-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, IGCei9r7822Stht3nhA+2ZNQrPoxl/oYmW6jHo38gCHPIeISrLib6teryksT/HXU XuQI4qSBB+rSDVqhpRScrw== 0000930413-98-000802.txt : 19980831 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 N-30D 1 SEMI-ANNUAL REPORT 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] 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- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 1998 (amounts in thousands, except per accumulation unit amount)
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 ========
See notes to financial statements. -2- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENT OF OPERATIONS (UNAUDITED) SIX MONTHS ENDED JUNE 30, 1998 (amounts in thousands)
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 =============
See notes to financial statements. -3- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENTS OF CHANGES IN NET ASSETS (amounts in thousands)
SIX MONTHS YEAR ENDED ENDED DECEMBER 31, JUNE 30, 1998 1997 ------------- ------------- (UNAUDITED) 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 ============ ===========
See notes to financial statements. -4- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) NOTE 1--ORGANIZATION College Retirement Equities Fund ("CREF") was formed to aid and strengthen nonprofit educational and research organizations by providing their employees with variable retirement benefits. CREF is registered with the Securities and Exchange Commission ("Commission") under the Investment Company Act of 1940 as an open-end, diversified management investment company. It consists of eight investment portfolios. The accompanying financial statements are those of the Stock Account ("Account"), which invests primarily in equity securities. The seven other investment portfolios of CREF, which are not included in these financial statements, include 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- 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- 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- COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION Selected condensed financial information for an Accumulation Unit of the Account is presented below.
SIX MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31, ----------------------------------------------------- JUNE 30,1998(1) 1997 1996 1995 1994 1993 --------------- ------ ------ ------ ------ ------ (UNAUDITED) 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
(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:
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1998 DECEMBER 31, 1997 ------------ ---------------- (UNAUDITED) 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 =========== ===========
-8- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES -- STOCK ACCOUNT (UNAUDITED) JANUARY 1, 1998 -- JUNE 30, 1998
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 ----- ----------------- ------------- -------------- ----------- ----------- ------------- ------------- ~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 ============ ============ =========== =========== =========== =============
** 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- 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 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] 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- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 1998 (amounts in thousands, except per accumulation unit amounts)
MONEY MARKET BOND MARKET ACCOUNT ACCOUNT -------------- ------------- 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 ====== ======
See notes to financial statements. -2-
SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX INFLATION-LINKED ACCOUNT ACCOUNT ACCOUNT ACCOUNT BOND ACCOUNT ------------- --------------- --------------- ------------- -------------- $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 ====== ====== ====== ====== ======
-3- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF OPERATIONS (UNAUDITED) (amounts in thousands)
MONEY MARKET BOND MARKET ACCOUNT ACCOUNT ------------- ------------ SIX MONTHS ENDED JUNE 30, 1998 ------------------------------------- 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 ======== ========
See notes to financial statements. -4-
SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX INFLATION-LINKED ACCOUNT ACCOUNT ACCOUNT ACCOUNT BOND ACCOUNT - ------------- ------------- ------------- ------------- -------------- SIX MONTHS ENDED JUNE 30, 1998 - --------------------------------------------------------------------------------------------------------------------------------- $ 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 ========= ========= ========= ========= =========
-5- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS (amounts in thousands)
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) 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 =========== =========== =========== =========== =========== ===========
See notes to financial statements. -6-
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) $ 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 =========== =========== =========== =========== =========== =========== =========== ===========
-7- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) NOTE 1--ORGANIZATION College Retirement Equities Fund ("CREF") was formed to aid and strengthen nonprofit educational and research organizations by providing their employees with variable retirement benefits. CREF is registered with the Securities and Exchange Commission ("Commission") under the Investment Company Act of 1940 as an open-end, diversified management investment company. It consists of eight investment portfolios ("Accounts"). The accompanying financial statements are those of the Money Market Account, which invests in money market instruments; the Bond Market Account, which invests in a broad range of fixed-income securities; the Social Choice Account, which invests in a diversified portfolio of equity and fixed-income securities while giving special consideration to certain social criteria; the Global Equities Account, which invests in equity securities of foreign and domestic companies; the Growth Account, which invests in a diversified portfolio of equity securities that present opportunities for growth; the Equity Index Account, which invests in a diversified portfolio of equity securities selected to track the overall United States stock market; and the Inflation-Linked Bond Account, which invests primarily in inflation-indexed bonds. The eighth investment portfolio of CREF, the Stock Account, which invests primarily in equity securities, is not included in these financial statements. The Inflation-Linked Bond Account was established on January 13, 1997 with a $50,000,000 investment by Teachers Insurance and Annuity Association of America ("TIAA"), a companion organization, which purchased 2,000,000 Accumulation Units at the established $25.00 initial Accumulation Unit Value. On May 1, 1997, the Inflation-Linked Bond Account was registered with the Commission under the Securities Act of 1933 and the Investment Company Act of 1940 as an additional series of CREF. On May 1, 1997, CREF began to offer Accumulation Units of the Inflation-Linked Bond Account to participants other than TIAA. TIAA's Accumulation Units shared in the pro rata investment experience and were subject to the same valuation procedures and expense deductions as all other Accumulation Units in the Account. At June 30, 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- 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- 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:
COLLATERAL ---------------------------------------------------------- MARKET VALUE LETTERS OF UNITED STATES OF SECURITIES LOANED CASH CREDIT GOVERNMENT SECURITIES -------------------- ------------ ------------ --------------------- 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
-10- 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:
GROSS UNREALIZED GROSS UNREALIZED NET UNREALIZED APPRECIATION OF DEPRECIATION OF APPRECIATION PORTFOLIO PORTFOLIO (DEPRECIATION) OF INVESTMENTS INVESTMENTS PORTFOLIO INVESTMENTS ----------------- ---------------- --------------------- 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
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- 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:
BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES ACCOUNT ACCOUNT ACCOUNT -------------- -------------- -------------- 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 ============== ============== ==============
-12- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION Selected condensed financial information for an Accumulation Unit of each Account is presented below.
MONEY MARKET ACCOUNT ----------------------------------------------------- SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED ----------------------------------------------------- JUNE 30, 1998(1) 1997 1996 1995 1994 1993 -------------- ------- ------- ------- ------- ------- (UNAUDITED) 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
BOND MARKET ACCOUNT ---------------------------------------------------------------------------------------- SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED ------------------------------------------------------------------------- JUNE 30, 1998(1) 1997 1996 1995 1994 1993 ----------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) 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
(1) The percentages shown for this period are not annualized. -13- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED)
SOCIAL CHOICE ACCOUNT ------------------------------------------------------------------------------------------ SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED ------------------------------------------------------------------------ JUNE 30, 1998(1) 1997 1996 1995 1994 1993 --------------- ----------- ----------- ----------- ----------- ----------- (UNAUDITED) 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
GLOBAL EQUITIES ACCOUNT ----------------------------------------------------------------------------------------- SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED ------------------------------------------------------------------------ JUNE 30, 1998(1) 1997 1996 1995 1994 1993 ------------- ----------- ----------- ----------- ----------- ----------- 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
(1) The percentages shown for this period are not annualized. -14- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED)
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) 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
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) 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
(1) The percentages shown for this period are not annualized. -15- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONCLUDED)
INFLATION-LINKED BOND ACCOUNT ---------------------------------------- SIX MONTHS JANUARY 13, 1997 ENDED (DATE ESTABLISHED) TO JUNE 30, 1998(1) DECEMBER 31, 1997 (1) ---------------- --------------------- (UNAUDITED) 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
(1) The percentages shown for this period are not annualized. -16- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONCLUDED) NOTE 6--ACCUMULATION UNITS Changes in the number of Accumulation Units outstanding were as follows:
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT --------------------------- --------------------------- -------------------------- SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31, JUNE 30, 1998 1997 JUNE 30, 1998 1997 JUNE 30, 1998 1997 ------------- ------------ ------------- ------------ ------------- ------------ (UNAUDITED) (UNAUDITED) (UNAUDITED) 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 =========== ============ ========== ========== ========== ==========
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) 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 =========== =========== ========== ========== ========== ==========
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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES--GLOBAL EQUITIES ACCOUNT (UNAUDITED) JANUARY 1, 1998--JUNE 30, 1998
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 ----- ----------------- --------- --------- ----------- --------- ------------- ------------- 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 ============ ======== =========== ========== ========== ============
* Not an affiliate as of June 30, 1998 See notes to financial statements. -52- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES--GROWTH ACCOUNT (UNAUDITED) JANUARY 1, 1998--JUNE 30, 1998
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 ----- ----------------- ------------ ------------ ----------- --------- ------------- --------------- 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 ================ ============ ============ ========= ========= ============
** 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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- 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 -----END PRIVACY-ENHANCED MESSAGE-----