INDUSTRIAL TECHNOLOGIES, INC ............ 5,672
155,700 xoAPS HOLDING CORP ................................ 102
733,264 oARROW ELECTRONICS, INC .......................... 15,948
3,100 oAVIATION SALES CO ............................... 123
68,100 AVNET, INC ...................................... 3,724
29,500 oBARNETT, INC .................................... 597
202,223 oBELL INDUSTRIES, INC ............................ 2,300
38,533 xoBEN FRANKLIN RETAIL STORES, INC ................. 0
411,472 BRIGGS & STRATTON CORP .......................... 15,404
948,300 oBRIGHTPOINT, INC ................................ 13,750
498,000 oCELLSTAR CORP ................................... 6,443
580,300 oCHS ELECTRONICS, INC ............................ 10,373
155,321 COMMERCIAL METALS CO ............................ 4,776
51,000 oCREAN (JAMES) PLC (UNITS) ....................... 111
59,000 DICKSON CONCEPTS INTERNATIONAL LTD .............. 82
7,800 DIETEREN S.A .................................... 3,642
198,000 EDARAN OTOMOBIL NASIONAL BERHAD ................. 191
79,600 oEKCO GROUP, INC ................................. 627
6,209 oFAIRCHILD CORP (CLASS A) ........................ 125
167,100 GENUINE PARTS CO ................................ 5,775
75,000 GEWISS S.P.A .................................... 1,575
11,300 oGRAHAM-FIELD HEALTH PRODUCTS, INC ............... 64
163,200 GRAINGER (W.W.), INC ............................ 8,129
95,000 oHA-LO INDUSTRIES, INC ........................... 2,957
497,575 oHANDLEMAN CO .................................... 5,722
1,500 oHIRSCH INTERNATIONAL CORP (CLASS A) ............. 13
230,500 oHUGHES SUPPLY, INC .............................. 8,442
4,200 oINGRAM MICRO, INC (CLASS A) ..................... 186
51,200 oINSIGHT ENTERPRISES, INC ........................ 2,048
451,200 oKENT ELECTRONICS CORP ........................... 8,263
20,200 oKEYSTONE AUTOMOTIVE INDUSTRIES, INC ............. 467
128,500 LAWSON PRODUCTS, INC ............................ 3,309
102,635 oLUMEN TECHNOLOGIES, INC ......................... 911
9,600 oMARSHALL INDUSTRIES, INC ........................ 262
201,200 oMERISEL, INC .................................... 578
83,200 oMETAL MANAGEMENT, INC ........................... 889
434,969 METAL MANUFACTURES LTD .......................... 525
167,978 METRO CASH & CARRY LTD .......................... 108
171,900 oNATIONAL-OILWELL, INC ........................... 4,609
10,400 oOAK TECHNOLOGY, INC ............................. 47
407,912 OWENS & MINOR, INC .............................. 4,079
257,075 oPATTERSON DENTAL CO ............................. 9,415
2,600 PIONEER-STANDARD ELECTRONICS, INC ............... 25
13,200 PREUSSAG AKTIEGESELLSCHAFT AG ................... 4,724
148,269 oQUALCOMM, INC ................................... 8,331
8,500 oRELIANCE STEEL & ALUMINUM CO .................... 328
67,397 REUNERT LTD ..................................... 77
63,800 oSODAK GAMING, INC ............................... 399
512,000 xoSTREAMLOGIC CORP ................................ 8
242,650 oTBC CORP ........................................ 1,608
562,800 oTECH DATA CORP .................................. 24,130
109,400 oVWR SCIENTIFIC PRODUCTS CORP .................... 2,694
500 WESCO FINANCIAL CORP ............................ 196
600 oWILMAR INDUSTRIES, INC .......................... 15
336,698 oWINDMERE-DURABLE HOLDING, INC ................... 12,058
-----------
210,894
-----------
WHOLESALE TRADE--
NONDURABLE GOODS--0.70%
73,500 o800-JR CIGAR, INC ............................... 1,452
193,228 oAGRIBIOTECH, INC ................................ 5,350
101,700 oAMERISOURCE HEALTH CORP (CLASS A) ............... 6,680
1,805,477 BERGEN BRUNSWIG CORP (CLASS A) .................. 83,729
255,566 BINDLEY WESTERN INDUSTRIES, INC ................. 8,434
199,400 oBOISE CASCADE OFFICE PRODUCTS CORP .............. 3,091
58,700 oBT OFFICE PRODUCTS
INTERNATIONAL, INC ............................. 792
2,624 oBURLINGTON COAT FACTORY WAREHOUSE CORP .......... 59
2,746,159 CARDINAL HEALTH, INC ............................ 257,452
491,300 oCENTRAL GARDEN & PET CO ......................... 15,292
548,200 oCORPORATE EXPRESS, INC .......................... 6,955
98,800 oDAISYTEK INTERNATIONAL CORP ..................... 2,513
700,350 DIMON, INC ...................................... 7,879
1,657,414 ENRON CORP ...................................... 89,604
334,127 oERCROS S.A ...................................... 423
344,349 F.H. FAULDING & CO LTD .......................... 1,571
216,943 FLEMING COS, INC ................................ 3,810
445,641 FYFFES PLC ...................................... 1,082
441,000 oGENESCO, INC .................................... 7,194
14,433 HERBALIFE INTERNATIONAL, INC (CLASS A) .......... 355
120,266 HERBALIFE INTERNATIONAL, INC (CLASS B) .......... 2,480
111,200 HUNT CORP ....................................... 2,634
62,000 HUTECH NORIN CO LTD ............................. 326
1,566,100 IKON OFFICE SOLUTIONS, INC ...................... 22,806
3,600 oKENNETH COLE PRODUCTIONS, INC ................... 93
1,700 LOBLAW COS LTD .................................. 40
294,500 MCKESSON CORP ................................... 23,928
21,100 MYERS INDUSTRIES, INC ........................... 506
186,200 NASH FINCH CO ................................... 2,805
3,800 oNU SKIN ENTERPRISES, INC (CLASS A) .............. 74
77,600 OSHAWA GROUP LTD (CLASS A) ...................... 1,398
40,500 oPERFORMANCE FOOD GROUP CO ....................... 805
265,474 oPROVIGO, INC .................................... 1,643
616,900 oREXALL SUNDOWN, INC ............................. 21,746
835,700 RICHFOOD HOLDINGS, INC .......................... 17,289
146,050 RUSS BERRIE & CO, INC ........................... 3,651
See notes to financial statements.
-52-
<PAGE>
VALUE
SHARES (000)
------ -----------
WHOLESALE TRADE--
NONDURABLE GOODS--(CONTINUED)
16,000 SAGAMI RUBBER INDUSTRIES CO LTD ................. $ 55
2,988 SALAMANDER AG ................................... 492
26,800 oSCHEIN (HENRY), INC ............................. 1,236
255,000 oSKW TROSTBERG AG ................................ 9,183
15,500 SMART & FINAL, INC .............................. 265
162,736 oSTANDARD COMMERCIAL CORP ........................ 1,790
425,220 oSUIZA FOODS CORP ................................ 25,380
1,040,100 SUPERVALU, INC .................................. 46,154
3,512,780 SWEDISH MATCH CO ................................ 11,673
993,460 oSWEDISH MATCH CO RTS ............................ 64
2,210,200 SYSCO CORP ...................................... 56,636
44,100 TERRA INDUSTRIES, INC ........................... 397
51,689 oU.S. OFFICE PRODUCTS CO ......................... 1,008
1,643,600 UNISOURCE WORLDWIDE, INC ........................ 17,771
24,200 oUNITED NATURAL FOODS, INC ....................... 690
17,048 oUNITED STATIONERS, INC .......................... 1,104
9,700 UNIVERSAL CORP .................................. 363
43,600 oURALITA S.A ..................................... 622
50,400 WORLD FUEL SERVICES CORP ........................ 855
-----------
781,679
-----------
TOTAL COMMON STOCK
(COST $61,565,907) ............................... 111,122,641
-----------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--5.12%
BANK NOTES--0.12%
ABBEY NATIONAL TREASURY SERVICE
$ 3,943,000 5.375%, 01/19/99 ............................... 3,934
BANK OF NEW YORK
15,000,000 5.530%, 02/25/99 ............................... 14,966
20,000,000 5.750%, 05/14/99 ............................... 19,988
BANKBOSTON, NA
50,000,000 5.690%, 07/06/98 ............................... 49,997
FIRST NATIONAL BANK OF CHICAGO
25,000,000 5.890%, 08/26/98 ............................... 24,997
TORONTO DOMINION BANK
6,250,000 5.500%, 10/19/98 ............................... 6,141
WACHOVIA BANK, NATIONAL ASSOCIATION
10,000,000 5.620%, 12/01/98 ............................... 9,993
-----------
130,016
-----------
BANKERS ACCEPTANCES--0.00%
BANK OF MONTREAL
7,000,000 5.490%,11/10/98 ................................ 6,841
-----------
CERTIFICATES OF DEPOSIT--0.44%
AMRO NORTH AMERICA FINANCE, INC
25,000,000 5.710%,10/09/98 ................................ 24,989
BANK OF MONTREAL
40,000,000 5.580%,10/02/98 ................................ 39,994
BANK OF NOVA SCOTIA
25,000,000 5.890%,08/27/98 ................................ 25,000
10,000,000 5.690%,03/05/99 ................................ 9,993
14,000,000 5.650%,03/23/99 ................................ 13,987
BARCLAYS BANK PLC
25,000,000 5.530%,02/23/99 ................................ 24,958
CREDIT AGRICOLE
25,000,000 5.750%,05/19/99 ................................ 25,000
CREDIT SUISSE
25,000,000 5.700%,03/26/99 ................................ 24,986
25,000,000 5.740%,04/20/99 ................................ 24,993
DEUTSCHE BANK
25,000,000 5.800%,08/05/98 ................................ 24,998
25,000,000 5.700%,04/16/99 ................................ 24,985
FLEET NATIONAL BANK
20,000,000 5.580%,08/12/98 ................................ 19,999
HARRIS TRUST AND SAVINGS BANK
25,000,000 5.570%,07/23/98 ................................ 24,999
RABOBANK
15,000,000 5.630%,03/24/99 ................................ 14,984
REGIONS BANK (ALABAMA)
18,000,000 5.570%,07/28/98 ................................ 17,999
ROYAL BANK OF CANADA
50,000,000 5.720%,04/19/99 ................................ 49,978
SOCIETE GENERALE
25,000,000 5.550%,02/23/99 ................................ 24,962
5,000,000 5.780%,03/31/99 ................................ 5,000
SWISS BANK CORP
50,000,000 5.850%,08/26/98 ................................ 49,997
WESTDEUTSCHE LANDESBANK
25,000,000 5.850%,08/20/98 ................................ 24,998
-----------
496,799
-----------
COMMERCIAL PAPER--3.13%
AIR PRODUCTS & CHEMICALS, INC
15,000,000 5.480%,07/15/98 ................................ 14,965
AIRTOUCH COMMUNICATIONS, INC
30,000,000 ~ 5.670%,08/10/98 ................................ 29,805
45,000,000 ~ 5.673%,08/11/98 ................................ 44,700
AMERICAN HOME PRODUCTS
25,000,000 ~ 5.500%,07/15/98 ................................ 24,941
20,000,000 ~ 5.510%,07/24/98 ................................ 19,925
4,633,000 ~ 5.550%,08/21/98 ................................ 4,596
ARIZONA PUBLIC SERVICE CO
500,000 6.150%,07/02/98 ................................ 500
14,600,000 5.720%,07/10/98 ................................ 14,576
ASSET SECURITIZATION COOPERATIVE CORP
35,000,000 ~ 5.470%,07/17/98 ................................ 34,907
37,500,000 ~ 5.475%,07/24/98 ................................ 37,359
28,000,000 ~ 5.520%,08/14/98 ................................ 27,803
B.B.V. FINANCE (DELAWARE), INC
50,000,000 5.460%,10/01/98 ................................ 49,286
BANKERS TRUST NEW YORK CORP
25,000,000 5.470%,10/14/98 ................................ 24,593
25,000,000 5.510%,12/23/98 ................................ 24,327
BEAR STEARNS CO, INC
24,000,000 5.500%,07/06/98 ................................ 23,976
BETA FINANCE, INC
53,000,000 ~ 5.490%,07/14/98 ................................ 52,883
4,500,000 ~ 5.380%,08/18/98 ................................ 4,466
25,000,000 ~ 5.380%,08/24/98 ................................ 24,787
BURLINGTON NORTHERN SANTA FE
19,441,000 ~ 6.750%,07/01/98 ................................ 19,438
16,000,000 ~ 5.650%,07/16/98 ................................ 15,959
35,000,000 ~ 5.670%,08/13/98 ................................ 34,755
CAMPBELL SOUP CO
6,938,000 5.460%,12/11/98 ................................ 6,764
CANADIAN IMPERIAL HOLDINGS, INC
20,000,000 5.463%,07/17/98 ................................ 19,947
CATERPILLAR FINANCIAL SERVICES CORP
11,000,000 5.500%,10/13/98 ................................ 10,823
14,000,000 5.480%,12/07/98 ................................ 13,657
CIESCO LP
40,000,000 ~ 5.500%,07/13/98 ................................ 39,918
20,000,000 5.510%,07/16/98 ................................ 19,950
15,000,000 ~ 5.510%,07/28/98 ................................ 14,934
8,000,000 ~ 5.510%,08/14/98 ................................ 7,944
CIT GROUP HOLDINGS, INC
40,000,000 5.480%,07/22/98 ................................ 39,863
50,000,000 5.510%,07/23/98 ................................ 49,820
See notes to financial statements.
-53-
<PAGE>
VALUE
PRINCIPAL (000)
--------- -----------
COMMERCIAL PAPER--(CONTINUED)
COCA COLA ENTERPRISES, INC
$20,000,000 ~ 5.520%,11/25/98 ................................ $ 19,541
COMMERCIAL CREDIT CO
30,000,000 5.520%,07/31/98 ................................ 29,855
30,000,000 5.505%,09/01/98 ................................ 29,708
CONAGRA, INC
20,000,000 5.660%,07/28/98 ................................ 19,911
CORPORATE ASSET FUNDING CORP, INC
25,000,000 ~ 5.520%,07/10/98 ................................ 24,961
20,000,000 ~ 5.520%,07/13/98 ................................ 19,959
12,000,000 ~ 5.520%,07/20/98 ................................ 11,963
14,000,000 ~ 5.520%,08/05/98 ................................ 13,921
29,000,000 ~ 5.500%,08/13/98 ................................ 28,801
COX COMMUNICATIONS, INC
15,500,000 ~ 5.700%,07/08/98 ................................ 15,480
9,000,000 ~ 5.700%,07/10/98 ................................ 8,986
25,000,000 ~ 5.700%,07/15/98 ................................ 24,940
CROWN CORK & SEAL CO, INC
10,000,000 5.670%,07/02/98 ................................ 9,997
8,000,000 5.700%,07/14/98 ................................ 7,982
22,000,000 5.680%,07/15/98 ................................ 21,948
11,000,000 5.720%,07/28/98 ................................ 10,951
15,000,000 5.700%,07/29/98 ................................ 14,931
9,000,000 5.720%,07/29/98 ................................ 8,959
CSX CORP
12,420,000 ~ 5.680%,07/23/98 ................................ 12,375
25,000,000 ~ 5.680%,07/30/98 ................................ 24,881
12,000,000 ~ 5.690%,07/30/98 ................................ 11,943
25,500,000 ~ 5.700%,08/21/98 ................................ 25,291
DAYTON HUDSON CORP
20,000,000 6.400%,07/01/98 ................................ 19,997
32,000,000 5.680%,07/20/98 ................................ 31,898
DELAWARE FUNDING CORP
15,000,000 ~ 5.510%,07/09/98 ................................ 14,979
12,809,000 ~ 5.800%,07/09/98 ................................ 12,791
28,203,000 ~ 5.520%,07/10/98 ................................ 28,159
8,046,000 ~ 5.580%,07/21/98 ................................ 8,020
DEUTSCHE BANK FINANCIAL, INC
25,000,000 5.410%,10/16/98 ................................ 24,585
DUKE ENERGY CORP
37,000,000 5.500%,07/16/98 ................................ 36,908
14,000,000 5.490%,07/20/98 ................................ 13,956
29,000,000 5.500%,07/20/98 ................................ 28,909
20,000,000 5.475%,08/10/98 ................................ 19,872
DUPONT (E.I.) DE NEMOURS & CO
20,318,000 5.500%,07/09/98 ................................ 20,289
50,000,000 5.480%,07/17/98 ................................ 49,867
2,500,000 ~ 5.520%,09/04/98 ................................ 2,474
EASTMAN KODAK CO
15,000,000 5.500%,07/23/98 ................................ 14,946
10,000,000 5.500%,08/17/98 ................................ 9,926
EL PASO NATURAL GAS CO
15,000,000 ~ 7.000%,07/01/98 ................................ 14,997
20,000,000 ~ 5.700%,07/07/98 ................................ 19,977
20,000,000 ~ 5.680%,07/10/98 ................................ 19,968
20,000,000 ~ 5.670%,08/04/98 ................................ 19,889
EMERSON ELECTRIC CO
10,000,000 5.460%,11/30/98 ................................ 9,766
ENTERPRISE FUNDING CORP
37,170,000 ~ 5.530%,07/08/98 ................................ 37,123
30,000,000 ~ 5.530%,08/11/98 ................................ 29,803
13,000,000 ~ 5.520%,09/16/98 ................................ 12,844
FORD MOTOR CREDIT CO
50,000,000 5.500%,07/07/98 ................................ 49,943
50,000,000 5.480%,07/17/98 ................................ 49,867
FORTUNE BRANDS
14,000,000 ~ 5.520%,07/13/98 ................................ 13,971
13,500,000 ~ 5.520%,07/28/98 ................................ 13,441
40,000,000 5.520%,08/06/98 ................................ 39,769
29,000,000 ~ 5.520%,08/10/98 ................................ 28,814
GENERAL SIGNAL CORP
17,000,000 ~ 5.550%,07/09/98 ................................ 16,976
GOLDMAN SACHS GROUP LP
50,000,000 5.510%,08/19/98 ................................ 49,613
25,000,000 5.520%,08/28/98 ................................ 24,772
GTE CORP
20,500,000 5.550%,07/09/98 ................................ 20,471
37,000,000 5.550%,08/03/98 ................................ 36,804
GTE FUNDING, INC
10,000,000 5.520%,07/07/98 ................................ 9,989
10,000,000 5.520%,07/09/98 ................................ 9,986
HOUSTON INDUSTRIES FINANCECO LP
15,000,000 ~ 5.700%,07/02/98 ................................ 14,995
25,000,000 ~ 5.700%,07/08/98 ................................ 24,968
15,800,000 ~ 5.720%,07/09/98 ................................ 15,777
19,000,000 ~ 5.720%,07/24/98 ................................ 18,928
INGERSOLL RAND CO
1,000,000 ~ 5.680%,07/15/98 ................................ 998
MAY DEPARTMENT STORES CO
25,000,000 5.510%,07/21/98 ................................ 24,918
MCCORMICK & CO, INC
10,000,000 5.500%,09/15/98 ................................ 9,881
MCGRAW-HILL, INC
12,600,000 5.520%,08/03/98 ................................ 12,533
16,400,000 5.505%,09/24/98 ................................ 16,183
MORGAN STANLEY DEAN WITTER
20,000,000 5.510%,07/09/98 ................................ 19,972
25,000,000 5.510%,08/04/98 ................................ 24,863
NATIONAL FUEL GAS CO
19,400,000 5.600%,08/07/98 ................................ 19,284
NATIONAL RURAL UTILITIES COOP FINANCE
15,219,000 5.500%,07/06/98 ................................ 15,204
13,000,000 ~ 5.480%,07/14/98 ................................ 12,971
20,000,000 5.460%,07/17/98 ................................ 19,947
32,000,000 5.470%,07/22/98 ................................ 31,890
10,000,000 5.510%,08/04/98 ................................ 9,945
NATIONSBANK CORP
35,000,000 5.380%,08/18/98 ................................ 34,735
NORFOLK SOUTHERN CORP
37,000,000 ~ 5.700%,07/02/98 ................................ 36,988
3,000,000 ~ 5.750%,07/28/98 ................................ 2,987
15,000,000 ~ 5.700%,08/12/98 ................................ 14,898
20,000,000 ~ 5.730%,08/12/98 ................................ 19,863
OCCIDENTAL PETROLEUM CORP
13,500,000 ~ 5.700%,07/06/98 ................................ 13,486
12,000,000 ~ 5.690%,07/27/98 ................................ 11,949
9,160,000 ~ 5.690%,08/07/98 ................................ 9,105
PACIFICORP
20,000,000 5.520%,07/16/98 ................................ 19,950
30,000,000 5.520%,07/21/98 ................................ 29,902
25,000,000 5.540%,08/27/98 ................................ 24,776
PARK AVENUE RECEIVABLES CORP
29,000,000 ~ 5.540%,07/10/98 ................................ 28,954
18,000,000 ~ 5.530%,07/13/98 ................................ 17,963
25,204,000 ~ 5.530%,07/27/98 ................................ 25,098
20,000,000 ~ 5.540%,08/17/98 ................................ 19,851
PENNEY (J.C.) FUNDING CORP
11,000,000 5.470%,07/09/98 ................................ 10,984
39,000,000 5.500%,07/31/98 ................................ 38,811
20,000,000 ~ 5.510%,08/05/98 ................................ 19,888
10,000,000 ~ 5.500%,09/04/98 ................................ 9,898
See notes to financial statements.
-54-
<PAGE>
VALUE
PRINCIPAL (000)
--------- -----------
COMMERCIAL PAPER--(CONTINUED)
PORTLAND GENERAL ELECTRIC CO
$15,000,000 5.510%,08/04/98 ................................ $ 14,918
PRAXAIR, INC
25,000,000 5.650%,07/09/98 ................................ 24,964
15,000,000 ~ 5.680%,07/16/98 ................................ 14,962
20,000,000 5.660%,07/30/98 ................................ 19,905
PROCTOR & GAMBLE
6,215,000 5.490%,09/28/98 ................................ 6,129
RAYTHEON CO
25,000,000 5.750%,07/06/98 ................................ 24,975
50,000,000 ~ 5.680%,08/03/98 ................................ 49,730
RITE AID CORP
10,000,000 5.650%,07/08/98 ................................ 9,987
45,000,000 5.670%,07/22/98 ................................ 44,843
20,000,000 5.700%,08/17/98 ................................ 19,849
RYDER SYSTEMS, INC
20,000,000 7.000%,07/01/98 ................................ 19,997
6,000,000 5.680%,07/31/98 ................................ 5,970
5,600,000 5.730%,07/31/98 ................................ 5,572
20,800,000 ~ 5.670%,08/04/98 ................................ 20,684
SALOMON SMITH BARNEY HOLDINGS, INC
25,000,000 5.490%,07/17/98 ................................ 24,934
25,000,000 5.510%,10/23/98 ................................ 24,558
SBC COMMUNICATIONS, INC
30,000,000 ~ 5.490%,07/07/98 ................................ 29,966
25,000,000 ~ 5.475%,08/06/98 ................................ 24,856
25,000,000 ~ 5.480%,08/06/98 ................................ 24,856
SC JOHNSON & SON, INC
10,000,000 ~ 5.500%,08/17/98 ................................ 9,926
18,000,000 ~ 5.520%,08/17/98 ................................ 17,866
25,000,000 ~ 5.520%,08/20/98 ................................ 24,803
7,000,000 ~ 5.540%,08/20/98 ................................ 6,945
10,000,000 ~ 5.540%,09/21/98 ................................ 9,872
SONAT, INC
19,622,000 5.650%,07/06/98 ................................ 19,602
TEXAS UTILITIES CO
20,000,000 ~ 5.700%,07/15/98 ................................ 19,952
25,000,000 ~ 5.750%,07/23/98 ................................ 24,909
15,000,000 ~ 5.760%,07/30/98 ................................ 14,928
15,000,000 ~ 5.770%,08/19/98 ................................ 14,882
TEXTRON, INC
18,000,000 5.900%,07/09/98 ................................ 17,974
10,000,000 5.680%,07/30/98 ................................ 9,952
THE STANLEY WORKS
9,300,000 5.500%,08/20/98 ................................ 9,227
12,500,000 5.510%,08/20/98 ................................ 12,401
7,500,000 5.500%,08/27/98 ................................ 7,433
5,500,000 5.515%,09/10/98 ................................ 5,439
12,575,000 5.515%,09/17/98 ................................ 12,422
U.S. WEST CAPITAL FUNDING CORP, INC
40,000,000 ~ 5.900%,07/15/98 ................................ 39,905
30,000,000 ~ 5.720%,08/11/98 ................................ 29,800
VOLVO GROUP TREASURY NA, INC
9,496,000 ~ 5.660%,07/10/98 ................................ 9,481
30,000,000 ~ 5.690%,07/29/98 ................................ 29,862
30,000,000 ~ 5.680%,08/05/98 ................................ 29,828
XEROX CORP
25,000,000 5.480%,07/08/98 ................................ 24,968
XEROX CREDIT CORP
7,000,000 5.370%,12/11/98 ................................ 6,824
-----------
3,520,009
-----------
MEDIUM TERM BONDS--0.02%
CIT GROUP HOLDINGS, INC
10,000,000 6.375%,05/21/99 ................................ 10,043
MERRILL LYNCH & CO, INC
7,550,000 6.200%,07/19/99 ................................ 7,580
-----------
17,623
-----------
U.S. GOVERNMENT & AGENCIES--0.95%
FEDERAL HOME LOAN BANK
28,000,000 5.390%,08/14/98 ................................ 27,811
22,385,000 5.380%,09/14/98 ................................ 22,131
35,000,000 5.300%,12/28/98 ................................ 34,066
13,470,000 5.650%,04/09/99 ................................ 13,509
FEDERAL HOME LOAN MORTGAGE CORP
9,000,000 5.410%,07/02/98 ................................ 8,997
4,000,000 5.410%,07/07/98 ................................ 3,996
19,300,000 5.410%,07/08/98 ................................ 19,277
40,248,000 5.440%,07/13/98 ................................ 40,169
36,322,000 5.400%,07/17/98 ................................ 36,229
21,000,000 5.450%,07/27/98 ................................ 20,915
40,000,000 5.400%,07/29/98 ................................ 39,826
21,000,000 5.400%,07/31/98 ................................ 20,902
38,000,000 5.390%,08/03/98 ................................ 37,806
33,000,000 5.430%,08/04/98 ................................ 32,826
50,000,000 5.430%,08/06/98 ................................ 49,722
6,000,000 5.400%,08/07/98 ................................ 5,966
32,000,000 5.430%,08/07/98 ................................ 31,817
48,769,000 5.390%,08/11/98 ................................ 48,461
39,000,000 5.410%,08/25/98 ................................ 38,673
36,648,000 5.380%,09/11/98 ................................ 36,249
97,500,000 5.380%,09/25/98 ................................ 96,235
FEDERAL NATIONAL MORTGAGE ASSOCIATION
125,000,000 5.370%,07/14/98 ................................ 124,736
6,605,000 5.400%,07/17/98 ................................ 6,588
47,350,000 5.400%,07/21/98 ................................ 47,201
17,185,000 5.390%,07/27/98 ................................ 17,115
50,000,000 5.410%,07/30/98 ................................ 49,775
25,000,000 5.680%,07/31/98 ................................ 25,003
31,076,000 5.390%,08/07/98 ................................ 30,899
9,600,000 5.390%,08/10/98 ................................ 9,541
21,290,000 5.380%,09/30/98 ................................ 20,999
75,000,000 5.310%,10/21/98 ................................ 73,741
-----------
1,071,181
-----------
VARIABLE RATE NOTES--0.46%
AMERICAN EXPRESS CENTURION BANK
20,000,000 5.900%,06/04/99 ................................ 20,010
BANC ONE, DAYTON, NA
12,000,000 5.840%,08/21/98 ................................ 12,000
BANKERS TRUST CO OF NEW YORK
25,000,000 5.850%,02/03/99 ................................ 25,003
BEAR STEARNS CO, INC
23,000,000 5.653%,01/05/99 ................................ 22,982
18,000,000 5.626%,03/03/99 ................................ 18,002
BETA FINANCE, INC
15,000,000 5.661%,05/19/99 ................................ 15,000
CHRYSLER FINANCIAL CORP
15,000,000 5.637%,02/10/99 ................................ 14,999
5,000,000 5.632%,03/12/99 ................................ 5,001
25,000,000 5.656%,05/19/99 ................................ 25,013
FIRST UNION NATIONAL BANK, NC
25,000,000 5.570%,04/30/99 ................................ 24,995
GOLDMAN SACHS GROUP LP
13,000,000 5.741%,02/24/99 ................................ 12,997
HOUSEHOLD FINANCE CORP
20,000,000 6.010%,05/28/99 ................................ 20,030
IBM CREDIT CORP
25,000,000 5.561%,09/15/98 ................................ 24,998
KEY BANK OF NEW YORK
50,000,000 5.730%,07/02/98 ................................ 49,995
See notes to financial statements.
-55-
<PAGE>
VALUE
PRINCIPAL (000)
--------- ------------
VARIABLE RATE NOTES--(CONTINUED)
MERRILL LYNCH & CO
$25,000,000 5.880%,12/11/98 ................................ $ 25,005
MERRILL LYNCH & CO, INC
25,000,000 5.680%,01/14/99 ................................ 25,005
MORGAN STANLEY DEAN WITTER
25,000,000 5.616%,11/06/98 ................................ 25,000
25,000,000 5.890%,01/15/99 ................................ 25,003
NATIONSBANK, NA
35,000,000 5.580%,04/27/99 ................................ 34,983
PNC BANK, NA
25,000,000 5.720%,07/01/98 ................................ 24,995
SEARS ROEBUCK ACCEPTANCE CORP
25,000,000 5.622%,03/26/99 ................................ 25,000
SOCIETE GENERALE
13,000,000 5.780%,07/01/98 ................................ 12,999
STUDENT LOAN MARKETING ASSOCIATION
1,000,000 5.457%,08/20/98 ................................ 1,000
7,000,000 5.458%,08/20/98 ................................ 6,999
WACHOVIA BANK OF NORTH CAROLINA
25,500,000 5.450%,07/20/98 ................................ 25,367
------------
522,381
------------
TOTAL SHORT TERM INVESTMENTS
(COST $5,766,073) .............................. 5,764,850
------------
TOTAL PORTFOLIO
(Cost $67,459,599) ............................. $117,116,087
============
- ---------------
o Non-income producing
+ Affiliate holding
x In bankruptcy
~ Commercial Paper issued under the Private Placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
# Restricted Securities -- Investment in securities not registered under the
Securities Act of 1933 or not publicly traded in foreign markets. At June 30,
1998, the value of these securities amounted to $26,225,706 or 0.02% of net
assets.
Additional information on each restricted security is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
-------- ----------- -----------
AMERICAN SATELLITE NETWORKS
WTS 06/30/99...................................01/12/94 $ 0
ANTENA 3 DE TELEVISION GDS........................12/12/96 5,982,300
BANK AUSTRIA AG RTS...............................06/30/98 88,264
BANCO ESPIRITO SANTO BABY SHS.....................06/17/98 982,847
BB BIOVENTURES L.P................................05/08/97 3,999,800
CORAM HEALTHCARE CORP
WTS 07/11/99...................................07/24/97 0
CRESTARAN INTERNATIONAL
INVESTMENT BV..................................09/30/94 0
EAST-WEST BANKING CORP............................06/23/98 200,000
50-OFF STORES, INC................................12/07/92 2,364,324
HEIZER CORP (LIQUIDATING TR)......................11/19/91 0
INTERNATIONAL HYDRON
(LIQUIDATING TR)...............................12/07/92 0
KUMAGAI GUMI WTS 12/31/99.........................06/29/98 0
LAIR LIQUIDE (REGD) 1996..........................10/29/96 3,697,028
LAIR LIQUIDE (REGD) 1999..........................09/30/94 680,649
LAFARGE S.A. (REGD)...............................04/03/97 1,843,677
NETGENICS, INC STOCK OPTIONS
03/20/08.......................................06/08/98 0
NETGENICS, INC PFD CV SERIES D....................03/20/98 5,000,000
PEGASUS GOLD, INC.................................11/30/90 148,513
PHYSICIAN COMPUTER NETWORK, INC...................01/22/96 1,211,798
SILVERSTONE BERHAD................................01/08/98 1,173
SOMAGUE-SGPS S.A. BABY SHS........................05/11/98 24,441
TAK WING INVESTMENT WTS 12/31/98..................06/17/97 147
TAN CHONG INTERNATIONAL LTD.......................05/22/98 263,414
TRANSCRYPT INTERNATIONAL, INC.....................02/18/98 420,844
UNITED ENGINEERING BERHAD.........................08/02/88 2,014,283
VIGLEN TECHNOLOGY (CV LOAN STK)...................08/05/97 205,860
WHARF HOLDINGS LTD WTS 12/31/99...................06/19/98 0
YORK RESEARCH CORP WTS 09/30/98...................11/05/96 14,848
-----------
$29,144,210
===========
See notes to financial statements.
-56-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES -- STOCK ACCOUNT (UNAUDITED)
JANUARY 1, 1998 -- JUNE 30, 1998
<TABLE>
<CAPTION>
VALUE AT REALIZED DIVIDEND SHARES AT VALUE AT
ISSUE DECEMBER 31, 1997 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1998 JUNE 30, 1998
----- ----------------- ------------- -------------- ----------- ----------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
~BAY VIEW CAPITAL CORP $ 29,935,322 -- -- -- -- -- *
CASTELLUM AB ** $ 40,729,577 -- -- -- 3,543,000 $ 41,761,136
FMC CORP 147,795,834 12,904,126 $ 3,868,907 $ 717,478 -- 2,310,367 157,538,150
GENERAL SIGNAL CORP 137,746,406 1,802,349 28,556,815 3,311,705 $ 1,592,379 2,599,574 93,584,664
MALLINCKRODT, INC 211,091,900 14,524,837 19,960,859 3,701,297 1,805,198 5,389,550 160,002,266
MARTEK BIOSCIENCES CORP 4,761,900 9,781,747 -- -- -- 1,283,650 18,693,153
PLENUM PUBLISHING CORP 8,859,187 (129,756) 78,540 46,040 60,880 190,250 13,935,813
SABRE GROUP HOLDINGS ** 11,712,887 -- -- -- 1,438,600 54,666,800
SMEDVIG AS SERIES A 52,684,750 784,427 97,568 (16,433) 642,995 2,517,828 30,515,237
SOUTH CHINA HOLDINGS LTD 7,517,312 -- 3,323,238 (8,623,171) -- -- *
SOUTH CHINA INDUSTRIES LTD 5,642,196 -- -- -- 33,601 52,046,000 1,511,291
TPI ENTERPRISES, INC 3,321 -- -- -- -- 1,107,000 3,321
YANKEE ENERGY SYSTEM 16,153,943 -- 2,470,176 591,326 194,065 -- *
------------ ------------ ----------- ----------- ----------- -------------
TOTAL AFFILIATED TRANSACTIONS $622,192,071 $ 92,110,194 $58,356,103 ($ 271,758) $ 4,329,118 $ 572,211,831
============ ============ =========== =========== =========== =============
</TABLE>
** Not an Affiliate as of December 31, 1997
* Not an Affiliate as of June 30, 1998
~ Shares Outstanding Increased
See notes to financial statements.
-57-
<PAGE>
CREF | COLLEGE RETIREMENT EQUITIES FUND
[LOGO] | 730 Third Avenue
| New York, NY 10017-3206
| 212/490-9000
(LOGO) Printed on recycled paper
CSAR--02S-8/98
<PAGE>
<PAGE>
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, 1998
- --------------------------------------------------------------------------------
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, Bond Market, Social Choice, Global
Equities, Growth, Equity Index and Inflation-Linked Bond Accounts. 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]
<PAGE>
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, 1998
- --------------------------------------------------------------------------------
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.................................................... 18
Bond Market Account..................................................... 22
Social Choice Account................................................... 27
Global Equities Account................................................. 35
Growth Account.......................................................... 53
Equity Index Account.................................................... 69
Inflation-Linked Bond Account........................................... 91
-1-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1998
(amounts in thousands, except per accumulation unit amounts)
<TABLE>
<CAPTION>
MONEY MARKET BOND MARKET
ACCOUNT ACCOUNT
-------------- -------------
<S> <C> <C>
ASSETS
Portfolio investments, at cost..................................... $ 4,681,755 $ 2,469,525
Net unrealized appreciation (depreciation) of portfolio investments (689) 18,798
----------- -----------
Portfolio investments, at value.................................... 4,681,066 2,488,323
Cash............................................................... 2,470 8
Dividends and interest receivable.................................. 26,966 19,937
Receivable from securities transactions............................ -- 238,155
Amounts due from TIAA.............................................. 3,173 1,754
----------- -----------
TOTAL ASSETS 4,713,675 2,748,177
----------- -----------
LIABILITIES
Deposits for securities loaned--Note 4............................. -- 246,390
Payable for securities transactions................................ 12,562 484,445
----------- -----------
TOTAL LIABILITIES 12,562 730,835
----------- -----------
NET ASSETS...........................................................
Accumulation Fund.................................................. 4,543,062 1,990,508
Annuity Fund....................................................... 158,051 26,834
----------- -----------
TOTAL NET ASSETS $ 4,701,113 $ 2,017,342
=========== ===========
THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6........... 254,187 39,708
======= =======
NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5....................... $17.87 $50.13
====== ======
</TABLE>
See notes to financial statements.
-2-
<PAGE>
<TABLE>
<CAPTION>
SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX INFLATION-LINKED
ACCOUNT ACCOUNT ACCOUNT ACCOUNT BOND ACCOUNT
------------- --------------- --------------- ------------- --------------
<S> <C> <C> <C> <C>
$2,318,935 $5,440,325 $4,969,883 $2,166,382 $112,188
853,652 1,283,153 1,291,543 781,492 202
- ---------- ---------- ---------- ---------- --------
3,172,587 6,723,478 6,261,426 2,947,874 112,390
348 10,658 151 24 53
14,088 9,167 3,869 2,973 1,574
144,179 44,939 62,884 191 --
2,845 4,686 6,902 3,597 39
- ---------- ---------- ---------- ---------- --------
3,334,047 6,792,928 6,335,232 2,954,659 114,056
- ---------- ---------- ---------- ---------- --------
225,180 602,298 -- -- --
301,912 20,550 122,685 17,009 --
- ---------- ---------- ---------- ---------- --------
527,092 622,848 122,685 17,009 --
- ---------- ---------- ---------- ---------- --------
2,700,484 5,942,446 6,050,210 2,851,818 111,329
106,471 227,634 162,337 85,832 2,727
- ---------- ---------- ---------- ---------- --------
$2,806,955 $6,170,080 $6,212,547 $2,937,650 $114,056
========== ========== ========== ========== ========
33,357 85,019 90,279 44,138 4,196
====== ====== ====== ====== =====
$80.96 $69.90 $67.02 $64.61 $26.53
====== ====== ====== ====== ======
</TABLE>
-3-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF OPERATIONS (UNAUDITED)
(amounts in thousands)
<TABLE>
<CAPTION>
MONEY MARKET BOND MARKET
ACCOUNT ACCOUNT
------------- ------------
SIX MONTHS ENDED JUNE 30, 1998
-------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Income:
Interest .................................................................. $125,946 $ 55,116
Dividends ................................................................. -- 528
-------- --------
TOTAL INCOME 125,946 55,644
-------- --------
Expenses--Note 3:
Investment ................................................................ 1,348 653
Operating ................................................................. 5,451 2,158
-------- --------
TOTAL EXPENSES 6,799 2,811
-------- --------
INVESTMENT INCOME--NET 119,147 52,833
-------- --------
REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS--Note 4
Net realized gain (loss) on:
Portfolio investments ................................................... 8 17,612
Futures transactions .................................................... -- --
Foreign currency transactions ........................................... -- --
-------- --------
Net realized gain (loss) 8 17,612
-------- --------
Net change in unrealized appreciation (depreciation) on:
Portfolio investments ................................................... 351 (1,753)
Futures transactions .................................................... -- --
Translation of assets (other than portfolio investments)
and liabilities denominated in foreign currencies ..................... -- --
-------- --------
Net change in unrealized appreciation (depreciation) 351 (1,753)
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS 359 15,859
-------- --------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $119,506 $ 68,692
======== ========
</TABLE>
See notes to financial statements.
-4-
<PAGE>
<TABLE>
<CAPTION>
SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX INFLATION-LINKED
ACCOUNT ACCOUNT ACCOUNT ACCOUNT BOND ACCOUNT
- ------------- ------------- ------------- ------------- --------------
SIX MONTHS ENDED JUNE 30, 1998
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 33,093 $ 4,305 $ 4,854 $ 1,035 $ 2,075
11,035 37,561 17,814 18,216 --
- --------- --------- --------- --------- ---------
44,128 41,866 22,668 19,251 2,075
- --------- --------- --------- --------- ---------
947 4,708 4,212 1,004 59
3,130 6,970 6,627 3,052 123
- --------- --------- --------- --------- ---------
4,077 11,678 10,839 4,056 182
- --------- --------- --------- --------- ---------
40,051 30,188 11,829 15,195 1,893
- --------- --------- --------- --------- ---------
39,075 267,454 413,886 7,312 (239)
-- 2,656 6,132 861 --
-- 1,231 (82) -- --
- --------- --------- --------- --------- ---------
39,075 271,341 419,936 8,173 (239)
- --------- --------- --------- --------- ---------
184,104 554,178 437,071 311,766 1
-- -- 828 542 --
-- (197) 3 -- --
- --------- --------- --------- --------- ---------
184,104 553,981 437,902 312,308 1
- --------- --------- --------- --------- ---------
223,179 825,322 857,838 320,481 (238)
- --------- --------- --------- --------- ---------
$ 263,230 $ 855,510 $ 869,667 $ 335,676 $ 1,655
========= ========= ========= ========= =========
</TABLE>
-5-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
(amounts in thousands)
<TABLE>
<CAPTION>
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT
----------------------------- ----------------------------- ------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1998 1997 1998 1997 1998 1997
------------- ------------ ------------- ------------- ------------- -------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
FROM OPERATIONS
Investment income--net ...... $ 119,147 $ 215,013 $ 52,833 $ 75,230 $ 40,051 $ 64,966
Net realized gain (loss) on
total investments ......... 8 (17) 17,612 15,277 39,075 34,533
Net change in unrealized
appreciation (depreciation)
on total investments ...... 351 232 (1,753) 19,390 184,104 319,331
----------- ----------- ----------- ----------- ----------- -----------
NET INCREASE
IN NET ASSETS
RESULTING FROM
OPERATIONS 119,506 215,228 68,692 109,897 263,230 418,830
----------- ----------- ----------- ----------- ----------- -----------
FROM PARTICIPANT
TRANSACTIONS
Premiums .................... 198,487 347,966 104,513 143,544 174,524 280,886
----------- ----------- ----------- ----------- ----------- -----------
Disbursements and transfers:
Net transfers to (from)
TIAA .................... 43,400 139,824 (9,428) (5,786) (7,300) (7,155)
Net transfers to (from)
other CREF Accounts ...... (387,428) (344,269) (319,176) (320,553) (69,793) (75,436)
Annuity payments ........... 10,086 20,937 1,657 3,572 3,843 6,924
Withdrawals and
repurchases .............. 150,100 267,929 22,680 33,351 21,365 32,003
Death benefits ............. 2,178 7,030 495 2,725 672 1,132
----------- ----------- ----------- ----------- ----------- -----------
TOTAL DISBURSEMENTS
AND TRANSFERS, NET (181,664) 91,451 (303,772) (286,691) (51,213) (42,532)
----------- ----------- ----------- ----------- ----------- -----------
NET INCREASE
IN NET ASSETS
RESULTING FROM
PARTICIPANT
TRANSACTIONS 380,151 256,515 408,285 430,235 225,737 323,418
----------- ----------- ----------- ----------- ----------- -----------
NET INCREASE
IN NET ASSETS 499,657 471,743 476,977 540,132 488,967 742,248
NET ASSETS
Beginning of period .......... 4,201,456 3,729,713 1,540,365 1,000,233 2,317,988 1,575,740
----------- ----------- ----------- ----------- ----------- -----------
End of period ................ $ 4,701,113 $ 4,201,456 $ 2,017,342 $ 1,540,365 $ 2,806,955 $ 2,317,988
=========== =========== =========== =========== =========== ===========
</TABLE>
See notes to financial statements.
-6-
<PAGE>
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT INFLATION-LINKED BOND ACCOUNT
--------------------------- --------------------------- ----------------------------- -----------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS JANUARY 13, 1997
ENDED ENDED ENDED ENDED ENDED ENDED ENDED (DATE ESTABLISHED)
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, TO DECEMBER 31,
1998 1997 1998 1997 1998 1997 1998 1997
----------- ----------- ----------- ----------- ----------- ------------ ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
$ 30,188 $ 58,597 $ 11,829 $ 30,174 $ 15,195 $ 20,987 $ 1,893 $ 2,575
271,341 560,335 419,936 374,778 8,173 27,214 (239) 173
553,981 187,267 437,902 437,711 312,308 318,147 1 201
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
855,510 806,199 869,667 842,663 335,676 366,348 1,655 2,949
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
283,075 514,077 435,668 594,289 223,378 245,464 4,593 53,466
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
7,968 (9,063) (42,437) (110,601) (29,622) (62,402) (452) (450)
166,263 144,157 (227,291) (802,560) (331,270) (478,493) (12,255) (39,051)
8,995 15,870 6,172 9,909 3,053 4,618 99 100
49,494 88,942 45,727 67,977 21,305 26,448 380 236
2,455 6,877 1,580 2,159 644 860 -- --
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
235,175 246,783 (216,249) (833,116) (335,890) (508,969) (12,228) (39,165)
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
47,900 267,294 651,917 1,427,405 559,268 754,433 16,821 92,631
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
903,410 1,073,493 1,521,584 2,270,068 894,944 1,120,781 18,476 95,580
5,266,670 4,193,177 4,690,963 2,420,895 2,042,706 921,925 95,580 --
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$ 6,170,080 $ 5,266,670 $ 6,212,547 $ 4,690,963 $ 2,937,650 $ 2,042,706 $ 114,056 $ 95,580
=========== =========== =========== =========== =========== =========== =========== ===========
</TABLE>
-7-
<PAGE>
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, 1998, TIAA's investment in the
Inflation-Linked Bond Account remained at 2,000,000 Accumulation Units, with a
total value of $53,069,600.
TIAA-CREF Investment Management, LLC ("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. TIAA
provides guarantees for the CREF Accounts for certain mortality and expense
risks pursuant to an Immediate Annuity Purchase Rate Guarantee Agreement.
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-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(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
translated at the prevailing exchange rate at the end of the period. The
cumulative impact of changes in foreign exchange rates on portfolio investments
sold during the period is reflected in the net realized gain (loss) on portfolio
investments. The cumulative impact of changes in foreign exchange rates on
portfolio investments held at the end of the period is reflected in the net
change in unrealized appreciation (depreciation) on portfolio investments.
Currency gains and losses arising from the settlement of forward foreign
currency contracts, changes in exchange rates between the trade and settlement
dates of portfolio investment transactions, and changes in exchange rates
between the accrual and receipt dates for dividend and interest income are
recorded as net realized gains (losses) on foreign currency transactions. For
assets other than portfolio investments and liabilities, changes in foreign
exchange rates are reflected in the net change in unrealized appreciation
(depreciation) on translation of assets (other than portfolio investments) and
liabilities denominated in foreign currencies.
SECURITIES LENDING: The 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-
<PAGE>
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 denominated in foreign
currencies. When the contract is closed, payment is received or made and a
realized gain or loss on foreign currency transactions is recognized, equal to
the difference between the cost of the closing transaction and the basis in the
contract. 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 taxed as a life insurance company under Subchapter
L of the Internal Revenue Code ("Code"), not as a regulated investment company
under Subchapter M of the Code. CREF should incur no material federal income tax
liability. Under the rules of taxation applicable to life insurance companies,
CREF's Accumulation and Annuity Funds for participants will generally be treated
as life insurance reserves; therefore, any increase in such reserves will be
deductible.
NOTE 3--MANAGEMENT AGREEMENTS
Through management agreements with each company, Investment Management and
Services provide services necessary for the operation of CREF's Accounts. Such
services are provided at cost 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, 1998, the market value of securities loaned, and collateral received
in connection therewith, was comprised as follows:
<TABLE>
<CAPTION>
COLLATERAL
----------------------------------------------------------
MARKET VALUE LETTERS OF UNITED STATES
OF SECURITIES LOANED CASH CREDIT GOVERNMENT SECURITIES
-------------------- ------------ ------------ ---------------------
<S> <C> <C> <C> <C>
Bond Market Account ........................ $252,472,678 $246,389,925 $ 1,032,000 $ 11,860,879
Social Choice Account ...................... 219,573,150 225,180,426 642,335 452,741
Global Equities Account .................... 709,818,010 602,298,151 111,666,122 21,140,479
</TABLE>
-10-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 4--INVESTMENTS--(CONTINUED)
At June 30, 1998, net unrealized appreciation (depreciation) of portfolio
investments, consisting of gross unrealized appreciation and gross unrealized
depreciation, were as follows:
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED NET UNREALIZED
APPRECIATION OF DEPRECIATION OF APPRECIATION
PORTFOLIO PORTFOLIO (DEPRECIATION) OF
INVESTMENTS INVESTMENTS PORTFOLIO INVESTMENTS
----------------- ---------------- ---------------------
<S> <C> <C> <C>
Money Market Account.............................. $ 133,238 $ 822,687 $ (689,449)
Bond Market Account............................. 20,798,394 2,000,703 18,797,691
Social Choice Account............................. 865,787,942 12,136,395 853,651,547
Global Equities Account........................... 1,533,090,905 249,937,453 1,283,153,452
Growth Account.................................... 1,422,035,757 130,493,038 1,291,542,719
Equity Index Account.............................. 841,122,326 59,630,792 781,491,534
Inflation-Linked Bond Account..................... 240,684 38,998 201,686
</TABLE>
At June 30, 1998 the Growth and Equity Index Accounts held 387 and 40 open
futures contracts, respectively, in the Standard & Poor's 500 Index, expiring in
September 1998, with a value of $110,585,250 and $11,430,000, respectively and
an unrealized gain of $275,000 and $484,000, respectively.
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, 1998, the total value of the Global Equities Account's investments in
affiliated companies was $236,857,440. For the six months ended June 30, 1998,
total dividend income and net realized gain relating to such investments of the
Global Equities Account were $2,670,703 and $7,358,388, respectively. At June
30, 1998 the total value of the Growth Account's investments in affiliated
companies was $208,525,427. For the six months ended June 30, 1998, total
dividend income and net realized gain relating to such investments of the Growth
Account were $120,009 and $78,848, respectively. For the periods and CREF
Accounts covered by these financial statements, there were no other investments
in affiliated companies.
-11-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 4--INVESTMENTS--(CONCLUDED)
Purchases and sales of portfolio securities, other than short-term money market
instruments, for the Bond Market, Social Choice, Global Equities, Growth, Equity
Index, and the Inflation-Linked Bond Accounts for the six months ended June 30,
1998, were as follows:
<TABLE>
<CAPTION>
BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES
ACCOUNT ACCOUNT ACCOUNT
-------------- -------------- --------------
<S> <C> <C> <C>
Purchases:
Unaffiliated issuers ................................. $4,730,027,088 $2,182,686,647 $2,295,883,743
Affiliated issuers ................................... -- -- 100,400
-------------- -------------- --------------
TOTAL PURCHASES $4,730,027,088 $2,182,686,647 $2,295,984,143
============== ============== ==============
Sales:
Unaffiliated issuers ................................. $4,281,629,254 $1,932,924,332 $2,273,494,390
Affiliated issuers ................................... -- -- 10,941,513
-------------- -------------- --------------
TOTAL SALES $4,281,629,254 $1,932,924,332 $2,284,435,903
============== ============== ==============
GROWTH EQUITY INDEX INFLATION-LINKED
ACCOUNT ACCOUNT BOND ACCOUNT
-------------- -------------- --------------
Purchases:
Unaffiliated issuers ................................. $2,590,923,429 $ 586,446,414 $ 19,097,286
Affiliated issuers ................................... 167,903,997 -- --
-------------- -------------- --------------
TOTAL PURCHASES $2,758,827,426 $ 586,446,414 $ 19,097,286
============== ============== ==============
Sales:
Unaffiliated issuers ................................. $2,026,677,725 $ 17,709,748 $ 17,535,513
Affiliated issuers ................................... 69,684,137 -- --
-------------- -------------- --------------
TOTAL SALES $2,096,361,862 $ 17,709,748 $ 17,535,513
============== ============== ==============
</TABLE>
-12-
<PAGE>
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.
<TABLE>
<CAPTION>
MONEY MARKET ACCOUNT
-----------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED -----------------------------------------------------
JUNE 30, 1998(1) 1997 1996 1995 1994 1993
-------------- ------- ------- ------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income..................... $ .496 $ .953 $ .880 $ .910 $ .631 $ .464
Expenses.............................. .027 .046 .049 .048 .041 .039
------- ------- ------- ------- ------- -------
Investment income--net................. .469 .907 .831 .862 .590 .425
Net realized and unrealized gain (loss)
on total investments................ .002 .001 (.003) .009 (.012) (.002)
------- ------- ------- ------- ------- -------
Net increase in
Accumulation Unit Value ............. .471 .908 .828 .871 .578 .423
Accumulation Unit Value:
Beginning of year................... 17.402 16.494 15.666 14.795 14.217 13.794
------- ------- ------- ------- ------- -------
End of period........................ $17.873 $17.402 $16.494 $15.666 $14.795 $14.217
======= ======= ======= ======= ======= =======
Total return............................. 2.71% 5.51% 5.28% 5.88% 4.07% 3.07%
Ratios to Average Net Assets:
Expenses............................... 0.15% 0.27% 0.30% 0.32% 0.28% 0.27%
Investment income--net................. 2.66% 5.35% 5.16% 5.64% 4.03% 3.02%
Portfolio turnover rate.................. n/a n/a n/a n/a n/a n/a
Thousands of Accumulation Units
outstanding at end of period.......... 254,187 233,116 218,292 193,181 183,135 174,073
</TABLE>
<TABLE>
<CAPTION>
BOND MARKET ACCOUNT
----------------------------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED -------------------------------------------------------------------------
JUNE 30, 1998(1) 1997 1996 1995 1994 1993
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income ..................... $ 1.528 $ 3.081 $ 3.039 $ 2.863 $ 2.502 $ 2.348
Expenses .............................. .077 .134 .126 .123 .108 .103
----------- ----------- ----------- ----------- ----------- ----------
Investment income--net ................ 1.451 2.947 2.913 2.740 2.394 2.245
Net realized and unrealized gain (loss)
on total investments ............... .463 1.266 (1.600) 3.722 (3.897) 1.606
----------- ----------- ----------- ----------- ----------- ----------
Net increase (decrease) in
Accumulation Unit Value ............. 1.914 4.213 1.313 6.462 (1.503) 3.851
Accumulation Unit Value:
Beginning of year ................... 48.215 44.002 42.689 36.227 37.730 33.879
----------- ----------- ----------- ----------- ----------- ----------
End of period ....................... $ 50.129 $ 48.215 $ 44.002 $ 42.689 $ 36.227 $ 37.730
=========== =========== =========== =========== =========== ==========
Total return ............................ 3.97% 9.57% 3.08% 17.84% (3.98%) 11.37%
Ratios to Average Net Assets:
Expenses .............................. 0.16% 0.29% 0.30% 0.31% 0.29% 0.28%
Investment income--net ................ 2.95% 6.44% 6.86% 6.93% 6.54% 6.18%
Portfolio turnover rate ................. 252.63% 398.77% 145.27% 185.11% 161.46% 139.55%
Thousands of Accumulation Units
outstanding at end of period ......... 39,708 31,654 22,611 19,522 14,939 14,698
</TABLE>
(1) The percentages shown for this period are not annualized.
-13-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED)
<TABLE>
<CAPTION>
SOCIAL CHOICE ACCOUNT
------------------------------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED ------------------------------------------------------------------------
JUNE 30, 1998(1) 1997 1996 1995 1994 1993
--------------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income ..................... $ 1.323 $ 2.396 $ 2.068 $ 1.832 $ 1.621 $ 1.452
Expenses .............................. .122 .193 .158 .144 .125 .117
----------- ----------- ----------- ----------- ----------- -----------
Investment income--net ................ 1.201 2.203 1.910 1.688 1.496 1.335
Net realized and unrealized gain (loss)
on total investments ............... 6.740 12.223 5.968 9.863 (2.015) 2.082
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) in
Accumulation Unit Value ............. 7.941 14.426 7.878 11.551 (.519) 3.417
Accumulation Unit Value:
Beginning of year ................... 73.016 58.590 50.712 39.161 39.680 36.263
----------- ----------- ----------- ----------- ----------- -----------
End of period ....................... $ 80.957 $ 73.016 $ 58.590 $ 50.712 $ 39.161 $ 39.680
=========== =========== =========== =========== =========== ===========
Total return ............................ 10.88% 24.62% 15.53% 29.49% (1.31%) 9.42%
Ratios to Average Net Assets:
Expenses .............................. 0.16% 0.30% 0.30% 0.32% 0.32% 0.31%
Investment income--net ................ 1.55% 3.37% 3.58% 3.75% 3.80% 3.52%
Portfolio turnover rate ................. 75.80% 91.87% 40.93% 52.65% 49.06% 39.85%
Thousands of Accumulation Units
outstanding at end of period ......... 33,357 30,554 25,841 22,196 18,302 16,790
</TABLE>
<TABLE>
<CAPTION>
GLOBAL EQUITIES ACCOUNT
-----------------------------------------------------------------------------------------
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31,
ENDED ------------------------------------------------------------------------
JUNE 30, 1998(1) 1997 1996 1995 1994 1993
------------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income ..................... $ .482 $ .848 $ .751 $ .727 $ .687 $ .487
Expenses .............................. .134 .205 .167 .157 .134 .103
----------- ----------- ----------- ----------- ----------- -----------
Investment income--net ................ .348 .643 .584 .570 .553 .384
Net realized and unrealized gain (loss)
on total investments ............... 9.575 8.650 7.138 6.618 (.719) 9.021
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) in
Accumulation Unit Value ............ 9.923 9.293 7.722 7.188 (.166) 9.405
Accumulation Unit Value:
Beginning of year ................... 59.973 50.680 42.958 35.770 35.936 26.531
----------- ----------- ----------- ----------- ----------- -----------
End of period ....................... $ 69.896 $ 59.973 $ 50.680 $ 42.958 $ 35.770 $ 35.936
=========== =========== =========== =========== =========== ===========
Total return ............................ 16.54% 18.34% 17.98% 20.09% (0.46%) 35.45%
Ratios to Average Net Assets:
Expenses .............................. 0.20% 0.38% 0.37% 0.40% 0.41% 0.45%
Investment income--net ................ 0.53% 1.19% 1.28% 1.47% 1.71% 1.67%
Portfolio turnover rate ................. 40.61% 98.70% 88.84% 67.50% 51.63% 16.75%
Thousands of Accumulation Units
outstanding at end of period ......... 85,019 84,645 80,016 70,163 70,700 36,796
</TABLE>
(1) The percentages shown for this period are not annualized.
-14-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED)
<TABLE>
<CAPTION>
GROWTH ACCOUNT
------------------------------------------------------------------------
APRIL 4, 1994
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, (DATE ESTABLISHED)
ENDED ---------------------------------------- TO DECEMBER 31,
JUNE 30, 1998(1) 1997 1996 1995 1994(1)
--------------- ----------- ----------- ----------- -----------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income .............. $ .259 $ .527 $ .484 $ .417 $ .398
Expenses ....................... .124 .155 .119 .114 .084
----------- ----------- ----------- ----------- -----------
Investment income--net ......... .135 .372 .365 .303 .314
Net realized and unrealized gain
on total investments ........ 9.978 12.219 8.638 8.891 .802
----------- ----------- ----------- ----------- -----------
Net increase in
Accumulation Unit Value ...... 10.113 12.591 9.003 9.194 1.116
Accumulation Unit Value:
Beginning of period .......... 56.904 44.313 35.310 26.116 25.000
----------- ----------- ----------- ----------- -----------
End of period ................ $ 67.017 $ 56.904 $ 44.313 $ 35.310 $ 26.116
=========== =========== =========== =========== ===========
Total return ..................... 17.77% 28.41% 25.50% 35.20% 4.46%
Ratios to Average Net Assets:
Expenses ....................... 0.20% 0.34% 0.35% 0.43% 0.33%
Investment income--net ......... 0.22% 0.82% 1.07% 1.13% 1.21%
Portfolio turnover rate .......... 39.19% 53.27% 38.51% 24.42% 12.29%
Thousands of Accumulation Units
outstanding at end of period ... 90,279 80,370 53,201 32,375 10,446
</TABLE>
<TABLE>
<CAPTION>
EQUITY INDEX ACCOUNT
--------------------------------------------------------------------------
APRIL 4, 1994
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, (DATE ESTABLISHED)
ENDED ----------------------------------------- TO DECEMBER 31,
JUNE 30, 1998(1) 1997 1996 1995 1994(1)
---------------- ----------- ----------- ----------- -------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Per Accumulation Unit Data:
Investment income .............. $ .466 $ .826 $ .773 $ .755 $ .552
Expenses ....................... .098 .141 .106 .100 .072
----------- ----------- ----------- ----------- -----------
Investment income--net ......... .368 .685 .667 .655 .480
Net realized and unrealized gain
on total investments ........ 8.053 12.672 6.936 8.703 .393
----------- ----------- ----------- ----------- -----------
Net increase in
Accumulation Unit Value ...... 8.421 13.357 7.603 9.358 .873
Accumulation Unit Value:
Beginning of period .......... 56.191 42.834 35.231 25.873 25.000
----------- ----------- ----------- ----------- -----------
End of period ................ $ 64.612 $ 56.191 $ 42.834 $ 35.231 $ 25.873
=========== =========== =========== =========== ===========
Total return ..................... 14.99% 31.18% 21.58% 36.17% 3.49%
Ratios to Average Net Assets:
Expenses ....................... 0.16% 0.30% 0.30% 0.34% 0.27%
Investment income--net ......... 0.60% 1.47% 1.87% 2.22% 1.83%
Portfolio turnover rate .......... 0.71% 3.50% 7.85% 8.31% 1.33%
Thousands of Accumulation Units
outstanding at end of period ... 44,138 35,368 20,725 10,911 2,716
</TABLE>
(1) The percentages shown for this period are not annualized.
-15-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED)
NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONCLUDED)
<TABLE>
<CAPTION>
INFLATION-LINKED BOND ACCOUNT
----------------------------------------
SIX MONTHS JANUARY 13, 1997
ENDED (DATE ESTABLISHED) TO
JUNE 30, 1998(1) DECEMBER 31, 1997 (1)
---------------- ---------------------
(UNAUDITED)
<S> <C> <C>
Per Accumulation Unit Data:
Investment income ....................... $ .526 $ 1.031
Expenses ................................ .046 .067
---------- ----------
Investment income--net .................. .480 .964
Net realized and unrealized gain (loss)
on total investments ................. (.063) .154
---------- ----------
Net increase in
Accumulation Unit Value ............... .417 1.118
Accumulation Unit Value:
Beginning of period ................... 26.118 25.000
---------- ----------
End of period ......................... $ 26.535 $ 26.118
========== ==========
Total return .............................. 1.59% 4.47%
Ratios to Average Net Assets:
Expenses ................................ 0.18% 0.25%
Investment income--net .................. 1.85% 3.60%
Portfolio turnover rate ................... 18.26% 63.56%
Thousands of Accumulation Units
outstanding at end of period ........... 4,196 3,626
</TABLE>
(1) The percentages shown for this period are not annualized.
-16-
<PAGE>
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:
<TABLE>
<CAPTION>
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, 1998 1997 JUNE 30, 1998 1997 JUNE 30, 1998 1997
------------- ------------ ------------- ------------ ------------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Accumulation Units:
Credited for premiums .............. 11,249,596 20,510,609 2,125,251 3,137,486 2,249,931 4,236,125
Credited (cancelled) for
transfers, disbursements and
amounts applied to the
Annuity Fund ..................... 9,822,072 (5,686,721) 5,928,483 5,905,434 553,195 476,429
Outstanding:
Beginning of year ................ 233,115,524 218,291,636 31,654,054 22,611,134 30,553,890 25,841,336
----------- ------------ ---------- ---------- ---------- ----------
End of period .................... 254,187,192 233,115,524 39,707,788 31,654,054 33,357,016 30,553,890
=========== ============ ========== ========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
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, 1998 1997 JUNE 30, 1998 1997 JUNE 30, 1998 1997
------------- ----------- ------------- ----------- ------------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Accumulation Units:
Credited for premiums .............. 4,282,070 9,103,302 6,931,010 11,408,929 3,634,388 4,863,305
Credited (cancelled) for
transfers, disbursements and
amounts applied to the
Annuity Fund ..................... (3,908,049) (4,474,351) 2,978,442 15,760,341 5,134,848 9,780,337
Outstanding:
Beginning of year ................ 84,644,864 80,015,913 80,369,823 53,200,553 35,368,353 20,724,711
----------- ----------- ---------- ---------- ---------- ----------
End of period .................... 85,018,885 84,644,864 90,279,275 80,369,823 44,137,589 35,368,353
=========== =========== ========== ========== ========== ==========
</TABLE>
INFLATION-LINKED BOND ACCOUNT
----------------------------------
SIX MONTHS JANUARY 13, 1997
ENDED (DATE ESTABLISHED)
JUNE 30, 1998 TO DECEMBER 31, 1997
------------- --------------------
(UNAUDITED)
Accumulation Units:
Credited for premiums .............. 174,751 2,133,619
Credited for transfers,
disbursements and
amounts applied to the
Annuity Fund ..................... 394,783 1,492,416
Outstanding:
Beginning of period .............. 3,626,035 --
--------- ---------
End of period .................... 4,195,569 3,626,035
========= =========
NOTE 7--LINE OF CREDIT
The Stock, Social Choice, Global Equities, Growth, Equity Index and
Inflation-Linked Bond Accounts share in a $2 billion unsecured revolving credit
facility for temporary or emergency purposes, including, without limitation, the
funding of participant redemptions that otherwise might require the untimely
disposition of securities. An annual commitment fee is charged for this
facility, which is allocated among the participating Accounts. Interest
associated with any borrowing under the credit facility will be charged to the
borrowing Accounts at rates which are based on the Federal Funds Rate in effect
during the time of the borrowing. For the six months ended June 30, 1998, there
were no borrowings under the line of credit.
-17-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT (UNAUDITED)
JUNE 30, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
---------- ------
SHORT TERM INVESTMENTS
BANK NOTES ........................... $ 193,826 4.12%
CERTIFICATES OF DEPOSIT .............. 633,525 13.48
COMMERCIAL PAPER ..................... 2,910,269 61.91
EURO CERTIFICATES OF DEPOSIT ......... 93,987 2.00
MEDIUM TERM BONDS .................... 36,504 0.78
U.S. GOVERNMENT & AGENCIES ........... 22,000 0.46
VARIABLE RATE NOTES .................. 790,955 16.82
---------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $4,681,755) ..................... 4,681,066 99.57
---------- ------
TOTAL PORTFOLIO
(COST $4,681,755) ..................... 4,681,066 99.57
OTHER ASSETS & LIABILITIES, NET ..... 20,047 0.43
---------- ------
NET ASSETS ............................. $4,701,113 100.00%
========== ======
------------------------------------------------------
VALUE
PRINCIPAL (000)
--------- -----
SHORT TERM INVESTMENTS--99.57%
BANK NOTES--4.12%
BANC ONE (MILWAUKEE), NA
$10,000,000 5.550%, 01/29/99 .............................. $ 9,980
BANK OF AMERICA
25,000,000 5.510%, 07/27/98 .............................. 24,995
BANK OF BOSTON
25,000,000 5.580%, 8/05/98 ............................... 24,997
BANK OF NEW YORK
24,000,000 5.570%, 03/17/99 .............................. 23,951
BANKBOSTON, NA
25,000,000 5.640%, 11/24/98 .............................. 24,988
25,000,000 5.740%, 04/06/99 .............................. 24,977
FIRST NATIONAL BANK OF CHICAGO
25,000,000 5.740%, 05/07/99 .............................. 24,982
HUNTINGTON NATIONAL BANK
25,000,000 5.625%, 01/12/99 .............................. 24,961
NATIONSBANK, NA
10,000,000 5.830%, 12/29/98 .............................. 9,995
------------
193,826
------------
CERTIFICATES OF DEPOSIT--13.48%
ABBEY NATIONAL TREASURY SERVICES
25,000,000 5.590%, 02/03/99 .............................. 24,968
ABN AMRO BANK N.V.
22,800,000 5.680%, 07/02/98 .............................. 22,800
BANK OF MONTREAL
15,000,000 5.560%, 07/14/98 .............................. 15,000
15,000,000 5.750%, 05/10/99 .............................. 14,999
BANK OF NOVA SCOTIA
10,000,000 5.925%, 08/14/98 .............................. 10,001
25,000,000 5.830%, 10/02/98 .............................. 24,997
BANKERS TRUST CO OF NEW YORK
9,000,000 5.900%, 08/10/98 .............................. 9,001
25,000,000 5.840%, 04/30/99 .............................. 25,015
BARCLAYS BANK PLC
11,000,000 5.715%, 10/09/98 .............................. 10,995
15,000,000 5.895%, 10/22/98 .............................. 15,002
25,000,000 5.530%, 02/23/99 .............................. 24,958
CANADIAN IMPERIAL BANK OF COMMERCE
10,000,000 5.940%, 10/23/98 .............................. 10,002
CREDIT AGRICOLE
10,000,000 6.000%, 12/09/98 .............................. 10,007
17,000,000 5.750%, 05/19/99 .............................. 17,000
CREDIT SUISSE
15,000,000 5.720%, 03/11/99 .............................. 14,993
25,000,000 5.700%, 03/26/99 .............................. 24,986
10,000,000 5.800%, 04/27/99 .............................. 10,002
DRESDNER BANK
15,000,000 5.760%, 07/31/98 .............................. 14,998
25,000,000 5.560%, 08/04/98 .............................. 24,999
FIRST NATIONAL BANK OF CHICAGO
25,000,000 5.520%, 02/16/99 .............................. 24,952
MORGAN GUARANTY TRUST CO
19,000,000 5.800%, 07/28/98 .............................. 18,999
10,000,000 5.870%, 08/06/98 .............................. 10,000
NATIONAL WESTMINSTER BANK PLC
15,000,000 5.790%, 07/28/98 .............................. 14,999
10,000,000 5.737%, 05/07/99 .............................. 9,998
RABOBANK
25,000,000 5.630%, 03/24/99 .............................. 24,974
10,000,000 5.700%, 04/20/99 .............................. 9,994
20,000,000 5.750%, 05/14/99 .............................. 20,000
10,000,000 5.740%, 05/19/99 .............................. 9,999
REGIONS BANK (ALABAMA)
25,000,000 5.770%, 05/21/99 .............................. 24,983
ROYAL BANK OF CANADA
22,000,000 5.645%, 03/09/99 .............................. 21,978
SOCIETE GENERALE
14,000,000 5.700%, 01/07/99 .............................. 13,991
10,000,000 5.560%, 01/19/99 .............................. 9,986
SWISS BANK CORP
24,000,000 5.710%, 07/02/98 .............................. 24,000
25,000,000 5.635%, 03/22/99 .............................. 24,974
TORONTO DOMINION BANK
25,000,000 5.640%, 06/18/99 .............................. 24,975
WESTDEUTSCHE LANDESBANK
20,000,000 5.570%, 07/29/98 .............................. 20,000
------------
633,525
------------
COMMERCIAL PAPER--61.91%
ABBEY NATIONAL TREASURY SERVICES
25,000,000 5.510%, 10/29/98 .............................. 24,535
AIR PRODUCTS & CHEMICALS, INC
21,500,000 5.500%, 07/07/98 .............................. 21,480
11,200,000 5.510%, 09/03/98 .............................. 11,087
AMRO NORTH AMERICA FINANCE, INC
20,000,000 5.420%, 07/02/98 .............................. 19,997
20,000,000 5.480%, 07/02/98 .............................. 19,997
ANHEUSER-BUSCH CO
35,750,000 5.370%, 12/21/98 .............................. 34,798
ASSET SECURITIZATION COOPERATIVE CORP
25,000,000 ~ 5.500%, 07/07/98 .............................. 24,977
See notes to financial statements.
-18-
<PAGE>
MONEY MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- -----
COMMERCIAL PAPER--(CONTINUED)
ASSET SECURITIZATION COOPERATIVE CORP
$16,000,000 ~ 5.510%, 07/15/98 .............................. $ 15,966
25,000,000 ~ 5.510%, 07/17/98 .............................. 24,937
25,000,000 ~ 5.530%, 07/20/98 .............................. 24,927
25,000,000 ~ 5.520%, 08/13/98 .............................. 24,833
25,000,000 ~ 5.510%, 08/27/98 .............................. 24,777
ASSOCIATES CORP OF NORTH AMERICA
25,000,000 5.500%, 07/06/98 .............................. 24,980
ATLANTIC RICHFIELD CO
25,000,000 ~ 5.510%, 09/11/98 .............................. 24,718
50,000,000 ~ 5.510%, 09/14/98 .............................. 49,414
B.B.V. FINANCE (DELAWARE), INC
10,000,000 5.510%, 07/07/98 .............................. 9,991
20,000,000 5.460%, 10/05/98 .............................. 19,702
BANK OF MONTREAL
9,490,000 5.335%, 11/09/98 .............................. 9,298
BANKERS TRUST CO OF NEW YORK
15,000,000 5.375%, 10/23/98 .............................. 14,735
22,000,000 5.460%, 12/17/98 .............................. 21,428
BANKERS TRUST NEW YORK CORP
25,000,000 5.510%, 07/07/98 .............................. 24,977
20,000,000 5.380%, 07/17/98 .............................. 19,950
16,500,000 5.410%, 08/26/98 .............................. 16,355
9,000,000 5.420%, 09/09/98 .............................. 8,901
BEAR STEARNS CO, INC
25,000,000 5.510%, 08/03/98 .............................. 24,871
25,000,000 5.520%, 09/11/98 .............................. 24,718
BELL ATLANTIC FINANCIAL SERVICES, INC
49,000,000 5.530%, 07/09/98 .............................. 48,940
BETA FINANCE, INC
18,000,000 ~ 5.380%, 07/16/98 .............................. 17,958
10,100,000 ~ 5.510%, 08/10/98 .............................. 10,037
20,000,000 ~ 5.380%, 08/18/98 .............................. 19,850
22,000,000 ~ 5.520%, 09/22/98 .............................. 21,715
CANADIAN IMPERIAL HOLDINGS, INC
30,000,000 5.484%, 07/24/98 .............................. 29,892
11,000,000 5.570%, 09/25/98 .............................. 10,999
CATERPILLAR FINANCIAL SERVICES CORP
8,760,000 5.490%, 08/07/98 .............................. 8,709
CIESCO LP
7,000,000 ~ 5.480%, 07/24/98 .............................. 6,975
50,000,000 ~ 5.500%, 08/14/98 .............................. 49,658
25,000,000 ~ 5.500%, 08/21/98 .............................. 24,800
COCA COLA ENTERPRISES, INC
25,000,000 ~ 5.400%, 08/18/98 .............................. 24,811
25,000,000 ~ 5.400%, 08/19/98 .............................. 24,807
20,000,000 ~ 5.540%, 09/24/98 .............................. 19,732
COMMERCIAL CREDIT CO
28,000,000 5.500%, 07/16/98 .............................. 27,934
25,000,000 5.500%, 07/17/98 .............................. 24,937
7,800,000 5.510%, 09/04/98 .............................. 7,720
CORPORATE ASSET FUNDING CORP, INC
25,000,000 ~ 5.500%, 07/08/98 .............................. 24,973
22,950,000 ~ 5.520%, 07/08/98 .............................. 22,925
18,300,000 ~ 5.530%, 07/08/98 .............................. 18,280
30,000,000 ~ 5.490%, 07/14/98 .............................. 29,939
29,000,000 ~ 5.520%, 07/17/98 .............................. 28,929
25,000,000 ~ 5.510%, 09/04/98 .............................. 24,745
DELAWARE FUNDING CORP
25,000,000 ~ 5.490%, 07/06/98 .............................. 24,980
26,000,000 ~ 5.520%, 07/06/98 .............................. 25,980
15,000,000 ~ 5.680%, 07/08/98 .............................. 14,983
25,000,000 ~ 5.540%, 07/15/98 .............................. 24,946
25,000,000 ~ 5.540%, 07/20/98 .............................. 24,927
10,000,000 ~ 5.560%, 07/21/98 .............................. 9,969
23,650,000 ~ 5.550%, 07/30/98 .............................. 23,544
DEUTSCHE BANK FINANCIAL, INC
10,000,000 5.490%, 07/06/98 .............................. 9,992
EASTMAN KODAK CO
25,285,000 5.490%, 07/02/98 .............................. 25,281
18,000,000 5.520%, 07/28/98 .............................. 17,925
20,000,000 5.520%, 07/29/98 .............................. 19,914
11,250,000 5.520%, 07/30/98 .............................. 11,200
ENTERPRISE FUNDING CORP
9,300,000 ~ 5.550%, 07/07/98 .............................. 9,291
15,000,000 ~ 5.540%, 07/10/98 .............................. 14,979
19,282,000 ~ 5.510%, 07/23/98 .............................. 19,216
4,515,000 ~ 5.520%, 07/24/98 .............................. 4,499
FLORIDA POWER & LIGHT CO
30,000,000 5.580%, 07/31/98 .............................. 29,861
FORD MOTOR CREDIT CO
7,940,000 6.050%, 07/01/98 .............................. 7,940
50,790,000 6.110%, 07/01/98 .............................. 50,790
14,400,000 5.700%, 07/02/98 .............................. 14,398
28,000,000 5.490%, 07/10/98 .............................. 27,960
49,000,000 5.510%, 07/22/98 .............................. 48,839
FORTUNE BRANDS
8,000,000 ~ 5.510%, 07/22/98 .............................. 7,974
35,000,000 ~ 5.520%, 07/27/98 .............................. 34,860
10,000,000 ~ 5.530%, 08/06/98 .............................. 9,944
GENERAL ELECTRIC CAPITAL CORP
36,000,000 5.560%, 07/10/98 .............................. 35,950
25,000,000 5.500%, 07/24/98 .............................. 24,910
25,000,000 5.460%, 09/09/98 .............................. 24,725
25,000,000 5.520%, 10/15/98 .............................. 24,589
GENERAL MOTORS ACCEPTANCE CORP
14,000,000 5.520%, 08/28/98 .............................. 13,873
GENERAL SIGNAL CORP
23,000,000 5.540%, 07/10/98 .............................. 22,968
GOLDMAN SACHS GROUP LP
17,500,000 5.600%, 07/01/98 .............................. 17,500
41,000,000 5.510%, 07/10/98 .............................. 40,944
35,000,000 5.480%, 08/13/98 .............................. 34,766
12,000,000 5.520%, 08/26/98 .............................. 11,895
25,000,000 5.470%, 11/09/98 .............................. 24,493
GTE CORP
21,000,000 5.550%, 07/06/98 .............................. 20,984
26,000,000 5.530%, 07/09/98 .............................. 25,968
28,000,000 5.550%, 07/10/98 .............................. 27,961
GTE FUNDING, INC
50,000,000 5.530%, 07/14/98 .............................. 49,900
25,000,000 5.540%, 07/16/98 .............................. 24,942
36,530,000 5.540%, 07/21/98 .............................. 36,418
10,998,000 5.620%, 07/22/98 .............................. 10,962
10,000,000 5.620%, 07/23/98 .............................. 9,966
14,000,000 5.620%, 07/24/98 .............................. 13,950
HOUSEHOLD FINANCE CORP
32,350,000 5.520%, 07/01/98 .............................. 32,350
J.P. MORGAN & CO
10,000,000 5.500%, 10/05/98 .............................. 9,851
MCCORMICK & CO, INC
15,000,000 5.500%, 09/29/98 .............................. 14,790
MERRILL LYNCH & CO, INC
25,000,000 5.510%, 07/31/98 .............................. 24,883
11,000,000 5.570%, 07/31/98 .............................. 10,948
MONONGAHELA POWER CO
15,000,000 5.600%, 07/06/98 .............................. 14,988
See notes to financial statements.
-19-
<PAGE>
MONEY MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- -----
COMMERCIAL PAPER--(CONTINUED)
MORGAN STANLEY DEAN WITTER
$35,000,000 5.520%, 07/09/98 .............................. $ 34,958
NATIONAL FUEL GAS CO
27,000,000 5.570%, 07/21/98 .............................. 26,916
20,000,000 5.630%, 08/07/98 .............................. 19,884
NATIONAL RURAL UTILITIES COOP FINANCE
13,500,000 ~ 5.525%, 08/04/98 .............................. 13,428
25,000,000 ~ 5.500%, 09/25/98 .............................. 24,665
NATIONSBANK CORP
25,000,000 5.500%, 09/08/98 .............................. 24,729
NORTHERN INDIANA PUBLIC SERVICE CO
7,134,000 5.600%, 07/10/98 .............................. 7,124
PACIFICORP
30,000,000 5.510%, 08/18/98 .............................. 29,775
15,000,000 5.530%, 08/19/98 .............................. 14,885
10,000,000 5.540%, 08/27/98 .............................. 9,911
PARK AVENUE RECEIVABLES CORP
20,000,000 ~ 5.550%, 07/02/98 .............................. 19,997
18,000,000 ~ 5.540%, 07/10/98 .............................. 17,975
25,000,000 ~ 5.540%, 07/13/98 .............................. 24,954
14,000,000 ~ 5.570%, 07/15/98 .............................. 13,970
13,400,000 ~ 5.550%, 07/16/98 .............................. 13,369
36,162,000 ~ 5.570%, 07/20/98 .............................. 36,056
10,106,000 ~ 5.530%, 07/24/98 .............................. 10,070
13,000,000 ~ 5.530%, 08/14/98 .............................. 12,912
PENNEY (J.C.) FUNDING CORP
19,708,000 ~ 5.500%, 07/07/98 .............................. 19,690
3,280,000 ~ 5.500%, 07/22/98 .............................. 3,269
25,000,000 ~ 5.500%, 08/14/98 .............................. 24,829
PORTLAND GENERAL ELECTRIC CO
10,200,000 5.520%, 08/14/98 .............................. 10,130
S.C. JOHNSON & SON, INC
16,500,000 ~ 5.525%, 08/03/98 .............................. 16,415
23,000,000 ~ 5.520%, 08/20/98 .............................. 22,820
25,000,000 ~ 5.490%, 08/25/98 .............................. 24,784
15,000,000 ~ 5.510%, 10/26/98 .............................. 14,728
SALOMON SMITH BARNEY HOLDINGS, INC
20,000,000 5.520%, 07/06/98 .............................. 19,984
27,790,000 5.490%, 07/17/98 .............................. 27,720
SEARS ROEBUCK ACCEPTANCE CORP
25,000,000 5.500%, 07/07/98 .............................. 24,977
25,000,000 5.500%, 07/14/98 .............................. 24,949
42,000,000 5.520%, 07/15/98 .............................. 41,910
TORONTO DOMINION HOLDINGS (U.S.)
25,000,000 5.460%, 11/24/98 .............................. 24,435
XEROX CAPITAL (EUROPE) PLC
25,000,000 5.520%, 07/15/98 .............................. 24,946
XEROX CREDIT CORP
13,840,000 5.480%, 07/08/98 .............................. 13,825
------------
2,910,269
------------
EURO CERTIFICATES OF DEPOSIT--2.00%
ABBEY NATIONAL TREASURY SERVICES
25,000,000 5.550%, 07/13/98 .............................. 24,999
20,000,000 5.580%, 08/27/98 .............................. 19,998
. BANK OF NOVA SCOTIA
14,000,000 5.700%, 07/06/98 .............................. 14,000
CREDIT SUISSE
20,000,000 5.760%, 10/07/98 .............................. 19,994
MORGAN GUARANTY TRUST CO
15,000,000 5.615%, 12/01/98 .............................. 14,996
------------
93,987
------------
MEDIUM TERM BONDS--0.78%
BETA FINANCE, INC
15,000,000 5.900%, 07/24/98 .............................. 15,001
15,000,000 6.000%, 10/09/98 .............................. 15,002
CIT GROUP HOLDINGS, INC
6,500,000 5.875%, 11/09/98 .............................. 6,501
------------
36,504
------------
U.S. GOVERNMENT & AGENCIES--0.46%
FEDERAL FARM CREDIT BANK
22,000,000 5.300%, 02/02/99 .............................. 22,000
------------
VARIABLE RATE NOTES--16.82%
AMERICAN EXPRESS CENTURION BANK
30,000,000 5.616%, 12/15/98 .............................. 30,000
25,000,000 5.616%, 01/04/99 .............................. 25,000
15,000,000 5.596%, 05/14/99 .............................. 14,991
ASSOCIATES CORP OF NORTH AMERICA
50,000,000 5.790%, 01/04/99 .............................. 49,995
BANC ONE TEXAS, NA
5,000,000 5.740%, 07/01/98 .............................. 5,000
BANK OF AMERICA
11,000,000 6.199%, 05/17/99 .............................. 11,043
BANKBOSTON, NA
25,000,000 5.571%, 05/14/99 .............................. 24,985
BANKERS TRUST CO OF NEW YORK
5,000,000 5.790%, 07/13/98 .............................. 5,000
BANKERS TRUST NEW YORK CORP
25,000,000 5.890%, 07/17/98 .............................. 25,000
BEAR STEARNS CO, INC
25,000,000 5.626%, 03/03/99 .............................. 25,003
BETA FINANCE, INC
25,000,000 5.661%, 05/19/99 .............................. 25,000
CATERPILLAR FINANCIAL SERVICES CORP
30,500,000 5.671%, 05/05/99 .............................. 30,506
CORESTATES BANK
25,000,000 5.642%, 12/30/98 .............................. 25,003
CORESTATES BANK, NA (PHILADELPHIA)
5,000,000 5.637%, 01/29/99 .............................. 5,000
FIRST UNION NATIONAL BANK (CHARLOTTE)
25,000,000 5.790%, 05/17/99 .............................. 24,988
FIRST UNION NATIONAL BANK, NC
25,000,000 5.570%, 04/30/99 .............................. 24,995
GENERAL MOTORS ACCEPTANCE CORP
23,500,000 5.567%, 09/21/98 .............................. 23,500
5,000,000 5.617%, 04/20/99 .............................. 4,999
GOLDMAN SACHS GROUP LP
7,000,000 5.741%, 02/24/99 .............................. 6,999
HOUSEHOLD FINANCE CORP
25,000,000 5.706%, 09/15/98 .............................. 25,000
25,000,000 5.627%, 04/29/99 .............................. 24,998
25,000,000 6.010%, 05/28/99 .............................. 25,038
25,000,000 5.647%, 07/19/99 .............................. 25,000
INTERNATIONAL BUSINESS MACHINE CORP
25,000,000 5.495%, 05/21/99 .............................. 24,970
J.P. MORGAN & CO
20,000,000 5.580%, 02/24/99 .............................. 19,998
10,000,000 5.550%, 07/06/99 .............................. 9,994
JOHN DEERE CAPITAL CORP
5,000,000 5.687%, 10/08/98 .............................. 5,000
KEY BANK
25,000,000 5.760%, 01/14/99 .............................. 24,995
18,000,000 5.550%, 02/24/99 .............................. 17,996
7,000,000 5.720%, 06/21/99 .............................. 6,993
See notes to financial statements.
-20-
<PAGE>
MONEY MARKET ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- -----
VARIABLE RATE NOTES--(CONTINUED)
MERRILL LYNCH & CO, INC
$20,000,000 5.900%, 06/07/99 .............................. $ 20,010
MORGAN STANLEY DEAN WITTER
10,000,000 5.692%, 08/17/98 .............................. 10,001
25,000,000 5.606%, 10/22/98 .............................. 24,998
20,000,000 5.907%, 03/01/99 .............................. 19,996
NATIONSBANK, NA
5,000,000 5.562%, 12/21/98 .............................. 4,998
15,000,000 5.580%, 04/27/99 .............................. 14,993
PNC BANK
25,000,000 5.720%, 05/14/99 .............................. 24,975
PNC BANK, NA
5,000,000 5.676%, 09/25/98 .............................. 5,001
SEARS ROEBUCK ACCEPTANCE CORP
25,000,000 5.622%, 03/26/99 .............................. 25,000
SOCIETE GENERALE
34,000,000 5.775%, 09/08/98 .............................. 34,000
SOUTHTRUST
10,000,000 5.656%, 09/17/98 .............................. 9,994
----------
790,955
----------
TOTAL SHORT TERM INVESTMENTS
(COST $4,681,755) ............................... 4,681,066
----------
TOTAL PORTFOLIO
(COST $4,681,755) ............................... $4,681,066
==========
- ---------------
~ 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.
-21-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT (UNAUDITED)
JUNE 30, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
---------- ------
BONDS
CORPORATE BONDS
ASSET BACKED ................................... $ 104,644 5.19%
AUTO REPAIR, SERVICES AND PARKING .............. 5,119 0.25
BUSINESS SERVICES .............................. 27,974 1.39
COMMUNICATIONS ................................. 45,804 2.27
DEPOSITORY INSTITUTIONS ........................ 50,847 2.52
ELECTRIC, GAS, AND SANITARY SERVICES ........... 73,644 3.65
FOOD AND KINDRED PRODUCTS ...................... 20,080 1.00
GENERAL MERCHANDISE STORES ..................... 15,023 0.74
HEALTH SERVICES ................................ 10,064 0.50
HOLDING AND OTHER INVESTMENT OFFICES ........... 30,220 1.50
INDUSTRIAL MACHINERY AND EQUIPMENT ............. 10,000 0.49
INSTRUMENTS AND RELATED PRODUCTS ............... 7,871 0.39
INSURANCE CARRIERS ............................. 25,949 1.29
MEMBERSHIP ORGANIZATIONS ....................... 4,963 0.25
METAL MINING ................................... 5,043 0.25
MISCELLANEOUS RETAIL ........................... 6,101 0.30
MOTION PICTURES ................................ 20,715 1.03
NATIONAL SECURITY AND
INTERNATIONAL AFFAIRS ......................... 10,549 0.52
NONDEPOSITORY INSTITUTIONS ..................... 60,637 3.01
OIL AND GAS EXTRACTION ......................... 17,373 0.86
OTHER MORTGAGE BACKED SECURITIES ............... 32,851 1.63
PERSONAL SERVICES .............................. 23,047 1.14
PETROLEUM AND COAL PRODUCTS .................... 3,035 0.15
PRINTING AND PUBLISHING ........................ 40,802 2.02
RAILROAD TRANSPORTATION ........................ 6,468 0.32
SECURITY AND COMMODITY BROKERS ................. 40,482 2.01
TOBACCO PRODUCTS ............................... 10,000 0.49
TRANSPORTATION BY AIR .......................... 11,847 0.59
TRANSPORTATION EQUIPMENT ....................... 4,995 0.25
---------- -------
TOTAL CORPORATE BONDS
(COST $721,524) ............................... 726,147 36.00
---------- -------
GOVERNMENT BONDS
AGENCY SECURITIES ............................. 289,134 14.33
GOVERNMENT BONDS .............................. 8,219 0.41
MORTGAGE BACKED SECURITIES .................... 544,794 27.00
OTHER MORTGAGE BACKED SECURITIES .............. 20,507 1.02
U.S. TREASURY SECURITIES ...................... 337,380 16.72
---------- -------
TOTAL GOVERNMENT BONDS
(COST $1,185,821) ............................. 1,200,034 59.48
---------- -------
TOTAL BONDS
(COST $1,907,345) .............................. 1,926,181 95.48
---------- -------
PREFERRED STOCK
HOLDING AND OTHER INVESTMENT OFFICES ........... 5,443 0.27
REAL ESTATE .................................... 8,200 0.41
---------- -------
TOTAL PREFERRED STOCK
(COST $13,619) ................................. 13,643 0.68
---------- -------
SHORT TERM INVESTMENTS
BANK OF NEW YORK
COLLATERALIZED ASSETS ......................... 246,390 12.21
COMMERCIAL PAPER ............................... 302,109 14.98
---------- -------
TOTAL SHORT TERM INVESTMENTS
(COST $548,561) ................................ 548,499 27.19
---------- -------
TOTAL PORTFOLIO
(COST $2,469,525) .............................. $ 2,488,323 123.35%
OTHER ASSETS & LIABILITIES, NET ............... (470,981) (23.35)
----------- -------
NET ASSETS ....................................... $ 2,017,342 100.00%
=========== =======
---------------------------
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- ------
BONDS--95.48%
CORPORATE BONDS--36.00%
ASSET BACKED--5.19%
AMRESCO RESIDENTIAL
SECURITIES MORTGAGE
LOAN TR SERIES 1997-2
$ 5,000,000 (CLASS A3) 6.795%, 12/25/20 ........ AAA $ 5,013
BLOCK MORTGAGE FINANCE, INC
SERIES 1997-1 (CLASS A-2)
5,000,000 6.850%, 10/25/11 ................... AAA 5,011
CHASE CREDIT CARD MASTER
TR SERIES 1997-2 (CLASS B)
19,000,000 6.450%, 04/15/03 ................... A2 19,184
CONTI MORTGAGE HOME EQUITY
LOAN TR SERIES 1997-1
2,333,851 (CLASS A3) 6.480%, 01/15/12 ........ AAA 2,332
FIRST ALLIANCE MORTGAGE LOAN
TR SERIES 1997-3 (CLASS A1)
4,093,938 6.935%, 12/20/28 ................... AAA 4,139
GE CAPITAL MORTGAGE
SERVICES, INC SERIES 1997-HE3
5,000,000 (CLASS A6) 6.720%, 10/25/27 ........ AAA 5,085
GREEN TREE FINANCIAL CORP
SERIES 1993-3 (CLASS A5)
5,000,000 5.750%, 10/15/18 ................... AA2 4,977
GREEN TREE HOME EQUITY LOAN
TR SERIES 1998-C (CLASS A3)
20,250,000 6.180%, 07/15/29 ................... AAA 20,282
IMC HOME EQUITY LOAN TR
SERIES 1997-2 (CLASS A-2)
7,500,000 6.700%, 11/20/11 ................... AAA 7,509
NATIONSBANK AUTO GRANTOR
TR SERIES 1995-A (CLASS A)
562,497 5.850%, 06/15/02 ................... AAA 562
RAILCAR LEASING (SR NOTE)
4,399,316 ^ 6.750%, 07/15/06 ................... AAA 4,541
STANDARD CREDIT CARD MASTER
TR SERIES 1991-6 (CLASS B)
4,225,000 8.350%, 01/07/00 ................... A2 4,273
THE MONEY STORE HOME EQUITY
TR SERIES 1997-D (CLASS AF7)
5,000,000 6.485%, 12/15/28 ................... AAA 5,044
TOYOTA AUTO RECEIVABLES
GRANTOR TR SERIES 1997-A
2,686,783 (CLASS B) 6.600%, 04/15/02 ......... A2 2,701
UCFC HOME EQUITY LOAN SERIES
1998-B (CLASS A8)
9,000,000 6.180%, 10/15/29 ................... AAA 8,961
See notes to financial statements.
-22-
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
ASSET BACKED--(CONTINUED)
VANDERBILT MORTGAGE &
FINANCE, INC SERIES 1997-A
(CLASS A-2)
$ 5,000,000 6.525%, 12/07/28 ................... AAA $ 5,030
--------
104,644
--------
AUTO REPAIR, SERVICES AND
PARKING--0.25%
ERAC U.S.A. FINANCE CO NOTE
5,000,000 ^ 6.950%, 03/01/04 ................... BAA2 5,119
--------
BUSINESS SERVICES--1.39%
AT&T CAPITAL CORP
(MEDIUM TERM NOTE)
15,000,000 6.230%, 09/24/99 ................... BAA3 15,055
COMPUTER ASSOCIATES
INTERNATIONAL DEB
13,000,000 ^ 6.375%, 04/15/05 ................... BAA1 12,919
--------
27,974
--------
COMMUNICATIONS--2.27%
360 COMMUNICATIONS CO
(SR NOTE)
10,000,000 7.500%, 03/01/06 ................... BAA1 10,660
GTE CORP DEB
10,000,000 6.940%, 04/15/28 ................... BAA1 10,078
LUCENT TECHNOLOGIES, INC DEB
9,150,000 6.500%, 01/15/28 ................... A2 9,236
VIACOM, INC (SR NOTE)
5,000,000 7.750%, 06/01/05 ................... BA2 5,327
WORLDCOM, INC (SR NOTE)
10,000,000 9.375%, 01/15/04 ................... BAA2 10,503
--------
45,804
--------
DEPOSITORY INSTITUTIONS--2.52%
CRESTAR FINANCIAL CORP
(SUB NOTE)
10,000,000 6.500%, 01/15/18 ................... BAA1 10,013
INSTITUTO CREDITO OFICIAL
(GUARANTEE NOTE)
5,000,000 6.000%, 05/19/08 ................... AA2 5,029
LONG ISLAND SAVINGS BANK FSB
(MEDIUM TERM NOTE)
4,500,000 7.000%, 06/13/02 ................... BAA3 4,600
NORTH FORK CAPITAL
(GUARANTEE NOTE)
4,000,000 8.000%, 12/15/27 ................... BAA3 4,180
PROVIDIAN NATIONAL BANK
(SR NOTE)
10,000,000 6.250%, 05/06/01 ................... BAA3 10,012
SKANDINAVISKA ENSKILDA
BANKEN (SUB NOTE)
13,000,000 ^ 6.500%, 12/29/49 ................... BAA1 12,934
UNION PLANTERS BANK CORP
(SUB NOTE)
4,100,000 6.500%, 03/15/08 ................... BAA1 4,079
--------
50,847
--------
ELECTRIC, GAS, AND SANITARY SERVICES--3.65%
CLEVELAND ELECTRIC TOLEDO
EDISON NOTE
5,000,000 7.190%, 07/01/00 ................... BA1 5,077
COASTAL CORP (SR NOTE)
11,490,000 10.000%, 02/01/01 .................. BAA3 12,574
CONSUMERS ENERGY CO DEB
10,000,000 ^ 6.200%, 05/01/03 ................... BAA3 10,005
EL PASO ELECTRIC CO
(FIRST MTGE BOND)
1,000,000 7.250%, 02/01/99 ................... BA2 1,003
5,000,000 8.900%, 02/01/06 ................... BA2 5,640
KN CAPITAL TRUST III
(GUARANTEE NOTE)
5,000,000 7.630%, 04/15/28 ................... BAA3 5,025
KN ENERGY, INC (SR NOTE)
6,000,000 6.650%, 03/01/05 ................... BAA2 6,017
LONG ISLAND LIGHTING CO DEB
5,000,000 8.900%, 07/15/19 ................... BAA3 5,299
NIAGARA MOHAWK POWER CO
(SR NOTE)
10,000,000 7.125%, 07/01/01 ................... BA3 9,982
PROYECTOS DE ENERGIA DEB
5,000,000 ^ 9.750%, 07/15/13 ................... BA2 4,716
PUGET SOUND ENERGY, INC
(SR NOTE)
5,000,000 7.020%, 12/01/27 ................... BAA1 5,172
TENNESSEE GAS PIPELINE DEB
3,000,000 7.000%, 03/15/27 ................... BAA2 3,134
--------
73,644
--------
FOOD AND KINDRED PRODUCTS--1.00%
BESTFOODS NOTE
5,000,000 6.625%, 04/15/28 ................... A2 5,083
COCA COLA (PUTABLE ASSET TR) DEB
5,000,000 ^ 6.000%, 03/15/11 ................... A3 4,994
NABISCO, INC (PASS THRU CERT)
10,000,000 ^ 6.300%, 08/26/99 ................... BAA2 10,003
--------
20,080
--------
GENERAL MERCHANDISE STORES--0.74%
DAYTON HUDSON CO NOTE
5,000,000 5.950%, 06/15/00 ................... BAA1 4,998
FRED MEYER, INC
(GUARANTEE NOTE)
10,000,000 7.375%, 03/01/05 ................... BA2 10,025
--------
15,023
--------
HEALTH SERVICES--0.50%
COLUMBIA/HCA HEALTHCARE
CORP NOTE
5,000,000 6.500%, 03/15/99 ................... BA2 4,976
TENET HEALTHCARE CORP
(SR NOTE)
5,000,000 7.875%, 01/15/03 ................... BA1 5,088
--------
10,064
--------
HOLDING AND OTHER INVESTMENT
OFFICES--1.50%
CRESCENT REAL ESTATE NOTE
10,200,000 ^ 6.625%, 09/15/02 ................... BAA3 10,070
FORTUNE BRANDS DEB
10,000,000 6.625%, 07/15/28 ................... A2 10,006
SIMON DEBARTOLO GROUP
(MEDIUM TERM NOTE)
5,000,000 7.125%, 09/20/07 ................... BAA1 5,144
U.S. WEST CAPITAL FUNDING, INC DEB
5,000,000 6.875%, 07/15/28 ................... A3 5,000
--------
30,220
--------
See notes to financial statements.
-23-
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
INDUSTRIAL MACHINERY AND
EQUIPMENT--0.49%
U.S. FILTER CORP NOTE
$10,000,000 ^ 6.375%, 05/15/01 ................... BA1 $ 10,000
--------
INSTRUMENTS AND RELATED
PRODUCTS--0.39%
RAYTHEON CO NOTE
7,900,000 5.950%, 03/15/01 ................... BAA1 7,871
--------
INSURANCE CARRIERS--1.29%
AMERICAN ANNUITY GROUP
(SR NOTE)
10,000,000 6.875%, 06/01/08 ................... BAA3 10,031
ASSOCIATED P & C HOLDINGS, INC
(SR NOTE)
5,000,000 6.750%, 07/15/03 ................... BAA1 4,987
TRANSAMERICA CAPITAL
CORP DEB
5,000,000 ^ 7.800%, 12/01/26 ................... A2 5,406
VESTA INSURANCE GROUP, INC DEB
5,175,000 8.750%, 07/15/25 ................... BAA2 5,525
--------
25,949
--------
MEMBERSHIP ORGANIZATIONS--0.25%
ENTERPRISES SHIPHOLDING
(SR NOTE)
5,000,000 ^ 8.875%, 05/01/08 ................... BA3 4,963
--------
METAL MINING--0.25%
BHP FINANCE U.S.A. LTD
(GUARANTEE NOTE)
5,000,000 6.690%, 03/01/06 ................... A2 5,043
--------
MISCELLANEOUS RETAIL--0.30%
RITE AID CORP NOTE
6,000,000 6.700%, 12/15/01 ................... BAA1 6,101
--------
MOTION PICTURES--1.03%
WALT DISNEY CO NOTE
5,000,000 5.600%, 01/13/00 ................... A2 4,995
VIDEOTRON HOLDINGS PLC
(SR NOTE)
16,000,000 0.000%, 07/01/04 ................... BAA3 15,720
--------
20,715
--------
NATIONAL SECURITY AND
INTERNATIONAL AFFAIRS--0.52%
PROVINCE OF ONTARIO NOTE
10,000,000 7.375%, 01/27/03 ................... AA3 10,549
--------
NONDEPOSITORY INSTITUTIONS--3.01%
GATX CAPITAL CORP NOTE
10,000,000 6.500%, 11/01/00 ................... BAA3 10,073
GENERAL ELECTRIC CAPITAL
CORP NOTE
10,000,000 5.600%, 01/14/00 ................... AAA 9,987
HELLER FINANCIAL, INC NOTE
5,000,000 6.250%, 03/01/01 ................... A3 5,005
MBNA CORP (SR NOTE)
5,000,000 6.875%, 10/01/99 ................... BAA2 5,046
MONEY STORE, INC NOTE
8,000,000 8.050%, 04/15/02 ................... BA1 8,475
20,000,000 8.375%, 04/15/04 ................... BA1 22,051
--------
60,637
--------
OIL AND GAS EXTRACTION--0.86%
ORYX ENERGY CO NOTE
5,000,000 8.000%, 10/15/03 ................... BA1 5,266
PETRO GEO-SERVICES ASA
(SR NOTE)
9,000,000 7.125%, 03/30/28 ................... BAA3 9,108
VASTAR RESOURCES, INC NOTE
3,000,000 6.000%, 04/20/00 ................... BAA1 2,999
--------
17,373
--------
OTHER MORTGAGE BACKED
SECURITIES--1.63%
CRIIMI MAE CMBS CORP
SERIES 1998-1 (CLASS A1)
9,000,000 ^ 5.697%, 10/20/01 ................... AAA 8,913
CRIIMI MAE CMBS CORP
SERIES 1998-1 (CLASS A3)
9,000,000 ^ 6.306%, 12/20/07 ................... AAA 8,840
CS FIRST BOSTON MORTGAGE
SECURITIES CORP SERIES 1998-C1
(CLASS A1A)
15,000,000 6.260%, 05/17/08 ................... AAA 15,098
--------
32,851
--------
PERSONAL SERVICES--1.14%
LOEWEN GROUP, INC DEB
18,000,000 ^ 6.700%, 10/01/99 ................... BA1 18,054
SERVICE CORP INTERNATIONAL
(SR NOTE)
5,000,000 6.300%, 03/15/20 ................... BA1 4,993
--------
23,047
--------
PETROLEUM AND COAL
PRODUCTS--0.15%
3,000,000 VALERO ENERGY CORP DEB
^ 6.750%, 12/15/02 ................... BAA2 3,035
--------
PRINTING AND PUBLISHING--2.02%
COX ENTERPRISES SERIES 1997-1
(PASS THRU CERT)
5,000,000 ^ 6.250%, 08/26/99 ................... BAA1 5,010
NEWS AMERICA HOLDINGS DEB
10,475,000 8.875%, 04/26/23 ................... BAA3 12,480
TIME WARNER INC
(PASS THRU ASSET TR)
10,000,000 ^ 4.900%, 07/29/99 ................... BAA3 9,852
TIME WARNER, INC DEB
10,000,000 7.250%, 10/15/17 ................... BAA3 10,430
ZIFF-DAVIS, INC
(SR SUB NOTE)
3,000,000 8.500%, 05/01/08 ................... B2 3,030
--------
40,802
--------
RAILROAD TRANSPORTATION--0.32%
UNION PACIFIC RAILROAD DEB
6,229,000 8.500%, 01/15/17 ................... BAA3 6,468
--------
SECURITY AND COMMODITY BROKERS--2.01%
DONALDSON LUFKIN & JENRETTE, INC
(MEDIUM TERM NOTE)
5,000,000 6.900%, 10/01/07 ................... A3 5,184
3,000,000 6.500%, 06/01/08 ................... A3 3,000
See notes to financial statements.
-24-
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
SECURITY AND COMMODITY
BROKERS--(CONTINUED)
LEHMAN BROTHERS
HOLDINGS, INC NOTE
$ 6,450,000 6.900%, 01/29/01 ................... BAA1 $ 6,575
10,000,000 7.250%, 10/15/03 ................... BAA1 10,440
5,000,000 7.375%, 05/15/04 ................... BAA1 5,264
MORGAN STANLEY DEAN WITTER
(SR NOTE)
10,000,000 5.890%, 03/20/00 ................... A1 10,019
--------
40,482
--------
TOBACCO PRODUCTS--0.49%
PHILLIP MORRIS COS, INC NOTE
10,000,000 6.150%, 03/15/00 ................... A2 10,000
--------
TRANSPORTATION BY AIR--0.59%
DELTA AIRLINES, INC SERIES 1993-A2
(PASS THRU TR)
5,000,000 10.500, 04/30/16 ................... BAA1 6,652
NORTHWEST AIRLINES CORP
SERIES 971B (PASS THRU CERT)
4,958,039 7.248%, 07/02/14 ................... BAA2 5,195
--------
11,847
--------
TRANSPORTATION EQUIPMENT--0.25%
FEDERAL MOGUL CORP NOTE
5,000,000 7.500%, 07/01/04 ................... BA2 4,995
--------
TOTAL CORPORATE BONDS
(COST $721,524)........................ 726,147
--------
GOVERNMENT BONDS--59.48%
AGENCY SECURITIES--14.33%
FEDERAL HOME LOAN BANK (FHLB)
16,000,000 6.035%, 09/27/99 ................... 16,068
10,000,000 6.110%, 09/18/01 ................... 9,970
19,500,000 5.370%, 01/16/03 ................... 19,244
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
41,000,000 5.750%, 07/15/03 ................... 41,019
3,000,000 7.100%, 04/10/07 ................... 3,260
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
13,000,000 5.940%, 09/10/99 ................... 13,045
52,500,000 5.570%, 03/17/00 ................... 52,426
10,000,000 5.650%, 04/28/00 ................... 10,000
10,000,000 5.970%, 10/02/00 ................... 10,053
3,000,000 8.250%, 12/18/00 ................... 3,172
28,000,000 5.625%, 03/15/01 ................... 27,956
5,000,000 6.850%, 09/12/05 ................... 5,062
5,000,000 6.210%, 11/07/07 ................... 5,128
STUDENT LOAN MARKETING
ASSOCIATION (SLMA)
62,500,000 5.570%, 03/17/00 ................... 62,412
TENNESSEE VALLEY AUTHORITY DEB
10,000,000 6.250%, 12/15/17 ................... 10,319
--------
289,134
--------
GOVERNMENT BONDS--0.41%
NEW YORK CITY TAX LIEN SERIES
1996-1 (COLLECTABLE BOND)
519,278 ^ 6.810%, 05/25/05 ................... AAA 521
U.S. DEPT OF VETERNS (CLASS 2-1)
(MTGE PASS THRU CERT)
7,500,000 7.500%, 09/15/17 ................... AAA 7,698
--------
8,219
--------
MORTGAGE BACKED SECURITIES--27.00%
FEDERAL HOME LOAN
MORTGAGE CORP (FHLMC)
2,943,281 5.500%, 09/01/00 ................... 2,914
4,074,364 7.000%, 09/01/10 ................... 4,170
5,766,113 6.000%, 04/01/11 ................... 5,742
2,795,361 7.000%, 05/01/23 ................... 2,841
2,981,754 8.500%, 07/01/24 ................... 3,112
3,899,397 8.500%, 06/01/25 ................... 4,070
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (FNMA)
2,428,960 7.500%, 08/01/01 ................... 2,458
3,628,677 6.000%, 12/01/02 ................... 3,620
1,424,614 6.000%, 12/01/08 ................... 1,416
3,300,277 7.000%, 04/01/09 ................... 3,373
13,743,824 6.500%, 05/01/09 ................... 13,867
3,008,926 7.500%, 11/01/10 ................... 3,099
2,360,703 8.000%, 06/01/11 ................... 2,442
646,537 8.000%, 07/01/11 ................... 669
10,893,361 7.000%, 01/01/12 ................... 11,093
29,611,130 6.500%, 03/01/13 ................... 29,781
14,000,000 @ 6.500%, 07/25/13 ................... 14,079
1,294,861 6.500%, 02/01/16 ................... 1,299
950,597 6.500%, 03/01/16 ................... 954
1,709,474 6.500%, 04/01/16 ................... 1,712
9,055,437 8.000%, 03/01/23 ................... 9,396
9,490,035 8.500%, 12/01/24 ................... 9,908
3,660,584 9.000%, 11/01/25 ................... 3,874
65,000,000 6.500%, 06/01/28 ................... 64,745
84,000,000 @ 6.500%, 08/25/28 ................... 83,606
98,500,000 @ 7.000%, 08/25/28 ................... 99,793
48,000,000 @ 7.500%, 08/25/28 ................... 49,200
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
486,733 8.500%, 10/15/09 ................... 512
1,042,682 8.500%, 12/15/09 ................... 1,096
3,734,688 9.000%, 12/15/09 ................... 4,002
1,000,518 8.500%, 01/15/10 ................... 1,051
176,349 9.000%, 06/15/16 ................... 190
309,927 9.000%, 08/15/16 ................... 333
563,860 9.000%, 09/15/16 ................... 606
174,450 9.000%, 10/15/16 ................... 188
155,321 9.000%, 11/15/16 ................... 167
639,004 9.000%, 12/15/16 ................... 687
2,520,048 9.500%, 12/15/16 ................... 2,732
233,324 9.000%, 07/15/17 ................... 250
214,419 9.000%, 06/15/20 ................... 231
3,669,706 6.875%, 03/20/22 ................... 3,760
6,568,149 6.875%, 02/20/23 ................... 6,722
6,466,585 6.500%, 09/15/23 ................... 6,481
10,396,298 7.000%, 12/20/23 ................... 10,638
4,029,624 6.500%, 01/15/24 ................... 4,037
2,418,135 6.500%, 03/15/24 ................... 2,423
See notes to financial statements.
-25-
<PAGE>
BOND MARKET ACCOUNT (CONTINUED)
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
MORTGAGE BACKED
SECURITIES--(CONTINUED)
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
$15,986,084 6.500%, 05/15/24 ................... $ 16,021
3,173,664 8.000%, 06/15/24 ................... 3,289
4,930,624 6.500%, 09/15/24 ................... 4,940
1,680,289 7.000%, 12/15/25 ................... 1,708
24,623,678 7.000%, 10/15/27 ................... 25,027
14,236,834 7.000%, 04/15/28 ................... 14,470
----------
544,794
----------
OTHER MORTGAGE BACKED
SECURITIES--1.02%
EASTVIEW CREDIT CORP (CLASS A)
(COMMERCIAL MTGE PASS THRU)
5,000,000 6.950%, 06/15/04 ................... N/R 5,181
MORGAN STANLEY CAPITAL I
SERIES 1998-WF2 (CLASS A2)
15,000,000 6.540%, 05/15/08 ................... AAA 15,326
----------
20,507
----------
U.S. TREASURY SECURITIES--16.72%
U.S. TREASURY BOND
58,000,000 5.625%, 05/15/08 ................... 58,788
13,000,000 10.375%, 11/15/09 .................. 16,244
65,170,000 7.500%, 11/15/16 ................... 78,235
82,150,000 8.000%, 11/15/21 ................... 105,896
31,300,000 7.625%, 11/15/22 ................... 39,008
U.S. TREASURY NOTE
10,000,000 5.750%, 09/30/99 ................... 10,027
5,000,000 7.500%, 11/15/01 ................... 5,296
4,500,000 6.625%, 03/31/02 ................... 4,661
5,000,000 6.375%, 08/15/02 ................... 5,153
U.S. TREASURY STRIP
23,000,000 0.000%, 05/15/07 ................... 14,072
----------
337,380
----------
TOTAL GOVERNMENT BONDS
(COST $1,185,821) ..................... 1,200,034
----------
TOTAL BONDS
(COST $1,907,345) ..................... 1,926,181
----------
SHARES
------
PREFERRED STOCK--0.68%
HOLDING AND OTHER INVESTMENT OFFICES--0.27%
50,000 NB CAPITAL CORP
8.35% 09/03/07 ....................... 5,443
----------
REAL ESTATE--0.41%
160,000 DUKE REALTY INVESTMENT ............. 8,200
----------
TOTAL PREFERRED STOCK
(COST $13,619) ........................ 13,643
----------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--27.19%
BANK OF NEW YORK
COLLATERILIZED ASSETS--12.21% ....... 246,390
----------
COMMERCIAL PAPER--14.98%
CONSECO, INC
35,000,000 *~ 5.710%, 07/06/98 ............... 34,965
COX COMMUNICATIONS, INC
12,000,000 *~ 5.700%, 07/08/98 ............... 11,985
CSX CORP
7,500,000 ~ 5.670%, 08/10/98 ............... 7,451
33,500,000 *~ 5.680%, 08/10/98 ............... 33,282
DAYTON HUDSON CORP
25,000,000 * 5.650%, 07/08/98 ............... 24,968
LOCKHEED MARTIN
25,000,000 *~ 5.650%, 07/08/98 ............... 24,968
NEW YORK STATE ELECTRIC &
GAS CORP
15,900,000 *~ 5.750%, 07/06/98 ............... 15,884
OCCIDENTAL PETROLEUM CORP
40,000,000 *~ 5.680%, 07/08/98 ............... 39,948
RAYTHEON CO
15,000,000 *~ 5.690%, 07/07/98 ............... 14,982
36,000,000 *~ 5.680%, 08/10/98 ............... 35,765
SONAT, INC
10,000,000 * 5.650%, 07/09/98 ............... 9,986
TEXAS UTILITIES CO
13,000,000 *^~ 5.680%, 08/10/98 ............... 12,915
TEXTRON, INC
5,050,000 6.450%, 07/01/98 ............... 5,049
TYSON FOODS, INC
30,000,000 * 5.670%, 07/08/98 ............... 29,961
----------
302,109
----------
TOTAL SHORT TERM INVESTMENTS
(COST $548,561) ....................... 548,499
----------
TOTAL PORTFOLIO
(Cost $2,469,525) ..................... $2,488,323
==========
- ----------
~ Commercial Paper issued under the Private Placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
^ 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 June 30, 1998, the value of these
securities amounted to $162,810,840 or 8.07% of net assets.
* 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.
@ These securities were purchased on a delayed delivery basis.
- ----------
OTHER INFORMATION
The composition of long-term debt holdings as a percentage of total value of
investment in debt securities, is as follows:
MOODY'S RATINGS
AAA, AA, A 14.00%
BAA 17.98%
BA 6.78%
B 0.16%
N/R 0.27%
U.S. Government obligations represent 60.81% of the long-term debt portfolio
value.
Moody's ratings are provided by Moody's Investors Services.
See notes to financial statements.
-26-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (UNAUDITED)
JUNE 30, 1998
SUMMARY BY INDUSTRY
(000)
Value %
----- -------
BONDS
CORPORATE BONDS
ASSET BACKED ......................... $ 74,143 2.64%
BUSINESS SERVICES .................... 4,969 0.18
CHEMICALS AND ALLIED PRODUCTS ........ 14,187 0.51
COMMUNICATIONS ....................... 41,497 1.48
DEPOSITORY INSTITUTIONS .............. 46,034 1.64
EATING AND DRINKING PLACES ........... 19,983 0.71
ELECTRIC, GAS, AND SANITARY SERVICES . 30,853 1.10
FOOD AND KINDRED PRODUCTS ............ 9,988 0.36
FOOD STORES .......................... 12,047 0.43
GENERAL MERCHANDISE STORES ........... 15,857 0.56
HEALTH SERVICES ...................... 3,053 0.11
INDUSTRIAL MACHINERY AND EQUIPMENT ... 5,001 0.18
INSURANCE CARRIERS ................... 5,347 0.19
MOTION PICTURES ...................... 18,512 0.66
NONDEPOSITORY INSTITUTIONS ........... 41,254 1.47
OIL AND GAS EXTRACTION ............... 5,266 0.19
PERSONAL SERVICES .................... 5,259 0.19
PETROLEUM AND COAL PRODUCTS .......... 5,169 0.18
PRINTING AND PUBLISHING .............. 12,892 0.46
SECURITY AND COMMODITY BROKERS ....... 22,094 0.79
TRANSPORTATION BY AIR ................ 14,867 0.52
---------- ----------
TOTAL CORPORATE BONDS
(COST $404,388) ....................... 408,272 14.55
---------- ----------
GOVERNMENT BONDS
AGENCY SECURITIES .................... 94,220 3.36
MORTGAGE BACKED SECURITIES ........... 321,763 11.46
OTHER MORTGAGE BACKED SECURITIES ..... 20,435 0.73
U.S. TREASURY SECURITIES ............. 223,404 7.95
---------- ----------
TOTAL GOVERNMENT BONDS
(COST $649,012) ....................... 659,822 23.50
---------- ----------
TOTAL BONDS
(COST $1,053,400) ..................... 1,068,094 38.05
---------- ----------
COMMON STOCK
APPAREL AND ACCESSORY STORES ......... 4,367 0.16
APPAREL AND OTHER TEXTILE PRODUCTS ... 1,578 0.06
AUTO REPAIR, SERVICES AND PARKING .... 107 0.00
BUILDING MATERIALS AND
GARDEN SUPPLIES .................... 14,997 0.53
BUSINESS SERVICES .................... 89,200 3.18
CHEMICALS AND ALLIED PRODUCTS ........ 240,166 8.56
COMMUNICATIONS ....................... 158,089 5.63
DEPOSITORY INSTITUTIONS .............. 164,785 5.87
EATING AND DRINKING PLACES ........... 17,968 0.64
ELECTRIC, GAS, AND SANITARY SERVICES . 61,269 2.18
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT .......................... 42,998 1.53
FABRICATED METAL PRODUCTS ............ 7,769 0.28
FOOD AND KINDRED PRODUCTS ............ 143,611 5.12
FOOD STORES .......................... 7,338 0.26
FURNITURE AND HOMEFURNISHING
STORES ............................. 106 0.00
GENERAL BUILDING CONTRACTORS ......... 1,716 0.06
GENERAL MERCHANDISE STORES ........... 42,288 1.51
HEALTH SERVICES ...................... 11,174 0.40
HOTELS AND OTHER LODGING PLACES ...... 93 0.00
INDUSTRIAL MACHINERY AND EQUIPMENT ... 131,238 4.68
INSTRUMENTS AND RELATED PRODUCTS ..... 42,293 1.51
INSURANCE AGENTS, BROKERS AND
SERVICE ............................ 5,312 0.19
INSURANCE CARRIERS ................... 84,908 3.02
MISCELLANEOUS MANUFACTURING
INDUSTRIES ......................... 39,863 1.42
MISCELLANEOUS RETAIL ................. 8,502 0.30
MOTION PICTURES ...................... 20,831 0.74
NONDEPOSITORY INSTITUTIONS ........... 95,212 3.39
OIL AND GAS EXTRACTION ............... 65,547 2.34
PAPER AND ALLIED PRODUCTS ............ 23,658 0.84
PERSONAL SERVICES .................... 4,386 0.16
PETROLEUM AND COAL PRODUCTS .......... 14,284 0.51
PRIMARY METAL INDUSTRIES ............. 7,065 0.25
PRINTING AND PUBLISHING .............. 36,483 1.30
RAILROAD TRANSPORTATION .............. 12,557 0.45
REAL ESTATE .......................... 5,653 0.20
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS ........................... 10,684 0.38
SECURITY AND COMMODITY BROKERS ....... 37,995 1.35
TRANSPORTATION BY AIR ................ 11,546 0.41
TRANSPORTATION EQUIPMENT ............. 7,310 0.26
TRUCKING AND WAREHOUSING ............. 1,000 0.04
WHOLESALE TRADE--DURABLE GOODS ....... 11,263 0.40
WHOLESALE TRADE--NONDURABLE GOODS .... 10,728 0.38
---------- ----------
TOTAL COMMON STOCK
(COST $858,942) ...................... 1,697,937 60.49
---------- ----------
SHORT TERM INVESTMENTS
BANK OF NEW YORK COLLATERALIZED
ASSETS ............................ 225,180 8.02
COMMERCIAL PAPER .................... 181,376 6.46
---------- ----------
TOTAL SHORT TERM INVESTMENTS
(COST $406,593) ...................... 406,556 14.48
---------- ----------
TOTAL PORTFOLIO
(COST $2,318,935) .................... 3,172,587 113.02
OTHER ASSETS & LIABILITIES, NET ... (365,632) (13.02)
---------- ----------
NET ASSETS ........................... $2,806,955 100.00%
========== ==========
See notes to financial statements.
-27-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (UNAUDITED)
JUNE 30, 1998
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
BONDS--38.05%
CORPORATE BONDS--14.55%
ASSET BACKED--2.64%
AMERICAN EXPRESS MASTER
TR SERIES 1994-2 (CLASS A)
$ 3,125,000 7.600%, 08/15/02 ................... AAA $ 3,268
CITIBANK CREDIT CARD MASTER
TR SERIES 1998-6 (CLASS A)
5,000,000 5.855%, 04/10/03 ................... AAA 4,999
CHASE CREDIT CARD MASTER
TR SERIES 1997-2 (CLASS B)
8,000,000 6.450%, 04/15/03 ................... A2 8,078
CITIBANK CREDIT CARD MASTER
TR SERIES 1997-2 (CLASS B)
3,000,000 6.700%, 02/15/04 ................... A2 3,060
EQUICREDIT HOME EQUITY LOAN
TR SERIES 1998-2 (CLASS AF3)
20,000,000 6.229%, 03/15/13 ................... AAA 20,009
FLEETWOOD CREDIT GRANTOR
TR SERIES 1993-B (CLASS A)
2,562,730 4.950%, 08/15/08 ................... AAA 2,523
NATIONSCREDIT GRANTOR
TR SERIES 1997-2
(CLASS A1)
4,090,352 6.350%, 04/15/14 ................... AAA 4,120
NATIONSBANK CREDIT CARD
MASTER TR SERIES
1993-2 (CLASS B)
7,000,000 6.250%, 12/15/05 ................... A2 7,007
STANDARD CREDIT CARD
MASTER TR SERIES
1991-6 (CLASS B)
2,570,000 8.350%, 01/07/00 ................... A2 2,599
UCFC HOME EQUITY LOAN
SERIES 1998-A (CLASS A3)
7,500,000 6.255%, 01/15/18 ................... AAA 7,506
UCFC HOME EQUITY LOAN
SERIES 1998-B (CLASS A8)
5,000,000 6.180%, 10/15/29 ................... AAA 4,978
UCFCM SERIES 1997-2
(CLASS B1) (SUB DEB)
6,000,000 7.370%, 02/15/18 ................... BAA2 5,996
-----------
74,143
-----------
BUSINESS SERVICES--0.18%
COMPUTER ASSOCIATES
INTERNATIONAL DEB
5,000,000 ^ 6.375%, 04/15/05 .................. BAA1 4,969
-----------
CHEMICALS AND ALLIED
PRODUCTS--0.51%
MERCK & CO, INC
(MEDUIM TERM NOTE)
5,000,000 5.760%, 05/03/37 ................... AAA 5,183
PRAXAIR, INC NOTE
9,000,000 6.150%, 04/15/03 ................... A3 9,004
-----------
14,187
-----------
COMMUNICATIONS--1.48%
BELLSOUTH
TELECOMMUNICATIONS NOTE
8,000,000 6.000%, 06/15/02 ................... AAA 8,004
COX COMMUNICIATIONS, INC
(CLASS A) NOTE
3,500,000 8.700%, 06/15/99 ................... BAA2 3,589
NEW YORK TELEPHONE CO DEB
7,000,000 9.375%, 07/15/31 ................... A2 7,946
3,000,000 7.250%, 02/15/24 ................... A2 3,055
VIACOM INTERNATIONAL, INC
(SUB DEB)
205,000 8.000%, 07/07/06 ................... BA2 212
VIACOM, INC (SR NOTE)
10,000,000 7.750%, 06/01/05 ................... BA2 10,655
WORLDCOM, INC (SR NOTE)
7,651,000 9.375%, 01/15/04 ................... BAA2 8,036
-----------
41,497
-----------
DEPOSITORY
INSTITUTIONS--1.64%
BANKERS TRUST NEW YORK
CORP NOTE
5,000,000 6.750%, 10/03/01 ................... A2 5,085
CAPITAL ONE BANK (SR NOTE)
10,000,000 6.260%, 05/07/01 ................... BAA3 10,012
CHASE MANHATTAN CORP
(SUB NOTE)
5,000,000 8.500%, 02/15/02 ................... A1 5,382
FIRST UNION CORP
(SUB NOTE)
10,000,000 6.400%, 04/01/08 ................... A2 10,034
NATIONSBANK CORP (SR NOTE)
10,000,000 5.750%, 03/15/01 ................... AA3 9,943
WACH0VIA CAPITAL TR DEB
5,000,000 ^ 7.965%, 06/01/27 ................... AA3 5,578
-----------
46,034
-----------
EATING AND DRINKING
PLACES--0.71%
MCDONALD'S CORP NOTE
13,000,000 5.900%, 05/11/01 ................... AA2 12,979
7,000,000 6.000%, 06/23/02 ................... AA2 7,004
-----------
19,983
-----------
ELECTRIC, GAS, AND SANITARY
SERVICES--1.10%
EL PASO NATURAL GAS CO NOTE
5,000,000 6.750%, 11/15/03 ................... BAA2 5,115
IDAHO POWER CO
(FIRST MTGE BOND)
9,000,000 8.650%, 01/01/00 ................... A2 9,346
PUGET SOUND POWER &
LIGHT CO (MEDIUM TERM NOTE)
5,000,000 8.060%, 06/19/06 ................... BAA1 5,583
SONAT, INC NOTE
5,000,000 6.750%, 10/01/07 ................... A3 5,086
TEXAS GAS TRANSMISSION DEB
5,500,000 7.250%, 07/15/27 ................... BAA1 5,723
-----------
30,853
-----------
See notes to financial statements.
-28-
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
FOOD AND KINDRED
PRODUCTS--0.36%
COCA COLA
(PUTABLE ASSET TR) DEB
$10,000,000 ^ 6.000%, 03/15/11 ................... A3 $ 9,988
-----------
FOOD STORES--0.43%
KROGER CO NOTE
2,000,000 6.000%, 07/01/00 ................... BAA3 9,989
-----------
12,047
-----------
GENERAL MERCHANDISE
STORES--0.56%
WAL-MART STORES, INC NOTE
10,000,000 5.850%, 06/01/00 ................... AA2 9,988
5,500,000 8.625%, 04/01/01 ................... AA2 5,869
-----------
15,857
-----------
HEALTH SERVICES--0.11%
TENET HEALTHCARE CORP
(SR NOTE)
3,000,000 7.875%, 01/15/03 ................... BA1 3,053
-----------
INDUSTRIAL MACHINERY AND
EQUIPMENT--0.18%
IBM CORP DEB
5,000,000 6.500%, 01/15/28 ................... A1 5,001
-----------
INSURANCE CARRIERS--0.19%
HANCOCK (JOHN) MUTUAL
LIFE INSURANCE CO
(SURPLUS NOTE)
3,000,000 ^ 7.375%, 02/15/24 ................... A1 3,251
TRAVELERS CAPITAL CORP DEB
2,000,000 7.750%, 12/01/36 ................... AA3 2,096
-----------
5,347
-----------
MOTION PICTURES--0.66%
WALT DISNEY CO NOTE
10,000,000 5.600%, 01/13/00 ................... A2 9,990
TIME WARNER ENTERTAINMENT
NOTE
6,500,000 10.150%, 05/01/12 .................. BAA2 8,522
-----------
18,512
-----------
NONDEPOSITORY
INSTITUTIONS--1.47%
AMERITECH CAPITAL FUNDING
CORP (GUARANTEE NOTE)
7,000,000 5.650%, 01/15/01 ................... AA3 6,965
FINOVA CAPITAL CORP NOTE
5,000,000 ^ 6.125%, 11/01/99 ................... BAA1 5,006
10,000,000 6.375%, 05/15/05 ................... BAA1 10,075
IBM CREDIT CORP (SR NOTE)
10,000,000 5.790%, 03/20/00 ................... A1 9,999
MBNA CORP (SR NOTE)
4,030,000 6.500%, 09/15/00 ................... BAA2 4,047
SEARS ROEBUCK ACCEPTANCE
CORP (MEDIUM TERM NOTE)
5,000,00 6.990%, 09/30/02 ................... A2 5,162
-----------
41,254
-----------
OIL AND GAS EXTRACTION--0.19%
ORYX ENERGY CO NOTE
5,000,000 8.000%, 10/15/03 ................... BA1 5,266
-----------
PERSONAL SERVICES--0.19%
SERVICE CORP INTERNATIONAL NOTE
5,000,000 7.375%, 04/15/04 ................... BAA1 5,259
-----------
PETROLEUM AND COAL
PRODUCTS--0.18%
LYONDELL PETROCHEMICAL
CO NOTE
5,000,000 10.000%, 06/01/99 .................. BAA3 5,169
-----------
PRINTING AND PUBLISHING--0.46%
COX ENTERPRISES SERIES
1997-1 (PASS THRU CERT)
5,000,000 ^ 6.250%, 08/26/99 .................. BAA1 5,010
TIME WARNER, INC
(PASS THRU ASSET TR)
8,000,000 ^ 4.900%, 07/29/99 .................. BAA3 7,882
-----------
12,892
-----------
SECURITY AND COMMODITY
BROKERS--0.79%
BEAR STEARNS CO, INC NOTE
10,000,000 6.200%, 03/30/03 ................... A2 10,021
MORGAN STANLEY DEAN
WITTER (SR NOTE)
7,000,000 6.090%, 03/09/11 ................... A1 7,036
SALOMON SMITH BARNEY
HOLDINGS NOTE
5,000,000 6.375%, 10/01/04 ................... A2 5,037
-----------
22,094
-----------
TRANSPORTATION BY AIR--0.52%
DELTA AIRLINES, INC SERIES
1992-B1 (PASS THRU CERT)
2,381,886 8.270%, 09/23/07 ................... BAA1 2,635
DELTA AIRLINES DEB
4,999,589 8.950%, 01/12/12 ................... BAA1 5,755
UNITED AIR LINES DEB
4,975,000 9.750%, 08/15/21 ................... BAA3 6,477
-----------
14,867
-----------
TOTAL CORPORATE BONDS
(COST $404,388) ...................... 408,272
-----------
GOVERNMENT BONDS--23.50%
AGENCY SECURITIES--3.36%
FEDERAL HOME LOAN BANK
(FHLB)
5,000,000 5.370%, 01/16/03 ................... 4,934
FEDERAL HOME LOAN MORTGAGE
CORP (FHLMC)
5,000,000 7.090%, 11/24/06 ................... 5,049
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
11,000,000 5.570%, 03/17/00 ................... 10,984
5,000,000 5.970%, 10/02/00 ................... 5,027
2,000,000 6.375%, 10/13/00 ................... 2,003
1,000,000 8.250%, 12/18/00 ................... 1,057
10,000,000 5.625%, 03/15/01 ................... 9,984
1,000,000 7.400%, 07/01/04 ................... 1,081
9,000,000 7.875%, 02/24/05 ................... 10,027
8,000,000 5.800%, 02/22/06 ................... 7,990
5,000,000 6.210%, 11/07/07 ................... 5,128
STUDENT LOAN MARKETING
ASSOCIATION (SLMA)
31,000,000 5.570%, 03/17/00 ................... 30,956
-----------
94,220
-----------
See notes to financial statements.
-29-
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
MOODY'S VALUE
PRINCIPAL RATINGS (000)
--------- ------- -----
MORTGAGE BACKED
SECURITIES--11.46%
FEDERAL HOME LOAN MORTGAGE
CORP (FHLMC)
$ 1,866,847 6.000%, 10/15/10 ................... $ 1,863
3,938,046 6.000%, 03/01/11 ................... 3,921
1,118,806 7.000%, 05/01/23 ................... 1,137
2,981,754 8.500%, 07/01/24 ................... 3,112
2,002,393 8.500%, 06/01/25 ................... 2,090
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
3,628,677 6.000%, 12/01/02 ................... 3,620
442,676 8.500%, 02/01/05 ................... 453
1,464,340 7.500%, 06/01/11 ................... 1,507
1,008,681 8.000%, 06/01/11 ................... 1,044
1,293,072 8.000%, 07/01/11 ................... 1,338
398,964 7.500%, 08/01/11 ................... 410
588,269 7.500%, 09/01/11 ................... 605
1,291,555 7.500%, 10/01/11 ................... 1,329
8,914,871 7.000%, 04/01/12 ................... 9,079
6,112,564 6.500%, 09/01/12 ................... 6,148
14,789,146 6.500%, 03/01/13 ................... 14,874
14,000,000 @ 6.500%, 07/25/13 ................... 14,079
2,483,530 8.000%, 03/01/23 ................... 2,577
6,326,691 8.500%, 12/01/24 ................... 6,606
30,000,000 6.500%, 06/01/28 ................... 29,882
51,500,000 @ 6.500%, 08/25/28 ................... 51,258
55,000,000 @ 7.000%, 08/25/28 ................... 55,722
36,000,000 @ 7.500%, 08/25/28 ................... 36,900
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (GNMA)
597,818 8.500%, 09/15/09 ................... 627
543,703 8.500%, 10/15/09 ................... 572
372,528 8.500%, 12/15/09 ................... 392
3,610,956 9.000%, 12/15/09 ................... 3,869
3,311,091 9.000%, 12/15/17 ................... 3,560
238,584 9.000%, 03/15/20 ................... 257
240,917 9.000%, 08/15/20 ................... 259
3,669,706 6.875%, 03/20/22 ................... 3,760
3,259,986 8.000%, 06/15/22 ................... 3,391
3,818,152 7.000%, 07/20/22 ................... 3,908
3,926,506 7.000%, 10/20/22 ................... 4,024
3,536,698 6.875%, 02/20/23 ................... 3,620
3,662,049 7.000%, 07/20/23 ................... 3,746
5,575,931 7.000%, 10/15/23 ................... 5,676
2,190,133 7.000%, 11/15/23 ................... 2,229
5,357,277 7.000%, 12/20/23 ................... 5,482
2,972,779 7.375%, 05/20/24 ................... 3,037
4,566,654 5.500%, 04/20/27 ................... 4,663
339,192 7.000%, 10/15/27 ................... 345
4,981,026 7.000%, 04/15/28 ................... 5,063
13,508,437 7.000%, 05/15/28 ................... 13,729
-----------
321,763
-----------
OTHER MORTGAGE BACKED
SECURITIES--0.73%
MORGAN STANLEY CAPITAL I
SERIES 1998-WF2 (CLASS A2)
20,000,000 6.540%, 05/15/08 ................... AAA 20,435
-----------
U.S. TREASURY
SECURITIES--7.95%
U.S. TREASURY BOND
5,800,000 5.625%, 05/15/08 ................... 5,879
39,000,000 7.500%, 11/15/16 ................... 46,818
32,600,000 8.125%, 08/15/19 ................... 42,074
33,400,000 8.000%, 11/15/21 ................... 43,055
6,000,000 7.625%, 11/15/22 ................... 7,478
5,600,000 6.125%, 11/15/27 ................... 6,001
U.S. TREASURY NOTE
7,000,000 5.750%, 09/30/99 ................... 7,019
16,500,000 * 7.500%, 11/15/01 ................... 17,477
11,700,000 6.250%, 08/31/02 ................... 12,005
32,598,000 * 7.000%, 07/15/06 ................... 35,598
-----------
223,404
-----------
TOTAL GOVERNMENT BONDS
(COST $649,012) ...................... 659,822
-----------
TOTAL BONDS
(COST $1,053,400) .................... 1,068,094
-----------
SHARES
------
COMMON STOCK--60.49%
APPAREL AND ACCESSORY
STORES--0.16%
14,453 oABERCROMBIE & FITCH CO (CLASS A) ........... 636
60,550 GAP, INC ................................... 3,731
-----------
4,367
-----------
APPAREL AND OTHER TEXTILE
PRODUCTS--0.06%
15,800 LIZ CLAIBORNE, INC ......................... 826
14,600 VF CORP .................................... 752
-----------
1,578
-----------
AUTO REPAIR, SERVICES AND
PARKING--0.00%
3,400 RYDER SYSTEM, INC .......................... 107
-----------
BUILDING MATERIALS AND
GARDEN SUPPLIES--0.53%
180,550 HOME DEPOT, INC ............................ 14,997
-----------
BUSINESS SERVICES--3.18%
92,200 AUTOMATIC DATA PROCESSING, INC ............. 6,719
98,700 COGNIZANT CORP ............................. 6,218
117,125 COMPUTER ASSOCIATES
INTERNATIONAL, INC ........................ 6,508
59,100 DUN & BRADSTREET CORP ...................... 2,128
536,000 oMICROSOFT CORP ............................. 58,089
70,400 NEWELL COS, INC ............................ 3,507
82,200 oNOVELL, INC ................................ 1,048
202,862 oORACLE CORP ................................ 4,983
-----------
89,200
-----------
CHEMICALS AND ALLIED
PRODUCTS--8.56%
189,200 AIR PRODUCTS & CHEMICALS, INC .............. 7,568
2,235 oALLERGAN SPECIALTY
THERAPEUTICS, INC (CLASS A) ................ 23
44,700 ALLERGAN, INC .............................. 2,073
48,100 oALZA CORP .................................. 2,080
6,680 oALZA CORP WTS 12/31/99 ..................... 3
87,900 oAMGEN, INC ................................. 5,746
68,600 AVON PRODUCTS, INC ......................... 5,317
See notes to financial statements.
-30-
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
CHEMICALS AND ALLIED
PRODUCTS--(CONTINUED)
26,900 BETZDEARBORN, INC .......................... $ 1,113
40,300 CABOT CORP ................................. 1,302
131,500 CLOROX CO .................................. 12,542
147,800 COLGATE PALMOLIVE CO ....................... 13,006
2,405 oCRESCENDO PHARMACEUTICALS CORP ............. 31
49,200 oFOREST LABORATORIES, INC ................... 1,759
18,812 FULLER (H.B.) CO ........................... 1,043
36,800 oGENZYME CORP (GENERAL DIVISION) ............ 941
3,588 oGENZYME CORP
(TISSUE REPAIR DIVISION) .................. 24
45,750 HANNA (M.A.) CO ............................ 838
62,500 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ........................... 2,715
23,400 oIVAX CORP .................................. 216
524,600 JOHNSON & JOHNSON CO ....................... 38,689
377,600 MERCK & CO, INC ............................ 50,504
34,500 MYLAN LABORATORIES, INC .................... 1,037
70,700 NALCO CHEMICAL CORP ........................ 2,483
9,000 NCH CORP ................................... 577
148,600 PRAXAIR, INC ............................... 6,956
520,300 PROCTER & GAMBLE CO ........................ 47,380
314,600 SCHERING-PLOUGH CORP ....................... 28,825
80,462 SCHULMAN (A.), INC ......................... 1,574
108,200 SIGMA ALDRICH CORP ......................... 3,801
-----------
240,166
-----------
COMMUNICATIONS--5.63%
107,082 oAIRTOUCH COMMUNICATIONS, INC ............... 6,258
325,400 AMERITECH CORP ............................. 14,602
380,600 AT & T CORP ................................ 21,742
497,164 BELL ATLANTIC CORP ......................... 22,683
335,000 BELLSOUTH CORP ............................. 22,487
6,300 COMCAST CORP (CLASS A) ..................... 250
23,050 COMCAST CORP (CLASS A) SPECIAL ............. 936
55,745 oCOX COMMUNICATIONS, INC (CLASS A) .......... 2,700
61,368 oLIBERTY MEDIA GROUP (CLASS A) .............. 2,382
100,100 MCI COMMUNICATIONS CORP .................... 5,818
161,144 oMEDIA ONE GROUP, INC ....................... 7,080
524,878 SBC COMMUNICATIONS, INC .................... 20,995
71,500 SPRINT CORP ................................ 5,041
93,394 oTELE-COMMUNICATIONS, INC (CLASS A) ......... 3,590
106,812 oTELECOM-TCI VENTURES GROUP (CLASS A) ....... 2,143
166,444 U.S. WEST, INC ............................. 7,823
76,931 oVIACOM, INC (CLASS B) ...................... 4,481
3,523 oVIACOM, INC (CLASS B) WTS 07/07/99 ......... 11
145,900 oWORLDCOM, INC .............................. 7,067
-----------
158,089
-----------
DEPOSITORY INSTITUTIONS--5.87%
190,701 BANC ONE CORP .............................. 10,643
93,400 BANK OF N.Y. CO, INC ....................... 5,668
243,700 BANKAMERICA CORP ........................... 21,065
13,600 BANKERS TRUST CORP ......................... 1,578
210,100 CHASE MANHATTAN CORP ....................... 15,863
131,391 CITICORP CO ................................ 19,610
82,140 FIRST CHICAGO NBD CORP ..................... 7,280
55,167 FLEET FINANCIAL GROUP, INC ................. 4,606
12,800 H.F. AHMANSON & CO ......................... 909
25,600 KEYCORP .................................... 912
149,350 MBNA CORP .................................. 4,929
77,500 MORGAN (J.P.) & CO, INC .................... 9,077
230,934 NATIONSBANK CORP ........................... 17,666
226,200 NORWEST CORP ............................... 8,454
104,600 PNC BANK CORP .............................. 5,629
99,000 SUNTRUST BANKS, INC ........................ 8,050
156,990 U.S. BANCORP ............................... 6,751
58,400 WACHOVIA CORP .............................. 4,935
114,012 WASHINGTON MUTUAL, INC ..................... 4,952
16,824 WELLS FARGO & CO ........................... 6,208
-----------
164,785
-----------
EATING AND DRINKING PLACES--0.64%
102,200 DARDEN RESTAURANTS, INC .................... 1,622
236,900 MCDONALDS CORP ............................. 16,346
-----------
17,968
-----------
ELECTRIC, GAS, AND SANITARY
SERVICES--2.18%
72,400 EL PASO NATURAL GAS CO ..................... 2,769
41,700 EQUITABLE RESOURCES, INC ................... 1,272
32,500 IDAHO POWER CO ............................. 1,125
104,700 LOUISVILLE GAS & ELECTRIC ENERGY CORP ...... 2,833
30,800 oMARKETSPAN CORP ............................ 922
18,800 MCN ENERGY GROUP, INC ...................... 468
55,700 NICOR, INC ................................. 2,235
237,400 NIPSCO INDUSTRIES, INC ..................... 6,647
66,200 OGE ENERGY CORP ............................ 1,787
211,700 PACIFICORP ................................. 4,790
9,200 PEOPLES ENERGY CORP ........................ 355
279,800 POTOMAC ELECTRIC POWER CO .................. 7,012
126,800 PUGET SOUND ENERGY, INC .................... 3,400
134,740 oSEMPRA ENERGY .............................. 3,739
193,400 SONAT, INC ................................. 7,470
174,600 TECO ENERGY, INC ........................... 4,681
289,300 WILLIAMS COS, INC .......................... 9,764
-----------
61,269
-----------
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT--1.53%
40,800 oADVANCED MICRO DEVICES, INC ................ 696
13,800 BALDOR ELECTRIC CO ......................... 336
25,600 oDSC COMMUNICATIONS CORP .................... 768
17,900 oGLENAYRE TECHNOLOGIES, INC ................. 192
413,300 INTEL CORP ................................. 30,636
75,900 oMICRON TECHNOLOGY, INC ..................... 1,883
35,770 MOLEX, INC ................................. 894
45,400 oNATIONAL SEMICONDUCTOR CORP ................ 599
48,400 oSENSORMATIC ELECTRONICS CORP ............... 678
21,300 THOMAS & BETTS CORP ........................ 1,049
50,605 oVISHAY INTERTECHNOLOGY, INC ................ 908
63,400 WHIRLPOOL CORP ............................. 4,359
-----------
42,998
-----------
FABRICATED METAL PRODUCTS--0.28%
116,500 ILLINOIS TOOL WORKS, INC ................... 7,769
-----------
FOOD AND KINDRED PRODUCTS--5.12%
148,800 BESTFOODS, INC ............................. 8,640
237,000 CAMPBELL SOUP CO ........................... 12,591
655,400 COCA COLA CO ............................... 56,037
40,400 COCA COLA ENTERPRISES, INC ................. 1,586
102,000 GENERAL MILLS, INC ......................... 6,974
207,650 HEINZ (H.J.) CO ............................ 11,654
105,200 HERSHEY FOODS CORP ......................... 7,259
197,500 KELLOGG CO ................................. 7,419
5,800 MCCORMICK & CO, INC (NON-VOTE) ............. 207
418,400 PEPSICO, INC ............................... 17,233
105,900 QUAKER OATS CO ............................. 5,818
See notes to financial statements.
-31-
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
FOOD AND KINDRED PRODUCTS--(CONTINUED)
21,790 oVLASIC FOODS INTERNATIONAL, INC ............ $ 439
98,800 WHITMAN CORP ............................... 2,266
56,000 WRIGLEY (WM) JR CO ......................... 5,488
-----------
143,611
-----------
FOOD STORES--0.26%
88,300 ALBERTSONS, INC ............................ 4,575
47,600 AMERICAN STORES CO ......................... 1,151
37,600 oKROGER CO .................................. 1,612
-----------
7,338
-----------
FURNITURE AND HOMEFURNISHING
STORES--0.00%
2,000 TANDY CORP ................................. 106
-----------
GENERAL BUILDING
CONTRACTORS--0.06%
28,600 HILLENBRAND INDUSTRIES, INC ................ 1,716
-----------
GENERAL MERCHANDISE STORES--1.51%
1,000 oFEDERATED DEPARTMENT STORES, INC ........... 54
148,600 oK MART CORP ................................ 2,861
33,600 MAY DEPARTMENT STORES CO ................... 2,201
60,200 PENNEY (J.C.) CO, INC ...................... 4,353
24,600 oVENATOR GROUP, INC ......................... 470
532,500 WAL-MART STORES, INC ....................... 32,349
-----------
42,288
-----------
HEALTH SERVICES--0.40%
235,755 COLUMBIA/HCA HEALTHCARE CORP ............... 6,866
14,600 oHUMANA, INC ................................ 455
123,300 oTENET HEALTHCARE CORP ...................... 3,853
-----------
11,174
-----------
HOTELS AND OTHER LODGING
PLACES--0.00%
5,500 oCIRCUS CIRCUS ENTERPRISES, INC ............. 93
-----------
INDUSTRIAL MACHINERY AND
EQUIPMENT--4.68%
48,300 oAPPLE COMPUTER, INC ........................ 1,386
116,600 oAPPLIED MATERIALS, INC ..................... 3,440
242,950 oCISCO SYSTEMS, INC ......................... 22,367
430,510 COMPAQ COMPUTER CORP ....................... 12,216
30,600 CUMMINS ENGINE CO, INC ..................... 1,568
106,200 DEERE & CO ................................. 5,615
143,600 oDELL COMPUTER CORP ......................... 13,328
10,462 DIEBOLD, INC ............................... 302
123,500 oDRESSER INDUSTRIES, INC .................... 5,442
70,200 GRACO, INC ................................. 2,448
286,400 HEWLETT-PACKARD CO ......................... 17,148
7,840 oIMATION CORP ............................... 130
271,800 INTERNATIONAL BUSINESS MACHINES CORP........ 31,206
24,700 NORDSON CORP ............................... 1,161
109,800 PITNEY BOWES, INC .......................... 5,284
90,400 oSMITH INTERNATIONAL, INC ................... 3,147
94,800 oSUN MICROSYSTEMS, INC ...................... 4,118
30,238 TIMKEN CO .................................. 932
-----------
131,238
-----------
INSTRUMENTS AND RELATED
PRODUCTS--1.51%
30,800 BAUSCH & LOMB, INC ......................... 1,544
130,300 BECTON DICKINSON & CO ...................... 10,115
6,500 oBIOMET, INC ................................ 215
51,900 oBOSTON SCIENTIFIC CORP ..................... 3,717
54,500 MALLINCKRODT, INC .......................... 1,618
174,300 MEDTRONIC, INC ............................. 11,112
9,898 oST. JUDE MEDICAL, INC ...................... 364
133,900 XEROX CORP ................................. 13,608
-----------
42,293
-----------
INSURANCE AGENTS, BROKERS AND
SERVICE--0.19%
87,900 MARSH & MCLENNAN COS, INC .................. 5,312
-----------
INSURANCE CARRIERS--3.02%
103,253 ALLSTATE CORP .............................. 9,454
289,545 AMERICAN INTERNATIONAL GROUP, INC........... 42,274
20 oBERKSHIRE HATHAWAY, INC (CLASS A) .......... 1,566
49,700 CHUBB CORP ................................. 3,995
27,900 CIGNA CORP ................................. 1,925
10,500 oCNA FINANCIAL CORP ......................... 489
15,558 CONSECO, INC ............................... 727
14,900 GENERAL REINSURANCE CORP ................... 3,777
1,400 SAFECO CORP ................................ 64
25,000 TRANSAMERICA CORP .......................... 2,878
292,932 TRAVELERS GROUP, INC ....................... 17,759
-----------
84,908
-----------
MISCELLANEOUS MANUFACTURING
INDUSTRIES--1.42%
60,100 HASBRO, INC ................................ 2,363
126,691 MATTEL, INC ................................ 5,361
235,000 MINNESOTA MINING & MANUFACTURING CO......... 19,314
203,570 TYCO INTERNATIONAL LTD ..................... 12,825
-----------
39,863
-----------
MISCELLANEOUS RETAIL--0.30%
26,200 CVS CORP ................................... 1,020
104,800 SEARS ROEBUCK & CO ......................... 6,399
45,950 oTOYS R US, INC ............................. 1,083
-----------
8,502
-----------
MOTION PICTURES--0.74%
198,275 DISNEY (WALT) CO ........................... 20,831
-----------
NONDEPOSITORY INSTITUTIONS--3.39%
198,400 AMERICAN EXPRESS CO ........................ 22,618
83,100 AMERICAN GENERAL CORP ...................... 5,916
115,300 ASSOCIATES FIRST CAPITAL CORP .............. 8,864
21,200 BENEFICIAL CORP ............................ 3,248
372,600 FEDERAL NATIONAL MORTGAGE
ASSOCIATION................................ 22,635
218,944 FIRST UNION CORP ........................... 12,753
199,900 FREDDIE MAC ................................ 9,408
122,610 HOUSEHOLD INTERNATIONAL, INC ............... 6,100
74,900 SLM HOLDING CORP ........................... 3,670
-----------
95,212
-----------
OIL AND GAS EXTRACTION--2.34%
108,000 ANADARKO PETROLEUM CORP .................... 7,256
191,300 APACHE CORP ................................ 6,026
126,000 oBJ SERVICES CO ............................. 3,662
35,700 COLUMBIA ENERGY GROUP ...................... 1,986
173,200 CONSOLIDATED NATURAL GAS CO ................ 10,197
69,575 oEVI WEATHERFORD, INC ....................... 2,583
See notes to financial statements.
-32-
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
OIL AND GAS EXTRACTION--(CONTINUED)
163,400 HELMERICH & PAYNE, INC ..................... $ 3,636
60,200 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS B)............................. 1,159
110,700 oNABORS INDUSTRIES, INC ..................... 2,193
102,400 NOBLE AFFILIATES, INC ...................... 3,891
107,500 oNOBLE DRILLING CORP ........................ 2,587
172,000 oORYX ENERGY CO ............................. 3,806
155,900 oPARKER DRILLING CO ......................... 1,101
123,900 oROWAN COS, INC ............................. 2,408
212,800 oSANTA FE ENERGY RESOURCES, INC ............. 2,288
87,700 TRANSOCEAN OFFSHORE, INC ................... 3,903
390,900 UNION PACIFIC RESOURCES GROUP, INC ......... 6,865
----------
65,547
----------
PAPER AND ALLIED PRODUCTS--0.84%
92,000 AVERY DENNISON CORP ........................ 4,945
265,400 CONSOLIDATED PAPERS, INC ................... 7,232
149,050 SONOCO PRODUCTS CO ......................... 4,509
140,500 UNION CAMP CORP ............................ 6,972
----------
23,658
-----------
PERSONAL SERVICES--0.16%
102,300 SERVICE CORP INTERNATIONAL ................. 4,386
-----------
PETROLEUM AND COAL PRODUCTS--0.51%
104,400 LYONDELL PETROCHEMICAL CO .................. 3,178
194,700 MURPHY OIL CORP ............................ 9,869
45,600 WD-40 CO ................................... 1,237
-----------
14,284
-----------
PRIMARY METAL INDUSTRIES--0.25%
38,357 oALUMAX, INC ................................ 1,779
27,600 BIRMINGHAM STEEL CORP ...................... 342
75,100 NUCOR CORP ................................. 3,455
98,850 WORTHINGTON INDUSTRIES, INC ................ 1,489
-----------
7,065
-----------
PRINTING AND PUBLISHING--1.30%
12,600 DELUXE CORP ................................ 451
41,000 DOW JONES & CO, INC ........................ 2,286
155,400 GANNETT CO, INC ............................ 11,043
11,300 KNIGHT-RIDDER, INC ......................... 622
46,600 MCGRAW HILL COS, INC ....................... 3,801
13,100 NEW YORK TIMES CO (CLASS A) ................ 1,038
159,345 TIME WARNER, INC ........................... 13,614
57,700 TIMES MIRROR CO SERIES A ................... 3,628
-----------
36,483
-----------
RAILROAD TRANSPORTATION--0.45%
421,200 NORFOLK SOUTHERN CORP ...................... 12,557
-----------
REAL ESTATE--0.20%
20,600 ROUSE CO ................................... 648
119,700 WEINGARTEN REALTY INVESTORS, INC ........... 5,005
-----------
5,653
-----------
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS--0.38%
24,100 BANDAG, INC ................................ 940
4,410 MARK IV INDUSTRIES, INC .................... 95
121,200 NIKE, INC (CLASS B) ........................ 5,901
25,400 RAYCHEM CORP ............................... 751
90,300 RUBBERMAID, INC ............................ 2,997
-----------
10,684
-----------
SECURITY AND COMMODITY
BROKERS--1.35%
164,200 MERRILL LYNCH & CO, INC .................... 15,147
250,048 MORGAN STANLEY, DEAN
WITTER, & CO .............................. 22,848
-----------
37,995
-----------
TRANSPORTATION BY AIR--0.41%
82,600 oAMR CORP ................................... 6,876
18,800 DELTA AIRLINES, INC ........................ 2,430
66,375 SOUTHWEST AIRLINES CO ...................... 1,966
1,200 oU.S. AIRWAYS GROUP, INC .................... 95
2,300 oUAL CORP ................................... 179
-----------
11,546
-----------
TRANSPORTATION EQUIPMENT--0.26%
89,600 ECHLIN, INC ................................ 4,396
23,500 FEDERAL-MOGUL CORP ......................... 1,586
12,000 FLEETWOOD ENTERPRISES, INC ................. 480
24,500 MODINE MANUFACTURING CO .................... 848
-----------
7,310
-----------
TRUCKING AND WAREHOUSING--0.04%
67,800 ARNOLD INDUSTRIES, INC ..................... 1,000
-----------
WHOLESALE TRADE-DURABLE
GOODS--0.40%
24,400 AVNET, INC ................................. 1,334
191,850 GENUINE PARTS CO ........................... 6,631
66,200 GRAINGER (W.W.), INC ....................... 3,298
-----------
11,263
-----------
WHOLESALE TRADE-NONDURABLE
GOODS--0.38%
12,402 BERGEN BRUNSWIG CORP (CLASS A) ............. 575
50,900 IKON OFFICE SOLUTIONS, INC ................. 741
66,800 MCKESSON CORP .............................. 5,428
144,800 SYSCO CORP ................................. 3,711
25,450 UNISOURCE WORLDWIDE, INC ................... 273
-----------
10,728
-----------
TOTAL COMMON STOCK
(COST $858,942) ............................. 1,697,937
-----------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--14.48%
BANK OF NEW YORK COLLATERALIZED
ASSETS--8.02% .............................. 225,180
-----------
COMMERCIAL PAPER--6.46%
CONAGRA, INC
$15,000,000 * 5.650%, 07/13/98 .......................... 14,969
CONSECO, INC
35,000,000 *~ 5.710%, 07/06/98 .......................... 34,965
CVS CORP
14,250,000 ~ 6.700%, 07/01/98 .......................... 14,248
NORFOLK SOUTHERN CORP
26,927,000 *~ 5.670%, 07/06/98 .......................... 26,900
25,000,000 *^~ 5.700%, 08/10/98 .......................... 24,837
PITNEY BOWES CREDIT CORP
9,640,000 5.800%, 07/10/98 .......................... 9,625
See notes to financial statements.
-33-
<PAGE>
SOCIAL CHOICE ACCOUNT (CONTINUED)
VALUE
PRINCIPAL (000)
--------- -----
COMMERCIAL PAPER--(CONTINUED)
PRAXAIR, INC
$10,000,000 *~ 5.650%, 07/10/98 ......................... $ 9,984
7,000,000 *~ 5.650%, 08/10/98 ......................... 6,954
RYDER SYSTEMS, INC
11,000,000 5.700%, 08/11/98 ......................... 10,927
SONAT, INC
28,000,000 *~ 5.650%, 07/07/98 ......................... 27,967
-----------
181,376
-----------
TOTAL SHORT TERM INVESTMENTS
(COST $406,593) .............................. 406,556
-----------
TOTAL PORTFOLIO
(COST $2,318,935) ............................ $ 3,172,587
===========
- ----------
o Non-income producing
~ Commercial Paper issued under the Private Placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
^ Security is exempt from registration under Rule 144(A) of the Securities Act
of 1933 and may be resold in transactions exempt from registration normally
to qualified institutional buyers. At June 30, 1998, the value of these
securities amounted to $66,519,941 or 2.37% of net assets.
* 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.
@ These securities were purchased on a delayed delivery basis.
- ----------
OTHER INFORMATION
The composition of long-term debt holdings as a percentage of total value of
investment in debt securities, is as follows:
MOODY'S RATINGS
AAA, AA, A 26.46%
BAA 11.69%
BA 1.99%
U.S. Government obligations represent 59.86% of the long-term debt portfolio
value.
Moody's ratings are provided by Moody's Investors Services.
See notes to financial statements.
-34-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JUNE 30, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
----- ------
BONDS
CORPORATE BONDS
BUSINESS SERVICES .......................... $ 141 0.00%
COMMUNICATIONS ............................. 92 0.00
DEPOSITORY INSTITUTIONS .................... 101 0.00
INSURANCE CARRIERS ......................... 11,102 0.18
REAL ESTATE ................................ 180 0.00
SECURITY AND COMMODITY BROKERS ............. 10,676 0.18
WHOLESALE TRADE--DURABLE GOODS ............. 111 0.00
---------- -------
TOTAL CORPORATE BONDS
(COST $24,313) ............................. 22,403 0.36
---------- -------
TOTAL BONDS
(COST $24,313) .............................. 22,403 0.36
---------- -------
PREFERRED STOCK
BUSINESS SERVICES .......................... 5,200 0.08
ELECTRIC, GAS, AND SANITARY SERVICES ....... 2,378 0.04
INSURANCE CARRIERS ......................... 76 0.00
PRINTING AND PUBLISHING .................... 1,313 0.02
TRANSPORTATION EQUIPMENT ................... 4,217 0.07
---------- -------
TOTAL PREFERRED STOCK
(COST $5,468) ............................... 13,184 0.21
---------- -------
COMMON STOCK
AGRICULTURAL PRODUCTION--CROPS ............. 224 0.00
AMUSEMENT AND RECREATION SERVICES .......... 410,880 6.66
APPAREL AND ACCESSORY STORES ............... 158,500 2.57
APPAREL AND OTHER TEXTILE PRODUCTS ......... 5,321 0.09
AUTO REPAIR, SERVICES AND PARKING .......... 1 0.00
AUTOMOTIVE DEALERS AND SERVICE
STATIONS ................................. 473 0.01
BUILDING MATERIALS AND GARDEN
SUPPLIES ................................. 9,226 0.15
BUSINESS SERVICES .......................... 188,776 3.06
CHEMICALS AND ALLIED PRODUCTS .............. 329,402 5.34
COMMUNICATIONS ............................. 1,049,704 17.01
DEPOSITORY INSTITUTIONS .................... 301,357 4.88
EATING AND DRINKING PLACES ................. 6,101 0.10
ELECTRIC, GAS, AND SANITARY SERVICES ....... 153,936 2.49
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT ................................ 603,254 9.78
ENGINEERING AND MANAGEMENT
SERVICES ................................. 9,521 0.15
FABRICATED METAL PRODUCTS .................. 14,229 0.23
FOOD AND KINDRED PRODUCTS .................. 61,218 0.99
FOOD STORES ................................ 9,010 0.15
FORESTRY ................................... 224 0.00
FURNITURE AND HOMEFURNISHING
STORES ................................... 1,574 0.03
GENERAL BUILDING CONTRACTORS ............... 8,135 0.13
GENERAL MERCHANDISE STORES ................. 43,687 0.71
HEALTH SERVICES ............................ 5,928 0.10
HEAVY CONSTRUCTION, EXCEPT BUILDING ........ 4,737 0.08
HOLDING AND OTHER INVESTMENT
OFFICES .................................. 125,702 2.04
HOTELS AND OTHER LODGING PLACES ............ 71,567 1.16
INDUSTRIAL MACHINERY AND
EQUIPMENT ................................ 206,011 3.34
INSTRUMENTS AND RELATED
PRODUCTS ................................. 143,434 2.32
INSURANCE AGENTS, BROKERS AND
SERVICE .................................. 4,899 0.08
INSURANCE CARRIERS ......................... 312,635 5.07
LOCAL AND INTERURBAN PASSENGER
TRANSIT .................................. 3,913 0.06
LUMBER AND WOOD PRODUCTS ................... 4,322 0.07
METAL MINING ............................... 64,988 1.05
MISCELLANEOUS MANUFACTURING
INDUSTRIES ............................... 316,087 5.12
MISCELLANEOUS RETAIL ....................... 7,265 0.12
MOTION PICTURES ............................ 7,812 0.13
NONDEPOSITORY INSTITUTIONS ................. 57,912 0.94
NONMETALLIC MINERALS, EXCEPT FUELS ......... 1,036 0.02
OIL AND GAS EXTRACTION ..................... 404,384 6.55
PAPER AND ALLIED PRODUCTS .................. 12,466 0.20
PERSONAL SERVICES .......................... 1,489 0.02
PETROLEUM AND COAL PRODUCTS ................ 118,304 1.92
PRIMARY METAL INDUSTRIES ................... 17,327 0.28
PRINTING AND PUBLISHING .................... 19,188 0.31
RAILROAD TRANSPORTATION .................... 135,893 2.20
REAL ESTATE ................................ 140,555 2.28
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS ................................. 41,417 0.67
SECURITY AND COMMODITY BROKERS ............. 12,242 0.20
STONE, CLAY, AND GLASS PRODUCTS ............ 7,013 0.11
TEXTILE MILL PRODUCTS ...................... 1,643 0.03
TOBACCO PRODUCTS ........................... 83,968 1.36
TRANSPORTATION BY AIR ...................... 35,885 0.58
TRANSPORTATION EQUIPMENT ................... 110,162 1.79
TRANSPORTATION SERVICES .................... 97,582 1.58
TRUCKING AND WAREHOUSING ................... 1,216 0.02
WATER TRANSPORTATION ....................... 11,837 0.19
WHOLESALE TRADE--DURABLE GOODS ............. 1,760 0.03
WHOLESALE TRADE--
NONDURABLE GOODS ......................... 28,555 0.47
---------- -------
TOTAL COMMON STOCK
(COST $4,708,414) ........................... 5,985,887 97.02
---------- ------
SHORT TERM INVESTMENTS
CERTIFICATES OF DEPOSIT .................... 28,998 0.47
COMMERCIAL PAPER ........................... 409,612 6.64
U.S. GOVERNMENT & AGENCIES ................. 263,394 4.27
---------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $702,130) ............................. 702,004 11.38
---------- ------
TOTAL PORTFOLIO
(COST $5,440,325) ........................... 6,723,478 108.97
OTHER ASSETS & LIABILITIES, NET ........... (553,398) (8.97)
---------- ------
NET ASSETS ................................. $6,170,080 100.00%
========== ======
See notes to financial statements.
-35-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JUNE 30, 1998
SUMMARY BY COUNTRY
VALUE
(000) %
----- ------
DOMESTIC:
UNITED STATES .............................. $3,459,805 51.46%
---------- ------
TOTAL DOMESTIC ............................. 3,459,805 51.46
---------- ------
FOREIGN:
AUSTRALIA ................................ 18,369 0.27
AUSTRIA .................................. 1,959 0.03
BELGIUM .................................. 13,601 0.20
CANADA ................................... 111,439 1.66
DENMARK .................................. 59,939 0.89
FINLAND .................................. 9,660 0.14
FRANCE ................................... 287,271 4.27
GERMANY .................................. 199,299 2.96
HONG KONG ................................ 12,110 0.18
IRELAND .................................. 4,279 0.06
ITALY .................................... 109,155 1.62
JAPAN .................................... 265,827 3.95
MALAYSIA ................................. 2,508 0.04
NETHERLANDS .............................. 337,871 5.03
NEW ZEALAND .............................. 2,331 0.04
NORWAY ................................... 114,870 1.71
PORTUGAL ................................. 3,818 0.06
SINGAPORE ................................ 2,516 0.04
SOUTH AFRICA ............................. 11,102 0.17
SPAIN .................................... 94,060 1.40
SWEDEN ................................... 56,060 0.83
SWITZERLAND .............................. 192,042 2.86
UNITED KINGDOM ........................... 651,583 9.69
---------- ------
TOTAL FOREIGN .............................. 2,561,669 38.10
TOTAL SHORT TERM ........................... 702,004 10.44
---------- ------
TOTAL PORTFOLIO ............................ $6,723,478 100.00%
========== ======
See notes to financial statements.
-36-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JUNE 30, 1998
VALUE
PRINCIPAL (000)
--------- -----
BONDS--0.36%
CORPORATE BONDS--0.36%
BUSINESS SERVICES--0.00%
40,424(1) #VIGLEN TECHNOLOGY (CV LOAN STK)
7.582, 01/01/00 .......................... $ 141
---------
COMMUNICATIONS--0.00%
89,000 VIACOM INTERNATIONAL, INC
(SUB DEB)
8.000, 07/07/06 .......................... 92
---------
DEPOSITORY INSTITUTIONS--0.00%
35,900(2) BANCA INTESA
3.150, 01/01/03 .......................... 71
52(3) DRESDNER BV
5.500, 04/30/04 .......................... 30
---------
101
---------
INSURANCE CARRIERS--0.18%
10,665,000 LIBLIFE INTERNATIONAL CV
6.500, 09/30/04 .......................... 11,102
---------
REAL ESTATE--0.00%
1,531(4) AXA S.A. CV
4.500, 01/01/99 .......................... 180
---------
SECURITY AND COMMODITY
BROKERS--0.18%
5,985,000 oMORGAN STANLEY DEAN WITTER
0.000, 05/09/00 .......................... 10,676
---------
WHOLESALE TRADE-DURABLE
GOODS--0.00%
113(3) PREUSSAG AG. (W/W)
5.750, 05/17/01 .......................... 111
---------
TOTAL CORPORATE BONDS
(Cost $24,313) .............................. 22,403
---------
TOTAL BONDS
(Cost $24,313) ............................... 22,403
---------
- ----------
(1) Denominated in British Pounds
(2) Denominated in Italian Lire
(3) Denominated in German Deutsche Marks
(4) Denominated in Franch Francs
SHARES
------
PREFERRED STOCK--0.21%
BUSINESS SERVICES--0.08%
7,662 SAP AG ..................................... 5,200
---------
ELECTRIC, GAS, AND SANITARY
SERVICES--0.04%
55,670 oRHEIN-WESTFALEN ELECTRIC AG ................ 2,378
---------
INSURANCE CARRIERS--0.00%
1,014 AETNA, INC (CLASS C) ....................... 76
---------
PRINTING AND PUBLISHING--0.02%
185,325 NEWS CORP LTD (LTD-VOTE) ................... 1,313
---------
TRANSPORTATION EQUIPMENT--0.07%
4,500 oRHEINMETALL AG ............................. 128
5,933 VOLKSWAGENWERKE AG ......................... 4,089
---------
4,217
---------
TOTAL PREFERRED STOCK
(Cost $5,468) ............................... 13,184
---------
COMMON STOCK--97.02%
AGRICULTURAL
PRODUCTION-CROPS--0.00%
8,803 EBRO AGRICOLAS CIA S.A ..................... 224
---------
AMUSEMENT AND RECREATION
SERVICES--6.66%
4,943,935 CARNIVAL CORP (CLASS A) .................... 195,903
147 EMI GROUP PLC .............................. 1
67,637 GRANADA GROUP LTD (CLASS A) ................ 1,244
22,625 oHARRAHS ENTERTAINMENT, INC ................. 526
6,424 KUONI REISEN HOLDING (REGD)
(CLASS B) ................................. 31,891
149,672 oLADBROKE GROUP PLC ......................... 822
112,500 oMAGNUM CORP BERHAD ......................... 42
69 MOEVENPICK HOLDINGS (BR) ................... 34
976,050 oPREMIER PARKS, INC ......................... 65,029
1,000 SEGA ENTERPRISES LTD ....................... 17
349,700 oSFX ENTERTAINMENT, INC (CLASS A) ........... 16,042
4,000 SHIMANO, INC ............................... 101
40,010 SMH AG. (BR) ............................... 30,915
5,377 SMH AG. (REGD) ............................. 897
59,900 TABCORP HOLDINGS LTD ....................... 306
2,661,100 +oWESTWOOD ONE, INC .......................... 67,110
---------
410,880
---------
APPAREL AND ACCESSORY
STORES--2.57%
682,670 ADIDAS SALOMON AG .......................... 118,947
52,320 GAP, INC ................................... 3,224
1,317,500 INTIMATE BRANDS, INC (CLASS A) ............. 36,314
438 LIMITED, INC ............................... 15
---------
158,500
---------
APPAREL AND OTHER TEXTILE
PRODUCTS--0.09%
7,000 AOYAMA TRADING CO LTD ...................... 172
197,800 BENETTON GROUP S.P.A ....................... 411
50,000 COATS VIYELLA PLC .......................... 62
10,200 oCOURTAULDS PLC ............................. 76
42,990 COURTAULDS TEXTILES PLC .................... 208
90 oDOLLFUS-MIEG & CIE S.A ..................... 2
16,103 oFRUIT OF THE LOOM, INC (CLASS A) ........... 534
54,000 GUNZE LTD .................................. 123
97,000 KURABO INDUSTRIES LTD ...................... 126
26,000 KURARAY CO LTD ............................. 221
14,878 LIZ CLAIBORNE, INC ......................... 777
10,000 MARZOTTO & FIGLI S.P.A ..................... 153
67,000 NISSHINBO INDUSTRY, INC .................... 268
2,000 ONWARD KASHIYMA CO LTD ..................... 25
89,000 oRENOWN, INC ................................ 66
150,000 TEIJIN LTD ................................. 454
15,000 TOKYO STYLE CO LTD ......................... 147
121,000 TORAY INDUSTRIES, INC ...................... 628
See notes to financial statements.
-37-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
APPAREL AND OTHER TEXTILE
PRODUCTS--(CONTINUED)
107,000 TOYOBO CO LTD .............................. $ 140
9,996 VF CORP .................................... 515
21,000 WACOAL CORP ................................ 213
---------
5,321
---------
AUTO REPAIR, SERVICES AND
PARKING--0.00%
35 RYDER SYSTEM, INC .......................... 1
---------
AUTOMOTIVE DEALERS AND
SERVICE STATIONS--0.01%
14,400 CANADIAN TIRE, INC (CLASS A) ............... 418
44,913 oLONHRO AFRICA PLC .......................... 55
---------
473
---------
BUILDING MATERIALS AND
GARDEN SUPPLIES--0.15%
2,600 CBR NV ..................................... 291
39,386 CRH PLC .................................... 559
9,000 DAITO TRUST CONSTRUCTION CO LTD ............ 68
8,275 HEIDELBERGER ZEMENT AG ..................... 784
75,938 HOME DEPOT, INC ............................ 6,308
28,100 ITALCEMENTI S.P.A .......................... 253
45,700 LEIGHTON HOLDINGS LTD ...................... 160
69,000 MALAYAN CEMENT BERHAD ...................... 22
140,000 PAN-MALAYSIA CEMENT WORKS BERHAD ........... 29
200 PORTLAND VALDERRIVAS S.A ................... 25
65 EUROC INDUSTRIA AB SERIES A ................ 3
50,900 SEKISUI HOUSE LTD .......................... 394
144,000 SUMITOMO OSAKA CEMENT CO LTD ............... 185
600 WIENERBERGER BAUSTOFF AG ................... 145
---------
9,226
---------
BUSINESS SERVICES--3.06%
12,836 oACNEILSEN CORP ............................. 324
1,100 ADECCO S.A. (BR) ........................... 496
11,500 ADOBE SYSTEMS, INC ......................... 488
8,300 oAGIV AG .................................... 230
29,974 AMERICA ONLINE, INC ........................ 3,177
855,000 ASSA ABLOY AB SERIES B ..................... 33,611
4,599 AUTOMATIC DATA PROCESSING, INC ............. 335
11,700 oBMC SOFTWARE, INC .......................... 608
115,054 BTR PLC .................................... 326
5,147 oBTR PLC WTS 11/26/98 ....................... 0
36,463 COGNIZANT CORP ............................. 2,297
69,676 COMPUTER ASSOCIATES
INTERNATIONAL, INC ........................ 3,871
1,800 CORPORACION FINANCIERE ALBA S.A ............ 198
9,348,000 +CORPORATE SERVICES GROUP PLC ............... 37,199
15,400 CSK CORP ................................... 306
123,200 CSR LTD .................................... 356
41,000 DAIWA KOSHO LEASE CO LTD ................... 172
55 DE LA RUE CO PLC ........................... 0
1,128 DUN & BRADSTREET CORP ...................... 41
63,550 EDISON S.P.A ............................... 510
41,892 ELECTRONIC DATA SYSTEMS CORP ............... 1,676
4,000 ESSELTE AB SERIES B FREE ................... 93
50,872 FIRST DATA CORP ............................ 1,695
2,100 FLUGHAFEN WIEN AG .......................... 101
31,000 oGAKKEN CO LTD .............................. 52
10,100 GETRONICS NV ............................... 524
2,700 GROUPE BRUXELLES LAMBERT S.A. .............. 545
1,000 HAW PAR CORP LTD ........................... 1
2,625,000 HAYS PLC ................................... 44,017
85,200 HBO & CO ................................... 3,003
33,000 oINCHCAPE MARKETING SERVICES ................ 8
249 INTERPUBLIC GROUP OF COS, INC .............. 15
2,300 ISS INTERNATIONAL SERVICE SYSTEM
AS SERIES B ............................... 134
229,000 ITOCHU CORP ................................ 495
5,000 KOKUYO CO LTD .............................. 85
15,172 LAGARDERE S.C.A ............................ 632
1,900 oLAIRD GROUP PLC ............................ 9
30,013 LONRHO PLC ................................. 141
333,000 MALAYAN UNITED INDUSTRIES BERHAD ........... 39
18,039 MANPOWER, INC .............................. 517
291,000 MARUBENI CORP .............................. 581
6,000 oMERKANTILDATA ASA .......................... 76
7,520 METRA CO SERIES B .......................... 247
248,200 oMICROSOFT CORP ............................. 26,899
7,400 MISYS PLC .................................. 420
135,000 MITSUBISHI CORP ............................ 837
27,000 MITSUBISHI LOGISTICS CORP .................. 241
115,000 MITSUI & CO LTD ............................ 621
17,000 MITSUI SOKO CO LTD ......................... 51
35,672 NEWELL COS, INC ............................ 1,777
139,787 oORACLE CORP ................................ 3,434
134,000 PACIFIC DUNLOP LTD ......................... 217
26,165 PEARSON PLC ................................ 479
22,100 oPEOPLESOFT, INC ............................ 1,039
9,216 PITTSTON BRINKS GROUP CO ................... 340
100 RATIN AS (CLASS B) ......................... 21
6,000 oRENONG BERHAD .............................. 1
100,000 oRENTOKIL INITIAL PLC ....................... 719
207,806 RUETERS GROUP PLC .......................... 2,375
1,928 SAP AG ..................................... 1,170
17,700 SECOM CO LTD ............................... 1,022
6,900 SECURITAS AB SERIES B FREE ................. 338
100 oSIEBEL SYSTEMS, INC ........................ 3
149,200 SIME DARBY BERHAD .......................... 103
100 SOPHUS BERENDSEN (CLASS B) ................. 4
15,760 LYONNAISE DES EAUX S.A. .................... 2,594
97,000 SUMITOMO CORP .............................. 466
120 SURVEILLANCE S.A., SOCIETE DE .............. 41
14,000 TOKYO DOME CORP ............................ 76
177,000 TOKYU CORP ................................. 537
119,000 UNITED INDUSTRIAL CORP ..................... 34
24,800 VIGLEN TECHNOLOGY PLC ...................... 10
15,168 VIVENDI S.A ................................ 3,239
24,394 oVIVENDI S.A. WTS 05/02/01 .................. 48
148,000 WHARF HOLDINGS LTD ......................... 146
10,900 #WHARF HOLDINGS LTD WTS 12/31/99 ............ 0
7,000 WM-DATA AB SERIES B ........................ 243
---------
188,776
---------
CHEMICALS AND ALLIED
PRODUCTS--5.34%
194,687 ABBOTT LABORATORIES CO ..................... 7,958
24,600 AGA AB SERIES A FREE ....................... 386
8,500 AGRIUM, INC ................................ 106
7,600 AKZO NOBEL NV .............................. 1,689
114,348 AMERICAN HOME PRODUCTS CORP ................ 5,918
51,000 ASAHI CHEMICAL INDUSTRY CO LTD ............. 184
4,800 AVON PRODUCTS, INC ......................... 372
72,200 BASF AG. ................................... 3,430
66,340 BAYER AG. .................................. 3,433
1,800 BEIERSDORF AG. ............................. 115
90,745 BOC GROUP PLC .............................. 1,236
108,726 BRISTOL MYERS SQUIBB CO .................... 12,497
15,000 CHUGAI PHARMACEUTICAL CO LTD ............... 98
See notes to financial statements.
-38-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
CHEMICALS AND ALLIED
PRODUCTS--(CONTINUED)
500 CIN-CORPARACAO INDUSTRIAL
DO NORTE S.A .............................. $ 37
101,000 DAICEL CHEMICAL INDUSTRIES LTD ............. 214
11,000 DAINIPPON INK & CHEMICAL, INC .............. 34
7,840 DEGUSSA AG ................................. 502
41,422 DOW CHEMICAL CO ............................ 4,005
97,784 DU PONT (E.I.) DE NEMOURS & CO ............. 7,297
3,600 DYNO INDUSTRIER AS ......................... 64
75 EASTMAN CHEMICAL CO ........................ 5
130,400 oELEMENTIS PLC .............................. 335
9,122 ELF SANOFI S.A ............................. 1,073
53,270 ENGLISH CHINA CLAYS PLC .................... 184
7,971 oFMC CORP ................................... 544
381,290 GLAXO WELLCOME PLC ......................... 11,445
33,400 GREENCORE GROUP PLC ........................ 182
60,726 oIMPERIAL CHEMICAL INDUSTRY PLC ............. 975
24,132 INTERNATIONAL FLAVORS & FRAGRANCES, INC .... 1,048
118,938 JOHNSON & JOHNSON CO ....................... 8,772
61,000 KANEKA CORP ................................ 321
24,000 KANSAI PAINT CO LTD ........................ 55
18,380 KEMIRA OY .................................. 190
18,100 KERRY GROUP (CLASS A) ...................... 250
15,600 KISSEI PHARMACEUTICALS CO LTD .............. 230
56,119 KONINKLIJKE AHOLD NV ....................... 1,801
68,000 KUREHA CHEMICAL INDUSTRY CO LTD ............ 157
5,477 LAIR LIQUIDE ............................... 906
2,332 #LAIR LIQUIDE (REGD) 1996 ................... 386
435,431 LILLY (ELI) & CO ........................... 28,766
13,093 LUBRIZOL CORP .............................. 396
12,600 MDS, INC (CLASS B) ......................... 270
431,442 MERCK & CO, INC ............................ 57,705
12,730 MERCK & CO KGAA ............................ 571
367,000 MITSUBISHI CHEMICAL CORP ................... 664
43,000 MITSUBISHI GAS CHEMICAL CO, INC ............ 130
1,000 MITSUI CHEMICAL CORP ....................... 3
49,000 NAGASE & CO ................................ 179
1,944 NALCO CHEMICAL CORP ........................ 68
9,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD ......... 48
14,900 NORSK HYDRO AS ............................. 655
25,202 NOVARTIS AG. (REGD) ........................ 41,937
6,100 NOVO NORDISK AS (CLASS B) .................. 841
50,500 ORICA LTD .................................. 299
600,058 PFIZER, INC ................................ 65,219
356 PRAXAIR, INC ............................... 17
132,153 PROCTER & GAMBLE CO ........................ 12,034
34,450 RHONE-POULENC S.A. (CLASS A) ............... 1,943
50 ROCHE HOLDINGS AG. (BR) .................... 741
805 ROCHE HOLDINGS AG. (GENUSSCHEINE) .......... 7,905
13,580 ROHM & HAAS CO ............................. 1,411
4,000 SCHERING AG. ............................... 471
67,680 SCHERING-PLOUGH CORP ....................... 6,201
45,000 SEKISUI CHEMICAL CO LTD .................... 230
45,255 SHIN-ETSU CHEMICAL CO LTD .................. 783
527,967 SMITHKLINE BEECHAM/BECKMAN LTD ............. 6,444
108,100 SNIA BDP S.P.A. ............................ 133
9,250 SOLVAY ET CIE S.A. ......................... 733
2,800 SOMMER-ALLIBERT ............................ 146
118,000 SUMITOMO CHEMICAL CO LTD ................... 364
27,000 TAISHO PHARMACEUTICAL CO LTD ............... 504
77,000 TAKEDA CHEMICAL INDUSTRIES LTD ............. 2,047
160 UCB S.A. ................................... 830
28,314 UNION CARBIDE CORP ......................... 1,511
55,681 WARNER-LAMBERT CO .......................... 3,863
24,964 YAMANOUCHI PHARMACEUTICAL CO LTD ........... 520
102,194 ZENECA GROUP PLC ........................... 4,386
---------
329,402
---------
COMMUNICATIONS--17.01%
83 o360 COMMUNICATIONS CO ...................... 3
54,433 oAIRTOUCH COMMUNICATIONS, INC ............... 3,181
2,467,795 AT & T CORP ................................ 140,973
63,500 BCE, INC ................................... 2,692
130,648 BELL ATLANTIC CORP ......................... 5,961
124,932 BELLSOUTH CORP ............................. 8,386
79,479 BRITISH SKY BROADCASTING GROUP PLC ......... 571
608,450 oBRITISH TELECOMMUNICATIONS PLC ............. 7,512
1,590 oCANAL PLUS S.A. ............................ 297
1,251,800 oCAPSTAR BROADCASTING CORP (CLASS A) ........ 31,451
106,519 CARLTON COMMUNICATIONS PLC ................. 951
1,974,418 CBS CORP ................................... 62,688
1,211,750 oCHANCELLOR MEDIA CORP (CLASS A) ............ 60,171
1,000,000 oCLEAR CHANNEL COMMUNICATIONS, INC .......... 109,125
2,250 oCOX RADIO, INC (CLASS A) ................... 97
207,950 DEUTSCHE TELEKOM AG ........................ 5,691
100 oEUROPE 1 COMMUNICATION ..................... 23
86,125 FRANCE TELECOM S.A ......................... 5,940
1,942,164 oGLOBALSTAR TELECOMMUNICATIONS LTD .......... 52,438
3,900 GN STORE NORD AS--GN GREAT NORDIC .......... 119
1,053,805 HONG KONG TELECOMMUNICATIONS LTD ........... 1,979
47,557 KONINKLIJKE KPN NV ......................... 1,831
69,250 oLIBERTY MEDIA GROUP (CLASS A) .............. 2,688
215,750 oLORAL SPACE & COMMUNICATIONS LTD ........... 6,095
574,630 LUCENT TECHNOLOGIES, INC ................... 47,802
117,900 MEDIASET S.P.A. ............................ 753
10,000 oNETCOM SYSTEMS AB SERIES B ................. 383
3,000 NIPPON COMSYS CORP ......................... 34
1,212 NIPPON TELEGRAPH & TELEPHONE CORP .......... 10,042
2 PATHE S.A .................................. 0
13,843 PORTUGAL TELECOM S.A. ...................... 734
468,000 oRCN CORP ................................... 9,068
218,965 REED INTERNATIONAL PLC ..................... 1,980
228,547 SBC COMMUNICATIONS, INC .................... 9,142
372,000 oSINGAPORE TELECOMMUNICATIONS LTD ........... 528
28,800 SIRTI S.P.A. ............................... 157
18,386 SPRINT CORP ................................ 1,296
11,220 oTCI SATELLITE ENTERTAINMENT (CLASS A) ...... 66
576,600 TELE DANMARK AS (CLASS B) .................. 55,337
47,961 oTELE-COMMUNICATIONS, INC (CLASS A) ......... 1,844
278,400 TELECOM CORP OF NEW ZEALAND ................ 1,147
432,405 TELECOM ITALIA ............................. 3,185
12,932,199 TELECOM ITALIA MOBILE S.P.A. ............... 79,143
28,578 oTELECOM-TCI VENTURES GROUP (CLASS A) ....... 573
108,030 TELEFONICA DE ESPANA S.A. .................. 5,003
173,000 TELEKOM MALAYSIA BERHAD .................... 292
407,500 oTELEPORT COMMUNICATIONS GROUP, INC (CLASS A) 22,107
58,000 TELEVISION BROADCASTS LTD .................. 153
621,394 TELSTRA CORP LTD (P/P) ..................... 1,593
8,700 TELUS CORP ................................. 225
24,000 TOKYO BROADCASTING SYSTEMS, INC ............ 268
51,582 oVIACOM, INC (CLASS B) ...................... 3,005
1,534 oVIACOM, INC (CLASS B) WTS 07/07/99 ......... 5
381,161 VODAFONE GROUP PLC ......................... 4,837
607,800 oWINSTAR COMMUNICATIONS, INC ................ 26,097
See notes to financial statements.
-39-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
COMMUNICATIONS--(CONTINUED)
5,203,450 oWORLDCOM, INC .............................. 252,042
----------
1,049,704
----------
DEPOSITORY INSTITUTIONS--4.88%
145,594 ABN-AMRO HOLDINGS NV ....................... 3,407
94,260 ALLIED IRISH BANKS PLC ..................... 1,361
62,000 ARGENTARIA S.A. ............................ 1,393
164,514 ASAHI BANK LTD ............................. 723
431 AUSTRALIAN & NEW ZEALAND BANKING
GROUP LTD ................................. 3
80,111 BANC ONE CORP .............................. 4,471
180,000 oBANCA COMMERCIALE ITALIANA S.P.A. .......... 1,077
71,600 BANCA INTESA RISP S.P.A. ................... 211
111,600 BANCA INTESA S.P.A. ........................ 625
32,000 oBANCA POPOLARE DI MILANO ................... 255
143,600 oBANCO AMBROSIANO VENETO WTS 05/31/02 ....... 175
75,700 BANCO BILBAO VIZCAYA S.A. (REGD) ........... 3,891
38,600 BANCO CENTRALE HISPANOAMERICANO S.A ........ 1,215
3,762 oBANCO CENTRALE HISPANOAMERICANO S.A. NEW ... 118
13,971 BANCO COMERCIAL PORTUGUES S.A. (REGD) ...... 397
4,095 #oBANCO ESPIRITO SANTO BABY SHS .............. 120
4,600 BANCO ESPIRITO SANTO E COMERCIAL ........... 138
116,200 oBANCO SANTANDER S.A. ....................... 2,979
5,700 BANCO TOTTA & ACORES S.A. (REGD) ........... 173
6,000 BANK AUSTRIA AG ............................ 488
6,000 #oBANK AUSTRIA AG. RTS ....................... 6
212,000 oBANK OF EAST ASIA LTD ...................... 230
24,400 BANK OF MONTREAL ........................... 1,344
7,772 BANK OF N.Y. CO, INC ....................... 472
41,492 BANK OF NOVA SCOTIA ........................ 1,027
450,747 BANK OF TOKYO MITSUBISHI LTD ............... 4,771
151,000 BANK OF YOKOHAMA LTD ....................... 370
87,826 BANKAMERICA CORP ........................... 7,591
51,399 BANKBOSTON CORP ............................ 2,859
27,875 oBANQUE NATIONALE DE PARIS .................. 2,278
186,036 BARCLAYS PLC ............................... 5,364
35,000 oBAYERISCHE HYPOTHEKEN-UND WECHSEL-BANK ..... 2,218
26,600 oBAYERISCHE VEREINSBANK AG .................. 2,255
6,600 BPI-SGPS S.A. (REGD) ....................... 213
35,664 CANADIAN IMPERIAL BANK OF COMMERCE ......... 1,147
91,460 CHIBA BANK LTD ............................. 316
40,000 CHRISTIANIA BANK OG KREDITKASSE ............ 167
181,170 CITICORP CO ................................ 27,040
50 COMMERZBANK AG ............................. 2
287,600 CREDITO ITALIANO S.P.A. .................... 1,507
2,000 DAI-ICHI KANGO BANK LTD .................... 12
4,100 DEN DANSKE BANK AF 1871 .................... 492
46,000 DEN NORSKE BANK ASA ........................ 241
55,530 oDEUTSCHE BANK AG. .......................... 4,695
37,600 DEVELOPMENT BANK OF SINGAPORE LTD (FR) ..... 208
49,100 DRESDNER BANK AG ........................... 2,652
988 oDRESDNER BANK AG. WTS 04/30/02 ............. 26
48,324 FIRST CHICAGO NBD CORP ..................... 4,283
46,393 FLEET FINANCIAL GROUP, INC ................. 3,874
35,000 FORENINGSSPARBANKEN AB ..................... 1,053
285,000 FUJI BANK LTD .............................. 1,271
2,000 GENERALE DE BANQUE S.A ..................... 1,485
12,826 GOLDEN WEST FINANCIAL CORP ................. 1,364
26,000 GUNMA BANK LTD ............................. 176
9,200 H.F. AHMANSON & CO ......................... 653
180,200 HANG SENG BANK LTD ......................... 1,019
38,000 HOKURIKU BANK LTD .......................... 49
26,517 oHSBC HOLDINGS PLC .......................... 642
68,518 oHSBC HOLDINGS PLC (HONG KONG) .............. 1,676
204,563 oHSBC HOLDINGS LTD (U.K.) ................... 5,191
237,297 INDUSTRIAL BANK OF JAPAN LTD ............... 1,487
81,500 INSTITUTO BANCARIO SAN PAOLO
DI TURINO ................................. 1,177
63,200 oISTITUTO MOBILIARE ITALIANO S.P.A .......... 996
117,415 JOYO BANK .................................. 433
93,489 KEYCORP .................................... 3,331
509,714 oLLOYDS TSB GROUP PLC ....................... 7,131
105,800 MALAYAN BANKING BERHAD ..................... 107
84,124 MBNA CORP .................................. 2,776
98,100 oMERITA LTD ................................. 647
139,000 MITSUBISHI TRUST & BANKING CORP ............ 1,181
98,000 MITSUI TRUST & BANKING CO LTD .............. 231
32,810 MORGAN (J.P.) & CO, INC .................... 3,843
165,400 NATIONAL AUSTRALIA BANK LTD ................ 2,182
25,200 NATIONAL BANK OF CANADA .................... 493
7,140 NATIONAL CITY CORP ......................... 507
118,279 NATIONSBANK CORP ........................... 9,048
25,943 NORWEST CORP ............................... 970
67,781 OVERSEAS-CHINESE BANKING CORP LTD (FR) ..... 231
14,225 oPARIBAS S.A. ............................... 1,522
63,219 PNC BANK CORP .............................. 3,402
242,000 PUBLIC BANK BERHAD (LR) .................... 72
118,000 RHB CAPITAL BERHAD ......................... 48
31,700 ROYAL BANK OF CANADA ....................... 1,908
89,679 ROYAL BANK OF SCOTLAND PLC ................. 1,556
478,000 SAKURA BANK LTD ............................ 1,240
4,235 SANWA BANK LTD ............................. 38
81,000 SHIZUOKA BANK LTD .......................... 870
50,000 SKANDIA FORSAKRINGS AB ..................... 715
60,100 oSKANDINAVISKA ENSKILDA BANKEN SERIES A ..... 1,029
11,858 oSOCIETE GENERALE S.A ....................... 2,465
271,200 SUMITOMO BANK LTD .......................... 2,638
23,100 oSVENSKA HANDELSBANKEN SERIES A ............. 1,072
5,025 oSWISS BANK CORP (REGD) WTS 06/30/00 ........ 118
233,000 TOKAI BANK LTD ............................. 1,283
32,179 U.S. BANCORP ............................... 1,384
4,350 UNI BANKDANMARK AS (CLASS A) ............... 391
139,524 oUNION BANK OF SWITZERLAND AG. (REGD) ....... 51,880
53,000 UNITED OVERSEAS BANK LTD (FR) .............. 165
25,560 WASHINGTON MUTUAL, INC ..................... 1,110
196,373 WELLS FARGO & CO ........................... 72,462
224,100 WESTPAC BANKING CORP ....................... 1,367
18,000 YAMAGUCHI BANK LTD ......................... 231
172,000 oYASUDA TRUST & BANKING CO LTD .............. 161
----------
301,357
----------
EATING AND DRINKING PLACES--0.10%
3,857 ACCOR S.A. ................................. 1,079
6,200 CRACKER BARREL OLD COUNTRY STORE, INC ...... 197
32,838 DARDEN RESTAURANTS, INC .................... 521
5,000 FUJITA KANKO, INC .......................... 41
60,757 MCDONALDS CORP ............................. 4,192
34,000 OVERSEAS UNION ENTERPRISES LTD ............. 50
5,800 oSCOTTS RESTAURANTS, INC .................... 21
See notes to financial statements.
-40-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
EATING AND DRINKING PLACES--(CONTINUED)
9 oTRICON GLOBAL RESTAURANTS, INC ............. $ 0
---------
6,101
---------
ELECTRIC, GAS, AND SANITARY
SERVICES--2.49%
8,100 oAGUAS DE BARCELONA S.A ..................... 452
2,800 AMERICAN ELECTRIC POWER CO, INC ............ 127
33,112 BALTIMORE GAS & ELECTRIC CO ................ 1,029
42,467 BROWNING FERRIS INDUSTRIES, INC ............ 1,476
12,293 CAROLINA POWER & LIGHT CO .................. 533
47,527 CENTRAL & SOUTH WEST CORP .................. 1,277
100 CHUBU ELECTRIC POWER CO, INC ............... 1
212,000 CLP HOLDINGS LTD ........................... 966
23,785 COASTAL CORP ............................... 1,660
2,500 CONSOLIDATED EDISON CO OF N.Y., INC ........ 115
44,718 DOMINION RESOURCES, INC .................... 1,822
32,478 DTE ENERGY CO .............................. 1,311
6,403 DUKE ENERGY CORP ........................... 379
6,600 EDISON INTERNATIONAL CO .................... 195
8,900 EDPERBRASCAN CORP (CLASS A) ................ 149
6,000 ELECTRABEL NV .............................. 1,701
10,950 oELECTRABEL S.A. (STRIP VVPR) ............... 2
26,250 ELECTRICIDADE DE PORTUGAL S.A .............. 610
113,008 ENDESA S.A ................................. 2,477
6,287 ENERGIA E INDUSTRIAS ARAGONESAS S.A ........ 55
55,169 ENTERGY CORP ............................... 1,586
49,798 FIRSTENERGY CORP ........................... 1,531
14,600 GAS NATURAL SDG S.A ........................ 1,057
26,502 GPU, INC ................................... 1,002
378,900 HONG KONG & CHINA GAS CO LTD ............... 430
11,950 oHONG KONG & CHINA GAS CO LTD
WTS 03/30/99 .............................. 1
3,065 HYDER PLC .................................. 48
92,274 oIBERDROLA S.A .............................. 1,501
10,481 IPL ENERGY, INC ............................ 472
44,000 IWATANI & CO LTD ........................... 77
101,200 KANSAI ELECTRIC POWER CO, INC .............. 1,757
24,533 oMARKETSPAN CORP ............................ 734
32,495 NATIONAL GRID GROUP PLC .................... 219
85,238 NATIONAL POWER PLC ......................... 802
32,600 NOVA CORP .................................. 374
10,480 OGDEN CORP ................................. 290
201,000 OSAKA GAS CO LTD ........................... 516
1,900 OESTERREICHISCHE
ELEKTRIZITAETSWIRSCHAFTS AG ............... 227
66,542 PACIFICORP ................................. 1,506
51,157 PECO ENERGY CO ............................. 1,493
27,464 POTOMAC ELECTRIC POWER CO .................. 688
38,528 PP&L RESOURCES, INC ........................ 874
53,757 PUBLIC SERVICE ENTERPRISE GROUP, INC ....... 1,851
5,510 oRHEIN-WESTFALEN ELECTRIC AG. (STAMM) ....... 326
219,823 SCOTTISH POWER PLC ......................... 1,926
460,000 SHUN TAK ENTERPRISES CORP LTD .............. 45
672 SONAT, INC ................................. 26
7,151 SOUTHERN CO ................................ 198
130,000 SOUTHERN ELECTRIC PLC ...................... 1,176
32,341 TAYLOR WOODROW PLC ......................... 108
290,000 TENAGA NASIONAL BERHAD ..................... 350
56,839 TEXAS UTILITIES CO ......................... 2,366
73,361 THAMES WATER PLC ........................... 1,335
50,600 TOHOKU ELECTRIC POWER CO, INC .............. 746
131,987 TOKYO ELECTRIC POWER CO, INC ............... 2,587
12,700 TOKYO ELECTRON CO LTD ...................... 389
202,000 TOKYO GAS CO LTD ........................... 450
9,300 TRACTEBEL NV ............................... 1,362
600 oTRACTEBEL NV PUT WTS 11/15/99 .............. 0
22,452 TRANS CANADA PIPELINES LTD ................. 498
25,000 TRANSALTA CORP ............................. 399
1,918,700 oU.S.A. WASTE SERVICES, INC.................. 94,736
48,562 UNICOM CORP ................................ 1,703
29,400 UNION ELECTRICA FENOSA S.A ................. 379
68,664 UNITED UTILITIES PLC ....................... 998
55,150 VEBA AG .................................... 3,708
2,949 oVIAG AG .................................... 2,029
17,174 WASTE MANAGEMENT, INC ...................... 601
5,479 WESTCOAST ENERGY, INC ...................... 122
---------
153,936
---------
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT--9.78%
94,100 ABB AB SERIES B ............................ 1,310
313,205 oADC TELECOMMUNICATIONS, INC ................ 11,442
8,210 ADVANTEST CORP ............................. 441
379,380 ALCATEL ALSTHOM CIE GEN .................... 77,244
15,000 ALPS ELECTRIC CO LTD ....................... 178
424,000 oALSTOM ..................................... 13,956
403,900 oALTERA CORP ................................ 11,940
65,000 AMADA CO LTD ............................... 316
18,000 AMANO CORP ................................. 158
21,000 oAMERICAN POWER CONVERSION CORP ............. 630
26,485 AMP, INC ................................... 910
10,891 AMSTRAD PLC ................................ 8
1,020,600 oANALOG DEVICES, INC ........................ 25,068
6,000 ASAHI OPTICAL CO LTD ....................... 19
17,664 oASCEND COMMUNICATIONS, INC ................. 875
1,500 oBANG & OLUFSEN HOLDINGS AS (CLASS B) ....... 108
1,500 BARCO INDUSTRIES NV ........................ 419
127,036 BICC LTD ................................... 278
4,422 BOWTHORPE HOLDINGS PLC ..................... 39
8,000 BROTHERS INDUSTRIES LTD .................... 30
220,659 oCABLE & WIRELESS PLC ....................... 2,680
63,000 CASIO COMPUTER CO LTD ...................... 585
53,000 CITIZEN WATCH CO LTD ....................... 437
760,200 COOPER INDUSTRIES, INC ..................... 41,763
10,000 oCREATIVE TECHNOLOGY LTD .................... 121
30,719 ELECTROCOMPONENTS PLC ...................... 241
35,350 ELECTROLUX AB SERIES B ..................... 607
1,500 EMPRESA FABRIL DE MAQUINAS
ELECTRICAS ................................ 14
189,000 ERICSSON TELEFON (LM) AB SERIES B .......... 5,522
6,300 FISHER & PAYKEL INDUSTRIES LTD ............. 16
177,344 oFKI PLC .................................... 516
13,000 FUJIKURA LTD ............................... 58
17,000 FURUKAWA ELECTRIC CO LTD ................... 57
1,243,328 GENERAL ELECTRIC CO ........................ 113,143
308,581 oGENERAL ELECTRIC CO (U.K.) ................. 2,659
17,920 HARRIS CORP ................................ 801
3,000 HIROSE ELECTRIC CO LTD ..................... 146
353,000 HITACHI LTD ................................ 2,302
3,000 HOYA CORP .................................. 85
949,951 INTEL CORP ................................. 70,415
58,600 oJOHNSON ELECTRIC HOLDINGS LTD .............. 217
13,000 KANDENKO CO LTD ............................ 80
26,000 KYUNDENKO CO LTD ........................... 170
1,183 LEGRAND S.A ................................ 313
36,735 LEX SERVICE GROUP LTD ...................... 305
See notes to financial statements.
-41-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT--(CONTINUED)
874,000 LINEAR TECHNOLOGY CO ....................... $ 52,713
206,000 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ...... 3,310
1,281,551 oMICRON TECHNOLOGY, INC ..................... 31,798
269,000 oMITSUBISHI ELECTRIC CORP ................... 618
24,982 MOTOROLA, INC .............................. 1,313
30,000 MURATA MANUFACTURING CO LTD ................ 973
12,100 oNEWBRIDGE NETWORKS CORP .................... 289
27,000 NGK INSULATORS LTD ......................... 234
18,000 NIKON CORP ................................. 129
146,000 NIPPON ELECTRIC CORP ....................... 1,360
44,200 NOKIA AB SERIES K .......................... 3,255
26,800 oNOKIA OYJ SERIES A ......................... 1,971
51,900 NORTHERN TELECOMMUNICATIONS LTD ............ 2,943
9,600 OCE NV ..................................... 409
321,900 oOLIVETTI GROUP S.P.A. ...................... 479
14,000 OMRON CORP ................................. 214
7,430 OXFORD INSTRUMENTS GROUP PLC ............... 40
787,799 oPHILIPS ELECTRONICS NV ..................... 66,224
10,000 PIONEER ELECTRONIC CORP .................... 191
25,400 oRACAL ELECTRONICS PLC ...................... 143
1,077 RICOH CO LTD ............................... 11
12,000 ROHM CO .................................... 1,232
12,000 oSANRIO CO LTD .............................. 143
98,000 SANYO ELECTRIC CO LTD ...................... 297
85,000 SHARP CORP ................................. 688
52,640 SIEMENS AG ................................. 3,212
430,402 SONY CORP .................................. 37,058
66,000 SUMITOMO ELECTRIC INDUSTRIES CO ............ 667
32,000 TAKARA STANDARD CO ......................... 186
15,524 TEXAS INSTRUMENTS, INC ..................... 905
16,909 WHIRLPOOL CORP ............................. 1,162
22,000 YAMAHA CORP ................................ 214
47,000 YOKOGAWA ELECTRIC CORP ..................... 251
---------
603,254
---------
ENGINEERING AND MANAGEMENT
SERVICES--0.15%
1,000 ASTRA AB SERIES A FREE ..................... 20
161,532 ASTRA AB SERIES B FREE ..................... 3,221
20,000 EISAI CO LTD ............................... 272
2,182 oESSILOR INTERNATIONAL ...................... 923
9,000 KYOWA HAKKO KOGYO .......................... 36
40,000 oLION CORP .................................. 135
6,260 LOREAL S.A ................................. 3,482
9,800 oOYO CORP ................................... 132
86,000 SHIONOGI & CO LTD .......................... 496
27,700 SHISEIDO & CO LTD .......................... 315
3,000 TOYO ENGINEERING CO ........................ 4
13,100 UNI CHARM CORP ............................. 485
---------
9,521
---------
FABRICATED METAL PRODUCTS--0.23%
1,673 oCOLEP-COMPANHIA PORTUGUESA
DE EMBALAGE ............................... 22
700 CROWN CORK & SEAL CO, INC .................. 33
142,180 GILLETTE CO ................................ 8,060
42,885 ILLINOIS TOOL WORKS, INC ................... 2,860
81,620 MAGNETI MARELLI ............................ 179
3,900 MASCO CORP ................................. 236
24,744 PARKER-HANNIFIN CORP ....................... 943
23,668 ROCKWELL INTERNATIONAL CORP ................ 1,138
3,000 SMC CORP ................................... 228
6,907 SNAP-ON, INC ............................... 250
8,500 UNITED DOMINION INDUSTRIES LTD ............. 280
---------
14,229
---------
FOOD AND KINDRED PRODUCTS--0.99%
5 oAGRIBRANDS INTERNATIONAL, INC .............. 0
67,000 AJINOMOTO CO LTD ........................... 587
2,250 ALLIED DOMECQ PLC .......................... 21
52,222 ANHEUSER BUSCH COS, INC .................... 2,464
93,354 ARCHER DANIELS MIDLAND CO .................. 1,809
32,000 ASAHI BREWERIES LTD ........................ 403
145,333 oASIA FOOD & PROPERTIES LTD ................. 20
10,900 oASIA FOOD & PROPERTIES LTD WTS 07/12/02 .... 1
10,014 ASSOCIATED BRITISH FOODS PLC ............... 94
91,926 BASS PLC ................................... 1,722
384 oBRAU UND BRUNNEN AG ........................ 50
131,093 CADBURY SCHWEPPES LTD ...................... 2,029
13,454 CAMPBELL SOUP CO ........................... 715
4,900 oCARLSBERG BREWERIES AS (CLASS A) ........... 356
88,194 COCA COLA AMATIL LTD ....................... 590
42,764 COCA COLA CO ............................... 3,656
101,200 CONAGRA, INC ............................... 3,207
5,300 oDANISCO AS ................................. 356
8,700 DANONE GROUP ............................... 2,399
14,000 DCC PLC .................................... 125
362,674 DIAGEO PLC (CLASS A) ....................... 4,296
4,937 oERIDANIA BEGHIN-SAY S.A. ................... 1,090
500 EZAKI GLICO CO LTD ......................... 3
194,300 FOSTERS BREWING GROUP LTD .................. 457
14,000 FRASER & NEAVE LTD ......................... 38
35,282 GENERAL MILLS, INC ......................... 2,412
1,000 GLAVERBEL S.A. ............................. 143
79,237 GOODMAN FIELDER LTD ........................ 115
32,350 HEINEKEN NV ................................ 1,271
4,865 HEINZ (H.J.) CO ............................ 273
204 HOLSTEN BRAUEREI AG. ....................... 47
5,000 HOUSE FOODS CORP ........................... 64
73,000 oIOI CORP ................................... 36
16,000 ITOHAM FOODS, INC .......................... 69
147,000 oKIRIN BREWERY CO LTD ....................... 1,387
99,100 LION NATHAN LTD ............................ 220
7,946 LVMH MOET HENNESSY LOUIS VUITTON ........... 1,590
89,000 MEIJI SEIKA KAISHA LTD ..................... 271
12,300 MOLSON CO LTD (CLASS A) .................... 224
626,450 MONTEDISON S.P.A ........................... 778
26,000 NESTLE MALAYSIA BERHAD ..................... 118
3,907 NESTLE S.A. REGD ........................... 8,361
101,000 NICHIREI CORP .............................. 207
41,000 NIPPON MEAT PACKERS, INC ................... 502
93,000 oNIPPON SUISAN KAISHA LTD ................... 107
6,000 NISSIN FOOD PRODUCTS CO LTD ................ 107
12,000 ORKLA AS SERIES A .......................... 279
1,200 OSTERREICHISCHE
BRAU-AKTIENGESELLSCHAF .................... 71
184,900 oPARMALAT FINANZIARIA S.P.A. ................ 377
90 PEPSICO, INC ............................... 4
73,000 PERLIS PLANTATIONS BERHAD .................. 63
625 PPB OIL PALMS BERHAD ....................... 0
21,000 PRIMA LTD .................................. 32
38,000 oQ.P. CORP .................................. 248
56 RALSTON PURINA CO .......................... 7
20,850 SAPPORO BREWERIES LTD ...................... 80
17,830 SARA LEE CORP .............................. 997
75,479 SCOTTISH & NEWCASTLE PLC ................... 1,068
29,100 SEAGRAMS CO LTD ............................ 1,186
43,000 SNOW BRAND MILK PRODUCTS CO ................ 130
See notes to financial statements.
-42-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
FOOD AND KINDRED PRODUCTS--(CONTINUED)
117,560 SOUTHCORP LTD .............................. $ 341
3,900 TATE & LYLE PLC ............................ 31
36,600 TOYO SEIKAN KAISHA LTD ..................... 448
29,000 UBE INDUSTRIES LTD ......................... 38
2,800 UNICER-UNIAO CERVEIJEIRA S.A ............... 62
50,560 UNIGATE PLC ................................ 560
403,614 UNILEVER LTD ............................... 4,296
64,501 UNILEVER NV CERT ........................... 5,118
5,089 UNITED BISCUITS HOLDINGS PLC ............... 20
4,800 VISCOFAN S.A. .............................. 224
2,100 oVLASIC FOODS INTERNATIONAL, INC ............ 42
18,200 WESTON (GEORGE) LTD ........................ 644
7,000 oYAMAZAKI BAKING CO LTD ..................... 62
----------
61,218
----------
FOOD STORES--0.15%
28,059 ALBERTSONS, INC ............................ 1,454
54,250 AMERICAN STORES CO ......................... 1,312
4,200 CULTOR OY SERIES 2 ......................... 67
826 DAIRY FARM INTERNATIONAL HOLDINGS LTD ...... 1
8,700 oEL AGUILA S.A. ............................. 81
5,950 JERONIMO MARTINS SGPS S.A .................. 286
25,071 oKROGER CO .................................. 1,075
291,736 SAINSBURY (J) PLC .......................... 2,599
3,800 SONAE INVESTIMENTOS-SGPS S.A. .............. 208
197,463 TESCO PLC .................................. 1,927
----------
9,010
----------
FORESTRY--0.00%
2,100 CORTICEIRA AMORIM S.A. ..................... 40
207,060 FLETCHER CHALLENGE LTD (FORESTS DIVISION) .. 116
73,000 HIGHLANDS & LOWLANDS BERHAD ................ 52
10,000 KUALA LUMPUR KEPONG BERHAD ................. 16
----------
224
----------
FURNITURE AND HOMEFURNISHING
STORES--0.03%
56,900 AUSTRALIA GAS LIGHT CO ..................... 356
22,952 TANDY CORP ................................. 1,218
----------
1,574
----------
GENERAL BUILDING CONTRACTORS--0.13%
800 AMEC PLC ................................... 2
82,000 oAOKI CONSTRUCTION CO LTD ................... 40
35,510 BARRATT DEVELOPMENTS LTD ................... 157
16,061 BLUE CIRCLE INDUSTRIES PLC ................. 91
11,200 oBPB PLC .................................... 68
13,677 CENTEX CORP ................................ 516
48,000 DAIWA HOUSE INDUSTRY CO LTD ................ 424
91,000 oEKRAN BERHAD ............................... 10
50,000 FLETCHER CHALLENGE LTD (BUILDING DIVISION) . 62
4,800 FOMENTO CONSTRUCCIONES Y
CONTRATAS S.A ............................. 248
148,000 FUJITA CORP ................................ 81
81,000 oHAZAMA-GUMI LTD ............................ 47
69,500 HEPWORTH PLC ............................... 250
4,753 HOLLANDSCHE BETON GROEP NV ................. 99
21,000 INAX CORP .................................. 72
17,000 JAMES HARDIE INDUSTRIES LTD ................ 47
107,000 KAJIMA CORP ................................ 293
86,700 MARLEY PLC ................................. 158
40,000 NIHON CEMENT CO LTD ........................ 80
7,000 NISHIMATSU CONSTRUCTION CO LTD ............. 34
60,000 OBAYASHI CORP .............................. 254
35,000 OKUMURA CORP ............................... 123
12,590 oPILKINGTON PLC ............................. 23
8,200 PULTE CORP ................................. 245
49,498 RMC GROUP PLC .............................. 858
10,900 SKANSKA AB SERIES B FREE ................... 489
9,187 ST. GOBAIN S.A. ............................ 1,703
182,000 TAISEI CORP ................................ 393
261,419 TARMAC PLC ................................. 467
4,700 TOTO LTD ................................... 29
60,000 #oUNITED ENGINEERING BERHAD .................. 24
89,097 WILLIAMS PLC ............................... 572
56,571 WILSON (CONNOLLY) HOLDINGS PLC ............. 129
6,043 WOLSELEY PLC ............................... 35
16,500 YTL CORP BERHAD ............................ 12
----------
8,135
----------
GENERAL MERCHANDISE STORES--0.71%
76,800 BOOTS CO LTD ............................... 1,272
3,839 CARREFOUR SUPERMARCHE S.A. ................. 2,429
117,509 COLES MYER LTD ............................. 458
438 oCOLRUYT S.A. ............................... 344
11 COMPTOIRS MODERNES ......................... 6
20,000 DAIEI, INC ................................. 47
57,000 DAIMARU, INC ............................... 149
33,000 DAVID JONES LTD ............................ 38
7,201 DAYTON HUDSON CORP ......................... 349
6,400 DELHAIZE FRERES NV ......................... 447
206,000 oGIORDANO INTERNATIONAL LTD ................. 42
145,609 GREAT UNIVERSAL STORES PLC ................. 1,919
20,600 HENNES & MAURITZ AB SERIES B ............... 1,315
1,600 HUDSONS BAY CO ............................. 37
3,200 INSTRUMENTARIUM GROUP SERIES B FREE ........ 204
9,000 ISETAN CO .................................. 75
38,000 ITO-YOKADO CO LTD .......................... 1,788
230 JELMOLI HOLDINGS AG. (BR) .................. 292
32,000 JUSCO CO LTD ............................... 587
39,463 oK MART CORP ................................ 760
50 oKARSTADT AG ................................ 24
122,292 KINGFISHER PLC ............................. 1,969
220,036 MARKS & SPENCER PLC ........................ 2,003
56,000 MARUI CO LTD ............................... 835
49,048 MAY DEPARTMENT STORES CO ................... 3,213
22,500 oMETRO AG ................................... 1,359
32,000 oMETRO HOLDINGS LTD ......................... 19
67,200 MYCAL CORP ................................. 426
20,642 NEXT PLC ................................... 177
48,399 PENNEY (J.C.) CO, INC ...................... 3,500
2,820 oPINAULT-PRINTEMPS-REDOUTE S.A .............. 2,360
2,811 PROMODES S.A. .............................. 1,558
35,320 RINASCENTE S.P.A. .......................... 352
9,543 SEARS PLC .................................. 8
44,000 SEIYU LTD .................................. 92
3,800 STOCKMANN B FREE ........................... 89
25,000 TAKASHIMAYA CO LTD ......................... 188
40,000 UNY CO LTD ................................. 648
28,806 oVENATOR GROUP, INC ......................... 551
191,209 WAL-MART STORES, INC ....................... 11,616
109,639 WATERFORD WEDGWOOD PLC (UNITS) ............. 142
----------
43,687
----------
HEALTH SERVICES--0.10%
102,700 COLUMBIA/HCA HEALTHCARE CORP ............... 2,991
3,300 oEXTENDICARE, INC (CLASS A) ................. 27
54,200 oHEALTHSOUTH CORP ........................... 1,446
See notes to financial statements.
-43-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
HEALTH SERVICES--(CONTINUED)
14,759 MANOR CARE, INC ............................ $ 567
87 oQUEST DIAGNOSTICS, INC ..................... 2
14,100 UNITED HEALTHCARE CORP ..................... 895
---------
5,928
---------
HEAVY CONSTRUCTION, EXCEPT
BUILDING--0.08%
23,600 oAUTOPISTAS CONCESIONARIA
ESPANOLA RTS .............................. 18
23,600 AUTOPISTAS CONCESIONARIA
ESPANOLA S.A. ............................. 366
1,190 oBILFINGER & BERGER AG ...................... 41
105,000 BORAL LTD .................................. 197
1,108 oBOUYGUES S.A. .............................. 201
5,700 BRISA-AUTO ESTRADAS DE PORTUGAL S.A. ....... 244
155,000 CHICHIBU ONODA CEMENT CORP ................. 280
4,700 DRAGADOS Y CONSTRUCCIONES S.A. ............. 151
2,100 ENGIL-SGPS ................................. 24
1,000 FLUOR CORP ................................. 51
49,000 oGOLDEN PLUS HOLDINGS BERHAD ................ 9
268 GROUPE GTM ................................. 28
80,000 oIMPREGILO S.P.A. ........................... 71
39,000 JGC CONSTRUCTION CORP ...................... 95
42,000 KINDEN CORP ................................ 508
202,000 oKUMAGAI GUMI CO LTD ........................ 146
14,000 KUMAGAI GUMI CO LTD (HONG KONG) ............ 6
2,800 #oKUMAGAI GUMI CO LTD WTS 12/31/99 ........... 0
17,000 MAEDA ROAD CONSTRUCTION CO LTD ............. 91
165,300 PIONEER INTERNATIONAL LTD .................. 394
50,000 SATO KOGYO ................................. 41
19,785 oSCHNEIDER S.A. ............................. 1,578
49,000 SHIMIZU CORP ............................... 141
1,700 oSOCIEDADE DE CONSTRUCOES SOARES DA COS ..... 14
2,100 SOMAGUE-SGPS S.A ........................... 20
411 #oSOMAGUE-SGPS S.A. BABY SHS ................. 4
132,000 oTIME ENGINEERING BERHAD .................... 18
---------
4,737
---------
HOLDING AND OTHER INVESTMENT
OFFICES--2.04%
2,350 oAACHENER & MUNCHENER BETEIL (BR) ........... 275
600 AACHENER & MUNCHENER BETEIL (REGD) ......... 70
1,600 BOHLER-UDDEHOLM AG. (BR) ................... 106
497,200 BRIERLEY INVESTMENTS LTD ................... 248
8,712,400 COMPASS GROUP PLC .......................... 100,375
25,593 CREDIT SUISSE GROUP (REGD) ................. 5,695
69,000 DBS LAND LTD ............................... 57
7,300 DOUGLAS HOLDINGS AG. ....................... 389
526 EA-GENERALI AG. ............................ 154
3,778 EQUITY OFFICE PROPERTIES TR ................ 107
261 oEURAFRANCE S.A ............................. 164
48,851 GENERAL PROPERTY TR ........................ 79
57,799 HANSON PLC ................................. 351
337,000 HUTCHINSON WHAMPOA LTD ..................... 1,779
33,000 INCHAPE MOTORS ............................. 23
70,000 KAO CORP ................................... 1,079
16,600 oKBC BANCASSURANCE HOLDINGS NV .............. 1,486
13,500 KESCO OYJ .................................. 213
26,249 LAND SECURITIES PLC ........................ 406
29,000 LEND LEASE CORP LTD ........................ 586
161,000 MALAYSIAN MOSAICS BERHAD ................... 34
37,100 MELCO INTERNATIONAL DEVELOPMENT LTD ........ 3
3,600 MEPC PLC ................................... 32
144,000 MITSUBISHI ESTATE CO LTD ................... 1,266
7,410 oMUENCHENER RUECKVER AG. (REGD) ............. 3,678
256,000 oMULTI-PURPOSE HOLDINGS BERHAD .............. 64
57,000 ORIENT CORP ................................ 124
26,600 oORIENTAL HOLDINGS .......................... 44
12,236 PERNOD-RICARD S.A. ......................... 848
6,000 POWER CORP OF CANADA ....................... 282
41,987 PROVIDENT FINANCIAL PLC .................... 659
1,800 ROYALE BELGE VIE ACCIDENTS ................. 684
60,100 SANKYO CO LTD .............................. 1,368
99 SIMCO (REGD) ............................... 8
23,847 SIMON DEBARTOLO GROUP, INC ................. 775
580,000 SINO LAND CO ............................... 202
15,603 STARWOOD HOTELS & RESORTS TR ............... 754
107,000 STOCKLAND TR GROUP (UNITS) ................. 245
310 TOHO CO LTD ................................ 33
6,973 WOLTERS KLUWER NV .......................... 957
---------
125,702
---------
HOTELS AND OTHER LODGING
PLACES--1.16%
78,000 BERJAYA LAND BERHAD ........................ 43
3,271,881 oCENDANT CORP ............................... 68,301
102,700 oCROWN LTD .................................. 31
8,000 GENTING BERHAD ............................. 14
19,200 oHOST MARRIOTT CORP ......................... 342
8,000 oJURYS HOTEL GROUP PLC ...................... 69
122,000 oLANDMARKS HOLDINGS BERHAD .................. 15
37,700 MARRIOTT INTERNATIONAL (CLASS A) ........... 1,221
19,768 oPROMUS HOTEL CORP .......................... 761
123,590 RANK GROUP PLC ............................. 678
69,000 RESORTS WORLD BERHAD ....................... 76
13,000 SHANGRI-LA HOTEL LTD ....................... 16
---------
71,567
---------
INDUSTRIAL MACHINERY AND
EQUIPMENT--3.34%
850 ABB ASEA BROWN BOVERI LTD (BR) ............. 1,255
442,800 oAPPLIED MATERIALS, INC ..................... 13,063
18,200 ATLAS COPCO AB SERIES B FREE ............... 496
56,300 oBBA GROUP PLC .............................. 425
300 BEKAERT S.A. ............................... 249
33 BLACK & DECKER CORP ........................ 2
26,200 BOMBARDIER, INC (CLASS B) .................. 713
11,160 BRUNSWICK CORP ............................. 276
34,586 CATERPILLAR, INC ........................... 1,829
30,000 oCHIYODA CORP ............................... 37
8,852 CINCINNATI MILACRON, INC ................... 215
770,350 oCISCO SYSTEMS, INC ......................... 70,920
6,200 COBHAM GROUP PLC ........................... 109
24,220 CONTINENTAL AG ............................. 761
41 CUMMINS ENGINE CO, INC ..................... 2
4,000 oDANIELI & CO ............................... 34
42,300 DEERE & CO ................................. 2,237
18,360 DELTA PLC .................................. 67
7,200 oDEUTZ AG ................................... 85
15,982 EATON CORP ................................. 1,243
2,000 EBARA CORP ................................. 18
68,751 oEMC CORP ................................... 3,081
7,900 oEST ASIATIQUE .............................. 58
32,200 FANUC LTD .................................. 1,114
16 FISCHER (GEORGE) LTD (REGD) ................ 6
4,000 FLS INDUSTRIES AS (CLASS B) ................ 102
176,000 FUJITSU LTD ................................ 1,851
10,109 GENERAL SIGNAL CORP ........................ 364
See notes to financial statements.
-44-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
INDUSTRIAL MACHINERY AND
EQUIPMENT--3.34%
27,780 GKN PLC .................................... $ 354
20 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC ........ 0
72,464 HEWLETT-PACKARD CO ......................... 4,339
6,000 HITACHI ZOSEN CORP ......................... 10
653 oINDUSTRIE-WERKE KARLSRUHE
AUGSBURG AG ................................ 153
32,314 INGERSOLL-RAND CO .......................... 1,424
107,980 INTERNATIONAL BUSINESS MACHINES CORP ....... 12,397
65,000 oJAPAN STEEL WORKS LTD ...................... 80
53,500 KEPPEL CORP ................................ 80
202,220 KEYENCE CORP ............................... 22,001
115,000 KOMATSU LTD ................................ 558
1,700 KONE CORP SERIES B ......................... 239
54,000 KOYO SEIKO CO LTD .......................... 202
141,000 KUBOTA CORP ................................ 325
2,500 KVAERNER INDUSTRIER AS SERIES A ............ 85
18,500 KYOCERA CORP ............................... 904
820 LINDE AG. .................................. 563
10,702 oLITTON INDUSTRIES, INC ..................... 631
15,000 MAKINO MILLING MACHINE CO LTD .............. 106
12,000 MINEBEA CO LTD ............................. 119
428,000 MITSUBISHI HEAVY INDUSTRIES LTD ............ 1,616
18,000 MORI SEIKI CO LTD .......................... 220
38,000 oNIIGATA ENGINEERING CO LTD ................. 25
102,000 NSK LTD .................................... 415
41,000 NTN TOYO BEARING CO LTD .................... 129
6,000 OKUMA CORP ................................. 27
1,013 RAUMA OY ................................... 21
19,000 SANDVIK AB SERIES A ........................ 525
7,100 SANDVIK AB SERIES B FREE ................... 195
220 SCHINDLER HOLDINGS LTD (REGD) .............. 341
4,574 STORK NV ................................... 146
120 SULZER WINTERTHUR AG. (REGD) ............... 95
13,600 SVENSKA KULLAGERFABRIKEN AB SERIES B ....... 247
7,000 TAIYO YUDEN CO LTD ......................... 74
1,000 TAKUMA CO LTD .............................. 7
93,000 oTECHNOLOGY RESOURCES INDUSTRIES BERHAD ..... 64
88,900 TI GROUP PLC ............................... 675
4,000 TOMRA SYSTEMS AS ........................... 120
9,000 TOYO EXTERIOR CORP ......................... 89
15,100 TOYODA AUTOMATIC LOOM WORKS LTD ............ 267
13,900 TRELLEBORG AB SERIES B FREE ................ 183
5,000 oTSUGAMI CORP ............................... 6
1,942,050 oUNISYS CORP ................................ 54,863
1,400 VA TECHNOLOGIE AG. (BR) .................... 174
36,000 oVAN DER HORST LTD .......................... 6
10,033 ZARDOYA OTIS S.A ........................... 299
---------
206,011
---------
INSTRUMENTS AND RELATED
PRODUCTS--2.32%
305,333 oADAC LABORATORIES, INC ..................... 6,870
20,541 BAXTER INTERNATIONAL, INC .................. 1,105
1,227 BECTON DICKINSON & CO ...................... 95
86,000 CANON, INC ................................. 1,952
56,176 EASTMAN KODAK CO ........................... 4,104
688,000 FUJI PHOTO FILM CO LTD ..................... 23,943
24,150 IMI PLC .................................... 150
3,000 JOHNSON CONTROLS, INC ...................... 172
250,300 oKLA-TENCOR CORP ............................ 6,930
16,374 MALLINCKRODT, INC .......................... 486
39,000 OLYMPUS OPTICAL CO LTD ..................... 339
1,000 oRADIOMETER AS (CLASS B) .................... 40
1,888,600 oSIEBE PLC .................................. 37,719
11,611 TEKTRONIX, INC ............................. 411
581,727 XEROX CORP ................................. 59,118
---------
143,434
---------
INSURANCE AGENTS, BROKERS AND
SERVICE--0.08%
102,964 oASSICURAZIONI GENERALI S.P.A ............... 3,351
1,600 oFAIRFAX FINANCIAL HOLDINGS LTD ............. 625
832 oFORTIS AG. NPV (STRIP VVPR) ................ 0
89,476 GIO AUSTRALIAN HOLDINGS LTD ................ 230
172,000 SEDGWICK GROUP LTD ......................... 367
128,097 WILLIS CORROON GROUP PLC ................... 326
---------
4,899
---------
INSURANCE CARRIERS--5.07%
1,441,200 ACE LTD .................................... 56,207
770,200 AEGON NV ................................... 67,017
22 AEGON NV ARS ............................... 2
43 AETNA, INC ................................. 3
25,000 AFLAC, INC ................................. 758
27 oALLEANZA ASSICURAZIONI (S/S) NON CV ........ 0
649 oALLIANZ AG. NEW ............................ 214
25,090 oALLIANZ AG. (REGD) ......................... 8,361
61,440 ALLSTATE CORP .............................. 5,626
751,099 AMERICAN INTERNATIONAL GROUP, INC .......... 109,660
4,201 ASR VERZEKERINGSGROEP NV ................... 356
87,654 CGU PLC .................................... 1,635
47,342 CIGNA CORP ................................. 3,267
2,700 COMPANHIA DE SEGUROS
TRANQUILIDADE ............................. 73
4,400 CORPORACION MAPFRE S.A. .................... 155
17,063 oGUARDIAN ROYAL EXCHANGE PLC ................ 100
26,384 HARTFORD FINANCIAL SERVICES GROUP, INC ..... 3,018
93,882 ING GROEP NV ............................... 6,147
420,400 oINSTITUTO NAZIONALE DELLE ASSICURAZION ..... 1,195
42,100 IRISH LIFE ................................. 388
24,392 JEFFERSON-PILOT CORP ....................... 1,413
93,635 LEGAL & GENERAL GROUP PLC .................. 999
177,062 LIFE RE CORP ............................... 14,674
18,000 MITSUI TAISHO MARINE & FIRE CO LTD ......... 90
28,000 NICHIDO FIRE & MARINE INSURANCE CO LTD ..... 146
79,000 NIPPON FIRE & MARINE INSURANCE CO LTD ...... 323
14,100 oOXFORD HEALTH PLANS, INC ................... 216
2,000 oPACIFICARE HEALTH SYSTEMS, INC (CLASS A) ... 169
4,000 oPACIFICARE HEALTH SYSTEMS, INC (CLASS B) ... 354
6,300 POHJOLA INSURANCE CO LTD SERIES B .......... 313
260,455 PRUDENTIAL CORP PLC ........................ 3,431
1,482 QBE INSURANCE GROUP LTD .................... 5
62,000 RAS S.P.A .................................. 808
167,640 oROYAL & SUN ALLIANCE INSURANCE GROUP PLC ... 1,733
7,600 SAFECO CORP ................................ 345
19,400 oSAI S.P.A. ................................. 248
20,500 SAMPO INSURANCE CO SERIES A ................ 971
1,543 oSCHWEIZERISCHE RUCKVERSICHERUNG (REGD) ..... 3,902
37,165 ST. PAUL COS, INC .......................... 1,563
See notes to financial statements.
-45-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
INSURANCE CARRIERS--(CONTINUED)
20,600 UNI-STOREBRAND AS SERIES A ................. $ 183
92,972 SUMITOMO MARINE & FIRE INSURANCE CO ........ 520
13,337 SUNAMERICA, INC ............................ 766
161,000 TOKIO MARINE & FIRE INSURANCE CO LTD ....... 1,654
27,110 TORCHMARK CORP ............................. 1,240
14,091 TRANSAMERICA CORP .......................... 1,622
124,685 TRAVELERS GROUP, INC ....................... 7,559
5,023 ZURICH INSURANCE CO (REGD) ................. 3,206
---------
312,635
---------
LOCAL AND INTERURBAN PASSENGER
TRANSIT--0.06%
466 EAST JAPAN RAILWAY CO ...................... 2,189
46,786 LAIDLAW, INC ............................... 565
90,990 NANKAI ELECTRIC RAILWAY CO ................. 393
1,770 oNEW WORLD INFRASTUCTURE LTD ................ 2
5,900 STAGECOACH HOLDINGS PLC .................... 126
23,008 VIAD CORP .................................. 638
---------
3,913
---------
LUMBER AND WOOD PRODUCTS--0.07%
61,000 oAMCOR LTD .................................. 267
301,300 CARTER HOLT HARVEY LTD ..................... 263
16,800 CARTIERE BURGO S.P.A. ...................... 135
26,647 CLAYTON HOMES, INC ......................... 506
10,359 GEORGIA-PACIFIC CORP
(PACKAGING GROUP) ......................... 611
20,622 GEORGIA-PACIFIC CORP
(TIMBER GROUP) ............................ 476
18,000 oJAYA TIASA HOLDINGS BERHAD ................. 22
118,929 JEFFERSON SMURFIT GROUP PLC ................ 353
24,582 LOUISIANA PACIFIC CORP ..................... 449
2,400 NORSKE SKOGINDUSTRIER SERIES A ............. 74
19,000 SCA AB SERIES B ............................ 492
9,600 STORA KOPPARBERG BERGSLAGS SERIES A FREE ... 151
22,400 STORA KOPPARBERG BERGSLAGS SERIES B FREE ... 354
3,665 WEYERHAEUSER CO ............................ 169
---------
4,322
---------
METAL MINING--1.05%
25,500 ABERFOYLE LTD .............................. 40
620 oALUSUISSE LONZA HOLDINGS AG. (REGD) ........ 786
61,100 ASHTON MINING LTD .......................... 32
45,800 BARRICK GOLD CORP .......................... 879
10,200 CAMECO CORP ................................ 284
65,000 DELTA GOLD NL .............................. 80
22,800 oECHO BAY MINES LTD ......................... 49
7,000 ELKEM AS ................................... 84
1,927,800 EUOR-NEVADA MINING CORP .................... 26,283
1,512,800 FRANCO-NEVADA MINING CORP LTD .............. 29,987
4,500 FREEPORT-MCMORAN COPPER & GOLD, INC
(CLASS A) ................................. 64
34,809 FREEPORT-MCMORAN COPPER & GOLD, INC
(CLASS B) ................................. 529
71,717 GREAT CENTRAL MINES LTD .................... 68
5,381 INCO LTD CO ................................ 73
5,700 INCO LTD CO (U.S.) ......................... 78
62,512 JOHNSON MATTHEY PLC ........................ 562
19,025 MIM HOLDINGS LTD ........................... 9
195,000 MITSUBISHI MATERIALS CORP .................. 398
102,000 MITSUI MINING & SMELTING CO LTD ............ 423
1,146 oMORRISON KNUDSEN CORP WTS 03/11/03 ......... 7
15,838 NEWMONT MINING CORP ........................ 374
169,000 NIPPON LIGHT METAL CO LTD .................. 195
21,200 NORANDA, INC ............................... 366
95,000 NORMANDY MINING LTD ........................ 78
51,924 NORTH LTD .................................. 107
17,900 OUTOKUMPU OY SERIES A ...................... 228
17,500 PLACER DOME, INC ........................... 203
195,948 QCT RESOURCES LTD .......................... 130
37,400 oRGC LTD .................................... 37
31,900 RIO TINTO LTD .............................. 379
36,050 RIO TINTO PLC (BR) ......................... 424
79,890 RIO TINTO PLC (REGD) ....................... 900
6,300 SMITH (HOWARD) LTD ......................... 37
28,639 SONS OF GWALIA LTD ......................... 71
58,300 STRAITS TRADING CO ......................... 34
10,000 SUMITOMO METAL MINING CO LTD ............... 41
9,800 TECK CORP LTD (CLASS B) .................... 107
3,200 UNION MINIERE GROUP S.A .................... 198
121,000 WMC LTD .................................... 364
---------
64,988
---------
MISCELLANEOUS MANUFACTURING
INDUSTRIES--5.12%
3,000 oAMER GROUP LTD PLC SERIES A ................ 58
9,273 ARMSTRONG WORLD INDUSTRIES, INC ............ 625
1,538 BIC S.A. ................................... 109
37,300 BULGARI S.P.A. ............................. 196
10,200 CCL INDUSTRIES, INC (CLASS B) .............. 130
25,800 INTERNATIONAL GAME TECHNOLOGY CO ........... 626
30,080 MINNESOTA MINING & MANUFACTURING CO ........ 2,472
23,000 OKAMATO INDUSTRIES, INC .................... 51
1,900 RHI AG. .................................... 92
4,000 SEIKO CORP ................................. 18
4,946,960 TYCO INTERNATIONAL LTD ..................... 311,658
26,000 VARITRONIX INTERNATIONAL LTD ............... 52
---------
316,087
---------
MISCELLANEOUS RETAIL--0.12%
67,910 SEARS ROEBUCK & CO ......................... 4,147
61,950 oSTAPLES, INC ............................... 1,793
47,159 oTOYS R US, INC ............................. 1,111
5,168 WALGREEN CO ................................ 214
---------
7,265
---------
MOTION PICTURES--0.13%
73,366 DISNEY (WALT) CO ........................... 7,708
33,000 TOEI CO .................................... 104
---------
7,812
---------
NONDEPOSITORY INSTITUTIONS--0.94%
23,000 ACOM CO LTD ................................ 1,092
55,400 AMERICAN EXPRESS CO ........................ 6,316
16,000 oAMMB HOLDINGS BERHAD ....................... 8
2,492 COUNTRYWIDE CREDIT INDUSTRIES, INC ......... 126
96,781 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ............................... 5,879
86,164 FIRST UNION CORP ........................... 5,019
117,200 oHALIFAX PLC ................................ 1,521
9,936 HOUSEHOLD INTERNATIONAL, INC ............... 494
16,000 oIRISH PERMANENT PLC ........................ 190
57,700 oMEDIOBANCA S.P.A ........................... 733
148,700 SHOKOH FUND & CO ........................... 36,534
---------
57,912
---------
See notes to financial statements.
-46-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
NONMETALLIC MINERALS,
EXCEPT FUELS--0.02%
7,100 POTASH CORP OF SASKATCHEWAN, INC ........... $ 535
4,700 VULCAN MATERIALS CO ........................ 501
---------
1,036
---------
OIL AND GAS EXTRACTION--6.55%
1,300,100 AKER MARTIME ASA ........................... 22,873
5,200 ALBERTA ENERGY LTD ......................... 122
138,504 AMOCO CORP ................................. 5,765
21,600 oANDERSON EXPLORATION LTD ................... 250
534,000 APACHE CORP ................................ 16,821
7,275,000 BRITISH-BORNEO PETROLEUM
SYNDICATE PLC ............................. 36,233
100 oCANADIAN NATURAL RESOURCES LTD ............. 2
16,326 CANADIAN OCCIDENTAL PETROLEUM LTD .......... 349
231,541 oCENTRICA PLC ............................... 390
19,182 COLUMBIA ENERGY GROUP ...................... 1,067
12,512 CONSOLIDATED NATURAL GAS CO ................ 737
743,500 DIAMOND OFFSHORE DRILLING, INC ............. 29,740
957,397 EXXON CORP ................................. 68,274
60,200 FLETCHER CHALLENGE LTD (ENERGY DIVISION) ... 144
5,476 oGLOBAL MARINE, INC ......................... 102
40,700 HALLIBURTON CO ............................. 1,814
10,889 HELMERICH & PAYNE, INC ..................... 242
2,354,850 +IHC CALAND NV .............................. 132,549
42,200 IMPERIAL OIL LTD ........................... 737
4,775 KONINKLIJKE PAKHOED HOLDINGS NV ............ 155
223,096 MOBIL CORP ................................. 17,095
1,600 OCCIDENTAL PETROLEUM CORP .................. 43
1,800 OMV AKTIENGESELLS AG. ...................... 241
2,700 PETROFINA S.A. ............................. 1,108
1,981,900 oPETROLEUM GEO-SERVICES AS .................. 61,729
34,700 oPOCO PETROLEUM LTD ......................... 340
28,700 oRANGER OIL LTD ............................. 206
3,000 SMEDVIG AS SERIES A ........................ 36
4,800 oTALISMAN ENERGY, INC ....................... 137
4,355 TECHNIP S.A. ............................... 532
26,440 TOTAL S.A. ................................. 3,437
40,000 oTULLOW OIL PLC ............................. 73
12,269 oWESTERN ATLAS, INC ......................... 1,041
---------
404,384
---------
PAPER AND ALLIED PRODUCTS--0.20%
9,400 ABITIBI CONSOLIDATED, INC .................. 121
211,769 ARJO WIGGINS APPLETON PLC .................. 717
14,000 AVENOR, INC ................................ 327
145,000 BERJAYA GROUP BERHAD ....................... 18
12,616 BOISE CASCADE CORP ......................... 413
1,305 CHAMPION INTERNATIONAL CORP ................ 64
7,000 oCLONDALKIN GROUP PLC ....................... 59
16,600 DOMTAR, INC ................................ 111
103,900 FLETCHER CHALLENGE LTD (PAPER DIVISION) .... 115
49,340 FORT JAMES CORP ............................ 2,196
2,700 INVESTIMENTOS PARTICIPACOES E GESTAO ....... 35
94,693 KIMBERLY-CLARK CORP ........................ 4,344
12,200 KONINKLIJKE KNP BT NV ...................... 315
39,000 MALAYSIAN PACIFIC INDUSTRIES BERHAD ........ 46
1,600 MAYR-MELNHOF KARTON AG ..................... 105
23,309 MEAD CORP .................................. 740
9,947 MEYER INTERNATIONAL PLC .................... 59
62,000 MITSUBISHI PAPER MILLS LTD ................. 121
55,000 NIPPON PAPER INDUSTRIES CO ................. 229
120,666 OJI PAPER CO LTD ........................... 525
12,544 PORTUCEL INDUSTRIA EMPRESA ................. 100
55,600 oREPAP ENTERPRISES, INC ..................... 9
6,726 REXAM PLC .................................. 29
16,800 oSARRIO CIA PAPELERA DE LEIZA S.A ........... 79
34,400 UPM-KYMMENE OY ............................. 947
22,710 WESTVACO CORP .............................. 642
---------
12,466
---------
PERSONAL SERVICES--0.02%
23,472 BLOCK (H&R), INC ........................... 989
9,829 NATIONAL SERVICE INDUSTRIES, INC ........... 500
---------
1,489
---------
PETROLEUM AND COAL PRODUCTS--1.92%
34,273 ATLANTIC RICHFIELD CO ...................... 2,678
465,590 BG PLC ..................................... 2,692
2,375,141 BRITISH PETROLEUM PLC ...................... 34,636
222,345 BROKEN HILL PROPRIETARY CO LTD ............. 1,880
74,649 CHEVRON CORP ............................... 6,201
185,000 CHUAN HUP HOLDINGS LTD ..................... 39
93,000 COSMO OIL CO LTD ........................... 168
28,439 ELF AQUITANE S.A. .......................... 3,998
799,300 ENTE NAZIONALE IDROCARBURI S.P.A. .......... 5,243
117,466 LONDON & SCOTTISH MARINE OIL PLC ........... 470
140,000 oMITSUBISHI OIL CO LTD ...................... 197
175,800 NIPPON OIL CO LTD .......................... 567
21,900 PETRO-CANADA (VARIABLE- VOTE) .............. 351
32,208 REPSOL S.A ................................. 1,778
810,905 ROYAL DUTCH PETROLEUM CO ................... 44,966
619,400 SAGA PETROLEUM AS SERIES A ................. 9,525
12,775 SANTOS LTD ................................. 40
15,848 SUN CO, INC ................................ 615
7,900 SUNCOR ENERGY, INC ......................... 269
19,000 oTEIKOKU OIL CO LTD ......................... 59
54,036 UNOCAL CORP ................................ 1,932
---------
118,304
---------
PRIMARY METAL INDUSTRIES--0.28%
28,900 ALCAN ALUMINIUM CO LTD ..................... 796
100 ALCAN ALUMINIUM CO LTD (U.S.) .............. 3
44,019 ALLEGHENY TELEDYNE, INC .................... 1,007
37,499 ALUMINUM CO OF AMERICA ..................... 2,473
408,000 AMSTEEL CORP BERHAD ........................ 41
8,892 ASARCO, INC ................................ 198
27,084 oBETHLEHEM STEEL CORP ....................... 337
4,258 BRITISH STEEL PLC .......................... 9
5,800 CO STEEL, INC .............................. 86
133,000 DAIDO STEEL CO LTD ......................... 239
15,000 oFLACK S.P.A. ............................... 97
2,850 GRANGES AB ................................. 52
5,400 HOOGOVENS NEN STAALIADRIEREN NV ............ 234
23,000 oJAPAN METALS & CHEMICALS CO ................ 32
263,000 KAWASAKI STEEL CORP ........................ 474
42,390 MANNESMANN AG .............................. 4,356
561,000 NIPPON STEEL CORP .......................... 986
652,000 NKK CORP ................................... 625
700 NKT HOLDINGS AS ............................ 54
558 PECHINEY S.A. .............................. 22
38,000 oSANKYO ALUMINIUM INDUSTRY CO LTD ........... 36
14,280 #oSILVERSTONE BERHAD ......................... 0
232,000 SUMITOMO METAL INDUSTRIES LTD .............. 373
9,625 SVENSKT STAL AB SERIES A (SSAB) ............ 148
2,450 SVENSKT STAL AB SERIES B ................... 37
5,184 THYSSEN AG ................................. 1,318
28,000 TOKYO STEEL MANUFACTURING CO LTD ........... 144
49,538 oUSINOR S.A. ................................ 765
See notes to financial statements.
-47-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
PRIMARY METAL INDUSTRIES--(CONTINUED)
65,586 USX-MARATHON GROUP, INC .................... $ 2,250
4,101 USX-US STEEL GROUP, INC .................... 135
---------
17,327
---------
PRINTING AND PUBLISHING--0.31%
4,300 AGENCE HAVAS S.A. .......................... 365
89,000 DAI NIPPON PRINTING CO LTD ................. 1,420
18,093 DELUXE CORP ................................ 648
67,200 ELSEVIER UTIGEVERSMIJ NV ................... 1,014
53,970 GANNETT CO, INC ............................ 3,835
7,193 HARLAND (JOHN H.) CO ....................... 122
37,144 INDEPENDENT NEWSPAPERS PLC ................. 199
11,000 KOMORI CORP ................................ 209
16,000 MONDADORI (ARNOLDO) EDITORE S.P.A. ......... 189
57,000 NEW STRAITS TIMES PRESS BERHAD (THE) ....... 21
231,990 NEWS CORP LTD .............................. 1,894
190,000 ORIENTAL PRESS GROUP ....................... 18
19,171 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE) ...................... 520
5,000 SCHIBSTED ASA .............................. 84
27,864 SINGAPORE PRESS HOLDINGS LTD (LR) .......... 186
17,100 SOUTHAM, INC ............................... 310
53,800 THOMSON CORP ............................... 1,562
47,896 TIME WARNER, INC ........................... 4,092
2,201 TIMES MIRROR CO SERIES A ................... 138
45,000 TOPPAN PRINTING CO LTD ..................... 481
27,333 TRIBUNE CO ................................. 1,881
---------
19,188
---------
RAILROAD TRANSPORTATION--2.20%
25,000 BRAMBLES INDUSTRIES LTD .................... 491
26,689 BURLINGTON NORTHERN SANTA FE CORP .......... 2,621
31,000 CANADIAN PACIFIC LTD ....................... 873
47,571 CSX CORP ................................... 2,164
16,111 HANKYU CORP ................................ 66
150,797 KINKI NIPPON RAILWAY CO LTD ................ 706
127,125 NAGOYA RAILROAD CO LTD ..................... 385
83,000 NIPPON EXPRESS CO LTD ...................... 445
1,000 ODAKYU ELECTRIC RAILWAY CO LTD ............. 3
5,212,637 oRAILTRACK GROUP PLC ........................ 127,763
34,000 SEINO TRANSPORTATION CO LTD ................ 189
15,000 TOBU RAILWAY CO LTD ........................ 40
13,122 YAMATO TRANSPORT CO LTD .................... 147
---------
135,893
---------
REAL ESTATE--2.28%
1,192,275 AXA ........................................ 134,097
125,383 BRITISH LAND PLC ........................... 1,288
4,100 oCATELLUS DEVELOPMENT CORP .................. 73
195,000 CHEUNG KONG HOLDINGS LTD ................... 959
177,197 CHINESE ESTATES LTD ........................ 31
51,560 CITY DEVELOPMENT LTD ....................... 144
13,665 oCITY DEVELOPMENT LTD WTS 07/18/98 .......... 16
57,000 oDAIKYO, INC ................................ 65
11,000 DILIGENTIA AB .............................. 95
61,084 oEVERGO CHINA HOLDINGS LTD .................. 1
26,250 oFASTIGHETS AB BALDER RTS ................... 26
39,116 HAMMERSON PLC .............................. 319
149,000 HANG LUNG DEVELOPMENT CO LTD ............... 148
234,000 HONG LEONG PROPERTIES BERHAD ............... 33
127,000 oHOTEL PROPERTIES LTD ....................... 45
104,000 HYSAN DEVELOPMENT CO LTD ................... 86
10,400 oHYSAN DEVELOPMENT CO LTD WTS 04/30/99 ...... 0
165,000 oIGB CORP BERHAD ............................ 40
141,333 oMALAYSIAN RESOURCES CORP BERHAD ............ 36
175,000 oMETROPLEX BERHAD ........................... 28
38,164 MISAWA HOMES CO LTD ........................ 104
65,000 MITSUI FUDOSAN CO LTD ...................... 513
186,250 oMULPHA INTERNATIONAL BERHAD ................ 19
158,005 NEW WORLD DEVELOPMENT CO LTD ............... 306
7,400 ROUSE CO ................................... 233
1,087 oSAGEM S.A .................................. 846
63,400 SLOUGH ESTATES PLC ......................... 364
136,000 TAI CHEUNG HOLDINGS LTD .................... 33
11,000 oTOKYO TATEMONO CO LTD ...................... 21
13,000 TOSTEM CORP ................................ 168
58,200 UNITED OVERSEAS LAND LTD ................... 31
13,733 oURBIS S.A .................................. 192
94,215 WESTFIELD TRUST (UNITS) .................... 181
7,499 oWESTFIELD TRUST (UNITS) NEW ................ 14
---------
140,555
---------
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS--0.67%
61,000 DENKI KAGKU KOGYO .......................... 98
95,000 GOLDEN HOPE PLANTATIONS BERHAD ............. 87
8,174 GOODYEAR TIRE & RUBBER CO .................. 527
21,037 MICHELIN S.A. (CLASS B) .................... 1,214
75,600 MONSANTO CO ................................ 4,224
699,846 NIKE, INC (CLASS B) ........................ 34,074
18,988 RAYCHEM CORP ............................... 561
14,553 RUBBERMAID, INC ............................ 483
4,000 oSEALED AIR CORP ............................ 147
80 SOLUTIA, INC ............................... 2
---------
41,417
---------
SECURITY AND COMMODITY
BROKERS--0.20%
137,731 ABBEY NATIONAL PLC ......................... 2,447
164 CPR ........................................ 13
3,185 CREDIT SAISON CO LTD ....................... 63
149,000 DAIWA SECURITIES CO LTD .................... 641
4,595 FORTIS AG .................................. 1,173
261,000 oMBF CAPITAL BERHAD ......................... 44
25,587 MERRILL LYNCH & CO, INC .................... 2,360
16,000 NIPPON SHINPAN CO LTD ...................... 27
182,000 NOMURA SECURITIES CO LTD ................... 2,118
9,000 OM GRUPPEN AB .............................. 187
3,000 ORIX CORP .................................. 203
31,209 PAINE WEBBER GROUP, INC .................... 1,342
72,000 oRASHID HUSSAIN BERHAD ...................... 35
27,559 SCHROEDERS LTD ............................. 711
201,900 SUN HUNG KAI PROPERTIES LTD ................ 857
114,000 oTA ENTERPRISE BERHAD ....................... 17
275,000 xoYAMAICHI SECURITIES CO LTD ................. 4
---------
12,242
---------
STONE, CLAY, AND GLASS
PRODUCTS--0.11%
6,400 AKER RGI ASA SERIES A ...................... 101
94,000 ASAHI GLASS CO LTD ......................... 508
162,420 CARADON PLC ................................ 504
5,000 CEMENTIR S.P.A. ............................ 6
7,108 CIMENTOS DE PORTUGAL ....................... 250
250 DYCKERHOFF AG. ............................. 87
690 HOLDERBANK FINANCIERE GLARUS AG. (BR) ...... 878
13,812 LAFARGE S.A. (BR) .......................... 1,428
135,000 NIPPON SHEET GLASS CO LTD .................. 213
See notes to financial statements.
-48-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
STONE, CLAY, AND GLASS
PRODUCTS--(CONTINUED)
12,517 OWENS CORNING CO ........................... $ 511
36,325 PPG INDUSTRIES, INC ........................ 2,527
---------
7,013
---------
TEXTILE MILL PRODUCTS--0.03%
262 CHARGEURS S.A .............................. 22
115,000 CSP INTERNATIONAL INDUSTRIA CALZE S.P.A. ... 1,101
23,000 MITSUBISHI RAYON CO LTD .................... 64
3,972 SHAW INDUSTRIES, INC ....................... 70
11,261 UNIFI, INC ................................. 386
---------
1,643
---------
TOBACCO PRODUCTS--1.36%
321,991 B.A.T. INDUSTRIES LTD ...................... 3,223
10 oCIE FINANCIERE RICHEMONT AG. (UNITS A) ..... 13
52,800 IMASCO LTD ................................. 975
236,371 PHILIP MORRIS COS, INC ..................... 9,307
33,300 ROTHMANS HOLDINGS LTD ...................... 205
4,000 ROTHMANS OF PALL MALL BERHAD ............... 28
15,786 SEITA S.A. ................................. 715
3,388,600 TABACALERA S.A. SERIES A (REGD) ............ 69,502
----------
83,968
----------
TRANSPORTATION BY AIR--0.58%
2,710,000 oAIR CANADA, INC ............................ 24,233
6,580 ALL NIPPON AIRWAYS CO LTD .................. 22
39,481 oAMR CORP ................................... 3,287
1,500 AUSTRIAN AIRLINES/OEST LUFTV AG ............ 49
12,840 BRITISH AIRPORT AUTHORITIES PLC ............ 139
167,654 BRITISH AIRWAYS PLC ........................ 1,814
300,000 CATHAY PACIFIC AIRWAYS LTD ................. 211
58,000 DEUTSCHE LUFTHANSA AG. (REGD) .............. 1,460
16,778 oFDX CORP ................................... 1,053
3,200 HONG KONG AIRCRAFT ENGINEERING CO LTD ...... 5
210,600 oJAPAN AIRLINES CO LTD ...................... 586
8,400 oKLM (ROYAL DUTCH AIRLINES) NV .............. 341
73,000 oMALAYSIAN AIRLINE SYSTEM BERHAD ............ 24
18,000 oRYANAIR HOLDINGS PLC ....................... 128
1,061 SAIRGROUP .................................. 349
4,200 SAS DANMARK AS ............................. 84
6,000 SAS NORGE ASA SERIES B ..................... 102
59,000 oSINGAPORE INTERNATIONAL
AIRLINES LTD (FR) ......................... 276
961 SODEXHO ALLIANCE S.A. ...................... 182
120,400 SWIRE PACIFIC LTD (CLASS A) ................ 454
13,706 oU.S. AIRWAYS GROUP, INC .................... 1,086
----------
35,885
----------
TRANSPORTATION EQUIPMENT--1.79%
1,338,424 BOEING CO .................................. 59,644
18,530 xoBREMER VULKAN AG ........................... 12
82,105 BRIDGESTONE CORP ........................... 1,940
266,253 BRITISH AEROSPACE PLC ...................... 2,039
5,868 oBRITISH AEROSPACE PLC WTS 11/15/00 ......... 127
80,225 CHRYSLER CORP .............................. 4,523
29,000 CYCLE & CARRIAGE LTD ....................... 71
62,451 DAIMLER BENZ AG ............................ 6,141
77,600 DENSO CORP ................................. 1,286
4,920 FAG KUGELFISCHER (GEORG) SCHAEFER AG. ...... 74
492,290 oFIAT S.P.A. ................................ 2,156
28,287 GENERAL DYNAMICS CORP ...................... 1,315
56,699 GENERAL MOTORS CORP ........................ 3,788
66 oHALTER MARINE GROUP, INC ................... 1
99,000 HONDA MOTOR CO LTD ......................... 3,524
18,103 ITT INDUSTRIES, INC ........................ 677
50,000 KAWASAKI HEAVY INDUSTRIES LTD .............. 101
243,827 LUCASVARITY PLC ............................ 968
9,300 MAGNA INTERNATIONAL, INC ................... 637
2,600 oMAN AG. (STAMM) ............................ 1,014
281,000 oMITSUI ENGINEERING & SHIPBUILDING CO LTD ... 213
15,461 oNAVISTAR INTERNATIONAL CORP ................ 446
55,000 NGK SPARK PLUG CO LTD ...................... 468
307,000 NISSAN MOTOR CO LTD ........................ 967
75,000 oPERUSAHAAN OTOMOBIL NASIONAL BERHAD ........ 48
7,163 PEUGEOT S.A. ............................... 1,540
203,200 PIRELLI S.P.A. ............................. 635
165,400 ROLLS ROYCE LTD ............................ 683
4,200 oSPAR AEROSPACE LTD ......................... 30
12,859 SUNDSTRAND CORP ............................ 736
84,000 #oTAN CHONG INTERNATIONAL LTD ................ 7
28,000 TAN CHONG MOTOR HOLDINGS BERHAD ............ 5
3,958 oTHOMSON-CSF ................................ 151
367,000 TOYOTA MOTOR CORP .......................... 9,493
28,315 TRW, INC ................................... 1,547
7,184 UNITED TECHNOLOGIES CORP ................... 665
11,758 VALEO S.A. ................................. 1,202
1 VOLKSWAGEN AG. ............................. 1
43,200 VOLVO AB SERIES B FREE ..................... 1,287
----------
110,162
----------
TRANSPORTATION SERVICES--1.58%
11,576,100 AIRTOURS PLC ............................... 87,109
550,000 BERGESEN AS SERIES A ....................... 10,465
30 DANZAS HOLDINGS AG. (REGD) ................. 8
----------
97,582
----------
TRUCKING AND WAREHOUSING--0.02%
47,557 oTNT POST GROUP NV .......................... 1,216
----------
WATER TRANSPORTATION--0.19%
5,600 BERGESEN D.Y. AS (CLASS B) ................. 105
472 oBONA SHIPHOLDING LTD ....................... 3
1,300 CMB CIE MARITIME BELGE S.A ................. 98
87 DAMPSKIBSSELSKABET AF 1912 (CLASS B) ....... 746
57 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) ..... 696
950,000 oFIRST OLSEN TANKERS LTD .................... 7,676
144,000 oHAI SUN HUP GROUP LTD ...................... 34
43,200 oHAI SUN HUP GROUP LTD WTS 05/10/02 ......... 2
4,500 oIRISH CONTINENTAL GROUP PLC ................ 75
10,000 KAWASAKI KISEN KAISHA LTD .................. 17
4,100 KONINKLIJKE NEDLLOYD GROEP NV .............. 83
4,500 LEIF HOEGH & CO ............................ 66
56,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) ... 82
180,000 MITSUI OSK LINES LTD ....................... 306
13,100 oNCL HOLDINGS AS ............................ 65
200 oNEPTUNE ORIENT LINES LTD ................... 0
110,000 NIPPON YUSEN KABUSHIKI KAISHA .............. 372
82,079 PENINSULAR & ORIENTAL STEAM
NAVIGATION CO ............................. 1,182
2,000 TIDEWATER, INC ............................. 66
30,521 TRANSPORT DEVELOPMENT GROUP PLC ............ 151
800 UNITOR AS .................................. 12
----------
11,837
----------
See notes to financial statements.
-49-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
WHOLESALE TRADE-DURABLE
GOODS--0.03%
8,959 AVNET, INC ................................. $ 490
5,402 BRIGGS & STRATTON CORP ..................... 202
38,000 DICKSON CONCEPTS INTERNATIONAL LTD ......... 53
648 DIETEREN S.A ............................... 303
7,000 GRAINGER (W.W.), INC ....................... 349
1,013 PREUSSAG AKTIEGESELLSCHAFT AG .............. 363
----------
1,760
----------
WHOLESALE TRADE-NONDURABLE
GOODS--0.47%
282,650 CARDINAL HEALTH, INC ....................... 26,498
52,000 FYFFES PLC ................................. 126
30,313 IKON OFFICE SOLUTIONS, INC ................. 441
100 OSHAWA GROUP LTD (CLASS A) ................. 2
23,700 oPROVIGO, INC ............................... 147
13,462 SUPERVALU, INC ............................. 597
51,500 SWEDISH MATCH CO ........................... 171
61,500 oSWEDISH MATCH CO RTS ....................... 4
21,726 SYSCO CORP ................................. 569
----------
28,555
----------
TOTAL COMMON STOCK
(Cost $4,708,414) ........................... 5,985,887
----------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--11.38%
CERTIFICATES OF DEPOSIT--0.47%
BANK OF MONTREAL
$ 4,000,000 5.560, 07/14/98 .......................... 4,000
CANADIAN IMPERIAL BANK OF COMMERCE
25,000,000 5.560, 07/29/98 .......................... 24,998
----------
28,998
----------
COMMERCIAL PAPER--6.64%
ARIZONA PUBLIC SERVICE CO
2,500,000 5.900, 07/02/98 .......................... 2,499
ASSET SECURITIZATION COOPERATIVE CORP
14,000,000 ~ 5.530, 07/09/98 .......................... 13,980
5,000,000 ~ 5.530, 07/13/98 .......................... 4,990
18,000,000 ~ 5.470, 07/24/98 .......................... 17,933
ASSOCIATES CORP OF NORTH AMERICA
15,000,000 5.520, 07/07/98 .......................... 14,983
BETA FINANCE, INC
20,000,000 ~ 5.490, 07/15/98 .......................... 19,953
2,400,000 ~ 5.510, 08/12/98 .......................... 2,384
BURLINGTON NORTHERN SANTA FE
7,500,000 ~ 5.650, 07/16/98 .......................... 7,481
CATERPILLAR FINANCIAL SERVICES CORP
9,000,000 5.500, 10/13/98 .......................... 8,855
CORPORATE ASSET FUNDING CORP, INC
20,000,000 ~ 5.550, 07/07/98 .......................... 19,977
17,000,000 ~ 5.540, 07/13/98 .......................... 16,965
COX COMMUNICATIONS, INC
7,500,000 ~ 5.700, 07/08/98 .......................... 7,490
CROWN CORK & SEAL CO, INC
8,800,000 5.700, 07/14/98 .......................... 8,780
CSX CORP
7,500,000 ~ 5.750, 07/16/98 .......................... 7,481
DAYTON HUDSON CORP
7,500,000 6.400, 07/01/98 .......................... 7,499
DELAWARE FUNDING CORP
15,000,000 ~ 5.520, 07/10/98 .......................... 14,976
DUKE ENERGY CORP
15,900,000 5.500, 08/14/98 .......................... 15,788
ENTERPRISE FUNDING CORP
15,000,000 ~ 5.520, 09/16/98 .......................... 14,820
GENERAL ELECTRIC CAPITAL CORP
18,000,000 5.520, 07/20/98 .......................... 17,944
GENERAL SIGNAL CORP
6,850,000 5.550, 07/08/98 .......................... 6,841
HOUSTON INDUSTRIES FINANCECO LP
7,500,000 ~ 5.670, 07/02/98 .......................... 7,497
J.P. MORGAN & CO
15,000,000 ~ 5.530, 07/01/98 .......................... 14,997
10,000,000 ~ 5.490, 07/13/98 .......................... 9,979
LOCKHEED MARTIN
7,500,000 ~ 5.670, 07/08/98 .......................... 7,490
MORGAN STANLEY DEAN WITTER
17,000,000 6.000, 07/01/98 .......................... 16,997
20,000,000 5.510, 07/06/98 .......................... 19,980
PARK AVENUE RECEIVABLES CORP
13,000,000 ~ 5.540, 07/10/98 .......................... 12,979
PENNEY (J.C.) FUNDING CORP
20,500,000 ~ 5.500, 07/31/98 .......................... 20,401
6,000,000 ~ 5.520, 08/03/98 .......................... 5,968
PUBLIC SERVICE CO OF COLORADO
7,500,000 5.660, 07/10/98 .......................... 7,488
RAYTHEON CO
7,500,000 ~ 5.700, 08/10/98 .......................... 7,451
SC JOHNSON & SON, INC
5,000,000 ~ 5.540, 09/21/98 .......................... 4,936
TEXAS UTILITIES CO
7,500,000 ~ 6.150, 07/17/98 .......................... 7,480
TEXTRON, INC
7,000,000 ~ 5.680, 07/13/98 .......................... 6,985
UBS FINANCE (DELAWARE), INC
20,000,000 5.510, 08/04/98 .......................... 19,891
VOLVO GROUP TREASURY NA, INC
7,500,000 ~ 5.680, 07/22/98 .......................... 7,474
----------
409,612
----------
U.S. GOVERNMENT & AGENCIES--4.27%
FEDERAL FARM CREDIT BANK
7,000,000 5.400, 07/06/98 .......................... 6,994
FEDERAL HOME LOAN MORTGAGE CORP
6,000,000 5.420, 07/01/98 .......................... 5,999
9,000,000 5.410, 07/02/98 .......................... 8,997
4,600,000 5.410, 07/15/98 .......................... 4,590
1,475,000 5.420, 07/21/98 .......................... 1,470
40,000,000 5.420, 07/27/98 .......................... 39,838
50,000,000 5.430, 07/27/98 .......................... 49,797
15,000,000 5.465, 07/31/98 .......................... 14,930
32,000,000 5.440, 08/24/98 .......................... 31,736
FEDERAL NATIONAL MORTGAGE ASSOCIATION
32,500,000 5.560, 07/07/98 .......................... 32,465
16,000,000 5.460, 07/09/98 .......................... 15,978
20,500,000 5.440, 07/10/98 .......................... 20,469
30,318,000 5.400, 08/10/98 .......................... 30,131
----------
263,394
----------
TOTAL SHORT TERM INVESTMENTS
(COST $702,130) ............................. 702,004
----------
TOTAL PORTFOLIO
(COST $5,440,325) ........................... $6,723,478
==========
See notes to financial statements.
-50-
<PAGE>
GLOBAL EQUITIES ACCOUNT (CONTINUED)
- ----------
o Non-income producing
+ Affiliate holding
x In bankruptcy
~ Commercial Paper issued under the Private Placement exemption under Section
4(2) of the Securities Act of 1933, as amended.
# Restricted securities-Investment in securities not registered under the
Securities Act of 1933 or not publicly traded on foreign markets. At June 30,
1998, the value of these securities amounted to $689,200 or 0.01% of net
assets. Additional information on each restricted security is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
- -------- ----------- ------------
BANCO ESPIRITO SANTO BABY SHS ................ 06/17/98 $ 127,016
BANK AUSTRIA AG. RTS ......................... 06/30/98 4,645
KUMAGAI GUMI WTS 12/31/99 .................... 06/29/98 0
LAIR LIQUIDE (REGD) 1996 ..................... 10/29/96 318,656
SILVERSTONE BERHAD ........................... 01/08/98 804
SOMAGUE-SGPS S.A. BABY SHS ................... 05/11/98 4,707
TAN CHONG INTERNATIONAL LTD .................. 05/22/98 22,691
UNITED ENGINEERING BERHAD .................... 11/27/96 495,448
VIGLEN TECHNOLOGY (CV LOAN STK) .............. 08/05/97 106,806
WHARF HOLDINGS LTD WTS 12/31/99 .............. 06/19/98 0
----------
$1,080,773
==========
See notes to financial statements.
-51-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES--GLOBAL EQUITIES ACCOUNT (UNAUDITED)
JANUARY 1, 1998--JUNE 30, 1998
<TABLE>
<CAPTION>
VALUE AT PURCHASE SALES REALIZED DIVIDEND SHARES AT VALUE AT
ISSUE DECEMBER 31, 1997 COST PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1998 JUNE 30, 1998
----- ----------------- --------- --------- ----------- --------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
ADAC LABORATORIES, INC ............. $ 23,706,576 -- $10,941,513 $7,358,388 -- -- *
CORPORATE SERVICES GROUP PLC ....... 32,915,766 -- -- -- $ 487,801 9,348,000 $ 37,199,174
IHC CALAND NV ...................... 122,093,359 $100,400 -- -- 2,182,902 2,354,850 132,548,650
WESTWOOD ONE, INC .................. 98,793,337 -- -- -- -- 2,661,100 67,109,616
------------ -------- ----------- ---------- ---------- ------------
TOTAL AFFILIATED TRANSACTIONS ...... $277,509,038 $100,400 $10,941,513 $7,358,388 $2,670,703 $236,857,440
============ ======== =========== ========== ========== ============
</TABLE>
* Not an affiliate as of June 30, 1998
See notes to financial statements.
-52-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--GROWTH ACCOUNT (UNAUDITED)
JUNE 30, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
----- -------
PREFERRED STOCK
HEALTH SERVICES ............................ $ 0 0.00%
INSTRUMENTS AND RELATED
PRODUCTS ................................. 2 0.00
INSURANCE CARRIERS ......................... 273 0.01
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS ................................. 164 0.00
---------- -----
TOTAL PREFERRED STOCK
(Cost $414) ................................ 439 0.01
---------- -----
COMMON STOCK
AGRICULTURAL PRODUCTION-CROPS .............. 2,904 0.05
AGRICULTURAL SERVICES ...................... 210 0.00
AMUSEMENT AND RECREATION
SERVICES ................................. 200,250 3.22
APPAREL AND ACCESSORY STORES ............... 13,784 0.22
APPAREL AND OTHER TEXTILE
PRODUCTS ................................. 4,749 0.08
AUTO REPAIR, SERVICES AND PARKING .......... 1,014 0.02
AUTOMOTIVE DEALERS AND
SERVICE STATIONS ......................... 3,375 0.05
BUILDING MATERIALS AND
GARDEN SUPPLIES .......................... 30,614 0.49
BUSINESS SERVICES .......................... 318,545 5.13
CHEMICALS AND ALLIED PRODUCTS .............. 847,660 13.64
COAL MINING ................................ 278 0.01
COMMUNICATIONS ............................. 997,260 16.05
DEPOSITORY INSTITUTIONS .................... 119,060 1.92
EATING AND DRINKING PLACES ................. 25,058 0.40
EDUCATIONAL SERVICES ....................... 2,144 0.04
ELECTRIC, GAS, AND SANITARY
SERVICES ................................. 90,296 1.45
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT ................................ 656,168 10.56
ENGINEERING AND MANAGEMENT
SERVICES ................................. 25,519 0.41
FABRICATED METAL PRODUCTS .................. 79,010 1.27
FOOD AND KINDRED PRODUCTS .................. 226,816 3.65
FOOD STORES ................................ 83,664 1.35
FURNITURE AND FIXTURES ..................... 2,503 0.04
FURNITURE AND HOMEFURNISHING
STORES ................................... 8,230 0.13
GENERAL BUILDING CONTRACTORS ............... 2,839 0.05
GENERAL MERCHANDISE STORES ................. 41,710 0.67
HEALTH SERVICES ............................ 27,589 0.44
HEAVY CONSTRUCTION, EXCEPT
BUILDING ................................. 909 0.02
HOLDING AND OTHER INVESTMENT
OFFICES .................................. 4,513 0.07
HOTELS AND OTHER LODGING PLACES ............ 78,376 1.26
INDUSTRIAL MACHINERY AND
EQUIPMENT ................................ 314,058 5.06
INSTRUMENTS AND RELATED
PRODUCTS ................................. 179,530 2.89
INSURANCE AGENTS, BROKERS AND
SERVICE .................................. 365 0.01
INSURANCE CARRIERS ......................... 330,161 5.32
LEATHER AND LEATHER PRODUCTS ............... 2,414 0.04
LEGAL SERVICES ............................. 31 0.00
LOCAL AND INTERURBAN PASSENGER
TRANSIT .................................. 341 0.01
LUMBER AND WOOD PRODUCTS ................... 1,801 0.03
METAL MINING ............................... 13,416 0.22
MISCELLANEOUS MANUFACTURING
INDUSTRIES ............................... 364,908 5.87
MISCELLANEOUS REPAIR SERVICES .............. 3 0.00
MISCELLANEOUS RETAIL ....................... 30,078 0.48
MOTION PICTURES ............................ 27,547 0.44
NONDEPOSITORY INSTITUTIONS ................. 71,979 1.16
OIL AND GAS EXTRACTION ..................... 202,916 3.27
PAPER AND ALLIED PRODUCTS .................. 14,466 0.23
PERSONAL SERVICES .......................... 2,734 0.04
PETROLEUM AND COAL PRODUCTS ................ 6,112 0.10
PRIMARY METAL INDUSTRIES ................... 7,050 0.11
PRINTING AND PUBLISHING .................... 22,955 0.37
RAILROAD TRANSPORTATION .................... 1,438 0.02
REAL ESTATE ................................ 2,615 0.04
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ......................... 132,757 2.14
SECURITY AND COMMODITY BROKERS ............. 9,140 0.15
SPECIAL TRADE CONTRACTORS .................. 73 0.00
STONE, CLAY, AND GLASS PRODUCTS ............ 6,035 0.10
TEXTILE MILL PRODUCTS ...................... 52,134 0.84
TOBACCO PRODUCTS ........................... 38,666 0.62
TRANSPORTATION BY AIR ...................... 25,517 0.41
TRANSPORTATION EQUIPMENT ................... 135,044 2.17
TRANSPORTATION SERVICES .................... 1,918 0.03
TRUCKING AND WAREHOUSING ................... 407 0.01
WATER TRANSPORTATION ....................... 1,888 0.03
WHOLESALE TRADE-DURABLE GOODS .............. 4,440 0.07
WHOLESALE TRADE-NONDURABLE
GOODS .................................... 124,452 2.00
---------- ------
TOTAL COMMON STOCK
(COST $4,732,880) ........................... 6,024,436 96.97
---------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ........................... 148,077 2.38
U.S. GOVERNMENT & AGENCIES ................. 88,474 1.43
---------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $236,589) ............................. 236,551 3.81
---------- ------
TOTAL PORTFOLIO
(COST $4,969,883) ........................... 6,261,426 100.79
OTHER ASSETS & LIABILITIES, NET ........... (48,879) (0.79)
---------- ------
NET ASSETS $6,212,547 100.00%
========== ======
See notes to financial statements.
-53-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS-- GROWTH ACCOUNT (UNAUDITED)
JUNE 30, 1998
VALUE
SHARES (000)
------ -----
PREFERRED STOCK--0.01%
HEALTH SERVICES--0.00%
22 oMEDIQ, INC SERIES A ........................ $ 0
------------
INSTRUMENTS AND RELATED
PRODUCTS--0.00%
32,800 oFRESENIUS MEDICAL CARE (CLASS D) ........... 2
------------
INSURANCE CARRIERS--0.01%
3,640 AETNA, INC (CLASS C) ....................... 273
------------
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS--0.00%
3,895 SEALED AIR CORP (CLASS A) .................. 164
------------
TOTAL PREFERRED STOCK
(COST $414) .................................. 439
------------
COMMON STOCK--96.97%
AGRICULTURAL PRODUCTION-
CROPS--0.05%
2,100 oAGRITOPE, INC .............................. 8
19,698 DEKALB GENETICS CORP (CLASS B) ............. 1,864
24,933 PIONEER-HI-BRED INTERNATIONAL, INC ......... 1,032
------------
2,904
------------
AGRICULTURAL SERVICES--0.00%
500 oMYCOGEN CORP ............................... 12
10,500 oVETERINARY CENTERS OF AMERICA, INC ......... 198
------------
210
------------
AMUSEMENT AND RECREATION
SERVICES--3.22%
5,995 oANCHOR GAMING CO ........................... 465
2,915,800 CARNIVAL CORP (CLASS A) .................... 115,539
26,025 oHARRAHS ENTERTAINMENT, INC ................. 605
500 oMALIBU ENTERTAINMENT
WORLDWIDE, INC ............................ 1
340 oMIRAGE RESORT, INC ......................... 7
8,400 oPENN NATIONAL GAMING, INC .................. 64
300 oPLAYERS INTERNATIONAL, INC ................. 1
817,250 oPREMIER PARKS, INC ......................... 54,449
1,000 oQUINTEL ENTERTAINMENT, INC ................. 4
400 oSCIENTIFIC GAMES HOLDINGS CORP ............. 9
345,350 oSFX ENTERTAINMENT, INC (CLASS A) ........... 15,843
525,900 oWESTWOOD ONE, INC .......................... 13,263
------------
200,250
------------
APPAREL AND ACCESSORY
STORES--0.22%
77 oABERCROMBIE & FITCH CO (CLASS A) ........... 3
647 CLAIRES STORES, INC ........................ 13
13,200 oFINISH LINE, INC (CLASS A) ................. 371
200 oGADZOOKS, INC .............................. 6
94,392 GAP, INC ................................... 5,817
5,000 oGOODYS FAMILY CLOTHING, INC ................ 274
41,642 INTIMATE BRANDS, INC (CLASS A) ............. 1,148
50 oJUST FOR FEET, INC ......................... 1
1,050 oMENS WAREHOUSE, INC ........................ 35
19,725 oPACIFIC SUNWEAR CALIFORNIA, INC ............ 690
5,100 oPAUL HARRIS STORES, INC .................... 68
80 oPAYLESS SHOESOURCE, INC .................... 6
8,700 oSAKS HOLDINGS, INC ......................... 240
10,900 oSTEIN MART, INC ............................ 147
1,100 oSYMS CORP .................................. 16
192,326 TJX COS, INC ............................... 4,640
300 oURBAN OUTFITTERS, INC ...................... 5
9,500 oWET SEAL, INC (CLASS A) .................... 304
------------
13,784
------------
APPAREL AND OTHER TEXTILE
PRODUCTS--0.08%
15,058 AUTHENTIC FITNESS CORP ..................... 238
12,667 oFRUIT OF THE LOOM, INC (CLASS A) ........... 420
800 oGUESS ?, INC ............................... 4
700 oGYMBOREE CORP .............................. 11
66,303 oJONES APPAREL GROUP, INC ................... 2,424
10,700 LIZ CLAIBORNE, INC ......................... 559
29,300 oNAUTICA ENTERPRISES, INC ................... 786
6,800 oNORTH FACE, INC ............................ 163
7,200 oQUIKSILVER, INC ............................ 144
------------
4,749
------------
AUTO REPAIR, SERVICES AND
PARKING--0.02%
1,300 BORG-WARNER AUTOMOTIVE, INC ................ 62
14,773 oBUDGET GROUP, INC .......................... 472
2,966 MIDAS, INC ................................. 60
14,800 oRENTERS CHOICE, INC ........................ 420
------------
1,014
------------
AUTOMOTIVE DEALERS AND
SERVICE STATIONS--0.05%
94,412 oAUTOZONE, INC .............................. 3,015
9,577 oCIRCUIT CITY STORES, INC (CARMAX GROUP) .... 98
900 oOREILLY AUTOMOTIVE, INC .................... 32
5,380 PEP BOYS MANNY, MOE, & JACK CO ............. 102
1,000 oUGLY DUCKLING CORP ......................... 10
5,400 oUNITED AUTO GROUP, INC ..................... 118
------------
3,375
------------
BUILDING MATERIALS AND
GARDEN SUPPLIES--0.49%
17,400 oEAGLE HARDWARE & GARDEN, INC ............... 402
11,570 FASTENAL CO ................................ 537
301,455 HOME DEPOT, INC ............................ 25,040
101,078 LOWES COS, INC ............................. 4,100
17,500 OAKWOOD HOMES CORP ......................... 525
400 oTRACTOR SUPPLY CO .......................... 10
------------
30,614
------------
BUSINESS SERVICES--5.13%
400 oABACUS DIRECT CORP ......................... 21
19,900 oABR INFORMATION SERVICES, INC .............. 473
2,400 oACCLAIM ENTERTAINMENT, INC ................. 14
92,406 oACCUSTAFF, INC ............................. 2,888
447 ACKERLEY GROUP, INC ........................ 9
66 oACNEILSEN CORP ............................. 2
200 oACTIVISION, INC ............................ 2
3,020 oACXIOM CORP ................................ 75
60,880 ADOBE SYSTEMS, INC ......................... 2,584
6,800 oADVO, INC .................................. 192
47,644 oAFFILIATED COMPUTER SERVICES, INC (CLASS A) 1,834
See notes to financial statements.
-54-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
BUSINESS SERVICES--(CONTINUED)
68,670 AMERICA ONLINE, INC ........................ $ 7,279
200 oAMERICAN BUSINESS INFORMATION, INC
(CLASS B) ................................. 3
16,175 oAMERICAN MANAGEMENT SYSTEMS, INC ........... 484
4,500 ANALYSTS INTERNATIONAL CORP ................ 128
14,936 oANIXTER INTERNATIONAL, INC ................. 285
300 oAPPLIX, INC ................................ 1
1,200 oARBOR SOFTWARE CORP ........................ 38
42,120 AUTODESK, INC .............................. 1,627
87,374 AUTOMATIC DATA PROCESSING, INC ............. 6,367
11,180 oAVANT CORP ................................. 277
4,767 oAZTEC TECHNOLOGY PARTNERS, INC ............. 36
300 oBA MERCHANT SERVICES, INC (CLASS A) ........ 6
500 oBILLING CONCEPTS CORP ...................... 8
150 oBISYS GROUP, INC ........................... 6
43,300 oBMC SOFTWARE, INC .......................... 2,249
26,535 oBOOLE & BABBAGE, INC ....................... 634
1,000 oBRODERBUND SOFTWARE, INC ................... 23
2,300 oCACI INTERNATIONAL, INC (CLASS A) .......... 48
31,462 oCADENCE DESIGN SYSTEMS, INC ................ 983
423 oCARIBINER INTERNATIONAL, INC ............... 7
13,000 oCATALINA MARKETING CORP .................... 675
9,100 oCELLULAR TECHNICAL SERVICES CO ............. 4
50,264 oCERIDIAN CORP .............................. 2,953
5,100 oCERNER CORP ................................ 144
360 oCHECKFREE HOLDINGS CORP .................... 11
11,600 oCHECKPOINT SYSTEMS, INC .................... 164
10,500 oCHOICEPOINT, INC ........................... 532
20,437 oCIBER, INC ................................. 777
37,320 oCITRIX SYSTEMS, INC ........................ 2,552
3,900 oCKS GROUP, INC ............................. 70
700 oCOGNEX CORP ................................ 13
96,256 COGNIZANT CORP ............................. 6,064
400 oCOMPLETE BUSINESS SOLUTIONS, INC ........... 14
194,639 COMPUTER ASSOCIATES INTERNATIONAL, INC ..... 10,815
27,465 oCOMPUTER HORIZONS CORP ..................... 1,018
200 oCOMPUTER MANAGEMENT SCIENCES, INC .......... 5
88,276 oCOMPUTER SCIENCES CORP ..................... 5,650
12,700 COMPUTER TASK GROUP, INC ................... 425
97,820 oCOMPUWARE CORP ............................. 5,001
50 oCOMSHARE, INC .............................. 0
1,800 oCORT BUSINESS SERVICES CORP ................ 57
300 oCSG SYSTEMS INTERNATIONAL, INC ............. 14
200 oDATA BROADCASTING CORP ..................... 1
6,900 oDATA DIMENSIONS, INC ....................... 118
1,100 oDATA PROCESSING RESOURCES CORP ............. 34
400 oDELTEK SYSTEMS, INC ........................ 10
3,100 oDIGITAL LIGHTWAVE, INC ..................... 10
2,000 oDOCUMENTUM, INC ............................ 96
3,600 oELECTRO RENT CORP .......................... 81
172,787 ELECTRONIC DATA SYSTEMS CORP ............... 6,911
30,600 oELECTRONICS FOR IMAGING, INC ............... 646
2,300 oEMPLOYEE SOLUTIONS, INC .................... 9
4,300 oENVOY CORP ................................. 204
111,228 EQUIFAX, INC ............................... 4,039
50 oEXCALIBUR TECHNOLOGIES CORP ................ 1
5,600 oFILENET CORP ............................... 162
600 oFIREARMS TRAINING SYSTEMS, INC ............. 2
173,322 FIRST DATA CORP ............................ 5,774
275 oFISERV, INC ................................ 12
70,300 oFORE SYSTEMS, INC .......................... 1,863
3,600 oFORTE SOFTWARE, INC ........................ 22
60 oGARTNER GROUP, INC (CLASS A) ............... 2
1,500 oGEOTEL COMMUNICATIONS CORP ................. 61
300 oGEOWORKS CORP .............................. 1
1,800 oGT INTERACTIVE SOFTWARE CORP ............... 14
36,062 oGTECH HOLDINGS CORP ........................ 1,215
2,000 oHARBINGER CORP ............................. 48
225,336 HBO & CO ................................... 7,943
200 oHCIA, INC .................................. 3
40 oHNC SOFTWARE ............................... 2
18,400 oHYPERION SOFTWARE CORP ..................... 524
300 oIDENTIX, INC ............................... 2
8,600 oIKOS SYSTEMS, INC .......................... 34
2,900 oIMNET SYSTEMS, INC ......................... 39
9,200 oINFORMATION MANAGEMENT RESOURCES, INC ...... 311
900 oINFORMIX CORP .............................. 7
1,600 oINSO CORP .................................. 22
1,200 oINTEGRATED SYSTEMS, INC .................... 18
800 oINTELIDATA TECHNOLOGIES CORP ............... 1
8,313 oINTERIM SERVICES, INC ...................... 267
2,000 oINTERNATIONAL NETWORK SERVICES ............. 82
22,270 INTERPUBLIC GROUP OF COS, INC .............. 1,352
40 oINTERSOLV, INC ............................. 1
13,200 oINTERVOICE, INC ............................ 234
50 oINTUIT, INC ................................ 3
1,300 oJDA SOFTWARE GROUP, INC .................... 57
63,313 oKEANE, INC ................................. 3,546
1,180 KELLY SERVICES, INC (CLASS A) .............. 42
400 oKRONOS, INC ................................ 15
1,000 oLANDSTAR SYSTEM, INC ....................... 35
2,255 oLEARNING CO, INC ........................... 67
380 oLEGATO SYSTEMS, INC ........................ 15
3,700 oLHS GROUP, INC ............................. 244
1,500 oMACROMEDIA, INC ............................ 28
73,556 MANPOWER, INC .............................. 2,110
300 oMAY & SEPH, INC ............................ 6
6,500 oMEDQUIST, INC .............................. 188
200 oMENTOR GRAPHICS CORP ....................... 2
9,500 oMERCURY INTERACTIVE CORP ................... 424
19,400 oMETAMOR WORLDWIDE, INC ..................... 683
1,230 oMICROPROSE, INC ............................ 5
1,610,000 oMICROSOFT CORP ............................. 174,484
2,498 oMIDWAY GAMES, INC .......................... 39
4,000 NATIONAL COMPUTER SYSTEMS, INC ............. 96
32,692 NATIONAL DATA CORP ......................... 1,430
12,500 oNEOPATH, INC ............................... 90
99 oNETSCAPE COMMUNICATIONS CORP ............... 3
15,800 oNETWORK APPLIANCE, INC ..................... 615
300 oNETWORK PERIPHERALS, INC ................... 2
33,194 oNETWORKS ASSOCIATES, INC ................... 1,589
102,586 NEWELL COS, INC ............................ 5,110
450 oNOVELL, INC ................................ 6
6,900 oODS NETWORKS, INC .......................... 45
398 OLSTEN CORP ................................ 4
39,327 OMNICOM GROUP, INC ......................... 1,961
500 oOPEN MARKET, INC ........................... 9
370,137 oORACLE CORP ................................ 9,091
29,100 oPAGING NETWORK, INC ........................ 407
65,334 oPARAMETRIC TECHNOLOGY CORP ................. 1,772
2,322 PAYCHEX, INC ............................... 94
2,400 oPEGASYSTEMS, INC ........................... 65
79,000 oPEOPLESOFT, INC ............................ 3,713
18,124 oPERSONNEL GROUP OF AMERICA, INC ............ 362
1,800 oPHOENIX TECHNOLOGIES LTD ................... 23
2,400 #oPHYSICIAN COMPUTER NETWORK, INC ............ 4
31,226 PITTSTON BRINKS GROUP CO ................... 1,151
See notes to financial statements.
-55-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
BUSINESS SERVICES--(CONTINUED)
900 oPLATINUM TECHNOLOGY, INC ................... $ 26
8,046 oPOLICY MANAGEMENT SYSTEMS CORP ............. 316
100 oPSINET, INC ................................ 1
3,200 oQUARTERDECK CORP ........................... 2
4,400 oRADIANT SYSTEMS, INC ....................... 64
19,080 oREMEDY CORP ................................ 324
10,880 oRENTAL SERVICE CORP ........................ 366
19,660 oROBERT HALF INTERNATIONAL, INC ............. 1,099
15,086 oROMAC INTERNATIONAL, INC ................... 458
11,700 oSANTA CRUZ OPERATION, INC .................. 56
1,200 oSEATTLE FILMWORKS, INC ..................... 9
24,100 SHARED MEDICAL SYSTEMS CORP ................ 1,770
1,148 oSIEBEL SYSTEMS, INC ........................ 37
693 oSITEL CORP ................................. 5
43,170 SOTHEBYS HOLDINGS, INC (CLASS A) ........... 966
1,600 oSPS TRANSACTION SERVICES, INC .............. 50
1,000 oSTAFFMARK, INC ............................. 37
96 oSTERLING COMMERCE, INC ..................... 5
28,157 oSTERLING SOFTWARE, INC ..................... 832
40 oSTRUCTURAL DYNAMICS RESEARCH CORP .......... 1
216 oSUNGARD DATA SYSTEMS, INC .................. 8
4,000 oSUNQUEST INFORMATION SYSTEMS, INC .......... 37
900 oSYKES ENTERPRISES, INC ..................... 18
25,450 oSYMANTEC CORP .............................. 665
10,702 oSYNOPSYS, INC .............................. 490
32,400 oSYSTEMS & COMPUTER TECHNOLOGY CORP ......... 875
200 oTCSI CORP .................................. 1
2,800 oTELESPECTRUM WORLDWIDE, INC ................ 25
3,900 TELXON CORP ................................ 126
1,100 oTMP WORLDWIDE, INC ......................... 38
20 oTRANSACTION SYSTEM ARCHITECTURE ............ 1
3,162 oU.S. RENTALS, INC .......................... 125
19,500 oUSCS INTERNATIONAL, INC .................... 403
3,900 oVERITAS SOFTWARE CORP ...................... 161
20 oVIASOFT, INC ............................... 0
7,900 oWALKER INTERACTIVE SYSTEMS, INC ............ 117
16,980 oWANG LABORATORIES, INC ..................... 432
250 oWIND RIVER SYSTEMS, INC .................... 9
7,849 oYAHOO, INC ................................. 1,236
------------
318,545
------------
CHEMICALS AND ALLIED
PRODUCTS--13.64%
1,640,659 ABBOTT LABORATORIES CO ..................... 67,062
13,550 oADVANCED TISSUE SCIENCE CO ................. 60
5,400 oAGOURON PHARMACEUTICALS, INC ............... 164
7,229 ALBERTO CULVER CO (CLASS B) ................ 210
17,200 oALKERMES, INC .............................. 307
10 oALLERGAN SPECIALTY THERAPEUTICS,
INC (CLASS A) ............................. 0
200 oALLIANCE PHARMACEUTICAL CORP ............... 1
10,100 ALPAHARMA, INC (CLASS A) ................... 222
119 oALZA CORP .................................. 5
1,945,663 AMERICAN HOME PRODUCTS CORP ................ 100,688
127,999 oAMGEN, INC ................................. 8,368
26,350 oAMYLIN PHARMACEUTICALS, INC ................ 100
3,100 oAPHTON CORP ................................ 52
24,731 AVON PRODUCTS, INC ......................... 1,917
4,200 oBARR LABORATORIES, INC ..................... 167
4,067 BETZDEARBORN, INC .......................... 168
24,000 oBIO-TECHNOLOGY GENERAL CORP ................ 170
62,000 oBIOGEN, INC ................................ 3,038
258,164 BRISTOL MYERS SQUIBB CO .................... 29,673
17,897 CABOT CORP ................................. 578
900 oCADUS PHARMACEUTICAL CORP .................. 7
100 CARTER WALLACE, INC ........................ 2
4,348 CHEMFIRST, INC ............................. 110
16 oCHIRON CORP ................................ 0
4,690 CHURCH & DWIGHT CO, INC .................... 152
4,498 CLOROX CO .................................. 429
91,854 COLGATE PALMOLIVE CO ....................... 8,083
1,427 oCOLUMBIA LABORATORIES, INC ................. 8
59,749 oCOVANCE, INC ............................... 1,344
280 oCREATIVE BIOMOLECULES, INC ................. 1
95 oCRESCENDO PHARMACEUTICALS CORP ............. 1
1,200 oCYGNUS, INC ................................ 13
43,759 oCYTEC INDUSTRIES, INC ...................... 1,936
38,700 oCYTOGEN CORP ............................... 30
356 DIAL CORP .................................. 9
41,000 DU PONT (E.I.) DE NEMOURS & CO ............. 3,060
7,650 oDURA PHARMACEUTICALS, INC .................. 171
108,208 ECOLAB, INC ................................ 3,354
33,300 ETHYL CORP ................................. 204
4,892 FERRO CORP ................................. 124
115 oFREEPORT-MCMORAN SULPHUR, INC .............. 2
200 oGELTEX PHARMACEUTICALS, INC ................ 4
18,300 oGENSIA SICOR, INC .......................... 73
43,700 oGENZYME CORP (GENERAL DIVISION) ............ 1,117
24,624 oGENZYME CORP
(TISSUE REPAIR DIVISION) .................. 162
17,133 GEORGIA GULF CORP .......................... 391
1,475,500 +oGUILFORD PHARMACEUTICALS, INC .............. 26,006
84,888 HERCULES, INC .............................. 3,491
7,400 oHUMAN GENOME SCIENCES, INC ................. 264
6,438 ICN PHARMACEUTICALS, INC ................... 294
300 oIDEC PHARMACEUTICALS CORP .................. 7
9,400 oIDEXX LABORATORIES, INC .................... 234
30 IMC GLOBAL, INC ............................ 1
2,233 oIMC GLOBAL, INC WTS 12/22/00 ............... 6
11,000 oIMMUNEX CORP ............................... 729
1,400 oIMMUNOMEDICS, INC .......................... 6
2,000 oINTERNEURON PHARMACEUTICALS, INC ........... 7
36,407 INTERNATIONAL FLAVORS & FRAGRANCES, INC .... 1,581
20 oISIS PHARMACEUTICALS, INC .................. 0
29,900 oIVAX CORP .................................. 277
518,227 JOHNSON & JOHNSON CO ....................... 38,219
11,800 JONES PHARMACEUTICAL, INC .................. 391
450 oKV PHARMACEUTICAL CO (CLASS B) ............. 10
127 LAUDER (ESTEE) CO (CLASS A) ................ 9
8,800 LAWTER INTERNATIONAL, INC .................. 96
1,300 LIFE TECHNOLOGIES, INC ..................... 41
740 oLIGAND PHARMACEUTICALS CO (CLASS A) ........ 10
840,275 LILLY (ELI) & CO ........................... 55,511
12,034 LILLY INDUSTRIES, INC (CLASS A) ............ 260
1,500 oLIPOSOME CO, INC ........................... 8
200 MACDERMID, INC ............................. 6
250 oMATRIX PHARMACEUTICALS, INC ................ 1
1,550 oMCWHORTER TECHNOLOGIES, INC ................ 41
8,200 oMEDICIS PHARMACEUTICAL CORP (CLASS A) ...... 299
10,465 oMEDPARTNERS, INC ........................... 84
1,384,155 *MERCK & CO, INC ............................ 185,131
500 oMILLENNIUM PHARMACEUTICALS, INC ............ 7
135 MISSISSIPPI CHEMICAL CORP .................. 2
19,755 MORTON INTERNATIONAL, INC .................. 494
101,432 MYLAN LABORATORIES, INC .................... 3,049
600 oNABI, INC .................................. 2
See notes to financial statements.
-56-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
CHEMICALS AND ALLIED
PRODUCTS--(CONTINUED)
14,300 NATURES SUNSHINE PRODUCTS, INC ............. $ 323
44,800 oNBTY, INC .................................. 823
8,300 oNEUROGEN CORP .............................. 147
7,400 NL INDUSTRIES, INC ......................... 148
80 oNOVEN PHARMACEUTICALS, INC ................. 0
11,882 oORGANOGENESIS, INC ......................... 235
1,117,126 PFIZER, INC ................................ 121,418
17,318 oPHARMACEUTICAL PRODUCT DEVELOPMENT ......... 381
100 PHARMACIA & UPJOHN, INC .................... 5
42,900 PRAXAIR, INC ............................... 2,008
1,335,703 PROCTER & GAMBLE CO ........................ 121,632
100 oPROTEIN DESIGN LABORATORIES, INC ........... 2
100 oREGENERON PHARMACEUTICALS, INC ............. 1
1,787 oREVLON, INC (CLASS A) ...................... 92
100 oROBERTS PHARMACEUTICAL CORP ................ 2
62 RPM, INC ................................... 1
280,754 SCHERING-PLOUGH CORP ....................... 25,724
25 SCHULMAN (A.), INC ......................... 0
200 oSEQUUS PHARMACEUTICALS, INC ................ 2
11,900 oSEROLOGICALS CORP .......................... 384
18,500 oTECHNE CORP ................................ 353
300 oTETRA TECHNOLOGIES, INC .................... 5
16,200 oTHERATECH, INC ............................. 164
100 VALSPAR CORP ............................... 4
40 oVERTEX PHARMACEUTICALS, INC ................ 1
15,300 oVICAL, INC ................................. 259
281,267 WARNER-LAMBERT CO .......................... 19,513
76,388 oWATSON PHARMACEUTICALS, INC ................ 3,566
100 WITCO CORP ................................. 3
21,100 oZILA, INC .................................. 153
------------
847,660
------------
COAL MINING--0.01%
16,242 ZEIGLER COAL HOLDINGS CO ................... 278
------------
COMMUNICATIONS--16.05%
105,399 o360 COMMUNICATIONS CO ...................... 3,373
183,827 oAIRTOUCH COMMUNICATIONS, INC ............... 10,742
20,000 ALIANT COMMUNICATIONS, INC ................. 549
61,305 AMERITECH CORP ............................. 2,751
200 oARCH COMMUNICATIONS GROUP, INC ............. 1
4,850 oASSOCIATED GROUP, INC (CLASS A) ............ 199
1,150 oASSOCIATED GROUP, INC (CLASS B) ............ 46
2,289,500 AT & T CORP ................................ 130,788
5,500 oBET HOLDINGS, INC (CLASS A) ................ 346
550 oCABLE MICHIGAN, INC ........................ 21
7,650 oCABLEVISION SYSTEMS CORP (CLASS A) ......... 639
25,600 oCAI WIRELESS SYSTEMS, INC .................. 3
1,251,800 oCAPSTAR BROADCASTING CORP (CLASS A) ........ 31,451
1,616,171 CBS CORP ................................... 51,313
150 oCELLULAR COMMUNICATIONS
INTERNATIONAL, INC ........................ 7
2,400 oCENTENNIAL CELLULAR CORP (CLASS A) ......... 90
20,400 oCENTURY COMMUNICATIONS CORP (CLASS A) ...... 383
1,273 CENTURY TELEPHONE ENTERPRISES, INC ......... 58
1,335,100 oCHANCELLOR MEDIA CORP (CLASS A) ............ 66,296
117,933 CINCINNATI BELL, INC ....................... 3,376
1,004,522 oCLEAR CHANNEL COMMUNICATIONS, INC .......... 109,618
18,400 COMCAST CORP (CLASS A) ..................... 731
80,333 COMCAST CORP (CLASS A) SPECIAL ............. 3,261
33 oCOMMONWEALTH TELEPHONE
ENTERPRISES ............................... 1
500 oCORECOMM, INC .............................. 13
634,150 oCOX RADIO, INC (CLASS A) ................... 27,427
100 oEMMIS BROADCASTING CORP (CLASS A) .......... 5
40 GAYLORD ENTERTAINMENT CO ................... 1
1,265,200 oGLOBALSTAR TELECOMMUNICATIONS LTD .......... 34,160
78,121 GTE CORP ................................... 4,345
266,900 oHEFTEL BROADCASTING CORP (CLASS A) ......... 11,944
20,400 oHIGHWAYMASTER COMMUNICATIONS, INC .......... 87
98 oICG COMMUNICATIONS, INC .................... 4
100 oJACOR COMMUNICATIONS, INC .................. 6
5,000 oJACOR COMMUNICATIONS, INC WTS 09/18/01 ..... 35
34,412 oLIBERTY MEDIA GROUP (CLASS A) .............. 1,336
215,750 oLORAL SPACE & COMMUNICATIONS LTD ........... 6,095
1,599,091 LUCENT TECHNOLOGIES, INC ................... 133,024
50 oMASTEC, INC ................................ 1
300 oNORTH PITTSBURGH SYSTEMS, INC .............. 5
400 oNTL, INC ................................... 21
600 oPAGEMART WIRELESS, INC (CLASS A) ........... 5
187 oPANAMSAT CORP .............................. 11
10,000 oPERPHONICS CORP ............................ 126
800 oPREMIERE TECHNOLOGIES, INC ................. 7
479,800 oRCN CORP ................................... 9,296
625 oSAGA COMMUNICATIONS, INC (CLASS A) ......... 9
158,875 SBC COMMUNICATIONS, INC .................... 6,355
3,800 oSKYTEL COMMUNICATIONS, INC ................. 89
2,900 oSMARTALK TELESERVICES, INC ................. 42
16,300 TCA CABLE TV, INC .......................... 978
260 oTCI SATELLITE ENTERTAINMENT (CLASS A) ...... 2
500 oTEL-SAVE HOLDINGS, INC ..................... 7
145,079 oTELE-COMMUNICATIONS, INC (CLASS A) ......... 5,576
442 oTELECOM-TCI VENTURES GROUP (CLASS A) ....... 9
97 TELEPHONE & DATA SYSTEMS, INC .............. 4
535,509 oTELEPORT COMMUNICATIONS GROUP,
INC (CLASS A) ............................. 29,051
5,900 oTRANSACTION NETWORK SERVICES, INC .......... 124
8,566 oU.S. CELLULAR CORP ......................... 263
17,400 oUNITED INTERNATIONAL HOLDINGS, INC ......... 278
5,500 UNITED TELEVISION, INC ..................... 630
11,400 oUNITED VIDEO SATELLITE GROUP, INC .......... 452
32,000 oU.S. SATELLITE BROADCASTING, INC
(CLASS A) ................................. 374
667 oU.S.A. NETWORKS, INC ....................... 17
400 oVALUEVISION INTERNATIONAL, INC ............. 2
4,800 oVANGUARD CELLULAR SYSTEMS, INC ............. 91
12,196 oVIACOM, INC (CLASS A) ...................... 713
79,147 oVIACOM, INC (CLASS B) ...................... 4,610
18,500 oWEST TELESERVICES CORP ..................... 224
2,100 oWESTERN WIRELESS CORP (CLASS A) ............ 42
1,266,000 oWINSTAR COMMUNICATIONS, INC ................ 54,359
5,139,865 oWORLDCOM, INC .............................. 248,962
------------
997,260
------------
DEPOSITORY INSTITUTIONS--1.92%
100 oAREA BANCSHARES CORP ....................... 3
52 BANC ONE CORP .............................. 3
100 CCB FINANCIAL CORP ......................... 11
136,100 CITICORP CO ................................ 20,313
1,948 CNB BANCSHARES, INC ........................ 94
115 COMMERCE BANCORP, INC ...................... 7
4,900 COMMUNITY FIRST BANKSHARES, INC ............ 128
1,952 oCONCORD EFS, INC ........................... 51
69,075 FIFTH THIRD BANCORP ........................ 4,352
See notes to financial statements.
-57-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
DEPOSITORY INSTITUTIONS--(CONTINUED)
3,300 oFIRSTFED FINANCIAL CORP .................... $ 172
700 FLAGSTAR BANCORP, INC ...................... 17
41 FLEET FINANCIAL GROUP, INC ................. 3
6,875 FULTON FINANCIAL CORP ...................... 174
1,000 oGRAND PREMIER FINANCIAL, INC ............... 16
4,675 HUBCO, INC ................................. 167
3,052 oIMPERIAL BANCORP ........................... 92
176,500 MBNA CORP .................................. 5,825
41,954 NORWEST CORP ............................... 1,568
1,400 oOCEAN FINANCIAL CORP ....................... 27
20,665 oOCWEN FINANCIAL CORP ....................... 555
7,278 OLD NATIONAL BANCORP ....................... 348
400 OMEGA FINANCIAL CORP ....................... 14
97 PARK NATIONAL CORP ......................... 10
1,400 oPFF BANCORP, INC ........................... 26
5,500 PROVIDENT FINANCIAL GROUP .................. 251
400 oROSLYN BANCORP, INC ........................ 9
1,500 oSANTA BARBARA BANCORP CALIFORNIA ........... 43
19,600 oSILICON VALLEY BANCSHARES .................. 698
1,080 SOVEREIGN BANCORP, INC ..................... 18
174,356 SYNOVUS FINANCIAL CORP ..................... 4,141
18,674 TCF FINANCIAL CORP ......................... 551
200 oTRUST CO OF N.J. (THE) ..................... 5
17,254 TRUSTCO BANK CORP .......................... 453
18,000 U.S. BANCORP ............................... 774
18,600 U.S. TRUST CORP ............................ 1,418
2,600 UNITED BANKSHARES, INC ..................... 89
23,607 WASHINGTON MUTUAL, INC ..................... 1,025
204,300 WELLS FARGO & CO ........................... 75,387
2,500 oWESTAMERICA BANCORP ........................ 80
100 oWESTERNBANK PUERTO RICO .................... 2
2,300 WILMINGTON TRUST CORP ...................... 140
------------
119,060
------------
EATING AND DRINKING PLACES--0.40%
23,900 APPLE SOUTH, INC ........................... 312
29,340 oAPPLEBEES INTERNATIONAL, INC ............... 656
2,750 oBOSTON CHICKEN, INC ........................ 4
45,113 CKE RESTAURANTS, INC ....................... 1,861
50 oCONSOLIDATED PRODUCTS, INC ................. 1
320 CRACKER BARREL OLD COUNTRY
STORE, INC ................................ 10
4,400 oEINSTEIN/NOAH BAGEL CORP ................... 20
5,800 oFINE HOST CORP ............................. 13
38,267 oFOODMAKER, INC ............................. 646
1,600 oIHOP CORP .................................. 66
489 oLANDRYS SEAFOOD RESTAURANTS, INC ........... 9
450 oLONE STAR STEAKHOUSE & SALOON, INC ......... 6
211,363 MCDONALDS CORP ............................. 14,584
4,500 oNPC INTERNATIONAL, INC ..................... 55
30,400 oOUTBACK STEAKHOUSE, INC .................... 1,186
18,230 oPAPA JOHNS INTERNATIONAL, INC .............. 719
13,200 oPLANET HOLLYWOOD, INC (CLASS A) ............ 92
15,700 oRAINFOREST CAFE, INC ....................... 218
4,700 oRARE HOSPITALITY INTERNATIONAL, INC ........ 69
100 RUBY TUESDAY, INC .......................... 2
3,950 oSBARRO, INC ................................ 107
14,200 oSHOWBIZ PIZZA TIME, INC .................... 572
2,050 oSONIC CORP ................................. 46
200 oTHE CHEESECAKE FACTORY CO .................. 5
92,115 oTRICON GLOBAL RESTAURANTS, INC ............. 2,919
25,108 oU.S. FOODSERVICE, INC ...................... 880
------------
25,058
------------
EDUCATIONAL SERVICES--0.04%
37,950 oAPOLLO GROUP, INC (CLASS A) ................ 1,255
1,684 oCOMPUTER LEARNING CENTERS, INC ............. 42
12,800 oDEVRY, INC ................................. 281
3,100 oEDUCATION MANAGEMENT CORP .................. 102
14,175 oSYLVAN LEARNING SYSTEMS, INC ............... 464
------------
2,144
------------
ELECTRIC, GAS, AND SANITARY
SERVICES--1.45%
62,912 oAES CORP ................................... 3,307
5,000 oALLIED WASTE INDUSTRIES, INC ............... 120
70,919 oAMERICAN STANDARD COS, INC ................. 3,169
13,590 BROWNING FERRIS INDUSTRIES, INC ............ 472
59,349 oREPUBLIC INDUSTRIES, INC ................... 1,484
400 SEMCO ENERGY, INC .......................... 7
100 SONAT, INC ................................. 4
12,427 TEXAS UTILITIES CO ......................... 517
1,641,638 oU.S.A. WASTE SERVICES, INC ................. 81,056
10,100 oUNISOURCE ENERGY CORP HOLDINGS CO .......... 159
24 WASTE MANAGEMENT, INC ...................... 1
------------
90,296
------------
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT--10.56%
9,820 oACTEL CORP ................................. 106
309,390 oADC TELECOMMUNICATIONS, INC ................ 11,302
8,935 oADTRAN, INC ................................ 233
70,650 oADVANCED FIBRE COMMUNICATIONS .............. 2,830
300 oADVANCED MICRO DEVICES, INC ................ 5
300 oALLEN TELECOM, INC ......................... 3
200 oALLIANCE SEMICONDUCTOR CORP ................ 1
620,150 oALTERA CORP ................................ 18,333
1,550 oALTRON, INC ................................ 20
76,000 oAMERICAN POWER CONVERSION CORP ............. 2,280
26,228 AMETEK, INC ................................ 769
131 AMP, INC ................................... 5
1,010,164 oANALOG DEVICES, INC ........................ 24,812
86,075 oANDREW CORP ................................ 1,555
1,725 oARTESYN TECHNOLOGIES, INC .................. 28
36,080 oASCEND COMMUNICATIONS, INC ................. 1,788
34,600 oASPECT TELECOMMUNICATIONS CORP ............. 947
54,100 oATMEL CORP ................................. 737
200 oAURA SYSTEMS, INC .......................... 0
5,850 oAVID TECHNOLOGIES, INC ..................... 196
21,763 AVX CORP ................................... 350
15,773 oBERG ELECTRICS CORP ........................ 309
179 BMC INDUSTRIES, INC ........................ 2
14,450 oBURR BROWN CORP ............................ 303
5,828 C&D TECHNOLOGIES, INC ...................... 338
400 oCHYRON CORP ................................ 1
65,600 oCIENA CORP ................................. 4,567
400 oCOHERENT COMMUNICATIONS SYSTEMS
CORP ...................................... 19
41,741 oCOMVERSE TECHNOLOGY, INC ................... 2,165
760,200 COOPER INDUSTRIES, INC ..................... 41,763
1,300 oDAVOX CORP ................................. 28
1,200 oDIGITAL MICROWAVE CORP ..................... 9
14,800 oDII GROUP, INC ............................. 253
39,796 oDSP COMMUNICATIONS, INC .................... 547
1,200 oECHOSTAR COMMUNICATIONS CORP (CLASS A) ..... 29
300 oEIS INTERNATIONAL, INC ..................... 2
2,400 oELTRON INTERNATIONAL, INC .................. 66
16,921 EMERSON ELECTRIC CO ........................ 1,022
50 oENERGY CONVERSION DEVICES, INC ............. 0
See notes to financial statements.
-58-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT--10.56%
800 oEXAR CORP .................................. $ 17
100 EXIDE CORP ................................. 2
500 oFEI CO ..................................... 5
600 FRANKLIN ELECTRIC CO, INC .................. 41
2,097 oGENERAL DATACOMM INDUSTRIES, INC ........... 10
2,684,930 GENERAL ELECTRIC CO ........................ 244,329
16,344 oGENERAL INSTRUMENT CORP .................... 444
15,300 oGENERAL SEMICONDUCTOR, INC ................. 151
9,900 oGEOTEK COMMUNICATIONS, INC ................. 2
3,250 oGLENAYRE TECHNOLOGIES, INC ................. 35
4,700 oHOLOPHANE CORP ............................. 120
8,900 oIMP, INC ................................... 8
800 oINSILCO CORP ............................... 36
200 oINTEGRATED SILICON SOLUTION, INC ........... 1
1,583,400 INTEL CORP ................................. 117,370
14,300 INTER-TEL, INC ............................. 229
4,514 oJABIL CIRCUIT, INC ......................... 149
700 oJPM CO ..................................... 8
40 oKEMET CORP ................................. 1
311 oLATTICE SEMICONDUCTOR CORP ................. 9
204,375 oLERNOUT & HAUSPIE SPEECH PRODUCTS .......... 12,199
29,965 oLEVEL ONE COMMUNICATIONS, INC .............. 704
788,700 LINEAR TECHNOLOGY CO ....................... 47,568
800 oLO-JACK CORP ............................... 10
134,127 oLSI LOGIC CORP ............................. 3,093
993 oMAGNETEK, INC .............................. 16
111,900 oMAXIM INTEGRATED PRODUCTS .................. 3,546
9,513 oMEMC ELECTRONIC MATERIALS, INC ............. 99
1,000 METHODE ELECTRONICS, INC (CLASS A) ......... 16
11,200 oMICREL, INC ................................ 364
2,300 oMICRO LINEAR CORP .......................... 10
30,070 oMICROCHIP TECHNOLOGY, INC .................. 786
1,271,489 oMICRON TECHNOLOGY, INC ..................... 31,549
32 MOLEX, INC ................................. 1
175,056 MOTOROLA, INC .............................. 9,201
18,000 oMRV COMMUNICATIONS, INC .................... 374
160 oMYLEX CORP ................................. 1
231 oNATIONAL SEMICONDUCTOR CORP ................ 3
10,200 oNEOMAGIC CORP .............................. 158
600 oNIMBUS CD INTERNATIONAL, INC ............... 7
414 oOAK INDUSTRIES, INC ........................ 15
2,500 oOIS OPTICAL IMAGING SYSTEMS, INC ........... 2
11,500 oP-COM, INC ................................. 105
50 oPAIRGAIN TECHNOLOGIES, INC ................. 1
600 PARK ELECTROCHEMICAL CORP .................. 13
8,577 PITTWAY CORP (CLASS A) ..................... 634
4,341 oPLANTRONICS, INC ........................... 224
12,500 oPLEXUS CORP ................................ 248
4,400 oPMC-SIERRA, INC ............................ 206
24,700 oPREMISYS COMMUNICATIONS, INC ............... 614
5,300 oRADISYS CORP ............................... 114
5,700 oRAMBUS, INC ................................ 348
1,000 oREMEC, INC ................................. 11
100 oROGERS CORP ................................ 3
23,900 oROYAL APPLIANCE MANUFACTURING CO,
INC ....................................... 149
750 oS3, INC .................................... 4
6,600 oSANDISK CORP ............................... 91
40,280 oSANMINA CORP ............................... 1,747
800 oSAWTEK, INC ................................ 12
59,841 oSCI SYSTEMS, INC ........................... 2,252
100 SCIENTIFIC-ATLANTA, INC .................... 3
500 oSDL, INC ................................... 12
10,500 oSEMTECH CORP ............................... 186
100 oSENSORMATIC ELECTRONICS CORP ............... 1
1,000 oSHELDAHL, INC .............................. 9
3,200 oSIPEX CORP ................................. 69
500 oSMART MODULAR TECHNOLOGIES, INC ............ 7
3,700 oSUPERTEX, INC .............................. 45
12,420 oSYMMETRICOM, INC ........................... 75
13,330 TECHNITROL, INC ............................ 532
7,700 oTEKELEC .................................... 345
182,950 oTELLABS, INC ............................... 13,104
50 oTELTREND, INC .............................. 1
698,992 TEXAS INSTRUMENTS, INC ..................... 40,760
414 oTHERMO ELECTRON CORP ....................... 14
100 THOMAS & BETTS CORP ........................ 5
2,500 oTRIDENT MICROSYSTEMS, INC .................. 13
400 oTRIQUINT SEMICONDUCTOR, INC ................ 8
4,200 oUCAR INTERNATIONAL, INC .................... 123
12,272 oUNITRODE CORP .............................. 141
400 oVICOR CORP ................................. 6
100 oVIDEOSERVER, INC ........................... 1
51 oVISHAY INTERTECHNOLOGY, INC ................ 1
10,200 oVISX, INC .................................. 607
64,950 oVITESSE SEMICONDUCTOR CORP ................. 2,005
4,300 oVLSI TECHNOLOGY, INC ....................... 72
1,500 WOODHEAD INDUSTRIES, INC ................... 23
20,700 oXILINX, INC ................................ 704
34,800 xoZENITH ELECTRONICS CORP .................... 10
7,800 oZORAN CORP ................................. 98
------------
656,168
------------
ENGINEERING AND MANAGEMENT
SERVICES--0.41%
14,975 BLOUNT INTERNATIONAL, INC .................. 427
700 oCEPHALON, INC .............................. 6
3,300 oDATA TRANSMISSION NETWORK CORP ............. 132
600 oICOS CORP .................................. 11
2,574 oJACOBS ENGINEERING GROUP, INC .............. 83
252 LANDAUER, INC .............................. 8
600 oMYRIAD GENETICS, INC ....................... 9
17,075 oNEUREX CORP ................................ 519
10,900 oNEUROMEDICAL SYSTEMS, INC .................. 8
412 oNFO WORLDWIDE, INC ......................... 7
494,100 oQUINTILES TRANSNATIONAL CORP ............... 24,304
800 oRAMTRON INTERNATIONAL CORP ................. 3
200 oU.S. BIOSCIENCE, INC ....................... 2
------------
25,519
------------
FABRICATED METAL PRODUCTS--1.27%
125 oALLIANT TECHSYSTEMS, INC ................... 8
900 oAMERICAN SAFETY RAZOR CO ................... 13
97 APTARGROUP, INC ............................ 6
5,200 BARNES GROUP, INC .......................... 141
389 CLARCOR, INC ............................... 8
5,050 CRANE CO ................................... 245
23,463 CROWN CORK & SEAL CO, INC .................. 1,114
1,254,631 GILLETTE CO ................................ 71,122
477 oGRIFFON CORP ............................... 6
40 HUBBELL, INC (CLASS B) ..................... 2
25,826 ILLINOIS TOOL WORKS, INC ................... 1,722
17,058 MASCO CORP ................................. 1,032
172 MASCOTECH, INC ............................. 4
100 oMATERIAL SCIENCES CORP ..................... 1
200 oMILLER INDUSTRIES, INC ..................... 2
3,760 oNCI BUILDING SYSTEMS, INC .................. 217
2,300 oROHN INDUSTRIES, INC ....................... 11
218 oSHAW GROUP, INC ............................ 6
2,000 oSILGAN HOLDINGS, INC ....................... 56
See notes to financial statements.
-59-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
FABRICATED METAL PRODUCTS--(CONTINUED)
4,870 oSIMPSON MANUFACTURING CO, INC .............. $ 188
6,479 SNAP-ON, INC ............................... 235
48,506 oSOLECTRON CORP ............................. 2,040
19,092 STRUM, RUGER & CO, INC ..................... 320
3,000 oTOWER AUTOMOTIVE, INC ...................... 129
18,300 oWYMAN-GORDON CO ............................ 365
588 ZERO CORP .................................. 17
------------
79,010
------------
FOOD AND KINDRED PRODUCTS--3.65%
2,775 oAGRIBRANDS INTERNATIONAL, INC .............. 84
83,982 ANHEUSER BUSCH COS, INC .................... 3,963
53,245 BESTFOODS, INC ............................. 3,092
138 BROWN FORMAN, INC (CLASS B) ................ 9
54,469 CAMPBELL SOUP CO ........................... 2,894
896,447 COCA COLA CO ............................... 76,646
129,689 COCA COLA ENTERPRISES, INC ................. 5,090
246,617 CONAGRA, INC ............................... 7,815
7,172 oCORN PRODUCTS INTERNATIONAL, INC ........... 243
19,402 DOLE FOOD, INC ............................. 964
10,742 EARTHGRAINS CO ............................. 600
350 FLOWERS INDUSTRIES, INC .................... 7
71,450 GENERAL MILLS, INC ......................... 4,885
13,367 HEINZ (H.J.) CO ............................ 750
39,624 INTERSTATE BAKERIES CORP ................... 1,315
107,000 KELLOGG CO ................................. 4,019
27,750 LANCASTER COLONY CORP ...................... 1,051
17,600 LANCE, INC ................................. 394
6,100 MCCORMICK & CO, INC (NON-VOTE) ............. 218
1,034,484 PEPSICO, INC ............................... 42,608
1,800 PILGRIMS PRIDE CORP ........................ 36
6,900 oRALCORP HOLDINGS, INC ...................... 130
525,783 RALSTON PURINA CO .......................... 61,418
300 RIVIANA FOODS, INC ......................... 7
50 RJR NABISCO HOLDINGS CORP .................. 1
300 oROBERT MONDAVI CORP (CLASS A) .............. 9
72,815 SARA LEE CORP .............................. 4,073
29,800 oSMITHFIELD FOODS, INC ...................... 909
9,455 TOOTSIE ROLL INDUSTRIES, INC ............... 726
22,850 TYSON FOODS, INC ........................... 496
9,510 oVLASIC FOODS INTERNATIONAL, INC ............ 191
10,533 WORTHINGTON FOODS, INC ..................... 221
19,919 WRIGLEY (WM) JR CO ......................... 1,952
------------
226,816
------------
FOOD STORES--1.35%
71,685 ALBERTSONS, INC ............................ 3,714
80 FOOD LION, INC (CLASS B) ................... 1
79,028 oGENERAL NUTRITION COS, INC ................. 2,460
6,598 HANNAFORD BROTHERS, INC .................... 290
54,910 oKROGER CO .................................. 2,354
1,825,538 oSAFEWAY, INC ............................... 74,277
37,400 oSOUTHLAND CORP ............................. 103
100 oSTARBUCKS CORP ............................. 5
7,600 oWHOLE FOODS MARKET, INC .................... 460
------------
83,664
------------
FURNITURE AND FIXTURES--0.04%
4,684 BUSH INDUSTRIES, INC (CLASS A) ............. 102
20,958 oFURNITURE BRANDS INTERNATIONAL, INC ........ 588
9,700 HON INDUSTRIES, INC ........................ 330
6,919 oKNOLL, INC ................................. 204
7,400 MILLER (HERMAN), INC ....................... 180
44,385 U.S. INDUSTRIES, INC ....................... 1,099
------------
2,503
------------
FURNITURE AND HOMEFURNISHING
STORES--0.13%
21,260 oBED BATH & BEYOND, INC ..................... 1,102
200 oBOMBAY, INC ................................ 1
500 oCOMPUCOM SYSTEMS, INC ...................... 3
84,302 oCOMPUSA, INC ............................... 1,523
5,075 oINACOM CORP ................................ 161
400 oMICROAGE, INC .............................. 6
61,689 PIER 1 IMPORTS, INC ........................ 1,473
15,300 SUNBEAM CORP ............................... 159
44,850 TANDY CORP ................................. 2,380
44,700 oWILLIAMS-SONOMA, INC ....................... 1,422
------------
8,230
------------
GENERAL BUILDING CONTRACTORS--0.05%
43,700 HILLENBRAND INDUSTRIES, INC ................ 2,622
2,846 LENNAR CORP ................................ 84
7,000 oWALTER INDUSTRIES, INC ..................... 133
------------
2,839
------------
GENERAL MERCHANDISE STORES--0.67%
32,841 CASEYS GENERAL STORES, INC ................. 544
39,200 oCOSTCO COS, INC ............................ 2,472
9,500 DAYTON HUDSON CORP ......................... 461
12,637 DOLLAR GENERAL CORP ........................ 500
13,650 oDOLLAR TREE STORES, INC .................... 555
58,044 oFEDERATED DEPARTMENT STORES, INC ........... 3,123
50 HARCOURT GENERAL, INC ...................... 3
86,264 oKOHLS CORP ................................. 4,475
19,594 oNEIMAN-MARCUS GROUP, INC ................... 851
69 PENNEY (J.C.) CO, INC ...................... 5
5,700 oPROFFITTS, INC ............................. 230
45,700 ROSS STORES, INC ........................... 1,965
1,048 oSCHOOL SPECIALTY, INC ...................... 17
23,480 oVENATOR GROUP, INC ......................... 449
428,972 WAL-MART STORES, INC ....................... 26,060
------------
41,710
------------
HEALTH SERVICES--0.44%
6,550 oACCESS HEALTH, INC ......................... 167
3,720 oAMERICAN HOMEPATIENT, INC .................. 71
16,750 oAMERICAN ONCOLOGY RESOURCES, INC ........... 205
34,800 oAPRIA HEALTHCARE GROUP, INC ................ 233
12,522 oBEVERLY ENTERPRISES, INC ................... 173
8,610 oCAREMATRIX CORP ............................ 232
181,567 COLUMBIA/HCA HEALTHCARE CORP ............... 5,288
5,000 oCONCENTRA MANAGED CARE, INC ................ 130
800 oCORAM HEALTHCARE CORP ...................... 2
700 oCOVENTRY HEALTH CARE, INC .................. 10
13,600 oCURATIVE HEALTH SERVICES, INC .............. 388
860 oENZO BIOCHEMICAL, INC ...................... 12
200 oEPITOPE, INC ............................... 1
9,200 oEXPRESS SCRIPTS, INC ....................... 742
61,900 oFIRST HEALTH GROUP CORP .................... 1,764
17,779 oGENESIS HEALTH VENTURES, INC ............... 444
7,768 oHEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) ................................. 260
119,605 oHEALTHSOUTH CORP ........................... 3,192
30,756 oHUMANA, INC ................................ 959
18,991 oINTEGRATED HEALTH SERVICES, INC ............ 712
1,804 oLABORATORY CORP OF AMERICA HOLDINGS ........ 4
2,560 oLABORATORY CORP OF AMERICA
HOLDINGS WTS 04/28/00 ..................... 0
553 oLCA-VISION, INC ............................ 2
3,780 oLINCARE HOLDINGS, INC ...................... 159
186 oMAGELLAN HEALTH SERVICES, INC .............. 5
See notes to financial statements.
-60-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
HEALTH SERVICES--(CONTINUED)
18,189 MANOR CARE, INC ............................ $ 699
7,400 oMAXICARE HEALTH PLANS, INC ................. 50
39,801 oMID ATLANTIC MEDICAL SERVICES, INC ......... 458
15,500 oNATIONAL SURGERY CENTERS, INC .............. 450
4,000 oNOVACARE, INC .............................. 47
76,963 OMNICARE, INC .............................. 2,934
100 oORTHODONTIC CENTERS OF AMERICA, INC ........ 2
2,900 oPARACELSUS HEALTHCARE CORP ................. 9
6,434 oPARAGON HEALTH NETWORK, INC ................ 104
8,109 oPEDIATRIX MEDICAL GROUP, INC ............... 302
7,364 oPHARMERICA, INC ............................ 89
6,600 oPHP HEALTHCARE CORP ........................ 49
3,650 oPHYCOR, INC ................................ 60
5,200 oPHYSICIAN RELIANCE NETWORK, INC ............ 59
15,160 oPHYSICIANS RESOURCE GROUP, INC ............. 69
17,600 oPRIME MEDICAL SERVICES, INC ................ 165
53,825 oPSS WORLD MEDICAL, INC ..................... 787
990 oQUORUM HEALTH GROUP, INC ................... 26
1,050 oSIERRA HEALTH SERVICES, INC ................ 26
100 oSUN HEALTHCARE GROUP, INC .................. 1
80,667 oTENET HEALTHCARE CORP ...................... 2,521
54 oTOTAL RENAL CARE HOLDINGS, INC ............. 2
33,434 UNITED HEALTHCARE CORP ..................... 2,123
18,769 oUNIVERSAL HEALTH SERVICES, INC ............. 1,096
42,233 oVENCOR, INC ................................ 306
------------
27,589
------------
HEAVY CONSTRUCTION, EXCEPT
BUILDING--0.02%
13,100 FLUOR CORP ................................. 668
11,258 FOSTER WHEELER CORP ........................ 241
------------
909
------------
HOLDING AND OTHER INVESTMENT
OFFICES--0.07%
1,100 ALEXANDRIA REAL ESTATE EQUITIES, INC ....... 33
4,750 oAPARTMENT INVESTMENT & MANAGEMENT CO ....... 188
1,620 ASSOCIATED ESTATES REALTY CORP ............. 30
768 CHELSEA GCA REALTY, INC .................... 31
299 CORNERSTONE PROPERTIES, INC ................ 5
188 COUSINS PROPERTIES, INC .................... 6
1,617 DEVELOPERS DIVERSIFIED REALTY CORP ......... 63
12,895 EVEREST REINSURANCE HOLDINGS, INC .......... 496
12,500 FEDERAL REALTY INVESTMENT TR ............... 301
700 oFIRST UNION REAL ESTATE INVESTMENTS ........ 6
9,300 GENERAL GROWTH PROPERTIES, INC ............. 348
5,680 GREAT LAKES REIT, INC ...................... 99
356 HEALTH CARE PROPERTY INVESTORS, INC ........ 13
40,286 oINTERDIGITAL COMMUNICATIONS CORP ........... 217
946 IRVINE APARTMENT COMMUNITIES, INC .......... 27
5,104 JP REALTY, INC ............................. 120
9,000 MACERICH CO (THE) .......................... 264
17,824 MILLS CORP ................................. 428
2,995 NATIONAL HEALTH INVESTORS, INC ............. 99
58 PATRIOT AMERICAN HOSPITALITY, INC .......... 1
200 PENNSYLVANIA REAL ESTATE
INVESTMENT TR ............................. 4
378 RECKSON ASSOCIATES REALTY CORP ............. 9
30 oRECKSON SERVICES INDUSTRIES, INC ........... 0
700 oSAUL CENTERS, INC .......................... 12
64 SIMON DEBARTOLO GROUP, INC ................. 2
5,000 TOWN & COUNTRY TR .......................... 83
1,600 UNIVERSAL HEALTH REALTY INCOME TR .......... 32
48,800 oVENTAS, INC ................................ 674
8,266 VORNADO REALTY TR .......................... 328
32,936 WASHINGTON REAL ESTATE INVESTMENT TR ....... 572
1,200 WESTFIELD AMERICA, INC ..................... 22
------------
4,513
------------
HOTELS AND OTHER LODGING
PLACES--1.26%
16,980 oCAPSTAR HOTEL CO ........................... 475
3,395,417 oCENDANT CORP ............................... 70,879
26,502 oCHOICE HOTELS INTERNATIONAL, INC ........... 359
668 oCIRCUS CIRCUS ENTERPRISES, INC ............. 11
4,500 oHOST MARRIOTT CORP ......................... 80
11,280 oHOST MARRIOTT SERVICES CORP ................ 164
65,090 LA QUINTA INNS, INC ........................ 1,375
45,100 MARRIOTT INTERNATIONAL (CLASS A) ........... 1,460
4,687 oMGM GRAND, INC ............................. 148
7,500 oPRIMADONNA RESORTS, INC .................... 108
14,900 oPRIME HOSPITALITY CORP ..................... 260
68,411 oPROMUS HOTEL CORP .......................... 2,634
2,200 oRED ROOF INNS, INC ......................... 37
1,300 oRIO HOTEL & CASINO, INC .................... 25
3,000 oSIGNATURE RESORTS, INC ..................... 50
9,282 oSODEXHO MARRIOTT SERVICES, INC ............. 269
6,083 oSUNBURST HOSPITALITY CORP .................. 42
------------
78,376
------------
INDUSTRIAL MACHINERY AND
EQUIPMENT--5.06%
63,827 o3COM CORP .................................. 1,959
400 oADAPTEC, INC ............................... 6
10,117 ALLIED PRODUCTS CORP ....................... 214
3,700 oAPEX PC SOLUTIONS, INC ..................... 103
1,290,250 oAPPLIED MATERIALS, INC ..................... 38,062
11,600 oAPPLIED POWER, INC (CLASS A) ............... 399
700 oASYST TECHNOLOGIES, INC .................... 9
3,500 oATMI, INC .................................. 53
521 oAXIOHM TRANSACTION SOLUTIONS, INC .......... 5
3,937 BAKER HUGHES, INC .......................... 136
333 oBANCTEC, INC ............................... 8
19,585 oBAY NETWORKS, INC .......................... 632
964 oBELL & HOWELL CO ........................... 25
640 oBLACK BOX CORP ............................. 21
17,705 BRUNSWICK CORP ............................. 438
32,200 oC-CUBE MICROSYSTEMS, INC ................... 598
8,900 oCENTENNIAL TECHNOLOGIES, INC ............... 11
8,573 CHART INDUSTRIES, INC ...................... 205
200 oCIRRUS LOGIC, INC .......................... 2
1,015,044 oCISCO SYSTEMS, INC ......................... 93,447
28,887 oCOLTEC INDUSTRIES, INC ..................... 574
512,421 COMPAQ COMPUTER CORP ....................... 14,540
115 oCOOPER CAMERON CORP ........................ 6
6,000 oCOPYTELE, INC .............................. 14
100 oDATA GENERAL CORP .......................... 1
223,231 oDELL COMPUTER CORP ......................... 20,719
3,100 oDIALOGIC CORP .............................. 92
23,650 DIEBOLD, INC ............................... 683
15,000 oDRESSER INDUSTRIES, INC .................... 661
5,100 DT INDUSTRIES, INC ......................... 124
4,500 oDUPONT PHOTOMASKS, INC ..................... 155
233,570 oEMC CORP ................................... 10,467
800 oENCAD, INC ................................. 11
10,400 oETEC SYSTEMS, INC .......................... 366
8,117 FLOWSERVE CORP ............................. 200
200 oFSI INTERNATIONAL, INC ..................... 2
See notes to financial statements.
-61-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
INDUSTRIAL MACHINERY AND
EQUIPMENT--(CONTINUED)
11,594 oGARDNER DENVER, INC ........................ $ 320
60,662 oGATEWAY 2000, INC .......................... 3,071
300 oGENERAL BINDING CORP ....................... 11
573 GRACO, INC ................................. 20
305,992 HEWLETT-PACKARD CO ......................... 18,321
24,500 HUSSMANN INTERNATIONAL, INC ................ 455
527 IDEX CORP .................................. 18
100 oIMATION CORP ............................... 2
100 oINTEGRATED PROCESS EQUIPMENT CORP .......... 1
2,300 oINTEVAC, INC ............................... 25
292 oIOMEGA CORP ................................ 2
12,364 JLG INDUSTRIES, INC ........................ 250
34,029 KAYDON CORP ................................ 1,202
52 KENNAMETAL, INC ............................ 2
650 oKOMAG, INC ................................. 3
500 oKULICHE & SOFFA INDUSTRIES, INC ............ 9
397,400 oLAM RESEARCH CORP .......................... 7,600
58,037 oLEXMARK INTERNATIONAL GROUP (CLASS A) ...... 3,540
300 oMICRON ELECTRONICS, INC .................... 4
16,100 oMICROS SYSTEMS, INC ........................ 533
5,900 oMICROTOUCH SYSTEMS, INC .................... 110
7,200 xoMOLTEN METAL TECHNOLOGY, INC ............... 1
37 oNCR CORP ................................... 1
15,300 oNETWORK COMPUTING DEVICES, INC ............. 124
3,200 oNETWORK EQUIPMENT TECHNOLOGIES, INC ........ 50
4,400 NORDSON CORP ............................... 207
670,254 oNOVELLUS SYSTEMS, INC ...................... 23,920
2,300 oOAKLEY, INC ................................ 31
11,200 OMNIQUIP INTERNATIONAL, INC ................ 207
150 PALL CORP .................................. 3
325 oPAXAR CORP ................................. 4
17,800 oPHOTRONICS, INC ............................ 393
34,021 PITNEY BOWES, INC .......................... 1,637
500 oPRESSTEK, INC .............................. 6
10,700 oPROXIM, INC ................................ 178
800 oQUANTUM CORP ............................... 17
29 oRATIONAL SOFTWARE CORP ..................... 0
5,984 ROBBINS & MYERS, INC ....................... 174
13,400 ROPER INDUSTRIES, INC ...................... 350
1,344 oSAFEGUARD SCIENTIFICS, INC ................. 56
85,162 oSEAGATE TECHNOLOGY, INC .................... 2,028
200 oSECURITY DYNAMICS TECHNOLOGIES, INC ........ 4
16,000 oSHIVA CORP ................................. 134
300 oSILICON GRAPHICS, INC ...................... 4
829 oSLI, INC ................................... 22
303 oSMITH INTERNATIONAL, INC ................... 11
300 oSPECIALTY EQUIPMENT COS, INC ............... 7
11,900 oSPLASH TECHNOLOGY HOLDINGS, INC ............ 205
100 oSPS TECHNOLOGIES, INC ...................... 6
148,650 oSUN MICROSYSTEMS, INC ...................... 6,457
13,232 SYMBOL TECHNOLOGIES, INC ................... 500
1,700 oTSENG LABORATORIES, INC .................... 5
181 oU.S. FILTER CORP ........................... 5
1,942,360 oUNISYS CORP ................................ 54,872
492 oUNOVA, INC ................................. 11
32,651 oVARCO INTERNATIONAL, INC ................... 647
27,200 oXYLAN CORP ................................. 811
11,234 YORK INTERNATIONAL CORP .................... 489
800 oZEBRA TECHNOLOGY CORP ...................... 34
------------
314,058
------------
INSTRUMENTS AND RELATED
PRODUCTS--2.89%
22,129 oACUSON CORP ................................ 402
18,900 oADAC LABORATORIES, INC ..................... 425
12,840 ARROW INTERNATIONAL, INC ................... 352
60,700 oARTERIAL VASCULAR ENGINEERING, INC ......... 2,170
13,234 oATL ULTRASOUND, INC ........................ 604
29,982 BALLARD MEDICAL PRODUCTS CO ................ 540
100 BARD (C.R.), INC ........................... 4
142,833 BAXTER INTERNATIONAL, INC .................. 7,686
200 oBAXTER INTERNATIONAL, INC RTS .............. 0
26,625 BECTON DICKINSON & CO ...................... 2,067
30,000 oBIOMET, INC ................................ 992
19,419 oBOSTON SCIENTIFIC CORP ..................... 1,391
24 oCARDIOVASULAR DYNAMICS, INC ................ 0
300 oCELLPRO, INC ............................... 1
4,320 oCNS, INC ................................... 20
1,000 oCOHERENT, INC .............................. 17
600 oCOLE NATIONAL CORP (CLASS A) ............... 24
3,750 oCONMED CORP ................................ 86
13,106 oCOOPER COS, INC ............................ 478
500 oCREDENCE SYSTEMS CORP ...................... 10
2,040,200 DENTSPLY INTERNATIONAL, INC ................ 51,005
4,558 oDEPUY, INC ................................. 129
1,400 DIAGNOSTIC PRODUCTS CORP ................... 40
22,200 oDIONEX CORP ................................ 586
9,542 oDYNATECH CORP .............................. 30
51,020 EASTMAN KODAK CO ........................... 3,728
250 oFOSSIL, INC ................................ 6
10 FRESENIUS MEDICAL CARE AG. ADR ............. 0
29,292 oGENRAD, INC ................................ 579
46,162 GUIDANT CORP ............................... 3,292
2,200 oHEARTPORT, INC ............................. 14
500 oHOLOGIC, INC ............................... 9
19,700 HONEYWELL, INC ............................. 1,646
4,600 oIMATRON, INC ............................... 13
35,785 oINPUT/OUTPUT, INC .......................... 637
15,300 INVACARE CORP .............................. 392
3,300 oISOLYSER CO, INC ........................... 9
868,800 oKLA-TENCOR CORP ............................ 24,055
500 oLTX CORP ................................... 2
2,325 oMARQUETTE MEDICAL SYSTEMS, INC
(CLASS A) ................................. 60
160,447 MEDTRONIC, INC ............................. 10,228
15,300 MENTOR CORP ................................ 371
600 oMINIMED, INC ............................... 31
11,000 oNEOPROBE CORP .............................. 30
8,468 oOEC MEDICAL SYSTEMS, INC ................... 191
300 oORBITAL SCIENCES CORP ...................... 11
900 oPERCLOSE, INC .............................. 25
6,100 oPHYSIO-CONTROL INTERNATIONAL CORP .......... 161
9,100 oPOSSIS MEDICAL, INC ........................ 114
13,500 oRESPIRONICS, INC ........................... 210
9,250 oROBOTIC VISION SYSTEMS, INC ................ 41
1,000 oSABRATEK CORP .............................. 23
10,200 oSCOTT TECHNOLOGIES, INC (CLASS A) .......... 149
18,000 oSEPRACOR, INC .............................. 747
1,683 oSONOSIGHT, INC ............................. 12
51 oST. JUDE MEDICAL, INC ...................... 2
10,700 oSTAAR SURGICAL CO .......................... 167
300 oSTERIS CORP ................................ 19
89 oSTRYKER CORP ............................... 3
300 oSUMMIT TECHNOLOGY, INC ..................... 2
933 oSYBRON INTERNATIONAL CORP .................. 24
See notes to financial statements.
-62-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
INSTRUMENTS AND RELATED
PRODUCTS--(CONTINUED)
4,900 oSYNETIC, INC ............................... $ 279
4,544 TEKTRONIX, INC ............................. 161
9,943 oTERADYNE, INC .............................. 266
1,400 oTHERMEDICS DETECTION, INC .................. 13
413 oTHERMEDICS, INC ............................ 5
100 oTHERMO CARDIOSYSTEMS, INC .................. 2
1,000 oTHERMO OPTEK CORP .......................... 15
300 oTHERMOQUEST CORP ........................... 4
830 oTHERMOTREX CORP ............................ 14
6,700 oTREX MEDICAL CORP .......................... 111
900 oTRIMBLE NAVIGATION LTD ..................... 15
180 U.S. SURGICAL CORP ......................... 8
3,680 oUNIPHASE CORP .............................. 231
300 oUROMED CORP ................................ 2
14,186 VARIAN ASSOCIATES, INC ..................... 553
8,100 oVEECO INSTRUMENTS, INC ..................... 201
1,000 oVITAL SIGNS, INC ........................... 18
1,700 oVIVUS, INC ................................. 10
2,900 oWESLEY JESSEN VISIONCARE, INC .............. 67
4,100 oWIRELESS TELECOM GROUP, INC ................ 16
14,300 X RITE, INC ................................ 196
602,279 XEROX CORP ................................. 61,207
6,200 oZYGO CORP .................................. 74
------------
179,530
------------
INSURANCE AGENTS, BROKERS AND
SERVICE--0.01%
18,604 CRAWFORD & CO (CLASS B) .................... 349
100 GALLAGHER (ARTHUR J.) & CO ................. 4
201 MARSH & MCLENNAN COS, INC .................. 12
------------
365
------------
INSURANCE CARRIERS--5.32%
100 20TH CENTURY INDUSTRIES .................... 3
1,059,000 ACE LTD .................................... 41,301
15 AETNA, INC ................................. 1
116,550 AFLAC, INC ................................. 3,533
700 AMERICAN BANKERS INSURANCE GROUP, INC ...... 42
583,727 AMERICAN INTERNATIONAL GROUP, INC .......... 85,224
17,800 oAMERIN CORP ................................ 520
6,963 CMAC INVESTMENT CORP ....................... 428
6,200 oCOMPDENT CORP .............................. 97
66,931 CONSECO, INC ............................... 3,129
779,500 oEXEL LTD ................................... 60,655
5,200 FOREMOST CORP OF AMERICA ................... 125
1,820 oFOUNDATION HEALTH SYSTEMS (CLASS A) ........ 48
2,500 oFPA MEDICAL MANAGEMENT, INC ................ 3
25,940 FRONTIER INSURANCE GROUP, INC .............. 585
6,109 HARTFORD LIFE, INC (CLASS A) ............... 348
20,607 HCC INSURANCE HOLDINGS, INC ................ 453
50 oHIGHLANDS INSURANCE GROUP, INC ............. 1
1,002,262 +LIFE RE CORP ............................... 83,062
83 MBIA, INC .................................. 6
69,695 MGIC INVESTMENT CORP ....................... 3,977
29,330 oOXFORD HEALTH PLANS, INC ................... 449
3,065 oPACIFICARE HEALTH SYSTEMS, INC (CLASS A) ... 259
6,523 oPACIFICARE HEALTH SYSTEMS, INC (CLASS B) ... 576
8,400 oPHYMATRIX CORP ............................. 74
4,283 PMI GROUP, INC ............................. 314
226,302 PROGRESSIVE CORP ........................... 31,909
7,052 PROTECTIVE LIFE CORP ....................... 259
2,900 PROVIDENT COS, INC ......................... 100
1,555 REINSURANCE GROUP OF AMERICA, INC .......... 92
3,500 RELIANCE GROUP HOLDINGS, INC ............... 61
125 SCPIE HOLDINGS, INC ........................ 4
43,970 SUNAMERICA, INC ............................ 2,526
156,422 TRAVELERS GROUP, INC ....................... 9,483
10,700 oTRIAD GUARANTY, INC ........................ 364
1,808 VESTA INSURANCE GROUP, INC ................. 39
1,500 oWELLPOINT HEALTH NETWORKS, INC ............. 111
------------
330,161
------------
LEATHER AND LEATHER PRODUCTS--0.04%
25,035 oNINE WEST GROUP, INC ....................... 671
8,586 oSAMSONITE CORP ............................. 93
41,996 STRIDE RITE CORP ........................... 633
2,827 oTIMBERLAND CO .............................. 203
37,512 WOLVERINE WORLD WIDE, INC .................. 814
------------
2,414
------------
LEGAL SERVICES--0.00%
985 oPREPAID LEGAL SERVICES, INC ................ 31
------------
LOCAL AND INTERURBAN PASSENGER
TRANSIT--0.01%
3,100 oRURAL/METRO CORP ........................... 40
10,860 VIAD CORP .................................. 301
------------
341
------------
LUMBER AND WOOD PRODUCTS--0.03%
11,600 oAMERICAN HOMESTAR CORP ..................... 278
47,004 oCHAMPION ENTERPRISES, INC .................. 1,381
1,120 CLAYTON HOMES, INC ......................... 21
1,000 oTRIANGLE PACIFIC CORP ...................... 55
4,000 UNIVERSAL FOREST PRODUCTS, INC ............. 66
------------
1,801
------------
METAL MINING--0.22%
718,000 EUOR-NEVADA MINING CORP .................... 9,789
53,104 FREEPORT-MCMORAN COPPER & GOLD, INC
(CLASS A) ................................. 757
106,637 FREEPORT-MCMORAN COPPER & GOLD, INC
(CLASS B) ................................. 1,620
43,139 NEWMONT MINING CORP ........................ 1,019
8,829 SOUTHERN PERU COPPER CORP .................. 115
2,741 oSTILLWATER MINING CO ....................... 74
45,063 oSUNSHINE MINING & REFINING CO .............. 42
------------
13,416
------------
MISCELLANEOUS MANUFACTURING
INDUSTRIES--5.87%
2,339 ARMSTRONG WORLD INDUSTRIES, INC ............ 158
28,217 oBLYTH INDUSTRIES, INC ...................... 938
524 CALLAWAY GOLF CO ........................... 10
97 HASBRO, INC ................................ 4
18,362 oHEXCEL CORP ................................ 415
91,021 INTERNATIONAL GAME TECHNOLOGY CO ........... 2,207
23,044 JOSTENS, INC ............................... 550
9,200 K2, INC .................................... 162
11,330 oLYDALL, INC ................................ 165
1,192,111 MATTEL, INC ................................ 50,441
57,293 MINNESOTA MINING & MANUFACTURING CO ........ 4,709
29,803 TIFFANY & CO ............................... 1,431
4,820,716 TYCO INTERNATIONAL LTD ..................... 303,705
3,100 oWMS INDUSTRIES, INC ........................ 13
------------
364,908
------------
MISCELLANEOUS REPAIR SERVICES--0.00%
100 oSERVICE EXPERTS, INC ....................... 3
------------
See notes to financial statements.
-63-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
MISCELLANEOUS RETAIL--0.48%
63,059 oBORDERS GROUP, INC ......................... $ 2,333
2,806 oBRYLANE, INC ............................... 129
6,830 oCDW COMPUTER CENTERS, INC .................. 342
93,883 CVS CORP ................................... 3,656
600 oFRIEDMANS, INC (CLASS A) ................... 10
17,700 oGARDEN RIDGE CORP .......................... 343
1,233 oGLOBAL DIRECTMAIL CORP ..................... 16
6,957 HANCOCK FABRICS, INC ....................... 87
3,800 oJUMBOSPORTS, INC ........................... 4
8,809 oLANDS END, INC ............................. 279
800 oMICHAELS STORES, INC ....................... 28
13,000 oMICRO WAREHOUSE, INC ....................... 202
6,060 oNATIONAL MEDIA CORP ........................ 7
90,118 oOFFICE DEPOT, INC .......................... 2,844
45,659 oOFFICEMAX, INC ............................. 753
20,400 oPETCO ANIMAL SUPPLIES, INC ................. 407
1,240 oPETSMART, INC .............................. 12
9,042 RITE AID CORP .............................. 340
119,377 SEARS ROEBUCK & CO ......................... 7,289
164,510 oSTAPLES, INC ............................... 4,761
1,050 oSUNGLASS HUT INTERNATIONAL, INC ............ 12
17,192 oTHE SPORTS AUTHORITY, INC .................. 257
85 oTOYS R US, INC ............................. 2
200 oVIKING OFFICE PRODUCTS, INC ................ 6
142,465 WALGREEN CO ................................ 5,886
2,300 oZALE CORP .................................. 73
------------
30,078
------------
MOTION PICTURES--0.44%
18,643 oAMERICAN MEDIA, INC (CLASS A) .............. 124
300 oCNET, INC .................................. 20
260,401 DISNEY (WALT) CO ........................... 27,358
3,300 oHOLLYWOOD ENTERTAINMENT CORP ............... 45
------------
27,547
------------
NONDEPOSITORY INSTITUTIONS--1.16%
200 AAMES FINANCIAL CORP ....................... 3
12,475 ADVANTA CORP (CLASS A) ..................... 274
151,927 AMERICAN EXPRESS CO ........................ 17,320
29 AMERICAN GENERAL CORP ...................... 2
29,443 oAMERICREDIT CORP ........................... 1,051
18,400 oAMRESCO, INC ............................... 536
1,037 oARCADIA FINANCIAL LTD ...................... 8
88,230 ASSOCIATES FIRST CAPITAL CORP .............. 6,783
5,800 CAPITAL ONE FINANCIAL CORP ................. 720
11,400 oCITYSCAPE FINANCIAL CORP ................... 1
68 COUNTRYWIDE CREDIT INDUSTRIES, INC ......... 3
9,600 oCREDIT ACCEPTANCE CORP ..................... 82
500 oDELTA FINANCIAL CORP ....................... 9
367,543 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ............................... 22,328
20,439 FIRST UNION CORP ........................... 1,191
26,565 oFIRSTPLUS FINANCIAL GROUP, INC ............. 956
257,734 FREDDIE MAC ................................ 12,130
12,388 GREEN TREE FINANCIAL CORP .................. 530
72,377 HOUSEHOLD INTERNATIONAL, INC ............... 3,601
600 oIMC MORTGAGE CO ............................ 6
21,100 oIMPERIAL CREDIT INDUSTRIES, INC ............ 496
11,100 oLONG BEACH FINANCIAL CORP .................. 122
2,850 oMERCURY FINANCE CO ......................... 0
2,000 METRIS COS, INC ............................ 128
75,384 SLM HOLDING CORP ........................... 3,694
200 oSOUTHERN PACIFIC FUNDING CORP .............. 3
100 UNITED COS FINANCIAL CORP .................. 2
------------
71,979
------------
OIL AND GAS EXTRACTION--3.27%
1,244,929 APACHE CORP ................................ 39,215
7,121 oATWOOD OCEANICS, INC ....................... 284
19,600 oBARNETT RESOURCES CORP ..................... 734
5,200 BELCO OIL & GAS CORP ....................... 45
9,400 oBENTON OIL & GAS CO ........................ 100
5,500 BERRY PETROLEUM CO (CLASS A) ............... 72
42,197 oBJ SERVICES CO ............................. 1,226
11,750 BURLINGTON RESOURCES, INC .................. 506
1,391 CHESAPEAKE ENERGY CORP ..................... 6
5,375 oCLIFFS DRILLING CO ......................... 176
500 oCOHO ENERGY, INC ........................... 3
25 CROSS TIMBERS OIL CO ....................... 0
11,214 DEVON ENERGY CORP .......................... 392
966,500 DIAMOND OFFSHORE DRILLING, INC ............. 38,660
100 oEEX CORP ................................... 1
28,004 ENRON OIL & GAS CO ......................... 567
140,836 ENSCO INTERNATIONAL, INC ................... 2,447
3,301 oEVI WEATHERFORD, INC ....................... 123
50,514 oGLOBAL INDUSTRIES LTD ...................... 852
22,300 oGLOBAL MARINE, INC ......................... 417
121,202 HALLIBURTON CO ............................. 5,401
16,300 KCS ENERGY, INC ............................ 186
2,893 oKEY ENERGY GROUP, INC ...................... 38
994 LOMAK PETROLEUM, INC ....................... 10
540 oMARINE DRILLING CO, INC .................... 9
600 oMERIDIAN RESOURCE CORP ..................... 4
100 oNABORS INDUSTRIES, INC ..................... 2
11,646 oNEWFIELD EXPLORATION CO .................... 290
24,248 oNEWPARK RESOURCES, INC ..................... 270
59,515 NGC CORP ................................... 744
15,846 oNOBLE DRILLING CORP ........................ 381
5,084,078 +oOCEAN ENERGY, INC NEW ...................... 99,457
12,000 oOCEANEERING INTERNATIONAL, INC ............. 213
45,890 oPARKER DRILLING CO ......................... 324
19,600 oPATTERSON ENERGY, INC ...................... 192
23,300 PIONEER NATURAL RESOURCES CO ............... 556
148,545 oR & B FALCON CORP .......................... 3,361
46,368 oROWAN COS, INC ............................. 901
48 oSEAGULL ENERGY CORP ........................ 1
1,640 oSEITEL, INC ................................ 27
11,000 ST. MARY LAND & EXPLORATION CO ............. 265
4,513 oSTONE ENERGY CORP .......................... 160
562 oSWIFT ENERGY CO ............................ 9
100 oTRANSMONTAIGNE OIL CO ...................... 1
747 oTRANSTEXAS GAS CORP ........................ 7
685 UNION PACIFIC RESOURCES GROUP, INC ......... 12
756 oUNIT CORP .................................. 5
16,673 VASTAR RESOURCES, INC ...................... 728
21,768 oVERITAS DGC, INC ........................... 1,087
29,252 VINTAGE PETROLEUM, INC ..................... 552
22,351 oWESTERN ATLAS, INC ......................... 1,897
------------
202,916
------------
PAPER AND ALLIED PRODUCTS--0.23%
30,430 oAMERICAN PAD & PAPER CO .................... 137
2,564 AVERY DENNISON CORP ........................ 138
28,113 oBUCKEYE TECHNOLOGIES, INC .................. 662
15,100 CARAUSTAR INDUSTRIES, INC .................. 436
10,060 FIRST BRANDS CORP .......................... 258
8,995 FORT JAMES CORP ............................ 400
1,623 oGAYLORD CONTAINER CO ....................... 12
3,100 GLATFELTER (P.H.) CO ....................... 49
5,600 oJEFFERSON SMURFIT CORP ..................... 88
241,712 KIMBERLY-CLARK CORP ........................ 11,089
23,400 oMAIL-WELL, INC ............................. 507
See notes to financial statements.
-64-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
PAPER AND ALLIED PRODUCTS--(CONTINUED)
10,551 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ...... $ 306
21,791 oSHOREWOOD PACKAGING CORP ................... 346
49 SONOCO PRODUCTS CO ......................... 1
1,510 WAUSAU-MOSINEE PAPER CORP .................. 35
80 oZOLTEK COS, INC ............................ 2
------------
14,466
------------
PERSONAL SERVICES--0.04%
8,000 BLOCK (H&R), INC ........................... 337
100 CINTAS CORP ................................ 5
50 G & K SERVICES, INC (CLASS A) .............. 2
300 REGIS CORP ................................. 9
55,334 SERVICE CORP INTERNATIONAL ................. 2,372
300 oTHERMOLASE CORP ............................ 2
300 UNITOG CO .................................. 7
------------
2,734
------------
PETROLEUM AND COAL PRODUCTS--0.10%
2,000 oELCOR CORP ................................. 51
2,409 LYONDELL PETROCHEMICAL CO .................. 73
84 TEXACO, INC ................................ 5
124,412 TOSCO CORP ................................. 3,655
50,634 UNOCAL CORP ................................ 1,810
4,000 VALERO ENERGY CORP ......................... 133
14,200 WD-40 CO ................................... 385
------------
6,112
------------
PRIMARY METAL INDUSTRIES--0.11%
225 oAFC CABLE SYSTEMS, INC ..................... 8
112,420 ALLEGHENY TELEDYNE, INC .................... 2,572
2,865 oALPINE GROUP, INC .......................... 59
7,500 oARMCO, INC ................................. 48
8,423 BELDEN, INC ................................ 258
621 oCABLE DESIGN TECHNOLOGIES CO ............... 13
900 CENTURY ALUMINUM CO ........................ 13
6,000 oCHASE INDUSTRIES, INC ...................... 119
133 oCOMMSCOPE, INC ............................. 2
2,100 oENCORE WIRE CORP ........................... 34
50,973 ENGELHARD CORP ............................. 1,032
282 oESSEX INTERNATIONAL, INC ................... 7
17,266 GENERAL CABLE CORP ......................... 499
100 oGIBRALTAR STEEL CORP ....................... 2
336 IMCO RECYCLING, INC ........................ 6
1,400 INTERMET CORP .............................. 25
172 oLONE STAR TECHNOLOGIES, INC ................ 3
1,100 NN BALL & ROLLER, INC ...................... 13
100 oOPTICAL CABLE CORP ......................... 1
3,100 OREGON STEEL MILLS, INC .................... 58
22,419 PRECISION CAST PARTS CORP .................. 1,197
7,387 QUANEX CORP ................................ 224
12,832 oRMI TITANIUM CO ............................ 292
4,200 oSPECIAL METALS CORP ........................ 59
2,234 STANDEX INTERNATIONAL CORP ................. 66
500 oSTEEL DYNAMICS, INC ........................ 7
16,600 TITANIUM METALS CORP ....................... 366
1,600 oWOLVERINE TUBE, INC ........................ 61
380 WORTHINGTON INDUSTRIES, INC ................ 6
------------
7,050
------------
PRINTING AND PUBLISHING--0.37%
1,400 AMERICAN BUSINESS PRODUCTS, INC ............ 29
300 oAPPLIED GRAPHICS TECHNOLOGIES, INC ......... 14
33,100 BELO (A.H.) CORP SERIES A .................. 807
17,115 oBIG FLOWER HOLDINGS, INC ................... 513
5,606 CENTRAL NEWSPAPERS, INC (CLASS A) .......... 391
6,300 oCONSOLIDATED GRAPHICS, INC ................. 372
3,300 oDAY RUNNER, INC ............................ 83
69,656 DELUXE CORP ................................ 2,495
119,987 GANNETT CO, INC ............................ 8,527
14,535 HARLAND (JOHN H.) CO ....................... 246
25,653 oJOURNAL REGISTER CO ........................ 430
23,820 LEE ENTERPRISES, INC ....................... 729
13,100 xoMARVEL ENTERTAINMENT GROUP, INC ............ 4
200 MERRILL CORP ............................... 4
2,000 NEW ENGLAND BUSINESS SERVICES, INC ......... 65
350 NEW YORK TIMES CO (CLASS A) ................ 28
34,313 NEWS CORP LTD ADR (LTD-VOTE) ............... 969
16,300 oPLAYBOY ENTERPRISES, INC (CLASS B) ......... 289
839 oPRIMEDIA, INC .............................. 11
800 PULITZER PUBLISHING CO ..................... 71
4,142 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE) ...................... 112
60,409 REYNOLDS & REYNOLDS CO (CLASS A) ........... 1,099
900 STANDARD REGISTER, INC ..................... 32
100 THOMAS NELSON, INC ......................... 1
13,628 TIME WARNER, INC ........................... 1,164
100 TIMES MIRROR CO SERIES A ................... 6
4,400 oTOPPS, INC ................................. 14
61,326 TRIBUNE CO ................................. 4,220
3,240 oVALASSIS COMMUNICATIONS, INC ............... 125
786 WALLACE COMPUTER SERVICES, INC ............. 19
1,477 oWORKFLOW MANAGEMENT, INC ................... 12
2,100 oWORLD COLOR PRESS, INC ..................... 74
------------
22,955
------------
RAILROAD TRANSPORTATION--0.02%
125 oCANADIAN NATIONAL RAILWAY CO ............... 7
7,700 KANSAS CITY SOUTHERN INDUSTRIES, INC ....... 382
4 UNION PACIFIC CORP ......................... 0
47,950 oWISCONSIN CENTRAL TRANSIT CORP ............. 1,049
------------
1,438
------------
REAL ESTATE--0.04%
400 oALEXANDERS, INC ............................ 36
100 oCB RICHARD ELLIS SERVICES GROUP, INC ....... 3
44,000 oFAIRFIELD COMMUNITIES, INC ................. 844
5,832 oINSIGNIA FINANCIAL GROUP, INC .............. 143
9,600 oLNR PROPERTY CORP .......................... 246
42,726 ROUSE CO ................................... 1,343
------------
2,615
------------
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS--2.14%
1,300 oAEP INDUSTRIES, INC ........................ 28
17,990 FURON CO ................................... 326
8,078 GENCORP, INC ............................... 204
19,598 GOODRICH (B.F.) CO ......................... 973
8,200 oGRACE, W.R. & CO ........................... 140
100 oLIQUI-BOX CORP ............................. 5
1,535,122 MONSANTO CO ................................ 85,775
714,831 NIKE, INC (CLASS B) ........................ 34,803
84,420 RAYCHEM CORP ............................... 2,496
1,134 oREEBOK INTERNATIONAL LTD ................... 31
91,055 RUBBERMAID, INC ............................ 3,022
32,194 oSAFESKIN CORP .............................. 1,324
8,795 oSEALED AIR CORP ............................ 323
42,857 SOLUTIA, INC ............................... 1,229
11,728 SPARTECH CORP .............................. 251
1,700 REDEGAR INDUSTRIES, INC .................... 144
50,829 TUPPERWARE CORP ............................ 1,430
See notes to financial statements.
-65-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS--(CONTINUED)
13,149 WYNNS INTERNATIONAL, INC ................... $ 253
------------
132,757
------------
SECURITY AND COMMODITY
BROKERS--0.15%
1,000 EVEREN CAPITAL CORP ........................ 28
67,132 FRANKLIN RESOURCES, INC .................... 3,625
285 oHAMBRECHT & QUIST GROUP .................... 10
1,300 oINVESTMENT TECHNOLOGY GROUP, INC ........... 36
17,412 JEFFERIES GROUP, INC ....................... 714
5,304 JOHN NUVEEN CO (CLASS A) ................... 211
3,800 LEGG MASON, INC ............................ 219
6,253 LEHMAN BROTHERS HOLDINGS, INC .............. 485
14,601 MCDONALD & CO INVESTMENTS .................. 479
451 MORGAN KEEGAN, INC ......................... 12
23,611 MORGAN STANLEY, DEAN WITTER, & CO .......... 2,157
200 PRICE (T. ROWE) ASSOCIATES, INC ............ 8
28,817 RAYMOND JAMES FINANCIAL CORP ............... 863
4,422 SCHWAB (CHARLES) CORP ...................... 144
2,400 SEI INVESTMENT CO .......................... 149
------------
9,140
------------
SPECIAL TRADE CONTRACTORS--0.00%
1,354 oAMERICAN RESIDENTIAL SERVICES, INC ......... 15
6,600 xoAMRE, INC .................................. 0
1,000 APOGEE ENTERPRISES, INC .................... 15
4,600 oWESTELL TECHNOLOGIES, INC (CLASS A) ........ 43
------------
73
------------
STONE, CLAY, AND GLASS
PRODUCTS--0.10%
100 oACX TECHNOLOGIES, INC ...................... 2
295 CENTEX CONSTRUCTION PRODUCTS, INC .......... 11
32,340 CORNING, INC ............................... 1,124
1,000 oGIANT CEMENT HOLDINGS, INC ................. 29
11,072 LIBBEY, INC ................................ 424
22,995 OWENS CORNING CO ........................... 938
8,000 oOWENS ILLINOIS, INC ........................ 358
14,266 PPG INDUSTRIES, INC ........................ 992
24,302 oSOLA INTERNATIONAL, INC .................... 794
25,191 oUSG CORP ................................... 1,363
------------
6,035
------------
TEXTILE MILL PRODUCTS--0.84%
7,204 oCOLLINS & AIKMAN CORP ...................... 54
8,811 oPOLYMER GROUP, INC ......................... 100
10,708 SHAW INDUSTRIES, INC ....................... 189
11,545 ST. JOHN KNITS, INC ........................ 446
3,109 UNIFI, INC ................................. 106
1,552,700 oWESTPOINT STEVENS, INC ..................... 51,239
------------
52,134
------------
TOBACCO PRODUCTS--0.62%
4,188 oCONSOLIDATED CIGAR HOLDINGS, INC ........... 51
8,443 oGENERAL CIGAR HOLDINGS, INC
(CLASS A) ................................. 83
978,586 PHILIP MORRIS COS, INC ..................... 38,532
------------
38,666
------------
TRANSPORTATION BY AIR--0.41%
2,700,000 oAIR CANADA, INC ............................ 24,143
4,800 oAIRTRAN HOLDINGS, INC ...................... 36
707 oATLAS AIR, INC ............................. 24
3,625 COMAIR HOLDINGS, INC ....................... 112
900 oEAGLE U.S.A. AIRFREIGHT, INC ............... 31
3,800 oKITTY HAWK, INC ............................ 65
200 oMESABA HOLDINGS, INC ....................... 5
2,400 oMIDWEST EXPRESS HOLDINGS, INC .............. 87
26,300 oNORTHWEST AIRLINES CORP (CLASS A) .......... 1,014
------------
25,517
------------
TRANSPORTATION EQUIPMENT--2.17%
3,100 oAFTERMARKET TECHNOLOGY CORP ................ 58
169,271 ALLIED SIGNAL, INC ......................... 7,511
200 ARCTIC CAT, INC ............................ 2
1,786 AUTOLIV, INC ............................... 56
6,700 oBE AEROSPACE, INC .......................... 195
217,784 BOEING CO .................................. 9,705
56,853 DANAHER CORP ............................... 2,086
9,650 oDUCOMMUN, INC .............................. 193
988,500 oGENERAL MOTORS CORP (CLASS H) .............. 46,583
69,400 oGENTEX CORP ................................ 1,258
71,838 oGULFSTREAM AEROSPACE CORP .................. 3,340
42 oHALTER MARINE GROUP, INC ................... 1
1,389,800 HARLEY DAVIDSON, INC ....................... 53,855
10,978 oLEAR CORP .................................. 563
7,722 MERITOR AUTOMOTIVE, INC .................... 185
3,900 MODINE MANUFACTURING CO .................... 135
487 oOEA, INC ................................... 8
16,130 POLARIS INDUSTRIES, INC .................... 607
20,721 REGAL-BELOIT CORP .......................... 591
36,926 SUNDSTRAND CORP ............................ 2,114
5,471 SUPERIOR INDUSTRIES INTERNATIONAL,
INC ....................................... 154
6,400 TELEFLEX, INC .............................. 243
3,423 oTRIUMPH GROUP, INC ......................... 144
58,737 UNITED TECHNOLOGIES CORP ................... 5,433
100 WABASH NATIONAL CORP ....................... 3
1,500 oWALBRO CORP ................................ 21
------------
135,044
------------
TRANSPORTATION SERVICES--0.03%
350 AIR EXPRESS INTERNATIONAL CORP ............. 9
100 oCIRCLE INTERNATIONAL GROUP, INC ............ 3
23,500 EXPEDITORS INTERNATIONAL OF
WASHINGTON ................................ 1,034
700 oFRITZ COS, INC ............................. 9
50 oMESA AIR GROUP, INC ........................ 0
2,383 oNAVIGANT INTERNATIONAL, INC ................ 20
22,184 oSABRE GROUP HOLDINGS, INC .................. 843
------------
1,918
------------
TRUCKING AND WAREHOUSING--0.01%
7,000 oAMERICAN FREIGHTWAYS CORP .................. 70
116 CNF TRANSPORTATION, INC .................... 5
10,000 oCOVENANT TRANSPORT, INC (CLASS A) .......... 195
4,500 oKNIGHT TRANSPORTATION, INC ................. 86
2,550 oSWIFT TRANSPORTATION CO, INC ............... 51
------------
407
------------
WATER TRANSPORTATION--0.03%
100 oHVIDE MARINE, INC (CLASS A) ................ 1
900 oSEACOR SMIT, INC ........................... 55
51,762 TIDEWATER, INC ............................. 1,708
9,034 oTRICO MARINE SERVICES, INC ................. 124
------------
1,888
------------
WHOLESALE TRADE-DURABLE GOODS--0.07%
900 oACT MANUFACTURING, INC ..................... 9
12,500 oACTION PERFORMANCE COS, INC ................ 402
28,300 xoALLIANCE ENTERTAINMENT CORP ................ 0
7,637 APPLIED INDUSTRIAL TECHNOLOGIES, INC ....... 157
12,705 oARROW ELECTRONICS, INC ..................... 276
100 oAVIATION SALES CO .......................... 4
See notes to financial statements.
-66-
<PAGE>
GROWTH ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
WHOLESALE TRADE-DURABLE GOODS--
(CONTINUED)
1,116 AVNET, INC ................................. $ 61
1,200 oBARNETT, INC ............................... 24
50,189 oBRIGHTPOINT, INC ........................... 728
300 oCALIFORNIA AMPLIFIER, INC .................. 1
800 CASTLE (A.M.) & CO ......................... 18
26,356 oCELLSTAR CORP .............................. 341
31,293 oCHS ELECTRONICS, INC ....................... 559
100 oFAIRCHILD CORP (CLASS A) ................... 2
300 oGRAHAM-FIELD HEALTH PRODUCTS, INC .......... 2
600 oHIRSCH INTERNATIONAL CORP (CLASS A) ........ 5
2,785 oINGRAM MICRO, INC (CLASS A) ................ 123
16,318 oKENT ELECTRONICS CORP ...................... 299
5,600 oNATIONAL-OILWELL, INC ...................... 150
200 oOAK TECHNOLOGY, INC ........................ 1
21,262 OWENS & MINOR, INC ......................... 213
200 oPATTERSON DENTAL CO ........................ 7
4,900 oSODAK GAMING, INC .......................... 31
23,671 oTECH DATA CORP ............................. 1,015
11,900 oTOP SOURCE TECHNOLOGIES, INC ............... 12
------------
4,440
------------
WHOLESALE TRADE-NONDURABLE
GOODS--2.00%
318 oAMERISOURCE HEALTH CORP (CLASS A) .......... 21
460,104 BERGEN BRUNSWIG CORP (CLASS A) ............. 21,337
11,211 oBOISE CASCADE OFFICE PRODUCTS CORP ......... 174
986,361 CARDINAL HEALTH, INC ....................... 92,471
25,900 oCENTRAL GARDEN & PET CO .................... 806
59,770 oCORPORATE EXPRESS, INC ..................... 758
300 oDAISYTEK INTERNATIONAL CORP ................ 8
41,142 DIMON, INC ................................. 463
200 ENRON CORP ................................. 11
620 oGENESCO, INC ............................... 10
1,700 HERBALIFE INTERNATIONAL, INC
(CLASS A) ................................. 42
4,600 HUNT CORP .................................. 109
61,173 IKON OFFICE SOLUTIONS, INC ................. 891
4,000 oKENNETH COLE PRODUCTIONS, INC .............. 104
395 MCKESSON CORP .............................. 32
4,400 oPERFORMANCE FOOD GROUP CO .................. 87
32,600 oREXALL SUNDOWN, INC ........................ 1,149
46,805 RICHFOOD HOLDINGS, INC ..................... 968
1,400 SMART & FINAL, INC ......................... 24
21,041 oSUIZA FOODS CORP ........................... 1,256
137,078 SYSCO CORP ................................. 3,495
5,958 oU.S. OFFICE PRODUCTS CO .................... 116
400 oUNITED NATURAL FOODS, INC .................. 11
1,000 oUNITED STATIONERS, INC ..................... 65
4,200 VALHI, INC ................................. 44
------------
124,452
------------
TOTAL COMMON STOCK
(COST $4,732,880) ........................... 6,024,436
------------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--3.81%
COMMERCIAL PAPER--2.38%
AIRTOUCH COMMUNICATIONS, INC
$ 8,400,000 *~5.800, 07/09/98 .......................... 8,388
CIESCO LP
4,500,000 * 5.550, 07/13/98 .......................... 4,491
COCA COLA ENTERPRISES, INC
8,000,000 *~5.520, 08/10/98 .......................... 7,948
COMMERCIAL CREDIT CO
8,400,000 * 5.550, 07/01/98 .......................... 8,399
CONAGRA, INC
8,000,000 * 5.880, 07/01/98 .......................... 7,999
CORPORATE ASSET FUNDING CORP, INC
8,000,000 *~5.570, 07/02/98 ......................... 7,997
DUPONT (E.I.) DE NEMOURS & CO
5,500,000 * 5.600, 07/20/98 .......................... 5,483
EASTMAN KODAK CO
8,000,000 * 5.550, 08/18/98 .......................... 7,939
EMERSON ELECTRIC CO
5,000,000 5.520, 07/28/98 .......................... 4,978
FORTUNE BRANDS
6,980,000 *~5.520, 07/16/98 .......................... 6,963
GENERAL MOTORS ACCEPTANCE CORP
8,000,000 5.580, 07/15/98 .......................... 7,981
GOLDMAN SACHS GROUP LP
8,000,000 * 5.500, 07/08/98 .......................... 7,990
HONEYWELL, INC
8,000,000 6.150, 07/01/98 .......................... 7,999
HOUSTON INDUSTRIES FINANCE CO LP
4,200,000 *~5.720, 07/09/98 .......................... 4,194
J.P. MORGAN & CO
8,000,000 5.600, 07/22/98 .......................... 7,973
NATIONSBANK CORP
8,000,000 * 5.520, 07/14/98 .......................... 7,982
NEW YORK STATE ELECTRIC & GAS CORP
1,100,000 ~ 5.950, 07/09/98 .......................... 1,098
RAYTHEON CO
8,000,000 *~5.860, 07/07/98 .......................... 7,991
RITE AID CORP
8,000,000 6.600, 07/01/98 .......................... 7,999
RYDER SYSTEMS, INC
300,000 * 5.670, 07/30/98 .......................... 299
TEXAS UTILITIES CO
8,000,000 *~5.950, 07/10/98 .......................... 7,987
VOLVO GROUP TREASURY NA, INC
8,000,000 ~ 6.500, 07/01/98 .......................... 7,999
------------
148,077
------------
U.S. GOVERNMENT & AGENCIES--1.43%
FEDERAL HOME LOAN MORTGAGE CORP
5,650,000 * 5.460, 07/14/98 .......................... 5,638
FEDERAL NATIONAL MORTGAGE ASSOCIATION
10,000,000 * 5.430, 07/06/98 .......................... 9,989
25,000,000 5.460, 07/07/98 .......................... 24,973
8,000,000 5.440, 07/10/98 .......................... 7,988
15,000,000 5.500, 07/10/98 .......................... 14,977
10,000,000 5.470, 07/17/98 .......................... 9,974
15,000,000 5.500, 07/29/98 .......................... 14,935
------------
88,474
------------
TOTAL SHORT TERM INVESTMENTS
(COST $236,589) .............................. 236,551
------------
TOTAL PORTFOLIO
(COST $4,969,883) ............................ $ 6,261,426
============
- ------------
o Non-income producing
+ Affiliate holding
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 June 30,
1998, the value of these securities amounted to $3,788 or 0.00% of net
assets. Additional information on the restricted security is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
- --------- ----------- --------------
PHYSICIAN COMPUTER NETWORK, INC 12/27/95 $17,985
-------
$17,985
=======
See notes to financial statements.
-67-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
TRANSACTIONS WITH AFFILIATED COMPANIES--GROWTH ACCOUNT (UNAUDITED)
JANUARY 1, 1998--JUNE 30, 1998
<TABLE>
<CAPTION>
VALUE AT PURCHASE SALES REALIZED DIVIDEND SHARES AT VALUE AT
ISSUE DECEMBER 31, 1997 COST PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1998 JUNE 30, 1998
----- ----------------- ------------ ------------ ----------- --------- ------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
GUILFORD PHARMACEUTICALS, INC ** $ 13,563,824 -- -- -- 1,475,500 $ 26,005,688
LIFE RE CORP ................ ** 14,744,319 -- -- $ 120,009 1,002,262 83,062,463
#OCEAN ENERGY, INC ........... ** 38,226,527 $ 69,133,933 $ 3,618 -- -- *
OCEAN ENERGY, INC NEW ....... ** 101,369,327 550,204 75,230 -- 5,084,078 99,457,276
---------------- ------------ ------------ --------- --------- ------------
TOTAL AFFILIATED TRANSACTIONS $ 0 $167,903,997 $ 69,684,137 $ 78,848 $ 120,009 $208,525,427
================ ============ ============ ========= ========= ============
</TABLE>
** Not an affiliate as of December 31, 1997
* Not an affiliate as of June 30, 1998
# Exchange of stock
See notes to financial statements.
-68-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (UNAUDITED)
JUNE 30, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
----- ------
BONDS
CORPORATE BONDS
COMMUNICATIONS ............................. $ 8 0.00%
ELECTRIC, GAS, AND SANITARY
SERVICES ................................. 14 0.00
---------- ------
TOTAL CORPORATE BONDS
(COST $15) ................................. 22 0.00
---------- ------
TOTAL BONDS
(COST $15) ................................. 22 0.00
---------- ------
PREFERRED STOCK
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT ................................ 23 0.00
INSTRUMENTS AND RELATED PRODUCTS ........... 1 0.00
INSURANCE CARRIERS ......................... 96 0.01
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ......................... 371 0.01
---------- ------
TOTAL PREFERRED STOCK
(COST $528) ................................ 491 0.02
---------- ------
COMMON STOCK
AGRICULTURAL PRODUCTION-CROPS .............. 3,476 0.12
AGRICULTURAL SERVICES ...................... 125 0.00
AMUSEMENT AND RECREATION SERVICES .......... 3,381 0.12
APPAREL AND ACCESSORY STORES ............... 15,653 0.53
APPAREL AND OTHER TEXTILE PRODUCTS ......... 5,497 0.19
AUTO REPAIR, SERVICES AND PARKING .......... 2,437 0.08
AUTOMOTIVE DEALERS AND
SERVICE STATIONS ......................... 3,188 0.11
BUILDING MATERIALS AND
GARDEN SUPPLIES .......................... 21,768 0.74
BUSINESS SERVICES .......................... 160,453 5.46
CHEMICALS AND ALLIED PRODUCTS .............. 379,071 12.90
COAL MINING ................................ 164 0.01
COMMUNICATIONS ............................. 257,073 8.75
DEPOSITORY INSTITUTIONS .................... 271,849 9.25
EATING AND DRINKING PLACES ................. 21,742 0.74
EDUCATIONAL SERVICES ....................... 1,460 0.05
ELECTRIC, GAS, AND SANITARY SERVICES ....... 125,540 4.27
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT ................................ 190,675 6.49
ENGINEERING AND MANAGEMENT
SERVICES ................................. 2,910 0.10
FABRICATED METAL PRODUCTS .................. 37,954 1.29
FOOD AND KINDRED PRODUCTS .................. 139,972 4.76
FOOD STORES ................................ 19,442 0.66
FURNITURE AND FIXTURES ..................... 3,813 0.13
FURNITURE AND HOMEFURNISHING
STORES ................................... 5,554 0.19
GENERAL BUILDING CONTRACTORS ............... 3,454 0.12
GENERAL MERCHANDISE STORES ................. 61,651 2.10
HEALTH SERVICES ............................ 27,376 0.93
HEAVY CONSTRUCTION, EXCEPT
BUILDING ................................. 1,271 0.04
HOLDING AND OTHER INVESTMENT
OFFICES .................................. 37,016 1.26
HOTELS AND OTHER LODGING PLACES 13,655 0.46
INDUSTRIAL MACHINERY AND
EQUIPMENT ................................. 176,316 6.00
INSTRUMENTS AND RELATED
PRODUCTS ................................. 65,463 2.23
INSURANCE AGENTS, BROKERS AND
SERVICE .................................. 8,851 0.30
INSURANCE CARRIERS ......................... 135,356 4.61
LEATHER AND LEATHER PRODUCTS ............... 1,759 0.06
LEGAL SERVICES ............................. 407 0.01
LOCAL AND INTERURBAN PASSENGER
TRANSIT .................................. 693 0.02
LUMBER AND WOOD PRODUCTS ................... 8,019 0.27
METAL MINING ............................... 4,666 0.16
MISCELLANEOUS MANUFACTURING
INDUSTRIES ............................... 21,537 0.73
MISCELLANEOUS RETAIL ....................... 30,811 1.05
MOTION PICTURES ............................ 21,568 0.73
NONDEPOSITORY INSTITUTIONS ................. 86,293 2.94
NONMETALLIC MINERALS,
EXCEPT FUELS ............................. 1,575 0.05
OIL AND GAS EXTRACTION ..................... 117,470 4.00
PAPER AND ALLIED PRODUCTS .................. 27,265 0.93
PERSONAL SERVICES .......................... 6,985 0.24
PETROLEUM AND COAL PRODUCTS ................ 41,280 1.41
PRIMARY METAL INDUSTRIES ................... 17,383 0.59
PRINTING AND PUBLISHING .................... 37,478 1.28
RAILROAD TRANSPORTATION .................... 15,143 0.52
REAL ESTATE ................................ 1,986 0.07
RUBBER AND MISCELLANEOUS
PLASTIC PRODUCTS ......................... 23,048 0.78
SECURITY AND COMMODITY BROKERS ............. 36,943 1.26
SOCIAL SERVICES ............................ 274 0.01
SPECIAL TRADE CONTRACTORS .................. 413 0.02
STONE, CLAY, AND GLASS PRODUCTS ............ 10,769 0.37
TEXTILE MILL PRODUCTS ...................... 4,096 0.14
TOBACCO PRODUCTS ........................... 30,924 1.05
TRANSPORTATION BY AIR ...................... 18,135 0.62
TRANSPORTATION EQUIPMENT ................... 98,249 3.35
TRANSPORTATION SERVICES .................... 2,294 0.08
TRUCKING AND WAREHOUSING ................... 2,620 0.09
WATER TRANSPORTATION ....................... 1,886 0.07
WHOLESALE TRADE-DURABLE GOODS .............. 9,771 0.33
WHOLESALE TRADE-NONDURABLE
GOODS .................................... 18,280 0.62
---------- ------
TOTAL COMMON STOCK
(COST $2,122,122) ........................... 2,903,626 98.84
---------- ------
SHORT TERM INVESTMENTS
U.S. GOVERNMENT & AGENCIES ................. 43,735 1.49
---------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $43,717) .............................. 43,735 1.49
---------- ------
TOTAL PORTFOLIO
(COST $2,166,382) .......................... 2,947,874 100.35
OTHER ASSETS & LIABILITIES, NET ............ (10,224) (0.35)
---------- ------
NET ASSETS ................................. $2,937,650 100.00%
========== ======
See notes to financial statements.
-69-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (UNAUDITED)
JUNE 30, 1998
VALUE
PRINCIPAL (000)
--------- -----
BONDS--0.00%
CORPORATE BONDS--0.00%
COMMUNICATIONS--0.00%
VIACOM INTERNATIONAL, INC
(SUB DEB)
$ 8,000 8.000, 07/07/06 .......................... $ 8
---------
ELECTRIC, GAS, AND SANITARY
SERVICES--0.00%
WMX TECHNOLOGIES, INC
(SUB CV NOTE)
14,000 2.000, 01/24/05 .......................... 14
---------
TOTAL CORPORATE BONDS
(COST $15) ................................. 22
---------
TOTAL BONDS
(COST $15) ................................. 22
---------
SHARES
------
PREFERRED STOCK--0.02%
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT--0.00%
1,122 PREMIER FARNELL PLC CV ADR ................. 23
---------
INSTRUMENTS AND RELATED
PRODUCTS--0.00%
11,200 oFRESENIUS MEDICAL CARE (CLASS D) ........... 1
---------
INSURANCE CARRIERS--0.01%
1,273 AETNA, INC (CLASS C) ....................... 96
---------
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS--0.01%
8,835 SEALED AIR CORP (CLASS A) .................. 371
---------
TOTAL PREFERRED STOCK
(COST $528) .................................. 491
---------
COMMON STOCK--98.84%
AGRICULTURAL PRODUCTION-CROPS--0.12%
7,800 DEKALB GENETICS CORP (CLASS B) ............. 738
11,333 DELTA & PINE LAND CO ....................... 504
54,000 PIONEER-HI-BRED INTERNATIONAL, INC ......... 2,234
---------
3,476
---------
AGRICULTURAL SERVICES--0.00%
5,200 oMYCOGEN CORP ............................... 125
---------
AMUSEMENT AND RECREATION
SERVICES--0.12%
2,300 oANCHOR GAMING CO ........................... 179
17,800 oARGOSY GAMING CORP ......................... 55
14,796 oASCENT ENTERTAINMENT GROUP, INC ............ 165
1,850 oBALLY TOTAL FITNESS HOLDINGS CORP .......... 67
12,800 oBOYD GAMING CORP ........................... 74
13,400 oCASINO MAGIC CORP .......................... 27
800 oFAMILY GOLF CENTERS, INC ................... 20
6,700 oFLORIDA PANTHERS HOLDINGS, INC ............. 132
9,250 oGRAND CASINOS, INC ......................... 155
24,100 oHARRAHS ENTERTAINMENT, INC ................. 560
3,300 oHOLLYWOOD PARK, INC ........................ 42
47,100 oMIRAGE RESORT, INC ......................... 1,004
5,250 oPLAYERS INTERNATIONAL, INC ................. 26
2,600 oPREMIER PARKS, INC ......................... 173
11,800 oSCIENTIFIC GAMES HOLDINGS CORP ............. 271
1,600 oSFX ENTERTAINMENT, INC (CLASS A) ........... 73
5,500 oSPEEDWAY MOTORSPORTS, INC .................. 141
8,600 oWESTWOOD ONE, INC .......................... 217
---------
3,381
---------
APPAREL AND ACCESSORY STORES--0.53%
50,043 oABERCROMBIE & FITCH CO (CLASS A) ........... 2,202
4,957 oANN TAYLOR STORES CORP ..................... 105
2,400 oBUCKLE, INC (THE) .......................... 71
8,300 CATO CORP (CLASS A) ........................ 144
36,100 oCHARMING SHOPPES, INC ...................... 171
13,100 CLAIRES STORES, INC ........................ 269
3,600 oDRESS BARN, INC ............................ 90
13 oEDISON BROTHERS STORES WTS 09/26/05 ........ 0
2,900 oFINISH LINE, INC (CLASS A) ................. 82
84,150 GAP, INC ................................... 5,186
2,200 oGOODYS FAMILY CLOTHING, INC ................ 121
17,800 INTIMATE BRANDS, INC (CLASS A) ............. 491
3,600 oJUST FOR FEET, INC ......................... 103
41,900 LIMITED, INC ............................... 1,388
8,850 oMENS WAREHOUSE, INC ........................ 292
12,000 NORDSTROM, INC ............................. 927
3,000 oPACIFIC SUNWEAR CALIFORNIA, INC ............ 105
9,596 oPAYLESS SHOESOURCE, INC .................... 707
2,900 oPETRIE STORES CORP (LIQUIDATING TR) ........ 8
15,400 oSAKS HOLDINGS, INC ......................... 425
7,500 oSTAGE STORES, INC .......................... 339
12,800 oSTEIN MART, INC ............................ 173
6,200 TALBOTS, INC ............................... 162
85,400 TJX COS, INC ............................... 2,060
1,000 oWET SEAL, INC (CLASS A) .................... 32
---------
15,653
---------
APPAREL AND OTHER TEXTILE
PRODUCTS--0.19%
9,400 AUTHENTIC FITNESS CORP ..................... 149
19,500 oFRUIT OF THE LOOM, INC (CLASS A) ........... 647
8,200 oGYMBOREE CORP .............................. 124
17,400 oJONES APPAREL GROUP, INC ................... 636
7,800 KELLWOOD CO ................................ 279
17,100 LIZ CLAIBORNE, INC ......................... 893
13,500 oNAUTICA ENTERPRISES, INC ................... 362
12,000 PHILLIPS VAN HEUSEN CORP ................... 177
29,300 VF CORP .................................... 1,509
17,000 WARNACO GROUP, INC (CLASS A) ............... 721
---------
5,497
---------
AUTO REPAIR, SERVICES AND PARKING--0.08%
2,500 oAMERCO ..................................... 74
6,300 BORG-WARNER AUTOMOTIVE, INC ................ 303
8,700 oBUDGET GROUP, INC .......................... 278
3,150 CENTRAL PARKING CORP ....................... 146
6,800 HERTZ CORP (CLASS A) ....................... 301
9,733 MIDAS, INC ................................. 196
5,460 oNATIONAL AUTO CREDIT, INC .................. 6
6,100 oRENTERS CHOICE, INC ........................ 173
25,500 ROLLINS TRUCK LEASING CORP ................. 316
20,400 RYDER SYSTEM, INC .......................... 644
---------
2,437
---------
See notes to financial statements.
-70-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
AUTOMOTIVE DEALERS AND SERVICE
STATIONS--0.11%
42,424 oAUTOZONE, INC .............................. $ 1,355
843 oCIRCUIT CITY STORES, INC
(CARMAX GROUP) ............................ 9
27,515 CIRCUIT CITY STORES-CIRCUIT CITY
GROUP ..................................... 1,290
12,200 oINSURANCE AUTO AUCTIONS, INC ............... 172
14,800 PEP BOYS MANNY, MOE, & JACK CO ............. 280
1,700 oUNITED AUTO GROUP, INC ..................... 37
2,500 oWEST MARINE, INC ........................... 45
---------
3,188
---------
BUILDING MATERIALS AND GARDEN
SUPPLIES--0.74%
11,900 oEAGLE HARDWARE & GARDEN, INC ............... 275
7,200 FASTENAL CO ................................ 334
210,400 HOME DEPOT, INC ............................ 17,476
82,800 LOWES COS, INC ............................. 3,359
10,800 OAKWOOD HOMES CORP ......................... 324
---------
21,768
---------
BUSINESS SERVICES--5.46%
5,400 o3DO CO ..................................... 17
1,625 oAARON RENTS, INC ........................... 33
1,000 oABACUS DIRECT CORP ......................... 52
2,243 oABM INDUSTRIES, INC ........................ 63
8,900 oABR INFORMATION SERVICES, INC .............. 211
16,100 oACCLAIM ENTERTAINMENT, INC ................. 96
25,520 oACCUSTAFF, INC ............................. 798
16,666 oACNEILSEN CORP ............................. 421
2,800 oACTIVISION, INC ............................ 29
11,300 oACXIOM CORP ................................ 282
224 oADMINSTAFF, INC ............................ 10
18,672 ADOBE SYSTEMS, INC ......................... 792
10,700 oADVO, INC .................................. 302
12,140 oAFFILIATED COMPUTER SERVICES, INC
(CLASS A) ................................. 467
9,300 oALTERNATIVE RESOURCES CORP ................. 115
61,367 AMERICA ONLINE, INC ........................ 6,505
4,400 oAMERICAN BUSINESS INFORMATION, INC
(CLASS A) ................................. 67
4,400 oAMERICAN BUSINESS INFORMATION, INC
(CLASS B) ................................. 70
11,425 oAMERICAN MANAGEMENT SYSTEMS, INC ........... 342
5,250 ANALYSTS INTERNATIONAL CORP ................ 149
9,300 oANIXTER INTERNATIONAL, INC ................. 177
6,000 oAPAC TELESERVICES, INC ..................... 35
3,800 oARBOR SOFTWARE CORP ........................ 119
100 oARIS CORP .................................. 3
2,000 oASPECT DEVELOPMENT, INC .................... 151
6,100 oASPEN TECHNOLOGY, INC ...................... 308
12,400 AUTODESK, INC .............................. 479
86,745 AUTOMATIC DATA PROCESSING, INC ............. 6,322
7,600 oAVANT CORP ................................. 188
4,905 oAZTEC TECHNOLOGY PARTNERS, INC ............. 37
11,000 oBANYAN SYSTEMS, INC ........................ 91
1,500 oBARRA, INC ................................. 37
7,300 oBEA SYSTEMS, INC ........................... 167
11,000 oBILLING CONCEPTS CORP ...................... 171
11,200 oBISYS GROUP, INC ........................... 459
58,500 oBMC SOFTWARE, INC .......................... 3,038
2,000 oBOOLE & BABBAGE, INC ....................... 48
609 oBORG-WARNER SECURITY CORP .................. 14
600 oBRC HOLDINGS, INC .......................... 12
6,600 oBRODERBUND SOFTWARE, INC ................... 151
2,010 oCACI INTERNATIONAL, INC (CLASS A) .......... 42
59,065 oCADENCE DESIGN SYSTEMS, INC ................ 1,846
10,900 oCAMBRIDGE TECHNOLOGY PARTNERS, INC ......... 595
4,100 oCARIBINER INTERNATIONAL, INC ............... 72
5,500 oCATALINA MARKETING CORP .................... 286
5,000 oCCC INFORMATION SERVICES GROUP, INC ........ 83
4,800 oCDI CORP ................................... 128
19,460 oCERIDIAN CORP .............................. 1,143
7,100 oCERNER CORP ................................ 201
11,200 oCHECKFREE HOLDINGS CORP .................... 330
9,200 oCHECKPOINT SYSTEMS, INC .................... 130
3,787 oCHOICEPOINT, INC ........................... 192
6,200 oCIBER, INC ................................. 236
10,700 oCITRIX SYSTEMS, INC ........................ 732
1,300 oCKS GROUP, INC ............................. 23
5,500 oCLARIFY, INC ............................... 74
10,100 oCOGNEX CORP ................................ 187
45,428 COGNIZANT CORP ............................. 2,862
26,350 COMDISCO, INC .............................. 501
1,400 oCOMPLETE BUSINESS SOLUTIONS, INC ........... 50
120,575 COMPUTER ASSOCIATES
INTERNATIONAL, INC ........................ 6,699
6,950 oCOMPUTER HORIZONS CORP ..................... 258
42,920 oCOMPUTER SCIENCES CORP ..................... 2,747
7,500 COMPUTER TASK GROUP, INC ................... 251
41,500 oCOMPUWARE CORP ............................. 2,122
2,000 oCORT BUSINESS SERVICES CORP ................ 63
6,700 oCSG SYSTEMS INTERNATIONAL, INC ............. 314
2,700 oDOCUMENTUM, INC ............................ 130
7,300 oDST SYSTEMS, INC ........................... 409
45,948 DUN & BRADSTREET CORP ...................... 1,654
8,250 oE TRADE GROUP, INC ......................... 189
16,800 oELECTRONIC ARTS, INC ....................... 907
97,271 ELECTRONIC DATA SYSTEMS CORP ............... 3,891
12,400 oELECTRONICS FOR IMAGING, INC ............... 262
15,900 oEMPLOYEE SOLUTIONS, INC .................... 61
4,500 oENVOY CORP ................................. 213
40,209 EQUIFAX, INC ............................... 1,460
5,400 FAIR ISSAC & CO, INC ....................... 205
7,200 oFILENET CORP ............................... 208
113,198 FIRST DATA CORP ............................ 3,771
20,850 oFISERV, INC ................................ 885
19,000 oFORE SYSTEMS, INC .......................... 504
5,600 oFORTE SOFTWARE, INC ........................ 34
8,600 oFTP SOFTWARE, INC .......................... 15
11,400 oGARTNER GROUP, INC (CLASS A) ............... 399
1,500 oGEOTEL COMMUNICATIONS CORP ................. 61
8,300 oGT INTERACTIVE SOFTWARE CORP ............... 63
11,100 oGTECH HOLDINGS CORP ........................ 374
9,000 oHARBINGER CORP ............................. 218
120,400 HBO & CO ................................... 4,244
1,400 oHCIA, INC .................................. 18
3,500 oHEALTH MANAGEMENT SYSTEMS, INC ............. 39
5,700 oHNC SOFTWARE ............................... 233
4,200 oHYPERION SOFTWARE CORP ..................... 120
2,000 oI2 TECHNOLOGIES, INC ....................... 70
3,800 oIDX SYSTEMS CORP ........................... 175
6,600 oINDUSTRI-MATEMATIK INTERNATIONAL
CORP ...................................... 72
2,850 oINFORMATION MANAGEMENT
RESOURCES, INC ............................ 96
12,200 oINFORMATION RESOURCES, INC ................. 226
41,900 oINFORMIX CORP .............................. 331
13,200 oINPRISE CORP ............................... 97
3,000 oINSO CORP .................................. 41
See notes to financial statements.
-71-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
BUSINESS SERVICES--(CONTINUED)
9,067 oINTEGRATED SYSTEMS CONSULTING
GROUP ..................................... $ 125
3,800 oINTEGRATED SYSTEMS, INC .................... 58
17,800 oINTERIM SERVICES, INC ...................... 572
8,100 oINTERNATIONAL NETWORK SERVICES ............. 332
37,950 INTERPUBLIC GROUP OF COS, INC .............. 2,303
5,000 oINTERSOLV, INC ............................. 80
10,900 oINTERVOICE, INC ............................ 193
10,400 oINTUIT, INC ................................ 637
6,500 oITRON, INC ................................. 83
1,000 oJACK HENRY & ASSOCIATES, INC ............... 34
2,400 oJDA SOFTWARE GROUP, INC .................... 105
17,700 oKEANE, INC ................................. 991
9,000 KELLY SERVICES, INC (CLASS A) .............. 318
4,650 oLAMAR ADVERTISING CO (CLASS A) ............. 167
10,100 oLANDSTAR SYSTEM, INC ....................... 353
11,500 oLEARNING CO, INC ........................... 341
9,600 oLEGATO SYSTEMS, INC ........................ 374
3,200 oLHS GROUP, INC ............................. 211
4,700 oLYCOS, INC ................................. 354
6,900 oMACROMEDIA, INC ............................ 129
19,800 MANPOWER, INC .............................. 568
4,700 oMANUGISTICS GROUP, INC ..................... 116
7,000 oMASTECH CORP ............................... 197
3,200 oMEDQUIST, INC .............................. 92
14,300 oMENTOR GRAPHICS CORP ....................... 151
2,400 oMERCURY INTERACTIVE CORP ................... 107
9,950 oMETAMOR WORLDWIDE, INC ..................... 350
21,100 oMETROMEDIA INTERNATIONAL GROUP, INC ........ 252
432,065 oMICROSOFT CORP ............................. 46,825
13,859 oMIDWAY GAMES, INC .......................... 217
2,400 NATIONAL COMPUTER SYSTEMS, INC ............. 58
9,500 NATIONAL DATA CORP ......................... 416
24,400 oNETMANAGE, INC ............................. 73
14,020 oNETSCAPE COMMUNICATIONS CORP ............... 379
12,000 oNETWORK APPLIANCE, INC ..................... 467
29,168 oNETWORKS ASSOCIATES, INC ................... 1,396
45,300 NEWELL COS, INC ............................ 2,257
5,100 NORRELL CORP ............................... 102
5,100 oNOVA CORP/GEORGIA .......................... 182
98,200 oNOVELL, INC ................................ 1,252
3,900 oOBJECTIVE SYSTEMS INTEGRATORS, INC ......... 29
5,600 oODS NETWORKS, INC .......................... 36
20,982 OLSTEN CORP ................................ 235
47,200 OMNICOM GROUP, INC ......................... 2,354
5,900 oOPEN MARKET, INC ........................... 111
218,987 oORACLE CORP ................................ 5,379
15,450 oOUTDOOR SYSTEMS, INC ....................... 433
31,900 oPAGING NETWORK, INC ........................ 447
77,132 oPARAMETRIC TECHNOLOGY CORP ................. 2,092
37,118 PAYCHEX, INC ............................... 1,510
4,500 oPAYMENTECH, INC ............................ 93
2,600 oPEGASYSTEMS, INC ........................... 71
43,200 oPEOPLESOFT, INC ............................ 2,030
11,100 oPERSONNEL GROUP OF AMERICA, INC ............ 222
12,200 #oPHYSICIAN COMPUTER NETWORK, INC ............ 19
12,500 PITTSTON BRINKS GROUP CO ................... 461
17,900 oPLATINUM TECHNOLOGY, INC ................... 511
13,000 oPMT SERVICES, INC .......................... 331
11,000 oPOLICY MANAGEMENT SYSTEMS CORP ............. 432
5,406 oPRIMARK CORP ............................... 169
6,400 oPROGRESS SOFTWARE CORP ..................... 262
9,100 oPSINET, INC ................................ 118
9,600 oQUARTERDECK CORP ........................... 7
4,400 oREMEDY CORP ................................ 75
25,150 oROBERT HALF INTERNATIONAL, INC ............. 1,405
7,900 ROLLINS, INC ............................... 162
8,000 oROMAC INTERNATIONAL, INC ................... 243
3,800 oSAPIENT CORP ............................... 200
6,700 SHARED MEDICAL SYSTEMS CORP ................ 492
15,608 oSIEBEL SYSTEMS, INC ........................ 503
10,100 oSITEL CORP ................................. 67
6,200 oSNYDER COMMUNICATIONS, INC ................. 273
16,000 SOTHEBYS HOLDINGS, INC (CLASS A) ........... 358
3,000 oSPS TRANSACTION SERVICES, INC .............. 94
5,200 oSTAFFMARK, INC ............................. 190
26,177 oSTERLING COMMERCE, INC ..................... 1,270
23,400 oSTERLING SOFTWARE, INC ..................... 692
9,500 oSTRUCTURAL DYNAMICS RESEARCH CORP .......... 220
24,300 oSUNGARD DATA SYSTEMS, INC .................. 933
20,400 oSYBASE, INC ................................ 142
4,100 oSYKES ENTERPRISES, INC ..................... 82
13,900 oSYMANTEC CORP .............................. 363
16,872 oSYNOPSYS, INC .............................. 772
5,250 oSYSTEM SOFTWARE ASSOCIATES, INC ............ 37
10,400 oSYSTEMS & COMPUTER TECHNOLOGY CORP ......... 281
2,400 oSYSTEMSOFT CORP ............................ 4
12,200 oTCSI CORP .................................. 72
6,150 oTECHNOLOGY SOLUTIONS CO .................... 195
1,200 oTELESPECTRUM WORLDWIDE, INC ................ 11
5,600 oTELETECH HOLDINGS, INC ..................... 69
1,500 TELXON CORP ................................ 49
8,400 TOTAL SYSTEM SERVICES, INC ................. 176
7,600 oTRANSACTION SYSTEM ARCHITECTURE ............ 293
4,400 oTRANSITION SYSTEMS, INC .................... 47
7,700 TRUE NORTH COMMUNICATIONS, INC ............. 225
4,000 oU.S. RENTALS, INC .......................... 158
5,000 oUSCS INTERNATIONAL, INC .................... 103
9,800 oVANSTAR CORP ............................... 143
2,500 oVANTIVE CORP (THE) ......................... 51
10,200 oVERITAS SOFTWARE CORP ...................... 422
5,100 oVIASOFT, INC ............................... 83
5,600 oVISIO CORP ................................. 267
2,100 oVOLT INFORMATION SCIENCES, INC ............. 57
14,900 oWANG LABORATORIES, INC ..................... 379
2,500 oWHITTMAN HART, INC ......................... 121
6,600 oWIND RIVER SYSTEMS, INC .................... 237
3,400 XTRA CORP .................................. 206
6,300 oYAHOO, INC ................................. 992
---------
160,453
---------
CHEMICALS AND ALLIED PRODUCTS--12.90%
446,070 ABBOTT LABORATORIES CO ..................... 18,233
8,000 oADVANCED TISSUE SCIENCE CO ................. 36
7,800 oAGOURON PHARMACEUTICALS, INC ............... 236
57,423 AIR PRODUCTS & CHEMICALS, INC .............. 2,297
17,800 oAIRGAS, INC ................................ 256
7,200 ALBEMARLE CORP ............................. 159
9,000 ALBERTO CULVER CO (CLASS B) ................ 261
1,100 oALGOS PHARMACEUTICAL CORP .................. 30
6,500 oALKERMES, INC .............................. 116
19,440 ALLEGIANCE CORP ............................ 996
7,185 oALLERGAN SPECIALTY THERAPEUTICS,
INC (CLASS A) ............................. 74
15,857 ALLERGAN, INC .............................. 735
5,300 oALLIANCE PHARMACEUTICAL CORP ............... 22
1,941 ALPAHARMA, INC (CLASS A) ................... 43
See notes to financial statements.
-72-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
CHEMICALS AND ALLIED
PRODUCTS--(CONTINUED)
20,724 oALZA CORP .................................. $ 896
377,558 AMERICAN HOME PRODUCTS CORP ................ 19,539
73,000 oAMGEN, INC ................................. 4,772
11,400 oAMYLIN PHARMACEUTICALS, INC ................ 43
1,200 oANDRX CORP ................................. 44
600 oAPHTON CORP ................................ 10
6,400 ARCO CHEMICAL CO ........................... 367
2,100 oARQULE, INC ................................ 27
35,594 AVON PRODUCTS, INC ......................... 2,759
3,100 oBARR LABORATORIES, INC ..................... 123
8,000 BETZDEARBORN, INC .......................... 331
14,600 oBIO-TECHNOLOGY GENERAL CORP ................ 104
18,500 oBIOGEN, INC ................................ 907
700 oBIOMATRIX, INC ............................. 29
287,458 BRISTOL MYERS SQUIBB CO .................... 33,040
17,900 CABOT CORP ................................. 578
800 oCADUS PHARMACEUTICAL CORP .................. 6
18,100 CALGON CARBON CORP ......................... 180
3,182 oCAMBREX CORP ............................... 84
1,300 oCARBIDE/GRAPHITE GROUP, INC (THE) .......... 36
4,700 CARTER WALLACE, INC ........................ 85
19,200 oCENTOCOR, INC .............................. 696
15,700 CHEMFIRST, INC ............................. 396
47,728 oCHIRON CORP ................................ 749
6,500 CHURCH & DWIGHT CO, INC .................... 210
20,100 CLOROX CO .................................. 1,917
85,094 COLGATE PALMOLIVE CO ....................... 7,488
9,100 oCOLUMBIA LABORATORIES, INC ................. 52
17,300 oCOPLEY PHARMACEUTICAL, INC ................. 106
9,600 CORDANT TECHNOLOGIES, INC .................. 443
17,550 oCOVANCE, INC ............................... 395
8,455 oCRESCENDO PHARMACEUTICALS CORP ............. 107
18,200 CROMPTON & KNOWLES CORP .................... 458
8,700 oCYGNUS, INC ................................ 91
12,200 oCYTEC INDUSTRIES, INC ...................... 540
12,800 DEXTER CORP ................................ 407
28,100 DIAL CORP .................................. 729
64,514 DOW CHEMICAL CO ............................ 6,238
325,900 DU PONT (E.I.) DE NEMOURS & CO ............. 24,320
10,800 oDURA PHARMACEUTICALS, INC .................. 242
20,200 EASTMAN CHEMICAL CO ........................ 1,257
29,500 ECOLAB, INC ................................ 915
2,364 oELAN CORP PLC ADR .......................... 152
29,400 ETHYL CORP ................................. 180
14,500 FERRO CORP ................................. 367
7,500 oFMC CORP ................................... 511
20,200 oFOREST LABORATORIES, INC ................... 722
14,250 oFREEPORT-MCMORAN SULPHUR, INC .............. 189
3,960 FULLER (H.B.) CO ........................... 220
200 oGENERAL CHEMICAL GROUP, INC ................ 6
21,500 oGENSIA SICOR, INC .......................... 86
18,500 oGENZYME CORP (GENERAL DIVISION) ............ 473
495 oGENZYME CORP
(TISSUE REPAIR DIVISION) .................. 3
10,800 GEORGIA GULF CORP .......................... 246
9,400 oGILEAD SCIENCES, INC ....................... 301
15,800 GREAT LAKES CHEMICAL CORP .................. 623
15,375 HANNA (M.A.) CO ............................ 282
25,500 HERCULES, INC .............................. 1,049
10,000 oHUMAN GENOME SCIENCES, INC ................. 357
18,866 ICN PHARMACEUTICALS, INC ................... 862
6,300 oIDEC PHARMACEUTICALS CORP .................. 148
9,800 oIDEXX LABORATORIES, INC .................... 244
35,324 IMC GLOBAL, INC ............................ 1,064
1,971 oIMC GLOBAL, INC WTS 12/22/00 ............... 5
5,200 oIMMUNEX CORP ............................... 345
2,400 oINHALE THERAPEUTIC SYSTEMS ................. 59
5,700 oINTERNATIONAL SPECIALTY
PRODUCTS, INC ............................. 106
7,800 oINTERNEURON PHARMACEUTICALS, INC ........... 28
30,240 INTERNATIONAL FLAVORS &
FRAGRANCES, INC ........................... 1,314
9,500 oISIS PHARMACEUTICALS, INC .................. 130
41,392 oIVAX CORP .................................. 383
388,010 JOHNSON & JOHNSON CO ....................... 28,616
5,700 JONES PHARMACEUTICAL, INC .................. 189
8,900 LAUDER (ESTEE) CO (CLASS A) ................ 620
10,100 LAWTER INTERNATIONAL, INC .................. 110
4,200 LIFE TECHNOLOGIES, INC ..................... 132
9,100 oLIGAND PHARMACEUTICALS CO
(CLASS A) ................................. 117
264,976 LILLY (ELI) & CO ........................... 17,505
1,200 LILLY INDUSTRIES, INC (CLASS A) ............ 26
9,000 oLIPOSOME CO, INC ........................... 49
13,000 LUBRIZOL CORP .............................. 393
5,300 MACDERMID, INC ............................. 150
5,400 oMATRIX PHARMACEUTICALS, INC ................ 24
15,000 oMCWHORTER TECHNOLOGIES, INC ................ 397
4,900 oMEDICIS PHARMACEUTICAL CORP
(CLASS A) ................................. 179
6,500 oMEDIMMUNE, INC ............................. 405
37,919 oMEDPARTNERS, INC ........................... 303
345,200 MERCK & CO, INC ............................ 46,171
21,500 MILLENNIUM CHEMICAL, INC ................... 728
2,700 oMILLENNIUM PHARMACEUTICALS, INC ............ 38
10,800 MINERALS TECHNOLOGIES, INC ................. 549
1,700 oMIRAVANT MEDICAL TECHNOLOGY ................ 38
7,168 MISSISSIPPI CHEMICAL CORP .................. 118
35,111 MORTON INTERNATIONAL, INC .................. 878
31,650 MYLAN LABORATORIES, INC .................... 951
19,800 oNABI, INC .................................. 60
17,500 NALCO CHEMICAL CORP ........................ 615
5,800 NATURES SUNSHINE PRODUCTS, INC ............. 131
22,670 oNBTY, INC .................................. 417
7,000 oNEUROGEN CORP .............................. 124
4,700 oNEXSTAR PHARMACEUTICALS, INC ............... 47
5,500 NL INDUSTRIES, INC ......................... 110
3,600 oOCTEL CORP ................................. 72
10,500 OLIN CORP .................................. 438
5,850 OM GROUP, INC .............................. 241
6,750 oORGANOGENESIS, INC ......................... 133
5,700 oPAREXEL INTERNATIONAL CORP ................. 207
3,000 oPATHOGENESIS CORP .......................... 87
26,000 oPERRIGO CO ................................. 262
376,152 PFIZER, INC ................................ 40,883
3,500 oPHARMACEUTICAL PRODUCT
DEVELOPMENT ............................... 77
143,545 PHARMACIA & UPJOHN, INC .................... 6,621
44,150 PRAXAIR, INC ............................... 2,067
389,000 PROCTER & GAMBLE CO ........................ 35,423
6,600 oPROTEIN DESIGN LABORATORIES, INC ........... 159
4,500 oREVLON, INC (CLASS A) ...................... 231
10,400 oROBERTS PHARMACEUTICAL CORP ................ 239
10,600 ROHM & HAAS CO ............................. 1,102
28,437 RPM, INC ................................... 483
4,500 oSANGSTAT MEDICAL CORP ...................... 141
8,300 oSCHERER (R.P.) CORP ........................ 736
211,200 SCHERING-PLOUGH CORP ....................... 19,351
See notes to financial statements.
-73-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
CHEMICALS AND ALLIED
PRODUCTS--(CONTINUED)
18,775 SCHULMAN (A.), INC ......................... $ 367
10,100 oSCOTTS CO (CLASS A) ........................ 376
10,200 oSEQUUS PHARMACEUTICALS, INC ................ 116
1,000 oSEROLOGICALS CORP .......................... 32
39,631 SHERWIN-WILLIAMS CO ........................ 1,313
26,380 SIGMA ALDRICH CORP ......................... 927
8,100 oTWINLAB CORP ............................... 354
35,400 UNION CARBIDE CORP ......................... 1,889
1,400 oU.S.A. DETERGENTS, INC ..................... 23
10,600 VALSPAR CORP ............................... 420
10,000 oVERTEX PHARMACEUTICALS, INC ................ 225
235,800 WARNER-LAMBERT CO .......................... 16,359
23,676 oWATSON PHARMACEUTICALS, INC ................ 1,105
9,000 WELLMAN, INC ............................... 204
18,900 WITCO CORP ................................. 553
---------
379,071
---------
COAL MINING--0.01%
3,400 ARCH COAL, INC ............................. 85
4,600 ZEIGLER COAL HOLDING CO .................... 79
---------
164
---------
COMMUNICATIONS--8.75%
32,800 o360 COMMUNICATIONS CO ...................... 1,050
800 oAERIAL COMMUNICATIONS, INC ................. 5
164,418 oAIRTOUCH COMMUNICATIONS, INC ............... 9,608
13,100 ALIANT COMMUNICATIONS, INC ................. 359
51,641 ALLTEL CORP ................................ 2,401
7,900 oAMERICAN MOBILE SATELLITE CORP ............. 77
9,800 oAMERICAN TOWER SYSTEMS (CLASS A) ........... 244
317,185 AMERITECH CORP ............................. 14,234
5,200 oARCH COMMUNICATIONS GROUP, INC ............. 20
1,300 oASSOCIATED GROUP, INC (CLASS A) ............ 53
468,203 AT & T CORP ................................ 26,746
453,936 BELL ATLANTIC CORP ......................... 20,711
286,326 BELLSOUTH CORP ............................. 19,220
1,150 oCABLE MICHIGAN, INC ........................ 45
11,559 oCABLEVISION SYSTEMS CORP (CLASS A) ......... 965
7,600 oCAI WIRELESS SYSTEMS, INC .................. 1
201,261 CBS CORP ................................... 6,390
5,250 oCELLULAR COMMUNICATIONS
INTERNATIONAL, INC ........................ 262
3,000 oCENTENNIAL CELLULAR CORP (CLASS A) ......... 112
4,700 oCENTURY COMMUNICATIONS CORP (CLASS A) ...... 88
21,550 CENTURY TELEPHONE ENTERPRISES, INC ......... 989
2,200 oCFW COMMUNICATIONS CO ...................... 51
38,500 oCHANCELLOR MEDIA CORP (CLASS A) ............ 1,912
7,478 oCHRIS CRAFT INDUSTRIES, INC ................ 409
38,337 CINCINNATI BELL, INC ....................... 1,097
19,316 oCLEAR CHANNEL COMMUNICATIONS, INC .......... 2,108
2,800 COMCAST CORP (CLASS A) ..................... 111
96,928 COMCAST CORP (CLASS A) SPECIAL ............. 3,935
3,066 oCOMMONWEALTH TELEPHONE
ENTERPRISES ............................... 81
16,500 COMSAT CORP SERIES 1 ....................... 467
2,800 oCORECOMM, INC .............................. 74
21,084 oCOX COMMUNICATIONS, INC (CLASS A) .......... 1,021
10,981 oEXCEL COMMUNICATIONS, INC .................. 252
44,700 FRONTIER CORP .............................. 1,408
12,930 GAYLORD ENTERTAINMENT CO ................... 417
277,900 GTE CORP ................................... 15,458
2,900 oHEARTLAND WIRELESS
COMMUNICATIONS, INC ....................... 2
9,100 oHEFTEL BROADCASTING CORP (CLASS A) ......... 407
4,400 oHIGHWAYMASTER COMMUNICATIONS, INC .......... 19
949 oICG COMMUNICATIONS, INC .................... 35
12,600 oINTERMEDIA COMMUNICATIONS, INC ............. 528
7,000 oIXC COMMUNICATIONS, INC .................... 340
12,900 oJACOR COMMUNICATIONS, INC .................. 761
4,300 oJACOR COMMUNICATIONS, INC
WTS 09/18/01 .............................. 30
2,000 oJONES INTERCABLE, INC (CLASS A) ............ 50
90,223 oLIBERTY MEDIA GROUP (CLASS A) .............. 3,502
2,300 oLORAL SPACE & COMMUNICATIONS LTD ........... 65
377,124 LUCENT TECHNOLOGIES, INC ................... 31,372
2,700 oMASTEC, INC ................................ 64
163,680 MCI COMMUNICATIONS CORP .................... 9,514
9,200 oMCLEODUSA, INC (CLASS A) ................... 358
170,700 oMEDIA ONE GROUP, INC ....................... 7,500
61,000 oNEXTEL COMMUNICATIONS, INC (CLASS A) ....... 1,517
8,466 oNTL, INC ................................... 453
4,900 oPACIFIC GATEWAY EXCHANGE, INC .............. 196
5,810 oPANAMSAT CORP .............................. 330
3,900 oPOWERTEL, INC .............................. 72
6,300 oPREMIERE TECHNOLOGIES, INC ................. 52
29,589 oQWEST COMMUNICATIONS
INTERNATIONAL, INC ........................ 1,032
9,200 oRCN CORP ................................... 178
530,275 SBC COMMUNICATIONS, INC .................... 21,211
4,600 oSINCLAIR BROADCASTING GROUP, INC
(CLASS A) ................................. 132
16,600 oSKYTEL COMMUNICATIONS, INC ................. 389
17,100 SOUTHERN NEW ENGLAND
TELECOMMUNICATIONS CORP ................... 1,120
122,900 SPRINT CORP ................................ 8,664
4,500 TCA CABLE TV, INC .......................... 270
14,040 oTCI SATELLITE ENTERTAINMENT (CLASS A) ...... 82
8,200 oTEL-SAVE HOLDINGS, INC ..................... 121
171,187 oTELE-COMMUNICATIONS, INC (CLASS A) ......... 6,580
5,100 oTELE-COMMUNICATIONS INTERNATIONAL
(CLASS A) ................................. 102
94,026 oTELECOM-TCI VENTURES GROUP
(CLASS A) ................................. 1,886
18,227 TELEPHONE & DATA SYSTEMS, INC .............. 718
11,200 oTELEPORT COMMUNICATIONS GROUP,
INC (CLASS A) ............................. 608
5,900 oU.S. CELLULAR CORP ......................... 181
2,100 UNITED TELEVISION, INC ..................... 240
3,500 oUNITED VIDEO SATELLITE GROUP, INC .......... 139
5,000 oUNIVISION COMMUNICATIONS, INC .............. 186
1,000 oU.S. SATELLITE BROADCASTING, INC
(CLASS A) ................................. 12
141,261 U.S. WEST, INC ............................. 6,639
22,930 oU.S.A. NETWORKS, INC ....................... 576
8,600 oVANGUARD CELLULAR SYSTEMS, INC ............. 162
6,460 oVIACOM, INC (CLASS A) ...................... 378
80,593 oVIACOM, INC (CLASS B) ...................... 4,695
150 oVIACOM, INC (CLASS B) WTS 07/07/99 ......... 0
7,800 oWEST TELESERVICES CORP ..................... 95
3,900 oWESTERN WIRELESS CORP (CLASS A) ............ 78
10,300 oWINSTAR COMMUNICATIONS, INC ................ 442
217,536 oWORLDCOM, INC .............................. 10,537
1,100 oYOUNG BROADCASTING, INC (CLASS A) .......... 72
---------
257,073
---------
See notes to financial statements.
-74-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
DEPOSITORY INSTITUTIONS--9.25%
11,900 ALBANK FINANCIAL CORP ...................... $ 840
7,300 ALLIED IRISH BANKS PLC (SPONS ADR) ......... 626
1,200 oAMCORE FINANCIAL, INC ...................... 29
30,600 AMSOUTH BANCORP ............................ 1,203
500 oAREA BANCSHARES CORP ....................... 17
17,506 ASSOCIATED BANC-CORP ....................... 659
12,700 ASTORIA FINANCIAL CORP ..................... 679
201,156 BANC ONE CORP .............................. 11,227
12,700 BANCORPSOUTH, INC .......................... 267
107,460 BANK OF N.Y. CO, INC ....................... 6,521
800 oBANK PLUS CORP ............................. 10
9,400 BANK UNITED CORP (CLASS A) ................. 450
198,267 BANKAMERICA CORP ........................... 17,138
700 BANKATLANTIC BANCORP, INC (CLASS B) ........ 9
83,442 BANKBOSTON CORP ............................ 4,641
27,352 BANKERS TRUST CORP ......................... 3,175
700 oBANKNORTH GROUP, INC ....................... 26
2,300 oBAY VIEW CAPITAL CORP ...................... 73
39,957 BB&T CORP .................................. 2,702
470 oCALIFORNIA FEDERAL BANK GOODWILL CERT ...... 9
300 oCBT CORP ................................... 10
6,000 CCB FINANCIAL CORP ......................... 638
8,200 CENTURA BANKS, INC ......................... 513
33,420 CHARTER ONE FINANCIAL, INC ................. 1,126
244,338 CHASE MANHATTAN CORP ....................... 18,448
100 oCHEMICAL FINANCIAL CORP .................... 4
652 oCHITTENDEN CORP ............................ 23
131,065 CITICORP CO ................................ 19,561
6,900 CITIZENS BANKING CORP (MICHIGAN) ........... 232
13,100 CITY NATIONAL CORP ......................... 484
5,800 CNB BANCSHARES, INC ........................ 278
13,500 COLONIAL BANCGROUP, INC .................... 435
44,700 COMERICA, INC .............................. 2,961
5,645 COMMERCE BANCORP, INC ...................... 330
16,828 COMMERCE BANCSHARES, INC ................... 821
13,600 COMMERCIAL FEDERAL CORP .................... 430
16,600 COMMUNITY FIRST BANKSHARES, INC ............ 435
18,350 COMPASS BANCSHARES, INC .................... 828
24,262 oCONCORD EFS, INC ........................... 634
1,200 CPB, INC ................................... 23
30,451 CRESTAR FINANCIAL CORP ..................... 1,661
10,300 CULLEN FROST BANKERS, INC .................. 559
868 CVB FINANCIAL CORP ......................... 21
29,000 DIME BANCORP, INC .......................... 868
5,460 DOWNEY FINANCIAL CORP ...................... 178
3,500 F & M NATIONAL CORP ........................ 102
53,978 FIFTH THIRD BANCORP ........................ 3,401
30,177 FIRST AMERICAN CORP ........................ 1,452
82,455 FIRST CHICAGO NBD CORP ..................... 7,308
2,900 FIRST CITIZENS BANCSHARES, INC (CLASS A) ... 290
8,716 FIRST COMMERCIAL CORP ...................... 605
1,200 FIRST COMMONWEALTH FINANCIAL CORP .......... 34
10,400 FIRST FINANCIAL BANCORP .................... 269
11,000 FIRST HAWAIIAN, INC ........................ 400
5,400 FIRST MIDWEST BANCORP, INC ................. 237
47,412 FIRST SECURITY CORP ........................ 1,015
2,000 oFIRST SOURCE BANCORP, INC .................. 19
33,900 FIRST TENNESSEE NATIONAL CORP .............. 1,070
1,000 oFIRST UNITED BANCSHARES, INC ............... 49
14,650 FIRST VIRGINIA BANKS, INC .................. 749
31,500 FIRSTAR CORP ............................... 1,197
500 oFIRSTBANK OF ILLINOIS CO ................... 21
14,800 FIRSTBANK PUERTO RICO ...................... 385
17,400 FIRSTMERIT CORP ............................ 507
81,864 FLEET FINANCIAL GROUP, INC ................. 6,836
21,987 FRANCHISE FINANCE CORP OF AMERICA .......... 570
14,000 FULTON FINANCIAL CORP ...................... 355
13,600 oGOLDEN STATE BANCORP, INC .................. 405
13,600 oGOLDEN STATE BANCORP, INC
LIT WTS 01/01/01 .......................... 72
12,200 GOLDEN WEST FINANCIAL CORP ................. 1,297
17,600 GREENPOINT FINANCIAL CORP .................. 662
24,434 H.F. AHMANSON & CO ......................... 1,735
4,600 HARRIS FINANCIAL, INC ...................... 101
36,714 HIBERNIA CORP (CLASS A) .................... 741
14,730 HUBCO, INC ................................. 528
53,241 HUNTINGTON BANCSHARES, INC ................. 1,784
11,250 oIMPERIAL BANCORP ........................... 338
125,300 KEYCORP .................................... 4,464
15,850 KEYSTONE FINANCIAL, INC .................... 586
10,300 LONG ISLAND BANCORP, INC ................... 626
2,341 M & T BANK CORP ............................ 1,297
12,920 MAF BANCORP, INC ........................... 470
15,600 MAGNA GROUP, INC ........................... 881
28,756 MARSHALL & ILSLEY CORP ..................... 1,468
121,805 MBNA CORP .................................. 4,020
74,152 MELLON BANK CORP ........................... 5,163
35,872 MERCANTILE BANCORP, INC .................... 1,807
18,105 MERCANTILE BANKSHARES CORP ................. 630
400 oMID-AM, INC ................................ 10
50,884 MORGAN (J.P.) & CO, INC .................... 5,960
4,400 NATIONAL BANCORP OF ALASKA, INC ............ 136
1,000 oNATIONAL CITY BANCSHARES, INC .............. 40
94,879 NATIONAL CITY CORP ......................... 6,736
16,500 NATIONAL COMMERCE BANCORP .................. 691
278,724 NATIONSBANK CORP ........................... 21,322
36,468 NORTH FORK BANCORP, INC .................... 891
31,060 NORTHERN TRUST CORP ........................ 2,368
218,596 NORWEST CORP ............................... 8,170
10,200 oOCWEN FINANCIAL CORP ....................... 274
25,846 OLD KENT FINANCIAL CORP .................... 930
10,019 OLD NATIONAL BANCORP ....................... 478
8,312 ONE VALLEY BANCORP, INC .................... 302
23,100 PACIFIC CENTURY FINANCIAL CORP ............. 554
2,900 PARK NATIONAL CORP ......................... 293
8,600 PEOPLES BANK OF BRIDGEPORT CO .............. 298
29,604 PEOPLES HERITAGE FINANCIAL
GROUP, INC ................................ 699
86,026 PNC BANK CORP .............................. 4,629
18,917 POPULAR, INC ............................... 1,258
8,085 PROVIDENT BANKSHARES CORP .................. 239
12,200 PROVIDENT FINANCIAL GROUP .................. 557
12,800 QUEENS COUNTY BANCORP, INC ................. 558
40,652 REGIONS FINANCIAL CORP ..................... 1,669
30,664 REPUBLIC NEW YORK CORP ..................... 1,930
15,700 RIGGS NATIONAL CORP ........................ 459
15,700 oROSLYN BANCORP, INC ........................ 350
4,800 S & T BANCORP, INC ......................... 265
400 oSILICON VALLEY BANCSHARES .................. 14
43,700 SOUTHTRUST CORP ............................ 1,901
41,040 SOVEREIGN BANCORP, INC ..................... 671
22,625 ST. PAUL BANCORP, INC ...................... 511
26,734 STAR BANC CORP ............................. 1,708
45,900 STATE STREET CORP .......................... 3,190
48,321 SUMMIT BANCORP ............................. 2,295
60,700 SUNTRUST BANKS, INC ........................ 4,936
10,920 SUSQUEHANNA BANCSHARES, INC ................ 408
61,687 SYNOVUS FINANCIAL CORP ..................... 1,465
23,400 TCF FINANCIAL CORP ......................... 690
See notes to financial statements.
-75-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
DEPOSITORY INSTITUTIONS--(CONTINUED)
2,100 TEXAS REGIONAL BANCSHARES, INC
(CLASS A) ................................. $ 69
10,700 oTR FINANCIAL CORP .......................... 448
1,000 oTRANS FINANCIAL, INC ....................... 57
19,800 TRUSTMARK CORP ............................. 434
213,380 U.S. BANCORP ............................... 9,175
6,100 U.S. TRUST CORP ............................ 465
5,540 UMB FINANCIAL CORP ......................... 274
21,230 UNION PLANTERS CORP ........................ 1,249
2,600 UNIONBANCAL CORP ........................... 251
4,800 UNITED BANKSHARES, INC ..................... 164
11,500 UST CORP ................................... 305
15,153 VALLEY NATIONAL BANCORP .................... 439
59,506 WACHOVIA CORP .............................. 5,028
14,134 WASHINGTON FEDERAL, INC .................... 390
106,654 WASHINGTON MUTUAL, INC ..................... 4,633
14,800 WEBSTER FINANCIAL CORP ..................... 492
20,968 WELLS FARGO & CO ........................... 7,737
12,600 oWESTAMERICA BANCORP ........................ 405
18,000 oWESTERNBANK PUERTO RICO .................... 304
6,400 WHITNEY HOLDINGS CORP ...................... 325
10,000 WILMINGTON TRUST CORP ...................... 609
18,700 ZIONS BANCORP .............................. 993
---------
271,849
---------
EATING AND DRINKING PLACES--0.74%
11,800 APPLE SOUTH, INC ........................... 154
15,500 oAPPLEBEES INTERNATIONAL, INC ............... 347
24,600 BOB EVANS FARMS, INC ....................... 521
11,100 oBOSTON CHICKEN, INC ........................ 18
23,700 oBRINKER INTERNATIONAL, INC ................. 456
10,500 oBUFFETS, INC ............................... 165
11,962 CKE RESTAURANTS, INC ....................... 493
16,400 CRACKER BARREL OLD COUNTRY
STORE, INC ................................ 521
44,400 DARDEN RESTAURANTS, INC .................... 705
12,100 oFOODMAKER, INC ............................. 204
8,700 oLANDRYS SEAFOOD RESTAURANTS, INC ........... 157
10,600 oLONE STAR STEAKHOUSE & SALOON, INC ......... 146
9,500 LUBYS CAFETERIA, INC ....................... 167
196,400 MCDONALDS CORP ............................. 13,552
12,000 MORRISON HEALTH CARE, INC .................. 228
11,500 oOUTBACK STEAKHOUSE, INC .................... 449
9,350 oPAPA JOHNS INTERNATIONAL, INC .............. 369
7,100 oPLANET HOLLYWOOD, INC (CLASS A) ............ 50
3,150 oRAINFOREST CAFE, INC ....................... 44
20,700 RUBY TUESDAY, INC .......................... 321
17,200 oRYANS FAMILY STEAK HOUSES, INC ............. 176
3,500 oSBARRO, INC ................................ 95
17,900 oSHONEYS, INC ............................... 63
1,100 oSHOWBIZ PIZZA TIME, INC .................... 44
2,700 oSONIC CORP ................................. 60
1,800 oTHE CHEESECAKE FACTORY CO .................. 41
33,490 oTRICON GLOBAL RESTAURANTS, INC ............. 1,061
15,190 oU.S. FOODSERVICE, INC ...................... 533
25,600 WENDYS INTERNATIONAL, INC .................. 602
---------
21,742
---------
EDUCATIONAL SERVICES--0.05%
12,487 oAPOLLO GROUP, INC (CLASS A) ................ 413
27,800 oDEVRY, INC ................................. 610
1,000 oITT EDUCATIONAL SERVICES, INC .............. 32
2,800 oLEARNING TREE INTERNATIONAL, INC ........... 56
10,650 oSYLVAN LEARNING SYSTEMS, INC ............... 349
---------
1,460
---------
ELECTRIC, GAS, AND SANITARY
SERVICES--4.27%
41,700 oAES CORP ................................... 2,192
22,900 AGL RESOURCES, INC ......................... 455
29,570 ALLEGHENY ENERGY, INC ...................... 891
28,500 oALLIED WASTE INDUSTRIES, INC ............... 684
35,513 AMEREN CORP ................................ 1,412
53,269 AMERICAN ELECTRIC POWER CO, INC ............ 2,417
18,727 oAMERICAN STANDARD COS, INC ................. 837
16,439 AMERICAN WATER WORKS CO, INC ............... 510
597 oAQUARION CO ................................ 20
1,253 oAQUILA GAS PIPELINE CORP ................... 15
8,436 ATMOS ENERGY CORP .......................... 257
37,679 BALTIMORE GAS & ELECTRIC CO ................ 1,170
417 oBAY STATE GAS CO ........................... 16
14,300 BEC ENERGY ................................. 593
2,128 oBLACK HILLS CORP ........................... 49
54,200 BROWNING FERRIS INDUSTRIES, INC ............ 1,883
16,200 oCALENERGY, INC ............................. 487
2,707 oCALIFORNIA WATER SERVICE GROUP ............. 68
4,562 oCALPINE CORP ............................... 92
41,887 CAROLINA POWER & LIGHT CO .................. 1,817
53,156 CENTRAL & SOUTH WEST CORP .................. 1,429
8,800 CENTRAL HUDSON GAS & ELECTRIC CORP ......... 403
30,069 CENTRAL MAINE POWER CO ..................... 586
6,700 CILCORP, INC ............................... 322
39,223 CINERGY CORP ............................... 1,373
73,914 oCITIZENS UTILITIES CO (CLASS B) ............ 711
10,900 CLECO CORP ................................. 324
25,100 CMS ENERGY CORP ............................ 1,104
27,100 COASTAL CORP ............................... 1,892
16,700 COMMONWEALTH ENERGY SYSTEM CO .............. 630
52,625 CONECTIV, INC .............................. 1,079
4,287 CONECTIV, INC (CLASS A) .................... 155
63,800 CONSOLIDATED EDISON CO OF N.Y., INC ........ 2,939
1,230 oCTG RESOURCES, INC ......................... 29
50,788 DOMINION RESOURCES, INC .................... 2,070
37,500 DPL, INC ................................... 680
18,400 DQE, INC ................................... 662
36,593 DTE ENERGY CO .............................. 1,477
103,570 DUKE ENERGY CORP ........................... 6,137
23,200 EASTERN UTILITIES ASSOCIATION CO ........... 609
101,700 EDISON INTERNATIONAL CO .................... 3,007
32,096 EL PASO NATURAL GAS CO ..................... 1,228
3,386 oENERGEN CORP ............................... 68
16,100 ENERGY EAST CORP ........................... 670
59,153 ENTERGY CORP ............................... 1,701
11,000 EQUITABLE RESOURCES, INC ................... 336
58,825 FIRSTENERGY CORP ........................... 1,809
21,600 FLORIDA PROGRESS CORP ...................... 888
46,100 FPL GROUP, INC ............................. 2,904
32,600 GPU, INC ................................... 1,233
9,000 HAWAIIAN ELECTRIC INDUSTRIES, INC .......... 357
77,649 HOUSTON INDUSTRIES, INC .................... 2,397
16,000 IDAHO POWER CO ............................. 554
20,400 ILLINOVA CORP .............................. 612
7,800 INDIANA ENERGY, INC ........................ 233
23,134 INTERSTATE ENERGY CORP ..................... 752
16,800 IPALCO ENTERPRISES, INC .................... 747
24,100 KANSAS CITY POWER & LIGHT CO ............... 699
8,000 KN ENERGY, INC ............................. 434
63,100 oLAIDLAW ENVIRONMENTAL SERVICES, INC ........ 229
44,205 LOUISVILLE GAS & ELECTRIC
ENERGY CORP ............................... 1,196
48,204 oMARKETSPAN CORP ............................ 1,443
See notes to financial statements.
-76-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
ELECTRIC, GAS, AND SANITARY
SERVICES--(CONTINUED)
18,500 MCN ENERGY GROUP, INC ...................... $ 460
10,300 MDU RESOURCES GROUP, INC ................... 368
29,200 MIDAMERICAN ENERGY HOLDINGS CO ............. 631
18,500 MINNESOTA POWER, INC ....................... 735
22,700 MONTANA POWER CO ........................... 789
11,500 NATIONAL FUEL GAS CO ....................... 501
25,500 NEVADA POWER CO ............................ 657
28,885 NEW CENTURY ENERGIES, INC .................. 1,312
17,600 NEW ENGLAND ELECTRIC SYSTEMS CO ............ 761
70,300 oNIAGARA MOHAWK POWER CORP .................. 1,050
12,600 NICOR, INC ................................. 506
31,600 NIPSCO INDUSTRIES, INC ..................... 885
59,100 oNORTHEAST UTILITIES CO ..................... 1,001
38,400 NORTHERN STATES POWER CO ................... 1,099
11,900 NORTHWEST NATURAL GAS CO ................... 333
24,500 OGDEN CORP ................................. 678
28,200 OGE ENERGY CORP ............................ 761
9,693 ONEOK, INC ................................. 387
12,200 ORANGE & ROCKLAND UTILITY, INC ............. 655
75,200 PACIFICORP ................................. 1,701
59,000 PECO ENERGY CO ............................. 1,722
10,100 PEOPLES ENERGY CORP ........................ 390
110,565 PG&E CORP .................................. 3,490
3,100 oPHILADELPHIA SUBURBAN CORP ................. 68
9,679 PIEDMONT NATURAL GAS CO, INC ............... 325
23,300 PINNACLE WEST CAPITAL CORP ................. 1,049
29,400 POTOMAC ELECTRIC POWER CO .................. 737
36,700 PP&L RESOURCES, INC ........................ 833
32,200 PUBLIC SERVICE CO OF NEW MEXICO ............ 731
59,200 PUBLIC SERVICE ENTERPRISE
GROUP, INC ................................ 2,039
21,940 PUGET SOUND ENERGY, INC .................... 588
85,600 oREPUBLIC INDUSTRIES, INC ................... 2,140
21,400 ROCHESTER GAS & ELECTRIC CORP .............. 683
26,100 SCANA CORP ................................. 778
1,800 SEMCO ENERGY, INC .......................... 32
56,029 oSEMPRA ENERGY .............................. 1,555
18,700 SIERRA PACIFIC RESOURCES ................... 679
3,200 oSIG CORP, INC .............................. 103
30,200 SONAT, INC ................................. 1,166
199,100 SOUTHERN CO ................................ 5,513
8,000 SOUTHWEST GAS CORP ......................... 196
3,400 oSUPERIOR SERVICES, INC ..................... 102
32,900 TECO ENERGY, INC ........................... 882
66,382 TEXAS UTILITIES CO ......................... 2,763
52,665 oU.S.A. WASTE SERVICES, INC ................. 2,600
7,610 UGI CORP ................................... 189
52,900 UNICOM CORP ................................ 1,855
15,240 oUNISOURCE ENERGY CORP HOLDING CO ........... 240
13,700 UNITED ILLUMINATING CO ..................... 694
8,200 UNITED WATER RESOURCES, INC ................ 148
18,263 UTILICORP UNITED, INC ...................... 688
10,800 WASHINGTON GAS LIGHT CO .................... 289
17,600 WASHINGTON WATER POWER CO .................. 395
128,901 WASTE MANAGEMENT, INC ...................... 4,512
3,300 WESTERN GAS RESOURCES, INC ................. 48
13,500 WESTERN RESOURCES, INC ..................... 524
18,000 WICOR, INC ................................. 416
117,176 WILLIAMS COS, INC .......................... 3,955
28,900 WISCONSIN ENERGY CORP ...................... 878
9,200 WPS RESOURCES CORP ......................... 302
---------
125,540
---------
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT--6.49%
9,400 oACTEL CORP ................................. 101
37,500 oADC TELECOMMUNICATIONS, INC ................ 1,370
6,500 oADTRAN, INC ................................ 170
20,400 oADVANCED FIBRE COMMUNICATIONS .............. 817
2,200 oADVANCED LIGHTING TECHNOLOGIES, INC ........ 51
39,707 oADVANCED MICRO DEVICES, INC ................ 678
5,885 oALLEN TELECOM, INC ......................... 68
5,200 oALLIANCE SEMICONDUCTOR CORP ................ 18
25,000 oALTERA CORP ................................ 739
2,400 oALTRON, INC ................................ 31
21,400 oAMERICAN POWER CONVERSION CORP ............. 642
9,300 AMETEK, INC ................................ 273
61,213 AMP, INC ................................... 2,104
15,720 oAMPEX CORP (CLASS A) ....................... 32
3,700 oANADIGICS, INC ............................. 50
45,856 oANALOG DEVICES, INC ........................ 1,126
24,087 oANDREW CORP ................................ 435
8,200 oANTEC CORP ................................. 190
6,600 oAPPLIED INNOVATION, INC .................... 66
5,400 oAPPLIED MAGNETICS CORP ..................... 41
11,500 oARTESYN TECHNOLOGIES, INC .................. 184
48,560 oASCEND COMMUNICATIONS, INC ................. 2,407
17,200 oASPECT TELECOMMUNICATIONS CORP ............. 471
27,500 oATMEL CORP ................................. 375
10,200 oAVID TECHNOLOGIES, INC ..................... 342
8,500 AVX CORP ................................... 137
9,866 BALDOR ELECTRIC CO ......................... 240
1,741 oBENCHMARK ELECTRONICS, INC ................. 35
12,500 oBERG ELECTRICS CORP ........................ 245
7,600 BMC INDUSTRIES, INC ........................ 67
11,550 oBURR BROWN CORP ............................ 243
686 C&D TECHNOLOGIES, INC ...................... 40
8,800 oCALIFORNIA MICROWAVE, INC .................. 154
7,800 oCELLNET DATA SYSTEMS, INC .................. 76
24,166 oCHYRON CORP ................................ 89
14,800 oCIDCO, INC ................................. 68
28,200 oCIENA CORP ................................. 1,963
2,200 oCOHERENT COMMUNICATIONS SYSTEMS
CORP ...................................... 103
12,240 oCOMVERSE TECHNOLOGY, INC ................... 635
28,930 COOPER INDUSTRIES, INC ..................... 1,589
906 CTS CORP ................................... 27
7,600 oCYMER, INC ................................. 123
24,400 oCYPRESS SEMICONDUCTOR CORP ................. 203
8,000 DALLAS SEMICONDUCTOR CORP .................. 248
10,400 oDIGITAL MICROWAVE CORP ..................... 75
10,080 oDII GROUP, INC ............................. 172
30,700 oDSC COMMUNICATIONS CORP .................... 921
9,800 oDSP COMMUNICATIONS, INC .................... 135
1,300 oELECTRO SCIENTIFIC INDUSTRIES, INC ......... 41
127,154 EMERSON ELECTRIC CO ........................ 7,677
4,600 EXIDE CORP ................................. 77
6,400 oGENERAL DATACOMM INDUSTRIES, INC ........... 32
940,700 GENERAL ELECTRIC CO ........................ 85,604
28,800 oGENERAL INSTRUMENT CORP .................... 783
6,800 oGENERAL SEMICONDUCTOR, INC ................. 67
9,900 oGEOTEK COMMUNICATIONS, INC ................. 2
18,687 oGLENAYRE TECHNOLOGIES, INC ................. 201
4,500 oHADCO CORP ................................. 105
8,350 HARMAN INTERNATIONAL
INDUSTRIES, INC ........................... 321
21,000 HARRIS CORP ................................ 938
7,300 HELIX TECHNOLOGY CORP ...................... 110
See notes to financial statements.
-77-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
ELECTRONIC AND OTHER ELECTRIC
EQUIPMENT--(CONTINUED)
9,700 oHMT TECHNOLOGY CORP ........................ $ 81
4,200 oHUTCHINSON TECHNOLOGY, INC ................. 114
22,700 oINTEGRATED DEVICE TECHNOLOGY, INC .......... 162
2,300 oINTEGRATED SILICON SOLUTION, INC ........... 16
468,970 INTEL CORP ................................. 34,762
6,800 INTER-TEL, INC ............................. 109
13,100 oINTERNATIONAL RECTIFIER CORP ............... 111
2,800 oJABIL CIRCUIT, INC ......................... 93
12,600 JUNO LIGHTING, INC ......................... 298
16,400 oKEMET CORP ................................. 216
5,800 KUHLMAN CORP ............................... 229
5,300 oLATTICE SEMICONDUCTOR CORP ................. 151
7,200 oLEVEL ONE COMMUNICATIONS, INC .............. 169
21,000 LINEAR TECHNOLOGY CO ....................... 1,267
9,800 oLITTLEFUSE, INC ............................ 247
39,272 oLSI LOGIC CORP ............................. 906
13,000 oMAGNETEK, INC .............................. 205
32,800 oMAXIM INTEGRATED PRODUCTS .................. 1,039
25,100 MAYTAG CO .................................. 1,239
12,900 oMEMC ELECTRONIC MATERIALS, INC ............. 134
8,200 METHODE ELECTRONICS, INC (CLASS A) ......... 127
3,200 oMICREL, INC ................................ 104
13,100 oMICROCHIP TECHNOLOGY, INC .................. 342
47,409 oMICRON TECHNOLOGY, INC ..................... 1,176
21,132 MOLEX, INC ................................. 528
171,900 MOTOROLA, INC .............................. 9,035
5,600 oMRV COMMUNICATIONS, INC .................... 116
14,300 oMYLEX CORP ................................. 97
41,892 oNATIONAL SEMICONDUCTOR CORP ................ 552
4,800 oNEOMAGIC CORP .............................. 74
4,900 oOAK INDUSTRIES, INC ........................ 173
49,100 oOIS OPTICAL IMAGING SYSTEMS, INC ........... 46
10,100 oOMNIPOINT CORP ............................. 232
12,100 oP-COM, INC ................................. 111
17,100 oPAIRGAIN TECHNOLOGIES, INC ................. 298
7,300 oPICTURETEL CORP ............................ 68
3,500 PITTWAY CORP (CLASS A) ..................... 259
2,600 oPLANTRONICS, INC ........................... 134
7,300 oPMC-SIERRA, INC ............................ 342
2,500 oPOWERWAVE TECHNOLOGIES, INC ................ 42
6,100 oPREMISYS COMMUNICATIONS, INC ............... 152
4,100 oRADISYS CORP ............................... 88
5,000 oRAMBUS, INC ................................ 306
12,100 oREAD RITE CORP ............................. 110
11,200 oS3, INC .................................... 57
4,100 oSANDISK CORP ............................... 57
11,400 oSANMINA CORP ............................... 494
3,100 oSAWTEK, INC ................................ 46
15,100 oSCI SYSTEMS, INC ........................... 568
19,700 SCIENTIFIC-ATLANTA, INC .................... 500
2,400 oSDL, INC ................................... 57
28,200 oSENSORMATIC ELECTRONICS CORP ............... 395
5,800 oSMART MODULAR TECHNOLOGIES, INC ............ 85
1,400 oSPEEDFAM INTERNATIONAL, INC ................ 26
2,200 TECHNITROL, INC ............................ 88
2,800 oTEKELEC .................................... 125
44,960 oTELLABS, INC ............................... 3,220
112,041 TEXAS INSTRUMENTS, INC ..................... 6,533
43,550 oTHERMO ELECTRON CORP ....................... 1,489
14,505 THOMAS & BETTS CORP ........................ 714
8,600 oUCAR INTERNATIONAL, INC .................... 251
5,700 oUNITRODE CORP .............................. 66
8,200 oVICOR CORP ................................. 114
3,800 oVIDEOSERVER, INC ........................... 47
18,937 oVISHAY INTERTECHNOLOGY, INC ................ 340
3,800 oVISX, INC .................................. 226
19,000 oVITESSE SEMICONDUCTOR CORP ................. 587
10,300 oVLSI TECHNOLOGY, INC ....................... 173
17,900 WHIRLPOOL CORP ............................. 1,231
6,200 oWORLD ACCESS, INC .......................... 186
18,000 oXILINX, INC ................................ 612
4,400 xoZENITH ELECTRONICS CORP .................... 1
---------
190,675
---------
ENGINEERING AND MANAGEMENT
SERVICES--0.10%
6,300 BLOUNT INTERNATIONAL, INC .................. 180
5,300 oCEPHALON, INC .............................. 42
6,400 oCOR THERAPEUTICS, INC ...................... 89
20,500 oCORRECTIONS CORP OF AMERICA ................ 482
10,400 oICOS CORP .................................. 199
6,800 oINCYTE PHARMACEUTICALS, INC ................ 232
6,100 oJACOBS ENGINEERING GROUP, INC .............. 196
14,600 oMEDAPHIS CORP .............................. 88
2,200 oNEUREX CORP ................................ 67
15,100 oNEUROMEDICAL SYSTEMS, INC .................. 11
3,700 oNFO WORLDWIDE, INC ......................... 66
14,000 oQUINTILES TRANSNATIONAL CORP ............... 689
10,600 oRENAISSANCE WORLDWIDE, INC ................. 231
500 oSCIOS, INC ................................. 4
300 oTETRA TECH, INC ............................ 7
5,700 oTRANSKARYOTIC THERAPIES, INC ............... 147
13,400 oU.S. BIOSCIENCE, INC ....................... 110
3,000 oWACKENHUT CORRECTIONS CORP ................. 70
---------
2,910
---------
FABRICATED METAL PRODUCTS--1.29%
6,400 AEROQUIP-VICKERS, INC ...................... 374
6,600 oALLIANT TECHSYSTEMS, INC ................... 417
1,676 oALLTRISTA CORP ............................. 43
219 oAMCAST INDUSTRIAL CORP ..................... 4
3,500 oAMERICAN SAFETY RAZOR CO ................... 51
5,300 APTARGROUP, INC ............................ 330
12,132 BALL CORP .................................. 488
452 BARNES GROUP, INC .......................... 12
2,200 CLARCOR, INC ............................... 46
7,400 oCOLEMAN CO, INC ............................ 86
10,150 CRANE CO ................................... 493
28,953 CROWN CORK & SEAL CO, INC .................. 1,375
325,022 GILLETTE CO ................................ 18,425
5,500 oGRIFFON CORP ............................... 70
12,200 HARSCO CORP ................................ 559
16,350 HUBBELL, INC (CLASS B) ..................... 681
56,700 ILLINOIS TOOL WORKS, INC ................... 3,781
44,411 MASCO CORP ................................. 2,687
14,500 MASCOTECH, INC ............................. 348
7,400 oMILLER INDUSTRIES, INC ..................... 57
29,375 PARKER-HANNIFIN CORP ....................... 1,120
3,550 PRIMEX TECHNOLOGIES, INC ................... 182
43,744 ROCKWELL INTERNATIONAL CORP ................ 2,102
40,700 oROHN INDUSTRIES, INC ....................... 191
5,500 oSILGAN HOLDINGS, INC ....................... 154
14,550 SNAP-ON, INC ............................... 527
29,300 oSOLECTRON CORP ............................. 1,232
17,000 STANLEY WORKS CO ........................... 707
6,700 STRUM, RUGER & CO, INC ..................... 112
6,900 oTOWER AUTOMOTIVE, INC ...................... 296
17,475 TRANSPRO, INC .............................. 130
11,300 TRINITY INDUSTRIES, INC .................... 469
See notes to financial statements.
-78-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
FABRICATED METAL PRODUCTS--(CONTINUED)
6,700 VALMONT INDUSTRIES ......................... $ 134
5,600 WATTS INDUSTRIES, INC (CLASS A) ............ 117
7,700 oWYMAN-GORDON CO ............................ 154
---------
37,954
---------
FOOD AND KINDRED PRODUCTS--4.76%
5,160 oAGRIBRANDS INTERNATIONAL, INC .............. 156
132,956 ANHEUSER BUSCH COS, INC .................... 6,274
161,200 ARCHER DANIELS MIDLAND CO .................. 3,123
81,745 BESTFOODS, INC ............................. 4,746
4,105 oBOSTON BEER CO, INC (CLASS A) .............. 52
9,250 BROWN FORMAN, INC (CLASS B) ................ 594
4,000 oBUSH BOAKE ALLEN, INC ...................... 117
73,351 CAMPBELL SOUP CO ........................... 3,897
3,500 oCANANDAIGUA BRANDS, INC (CLASS A) .......... 172
8,400 oCASTLE & COOKE, INC ........................ 160
14,200 CHIQUITA BRANDS INTERNATIONAL, INC ......... 200
651,700 COCA COLA CO ............................... 55,720
58,900 COCA COLA ENTERPRISES, INC ................. 2,312
137,873 CONAGRA, INC ............................... 4,369
9,700 COORS (ADOLPH) CO (CLASS B) ................ 330
12,675 oCORN PRODUCTS INTERNATIONAL, INC ........... 429
10,600 DEAN FOODS CO .............................. 582
11,900 DOLE FOOD, INC ............................. 591
9,500 DREYERS GRAND ICE CREAM, INC ............... 191
9,580 EARTHGRAINS CO ............................. 535
26,950 FLOWERS INDUSTRIES, INC .................... 551
45,611 GENERAL MILLS, INC ......................... 3,119
104,178 HEINZ (H.J.) CO ............................ 5,847
25,800 HERSHEY FOODS CORP ......................... 1,780
10,800 HORMEL FOODS CORP .......................... 373
21,100 IBP, INC ................................... 382
10,200 INTERSTATE BAKERIES CORP ................... 339
64,400 KELLOGG CO ................................. 2,419
10,050 LANCASTER COLONY CORP ...................... 381
6,300 LANCE, INC ................................. 141
16,200 MCCORMICK & CO, INC (NON-VOTE) ............. 579
7,200 MICHAEL FOODS, INC ......................... 212
18,200 NABISCO HOLDINGS CORP (CLASS A) ............ 656
431,005 PEPSICO, INC ............................... 17,752
37,500 QUAKER OATS CO ............................. 2,060
10,500 oRALCORP HOLDINGS, INC ...................... 198
30,900 RALSTON PURINA CO .......................... 3,610
84,483 RJR NABISCO HOLDINGS CORP .................. 2,006
134,200 SARA LEE CORP .............................. 7,507
8,800 oSMITHFIELD FOODS, INC ...................... 268
4,000 oSMUCKER, (J.M.) CO (CLASS A) ............... 99
4,266 TOOTSIE ROLL INDUSTRIES, INC ............... 327
3,800 oTRIARC COS, INC ............................ 83
32,700 TYSON FOODS, INC ........................... 709
21,400 UNIVERSAL FOODS CORP ....................... 475
6,800 oVLASIC FOODS INTERNATIONAL, INC ............ 137
26,500 WHITMAN CORP ............................... 608
7,553 oWLR FOODS, INC ............................. 50
28,100 WRIGLEY (WM) JR CO ......................... 2,754
---------
139,972
---------
FOOD STORES--0.66%
61,189 ALBERTSONS, INC ............................ 3,170
61,646 AMERICAN STORES CO ......................... 1,491
3,400 oDOMINICKS SUPERMARKETS, INC ................ 152
101,000 FOOD LION, INC (CLASS B) ................... 1,016
21,400 oGENERAL NUTRITION COS, INC ................. 666
20,400 GIANT FOOD, INC (CLASS A) .................. 878
8,000 GREAT ATLANTIC & PACIFIC TEA CO, INC ....... 265
13,900 HANNAFORD BROTHERS, INC .................... 612
63,200 oKROGER CO .................................. 2,710
135,184 oSAFEWAY, INC ............................... 5,500
21,700 oSOUTHLAND CORP ............................. 60
23,000 oSTARBUCKS CORP ............................. 1,229
3,400 WEIS MARKETS, INC .......................... 125
6,200 oWHOLE FOODS MARKET, INC .................... 375
23,300 WINN DIXIE STORES, INC ..................... 1,193
---------
19,442
---------
FURNITURE AND FIXTURES--0.13%
3,300 BASSETT FURNITURE INDUSTRIES, INC .......... 93
361 BUSH INDUSTRIES, INC (CLASS A) ............. 8
14,600 oFURNITURE BRANDS INTERNATIONAL, INC ........ 410
13,400 HON INDUSTRIES, INC ........................ 456
10,000 KIMBALL INTERNATIONAL, INC (CLASS B) ....... 181
3,300 oKNOLL, INC ................................. 97
4,000 LA-Z-BOY, INC .............................. 226
52,000 LEGGETT & PLATT, INC ....................... 1,300
23,800 MILLER (HERMAN), INC ....................... 579
18,700 U.S. INDUSTRIES, INC ....................... 463
---------
3,813
---------
FURNITURE AND HOMEFURNISHING
STORES--0.19%
12,000 oBED BATH & BEYOND, INC ..................... 622
18,200 oBEST BUY, INC .............................. 657
13,500 oBOMBAY, INC ................................ 64
8,200 oCOMPUCOM SYSTEMS, INC ...................... 53
22,700 oCOMPUSA, INC ............................... 410
7,800 ETHAN ALLEN INTERIORS, INC ................. 390
300 oGUITAR CENTER, INC ......................... 9
21,100 HEILIG MEYERS CO ........................... 260
18,200 oLINENS N THINGS, INC ....................... 556
7,300 oMICROAGE, INC .............................. 104
1,700 oMUSICLAND STORES CORP ...................... 24
19,370 PIER 1 IMPORTS, INC ........................ 462
14,900 SUNBEAM CORP ............................... 155
28,000 TANDY CORP ................................. 1,486
9,500 oWILLIAMS-SONOMA, INC ....................... 302
---------
5,554
---------
GENERAL BUILDING CONTRACTORS--0.12%
13,878 CENTEX CORP ................................ 524
12,637 HILLENBRAND INDUSTRIES, INC ................ 758
9,200 HORTON (D.R.), INC ......................... 192
13,700 KAUFMAN & BROAD HOME CORP .................. 435
12,150 LENNAR CORP ................................ 358
16,400 PULTE CORP ................................. 490
15,800 oTOLL BROTHERS, INC ......................... 453
12,900 oWALTER INDUSTRIES, INC ..................... 244
---------
3,454
---------
GENERAL MERCHANDISE STORES--2.10%
4,000 o99 CENTS ONLY STORES ....................... 166
5,000 oAMES DEPARTMENT STORES, INC ................ 132
11,000 oBJS WHOLESALE CLUB, INC .................... 447
1,300 xoCALDOR CORP ................................ 1
24,000 CASEYS GENERAL STORES, INC ................. 398
28,023 oCONSOLIDATED STORES CORP ................... 1,016
2,000 oCOST PLUS, INC ............................. 60
60,100 oCOSTCO COS, INC ............................ 3,790
123,200 DAYTON HUDSON CORP ......................... 5,975
26,500 DILLARDS, INC (CLASS A) .................... 1,098
28,241 DOLLAR GENERAL CORP ........................ 1,117
10,425 oDOLLAR TREE STORES, INC .................... 424
30,400 FAMILY DOLLAR STORES, INC .................. 562
58,213 oFEDERATED DEPARTMENT STORES, INC ........... 3,133
See notes to financial statements.
-79-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
GENERAL MERCHANDISE STORES--(CONTINUED)
39,846 oFRED MEYER, INC ............................ $ 1,693
11,900 HARCOURT GENERAL, INC ...................... 708
11,700 oHOMEBASE, INC .............................. 93
133,600 oK MART CORP ................................ 2,572
36,400 oKOHLS CORP ................................. 1,888
64,900 MAY DEPARTMENT STORES CO ................... 4,251
8,100 MERCANTILE STORES CO, INC .................. 639
5,700 oNEIMAN-MARCUS GROUP, INC ................... 248
62,905 PENNEY (J.C.) CO, INC ...................... 4,549
25,575 oPROFFITTS, INC ............................. 1,033
12,700 ROSS STORES, INC ........................... 546
2,725 oSCHOOL SPECIALTY, INC ...................... 45
13,400 oSHOPKO STORES, INC ......................... 456
29,900 oVENATOR GROUP, INC ......................... 572
395,700 WAL-MART STORES, INC ....................... 24,039
---------
61,651
---------
HEALTH SERVICES--0.93%
4,500 oACCESS HEALTH, INC ......................... 115
700 oAMERICAN HOMEPATIENT, INC .................. 13
7,700 oAMERICAN ONCOLOGY RESOURCES, INC ........... 94
1,600 oAPPLIED ANALYTICAL INDUSTRIES, INC ......... 23
14,200 oAPRIA HEALTHCARE GROUP, INC ................ 95
28,272 oBEVERLY ENTERPRISES, INC ................... 391
1,207 oCAREMATRIX CORP ............................ 33
9,400 oCLINTRIALS, INC ............................ 46
35,700 oCOASTAL PHYSICIAN GROUP, INC ............... 29
178,462 COLUMBIA/HCA HEALTHCARE CORP ............... 5,198
20,800 oCONCENTRA MANAGED CARE, INC ................ 541
26,778 oCORAM HEALTHCARE CORP ...................... 52
11,100 oCOVENTRY HEALTH CARE, INC .................. 165
2,000 oCURATIVE HEALTH SERVICES, INC .............. 57
13,284 oENZO BIOCHEMICAL, INC ...................... 178
200 oEXPRESS SCRIPTS, INC ....................... 16
17,200 oFIRST HEALTH GROUP CORP .................... 490
10,600 oGENESIS HEALTH VENTURES, INC ............... 265
10,750 oHEALTH CARE & RETIREMENT CORP .............. 424
39,443 oHEALTH MANAGEMENT ASSOCIATES, INC
(CLASS A) ................................. 1,319
111,244 oHEALTHSOUTH CORP ........................... 2,969
42,375 oHUMANA, INC ................................ 1,322
11,248 oINTEGRATED HEALTH SERVICES, INC ............ 422
20,080 oLABORATORY CORP OF AMERICA
HOLDINGS .................................. 46
244 oLABORATORY CORP OF AMERICA
HOLDINGS WTS 04/28/00 ..................... 0
1,222 oLCA-VISION, INC ............................ 4
14,600 oLINCARE HOLDINGS, INC ...................... 614
7,100 oMAGELLAN HEALTH SERVICES, INC .............. 180
12,300 MANOR CARE, INC ............................ 473
9,400 oMARINER HEALTH GROUP, INC .................. 156
11,800 oMAXICARE HEALTH PLANS, INC ................. 80
10,200 oMID ATLANTIC MEDICAL SERVICES, INC ......... 117
1,200 oNATIONAL SURGERY CENTERS, INC .............. 35
16,900 oNOVACARE, INC .............................. 199
21,900 OMNICARE, INC .............................. 835
9,000 oORTHODONTIC CENTERS OF AMERICA, INC ........ 188
24,499 oPARAGON HEALTH NETWORK, INC ................ 395
2,500 oPEDIATRIX MEDICAL GROUP, INC ............... 93
12,626 oPHARMERICA, INC ............................ 152
15,025 oPHYCOR, INC ................................ 249
4,900 oPHYSICIAN RELIANCE NETWORK, INC ............ 56
12,900 oPHYSICIANS RESOURCE GROUP, INC ............. 59
19,625 oPSS WORLD MEDICAL, INC ..................... 287
16,875 oQUEST DIAGNOSTICS, INC ..................... 369
19,750 oQUORUM HEALTH GROUP, INC ................... 523
8,200 oRENAL CARE GROUP, INC ...................... 361
7,200 oSIERRA HEALTH SERVICES, INC ................ 181
12,100 oSUN HEALTHCARE GROUP, INC .................. 177
85,250 oTENET HEALTHCARE CORP ...................... 2,664
19,210 oTOTAL RENAL CARE HOLDINGS, INC ............. 663
51,600 UNITED HEALTHCARE CORP ..................... 3,277
10,200 oUNIVERSAL HEALTH SERVICES, INC ............. 595
12,615 oVENCOR, INC ................................ 91
---------
27,376
---------
HEAVY CONSTRUCTION, EXCEPT
BUILDING--0.04%
21,052 FLUOR CORP ................................. 1,074
9,200 FOSTER WHEELER CORP ........................ 197
---------
1,271
---------
HOLDING AND OTHER INVESTMENT
OFFICES--1.26%
16,363 AMBAC FINANCIAL GROUP, INC ................. 957
11,400 AMERICAN HEALTH PROPERTIES, INC ............ 285
18,100 oAPARTMENT INVESTMENT &
MANAGEMENT CO ............................. 715
23,000 ARDEN REALTY GROUP, INC .................... 595
26,522 AVALON BAY COMMUNITIES, INC ................ 1,008
1,900 oBOK FINANCIAL CORP ......................... 90
15,000 BRE PROPERTIES, INC (CLASS A) .............. 391
23,900 CAMDEN PROPERTY TR ......................... 711
41,527 CAPSTEAD MORTGAGE CORP ..................... 348
17,600 CARRAMERICA REALTY CORP .................... 499
9,400 CBL & ASSOCIATES PROPERTIES, INC ........... 228
13,900 CHATEAU PROPERTIES, INC .................... 400
6,600 oCOAST FEDERAL LITIGATION
CONTINGENT RTS ............................ 100
9,500 COLONIAL PROPERTIES TR ..................... 295
26,900 CORNERSTONE PROPERTIES, INC ................ 474
9,800 COUSINS PROPERTIES, INC .................... 293
36,100 CRESCENT REAL ESTATE EQUITIES, INC ......... 1,214
1,040 oCRESECENT OPERATING, INC ................... 18
15,431 CRIIMI MAE, INC ............................ 214
12,400 DEVELOPERS DIVERSIFIED REALTY CORP ......... 486
32,640 DUKE REALTY INVESTMENTS, INC ............... 771
21,910 DYNEX CAPITAL, INC ......................... 244
26,809 EQUITY OFFICE PROPERTIES TR ................ 761
24,800 EQUITY RESIDENTIAL PROPERTIES TR CO ........ 1,176
12,500 EVEREST REINSURANCE HOLDINGS, INC .......... 480
10,100 EXCEL REALTY TR, INC ....................... 291
13,400 FEDERAL REALTY INVESTMENT TR ............... 322
37,700 FELCOR SUITE HOTELS, INC ................... 1,183
17,300 FIRST INDUSTRIAL REALTY TR, INC ............ 550
10,500 GENERAL GROWTH PROPERTIES, INC ............. 392
10,500 GLENBOROUGH REALTY TR, INC ................. 277
12,100 GLIMCHER REALTY TR ......................... 235
46,200 HEALTH & RETIREMENT PROPERTY TR ............ 869
10,200 HEALTH CARE PROPERTY INVESTORS, INC ........ 368
26,000 HIGHWOODS PROPERTIES, INC .................. 840
15,600 HOSPITALITY PROPERTIES TR .................. 501
42,619 INDYMAC MORTGAGE HOLDINGS, INC ............. 970
24,800 oINTERDIGITAL COMMUNICATIONS CORP ........... 133
8,100 JDN REALTY CORP ............................ 258
11,200 KILROY REALTY CORP ......................... 280
18,450 KIMCO REALTY CORP .......................... 756
29,200 LIBERTY PROPERTY TR CO ..................... 746
11,700 MACERICH CO (THE) .......................... 343
18,700 MACK-CALI REALTY CORP ...................... 643
See notes to financial statements.
-80-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
HOLDING AND OTHER INVESTMENT
OFFICES--(CONTINUED)
8,800 MANUFACTURED HOME
COMMUNITIES, INC .......................... $ 212
16,461 MEDITRUST CORP PAIRED ...................... 460
13,531 MERRY LAND & INVESTMENT CO, INC ............ 285
7,400 NATIONAL HEALTH INVESTORS, INC ............. 245
17,100 NATIONWIDE HEALTH PROPERTIES, INC .......... 408
17,535 NEW PLAN REALTY TR ......................... 430
7,300 OMEGA HEALTHCARE INVESTORS, INC ............ 256
11,382 PATRIOT AMERICAN HOSPITALITY, INC .......... 272
7,000 oPEC ISRAEL ECONOMIC CORP ................... 167
13,900 POST PROPERTIES, INC ....................... 535
21,600 PRENTISS PROPERTIES TR ..................... 525
38,700 PUBLIC STORAGE, INC ........................ 1,084
20,700 REALTY INCOME CORP ......................... 546
11,700 RECKSON ASSOCIATES REALTY CORP ............. 276
936 oRECKSON SERVICES INDUSTRIES, INC ........... 3
5,300 REDWOOD TR, INC ............................ 93
11,700 RFS HOTEL INVESTORS, INC ................... 222
12,037 SECURITY CAPITAL ATLANTIC, INC ............. 269
21,263 SECURITY CAPITAL INDUSTRIAL TR ............. 532
30,342 SECURITY CAPITAL PACIFIC TR ................ 683
10,700 SHURGARD STORAGE CENTERS, INC .............. 297
39,556 SIMON DEBARTOLO GROUP, INC ................. 1,286
22,500 SPIEKER PROPERTIES, INC .................... 872
17,206 STARWOOD HOTELS & RESORTS TR ............... 831
11,400 STORAGE U.S.A., INC ........................ 399
17,000 TAUBMAN CENTERS, INC ....................... 242
6,700 TRINET CORPORATE REALTY TR, INC ............ 228
70,283 UNITED DOMINION REALTY TR, INC ............. 975
12,615 oVENTAS, INC ................................ 174
19,500 VORNADO REALTY TR .......................... 774
21,400 WASHINGTON REAL ESTATE INVESTMENT TR ....... 372
8,100 oWELLSFORD REAL PROPERTIES, INC ............. 114
13,000 WESTFIELD AMERICA, INC ..................... 239
---------
37,016
---------
HOTELS AND OTHER LODGING PLACES--0.46%
34,000 oAVATEX CORP ................................ 70
9,300 oAZTAR CORP ................................. 63
9,350 oBRISTOL HOTEL CO ........................... 229
13,900 oCAPSTAR HOTEL CO ........................... 389
243,367 oCENDANT CORP ............................... 5,080
14,600 oCHOICE HOTELS INTERNATIONAL, INC ........... 198
24,676 oCIRCUS CIRCUS ENTERPRISES, INC ............. 418
17,800 oEXTENDED STAY AMERICA, INC ................. 200
47,802 HILTON HOTELS CORP ......................... 1,362
9,046 oHOMESTEAD VILLAGE, INC ..................... 107
45,100 oHOST MARRIOTT CORP ......................... 803
9,740 oHOST MARRIOTT SERVICES CORP ................ 142
14,650 LA QUINTA INNS, INC ........................ 309
53,200 MARRIOTT INTERNATIONAL (CLASS A) ........... 1,722
7,100 oMGM GRAND, INC ............................. 224
3,600 oPRIMADONNA RESORTS, INC .................... 52
21,300 oPRIME HOSPITALITY CORP ..................... 371
24,287 oPROMUS HOTEL CORP .......................... 935
8,500 oRED ROOF INNS, INC ......................... 144
3,700 oRIO HOTEL & CASINO, INC .................... 70
7,600 oSIGNATURE RESORTS, INC ..................... 125
8,700 oSODEXHO MARRIOTT SERVICES, INC ............. 252
6,700 oSTATION CASINOS, INC ....................... 98
7,833 oSUNBURST HOSPITALITY CORP .................. 54
5,100 oTRUMP HOTEL & CASINO RESORT, INC ........... 36
7,600 oVAIL RESORTS, INC .......................... 202
---------
13,655
---------
INDUSTRIAL MACHINERY AND
EQUIPMENT--6.00%
100,640 o3COM CORP .................................. 3,088
31,450 oADAPTEC, INC ............................... 450
1,000 oAG-CHEM EQUIPMENT CO, INC .................. 22
17,700 AGCO CORP .................................. 364
2,376 oALAMO GROUP, INC ........................... 45
2,200 ALLIED PRODUCTS CORP ....................... 47
100 oAPEX PC SOLUTIONS, INC ..................... 3
37,700 oAPPLE COMPUTER, INC ........................ 1,082
104,360 oAPPLIED MATERIALS, INC ..................... 3,079
12,800 oAPPLIED POWER, INC (CLASS A) ............... 440
2,300 oASYST TECHNOLOGIES, INC .................... 29
12,600 oAUSPEX SYSTEMS, INC ........................ 69
10,100 oAUTOTOTE CORP (CLASS A) .................... 29
48,765 BAKER HUGHES, INC .......................... 1,685
10,500 oBANCTEC, INC ............................... 243
61,845 oBAY NETWORKS, INC .......................... 1,995
3,900 oBELL & HOWELL CO ........................... 101
22,873 BLACK & DECKER CORP ........................ 1,395
5,900 oBLACK BOX CORP ............................. 196
26,493 BRUNSWICK CORP ............................. 656
8,800 oC-CUBE MICROSYSTEMS, INC ................... 163
31,376 oCABLETRON SYSTEMS, INC ..................... 422
10,820 CAMCO INTERNATIONAL, INC ................... 843
2,238 oCASCADE CORP ............................... 41
21,000 CASE CORP .................................. 1,013
103,999 CATERPILLAR, INC ........................... 5,499
497 CHART INDUSTRIES, INC ...................... 12
8,400 CINCINNATI MILACRON, INC ................... 204
15,500 oCIRRUS LOGIC, INC .......................... 172
290,370 oCISCO SYSTEMS, INC ......................... 26,732
12,300 oCOLTEC INDUSTRIES, INC ..................... 244
447,710 COMPAQ COMPUTER CORP ....................... 12,704
14,414 oCOOPER CAMERON CORP ........................ 735
20,500 oCOPYTELE, INC .............................. 46
9,000 CUMMINS ENGINE CO, INC ..................... 461
16,400 oDATA GENERAL CORP .......................... 245
69,800 DEERE & CO ................................. 3,691
150,740 oDELL COMPUTER CORP ......................... 13,991
5,100 oDETROIT DIESEL CORP ........................ 110
2,100 oDIALOGIC CORP .............................. 62
7,500 oDIAMOND MULTIMEDIA SYSTEMS, INC ............ 51
19,075 DIEBOLD, INC ............................... 551
10,000 DONALDSON CO, INC .......................... 236
62,600 DOVER CORP ................................. 2,144
49,246 oDRESSER INDUSTRIES, INC .................... 2,170
2,100 oDUPONT PHOTOMASKS, INC ..................... 72
16,300 EASTERN ENTERPRISES CO ..................... 699
20,600 EATON CORP ................................. 1,602
8,500 oELECTROGLAS, INC ........................... 111
141,100 oEMC CORP ................................... 6,323
6,700 oENCAD, INC ................................. 91
5,600 oETEC SYSTEMS, INC .......................... 197
17,300 oEXABYTE CORP ............................... 144
13,705 FLOWSERVE CORP ............................. 337
11,000 oFSI INTERNATIONAL, INC ..................... 107
17,500 oGATEWAY 2000, INC .......................... 886
See notes to financial statements.
-81-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
INDUSTRIAL MACHINERY AND
EQUIPMENT--(CONTINUED)
11,100 GENERAL SIGNAL CORP ........................ $ 400
3,300 oGERBER SCIENTIFIC, INC ..................... 75
15,100 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC ........ 217
5,550 GRACO, INC ................................. 194
15,200 HARNISCHFEGER INDUSTRIES, INC .............. 430
231,000 HEWLETT-PACKARD CO ......................... 13,831
18,800 HUSSMANN INTERNATIONAL, INC ................ 349
7,900 IDEX CORP .................................. 273
21,000 oIMATION CORP ............................... 348
11,100 oIN FOCUS SYSTEMS, INC ...................... 78
44,800 INGERSOLL-RAND CO .......................... 1,974
5,300 oINTEGRATED PROCESS EQUIPMENT CORP .......... 60
8,400 oINTERGRAPH CORP ............................ 72
272,600 *INTERNATIONAL BUSINESS MACHINES
CORP ...................................... 31,298
59,100 oIOMEGA CORP ................................ 347
6,200 oIONICS, INC ................................ 229
12,100 JLG INDUSTRIES, INC ........................ 245
500 oJTS CORP ................................... 0
9,800 KAYDON CORP ................................ 346
6,223 KENNAMETAL, INC ............................ 260
13,200 oKOMAG, INC ................................. 71
4,400 oKULICHE & SOFFA INDUSTRIES, INC ............ 75
8,800 oLAM RESEARCH CORP .......................... 168
17,800 oLEXMARK INTERNATIONAL GROUP
(CLASS A) ................................. 1,086
500 oLINCOLN ELECTRIC HOLDINGS CO ............... 11
8,200 oLITTON INDUSTRIES, INC ..................... 484
4,900 MANITOWOC, INC ............................. 198
9,700 oMICRON ELECTRONICS, INC .................... 117
1,000 oMICROS SYSTEMS, INC ........................ 33
9,700 oMOHAWK INDUSTRIES, INC ..................... 307
3,800 xoMOLTEN METAL TECHNOLOGY, INC ............... 0
4,200 oNATIONAL INSTRUMENTS CORP .................. 150
17,368 oNCR CORP ................................... 564
7,500 oNETWORK EQUIPMENT
TECHNOLOGIES, INC ......................... 118
3,300 NORDSON CORP ............................... 155
8,400 oNOVELLUS SYSTEMS, INC ...................... 300
6,900 oOAKLEY, INC ................................ 92
1,000 OMNIQUIP INTERNATIONAL, INC ................ 19
31,300 PALL CORP .................................. 642
8,625 oPAXAR CORP ................................. 99
10,800 PENTAIR, INC ............................... 459
5,600 oPHOTRONICS, INC ............................ 124
78,100 PITNEY BOWES, INC .......................... 3,759
1,392 PREMIER FARNELL PLC ADR .................... 14
5,200 oPRESSTEK, INC .............................. 58
2,900 oPRI AUTOMATION, INC ........................ 49
30,400 oQUANTUM CORP ............................... 631
19,492 oRATIONAL SOFTWARE CORP ..................... 297
8,500 ROPER INDUSTRIES, INC ...................... 222
9,500 oSAFEGUARD SCIENTIFICS, INC ................. 396
67,917 oSEAGATE TECHNOLOGY, INC .................... 1,617
9,450 oSECURITY DYNAMICS TECHNOLOGIES, INC ........ 175
11,700 oSEQUENT COMPUTER SYSTEMS, INC .............. 141
3,900 oSHIVA CORP ................................. 33
48,868 oSILICON GRAPHICS, INC ...................... 593
8,800 oSILICON VALLEY GROUP, INC .................. 141
3,850 oSLI, INC ................................... 101
12,600 oSMITH INTERNATIONAL, INC ................... 439
900 oSPS TECHNOLOGIES, INC ...................... 53
10,600 STEWART & STEVENSON SERVICES, INC .......... 191
28,400 oSTORAGE TECHNOLOGY CORP .................... 1,232
9,300 oSTRATUS COMPUTER, INC ...................... 235
108,100 oSUN MICROSYSTEMS, INC ...................... 4,696
17,250 SYMBOL TECHNOLOGIES, INC ................... 651
8,400 TECUMSEH PRODUCTS CO (CLASS A) ............. 444
3,700 oTHERMO FIBERTEK, INC ....................... 38
11,863 TIMKEN CO .................................. 366
4,400 TORO CO .................................... 151
43,856 oU.S. FILTER CORP ........................... 1,231
3,700 oULTRATECH STEPPER, INC ..................... 73
68,400 oUNISYS CORP ................................ 1,932
19,300 oUNOVA, INC ................................. 415
8,300 oVARCO INTERNATIONAL, INC ................... 164
3,159 oWATSCO, INC ................................ 111
21,200 oWESTERN DIGITAL CORP ....................... 250
6,400 oXIRCOM, INC ................................ 100
9,800 oXYLAN CORP ................................. 292
9,500 YORK INTERNATIONAL CORP .................... 414
4,300 oZEBRA TECHNOLOGY CORP ...................... 184
---------
176,316
---------
INSTRUMENTS AND RELATED
PRODUCTS--2.23%
4,636 oACUSON CORP ................................ 84
3,400 oADAC LABORATORIES, INC ..................... 77
1,300 oADE CORP ................................... 19
1,900 oADVANCED ENERGY INDUSTRIES, INC ............ 22
8,200 oAFFYMETRIX, INC ............................ 197
4,400 ARROW INTERNATIONAL, INC ................... 121
17,000 oARTERIAL VASCULAR ENGINEERING, INC ......... 608
5,100 oATL ULTRASOUND, INC ........................ 233
3,300 oAXYS PHARMACEUTICALS, INC .................. 24
6,800 BALLARD MEDICAL PRODUCTS CO ................ 122
14,013 BARD (C.R.), INC ........................... 533
12,000 BAUSCH & LOMB, INC ......................... 602
79,115 BAXTER INTERNATIONAL, INC .................. 4,257
2,200 oBAXTER INTERNATIONAL, INC RTS .............. 0
11,500 BECKMAN COULTER, INC ....................... 670
32,189 BECTON DICKINSON & CO ...................... 2,499
633 oBIO-RAD LABORATORIES, INC (CLASS A) ........ 19
25,100 oBIOMET, INC ................................ 830
1,379 BLOCK DRUG, INC (CLASS A) .................. 52
34,571 oBOSTON SCIENTIFIC CORP ..................... 2,476
1,600 oCELLPRO, INC ............................... 5
13,300 oCNS, INC ................................... 62
5,600 oCOHERENT, INC .............................. 96
2,100 COHU, INC .................................. 51
5,300 oCOLE NATIONAL CORP (CLASS A) ............... 212
2,700 oCOOPER COS, INC ............................ 98
4,300 oCREDENCE SYSTEMS CORP ...................... 82
4,500 oCYTEC CORP ................................. 73
9,300 oDATASCOPE CORP ............................. 247
12,500 DENTSPLY INTERNATIONAL, INC ................ 313
3,300 oDEPUY, INC ................................. 93
5,100 DIAGNOSTIC PRODUCTS CORP ................... 147
9,000 oDIONEX CORP ................................ 237
4,900 oDYNATECH CORP .............................. 15
92,419 EASTMAN KODAK CO ........................... 6,752
21,300 EG & G, INC ................................ 639
6,283 FRESENIUS MEDICAL CARE AG. ADR ............. 130
12,800 oGENRAD, INC ................................ 253
41,442 GUIDANT CORP ............................... 2,955
9,000 oHAEMONETICS CORP ........................... 144
35,200 HONEYWELL, INC ............................. 2,941
10,400 oINPUT/OUTPUT, INC .......................... 185
See notes to financial statements.
-82-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
INSTRUMENTS AND RELATED
PRODUCTS--(CONTINUED)
8,800 INVACARE CORP .............................. $ 226
3,200 oISOLYSER CO, INC ........................... 9
22,000 JOHNSON CONTROLS, INC ...................... 1,258
22,400 oKLA-TENCOR CORP ............................ 620
24,500 oLTX CORP ................................... 120
19,800 MALLINCKRODT, INC .......................... 588
132,682 MEDTRONIC, INC ............................. 8,458
7,700 MENTOR CORP ................................ 187
16,100 MILLIPORE CORP ............................. 439
10,800 oORBITAL SCIENCES CORP ...................... 404
12,700 PERKIN-ELMER CORP .......................... 790
2,200 oPHYSIO-CONTROL INTERNATIONAL CORP .......... 58
10,100 POLAROID CORP .............................. 359
26,588 RAYTHEON CO (CLASS A) ...................... 1,532
49,200 RAYTHEON CO (CLASS B) ...................... 2,909
8,100 oRESPIRONICS, INC ........................... 126
9,800 oSEPRACOR, INC .............................. 407
5,600 oSOFAMOR DANEK GROUP, INC ................... 485
7,333 oSONOSIGHT, INC ............................. 54
20,612 oST. JUDE MEDICAL, INC ...................... 759
8,710 oSTERIS CORP ................................ 554
19,100 oSTRYKER CORP ............................... 733
18,950 oSUMMIT TECHNOLOGY, INC ..................... 103
12,700 oSUNRISE MEDICAL, INC ....................... 191
24,500 oSYBRON INTERNATIONAL CORP .................. 619
4,800 oSYNETIC, INC ............................... 274
14,750 TEKTRONIX, INC ............................. 522
22,700 oTERADYNE, INC .............................. 607
5,400 oTHERAGENICS CORP ........................... 141
7,500 oTHERMEDICS, INC ............................ 93
5,800 oTHERMO CARDIOSYSTEMS, INC .................. 132
3,968 oTHERMO INSTRUMENT SYSTEMS, INC ............. 104
2,300 oTHERMO OPTEK CORP .......................... 34
11,422 oTHERMO VISION CORP ......................... 80
4,100 oTHERMOQUEST CORP ........................... 61
2,600 oTHERMOTREX CORP ............................ 45
9,400 oTRIMBLE NAVIGATION LTD ..................... 152
20,400 U.S. SURGICAL CORP ......................... 931
8,800 oUNIPHASE CORP .............................. 552
7,500 VARIAN ASSOCIATES, INC ..................... 293
100 oVEECO INSTRUMENTS, INC ..................... 2
7,000 oVIVUS, INC ................................. 42
8,800 oWATERS CORP ................................ 519
15,600 X RITE, INC ................................ 214
93,500 XEROX CORP ................................. 9,502
---------
65,463
---------
INSURANCE AGENTS, BROKERS AND
SERVICE--0.30%
15,456 ALLMERICA FINANCIAL CORP ................... 1,005
40,751 AON CORP ................................... 2,863
9,350 BERKLEY (W.R.) CORP ........................ 375
572 oBLANCH (E.W.) HOLDINGS, INC ................ 21
1,200 CRAWFORD & CO (CLASS B) .................... 23
4,600 GALLAGHER (ARTHUR J.) & CO ................. 206
72,103 MARSH & MCLENNAN COS, INC .................. 4,358
---------
8,851
---------
INSURANCE CARRIERS--4.61%
12,600 20TH CENTURY INDUSTRIES .................... 361
2,283 oACCEPTANCE INSURANCE COS, INC .............. 56
14,126 AEGON NV ARS ............................... 1,222
39,294 AETNA, INC ................................. 2,991
74,940 AFLAC, INC ................................. 2,272
800 oALFA CORP .................................. 17
1,300 oALLEGHANY CORP (DELAWARE) .................. 303
12,150 ALLIED GROUP, INC .......................... 569
109,061 ALLSTATE CORP .............................. 9,986
4,100 oAMERICAN ANNUITY GROUP, INC ................ 99
12,600 AMERICAN BANKERS INSURANCE
GROUP, INC ................................ 758
7,800 AMERICAN FINANCIAL GROUP, INC .............. 338
1,738 oAMERICAN HERITAGE LIFE INVESTMENT
CORP ...................................... 40
169,710 AMERICAN INTERNATIONAL GROUP, INC .......... 24,778
1,100 AMERICAN NATIONAL INSURANCE CO ............. 116
10,100 oAMERIN CORP ................................ 295
3,800 AMERUS LIFE HOLDINGS, INC (CLASS A) ........ 123
6,400 ARGONAUT GROUP, INC ........................ 202
3,000 CAPITAL RE CORP ............................ 215
5,300 oCENTURY BUSINESS SERVICES, INC ............. 106
1,277 oCHARTWELL RE CORP .......................... 38
3,900 oCHICAGO TITLE CORP ......................... 180
48,300 CHUBB CORP ................................. 3,882
61,837 CIGNA CORP ................................. 4,267
45,309 CINCINNATI FINANCIAL CORP .................. 1,739
4,500 CITIZENS CORP .............................. 141
6,900 CMAC INVESTMENT CORP ....................... 424
9,000 oCNA FINANCIAL CORP ......................... 419
5,018 oCNA SURETY CORP ............................ 74
7,900 COMMERCE GROUP, INC ........................ 306
51,875 CONSECO, INC ............................... 2,425
7,956 oDELPHI FINANCIAL GROUP, INC ................ 448
11,000 ENHANCE FINANCIAL SERVICES
GROUP, INC ................................ 371
23,000 EQUITABLE COS, INC ......................... 1,724
16,300 ERIE INDEMNITY CO (CLASS A) ................ 471
3,800 EXECUTIVE RISK, INC ........................ 280
9,400 FBL FINANCIAL GROUP, INC (CLASS A) ......... 241
5,900 FIDELITY NATIONAL FINANCIAL, INC ........... 235
10,200 FINANCIAL SECURITY ASSURANCE
HOLDINGS LTD .............................. 599
3,800 FIRST AMERICAN FINANCIAL CORP .............. 342
5,300 FOREMOST CORP OF AMERICA ................... 128
29,170 oFOUNDATION HEALTH SYSTEMS (CLASS A) ........ 769
5,400 oFPA MEDICAL MANAGEMENT, INC ................ 6
6,800 FREMONT GENERAL CORP ....................... 368
9,570 FRONTIER INSURANCE GROUP, INC .............. 216
22,289 GENERAL REINSURANCE CORP ................... 5,650
4,700 HARLEYSVILLE GROUP, INC .................... 98
30,500 HARTFORD FINANCIAL SERVICES
GROUP, INC ................................ 3,488
10,900 HARTFORD LIFE, INC (CLASS A) ............... 621
10,700 HCC INSURANCE HOLDINGS, INC ................ 235
9,150 oHIGHLANDS INSURANCE GROUP, INC ............. 169
14,600 HORACE MANN EDUCATORS CORP ................. 504
8,550 HSB GROUP, INC ............................. 457
27,275 JEFFERSON-PILOT CORP ....................... 1,580
10,300 JOHN ALDEN FINANCIAL CORP .................. 227
4,300 LIBERTY CORP ............................... 216
4,800 LIBERTY FINANCIAL COS, INC ................. 166
4,100 +LIFE RE CORP ............................... 340
26,100 LINCOLN NATIONAL CORP ...................... 2,385
19,366 LOEWS CORP ................................. 1,687
900 oMARKEL CORP ................................ 160
27,194 MBIA, INC .................................. 2,036
1,300 oMEDICAL ASSURANCE, INC ..................... 36
6,800 MERCURY GENERAL CORP ....................... 438
31,700 MGIC INVESTMENT CORP ....................... 1,809
See notes to financial statements.
-83-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
INSURANCE CARRIERS--(CONTINUED)
8,700 NAC RE CORP ................................ $ 464
7,300 NATIONWIDE FINANCIAL SERVICES, INC
(CLASS A) ................................. 372
7,200 OHIO CASUALTY CORP ......................... 319
35,925 OLD REPUBLIC INTERNATIONAL CORP ............ 1,053
8,800 ORION CAPITAL CORP ......................... 492
18,800 oOXFORD HEALTH PLANS, INC ................... 288
824 oPACIFICARE HEALTH SYSTEMS, INC
(CLASS A) ................................. 70
10,179 oPACIFICARE HEALTH SYSTEMS, INC
(CLASS B) ................................. 900
10,300 PENNCORP FINANCIAL GROUP, INC .............. 211
8,300 oPHYMATRIX CORP ............................. 73
5,400 PMI GROUP, INC ............................. 396
12,800 PRESIDENTIAL LIFE CORP ..................... 274
14,400 PROGRESSIVE CORP ........................... 2,030
16,200 PROTECTIVE LIFE CORP ....................... 594
16,008 PROVIDENT COS, INC ......................... 552
23,100 PROVIDIAN FINANCIAL CORP ................... 1,815
8,800 REINSURANCE GROUP OF AMERICA, INC .......... 520
14,000 RELIANCE GROUP HOLDINGS, INC ............... 245
22,277 RELIASTAR FINANCIAL CORP ................... 1,069
37,500 SAFECO CORP ................................ 1,702
9,200 SELECTIVE INSURANCE GROUP, INC ............. 206
66,681 ST. PAUL COS, INC .......................... 2,805
47,700 SUNAMERICA, INC ............................ 2,740
12,900 TIG HOLDINGS, INC .......................... 297
38,700 TORCHMARK CORP ............................. 1,771
15,700 TRANSAMERICA CORP .......................... 1,807
4,650 TRANSATLANTIC HOLDINGS, INC ................ 360
331,144 TRAVELERS GROUP, INC ....................... 20,076
15,200 TRAVELERS PROPERTY CASUALTY CORP ........... 652
1,300 oTRIAD GUARANTY, INC ........................ 44
12,400 oTRIGON HEALTHCARE, INC ..................... 449
10,300 oUICI ....................................... 281
5,500 UNITED WISCONSIN SERVICES, INC ............. 156
7,700 UNITRIN, INC ............................... 535
38,600 UNUM CORP .................................. 2,142
5,400 VESTA INSURANCE GROUP, INC ................. 115
3,234 oWELLPOINT HEALTH NETWORKS, INC ............. 239
---------
135,356
---------
LEATHER AND LEATHER PRODUCTS--0.06%
6,000 BROWN GROUP, INC ........................... 119
9,969 oFOOTSTAR, INC .............................. 479
19,000 JUSTIN INDUSTRIES, INC ..................... 306
8,400 oNINE WEST GROUP, INC ....................... 225
2,135 oSAMSONITE CORP ............................. 23
10,500 STRIDE RITE CORP ........................... 158
1,000 oTIMBERLAND CO .............................. 72
17,362 WOLVERINE WORLD WIDE, INC .................. 377
---------
1,759
---------
LEGAL SERVICES--0.01%
12,900 oPREPAID LEGAL SERVICES, INC ................ 407
---------
LOCAL AND INTERURBAN PASSENGER
TRANSIT--0.02%
1,000 oRURAL/METRO CORP ........................... 13
24,500 VIAD CORP .................................. 680
---------
693
---------
LUMBER AND WOOD PRODUCTS--0.27%
12,100 oCHAMPION ENTERPRISES, INC .................. 355
20,216 CLAYTON HOMES, INC ......................... 384
15,857 DELTIC TIMBER CORP ......................... 397
23,900 GEORGIA-PACIFIC CORP (PACKAGING GROUP) ..... 1,409
25,900 GEORGIA-PACIFIC CORP (TIMBER GROUP) ........ 597
24,800 LOUISIANA PACIFIC CORP ..................... 453
7,000 oPALM HARBOR HOMES, INC ..................... 298
8,400 RAYONIER, INC .............................. 386
6,400 TJ INTERNATIONAL, INC ...................... 193
1,300 oTRIANGLE PACIFIC CORP ...................... 72
200 UNIVERSAL FOREST PRODUCTS, INC ............. 3
55,300 WEYERHAEUSER CO ............................ 2,554
28,700 WILLAMETTE INDUSTRIES, INC ................. 918
---------
8,019
---------
METAL MINING--0.16%
50,614 BATTLE MOUNTAIN GOLD CO .................... 301
7,800 CLEVELAND CLIFFS, INC ...................... 418
4,500 oCOEUR DALENE MINES CORP .................... 30
38,400 CYPRUS AMAX MINERALS CO .................... 509
17,692 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS A) ....................... 252
24,333 FREEPORT-MCMORAN COPPER &
GOLD, INC (CLASS B) ....................... 370
10,391 oGETCHELL GOLD CORP ......................... 160
21,400 oHECLA MINING CO ............................ 114
48,900 HOMESTAKE MINING CO ........................ 507
14,887 oKINROSS GOLD CORP .......................... 48
3,800 NEWMONT GOLD CO ............................ 94
39,135 NEWMONT MINING CORP ........................ 925
12,800 PHELPS DODGE CORP .......................... 732
7,300 oSTILLWATER MINING CO ....................... 198
9,000 oSUNSHINE MINING & REFINING CO .............. 8
---------
4,666
---------
MISCELLANEOUS MANUFACTURING
INDUSTRIES--0.73%
9,300 ARMSTRONG WORLD INDUSTRIES, INC ............ 627
10,000 oBLYTH INDUSTRIES, INC ...................... 333
6,600 BRADY (W.H.) CO (CLASS A) .................. 184
20,294 CALLAWAY GOLF CO ........................... 400
2,600 oCML GROUP, INC ............................. 5
3,900 oESS TECHNOLOGY ............................. 18
2,800 oGALOOB TOYS, INC ........................... 28
29,900 HASBRO, INC ................................ 1,175
8,200 oHEXCEL CORP ................................ 186
25,900 INTERNATIONAL GAME TECHNOLOGY CO ........... 628
8,400 JOSTENS, INC ............................... 201
5,500 K2, INC .................................... 97
1,071 oLYDALL, INC ................................ 16
83,156 MATTEL, INC ................................ 3,519
118,100 MINNESOTA MINING &
MANUFACTURING CO .......................... 9,706
2,600 NACCO INDUSTRIES, INC (CLASS A) ............ 336
3,500 oNU KOTE HOLDING, INC (CLASS A) ............. 1
7,000 TIFFANY & CO ............................... 336
58,790 TYCO INTERNATIONAL LTD ..................... 3,704
8,900 oWMS INDUSTRIES, INC ........................ 37
---------
21,537
---------
MISCELLANEOUS RETAIL--1.05%
5,400 oAMAZON. COM, INC ........................... 539
12,600 oBARNES & NOBLE, INC ........................ 472
19,767 oBORDERS GROUP, INC ......................... 731
2,800 oBRYLANE, INC ............................... 129
3,769 oCASH AMERICA INTERNATIONAL, INC ............ 57
1,750 oCDW COMPUTER CENTERS, INC .................. 88
See notes to financial statements.
-84-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
MISCELLANEOUS RETAIL--(CONTINUED)
108,214 CVS CORP ................................... $ 4,214
4,500 ENESCO GROUP, INC .......................... 138
14,400 FINGERHUT COS, INC ......................... 475
1,000 oGARDEN RIDGE CORP .......................... 19
2,900 oGLOBAL DIRECTMAIL CORP ..................... 37
800 oJUMBOSPORTS, INC ........................... 1
4,800 oLANDS END, INC ............................. 152
11,400 LONGS DRUG STORES CORP ..................... 329
10,100 oMICHAELS STORES, INC ....................... 356
6,600 oMICRO WAREHOUSE, INC ....................... 102
13,200 oMSC INDUSTRIAL DIRECT CO (CLASS A) ......... 376
42,950 oOFFICE DEPOT, INC .......................... 1,356
29,900 oOFFICEMAX, INC ............................. 493
6,900 oPETCO ANIMAL SUPPLIES, INC ................. 138
29,100 oPETSMART, INC .............................. 291
70,966 RITE AID CORP .............................. 2,666
102,600 SEARS ROEBUCK & CO ......................... 6,265
32,100 oSERVICE MERCHANDISE, INC ................... 50
9,600 oSPIEGEL, INC (CLASS A) ..................... 69
70,175 oSTAPLES, INC ............................... 2,031
14,700 oSUNGLASS HUT INTERNATIONAL, INC ............ 163
9,050 oTHE SPORTS AUTHORITY, INC .................. 135
79,201 oTOYS R US, INC ............................. 1,866
23,400 oVIKING OFFICE PRODUCTS, INC ................ 734
2,066 oVITALINK PHARMACY SERVICES, INC ............ 46
141,100 WALGREEN CO ................................ 5,829
14,600 oZALE CORP .................................. 464
---------
30,811
---------
MOTION PICTURES--0.73%
2,900 oAMERICAN MEDIA, INC (CLASS A) .............. 19
1,584 oCARMIKE CINEMAS, INC (CLASS A) ............. 43
1,500 oCNET, INC .................................. 102
195,126 DISNEY (WALT) CO ........................... 20,500
5,200 oHOLLYWOOD ENTERTAINMENT CORP ............... 71
13,200 oKING WORLD PRODUCTIONS, INC ................ 337
8,800 oMOVIE GALLERY, INC ......................... 64
5,600 oPIXAR, INC ................................. 338
10,000 oSPELLING ENTERTAINMENT GROUP, INC .......... 94
---------
21,568
---------
NONDEPOSITORY INSTITUTIONS--2.94%
6,100 AAMES FINANCIAL CORP ....................... 84
5,299 ADVANTA CORP (CLASS A) ..................... 116
132,463 AMERICAN EXPRESS CO ........................ 15,101
70,732 AMERICAN GENERAL CORP ...................... 5,035
8,200 oAMERICREDIT CORP ........................... 293
10,350 oAMRESCO, INC ............................... 301
6,100 oARCADIA FINANCIAL LTD ...................... 46
98,570 ASSOCIATES FIRST CAPITAL CORP .............. 7,578
14,749 BENEFICIAL CORP ............................ 2,259
1,808 CAPITAL ONE FINANCIAL CORP ................. 225
2,500 oCITYSCAPE FINANCIAL CORP ................... 0
2,800 oCONTIFINANCIAL CORP ........................ 65
29,784 COUNTRYWIDE CREDIT INDUSTRIES, INC ......... 1,512
4,800 oCREDIT ACCEPTANCE CORP ..................... 41
700 oDORAL FINANCIAL CORP ....................... 12
299,100 FEDERAL NATIONAL MORTGAGE
ASSOCIATION ............................... 18,170
13,200 FINOVA GROUP, INC .......................... 747
267,735 FIRST UNION CORP ........................... 15,596
6,300 oFIRSTPLUS FINANCIAL GROUP, INC ............. 227
199,300 FREDDIE MAC ................................ 9,380
700 FUND AMERICAN ENTERPRISES
HOLDINGS, INC ............................. 104
37,319 GREEN TREE FINANCIAL CORP .................. 1,598
90,956 HOUSEHOLD INTERNATIONAL, INC ............... 4,525
900 oIMC MORTGAGE CO ............................ 10
6,700 oIMPERIAL CREDIT INDUSTRIES, INC ............ 157
10,100 oLEUCADIA NATIONAL CORP ..................... 334
95,250 oMERCURY FINANCE CO ......................... 12
2,800 METRIS COS, INC ............................ 179
3,379 oOMEGA WORLDWIDE, INC ....................... 26
1,200 SIRROM CAPITAL CORP ........................ 31
47,374 SLM HOLDING CORP ........................... 2,321
2,000 STUDENT LOAN CORP .......................... 94
7,280 UNITED COS FINANCIAL CORP .................. 114
---------
86,293
---------
NONMETALLIC MINERALS, EXCEPT
FUELS--0.05%
3,500 oAMCOL INTERNATIONAL CORP ................... 42
7,900 JOHNS MANVILLE CORP ........................ 119
11,368 MARTIN MARIETTA MATERIALS, INC ............. 512
1,913 POTASH CORP OF SASKATCHEWAN, INC ........... 145
7,100 VULCAN MATERIALS CO ........................ 757
---------
1,575
---------
OIL AND GAS EXTRACTION--4.00%
276,751 AMOCO CORP ................................. 11,520
15,158 ANADARKO PETROLEUM CORP .................... 1,018
22,957 APACHE CORP ................................ 723
4,400 oATWOOD OCEANICS, INC ....................... 175
13,700 oBARNETT RESOURCES CORP ..................... 513
2,300 BELCO OIL & GAS CORP ....................... 20
11,400 oBENTON OIL & GAS CO ........................ 121
1,371 BERRY PETROLEUM CO (CLASS A) ............... 18
18,568 oBJ SERVICES CO ............................. 540
160 oBJ SERVICES CO WTS 04/13/00 ................ 5
6,900 oBROWN (TOM), INC ........................... 130
47,783 BURLINGTON RESOURCES, INC .................. 2,058
12,700 CABOT OIL & GAS CORP (CLASS A) ............. 254
11,000 CHESAPEAKE ENERGY CORP ..................... 44
4,900 oCLIFFS DRILLING CO ......................... 161
21,450 COLUMBIA ENERGY GROUP ...................... 1,193
26,500 CONSOLIDATED NATURAL GAS CO ................ 1,560
14,850 CROSS TIMBERS OIL CO ....................... 283
6,900 DEVON ENERGY CORP .......................... 241
18,200 DIAMOND OFFSHORE DRILLING, INC ............. 728
51,043 oEEX CORP ................................... 479
12,900 ENRON OIL & GAS CO ......................... 261
37,650 ENSCO INTERNATIONAL, INC ................... 654
22,615 oEVI WEATHERFORD, INC ....................... 840
707,400 EXXON CORP ................................. 50,446
6,800 oFORCENERGY GAS EXPLORATION, INC ............ 121
13,500 oFOREST OIL CORP ............................ 193
19,200 oGLOBAL INDUSTRIES LTD ...................... 324
40,300 oGLOBAL MARINE, INC ......................... 753
37,900 oGREY WOLF, INC ............................. 121
74,972 HALLIBURTON CO ............................. 3,341
36,000 oHARKEN ENERGY CORP ......................... 173
13,800 HELMERICH & PAYNE, INC ..................... 307
6,800 KCS ENERGY, INC ............................ 78
3,600 oKELLEY OIL & GAS CORP ...................... 8
10,300 KERR-MCGEE CORP ............................ 596
6,100 oLOUIS DREYFUS NATURAL GAS CORP ............. 116
16,900 oMARINE DRILLING CO, INC .................... 270
20,075 oMCMORAN OIL & GAS CO ....................... 85
16,400 MITCHELL ENERGY & DEVELOPMENT
CORP (CLASS A) ............................ 328
225,600 MOBIL CORP ................................. 17,287
26,200 oNABORS INDUSTRIES, INC ..................... 519
See notes to financial statements.
-85-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
OIL AND GAS EXTRACTION--(CONTINUED)
7,300 NEW JERSEY RESOURCES CORP .................. $ 261
11,000 oNEWFIELD EXPLORATION CO .................... 274
20,000 oNEWPARK RESOURCES, INC ..................... 223
30,200 NGC CORP ................................... 378
11,400 NOBLE AFFILIATES, INC ...................... 433
32,800 oNOBLE DRILLING CORP ........................ 789
6,800 oNUEVO ENERGY CO ............................ 218
95,000 OCCIDENTAL PETROLEUM CORP .................. 2,565
23,414 +OCEAN ENERGY, INC .......................... 458
4,500 oOCEANEERING INTERNATIONAL, INC ............. 80
28,100 oORYX ENERGY CO ............................. 622
29,700 oPARKER DRILLING CO ......................... 210
5,600 oPATTERSON ENERGY, INC ...................... 55
66,022 PHILLIPS PETROLEUM CO ...................... 3,181
23,300 PIONEER NATURAL RESOURCES CO ............... 556
8,200 POGO PRODUCING CO .......................... 206
800 oPOOL ENERGY SERVICES CO .................... 12
12,000 oPRIDE INTERNATIONAL, INC ................... 203
28,600 QUESTAR CORP ............................... 561
51,256 oR & B FALCON CORP .......................... 1,160
20,300 oROWAN COS, INC ............................. 395
1,900 oROYAL DUTCH PETROLEUM CO
(N.Y. REGD) ADR ........................... 104
4,300 oRUTHERFORD-MORAN OIL CORP .................. 87
34,200 oSANTA FE ENERGY RESOURCES, INC ............. 368
1,200 oSCHLUMBERGER LTD ........................... 82
15,192 oSEAGULL ENERGY CORP ........................ 252
3,000 oSEITEL, INC ................................ 49
8,800 SNYDER OIL CORP ............................ 175
24,900 SOUTHWESTERN ENERGY CO ..................... 229
4,950 oSWIFT ENERGY CO ............................ 79
28,000 TRANSOCEAN OFFSHORE, INC ................... 1,246
6,600 oTRANSTEXAS GAS CORP ........................ 59
2,700 oTRITON ENERGY LTD .......................... 96
20,300 oTUBOSCOPE, INC ............................. 401
68,392 UNION PACIFIC RESOURCES GROUP, INC ......... 1,201
3,700 VASTAR RESOURCES, INC ...................... 162
6,000 oVERITAS DGC, INC ........................... 300
10,200 VINTAGE PETROLEUM, INC ..................... 193
11,100 oWESTERN ATLAS, INC ......................... 942
---------
117,470
---------
PAPER AND ALLIED PRODUCTS--0.93%
8,166 oAMERICAN PAD & PAPER CO .................... 37
28,495 AVERY DENNISON CORP ........................ 1,532
14,613 BEMIS, INC ................................. 597
12,800 BOISE CASCADE CORP ......................... 419
10,169 BOWATER, INC ............................... 480
12,000 oBUCKEYE TECHNOLOGIES, INC .................. 283
7,300 CARAUSTAR INDUSTRIES, INC .................. 211
24,300 CHAMPION INTERNATIONAL CORP ................ 1,195
8,100 CHESAPEAKE CORP ............................ 315
12,600 CONSOLIDATED PAPERS, INC ................... 343
12,170 oCROWN VANTAGE, INC ......................... 128
11,400 FIRST BRANDS CORP .......................... 292
41,575 FORT JAMES CORP ............................ 1,850
16,200 oGAYLORD CONTAINER CO ....................... 125
9,100 GLATFELTER (P.H.) CO ....................... 144
86,638 INTERNATIONAL PAPER CO ..................... 3,725
5,300 oJEFFERSON SMURFIT CORP ..................... 83
160,905 KIMBERLY-CLARK CORP ........................ 7,382
14,100 LONGVIEW FIBRE CO .......................... 201
21,000 oMAIL-WELL, INC ............................. 455
26,744 MEAD CORP .................................. 849
12,200 oPLAYTEX PRODUCTS, INC ...................... 194
7,000 POTLATCH CORP .............................. 294
6,500 oROCK-TENN CO (CLASS A) ..................... 82
5,760 SCHWEITZER-MAUDUIT
INTERNATIONAL, INC ........................ 167
20,550 oSHOREWOOD PACKAGING CORP ................... 326
27,023 SONOCO PRODUCTS CO ......................... 817
5,400 ST. JOE CORP ............................... 148
27,300 oSTONE CONTAINER CORP ....................... 427
13,595 TEMPLE-INLAND, INC ......................... 732
44,930 TENNECO, INC ............................... 1,710
16,300 UNION CAMP CORP ............................ 809
13,825 WAUSAU-MOSINEE PAPER CORP .................. 316
19,450 WESTVACO CORP .............................. 549
2,400 oZOLTEK COS, INC ............................ 48
---------
27,265
---------
PERSONAL SERVICES--0.24%
27,821 BLOCK (H&R), INC ........................... 1,172
17,100 CINTAS CORP ................................ 872
1,028 oCPI CORP ................................... 24
6,400 oEQUITY CORP INTERNATIONAL .................. 154
6,900 G & K SERVICES, INC (CLASS A) .............. 301
11,700 NATIONAL SERVICE INDUSTRIES, INC ........... 595
3,500 REGIS CORP ................................. 103
71,714 SERVICE CORP INTERNATIONAL ................. 3,075
25,000 STEWART ENTERPRISES, INC (CLASS A) ......... 666
3,200 oTHERMOLASE CORP ............................ 23
---------
6,985
---------
PETROLEUM AND COAL PRODUCTS--1.41%
23,200 AMERADA HESS CORP .......................... 1,260
16,272 ASHLAND, INC ............................... 840
91,569 ATLANTIC RICHFIELD CO ...................... 7,154
187,664 CHEVRON CORP ............................... 15,588
2,000 FINA, INC (CLASS A) ........................ 130
1,100 oHOLLY CORP ................................. 28
9,400 LYONDELL PETROCHEMICAL CO .................. 286
11,000 MURPHY OIL CORP ............................ 558
9,700 PENNZOIL CO ................................ 491
12,000 QUAKER STATE OIL REFINING CORP ............. 197
19,100 SUN CO, INC ................................ 741
154,006 TEXACO, INC ................................ 9,192
42,447 TOSCO CORP ................................. 1,247
28,194 ULTRAMAR DIAMOND SHAMROCK CORP ............. 890
67,602 UNOCAL CORP ................................ 2,417
7,700 VALERO ENERGY CORP ......................... 256
200 WD-40 CO ................................... 5
---------
41,280
---------
PRIMARY METAL INDUSTRIES--0.59%
600 oAFC CABLE SYSTEMS, INC ..................... 21
14,000 AK STEEL HOLDINGS CORP ..................... 250
30,420 ALLEGHENY TELEDYNE, INC .................... 696
1,239 oALPINE GROUP, INC .......................... 26
5,480 oALUMAX, INC ................................ 254
43,725 ALUMINUM CO OF AMERICA ..................... 2,883
20,121 oARMCO, INC ................................. 128
20,100 ASARCO, INC ................................ 447
14,800 BELDEN, INC ................................ 453
43,786 oBETHLEHEM STEEL CORP ....................... 545
9,200 BIRMINGHAM STEEL CORP ...................... 114
12,700 BRUSH WELLMAN, INC ......................... 261
6,300 oCABLE DESIGN TECHNOLOGIES CO ............... 130
4,800 CARPENTER TECHNOLOGY CORP .................. 241
See notes to financial statements.
-86-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
PRIMARY METAL INDUSTRIES--(CONTINUED)
1,700 CENTURY ALUMINUM CO ........................ $ 25
1,504 oCHASE INDUSTRIES, INC ...................... 30
7,733 oCOMMSCOPE, INC ............................. 125
25,700 ENGELHARD CORP ............................. 520
4,700 oESSEX INTERNATIONAL, INC ................... 111
12,750 GENERAL CABLE CORP ......................... 368
24,300 INLAND STEEL INDUSTRIES, INC ............... 685
9,200 J & L SPECIALTY STEEL, INC ................. 55
13,500 oKAISER ALUMINUM CORP ....................... 129
7,500 oLONE STAR TECHNOLOGIES, INC ................ 114
43,900 LTV CORP ................................... 420
17,000 oMUELLER INDUSTRIES, INC .................... 631
22,700 NUCOR CORP ................................. 1,044
8,800 OREGON STEEL MILLS, INC .................... 164
8,100 PRECISION CAST PARTS CORP .................. 432
17,800 REYNOLDS METALS CO ......................... 996
2,400 oRMI TITANIUM CO ............................ 55
12,600 ROUGE INDUSTRIES, INC (CLASS A) ............ 161
10,900 STANDEX INTERNATIONAL CORP ................. 323
14,100 oSTEEL DYNAMICS, INC ........................ 196
5,700 TEXAS INDUSTRIES, INC ...................... 302
5,900 TITANIUM METALS CORP ....................... 130
81,400 USX-MARATHON GROUP, INC .................... 2,793
18,400 USX-US STEEL GROUP, INC .................... 607
4,600 oWOLVERINE TUBE, INC ........................ 175
22,740 WORTHINGTON INDUSTRIES, INC ................ 343
---------
17,383
---------
PRINTING AND PUBLISHING--1.28%
17,900 AMERICAN GREETINGS CORP (CLASS A) .......... 912
11,500 oAPPLIED GRAPHICS TECHNOLOGIES, INC ......... 526
12,500 BANTA CORP ................................. 386
19,600 BELO (A.H.) CORP SERIES A .................. 478
2,631 oBIG FLOWER HOLDINGS, INC ................... 79
4,600 BOWNE & CO, INC ............................ 207
3,200 CENTRAL NEWSPAPERS, INC (CLASS A) .......... 223
2,600 oCONSOLIDATED GRAPHICS, INC ................. 153
386 oCSS INDUSTRIES, INC ........................ 13
20,900 DELUXE CORP ................................ 748
25,700 DONNELLEY (R.R.) & SONS CO ................. 1,176
11,900 DOW JONES & CO, INC ........................ 663
12,000 oFRANKLIN COVEY CO .......................... 231
79,500 GANNETT CO, INC ............................ 5,649
10,000 oGIBSON GREETINGS, INC ...................... 250
8,300 HARLAND (JOHN H.) CO ....................... 141
17,600 HARTE-HANKS, INC ........................... 454
14,400 HOLLINGER INTERNATIONAL, INC ............... 245
7,800 HOUGHTON MIFFLIN CO ........................ 248
11,600 oJOURNAL REGISTER CO ........................ 194
20,500 KNIGHT-RIDDER, INC ......................... 1,129
11,200 LEE ENTERPRISES, INC ....................... 343
5,900 xoMARVEL ENTERTAINMENT GROUP, INC ............ 2
26,826 MCGRAW HILL COS, INC ....................... 2,188
3,100 MEDIA GENERAL, INC (CLASS A) ............... 153
9,800 MEREDITH CORP .............................. 460
17,300 NEW YORK TIMES CO (CLASS A) ................ 1,371
27,387 NEWS CORP LTD ADR (LTD-VOTE) ............... 774
33,000 oPRIMEDIA, INC .............................. 448
1,800 PULITZER PUBLISHING CO ..................... 161
22,310 READER'S DIGEST ASSOCIATION, INC
(CLASS A) (NON-VOTE) ...................... 605
15,100 REYNOLDS & REYNOLDS CO (CLASS A) ........... 275
3,300 oSCHOLASTIC CORP ............................ 132
9,700 SCRIPPS (E.W.) CO (CLASS A) ................ 532
2,900 STANDARD REGISTER, INC ..................... 103
127,967 TIME WARNER, INC ........................... 10,933
17,800 TIMES MIRROR CO SERIES A ................... 1,119
34,100 oTOPPS, INC ................................. 105
26,600 TRIBUNE CO ................................. 1,830
5,300 oVALASSIS COMMUNICATIONS, INC ............... 204
10,500 WALLACE COMPUTER SERVICES, INC ............. 249
1,800 WASHINGTON POST CO (CLASS B) ............... 1,037
300 oWILEY (JOHN) & SONS, INC (CLASS A) ......... 18
3,270 oWORKFLOW MANAGEMENT, INC ................... 26
8,700 oWORLD COLOR PRESS, INC ..................... 305
---------
37,478
---------
RAILROAD TRANSPORTATION--0.52%
44,855 BURLINGTON NORTHERN SANTA FE CORP .......... 4,404
158 oCANADIAN NATIONAL RAILWAY CO ............... 8
62,478 CSX CORP ................................... 2,843
4,000 FLORIDA EAST COAST INDUSTRIES, INC ......... 117
29,900 KANSAS CITY SOUTHERN
INDUSTRIES, INC ........................... 1,484
108,658 NORFOLK SOUTHERN CORP ...................... 3,239
62,685 UNION PACIFIC CORP ......................... 2,766
12,900 oWISCONSIN CENTRAL TRANSIT CORP ............. 282
---------
15,143
---------
REAL ESTATE--0.07%
13,900 oCATELLUS DEVELOPMENT CORP .................. 246
1,597 oCB RICHARD ELLIS SERVICES GROUP, INC ....... 53
12,346 oECHELON INTERNATIONAL CORP ................. 325
1,500 oEXCEL LEGACY CORP .......................... 7
9,400 oFAIRFIELD COMMUNITIES, INC ................. 180
3,300 oINSIGNIA FINANCIAL GROUP, INC .............. 81
10,450 oLNR PROPERTY CORP .......................... 268
14,400 ROUSE CO ................................... 453
1,763 oSECURITY CAPITAL GROUP, INC
WTS 09/18/98 .............................. 1
8,900 WEINGARTEN REALTY INVESTORS, INC ........... 372
---------
1,986
---------
RUBBER AND MISCELLANEOUS PLASTIC
PRODUCTS--0.78%
500 oAEP INDUSTRIES, INC ........................ 11
5,900 BANDAG, INC ................................ 230
8,500 CARLISLE COS, INC .......................... 366
19,800 COOPER TIRE & RUBBER CO .................... 408
7,700 FOAMEX INTERNATIONAL, INC .................. 134
2,700 FURON CO ................................... 49
9,800 GENCORP, INC ............................... 247
17,660 GOODRICH (B.F.) CO ......................... 876
42,794 GOODYEAR TIRE & RUBBER CO .................. 2,758
18,600 oGRACE, W.R. & CO ........................... 317
19,413 MARK IV INDUSTRIES, INC .................... 420
170,400 MONSANTO CO ................................ 9,521
33,200 NIKE, INC (CLASS B) ........................ 1,616
14,600 PREMARK INTERNATIONAL, INC ................. 471
23,400 RAYCHEM CORP ............................... 692
10,990 oREEBOK INTERNATIONAL LTD ................... 304
39,800 RUBBERMAID, INC ............................ 1,321
11,000 oSAFESKIN CORP .............................. 452
19,769 oSEALED AIR CORP ............................ 727
31,280 SOLUTIA, INC ............................... 897
10,900 STANDARD PRODUCTS CO ....................... 307
2,600 TREDEGAR INDUSTRIES, INC ................... 221
15,900 TUPPERWARE CORP ............................ 447
8,900 WEST CO, INC ............................... 252
200 WYNNS INTERNATIONAL, INC ................... 4
---------
23,048
---------
See notes to financial statements.
-87-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
SECURITY AND COMMODITY BROKERS--1.26%
40,413 BEAR STEARNS COS, INC ...................... $ 2,298
3,200 DAIN RAUSCHER CORP ......................... 175
8,200 DONALDSON, LUFKIN, & JENRETTE, INC ......... 417
5,400 EATON VANCE CORP ........................... 250
25,650 EDWARDS (A.G.), INC ........................ 1,095
2,400 EVEREN CAPITAL CORP ........................ 67
46,400 FRANKLIN RESOURCES, INC .................... 2,506
5,700 oHAMBRECHT & QUIST GROUP .................... 207
4,800 JEFFERIES GROUP, INC ....................... 197
11,066 LEGG MASON, INC ............................ 637
32,820 LEHMAN BROTHERS HOLDINGS, INC .............. 2,546
1,000 MCDONALD & CO INVESTMENTS .................. 33
97,600 MERRILL LYNCH & CO, INC .................... 9,004
7,400 MORGAN KEEGAN, INC ......................... 191
129,226 MORGAN STANLEY, DEAN WITTER, & CO .......... 11,808
29,400 PAINE WEBBER GROUP, INC .................... 1,264
10,000 PIONEER GROUP, INC ......................... 263
25,800 PRICE (T. ROWE) ASSOCIATES, INC ............ 969
17,700 RAYMOND JAMES FINANCIAL CORP ............... 530
51,308 SCHWAB (CHARLES) CORP ...................... 1,668
2,800 SEI INVESTMENT CO .......................... 174
24,700 UNITED ASSET MANAGEMENT CORP ............... 644
----------
36,943
----------
SOCIAL SERVICES--0.01%
3,500 oALTERNATIVE LIVING SERVICES, INC ........... 95
5,200 oSUNRISE ASSISTED LIVING, INC ............... 179
----------
274
----------
SPECIAL TRADE CONTRACTORS--0.02%
2,000 oAMERICAN RESIDENTIAL SERVICES, INC ......... 23
9,800 APOGEE ENTERPRISES, INC .................... 150
7,500 GEON CO .................................... 172
800 xoOMEGA ENVIRONMENTAL, INC ................... 0
7,300 oWESTELL TECHNOLOGIES, INC (CLASS A) ........ 68
----------
413
----------
STONE, CLAY, AND GLASS PRODUCTS--0.37%
5,500 oACX TECHNOLOGIES, INC ...................... 120
2,600 CENTEX CONSTRUCTION PRODUCTS, INC .......... 100
65,111 CORNING, INC ............................... 2,263
10,100 oDAL-TILE INTERNATIONAL, INC ................ 99
5,200 oDEPARTMENT 56, INC ......................... 185
10,602 LAFARGE CORP ............................... 417
6,200 LIBBEY, INC ................................ 238
4,600 LONE STAR INDUSTRIES, INC .................. 354
5,900 MEDUSA CORP ................................ 370
12,400 OWENS CORNING CO ........................... 506
32,200 oOWENS ILLINOIS, INC ........................ 1,441
50,400 PPG INDUSTRIES, INC ........................ 3,506
8,500 oSOLA INTERNATIONAL, INC .................... 278
4,300 SOUTHDOWN, INC ............................. 307
10,800 oUSG CORP ................................... 585
----------
10,769
----------
TEXTILE MILL PRODUCTS--0.14%
5,527 ALBANY INTERNATIONAL CORP (CLASS A) ........ 132
29,800 oBURLINGTON INDUSTRIES, INC ................. 419
15,800 oCOLLINS & AIKMAN CORP ...................... 118
26,800 oCONE MILLS CORP ............................ 231
10,600 INTERFACE, INC (CLASS A) ................... 214
15,100 RUDDICK CORP ............................... 274
10,300 RUSSELL CORP ............................... 311
25,900 SHAW INDUSTRIES, INC ....................... 456
6,200 SPRING INDUSTRIES, INC ..................... 286
9,000 ST. JOHN KNITS, INC ........................ 348
18,700 UNIFI, INC ................................. 640
20,200 oWESTPOINT STEVENS, INC ..................... 667
----------
4,096
----------
TOBACCO PRODUCTS--1.05%
47,000 FORTUNE BRANDS, INC ........................ 1,807
8,900 oGENERAL CIGAR HOLDINGS, INC (CLASS A) ...... 88
702,600 PHILIP MORRIS COS, INC ..................... 27,665
50,500 UST, INC ................................... 1,364
----------
30,924
----------
TRANSPORTATION BY AIR--0.62%
4,600 oAIRTRAN HOLDINGS, INC ...................... 35
8,200 oALASKA AIR GROUP, INC ...................... 447
15,600 oAMERICA WEST HOLDINGS CORP (CLASS B) ....... 446
51,311 oAMR CORP ................................... 4,272
7,300 ASA HOLDINGS, INC .......................... 362
2,500 oATLAS AIR, INC ............................. 85
3,047 oAVIALL, INC ................................ 42
14,737 COMAIR HOLDINGS, INC ....................... 455
13,300 oCONTINENTAL AIRLINES, INC (CLASS B) ........ 810
20,900 DELTA AIRLINES, INC ........................ 2,701
40,700 oFDX CORP ................................... 2,554
300 oMIDWEST EXPRESS HOLDINGS, INC .............. 11
19,600 oNORTHWEST AIRLINES CORP (CLASS A) .......... 756
3,000 oOFFSHORE LOGISTICS, INC .................... 53
6,800 PITTSTON BAX GROUP ......................... 106
800 SKYWEST, INC ............................... 22
61,351 SOUTHWEST AIRLINES CO ...................... 1,818
8,900 oTRANS WORLD AIRLINES, INC .................. 92
23,815 oU.S. AIRWAYS GROUP, INC .................... 1,887
15,135 oUAL CORP ................................... 1,181
----------
18,135
----------
TRANSPORTATION EQUIPMENT--3.35%
3,500 oAFTERMARKET TECHNOLOGY CORP ................ 66
144,453 ALLIED SIGNAL, INC ......................... 6,410
11,700 ARCTIC CAT, INC ............................ 116
12,500 ARVIN INDUSTRIES, INC ...................... 454
24,699 AUTOLIV, INC ............................... 781
1,000 oAVONDALE INDUSTRIES, INC ................... 28
6,300 oBE AEROSPACE, INC .......................... 183
290,135 BOEING CO .................................. 12,929
5,900 oBREED TECHNOLOGIES, INC .................... 90
157,187 CHRYSLER CORP .............................. 8,861
9,400 COACHMEN INDUSTRIES, INC ................... 246
27,500 DANA CORP .................................. 1,471
17,000 DANAHER CORP ............................... 624
19,800 ECHLIN, INC ................................ 971
26,900 FEDERAL SIGNAL CORP ........................ 654
12,800 FEDERAL-MOGUL CORP ......................... 864
8,100 FLEETWOOD ENTERPRISES, INC ................. 324
325,200 FORD MOTOR CO .............................. 19,187
28,800 GENERAL DYNAMICS CORP ...................... 1,339
195,200 GENERAL MOTORS CORP ........................ 13,042
29,000 oGENERAL MOTORS CORP (CLASS H) .............. 1,367
27,600 oGENTEX CORP ................................ 500
20,300 oGULFSTREAM AEROSPACE CORP .................. 944
5,115 oHALTER MARINE GROUP, INC ................... 77
42,100 HARLEY DAVIDSON, INC ....................... 1,631
9,260 oHAYES LEMMERZ INTERNATIONAL, INC ........... 368
See notes to financial statements.
-88-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
TRANSPORTATION EQUIPMENT--
(CONTINUED)
32,200 ITT INDUSTRIES, INC ........................ $ 1,203
16,400 oLEAR CORP .................................. 842
47,576 LOCKHEED MARTIN CORP ....................... 5,037
17,333 MERITOR AUTOMOTIVE, INC .................... 416
5,100 MODINE MANUFACTURING CO .................... 177
2,000 oMOTIVEPOWER INDUSTRIES, INC ................ 49
19,900 oNAVISTAR INTERNATIONAL CORP ................ 575
11,406 NEWPORT NEWS SHIPBUILDING, INC ............. 305
15,448 NORTHROP GRUMMAN CORP ...................... 1,593
7,700 oOEA, INC ................................... 123
17,500 PACCAR, INC ................................ 914
8,600 POLARIS INDUSTRIES, INC .................... 324
10,600 REGAL-BELOIT CORP .......................... 302
5,900 SMITH (A.O.) CORP .......................... 305
6,500 oSPX CORP ................................... 418
14,500 SUNDSTRAND CORP ............................ 830
6,200 SUPERIOR INDUSTRIES
INTERNATIONAL, INC ........................ 175
8,600 TELEFLEX, INC .............................. 327
37,272 TEXTRON, INC ............................... 2,672
33,000 TRW, INC ................................... 1,803
65,900 UNITED TECHNOLOGIES CORP ................... 6,096
5,400 WABASH NATIONAL CORP ....................... 139
3,700 oWESTINGHOUSE AIR BRAKE CO .................. 97
---------
98,249
---------
TRANSPORTATION SERVICES--0.08%
12,950 AIR EXPRESS INTERNATIONAL CORP ............. 346
11,400 AIRBORNE FREIGHT CORP ...................... 398
4,300 oCOACH U.S.A., INC .......................... 196
9,300 EXPEDITORS INTERNATIONAL OF
WASHINGTON ................................ 409
3,000 oFRITZ COS, INC ............................. 40
14,400 GATX CORP .................................. 632
2,000 oMESA AIR GROUP, INC ........................ 16
2,452 oNAVIGANT INTERNATIONAL, INC ................ 21
6,200 oSABRE GROUP HOLDINGS, INC .................. 236
---------
2,294
---------
TRUCKING AND WAREHOUSING--0.09%
5,200 oAMERICAN FREIGHTWAYS CORP .................. 52
4,000 ARNOLD INDUSTRIES, INC ..................... 59
11,627 CNF TRANSPORTATION, INC .................... 494
10,950 oCONSOLIDATED FREIGHTWAYS CORP .............. 153
3,300 oHEARTLAND EXPRESS, INC ..................... 67
6,200 HUNT (J.B.) TRANSPORT SERVICES, INC ........ 221
2,000 oIRON MOUNTAIN, INC ......................... 90
6,200 oM.S. CARRIERS, INC ......................... 168
2,700 ROADWAY EXPRESS, INC ....................... 51
16,350 oSWIFT TRANSPORTATION CO, INC ............... 324
12,300 USFREIGHTWAYS CORP ......................... 404
16,875 WERNER ENTERPRISES, INC .................... 322
11,600 oYELLOW CORP ................................ 215
---------
2,620
---------
WATER TRANSPORTATION--0.07%
17,200 ALEXANDER & BALDWIN, INC ................... 501
8,800 oKIRBY CORP ................................. 222
2,270 oMARINE TRANSPORT CORP ...................... 9
22,700 oOMI CORP ................................... 182
6,700 OVERSEAS SHIPHOLDING GROUP, INC ............ 137
4,900 oSEACOR SMIT, INC ........................... 300
16,227 TIDEWATER, INC ............................. 535
---------
1,886
---------
WHOLESALE TRADE--
DURABLE GOODS--0.33%
12,450 AAR CORP ................................... 368
3,200 oACTION PERFORMANCE COS, INC ................ 103
4,330 APPLIED INDUSTRIAL TECHNOLOGIES, INC ....... 89
26,571 oARROW ELECTRONICS, INC ..................... 578
10,410 AVNET, INC ................................. 569
2,000 oBARNETT, INC ............................... 41
5,600 BRIGGS & STRATTON CORP ..................... 210
13,500 oBRIGHTPOINT, INC ........................... 196
6,700 oCELLSTAR CORP .............................. 87
7,900 oCHS ELECTRONICS, INC ....................... 141
11,900 COMMERCIAL METALS CO ....................... 366
43,400 GENUINE PARTS CO ........................... 1,500
20,700 GRAINGER (W.W.), INC ....................... 1,031
4,400 oHA-LO INDUSTRIES, INC ...................... 137
9,400 oHANDLEMAN CO ............................... 108
7,100 oHUGHES SUPPLY, INC ......................... 260
14,800 oINGRAM MICRO, INC (CLASS A) ................ 655
10,500 oKENT ELECTRONICS CORP ...................... 192
6,200 oMARSHALL INDUSTRIES, INC ................... 169
18,100 oMERISEL, INC ............................... 52
14,800 oNATIONAL-OILWELL, INC ...................... 397
5,800 oOAK TECHNOLOGY, INC ........................ 26
11,100 OWENS & MINOR, INC ......................... 111
13,950 oPATTERSON DENTAL CO ........................ 511
13,650 PIONEER-STANDARD ELECTRONICS, INC .......... 131
16,200 oQUALCOMM, INC .............................. 910
2,400 oRELIANCE STEEL & ALUMINUM CO ............... 93
2,000 oSODAK GAMING, INC .......................... 13
13,500 oTBC CORP ................................... 89
10,500 oTECH DATA CORP ............................. 450
300 oVWR SCIENTIFIC PRODUCTS CORP ............... 7
260 WESCO FINANCIAL CORP ....................... 102
2,200 oWINDMERE-DURABLE HOLDINGS, INC ............. 79
---------
9,771
---------
WHOLESALE TRADE--
NONDURABLE GOODS--0.62%
7,400 oAMERISOURCE HEALTH CORP (CLASS A) .......... 486
13,128 BERGEN BRUNSWIG CORP (CLASS A) ............. 609
2,346 BINDLEY WESTERN INDUSTRIES, INC ............ 77
3,016 oBOISE CASCADE OFFICE PRODUCTS CORP ......... 47
443 oBT OFFICE PRODUCTS
INTERNATIONAL, INC ........................ 6
6,120 oBURLINGTON COAT FACTORY
WAREHOUSE CORP ............................ 138
30,771 CARDINAL HEALTH, INC ....................... 2,885
7,639 oCENTRAL GARDEN & PET CO .................... 238
32,790 oCORPORATE EXPRESS, INC ..................... 416
12,900 DIMON, INC ................................. 145
91,770 ENRON CORP ................................. 4,961
15,715 FLEMING COS, INC ........................... 276
4,100 HERBALIFE INTERNATIONAL, INC (CLASS A) ..... 101
2,000 HERBALIFE INTERNATIONAL, INC (CLASS B) ..... 41
35,500 IKON OFFICE SOLUTIONS, INC ................. 517
19,600 MCKESSON CORP .............................. 1,593
3,600 oNCS HEALTHCARE, INC (CLASS A) .............. 103
8,200 oREXALL SUNDOWN, INC ........................ 289
12,050 RICHFOOD HOLDINGS, INC ..................... 249
3,700 RUSS BERRIE & CO, INC ...................... 93
7,500 oSCHEIN (HENRY), INC ........................ 346
6,100 oSUIZA FOODS CORP ........................... 364
See notes to financial statements.
-89-
<PAGE>
EQUITY INDEX ACCOUNT (CONTINUED)
VALUE
SHARES (000)
------ -----
WHOLESALE TRADE--
NONDURABLE GOODS--(CONTINUED)
14,100 SUPERVALU, INC ............................. $ 626
94,376 SYSCO CORP ................................. 2,389
21,000 TERRA INDUSTRIES, INC ...................... 189
6,131 oU.S. OFFICE PRODUCTS CO .................... 120
800 oUNILEVER NV--N.Y. SHARES ................... 63
19,050 UNISOURCE WORLDWIDE, INC ................... 206
4,800 oUNITED STATIONERS, INC ..................... 311
9,300 UNIVERSAL CORP ............................. 348
4,600 VALHI, INC ................................. 48
-----------
18,280
-----------
TOTAL COMMON STOCK
(COST $2,122,122) ............................ 2,903,626
-----------
PRINCIPAL
---------
SHORT TERM INVESTMENTS--1.49%
U.S. GOVERNMENT & AGENCIES--1.49%
FEDERAL HOME LOAN BANK
$25,000,000 5.400, 07/01/98 .......................... 24,996
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
2,400,000 5.420, 07/16/98 .......................... 2,394
16,550,000 * 5.320, 09/21/98 .......................... 16,345
-----------
43,735
-----------
TOTAL SHORT TERM INVESTMENTS
(COST $43,717) .............................. $ 43,735
-----------
TOTAL PORTFOLIO
(COST $2,166,382) ............................ $ 2,947,874
===========
- ------------
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.
# Restricted securities-investment in securities not registered under the
securities act of 1933 or not publicly traded on foreign markets. At June 30,
1998, the value of these securities amounted to $19,253 or 0.00% of net
assets.
Additional information on the restricted security is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
- -------- ----------- -----------
PHYSICIAN COMPUTER NETWORK, INC ............... 01/22/96 $75,341
-------
$75,341
=======
See notes to financial statements.
-90-
<PAGE>
COLLEGE RETIREMENT EQUITIES FUND
STATEMENT OF INVESTMENTS--INFLATION-LINKED BOND ACCOUNT (UNAUDITED)
JUNE 30, 1998
SUMMARY BY INDUSTRY
(000)
VALUE %
----- -------
GOVERNMENT BONDS
U.S. TREASURY SECURITIES ................... $ 95,051 83.34%
--------- ------
TOTAL GOVERNMENT BONDS
(COST $94,846) ............................. 95,051 83.34
--------- ------
TOTAL BONDS
(COST $94,846) .............................. 95,051 83.34
--------- ------
SHORT TERM INVESTMENTS
COMMERCIAL PAPER ........................... 17,339 15.20
--------- ------
TOTAL SHORT TERM INVESTMENTS
(COST $17,342) .............................. 17,339 15.20
--------- ------
TOTAL PORTFOLIO
(COST $112,188) ............................. $ 112,390 98.54
OTHER ASSETS AND LIABILITIES, NET .......... 1,666 1.46
--------- ------
NET ASSETS $ 114,056 100.00%
========= ======
-----------------------------------------------------------
VALUE
PRINCIPAL (000)
--------- -----
GOVERNMENT BONDS--83.34%
U.S. TREASURY SECURITIES--83.34%
U.S. TREASURY INFLATION INDEXED
$36,831,544 3.625%, 07/15/02 ......................... $ 36,429
41,026,164 3.375%, 01/15/07 ......................... 39,731
19,111,157 3.625%, 01/15/08 ......................... 18,891
------------
95,051
------------
TOTAL GOVERNMENT BONDS
(COST $94,846) .............................. 95,051
------------
TOTAL BONDS
(COST $94,846) .............................. 95,051
------------
SHORT TERM INVESTMENTS--15.20%
COMMERCIAL PAPER--15.20%
AIRTOUCH COMMUNICATIONS, INC
2,000,000 ~ 5.900%, 07/06/98 ......................... 1,998
ARIZONA PUBLIC SERVICE CO
3,500,000 6.150%, 07/02/98 ......................... 3,499
CONAGRA, INC
1,800,000 5.880%, 07/06/98 ......................... 1,798
LOCKHEED MARTIN
3,000,000 ~ 6.500%, 07/01/98 ......................... 2,999
NEW YORK STATE ELECTRIC & GAS CORP
3,000,000 ~ 5.950%, 07/09/98 ......................... 2,996
TEXAS UTILITIES CO
4,050,000 ~ 5.870%, 07/01/98 ......................... 4,049
------------
17,339
------------
TOTAL SHORT TERM INVESTMENTS
(COST $17,342) .............................. 17,339
------------
TOTAL PORTFOLIO
(COST $112,188) ............................. $ 112,390
============
- ----------
~ 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.
-91-
<PAGE>
CREF | COLLEGE RETIREMENT EQUITIES FUND
[LOGO] | 730 Third Avenue
| New York, NY 10017-3206
| 212/490-9000
[LOGO] Printed on recycled paper
CSAR--02M-8/98
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