-----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, E0IaPp0ExewFqP7YAz8Sgt+v86AGREAhiBtsEJh777+FcCEnDrDfnQnN+B53WcAd bYHiXaEqhWs3rIOU+17xjw== 0000930413-96-000083.txt : 19960311 0000930413-96-000083.hdr.sgml : 19960311 ACCESSION NUMBER: 0000930413-96-000083 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19951231 FILED AS OF DATE: 19960308 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: COLLEGE RETIREMENT EQUITIES FUND CENTRAL INDEX KEY: 0000777535 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 136022042 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-04415 FILM NUMBER: 96532785 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 MULTI-FUND ANNUAL REPORT ANNUAL REPORT - -------------------------------------------------------------------------------- COLLEGE RETIREMENT EQUITIES FUND MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT BOND MARKET ACCOUNT GROWTH ACCOUNT SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT AUDITED FINANCIAL STATEMENTS INCLUDING STATEMENTS OF INVESTMENTS DECEMBER 31, 1995 As required by the Investment Company Act of 1940, CREF provides its participants with this year-end annual report of the financial condition and portfolio holdings of the Money Market Account, Bond Market Account, Social Choice Account, Global Equities Account, Growth Account and Equity Index Account. CREF also provides an annual report to participants in the Stock Account. Semi-annual reports are also provided each year toward the end of August. COLLEGE RETIREMENT EQUITIES FUND MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT BOND MARKET ACCOUNT GROWTH ACCOUNT SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT INDEX TO AUDITED FINANCIAL STATEMENTS December 31, 1995 - -------------------------------------------------------------------------------- Page ---- Report of Management Responsibility...................................... 2 Report of Independent Auditors........................................... 3 Audited Financial Statements: Statements of Assets and Liabilities.................................. 4 Statements of Operations.............................................. 5 Statements of Changes in Net Assets................................... 6 Notes to Financial Statements......................................... 9 Statements of Investments Money Market Account............................................... 17 Bond Market Account................................................ 20 Social Choice Account.............................................. 24 Global Equities Account............................................ 31 Growth Account..................................................... 42 Equity Index Account............................................... 51 Participant Voting Results............................................... 66 -1- REPORT OF MANAGEMENT RESPONSIBILITY To the Participants of College Retirement Equities Fund: The accompanying financial statements of the Money Market, Bond Market, Social Choice, Global Equities, Growth and Equity Index Accounts of College Retirement Equities Fund ("CREF") are the responsibility of management. They have been prepared in accordance with generally accepted accounting principles and have been presented fairly and objectively in accordance with such principles. CREF has established and maintains a strong system of internal controls designed to provide reasonable assurance that assets are properly safeguarded and transactions are properly executed in accordance with management's authorization, and to carry out the ongoing responsibilities of management for reliable financial statements. In addition, CREF's internal audit personnel provide a continuing review of the internal controls and operations of the CREF Accounts, and the internal Auditor regularly reports to the Audit Committee of the CREF Board of Trustees. The accompanying financial statements have been audited by the independent auditing firm of Deloitte & Touche LLP. The independent auditors' report, which appears on the following page, expresses an independent opinion on the fairness of presentation of these financial statements. The Audit Committee of the CREF Board of Trustees, consisting of trustees who are not officers of CREF, meets regularly with management, representatives of Deloitte & Touche LLP and internal auditing personnel to review matters relating to financial reporting, internal controls and auditing. In addition to the annual audit of the financial statements of all CREF Accounts, the New York State Insurance Department, other state insurance departments and the Securities and Exchange Commission regularly examine the financial statements of the CREF Accounts as part of their periodic corporate examinations. /s/ John H. Biggs -------------------------------- Chairman and Chief Executive Officer /s/ Thomas W. Jones -------------------------------- Vice Chairman, President and Chief Operating Officer /s/ Richard L. Gibbs -------------------------------- Executive Vice President and Principal Accounting Officer -2- Deloitte & Touche LLP - ------------ -------------------------------------------------------- [LOGO] Two World Financial Center Telephone: (212) 436-2000 New York, New York 10281-1414 Facsimile: (212) 436-5000 REPORT OF INDEPENDENT AUDITORS To the Participants and Board of Trustees of College Retirement Equities Fund: We have audited the accompanying statements of assets and liabilities, including the statements of investments, of the Money Market, Bond Market, Social Choice, Global Equities, Growth and Equity Index Accounts of College Retirement Equities Fund ("CREF") as of December 31, 1995, the related statements of operations for the year then ended and of changes in net assets of the Money Market, Bond Market, Social Choice and Global Equities Accounts for each of the years in the two year period then ended and of the Growth and Equity Index Accounts for the year then ended and for the period beginning April 4, 1994 (date established) to December 31, 1994. These financial statements are the responsibility of CREF's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned at December 31, 1995, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, such financial statements present fairly, in all material respects, the financial position of the Money Market, Bond Market, Social Choice, Global Equities, Growth and Equity Index Accounts of CREF at December 31, 1995, the results of their operations and the changes in their net assets for the above-stated periods, in conformity with generally accepted accounting principles. /s/ Deloitte & Touche LLP February 6, 1996 - --------------- DELOITTE TOUCHE TOHMATSU INTERNATIONAL - --------------- -3- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1995
Money Market Bond Market Social Choice Global Equities Growth Equity Index Account Account Account Account Account Account ------------ ----------- ------------- --------------- ----------- ------------ ASSETS Portfolio investments, at cost.................. $3,129,779,482 $805,260,528 $ 964,732,428 $2,861,882,876 $1,005,532,070 $350,436,768 Net unrealized appreciation (depreciation) of portfolio investments.... (395,309) 29,943,692 209,808,046 334,952,851 154,304,358 42,773,762 -------------- ------------ ------------- -------------- -------------- ------------ Portfolio investments, at value................. 3,129,384,173 835,204,220 1,174,540,474 3,196,835,727 1,159,836,428 393,210,530 Cash........................ 3,710,189 2,496,755 826,906 6,537,614 Dividends and interest receivable............... 12,376,597 11,660,887 7,580,203 4,517,089 1,744,180 722,571 Receivable from securities transactions.. 20,000,000 8,100,000 3,650,000 83,129,463 8,641,312 2,943,631 Amounts due from TIAA....... 653,665 1,336,233 2,623,355 1,451,750 594,881 Other....................... 6,511,832 1,264,363 258,263 4,819,602 -------------- ------------ -------------- -------------- -------------- ------------ TOTAL ASSETS 3,171,982,791 859,379,890 1,188,192,079 3,298,462,850 1,171,673,670 397,471,613 -------------- ------------ -------------- -------------- -------------- ------------ LIABILITIES Deposits for securities loaned--Note 4........... 100,299,206 Due to banks--Note 4........ 946,735 3,203,937 2,832,186 Payable for securities transactions............. 23,674,207 25,995,066 22,926,445 99,368,545 12,040,106 3,761,881 Amounts due to TIAA......... 1,454,144 -------------- ------------ -------------- -------------- -------------- ------------ TOTAL LIABILITIES 25,128,351 25,995,066 23,873,180 199,667,751 15,244,043 6,594,067 -------------- ------------ -------------- -------------- -------------- ------------ NET ASSETS Accumulation Fund........... 3,026,399,562 833,384,824 1,125,574,931 3,014,030,125 1,143,153,479 384,391,126 Annuity Fund................ 120,454,878 38,743,968 84,764,974 13,276,148 6,486,420 -------------- ------------ -------------- -------------- -------------- ------------ TOTAL NET ASSETS $3,146,854,440 $833,384,824 $1,164,318,899 $3,098,795,099 $1,156,429,627 $390,877,546 ============== ============ ============== ============== ============== ============ NUMBER OF ACCUMULATION UNITS OUTSTANDING-- Notes 5 and 6.............. 193,181,428 19,522,467 22,195,567 70,162,908 32,375,238 10,910,656 ============== ============ ============== ============== ============== ============ NET ASSET VALUE, PER ACCUMULATION UNIT-- Note 5..................... $15.67 $42.69 $50.71 $42.96 $35.31 $35.23 ====== ====== ====== ====== ====== ======
See notes to financial statements. -4- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF OPERATIONS YEAR ENDED DECEMBER 31, 1995
Money Market Bond Market Social Choice Global Equities Growth Equity Index Account Account Account Account Account Account ------------ ----------- ------------- --------------- ---------- ------------ INVESTMENT INCOME Income: Dividends................ $ 13,067,185 $ 46,770,347 $ 8,978,394 $ 3,993,598 Interest................. $182,716,037 $ 49,058,573 25,456,929 5,341,222 1,449,881 429,139 ------------ ------------ ------------ ------------ ------------ ----------- TOTAL INCOME 182,716,037 49,058,573 38,524,114 52,111,569 10,428,275 4,422,737 ------------ ------------ ------------ ------------ ------------ ----------- Expenses--Note 3: Investment............... 2,286,698 473,415 730,174 4,529,016 1,273,060 175,558 Operating................ 7,443,050 1,641,001 2,297,500 6,739,468 1,583,850 413,663 ------------ ------------ ------------ ------------ ------------ ----------- TOTAL EXPENSES 9,729,748 2,114,416 3,027,674 11,268,484 2,856,910 589,221 Fees paid indirectly..... (13,894) (14,042) (16,839) (18,089) (8,810) (1,905) ------------ ------------ ------------ ------------ ------------ ----------- NET EXPENSES 9,715,854 2,100,374 3,010,835 11,250,395 2,848,100 587,316 ------------ ------------ ------------ ------------ ------------ ----------- INVESTMENT INCOME--NET 173,000,183 46,958,199 35,513,279 40,861,174 7,580,175 3,835,421 ------------ ------------ ------------ ------------ ------------ ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments.... (200,856) 12,221,948 3,647,165 179,251,631 23,355,161 2,243,334 Futures transactions..... 2,582,780 894,485 320,602 Option transactions...... 155,447 Foreign currency transactions........... (639,376) (12,978) ------------ ------------ ------------ ------------ ------------ ----------- Net realized gain (loss) (200,856) 12,221,948 3,647,165 181,350,482 24,236,668 2,563,936 ------------ ------------ ------------ ------------ ------------ ----------- Net change in unrealized appreciation (depreciation) on: Portfolio investments.... 1,073,681 50,593,054 200,506,744 287,637,826 151,190,998 42,347,885 Futures transactions..... (637,033) (24,045) Translation of assets (other than portfolio investments and liabilities in foreign currencies............. (55,117) 1,764 ------------ ------------ ------------ ------------ ------------ ----------- Net change in unrealized appreciation ............. 1,073,681 50,593,054 200,506,744 286,945,676 151,168,717 42,347,885 ------------ ------------ ------------ ------------ ------------ ----------- NET REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS 872,825 62,815,002 204,153,909 468,296,158 175,405,385 44,911,821 ------------ ------------ ------------ ------------ ------------ ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $173,873,008 $109,773,201 $239,667,188 $509,157,332 $182,985,560 $48,747,242 ============ ============ ============ ============ ============ ===========
See notes to financial statements. -5- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS
Money Market Account Bond Market Account ---------------------------------- --------------------------------- Years Ended December 31, Years Ended December 31, ---------------------------------- ---------------------------------- 1995 1994 1995 1994 --------------- --------------- --------------- --------------- FROM OPERATIONS Investment income--net ..... $ 173,000,183 $ 108,858,971 $ 46,958,199 $ 34,521,185 Net realized gain (loss) on total investments ........ (200,856) (137,647) 12,221,948 (13,643,019) Net change in unrealized appreciation (depreciation) on total investments .............. 1,073,681 (1,218,803) 50,593,054 (41,435,318) --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 173,873,008 107,502,521 109,773,201 (20,557,152) --------------- --------------- --------------- --------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 322,504,882 288,072,087 120,393,346 120,377,109 --------------- --------------- --------------- --------------- Disbursements and transfers: Net transfers to (from) TIAA ................... 62,622,528 73,211,841 (4,654,005) 5,182,313 Net transfers to (from) other CREF Accounts .... (62,813,953) (50,248,740) (76,175,539) 92,934,429 Annuity payments ......... 14,684,076 11,197,314 1,154,923 674,708 Withdrawals and repurchases ............ 144,584,944 114,459,075 16,646,581 13,504,407 Death benefits ........... 5,864,728 2,975,322 993,457 915,597 --------------- --------------- --------------- --------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET 164,942,323 151,594,812 (62,034,583) 113,211,454 --------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 157,562,559 136,477,275 182,427,929 7,165,655 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS 331,435,567 243,979,796 292,201,130 (13,391,497) NET ASSETS Beginning of period ........ 2,815,418,873 2,571,439,077 541,183,694 554,575,191 --------------- --------------- --------------- --------------- End of period .............. $ 3,146,854,440 $ 2,815,418,873 $ 833,384,824 $ 541,183,694 =============== =============== =============== ===============
See notes to financial statements. -6- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS
Social Choice Account Global Equities Account ---------------------------------- --------------------------------- Years Ended December 31, Years Ended December 31, ---------------------------------- --------------------------------- 1995 1994 1995 1994 --------------- --------------- --------------- --------------- FROM OPERATIONS Investment income--net ..... $ 35,513,279 $ 26,389,551 $ 40,861,174 $ 36,500,573 Net realized gain (loss) on total investments ........ 3,647,165 7,704,848 181,350,482 41,227,627 Net change in unrealized appreciation (depreciation) on total investments .............. 200,506,744 (43,329,800) 286,945,676 (100,004,634) --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 239,667,188 (9,235,401) 509,157,332 (22,276,434) --------------- --------------- --------------- --------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 193,358,929 224,708,121 432,885,223 417,001,295 --------------- --------------- --------------- --------------- Disbursements and transfers: Net transfers to (from) TIAA ................... (2,454,256) 4,466,657 2,286,189 (67,914,586) Net transfers to (from) other CREF Accounts .... (6,736,255) 138,078,027 361,750,669 (815,739,514) Annuity payments ......... 2,778,920 1,919,463 6,816,624 3,835,737 Withdrawals and repurchases ............ 16,528,876 13,378,053 44,668,972 33,654,397 Death benefits ........... 1,045,228 467,921 2,578,283 1,103,572 --------------- --------------- --------------- --------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET 11,162,513 158,310,121 418,100,737 (845,060,394) --------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 182,196,416 66,398,000 14,784,486 1,262,061,689 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS 421,863,604 57,162,599 523,941,818 1,239,785,255 NET ASSETS Beginning of period ........ 742,455,295 685,292,696 2,574,853,281 1,335,068,026 --------------- --------------- --------------- --------------- End of period .............. $ 1,164,318,899 $ 742,455,295 $ 3,098,795,099 $ 2,574,853,281 =============== =============== =============== ===============
See notes to financial statements. -7- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS
Growth Account Equity Index Account ---------------------------------- ------------------------------------ April 4, 1994 April 4, 1994 Year Ended (date established) Year Ended (date established) December 31, to December 31, December 31, to December 31, 1995 1994 1995 1994 --------------- ---------------- --------------- ----------------- FROM OPERATIONS Investment income--net ..... $ 7,580,175 $ 1,527,382 $ 3,835,421 $ 1,116,727 Net realized gain (loss) on total investments ........ 24,236,668 (278,697) 2,563,936 203,460 Net change in unrealized appreciation (depreciation) on total investments .............. 151,168,717 3,113,360 42,347,885 425,877 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 182,985,560 4,362,045 48,747,242 1,746,064 --------------- --------------- --------------- --------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 146,310,621 68,075,184 43,829,759 54,188,114 --------------- --------------- --------------- --------------- Disbursements and transfers: Net transfers to (from) TIAA ................... (44,418,794) (11,838,468) (20,714,935) (2,158,509) Net transfers to (from) other CREF Accounts .... (524,499,108) (244,113,755) (242,873,333) (32,968,712) Annuity payments ......... 1,032,476 148,499 371,694 18,828 Withdrawals and repurchases ............ 15,488,467 53,454,593 35,670,917 20,282,131 Death benefits ........... 49,873 5,552 --------------- --------------- --------------- --------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET (552,347,086) (202,349,131) (227,540,105) (14,826,262) --------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 698,657,707 270,424,315 271,369,864 69,014,376 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS 881,643,267 274,786,360 320,117,106 70,760,440 NET ASSETS Beginning of period ........ 274,786,360 -- 70,760,440 -- --------------- --------------- --------------- --------------- End of period .............. $ 1,156,429,627 $ 274,786,360 $ 390,877,546 $ 70,760,440 =============== =============== =============== ===============
See notes to financial statements. -8- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS NOTE 1--ORGANIZATION College Retirement Equities Fund ("CREF") was formed to aid and strengthen nonprofit educational and research organizations by providing their employees with variable retirement benefits. CREF is registered with the Securities and Exchange Commission ("Commission") under the Investment Company Act of 1940 as an open-end, diversified management investment company. It consists of seven investment portfolios. 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; and the Equity Index Account, which invests in a diversified portfolio of equity securities selected to track the overall United States stock market ("Accounts"). The seventh investment portfolio of CREF, the Stock Account, which invests primarily in equity securities, is not included in these financial statements. The Growth and Equity Index Accounts were established on April 4, 1994 with a $50,000,000 investment in each Account by Teachers Insurance and Annuity Association ("TIAA"), a companion organization, which purchased 2,000,000 Accumulation Units of each Account at the established $25.00 initial Accumulation Unit Value. On April 29, 1994, the Growth and Equity Index Accounts were registered with the Commission under the Securities Act of 1933 and the Investment Company Act of 1940 as additional series of CREF. On July 1, 1994, CREF began to offer Accumulation Units of the Growth and Equity Index Accounts to participants other than TIAA. TIAA's Accumulation Units share in the pro rata investment experience and are subject to the same valuation procedures and expense deductions as all other Accumulation Units in the Growth and Equity Index Accounts. During 1994 all of TIAA's Accumulation Units in the Growth Account were withdrawn at net asset value and the withdrawals are reflected in the accompanying 1994 financial statements of the Growth Account. At December 31, 1994, TIAA's investment in the Equity Index Account was 1,220,301 Accumulation Units, with a total value of $31,573,334. During 1995 TIAA's remaining Accumulation Units in the Equity Index Account were withdrawn at net asset value and the withdrawals for both 1994 and 1995 are reflected in the accompanying financial statements of the Equity Index Account. TIAA-CREF Investment Management, Inc. ("Investment Management"), a subsidiary of TIAA, is registered with the Commission as an investment adviser and provides investment advisory services for the CREF Accounts pursuant to an Investment Management Services Agreement with CREF. TIAA-CREF Individual & Institutional Services, Inc. ("Services"), a subsidiary of TIAA which is registered with the Commission as a broker-dealer and is a member of the National Association of Securities Dealers, Inc., provides administrative services for the CREF Accounts and performs distribution functions for CREF's certificates pursuant to a Principal Underwriting and Administrative Services Agreement with CREF. NOTE 2--SIGNIFICANT ACCOUNTING POLICIES The 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. -9- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(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 currency contracts are valued in U.S. dollars, based on the exchange rate at the end of the period. Investments traded in foreign currencies are translated at exchange rates prevailing on the respective dates traded. Income is translated at approximate rates prevailing when earned. Asset and liability accounts that are denominated in a foreign currency are adjusted to reflect the exchange rate at the end of the period. The cumulative impact of changes in foreign exchange rates on portfolio investments sold during the period is reflected in the net realized gain (loss) on portfolio investments. The cumulative impact of changes in foreign exchange rates on portfolio investments held at the end of the period is reflected in the net change in unrealized appreciation (depreciation) on portfolio investments. Currency gains and losses arising from the settlement of forward currency contracts, changes in exchange rates between the trade and settlement dates of portfolio investment transactions, and changes in exchange rates between the accrual and receipt dates for dividend and interest income are recorded as net realized gains (losses) on foreign currency transactions. For assets other than portfolio investments and liabilities, changes in foreign exchange rates are reflected in the net change in unrealized appreciation (depreciation) on translation of assets (other than portfolio investments) and liabilities in foreign currencies. Securities Lending: The Accounts may lend portfolio securities to qualified institutions. Such loans are secured by collateral at least equal to 102% of the market value of the securities loaned for United States securities and 105% of the market value of securities loaned for foreign securities. When portfolio securities are loaned, an Account receives additional income on the collateral and continues to receive income on the securities loaned. Additionally, any change in the market value of the securities loaned is recognized by the Account. The Accounts may bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower of securities fail financially. 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 it intends to purchase at a later date, or for cash management purposes to remain highly invested in the equity markets while minimizing transaction costs. A 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. -10- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(Continued) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(Concluded) Forward Currency Contracts: The Accounts may enter into forward currency contracts to purchase or sell foreign currency to accommodate foreign investment transactions. Forward currency contracts are "marked-to-market" at the end of each day's trading. Daily changes in the value of such contracts are reflected in the net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies. When the contract is closed, payment is made or received 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 currency contract to offset an existing contract. Forward 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. Federal Income Taxes: CREF is a nonprofit educational organization exempt from federal income taxation under the Internal Revenue Code ("Code"). Accordingly, CREF is not a "Regulated Investment Company" under Subchapter M of the Code and the net investment income and net realized capital gains of CREF's Accounts are not taxable. Any nonpension related income is subject to federal income taxation as unrelated business income; however, for the periods covered by these financial statements there was no such income. NOTE 3--MANAGEMENT AGREEMENTS All services necessary for the operation of CREF's Accounts are provided, at cost, by Investment Management and Services. Such services are provided in accordance with an Investment Management Services Agreement between CREF and Investment Management, and in accordance with a Principal Underwriting and Administrative Services Agreement between CREF and Services (see Note 1). Investment Management and Services receive management fee payments from the CREF Accounts on a daily basis according to formulas established each year with the objective of keeping the management fees as close as possible to each Account's actual expenses. Any differences between actual expenses and the management fees are adjusted quarterly. Investment Management and Services generally pay directly for all third-party services provided for the benefit of the CREF Accounts. "Soft-dollar" arrangements for brokerage and other services are generally not utilized by the CREF Accounts. However, certain custodial fees are reduced based on the level of average cash balances on deposit with a custodian bank during the period. The amounts by which custodial fees were reduced under these expense offset agreements are reflected in the accompanying Statements of Operations as "Fees paid indirectly". NOTE 4--INVESTMENTS At December 31, 1995, the value of Global Equities Account securities loaned was $125,661,757 and collateral received in connection therewith was comprised of cash of $100,299,206, letters of credit of $10,910,000 and United States government securities amounting to $30,826,076. At December 31, 1995, the due to banks balances in the Social Choice, Growth and Equity Index Accounts resulted from securities transactions which were settled and paid by January 2, 1996. -11- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(Continued) NOTE 4--INVESTMENTS--(Continued) At December 31, 1995, net unrealized appreciation (depreciation) of portfolio investments, consisting of gross unrealized appreciation and gross unrealized depreciation, was as follows:
Money Market Bond Market Social Choice Account Account Account ----------- ------------- ------------- Gross unrealized appreciation of portfolio investments......... $ 186,016 $ 30,318,892 $224,777,546 Gross unrealized depreciation of portfolio investments......... 581,325 375,200 14,969,500 ----------- ------------- ------------ NET UNREALIZED APPRECIATION (DEPRECIATION) OF PORTFOLIO INVESTMENTS........................................ $ (395,309) $ 29,943,692 $209,808,046 =========== ============= ============
Global Equities Growth Equity Index Account Account Account ------------ ------------ ------------ Gross unrealized appreciation of portfolio investments......... $409,195,990 $180,137,486 $ 48,869,814 Gross unrealized depreciation of portfolio investments......... 74,243,139 25,833,128 6,096,052 ------------ ------------ ------------ NET UNREALIZED APPRECIATION OF PORTFOLIO INVESTMENTS........................................ $334,952,851 $154,304,358 $ 42,773,762 ============ ============ ============
During 1995 the Global Equities, Growth and Equity Index Accounts engaged in transactions in futures contracts in the Standard & Poor's 500 Index with the following results:
Global Equities Growth Equity Index Account Account Account ------------ ------------- ---------- Futures contracts open at December 31, 1995, at cost........... $ 60,008,233 $ 2,188,620 $ -- Net unrealized depreciation.................................... (637,033) (24,045) -- ------------ ------------- ---------- Futures contracts open at December 31, 1995, at value.......... $ 59,371,200 $ 2,164,575 $ -- ============ ============= ========== Net realized gain on futures contracts closed.................. $ 2,582,780 $ 894,485 $ 320,602 Number of futures contracts open at December 31, 1995.......... 192 7 -- Inception date of futures contracts activity................... 11/14/95 09/07/95 04/04/95 Average fair value of futures contracts based on daily balances from inception date........................ $ 68,615,325 $ 13,091,542 $1,751,734
During 1995 the Global Equities Account had realized gains in connection with covered call options written of $155,447. The transactions in covered call options written by the Global Equities Account for the year ended December 31, 1995 were as follows: Number Premiums of Contracts Received ------------ --------- Options outstanding at December 31, 1994............. -- -- Options written...................................... 1,100 $ 155,447 Options terminated in closing purchase transactions.. -- -- Options expired...................................... (1,100) (155,447) Options exercised.................................... -- -- ---------- --------- Options outstanding at December 31, 1995............. -- $ -- ========== ========= -12- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(Continued) NOTE 4--INVESTMENTS--(Concluded) Companies in which any of the Accounts held 5% of more of the outstanding voting shares are defined as "affiliated" in the Investment Company Act of 1940. At December 31, 1995, the total value of the Global Equities Account's investments in affiliated companies was $153,598,338. For the year ended December 31, 1995, total dividend income and net realized gains relating to such investments of the Global Equities Account were $3,126,566 and $21,814,810, respectively. For the periods and CREF Accounts covered by these financial statements, there were no other investments in affiliated companies. Purchases and sales of portfolio securities, other than short-term money market instruments, for the year ended December 31, 1995, were as follows:
Bond Market Social Choice Global Equities Growth Equity Index Account Account Account Account Account ------------ ------------ --------------- ------------- ------------ Purchases: Unaffiliated issuers...... $1,472,892,579 $714,893,755 $1,769,749,797 $ 863,469,375 $289,445,161 Affiliated issuers........ 70,420,679 -------------- ------------ -------------- ------------- ------------ TOTAL PURCHASES........ $1,472,892,579 $714,893,755 $1,840,170,476 $ 863,469,375 $289,445,161 ============== ============ ============== ============= ============ Sales: Unaffiliated issuers..... $1,213,316,010 $491,417,440 $1,742,923,917 $ 161,533,156 $ 14,538,535 Affiliated issuers....... 77,119,658 -------------- ------------ -------------- ------------- ------------ TOTAL SALES ........... $1,213,316,010 $491,417,440 $1,820,043,575 $ 161,533,156 $ 14,538,535 ============== ============ ============== ============= ============
NOTE 5--CONDENSED FINANCIAL INFORMATION Selected condensed financial information for an Accumulation Unit of the Money Market Account is presented below.
Money Market Account ------------------------------------------------------- For the Years Ended December 31, ------------------------------------------------------- 1995 1994 1993 1992 1991 ------- ------- ------- ------- ------- Per Accumulation Unit Data: Investment income..................... $ .910 $ .631 $ .464 $ .539 $ .808 Expenses.............................. .048 .041 .039 .036 .039 ------- ------- ------- ------- ------- Investment income--net................. .862 .590 .425 .503 .769 Net realized and unrealized gain (loss) on total investments................ .009 (.012) (.002) (.009) .013 ------- ------- ------- ------- ------- Net increase in Accumulation Unit Value............................ .871 .578 .423 .494 .782 Accumulation Unit Value: Beginning of year..................... 14.795 14.217 13.794 13.300 12.518 ------- ------- ------- ------- ------- End of year........................... $15.666 $14.795 $14.217 $13.794 $13.300 ======= ======= ======= ======= ======= Ratios to Average Net Assets: Expenses.............................. 0.32% 0.28% 0.27% 0.26% 0.30% Investment income--net................. 5.64% 4.03% 3.02% 3.70% 5.95% Portfolio turnover rate.................. n/a n/a n/a n/a n/a Thousands of Accumulation Units outstanding at end of year............. 193,181 183,135 174,073 184,768 207,368
-13- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(Continued) NOTE 5--CONDENSED FINANCIAL INFORMATION--(Continued) Selected condensed financial information for an Accumulation Unit of the Bond Market Account is presented below.
Bond Market Account --------------------------------------------------------------- For the Years Ended December 31, --------------------------------------------------------------- 1995 1994 1993 1992 1991 -------- -------- -------- -------- -------- Per Accumulation Unit Data: Investment income...................... $ 2.863 $ 2.502 $ 2.348 $ 2.287 $ 2.270 Expenses............................... .123 .108 .103 .093 .096 ------- ------- ------- ------- ------- Investment income--net.................. 2.740 2.394 2.245 2.194 2.174 Net realized and unrealized gain (loss) on total investments................... 3.722 (3.897) 1.606 .056 2.247 ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value................ 6.462 (1.503) 3.851 2.250 4.421 Accumulation Unit Value: Beginning of year...................... 36.227 37.730 33.879 31.629 27.208 ------- ------- ------- ------- ------- End of year............................ $42.689 $36.227 $37.730 $33.879 $31.629 ======= ======= ======= ======= ======= Ratios to Average Net Assets: Expenses............................... 0.31% 0.29% 0.28% 0.29% 0.34% Investment income--net.................. 6.93% 6.54% 6.18% 6.78% 7.61% Portfolio turnover rate.................. 185.11% 161.46% 139.55% 217.89% 124.62% Thousands of Accumulation Units outstanding at end of year............. 19,522 14,939 14,698 13,583 10,658
Selected condensed financial information for an Accumulation Unit of the Social Choice Account is presented below.
Social Choice Account --------------------------------------------------------------- For the Years Ended December 31, --------------------------------------------------------------- 1995 1994 1993 1992 1991 -------- -------- -------- -------- -------- Per Accumulation Unit Data: Investment income..................... $ 1.832 $ 1.621 $ 1.452 $ 1.363 $ 1.432 Expenses.............................. .144 .125 .117 .105 .102 ------- ------- ------- ------- ------- Investment income--net................. 1.688 1.496 1.335 1.258 1.330 Net realized and unrealized gain (loss) on total investments................... 9.863 (2.015) 2.082 2.367 5.237 ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value............................ 11.551 (.519) 3.417 3.625 6.567 Accumulation Unit Value: Beginning of year..................... 39.161 39.680 36.263 32.638 26.071 ------- ------ ------ ------ ------- End of year........................... $50.712 $39.161 $39.680 $36.263 $32.638 ======= ======= ======= ======= ======= Ratios to Average Net Assets: Expenses............................... 0.32% 0.32% 0.31% 0.33% 0.36% Investment income--net.................. 3.75% 3.80% 3.52% 3.88% 4.69% Portfolio turnover rate.................. 52.65% 49.06% 39.85% 77.48% 46.41% Thousands of Accumulation Units outstanding at end of year............ 22,196 18,302 16,790 9,224 4,929
-14- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(Continued) NOTE 5--CONDENSED FINANCIAL INFORMATION--(Concluded) Selected condensed financial information for an Accumulation Unit of the Global Equities Account is presented below.
Global Equities Account --------------------------------------------------- April 1, 1992 (date established) For the Years Ended December 31, to December 31, -------------------------------- ------------------ 1995 1994 1993 1992 ------ ------ ------ ------ Per Accumulation Unit Data: Investment income................................ $ .727 $ .687 $ .487 $ .569 Expenses......................................... .157 .134 .103 .121 ------- ------- ------- ------- Investment income--net............................ .570 .553 .384 .448 Net realized and unrealized gain (loss) on total investments.................................... 6.618 (.719) 9.021 1.083 ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value.. 7.188 (.166) 9.405 1.531 Accumulation Unit Value: Beginning of period.............................. 35.770 35.936 26.531 25.000 ------- ------- ------- ------- End of period.................................... $42.958 $35.770 $35.936 $26.531 ======= ======= ======= ======= Ratios to Average Net Assets: Expenses......................................... 0.40% 0.41% 0.45% 0.40% Investment income--net............................ 1.47% 1.71% 1.67% 1.47% Portfolio turnover rate............................. 67.50% 51.63% 16.75% 12.50% Thousands of Accumulation Units outstanding at end of period.................................... 70,163 70,700 36,796 8,277
Selected condensed financial information for an Accumulation Unit of the Growth and Equity Index Accounts is presented below.
Growth Account Equity Index Account -------------------------------- -------------------------------- For the April 4, 1994 For the April 4, 1994 Year Ended (date established) Year Ended (date established) December 31, to December 31, December 31, to December 31, 1995 1994 1995 1994 ------- ------- ------- ------- Per Accumulation Unit Data: Investment income..................... $ .417 $ .398 $ .755 $ .552 Expenses.............................. .114 .084 .100 .072 ------- ------- ------- ------- Investment income--net................. .303 .314 .655 .480 Net realized and unrealized gain on total investments......................... 8.891 .802 8.703 .393 ------- ------- ------- ------- Net increase in Accumulation Unit Value.. 9.194 1.116 9.358 .873 Accumulation Unit Value: Beginning of period................... 26.116 25.000 25.873 25.000 ------- ------- ------- ------- End of period......................... $35.310 $26.116 $35.231 $25.873 ======= ======= ======= ======= Ratios to Average Net Assets: Expenses.............................. 0.43% 0.33% 0.34% 0.27% Investment income--net................. 1.13% 1.21% 2.22% 1.83% Portfolio turnover rate.................. 24.42% 12.29% 8.31% 1.33% Thousands of Accumulation Units outstanding at end of period.......... 32,375 10,446 10,911 2,716
-15- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(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 -------------------------- ----------------------- ------------------------- Years Ended December 31, ------------------------------------------------------------------------------------- 1995 1994 1995 1994 1995 1994 ----------- ----------- ---------- ---------- ---------- ---------- Accumulation Units: Credited for premiums...... 21,164,735 19,877,920 3,036,130 3,300,477 4,283,963 5,731,509 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund............. (11,118,465) (10,816,065) 1,547,736 (3,060,280) (390,757) (4,218,915) Outstanding: Beginning of year........ 183,135,158 174,073,303 14,938,601 14,698,404 18,302,361 16,789,767 ----------- ----------- ----------- ---------- ---------- ---------- End of year ............. 193,181,428 183,135,158 19,522,467 14,938,601 22,195,567 18,302,361 =========== =========== =========== ========== ========== ==========
Global Equities Account Growth Account Equity Index Account ------------------------- ------------------------ ----------------------------- April 4, 1994 April 4, 1994 (date (date Year Ended established) to Year Ended established) to Years Ended December 31, December 31, December 31, December 31, December 31, 1995 1994 1995 1994 1995 1994 ---------- ---------- ---------- ---------- ---------- ---------- Accumulation Units: Credited for premiums...... 11,114,439 11,529,568 4,585,987 2,694,224 1,368,448 2,161,854 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund............. (11,651,582) 22,374,413 17,343,718 7,751,309 6,826,684 553,670 Outstanding: Beginning of period...... 70,700,051 36,796,070 10,445,533 -- 2,715,524 -- ---------- ---------- ---------- ---------- ---------- ---------- End of period............ 70,162,908 70,700,051 32,375,238 10,445,533 10,910,656 2,715,524 ========== ========== ========== ========== ========== ==========
-16- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT DECEMBER 31, 1995 SUMMARY VALUE % ------- ------ SHORT TERM INVESTMENTS BANK NOTES $ 195,987,267 6.23% BANKERS ACCEPTANCES 68,091,368 2.16 CERTIFICATES OF DEPOSIT 370,151,297 11.76 COMMERCIAL PAPER 1,941,345,861 61.69 EURO CERTIFICATES OF DEPOSIT 95,005,652 3.02 MEDIUM TERM BONDS 9,908,509 0.32 VARIABLE RATE NOTES 448,894,146 14.26 ------------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $3,129,779,482) 3,129,384,100 99.44 ------------- ------ ROUNDING 73 0.00 ------------- ------ TOTAL PORTFOLIO (Cost $3,129,779,482) 3,129,384,173 99.44 OTHER ASSETS & LIABILITIES, NET 17,470,267 0.56 ------------- ------ NET ASSETS $3,146,854,440 100.00% ============== ====== -------------------- PAR VALUE VALUE ----- ----- SHORT TERM INVESTMENTS--99.44% BANK NOTES--6.23% BANK OF BOSTON 16,200,000 5.690%, 04/30/96............. $ 16,205,985 BANK OF NEW YORK 15,000,000 6.670%, 03/06/96............. 15,021,162 FCC NATIONAL BANK 25,000,000 5.740%, 03/27/96............. 25,001,964 FLEET BANK OF NEW YORK 20,000,000 5.780%, 02/01/96............. 20,000,056 HUNTINGTON NATIONAL BANK 25,000,000 5.750%, 05/02/96............. 25,014,154 NATIONSBANK OF GEORGIA 19,720,000 5.650%, 06/05/96............. 19,729,869 25,000,000 5.650%, 06/10/96............. 25,012,702 NATIONSBANK OF TEXAS 50,000,000 5.720%, 03/11/96............. 50,001,375 ------------ 195,987,267 ------------ BANKERS ACCEPTANCES--2.16% BANK OF MONTREAL 5,000,000 5.480%, 03/11/96............. 4,945,758 CORESTATES BANK N.A./ PHILADELPHIA NATIONAL BANK 5,000,000 5.510%, 05/06/96............. 4,905,668 FLEET BANK OF NEW YORK 20,000,000 5.800%, 02/09/96............. 19,998,662 NATIONSBANK OF GEORGIA 28,900,000 5.500%, 05/06/96............. 28,354,794 NATIONSBANK OF TEXAS 10,000,000 5.530%, 03/15/96............. 9,886,486 ----------- 68,091,368 ----------- CERTIFICATES OF DEPOSIT--11.76% ABN AMRO BANK NV 6,900,000 5.600%, 01/08/96............. 6,899,647 40,000,000 5.630%, 01/11/96............. 39,997,504 BANK OF MONTREAL 5,160,000 5.800%, 01/22/96............. 5,160,128 BANK OF NOVA SCOTIA 25,000,000 5.750%, 03/15/96............. 25,009,839 CANADIAN IMPERIAL BANK OF COMMERCE 5,000,000 6.800%, 03/08/96............. 5,009,205 DEUTSCHE BANK 25,000,000 5.780%, 01/31/96............. 25,000,872 25,000,000 5.750%, 03/25/96............. 25,011,397 DRESDNER BANK 25,000,000 5.740%, 01/12/96............. 24,999,971 FIRST ALABAMA BANK 25,000,000 5.650%, 05/06/96............. 25,014,477 MELLON BANK, N.A. 25,000,000 5.700%, 03/04/96............. 25,006,600 10,000,000 5.700%, 03/08/96............. 10,002,736 NATIONAL WESTMINSTER BANK PLC 15,000,000 5.700%, 02/16/96............. 14,999,546 NATIONSBANK OF FLORIDA 25,000,000 5.600%, 05/14/96............. 25,011,600 25,000,000 5.600%, 05/20/96............. 25,012,427 RABOBANK 20,000,000 5.680%, 05/3/96............. 20,013,162 ROYAL BANK OF CANADA 25,000,000 5.650%, 03/15/96............. 25,003,164 SOCIETE GENERALE 13,000,000 5.750%, 02/15/96............. 13,000,475 WESTDEUTSCHE LANDESBANK 30,000,000 5.700%, 02/06/96............. 29,998,547 ----------- 370,151,297 ----------- COMMERCIAL PAPER--61.69% AIR PRODUCTS & CHEMICALS, INC 10,000,000 5.570%, 03/22/96............. 9,871,961 AMERICAN EXPRESS CREDIT CORP 23,000,000 5.490%, 03/25/96............. 22,694,635 32,015,000 5.610%, 04/26/96............. 31,443,985 6,700,000 5.540%, 05/23/96............. 6,552,886 17,324,000 5.560%, 05/23/96............. 16,943,632 AMERICAN HOME PRODUCTS CORP 13,221,000 5.710%, 01/11/96............. 13,199,225 11,000,000 # 5.690%, 02/05/96............. 10,937,264 25,000,000 5.760%, 02/12/96............. 24,832,000 25,000,000 5.700%, 02/13/96............. 24,829,791 25,000,000 # 5.600%, 02/13/96............. 24,832,777 AT&T CORP 8,925,000 5.590%, 03/26/96............. 8,805,161 25,000,000 5.540%, 03/28/96............. 24,656,444 6,000,000 5.470%, 05/3/96 ............. 5,886,533 ASSET SECURITIZATION COOPERATIVE CORP 25,000,000 # 5.690%, 01/16/96............. 24,938,152 30,500,000 # 5.650%, 02/09/96............. 30,306,661 14,000,000 5.650%, 02/14/96............. 13,900,493 ASSOCIATES CORP OF NORTH AMERICA 25,000,000 5.700%, 01/19/96............. 24,925,724 6,382,000 5.680%, 01/26/96............. 6,356,826 25,000,000 5.660%, 02/22/96............. 24,791,458 35,000,000 5.530%, 03/01/96............. 34,660,402 B.B.V. FINANCE, INC (DELAWARE) 25,000,000 5.690%, 01/29/96............. 24,884,946 7,500,000 5.680%, 02/05/96............. 7,457,226 BENEFICIAL CORP 6,758,000 5.530%, 03/18/96............. 6,675,676 34,705,000 5.450%, 03/19/96............. 34,276,663 See notes to financial statements. -17- PAR VALUE VALUE ----- ----- COMMERCIAL PAPER--(Continued) BETA FINANCE, INC 10,000,000 # 5.660%, 02/26/96............. $ 9,909,697 CHEMICAL BANKING CORP 25,000,000 5.610%, 03/14/96............. 24,711,181 CIESCO LP 4,597,000 5.700%, 01/19/96............. 4,583,342 10,000,000 # 5.650%, 02/07/96............. 9,939,917 15,000,000 5.650%, 02/12/96............. 14,898,765 20,000,000 # 5.650%, 02/15/96............. 19,854,587 CIT GROUP HOLDINGS, INC 15,333,000 5.760%, 01/24/96............. 15,276,574 21,900,000 5.690%, 02/09/96............. 21,761,260 6,532,000 5.670%, 02/23/96............. 6,476,464 25,000,000 5.550%, 03/22/96............. 24,679,875 COCA-COLA ENTERPRISES, INC 15,000,000 # 5.680%, 02/21/96............. 14,877,288 COMMERCIAL CREDIT CO 25,000,000 5.750%, 02/01/96............. 24,876,215 COMMERZBANK FINANCE, INC (U.S.) 25,000,000 5.660%, 02/08/96............. 24,850,638 COOPER INDUSTRIES, INC 23,690,000 6.000%, 01/02/96............. 23,686,051 CORPORATE ASSET FUNDING CORP 18,315,000 5.670%, 01/16/96............. 18,269,690 11,600,000 # 5.700%, 02/05/96............. 11,535,716 20,000,000 # 5.650%, 02/08/96............. 19,876,552 DUPONT (E.I.) DE NEMOURS & CO 25,000,000 # 5.680%, 01/18/96............. 24,929,874 ELI LILLY & CO 25,000,000 # 5.500%, 03/06/96............. 24,737,528 FIRST UNION CORP 5,000,000 5.630%, 02/09/96............. 4,968,313 25,000,000 5.660%, 02/12/96............. 24,831,275 FORD MOTOR CREDIT CO 36,830,000 5.730%, 01/18/96............. 36,730,344 18,900,000 5.670%, 01/26/96............. 18,823,514 29,670,000 5.620%, 02/13/96............. 29,464,630 14,600,000 5.660%, 02/22/96............. 14,478,211 GENERAL ELECTRIC CAPITAL CORP 25,000,000 5.760%, 01/31/96............. 24,880,000 6,650,000 5.660%, 02/05/96............. 6,613,406 6,100,000 5.680%, 02/09/96............. 6,062,464 18,780,000 5.670%, 02/12/96............. 18,653,254 25,000,000 5.670%, 02/12/96............. 24,831,275 5,000,000 5.380%, 07/26/96............. 4,842,822 GENERAL MOTORS ACCEPTANCE CORP 35,000,000 5.700%, 02/23/96............. 34,702,478 GENERAL SIGNAL CORP 1,475,000 # 5.850%, 01/08/96............. 1,473,322 GOLDMAN SACHS GROUP LP 8,300,000 5.600%, 03/06/96............. 8,212,905 25,000,000 5.600%, 03/06/96............. 24,737,667 11,421,000 5.620%, 03/06/96............. 11,301,168 6,000,000 5.600%, 03/14/96............. 5,930,680 24,000,000 5.570%, 04/04/96............. 23,652,406 25,000,000 5.590%, 04/09/96............. 24,618,888 GTE CORP 25,890,000 5.840%, 02/15/96............. 25,701,002 HEWLETT PACKARD CO 25,000,000 5.630%, 02/15/96............. 24,818,224 HOUSEHOLD FINANCE CORP 12,075,000 5.700%, 02/05/96............. 12,006,133 IBM CREDIT CORP 19,675,000 5.520%, 03/29/96............. 19,407,993 JOHN DEERE CAPITAL CORP 12,055,000 5.450%, 03/22/96............. 11,900,569 MCI COMMUNICATIONS CORP 12,500,000 5.650%, 02/14/96............. 12,411,154 20,000,000 5.650%, 02/15/96............. 19,854,587 11,000,000 5.640%, 02/15/96............. 10,920,020 10,000,000 5.650%, 02/23/96............. 9,914,969 11,800,000 # 5.510%, 03/25/96............. 11,643,348 MCKENNA TRIANGLE NATIONAL CORP 11,000,000 # 5.720%, 01/25/96............. 10,957,278 12,000,000 5.670%, 02/02/96............. 11,937,168 25,000,000 # 5.640%, 02/08/96............. 24,845,686 20,000,000 # 5.650%, 02/09/96............. 19,873,268 20,000,000 # 5.570%, 03/12/96............. 19,771,032 MORGAN STANLEY GROUP, INC 8,428,000 6.000%, 01/3/96 ............. 8,425,190 NATIONSBANK CORP 30,000,000 5.690%, 02/20/96............. 29,759,812 6,905,000 5.590%, 03/08/96............. 6,830,345 13,720,000 5.450%, 03/29/96............. 13,533,754 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE 25,000,000 5.600%, 02/26/96............. 24,774,243 28,300,000 5.580%, 03/08/96............. 27,994,014 15,000,000 5.570%, 03/25/96............. 14,800,916 PACIFICORP 10,000,000 5.550%, 03/12/96............. 9,885,505 PENNEY (J.C.) FUNDING CORP 25,000,000 5.650%, 02/15/96............. 24,818,234 PHH CORP 20,000,000 5.820%, 01/31/96............. 19,902,999 PROCTOR & GAMBLE 22,000,000 5.450%, 03/12/96............. 21,747,989 PROVINCE OF ONTARIO 25,000,000 5.355%, 05/24/96............. 24,446,797 ST. PAUL COS 10,832,000 5.680%, 01/31/96............. 10,778,864 SEARS ROEBUCK ACCEPTANCE CORP 15,211,000 5.710%, 01/31/96............. 15,136,383 24,000,000 5.620%, 03/08/96............. 23,740,560 SMITH BARNEY, INC 25,000,000 5.620%, 02/09/96............. 24,847,791 25,000,000 5.660%, 02/23/96............. 24,791,680 SOUTHERN CALIFORNIA GAS CO 15,698,000 5.600%, 02/09/96............. 15,602,765 SWEDISH EXPORT CREDIT CORP 1,000,000 5.450%, 03/22/96............. 987,189 50,000,000 5.450%, 03/22/96............. 49,359,473 TORONTO DOMINION HOLDINGS (U.S.) 25,000,000 5.640%, 02/21/96............. 24,795,481 20,000,000 5.550%, 03/05/96............. 19,793,254 WHIRLPOOL FINANCE 15,000,000 5.790%, 01/31/96............. 14,926,419 9,000,000 5.770%, 02/23/96............. 8,923,525 XEROX CORP 12,500,000 5.680%, 01/23/96............. 12,454,624 25,000,000 5.700%, 02/09/96............. 24,845,624 13,335,000 5.650%, 02/07/96............. 13,254,879 22,575,000 5.450%, 03/18/96............. 22,299,898 14,090,000 5.530%, 06/21/96............. 13,724,466 ------------- 1,941,345,861 ------------- EURO CERTIFICATES OF DEPOSIT--3.02% BANCO BILBOA VIZCAYA, S.A. 10,000,000 5.770%, 03/28/96............. 10,004,641 HARRIS TRUST & SAVINGS BANK 25,000,000 5.760%, 01/31/96............. 24,999,853 See notes to financial statements. -18- PAR VALUE VALUE ----- ----- EURO CERTIFICATES OF DEPOSIT --(Continued) NATIONAL WESTMINSTER BANK PLC 25,000,000 5.760%, 02/01/96............. $ 24,998,540 NATIONAL WESTMINSTER BANK (U.S.) 10,000,000 5.750%, 02/28/96............. 10,002,195 WESTDEUTSCHE LANDESBANK 25,000,000 5.770%, 02/01/96............. 25,000,423 ------------- 95,005,652 ------------- MEDIUM TERM BONDS--0.32% FLORIDA POWER & LIGHT CO 10,000,000 4.900%, 06/04/96............. 9,908,509 ------------- VARIABLE RATE NOTES--14.26% AMERICAN EXPRESS CENTURION BANK 15,000,000 5.740%, 01/17/96............. 15,000,000 25,000,000 5.899%, 10/15/96............. 25,000,000 5,000,000 5.650%, 10/18/96............. 5,000,000 10,000,000 5.655%, 10/23/96............. 10,000,000 15,000,000 5.907%, 11/07/96............. 15,000,000 20,000,000 5.650%, 11/08/96............. 20,000,000 BANC ONE, MILWAUKEE, N.A. 12,000,000 5.590%, 09/05/96............. 12,000,000 13,000,000 5.590%, 09/05/96............. 13,000,000 BANK OF BOSTON 8,000,000 5.630%, 11/13/96............. 8,000,000 BENEFICIAL CORP 25,000,000 5.260%, 02/01/96............. 24,993,541 BENEFICIAL CORP 25,000,000 5.857%, 12/02/96............. 24,997,506 CATERPILLAR FINANCIAL SERVICES CORP 10,000,000 5.870%, 06/12/96............. 10,000,000 CORESTATES BANK N.A./ PHILADELPHIA NATIONAL BANK 33,000,000 5.778%, 04/02/96............. 33,000,000 7,000,000 5.849%, 06/07/96............. 7,000,000 FCC NATIONAL BANK 10,000,000 5.300%, 03/08/96............. 9,994,000 FIRST UNION NATIONAL BANK, CHARLOTTE 10,000,000 5.430%, 09/16/96............. 10,000,000 20,000,000 5.430%, 09/16/96............. 20,000,000 GENERAL MOTORS ACCEPTANCE CORP 15,000,000 5.930%, 11/15/96............. 15,000,000 HUNTINGTON NATIONAL BANK 25,000,000 5.605%, 12/02/96............. 25,000,000 MORGAN (J.P.) & CO 13,000,000 5.630%, 03/08/96............. 13,000,000 PHH CORP 25,000,000 5.250%, 02/08/96............. 24,990,500 PNC BANK, N.A. 25,000,000 5.230%, 02/27/96............. 24,978,625 25,000,000 5.580%, 10/04/96............. 25,000,000 SOCIETY NATIONAL BANK, CLEVELAND 50,000,000 5.200%, 04/24/96............. 49,940,000 WACHOVIA BANK OF NORTH CAROLINA 8,000,000 5.750%, 01/16/96............. 7,999,974 ------------ 448,894,146 ------------ TOTAL SHORT TERM INVESTMENTS (Cost $3,129,779,482)............. 3,129,384,100 ------------- ROUNDING........................ 73 ------------- TOTAL PORTFOLIO (Cost $3,129,779,482)............. $3,129,384,173 ============== - ------------- # RESTRICTED See notes to financial statements. -19- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT DECEMBER 31, 1995 SUMMARY VALUE % ----- ------ BONDS CORPORATE BONDS AEROSPACE ................................... $ 3,493,200 0.42% AUTOMOTIVE & RELATED ........................ 9,203,910 1.10 BANKS ....................................... 34,595,477 4.15 BROADCASTERS ................................ 6,425,910 0.77 ELECTRICAL EQUIPMENT ........................ 2,983,350 0.36 FINANCIAL--MISCELLANEOUS .................... 27,646,110 3.32 FOODS ....................................... 11,514,230 1.38 HEALTHCARE--HOSPITAL SUPPLY ................. 3,150,000 0.38 INSURANCE--LIFE ............................. 3,002,190 0.36 PAPER ....................................... 8,270,260 0.99 PROPERTY--REAL ESTATE ....................... 2,184,600 0.26 PUBLISHING--NEWSPAPER ....................... 5,113,750 0.61 RAILROAD .................................... 3,013,080 0.36 RESTAURANTS & HOTELS ........................ 4,394,440 0.53 RETAIL--GENERAL MERCHANDISE ................. 4,480,560 0.54 TRUCKERS & SHIPPING ......................... 5,144,750 0.62 UTILITIES--ELECTRIC ......................... 17,668,515 2.12 UTILITIES--GAS & PIPELINE ................... 5,291,500 0.64 UTILITIES--TELEPHONE ........................ 12,094,110 1.45 ------------ ------ TOTAL CORPORATE BONDS (COST $ 163,813,745) ..................... 169,669,942 20.36 ------------ ------ GOVERNMENT BONDS AGENCY SECURITIES ....................... 33,004,490 3.96 FOREIGN GOVERNMENT BONDS ................ 12,320,778 1.48 MORTGAGE BACKED SECURITIES .............. 220,067,382 26.40 U.S. TREASURY SECURITIES ................ 384,657,750 46.16 ------------- ------ TOTAL GOVERNMENT BONDS (COST $ 625,961,004) ..................... 650,050,400 78.00 ------------- ------ TOTAL BONDS (COST $ 789,774,749) ...................... 819,720,342 98.36 ------------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ......................... 15,483,837 1.86 ------------- ------ TOTAL SHORT TERM INVESTMENTS (COST $ 15,485,779) ....................... 15,483,837 1.86 ------------- ------ ROUNDING ................................ 41 0.00 ------------- ------ TOTAL PORTFOLIO (COST $ 805,260,528) ...................... 835,204,220 100.22 OTHER ASSETS & LIABILITIES, NET ......... (1,819,396) (0.22) ------------- ------ NET ASSETS ................................. $ 833,384,824 100.00% ============= ====== -------------------- PAR VALUE VALUE ------- ------ BONDS--98.36% CORPORATE BONDS--20.36% AEROSPACE--0.42% MCDONNELL DOUGLAS CORP NOTE 3,000,000 9.250%, 04/01/02............. $ 3,493,200 ---------- AUTOMOTIVE & RELATED--1.10% CHRYSLER FINANCIAL CORP NOTE 2,000,000 6.000%, 04/15/96............. 2,000,560 FORD CREDIT AUTO LOAN MASTER TRUST SERIES 1992-2 (ASSET BACKED CERT) 2,000,000 7.375%, 04/15/99............. $ 2,045,620 FORD MOTOR CREDIT CO NOTE 3,000,000 6.850%, 08/15/00............. 3,114,090 GENERAL MOTORS CORP NOTE 2,000,000 7.625%, 02/15/97.............. 2,043,640 ---------- 9,203,910 ---------- BANKS--4.15% ABBEY NATIONAL PLC (SUBORDINATED NOTE) 3,000,000 6.690%, 10/17/05............. 3,113,490 ABN AMRO BANK NV (SUBORDINATED NOTE) 3,000,000 7.250%, 05/31/05............. 3,220,740 ASIAN DEVELOPMENT BANK (GLOBAL BOND) 5,000,000 6.125%, 03/09/04............. 5,022,000 ASSOCIATES CORP (SR NOTE) 3,000,000 6.250%, 09/15/00 ............ 3,046,890 FIRST CHICAGO MASTER TRUST II SERIES 1992-E (ASSET BACKED CERT) 2,000,000 6.250%, 08/15/99 ............ 2,021,240 MORGAN (J .P.) & CO, INC (SUBORDINATED NOTE) 3,500,000 6.250%, 12/15/05............. 3,520,488 NATIONSBANK AUTO GRANTOR TRUST SERIES 1995-A (ASSET BACKED CERT) 2,892,825 5.850%, 06/15/02............. 2,904,109 NATIONSBANK CORP (SUBORDINATED NOTE) 3,000,000 7.250%, 10/15/25............. 3,113,040 PNC FUNDING CORP (SUBORDINATED CV DEB) 5,000,000 7.875%, 04/15/05............. 5,515,100 SWISS BANK CORP (SUBORDINATED DEB) 3,000,000 7.000%, 10/15/15............. 3,118,380 ---------- 34,595,477 ---------- BROADCASTERS--0.77% CABLEVISION INDUSTRIES CORP (SR NOTE) 3,000,000 10.750%, 01/30/02............ 3,240,000 VIACOM, INC (SR NOTE) 3,000,000 7.750%, 06/01/05............. 3,185,910 ---------- 6,425,910 ---------- See notes to financial statements. -20- PAR VALUE VALUE ----- ----- ELECTRICAL EQUIPMENT--0.36% DIGITAL EQUIPMENT CORP DEB 3,000,000 7.750%, 04/01/23............. $ 2,983,350 ---------- FINANCIAL--MISCELLANEOUS--3.32% AMERICAN EXPRESS MASTER TRUST SERIES 1992-1 (ACCTS REC TRUST CERT) 3,000,000 6.050%, 06/15/98............. 3,024,360 ARISTAR, INC (SR NOTE) 3,000,000 7.750%, 06/15/01............. 3,239,040 BEAR STEARNS COS, INC NOTE 2,000,000 6.750%, 04/15/03............. 2,052,520 CITICORP MORTGAGE SECURITIES, INC SERIES 88-6 (CLASS A-3) 1,116,182 7.250%, 11/01/11............. 1,107,810 DISCOVER CARD TRUST I SERIES 93-2 (CREDIT CARD PASS-THRU CERT) 3,000,000 5.400%, 11/16/01............. 2,990,610 FINOVA CAPTIAL CORP NOTE 5,000,000 6.625%, 09/15/01............. 5,143,600 FINANCIAL--MISCELLANEOUS--3.32% GENERAL MOTORS ACCEPTANCE CORP NOTE 5,000,000 6.625%, 10/01/02............. 5,137,200 MBNA MASTER CREDIT CARD TRUST SERIES 1991-1 (ASSET BACKED CERT) 2,000,000 7.750%, 10/15/98............. 2,030,620 PAINE WEBBER GROUP, INC (SR NOTE) 3,000,000 6.500%, 11/01/05............. 2,920,350 ---------- 27,646,110 ---------- FOODS--1.38% CARGILL, INC (SR NOTE) 3,000,000 7.375%, 10/01/25............. 3,227,490 GRAND METROPOLITAN INVESTMENT CORP (GUARANTEED NOTE) 2,000,000 8.125%, 08/15/96............. 2,028,320 HERSHEY FOODS CORP NOTE 3,000,000 6.700%, 10/01/05............. 3,136,110 NABISCO, INC DEB 3,000,000 7.550%, 06/15/15............. 3,122,310 ---------- 11,514,230 ---------- HEALTHCARE--HOSPITAL SUPPLY--0.38% TENET HEALTHCARE CORP (SR NOTE) 3,000,000 8.625%, 12/01/03............. 3,150,000 ---------- INSURANCE--LIFE--0.36% HANCOCK (JOHN) MUTUAL LIFE INSURANCE CO (SURPLUS NOTE) 3,000,000 7.375%, 02/15/24.............. 3,002,190 ---------- PAPER--0.99% GEORGIA PACIFIC CORP DEB 2,000,000 8.625%, 04/30/25............. 2,201,680 3,000,000 7.375%, 12/01/25............. 2,991,630 SMURFIT CAPITAL FUNDING PLC (GUARANTEED NOTE) 3,000,000 6.750%, 11/20/05............. 3,076,950 ---------- 8,270,260 ---------- PROPERTY--REAL ESTATE--0.26% ROUSE CO NOTE 2,000,000 8.500%, 01/15/03............. $ 2,184,600 ---------- PUBLISHING--NEWSPAPER--0.61% NEWS AMERICA HOLDINGS, INC DEB 5,000,000 7.600%, 10/11/15............. 5,113,750 ---------- RAILROAD--0.36% BURLINGTON NORTHERN SANTA FE CORP NOTE 3,000,000 6.375%, 12/15/05............. 3,013,080 ---------- RESTAURANTS & HOTELS--0.53% MARRIOTT INTERNATIONAL, INC NOTE 4,000,000 7.875%, 04/15/05............. 4,394,440 ---------- RETAIL--GENERAL MERCHANDISE--0.54% WAL-MART STORES, INC NOTE 4,000,000 8.625%, 04/01/01............. 4,480,560 ---------- TRUCKERS & SHIPPING--0.62% AMERICAN PRESIDENT COS LTD (SR NOTE) 5,000,000 7.125%, 11/15/03............. 5,144,750 ---------- UTILITIES--ELECTRIC--2.12% COLUMBIA GAS SYSTEMS, INC DEB 4,500,000 6.800%, 11/28/05............. 4,628,655 COMMONWEALTH EDISON CO (FIRST MTGE BOND) 3,000,000 7.625%, 04/15/13............. 3,112,350 HYDRO QUEBEC DEB 3,000,000 8.000%, 02/01/13.............. 3,331,740 TEXAS NEW MEXICO POWER CO (SECURED DEB) 3,000,000 12.500%, 01/15/99............ 3,375,000 TEXAS UTILITIES ELECTRIC CO (FIRST MTGE BOND) 3,000,000 7.875%, 03/01/23............. 3,220,770 ---------- 17,668,515 ---------- UTILITIES--GAS & PIPELINE--0.64% ENRON CORP NOTE 5,000,000 7.125%, 05/15/07............. 5,291,500 ---------- UTILITIES--TELEPHONE--1.45% CENTURY TELEPHONE ENTERPRISES, INC NOTE SERIES C 3,000,000 6.550%, 12/01/05............. 3,060,090 CINCINNATI BELL, INC NOTE 2,000,000 6.700%, 12/15/97............. 2,035,420 NORTHWESTERN BELL TELEPHONE CO NOTE 1,000,000 9.500%, 05/01/00............. 1,139,330 SOUTHWESTERN BELL TELEPHONE CO DEB 3,000,000 6.625%, 09/01/24............ 2,916,210 U.S. WEST COMMUNICATIONS, INC DEB 3,000,000 6.875%, 09/15/33............ 2,943,060 ---------- 12,094,110 ---------- TOTAL CORPORATE BONDS (COST $ 163,813,745)............. 169,669,942 ----------- See notes to financial statements. -21- PAR VALUE VALUE ----- ----- GOVERNMENT BONDS--78.00% AGENCY SECURITIES--3.96% FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 5,000,000 5.640%, 11/23/98............... $ 5,035,150 5,000,000 6.670%, 09/05/00............... 5,083,600 3,000,000 8.250%, 12/18/00............... 3,341,250 5,000,000 6.240%, 01/28/04............... 5,008,700 5,000,000 6.850%, 08/22/05............... 5,342,200 5,000,000 6.850%, 09/12/05............... 5,127,350 TENNESSE VALLEY AUTHORITY POWER BOND SERIES D 4,000,000 6.000%, 11/01/00............... 4,066,240 ---------- 33,004,490 ---------- FOREIGN GOVERNMENT BONDS--1.48% MALAYSIA GOVERNMENT BOND 5,000,000 9.875%, 09/27/00............... 5,802,288 PROVINCE OF QUEBEC DEB 3,000,000 7.500%, 07/15/23............... 3,144,960 REPUBLIC OF FINDLAND NOTE 3,000,000 7.875%, 07/28/04............... 3,373,530 ---------- 12,320,778 ---------- MORTGAGE BACKED SECURITIES--26.40% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 4,930,434 5.500%, 09/01/00............... 4,893,455 580,486 8.000%, 03/01/23............... 601,708 690,260 8.000%, 04/01/23............... 717,870 3,857,292 7.000%, 05/01/23............... 3,899,683 4,900,000 6.500%, 12/01/25............... 4,846,394 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 5,029,283 7.500%, 08/01/01............... 5,147,119 5,131,609 7.000%, 04/01/09............... 5,226,184 19,139,315 6.500%, 05/01/09............... 19,235,011 3,765,331 8.000%, 03/01/10............... 3,904,158 950,827 8.000%, 06/01/10............... 985,883 4,989,735 7.500%, 11/01/10............... 5,131,593 2,000,000 7.000%, 01/25/11............... 2,036,875 1,960,890 9.000%, 02/01/25............... 2,065,052 981,343 9.000%, 03/01/25............... 1,033,471 1,961,546 9.000%, 03/01/25............... 2,065,743 5,423,864 8.500%, 05/01/25............... 5,661,158 6,591,296 8.000%, 06/01/25............... 6,826,077 1,000,372 8.000%, 07/01/25............... 1,036,005 12,911,858 7.000%, 08/01/25............... 13,016,702 6,564,340 8.500%, 08/01/25............... 6,851,529 983,137 6.500%, 09/01/25............... 971,457 980,212 6.500%, 09/01/25............... 968,567 980,000 7.000%, 10/01/25............... 987,957 980,000 7.000%, 11/01/25............... 987,957 980,001 7.000%, 11/01/25............... 987,958 980,001 7.000%, 11/01/25............... 987,958 4,900,000 6.500%, 12/01/25............... 4,841,812 980,000 6.500%, 12/01/25............... 968,362 1,980,000 8.000%, 12/01/25............... 2,050,527 980,000 6.500%, 12/01/25............... 968,362 980,001 7.000%, 12/01/25............... 987,958 1,014,341 8.000%, 12/01/25............... 1,050,476 980,000 8.000%, 12/01/25............... 1,014,907 980,000 6.500%, 12/01/25............... 968,362 980,000 8.000%, 01/01/26............... 1,014,912 10,000,000 7.500%, 01/25/26............... 10,243,750 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 862,760 8.500%, 10/15/09............... 905,898 807,552 8.500%, 12/15/09............... 847,929 905,135 8.500%, 12/15/09............... 950,391 808,757 8.500%, 01/15/10............... 849,194 846,766 8.500%, 01/15/10............... 889,104 332,997 9.000%, 06/15/16............... 355,783 325,854 9.000%, 08/15/16............... 348,152 325,651 9.000%, 09/15/16............... 347,935 330,874 9.000%, 09/15/16............... 353,257 312,815 9.000%, 09/15/16............... 334,220 312,102 9.000%, 10/15/16............... 333,215 319,246 9.000%, 11/15/16............... 341,092 520,985 9.000%, 12/15/16............... 556,229 316,291 9.000%, 12/15/16............... 337,688 295,110 9.000%, 07/15/17............... 315,534 326,317 9.000%, 06/15/20............... 347,628 4,937,597 6.500%, 01/15/24............... 4,897,454 20,021,342 7.000%, 02/15/24............... 20,258,995 2,880,146 6.500%, 03/15/24............... 2,856,730 4,686,926 8.000%, 06/15/24............... 4,883,167 834,224 8.500%, 11/15/24............... 875,935 1,419,764 9.000%, 01/15/25............... 1,504,055 1,648,860 9.000%, 01/15/25............... 1,746,752 1,618,876 9.000%, 01/15/25............... 1,714,988 1,740,257 9.000%, 01/15/25............... 1,843,576 1,455,235 9.000%, 01/15/25............... 1,541,632 2,313,348 9.000%, 01/15/25............... 2,450,691 1,279,194 9.000%, 01/15/25............... 1,355,139 890,557 8.500%, 04/15/25............... 935,084 427,950 8.500%, 05/15/25............... 449,347 1,848,073 8.500%, 06/15/25............... 1,940,476 941,833 8.500%, 06/15/25............... 988,924 975,714 8.500%, 06/15/25............... 1,024,499 2,027,132 8.000%, 06/15/25............... 2,112,008 887,060 8.500%, 06/15/25............... 931,413 975,865 8.500%, 06/15/25............... 1,024,658 919,498 8.500%, 06/15/25............... 965,472 3,026,391 8.000%, 08/15/25............... 3,153,105 23,000,000 7.500%, 12/15/25............... 23,646,875 1,960,000 7.000%, 12/15/25............... 1,982,662 RESOLUTION TRUST CORP SERIES 1992-8 (CLASS A-2) (MTGE PASS-THRU CERT) 1,379,176 8.250%, 12/25/26............... 1,387,544 ------------ 220,067,382 ------------ See notes to financial statements. -22- PAR VALUE VALUE ----- ----- U.S. TREASURY SECURITIES--46.16% U.S. TREASURY BONDS 21,000,000 * 7.250%, 05/15/16............... $ 23,979,270 10,000,000 8.000%, 11/15/21............... 12,512,500 12,500,000 7.125%, 02/15/23............... 14,293,000 30,000,000 7.625%, 02/15/25............... 36,684,300 U.S. TREASURY NOTES 15,000,000 6.875%, 03/31/97............... 15,295,350 26,000,000 8.500%, 05/15/97............... 27,113,060 9,000,000 6.125%, 05/31/97............... 9,109,710 15,000,000 8.875%, 11/15/97............... 15,965,550 19,000,000 6.125%, 05/15/98............... 19,380,000 22,000,000 8.250%, 07/15/98............... 23,546,820 26,000,000 * 8.875%, 02/15/99............... 28,665,000 25,000,000 7.750%, 11/30/99............... 27,089,750 13,000,000 7.750%, 01/31/00............... 14,121,250 25,000,000 8.750%, 08/15/00............... 28,394,500 23,000,000 7.500%, 11/15/01............... 25,332,430 37,000,000 5.750%, 08/15/03............... 37,445,110 14,000,000 7.250%, 05/15/04............... 15,540,000 5,000,000 7.250%, 08/15/04............... 5,560,150 4,000,000 7.875%, 11/15/04............... 4,630,000 ------------ 384,657,750 ------------ TOTAL GOVERNMENT BONDS (COST $625,961,004)................. 650,050,400 ------------ TOTAL BONDS (COST $789,774,749)................. 819,720,342 ------------ SHORT TERM INVESTMENTS--1.86% COMMERCIAL PAPER--1.86% COOPER INDUSTRIES, INC 10,500,000 5.900%, 01/02/96................ 10,497,071 HAWAIIAN ELECTRIC INDUSTRIES, INC 5,000,000 6.000%, 01/16/96............... 4,986,766 ------------ 15,483,837 ------------ TOTAL SHORT TERM INVESTMENTS (COST $15,485,779) ................ 15,483,837 ------------ ROUNDING......................... 41 ------------ TOTAL PORTFOLIO (COST $805,260,528) ............... $835,204,220 ============ - ------------- * ALL OR A PORTION OF THIS SECURITY HAS BEEN SEGREGATED BY THE CUSTODIAN TO COVER SECURITIES PURCHASED ON A DELAYED DELIVERY BASIS. See notes to financial statements. -23- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT DECEMBER 31, 1995 SUMMARY VALUE % ----- ------ BONDS CORPORATE BONDS AIR TRANSPORTATION.................. $ 2,949,109 0.25% BANKS............................... 24,280,359 2.09 BROADCASTERS........................ 5,411,677 0.46 BUSINESS SERVICES................... 1,111,330 0.10 CONGLOMERATES....................... 1,992,840 0.17 FINANCIAL--MISCELLANEOUS............ 12,474,056 1.07 FOODS............................... 9,970,360 0.86 HEALTHCARE--HOSPITAL SUPPLY......... 2,225,000 0.19 PETROLEUM--EXPLORATION & PRODUCTION. 3,135,930 0.27 PROPERTY--REAL ESTATE............... 3,276,900 0.28 RETAIL--FOOD........................ 2,180,000 0.19 RETAIL--GENERAL MERCHANDISE......... 9,464,960 0.81 UTILITIES--ELECTRIC................. 18,468,400 1.59 UTILITIES--TELEPHONE................ 10,272,257 0.88 ------------ ------ TOTAL CORPORATE BONDS (COST $ 102,306,586)................. 107,213,178 9.21 ------------ ------ GOVERNMENT BONDS AGENCY SECURITIES..................... 13,327,860 1.15 MORTGAGE BACKED SECURITIES............ 115,591,562 9.93 U.S. TREASURY SECURITIES.............. 202,402,340 17.38 ------------ ------ TOTAL GOVERNMENT BONDS (COST $ 318,793,764)................... 331,321,762 28.46 ------------ ------ TOTAL BONDS (COST $ 421,100,350)..................... 438,534,940 37.67 ------------ ------ COMMON STOCK AIR TRANSPORTATION...................... 8,099,024 0.69 AUTOMOTIVE & RELATED.................... 10,099,150 0.87 BANKS................................... 53,519,511 4.60 BEVERAGES............................... 24,928,462 2.14 BROADCASTERS............................ 13,956,538 1.20 BUSINESS SERVICES....................... 3,302,768 0.28 CHEMICALS--MAJOR........................ 4,996,675 0.43 CHEMICALS--SPECIALTY.................... 13,441,361 1.15 COMMUNICATION EQUIPMENT & SERVICES...... 6,829,341 0.59 COMPUTER SERVICE........................ 17,931,730 1.54 CONGLOMERATES........................... 15,213,450 1.31 COSMETICS............................... 9,732,787 0.84 ELECTRICAL EQUIPMENT.................... 2,401,168 0.21 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED................. 17,522,706 1.50 ELECTRICAL EQUIPMENT--INSTRUMENTS....... 1,716,750 0.15 FINANCIAL--MISCELLANEOUS................ 31,848,127 2.73 FOODS................................... 39,264,193 3.37 HEALTHCARE--DRUGS....................... 42,232,747 3.63 HEALTHCARE--HOSPITAL SUPPLY............. 21,322,750 1.83 HEALTHCARE--OTHER....................... 4,217,212 0.36 HEALTHCARE--SERVICE..................... 5,421,278 0.46 HOUSEHOLD--DURABLE GOODS................ 5,068,275 0.43 HOUSEHOLD--PRODUCTS..................... 21,997,662 1.89 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY.................... 30,944,258 2.66 LEISURE TIME............................ 10,489,464 0.90 MACHINERY............................... 11,736,272 1.01 METALS--ALUMINIUM....................... 2,701,125 0.23 METALS--GOLD............................ 3,388,937 0.29 METALS--STEEL........................... 8,569,339 0.74 OFFICE EQUIPMENT........................ 33,137,662 2.85 PAPER................................... 13,438,087 1.15 PETROLEUM-- EXPLORATION & PRODUCTION............... 17,887,061 1.54 PETROLEUM--SERVICE...................... 18,541,609 1.59 PROPERTY--REAL ESTATE................... 4,130,600 0.35 PUBLISHING--NEWSPAPER................... 10,247,576 0.88 PUBLISHING--OTHER....................... 10,590,782 0.91 RAILROAD................................ 11,144,250 0.96 RESTAURANTS & HOTELS.................... 13,360,887 1.15 RETAIL--FOOD............................ 3,607,862 0.31 RETAIL--GENERAL MERCHANDISE............. 23,743,548 2.04 TEXTILE & APPAREL....................... 4,657,725 0.40 TRUCKERS & SHIPPING..................... 3,037,262 0.26 UTILITIES--ELECTRIC..................... 20,138,812 1.73 UTILITIES--GAS & PIPELINE............... 18,948,649 1.63 UTILITIES--TELEPHONE.................... 66,444,627 5.71 -------------- ------ TOTAL COMMON STOCK (COST $ 523,572,512)..................... 715,950,059 61.49 -------------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER....................... 20,055,401 1.72 -------------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $ 20,059,566)...................... 20,055,401 1.72 -------------- ------ ROUNDING............................... 74 0.00 -------------- ------ TOTAL PORTFOLIO (COST $ 964,732,428)..................... 1,174,540,474 100.88 OTHER ASSETS & LIABILITIES, NET........ (10,221,575) (0.88) -------------- ------ NET ASSETS............................... $1,164,318,899 100.00% ============== ====== See notes to financial statements. -24- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT DECEMBER 31, 1995 PAR VALUE VALUE ----- ----- BONDS--37.67% CORPORATE BONDS--9.21% AIR TRANSPORTATION--0.25% DELTA AIRLINES, INC SERIES 1992-B1 (PASS-THRU CERT) 2,700,081 8.270%, 09/23/07.................. $ 2,949,109 ----------- BANKS--2.09% BANK OF NEW YORK (SUBORDINATED NOTE) 1,000,000 7.625%, 07/15/02.................. 1,080,560 BANKAMERICA CORP (SUBORDINATED NOTE) 2,000,000 9.750%, 07/01/00.................. 2,280,460 FIRST CHICAGO MASTER TRUST II SERIES 1992-E (ASSET BACKED CERT) 4,000,000 6.250%, 08/15/99.................. 4,042,480 FLEET FINANCIAL GROUP, INC NOTE 3,000,000 7.625%, 12/01/99.................. 3,167,670 GREAT WESTERN FINANCIAL CORP NOTE 3,000,000 6.375%, 07/01/00.................. 3,043,290 MORGAN (J.P.) & CO, INC (SUBORDINATED NOTE) 2,000,000 6.250%, 12/15/05.................. 2,011,707 NATIONSBANK CORP (SUBORDINATED NOTE) 2,000,000 7.250%, 10/15/25.................. 2,075,360 PNC FUNDING CORP (SUBORDINATED NOTE) 2,000,000 6.875%, 03/01/03.................. 2,066,080 U.S. BANCORP (SUBORDINATED NOTE) 1,000,000 8.125%, 05/15/02.................. 1,091,920 WELLS FARGO & CO (SUBORDINATED NOTE 3,000,000 8.750%, 05/01/02.................. 3,420,832 ----------- 24,280,359 ----------- BROADCASTERS--0.46% VIACOM, INC NOTE 2,000,000 6.750%, 01/15/03.................. 2,017,180 VIACOM, INC (SR NOTE) 3,000,000 7.750%, 06/01/05.................. 3,185,910 VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 205,000 8.000%, 07/07/06.................. 208,587 ----------- 5,411,677 ----------- BUSINESS SERVICES--0.10% DELUXE CORP NOTE 1,000,000 8.550%, 02/15/01.................. 1,111,330 ----------- CONGLOMERATES--0.17% ALCO STANDARD CORP BOND 2,000,000 6.750%, 12/01/25.................. 1,992,840 ----------- FINANCIAL--MISCELLANEOUS--1.07% AMERICAN EXPRESS CREDIT CORP NOTE 2,000,000 6.125%, 11/15/01.................. 2,017,280 ARISTAR, INC SR NOTE 1,000,000 7.750%, 06/15/01.................. 1,079,680 DISCOVER CARD TRUST SERIES 1993-B (PASS-THRU CERT) 3,000,000 6.750%, 02/15/00.................. 3,102,180 HOUSEHOLD INTERNATIONAL NETHERLANDS BV SR NOTE 3,000,000 5.250%, 10/15/98.................. 2,958,510 MERRILL LYNCH & CO (MEDIUM TERM NOTE) 3,125,000 7.375%, 08/17/02.................. 3,316,406 ------------ 12,474,056 ------------ FOODS--0.86% CAMPBELL SOUP CO DEB 1,000,000 8.875%, 05/01/21.................. 1,281,260 CAMPBELL SOUP CO NOTE 2,000,000 5.625%, 09/15/03.................. 1,933,280 CONAGRA, INC (SUBORDINATED NOTE) 1,000,000 9.750%, 03/01/21.................. 1,301,660 HERSHEY FOODS CORP DEB 1,000,000 8.800%, 02/15/21.................. 1,272,680 HERSHEY FOODS CORP NOTE 4,000,000 6.700%, 10/01/05.................. 4,181,480 ------------ 9,970,360 ------------ HEALTHCARE--HOSPITAL SUPPLY--0.19% TENET HEALTHCARE CORP (SR SUBORDINATED NOTE) 2,000,000 10.125%, 03/01/05................. 2,225,000 ------------ PETROLEUM--EXPLORATION & PRODUCTION--0.27% LOUISIANA LAND & EXPLORATION CO DEB 3,000,000 7.650%, 12/01/23.................. 3,135,930 ------------ PROPERTY--REAL ESTATE--0.28% ROUSE CO NOTE 3,000,000 8.500%, 01/15/03.................. 3,276,900 ------------ RETAIL--FOOD--0.19% KROGER CO (SR SUBORDINATED NOTE) 2,000,000 10.000%, 05/01/99................. 2,180,000 ------------ RETAIL--GENERAL MERCHANDISE--0.81% DILLIARD DEPARTMENT STORES, INC NOTE 2,000,000 7.150%, 09/01/02.................. 2,121,140 MAY DEPARTMENT STORES CO NOTE 3,000,000 7.150%, 08/15/04.................. 3,182,700 WAL-MART STORES, INC DEB 2,000,000 7.250%, 06/01/13.................. 2,140,120 WAL-MART STORES, INC NOTE 2,000,000 6.125%, 10/01/99.................. 2,021,000 ------------ 9,464,960 ------------ UTILITIES--ELECTRIC--1.59% COLUMBIA GAS SYSTEMS, INC DEB 3,000,000 6.800%, 11/28/05.................. 3,085,770 IDAHO POWER CO (FIRST MTGE BOND) 1,000,000 8.650%, 01/01/00.................. 1,090,730 POTOMAC ELECTRIC POWER CO (FIRST MTGE BOND) 5,000,000 7.250%, 07/01/23.................. 5,227,000 PUGET SOUND POWER & LIGHT CO (MEDIUM TERM NOTE) 5,000,000 8.060%, 06/19/06.................. 5,689,900 TEXAS NEW MEXICO POWER CO (SECURED DEB) 3,000,000 12.500%, 01/15/99................. 3,375,000 ------------ 18,468,400 ------------ See notes to financial statements. -25- PAR VALUE VALUE ----- ----- UTILITIES--TELEPHONE--0.88% NEW YORK TELEPHONE CO DEB 3,000,000 7.250%, 02/15/24.................. $ 3,083,817 PACIFIC NORTHWEST BELL TELEPHONE CO NOTE 1,500,000 7.500%, 12/01/96.................. 1,525,725 SOUTHWESTERN BELL TELEPHONE CO NOTE 3,000,000 6.250%, 10/15/02.................. 3,067,140 U.S. WEST COMMUNICATIONS, INC NOTE 2,500,000 6.625%, 09/15/05.................. 2,595,575 ------------ 10,272,257 ------------ TOTAL CORPORATE BONDS (COST $102,306,586) ................... 107,213,178 ------------ GOVERNMENT BONDS--28.46% AGENCY SECURITIES--1.15% FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 4,000,000 5.640%, 11/23/98.................. 4,028,120 3,000,000 6.670%, 09/05/00.................. 3,050,160 2,000,000 6.375%, 10/13/00.................. 2,032,820 1,000,000 8.250%, 12/18/00.................. 1,113,750 2,000,000 6.240%, 01/28/04.................. 2,003,480 1,000,000 7.400%, 07/01/04.................. 1,099,530 ------------ 13,327,860 ------------ MORTGAGE BACKED SECURITIES--9.93% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 760,921 8.000%, 12/01/22.................. 788,945 484,321 8.000%, 01/01/23.................. 502,158 954,337 8.000%, 05/01/23.................. 989,227 1,543,828 7.000%, 05/01/23.................. 1,560,794 980,001 7.000%, 11/01/25.................. 988,879 980,000 7.000%, 12/01/25.................. 988,575 980,000 7.000%, 12/01/25.................. 988,575 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 5,029,283 7.500%, 08/01/01.................. 5,147,119 924,867 8.000%, 12/01/09.................. 958,966 941,333 8.000%, 03/01/10.................. 976,039 989,318 8.000%, 04/01/10.................. 1,025,794 950,827 8.000%, 06/01/10.................. 985,883 5,000,000 7.000%, 01/25/11.................. 5,092,187 7,000,000 6.500%, 01/25/11.................. 7,035,000 980,001 8.000%, 09/01/24.................. 1,014,908 3,780,436 8.500%, 03/01/25.................. 3,945,830 4,554,716 9.000%, 04/01/25.................. 4,796,662 980,343 9.000%, 04/01/25.................. 1,032,418 981,567 9.000%, 04/01/25.................. 1,033,707 980,087 8.000%, 05/01/25.................. 1,014,997 980,763 9.000%, 06/01/25.................. 1,032,861 996,360 6.500%, 08/01/25.................. 984,523 3,768,348 8.000%, 09/01/25.................. 3,902,576 5,044,674 7.500%, 09/01/25.................. 5,169,176 1,019,022 7.000%, 10/01/25.................. 1,027,296 2,940,000 6.500%, 10/01/25.................. 2,905,072 3,920,000 6.500%, 10/01/25.................. 3,873,430 1,008,500 7.000%, 12/01/25.................. 1,016,378 1,001,550 7.000%, 12/01/25.................. 1,009,374 980,000 8.000%, 12/01/25.................. 1,014,912 1,004,925 7.000%, 12/01/25.................. 1,012,775 1,004,688 7.000%, 12/01/25.................. 1,012,846 1,020,000 7.000%, 12/01/25.................. 1,027,968 980,000 7.000%, 12/01/25.................. 987,656 992,434 7.000%, 12/01/25.................. 1,000,187 980,000 7.000%, 12/01/25.................. 987,656 980,000 6.500%, 12/01/25.................. 968,362 980,000 8.000%, 12/01/25.................. 1,014,912 980,000 7.000%, 12/01/25.................. 987,957 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 909,031 8.500%, 09/15/09.................. 954,482 888,179 8.500%, 10/15/09.................. 932,587 949,823 8.500%, 12/15/09.................. 997,314 813,318 9.000%, 03/15/20.................. 866,435 270,468 9.000%, 08/15/20.................. 288,132 4,295,584 7.000%, 10/15/23.................. 4,346,572 2,697,644 7.000%, 11/15/23.................. 2,729,665 5,372,435 7.000%, 02/15/24.................. 5,436,205 1,965,897 8.000%, 06/15/24.................. 2,048,209 905,325 9.000%, 01/15/25.................. 959,074 579,382 9.000%, 01/15/25.................. 613,779 1,099,150 9.000%, 01/15/25.................. 1,164,406 948,324 8.500%, 05/15/25.................. 995,740 924,037 8.500%, 06/15/25.................. 970,238 883,969 8.500%, 06/15/25.................. 928,167 724,491 8.500%, 06/15/25.................. 760,715 939,600 8.500%, 06/15/25.................. 986,580 1,010,858 8.000%, 08/15/25.................. 1,053,182 1,008,796 8.000%, 08/15/25.................. 1,051,034 990,413 7.000%, 12/15/25.................. 1,001,864 980,000 7.000%, 12/15/25.................. 991,331 7,000,000 7.500%, 12/15/25.................. 7,196,875 1,004,769 7.000%, 12/15/25.................. 1,016,386 1,011,639 7.000%, 12/15/25.................. 1,023,336 980,000 7.000%, 12/15/25.................. 991,331 3,000,000 7.000%, 01/15/26.................. 3,034,687 RESOLUTION TRUST CORP SERIES 1992-8 (CLASS A-2) (MTGE PASS-THRU CERT) 447,938 8.250%, 12/25/26.................. 450,656 ------------ 115,591,562 ------------ U.S. TREASURY SECURITIES--17.38% U.S. TREASURY BONDS 3,000,000 9.375%, 02/15/06.................. 3,855,480 16,000,000 7.250%, 05/15/16.................. 18,269,920 4,000,000 7.625%, 11/15/22.................. 4,831,880 4,000,000 7.125%, 02/15/23.................. 4,573,760 17,000,000 7.625%, 02/15/25.................. 20,787,770 U.S. TREASURY NOTES 4,000,000 * 6.500%, 11/30/96.................. 4,042,480 16,000,000 8.000%, 01/15/97.................. 16,437,440 6,000,000 * 6.875%, 03/31/97.................. 6,118,140 6,000,000 7.375%, 11/15/97.................. 6,226,860 12,000,000 7.250%, 02/15/98.................. 12,478,080 2,000,000 5.125%, 02/28/98.................. 1,996,560 4,000,000 5.125%, 03/31/98.................. 3,993,120 5,000,000 9.000%, 05/15/98.................. 5,414,050 12,000,000 6.125%, 05/15/98.................. 12,240,000 3,000,000 * 6.750%, 05/31/99.................. 3,133,590 14,000,000 * 6.875%, 07/31/99.................. 14,700,000 15,000,000 7.750%, 11/30/99.................. 16,253,850 3,000,000 7.750%, 01/31/00.................. 3,258,750 3,000,000 8.500%, 02/15/00.................. 3,343,110 2,000,000 8.750%, 08/15/00.................. 2,271,560 3,000,000 7.750%, 02/15/01.................. 3,312,660 3,000,000 8.000%, 05/15/01.................. 3,358,110 10,000,000 * 7.500%, 11/15/01.................. 11,014,100 4,000,000 5.750%, 08/15/03.................. 4,048,120 See notes to financial statements. -26- PAR VALUE VALUE ----- ----- U.S. TREASURY SECURITIES (CONTINUED) 4,000,000 5.875%, 02/15/04.................. $ 4,084,360 5,000,000 7.250%, 05/15/04.................. 5,550,000 3,000,000 7.250%, 08/15/04.................. 3,336,090 3,000,000 7.875%, 11/15/04.................. 3,472,500 ------------ 202,402,340 ------------ TOTAL GOVERNMENT BONDS (COST $318,793,764).................... 331,321,762 ------------ TOTAL BONDS (COST $421,100,350).................... 438,534,940 ------------ SHARES ------ COMMON STOCK--61.49% AIR TRANSPORTATION--0.69% 32,900 o AMR CORP............................. 2,442,825 63,900 DELTA AIRLINES, INC.................. 4,720,612 11,450 SOUTHWEST AIRLINES CO................ 266,212 3,750 o UAL CORP NEW......................... 669,375 ------------ 8,099,024 ------------ AUTOMOTIVE & RELATED--0.87% 600 BANDAG, INC.......................... 32,475 28,300 CUMMINS ENGINE CO, INC............... 1,047,100 51,400 ECHLIN, INC.......................... 1,876,100 21,400 FEDERAL-MOGUL CORP................... 419,975 127,900 GENUINE PARTS CO..................... 5,243,900 31,200 GRACO, INC........................... 951,600 22,000 MODINE MANUFACTURING CO.............. 528,000 ------------ 10,099,150 ------------ BANKS--4.60% 124,150 BANC ONE CORP........................ 4,686,662 6,600 BANK OF NEW YORK CO, INC............. 321,750 113,100 BANKAMERICA CORP..................... 7,323,225 11,700 BANKERS TRUST NEW YORK CORP.......... 778,050 19,900 BARNETT BANKS, INC................... 1,174,100 45,400 CHEMICAL BANKING CORP................ 2,667,250 87,091 CITICORP............................. 5,856,869 68,340 FIRST CHICAGO NBD CORP............... 2,699,430 29,132 FIRST UNION CORP..................... 1,620,467 34,049 FLEET FINANCIAL GROUP, INC NEW....... 1,387,496 77,500 MORGAN (J.P.) & CO, INC.............. 6,219,375 63,286 NATIONSBANK CORP..................... 4,406,287 88,600 NORWEST CORP......................... 2,923,800 73,600 PNC BANK CORP........................ 2,373,600 49,500 SUNTRUST BANKS, INC.................. 3,390,750 58,400 WACHOVIA CORP NEW.................... 2,671,800 13,975 WELLS FARGO & CO..................... 3,018,600 ------------ 53,519,511 ------------ BEVERAGES--2.14% 242,800 COCA COLA CO......................... 18,027,900 123,500 PEPSICO, INC......................... 6,900,562 ------------ 24,928,462 ------------ BROADCASTERS--1.20% 72,500 CAPITAL CITIES/ABC, INC.............. 8,944,687 6,300 COMCAST CORP (CLASS A)............... 111,037 15,650 COMCAST CORP (CLASS A) SPL........... 284,634 27,275 o LIBERTY MEDIA GROUP CLASS A.......... 733,015 109,100 o TELE-COMMUNICATIONS, INC (CLASS A) NEW....................... 2,168,362 35,431 o VIACOM, INC (CLASS B)................ 1,678,543 5,873 o VIACOM, INC (CLASS B) WTS 07/07/97... 16,884 3,523 o VIACOM, INC (CLASS B) WTS 07/07/99... 19,376 ------------ 13,956,538 ------------ BUSINESS SERVICES--0.28% 12,600 DELUXE CORP.......................... 365,400 4,650 DIEBOLD, INC......................... 257,493 75,200 PREMIER INDUSTRIAL CORP NEW.......... 1,842,400 48,200 SENSORMATIC ELECTRONICS CORP......... 837,475 ------------ 3,302,768 ------------ CHEMICALS--MAJOR--0.43% 148,600 PRAXAIR, INC......................... 4,996,675 ------------ CHEMICALS--SPECIALTY--1.15% 26,900 BETZ LABORATORIES, INC............... 1,102,900 18,089 FULLER (H.B.) CO..................... 628,592 104,400 LYONDELL PETROCHEMICAL CO............ 2,388,150 33,800 MALLINCKRODT GROUP, INC.............. 1,229,475 49,500 NALCO CHEMICAL CORP.................. 1,491,187 9,000 NCH CORP............................. 519,750 11,500 RAYCHEM CORP......................... 654,062 80,462 SCHULMAN A, INC...................... 1,810,395 54,100 SIGMA ALDRICH CORP................... 2,677,950 22,900 WD-40 CO............................. 938,900 ------------ 13,441,361 ------------ COMMUNICATION EQUIPMENT & SERVICES--0.59% 107,082 o AIRTOUCH COMMUNICATIONS, INC......... 3,025,066 42,800 o CISCO SYSTEMS, INC................... 3,193,950 10,600 o DSC COMMUNICATIONS CORP.............. 390,875 15,400 o NOVELL, INC.......................... 219,450 ------------ 6,829,341 ------------ COMPUTER SERVICE--1.54% 46,000 AUTOMATIC DATA PROCESSING, INC....... 3,415,500 39,900 COMPUTER ASSOCIATES INTERNATIONAL, INC.................. 2,269,312 104,000 o MICROSOFT CORP....................... 9,126,000 73,650 o ORACLE CORP.......................... 3,120,918 ------------ 17,931,730 ------------ CONGLOMERATES--1.31% 19,400 ALCO STANDARD CORP................... 885,125 191,500 MINNESOTA MINING & MANUFACTURING CO.................... 12,686,875 70,600 WHITMAN CORP......................... 1,641,450 ------------ 15,213,450 ------------ COSMETICS--0.84% 34,300 AVON PRODUCTS, INC................... 2,585,362 136,200 GILLETTE CO.......................... 7,099,425 1,000 INTERNATIONAL FLAVORS & FRAGRANCES, INC..................... 48,000 ------------ 9,732,787 ------------ ELECTRICAL EQUIPMENT--0.21% 10,350 BALDOR ELECTRIC CO................... 208,293 33,100 GRAINGER (W.W.), INC................. 2,192,875 ------------ 2,401,168 ------------ ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--1.50% 28,900 o ADVANCED MICRO DEVICES, INC.......... 476,850 24,400 AVNET, INC........................... 1,091,900 182,600 INTEL CORP........................... 10,362,550 47,500 MICRON TECHNOLOGY, INC............... 1,882,187 16,093 MOLEX, INC........................... 510,952 43,200 o NATIONAL SEMICONDUCTOR CORP.......... 961,200 71,018 o VISHAY INTERTECHNOLOGY, INC.......... 2,237,067 ------------ 17,522,706 ------------ See notes to financial statements. -27- SHARES VALUE ------ ----- ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.15% 43,600 o APPLIED MATERIALS, INC............... $ 1,716,750 ------------ FINANCIAL--MISCELLANEOUS--2.73% 129,700 AMERICAN EXPRESS CO.................. 5,366,337 37,809 DEAN WITTER DISCOVER & CO............ 1,777,023 40,500 FEDERAL HOME LOAN MORTGAGE CORP...... 3,381,750 88,400 FEDERAL NATIONAL MORTGAGE ASSOCIATION................ 10,972,650 52,746 GREAT WESTERN FINANCIAL CORP......... 1,345,023 14,909 HOUSEHOLD INTERNATIONAL, INC......... 881,494 15,400 MBNA CORP............................ 567,875 65,500 MERRILL LYNCH & CO, INC.............. 3,340,500 34,800 MORGAN STANLEY GROUP, INC............ 2,805,750 21,400 STUDENT LOAN MARKETING ASSOCIATION......................... 1,409,725 ------------ 31,848,127 ------------ FOODS--3.37% 114,100 CAMPBELL SOUP CO..................... 6,846,000 119,700 CONAGRA, INC......................... 4,937,625 57,500 CPC INTERNATIONAL, INC............... 3,945,937 102,000 GENERAL MILLS, INC................... 5,890,500 118,050 HEINZ (H.J.) CO...................... 3,910,406 52,600 HERSHEY FOODS CORP................... 3,419,000 45,600 KELLOGG CO........................... 3,522,600 5,800 MCCORMICK & CO, INC.................. 139,925 107,600 QUAKER OATS CO....................... 3,712,200 56,000 WRIGLEY (WM) JR CO................... 2,940,000 ------------ 39,264,193 ------------ HEALTHCARE--DRUGS--3.63% 48,100 o ALZA CORP............................ 1,190,475 77,400 o AMGEN, INC........................... 4,595,625 9,922 BERGEN BRUNSWIG CORP (CLASS A)....... 246,809 24,600 o FOREST LABORATORIES, INC............. 1,113,150 18,400 o GENZYME CORP......................... 1,147,700 2,484 o GENZYME CORP (TISSUE REPAIR DIVISION)............ 39,433 23,400 IVAX CORP............................ 666,900 56,400 MCKESSON CORP NEW.................... 2,855,250 290,900 MERCK & CO, INC...................... 19,126,675 34,500 MYLAN LABORATORIES, INC.............. 810,750 189,800 SCHERING-PLOUGH CORP................. 10,391,550 6,680 o THERAPEUTIC DISCOVERY CORP (UNITS)... 48,430 ------------ 42,232,747 ------------ HEALTHCARE--HOSPITAL SUPPLY--1.83% 109,400 BECTON DICKINSON & CO................ 8,205,000 153,200 JOHNSON & JOHNSON.................... 13,117,750 ------------ 21,322,750 ------------ HEALTHCARE--OTHER--0.36% 12,000 ALLERGAN, INC........................ 390,000 12,800 BAUSCH & LOMB, INC................... 507,200 6,500 o BIOMET, INC.......................... 116,187 28,600 HILLENBRAND INDUSTRIES, INC.......... 968,825 40,000 MEDTRONIC, INC....................... 2,235,000 ------------ 4,217,212 ------------ HEALTHCARE--SERVICE--0.46% 85,537 COLUMBIA/HCA HEALTHCARE CORP......... 4,341,002 51,600 o TENET HEALTHCARE CORP................ 1,070,700 235 o TRANSPORT HOLDINGS, INC (CLASS A)...................... 9,576 ------------ 5,421,278 ------------ HOUSEHOLD--DURABLE GOODS--0.43% 65,400 NEWELL COS, INC...................... 1,692,225 63,400 WHIRLPOOL CORP....................... 3,376,050 ------------ 5,068,275 ------------ HOUSEHOLD--PRODUCTS--1.89% 66,100 CLOROX CO............................ 4,734,412 42,000 COLGATE PALMOLIVE CO................. 2,950,500 144,700 PROCTER & GAMBLE CO.................. 12,010,100 90,300 RUBBERMAID, INC...................... 2,302,650 ------------ 21,997,662 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--2.66% 32,700 AETNA LIFE & CASUALTY CO............. 2,264,475 97,153 ALLSTATE CORP........................ 3,995,417 193,030 AMERICAN INTERNATIONAL GROUP, INC.......................... 17,855,275 13,000 CHUBB CORP........................... 1,257,750 3,500 o CNA FINANCIAL CORP................... 397,250 12,800 GENERAL REINSURANCE CORP............. 1,984,000 3,100 TRANSAMERICA CORP.................... 225,912 47,144 TRAVELERS GROUP, INC................. 2,964,179 ------------ 30,944,258 ------------ LEISURE TIME--0.90% 118,400 DISNEY (WALT) CO..................... 6,985,600 38,600 HASBRO, INC.......................... 1,196,600 75,033 MATTEL, INC.......................... 2,307,264 ------------ 10,489,464 ------------ MACHINERY--1.01% 63,000 o BJ SERVICES CO....................... 1,827,000 98,700 DEERE & CO........................... 3,479,175 46,400 ILLINOIS TOOL WORKS, INC............. 2,737,600 87,500 KEYSTONE INTERNATIONAL, INC.......... 1,750,000 25,900 NORDSON CORP......................... 1,456,875 12,696 TIMKIN CO............................ 485,622 ------------ 11,736,272 ------------ METALS--ALUMINIUM--0.23% 88,200 o ALUMAX, INC.......................... 2,701,125 ------------ METALS--GOLD--0.29% 279,500 SANTE FE PACIFIC GOLD CORP........... 3,388,937 ------------ METALS--STEEL--0.74% 103,000 ALLEGHENY LUDLUM CORP................ 1,905,500 14,500 BIRMINGHAM STEEL CORP................ 215,687 30,500 HANNA (M.A.) CO...................... 854,000 64,100 NUCOR CORP........................... 3,661,712 92,850 WORTHINGTON INDUSTRIES, INC.......... 1,932,440 ------------ 8,569,339 ------------ OFFICE EQUIPMENT--2.85% 48,300 APPLE COMPUTER, INC.................. 1,539,562 68,900 o COMPAQ COMPUTER CORP................. 3,307,200 129,000 HEWLETT-PACKARD CO................... 10,803,750 135,900 INTERNATIONAL BUSINESS MACHINES CORP....................... 12,468,825 84,200 o TANDEM COMPUTERS, INC................ 894,625 30,100 XEROX CORP........................... 4,123,700 ------------ 33,137,662 ------------ PAPER--1.15% 149,400 CONSOLIDATED PAPERS, INC............. 8,385,075 106,100 UNION CAMP CORP...................... 5,053,012 ------------ 13,438,087 ------------ See notes to financial statements. -28- SHARES VALUE ------ ----- PETROLEUM--EXPLORATION & PRODUCTION--1.54% 56,800 ANADARKO PETROLEUM CORP.............. $ 3,074,300 41,500 APACHE CORP.......................... 1,224,250 57,700 LOUISIANA LAND & EXPLORATION CO...... 2,473,887 60,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS B)...................... 1,128,750 109,100 MURPHY OIL CORP...................... 4,527,650 78,200 NOBLE AFFILIATES, INC................ 2,336,225 157,500 o ORYX ENERGY CO....................... 2,106,562 105,500 o SANTA FE ENERGY RESOURCES, INC....... 1,015,437 ------------ 17,887,061 ------------ PETROLEUM--SERVICE--1.59% 17,700 CABOT CORP........................... 953,587 90,900 DRESSER INDUSTRIES, INC.............. 2,215,687 5,775 o ENSCO INTERNATIONAL, INC............. 132,825 81,700 HELMERICH & PAYNE, INC............... 2,430,575 102,900 o NABORS INDUSTRIES, INC............... 1,144,762 97,800 o NOBLE DRILLING CORP.................. 880,200 192,700 o PARKER DRILLING CO................... 1,180,287 123,900 o ROWAN COS, INC....................... 1,223,512 131,000 o SMITH INTERNATIONAL, INC............. 3,078,500 32,200 SONAT OFFSHORE DRILLING, INC......... 1,440,950 47,658 o WEATHERFORD ENTERRA, INC............. 1,376,124 49,200 o WESTERN ATLAS, INC................... 2,484,600 ------------ 18,541,609 ------------ PROPERTY--REAL ESTATE--0.35% 108,700 WEINGARTEN REALTY INVESTORS, INC..... 4,130,600 ------------ PUBLISHING--NEWSPAPER--0.88% 55,745 o COX COMMUNICATIONS, INC (CLASS A) NEW....................... 1,087,027 26,900 DOW JONES & CO, INC.................. 1,072,637 77,700 GANNETT CO, INC...................... 4,768,837 4,000 KNIGHT-RIDDER, INC................... 250,000 90,600 TIMES MIRROR CO (SERIES A) NEW....... 3,069,075 ------------ 10,247,576 ------------ PUBLISHING--OTHER--0.91% 16,400 DONNELLEY (R.R.) & SONS CO........... 645,750 68,900 DUN & BRADSTREET CORP................ 4,461,275 23,300 MCGRAW HILL COS, INC................. 2,030,012 91,188 TIME WARNER, INC..................... 3,453,745 ------------ 10,590,782 ------------ RAILROAD--0.96% 140,400 NORFOLK SOUTHERN CORP................ 11,144,250 ------------ RESTAURANTS & HOTELS--1.15% 102,000 DARDEN RESTAURANTS, INC.............. 1,211,250 217,100 MCDONALDS CORP....................... 9,796,637 72,400 SYSCO CORP........................... 2,353,000 ------------ 13,360,887 ------------ RETAIL--FOOD--0.31% 88,300 ALBERTSONS, INC...................... 2,902,862 18,800 o KROGER CO............................ 705,000 ------------ 3,607,862 ------------ RETAIL--GENERAL MERCHANDISE--2.04% 55,500 HOME DEPOT, INC...................... 2,657,062 148,600 K MART CORP.......................... 1,077,350 30,900 LIMITED, INC......................... 536,887 33,600 MAY DEPARTMENT STORES CO............. 1,419,600 53,600 PENNEY, (J.C.) CO, INC............... 2,552,700 20,600 ROUSE CO............................. 419,725 104,800 SEARS ROEBUCK & CO................... 4,087,200 45,950 o TOYS R US, INC....................... 999,412 415,500 WAL-MART STORES, INC................. 9,296,812 53,600 WOOLWORTH CORP....................... 696,800 ------------ 23,743,548 ------------ TEXTILE & APPAREL--0.40% 15,800 LIZ CLAIBORNE, INC................... 438,450 60,600 NIKE, INC (CLASS B).................. 4,219,275 ------------ 4,657,725 ------------ TRUCKERS & SHIPPING--0.26% 56,100 ARNOLD INDUSTRIES, INC............... 974,737 42,200 ROADWAY SERVICES, INC................ 2,062,525 ------------ 3,037,262 ------------ UTILITIES--ELECTRIC--1.73% 20,700 IDAHO POWER CO....................... 621,000 35,250 LOUISVILLE GAS & ELECTRIC ENERGY CORP......................... 1,489,312 118,700 NIPSCO INDUSTRIES, INC............... 4,540,275 279,800 POTOMAC ELECTRIC POWER CO............ 7,344,750 71,800 PUGET SOUND POWER & LIGHT CO......... 1,669,350 174,600 TECO ENERGY, INC..................... 4,474,125 ------------ 20,138,812 ------------ UTILITIES--GAS & PIPELINE--1.63% 19,400 BROOKLYN UNION GAS CO................ 567,450 20,900 o COLUMBIA GAS SYSTEMS, INC............ 916,987 109,000 CONSOLIDATED NATURAL GAS CO.......... 4,945,875 26,600 EL PASO NATURAL GAS CO NEW........... 754,775 18,900 EQUITABLE RESOURCES, INC............. 590,625 1,400 o IONICS, INC.......................... 60,900 37,100 NICOR, INC........................... 1,020,250 67,800 PACIFIC ENTERPRISES, INC............. 1,915,350 8,600 PEOPLES ENERGY CORP.................. 273,050 134,900 SONAT, INC........................... 4,805,812 70,600 WILLIAMS COS, INC.................... 3,097,575 ------------ 18,948,649 ------------ UTILITIES--TELEPHONE--5.71% 161,000 AMERITECH CORP NEW................... 9,499,000 166,300 BELL ATLANTIC CORP................... 11,121,312 335,000 BELLSOUTH CORP....................... 14,572,500 60,300 MCI COMMUNICATIONS CORP.............. 1,575,337 110,700 NYNEX CORP........................... 5,977,800 106,082 PACIFIC TELESIS GROUP................ 3,567,007 163,600 SBC COMMUNICATIONS, INC.............. 9,407,000 47,700 SPRINT CORP.......................... 1,902,037 161,144 U.S. WEST COMMUNICATIONS GROUP....... 5,760,898 161,144 o U.S. WEST MEDIA GROUP................ 3,061,736 ------------ 66,444,627 ------------ TOTAL COMMON STOCK (COST $523,572,512).................... 715,950,059 ------------ See notes to financial statements. -29- PAR VALUE VALUE ------ ----- SHORT TERM INVESTMENTS--1.72% COMMERCIAL PAPER--1.72% COMMERCIAL CREDIT CO 3,400,000 5.550%, 01/02/96..................$ 3,399,012 PRAXAIR 5,000,000 5.850%, 01/08/96.................. 4,993,264 11,700,000 5.850%, 01/19/96.................. 11,663,125 -------------- 20,055,401 -------------- TOTAL SHORT TERM INVESTMENTS (COST $20,059,566)..................... 20,055,401 -------------- ROUNDING............................. 74 -------------- TOTAL PORTFOLIO (COST $964,732,428)....................$1,174,540,474 ============== - ---------------- o NON-INCOME PRODUCING * ALL OR A PORTION OF THIS SECURITY HAS BEEN SEGREGATED BY THE CUSTODIAN TO COVER SECURITIES PURCHASED ON A DELAYED DELIVERY BASIS. See notes to financial statements. -30- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1995 SUMMARY BY INDUSTRY VALUE % ----- ----- BONDS CORPORATE BONDS AUTOMOTIVE & RELATED.............. $ 40,123 0.00% BROADCASTERS...................... 90,557 0.00 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY............. 108,943 0.00 -------------- ------ TOTAL CORPORATE BONDS (COST $176,095)................... 239,623 0.00 -------------- ------ TOTAL BONDS (COST $176,095).................... 239,623 0.00 -------------- ------ PREFERRED STOCK FOREST PRODUCTS................... 6,098,767 0.20 PUBLISHING--NEWSPAPER............. 43,870,240 1.42 UTILITIES--ELECTRIC............... 79,368 0.00 -------------- ------ TOTAL PREFERRED STOCK (COST $54,085,454)................. 50,048,375 1.62 -------------- ------ COMMON STOCK AEROSPACE......................... 12,749,460 0.41 AIR TRANSPORTATION................ 17,619,503 0.57 AUTOMOTIVE & RELATED.............. 136,963,769 4.42 BANKS............................. 297,316,343 9.59 BEVERAGES......................... 63,548,598 2.05 BROADCASTERS...................... 176,876,567 5.71 BUSINESS SERVICES................. 13,557,164 0.44 CHEMICALS--MAJOR.................. 36,330,761 1.17 CHEMICALS--SPECIALTY.............. 12,559,234 0.41 COMMUNICATION EQUIPMENT & SERVICES 100,251,162 3.24 COMPUTER SERVICE.................. 34,516,167 1.11 CONGLOMERATES..................... 76,786,331 2.48 CONSTRUCTION--MATERIALS & BUILDERS 54,831,056 1.77 COSMETICS......................... 7,365,343 0.24 ELECTRICAL EQUIPMENT.............. 120,690,143 3.89 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED.......... 63,236,723 2.04 ELECTRICAL EQUIPMENT--INSTRUMENTS. 16,854,476 0.54 ENVIRONMENTAL CONTROL............. 2,339,212 0.08 FINANCIAL--MISCELLANEOUS.......... 52,632,245 1.70 FOODS............................. 54,046,473 1.74 FOREST PRODUCTS................... 41,328,728 1.33 HEALTHCARE--DRUGS................. 135,023,270 4.36 HEALTHCARE--HOSPITAL SUPPLY....... 21,314,908 0.69 HEALTHCARE--OTHER................. 809,082 0.03 HEALTHCARE--SERVICE............... 116,927,422 3.77 HOUSEHOLD--CONSUMER ELECTRONICS... 30,878,839 1.00 HOUSEHOLD--DURABLE GOODS.......... 2,274,675 0.07 HOUSEHOLD--PRODUCTS............... 11,197,384 0.36 INSURANCE--BROKERS & OTHER........ 299,925 0.01 INSURANCE--LIFE................... 3,332,821 0.11 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY............. 69,817,684 2.25 LEISURE TIME...................... 102,129,542 3.30 MACHINERY......................... 69,318,516 2.24 METALS--ALUMINIUM................. 5,456,072 0.18 METALS--GOLD...................... 2,168,552 0.07 METALS--NON-FERROUS............... 25,105,980 0.81 METALS--STEEL..................... 35,943,884 1.16 MISCELLANEOUS MATERIALS & COMMODITIES..................... 6,310,213 0.20 OFFICE EQUIPMENT.................. 97,338,609 3.14 PAPER............................. 7,017,208 0.23 PETROLEUM-- EXPLORATION & PRODUCTION........ 26,925,735 0.87 PETROLEUM--INTEGRATED............. 50,264,989 1.62 PETROLEUM--SERVICE................ 80,325,234 2.59 PHOTOGRAPHY 5,433,700 0.18 PROPERTY--REAL ESTATE............. 41,624,026 1.34 PUBLISHING--NEWSPAPER............. 7,611,043 0.25 PUBLISHING--OTHER................. 46,203,839 1.49 RAILROAD.......................... 23,991,463 0.77 RESTAURANTS & HOTELS.............. 12,339,820 0.40 RETAIL--FOOD...................... 20,757,286 0.67 RETAIL--GENERAL MERCHANDISE....... 121,224,998 3.91 TEXTILE & APPAREL................. 18,821,888 0.61 TOBACCO........................... 82,506,433 2.66 TRADING COMPANIES................. 14,455,622 0.47 TRUCKERS & SHIPPING............... 26,104,510 0.84 UTILITIES--ELECTRIC............... 62,331,844 2.01 UTILITIES--GAS & PIPELINE......... 33,296,469 1.07 UTILITIES--OTHER.................. 15,877,456 0.51 UTILITIES--TELEPHONE.............. 71,590,786 2.31 -------------- ------ TOTAL COMMON STOCK (COST $2,557,751,362) ............. 2,896,751,185 93.48 -------------- ------ SHORT TERM INVESTMENTS BANKERS ACCEPTANCES .............. 7,959,335 0.26 COMMERCIAL PAPER ................. 108,159,683 3.49 GOVERNMENT AGENCIES .............. 133,677,242 4.31 -------------- ------ TOTAL SHORT TERM INVESTMENTS (COST $249,869,965) ............... 249,796,260 8.06 -------------- ------- ROUNDING ........................ 284 0.00 -------------- ------- TOTAL PORTFOLIO (COST $2,861,882,876) ............. 3,196,835,727 103.16 OTHER ASSETS & LIABILITIES, NET . (98,040,628) (3.16) -------------- ------ NET ASSETS ......................... $3,098,795,099 100.00% ============== ====== See notes to financial statements. -31- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1995 SUMMARY BY COUNTRY VALUE % ----- ---- DOMESTIC: UNITED STATES.................... $1,139,091,559 35.63% -------------- ------ TOTAL DOMESTIC................... 1,139,091,559 35.63 -------------- ------ FOREIGN: AUSTRALIA...................... 45,406,344 1.42 BELGIUM........................ 7,470,885 0.23 BRAZIL......................... 6,098,768 0.19 CANADA......................... 11,408,958 0.36 DENMARK........................ 3,758,313 0.12 FINLAND........................ 13,995,000 0.44 FRANCE......................... 73,598,935 2.30 GERMANY........................ 83,346,619 2.61 HONG KONG...................... 58,039,659 1.82 ITALY.......................... 14,942,995 0.47 JAPAN.......................... 718,267,564 22.47 MALAYSIA....................... 36,811,516 1.15 MISCELLEANEOUS................. 18,668,810 0.58 NETHERLANDS.................... 144,617,335 4.52 NORWAY......................... 45,364,850 1.42 SINGAPORE...................... 24,866,498 0.78 SPAIN.......................... 9,367,143 0.29 SWEDEN......................... 121,189,345 3.79 SWITZERLAND.................... 96,797,435 3.03 UNITED KINGDOM................. 273,930,936 8.57 -------------- ------ TOTAL FOREIGN.................... 1,807,947,908 56.56 -------------- ------ SHORT TERM INVESTMENTS........... 249,796,260 7.81 -------------- ------ TOTAL PORTFOLIO.................. $3,196,835,727 100.00% ============== ====== See notes to financial statements. -32- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1995 PAR VALUE VALUE - ----- ----- BONDS--0.00% CORPORATE BONDS--0.00% AUTOMOTIVE & RELATED--0.00% MICHELIN S.A. CV 743(1) 2.500%, 01/01/01................. $ 40,123 ------------ BROADCASTERS--0.00% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 89,000 8.000%, 07/07/06................. 90,557 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.00% AXA S.A. CV 1,531(1) 4.500%, 01/01/99................. 108,943 ------------ TOTAL CORPORATE BONDS (COST $176,095)....................... 239,623 ------------ TOTAL BONDS (COST $176,095)....................... 239,623 ------------ - -------- (1) DENOMINATED IN FRENCH FRANCS SHARES ------ PREFERRED STOCK--1.62% FOREST PRODUCTS--0.20% 3,900,000 ARACRUZ CELULOSE S.A................ 6,098,767 ------------ PUBLISHING--NEWSPAPER--1.42% 9,375,724 NEWS CORP LTD (LTD-VTG)............. 43,870,240 ------------ UTILITIES--ELECTRIC--0.00% 284 RHEIN-WESTFALEN ELECTRIC AG. (NON-VTG).......................... 79,368 ------------ TOTAL PREFERRED STOCK (COST $54,085,454).................... 50,048,375 ------------ COMMON STOCK--93.48% AEROSPACE--0.41% 34,900 AVIALL, INC NEW..................... 327,187 41,300 BOEING CO........................... 3,236,887 148,492 BRITISH AEROSPACE PLC............... 1,837,472 5,868 o BRITISH AEROSPACE PLC WTS 11/15/00...................... 28,425 33,200 EG & G, INC......................... 805,100 1,000 GENERAL DYNAMICS CORP............... 59,125 17,700 MCDONNELL DOUGLAS CORP.............. 1,628,400 321,250 ROLLS ROYCE LTD..................... 942,680 2,834 SAGEM S.A........................... 1,593,599 99,433 SMITHS INDUSTRIES PLC............... 981,854 58,665 THOMSON-CSF......................... 1,308,731 ------------ 12,749,460 ------------ AIR TRANSPORTATION--0.57% 216,385 BRITISH AIRWAYS PLC................. 1,565,570 15,700 o FEDERAL EXPRESS CORP................ 1,159,837 944,000 o JAPAN AIRLINES CO LTD............... 6,268,528 13,670 LUFTHANSA AG........................ 1,886,275 954,000 MALAYSIAN AIRLINE SYSTEM BERHAD..... 3,099,843 390,000 SINGAPORE INTERNATIONAL AIRLINES LTD (FR).................. 3,639,450 ------------ 17,619,503 ------------ AUTOMOTIVE & RELATED--4.42% 855,850 AUTOLIV AB.......................... 50,105,680 5,378 BBA GROUP PLC....................... 24,172 270,000 BRIDGESTONE CORP.................... 4,292,503 51,804 CHRYSLER CORP....................... 2,868,646 70,920 CONTINENTAL AG...................... 990,987 15,536 DAIMLER BENZ AG..................... 7,836,930 609,999 FIAT S.P.A.......................... 1,982,984 98,267 GENERAL MOTORS CORP................. 5,195,867 36,650 GENUINE PARTS CO.................... 1,502,650 35,600 GOODYEAR TIRE & RUBBER CO........... 1,615,350 260,670 GUEST KEEN NETTLEFOLDS LTD.......... 3,152,739 341,000 HONDA MOTOR CO LTD.................. 7,041,043 305,678 LEX SERVICE GROUP LTD............... 1,452,262 15,080 MICHELIN S.A. (CLASS B)............. 602,213 518,000 NIPPON DENSO CO LTD................. 9,691,479 965,000 NISSAN MOTOR CORP LTD............... 7,418,285 9,100 PEUGEOT S.A......................... 1,202,044 1,250,645 TOYOTA MOTOR CORP................... 26,551,018 10,257 VOLKSWAGENWERKE AG.................. 3,436,917 ------------ 136,963,769 ------------ BANKS--9.59% 247,781 ABBEY NATIONAL PLC.................. 2,446,722 655,000 ASAHI BANK.......................... 8,254,441 949,000 ASHIKAGA BANK....................... 5,924,546 92 BANC ONE CORP....................... 3,473 318,000 BANCA COMMERCIALE ITALIANA S.P.A.... 679,152 17,180 BANCO CENTRALE HISPANOAMERICANO S.A............... 348,372 3,207 BANK OF BOSTON CORP................. 148,323 43,196 BANK OF NOVA SCOTIA................. 942,211 568,000 BANK OF TOKYO LTD................... 9,966,207 373,000 BANK OF YOKOHAMA LTD................ 3,055,403 69,057 BANKAMERICA CORP.................... 4,471,440 20,200 BANKERS TRUST NEW YORK CORP......... 1,343,300 48,031 BANQUE NATIONALE DE PARIS........... 2,169,521 31,365 BANQUE PARIBAS...................... 1,722,011 271,680 BARCLAYS PLC........................ 3,117,178 16,000 BARNETT BANKS, INC.................. 944,000 17,100 BOATMENS BANCSHARES, INC............ 698,962 402 CANADIAN IMPERIAL BANK OF COMMERCE.. 11,973 8,437 CHASE MANHATTAN CORP................ 511,493 242,000 CHIBA BANK LTD...................... 2,181,731 53,934 CITICORP............................ 3,627,061 36,025 COMPAGNIE DE SUEZ................... 1,487,996 200 CORESTATES FINANCIAL CORP........... 7,575 5,256 CREDIT NATIONAL S.A................. 386,905 20,117 CS HOLDINGS (REGD).................. 2,067,293 929,000 DAI-ICHI KANGO BANK LTD............. 18,281,623 97,000 DEVELOPMENT BANK OF SINGAPORE LTD (FR)................. 1,206,928 150 FIRST CHICAGO NBD CORP.............. 5,925 10,877 FIRST INTERSTATE BANCORP............ 1,484,710 25,754 FLEET FINANCIAL GROUP, INC NEW...... 1,049,475 866,000 FUJI BANK LTD....................... 19,140,609 186,000 GUNMA BANK.......................... 2,001,423 760,000 HANG SENG BANK LTD.................. 6,806,585 1,110,000 HOKURIKU BANK LTD................... 6,961,939 103,787 HSBC HOLDINGS LTD................... 1,570,452 -33- SHARES VALUE ------ ----- BANKS (CONTINUED) 551,877 HSBC HOLDINGS LTD (HONG KONG)....... $ 8,414,210 504,786 HSBC HOLDINGS LTD (UNITED KINGDOM).. 7,884,331 715,000 INDUSTRIAL BANK OF JAPAN LTD........ 21,694,687 335,650 JOYO BANK........................... 2,700,646 554,298 LLOYDS TSB GROUP PLC................ 2,852,899 540,000 MALAYAN BANKING BERHAD.............. 4,551,399 88,500 MALAYAN BANKING BERHAD (SINGAPORE)........................ 732,025 117,270 MEDIOBANCA S.P.A.................... 812,311 12,000 MIDLANTIC CORP...................... 787,500 595,000 MITSUBISHI TRUST & BANKING CORP..... 9,920,839 371,000 MITSUI TRUST & BANKING CO LTD....... 4,064,015 85,830 MORGAN (J.P.) & CO, INC............. 6,887,857 61,923 NATIONSBANK CORP.................... 4,311,388 29,000 NORWEST CORP........................ 957,000 116,199 OVERSEAS-CHINESE BANKING CORP LTD (FR).............. 1,454,028 199,639 ROYAL BANK OF SCOTLAND PLC.......... 1,816,362 1,038,000 SAKURA BANK......................... 13,181,707 208,000 SEVENTY-SEVEN (77) BANK LTD......... 1,909,485 280,000 SHIZUOKA BANK LTD................... 3,528,616 1,042,200 SIGNET BANKING CORP................. 24,752,250 4,585 SOCIETE GENERALE S.A................ 567,206 1,118,000 SUMITOMO BANK LTD................... 23,734,983 124,300 SUNTRUST BANKS, INC................. 8,514,550 14,032 SWISS BANK CORP (BR)................ 5,743,521 13,169 SWISS BANK CORP (REGD).............. 2,695,140 578,000 TOKAI BANK LTD...................... 8,068,510 4,549 UNION BANK OF SWITZERLAND (BR)...... 4,941,555 30,700 WACHOVIA CORP NEW................... 1,404,525 5,567 WELLS FARGO & CO.................... 1,202,472 372,000 YASUDA TRUST & BANKING CO LTD....... 2,203,368 ------------ 297,316,343 ------------ BEVERAGES--2.05% 26,800 ANHEUSER BUSCH COS, INC............. 1,792,250 824,532 ARTHUR GUINESS & SONS PLC........... 6,067,998 353,000 ASAHI BREWERIES LTD................. 4,174,818 392,430 BASS LTD............................ 4,380,772 1,284 BRAU UND BRUNNEN AG................. 194,667 82 COCA COLA CO........................ 6,088 64,700 o EL AGUILA S.A....................... 397,324 723,603 GRAND METROPOLITAN PLC.............. 5,212,882 363,000 KIRIN BREWERY CO LTD................ 4,293,084 5,730 LOUIS VUITTON-MOET HENNESSY......... 1,195,092 583,400 PANAMERICAN BEVERAGES INC (CLASS A).......................... 18,668,800 140,495 PEPSICO, INC........................ 7,850,158 3,036 PERNOD-RICARD S.A................... 172,767 516,000 SAPPORO BREWERIES LTD............... 4,802,019 209,059 SCOTTISH & NEWCASTLE PLC............ 1,989,706 68,200 SEAGRAMS CO LTD..................... 2,350,173 ------------ 63,548,598 ------------ BROADCASTERS--5.71% 20,300 CAPITAL CITIES/ABC, INC............. 2,504,512 22,900 o CLEAR CHANNEL COMMUNICATIONS, INC... 1,010,462 2,832,225 o INFINITY BROADCASTING CORP (CLASS A)................... 105,500,381 44,200 o ROGERS COMMUNICATIONS (CLASS B)..... 494,208 95,300 o TELE-COMMUNICATIONS, INC (CLASS A) NEW...................... 1,894,087 125,000 TOKYO BROADCASTING SYSTEMS, INC..... 2,059,975 693,860 o VIACOM, INC (CLASS B)............... 32,871,617 2,557 o VIACOM, INC (CLASS B) WTS 07/07/97.. 7,351 1,534 o VIACOM, INC (CLASS B) WTS 07/07/99.. 8,437 2,161,100 +o WESTWOOD ONE, INC................... 30,525,537 ------------- 176,876,567 ------------- BUSINESS SERVICES--0.44% 508,031 BET PLC............................. 1,001,736 10,239 ELECTROCOMPONENTS PLC............... 57,229 164,675 MERCURY ASSETS MANAGEMENT GROUP PLC............... 2,224,367 603,560 REUTERS HOLDINGS PLC................ 5,528,814 45,000 SECOM CO LTD........................ 3,132,131 94,000 TOKYO DOME.......................... 1,612,887 ------------- 13,557,164 ------------- CHEMICALS--MAJOR--1.17% 22,746 BOC GROUP PLC....................... 318,192 188,450 CALOR GROUP PLC..................... 749,023 2,614 DEGUSSA AG.......................... 872,977 39,902 DOW CHEMICAL CO..................... 2,808,103 82,719 DU PONT (E.I.) DE NEMOURS & CO...... 5,779,990 253,200 DYNO INDUSTRIER AS.................. 5,931,134 13,975 EASTMAN CHEMICAL CO................. 875,184 101,722 ENGLISH CHINA CLAYS PLC............. 500,649 104,626 IMPERIAL CHEMICAL INDUSTRY PLC...... 1,239,434 602 LAIR LIQUIDE........................ 99,830 1,255 # LAIR LIQUIDE (REGD)................. 208,118 788,737 MITSUBISHI CHEMICAL CORP............ 3,838,300 1,892,000 o MONTEDISON S.P.A.................... 1,268,245 351,000 o MONTEDISON S.P.A. WTS 01/19/97...... 30,073 34,000 PPG INDUSTRIES, INC................. 1,555,500 82,900 PRAXAIR, INC........................ 2,787,512 17,900 ROHM & HAAS CO...................... 1,152,312 1,125 SOLVAY ET CIE S.A................... 610,666 484,000 SUMITOMO CHEMICAL CO LTD............ 2,416,326 626,000 o UBE INDUSTRIES LTD.................. 2,366,693 24,600 UNION CARBIDE CORP.................. 922,500 ------------- 36,330,761 ------------- CHEMICALS--SPECIALTY--0.41% 686,000 ASAHI CHEMICAL INDUSTRY CO LTD...... 5,253,566 315,000 DAINIPPON INK & CHEMICAL, INC....... 1,468,786 23,000 KANEKA CORP......................... 145,148 230,000 SEKISUI CHEMICAL CO LTD............. 3,389,022 111,000 SHIN-ETSU CHEMICAL CO LTD........... 2,302,712 ------------- 12,559,234 ------------- COMMUNICATION EQUIPMENT & SERVICES--3.24% 372,400 o 3COM CORP........................... 17,363,150 76,820 o AIRTOUCH COMMUNICATIONS, INC........ 2,170,165 94,600 o CABLETRON SYSTEMS, INC.............. 7,662,600 181,000 o CISCO SYSTEMS, INC.................. 13,507,125 35,800 CORNING, INC........................ 1,145,600 26,500 o DSC COMMUNICATIONS CORP............. 977,187 1,085,150 ERICSSON TELEFON (LM) AB SERIES B... 21,285,835 1,378,000 o ERICSSON TELEFON (LM) AB SERIES B ADR...................... 26,871,000 250,500 o TELLABS, INC........................ 9,268,500 ------------- 100,251,162 ------------- COMPUTER SERVICE--1.11% 14,500 ADOBE SYSTEMS, INC.................. 899,000 24,600 AUTOMATIC DATA PROCESSING, INC...... 1,826,550 24,750 o BAY NETWORKS, INC................... 1,017,843 110,550 COMPUTER ASSOCIATES INTERNATIONAL, INC................. 6,287,531 43,100 o ELECTRONIC ARTS..................... 1,125,987 See notes to financial statements. -34- SHARES VALUE ------ ----- COMPUTER SERVICE (CONTINUED) 25,500 GENERAL MOTORS CORP (CLASS E)....... $ 1,326,000 65,100 o MICROSOFT CORP...................... 5,712,525 385,150 o ORACLE CORP......................... 16,320,731 ------------- 34,516,167 ------------- CONGLOMERATES--2.48% 37,100 AGIV AG............................. 782,799 894,492 BTR LTD............................. 4,569,113 4,681 o BTR LTD WTS 11/30/97................ 4,942 5,147 o BTR LTD WTS 04/30/98................ 1,658 29,748 GEVAERT PHOTO-PRODUCTION NV......... 1,869,993 846,597 HANSON PLC.......................... 2,530,271 1,326,000 HUTCHINSON WHAMPOA LTD.............. 8,077,190 6,200 ITT INDUSTRIES, INC................. 148,800 161,000 KEPPEL CORP......................... 1,434,147 25,298 LAGARDERE GROUPE.................... 465,559 25,298 o LAGARDERE GROUPE WTS 06/30/97....... 9,621 463,400 LOEWS CORP.......................... 36,318,975 3,098,000 MALAYAN UNITED INDUSTRIES BERHAD.... 2,513,541 70,080 MINNESOTA MINING & MANUFACTURING CO................... 4,642,800 26,000 ROCKWELL INTERNATIONAL CORP......... 1,374,750 1,987,200 SIME DARBY BERHAD................... 5,283,026 589,000 SWIRE PACIFIC LTD (CLASS A)......... 4,570,486 75,000 o TRAFALGAR HOUSE PLC................. 32,313 8,346 o U.S. INDUSTRIES, INC................ 153,357 6,300 UNITED TECHNOLOGIES CORP............ 597,712 223,000 YTL CORP BERHAD..................... 1,405,278 ------------- 76,786,331 ------------- CONSTRUCTION--MATERIALS & BUILDERS--1.77% 226,770 BARRATT DEVELOPMENTS LTD............ 869,645 449 BILFINGER & BERGER AG............... 170,339 437,730 BORAL LTD........................... 1,107,132 8,539 BOUYGUES S.A........................ 861,320 98,731 CAMAS PLC........................... 113,434 8,800 CENTEX CORP......................... 305,800 173,000 CHIYODA CORP........................ 1,710,603 34,000 DAITO TRUST CONSTRUCTION CO LTD..... 402,107 171,000 DAIWA HOUSE INDUSTRY CO LTD......... 2,818,045 9,797 GTM-ENTERPOSE....................... 688,123 2,635 HEIDELBERGER ZEMENT AG.............. 1,656,886 1,638 HOCHTIEF AG......................... 700,381 10,657 IMETAL S.A.......................... 1,274,786 362,000 KAJIMA CORP......................... 3,579,412 104,800 KINDEN CORP......................... 1,788,038 204,000 KUMAGAI GUMI CO LTD................. 820,694 22,123 LAFARGE S.A. (BR)................... 1,427,216 84,000 MISAWA HOMES CO LTD................. 739,380 1,770 o NEW WORLD INFRASTRUCTURE............ 3,387 826,000 OHBAYASHI-GUM LTD................... 6,565,940 25,400 o OWENS CORNING FIBERGLAS CORP NEW.... 1,139,825 410,000 PENTA OCEAN CONSTRUCTION CO LTD..... 3,179,632 217,737 PILKINGTON PLC...................... 682,878 54,434 o PILKINGTON PLC (FULLY PD)........... 170,718 2,300 PULTE CORP.......................... 77,337 167,835 REDLAND PLC......................... 1,013,658 83,618 RMC GROUP PLC....................... 1,286,568 320,070 RUGBY GROUP PLC..................... 546,634 251,000 SEKISUI HOUSE LTD................... 3,211,816 323,000 SHIMIZU CORP........................ 3,287,720 13,538 ST. GOBAIN.......................... 1,478,231 454,000 TAISEI CORP......................... 3,032,341 390,373 TAYLOR WOODROW PLC.................. 712,159 100,000 TOSTEM CORP......................... 3,325,042 130,000 TOTO LTD............................ 1,814,716 872,533 WILSON (CONNOLLY) HOLDINGS PLC...... 2,269,113 ------------- 54,831,056 ------------- COSMETICS--0.24% 91,000 INTERNATIONAL FLAVORS & FRAGRANCES, INC.................... 4,368,000 6,155 LOREAL.............................. 1,649,974 113,000 SHISEIDO & CO LTD................... 1,347,369 ------------- 7,365,343 ------------- ELECTRICAL EQUIPMENT--3.89% 22,569 ALCATEL ALSTHOM..................... 1,948,395 17,000 BBC BROWN, BOVERI & CIE AG. (BR).... 19,796,640 303,360 DELTA PLC........................... 1,879,276 639,000 FUJITSU LTD......................... 7,123,635 207,664 GENERAL ELECTRIC CO................. 14,951,808 517,640 GENERAL ELECTRIC CO (UNITED KINGDOM) 2,853,091 19,000 GENERAL SIGNAL CORP................. 615,125 752,000 HITACHI LTD......................... 7,581,483 8,550 LEGRAND S.A......................... 1,321,704 948,000 MITSUBISHI ELECTRIC CORP............ 6,828,104 526,000 NIPPON ELECTRIC CORP (N.E.C.)....... 6,424,795 21,430 NKT HOLDINGS........................ 1,005,375 982,000 PHILIPS ELECTRONICS NV.............. 35,528,640 12,009 SIEMENS AG.......................... 6,586,369 327,000 SUMITOMO ELECTRIC INDUSTRIES CO..... 3,930,723 30,000 TOKYO ELECTRON CO LTD............... 1,163,280 69,800 WESTINGHOUSE ELECTRIC CORP.......... 1,151,700 ------------- 120,690,143 ------------- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--2.04% 363,000 AMP, INC............................ 13,930,125 44,000 AVX CORP............................ 1,166,000 5,680 o DOVATRON INTERNATIONAL, INC......... 191,700 170,874 INTEL CORP.......................... 9,697,099 45,000 KYOCERA CORP........................ 3,345,884 462,000 MINEBEA CO LTD...................... 3,878,491 191,974 MOTOROLA, INC....................... 10,942,518 200 MURATA MANUFACTURING CO LTD......... 7,367 360,000 o NOKIA CORP ADR A.................... 13,995,000 117,000 OMRON TATEISI ELECTRONICS CO........ 2,699,391 538,030 OXFORD INSTRUMENTS GROUP PLC........ 3,383,148 ------------- 63,236,723 ------------- ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.54% 34,200 o APPLIED MATERIALS, INC.............. 1,346,625 67,000 CANON, INC.......................... 1,214,561 166,000 FUJI PHOTO FILM CO LTD.............. 4,795,427 256,000 KONIKA.............................. 1,856,284 58,200 LORAL CORP.......................... 2,058,825 19,200 PERKIN-ELMER CORP................... 724,800 269,000 RICOH CO LTD........................ 2,946,685 106,000 YAMAHA CORP......................... 1,911,269 ------------- 16,854,476 ------------- ENVIRONMENTAL CONTROL--0.08% 78,300 WMX TECHNOLOGIES, INC............... 2,339,212 ------------- FINANCIAL--MISCELLANEOUS--1.70% 50,711 AMERICAN EXPRESS CO................. 2,098,167 779 COMPAGNIE BANCAIRE S.A.............. 87,290 53,900 COUNTRYWIDE CREDIT INDUSTRIES, INC.. 1,172,325 14,772 CPR-COMPAGNIE PARISIENNE DE REESCOMPTE...................... 1,207,917 143,000 CREDIT SAISON CO.................... 3,410,155 See notes to financial statements. -35- SHARES VALUE ------ ----- FINANCIAL--MISCELLANEOUS (CONTINUED) 533,000 DAIWA SECURITIES CO LTD............. $ 8,163,705 52 DEAN WITTER DISCOVER & CO........... 2,444 72 FEDERAL NATIONAL MORTGAGE ASSOCIATION............... 8,937 51,098 GREAT WESTERN FINANCIAL CORP........ 1,302,999 9,313 HOUSEHOLD INTERNATIONAL, INC........ 550,631 11 LEHMAN BROTHERS HOLDINGS, INC....... 233 843,000 NOMURA SECURITIES CO LTD............ 18,387,094 1,700 PAINE WEBBER GROUP INC.............. 34,000 380,681 PROVIDENT FINANCIAL PLC............. 4,840,661 25,900 SALOMON, INC........................ 919,450 137,791 SCHROEDERS LTD...................... 2,926,621 966,000 YAMAICHI SECURITIES CO LTD.......... 7,519,616 ------------- 52,632,245 ------------- FOODS--1.74% 200,000 AJINOMOTO CO LTD.................... 2,229,620 100,101 ARCHER DANIELS MIDLAND CO........... 1,801,818 509,440 ASSOCIATED BRITISH FOODS PLC........ 2,918,629 1,220 AULT FOODS LTD...................... 13,529 199,881 CADBURY SCHWEPPES LTD............... 1,650,983 45,200 CAMPBELL SOUP CO.................... 2,712,000 4,582 DANONE GROUP........................ 757,029 1,138 ERIDANIA BEGHIN SAY................. 195,464 53,000 EZAKI GLICO CO LTD.................. 512,754 25,300 GENERAL MILLS, INC.................. 1,461,075 59,550 HEINZ (H.J.) CO..................... 1,972,593 188,000 HOUSE FOODS CORP.................... 3,389,797 31,095 KORN-OG FODERSTOF KOMPAGNIET AS..... 1,346,587 226,000 MEIJI SEIKA KAISHA LTD.............. 1,362,704 603,000 NESTLE MALAYSIA BERHAD.............. 4,417,410 6,469 NESTLE S.A. (REGD).................. 7,173,409 270,000 NICHIREI CORP....................... 1,753,644 298,000 o NIPPON SUISAN KAISHA LTD............ 1,233,522 552,000 PRIMA LTD........................... 2,107,318 28,000 QUAKER OATS CO...................... 966,000 39,300 o RALCORP HOLDINGS, INC............... 953,025 356 RALSTON PURINA GROUP................ 22,205 104,000 SARA LEE CORP....................... 3,315,000 227,334 o SME-SOCIETA MERIDIONALE FINANZIARIA. 464,750 104,000 SNOW BRAND MILK..................... 665,396 221,000 TAKARA SHUZO CO LTD................. 2,114,523 201,613 UNILEVER LTD........................ 4,141,312 209,057 UNITED BISCUITS HOLDINGS PLC........ 830,929 84,000 YAMAZAKI BAKING CO LTD.............. 1,563,448 ------------- 54,046,473 ------------- FOREST PRODUCTS--1.33% 300,369 ARJO WIGGINS APPLETON PLC........... 769,482 224,400 BOISE CASCADE CORP.................. 7,769,850 5,000 CHAMPION INTERNATIONAL CORP......... 210,000 7,700 GEORGIA-PACIFIC CORP................ 528,412 160,000 MO OCH DOMSJO AB SERIES B FREE...... 6,832,253 11,370 o PAPIERWERKE WALDHOF-ASCHAFFENBURG... 1,692,036 75 RAYONIER, INC....................... 2,503 975,766 REXAM PLC........................... 5,363,008 670,000 STORA KOPPARBERG BERGSLAGS SERIES A FREE...................... 7,885,459 37,300 WEYERHAEUSER CO..................... 1,613,225 154,000 WILLAMETTE INDUSTRIES, INC.......... 8,662,500 ------------- 41,328,728 ------------- HEALTHCARE--DRUGS--4.36% 36,532 AMERICAN HOME PRODUCTS CORP......... 3,543,604 185,000 BANYU PHARMACEUTICAL CO LTD......... 2,277,605 73,463 BRISTOL MYERS SQUIBB CO............. 6,308,635 110,000 CHUGAI PHARMACEUTICAL CO LTD........ 1,054,610 6,871 CIBA-GEIGY AG. (BR)................. 6,030,857 5,364 CIBA-GEIGY AG. (REGD)............... 4,731,431 94,000 DAIICHI SEIYAKU..................... 1,339,516 1,041,306 GLAXO WELLCOME PLC.................. 14,793,095 76,000 KISSEI PHARMACEUTICALS CO LTD....... 2,298,641 188,000 KYOWA HAKKO KOGYO................... 1,775,087 55,762 LILLY (ELI) & CO.................... 3,136,612 160,782 MERCK & CO, INC..................... 10,571,416 73,200 MOCHIDA PHARMACEUTICAL CO LTD....... 1,014,729 126,362 PFIZER, INC......................... 7,960,806 87 ROCHE HOLDINGS AG. (BR)............. 1,221,039 2,807 ROCHE HOLDINGS AG. (GENUSSCHEINE)... 22,259,379 7,322 SANDOZ AG. (REGD)................... 6,719,414 111,100 SANKYO CO LTD....................... 2,498,647 101,500 SCHERING-PLOUGH CORP................ 5,557,125 495,633 SMITHKLINE BEECHAM PLC (CLASS A).... 5,463,590 357,230 SMITHKLINE BEECHAM/BECKMAN (UNITS).. 3,893,539 371,100 TAISHO PHARMACEUTICAL CO LTD........ 7,338,784 170,000 TAKEDA CHEMICAL INDUSTRY LTD........ 2,801,566 201,000 TANABE SEIYAKU CO LTD............... 1,447,731 19,800 WARNER-LAMBERT CO................... 1,923,075 86,000 YAMANOUCHI PHARMACEUTICAL CO........ 1,850,778 269,416 ZENECA GROUP PLC.................... 5,211,959 ------------- 135,023,270 ------------- HEALTHCARE--HOSPITAL SUPPLY--0.69% 113,733 ABBOTT LABORATORIES................. 4,748,352 73,500 BAXTER INTERNATIONAL, INC........... 3,077,812 49,275 GUIDANT CORP........................ 2,081,868 133,219 JOHNSON & JOHNSON................... 11,406,876 ------------- 21,314,908 ------------- HEALTHCARE--OTHER--0.03% 39,750 CAREMARK INTERNATIONAL, INC......... 720,468 463 ESSILOR INTERNATIONAL............... 88,614 ------------- 809,082 ------------- HEALTHCARE--SERVICE--3.77% 1,200,333 +ADAC LABORATORIES, INC NEW.......... 14,554,037 1,383,000 COLUMBIA/HCA HEALTHCARE CORP........ 70,187,250 2,506,700 +o COMMUNITY PSYCHIATRIC CENTERS....... 30,707,075 180 o TRANSPORT HOLDINGS, INC (CLASS A)... 7,335 31,650 U.S. HEALTHCARE, INC................ 1,471,725 ------------- 116,927,422 ------------- HOUSEHOLD --CONSUMER ELECTRONICS--1.00% 893,000 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD.................. 14,543,326 84,000 PIONEER ELECTRONIC CORP............. 1,539,019 562,000 SANYO ELECTRIC CO LTD............... 3,241,576 342,000 SHARP CORP.......................... 5,470,324 101,400 SONY CORP........................... 6,084,594 ------------- 30,878,839 ------------- HOUSEHOLD--DURABLE GOODS--0.07% 300 BLACK & DECKER CORP................. 10,575 62,700 MAYTAG CO........................... 1,269,675 32,400 SHAW INDUSTRIES, INC................ 477,900 9,700 WHIRLPOOL CORP...................... 516,525 ------------- 2,274,675 ------------- HOUSEHOLD--PRODUCTS--0.36% 4,096 BIC................................. 417,095 137,000 KAO CORP............................ 1,699,939 96,400 PROCTER & GAMBLE CO................. 8,001,200 22,600 TAMBRANDS, INC...................... 1,079,150 ------------- 11,197,384 ------------- See notes to financial statements. -36- SHARES VALUE ------ ----- INSURANCE--BROKERS & OTHER--0.01% 6,200 o ITT HARTFORD GROUP, INC............. $ 299,925 ------------- INSURANCE--LIFE--0.11% 131,414 LEGAL & GENERAL GROUP PLC........... 1,367,023 301,775 PRUDENTIAL CORP PLC................. 1,944,423 450 SUNAMERICA, INC..................... 21,375 ------------- 3,332,821 ------------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--2.25% 910 AACHENER & MUNCHENER BETEIL (BR).... 578,565 1,735 AACHENER & MUNCHENER BERTEIL (REGD)............................. 1,309,160 58,116 ALLEANZA ASSICURAZIONI (S/S) NON CV. 408,235 3,609 ALLIANZ AG. (REGD).................. 7,050,073 13,768 ALLSTATE CORP....................... 566,209 65,787 AMERICAN INTERNATIONAL GROUP, INC... 6,085,297 182,930 ASSICURAZIONI GENERALI S.P.A........ 4,431,204 349 AXA S.A............................. 23,549 19,400 CHUBB CORP.......................... 1,876,950 18,000 CIGNA CORP.......................... 1,858,500 1,410 COLONIA KONZERN AG. (REGD).......... 1,182,142 136,791 COMMERICAL UNION ASSURANCE CO LTD... 1,333,757 4,863 FORTIS AG........................... 590,732 135 o FORTIS AG. NPV (VVPR)............... 16,169 467,782 GENERAL ACCIDENT PLC................ 4,728,071 17,000 GENERAL REINSURANCE CORP............ 2,635,000 710,160 GUARDIAN ROYAL EXCHANGE ASSURANCE PLC...................... 3,043,160 18,900 LINCOLN NATIONAL CORP............... 1,015,875 311,000 MITSUI TAISHO MARINE & FIRE CO LTD.. 2,218,917 2,093 MUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P).......... 4,562,400 115 o MUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) WTS 03/13/98....................... 15,747 323,000 NIPPON FIRE & MARINE INSURANCE CO LTD................... 2,191,813 536,869 ROYAL INSURANCE PLC................. 3,184,133 17,800 ST. PAUL COS, INC NOTES............. 990,125 261,000 SUMITOMO MARINE & FIRE INSURANCE CO. 2,145,553 409,000 TOKIO MARINE & FIRE INSURANCE CO LTD 5,352,542 163 TRAVELERS GROUP, INC................ 10,248 34,733 ZURICH INSURANCE CO (REGD).......... 10,413,558 ------------- 69,817,684 ------------- LEISURE TIME--3.30% 17,300 BRUNSWICK CORP...................... 415,200 968,600 o CARMIKE CINEMAS, INC (CLASS A)...... 21,793,500 2,554,800 CARNIVAL CORP (CLASS A)............. 62,273,250 97,420 DISNEY (WALT) CO.................... 5,747,780 320,595 FORTE PLC........................... 1,645,082 25,250 o HARRAHS ENTERTAINMENT, INC.......... 612,312 9,500 INTERNATIONAL GAME TECHNOLOGY....... 103,312 6,200 o ITT CORP (NEW)...................... 328,600 503,842 LADBROKE GROUP PLC.................. 1,146,018 1,817,000 MAGNUM CORP BERHAD.................. 3,435,054 535 SALOMON S.A......................... 311,777 46,000 SEGA ENTERPRISES LTD................ 2,541,766 75,400 THORN EMI LTD....................... 1,775,891 ------------- 102,129,542 ------------- MACHINERY--2.24% 122,000 AMANO CORP.......................... 1,537,468 18,530 o BREMER VULKAN AG.................... 515,909 36,400 CATERPILLAR, INC.................... 2,138,500 60,000 COBHAM GROUP PLC.................... 438,764 19,269 o COOPER CAMERON CORP................. 684,049 21,936 COOPER INDUSTRIES, INC.............. 806,148 172,000 DAIKIN INDUSTRIES................... 1,684,041 47,400 DEERE & CO.......................... 1,670,850 140,000 EBARA CORP.......................... 2,049,311 5,936 o FAG KUGELFISCHER (GEORGE) SCHAFER & CO....................... 767,247 6,000 FANUC LTD........................... 259,993 841 FISCHER (GEORGE) LTD (BR)........... 1,096,288 21 FISCHER (GEORGE) LTD (REGD)......... 5,292 261,690 IMI PLC............................. 1,334,695 4,253 INDUSTRIE-WERKE KARLSRUHE AUGSBURG AG........................ 775,542 63,450 JOHNSON MATTHEY PLC................. 515,220 299,000 KOMATSU LTD......................... 2,463,730 467,000 KUBOTA LTD.......................... 3,010,520 120 LINDE AG............................ 70,174 895 MAN AG. (STAMM)..................... 242,618 8,539 MANNESMANN AG....................... 2,724,630 881,000 MITSUBISHI HEAVY INDUSTRIES LTD..... 7,028,760 110,000 SIDEL............................... 34,323,677 12,500 SUNDSTRAND CORP..................... 879,687 109,000 TOYOTA AUTOMATIC LOOM WORKS LTD..... 1,954,795 61,000 TSUGAMI CORP........................ 340,608 ------------- 69,318,516 ------------- METALS--ALUMINIUM--0.18% 59,000 ALUMINUM CO OF AMERICA.............. 3,119,625 78,000 TOYO SEIKAN KAISHA LTD.............. 2,336,447 ------------- 5,456,072 ------------- METALS--GOLD--0.07% 26,500 BARRICK GOLD CORP................... 699,465 55,700 BARRICK GOLD CORP (U.S.)............ 1,469,087 ------------- 2,168,552 ------------- METALS--NON-FERROUS--0.81% 65,600 CYPRUS AMAX MINERALS CO............. 1,713,800 25,681 INCO LTD............................ 849,663 566,000 MITSUBISHI MATERIALS................ 2,935,440 1,334,000 NIKKO KYODO CO...................... 4,474,401 687,000 NIPPON LIGHT METAL CO LTD........... 3,942,588 38,850 RIO TINTO ZINC CORP LTD PLC (BR).... 568,803 372,640 RIO TINTO ZINC CORP LTD PLC (REGD).. 5,415,329 1,164,000 STRAITS TRADING CO.................. 2,732,048 275,000 SUMITOMO METAL MINING CO LTD........ 2,473,908 ------------- 25,105,980 ------------- METALS--STEEL--1.16% 1,175,000 AMSTEEL CORP BERHAD................. 874,655 930,000 AVESTA SHEFFIELD AB................. 8,209,116 107,000 o BETHLEHEM STEEL CORP................ 1,498,000 473,060 BRITISH STEEL PLC................... 1,195,354 849,000 KAWASAKI STEEL CORP................. 2,962,874 882,000 o KOBE STEEL LTD...................... 2,727,484 1,867,000 NIPPON STEEL CORP................... 6,406,939 1,900,000 o NKK CORP............................ 5,120,370 5,813 PREUSSAG AKTIEGESELLSCHAFT AG....... 1,628,599 968,000 o SUMITOMO METAL INDUSTRIES LTD....... 2,937,126 9,172 o THYSSEN AG.......................... 1,669,967 23,200 USX-U.S. STEEL GROUP................ 713,400 ------------- 35,943,884 ------------- See notes to financial statements. -37- SHARES VALUE ------ ----- MISCELLANEOUS MATERIALS & COMMODITIES--0.20% 309,000 ASAHI GLASS CO LTD.................. $ 3,444,762 769,000 o KEMAYAN OIL PALMS BERHAD............ 1,072,178 412,000 NIPPON SHEET GLASS CO LTD........... 1,793,273 ------------- 6,310,213 ------------- OFFICE EQUIPMENT--3.14% 88,026 HEWLETT-PACKARD CO.................. 7,372,177 349,390 * INTERNATIONAL BUSINESS MACHINES CORP...................... 32,056,532 422,700 XEROX CORP.......................... 57,909,900 ------------- 97,338,609 ------------- PAPER--0.23% 164,000 o DAISHOWA PAPER MANUFACTURING CO..... 1,271,852 92,000 HONSHU PAPER CO LTD................. 563,647 39,200 INTERNATIONAL PAPER CO.............. 1,484,700 188,000 NEW OJI PAPER CO LTD................ 1,702,188 287,000 NIPPON PAPER INDUSTRIES CO.......... 1,994,821 ------------- 7,017,208 ------------- PETROLEUM--EXPLORATION & PRODUCTION--0.87% 217,466 LONDON & SCOTTISH MARINE OIL PLC.... 590,866 24 MURPHY OIL CORP..................... 996 1,969,000 SAGA PETROLEUM AS SERIES A.......... 26,333,873 ------------- 26,925,735 ------------- PETROLEUM--INTEGRATED--1.62% 41,900 AMOCO CORP ......................... 3,011,562 60,000 ARABIAN OIL CO LTD ................. 2,501,052 6,100 ATLANTIC RICHFIELD CO .............. 675,575 1,643,009 BRITISH PETROLEUM PLC .............. 13,749,543 30,350 BROKEN HILL PROPRIETARY CO LTD ..... 428,969 264,676 BURMAH CASTROL PLC ................. 3,838,141 36,500 CHEVRON CORP ....................... 1,916,250 304,000 COSMO OIL CO LTD ................... 1,662,094 16,800 EXXON CORP ......................... 1,346,100 39,000 o GULF CANADA RESOURCES LTD .......... 160,844 313,000 MITSUBISHI OIL CO LTD .............. 2,782,381 33,600 MOBIL CORP ......................... 3,763,200 573,000 NIPPON OIL CO LTD .................. 3,599,420 21,100 OCCIDENTAL PETROLEUM CORP .......... 451,012 490 PETROFINA S.A. ..................... 151,012 24 o PETROFINA S.A. WTS 06/03/97 ........ 293 88,908 REPSOL S.A. ........................ 2,913,152 54,532 SOCIETE NATIONALE ELF AQUITAINE .... 4,023,134 12,200 SUN CO, INC ........................ 333,975 65,156 UNOCAL CORP ........................ 1,897,668 5,900 o USX-DELHI GROUP ..................... 61,212 51,200 USX-MARATHON GROUP, INC NEW ........ 998,400 ------------- 50,264,989 ------------- PETROLEUM--SERVICE--2.59% 22,900 DRESSER INDUSTRIES, INC............. 558,187 24,720 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC. 466,590 2,310,000 + IHC CALAND NV....................... 77,811,689 26,500 MCDERMOTT INTERNATIONAL, INC........ 583,000 112,180 o MCMORAN OIL & GAS CO................ 385,618 10,300 o WESTERN ATLAS, INC.................. 520,150 ------------- 80,325,234 ------------- PHOTOGRAPHY--0.18% 81,100 EASTMAN KODAK CO.................... 5,433,700 ------------- PROPERTY--REAL ESTATE--1.34% 530,000 CHEUNG KONG HOLDINGS LTD............ 3,228,439 196,560 CITY DEVELOPMENT LTD................ 1,431,296 13,665 o CITY DEVELOPMENT LTD WTS 07/18/98... 71,488 379,000 DAIKYO, INC......................... 2,829,000 187,457 HAMMERSON PLC....................... 1,025,936 475,000 o IGB CORP BERHAD..................... 426,546 184,492 LAND SECURITIES PLC................. 1,767,348 452,000 MITSUBISHI ESTATE CO LTD............ 5,652,377 414,000 MITSUI FUDOSAN CO LTD............... 5,096,911 1,062,128 NEW WORLD DEVELOPMENT CO LTD........ 4,629,165 1,420 SEFIMEG............................. 94,366 2,254 SIMCO............................... 214,315 99 o SIMCO (REGD) NEW..................... 8,992 605,900 SUN HUNG KAI PROPERTIES LTD......... 4,956,297 5,918 o TRIZEC CORP LTD WTS 07/25/99......... 6,161 2,927,000 UNITED OVERSEAS LAND LTD............ 5,566,372 1,387,000 WHARF HOLDINGS LTD.................. 4,619,017 ------------- 41,624,026 ------------- PUBLISHING--NEWSPAPER--0.25% 15,997 o COX COMMUNICATIONS, INC (CLASS A) NEW.................... 311,941 28,900 GANNETT CO, INC..................... 1,773,737 357,400 SCHIBSTED AS........................ 4,864,803 19,500 TIMES MIRROR CO SERIES A NEW........ 660,562 ------------- 7,611,043 ------------- PUBLISHING--OTHER--1.49% 222,000 DAI NIPPON PRINTING CO LTD.......... 3,766,119 66,315 DE LA RUE CO PLC.................... 670,273 36,100 DONNELLEY (R.R.) & SONS CO.......... 1,421,437 8,200 DUN & BRADSTREET CORP............... 530,950 2,343,000 ELSEVIER UTIGEVERSMIJ NV............ 31,277,005 8,200 MCGRAW HILL COS, INC................ 714,425 101,010 REED INTERNATIONAL PLC.............. 1,540,052 15,529 TIME WARNER, INC.................... 588,160 432,000 TOPPAN PRINTING CO.................. 5,695,418 ------------- 46,203,839 ------------- RAILROAD--0.77% 2,800 BURLINGTON NORTHERN SANTA FE CORP... 218,400 29,700 CANADIAN PACIFIC LTD................ 541,673 2,996 CSX CORP............................ 136,692 339,250 o HANKYU CORP......................... 1,858,109 733,000 KINKI NIPPON RAILWAY CO LTD......... 5,542,447 395,090 NAGOYA RAILROAD CO LTD.............. 1,991,601 323,000 NIPPON EXPRESS CO LTD............... 3,112,375 13,100 NORFOLK SOUTHERN CORP............... 1,039,812 265,000 ODAKYU ELECTRIC RAILWAY CO LTD...... 1,811,081 364,080 TOBU RAILWAY CO LTD................. 2,279,986 596,000 TOKYU CORP.......................... 4,211,887 18,900 UNION PACIFIC CORP.................. 1,247,400 ------------- 23,991,463 ------------- RESTAURANTS & HOTELS--0.40% 11,524 ACCOR S.A........................... 1,493,960 77,000 FUJITA KANKO, INC................... 1,701,878 139,866 MCDONALDS CORP...................... 6,311,453 3,909 MOEVENPICK HOLDINGS (BR)............ 1,443,751 5,475 o PROMUS HOTEL CORP................... 121,818 1,268,000 o REGAL HOTELS INTERNATIONAL LTD...... 298,460 29,800 SYSCO CORP.......................... 968,500 ------------- 12,339,820 ------------- RETAIL--FOOD--0.67% 132,300 ALBERTSONS, INC..................... 4,349,362 33,700 AMERICAN STORES CO, NEW............. 901,475 439,339 ARGYLL GROUP PLC.................... 2,319,200 4,530 CARREFOUR SUPERMARKETS.............. 2,751,993 4,588,210 DAIRY FARM INTERNATIONAL HOLDINGS LTD....................... 4,221,153 See notes to financial statements. -38- SHARES VALUE ------ ----- RETAIL--FOOD (CONTINUED) 33,000 DELHAIZE FRERES NV.................. $ 1,374,722 321,732 SAINSBURY (J) PLC................... 1,963,117 2,800 SUPERVALU, INC...................... 88,200 359,924 TESCO PLC........................... 1,659,689 30,600 WINN DIXIE STORES, INC.............. 1,128,375 ------------- 20,757,286 ------------- RETAIL--GENERAL MERCHANDISE--3.91% 430,000 o ADIDAS AG........................... 22,802,362 1,262 ASKO DEUTSCHE KAUFHAUS AG........... 661,287 114,280 BOOTS CO LTD........................ 1,039,746 620,400 CIRCUIT CITY STORES, INC............ 17,138,550 575 COMPTOIRS MODERNES.................. 186,944 247,000 DAIEI, INC.......................... 2,993,022 207,000 DAIMARU, INC........................ 1,605,326 11,500 DAYTON HUDSON CORP.................. 862,500 627,020 GREAT UNIVERSAL STORES PLC.......... 6,668,552 125,800 HOME DEPOT, INC..................... 6,022,675 80,000 ISETAN.............................. 1,318,384 109,000 ITO-YOKADO CO LTD................... 6,720,268 112,000 JUSCO CO LTD........................ 2,920,608 28,082 K MART CORP......................... 203,594 2,750 KARSTADT AG......................... 1,123,978 1,841 KAUFHOF HOLDING AG.................. 562,088 134,494 KINGFISHER PLC...................... 1,131,779 74,500 LIMITED, INC........................ 1,294,437 806,366 MARKS & SPENCER PLC................. 5,633,837 147,000 MARUI CO LTD........................ 3,063,788 54,400 MAY DEPARTMENT STORES CO............ 2,298,400 2,087 MERKUR HOLDINGS AG. (REGD).......... 458,860 248,000 MITSUKOSHI LTD...................... 2,331,988 41,970 NEXT PLC............................ 297,141 162,000 NICHII CO LTD....................... 2,151,486 31,500 PENNEY, (J.C.) CO, INC.............. 1,500,187 354,643 SEARS PLC........................... 572,643 44,200 SEARS ROEBUCK & CO.................. 1,723,800 90,590 SEVEN-ELEVEN JAPAN CO LTD........... 6,393,146 57,600 o TOYS R US, INC...................... 1,252,800 428,658 WAL-MART STORES, INC................ 9,591,222 291,200 WALGREEN CO......................... 8,699,600 ------------- 121,224,998 ------------- TEXTILE & APPAREL--0.61% 2,962 CHARGEURS S.A....................... 594,761 4,798 COATS VIYELLA PLC................... 13,036 137,990 COURTAULDS TEXTILES PLC............. 762,706 338,711 DAWSON INTERNATIONAL PLC............ 567,953 12,590 DOLLFUS-MIEG & CIE.................. 514,618 1,622,000 o KANEBO LTD.......................... 4,025,259 33,900 NIKE, INC (CLASS B)................. 2,360,287 187,000 NISSHINBO INDUSTRY, INC............. 1,812,778 154,000 ONWARD KASHIYMA CO LTD.............. 2,508,031 859,000 TORAY INDUSTRIES, INC............... 5,662,459 ------------- 18,821,888 ------------- TOBACCO--2.66% 687,191 B.A.T. INDUSTRIES LTD............... 6,054,843 842,145 PHILIP MORRIS COS, INC.............. 76,214,122 556 RJR NABISCO HOLDINGS CORP........... 17,166 5,810 TABACALERA S.A. SERIES A (REGD)..... 220,302 ------------- 82,506,433 ------------- TRADING COMPANIES--0.47% 100,000 ITOCHU CORP......................... 673,733 473,000 MARUBENI CORP....................... 2,563,161 402,000 MITSUBISHI CORP..................... 4,949,174 416,000 MITSUI & CO LTD..................... 3,653,629 257,000 SUMITOMO CORP....................... 2,615,925 ------------- 14,455,622 ------------- TRUCKERS & SHIPPING--0.84% 851,600 AWILCO AS SERIES B.................. 7,885,038 2,160,000 o CHUAN HUP HOLDINGS.................. 1,954,614 36 DAMPSKIBSSELSKABET AF 1912 (CLASS B).......................... 688,559 26 DAMPSKIBSSELSKABET SVENDBORG (CLASS B).......................... 717,790 396,000 o MITSUI OSK LINES LTD................ 1,270,650 2,908,000 NEPTUNE ORIENT LINES LTD............ 3,268,803 636,000 NIPPON YUSEN K.K.................... 3,693,065 100,000 o NORDIC AMERICAN TANKER SHIP WTS 09/30/97....................... 350,000 75,000 OCEAN GROUP PLC..................... 451,806 138,799 PENINSULAR & ORIENTAL STEAM NAVIGATION CO...................... 1,025,776 11,600 ROADWAY SERVICES, INC............... 566,950 200 RYDER SYSTEMS, INC.................. 4,950 78,000 SEINO TRANSPORTATION CO LTD......... 1,308,108 244,758 YAMATO TRANSPORT CO LTD............. 2,918,401 ------------- 26,104,510 ------------- UTILITIES--ELECTRIC--2.01% 14,200 BALTIMORE GAS & ELECTRIC CO......... 404,700 1,286,000 CHINA LIGHT & POWER CO LTD.......... 5,920,888 8,700 DOMINION RESOURCES, INC............. 358,875 197,488 EAST MIDLANDS ELECTRICITY PLC....... 2,045,154 459,550 EDISON.............................. 1,980,292 10,950 ELECTRABEL NV (VVPR)................ 2,604,490 33,227 EMPRESA NACIONAL DE ELECTRIDAD S.A.. 1,881,625 36,604 IBERDROLA 1 S.A..................... 334,916 293,910 KANSAI ELECTRIC POWER CO, INC....... 7,122,908 140,808 o NATIONAL GRID GROUP................. 436,143 761,600 NATIONAL POWER PLC.................. 5,315,158 138,900 PACIFIC GAS & ELECTRIC CO........... 3,941,287 7,291 RHEIN-WESTFALEN ELECTRIC AG. (STAMM) 2,648,866 186,372 SCOTTISH POWER PLC.................. 1,070,636 1,824,000 SHUN TAK ENTERPRISES CORP LTD....... 1,285,633 824,000 TENAGA NASIONAL BERHAD.............. 3,245,373 156,954 TOHOKU ELECTRIC POWER CO, INC....... 3,788,565 453,187 TOKYO ELECTRIC POWER CO, INC........ 12,125,217 600 TRACTEBEL NV........................ 252,803 95,000 VEBA AG............................. 4,042,132 3,799 VIAG AG............................. 1,526,183 ------------- 62,331,844 ------------- UTILITIES--GAS & PIPELINE--1.07% 1,067,670 BRITISH GAS CORP PLC................ 4,210,467 27,000 o COASTAL CORP........................ 1,005,750 34,900 EASTERN ENTERPRISES................. 1,230,225 6,287 ENERGIA E INDUSTRIAS ARAGONESAS S.A. 23,994 84,000 ENRON CORP.......................... 3,202,500 23,141 GENERALE DES EAUX................... 2,313,389 165,592 IPL ENERGY, INC..................... 3,869,967 1,955,000 OSAKA GAS CO LTD.................... 6,765,781 19,000 PANHANDLE EASTERN CORP.............. 529,625 2,875,000 TOKYO GAS CO LTD.................... 10,144,771 ------------- 33,296,469 ------------- -39- SHARES VALUE ------ ----- UTILITIES--OTHER--0.51% 470,890 ANGLIAN WATER PLC .................. $ 4,423,178 556,310 NORTH WEST WATER PLC ............... 5,320,557 702,956 THAMES WATER PLC ................... 6,133,721 ------------- 15,877,456 ------------- UTILITIES--TELEPHONE--2.31% 259,419 AT & T CORP ........................ 16,797,380 36,600 BELL ATLANTIC CORP ................. 2,447,625 139,594 BELLSOUTH CORP ..................... 6,072,339 2,433,981 BRITISH TELECOMMUNICATIONS PLC ..... 13,377,656 407,749 CABLE & WIRELESS PLC ............... 2,912,127 4,399,800 HONG KONG TELECOMMUNICATIONS LTD ... 7,852,499 69,301 PACIFIC TELESIS GROUP .............. 2,330,246 33,900 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP ........... 1,347,525 63,250 SPRINT CORP ........................ 2,522,093 869,999 TELECOM ITALIA S.P.A. .............. 1,353,805 869,999 o TELECOM ITALIA MOBILE S.P.A. ....... 1,531,937 234,503 TELEFONICA DE ESPANA S.A. .......... 3,247,453 738,000 TELEKOM MALAYSIA BERHAD ............ 5,755,181 1,129,704 VODAFONE GROUP PLC ................. 4,042,920 ------------- 71,590,786 ------------- TOTAL COMMON STOCK (COST $2,557,751,362) ................ 2,896,751,185 ------------- PAR VALUE ----- SHORT TERM INVESTMENTS--8.06% BANKERS ACCEPTANCES--0.26% NATIONS BANK OF TEXAS 8,000,000 * 5.630%, 02/02/96 ................ 7,959,335 ------------ COMMERCIAL PAPER--3.49% AMERICAN EXPRESS CREDIT CORP 8,600,000 5.610%, 03/12/96 ................ 8,501,563 ASSOCIATES CORP OF NORTH AMERICA 8,600,000 5.610%, 03/11/96 ................ 8,502,929 BURLINGTON NORTHERN SANTA FE 5,000,000 5.950%, 01/22/96 ................ 4,981,786 CAMPBELL SOUP CO 4,677,000 # 5.620%, 01/08/96 ................ 4,670,795 CIESCO LP 8,600,000 5.600%, 01/29/96 ................ 8,559,279 CONAGRA, INC 8,600,000 6.030%, 01/31/96 ................ 8,555,896 COOPER INDUSTRIES, INC 8,000,000 5.900%, 01/02/96 ................ 7,997,768 DILLARD INVESTMENT CO, INC 8,600,000 5.850%, 01/11/96 ................ 8,584,471 DUPONT (E.I.) DE NEMOURS & CO 4,680,000 5.630%, 01/10/96 ................ 4,672,259 EL PASO NATURAL GAS CO 3,460,000 5.880%, 02/05/96 ................ 3,439,363 GENERAL SIGNAL CORP 1,230,000 5.750%, 02/13/96 ................ 1,221,324 GOLDMAN SACHS GROUP, LP 8,600,000 6.050%, 01/11/96 ................ 8,584,567 MCI COMMUNICATIONS CORP 8,450,000 5.700%, 01/17/96 ................ 8,426,541 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE 8,000,000 * 5.680%, 02/07/96 ................ 7,950,435 NATIONSBANK CORP 5,000,000 5.580%, 02/15/96 ................ 4,963,416 UNION OIL CO OF CALIFORNIA 8,600,000 5.900%, 02/06/96 ................ 8,547,291 -------------- 108,159,683 -------------- GOVERNMENT AGENCIES--4.31% FEDERAL HOME LOAN BANK 26,000,000 5.450%, 01/22/96 ................ 25,908,898 20,000,000 5.300%, 03/20/96 ................ 19,751,232 FEDERAL HOME LOAN MORTGAGE CORP 29,800,000 5.550%, 01/09/96 ................ 29,757,559 FEDERAL NATIONAL MORTGAGE ASSOCIATION 20,000,000 * 5.670%, 01/04/96 ................ 19,987,400 30,000,000 * 5.520%, 02/08/96 ................ 29,818,208 3,915,000 5.450%, 03/19/96 ................ 3,866,944 4,670,000 5.350%, 04/24/96 ................ 4,587,001 -------------- 133,677,242 -------------- TOTAL SHORT TERM INVESTMENTS (COST $249,869,965) .................. 249,796,260 -------------- ROUNDING ........................... 284 -------------- TOTAL PORTFOLIO (COST $2,861,882,876) ................ $3,196,835,727 ============== - ---------------- o NON-INCOME PRODUCING + AFFILIATE HOLDING # RESTRICTED * ALL OR A PORTION OF THIS SECURITY HAS BEEN SEGREGATED BY THE CUSTODIAN TO COVER MARGIN OR OTHER REQUIREMENTS ON OPEN FUTURES CONTRACTS, COVERED CALL OPTIONS WRITTEN AND SECURITIES PURCHASED ON A DELAYED DELIVERY BASIS. See notes to financial statements. -40- COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES--GLOBAL EQUITIES ACCOUNT JANUARY 1, 1995--DECEMBER 31, 1995
VALUE AT PURCHASES SALES DECEMBER 31, ------------------- -------------------------- REALIZED DIVIDEND ISSUE 1994 SHARES COST SHARES PROCEEDS GAIN (LOSS) INCOME ----- ------------ ------- ----- ------- -------- ----------- -------- ADAC LABORATORIES, INC NEW .. $ 9,452,622 -- -- -- -- -- $ 576,156 * AUTOLIV AB .................. ** 593,350 $ 26,517,098 824,900 $ 47,854,167 $ 18,441,569 525,073 * DYNO INDUSTRIER AS .......... ** 298,300 8,366,118 577,900 14,252,307 (178,867) -- IHC CALAND NV ............... 58,418,682 -- -- -- -- -- 2,045,540 ~* INFINITY BROADCASTING CORP (CLASS A) ............ 56,666,925 1,251,075 14,323,383 292,000 10,538,122 3,115,035 -- COMMUNITY PSYCHIATRIC CENTERS ** 861,800 9,980,548 375,400 4,475,062 437,073 (20,203) WESTWOOD ONE, INC ........... ** 689,200 11,233,532 -- -- -- -- ------------ --------- ------------ ------------ ------------ ------------ ------------ TOTAL AFFILIATED TRANSACTIONS $124,538,229 $ 70,420,679 $ 77,119,658 $ 21,814,810 $ 3,126,566 ============ ============ ============ ============ ============
** NOT AN AFFILIATE AS OF DECEMBER 31, 1994 * NOT AN AFFILIATE AS OF DECEMBER 31, 1995 ~ SHARES OUTSTANDING INCREASED See notes to financial statements. -41- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT DECEMBER 31, 1995 SUMMARY VALUE % ----- ----- PREFERRED STOCK FINANCIAL--MISCELLANEOUS ......... $ 20,452 0.00% HEALTHCARE--SERVICE .............. 12,780 0.00 -------------- ------ TOTAL PREFERRED STOCK (COST $33,958) .................... 33,232 0.00 -------------- ------ COMMON STOCK AEROSPACE ........................ 665,475 0.06 AIR TRANSPORTATION ............... 2,069,099 0.18 AUTOMOTIVE & RELATED ............. 21,155,369 1.83 BANKS ............................ 10,541,500 0.91 BEVERAGES ........................ 38,592,187 3.34 BROADCASTERS ..................... 12,187,785 1.05 BUSINESS SERVICES ................ 15,766,107 1.36 CHEMICALS--MAJOR ................. 11,827,099 1.02 CHEMICALS--SPECIALTY ............. 9,818,734 0.85 COMMUNICATION EQUIPMENT & SERVICES 41,175,346 3.56 COMPUTER SERVICE ................. 67,273,493 5.82 CONGLOMERATES .................... 10,622,274 0.92 CONSTRUCTION--MATERIALS & BUILDERS 2,740,821 0.24 CONTAINERS ....................... 764,025 0.07 COSMETICS ........................ 8,626,075 0.75 ELECTRICAL EQUIPMENT ............. 57,926,831 5.01 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED ......... 54,182,265 4.69 ELECTRICAL EQUIPMENT--INSTRUMENTS 3,890,548 0.34 ENVIRONMENTAL CONTROL ............ 6,161,799 0.53 FINANCIAL--MISCELLANEOUS ......... 57,529,711 4.97 FOODS ............................ 36,938,528 3.19 FOREST PRODUCTS .................. 300,700 0.03 HEALTHCARE--DRUGS ................ 76,224,320 6.59 HEALTHCARE--HOSPITAL SUPPLY ...... 36,297,133 3.14 HEALTHCARE--OTHER ................ 16,332,102 1.41 HEALTHCARE--SERVICE .............. 80,176,784 6.93 HOUSEHOLD--DURABLE GOODS ......... 28,310,100 2.45 HOUSEHOLD--PRODUCTS .............. 44,614,323 3.86 INSURANCE--BROKERS & OTHER ....... 2,822,100 0.24 INSURANCE--LIFE .................. 1,083,025 0.09 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ............ 35,818,561 3.10 LEISURE TIME ..................... 44,534,898 3.85 MACHINERY ........................ 15,708,706 1.36 METALS--ALUMINIUM ................ 136,400 0.01 METALS--GOLD ..................... 8,621,584 0.74 METALS--NON-FERROUS .............. 239,350 0.02 METALS--STEEL .................... 1,993,449 0.17 OFFICE EQUIPMENT ................. 20,458,149 1.77 PAPER ............................ 4,626,931 0.40 PETROLEUM-- EXPLORATION & PRODUCTION ........ 4,447,362 0.39 PETROLEUM--INTEGRATED ............ 4,756,438 0.41 PETROLEUM--SERVICE ............... 7,062,914 0.61 PHOTOGRAPHY ...................... 5,707,150 0.49 PROPERTY--REAL ESTATE ............ 1,664,825 0.14 PUBLISHING--NEWSPAPER ............ 3,147,162 0.27 PUBLISHING--OTHER ................ 10,332,959 0.89 RAILROAD ......................... 2,916,637 0.25 RESTAURANTS & HOTELS ............. 18,914,843 1.64 RETAIL--FOOD ..................... 12,083,311 1.05 RETAIL--GENERAL MERCHANDISE ...... 82,953,860 7.17 TEXTILE & APPAREL ................ 12,850,506 1.11 TOBACCO .......................... 43,216,124 3.74 TRUCKERS & SHIPPING .............. 10,727,830 0.93 UTILITIES--ELECTRIC .............. 784,087 0.07 UTILITIES--GAS & PIPELINE ........ 6,022,883 0.52 UTILITIES--TELEPHONE ............. 31,457,414 2.72 -------------- ------ TOTAL COMMON STOCK (COST $993,489,616) ............... 1,147,799,991 99.25 -------------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ................ 2,496,686 0.22 GOVERNMENT AGENCIES ............. 9,506,430 0.82 -------------- ------ TOTAL SHORT TERM INVESTMENTS (COST $12,008,496) ................ 12,003,116 1.04 -------------- ------ ROUNDING ........................ 89 0.00 -------------- ------ TOTAL PORTFOLIO (COST $1,005,532,070) ............. 1,159,836,428 100.29 OTHER ASSETS & LIABILITIES, NET . (3,406,801) (0.29) -------------- ------ NET ASSETS ......................... $1,156,429,627 100.00% ============== ====== See notes to financial statements. -42- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT DECEMBER 31, 1995 SHARES VALUE ------ ----- PREFERRED STOCK--0.00% FINANCIAL--MISCELLANEOUS--0.00% 810 PHOENIX DUFF & PHELPS CORP ......... $ 20,452 -------------- HEALTHCARE--SERVICE--0.00% 480 FHP INTERNATIONAL CORP SERIES A CV.. 12,780 -------------- TOTAL PREFERRED STOCK (COST $33,958) ..................... 33,232 -------------- COMMON STOCK--99.25% AEROSPACE--0.06% 23,500 EG & G, INC ........................ 569,875 3,200 OEA, INC ........................... 95,600 -------------- 665,475 -------------- AIR TRANSPORTATION--0.18% 8,200 ATLANTIC SOUTHEAST AIRLINES, INC ... 176,300 8,500 COMAIR HOLDINGS, INC ............... 228,437 2,500 o FEDERAL EXPRESS CORP ............... 184,687 23,400 o MESA AIRLINES, INC ................. 210,600 27,300 SOUTHWEST AIRLINES CO .............. 634,725 2,500 o UAL CORP NEW ....................... 446,250 7,600 o VALUJET, INC ....................... 188,100 -------------- 2,069,099 -------------- AUTOMOTIVE & RELATED--1.83% 6,800 ALLEN GROUP, INC ................... 152,150 3,400 BANDAG, INC ........................ 184,025 4,500 BREED TECHNOLOGIES, INC ............ 83,250 656,300 COOPER TIRE & RUBBER CO ............ 16,161,387 7,200 DANAHER CORP ....................... 228,600 17,600 ECHLIN, INC ........................ 642,400 500 o FOAMEX INTERNATIONAL, INC .......... 3,687 97 GENERAL MOTORS CORP ................ 5,128 25,300 HARLEY DAVIDSON, INC ............... 727,375 17,600 HAYES WHEELS INTERNATIONAL, INC .... 451,000 26,800 o KIRBY CORP ......................... 435,500 17,800 o LEAR SEATING CORP .................. 516,200 18,400 o LO-JACK CORP ....................... 204,700 4,400 MODINE MANUFACTURING CO ............ 105,600 18,800 SAFETY-KLEEN CORP .................. 293,750 12,700 STANDARD PRODUCTS CO ............... 223,837 15,500 SUPERIOR INDUSTRIES INTERNATIONAL, INC ................. 408,812 7,200 o TBC CORP ........................... 62,100 1,150 TRANSPRO, INC ...................... 12,218 11,400 WABASH NATIONAL CORP ............... 253,650 -------------- 21,155,369 -------------- BANKS--0.91% 12,400 FIFTH THIRD BANCORP ................ 908,300 10,000 o LONG ISLAND BANCORP, INC ........... 263,750 3,900 NORTHERN TRUST CORP ................ 218,400 25,200 NORWEST CORP ....................... 831,600 49,359 OLD NATIONAL BANCORP ............... 1,715,225 241,000 SIGNET BANKING CORP ................ 5,723,750 7,500 SYNOVUS FINANCIAL CORP ............. 213,750 1,400 WELLS FARGO & CO ................... 302,400 11,800 WILMINGTON TRUST CORP .............. 364,325 -------------- 10,541,500 -------------- BEVERAGES--3.34% 31,500 ANHEUSER BUSCH COS, INC ............ 2,106,562 9,600 BROWN FORMAN, INC (CLASS B) ........ 350,400 331,800 COCA COLA CO ....................... 24,636,150 205,800 PEPSICO, INC ....................... 11,499,075 -------------- 38,592,187 -------------- BROADCASTERS--1.05% 12,075 o ASSOCIATED GROUP, INC (CLASS A) .... 227,915 575 o ASSOCIATED GROUP, INC (CLASS B) .... 10,925 21,700 CAPITAL CITIES/ABC, INC ............ 2,677,237 5,800 o CLEAR CHANNEL COMMUNICATIONS, INC .. 255,925 18,400 COMCAST CORP (CLASS A) ............. 324,300 63,800 COMCAST CORP (CLASS A) SPL ......... 1,160,362 16,700 o EVERGREEN MEDIA CORP (CLASS A) ..... 534,400 13,515 GAYLORD ENTERTAINMENT CO ........... 375,041 1,400 o INFINITY BROADCASTING CORP (CLASS A) 52,150 2,600 o KING WORLD PRODUCTIONS, INC ........ 101,075 31,350 o LIBERTY MEDIA GROUP CLASS A ........ 842,531 4,500 o LIN TELEVISION CORP ................ 133,875 162,700 o TELE-COMMUNICATIONS, INC (CLASS A) NEW ..................... 3,233,662 35,400 TURNER BROADCASTING SYSTEMS, INC (CLASS B) ............ 920,400 2,500 UNITED TELEVISION, INC ............. 225,625 16,996 o VIACOM, INC (CLASS A) .............. 779,691 5,687 o VIACOM, INC (CLASS B) .............. 269,421 4,600 o WESTCOTT COMMUNICATIONS, INC ....... 63,250 -------------- 12,187,785 -------------- BUSINESS SERVICES--1.36% 8,700 o ACCUSTAFF, INC ..................... 382,800 7,900 ADVO, INC .......................... 205,400 18,200 o AMERICA ONLINE, INC ................ 682,500 13,000 AUTODESK, INC ...................... 445,250 31,200 BLOCK (H&R), INC ................... 1,263,600 29,900 o CALGENE, INC ....................... 138,287 3,200 o CATALINA MARKETING CORP ............ 200,800 5,300 CINTAS CORP ........................ 235,850 25,900 o CORPORATE EXPRESS, INC ............. 780,237 7,100 o CREDENCE SYSTEMS CORP .............. 162,412 6,000 DELUXE CORP ........................ 174,000 10,400 o FORE SYSTEMS, INC .................. 618,800 17,700 o FRANKLIN QUEST CO .................. 345,150 10,100 o FRITZ COS INC ...................... 419,150 7,000 o GENERAL MAGIC, INC ................. 74,375 15,900 HARLAND (JOHN H.) CO ............... 331,912 30,500 INTERPUBLIC GROUP OF COS, INC ...... 1,322,937 5,000 o ITRON, INC ......................... 168,750 22,800 MANPOWER, INC ...................... 641,250 5,400 o MCAFEE ASSOCIATES, INC ............. 236,925 4,600 o MERCURY INTERACTIVE ................ 83,950 5,800 o MICRO WAREHOUSE, INC ............... 250,850 11,800 o NORAND CORP ........................ 138,650 38,100 o OFFICE DEPOT, INC .................. 752,475 5,100 OLSTEN CORP ........................ 201,450 8,000 OMNICOM GROUP, INC ................. 298,000 2,200 o OPTICAL DATA SYSTEMS, INC .......... 55,550 9,700 PAYCHEX, INC ....................... 483,787 4,000 o QUARTERDECK CORP ................... 110,000 7,600 o ROBERT HALF INTERNATIONAL, INC ..... 318,250 See notes to financial statements. -43- SHARES VALUE ------ ----- BUSINESS SERVICES (Continued) 4,100 ROLLINS, INC ....................... $ 90,712 18,500 SENSORMATIC ELECTRONICS CORP ....... 321,437 28,600 SERVICE CORP INTERNATIONAL ......... 1,258,400 7,900 o SPECTRUM HOLOBYTE, INC ............. 51,350 10,700 o STAC, INC .......................... 153,812 11,000 o STRATACOM, INC ..................... 808,500 6,600 o SUNGARD DATA SYSTEMS, INC .......... 188,100 5,400 o TIVOLI SYSTEMS, INC ................ 182,250 23,300 o U.S. CELLULAR CORP ................. 786,375 2,800 VALSPAR CORP ....................... 124,950 7,100 o VERIFONE, INC ...................... 203,237 4,300 o WONDERWARE CORP .................... 73,637 -------------- 15,766,107 -------------- CHEMICALS--MAJOR--1.02% 25,200 AIR PRODUCTS & CHEMICALS, INC ...... 1,329,300 45,900 DOW CHEMICAL CO .................... 3,230,212 8,700 EASTMAN CHEMICAL CO ................ 544,837 25,400 HERCULES, INC ...................... 1,431,925 14,600 MONSANTO CO ........................ 1,788,500 5,100 o OAK TECHNOLOGY, INC ................ 215,475 41,000 PPG INDUSTRIES, INC ................ 1,875,750 41,200 PRAXAIR, INC ....................... 1,385,350 400 ROHM & HAAS CO ..................... 25,750 -------------- 11,827,099 -------------- CHEMICALS--SPECIALTY--0.85% 8,700 o AIRGAS, INC ........................ 289,275 19,000 ALBEMARLE CORP ..................... 368,125 3,900 BETZ LABORATORIES, INC ............. 159,900 7,000 CROMPTON & KNOWLES CORP ............ 92,750 14,500 ECOLAB, INC ........................ 435,000 35,450 ENGELHARD CORP ..................... 771,037 37,500 ETHYL CORP ......................... 468,750 15,000 FERRO CORP ......................... 348,750 4,700 FOSTER WHEELER CORP ................ 199,750 10,600 GEORGIA GULF CORP .................. 325,950 20,800 GREAT LAKES CHEMICAL CORP .......... 1,497,600 4,200 LOCTITE CORP ....................... 199,500 9,700 LUBRIZOL CORP ...................... 270,387 9,700 LYONDELL PETROCHEMICAL CO .......... 221,887 5,050 o MCWHORTER TECHNOLOGIES, INC ........ 74,487 42,400 MORTON INTERNATIONAL, INC .......... 1,521,100 27,500 NALCO CHEMICAL CORP ................ 828,437 4,700 RAYCHEM CORP ....................... 267,312 10,750 RPM, INC ........................... 177,375 3,625 SCHULMAN A, INC .................... 81,562 17,000 SIGMA ALDRICH CORP ................. 841,500 26,800 o STERLING CHEMICALS, INC ............ 217,750 2,600 VIGORO CORP ........................ 160,550 -------------- 9,818,734 -------------- COMMUNICATION EQUIPMENT & SERVICES--3.56% 41,526 o 3COM CORP .......................... 1,936,149 129,100 o AIRTOUCH COMMUNICATIONS, INC ....... 3,647,075 8,600 o ANDREW CORP ........................ 328,950 12,900 o ARCH COMMUNICATIONS GROUP, INC ..... 309,600 17,300 o ASCEND COMMUNICATIONS INC .......... 1,403,462 6,800 o AVID TECHNOLOGIES, INC ............. 129,200 11,100 o BRINKER INTERNATIONAL, INC ......... 167,887 12,050 o CABLETRON SYSTEMS, INC ............. 976,050 3,000 o CAI WIRELESS SYSTEMS, INC .......... 28,875 8,300 o CASCADE COMMUNICATIONS CORP ........ 707,575 30,300 o CENTURY COMMUNICATIONS CORP (CLASS A) ......................... 242,400 6,200 CENTURY TELEPHONE ENTERPRISES, INC . 196,850 8,700 o CIDCO, INC ......................... 221,850 197,000 o CISCO SYSTEMS, INC ................. 14,701,125 61,600 CORNING, INC ....................... 1,971,200 19,900 o DIGI INTERNATIONAL, INC ............ 378,100 29,200 o DSC COMMUNICATIONS CORP ............ 1,076,750 4,000 o DSP COMMUNICATIONS, INC ............ 174,500 12,800 o DSP GROUP, INC ..................... 147,200 20,600 o GEOTEK COMMUNICATIONS, INC ......... 130,037 3,400 o GLOBAL VILLAGE COMMUNICATION, INC .. 65,875 3,100 o INTERDIGITAL COMMUNICATIONS CORP ... 22,862 8,000 o MACROMEDIA, INC .................... 418,000 13,900 o METROCALL, INC ..................... 265,837 5,100 o NETCOM ON-LINE COMMUNICATION SERVICES, INC ..................... 183,600 24,400 o NEW WORLD COMMUNICATIONS GROUP, INC ......... 427,000 79,100 o NOVELL, INC ........................ 1,127,175 8,400 o OCTEL COMMUNICATIONS CORP .......... 270,900 21,400 o PAGING NETWORK, INC ................ 521,625 1,400 o PAIRGAIN TECHNOLOGIES, INC ......... 76,650 9,500 o PICTURETEL CORP NEW ................ 409,687 3,100 o PREMISYS COMMUNICATIONS, INC ....... 173,600 12,700 o QUALCOMM, INC ...................... 546,100 27,000 SCIENTIFIC-ATLANTA, INC ............ 405,000 425,900 o TECH DATA CORP ..................... 6,388,500 18,000 o TELLABS, INC ....................... 666,000 16,400 o VANGUARD CELLULAR SYSTEMS, INC ..... 332,100 -------------- 41,175,346 -------------- COMPUTER SERVICE--5.82% 136,500 o ADAPTEC, INC ....................... 5,596,500 14,800 o ADC TELECOMMUNICATIONS, INC ........ 540,200 16,700 ADOBE SYSTEMS, INC ................. 1,035,400 10,850 o AMERICAN MANAGEMENT SYSTEMS, INC ... 325,500 7,400 o AUSPEX SYSTEMS, INC ................ 135,050 42,800 AUTOMATIC DATA PROCESSING, INC ..... 3,177,900 9,300 o BANCTEC, INC ....................... 172,050 50,255 o BAY NETWORKS, INC .................. 2,066,736 3,400 o BISYS GROUP, INC ................... 104,550 13,200 o BMC SOFTWARE, INC .................. 564,300 11,300 o BOSTON TECHNOLOGY, INC ............. 144,075 4,600 o BRODERBUND SOFTWARE, INC ........... 279,450 14,200 o CADENCE DESIGN SYSTEMS, INC ........ 596,400 18,100 o CHEYENNE SOFTWARE, INC ............. 472,862 10,400 o COMPUSA, INC ....................... 323,700 328,550 COMPUTER ASSOCIATES INTERNATIONAL, INC ................. 18,686,281 58,000 o COMPUTER NETWORK TECHNOLOGY CORP ... 261,000 1,600 o COMPUTER SCIENCES CORP ............. 112,400 7,100 o COMPUWARE CORP ..................... 131,350 4,500 o CONTINUM, INC ...................... 177,750 4,100 o CYRIX CORP ......................... 94,300 5,000 o DAVIDSON & ASSOCIATES, INC ......... 110,000 13,400 o ELECTRONIC ARTS .................... 350,075 46,700 o EMC CORP ........................... 718,012 56,911 FIRST DATA CORP .................... 3,805,923 26,700 o FISERV, INC ........................ 801,000 11,800 o FTP SOFTWARE, INC .................. 342,200 82,800 GENERAL MOTORS CORP (CLASS E) ...... 4,305,600 13,400 HBO & CO ........................... 1,026,775 11,800 o IDENTIX, INC ....................... 125,375 3,200 o INTERSOLV INC ...................... 41,200 8,800 o INTUIT, INC ........................ 686,400 5,800 o KEANE, INC ......................... 128,325 3,000 o LANDMARK GRAPHICS CORP ............. 69,750 10,600 o MEDIC COMPUTER SYSTEMS, INC ........ 641,300 25,100 o MENTOR GRAPHICS CORP ............... 458,075 11,100 o MICROCHIP TECHNOLOGY, INC .......... 405,150 See notes to financial statements. -44- SHARES VALUE ------ ----- COMPUTER SERVICE (CONTINUED) 92,800 o MICROSOFT CORP ..................... $ 8,143,200 9,900 o MINNESOTA EDUCATIONAL COMPUTING CORP 247,500 20,100 o NETMANAGE, INC ..................... 467,325 6,500 o NETWORK GENERAL CORP ............... 216,937 22,400 o NETWORK PERIPHERALS ................ 263,200 87,050 o ORACLE CORP ........................ 3,688,743 18,200 o PARAMETRIC TECHNOLOGY CORP ......... 1,210,300 7,400 o PEOPLESOFT, INC .................... 318,200 14,800 o PHYSICIAN COMPUTER NETWORK, INC .... 133,200 12,300 o PLATINUM TECHNOLOGY, INC ........... 226,012 12,200 o READ-RITE CORP ..................... 283,650 7,800 REYNOLDS & REYNOLDS CO (CLASS A) ... 303,225 4,000 SEI CORP ........................... 87,000 4,300 o SHIVA CORP ......................... 312,825 3,200 o SIERRA ON-LINE, INC ................ 92,000 8,000 o STERLING SOFTWARE, INC ............. 499,000 1,300 o STRUCTURAL DYNAMICS RESEARCH CORP .. 38,187 15,100 o SYBASE, INC ........................ 543,600 14,800 o SYMANTEC CORP ...................... 344,100 13,600 o SYNOPSYS, INC ...................... 516,800 8,100 SYSTEM SOFTWARE ASSOCIATES, INC .... 176,175 2,000 o SYSTEMSOFT CORP .................... 22,500 5,400 o TRIDENT MICROSYSTEMS, INC .......... 126,900 -------------- 67,273,493 -------------- CONGLOMERATES--0.92% 14,100 ALCO STANDARD CORP ................. 643,312 24,700 ALLIED SIGNAL, INC ................. 1,173,250 125,000 o COLTEC INDUSTRIES, INC ............. 1,453,125 3,900 o CONCORD EFS, INC ................... 164,775 9,800 CRANE CO ........................... 361,375 73,100 MINNESOTA MINING & MANUFACTURING CO 4,842,875 17,500 TYCO INTERNATIONAL LTD ............. 623,437 58,500 WHITMAN CORP ....................... 1,360,125 -------------- 10,622,274 -------------- CONSTRUCTION--MATERIALS & BUILDERS--0.24% 17,156 CLAYTON HOMES, INC ................. 366,709 6,100 DEBARTOLO REALTY CORP .............. 79,300 8,600 FASTENAL CO ........................ 363,350 23,800 o KENETECH CORP ...................... 38,675 14,600 MASCO CORP ......................... 458,075 4,200 MEDUSA CORP ........................ 111,300 5,300 OAKWOOD HOMES CORP ................. 203,387 11,000 o OWENS CORNING FIBERGLAS CORP NEW ... 493,625 7,200 SHERWIN-WILLIAMS CO ................ 293,400 11,100 o USG CORP ........................... 333,000 -------------- 2,740,821 -------------- CONTAINERS--0.07% 18,300 o CROWN CORK & SEAL CO, INC .......... 764,025 -------------- COSMETICS--0.75% 19,600 AVON PRODUCTS, INC ................. 1,477,350 8,000 CARTER WALLACE, INC ................ 91,000 119,600 GILLETTE CO ........................ 6,234,150 12,400 INTERNATIONAL FLAVORS & FRAGRANCES, INC ................... 595,200 6,300 MAYBELLINE, INC .................... 228,375 -------------- 8,626,075 -------------- ELECTRICAL EQUIPMENT--5.01% 27,200 o AMERICAN POWER CONVERSION CORP ..... 258,400 8,000 AMETEK, INC ........................ 150,000 60,350 o ASEA AB SERIES A ................... 5,873,467 14,100 o COMPUTER PRODUCTS, INC ............. 162,150 31,600 DURACELL INTERNATIONAL, INC ........ 1,635,300 35,600 EMERSON ELECTRIC CO ................ 2,910,300 610,900 GENERAL ELECTRIC CO ................ 43,984,800 4,500 GRAINGER (W.W.), INC ............... 298,125 12,100 HONEYWELL, INC ..................... 588,362 4,020 HUBBELL, INC (CLASS B) ............. 264,315 6,200 JUNO LIGHTING, INC ................. 99,200 44,900 o MAGNETEK, INC ...................... 364,812 1,900 o MICRODYNE CORP ..................... 32,300 2,600 o MICROTEST, INC ..................... 26,000 6,600 o ROBOTIC VISION SYSTEMS, INC ........ 159,225 1,200 o SANMINA CORP ....................... 62,250 20,500 o SEMITOOL, INC ...................... 266,500 11,700 o SPECTRIAN CORP ..................... 260,325 7,200 THOMAS & BETTS CORP ................ 531,000 -------------- 57,926,831 -------------- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--4.69% 10,500 o ADVANCED MICRO DEVICES, INC ........ 173,250 3,700 o ALANTEC CORP ....................... 215,525 11,900 o ALTERA CORP ........................ 592,025 62,600 AMP, INC ........................... 2,402,275 14,800 o AMPHENOL CORP (CLASS A) ............ 358,900 16,600 o ANALOG DEVICES, INC ................ 587,225 218,700 o ARROW ELECTRONICS, INC ............. 9,431,437 26,900 o ATMEL CORP ......................... 601,887 15,400 o CIRRUS LOGIC, INC .................. 304,150 17,400 o COLONIAL DATA TECHNOLOGIES CORP .... 356,700 4,100 o CREE RESEARCH, INC ................. 60,475 28,600 o CYPRESS SEMICONDUCTOR CORP ......... 364,650 7,800 DALLAS SEMICONDUCTOR CORP .......... 161,850 3,100 FISHER SCIENTIFIC INTERNATIONAL, INC 103,462 31,700 o GENERAL INSTRUMENT CORP NEW ........ 740,987 5,900 o HADCO CORP ......................... 165,937 11,100 HELIX TECHNOLOGY CORP .............. 438,450 1,500 o HUTCHINSON TECHNOLOGY, INC ......... 63,375 16,800 o INTEGRATED DEVICE TECHNOLOGY, INC .. 216,300 213,100 INTEL CORP ......................... 12,093,425 13,800 o INTERNATIONAL RECTIFIER CORP ....... 345,000 15,400 o KEMET CORP ......................... 367,675 9,800 o LAM RESEARCH CORP .................. 448,350 28,300 LINEAR TECHNOLOGY CO ............... 1,110,775 31,400 o LSI LOGIC CORP ..................... 1,028,350 92,500 o MAXIM INTEGRATED PRODUCTS .......... 3,561,250 41,100 MICRON TECHNOLOGY, INC ............. 1,628,587 17,375 MOLEX, INC ......................... 551,656 150,800 MOTOROLA, INC ...................... 8,595,600 24,600 o NATIONAL SEMICONDUCTOR CORP ........ 547,350 24,800 o S3, INC ............................ 437,100 5,800 o SIERRA SEMICONDUCTOR CORP .......... 80,475 16,200 o SYMMETRICOM, INC ................... 222,750 45,500 TEXAS INSTRUMENTS, INC ............. 2,354,625 16,300 o TRIMBLE NAVIGATION LTD ............. 303,587 12,400 o U.S. ROBOTICS CORP ................. 1,088,100 20,600 o VICOR CORP ......................... 412,000 11,400 o VISHAY INTERTECHNOLOGY, INC ........ 359,100 14,200 o VITESSE SEMICONDUCTOR CORP ......... 181,050 3,800 o VLSI TECHNOLOGY, INC ............... 68,875 6,200 o WESTERN DIGITAL CORP ............... 110,825 22,400 o XILINX, INC ........................ 683,200 7,200 o ZILOG, INC ......................... 263,700 -------------- 54,182,265 -------------- ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.34% 43,300 o APPLIED MATERIALS, INC ............. 1,704,937 5,600 o DIONEX CORP ........................ 317,800 8,500 o ELECTRONICS FOR IMAGING, INC ....... 371,875 See notes to financial statements. -45- SHARES VALUE ------ ----- ELECTRICAL EQUIPMENT-- INSTRUMENTS (CONTINUED) 17,000 o KLA INSTRUMENT CORP ................ $ 443,062 4,800 o LTX CORP ........................... 43,800 1,300 o NORTHFIELD LABS INC ................ 24,537 5,400 PERKIN-ELMER CORP .................. 203,850 6,900 o TENCOR INSTRUMENTS ................. 168,187 24,500 o TERADYNE, INC ...................... 612,500 -------------- 3,890,548 -------------- ENVIRONMENTAL CONTROL--0.53% 46,600 BROWNING FERRIS INDUSTRIES, INC .... 1,374,700 7,500 o U.S. FILTER CORP ................... 199,687 33,200 o U.S.A. WASTE SERVICES, INC ......... 626,650 32,600 WHEELABRATOR TECHNOLOGIES, INC NEW . 546,050 114,300 WMX TECHNOLOGIES, INC .............. 3,414,712 -------------- 6,161,799 -------------- FINANCIAL--MISCELLANEOUS--4.97% 15,100 ADVANTA CORP (CLASS A) ............. 577,575 97,000 AMERICAN EXPRESS CO ................ 4,013,375 6,600 CASE CORPORATION ................... 301,950 22,600 o CATELLUS DEVELOPMENT CORP .......... 135,600 17,843 COUNTRYWIDE CREDIT INDUSTRIES, INC . 388,085 12,900 o CREDIT ACCEPTANCE CORP ............. 267,675 10,800 DEAN WITTER DISCOVER & CO .......... 507,600 30,666 DUFF & PHELPS CREDIT RATING CO ..... 440,823 5,000 o EIS INTERNATIONAL, INC ............. 80,000 35,500 FEDERAL HOME LOAN MORTGAGE CORP .... 2,964,250 222,400 FEDERAL NATIONAL MORTGAGE ASSOCIATION .............. 27,605,400 273,300 FIRST USA, INC ..................... 12,127,687 10,400 FRANKLIN RESOURCES, INC ............ 523,900 19,500 o GARTNER GROUP, INC (CLASS A) NEW ... 933,562 45,000 GREEN TREE FINANCIAL CORP .......... 1,186,875 2,300 HOUSEHOLD INTERNATIONAL, INC ....... 135,987 35,000 MBNA CORP .......................... 1,290,625 19,700 o MEDAPHIS CORP ...................... 728,900 43,250 MERCURY FINANCE CO ................. 573,062 8,100 PHOENIX DUFF & PHELPS CORP ......... 55,687 8,800 PIONEER GROUP, INC ................. 239,800 8,200 PRICE (T. ROWE) ASSOCIATES, INC .... 403,850 34,100 SCHWAB (CHARLES) CORP .............. 686,262 3,200 STUDENT LOAN MARKETING ASSOCIATION . 210,800 12,850 THE MONEY STORE, INC ............... 200,781 17,400 o TIG HOLDINGS, INC .................. 495,900 4,400 UNITED ASSET MANAGEMENT CORP ....... 168,850 10,800 UNITED COS FINANCIAL CORP .......... 284,850 -------------- 57,529,711 -------------- FOODS--3.19% 12,400 o ARCHER DANIELS MIDLAND CO .......... 223,200 38,300 CAMPBELL SOUP CO ................... 2,298,000 5,825 CARDINAL HEALTH, INC ............... 318,918 67,800 CONAGRA, INC ....................... 2,796,750 37,900 CPC INTERNATIONAL, INC ............. 2,600,887 5,400 FLOWERS INDUSTRIES, INC ............ 65,475 35,400 GENERAL MILLS, INC ................. 2,044,350 26,200 o GENERAL NUTRITION COS, INC ......... 602,600 48,700 HEINZ (H.J.) CO .................... 1,613,187 1,800 HERSHEY FOODS CORP ................. 117,000 2,500 IBP, INC ........................... 126,250 29,700 KELLOGG CO ......................... 2,294,325 27,100 MCCORMICK & CO, INC ................ 653,787 23,100 NABISCO HOLDINGS CORP (CLASS A) .... 753,637 22,800 PIONEER-HI-BRED INTERNATIONAL, INC . 1,268,250 25,000 QUAKER OATS CO ..................... 862,500 20,600 RALSTON PURINA GROUP ............... 1,284,925 132,600 SARA LEE CORP ...................... 4,226,625 463,900 TYSON FOODS, INC ................... 12,119,387 5,800 UNIVERSAL FOODS CORP ............... 232,725 8,300 WRIGLEY (WM) JR CO ................. 435,750 -------------- 36,938,528 -------------- FOREST PRODUCTS--0.03% 12,400 LOUISIANA PACIFIC CORP ............. 300,700 -------------- HEALTHCARE--DRUGS--6.59% 20,700 o ALZA CORP 512,325 42,300 AMERICAN HOME PRODUCTS CORP ........ 4,103,100 67,700 o AMGEN, INC ......................... 4,019,687 17,900 o ATHENA NEUROSCIENCES, INC .......... 219,275 7,500 o BIOGEN, INC ........................ 461,250 59,800 BRISTOL MYERS SQUIBB CO ............ 5,135,325 21,000 o CENTOCOR, INC ...................... 648,375 3,829 o CHIRON CORP ........................ 423,104 6,800 o CYGNUS, INC ........................ 152,150 2,500 o DURA PHARMACEUTICALS, INC .......... 86,875 2,000 o ENZO BIOCHEMICAL, INC .............. 38,500 14,500 o FOREST LABORATORIES, INC ........... 656,125 10,300 o GENZYME CORP ....................... 642,462 37,710 o GENZYME CORP (TISSUE REPAIR DIVISION) 598,646 15,600 o GILEAD SCIENCES, INC ............... 499,200 25,500 IVAX CORP .......................... 726,750 56,884 LILLY (ELI) & CO ................... 3,199,725 5,700 o LIPOSOME CO, INC ................... 114,000 326,800 #o MARTEK BIOSCIENCES CORP ............ 8,251,700 109,440 #o MARTEK BIOSCIENCES CORP WTS 5/18/98 ....................... 1,678,809 7,200 MCKESSON CORP NEW .................. 364,500 9,400 o MEDISENSE, INC ..................... 297,275 321,200 *MERCK & CO, INC .................... 21,118,900 33,900 MYLAN LABORATORIES, INC ............ 796,650 164,700 PFIZER, INC ........................ 10,376,100 61,500 o PHARMACIA & UPJOHN, INC ............ 2,383,125 3,700 RHONE-POULENC RORER, INC ........... 197,025 3,100 o ROBERTS PHARMACEUTICAL CORP ........ 55,025 11,000 o SCHERER (R.P.) CORP ................ 540,375 99,700 SCHERING-PLOUGH CORP ............... 5,458,575 9,300 o SEQUUS PHARMACEUTICALS, INC ........ 132,525 4,900 o SOMATOGEN, INC ..................... 92,487 16,600 WARNER-LAMBERT CO .................. 1,612,275 12,900 o WATSON PHARMACEUTICALS, INC ........ 632,100 -------------- 76,224,320 -------------- HEALTHCARE--HOSPITAL SUPPLY--3.14% 211,200 ABBOTT LABORATORIES ................ 8,817,600 27,300 BARD (C.R.), INC ................... 880,425 7,400 BECTON DICKINSON & CO .............. 555,000 7,100 o C-CUBE MICROSYSTEMS, INC ........... 443,750 8,400 o CNS, INC ........................... 127,050 216,800 DENTSPLY INTERNATIONAL, INC NEW .... 8,672,000 24,081 GUIDANT CORP ....................... 1,017,422 9,600 o ISOLYSER CO, INC ................... 134,400 167,600 JOHNSON & JOHNSON .................. 14,350,750 19,500 o NORTH AMERICAN BIOLOGICALS, INC .... 209,625 5,900 o ORGANOGENESIS, INC ................. 108,412 14,450 OWENS & MINOR, INC NEW ............. 184,237 16,300 o PYXIS CORP ......................... 238,387 11,200 o RESPIRONICS, INC ................... 235,200 6,300 o TECNOL MEDICAL PRODUCTS, INC ....... 113,400 9,800 U.S. SURGICAL CORP ................. 209,475 -------------- 36,297,133 -------------- HEALTHCARE--OTHER--1.41% 9,600 o ADVANCED TISSUE SCIENCE CO ......... 97,200 5,800 ALLERGAN, INC ...................... 188,500 See notes to financial statements. -46- SHARES VALUE ------ ----- HEALTHCARE--OTHER (CONTINUED) 17,300 o APPLIED BIOSCIENCE INTERNATIONAL, INC $ 116,775 28,400 BALLARD MEDICAL PRODUCTS ........... 507,650 8,500 BAUSCH & LOMB, INC ................. 336,812 37,200 o BIOMET, INC ........................ 664,950 26,438 o BOSTON SCIENTIFIC CORP ............. 1,295,462 24,700 CAREMARK INTERNATIONAL, INC ........ 447,687 58,600 o CORAM HEALTHCARE CORP .............. 256,375 6,100 o CORDIS CORP ........................ 613,050 7,900 o COVENTRY CORP ...................... 162,937 1,700 o DATASCOPE CORP ..................... 40,800 2,200 o HEART TECHNOLOGY, INC .............. 72,325 2,100 HILLENBRAND INDUSTRIES, INC ........ 71,137 13,900 o IDEXX LABORATORIES, INC ............ 653,300 35,000 o INFORMIX CORP ...................... 1,050,000 60,500 MEDTRONIC, INC ..................... 3,380,437 13,000 o NELLCOR PURITAN BENNETT, INC ....... 754,000 9,900 o OXFORD HEALTH PLANS, INC ........... 731,362 55,000 PALL CORP .......................... 1,478,125 13,100 o QUANTUM HEALTH RESOURCES, INC ...... 128,543 18,900 o ST. JUDE MEDICAL, INC .............. 812,700 6,800 o STERIS CORP ........................ 219,300 24,800 STEWART ENTERPRISES, INC (CLASS A) . 917,600 11,400 STRYKER CORP ....................... 598,500 4,100 o SUNRISE MEDICAL, INC ............... 75,850 20,800 o SYBRON INTERNATIONAL CORP .......... 494,000 3,900 o TARGET THERAPEUTICS, INC ........... 166,725 -------------- 16,332,102 -------------- HEALTHCARE--SERVICE--6.93% 501,500 o APRIA HEALTHCARE GROUP, INC ........ 14,167,375 11,500 o CERNER CORP ........................ 235,750 686,220 COLUMBIA/HCA HEALTHCARE CORP ....... 34,825,665 9,244 o FHP INTERNATIONAL CORP ............. 263,454 6,600 o FOUNDATION HEALTH CORP ............. 283,800 13,000 o HEALTH CARE & RETIREMENT CORP ...... 455,000 29,475 o HEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) NEW ..... 770,034 12,000 o HEALTHCARE COMPARE CO .............. 522,000 14,600 o HEALTHSOURCE, INC .................. 525,600 2,800 o HEALTHSOUTH CORP ................... 81,550 5,600 o HORIZON/CMS HEALTHCARE CORP ........ 141,400 39,000 o HUMANA, INC ........................ 1,067,625 3,500 o I-STAT CORP ........................ 113,750 14,100 o INTEGRATED SILICON SOLUTION, INC ... 235,954 49,504 o LABORATORY CORP OF AMERICA HOLDINGS .................. 464,100 2,560 o LABORATORY CORP OF AMERICA HOLDINGS WTS 4/28/00 ...... 1,760 9,000 o LINCARE HOLDINGS, INC .............. 225,000 22,900 MANOR CARE, INC .................... 801,500 4,300 o MAXICARE HEALTH PLANS, INC ......... 115,562 7,700 o MEDPARTNERS/MULLIKIN, INC .......... 254,100 11,600 o MID ATLANTIC MEDICAL SERVICES, INC . 281,300 10,800 o NOVACARE, INC ...................... 55,350 3,800 o PACIFICARE HEALTH SYSTEMS, INC (CLASS A) ......................... 330,600 195,600 o PACIFICARE HEALTH SYSTEMS, INC (CLASS B) ......................... 17,017,200 10,600 o PHYCOR, INC ........................ 535,962 15,200 o PHYSICIAN CORP OF AMERICA .......... 258,400 6,100 o SUN HEALTHCARE GROUP, INC .......... 82,350 16,800 SURGICAL CARE AFFILIATES, INC ...... 571,200 14,000 o THERATX, INC ....................... 168,000 38,500 U.S. HEALTHCARE, INC ............... 1,790,250 32,000 UNITED HEALTHCARE CORP ............. 2,096,000 15,600 o VALUE HEALTH, INC .................. 429,000 13,300 o VENCOR, INC ........................ 432,250 2,400 o VISX, INC .......................... 93,600 11,350 o VIVRA, INC ......................... 285,168 6,200 o WELLPOINT HEALTH NETWORKS, INC (CLASS A) ......................... 199,175 -------------- 80,176,784 -------------- HOUSEHOLD--DURABLE GOODS--2.45% 15,400 BLACK & DECKER CORP ................ 542,850 1,008,700 LEGGETT & PLATT, INC ............... 24,460,975 52,200 NEWELL COS, INC .................... 1,350,675 33,100 SHAW INDUSTRIES, INC ............... 488,225 20,000 STANLEY WORKS ...................... 1,030,000 22,300 SUNBEAM CORP ....................... 340,075 13,900 o TOP SOURCE TECHNOLOGIES, INC ....... 97,300 ------------- 28,310,100 ------------- HOUSEHOLD--PRODUCTS--3.86% 4,900 CLOROX CO .......................... 350,962 38,700 COLGATE PALMOLIVE CO ............... 2,718,675 10,300 DIAL CORP .......................... 305,137 382,000 LANCASTER COLONY CORP .............. 14,229,500 24,300 o PERRIGO CO ......................... 288,562 8,700 PREMARK INTERNATIONAL, INC ......... 440,437 287,900 PROCTER & GAMBLE CO ................ 23,895,700 50,100 RUBBERMAID, INC .................... 1,277,550 23,200 TAMBRANDS, INC ..................... 1,107,800 ------------- 44,614,323 ------------- INSURANCE--BROKERS & OTHER--0.24% 6,500 ALEXANDER & ALEXANDER SERVICES, INC 123,500 61,600 EQUIFAX, INC ....................... 1,316,700 2,700 GALLAGHER (ARTHUR J.) & CO ......... 100,575 7,100 MARSH & MCLENNAN COS, INC .......... 630,125 29,600 o QUORUM HEALTH GROUP, INC ........... 651,200 ------------- 2,822,100 ------------- INSURANCE--LIFE--0.09% 6,200 o EQUITABLE COS, INC ................. 148,800 22,200 RELIANCE GROUP HOLDINGS, INC ....... 191,475 1,700 o SUNAMERICA, INC .................... 80,750 6,000 TORCHMARK CORP ..................... 271,500 7,100 UNUM CORP .......................... 390,500 ------------- 1,083,025 ------------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--3.10% 14,800 o 20TH CENTURY INDUSTRIES ............ 294,150 27,500 AFLAC, INC ......................... 1,192,812 312,800 AMERICAN INTERNATIONAL GROUP, INC .. 28,934,000 3,650 FRONTIER INSURANCE GROUP, INC NEW .. 116,800 5,300 GEICO CORP ......................... 370,337 14,300 GENERAL REINSURANCE CORP ........... 2,216,500 3,800 HARTFORD STEAM BOILER & INSURANCE CO 190,000 4,200 o INSURANCE AUTO AUCTIONS, INC ....... 45,150 19,500 MGIC INVESTMENT CORP ............... 1,057,875 9,200 PROGRESSIVE CORP ................... 449,650 13,600 TRAVELERS GROUP, INC ............... 855,100 5,700 o USF&G CORP ......................... 96,187 -------------- 35,818,561 -------------- LEISURE TIME--3.85% 31,300 ARCTCO, INC ........................ 406,900 7,700 AUTHENTIC FITNESS CORP ............. 159,775 18,100 BRUNSWICK CORP ..................... 434,400 21,600 CALLAWAY GOLF CO ................... 488,700 1,163,200 CARNIVAL CORP (CLASS A) ............ 28,353,000 23,800 o CIRCUS CIRCUS ENTERPRISES, INC ..... 663,425 2,100 o COBRA GOLF, INC .................... 74,812 See notes to financial statements. -47- SHARES VALUE ------ ----- LEISURE TIME (CONTINUED) 137,500 DISNEY (WALT) CO ................... $ 8,112,500 25,700 o FIRST TEAM SPORTS .................. 391,925 3,300 o GC COS, INC ........................ 110,550 9,800 o GTECH HOLDINGS CORP ................ 254,800 24,800 o HARRAHS ENTERTAINMENT, INC ......... 601,400 16,500 HASBRO, INC ........................ 511,500 11,400 o HOLLYWOOD ENTERTAINMENT CORP ....... 95,475 26,300 INTERNATIONAL GAME TECHNOLOGY ...... 286,012 23,900 JOSTENS, INC ....................... 579,575 60,575 MATTEL, INC ........................ 1,862,681 20,400 o MIRAGE RESORT, INC ................. 703,800 11,500 o PLAYERS INTERNATIONAL, INC ......... 122,906 6,600 o SPORTS & RECREATION, INC ........... 47,025 7,000 o STATION CASINOS, INC ............... 102,375 10,200 o VALUEVISION INTERNATIONAL, INC ..... 56,737 7,000 o WMS INDUSTRIES, INC ................ 114,625 -------------- 44,534,898 -------------- MACHINERY--1.36% 23,200 BRIGGS & STRATTON CORP ............. 1,006,300 3,900 BW/IP, INC (CLASS A) ............... 64,350 23,000 CATERPILLAR, INC ................... 1,351,250 5,200 CINCINNATI MILACRON, INC ........... 136,500 17,800 DOVER CORP ......................... 656,375 5,900 FEDERAL SIGNAL CORP ................ 152,662 8,800 o FSI INTERNATIONAL, INC ............. 178,200 6,000 o ICC TECHNOLOGIES, INC .............. 66,000 7,800 IDEX CORP .......................... 317,850 20,800 ILLINOIS TOOL WORKS, INC ........... 1,227,200 4,000 o INTERVOICE, INC .................... 76,000 8,900 KAYDON CORP ........................ 270,337 3,300 KEYSTONE INTERNATIONAL, INC ........ 66,000 5,500 o MOLTEN METAL TECHNOLOGY, INC ....... 179,437 2,200 NORDSON CORP ....................... 123,750 5,000 o NOVELLUS SYSTEMS, INC .............. 270,000 192,900 ROPER INDUSTRIES, INC NEW .......... 7,089,075 12,900 STEWART & STEVENSON SERVICES, INC .. 325,725 26,480 o STRATTEC SECURITY CORP ............. 470,020 10,450 o THERMO ELECTRON CORP ............... 543,400 3,800 TRIMAS CORP ........................ 71,725 5,400 TRINITY INDUSTRIES, INC ............ 170,100 5,400 o ULTRATECH STEPPER, INC ............. 139,050 10,400 o VARITY CORP NEW .................... 386,100 7,900 YORK INTERNATIONAL CORP ............ 371,300 -------------- 15,708,706 -------------- METALS--ALUMINIUM--0.01% 8,800 COMMONWEALTH ALUMINUM CORP ......... 136,400 -------------- METALS--GOLD--0.74% 29,100 BATTLE MOUNTAIN GOLD CO ............ 247,350 8,600 o FIRSTMISS GOLD, INC ................ 191,350 50,704 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A) ............... 1,419,712 2,877 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) ............... 80,915 21,500 HOMESTAKE MINING CO ................ 335,937 20,072 NEWMONT MINING CORP ................ 908,258 448,500 SANTE FE PACIFIC GOLD CORP ......... 5,438,062 -------------- 8,621,584 -------------- METALS--NON-FERROUS--0.02% 5,800 o HECLA MINING CO .................... 39,875 3,400 MAPCO, INC ......................... 185,725 10,000 o SUNSHINE MINING & REFINING CO ...... 13,750 -------------- 239,350 -------------- METALS--STEEL--0.17% 11,200 ALLEGHENY LUDLUM CORP .............. $ 207,200 20,300 BIRMINGHAM STEEL CORP .............. 301,962 7,600 o MATERIAL SCIENCES CORP ............. 113,050 17,100 NUCOR CORP ......................... 976,837 13,000 TITAN WHEEL INTERNATIONAL, INC ..... 211,250 8,800 WORTHINGTON INDUSTRIES, INC ........ 183,150 -------------- 1,993,449 -------------- OFFICE EQUIPMENT--1.77% 6,000 APPLE COMPUTER, INC ................ 191,250 3,300 o ASPECT TELECOMMUNICATIONS .......... 110,550 65,000 o COMPAQ COMPUTER CORP ............... 3,120,000 1,000 o CONTROL DATA SYSTEMS, INC .......... 19,625 17,200 o DELL COMPUTER CORP ................. 595,550 101,800 HEWLETT-PACKARD CO ................. 8,525,750 3,100 HON INDUSTRIES, INC ................ 72,075 9,100 o KOMAG, INC ......................... 419,737 2,300 o MICROS SYSTEMS, INC ................ 113,275 24,400 PITNEY BOWES, INC .................. 1,146,800 9,600 o SCI SYSTEMS, INC ................... 297,600 5,400 o SEAGATE TECHNOLOGY, INC ............ 256,500 14,600 o SEQUENT COMPUTER SYSTEMS, INC ...... 211,700 39,500 o SILICON GRAPHICS, INC .............. 1,086,250 16,200 o SOLECTRON CORP ..................... 714,825 44,200 o SUN MICROSYSTEMS, INC .............. 2,016,625 300 o UNISYS CORP ........................ 1,687 12,300 o VIKING OFFICE PRODUCTS, INC ........ 571,950 7,200 XEROX CORP ....................... 986,400 -------------- 20,458,149 -------------- PAPER--0.40% 6,500 o BED BATH & BEYOND, INC ............. 252,281 5,700 BEMIS, INC ......................... 146,062 5,900 CARAUSTAR INDUSTRIES, INC .......... 118,000 27,700 o CROWN VANTAGE, INC ................. 394,725 18,700 o FORT HOWARD CORP ................... 420,750 5,000 o JEFFERSON SMURFIT CORP ............. 47,500 35,330 KIMBERLY-CLARK CORP ................ 2,923,557 12,345 SONOCO PRODUCTS CO ................. 324,056 -------------- 4,626,931 -------------- PETROLEUM--EXPLORATION & PRODUCTION--0.39% 17,400 ANADARKO PETROLEUM CORP ............ 941,775 3,700 APACHE CORP ........................ 109,150 16,500 o BENTON OIL & GAS CO ................ 247,500 23,400 BURLINGTON RESOURCES, INC .......... 918,450 4,600 DEVON ENERGY CORP .................. 117,300 4,900 LOUISIANA LAND & EXPLORATION CO .... 210,087 24,000 NOBLE AFFILIATES, INC .............. 717,000 11,900 o SEAGULL ENERGY CORP ................ 264,775 6,400 o TRITON ENERGY CORP ................. 367,200 28,600 UNION TEXAS PETROLEUM HOLDINGS, INC 554,125 -------------- 4,447,362 -------------- PETROLEUM--INTEGRATED--0.41% 8,800 ATLANTIC RICHFIELD CO .............. 974,600 53,500 PHILLIPS PETROLEUM CO .............. 1,825,687 67,164 UNOCAL CORP ........................ 1,956,151 -------------- 4,756,438 -------------- PETROLEUM--SERVICE--0.61% 15,400 BAKER HUGHES, INC .................. 375,375 37,300 DRESSER INDUSTRIES, INC ............ 909,187 10,900 o ENSCO INTERNATIONAL, INC ........... 250,700 23,300 FLUOR CORP ......................... 1,537,800 68,800 o GLOBAL MARINE, INC NEW ............. 602,000 See notes to financial statements. -48- SHARES VALUE ------ ----- PETROLEUM--SERVICE (CONTINUED) 15,500 HALLIBURTON CO ..................... $ 784,687 41,310 o MCMORAN OIL & GAS CO ............... 142,003 21,200 o NABORS INDUSTRIES, INC ............. 235,850 8,600 o NOBLE DRILLING CORP ................ 77,400 24,000 o SMITH INTERNATIONAL, INC ........... 564,000 15,700 SONAT OFFSHORE DRILLING, INC ....... 702,575 5,500 TOSCO CORP ......................... 209,687 13,300 o WESTERN ATLAS, INC ................. 671,650 -------------- 7,062,914 -------------- PHOTOGRAPHY--0.49% 80,500 EASTMAN KODAK CO ................... 5,393,500 3,600 o PHOTRONICS, INC .................... 96,300 2,300 o PRESSTEK, INC ...................... 217,350 -------------- 5,707,150 -------------- PROPERTY--REAL ESTATE--0.14% 12,000 KIMCO REALTY CORP .................. 327,000 8,600 WASHINGTON REAL ESTATE INVESTMENT TRUST .................. 136,525 14,000 WEINGARTEN REALTY INVESTORS, INC .................... 532,000 29,100 WELLSFORD RESIDENTIAL PROPERTY TRUST .................... 669,300 -------------- 1,664,825 -------------- PUBLISHING--NEWSPAPER--0.27% 5,600 BELO (A.H.) CORP SERIES A .......... 194,600 6,700 o COX COMMUNICATIONS, INC (CLASS A) NEW ..................... 130,650 39,000 GANNETT CO, INC .................... 2,393,625 4,700 TRIBUNE CO NEW ..................... 287,287 500 WASHINGTON POST CO (CLASS B) ....... 141,000 -------------- 3,147,162 -------------- PUBLISHING--OTHER--0.89% 7,600 AMERICAN GREETINGS CORP (CLASS A) .. 209,950 4,000 CCH, INC (CLASS A) ................. 221,000 31,600 DONNELLEY (R.R.) & SONS CO ......... 1,244,250 30,600 DUN & BRADSTREET CORP .............. 1,981,350 23,400 HARCOURT GENERAL, INC .............. 979,875 9,000 LEE ENTERPRISES, INC ............... 207,000 13,100 o MARVEL ENTERTAINMENT GROUP, INC .... 170,300 4,100 MCGRAW HILL COS, INC ............... 357,212 30,000 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VTG) ............... 1,537,500 3,100 o SCHOLASTIC CORP .................... 241,025 9,500 o THOMAS NELSON, INC ................. 123,500 80,792 TIME WARNER, INC ................... 3,059,997 -------------- 10,332,959 -------------- RAILROAD--0.25% 22,800 BURLINGTON NORTHERN SANTA FE CORP .. 1,778,400 17,100 ILLINOIS CENTRAL CORP SERIES A ..... 656,212 4,500 KANSAS CITY SOUTHERN INDUSTRIES, INC ................... 205,875 4,200 o WISCONSIN CENTRAL TRANSIT CORP ..... 276,150 -------------- 2,916,637 -------------- RESTAURANTS & HOTELS--1.64% 2,900 AMERICAN CLASSIC VOYAGES CO ........ 31,537 14,600 APPLE SOUTH, INC ................... 313,900 19,400 APPLEBEES INTERNATIONAL, INC ....... 441,350 6,600 BOB EVANS FARMS, INC ............... 125,400 10,200 o BOSTON CHICKEN, INC ................ 327,675 15,100 o BUFFETS, INC ....................... 207,625 21,200 CRACKER BARREL OLD COUNTRY STORE, INC ....................... 365,700 51,800 DARDEN RESTAURANTS, INC ............ 615,125 16,700 o HFS INC ............................ 1,365,225 25,400 o HOST MARRIOTT CORP ................. 336,550 2,500 o IHOP CORP NEW ...................... 65,000 8,200 LA QUINTA INNS, INC ................ 224,475 13,300 o LANDRYS SEAFOOD RESTAURANTS, INC ... 226,931 6,800 o LONE STAR STEAKHOUSE SALOON, INC ... 260,950 4,400 LUBYS CAFETERIA, INC ............... 97,900 35,700 MARRIOTT INTERNATIONAL, INC ........ 1,365,525 181,400 MCDONALDS CORP ..................... 8,185,675 5,300 MORRISON RESTAURANTS, INC .......... 74,200 8,800 o OUTBACK STEAKHOUSE, INC ............ 315,700 28,600 o PROMUS HOTEL CORP .................. 636,350 46,100 o RYANS FAMILY STEAK HOUSES, INC ..... 322,700 14,900 o SHONEYS, INC ....................... 152,725 60,500 SYSCO CORP ......................... 1,966,250 41,900 WENDYS INTERNATIONAL, INC .......... 890,375 -------------- 18,914,843 -------------- RETAIL--FOOD--1.05% 67,900 ALBERTSONS, INC .................... 2,232,212 12,700 AMERICAN STORES CO, NEW ............ 339,725 110,600 FOOD LION, INC (CLASS B) ........... 629,037 5,000 HANNAFORD BROTHERS, INC ............ 123,125 33,500 o KROGER CO .......................... 1,256,250 31,100 o SAFEWAY, INC NEW ................... 1,601,650 17,000 o STARBUCKS CORP ..................... 357,000 232,100 o STOP & SHOP COS, INC NEW ........... 5,367,312 4,800 WINN DIXIE STORES, INC ............. 177,000 -------------- 12,083,311 -------------- RETAIL--GENERAL MERCHANDISE--7.17% 38,400 o AUTOZONE, INC ...................... 1,108,800 4,000 o BABY SUPERSTORE, INC ............... 228,000 7,300 o BARNES & NOBLE, INC ................ 211,700 16,700 o BOMBAY, INC ........................ 106,462 8,200 o BORDERS GROUP, INC ................. 151,700 16,100 xo CALDOR CORP ........................ 52,325 26,800 CHARMING SHOPPES, INC .............. 77,050 409,600 CIRCUIT CITY STORES, INC ........... 11,315,200 4,200 CLAIRES STORES, INC ................ 74,025 26,300 o CONSOLIDATED STORES CORP ........... 572,025 52,550 o CUC INTERNATIONAL, INC ............. 1,793,268 5,800 DILLARD DEPARTMENT STORES (CLASS A) 165,300 410,356 DOLLAR GENERAL CORP ................ 8,514,887 16,800 FAMILY DOLLAR STORES, INC .......... 231,000 9,968 o FEDERATED DEPARTMENT STORES, INC ... 274,120 26,600 GAP, INC ........................... 1,117,200 16,400 o GYMBOREE CORP ...................... 338,250 473,300 HEILIG MEYERS CO ................... 8,696,887 123,000 HOME DEPOT, INC .................... 5,888,625 16,700 o HOME SHOPPING NETWORK, INC ......... 150,300 52,400 o INTERCO, INC NEW ................... 471,600 15,200 o KOHLS CORP ......................... 798,000 64,400 LIMITED, INC ....................... 1,118,950 29,300 LOWES COS, INC ..................... 981,550 30,100 MAY DEPARTMENT STORES CO ........... 1,271,725 5,300 o MICHAELS STORES, INC ............... 72,875 9,400 NORDSTROM, INC ..................... 380,700 17,400 o OFFICEMAX, INC ..................... 389,325 1,200 o PENN TRAFFIC CO .................... 18,000 17,400 PEP BOYS-MANNY, MOE & JACK ......... 445,875 13,100 o PETSMART, INC ...................... 406,100 4,800 o PIER 1 IMPORTS, INC ................ 54,600 19,100 o PRICE/COSTCO, INC .................. 291,275 20,400 o REVCO (D.S.), INC NEW .............. 576,300 26,400 o SERVICE MERCHANDISE, INC ........... 132,000 32,700 o STAPLES, INC ....................... 797,062 See notes to financial statements. -49- SHARES VALUE ------ ----- RETAIL-- GENERAL MERCHANDISE (CONTINUED) 20,100 STRIDE RITE CORP ................... $ 150,750 18,500 SUNGLASS HUT INTERNATIONAL, INC .... 439,375 7,900 TANDY CORP ......................... 327,850 6,700 TJX COS, INC NEW ................... 126,462 33,500 o TOPPS, INC ......................... 171,687 30,800 o TOYS R US, INC ..................... 669,900 1,328,600 WAL-MART STORES, INC ............... 29,727,425 69,200 WALGREEN CO ........................ 2,067,350 -------------- 82,953,860 -------------- TEXTILE & APPAREL--1.11% 6,500 o ANN TAYLOR STORES CORP ............. 66,625 14,300 CML GROUP, INC ..................... 73,287 39,000 o CONE MILLS CORP .................... 438,750 6,433 o CONVERSE, INC ...................... 26,536 1,700 o DONNKENNY, INC ..................... 30,812 16,316 o FLORSHEIM SHOE CO .................. 61,185 10,900 o FRUIT OF THE LOOM, INC (CLASS A) ... 265,687 4,400 LIZ CLAIBORNE, INC ................. 122,100 7,500 o NAUTICA ENTERPRISES, INC ........... 328,125 15,100 NIKE, INC (CLASS B) ................ 1,051,337 11,200 REEBOK INTERNATIONAL LTD ........... 316,400 7,700 UNIFI, INC ......................... 170,362 9,700 VF CORP ............................ 511,675 20,800 WARNACO GROUP, INC (CLASS A) ....... 520,000 442,000 o WESTPOINT STEVENS, INC ............. 8,867,625 -------------- 12,850,506 -------------- TOBACCO--3.74% 14,500 DIMON, INC ......................... 255,562 436,700 PHILIP MORRIS COS, INC ............. 39,521,350 18,200 RJR NABISCO HOLDINGS CORP .......... 561,925 4,360 o SCHWEITZER-MAUDUIT INTL, INC ....... 100,825 23,400 UNIVERSAL CORP ..................... 570,375 66,100 UST, INC ........................... 2,206,087 -------------- 43,216,124 -------------- TRUCKERS & SHIPPING--0.93% 16,900 o AMERICAN FREIGHTWAYS CORP .......... 175,337 12,600 HUNT (J.B.) TRANSPORT SERVICES, INC 211,050 3,300 LAIDLAW, INC (CLASS B) ............. 33,825 345,500 o LANDSTAR SYSTEM, INC ............... 9,242,125 1,800 ROADWAY SERVICES, INC .............. 87,975 48,250 ROLLINS TRUCK LEASING CORP ......... 536,781 21,900 TNT FREIGHTWAYS CORP ............... 440,737 -------------- 10,727,830 -------------- UTILITIES--ELECTRIC--0.07% 27,900 o AES CORP ........................... 666,112 3,300 OTTER TAIL POWER CO ................ 117,975 -------------- 784,087 -------------- UTILITIES--GAS & PIPELINE--0.52% 23,500 o AMERICAN STANDARD COS, INC ......... 658,000 7,600 o BLACK BOX CORP ..................... 124,450 31,700 CABOT OIL & GAS CORP (CLASS A) ..... 463,612 3,600 o COASTAL CORP ....................... 134,100 60,000 ENRON CORP ......................... 2,287,500 3,875 PANHANDLE EASTERN CORP ............. 108,015 67,400 PUBLIC SERVICE CO OF NORTH CAROLINA 1,204,775 7,200 SOUTHWESTERN ENERGY CO ............. 91,800 15,517 TENNECO, INC ....................... 770,031 11,200 WESTERN GAS RESOURCES, INC ......... 180,600 -------------- 6,022,883 -------------- UTILITIES--TELEPHONE--2.72% 5,100 o ADTRAN, INC ........................ 276,993 17,100 ALLTEL CORP ........................ 504,450 25,000 AMERITECH CORP NEW ................. 1,475,000 326,200 AT & T CORP ........................ 21,121,450 22,400 o BELL ATLANTIC CORP ................. 1,498,000 1,100 o C-TEC CORP ......................... 34,100 19,500 CINCINNATI BELL, INC ............... 677,625 4,500 o COMMNET CELLULAR, INC .............. 129,937 19,200 FRONTIER CORP ...................... 576,000 14,100 o GLENAYRE TECHNOLOGIES, INC ......... 877,725 25,900 MCI COMMUNICATIONS CORP ............ 676,637 15,000 o MOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP .................. 320,625 11,400 o NEXTEL COMMUNICATIONS, INC (CLASS A) 168,150 728 SBC COMMUNICATIONS, INC ............ 41,860 21,100 SPRINT CORP ........................ 841,362 7,100 o U.S. LONG DISTANCE CORP ............ 99,400 45,000 o U.S. WEST MEDIA GROUP .............. 855,000 36,400 o WORLDCOM, INC ...................... 1,283,100 -------------- 31,457,414 -------------- TOTAL COMMON STOCK (COST $993,489,616) ................ 1,147,799,991 -------------- PAR VALUE ----- SHORT TERM INVESTMENTS--1.04% COMMERCIAL PAPER--0.22% CAMPBELL SOUP CO 2,500,000 # 5.640%, 01/08/96 ................ 2,496,686 -------------- GOVERNMENT AGENCIES--0.82% FEDERAL HOME LOAN BANK 4,000,000 * 5.470%, 01/26/96 ................ 3,983,451 FEDERAL HOME LOAN MORTGAGE CORP 4,590,000 5.310%, 03/18/96 ................ 4,534,336 TENNESSEE VALLEY AUTHORITY 990,000 * 5.600%, 01/09/96 ................ 988,643 -------------- 9,506,430 -------------- TOTAL SHORT TERM INVESTMENTS (COST $12,008,496) ................. 12,003,116 -------------- ROUNDING ......................... 89 -------------- TOTAL PORTFOLIO (COST $1,005,532,070) .............. $1,159,836,428 ============== - ---------------- o NON-INCOME PRODUCING X IN BANKRUPTCY # RESTRICTED * ALL OR A PORTION OF THIS SECURITY HAS BEEN SEGREGATED BY THE CUSTODIAN TO COVER MARGIN OR OTHER REQUIREMENTS ON OPEN FUTURES CONTRACTS COVERED CALL OPTIONS WRITTEN AND SECURITIES PURCHASED ON A DELAYED DELIVERY BASIS. See notes to financial statements. -50- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT DECEMBER 31, 1995 SUMMARY VALUE % ---- ----- BONDS CORPORATE BONDS BROADCASTERS...................................... $ 8,140 0.00% ENVIRONMENTAL CONTROL............................. 12,180 0.01 ----------- ------ TOTAL CORPORATE BONDS (COST $15,239).................................... 20,320 0.01 ----------- ------ TOTAL BONDS (COST $15,239)..................................... 20,320 0.01 ----------- ------ PREFERRED STOCK CONGLOMERATES..................................... 1,049 0.00 FINANCIAL--MISCELLANEOUS.......................... 1,029 0.00 HEALTHCARE--SERVICE............................... 8,520 0.00 ----------- ------ TOTAL PREFERRED STOCK (COST $10,435)..................................... 10,598 0.00 ----------- ------ COMMON STOCK AEROSPACE......................................... 5,567,940 1.43 AIR TRANSPORTATION................................ 1,991,254 0.51 AUTOMOTIVE & RELATED.............................. 9,875,790 2.53 BANKS............................................. 29,460,962 7.54 BEVERAGES......................................... 10,909,886 2.79 BROADCASTERS...................................... 4,231,062 1.08 BUSINESS SERVICES................................. 5,643,367 1.44 CHEMICALS--MAJOR.................................. 7,996,348 2.05 CHEMICALS--SPECIALTY.............................. 4,220,714 1.08 COMMUNICATION EQUIPMENT & SERVICES................ 7,242,666 1.85 COMPUTER SERVICE.................................. 12,075,576 3.09 CONGLOMERATES..................................... 7,873,099 2.01 CONSTRUCTION--MATERIALS & BUILDERS................ 2,657,967 0.68 CONTAINERS........................................ 535,782 0.14 COSMETICS......................................... 2,373,599 0.61 ELECTRICAL EQUIPMENT.............................. 12,146,217 3.11 ELECTRICAL EQUIPMENT--COMPONENTS DIVERSIFIED..................................... 11,467,000 2.93 ELECTRICAL EQUIPMENT--INSTRUMENTS................. 2,104,541 0.54 ENVIRONMENTAL CONTROL............................. 1,968,636 0.50 FINANCIAL--MISCELLANEOUS.......................... 15,442,317 3.95 FOODS............................................. 9,500,989 2.43 FOREST PRODUCTS................................... 2,041,011 0.52 HEALTHCARE--DRUGS................................. 22,219,808 5.69 HEALTHCARE--HOSPITAL SUPPLY....................... 8,521,197 2.18 HEALTHCARE--OTHER................................. 4,541,360 1.16 HEALTHCARE--SERVICE............................... 6,844,992 1.75 HOUSEHOLD--CONSUMER ELECTRONICS................... 105,743 0.03 HOUSEHOLD--DURABLE GOODS.......................... 1,620,687 0.41 HOUSEHOLD--PRODUCTS............................... 6,088,624 1.56 INSURANCE--BROKERS & OTHER........................ 1,709,661 0.44 INSURANCE--LIFE................................... 2,659,473 0.68 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY............................. 12,050,000 3.08 LEISURE TIME...................................... 5,134,137 1.31 MACHINERY......................................... 6,197,854 1.59 METALS--ALUMINIUM................................. 963,298 0.25 METALS--GOLD...................................... 1,009,410 0.26 METALS--NON-FERROUS............................... 1,411,866 0.36 METALS--STEEL..................................... 1,802,586 0.46 OFFICE EQUIPMENT.................................. 12,410,730 3.18 PAPER............................................. 4,651,793 1.19 PETROLEUM--EXPLORATION & PRODUCTION............... 2,961,692 0.76 PETROLEUM--INTEGRATED............................. 19,807,856 5.07 PETROLEUM--SERVICE................................ 3,021,226 0.77 PHOTOGRAPHY....................................... 1,847,400 0.47 PROPERTY--REAL ESTATE............................. 555,761 0.14 PUBLISHING--NEWSPAPER............................. 1,966,474 0.50 PUBLISHING--OTHER................................. 3,371,843 0.86 RAILROAD.......................................... 3,747,797 0.96 RESTAURANTS & HOTELS.............................. 5,164,037 1.32 RETAIL--FOOD ..................................... 2,665,720 0.68 RETAIL--GENERAL MERCHANDISE....................... 14,264,476 3.65 TEXTILE & APPAREL................................. 1,805,461 0.46 TOBACCO........................................... 7,201,649 1.84 TRUCKERS & SHIPPING............................... 897,824 0.23 UTILITIES--ELECTRIC............................... 18,652,918 4.77 UTILITIES--GAS & PIPELINE......................... 5,037,008 1.29 UTILITIES--TELEPHONE.............................. 29,260,229 7.49 ------------ ------ TOTAL COMMON STOCK (COST $346,730,188)................................ 389,499,313 99.65 ------------ ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER.................................. 3,680,107 0.94 ------------ ------ TOTAL SHORT TERM INVESTMENTS (COST $3,680,906).................................. 3,680,107 0.94 ----------- ------ ROUNDING......................................... 192 0.00 ------------ ------ TOTAL PORTFOLIO (COST $350,436,768)................................ 393,210,530 100.60 OTHER ASSETS & LIABILITIES, NET.................. (2,332,984) (0.60) ------------ ------ NET ASSETS..........................................$390,877,546 100.00% ============ ====== See notes to financial statements. -51- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT DECEMBER 31, 1995 PAR VALUE VALUE BONDS--0.01% CORPORATE BONDS--0.01% BROADCASTERS--0.00% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 8,000 8.000%, 07/07/06................ $ 8,140 ----------- ENVIRONMENTAL CONTROL--0.01% WMX TECHNOLOGIES, INC (SUBORDINATED CV NOTE) 14,000 2.000%, 01/24/05................ 12,180 ----------- TOTAL CORPORATE BONDS (COST $15,239).................... 20,320 ----------- TOTAL BONDS (COST $15,239)....................... 20,320 ----------- SHARES VALUE ------ ----- PREFERRED STOCK--0.00% CONGLOMERATES--0.00% 73 TELEDYNE, INC SERIES E............. 1,049 ----------- FINANCIAL--MISCELLANEOUS--0.00% 42 EVEREN CAPITAL CORP SERIES A....... 1,029 ----------- HEALTHCARE--SERVICE--0.00% 320 FHP INTERNATIONAL CORP SERIES A CV. 8,520 ----------- TOTAL PREFERRED STOCK (COST $10,435) ...................... 10,598 ----------- COMMON STOCK--99.65% AEROSPACE--1.43% 900 ALLIANT TECHSYSTEMS, INC........... 45,562 24,100 BOEING CO.......................... 1,888,837 5,300 EG & G, INC........................ 128,525 1,900 FLIGHTSAFETY INTERNATIONAL, INC.... 95,475 3,800 GENERAL DYNAMICS CORP.............. 224,675 7,800 GENERAL MOTORS CORP (CLASS H)...... 383,175 12,304 LOCKHEED MARTIN CORP............... 972,016 6,800 MCDONNELL DOUGLAS CORP............. 625,600 2,800 NORTHROP GRUMMAN CORP.............. 179,200 1,800 OEA, INC .......................... 53,775 3,400 o ORBITAL SCIENCES CORP.............. 43,350 1,100 PRECISION CASTPARTS CORP........... 43,725 17,400 RAYTHEON CO........................ 822,150 4,500 o WYMAN-GORDON CO.................... 61,875 ----------- 5,567,940 ----------- AIR TRANSPORTATION--0.51% 2,500 AIR EXPRESS INTERNATIONAL CORP..... 57,500 1,900 AIRBORNE FREIGHT CORP.............. 50,587 5,400 o AMERICA WEST AIRLINES, INC (CLASS B) 91,800 5,200 o AMR CORP........................... 386,100 2,400 ATLANTIC SOUTHEAST AIRLINES, INC 51,600 2,450 COMAIR HOLDINGS, INC............... 65,843 1,400 o CONTINENTAL AIRLINES, INC (CLASS B) 60,900 3,500 DELTA AIRLINES, INC................ 258,562 4,100 o FEDERAL EXPRESS CORP............... 302,887 1,000 o MESA AIRLINES, INC................. 9,000 4,700 o NORTHWEST AIRLINES CORP (CLASS A).. 239,700 400 SKYWEST, INC....................... 5,150 10,000 SOUTHWEST AIRLINES CO.............. 232,500 1,400 o U.S. AIR GROUP, INC............... 18,550 650 o UAL CORP NEW...................... 116,025 1,800 o VALUJET, INC...................... 44,550 ----------- 1,991,254 ----------- AUTOMOTIVE & RELATED--2.53% 3,800 ALLEN GROUP, INC................... 85,025 2,700 o AMERICREDIT CORP................... 36,787 3,200 ARVIN INDUSTRIES, INC.............. 52,800 2,900 BANDAG, INC........................ 156,962 3,600 BORG-WARNER AUTOMOTIVE, INC........ 115,200 1,600 BREED TECHNOLOGIES, INC............ 29,600 22,981 CHRYSLER CORP...................... 1,272,572 5,400 COOPER TIRE & RUBBER CO............ 132,975 3,000 CUMMINS ENGINE CO, INC............. 111,000 7,600 DANA CORP.......................... 222,300 3,000 DANAHER CORP....................... 95,250 2,200 o DETROIT DIESEL CORP................ 40,975 2,800 DONALSON, INC...................... 70,350 5,600 EATON CORP......................... 300,300 4,700 ECHLIN, INC........................ 171,550 3,400 FEDERAL-MOGUL CORP................. 66,725 75,200 FORD MOTOR CO...................... 2,180,800 1,300 GENCORP, INC....................... 15,925 52,700 GENERAL MOTORS CORP................ 2,786,512 8,500 GENUINE PARTS CO................... 348,500 10,400 GOODYEAR TIRE & RUBBER CO.......... 471,900 5,500 HARLEY DAVIDSON, INC............... 158,125 600 HAYES WHEELS INTERNATIONAL, INC.... 15,375 2,400 o KIRBY CORP......................... 39,000 4,600 o LEAR SEATING CORP.................. 133,400 2,400 MODINE MANUFACTURING CO............ 57,600 6,400 o NAVISTAR INTERNATIONAL CORP........ 67,200 3,100 PACCAR, INC........................ 130,587 3,600 POLARIS INDUSTRIES, INC............ 105,750 6,000 SAFETY-KLEEN CORP.................. 93,750 1,000 SMITH (A.O.) CORP.................. 20,750 3,400 SNAP-ON, INC....................... 153,850 500 STANDARD PRODUCTS CO............... 8,812 2,200 SUPERIOR INDUSTRIES INTERNATIONAL, INC................ 58,025 1,300 o TBC CORP........................... 11,212 675 TRANSPRO, INC...................... 7,171 2,300 WABASH NATIONAL CORP............... 51,175 ----------- 9,875,790 ----------- BANKS--7.54% 4,900 AMSOUTH BANCORP.................... 197,837 900 ASSOCIATED BANC-CORP............... 36,843 26,488 BANC ONE CORP...................... 999,922 4,200 BANCORP HAWAII, INC................ 150,675 7,544 BANK OF BOSTON CORP................ 348,910 13,800 BANK OF NEW YORK CO, INC........... 672,750 4,800 BANK SOUTH CORP.................... 145,800 24,900 BANKAMERICA CORP................... 1,612,275 5,100 BANKERS TRUST NEW YORK CORP........ 339,150 6,600 BARNETT BANKS, INC................. 389,400 1,600 BAYBANKS, INC...................... 157,200 9,600 BOATMENS BANCSHARES, INC........... 392,400 4,400 o BROOKLYN BANCORP, INC ............. 179,300 470 o CALIFORNIA FEDERAL BANK (GOODWILL CERT)................... 2,320 See notes to financial statements. -52- SHARES VALUE ------ ----- BANKS-(CONTINUED) 2,208 CAPITAL ONE FINANCIAL CORP......... $ 52,716 700 CCB FINANCIAL CORP................. 38,850 4,400 CENTRAL FIDELITY BANKS, INC........ 140,800 800 CENTURA BANKS, INC................. 28,100 8,900 CHARTER ONE FINANCIAL, INC......... 272,562 11,910 CHASE MANHATTAN CORP............... 722,043 17,000 CHEMICAL BANKING CORP.............. 998,750 29,321 CITICORP........................... 1,971,837 5,900 CITY NATIONAL CORP................. 82,600 8,700 COMERICA, INC...................... 349,087 771 COMMERCE BANCSHARES, INC........... 29,490 4,300 COMPASS BANCSHARES, INC............ 141,900 9,450 CORESTATES FINANCIAL CORP.......... 357,918 2,954 CRESTAR FINANCIAL CORP............. 174,655 1,600 CULLEN FROST BANKERS, INC.......... 80,000 1,000 DAUPHIN DEPOSIT CORP............... 28,750 1,500 DEPOSIT GUARANTY CORP.............. 66,750 6,300 o DIME BANCORP, INC.................. 73,237 4,200 FIFTH THIRD BANCORP................ 307,650 5,014 FIRST AMERICAN BANK CORP........... 222,496 2,600 FIRST AMERICAN CORP................ 123,175 9,136 FIRST BANK SYSTEM, INC............. 453,374 22,755 FIRST CHICAGO NBD CORP............. 898,822 3,609 FIRST COMMERCE CORP................ 115,488 1,391 FIRST COMML CORP................... 45,903 5,779 FIRST FIDELITY BANCORP NEW......... 435,592 3,700 FIRST INTERSTATE BANCORP........... 505,050 4,200 FIRST SECURITY CORP................ 161,700 3,100 FIRST TENNESSEE NATIONAL CORP...... 187,550 11,618 FIRST UNION CORP................... 646,251 1,200 FIRST VIRGINIA BANKS, INC.......... 50,100 5,300 FIRSTAR CORP NEW................... 210,012 700 FIRSTIER FINANCIAL, INC............ 30,800 17,102 FLEET FINANCIAL GROUP, INC NEW..... 696,906 2,600 FOURTH FINANCIAL CORP.............. 106,437 1,500 o GREENPOINT FINANCIAL CORP.......... 40,125 10,400 HIBERNIA CORP (CLASS A)............ 111,800 10,737 HUNTINGTON BANCSHARES, INC......... 257,688 2,800 INTEGRA FINANCIAL CORP............. 176,400 16,200 KEYCORP NEW........................ 587,250 4,300 o LONG ISLAND BANCORP, INC........... 113,412 7,300 MAGNA GROUP, INC................... 173,375 8,500 MARSHALL & ILSLEY CORP............. 221,000 9,374 MELLON BANK CORP................... 503,852 4,400 MERCANTILE BANCORP, INC............ 202,400 5,400 MERCANTILE BANKSHARES CORP......... 150,525 4,377 MERIDIAN BANCORP, INC.............. 203,530 3,600 MIDLANTIC CORP..................... 236,250 12,600 MORGAN (J.P.) & CO, INC............ 1,011,150 11,358 NATIONAL CITY CORP................. 376,233 900 NATIONAL COMMERCE BANCORP.......... 23,625 18,094 NATIONSBANK CORP................... 1,259,794 3,600 o NORTH FORK BANCORP, INC............ 90,900 4,400 NORTHERN TRUST CORP................ 246,400 23,748 NORWEST CORP....................... 783,684 4,550 OLD KENT FINANCIAL CORP............ 187,118 1,000 OLD NATIONAL BANCORP............... 34,750 3,200 ONBANCORP, INC..................... 106,800 1,000 ONE VALLEY BANCORP OF WEST VIRGINIA 31,250 2,300 o PEOPLES BANK OF BRIDGEPORT......... 43,700 16,000 PNC BANK CORP...................... 516,000 6,800 PREMIER BANCORP, INC............... 158,950 4,500 REGIONS FINANCIAL CORP............. 193,500 2,900 REPUBLIC NEW YORK CORP............. 180,162 6,400 o RIGGS NATIONAL CORP................ 83,200 4,466 SIGNET BANKING CORP................ 106,067 8,440 SOUTHERN NATIONAL CORP............. 221,550 8,200 SOUTHTRUST CORP.................... 210,125 10,100 o SOVEREIGN BANCORP, INC............. 102,262 6,500 ST. PAUL BANCORP, INC.............. 165,750 700 o STANDARD FEDERAL BANK.............. 27,562 2,200 STAR BANC CORP..................... 130,900 5,600 STATE STREET BOSTON CORP .......... 252,000 5,780 SUMMIT BANCORP .................... 182,070 8,100 SUNTRUST BANKS, INC ............... 554,850 5,500 SYNOVUS FINANCIAL CORP ............ 156,750 11,616 U.S. BANCORP ...................... 390,588 1,600 U.S. TRUST CORP NEW ............... 79,600 4,800 UJB FINANCIAL CORP ................ 171,600 1,300 UNION BANK ........................ 70,525 4,400 UNION PLANTERS CORP ............... 140,250 500 UNITED CAROLINA BANCSHARES CORP ... 16,875 1,200 VALLEY NATIONAL BANCORP ........... 30,000 12,400 WACHOVIA CORP NEW ................. 567,300 4,500 WASHINGTON FEDERAL, INC ........... 115,312 4,100 WASHINGTON MUTUAL, INC ............ 118,387 2,738 WELLS FARGO & CO .................. 591,408 4,200 WILMINGTON TRUST CORP ............. 129,675 2,400 ZIONS BANCORP ..................... 192,600 ----------- 29,460,962 ----------- BEVERAGES--2.79% 15,700 ANHEUSER BUSCH COS, INC ........... 1,049,937 1,400 BROWN FORMAN, INC (CLASS B) ....... 51,100 88,000 COCA COLA CO ...................... 6,534,000 6,700 COCA COLA ENTERPRISES, INC ........ 179,225 4,300 COORS ADOLPH CO (CLASS B) ......... 95,137 53,700 PEPSICO, INC ...................... 3,000,487 ----------- 10,909,886 ----------- BROADCASTERS--1.08% 4,600 CAPITAL CITIES/ABC, INC ........... 567,525 3,300 CITICASTERS, INC .................. 77,962 2,200 o CLEAR CHANNEL COMMUNICATIONS, INC.. 97,075 2,800 COMCAST CORP (CLASS A) ............ 49,350 15,000 COMCAST CORP (CLASS A) SPL ........ 272,812 1,900 o EVERGREEN MEDIA CORP (CLASS A) .... 60,800 5,105 GAYLORD ENTERTAINMENT CO .......... 141,663 1,800 HARTE-HANKS COMMUNICATIONS, INC ... 35,550 3,600 o HERITAGE MEDIA CORP (CLASS A) NEW.. 92,250 1,350 o INFINITY BROADCASTING CORP (CLASS A) 50,287 3,000 o KING WORLD PRODUCTIONS, INC ....... 116,625 11,475 o LIBERTY MEDIA GROUP (CLASS A) ..... 308,390 2,450 o LIN TELEVISION CORP ............... 72,887 2,900 SCRIPPS (E.W.) CO (CLASS A) ....... 114,187 2,100 TCA CABLE TV, INC ................. 58,012 46,700 o TELE-COMMUNICATIONS, INC (CLASS A) NEW .................... 928,162 8,300 TURNER BROADCASTING SYSTEMS, INC (CLASS B) ........................ 215,800 400 UNITED TELEVISION, INC ............ 36,100 6,460 o VIACOM, INC (CLASS A) ............. 296,352 13,193 o VIACOM, INC (CLASS B) ............. 625,018 250 o VIACOM, INC (CLASS B) WTS 07/07/97. 718 150 o VIACOM, INC (CLASS B) WTS 07/07/99. 825 900 o WESTWOOD ONE, INC ................. 12,712 ----------- 4,231,062 ----------- BUSINESS SERVICES--1.44% 1,000 o ACCUSTAFF, INC .................... 44,000 3,600 ADVO, INC ......................... 93,600 1,000 o ALLIANCE SEMICONDUCTOR CORP ....... 11,625 2,000 o ALTERNATIVE RESOURCES CORP ........ 60,500 3,000 o AMERICA ONLINE, INC ............... 112,500 1,600 o ATRIA SOFTWARE INC ................ 62,600 See notes to financial statements. -53- SHARES VALUE ------ ----- BUSINESS SERVICES (CONTINUED) 3,100 AUTODESK, INC ..................... $ 106,175 2,200 BANTA CORP ........................ 96,800 7,000 BLOCK (H&R), INC .................. 283,500 1,500 o CABLEVISION SYSTEMS CORP (CLASS A). 81,375 1,200 o CALGENE, INC ...................... 5,550 1,400 o CATALINA MARKETING CORP ........... 87,850 1,800 o CHECKPOINT SYSTEMS, INC ........... 67,275 2,700 CINTAS CORP ....................... 120,150 4,300 o COMPUTERVISION CORP ............... 66,112 4,100 o CORPORATE EXPRESS, INC ............ 123,512 2,000 o CORRECTIONS CORP OF AMERICA ....... 74,250 2,100 o CREDENCE SYSTEMS CORP ............. 48,037 6,400 DELUXE CORP ....................... 185,600 1,300 o DIALOGIC CORP ..................... 50,050 3,100 DIEBOLD, INC ...................... 171,662 3,400 o DOUBLETREE CORP ................... 89,250 900 o FORE SYSTEMS, INC ................. 53,550 2,600 o FRANKLIN QUEST CO ................. 50,700 1,800 o FRITZ COS INC ..................... 74,700 1,300 o GATEWAY 2000, INC ................. 31,850 5,700 HARLAND (JOHN H.) CO .............. 118,987 1,500 IDEON GROUP, INC .................. 15,187 1,400 o INFORMATION RESOURCES, INC ........ 17,325 1,400 o INSO CORP COM ..................... 59,500 1,000 o INTERIM SERVICES, INC ............. 34,750 6,000 INTERPUBLIC GROUP OF COS, INC ..... 260,250 3,600 KELLY SERVICES, INC (CLASS A) ..... 99,900 1,000 LIBERTY PROPERTY TRUST ............ 20,750 5,100 MANPOWER, INC ..................... 143,437 1,250 o MCAFEE ASSOCIATES, INC ............ 54,843 700 o MERISEL, INC ...................... 3,062 1,800 o MICRO WAREHOUSE, INC .............. 77,850 2,600 o NATIONAL AUTO CREDIT, INC ......... 42,250 5,000 NATIONAL SERVICE INDUSTRIES, INC .. 161,875 3,500 o NU KOTE HOLDING, INC (CLASS A) .... 59,500 9,250 o OFFICE DEPOT, INC ................. 182,687 7,600 o OIS OPTICAL IMAGING SYSTEMS, INC .. 29,450 2,900 OLSTEN CORP ....................... 114,550 5,400 OMNICOM GROUP, INC ................ 201,150 1,000 o OPTICAL DATA SYSTEMS, INC ......... 25,250 2,750 PAYCHEX, INC ...................... 137,156 2,500 PHH CORP .......................... 116,875 2,200 PREMIER INDUSTRIAL CORP NEW ....... 53,900 1,700 o QUARTERDECK CORP .................. 46,750 1,000 o REMEDY CORP ....................... 59,250 2,600 o ROBERT HALF INTERNATIONAL, INC .... 108,875 4,000 ROLLINS, INC ...................... 88,500 5,100 SENSORMATIC ELECTRONICS CORP ...... 88,612 7,300 SERVICE CORP INTERNATIONAL ........ 321,200 2,000 o STRATACOM, INC .................... 147,000 3,300 o SUNGARD DATA SYSTEMS, INC ......... 94,050 1,500 o THERMOLASE CORP ................... 38,812 1,700 o TIVOLI SYSTEMS, INC ............... 57,375 1,700 TRUE NORTH COMMUNICATIONS, INC .... 31,450 3,900 o U.S. CELLULAR CORP ................ 131,625 400 VALSPAR CORP ...................... 17,850 2,100 o VERIFONE, INC ..................... 60,112 1,100 WALLACE COMPUTER SERVICES, INC .... 60,087 500 o WONDERWARE CORP ................... 8,562 ----------- 5,643,367 ----------- CHEMICALS--MAJOR--2.05% 7,700 AIR PRODUCTS & CHEMICALS, INC ..... 406,175 1,200 ARCO CHEMICAL CO .................. 58,350 17,800 DOW CHEMICAL CO ................... 1,252,675 37,800 DU PONT (E.I.) DE NEMOURS & CO .... 2,641,275 5,500 EASTMAN CHEMICAL CO ............... 344,437 2,200 GOODRICH (B.F.) CO ................ 149,875 7,700 HERCULES, INC ..................... 434,087 2,900 MISSISSIPPI CHEMICAL CORP ......... 67,425 7,700 MONSANTO CO ....................... 943,250 1,300 o OAK TECHNOLOGY, INC ............... 54,925 1,900 OLIN CORP ......................... 141,075 13,700 PPG INDUSTRIES, INC ............... 626,775 9,900 PRAXAIR, INC ...................... 332,887 200 o QUINTILES TRANSNATIONAL CORP ...... 8,200 3,300 ROHM & HAAS CO .................... 212,437 8,600 UNION CARBIDE CORP ................ 322,500 ----------- 7,996,348 ----------- CHEMICALS--SPECIALTY--1.08% 3,600 o AIRGAS, INC ....................... 119,700 4,700 ALBEMARLE CORP .................... 91,062 2,900 BETZ LABORATORIES, INC ............ 118,900 3,800 CALGON CARBON CORP ................ 45,600 1,500 COMMERCIAL METALS CO .............. 37,125 4,800 CROMPTON & KNOWLES CORP ........... 63,600 1,600 o CYTEC INDUSTRIES, INC ............. 99,800 900 DEXTER CORP ....................... 21,262 4,800 ECOLAB, INC ....................... 144,000 6,000 ENGELHARD CORP .................... 130,500 7,000 ETHYL CORP ........................ 87,500 3,100 FERRO CORP ........................ 72,075 1,600 FIRST MISSISSIPPI CORP ............ 42,400 2,900 FOSTER WHEELER CORP ............... 123,250 401 FULLER (H.B.) CO .................. 13,934 4,100 GEON CO ........................... 99,937 2,900 GEORGIA GULF CORP ................. 89,175 1,000 GRACE (W.R.) & CO ................. 59,125 4,600 GREAT LAKES CHEMICAL CORP ......... 331,200 644 ICN PHARMACEUTICALS, INC NEW ...... 12,397 3,700 IMC GLOBAL, INC ................... 151,237 5,000 LAWTER INTERNATIONAL, INC ......... 58,125 2,400 LOCTITE CORP ...................... 114,000 4,900 LUBRIZOL CORP ..................... 136,587 3,500 LYONDELL PETROCHEMICAL CO ......... 80,062 900 MALLINCKRODT GROUP, INC ........... 32,737 200 o MCWHORTER TECHNOLOGIES, INC ....... 2,950 3,600 MILLIPORE CORP .................... 148,050 10,400 MORTON INTERNATIONAL, INC ......... 373,100 5,400 NALCO CHEMICAL CORP ............... 162,675 1,500 OM GROUP, INC ..................... 49,687 3,400 RAYCHEM CORP ...................... 193,375 7,750 RPM, INC .......................... 127,875 3,475 SCHULMAN A, INC ................... 78,187 3,800 o SEALED AIR CORP ................... 106,875 3,600 SIGMA ALDRICH CORP ................ 178,200 6,600 o STERLING CHEMICALS, INC ........... 53,625 3,400 TERRA INDUSTRIES, INC ............. 48,025 1,000 THIOKOL CORP ...................... 33,875 1,600 VIGORO CORP ....................... 98,800 2,700 WELLMAN, INC ...................... 61,425 4,400 WITCO CORP ........................ 128,700 ----------- 4,220,714 ----------- COMMUNICATION EQUIPMENT & SERVICES--1.85% 11,260 o 3COM CORP ......................... 524,997 35,000 o AIRTOUCH COMMUNICATIONS, INC ...... 988,750 2,850 o ANDREW CORP ....................... 109,012 1,000 o ANTEC CORP ........................ 18,000 4,700 o ARCH COMMUNICATIONS GROUP, INC .... 112,800 2,800 o ASCEND COMMUNICATIONS INC ......... 227,150 2,300 o AVID TECHNOLOGIES, INC ............ 43,700 5,600 o BRINKER INTERNATIONAL, INC ........ 84,700 See notes to financial statements. -54- SHARES VALUE ------ ----- COMMUNICATION EQUIPMENT & SERVICES (CONTINUED) 3,600 o CABLETRON SYSTEMS, INC ............ $ 291,600 1,500 o CALIFORNIA MICROWAVE, INC ......... 24,937 1,800 o CASCADE COMMUNICATIONS CORP ....... 153,450 1,000 o CELLSTAR CORP ..................... 26,000 400 o CELLULAR COMMUNICATIONS INTERNATIONAL, INC ............... 17,100 4,400 CENTURY TELEPHONE ENTERPRISES, INC 139,700 1,100 o CIDCO, INC ........................ 28,050 18,700 o CISCO SYSTEMS, INC ................ 1,395,487 5,200 COMSAT CORP SERIES 1 .............. 96,850 16,100 CORNING, INC ...................... 515,200 7,800 o DSC COMMUNICATIONS CORP ........... 287,625 1,700 o DSP COMMUNICATIONS, INC ........... 74,162 1,600 o GENERAL DATACOMM INDUSTRIES, INC .. 27,400 4,700 o GEOTEK COMMUNICATIONS, INC ........ 29,668 3,300 HARRIS CORP ....................... 180,262 1,100 o INTERDIGITAL COMMUNICATIONS CORP .. 8,112 4,266 o INTERNATIONAL CABLETEL, INC ....... 104,517 7,100 o LCI INTERNATIONAL, INC ............ 145,550 1,900 o MACROMEDIA, INC ................... 99,275 1,900 o MFS COMMUNICATIONS CO, INC ........ 101,175 1,100 o NETCOM ON-LINE COMMUNICATION SERVICES, INC .................... 39,600 2,300 o NETWORK EQUIPMENT TECHNOLOGIES .... 62,962 6,100 o NEW WORLD COMMUNICATIONS GROUP, INC ........ 106,750 21,700 o NOVELL, INC ....................... 309,225 1,500 o OCTEL COMMUNICATIONS CORP ......... 48,375 2,000 o PAGING NETWORK, INC ............... 48,750 800 o PAIRGAIN TECHNOLOGIES, INC ........ 43,800 2,000 o PICTURETEL CORP NEW ............... 86,250 1,400 o PREMISYS COMMUNICATIONS, INC ...... 78,400 2,900 o QUALCOMM, INC ..................... 124,700 5,500 SCIENTIFIC-ATLANTA, INC ........... 82,500 4,300 o TECH DATA CORP .................... 64,500 5,200 o TELLABS, INC ...................... 192,400 4,900 o VANGUARD CELLULAR SYSTEMS, INC .... 99,225 ----------- 7,242,666 ----------- COMPUTER SERVICE--3.09% 400 o3DO CO ............................ 4,000 2,700 o ACXIOM CORP ....................... 73,912 3,400 o ADAPTEC, INC ...................... 139,400 4,400 o ADC TELECOMMUNICATIONS, INC ....... 160,600 3,572 ADOBE SYSTEMS, INC ................ 221,464 3,150 o AMERICAN MANAGEMENT SYSTEMS, INC .. 94,500 10,000 AUTOMATIC DATA PROCESSING, INC .... 742,500 400 o BANYAN SYSTEMS, INC ............... 4,100 11,645 o BAY NETWORKS, INC ................. 478,900 1,400 o BBN CORPORATION ................... 57,575 3,500 o BISYS GROUP, INC .................. 107,625 3,100 o BMC SOFTWARE, INC ................. 132,525 600 o BORLAND INTERNATIONAL, INC ........ 9,900 1,400 o BOSTON TECHNOLOGY, INC ............ 17,850 900 o BRODERBUND SOFTWARE, INC .......... 54,675 3,650 o CADENCE DESIGN SYSTEMS, INC ....... 153,300 1,000 o CAMBRIDGE TECHNOLOGY PARTNERS, INC. 57,500 1,200 o CDW COMPUTER CENTERS, INC ......... 48,600 3,000 o CERIDIAN CORP ..................... 123,750 2,300 o CHEYENNE SOFTWARE, INC ............ 60,087 1,600 o COMPUSA, INC ...................... 49,800 12,800 COMPUTER ASSOCIATES INTERNATIONAL, INC ............................. 728,000 3,900 o COMPUTER SCIENCES CORP ............ 273,975 2,400 o COMPUWARE CORP .................... 44,400 1,000 o CONTINUM, INC ..................... 39,500 1,300 o CYRIX CORP ........................ 29,900 1,200 o DAVIDSON & ASSOCIATES, INC ........ 26,400 2,500 o ELECTRONIC ARTS ................... 65,312 13,000 o EMC CORP .......................... 199,875 400 o EXABYTE CORP ...................... 5,850 13,274 FIRST DATA CORP ................... 887,698 3,900 o FISERV, INC ....................... 117,000 1,600 o FTP SOFTWARE, INC ................. 46,400 20,500 GENERAL MOTORS CORP (CLASS E) ..... 1,066,000 2,600 HBO & CO .......................... 199,225 4,100 o INTERGRAPH CORP ................... 64,575 2,400 o INTUIT, INC ....................... 187,200 600 o LANDMARK GRAPHICS CORP ............ 13,950 1,100 o MEDIC COMPUTER SYSTEMS, INC ....... 66,550 4,000 o MENTOR GRAPHICS CORP .............. 73,000 2,500 o MICROCHIP TECHNOLOGY, INC ......... 91,250 1,200 o MICRON ELECTRONICS, INC ........... 12,900 24,300 o MICROSOFT CORP .................... 2,132,325 3,400 NATIONAL DATA CORP ................ 84,150 2,600 o NETMANAGE, INC .................... 60,450 2,000 o NETWORK GENERAL CORP .............. 66,750 22,850 o ORACLE CORP ....................... 968,268 4,000 o PARAMETRIC TECHNOLOGY CORP ........ 266,000 1,700 o PEOPLESOFT, INC ................... 73,100 4,200 o PLATINUM TECHNOLOGY, INC .......... 77,175 300 o POLICY MANAGEMENT SYSTEMS CORP .... 14,287 1,400 o PROGRESS SOFTWARE CORP ............ 52,500 2,700 o READ-RITE CORP .................... 62,775 3,300 REYNOLDS & REYNOLDS CO (CLASS A) .. 128,287 1,500 o SAFEGUARD SCIENTIFICS INC ......... 74,250 1,900 o SECURITY DYNAMICS TECHNOLOGIES, INC 103,550 2,000 SEI CORP .......................... 43,500 1,800 SHARED MEDICAL SYSTEMS CORP ....... 97,875 300 o SHIVA CORP ........................ 21,825 1,300 o SIERRA ON-LINE, INC ............... 37,375 1,600 o SOFTKEY INTERNATIONAL, INC ........ 37,000 2,100 o STERLING SOFTWARE, INC ............ 130,987 2,100 o STRUCTURAL DYNAMICS RESEARCH CORP.. 61,687 4,600 o SYBASE, INC ....................... 165,600 2,600 o SYMANTEC CORP ..................... 60,450 2,800 o SYNOPSYS, INC ..................... 106,400 1,650 SYSTEM SOFTWARE ASSOCIATES, INC ... 35,887 2,400 o ZEBRA TECHNOLOGY CORP ............. 81,600 ----------- 12,075,576 ----------- CONGLOMERATES--2.01% 7,900 ALCO STANDARD CORP ................ 360,437 5,800 ALEXANDER & BALDWIN, INC .......... 133,400 19,500 ALLIED SIGNAL, INC ................ 926,250 3,000 AMERICAN FINANCIAL GROUP, INC ..... 91,875 5,200 o ANIXTER INTERNATIONAL, INC ........ 96,850 1,200 o COLTEC INDUSTRIES, INC ............ 13,950 2,700 o CONCORD EFS, INC .................. 114,075 2,700 CRANE CO .......................... 99,562 4,100 FIRST NATIONAL BANCORP GAINESVILLE 131,200 6,700 ITT INDUSTRIES, INC ............... 160,800 3,100 JOHNSON CONTROLS, INC ............. 213,125 1,300 KEYSTONE FINANCIAL, INC ........... 39,000 3,000 o LITTON INDUSTRIES, INC ............ 133,500 5,800 LOEWS CORP ........................ 454,575 3,800 o MANVILLE CORP ..................... 49,875 5,171 MARK IV INDUSTRIES, INC ........... 102,127 28,700 MINNESOTA MINING & MANUFACTURING CO 1,901,375 11,500 ROCKWELL INTERNATIONAL CORP ....... 608,062 1,100 STANDEX INTERNATIONAL CORP ........ 36,025 3,500 TELEDYNE, INC ..................... 89,687 4,900 TEXTRON, INC ...................... 330,750 4,600 TRW, INC .......................... 356,500 See notes to financial statements. -55- SHARES VALUE ------ ----- CONGLOMERATES-(CONTINUED) 11,100 TYCO INTERNATIONAL LTD ............ $ 395,437 8,700 UNITED TECHNOLOGIES CORP .......... 825,412 9,000 WHITMAN CORP ...................... 209,250 ----------- 7,873,099 ----------- CONSTRUCTION --MATERIALS & BUILDERS--0.68% 2,800 ARMSTRONG WORLD INDUSTRIES, INC ... 173,600 1,200 o CASTLE & COOKE, INC ......... 20,100 200 o CDI CORP .......................... 3,600 2,400 CENTEX CORP ....................... 83,400 1,900 o CHAMPION ENTERPRISES, INC ......... 58,662 4,793 CLAYTON HOMES, INC ................ 102,450 6,300 DEBARTOLO REALTY CORP ............. 81,900 2,400 FASTENAL CO ....................... 101,400 3,400 FLEETWOOD ENTERPRISES, INC ........ 87,550 1,300 o JACOBS ENGINEERING GROUP, INC ..... 32,500 600 JUSTIN INDUSTRIES, INC ............ 6,600 4,800 KAUFMAN & BROAD HOME CORP ......... 71,400 5,760 LAFARGE CORP ...................... 108,000 2,950 LENNAR CORP ....................... 74,118 2,300 MANUFACTURED HOME ................. 40,250 11,500 MASCO CORP ........................ 360,812 900 MEDUSA CORP ....................... 23,850 2,400 OAKWOOD HOMES CORP ................ 92,100 3,600 o OWENS CORNING FIBERGLAS CORP NEW .. 161,550 700 PLY-GEM INDUSTRIES, INC ........... 11,375 2,200 PULTE CORP ........................ 73,975 5,900 SHERWIN-WILLIAMS CO ............... 240,425 11,400 o SIMON PROPERTY GROUP, INC ......... 277,875 2,800 o SOLA INTERNATIONAL, INC ........... 70,700 300 TEXAS INDUSTRIES, INC ............. 15,900 3,700 o USG CORP .......................... 111,000 3,000 VULCAN MATERIALS CO ............... 172,875 ----------- 2 ,657,967 ----------- CONTAINERS--0.14% 3,033 BALL CORP ......................... 83,407 5,600 o CROWN CORK & SEAL CO, INC ......... 233,800 5,200 o GAYLORD CONTAINER CO .............. 41,925 10,400 o OWENS ILLINOIS, INC ............... 150,800 1,100 WEST CO, INC ...................... 25,850 ----------- 535,782 ----------- COSMETICS--0.61% 1,000 ALBERTO CULVER CO (CLASS B) ....... 34,375 4,900 AVON PRODUCTS, INC ................ 369,337 600 o BUSH BOAKE ALLEN INC .............. 16,425 1,900 CARTER WALLACE, INC ............... 21,612 30,800 GILLETTE CO ....................... 1,605,450 6,800 INTERNATIONAL FLAVORS & FRAGRANCES, INC ................ 326,400 ----------- 2,373,599 ----------- ELECTRICAL EQUIPMENT--3.11% 5,300 o AMERICAN POWER CONVERSION CORP .... 50,350 3,700 AMETEK, INC ....................... 69,375 1,800 BALDOR ELECTRIC CO ................ 36,225 3,900 BELDEN, INC ....................... 100,425 2,000 o COMVERSE TECHNOLOGY, INC .......... 40,000 8,000 DURACELL INTERNATIONAL, INC ....... 414,000 15,700 EMERSON ELECTRIC CO ............... 1,283,475 2,000 EXIDE CORP ........................ 91,750 116,500 GENERAL ELECTRIC CO ............... 8,388,000 700 GENERAL SIGNAL CORP ............... 22,662 3,000 GRAINGER (W.W.), INC .............. 198,750 9,000 HONEYWELL, INC .................... 437,625 2,725 HUBBELL, INC (CLASS B) ............ 179,168 1,700 JUNO LIGHTING, INC ................ 27,200 2,300 o MAGNETEK, INC ..................... 18,687 1,400 o OAK INDUSTRIES, INC NEW ........... 26,250 1,000 o SANMINA CORP ...................... 51,875 2,100 o SYMBOL TECHNOLOGIES, INC .......... 82,950 2,400 THOMAS & BETTS CORP ............... 177,000 27,300 WESTINGHOUSE ELECTRIC CORP ........ 450,450 ----------- 12,146,217 ----------- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--2.93% 6,900 o ADVANCED MICRO DEVICES, INC ....... 113,850 1,100 o ALANTEC CORP ...................... 64,075 2,700 o ALTERA CORP ....................... 134,325 15,200 AMP, INC .......................... 583,300 3,100 o AMPHENOL CORP (CLASS A) ........... 75,175 5,350 o ANALOG DEVICES, INC ............... 189,256 1,000 o APPLIED INNOVATION, INC ........... 11,750 3,337 o ARROW ELECTRONICS, INC ............ 143,908 5,300 o ATMEL CORP ........................ 118,587 1,600 AUGAT, INC ........................ 27,400 3,300 AVNET, INC ........................ 147,675 1,700 o BURR BROWN CORP ................... 43,350 3,900 o CIRRUS LOGIC, INC ................. 77,025 5,600 o CYPRESS SEMICONDUCTOR CORP ........ 71,400 3,500 DALLAS SEMICONDUCTOR CORP ......... 72,625 2,800 FISHER SCIENTIFIC INTERNATIONAL, INC 93,450 8,300 o GENERAL INSTRUMENT CORP NEW ....... 194,012 45 o HARRIS COMPUTER SYSTEMS CORP ...... 607 1,000 HELIX TECHNOLOGY CORP ............. 39,500 4,800 o INTEGRATED DEVICE TECHNOLOGY, INC . 61,800 57,700 INTEL CORP ........................ 3,274,475 3,800 o INTERNATIONAL RECTIFIER CORP ...... 95,000 3,300 o KEMET CORP ........................ 78,787 1,800 o KENT ELECTRONICS CORP ............. 105,075 1,700 o LAM RESEARCH CORP ................. 77,775 1,800 o LATTICE SEMICONDUCTOR ............. 58,725 5,200 LINEAR TECHNOLOGY CO .............. 204,100 8,900 o LSI LOGIC CORP .................... 291,475 400 o MARSHALL INDUSTRIES, INC .......... 12,850 4,100 o MAXIM INTEGRATED PRODUCTS ......... 157,850 3,900 o METHODE ELECTRONICS, INC (CLASS A) 55,575 11,000 MICRON TECHNOLOGY, INC ............ 435,875 7,125 MOLEX, INC ........................ 226,218 41,100 MOTOROLA, INC ..................... 2,342,700 8,400 o NATIONAL SEMICONDUCTOR CORP ....... 186,900 1,950 PIONEER-STANDARD ELECTRONICS, INC . 25,837 3,900 o S3, INC ........................... 68,737 2,500 o SIERRA SEMICONDUCTOR CORP ......... 34,687 12,900 TEXAS INSTRUMENTS, INC ............ 667,575 2,000 o TRIMBLE NAVIGATION LTD ............ 37,250 2,100 o U.S. ROBOTICS CORP ................ 184,275 2,600 o VICOR CORP ........................ 52,000 3,812 o VISHAY INTERTECHNOLOGY, INC ....... 120,078 2,300 o VLSI TECHNOLOGY, INC .............. 41,687 4,700 o WESTERN DIGITAL CORP .............. 84,012 2,000 WYLE ELECTRONICS .................. 70,250 4,500 o XILINX, INC ....................... 137,250 2,100 o ZILOG, INC ........................ 76,912 ----------- 11,467,000 ----------- ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.54% 12,200 o APPLIED MATERIALS, INC ............ 480,375 2,900 BECKMAN INSTRUMENTS, INC NEW ...... 102,587 1,200 o COHERENT, INC ..................... 48,600 3,300 o DESTEC ENERGY, INC ................ 45,375 1,600 o ELECTROGLAS, INC .................. 39,200 2,400 o ELECTRONICS FOR IMAGING, INC ...... 105,000 1,800 o INPUT/OUTPUT, INC ................. 103,950 See notes to financial statements. -56- SHARES VALUE ------ ----- ELECTRICAL EQUIPMENT-- INSTRUMENTS (CONTINUED) 3,500 o KLA INSTRUMENT CORP ............... $ 91,218 1,600 o KULICHE & SOFFA INDUSTRIES, INC ... 37,200 12,300 LORAL CORP ........................ 435,112 2,600 o LTX CORP .......................... 23,725 3,300 PERKIN-ELMER CORP ................. 124,575 1,800 o SILICON VALLEY GROUP, INC ......... 45,450 2,500 TEKTRONIX, INC .................... 122,812 1,600 o TENCOR INSTRUMENTS ................ 39,000 4,800 o TERADYNE, INC ..................... 120,000 1,100 o THERMO INSTRUMENT SYSTEMS, INC .... 37,125 1,600 VARIAN ASSOCIATES, INC ............ 76,400 1,900 X RITE, INC ....................... 26,837 --------- 2,104,541 --------- ENVIRONMENTAL CONTROL--0.50% 12,900 BROWNING FERRIS INDUSTRIES, INC ... 380,550 5,600 OGDEN CORP ........................ 119,700 800 o OMEGA ENVIRONMENTAL, INC .......... 2,700 2,600 o REPUBLIC INDUSTRIES, INC .......... 93,925 3,100 o SANIFILL, INC ..................... 103,462 2,700 o U.S. FILTER CORP .................. 71,887 4,400 o U.S.A. WASTE SERVICES, INC ........ 83,050 2,800 o UNITED WASTE SYSTEMS, INC ......... 104,300 6,200 WHEELABRATOR TECHNOLOGIES, INC NEW. 103,850 30,300 WMX TECHNOLOGIES, INC ............. 905,212 --------- 1,968,636 --------- FINANCIAL--MISCELLANEOUS--3.95% 3,400 ADVANTA CORP (CLASS A) ............ 130,050 7,600 AHMANSON (H.F.) & CO .............. 201,400 1,600 ALEX BROWN, INC ................... 67,200 3,300 AMBAC, INC ........................ 154,687 33,400 AMERICAN EXPRESS CO ............... 1,381,925 14,100 AMERICAN GENERAL CORP ............. 491,737 1,400 o AMERICAN HEALTH PROPERTIES, INC ... 30,100 3,100 ASTORIA FINANCIAL CORP ............ 141,437 2,500 AVALON PROPERTIES, INC ............ 53,750 1,200 BEACON PROPERTIES CORP ............ 27,600 7,014 BEAR STEARNS COS, INC ............. 139,403 3,800 BENEFICIAL CORP ................... 177,175 6,400 o CALIFORNIA FEDERAL BANK ........... 100,800 2,800 CAPSTEAD MORTGAGE CORP ............ 64,050 1,400 CASE CORPORATION .................. 64,050 11,000 o CATELLUS DEVELOPMENT CORP ......... 66,000 1,300 o CBL & ASSOCIATES PROPERTIES, INC .. 28,275 1,400 CMAC INVESTMENT CORP .............. 61,600 3,800 o COAST SAVINGS FINANCIAL, INC ...... 131,575 3,400 o COLLECTIVE BANCORP, INC ........... 86,275 3,750 COMDISCO, INC ..................... 84,843 1,300 COMMERCIAL FEDERAL CORP ........... 49,075 7,383 COUNTRYWIDE CREDIT INDUSTRIES, INC 160,580 2,000 o CREDIT ACCEPTANCE CORP ............ 41,500 4,600 CWM MTG HLDGS INC ................. 78,200 10,100 DEAN WITTER DISCOVER & CO ......... 474,700 2,200 DEVELOPERS DIVERSIFIED REALTY CORP 66,000 3,000 DUKE REALTY INVESTMENTS, INC ...... 94,125 4,600 EDWARDS (A.G.), INC ............... 109,825 2,900 EQUITY RESIDENTIAL PROPERTY TRUST . 88,812 12,300 FEDERAL HOME LOAN MORTGAGE CORP ... 1,027,050 18,200 FEDERAL NATIONAL MORTGAGE ASSOCIATION....................... 2,259,075 1,200 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD ..................... 29,850 2,300 FINOVA GROUP, INC ................. 110,975 6,900 FIRST FINANCIAL CORP (WISCONSIN) .. 158,700 3,800 FIRST USA, INC .................... 168,625 11,600 FRANCHISE FINANCE CORP OF AMERICA . 262,450 3,800 FRANKLIN RESOURCES, INC ........... 191,425 1,700 o GARTNER GROUP, INC (CLASS A) NEW .. 81,387 800 GENERAL GROWTH PROPERTIES, INC .... 16,600 7,300 o GLENDALE FEDERAL SAVINGS BANK, INC NEW 127,750 2,800 GLIMCHER REALTY TRUST ............. 48,300 2,100 GOLDEN WEST FINANCIAL CORP ........ 116,025 6,872 GREAT WESTERN FINANCIAL CORP ...... 175,236 10,100 GREEN TREE FINANCIAL CORP ......... 266,387 16,300 HEALTH AND RETIREMENT PROPERTY TRUST 264,875 2,400 HIGHWOODS PROPERTIES, INC ......... 67,800 6,401 HOUSEHOLD INTERNATIONAL, INC ...... 378,459 8,220 LEHMAN BROTHERS HOLDINGS, INC ..... 174,675 3,700 LEUCADIA NATIONAL CORP ............ 92,500 9,100 MBNA CORP ......................... 335,562 3,300 o MEDAPHIS CORP ..................... 122,100 9,600 MEDITRUST CORP .................... 334,800 10,250 MERCURY FINANCE CO ................ 135,812 11,500 MERRILL LYNCH & CO, INC ........... 586,500 2,800 MERRY LAND & INVESTMENT CO, INC ... 66,150 3,200 MORGAN STANLEY GROUP, INC ......... 258,000 12,900 NEW PLAN REALTY TRUST ............. 282,187 1,200 o OLYMPIC FINANCIAL LTD ............. 19,500 7,100 PAINE WEBBER GROUP INC ............ 142,000 800 o PEC ISRAEL ECONOMIC CORP .......... 19,300 3,700 PENNCORP FINANCIAL GROUP, INC ..... 108,687 3,700 PIONEER GROUP, INC ................ 100,825 2,100 PMI GROUP, INC .................... 95,025 2,900 POST PROPERTIES, INC .............. 92,437 2,000 PRICE (T. ROWE) ASSOCIATES, INC ... 98,500 3,500 PUBLIC STORAGE, INC ............... 66,500 2,550 QUICK & REILLY GROUP, INC ......... 52,275 6,500 ROOSEVELT FINANCIAL GROUP, INC .... 125,937 7,300 SALOMON, INC ...................... 259,150 7,100 SCHWAB (CHARLES) CORP ............. 142,887 6,100 SECURITY CAPITAL PACIFIC TRUST .... 120,475 1,700 SPIEKER PROPERTIES, INC ........... 42,712 4,200 STUDENT LOAN MARKETING ASSOCIATION 276,675 5,000 TCF FINANCIAL CORP ................ 165,625 3,450 THE MONEY STORE, INC .............. 53,906 6,300 o TIG HOLDINGS, INC ................. 179,550 3,200 UNITED ASSET MANAGEMENT CORP ...... 122,800 2,580 UNITED COS FINANCIAL CORP ......... 68,047 6,900 o UNITED DOMINION REALTY TRUST ...... 103,500 --------- 15,442,317 --------- FOODS--2.43% 36,355 o ARCHER DANIELS MIDLAND CO ......... 654,390 9,400 CAMPBELL SOUP CO .................. 564,000 4,075 CARDINAL HEALTH, INC .............. 223,106 3,800 CHIQUITA BRANDS INTERNATIONAL, INC 52,250 16,400 CONAGRA, INC ...................... 676,500 10,000 CPC INTERNATIONAL, INC ............ 686,250 4,400 DEAN FOODS CO ..................... 121,000 3,600 DOLE FOOD, INC .................... 126,000 700 DREYERS GRAND ICE CREAM, INC ...... 23,275 6,600 FLOWERS INDUSTRIES, INC ........... 80,025 11,200 GENERAL MILLS, INC ................ 646,800 5,900 o GENERAL NUTRITION COS, INC ........ 135,700 22,050 HEINZ (H.J.) CO ................... 730,406 3,700 HERSHEY FOODS CORP ................ 240,500 4,200 HORMEL FOODS CORP ................. 103,425 3,200 IBP, INC .......................... 161,600 4,000 o INTERSTATE BAKERIES CORP .......... 89,500 8,100 KELLOGG CO ........................ 625,725 6,000 LANCE, INC ........................ 98,250 6,200 MCCORMICK & CO, INC ............... 149,575 5,000 NABISCO HOLDINGS CORP (CLASS A) ... 163,125 300 o NBTY, INC ......................... 1,425 5,000 PIONEER-HI-BRED INTERNATIONAL, INC 278,125 See notes to financial statements. -57- SHARES VALUE ______ _______ FOODS (CONTINUED) 9,400 QUAKER OATS CO .................... $ 324,300 5,100 o RALCORP HOLDINGS, INC ............. 123,675 7,300 RALSTON PURINA GROUP .............. 455,337 4,700 RICHFOOD HOLDINGS, INC ............ 125,725 33,200 SARA LEE CORP ..................... 1,058,250 1,900 o SMITHFIELD FOODS, INC ............. 60,325 800 SMITH'S FOOD & DRUG CENTERS, INC (CLASS B) ....................... 20,200 800 TOOTSIE ROLL INDUSTRIES, INC ...... 31,700 6,400 TYSON FOODS, INC .................. 167,200 2,800 UNIVERSAL FOODS CORP .............. 112,350 150 WLR FOODS, INC .................... 2,475 7,400 WRIGLEY (WM) JR CO ................ 388,500 --------- 9,500,989 --------- FOREST PRODUCTS--0.52% 3,900 BOISE CASCADE CORP ................ 135,037 5,600 CHAMPION INTERNATIONAL CORP ....... 235,200 6,100 GEORGIA-PACIFIC CORP .............. 418,612 8,100 LOUISIANA PACIFIC CORP ............ 196,425 2,900 POTLATCH CORP ..................... 116,000 3,500 RAYONIER, INC ..................... 116,812 900 TJ INTERNATIONAL, INC ............. 16,650 13,700 WEYERHAEUSER CO ................... 592,525 3,800 WILLAMETTE INDUSTRIES, INC ........ 213,750 --------- 2,041,011 --------- HEALTHCARE--DRUGS--5.69% 5,800 o ALZA CORP ......................... 143,550 21,300 AMERICAN HOME PRODUCTS CORP ....... 2,066,100 18,300 o AMGEN, INC ........................ 1,086,562 4,450 ARBOR DRUGS, INC .................. 93,450 3,860 BERGEN BRUNSWIG CORP (CLASS A) .... 96,017 2,500 o BIOGEN, INC ....................... 153,750 824 BLOCK DRUG, INC (CLASS A) ......... 28,634 34,500 BRISTOL MYERS SQUIBB CO ........... 2,962,687 400 o CELLPRO, INC ...................... 6,400 4,500 o CENTOCOR, INC ..................... 138,937 2,100 o CEPHALON, INC ..................... 85,575 1,032 o CHIRON CORP ....................... 114,036 200 o COPLEY PHARMACEUTICAL, INC ........ 2,750 1,100 o COR THERAPEUTICS, INC ............. 9,212 1,800 o ENZO BIOCHEMICAL, INC ............. 34,650 3,800 o FOREST LABORATORIES, INC .......... 171,950 600 o GENSIA, INC ....................... 3,150 2,100 o GENZYME CORP ...................... 130,987 81 o GENZYME CORP (TISSUE REPAIR DIVISION) 1,285 2,700 o GILEAD SCIENCES, INC .............. 86,400 3,000 o IMMUNEX CORP NEW .................. 49,500 2,700 o INTERNEURON PHARMACEUTICALS, INC .. 68,850 7,292 IVAX CORP ......................... 207,822 32,238 LILLY (ELI) & CO .................. 1,813,387 2,900 o LIPOSOME CO, INC .................. 58,000 4,200 MCKESSON CORP NEW ................. 212,625 2,200 o MEDISENSE, INC .................... 69,575 86,800 MERCK & CO, INC ................... 5,707,100 8,850 MYLAN LABORATORIES, INC ........... 207,975 44,400 PFIZER, INC ....................... 2,797,200 18,245 o PHARMACIA & UPJOHN, INC ........... 706,993 400 o PROTEIN DESIGN LABORATORIES, INC .. 9,250 3,600 RHONE-POULENC RORER, INC .......... 191,700 1,500 o ROBERTS PHARMACEUTICAL CORP ....... 26,625 2,500 o SCHERER (R.P.) CORP ............... 122,812 26,100 SCHERING-PLOUGH CORP .............. 1,428,975 1,600 o SEPRACOR, INC ..................... 29,400 2,900 o THERMEDICS, INC ................... 80,475 9,200 WARNER-LAMBERT CO ................. 893,550 2,488 o WATSON PHARMACEUTICALS, INC ....... 121,912 --------- 22,219,808 --------- HEALTHCARE--HOSPITAL SUPPLY--2.18% 53,600 ABBOTT LABORATORIES ............... 2,237,800 4,300 BARD (C.R.), INC .................. 138,675 18,600 BAXTER INTERNATIONAL, INC ......... 778,875 4,500 BECTON DICKINSON & CO ............. 337,500 2,400 o C-CUBE MICROSYSTEMS, INC .......... 150,000 1,600 DENTSPLY INTERNATIONAL, INC NEW ... 64,000 10,071 GUIDANT CORP ...................... 425,499 2,400 o HAEMONETICS CORP .................. 42,600 2,700 o ISOLYSER CO, INC .................. 37,800 45,100 JOHNSON & JOHNSON ................. 3,861,687 5,800 OWENS & MINOR, INC NEW ............ 73,950 3,100 o PATTERSON DENTAL CO ............... 83,700 2,800 o PHYSICIAN SALES & SERVICE, INC .... 79,800 2,700 o PYXIS CORP ........................ 39,487 1,400 o SOFAMOR DANEK GROUP, INC .......... 39,725 1,000 o TECNOL MEDICAL PRODUCTS, INC ...... 18,000 3,700 U.S. SURGICAL CORP ................ 79,087 1,900 o VENTRITEX, INC .................... 33,012 --------- 8,521,197 --------- HEALTHCARE--OTHER--1.16% 500 o ACUSON CORP ....................... 6,187 5,600 ALLERGAN, INC ..................... 182,000 3,000 o AMERICAN MEDICAL RESPONSE, INC .... 97,500 2,200 o AMSCO INTERNATIONAL, INC .......... 32,725 1,100 ARROW INTERNATIONAL, INC .......... 43,725 2,900 BALLARD MEDICAL PRODUCTS .......... 51,837 4,300 BAUSCH & LOMB, INC ................ 170,387 8,200 o BIOMET, INC ....................... 146,575 5,741 o BOSTON SCIENTIFIC CORP ............ 281,309 6,200 CAREMARK INTERNATIONAL, INC ....... 112,375 5,178 o CORAM HEALTHCARE CORP ............. 22,653 1,000 o CORDIS CORP ....................... 100,500 2,600 o COVENTRY CORP ..................... 53,625 1,200 o DATASCOPE CORP .................... 28,800 400 DIAGNOSTIC PRODUCTS CORP .......... 15,150 2,100 o GENESIS HEALTH VENTURES, INC ...... 76,650 2,000 o HEART TECHNOLOGY, INC ............. 65,750 2,400 HILLENBRAND INDUSTRIES, INC ....... 81,300 2,000 o HUMAN GENOME SCIENCES, INC ........ 76,500 3,000 o IDEXX LABORATORIES, INC ........... 141,000 9,100 o INFORMIX CORP ..................... 273,000 2,300 KINETIC CONCEPTS, INC ............. 27,600 15,600 MEDTRONIC, INC .................... 871,650 2,500 o MENTOR CORP ....................... 57,500 2,000 o NELLCOR PURITAN BENNETT, INC ...... 116,000 2,200 o OXFORD HEALTH PLANS, INC .......... 162,525 8,200 PALL CORP ......................... 220,375 1,600 o PHYSICIAN RELIANCE NETWORK, INC ... 63,600 3,600 o PLAYTEX PRODUCTS, INC ............. 27,000 400 o QUANTUM HEALTH RESOURCES, INC ..... 3,925 4,450 o ST. JUDE MEDICAL, INC ............. 191,350 1,600 o STERIS CORP ....................... 51,600 4,200 STEWART ENTERPRISES, INC (CLASS A) 155,400 2,500 STRYKER CORP ...................... 131,250 2,550 o SUMMIT TECHNOLOGY, INC ............ 86,062 2,200 o SUNRISE MEDICAL, INC .............. 40,700 3,200 o SYBRON INTERNATIONAL CORP ......... 76,000 1,100 o TARGET THERAPEUTICS, INC .......... 47,025 1,000 o THERMO CARDIOSYSTEMS, INC ......... 77,250 1,500 o THERMOTREX CORP ................... 75,000 --------- 4,541,360 --------- HEALTHCARE--SERVICE--1.75% 3,100 o AMERISOURCE HEALTH CORP (CLASS A) . 102,300 4,200 o APRIA HEALTHCARE GROUP, INC ....... 118,650 7,000 o BEVERLY ENTERPRISES ............... 74,375 2,100 o CERNER CORP ....................... 43,050 See notes to financial statements. -58- SHARES VALUE ______ _______ HEALTHCARE--SERVICE (CONTINUED) 1,800 o COASTAL PHYSICIAN GROUP, INC ...... $ 24,300 30,337 COLUMBIA/HCA HEALTHCARE CORP ..... 1,539,602 2,200 o COMMUNITY HEALTH SYSTEMS, INC ..... 78,375 1,000 o COMMUNITY PSYCHIATRIC CENTERS ..... 12,250 2,796 o FHP INTERNATIONAL CORP ............ 79,686 2,500 o FOUNDATION HEALTH CORP ............ 107,500 2,600 o FOXMEYER HEALTH CORP .............. 69,550 2,300 o HEALTH CARE & RETIREMENT CORP ..... 80,500 5,275 o HEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) NEW .................... 137,809 2,900 o HEALTH SYSTEMS INTERNATIONAL, INC . 93,162 2,300 o HEALTHCARE COMPARE CO ............. 100,050 4,200 o HEALTHSOURCE, INC ................. 151,200 6,200 o HEALTHSOUTH CORP .................. 180,575 3,517 o HORIZON/CMS HEALTHCARE CORP ....... 88,804 10,600 o HUMANA, INC ....................... 290,175 2,500 INTEGRATED HEALTH SERVICES, INC ... 62,500 2,300 o INTEGRATED SILICON SOLUTION, INC .. 38,489 3,600 INVACARE CORP ..................... 90,900 8,680 o LABORATORY CORP OF AMERICA HOLDINGS 81,375 244 o LABORATORY CORP OF AMERICA HOLDINGS WTS 04/28/00 ............ 167 2,700 o LINCARE HOLDINGS, INC ............. 67,500 2,300 o LIVING CENTERS OF AMERICA, INC .... 80,500 3,700 o MAGELLAN HEALTH SERVICES, INC ..... 88,800 3,400 MANOR CARE, INC ................... 119,000 2,700 o MEDPARTNERS/MULLIKIN, INC ......... 89,100 2,900 o MID ATLANTIC MEDICAL SERVICES, INC 70,325 900 o MULTICARE COS, INC ................ 21,600 4,500 o NOVACARE, INC ..................... 23,062 2,200 OMEGA HEALTHCARE INVESTORS, INC ... 58,575 1,600 OMNICARE, INC ..................... 71,600 600 o ORNDA HEALTHCORP .................. 13,950 500 o PACIFICARE HEALTH SYSTEMS, INC (CLASS A) ........................ 43,500 1,200 o PACIFICARE HEALTH SYSTEMS, INC . (CLASS B) ........................ 104,400 2,550 o PHYCOR, INC ....................... 128,934 3,200 o PHYSICIAN CORP OF AMERICA ......... 54,400 1,500 o RENAL TREATMENT CENTERS, INC ...... 66,000 150 o SALICK HEALTH CARE, INC NEW ....... 5,625 1,800 o SIERRA HEALTH SERVICES, INC ....... 57,150 4,000 o SUN HEALTHCARE GROUP, INC ......... 54,000 1,900 SURGICAL CARE AFFILIATES, INC ..... 64,600 13,820 o TENET HEALTHCARE CORP ............. 286,765 71 o TRANSPORT HOLDINGS, INC (CLASS A) . 2,893 10,400 U.S. HEALTHCARE, INC .............. 483,600 10,400 UNITED HEALTHCARE CORP ............ 681,200 700 o UNIVERSAL HEALTH SERVICES, INC .... 31,062 3,698 o VALUE HEALTH, INC ................. 101,695 3,115 o VENCOR, INC ....................... 101,237 1,100 o VISX, INC ......................... 42,900 5,600 o VIVRA, INC ........................ 140,700 1,400 o WELLPOINT HEALTH NETWORKS, INC (CLASS A) ........................ 44,975 --------- 6,844,992 --------- HOUSEHOLD-- CONSUMER ELECTRONICS--0.03% 1,950 HARMAN INTERNATIONAL INDUSTRIES, INC 78,243 4,000 o ZENITH ELECTRONICS CORP ........... 27,500 --------- 105,743 --------- HOUSEHOLD--DURABLE GOODS--0.41% 800 BASSETT FURNITURE INDUSTRIES, INC . 18,600 6,200 BLACK & DECKER CORP ............... 218,550 3,900 o BOYD GAMING CORP .................. 45,337 900 o GENTEX CORP ....................... 19,800 7,000 LEGGETT & PLATT, INC .............. 169,750 8,700 MAYTAG CO ......................... 176,175 11,000 NEWELL COS, INC ................... 284,625 9,300 SHAW INDUSTRIES, INC .............. 137,175 2,800 STANLEY WORKS ..................... 144,200 7,100 SUNBEAM CORP ...................... 108,275 5,600 WHIRLPOOL CORP .................... 298,200 --------- 1,620,687 --------- HOUSEHOLD--PRODUCTS--1.56% 800 APTARGROUP, INC ................... 29,900 2,800 CLOROX CO ......................... 200,550 9,900 COLGATE PALMOLIVE CO .............. 695,475 7,100 DIAL CORP ......................... 210,337 1,200 o FIRST ALERT, INC .................. 10,350 2,000 FIRST BRANDS CORP ................. 95,250 500 o GIBSON GREETINGS, INC ............. 8,000 2,300 LANCASTER COLONY CORP ............. 85,675 7,000 o PERRIGO CO ........................ 83,125 4,200 PREMARK INTERNATIONAL, INC ........ 212,625 47,200 PROCTER & GAMBLE CO ............... 3,917,600 11,300 RUBBERMAID, INC ................... 288,150 3,800 o SCOTTS CO (CLASS A) ............... 73,625 700 STANHOME, INC ..................... 20,387 3,300 TAMBRANDS, INC .................... 157,575 --------- 6,088,624 --------- INSURANCE--BROKERS & OTHER--0.44% 5,200 ALEXANDER & ALEXANDER SERVICES, INC 98,800 11,500 EQUIFAX, INC ...................... 245,812 900 GALLAGHER (ARTHUR J.) & CO ........ 33,525 6,700 o ITT HARTFORD GROUP, INC ........... 324,112 2,500 JOHN ALDEN FINANCIAL CORP ......... 52,187 4,400 LIFE PARTNERS GROUP, INC .......... 59,950 5,300 MARSH & MCLENNAN COS, INC ......... 470,375 3,700 MBIA, INC ......................... 277,500 6,700 o QUORUM HEALTH GROUP, INC .......... 147,400 --------- 1,709,661 --------- INSURANCE--LIFE--0.68% 500 AMERICAN NATIONAL INSURANCE CO .... 33,250 7,600 AON CORP .......................... 379,050 2,500 BERKLEY (W.R.) CORP ............... 134,375 1,300 CONSECO, INC ...................... 81,412 5,100 o EQUITABLE COS, INC ................ 122,400 2,100 EQUITABLE IOWAS COS NEW ........... 67,462 4,800 FIRST COLONY CORP ................. 121,800 5,850 JEFFERSON-PILOT CORP .............. 272,025 400 o PROVIDENT COMPANIES, INC .......... 13,550 6,800 PROVIDIAN CORP .................... 277,100 6,700 RELIANCE GROUP HOLDINGS, INC ...... 57,787 2,700 RELIASTAR FINANCIAL CORP .......... 119,812 3,100 o SUNAMERICA, INC ................... 147,250 5,900 TORCHMARK CORP .................... 266,975 5,700 UNUM CORP ......................... 313,500 4,000 USLIFE CORP ....................... 119,500 8,200 WESTERN NATIONAL CORP ............. 132,225 --------- 2,659,473 --------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--3.08% 3,500 o 20TH CENTURY INDUSTRIES ........... 69,562 7,900 AETNA LIFE & CASUALTY CO .......... 547,075 7,700 AFLAC, INC ........................ 333,987 1,500 ALLMERICA PROPERTY & CASUALTY COS, INC ......................... 40,500 29,528 ALLSTATE CORP ..................... 1,214,339 3,700 AMERICAN BANKERS INSURANCE GROUP, INC 144,300 27,250 AMERICAN INTERNATIONAL GROUP, INC . 2,520,625 See notes to financial statements. -59- SHARES VALUE ______ _______ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY (CONTINUED) 4,300 AMERICAN RE CORP .................. $ 175,762 6,300 CHUBB CORP ........................ 609,525 5,100 CIGNA CORP ........................ 526,575 4,670 CINCINNATI FINANCIAL CORP ......... 304,717 800 o CNA FINANCIAL CORP ................ 90,800 2,700 FREMONT GENERAL CORP .............. 99,225 1,100 GEICO CORP ........................ 76,862 5,900 GENERAL REINSURANCE CORP .......... 914,500 2,800 HARTFORD STEAM BOILER & INSURANCE CO 140,000 800 o INSURANCE AUTO AUCTIONS, INC ...... 8,600 2,106 KEMPER CORP ....................... 104,510 7,700 LINCOLN NATIONAL CORP ............. 413,875 500 MERCURY GENERAL CORP NEW .......... 23,875 4,500 MGIC INVESTMENT CORP .............. 244,125 1,600 NAC RE CORP ....................... 57,600 700 NATIONAL RE CORPORATION ........... 26,600 4,700 OHIO CASUALTY CORP ................ 182,125 4,800 OLD REPUBLIC INTERNATIONAL CORP ... 170,400 5,200 PROGRESSIVE CORP .................. 254,150 9,600 SAFECO CORP ....................... 331,200 6,200 ST. PAUL COS, INC NOTES ........... 344,875 4,700 TRANSAMERICA CORP ................. 342,512 21,800 TRAVELERS GROUP, INC .............. 1,370,675 3,600 UNITRIN, INC ...................... 172,800 9,500 o USF&G CORP ........................ 160,312 1,100 ZURICH REINSURANCE CENTRE HOLDNGS, INC 33,412 --------- 12,050,000 --------- LEISURE TIME--1.31% 1,700 o ACCLAIM ENTERTAINMENT, INC ........ 21,037 2,600 ARCTCO, INC ....................... 33,800 600 o ARGOSY GAMING CORP ................ 4,575 500 o ATARI CORP ........................ 687 700 o AUTOTOTE CORP (CLASS A) ........... 2,056 3,400 o BALLY ENTERTAINMENT CORP .......... 47,600 7,900 BRUNSWICK CORP .................... 189,600 4,800 CALLAWAY GOLF CO .................. 108,600 450 o CASINO AMERICA, INC ............... 2,756 500 o CASINO MAGIC CORP ................. 1,562 2,321 o CHRIS CRAFT INDUSTRIES, INC ....... 100,383 7,400 o CIRCUS CIRCUS ENTERPRISES, INC .... 206,275 1,400 o COBRA GOLF, INC ................... 49,875 36,300 DISNEY (WALT) CO .................. 2,141,700 2,550 o GRAND CASINOS, INC ................ 59,287 2,600 o GTECH HOLDINGS CORP ............... 67,600 6,900 o HARRAHS ENTERTAINMENT, INC ........ 167,325 6,400 HASBRO, INC ....................... 198,400 2,300 o HOLLYWOOD ENTERTAINMENT CORP ...... 19,262 700 o HOLLYWOOD PARK, INC ............... 7,043 9,600 INTERNATIONAL GAME TECHNOLOGY ..... 104,400 6,700 o ITT CORP (NEW) .................... 355,100 3,800 JOSTENS, INC ...................... 92,150 15,825 MATTEL, INC ....................... 486,618 6,100 o MIRAGE RESORT, INC ................ 210,450 100 o NATIONAL GAMING CORP .............. 1,187 3,000 OUTBOARD MARINE CORP .............. 61,125 3,250 o PLAYERS INTERNATIONAL, INC ........ 34,734 400 o PRESIDENT CASINOS, INC ............ 700 2,200 o PRIMADONNA RESORTS, INC ........... 32,450 2,500 o REGAL CINEMAS, INC ................ 74,375 1,800 o SCIENTIFIC GAMES HOLDINGS CORP .... 67,950 400 o SHOWBOAT, INC ..................... 10,550 3,500 o SPELLING ENTERTAINMENT GROUP, INC . 43,750 800 o SPORTS & RECREATION, INC .......... 5,700 4,600 o STATION CASINOS, INC .............. 67,275 1,700 o TUCSON ELECTRIC POWER CO. ......... 5,525 200 WINNEBAGO INDUSTRIES, INC ......... 1,550 3,000 o WMS INDUSTRIES, INC ............... 49,125 --------- 5,134,137 --------- MACHINERY--1.59% 1,600 AGCO CORP ......................... 81,600 2,750 o BJ SERVICES CO .................... 79,750 160 o BJ SERVICES CO WTS 04/13/00 ....... 1,220 2,500 BRIGGS & STRATTON CORP ............ 108,437 2,800 BW/IP, INC (CLASS A) .............. 46,200 13,700 CATERPILLAR, INC .................. 804,875 3,000 CINCINNATI MILACRON, INC .......... 78,750 2,800 o COGNEX CORP ....................... 97,300 3,057 o COOPER CAMERON CORP ............... 108,523 7,730 COOPER INDUSTRIES, INC ............ 284,077 18,100 DEERE & CO ........................ 638,025 8,300 DOVER CORP ........................ 306,062 3,700 DURIRON, INC ...................... 86,487 5,100 FEDERAL SIGNAL CORP ............... 131,962 400 o FMC CORP NEW ...................... 27,050 1,500 o FSI INTERNATIONAL, INC ............ 30,375 2,200 GATX CORP ......................... 106,975 3,900 GIDDINGS & LEWIS, INC ............. 64,350 2,800 GOULDS PUMPS, INC ................. 70,000 1,400 GREENFIELD INDUSTRIES, INC ........ 43,750 3,300 HARNISCHFEGER INDUSTRIES, INC ..... 109,725 2,400 HARSCO CORP ....................... 139,500 6,700 ILLINOIS TOOL WORKS, INC .......... 395,300 7,300 INGERSOLL-RAND CO ................. 256,412 900 o INTEGRATED PROCESS EQUIPMENT CORP . 21,150 900 KAYDON CORP ....................... 27,337 2,518 KENNAMETAL, INC ................... 79,946 3,500 KEYSTONE INTERNATIONAL, INC ....... 70,000 5,000 o MASCOTECH, INC .................... 54,375 1,800 MEASUREX CORP ..................... 50,850 1,400 o MOLTEN METAL TECHNOLOGY, INC ...... 45,675 200 NORDSON CORP ...................... 11,250 900 o NOVELLUS SYSTEMS, INC ............. 48,600 5,450 PARKER-HANNIFIN CORP .............. 186,662 800 ROPER INDUSTRIES, INC NEW ......... 29,400 2,900 STEWART & STEVENSON SERVICES, INC . 73,225 80 o STRATTEC SECURITY CORP ............ 1,420 2,300 SUNDSTRAND CORP ................... 161,862 3,700 TECUMSEH PRODUCTS CO (CLASS A) .... 191,475 700 TELEFLEX, INC ..................... 28,700 6,200 o THERMO ELECTRON CORP .............. 322,400 2,815 TIMKIN CO ......................... 107,673 700 TORO CO ........................... 23,012 800 TRIMAS CORP ....................... 15,100 3,700 TRINITY INDUSTRIES, INC ........... 116,550 2,600 TRINOVA CORP ...................... 74,425 1,500 o ULTRATECH STEPPER, INC ............ 38,625 3,100 o VARITY CORP NEW ................... 115,087 1,800 WATTS INDUSTRIES, INC (CLASS A) ... 41,850 3,500 YORK INTERNATIONAL CORP ........... 164,500 --------- 6,197,854 --------- METALS--ALUMINIUM--0.25% 2,900 o ACX TECHNOLOGIES, INC ............. 43,862 3,300 o ALUMAX, INC ....................... 101,062 10,300 ALUMINUM CO OF AMERICA ............ 544,612 3,200 o KAISER ALUMINUN CORP .............. 41,600 4,100 REYNOLDS METALS CO ................ 232,162 --------- 963,298 --------- METALS--GOLD--0.26% 8,800 o AMAX GOLD, INC .................... 63,800 6,900 BATTLE MOUNTAIN GOLD CO ........... 58,650 See notes to financial statements. -60- SHARES VALUE ______ _______ METALS--GOLD (CONTINUED) 991 o FIRSTMISS GOLD, INC ............... $ 22,049 11,392 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A) ............ 318,976 1,333 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) ............ 37,490 10,300 HOMESTAKE MINING CO ............... 160,937 1,500 NEWMONT GOLD CO ................... 65,625 5,924 NEWMONT MINING CORP ............... 268,061 1,140 SANTE FE PACIFIC GOLD CORP ........ 13,822 --------- 1,009,410 --------- METALS--NON-FERROUS--0.36% 4,500 ASARCO, INC ....................... 144,000 3,600 BMC INDUSTRIES, INC ............... 83,700 1,200 BRUSH WELLMAN, INC ................ 20,700 7,800 CYPRUS AMAX MINERALS CO ........... 203,775 316 FREEPORT MCMORAN, INC ............. 11,692 4,100 o HECLA MINING CO ................... 28,187 5,200 o MAGMA COPPER CO ................... 144,950 2,400 MAPCO, INC ........................ 131,100 3,800 MINERALS TECHNOLOGIES INC ......... 138,700 3,300 o MUELLER INDUSTRIES, INC ........... 96,525 4,600 PHELPS DODGE CORP ................. 286,350 3,500 PITTSTON SERVICES GROUP ........... 109,812 9,000 o SUNSHINE MINING & REFINING CO ..... 12,375 --------- 1,411,866 --------- METALS--STEEL--0.46% 2,500 AK STEEL HOLDING CORP ............. 85,625 3,800 ALLEGHENY LUDLUM CORP ............. 70,300 5,800 o ARMCO, INC ........................ 34,075 8,500 o BETHLEHEM STEEL CORP .............. 119,000 4,300 BIRMINGHAM STEEL CORP ............. 63,962 1,900 CARPENTER TECHNOLOGY CORP ......... 78,137 3,000 CBI INDUSTRIES, INC ............... 98,625 600 CLEVELAND CLIFFS, INC ............. 24,600 3,250 HANNA (M.A.) CO ................... 91,000 3,600 INLAND STEEL INDUSTRIES, INC ...... 90,450 3,600 J & L SPECIALTY STEEL, INC ........ 67,500 8,000 o LTV CORP NEW ...................... 110,000 200 LUKENS, INC ....................... 5,750 6,000 NUCOR CORP ........................ 342,750 400 OREGON STEEL MILLS ................ 5,600 300 ROUGE STEEL CO (CLASS A) .......... 7,125 7,400 UNR INDUSTRIES, INC ............... 63,825 6,200 USX-U.S. STEEL GROUP .............. 190,650 3,100 o WOLVERINE TUBE, INC ............... 116,250 6,600 WORTHINGTON INDUSTRIES, INC ....... 137,362 --------- 1,802,586 --------- OFFICE EQUIPMENT--3.18% 7,700 o AMDAHL CORP ....................... 65,450 8,200 APPLE COMPUTER, INC ............... 261,375 1,800 o APPLIED MAGNETICS CORP ............ 33,525 2,100 o ASPECT TELECOMMUNICATIONS ......... 70,350 2,742 o AST RESEARCH, INC ................. 23,307 3,300 AVERY DENNISON CORP ............... 165,412 18,400 o COMPAQ COMPUTER CORP .............. 883,200 3,800 o CONNER PERIPHERALS, INC ........... 79,800 3,400 o CRAY RESEARCH, INC ................ 84,150 4,200 o DATA GENERAL CORP ................. 57,750 4,400 o DELL COMPUTER CORP ................ 152,350 10,600 o DIGITAL EQUIPMENT CORP ............ 679,725 1,300 o FILENET CORP ...................... 61,100 27,600 HEWLETT-PACKARD CO ................ 2,311,500 600 HON INDUSTRIES, INC ............... 13,950 39,800 INTERNATIONAL BUSINESS MACHINES CORP .................... 3,651,650 1,000 o IOMEGA CORP ....................... 48,625 1,300 o KOMAG, INC ........................ 59,962 3,000 MILLER (HERMAN), INC .............. 90,000 11,400 PITNEY BOWES, INC ................. 535,800 3,600 o QUANTUM CORP ...................... 58,050 2,800 o SCI SYSTEMS, INC .................. 86,800 4,800 o SEAGATE TECHNOLOGY, INC ........... 228,000 4,100 o SEQUENT COMPUTER SYSTEMS, INC ..... 59,450 11,700 o SILICON GRAPHICS, INC ............. 321,750 3,200 o SOLECTRON CORP .................... 141,200 4,000 o STORAGE TECHNOLOGY CORP ........... 95,500 2,300 o STRATUS COMPUTER, INC ............. 79,637 13,000 o SUN MICROSYSTEMS, INC ............. 593,125 9,800 o TANDEM COMPUTERS, INC ............. 104,125 13,800 o UNISYS CORP ....................... 77,625 3,100 o VIKING OFFICE PRODUCTS, INC ....... 144,150 3,900 o WANG LABORATORIES, INC ............ 64,837 7,500 XEROX CORP ........................ 1,027,500 ---------- 12,410,730 ---------- PAPER--1.19% 3,200 ALBANY INTERNATIONAL CORP (CLASS A) NEW .................... 58,000 1,700 o BED BATH & BEYOND, INC ............ 65,981 5,000 BEMIS, INC ........................ 128,125 2,700 BOWATER, INC ...................... 95,850 4,600 CARAUSTAR INDUSTRIES, INC ......... 92,000 2,400 CHESAPEAKE CORP ................... 71,100 2,200 CONSOLIDATED PAPERS, INC .......... 123,475 270 o CROWN VANTAGE, INC ................ 3,847 2,900 FEDERAL PAPER BOARD CO, INC ....... 150,437 4,000 o FORT HOWARD CORP .................. 90,000 2,500 GLATFELTER (P.H.) CO .............. 42,812 16,800 INTERNATIONAL PAPER CO ............ 636,300 5,000 JAMES RIVER CORP OF VIRGINIA ...... 120,625 5,100 o JEFFERSON SMURFIT CORP ............ 48,450 18,544 KIMBERLY-CLARK CORP ............... 1,534,516 4,600 LONGVIEW FIBRE CO ................. 74,750 3,800 MEAD CORP ......................... 198,550 2,800 PENTAIR, INC ...................... 139,300 1,300 RIVERWOOD INTERNATIONAL CORP ...... 24,862 1,900 o SHOREWOOD PACKAGING CORP .......... 27,075 7,030 SONOCO PRODUCTS CO ................ 184,537 5,000 STONE CONTAINER CORP .............. 71,875 4,100 TEMPLE-INLAND, INC ................ 180,912 5,100 UNION CAMP CORP ................... 242,887 2,340 WAUSAU PAPER MILLS CO ............. 63,765 6,550 WESTVACO CORP ..................... 181,762 --------- 4,651,793 --------- PETROLEUM--EXPLORATION & PRODUCTION--0.76% 5,900 AMERADA HESS CORP ................. 312,700 4,000 ANADARKO PETROLEUM CORP ........... 216,500 1,300 APACHE CORP ....................... 38,350 5,000 ASHLAND, INC ...................... 175,625 3,400 o BARNETT RESOURCES CORP ............ 99,875 1,500 o BENTON OIL & GAS CO ............... 22,500 9,900 BURLINGTON RESOURCES, INC ......... 388,575 1,200 DEVON ENERGY CORP ................. 30,600 3,200 ENRON OIL & GAS CO ................ 76,800 3,500 KERR-MCGEE CORP ................... 222,250 3,400 LOUISIANA LAND & EXPLORATION CO ... 145,775 2,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) ................... 40,700 3,700 MURPHY OIL CORP ................... 153,550 2,400 o NEWFIELD EXPLORATION CO ........... 64,800 4,200 NOBLE AFFILIATES, INC ............. 125,475 See notes to financial statements. -61- SHARES VALUE ______ _______ PETROLEUM--EXPLORATION & PRODUCTION (CONTINUED) 2,200 o ORYX ENERGY CO .................... $ 29,425 4,400 PARKER & PARSLEY PETROLEUM CO ..... 96,800 4,800 PENNZOIL CO ....................... 202,800 3,400 POGO PRODUCING CO ................. 96,050 13,500 o SANTA FE ENERGY RESOURCES, INC .... 129,937 3,600 o SEAGULL ENERGY CORP ............... 80,100 600 o SOUTHDOWN, INC .................... 11,700 550 o TEJAS GAS CORP .................... 29,081 600 o TRITON ENERGY CORP ................ 34,425 6,100 UNION TEXAS PETROLEUM HOLDINGS, INC 118,187 1,100 o UNITED MERIDIAN CORP .............. 19,112 --------- 2,961,692 --------- PETROLEUM--INTEGRATED--5.07% 34,500 AMOCO CORP ........................ 2,479,687 11,100 ATLANTIC RICHFIELD CO ............. 1,229,325 45,800 CHEVRON CORP ...................... 2,404,500 3,000 DIAMOND SHAMROCK, INC ............. 77,625 86,000 EXXON CORP ........................ 6,890,750 27,600 MOBIL CORP ........................ 3,091,200 22,900 OCCIDENTAL PETROLEUM CORP ......... 489,487 14,200 PHILLIPS PETROLEUM CO ............. 484,575 5,900 QUAKER STATE OIL REFINING CORP .... 74,487 6,600 SUN CO, INC ....................... 180,675 18,700 TEXACO, INC ....................... 1,467,950 18,199 UNOCAL CORP ....................... 530,045 20,900 USX-MARATHON GROUP, INC NEW ....... 407,550 --------- 19,807,856 --------- PETROLEUM--SERVICE--0.77% 9,400 BAKER HUGHES, INC ................. 229,125 2,900 CABOT CORP ........................ 156,237 2,800 CAMCO INTERNATIONAL, INC .......... 78,400 12,800 DRESSER INDUSTRIES, INC ........... 312,000 4,725 o ENSCO INTERNATIONAL, INC .......... 108,675 5,500 FLUOR CORP ........................ 363,000 900 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC 16,987 11,700 o GLOBAL MARINE, INC NEW ............ 102,375 7,800 HALLIBURTON CO .................... 394,875 3,500 HELMERICH & PAYNE, INC ............ 104,125 190 o MCMORAN OIL & GAS CO .............. 653 8,700 o NABORS INDUSTRIES, INC ............ 96,787 10,800 o NOBLE DRILLING CORP ............... 97,200 5,700 o READING & BATES CORP .............. 85,500 8,100 o ROWAN COS, INC .................... 79,987 3,000 o SMITH INTERNATIONAL, INC .......... 70,500 2,900 SONAT OFFSHORE DRILLING, INC ...... 129,775 3,500 TIDEWATER, INC .................... 110,250 3,000 TOSCO CORP ........................ 114,375 4,100 ULTRAMAR CORP ..................... 105,575 3,400 o WEATHERFORD ENTERRA, INC .......... 98,175 3,300 o WESTERN ATLAS, INC ................ 166,650 --------- 3,021,226 --------- PHOTOGRAPHY--0.47% 23,900 EASTMAN KODAK CO .................. 1,601,300 3,200 POLAROID CORP ..................... 151,600 1,000 o PRESSTEK, INC ..................... 94,500 --------- 1,847,400 --------- PROPERTY--REAL ESTATE--0.14% 1,100 CRESCENT REAL ESTATE EQUITIES, INC 37,537 750 KIMCO REALTY CORP ................. 20,437 12,500 TAUBMAN CENTERS, INC .............. 125,000 3,900 o TOLL BROTHERS, INC ................ 89,700 4,100 WASHINGTON REAL ESTATE INVESTMENT TRUST ............................ 65,087 3,800 WEINGARTEN REALTY INVESTORS, INC .. 144,400 3,200 WELLSFORD RESIDENTIAL PROPERTY TRUST ............................ 73,600 --------- 555,761 --------- PUBLISHING--NEWSPAPER--0.50% 3,700 BELO (A.H.) CORP SERIES A ......... 128,575 1,000 CENTRAL NEWSPAPERS, INC (CLASS A) . 31,375 3,684 o COX COMMUNICATIONS, INC (CLASS A) NEW 71,838 3,700 DOW JONES & CO, INC ............... 147,537 9,500 GANNETT CO, INC ................... 583,062 3,200 KNIGHT-RIDDER, INC ................ 200,000 7,600 NEW YORK TIMES CO (CLASS A) ....... 225,150 7,200 TIMES MIRROR CO (SERIES A) NEW .... 243,900 3,900 TRIBUNE CO NEW .................... 238,387 2,300 o VALASSIS COMMUNICATIONS, INC ...... 40,250 200 WASHINGTON POST CO (CLASS B) ...... 56,400 --------- 1,966,474 --------- PUBLISHING--OTHER--0.86% 5,200 AMERICAN GREETINGS CORP (CLASS A) . 143,650 700 BOWNE & CO, INC ................... 14,000 8,900 DONNELLEY (R.R.) & SONS CO ........ 350,437 11,400 DUN & BRADSTREET CORP ............. 738,150 4,100 HARCOURT GENERAL, INC ............. 171,687 1,800 HOUGHTON MIFFLIN CO ............... 77,400 1,400 LEE ENTERPRISES, INC .............. 32,200 2,500 o MARVEL ENTERTAINMENT GROUP, INC ... 32,500 3,700 MCGRAW HILL COS, INC .............. 322,362 2,600 MEREDITH CORP ..................... 108,875 6,600 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VTG) .............. 338,250 1,900 o SCHOLASTIC CORP ................... 147,725 23,620 TIME WARNER, INC .................. 894,607 --------- 3,371,843 --------- RAILROAD--0.96% 9,245 BURLINGTON NORTHERN SANTA FE CORP . 721,110 5,100 CONRAIL, INC ...................... 357,000 13,800 CSX CORP .......................... 629,625 2,700 ILLINOIS CENTRAL CORP SERIES A .... 103,612 2,700 KANSAS CITY SOUTHERN INDUSTRIES, INC 123,525 8,800 NORFOLK SOUTHERN CORP ............. 698,500 5,200 o SOUTHERN PACIFIC RAIL CORP ........ 124,800 13,500 UNION PACIFIC CORP ................ 891,000 1,500 o WISCONSIN CENTRAL TRANSIT CORP .... 98,625 --------- 3,747,797 --------- RESTAURANTS & HOTELS--1.32% 3,800 APPLE SOUTH, INC .................. 81,700 3,600 APPLEBEES INTERNATIONAL, INC ...... 81,900 3,900 o AZTAR CORP ........................ 31,200 5,900 BOB EVANS FARMS, INC .............. 112,100 3,500 o BOSTON CHICKEN, INC ............... 112,437 3,800 o BUFFETS, INC ...................... 52,250 4,800 CRACKER BARREL OLD COUNTRY STORE, INC 82,800 12,300 DARDEN RESTAURANTS, INC ........... 146,062 60 o DAVE & BUSTERS, INC ............... 727 3,500 o HFS INC ........................... 286,125 2,400 HILTON HOTELS CORP ................ 147,600 9,700 o HOST MARRIOTT CORP ................ 128,525 3,900 LA QUINTA INNS, INC ............... 106,762 2,300 o LONE STAR STEAKHOUSE SALOON, INC .. 88,262 3,100 LUBYS CAFETERIA, INC .............. 68,975 9,100 MARRIOTT INTERNATIONAL, INC ....... 348,075 48,100 MCDONALDS CORP .................... 2,170,512 2,000 o MGM GRAND, INC .................... 46,000 2,900 MORRISON RESTAURANTS, INC ......... 40,600 2,600 o OUTBACK STEAKHOUSE, INC ........... 93,275 See notes to financial statements. -62- SHARES VALUE ______ _______ RESTAURANTS & HOTELS (CONTINUED) 1,600 o PAPA JOHNS INTERNATIONAL, INC ..... $ 65,900 7,600 o PROMUS HOTEL CORP ................. 169,100 800 o RIO HOTEL & CASINO, INC ........... 9,500 6,900 o RYANS FAMILY STEAK HOUSES, INC .... 48,300 2,000 SBARRO, INC ....................... 43,000 3,900 o SHONEYS, INC ...................... 39,975 12,400 SYSCO CORP ........................ 403,000 7,500 WENDYS INTERNATIONAL, INC ......... 159,375 ---------- 5,164,037 ---------- RETAIL--FOOD--0.68% 15,300 ALBERTSONS, INC ................... 502,987 8,500 AMERICAN STORES CO, NEW ........... 227,375 85 o BRUNOS, INC ....................... 892 3,200 o CIRCLE K CORP ..................... 81,200 3,999 FLEMING COS, INC .................. 82,479 28,500 FOOD LION, INC (CLASS B) .......... 162,093 4,500 GIANT FOOD, INC (CLASS A) ......... 141,750 2,700 GREAT ATLANTIC & PACIFIC TEA CO, INC 62,100 900 HANNAFORD BROTHERS, INC ........... 22,162 6,800 o KROGER CO ......................... 255,000 112 QUALITY FOOD CENTERS, INC ......... 2,464 2,600 RUDDICK CORP ...................... 29,900 7,300 o SAFEWAY, INC NEW .................. 375,950 13,300 o SOUTHLAND CORP .................... 44,056 5,100 o STARBUCKS CORP .................... 107,100 4,500 o STOP & SHOP COS, INC NEW .......... 104,062 5,200 SUPERVALU, INC .................... 163,800 2,800 o VONS COS, INC ..................... 79,100 6,000 WINN DIXIE STORES, INC ............ 221,250 --------- 2,665,720 --------- RETAIL--GENERAL MERCHANDISE--3.65% 9,600 o AUTOZONE, INC ..................... 277,200 1,000 o BABY SUPERSTORE, INC .............. 57,000 1,400 o BARNES & NOBLE, INC ............... 40,600 2,000 o BEST BUY, INC ..................... 32,500 1,200 o BOMBAY, INC ....................... 7,650 5,000 o BORDERS GROUP, INC ................ 92,500 2,200 BROWN GROUP, INC .................. 31,350 2,800 o BURLINGTON COAT FACTORY WAREHOUSE CORP ................... 28,700 1,300 xo CALDOR CORP ....................... 4,225 4,500 CASEYS GENERAL STORES, INC ........ 98,437 6,600 CHARMING SHOPPES, INC ............. 18,975 5,900 CIRCUIT CITY STORES, INC .......... 162,987 2,400 CLAIRES STORES, INC ............... 42,300 3,600 o CONSOLIDATED STORES CORP .......... 78,300 12,300 o CUC INTERNATIONAL, INC ............ 419,737 4,800 DAYTON HUDSON CORP ................ 360,000 2,300 o DEPARTMENT 56, INC ................ 88,262 8,300 DILLARD DEPARTMENT STORES (CLASS A) 236,550 4,950 DOLLAR GENERAL CORP ............... 102,712 1,600 o DOLLAR TREE STORES, INC ........... 39,600 2,700 o ECKERD CORP ....................... 120,487 300 +EDISON BROTHERS STORES, INC ....... 562 1,100 o ETHAN ALLEN INTERIORS, INC ........ 22,412 3,500 FAMILY DOLLAR STORES, INC ......... 48,125 14,113 o FEDERATED DEPARTMENT STORES, INC .. 388,107 4,100 FINGERHUT COS, INC ................ 56,887 7,400 GAP, INC .......................... 310,800 2,800 o GYMBOREE CORP ..................... 57,750 1,800 HANDLEMAN CO ...................... 10,350 800 HECHINGER CO (CLASS A) ............ 3,500 4,000 HEILIG MEYERS CO .................. 73,500 32,900 HOME DEPOT, INC ................... 1,575,087 4,100 o HOME SHOPPING NETWORK, INC ........ 36,900 900 INTELLIGENT ELECTRONICS, INC ...... 5,400 1,600 o JONES APPAREL GROUP, INC .......... 63,000 33,100 K MART CORP ....................... 239,975 2,400 o KOHLS CORP ........................ 126,000 1,900 o LANDS END, INC .................... 25,887 18,300 LIMITED, INC ...................... 317,962 900 LONGS DRUG STORES CORP ............ 43,087 8,600 LOWES COS, INC .................... 288,100 1,700 o MAC FRUGALS BARGAINS CLOSE-OUT, INC 23,800 17,100 MAY DEPARTMENT STORES CO .......... 722,475 7,200 MELVILLE CORP ..................... 221,400 2,100 o MENS WAREHOUSE, INC ............... 54,075 2,400 MERCANTILE STORES CO, INC ......... 111,000 2,600 o MEYER (FRED), INC ................. 58,500 800 o MICHAELS STORES, INC .............. 11,000 300 o MICROAGE, INC ..................... 2,437 1,000 o MOVIE GALLERY, INC ................ 30,500 1,700 o MUSICLAND STORES CORP ............. 7,225 3,500 NORDSTROM, INC .................... 141,750 6,200 o OFFICEMAX, INC .................... 138,725 12,500 PENNEY, (J.C.) CO, INC ............ 595,312 4,400 PEP BOYS-MANNY, MOE & JACK ........ 112,750 2,900 o PETRIE STORES CORP ................ 7,975 3,900 o PETSMART, INC ..................... 120,900 6,280 o PIER 1 IMPORTS, INC ............... 71,435 14,600 o PRICE/COSTCO, INC ................. 222,650 4,100 o REVCO (D.S.), INC NEW ............. 115,825 6,100 RITE AID CORP ..................... 208,925 2,200 ROSS STORES, INC .................. 42,075 6,900 ROUSE CO .......................... 140,587 24,400 SEARS ROEBUCK & CO ................ 951,600 7,000 o SERVICE MERCHANDISE, INC .......... 35,000 5,300 SOTHEBYS HOLDINGS, INC (CLASS A) .. 75,525 300 SPIEGEL, INC (CLASS A) ............ 2,062 6,500 o STAPLES, INC ...................... 158,437 1,000 o STEIN MART, INC ................... 11,000 5,200 STRIDE RITE CORP .................. 39,000 3,900 o SUNGLASS HUT INTERNATIONAL, INC ... 92,625 1,100 TALBOTS, INC ...................... 31,625 4,300 TANDY CORP ........................ 178,450 2,900 o THE SPORTS AUTHORITY, INC ......... 59,087 1,200 TIFFANY & CO NEW .................. 60,450 5,100 TJX COS, INC NEW .................. 96,262 1,000 o TOPPS, INC ........................ 5,125 16,640 o TOYS R US, INC .................... 361,920 2,900 o WABAN, INC ........................ 54,375 92,300 WAL-MART STORES, INC .............. 2,065,212 16,900 WALGREEN CO ....................... 504,887 2,700 o WILLIAMS-SONOMA, INC .............. 49,950 10,300 WOOLWORTH CORP .................... 133,900 6,400 o ZALE CORP ......................... 103,200 --------- 14,264,476 --------- TEXTILE & APPAREL--0.46% 1,000 o ANN TAYLOR STORES CORP ............ 10,250 7,600 o BURLINGTON INDUSTRIES, INC ........ 99,750 600 CATO CORP (CLASS A) NEW ........... 4,650 2,600 CML GROUP, INC .................... 13,325 1,600 o CONE MILLS CORP ................... 18,000 5,800 o FRUIT OF THE LOOM, INC (CLASS A) .. 141,375 900 o JUST FOR FEET INC ................. 32,175 2,200 KELLWOOD CO ....................... 44,825 5,300 LIZ CLAIBORNE, INC ................ 147,075 2,200 o NAUTICA ENTERPRISES, INC .......... 96,250 4,100 NIKE, INC (CLASS B) ............... 285,462 1,700 o NINE WEST GROUP, INC .............. 63,750 1,300 PHILLIPS-VAN HEUSEN CORP .......... 12,837 See notes to financial statements. -63- SHARES VALUE ______ _______ TEXTILE & APPAREL (CONTINUED) 4,600 REEBOK INTERNATIONAL LTD .......... $ 129,950 3,900 RUSSELL CORP ...................... 108,225 5,100 UNIFI, INC ........................ 112,837 4,000 VF CORP ........................... 211,000 4,400 WARNACO GROUP, INC (CLASS A) ...... 110,000 4,000 o WESTPOINT STEVENS, INC ............ 80,250 2,650 WOLVERINE WORLD WIDE, INC ......... 83,475 --------- 1,805,461 --------- TOBACCO--1.84% 12,600 AMERICAN BRANDS, INC .............. 562,275 4,700 DIMON, INC ........................ 82,837 58,600 PHILIP MORRIS COS, INC ............ 5,303,300 20,283 RJR NABISCO HOLDINGS CORP ......... 626,237 960 o SCHWEITZER-MAUDUIT INTERNATIONAL INC 22,200 4,000 UNIVERSAL CORP .................... 97,500 15,200 UST, INC .......................... 507,300 --------- 7,201,649 --------- TRUCKERS & SHIPPING--0.23% 3,500 o AMERICAN FREIGHTWAYS CORP ......... 36,312 2,600 AMERICAN PRESIDENT COS LTD ........ 59,800 3,000 ARNOLD INDUSTRIES, INC ............ 52,125 2,900 o CONSOLIDATED FREIGHTWAYS, INC ..... 76,850 2,200 HUNT (J.B.) TRANSPORT SERVICES, INC 36,850 800 o LANDSTAR SYSTEM, INC .............. 21,400 200 o M.S. CARRIERS, INC ................ 4,000 1,600 OVERSEAS SHIPHOLDING GROUP, INC ... 30,400 1,400 ROADWAY SERVICES, INC ............. 68,425 9,400 ROLLINS TRUCK LEASING CORP ........ 104,575 6,400 RYDER SYSTEMS, INC ................ 158,400 1,500 o SWIFT TRANSPORTATION CO, INC ...... 22,875 3,000 TNT FREIGHTWAYS CORP .............. 60,375 3,300 WERNER ENTERPRISES, INC ........... 66,825 2,000 XTRA CORP ......................... 85,000 1,100 YELLOW CORP ....................... 13,612 --------- 897,824 --------- UTILITIES--ELECTRIC--4.77% 5,600 o AES CORP .......................... 133,700 8,100 ALLEGHENY POWER SYSTEMS, INC ...... 231,862 11,900 AMERICAN ELECTRIC POWER CO, INC ... 481,950 6,800 ATLANTIC ENERGY, INC .............. 130,900 9,900 BALTIMORE GAS & ELECTRIC CO ....... 282,150 4,900 BOSTON EDISON CO .................. 144,550 9,800 CAROLINA POWER & LIGHT CO ......... 338,100 20,000 CENTERIOR ENERGY CORP ............. 177,500 12,400 CENTRAL & SOUTH WEST CORP ......... 345,650 1,500 CENTRAL HUDSON GAS & ELECTRIC CORP 46,312 7,500 CENTRAL MAINE POWER CO ............ 107,812 10,523 CINERGY CORP ...................... 322,266 3,700 CIPSCO, INC ....................... 144,300 14,016 o CITIZENS UTILITIES CO (CLASS B) ... 176,952 7,200 CMS ENERGY CORP ................... 215,100 15,300 CONSOLIDATED EDISON CO OF NEW YORK, INC.................. 489,600 6,800 DELMARVA POWER & LIGHT CO ......... 154,700 9,200 DETROIT EDISON CO ................. 317,400 11,800 DOMINION RESOURCES, INC ........... 486,750 8,200 DPL, INC .......................... 202,950 5,700 DQE, INC .......................... 175,275 13,400 DUKE POWER CO ..................... 634,825 3,300 EASTERN UTILITIES ASSOCIATES ...... 77,962 14,000 ENTERGY CORP NEW .................. 409,500 6,400 FLORIDA PROGRESS CORP ............. 226,400 11,900 FPL GROUP, INC .................... 551,862 7,600 GENERAL PUBLIC UTILITIES CORP ..... 258,400 600 HAWAIIAN ELECTRIC INDUSTRIES, INC . 23,250 13,900 HOUSTON INDUSTRIES, INC ........... 337,075 4,300 IDAHO POWER CO .................... 129,000 4,600 IES INDUSTRIES, INC ............... 121,900 6,300 ILLINOVA CORP ..................... 189,000 3,800 IPALCO ENTERPRISES, INC ........... 144,875 5,500 KANSAS CITY POWER & LIGHT CO ...... 143,687 4,000 KU ENERGY CORP .................... 120,000 8,500 LONG ISLAND LIGHTING CO ........... 139,187 1,200 LOUISVILLE GAS & ELECTRIC ENERGY CORP 50,700 11,100 MIDAMERICAN ENERGY CO ............. 185,925 2,700 MINNESOTA POWER & LIGHT CO ........ 76,612 6,600 MONTANA POWER CO .................. 149,325 6,800 NEVADA POWER CO ................... 151,300 4,500 NEW ENGLAND ELECTRIC SYSTEMS CO ... 178,312 5,700 NEW YORK STATE ELECTRIC & GAS CORP 147,487 12,000 NIAGARA MOHAWK POWER CORP ......... 115,500 4,500 NIPSCO INDUSTRIES, INC ............ 172,125 7,800 NORTHEAST UTILITIES CO ............ 190,125 5,100 NORTHERN STATES POWER CO .......... 250,537 10,200 OHIO EDISON CO .................... 239,700 3,300 OKLAHOMA GAS & ELECTRIC CO ........ 141,900 27,500 PACIFIC GAS & ELECTRIC CO ......... 780,312 19,300 PACIFICORP ........................ 410,125 14,200 PECO ENERGY CO .................... 427,775 6,300 PINNACLE WEST CAPITAL CORP ........ 181,125 4,300 PORTLAND GENERAL CORP ............. 125,237 8,100 POTOMAC ELECTRIC POWER CO ......... 212,625 10,500 PP&L RESOURCES, INC ............... 262,500 4,600 PUBLIC SERVICE CO OF COLORADO ..... 162,725 7,100 o PUBLIC SERVICE CO OF NEW MEXICO ... 125,137 15,100 PUBLIC SERVICE ENTERPRISE GROUP, INC 462,437 6,500 PUGET SOUND POWER & LIGHT CO ...... 151,125 5,000 ROCHESTER GAS & ELECTRIC CORP ..... 113,125 6,900 SAN DIEGO GAS & ELECTRIC CO ....... 163,875 7,600 SCANA CORP ........................ 217,550 29,300 SCE CORP .......................... 520,075 1,600 o SIERRA PACIFIC RESOURCES .......... 37,400 43,900 SOUTHERN CO ....................... 1,081,037 4,400 SOUTHWESTERN PUBLIC SERVICE CO .... 144,100 9,000 TECO ENERGY, INC .................. 230,625 15,400 TEXAS UTILITIES CO ................ 633,325 14,200 UNICOM CORP ....................... 465,050 6,700 UNION ELECTRIC CO ................. 279,725 1,500 UNITED ILLUMINATING CO ............ 56,062 5,702 UTILICORP UNITED, INC ............. 167,496 8,500 WASHINGTON WATER POWER CO ......... 148,750 5,400 WESTERN RESOURCES, INC ............ 180,225 8,200 WISCONSIN ENERGY CORP ............. 251,125 ---------- 18,652,918 ---------- UTILITIES--GAS & PIPELINE--1.29% 5,500 o AMERICAN STANDARD COS, INC ........ 154,000 6,000 ATLANTA GAS LIGHT CO .............. 118,500 5,000 BROOKLYN UNION GAS CO ............. 146,250 1,400 CABOT OIL & GAS CORP (CLASS A) .... 20,475 4,500 o CALIFORNIA ENERGY CO, INC ......... 87,750 4,200 o COASTAL CORP ...................... 156,450 1,400 o COLUMBIA GAS SYSTEMS, INC ......... 61,425 7,000 CONSOLIDATED NATURAL GAS CO ....... 317,625 1,200 EASTERN ENTERPRISES ............... 42,300 4,000 EL PASO NATURAL GAS CO NEW ........ 113,500 14,900 ENRON CORP ........................ 568,062 6,800 ENSERCH CORP ...................... 110,500 4,800 EQUITABLE RESOURCES, INC .......... 150,000 1,600 INDIANA ENERGY INC ................ 38,200 2,500 o IONICS, INC ....................... 108,750 800 KN ENERGY, INC .................... 23,300 See notes to financial statements. -64- SHARES VALUE ______ _______ UTILITIES--GAS & PIPELINE (CONTINUED) 6,400 MCN CORP .......................... $ 148,800 2,300 NATIONAL FUEL GAS CO .............. 77,337 5,300 NICOR, INC ........................ 145,750 4,700 NORAM ENERGY CORP ................. 41,712 2,600 ONEOK, INC ........................ 59,475 6,600 PACIFIC ENTERPRISES, INC .......... 186,450 10,300 PANHANDLE EASTERN CORP ............ 287,112 2,700 PEOPLES ENERGY CORP ............... 85,725 1,700 PIEDMONT NATURAL GAS CO, INC ...... 39,525 1,800 o PRIMARK CORP ...................... 54,000 4,200 QUESTAR CORP ...................... 140,700 6,500 SONAT, INC ........................ 231,562 3,200 o SOUTHWEST GAS CORP ................ 56,400 1,300 SOUTHWESTERN ENERGY CO ............ 16,575 12,630 TENNECO, INC ...................... 626,763 3,550 UGI CORP NEW ...................... 73,662 4,400 VALERO ENERGY CORP ................ 107,800 4,500 WASHINGTON ENERGY CO .............. 83,812 500 WESTERN GAS RESOURCES, INC ........ 8,062 1,500 WICOR, INC ........................ 48,375 6,845 WILLIAMS COS, INC ................. 300,324 --------- 5,037,008 --------- UTILITIES--TELEPHONE--7.49% 1,000 o ADTRAN, INC ....................... 54,312 14,400 ALLTEL CORP ....................... 424,800 2,600 o AMERICAN MOBILE SATELLITE CORP .... 79,625 38,700 AMERITECH CORP NEW ................ 2,283,300 110,700 AT & T CORP ....................... 7,167,825 30,500 o BELL ATLANTIC CORP ................ 2,039,687 69,100 BELLSOUTH CORP .................... 3,005,850 3,000 o C-TEC CORP ........................ 93,000 5,900 CINCINNATI BELL, INC .............. 205,025 11,900 FRONTIER CORP ..................... 357,000 2,725 o GLENAYRE TECHNOLOGIES, INC ........ 169,631 67,400 GTE CORP .......................... 2,965,600 4,600 LINCOLN TELECOMMUNICATIONS CO ..... 97,175 47,400 MCI COMMUNICATIONS CORP ........... 1,238,325 4,400 o MOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP ................ 94,050 9,300 o NEXTEL COMMUNICATIONS, INC (CLASS A) 137,175 29,600 NYNEX CORP ........................ 1,598,400 29,600 PACIFIC TELESIS GROUP ............. 995,300 42,600 SBC COMMUNICATIONS, INC ........... 2,449,500 7,500 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP .......... 298,125 24,500 SPRINT CORP ....................... 976,937 5,020 TELEPHONE & DATA SYSTEMS, INC ..... 198,290 3,400 o U.S. LONG DISTANCE CORP ........... 47,600 33,100 U.S. WEST COMMUNICATIONS GROUP .... 1,183,325 33,000 o U.S. WEST MEDIA GROUP ............. 627,000 13,429 o WORLDCOM, INC ..................... 473,372 ---------- 29,260,229 ---------- TOTAL COMMON STOCK (COST $346,730,188) ............... 389,499,313 ----------- PAR VALUE ----- SHORT TERM INVESTMENTS--0.94% COMMERCIAL PAPER--0.94% 2,500,000 CAMPBELL SOUP CO 5.640%, 01/08/96 ................ 2,496,686 1,185,000 GENERAL SIGNAL CORP 5.870%, 01/08/96 ................ 1,183,421 --------- 3,680,107 --------- TOTAL SHORT TERM INVESTMENTS (COST $3,680,906) 3,680,107 ROUNDING ........................ 192 --------- TOTAL PORTFOLIO (COST $350,436,768) ...............$393,210,530 ============ - ---------------- o NON-INCOME PRODUCING X IN BANKRUPTCY See notes to financial statements. -65- COLLEGE RETIREMENT EQUITIES FUND PARTICIPANT VOTING RESULTS DECEMBER 31, 1995 --------------------- CREF's annual meeting was held on November 13, 1995. The annual meeting involved the election of trustees. The five trustees elected to four-year terms at the annual meeting were: Gary P. Brinson (21,305,622,077 (95.3%) votes were cast in favor, 1,029,004,469 (4.6%) votes were cast in opposition and 15,503,835 (0.1%) abstained). Nancy L. Jacob (21,341,155,654 (95.5%) votes were cast in favor, 993,470,892 (4.4%) votes were cast in opposition and 15,503,835 (0.1%) abstained). Martin L. Leibowitz (21,307,198,822 (95.3%) votes were cast in favor, 1,027,427,724 (4.6%) votes were cast in opposition and 15,503,835 (0.1%) abstained). Jay O. Light (21,314,334,602 (95.3%) votes were cast in favor, 1,020,291,943 (4.6%) votes were cast in opposition and 15,503,835 (0.1%) abstained). Eugene C. Sit (21,274,659,307 (95.2%) votes were cast in favor, 1,059,967,238 (4.7%) votes were cast in opposition and 15,503,835 (0.1%) abstained). The other trustees currently in office are Robert H. Atwell, Elizabeth E. Bailey, John H. Biggs, Andrew F. Brimmer, Joyce A. Fecske, Edes P. Gilbert, Stuart Tse Kong Ho, Thomas W. Jones, Marjorie Fine Knowles, Robert M. Lovell, Jr., Robert C. Merton, Stephen A. Ross, Maceo K. Sloan, Harry K. Spindler, and David K. Storrs. One shareholder proposal was submitted to a vote of CREF Participants, asking CREF to divest its holdings in tobacco manufacturers. For the Stock Account, 3,912,404,083 (19.8%) votes were cast in favor, 14,594,030,288 (73.8%) votes were cast in opposition and 1,257,784,135 (6.4%) abstained. The proposal was defeated. For the Global Equities Account, 226,245,897 (23.3%) votes were cast in favor, 685,691,846 (70.4%) votes were cast in opposition and 61,318,545 (6.3%) abstained. The proposal was defeated. For the Growth Account, 62,918,340 (20.7%) votes were cast in favor, 223,083,832 (73.6%) votes were cast in opposition and 17,389,817 (5.7%) abstained. The proposal was defeated. For the Equity Index Account, 18,247,591 (22.3%) votes were cast in favor, 58,982,001 (72.1%) votes were cast in opposition and 4,621,124 (5.6%) abstained. The proposal was defeated. Shareholders also ratified the election of Deloitte & Touche LLP as the independent auditors for CREF for the fiscal year ending December 31, 1995. 21,504,572,175 (96.2%) votes were cast in favor, 377,093,778 (1.7%) votes were cast in opposition and 468,464,428 (2.1%) abstained. -66- COLLEGE RETIREMENT EQUITIES FUND 730 Third Avenue New York, NY 10017-3206 212/490-9000 [logo] Printed on recycled paper -----END PRIVACY-ENHANCED MESSAGE-----