-----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, VSvbR2h7g3iS6Fxa0+n2CO9D+qKNMvcUSmMLnptSxvmX4v+1oy9iUy8gsCGMm3Oj hVDlkkT7GSerhe4jA820Zw== 0000930413-97-000095.txt : 19970228 0000930413-97-000095.hdr.sgml : 19970228 ACCESSION NUMBER: 0000930413-97-000095 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 7 CONFORMED PERIOD OF REPORT: 19961231 FILED AS OF DATE: 19970227 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: 97545971 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 N-30D 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, 1996 - -------------------------------------------------------------------------------- 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. - -------------------------------------------------------------------------------- [LOGO] CREF 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, 1996 - -------------------------------------------------------------------------------- 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.......................................... 8 Statements of Investments: Money Market Account................................................ 15 Bond Market Account................................................. 18 Social Choice Account............................................... 22 Global Equities Account............................................. 29 Growth Account...................................................... 44 Equity Index Account................................................ 56 Participant Voting Results................................................ 73 -1- [CREF LOGO] - -------------------------------------------------------------------------------- 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 F. 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, 1996, the related statements of operations for the year then ended and of changes in net assets for each of the years in the two year period then ended. 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, 1996, 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, 1996, 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, 1997 - --------------- DELOITTE TOUCHE TOHMATSU INTERNATIONAL - --------------- -3- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1996
MONEY MARKET BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT ------- ------- ------- ------- ------- ------- ASSETS Portfolio investments, at cost.................. $3,712,248,621 $ 984,475,105 $1,215,391,024 $3,872,499,528 $2,010,889,220 $781,764,884 Net unrealized appreciation (depreciation) of portfolio investments.... (1,271,572) 1,161,342 350,217,002 541,216,692 415,950,534 151,520,809 -------------- -------------- -------------- -------------- -------------- ------------ Portfolio investments, at value................. 3,710,977,049 985,636,447 1,565,608,026 4,413,716,220 2,426,839,754 933,285,693 Cash........................ 5,968,779 1,364,530 55,763,443 3,354,922 4,313,376 Dividends and interest receivable............... 15,706,333 13,241,786 8,628,520 5,371,070 3,283,733 1,596,171 Receivable from securities transactions............. 64,444,419 41,551,731 10,611,980 182,446,231 11,798,288 8,399,070 Amounts due from TIAA....... 1,927,300 1,151,225 1,657,214 3,088,868 2,727,521 912,202 -------------- -------------- -------------- -------------- -------------- ------------ TOTAL ASSETS 3,799,023,880 1,041,581,189 1,587,870,270 4,660,385,832 2,448,004,218 948,506,512 -------------- -------------- -------------- -------------- -------------- ------------ LIABILITIES Deposits for securities loaned--Note 4........... 284,947,527 Due to banks--Note 4........ 8,368,897 354,846 Payable for securities transactions............. 69,310,550 32,978,880 11,775,579 182,261,387 27,109,072 26,581,427 -------------- -------------- -------------- -------------- -------------- ------------ TOTAL LIABILITIES 69,310,550 41,347,777 12,130,425 467,208,914 27,109,072 26,581,427 -------------- -------------- -------------- -------------- -------------- ------------ NET ASSETS Accumulation Fund........... 3,600,414,926 994,923,802 1,514,030,937 4,055,182,441 2,357,465,448 887,718,140 Annuity Fund................ 129,298,404 5,309,610 61,708,908 137,994,477 63,429,698 34,206,945 -------------- -------------- -------------- -------------- -------------- ------------ TOTAL NET ASSETS $3,729,713,330 $1,000,233,412 $1,575,739,845 $4,193,176,918 $2,420,895,146 $921,925,085 ============== ============== ============== ============== ============== ============ NUMBER OF ACCUMULATION UNITS OUTSTANDING-- Notes 5 and 6.............. 218,291,636 22,611,134 25,841,336 80,015,913 53,200,553 20,724,711 =========== ========== ========== ========== ========== ========== NET ASSET VALUE, PER ACCUMULATION UNIT-- Note 5..................... $16.49 $44.00 $58.59 $50.68 $44.31 $42.83 ====== ====== ====== ====== ====== ======
See notes to financial statements. -4- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF OPERATIONS YEAR ENDED DECEMBER 31, 1996
MONEY MARKET BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT ------- ------- ------- ------- ------- ------- INVESTMENT INCOME Income: Dividends................. $ 16,485,935 $ 50,569,749 $ 20,419,790 $ 13,856,832 Interest.................. $180,622,896 $64,241,772 35,957,391 9,432,801 4,288,343 575,292 ------------ ----------- ------------ ------------ ------------ ------------ TOTAL INCOME 180,622,896 64,241,772 52,443,326 60,002,550 24,708,133 14,432,124 ------------ ----------- ------------ ------------ ------------ ------------ Expenses--Note 3: Investment................ 2,597,014 656,539 976,893 5,168,905 2,134,334 495,305 Operating................. 7,390,729 2,012,318 3,033,743 8,147,979 3,909,640 1,486,953 ------------ ----------- ------------ ------------ ------------ ------------ TOTAL EXPENSES 9,987,743 2,668,857 4,010,636 13,316,884 6,043,974 1,982,258 ------------ ----------- ------------ ------------ ------------ ------------ INVESTMENT INCOME--NET 170,635,153 61,572,915 48,432,690 46,685,666 18,664,159 12,449,866 ------------ ----------- ------------ ------------ ------------ ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments..... 3,598 (3,512,730) 11,910,403 350,747,694 109,093,885 10,154,368 Futures transactions...... 8,644,577 2,492,655 169,898 Foreign currency transactions........... (1,676,533) (16,243) ------------ ----------- ------------ ------------ ------------ ------------ Net realized gain (loss). 3,598 (3,512,730) 11,910,403 357,715,738 111,570,297 10,324,266 ------------ ----------- ------------ ------------ ------------ ------------ Net change in unrealized appreciation (depreciation) on: Portfolio investments... (876,263) (28,782,350) 140,408,956 206,263,841 261,646,176 108,747,047 Futures transactions.... 637,033 277,061 Translation of assets (other than portfolio investments) and liabilities in foreign currencies........... 488,888 (1,764) ------------ ----------- ------------ ------------ ------------ ------------ Net change in unrealized appreciation (depreciation) (876,263) (28,782,350) 140,408,956 207,389,762 261,921,473 108,747,047 ------------ ----------- ------------ ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS (872,665) (32,295,080) 152,319,359 565,105,500 373,491,770 119,071,313 ------------ ----------- ------------ ------------ ------------ ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $169,762,488 $29,277,835 $200,752,049 $611,791,166 $392,155,929 $131,521,179 ============ =========== ============ ============ ============ ============
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, ----------------------------- ------------------------------ 1996 1995 1996 1995 ------------- ------------- ------------- ------------- FROM OPERATIONS Investment income--net ..... $ 170,635,153 $ 173,000,183 $ 61,572,915 $ 46,958,199 Net realized gain (loss) on total investments ........ 3,598 (200,856) (3,512,730) 12,221,948 Net change in unrealized appreciation (depreciation) on total investments .............. (876,263) 1,073,681 (28,782,350) 50,593,054 --------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 169,762,488 173,873,008 29,277,835 109,773,201 --------------- --------------- --------------- --------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 318,965,231 322,504,882 132,033,697 120,393,346 --------------- --------------- --------------- --------------- Disbursements and transfers: Net transfers to (from) TIAA ................... 95,923,855 62,622,528 (1,718,077) (4,654,005) Net transfers to (from) other CREF Accounts .... (392,761,156) (62,813,953) (30,526,334) (76,175,539) Annuity payments ......... 17,724,643 14,684,076 2,012,288 1,154,923 Withdrawals and repurchases ............ 179,855,420 144,584,944 23,479,960 16,646,581 Death benefits ........... 5,126,067 5,864,728 1,215,107 993,457 --------------- --------------- --------------- --------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET (94,131,171) 164,942,323 (5,537,056) (62,034,583) --------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 413,096,402 157,562,559 137,570,753 182,427,929 --------------- --------------- --------------- --------------- NET INCREASE IN NET ASSETS 582,858,890 331,435,567 166,848,588 292,201,130 NET ASSETS Beginning of year .......... 3,146,854,440 2,815,418,873 833,384,824 541,183,694 --------------- --------------- --------------- --------------- End of year ................ $ 3,729,713,330 $ 3,146,854,440 $ 1,000,233,412 $ 833,384,824 =============== =============== =============== ===============
SOCIAL CHOICE ACCOUNT -------------------------- YEARS ENDED DECEMBER 31, ------------------------ 1996 1995 --------------- --------------- FROM OPERATIONS Investment income--net ..... $ 48,432,690 $ 35,513,279 Net realized gain (loss) on total investments ........ 11,910,403 3,647,165 Net change in unrealized appreciation (depreciation) on total investments .............. 140,408,956 200,506,744 --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 200,752,049 239,667,188 --------------- --------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 228,713,491 193,358,929 --------------- --------------- Disbursements and transfers: Net transfers to (from) TIAA ................... (5,237,657) (2,454,256) Net transfers to (from) other CREF Accounts .... (5,021,174) (6,736,255) Annuity payments ......... 4,694,000 2,778,920 Withdrawals and repurchases ............ 22,310,524 16,528,876 Death benefits ........... 1,298,901 1,045,228 --------------- --------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET 18,044,594 11,162,513 --------------- --------------- NET INCREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 210,668,897 182,196,416 --------------- --------------- NET INCREASE IN NET ASSETS 411,420,946 421,863,604 NET ASSETS Beginning of year .......... 1,164,318,899 742,455,295 --------------- --------------- End of year ................ $ 1,575,739,845 $ 1,164,318,899 =============== =============== See notes to financial statements. -6- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT ------------------------------ ------------------------------ YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, ------------------------------ ------------------------------ 1996 1995 1996 1995 ------------- ------------- ------------- ------------- FROM OPERATIONS Investment income--net ..... $ 46,685,666 $ 40,861,174 $ 18,664,159 $ 7,580,175 Net realized gain (loss) on total investments ........ 357,715,738 181,350,482 111,570,297 24,236,668 Net change in unrealized appreciation (depreciation) on total investments .............. 207,389,762 286,945,676 261,921,473 151,168,717 --------------- -------------- --------------- -------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 611,791,166 509,157,332 392,155,929 182,985,560 --------------- -------------- --------------- -------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 452,200,153 432,885,223 339,775,324 146,310,621 --------------- -------------- --------------- -------------- Disbursements and transfers: Net transfers to (from) TIAA ................... (22,446,528) 2,286,189 (48,595,717) (44,418,794) Net transfers to (from) other CREF Accounts .... (81,428,574) 361,750,669 (523,988,719) (524,499,108) Annuity payments ......... 11,896,195 6,816,624 4,727,193 1,032,476 Withdrawals and repurchases ............ 57,494,834 44,668,972 34,266,315 15,488,467 Death benefits ........... 4,093,573 2,578,283 1,056,662 49,873 --------------- -------------- --------------- -------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET (30,390,500) 418,100,737 (532,534,266) (552,347,086) --------------- -------------- --------------- -------------- NET INCREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 482,590,653 14,784,486 872,309,590 698,657,707 --------------- -------------- --------------- -------------- NET INCREASE IN NET ASSETS 1,094,381,819 523,941,818 1,264,465,519 881,643,267 NET ASSETS Beginning of year .......... 3,098,795,099 2,574,853,281 1,156,429,627 274,786,360 --------------- -------------- --------------- -------------- End of year ................ $ 4,193,176,918 $3,098,795,099 $ 2,420,895,146 $1,156,429,627 =============== ============== =============== ==============
COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS EQUITY INDEX ACCOUNT ----------------------------- YEARS ENDED DECEMBER 31, ----------------------------- 1996 1995 ------------ ------------- FROM OPERATIONS Investment income--net ..... $ 12,449,866 $ 3,835,421 Net realized gain (loss) on total investments ........ 10,324,266 2,563,936 Net change in unrealized appreciation (depreciation) on total investments .............. 108,747,047 42,347,885 ------------ ------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 131,521,179 48,747,242 ------------ ------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 139,323,573 43,829,759 ------------ ------------- Disbursements and transfers: Net transfers to (from) TIAA ................... (30,322,707) (20,714,935) Net transfers to (from) other CREF Accounts .... (243,573,489) (242,873,333) Annuity payments ......... 2,224,641 371,694 Withdrawals and repurchases ............ 11,191,497 35,670,917 Death benefits ........... 277,271 5,552 ------------ ------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET (260,202,787) (227,540,105) ------------ ------------- NET INCREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 399,526,360 271,369,864 ------------ ------------- NET INCREASE IN NET ASSETS 531,047,539 320,117,106 NET ASSETS Beginning of year .......... 390,877,546 70,760,440 ------------ ------------- End of year ................ $921,925,085 $ 390,877,546 ============ ============= See notes to financial statements. -7- 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 Equity Index Account was established on April 4, 1994 with a $50,000,000 investment by Teachers Insurance and Annuity Association of America ("TIAA"), a companion organization, which purchased 2,000,000 Accumulation Units at the established $25.00 initial Accumulation Unit Value. On April 29, 1994, the Equity Index Account was registered with the Commission under the Securities Act of 1933 and the Investment Company Act of 1940 as an additional series of CREF. On July 1, 1994, CREF began to offer Accumulation Units to participants other than TIAA. TIAA's Accumulation Units shared in the pro rata investment experience and were subject to the same valuation procedures and expense deductions as all other Accumulation Units in the Equity Index Account. During 1994 and 1995, TIAA's Accumulation Units were withdrawn at prevailing net asset values and the 1995 withdrawals totalling $32,268,669 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. 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 -8- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES -(CONTINUED) accrual of discount and amortization of premium. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as soon as the Accounts are informed of the ex-dividend date. Realized gains and losses on security transactions are accounted for on the average cost basis. FOREIGN CURRENCY TRANSACTIONS AND TRANSLATION: Foreign investments, bank deposits and forward foreign currency contracts are valued in U.S. dollars, based on the exchange rate at the end of the period. Investments traded in foreign currencies are translated at exchange rates prevailing on the respective dates traded. Income is translated at approximate rates prevailing when earned. Asset and liability accounts that are denominated in a foreign currency are adjusted to reflect the exchange rate at the end of the period. The cumulative impact of changes in foreign exchange rates on portfolio investments sold during the period is reflected in the net realized gain (loss) on portfolio investments. The cumulative impact of changes in foreign exchange rates on portfolio investments held at the end of the period is reflected in the net change in unrealized appreciation (depreciation) on portfolio investments. Currency gains and losses arising from the settlement of forward foreign currency contracts, changes in exchange rates between the trade and settlement dates of portfolio investment transactions, and changes in exchange rates between the accrual and receipt dates for dividend and interest income are recorded as net realized gains (losses) on foreign currency transactions. For assets other than portfolio investments and liabilities, changes in foreign exchange rates are reflected in the net change in unrealized appreciation (depreciation) on translation of assets (other than portfolio investments) and liabilities in foreign currencies. SECURITIES LENDING: The Accounts may lend portfolio securities to qualified institutions. Such loans are secured by collateral at least equal to 102% of the market value of the securities loaned for United States securities and 105% of the market value of securities loaned for foreign securities. An Account continues to receive income on the securities loaned and receives additional income from the lending transaction. Additionally, any change in the market value of the securities loaned is recognized by the Account. Although each transaction is collateralized, the Account would bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. COVERED CALL OPTIONS WRITTEN: The Accounts write (sell) covered call options to provide protection against adverse movements in the price of securities in the portfolio. When an option is written, an amount equal to the premium received is recorded as a liability; the liability is adjusted on a daily basis to the current market price of the option written and an unrealized gain or loss is recorded. Premiums received from writing options which expire unexercised are recognized as realized gains from option transactions on the expiration date. Premiums received from writing options which are exercised are added to the proceeds from the sale of the underlying securities in recognizing the net realized gain or loss on portfolio investments. In writing options, it is assumed that the option may be exercised at any time prior to the expiration of an Account's obligation as a writer, and that in such circumstances the net proceeds of the sale of the underlying securities pursuant to the call option may be below the prevailing market value. FUTURES CONTRACTS: The Accounts purchase futures contracts for the purpose of acquiring a position in a security or group of securities which it intends to purchase at a later date, or for cash management purposes to remain highly invested in the equity markets while minimizing transaction costs. The Accounts sell futures contracts for the purpose of offsetting changes in market value while withdrawing from a specific market. A financial futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses from futures transactions by "marking-to-market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are received or made, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a realized gain or loss from futures transactions is recorded, equal to the net variation margin received or paid over the period of the contract. The contractual amounts under futures contracts reflect the extent of an Account's exposure to off-balance sheet risk. The credit risk to such contracts is limited to the failure of the exchange or board of trade which acts as the counterparty to the Account's futures transactions. -9- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES -(CONCLUDED) FORWARD FOREIGN CURRENCY CONTRACTS: The Accounts may enter into forward foreign currency contracts to purchase or sell foreign currency to accommodate foreign investment transactions. Forward foreign currency contracts are "marked-to-market" at the end of each day's trading. Daily changes in the value of such contracts are reflected in the net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies. When the contract is closed, payment is received or made and a realized gain or loss on foreign currency transactions is recognized, equal to the difference between the cost of the closing transaction and the basis in the contract. An Account may also enter into a forward foreign currency contract to offset an existing contract. Forward foreign currency contracts are entered into directly with a counterparty and an Account is exposed to the risk of default of such counterparty. The maximum potential loss from such risk is the aggregate face value in U.S. dollars at the time the contract is opened. There is no daily margin requirement for such contracts. SECURITIES PURCHASED ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS: The Accounts may purchase securities on a when-issued or delayed delivery basis. In addition to the normal market risks, this exposes the Accounts to the risk that the transaction may not be consummated. RESTRICTED SECURITIES: Restricted securities held by the Accounts may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in securities which are widely held and publicly traded. FEDERAL INCOME TAXES: CREF is a nonprofit educational organization exempt from federal income taxation under the Internal Revenue Code ("Code"). Accordingly, CREF is not a "Regulated Investment Company" under Subchapter M of the Code and the net investment income and net realized capital gains of CREF's Accounts are not taxable income to the organization. Any nonpension related income is subject to federal income taxation as unrelated business income; however, for the periods covered by these financial statements there was no such income. NOTE 3--MANAGEMENT AGREEMENTS All services necessary for the operation of CREF's Accounts are provided, at cost, by Investment Management and Services. Such services are provided in accordance with an Investment Management Services Agreement between CREF and Investment Management, and in accordance with a Principal Underwriting and Administrative Services Agreement between CREF and Services (see Note 1). Investment Management and Services receive management fee payments from the CREF Accounts on a daily basis according to formulas established each year with the objective of keeping the management fees as close as possible to each Account's actual expenses. Any differences between actual expenses and the management fees are adjusted quarterly. NOTE 4--INVESTMENTS At December 31, 1996, the value of Global Equities Account securities loaned was $460,928,357 and collateral received in connection therewith was comprised of cash of $284,947,527, letters of credit of $123,155,000 and United States government securities amounting to $73,101,404. At December 31, 1996, the due to banks balances in the Bond Market and Social Choice Accounts resulted from securities transactions which were settled and paid by January 2, 1997. -10- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) NOTE 4--INVESTMENTS -(CONCLUDED) At December 31, 1996, 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......... $ 51,787 $ 7,196,999 $368,492,633 Gross unrealized depreciation of portfolio investments......... 1,323,359 6,035,657 18,275,631 ------------ ------------ ------------ NET UNREALIZED APPRECIATION (DEPRECIATION) OF PORTFOLIO INVESTMENTS........................................ $ (1,271,572) $ 1,161,342 $350,217,002 ============ ============ ============
GLOBAL EQUITIES GROWTH EQUITY INDEX ACCOUNT ACCOUNT ACCOUNT ----------- ----------- -------- Gross unrealized appreciation of portfolio investments......... $664,084,912 $457,365,250 $170,201,197 Gross unrealized depreciation of portfolio investments......... 122,868,220 41,414,716 18,680,388 ------------ ------------ ------------ NET UNREALIZED APPRECIATION OF PORTFOLIO INVESTMENTS........................................ $541,216,692 $415,950,534 $151,520,809 ============ ============ ============
At December 31, 1996, the Growth Account held 60 open futures contracts in the Standard and Poor's 500 Index with a value of $22,335,000. Companies in which any of the Accounts held 5% or more of the outstanding voting shares are defined as "affiliated" in the Investment Company Act of 1940. At December 31, 1996, the total value of the Global Equities Account's investments in affiliated companies was $207,035,105. For the year ended December 31, 1996, total dividend income and net realized loss relating to such investments of the Global Equities Account were $2,566,682 and $2,990,877, 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, 1996, were as follows:
BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT ------------ ------------ ------------- ------------- ------------ Purchases: Unaffiliated issuers..... $1,470,443,336 $801,911,542 $3,642,948,208 $1,446,151,630 $462,698,310 Affiliated issuers....... -- -- 11,039,521 -- -- -------------- ------------ -------------- -------------- ------------ TOTAL PURCHASES $1,470,443,336 $801,911,542 $3,653,987,729 $1,446,151,630 $462,698,310 ============== ============ ============== ============== ============ Sales: Unaffiliated issuers..... $1,278,823,621 $548,003,021 $3,089,254,369 $ 646,209,032 $ 51,733,301 Affiliated issuers....... -- -- 12,830,861 -- -- -------------- ------------ -------------- -------------- ------------ TOTAL SALES $1,278,823,621 $548,003,021 $3,102,085,230 $ 646,209,032 $ 51,733,301 ============== ============ ============== ============== ============
-11- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION Selected condensed financial information for an Accumulation Unit of each Account is presented below.
MONEY MARKET ACCOUNT -------------------------------------------------------------- FOR THE YEARS ENDED DECEMBER 31, -------------------------------------------------------------- 1996 1995 1994 1993 1992 ------ ------ ------ ------ ------ Per Accumulation Unit Data: Investment income...................... $ .880 $ .910 $ .631 $ .464 $ .539 Expenses............................... .049 .048 .041 .039 .036 ------ ------ ------ ------ ------ Investment income--net................. .831 .862 .590 .425 .503 Net realized and unrealized gain (loss) on total investments................ (.003) .009 (.012) (.002) (.009) ------ ------ ------ ------ ------ Net increase in Accumulation Unit Value............... .828 .871 .578 .423 .494 Accumulation Unit Value: Beginning of year...................... 15.666 14.795 14.217 13.794 13.300 ------- ------- ------- ------- ------- End of year............................ $16.494 $15.666 $14.795 $14.217 $13.794 ======= ======= ======= ======= ======= Total return............................. 5.28% 5.88% 4.07% 3.07% 3.71% Ratios to Average Net Assets: Expenses............................... 0.30% 0.32% 0.28% 0.27% 0.26% Investment income--net................. 5.16% 5.64% 4.03% 3.02% 3.70% Portfolio turnover rate.................. n/a n/a n/a n/a n/a Thousands of Accumulation Units outstanding at end of year............. 218,292 193,181 183,135 174,073 184,768
BOND MARKET ACCOUNT --------------------------------------------------------------- FOR THE YEARS ENDED DECEMBER 31, --------------------------------------------------------------- 1996 1995 1994 1993 1992 ------ ------ ------ ------ ------ Per Accumulation Unit Data: Investment income...................... $ 3.039 $ 2.863 $ 2.502 $ 2.348 $ 2.287 Expenses............................... .126 .123 .108 .103 .093 ------- ------- ------- ------- ------- Investment income--net................. 2.913 2.740 2.394 2.245 2.194 Net realized and unrealized gain (loss) on total investments................. (1.600) 3.722 (3.897) 1.606 .056 ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value................ 1.313 6.462 (1.503) 3.851 2.250 Accumulation Unit Value: Beginning of year...................... 42.689 36.227 37.730 33.879 31.629 ------- ------- ------- ------- ------- End of year............................ $44.002 $42.689 $36.227 $37.730 $33.879 ======= ======= ======= ======= ======= Total return............................. 3.08% 17.84% (3.98%) 11.37% 7.12% Ratios to Average Net Assets: Expenses............................... 0.30% 0.31% 0.29% 0.28% 0.29% Investment income--net................. 6.86% 6.93% 6.54% 6.18% 6.78% Portfolio turnover rate.................. 145.27% 185.11% 161.46% 139.55% 217.89% Thousands of Accumulation Units outstanding at end of year............ 22,611 19,522 14,939 14,698 13,583
-12- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION -(CONTINUED)
SOCIAL CHOICE ACCOUNT -------------------------------------------------------------- FOR THE YEARS ENDED DECEMBER 31, -------------------------------------------------------------- 1996 1995 1994 1993 1992 ------ ------ ------ ------ ------ Per Accumulation Unit Data: Investment income..................... $ 2.068 $ 1.832 $ 1.621 $ 1.452 $ 1.363 Expenses.............................. .158 .144 .125 .117 .105 ------- ------- ------- ------- ------- Investment income--net................. 1.910 1.688 1.496 1.335 1.258 Net realized and unrealized gain (loss) on total investments................ 5.968 9.863 (2.015) 2.082 2.367 ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value............... 7.878 11.551 (.519) 3.417 3.625 Accumulation Unit Value: Beginning of year..................... 50.712 39.161 39.680 36.263 32.638 ------- ------- ------- ------- -------- End of year........................... $58.590 $50.712 $39.161 $ 39.680 $ 36.263 ======= ======= ======= ======== ======== Total return............................. 15.53% 29.49% (1.31%) 9.42% 11.11% Ratios to Average Net Assets: Expenses.............................. 0.30% 0.32% 0.32% 0.31% 0.33% Investment income--net................ 3.58% 3.75% 3.80% 3.52% 3.88% Portfolio turnover rate.................. 40.93% 52.65% 49.06% 39.85% 77.48% Thousands of Accumulation Units outstanding at end of year............ 25,841 22,196 18,302 16,790 9,224
GLOBAL EQUITIES ACCOUNT -------------------------------------------------------------------- APRIL 1, 1992 (DATE FOR THE YEARS ENDED DECEMBER 31, ESTABLISHED) -------------------------------------------------- TO DECEMBER 31, 1996 1995 1994 1993 1992 ------ ------ ------ -------- ------------- Per Accumulation Unit Data: Investment income..................... $ .751 $ .727 $ .687 $ .487 $ .569 Expenses.............................. .167 .157 .134 .103 .121 ------- ------- ------- ------- ------- Investment income--net................ .584 .570 .553 .384 .448 Net realized and unrealized gain (loss) on total investments................ 7.138 6.618 (.719) 9.021 1.083 ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value............... 7.722 7.188 (.166) 9.405 1.531 Accumulation Unit Value: Beginning of period................... 42.958 35.770 35.936 26.531 25.000 ------- ------- ------- ------- ------- End of period......................... $50.680 $42.958 $35.770 $35.936 $26.531 ======= ======= ======= ======= ======= Total return............................. 17.98% 20.09% (0.46%) 35.45% 6.12% Ratios to Average Net Assets: Expenses.............................. 0.37% 0.40% 0.41% 0.45% 0.40% Investment income--net................ 1.28% 1.47% 1.71% 1.67% 1.47% Portfolio turnover rate.................. 88.84% 67.50% 51.63% 16.75% 12.50% Thousands of Accumulation Units outstanding at end of period.......... 80,016 70,163 70,700 36,796 8,277
-13- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS -- (CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION -- (CONTINUED)
GROWTH ACCOUNT EQUITY INDEX ACCOUNT --------------------------------- ---------------------------------- APRIL 4, 1994 APRIL 4, 1994 FOR THE (DATE FOR THE (DATE YEARS ENDED ESTABLISHED) YEARS ENDED ESTABLISHED) DECEMBER 31, TO DECEMBER 31, DECEMBER 31, TO DECEMBER 31, 1996 1995 1994 1996 1995 1994 ---- ---- -------------- ---- ---- -------------- Per Accumulation Unit Data: Investment income..................... $ .484 $ .417 $ .398 $ .773 $ .755 $ .552 Expenses.............................. .119 .114 .084 .106 .100 .072 ------- ------- ------- ------- ------- ------- Investment income--net................ .365 .303 .314 .667 .655 .480 Net realized and unrealized gain on total investments................ 8.638 8.891 .802 6.936 8.703 .393 ------- ------- ------- ------- ------- ------- Net increase in Accumulation Unit Value............... 9.003 9.194 1.116 7.603 9.358 .873 Accumulation Unit Value: Beginning of period................... 35.310 26.116 25.000 35.231 25.873 25.000 ------- ------- ------- ------- ------- ------- End of period......................... $44.313 $35.310 $26.116 $42.834 $35.231 $25.873 ======= ======= ======= ======= ======= ======= Total return............................. 25.50% 35.20% 4.46% 21.58% 36.17% 3.49% Ratios to Average Net Assets: Expenses.............................. 0.35% 0.43% 0.33% 0.30% 0.34% 0.27% Investment income--net................ 1.07% 1.13% 1.21% 1.87% 2.22% 1.83% Portfolio turnover rate.................. 38.51% 24.42% 12.29% 7.85% 8.31% 1.33% Thousands of Accumulation Units outstanding at end of period.......... 53,201 32,375 10,446 20,725 10,911 2,716
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, YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, ------------------------- ------------------------ ------------------------- 1996 1995 1996 1995 1996 1995 ---------- ---------- ---------- ---------- ---------- -------- Accumulation Units: Credited for premiums....... 19,834,908 21,164,735 3,106,394 3,036,130 4,247,359 4,283,963 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund............. 5,275,300 (11,118,465) (17,727) 1,547,736 (601,590) (390,757) Outstanding: Beginning of year........ 193,181,428 183,135,158 19,522,467 14,938,601 22,195,567 18,302,361 ----------- ----------- ---------- ---------- ---------- ---------- End of year.............. 218,291,636 193,181,428 22,611,134 19,522,467 25,841,336 22,195,567 =========== =========== ========== ========== ========== ==========
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT ------------------------- ------------------------ ------------------------- YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, ------------------------- ------------------------ ------------------------- 1996 1995 1996 1995 1996 1995 ---------- --------- ---------- ---------- ---------- -------- Accumulation Units: Credited for premiums...... 9,768,800 11,114,439 8,540,579 4,585,987 3,588,285 1,368,448 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund.............. 84,205 (11,651,582) 12,284,736 17,343,718 6,225,770 6,826,684 Outstanding: Beginning of year........ 70,162,908 70,700,051 32,375,238 10,445,533 10,910,656 2,715,524 ---------- ---------- ---------- ---------- ---------- ---------- End of year.............. 80,015,913 70,162,908 53,200,553 32,375,238 20,724,711 10,910,656 ========== ========== ========== ========== ========== ==========
-14- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT DECEMBER 31, 1996 SUMMARY VALUE % -------- ----- SHORT TERM INVESTMENTS BANK NOTES ................................ $ 140,440,192 3.77% BANKERS ACCEPTANCES ....................... 48,558,884 1.30 CERTIFICATES OF DEPOSIT ................... 446,921,695 11.98 COMMERCIAL PAPER .......................... 2,210,088,798 59.26 EURO CERTIFICATES OF DEPOSIT .............. 74,954,265 2.01 MEDIUM TERM BONDS/NOTES ................... 67,266,665 1.80 U.S. GOVERNMENTS & AGENCIES ............... 157,914,810 4.23 VARIABLE RATE NOTES ....................... 564,831,673 15.15 -------------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $3,712,248,621) ...................... 3,710,976,982 99.50 -------------- ------ ROUNDING ................................. 67 0.00 -------------- ------ TOTAL PORTFOLIO (Cost $3,712,248,621) ...................... 3,710,977,049 99.50 OTHER ASSETS & LIABILITIES, NET .......... 18,736,281 0.50 -------------- ------ NET ASSETS .................................. $3,729,713,330 100.00% ============== ====== --------------------------------------- PAR VALUE VALUE --------- -------- SHORT TERM INVESTMENTS--99.50% BANK NOTES--3.77% BANK OF BOSTON $14,800,000 5.530%, 01/30/97 ............. $ 14,800,014 BANK OF NEW YORK 10,000,000 5.500%, 03/12/97 ............. 9,994,976 FCC NATIONAL BANK 15,000,000 5.550%, 02/20/97 ............. 14,997,250 10,000,000 5.080%, 02/24/97 ............. 9,988,851 25,000,000 5.080%, 02/24/97 ............. 24,972,146 25,000,000 5.540%, 02/24/97 ............. 24,994,377 NATIONSBANK OF TEXAS 25,000,000 5.350%, 02/06/97 ............. 24,994,805 NATIONSBANK SOUTH 15,700,000 5.350%, 02/03/97 ............. 15,697,773 ------------- 140,440,192 ------------- BANKERS ACCEPTANCES--1.30% BANK OF NEW YORK 16,000,000 5.400%, 02/03/97 ............. 15,920,523 CITIBANK, N.A. 8,000,000 5.490%, 01/15/97 ............. 7,983,236 NATIONSBANK SOUTH 25,000,000 5.305%, 04/03/97 ............. 24,655,125 ------------- 48,558,884 ------------- CERTIFICATES OF DEPOSIT--11.98% ABN AMRO BANK NV 15,000,000 5.350%, 02/25/97 ............. 14,994,348 BANK OF NOVA SCOTIA 2,000,000 5.380%, 01/22/97 ............. 1,999,994 25,000,000 5.610%, 02/10/97 ............. 25,002,291 BANKERS TRUST NEW YORK CORP 25,000,000 5.640%, 12/05/97 ............. 24,968,165 BARCLAYS BANK, PLC 50,000,000 5.540%, 01/27/97 ............. 50,004,688 CANADIAN IMPERIAL BANK OF COMMERCE 25,000,000 5.650%, 02/11/97 ............ 25,003,454 COMMERZBANK 20,000,000 5.660%, 04/24/97 ............. 19,999,038 25,000,000 5.410%, 06/04/97 ............. 24,989,245 DEUTSCHE BANK 25,000,000 5.400%, 06/03/97 ............. 24,988,357 DRESDNER BANK 19,500,000 5.500%, 02/20/97 ............. 19,497,136 30,000,000 5.400%, 04/09/97 ............. 29,993,724 FIRST ALABAMA BANK 10,000,000 5.390%, 01/15/97 ............. 9,999,986 5,000,000 5.430%, 05/06/97 ............. 4,998,375 5,000,000 5.400%, 05/19/97 ............. 4,997,819 MORGAN GUARANTY TRUST CO 45,000,000 5.380%, 02/04/97 ............. 44,998,140 NATIONAL WESTMINSTER BANK PLC 24,000,000 5.410%, 01/21/97 ............. 24,000,336 RABOBANK 24,000,000 5.560%, 03/03/97 ............. 24,001,401 25,000,000 5.500%, 12/05/97 ............. 24,936,832 ROYAL BANK OF CANADA 25,000,000 5.580%, 01/27/97 ............. 25,002,944 SOCIETE GENERALE 6,500,000 5.620%, 03/25/97 ............. 6,501,309 16,000,000 6.130%, 09/12/97 ............. 16,044,113 ------------- 446,921,695 ------------- COMMERCIAL PAPER--59.26% ABBEY NATIONAL TREASURY SERVICES 19,000,000 5.450%, 03/26/97 ............. 18,745,637 AIR PRODUCTS & CHEMICALS, INC 25,000,000 5.450%, 01/17/97 ............. 24,939,444 27,000,000 5.310%, 01/21/97 ............. 26,917,192 11,215,000 5.600%, 02/07/97 ............. 11,150,451 AMERICAN BRANDS, INC 20,000,000 # 5.320%, 01/28/97 ............. 19,917,320 20,000,000 5.320%, 02/18/97 ............. 19,847,635 10,000,000 # 5.300%, 03/05/97 ............. 9,897,422 25,000,000 5.300%, 04/15/97 ............. 24,601,145 25,000,000 5.300%, 04/21/97 ............. 24,578,355 AMERICAN HOME PRODUCTS 25,000,000 # 5.330%, 02/26/97 ............. 24,771,872 ASSET SECURITIZATION COOPERATIVE CORP 18,000,000 # 5.320%, 01/23/97 ............. 17,939,822 10,000,000 # 5.300%, 01/24/97 ............. 9,965,037 1,000,000 5.310%, 01/29/97 ............. 995,650 25,000,000 5.310%, 01/30/97 ............. 24,887,308 27,000,000 5.320%, 01/31/97 ............. 26,874,052 20,000,000 5.300%, 02/20/97 ............. 19,840,990 ASSOCIATES CORP OF NORTH AMERICA 25,000,000 5.310%, 02/10/97 ............. 24,843,546 22,800,000 5.280%, 05/01/97 ............. 22,380,815 BANKERS TRUST NEW YORK CORP 25,000,000 5.500%, 01/29/97 ............. 24,891,273 BENEFICIAL CORP 24,555,000 5.390%, 02/25/97 ............. 24,339,510 BETA FINANCE CORP 19,000,000 # 5.300%, 02/14/97 ............. 18,870,481 CANADIAN IMPERIAL HOLDINGS, INC 5,000,000 5.420%, 01/06/97 ............. 4,996,236 See notes to financial statements. -15- PAR VALUE VALUE --------- -------- COMMERCIAL PAPER--(CONTINUED) $ 9,000,000 5.291%, 01/06/97 ............. $ 8,993,099 16,000,000 5.300%, 02/13/97 ............. 15,893,467 CATERPILLAR FINANCIAL SERVICES 12,000,000 CORP 5.300%, 01/28/97 ......... 11,950,378 CIESCO LP 25,000,000 5.300%, 01/22/97 ............. 24,920,234 25,000,000 5.290%, 02/05/97 ............. 24,866,562 25,000,000 # 5.300%, 02/14/97 ............. 24,829,581 23,500,000 5.300%, 03/14/97 ............. 23,225,042 CIT GROUP HOLDINGS, INC 11,900,000 5.280%, 03/12/97 ............. 11,764,581 25,000,000 5.400%, 03/27/97 ............. 24,661,375 37,987,000 5.290%, 05/30/97 ............. 37,121,211 20,500,000 5.310%, 06/20/97 ............. 19,963,463 CORPORATE ASSET FUNDING CORP, INC 25,000,000 5.520%, 02/11/97 ............. 24,842,833 50,000,000 5.300%, 02/13/97 ............. 49,667,087 9,000,000 # 5.270%, 03/06/97 ............. 8,906,237 CREDIT SUISSE FINANCIAL SERVICES, 25,000,000 INC 5.460%, 01/21/97 .......... 24,923,326 DEERE & CO 9,000,000 5.320%, 01/24/97 ............. 8,969,410 DUPONT (E.I.) DE NEMOURS & CO 14,600,000 5.300%, 02/12/97 ............. 14,505,101 17,000,000 5.400%, 02/12/97 ............. 16,892,900 15,000,000 # 5.275%, 02/13/97 ............. 14,900,118 3,025,000 5.370%, 03/26/97 ............. 2,984,502 25,000,000 5.260%, 05/09/97 ............. 24,509,980 24,900,000 # 5.260%, 05/23/97 ............. 24,358,970 FORD MOTOR CREDIT CO 25,000,000 5.950%, 01/03/97 ............. 24,991,736 25,300,000 5.320%, 02/10/97 ............. 25,141,669 GENERAL ELECTRIC CAPITAL CORP 18,000,000 5.310%, 01/21/97 ............. 17,944,795 28,000,000 5.290%, 01/29/97 ............. 27,878,226 GENERAL MOTORS ACCEPTANCE CORP 11,250,000 5.320%, 01/27/97 ............. 11,205,228 24,800,000 5.340%, 02/03/97 ............. 24,675,928 20,000,000 5.620%, 02/03/97 ............. 19,899,908 9,260,000 5.330%, 05/13/97 ............. 9,072,868 10,000,000 5.330%, 06/02/97 ............. 9,765,825 25,000,000 5.300%, 06/03/97 ............. 24,410,735 GENERAL SIGNAL CORP 10,000,000 # 5.320%, 01/15/97 ............. 9,978,650 18,300,000 5.320%, 01/16/97 ............. 18,258,128 GOLDMAN SACHS GROUP, LP 12,000,000 5.420%, 02/05/97 ............. 11,936,766 11,000,000 5.350%, 02/21/97 ............. 10,910,751 30,000,000 5.300%, 03/11/97 ............. 29,663,418 30,000,000 5.320%, 05/29/97 ............. 29,320,809 17,000,000 5.320%, 05/30/97 ............. 16,612,541 HEINZ (H.J.) CO 18,000,000 5.420%, 02/05/97 ............. 17,905,150 HERTZ CORP 20,000,000 5.500%, 01/03/97 ............. 19,993,888 HOUSEHOLD FINANCE CORP 22,000,000 5.310%, 01/31/97 ............. 21,897,370 40,000,000 5.390%, 02/26/97 ............. 39,638,157 13,000,000 5.400%, 03/26/97 ............. 12,825,962 IBM CORP 25,000,000 5.320%, 01/17/97 ............. 24,939,553 IBM CREDIT CORP 12,200,000 5.310%, 01/28/97 ............. 12,149,563 25,000,000 5.310%, 02/06/97 ............. 24,862,712 34,000,000 5.310%, 02/28/97 ............. 33,680,700 JOHN DEERE CAPITAL CORP 50,000,000 5.300%, 01/24/97 ............. 49,825,189 MCI COMMUNICATIONS CORP 17,400,000 5.280%, 03/18/97 ............. 17,188,981 25,000,000 # 5.310%, 06/10/97 ............. 24,383,952 MCKENNA TRIANGLE NATIONAL CORP 12,000,000 5.300%, 01/06/97 ............. 11,990,799 25,000,000 # 5.310%, 01/15/97 ............. 24,947,119 15,000,000 5.310%, 01/21/97 ............. 14,953,996 13,800,000 # 5.310%, 01/23/97 ............. 13,753,862 10,000,000 5.280%, 02/13/97 ............. 9,933,413 19,000,000 5.280%, 02/20/97 ............. 18,848,923 MERRILL LYNCH & CO, INC 25,000,000 5.330%, 01/24/97 ............. 24,912,610 50,000,000 5.440%, 02/10/97 ............. 49,687,093 14,400,000 5.400%, 02/28/97 ............. 14,264,836 10,000,000 5.300%, 04/02/97 ............. 9,860,211 MORGAN (J.P.) & CO 21,000,000 5.350%, 03/17/97 ............. 20,748,630 29,000,000 5.320%, 03/18/97 ............. 28,648,302 MORGAN STANLEY GROUP, INC 11,000,000 5.480%, 01/16/97 ............. 10,975,080 25,000,000 5.550%, 02/10/97 ............. 24,843,546 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE 35,000,000 5.310%, 01/30/97 ............. 34,842,257 6,900,000 5.300%, 02/11/97 ............. 6,856,298 30,000,000 5.320%, 03/25/97 ............. 29,603,100 NATIONSBANK CORP 25,000,000 5.310%, 01/23/97 ............. 24,916,417 13,000,000 5.290%, 01/28/97 ............. 12,946,253 PFIZER, INC 17,500,000 5.300%, 03/12/97 ............. 17,300,855 PHILIP MORRIS COS, INC 18,100,000 5.320%, 01/13/97 ............. 18,066,938 14,000,000 5.300%, 01/24/97 ............. 13,951,052 PROCTOR & GAMBLE 25,000,000 5.270%, 02/20/97 ............. 24,801,176 PROVINCE OF ONTARIO 20,350,000 5.300%, 01/15/97 ............. 20,306,954 25,000,000 5.428%, 03/26/97 ............. 24,665,312 SCHERING CORP 31,350,000 5.400%, 02/27/97 ............. 31,061,076 SEARS ROEBUCK ACCEPTANCE CORP 8,900,000 5.300%, 01/13/97 ............. 8,883,742 29,000,000 5.330%, 02/05/97 ............. 28,845,212 SOUTHERN CALIFORNIA GAS CO 20,558,000 # 5.270%, 06/05/97 ............. 20,067,142 THE STANLEY WORKS 7,000,000 5.360%, 03/19/97 ............. 6,914,005 TORONTO DOMINION HOLDINGS (U.S.) 13,500,000 5.300%, 04/15/97 ............. 13,284,618 WALT DISNEY CO 20,000,000 # 5.220%, 01/13/97 ............. 19,963,467 12,000,000 5.400%, 01/14/97 ............. 11,976,342 25,000,000 5.500%, 02/18/97 ............. 24,809,543 XEROX CORP 24,500,000 5.300%, 01/13/97 ............. 24,455,247 XEROX CREDIT CORP 7,000,000 5.300%, 01/10/97 ............. 6,990,386 15,500,000 5.450%, 02/07/97 ............. 15,413,178 ------------- 2,210,088,798 ------------- See notes to financial statements. -16- PAR VALUE VALUE --------- -------- EURO CERTIFICATES OF DEPOSIT--2.01% ABBEY NATIONAL TREASURY SERVICES 25,000,000 5.500%, 03/11/97 ............. $ 24,990,630 25,000,000 5.420%, 05/19/97 ............. 24,990,975 MORGAN GUARANTY TRUST CO $25,000,000 5.080%, 02/28/97 ............. 24,972,660 ------------- 74,954,265 ------------- MEDIUM TERM BONDS/NOTES --1.80% ABBEY NATIONAL TREASURY SERVICES 30,000,000 5.045%, 03/03/97 ............. 29,964,122 GENERAL ELECTRIC CAPITAL CORP 20,000,000 5.200%, 01/17/97 ............. 19,997,331 MORGAN STANLEY GROUP, INC 8,150,000 7.790%, 02/03/97 ............. 8,163,447 PITNEY BOWES CREDIT CORP 9,150,000 5.625%, 02/15/97 ............. 9,141,765 ------------- 67,266,665 ------------- U.S. GOVERNMENTS & AGENCIES--4.23% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 30,000,000 5.380%, 01/31/97 ............. 29,865,499 2,450,000 5.220%, 02/14/97 ............. 2,434,139 20,000,000 5.370%, 03/18/97 ............. 19,772,422 26,100,000 5.370%, 03/27/97 ............. 25,768,297 50,000,000 5.320%, 04/01/97 ............. 49,327,610 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 6,000,000 5.450%, 03/17/97 ............. 5,932,613 INTERNATIONAL BANK FOR RECONSTRUCTION 25,000,000 5.500%, 02/20/97 ............. 24,814,230 ------------- 157,914,810 ------------- VARIABLE RATE NOTES--15.15% AMERICAN EXPRESS CENTURION BANK 25,000,000 5.353%, 10/15/97 ............. 24,995,000 30,000,000 5.558%, 11/13/97 ............. 29,991,000 25,000,000 5.558%, 11/17/97 ............. 24,992,500 BANC ONE, DAYTON, N.A. 15,000,000 5.330%, 01/27/97 ............. 14,999,350 BANC ONE, MILWAUKEE, N.A. 15,000,000 5.610%, 05/14/97 ............. 14,988,000 BANK ONE OF COLUMBUS, N.A. 25,000,000 5.330%, 09/24/97 ............. 24,980,000 BANKERS TRUST NEW YORK CORP 25,000,000 5.650%, 08/18/97 ............. 24,990,000 25,000,000 5.630%, 12/10/97 ............. 24,995,000 BENEFICIAL CORP 25,000,000 5.586%, 03/05/97 ............. 25,000,000 BETA FINANCE CORP 25,000,000 5.342%, 05/15/97 ............. 24,995,000 CORESTATES BANK N.A./PHILADELPHIA NATIONAL BANK 12,000,000 5.532%, 12/03/97 ............. 11,997,600 FCC NATIONAL BANK 25,000,000 5.360%, 01/27/97 ............. 24,998,916 FIRST UNION NATIONAL BANK, 20,000,000 CHARLOTTE 5.615%, 12/19/97 ... 19,996,000 FORD MOTOR CREDIT CO 10,000,000 5.943%, 02/03/97 ............. 10,005,500 GENERAL ELECTRIC CAPITAL CORP 34,000,000 5.468%, 07/08/97 ............. 33,989,800 HOUSEHOLD FINANCE CORP 25,000,000 5.480%, 05/23/97 ............. 24,995,000 MORGAN STANLEY GROUP, INC 50,000,000 5.522%, 08/29/97 ............. 49,960,000 NATIONS BANK OF TEXAS 23,000,000 5.730%, 01/09/98 ............. 23,013,800 PNC BANK, NA 25,000,000 5.517%, 11/25/97 ............. 24,975,000 SEARS ROEBUCK ACCEPTANCE CORP 12,000,000 5.375%, 03/25/97 ............. 12,004,800 SOCIETY NATIONAL BANK, CLEVELAND 25,000,000 5.314%, 02/14/97 ............. 24,987,166 SOUTHTRUST BANK OF ALABAMA 25,000,000 5.547%, 01/08/97 ............. 24,998,541 25,000,000 5.440%, 05/22/97 ............. 24,987,500 XEROX CREDIT CORP 19,000,000 5.730%, 03/10/97 ............. 18,996,200 ------------- 564,831,673 ------------- TOTAL SHORT TERM INVESTMENTS (Cost $3,712,248,621)............. 3,710,976,982 ------------- ROUNDING........................ 67 ------------- TOTAL PORTFOLIO (Cost $3,712,248,621)... $3,710,977,049 ============== # Commercial Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. See notes to financial statements. -17- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT DECEMBER 31, 1996 SUMMARY VALUE % ----- ------ BONDS CORPORATE BONDS AIR TRANSPORTATION .......................... $ 14,244,704 1.42% AUTOMOTIVE & RELATED ........................ 15,271,777 1.53 BANKS ....................................... 48,317,545 4.83 BROADCASTERS ................................ 7,345,033 0.73 BUSINESS SERVICES ........................... 4,783,120 0.48 CHEMICALS--MAJOR ............................ 3,221,070 0.32 FINANCIAL--MISCELLANEOUS .................... 40,319,043 4.03 HEALTHCARE--DRUGS ........................... 4,779,530 0.48 HEALTHCARE--HOSPITAL SUPPLY ................. 9,947,098 0.99 INSURANCE--LIFE ............................. 2,934,300 0.29 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ....................... 7,788,380 0.78 METALS--GOLD ................................ 4,879,744 0.49 METALS--STEEL ............................... 2,863,830 0.29 PAPER ....................................... 6,019,770 0.60 RETAIL--GENERAL MERCHANDISE ................. 3,258,690 0.33 TOBACCO ..................................... 7,611,300 0.76 UTILITIES--ELECTRIC ......................... 14,318,114 1.43 UTILITIES--GAS & PIPELINE ................... 12,847,965 1.29 UTILITIES--TELEPHONE ........................ 10,036,150 1.00 -------------- ------ TOTAL CORPORATE BONDS (Cost $216,805,141) .......................... 220,787,163 22.07 -------------- ------ GOVERNMENT BONDS AGENCY SECURITIES ........................... 13,134,060 1.31 FOREIGN GOVERNMENT BONDS ................... 8,693,000 0.87 MORTGAGE BACKED SECURITIES ................. 302,785,808 30.28 U.S. GOVERNMENT BONDS ...................... 2,307,021 0.23 U.S. TREASURY SECURITIES ................... 431,338,720 43.12 -------------- ------ TOTAL GOVERNMENT BONDS (Cost $761,077,407) .......................... 758,258,609 75.81 -------------- ------ TOTAL BONDS (Cost $977,882,548) .......................... 979,045,772 97.88 -------------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ............................ 6,590,611 0.66 -------------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $6,592,557) ............................ 6,590,611 0.66 -------------- ------ ROUNDING ................................... 64 0.00 -------------- ------ TOTAL PORTFOLIO (Cost $984,475,105) .......................... 985,636,447 98.54 OTHER ASSETS & LIABILITIES, NET ............ 14,596,965 1.46 -------------- ------ NET ASSETS .................................... $1,000,233,412 100.00% ============== ====== ------------------------------------------- PAR VALUE VALUE ------- ------- BONDS--97.88% CORPORATE BONDS--22.07% AIR TRANSPORTATION--1.42% DELTA AIRLINES, INC NOTE $ 5,100,000 9.875%, 01/01/98 ................ $ 5,277,072 DELTA FUNDING HOME EQUITY LOAN TRUST SERIES 1996-1 (ASSET BACKED CERT) 5,000,000 6.525%, 10/25/11 ................ 4,970,312 FEDERAL EXPRESS CORP NOTE 4,000,000 6.250%, 04/15/98 ................ 3,997,320 ------------ 14,244,704 ------------ AUTOMOTIVE & RELATED--1.53% DAIMLER BENZ VEHICLE TRUST SERIES 1996-A (ASSET BACKED CERT) 9,590,710 5.850%, 07/20/03 ................ 9,572,727 GENERAL MOTORS CORP NOTE 5,000,000 8.800%, 03/01/21 ................ 5,699,050 ------------ 15,271,777 ------------ BANKS--4.83% ABBEY NATIONAL PLC (SUBORDINATED NOTE) 3,000,000 6.690%, 10/17/05 ................ 2,946,930 BANKERS TRUST NEW YORK CORP NOTE 3,000,000 6.625%, 07/30/99 ................ 3,021,240 CAPITAL ONE BANK NOTE 5,000,000 8.125%, 03/01/00 ................ 5,196,200 CHASE MANHATTAN GRANTOR TRUST SERIES 1996-B (CLASS A) 4,572,638 6.610%, 09/15/02 ................ 4,604,052 CHASE MANHATTAN CREDIT CARD MASTER TRUST SERIES 1996-4 (ASSET BACKED CERT) 5,000,000 6.730%, 02/15/03 ................ 5,068,750 HOUSEHOLD INTERNATIONAL NETHERLANDS (SR NOTE) 3,000,000 6.125%, 03/01/03 ................ 2,902,140 MONEY STORE TRUST SERIES 1996-D (ASSET BACKED CERT) 5,000,000 7.000%, 04/15/28 ................ 4,968,750 NATIONSBANK CORP (SR NOTE) 5,000,000 7.000%, 09/15/01 ................ 5,065,550 NATIONSBANK CREDIT CARD MASTER TRUST SERIES 1993-2 (CLASS A) 5,000,000 6.000%, 12/15/05 ................ 4,829,650 NATIONSBANK AUTO GRANTOR TRUST SERIES 1995-A (ASSET BACKED CERT) 1,670,907 5.850%, 06/15/02 ................ 1,668,283 See notes to financial statements. -18- PAR VALUE VALUE ----- ----- BANKS--(Continued) ^PNC INSTITUTIONAL CAPITAL TRUST SERIES A 144A $ 3,000,000 7.950%, 12/15/26 ................ $ 2,959,300 SOCIETE GENERALE - NEW YORK (SUBORDINATED NOTE) 5,000,000 7.400%, 06/01/06 ................ 5,086,700 ------------ 48,317,545 ------------ BROADCASTERS--0.73% BLOCKBUSTER ENTERTAINMENT CORP (SR NOTE) 2,000,000 6.625%, 02/15/98 ................ 2,000,100 CONTINENTAL CABLEVISION (SR NOTE) 5,000,000 8.300%, 05/15/06 ................ 5,344,933 ------------ 7,345,033 ------------ BUSINESS SERVICES--0.48% FLEETWOOD CREDIT CORP GRANTOR TRUST SERIES 1996-B (CLASS A) 4,738,526 6.900%, 03/15/12 ................ 4,783,120 ------------ CHEMICALS--MAJOR--0.32% METHANEX CORP (SR SECURED NOTE) 3,000,000 8.875%, 11/15/01 ................ 3,221,070 ------------ FINANCIAL--MISCELLANEOUS--4.03% ARISTAR, INC (SR SECURED NOTE) 3,000,000 6.300%, 07/15/00 ................ 2,970,060 ASSOCIATES CORP N.A. (SR SECURED NOTE) 5,000,000 6.375%, 08/15/99 ................ 5,002,150 CHEVY CHASE MASTER CREDIT CARD TRUST SERIES 1994-1 (ASSET BACKED CERT) 3,000,000 7.150%, 05/15/15 ................ 3,025,312 CIT GROUP HOLDINGS, INC (MEDIUM TERM SR NOTE) 5,000,000 5.875%, 12/15/98 ................ 4,979,397 CITICORP MORTGAGE SECURITIES, INC SERIES 88-6 (CLASS A-3) 309,861 7.250%, 11/01/11 ................ 306,762 FDIC REMIC TRUST SERIES 1996-C1 (COMMERCIAL MTGE PASS-THRU) 5,400,000 5.956%, 11/25/26 ................ 5,400,000 HIGHWOODS/FORSYTH LTD PARTNERSHIP NOTE 5,000,000 7.000%, 12/01/06 ................ 4,870,350 LEHMAN BROTHERS HOLDINGS (MEDIUM TERM NOTE) 5,000,000 7.850%, 05/11/98 ................ 5,106,550 MORTGAGE CAPITAL FUNDING, INC SERIES 96 MC-2 (MTGE PASS-THRU) 5,000,000 7.008%, 09/20/06 ................ 4,989,062 SUN AMERICA, INC NOTE 3,500,000 9.000%, 01/15/99 ................ 3,669,400 ------------ 40,319,043 ------------ HEALTHCARE--DRUGS--0.48% GLAXO WELLCOME PLC NOTE 5,000,000 6.125%, 01/25/06 ................ 4,779,530 ------------ HEALTHCARE--HOSPITAL SUPPLY--0.99% COLUMBIA/HCA HEALTHCARE CORP NOTE 5,000,000 6.500%, 03/15/99 ................ 5,023,850 4,400,000 8.360%, 04/15/24 ................ 4,923,248 ------------ 9,947,098 ------------ INSURANCE--LIFE--0.29% ^PHOENIX HOME LIFE MUTUAL INSURANCE CO NOTE 144A 3,000,000 6.950%, 12/01/06 ................ 2,934,300 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.78% GATX CAPITAL CORP (MEDIUM TERM NOTE) 5,000,000 6.875%, 12/15/06 ................ 4,903,700 TRAVELERS CAPITAL CORP DEB 3,000,000 7.750%, 12/01/36 ................ 2,884,680 ------------ 7,788,380 ------------ METALS--GOLD--0.49% FREEPORT-MCMORAN COPPER & GOLD, INC (SR NOTE) 5,000,000 7.200%, 11/15/26 ................ 4,879,744 ------------ METALS--STEEL--0.29% COMINCO LTD (MEDIUM TERM NOTE) 3,000,000 6.875%, 02/15/06 ................ 2,863,830 ------------ PAPER--0.60% CHAMPION INTERNATIONAL CORP NOTE 3,000,000 7.700%, 12/15/99 ................ 3,096,450 SMURFIT CAPITAL FUNDING PLC (GUARANTEED NOTE) 3,000,000 6.750%, 11/20/05 ................ 2,923,320 ------------ 6,019,770 ------------ RETAIL--GENERAL MERCHANDISE--0.33% FEDERATED DEPARTMENT STORES, INC (SR NOTE) 3,000,000 10.000%, 02/15/01 ................ 3,258,690 ------------ TOBACCO--0.76% PHILIP MORRIS COS, INC NOTE 2,500,000 8.750%, 06/15/97 ................ 2,531,600 5,000,000 7.250%, 09/15/01 ................ 5,079,700 ------------ 7,611,300 ------------ UTILITIES--ELECTRIC--1.43% EL PASO ELECTRIC CO (FIRST MTGE BOND) 1,000,000 7.250%, 02/01/99 ................ 997,540 ^ISRAEL ELECTRIC CORP LTD NOTE 5,000,000 7.875%, 12/15/26 ................ 4,974,094 PHILADELPHIA ELECTRIC CO (FIRST & REFUNDING MTGE BD) 5,000,000 9.250%, 10/01/99 ................ 5,351,962 ^PSI ENERGY TRUST SERIES 1996-1 (PASS-THRU ASSET) 3,000,000 6.250%, 12/15/98 ................ 2,994,518 ------------ 14,318,114 ------------ See notes to financial statements. -19- PAR VALUE VALUE ----- ----- UTILITIES--GAS & PIPELINE--1.29% BURLINGTON RESOURCES, INC NOTE $ 3,250,000 7.150%, 05/01/99 ................ $ 3,304,600 EL PASO NATURAL GAS DEB 4,500,000 7.500%, 11/15/26 ................ 4,503,015 ^PETROLIAM NASIONAL BERHAD NOTE 5,000,000 7.625%, 10/15/26 ................ 5,040,350 ------------ 12,847,965 ------------ UTILITIES--TELEPHONE--1.00% ^TELEKOM MALAYSIA BERHAD NOTE 5,000,000 7.125%, 08/01/05 ................ 5,019,600 ^TOTAL ACCESS COMMUNICATION PUBLIC LTD BOND 144A 5,000,000 8.375%, 11/04/06 ................ 5,016,550 ------------ 10,036,150 ------------ TOTAL CORPORATE BONDS (Cost $216,805,141) ................. 220,787,163 ------------ GOVERNMENT BONDS--75.81% AGENCY SECURITIES--1.31% FEDERAL FARM CREDIT BANK 5,000,000 6.440%, 11/05/99 ................ 4,996,100 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 3,000,000 8.250%, 12/18/00 ................ 3,204,360 5,000,000 6.850%, 09/12/05 ................ 4,933,600 ------------ 13,134,060 ------------ FOREIGN GOVERNMENT BONDS--0.87% INTERMEDIATE AMERICAN DEVELOPMENT BANK BOND 5,000,000 8.400%, 09/01/09 ................ 5,706,650 PROVINCE OF ONTARIO NOTE 3,000,000 6.125%, 06/28/00 ................ 2,986,350 ------------ 8,693,000 ------------ MORTGAGE BACKED SECURITIES--30.28% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 4,423,247 5.500%, 09/01/00 ................ 4,308,507 935,349 7.000%, 09/01/10 ................ 936,125 1,959,959 7.000%, 03/01/11 ................ 1,961,585 6,840,728 6.000%, 04/01/11 ................ 6,609,853 4,913,573 7.000%, 07/01/11 ................ 4,910,477 4,934,510 7.000%, 11/01/11 ................ 4,931,401 419,890 8.000%, 03/01/23 ................ 431,432 643,029 8.000%, 04/01/23 ................ 660,705 3,496,255 7.000%, 05/01/23 ................ 3,448,181 5,567,016 7.500%, 05/01/24 ................ 5,591,343 1,027,534 8.000%, 07/01/24 ................ 1,049,687 1,084,151 8.000%, 10/01/24 ................ 1,109,390 594,549 8.000%, 01/01/25 ................ 608,390 1,848,971 8.000%, 06/01/25 ................ 1,890,409 958,896 8.000%, 11/01/25 ................ 981,219 9,732,896 7.500%, 12/01/25 ................ 9,754,113 4,754,392 6.500%, 12/01/25 ................ 4,550,856 922,343 8.000%, 12/01/25 ................ 941,223 1,012,405 8.000%, 01/01/26 ................ 1,033,128 9,866,158 7.000%, 01/01/26 ................ 9,681,167 1,976,218 8.000%, 04/01/26 ................ 2,016,671 5,006,528 6.500%, 04/01/26 ................ 4,792,198 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 4,130,473 7.500%, 08/01/01 ................ 4,191,108 4,616,618 6.000%, 12/01/02 ................ 4,508,404 4,363,628 7.000%, 04/01/09 ................ 4,376,326 17,066,541 6.500%, 05/01/09 ................ 16,871,811 4,135,547 7.500%, 11/01/10 ................ 4,198,200 1,945,512 7.000%, 05/01/11 ................ 1,945,113 3,475,953 8.000%, 06/01/11 ................ 3,575,885 971,104 8.000%, 07/01/11 ................ 999,023 1,993,291 6.500%, 02/01/16 ................ 1,925,877 991,185 6.500%, 03/01/16 ................ 957,663 1,980,172 6.500%, 04/01/16 ................ 1,914,568 1,249,471 9.000%, 02/01/25 ................ 1,320,141 1,988,871 9.000%, 03/01/25 ................ 2,099,790 3,928,936 8.500%, 05/01/25 ................ 4,081,182 5,823,121 8.000%, 06/01/25 ................ 5,937,778 896,519 8.000%, 07/01/25 ................ 914,171 5,616,163 8.500%, 08/01/25 ................ 5,821,489 1,883,317 6.500%, 09/01/25 ................ 1,798,567 12,277,639 7.000%, 09/01/25 ................ 12,012,810 920,435 7.000%, 10/01/25 ................ 900,581 2,763,015 7.000%, 11/01/25 ................ 2,703,415 944,696 7.000%, 12/01/25 ................ 924,318 7,660,933 6.500%, 12/01/25 ................ 7,316,189 1,896,768 8.000%, 12/01/25 ................ 1,934,114 2,425,568 8.000%, 01/01/26 ................ 2,473,326 4,892,045 7.000%, 04/01/26 ................ 4,783,490 5,026,170 7.000%, 07/01/26 ................ 4,914,639 4,979,203 7.500%, 07/01/26 ................ 4,976,066 5,026,019 7.000%, 09/01/26 ................ 4,914,491 See notes to financial statements. -20- PAR VALUE VALUE ----- ----- MORTGAGE BACKED SECURITIES--(Continued) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) $ 680,293 8.500%, 10/15/09 ................ $ 711,327 1,366,672 8.500%, 12/15/09 ................ 1,429,018 5,170,612 9.000%, 12/15/09 ................ 5,421,024 1,362,732 8.500%, 01/15/10 ................ 1,424,899 236,413 9.000%, 06/15/16 ................ 253,486 319,865 9.000%, 08/15/16 ................ 342,965 826,654 9.000%, 09/15/16 ................ 886,515 276,853 9.000%, 10/15/16 ................ 297,007 206,103 9.000%, 11/15/16 ................ 220,987 3,275,010 9.500%, 12/15/16 ................ 3,557,479 765,010 9.000%, 12/15/16 ................ 820,702 285,682 9.000%, 07/15/17 ................ 306,145 284,604 9.000%, 06/15/20 ................ 303,544 4,959,623 6.500%, 03/20/22 ................ 5,054,153 7,058,904 6.500%, 09/15/23 ................ 6,774,359 4,610,460 6.500%, 01/15/24 ................ 4,424,612 18,310,577 7.000%, 02/15/24 ................ 17,990,141 2,734,363 6.500%, 03/15/24 ................ 2,620,722 4,164,748 8.000%, 06/15/24 ................ 4,255,831 5,532,315 6.500%, 09/15/24 ................ 5,302,391 559,660 8.500%, 11/15/24 ................ 581,341 5,766,214 9.000%, 01/15/25 ................ 6,093,596 667,560 8.500%, 04/15/25 ................ 693,421 247,380 8.500%, 05/15/25 ................ 256,577 5,183,225 8.500%, 06/15/25 ................ 5,377,277 1,775,064 8.000%, 06/15/25 ................ 1,812,216 2,669,765 8.000%, 08/15/25 ................ 2,725,643 12,670,793 7.500%, 12/15/25 ................ 12,682,576 1,938,131 7.000%, 12/15/25 ................ 1,896,945 19,999,914 7.500%, 05/15/26 ................ 20,006,113 RESOLUTION TRUST CORP SERIES 1992-8 (CLASS A-2) (MTGE PASS-THROUGH CERT) 776,774 8.250%, 12/25/26 ................ 774,201 ------------ 302,785,808 ------------ U.S. GOVERNMENT BONDS--0.23% NEW YORK CITY TAX LIEN (COLLECTIBLE BOND) 2,291,269 6.810%, 05/25/05 ................ 2,307,021 ------------ U.S. TREASURY SECURITIES--43.12% U.S. TREASURY BONDS 45,000,000 7.500%, 11/15/16 ................ 48,712,500 24,000,000 * 8.000%, 11/15/21 ................ 27,517,440 31,500,000 7.125%, 02/15/23 ................ 32,887,890 5,000,000 6.750%, 08/15/26 ................ 5,037,500 U.S. TREASURY NOTES 14,000,000 6.125%, 05/15/98 ................ $ 14,067,760 48,000,000 * 8.250%, 07/15/98 ................ 49,709,760 5,000,000 5.625%, 11/30/98 ................ 4,977,350 35,000,000 * 8.875%, 02/15/99 ................ 37,028,950 27,000,000 7.750%, 11/30/99 ................ 28,210,680 13,000,000 7.750%, 01/31/00 ................ 13,603,330 37,000,000 * 8.750%, 08/15/00 ................ 40,098,750 20,000,000 6.250%, 10/31/01 ................ 20,018,800 33,000,000 6.125%, 12/31/01 ................ 32,876,250 22,000,000 6.375%, 08/15/02 ................ 22,144,320 24,000,000 7.250%, 05/15/04 ................ 25,252,560 29,000,000 6.500%, 05/15/05 ................ 29,194,880 ------------ 431,338,720 ------------ TOTAL GOVERNMENT BONDS (Cost $761,077,407).................. 758,258,609 ------------ TOTAL BONDS (Cost $977,882,548).................. 979,045,772 ------------ SHORT TERM INVESTMENTS--0.66% COMMERCIAL PAPER--0.66% DUPONT (E.I.) DE NEMOURS & CO 1,000,000 5.400%, 02/12/97 ................ 992,857 GOLDMAN SACHS AND CO 600,000 7.350%, 01/02/97 ................ 599,632 GOLDMAN SACHS GROUP, LP 5,000,000 7.350%, 01/02/97 ................ 4,998,122 ------------ 6,590,611 ------------ TOTAL SHORT TERM INVESTMENTS (Cost $6,592,557).................... 6,590,611 ------------ ROUNDING .......................... 64 ------------ TOTAL PORTFOLIO (Cost $984,475,105).................. $985,636,447 ============ - ---------- * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. ^ Security is exempt from registration under Rule 144A of the Securities Act of 1933 and may be resold in transactions exempt from registration normally to qualified institutional buyers. At year end, the value of these securities amounted to $31,245,733 or 3.12% of net assets. See notes to financial statements. -21- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT DECEMBER 31, 1996 SUMMARY VALUE % ----- ---- BONDS CORPORATE BONDS AIR TRANSPORTATION ........................... $ 2,778,938 0.18% BANKS ........................................ 32,832,542 2.08 BROADCASTERS ................................. 15,441,965 0.98 BUSINESS SERVICES ............................ 1,062,910 0.07 FINANCIAL--MISCELLANEOUS ..................... 25,550,197 1.62 FOODS ........................................ 1,852,600 0.12 HEALTHCARE--DRUGS ............................ 3,232,560 0.21 HEALTHCARE--HOSPITAL SUPPLY .................. 6,372,840 0.40 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ....................... 3,434,445 0.22 PAPER ....................................... 3,327,561 0.21 PUBLISHING--OTHER ........................... 3,033,030 0.19 RETAIL--FOOD ................................ 2,120,000 0.13 RETAIL--GENERAL MERCHANDISE ................. 16,336,099 1.04 UTILITIES--ELECTRIC ......................... 6,393,630 0.41 UTILITIES--GAS & PIPELINE ................... 4,957,700 0.31 UTILITIES--TELEPHONE ........................ 8,254,935 0.52 -------------- ------ TOTAL CORPORATE BONDS (Cost $137,529,991) ......................... 136,981,952 8.69 -------------- ------ GOVERNMENT BONDS AGENCY SECURITIES ........................... 22,563,920 1.43 MORTGAGE BACKED SECURITIES .................. 183,292,171 11.64 U.S. TREASURY SECURITIES .................... 245,028,420 15.55 -------------- ------ TOTAL GOVERNMENT BONDS (Cost $448,987,529) ......................... 450,884,511 28.62 -------------- ------ TOTAL BONDS (Cost $586,517,520) ......................... 587,866,463 37.31 -------------- ------ PREFERRED STOCK HEALTHCARE--SERVICE ......................... 135,413 0.01 -------------- ------ TOTAL PREFERRED STOCK (Cost $111,530) ............................. 135,413 0.01 -------------- ------ COMMON STOCK AIR TRANSPORTATION .......................... 10,743,930 0.68 AUTOMOTIVE & RELATED ........................ 14,427,137 0.92 BANKS ....................................... 91,344,748 5.80 BEVERAGES ................................... 28,301,725 1.80 BROADCASTERS ................................ 5,909,912 0.38 BUSINESS SERVICES ........................... 5,416,615 0.34 CHEMICALS--MAJOR ............................ 13,393,400 0.85 CHEMICALS--SPECIALTY ........................ 17,676,170 1.12 COMMUNICATION EQUIPMENT & SERVICES .......... 11,073,984 0.70 COMPUTER SERVICE ............................ 32,545,593 2.07 CONGLOMERATES ............................... 22,603,362 1.43 COSMETICS ................................... 17,010,325 1.08 ELECTRICAL EQUIPMENT ........................ 2,656,275 0.17 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED ..................... 31,194,869 1.98 ELECTRICAL EQUIPMENT--INSTRUMENTS ........... 1,696,250 0.11 FINANCIAL--MISCELLANEOUS .................... 51,166,481 3.25 FOODS ....................................... 43,819,199 2.78 HEALTHCARE--DRUGS ........................... 51,525,237 3.27 HEALTHCARE--HOSPITAL SUPPLY ................. 28,246,200 1.79 HEALTHCARE--OTHER ........................... 7,764,537 0.49 HEALTHCARE--SERVICE ......................... 8,532,003 0.54 HOUSEHOLD--DURABLE GOODS .................... 5,016,125 0.32 HOUSEHOLD--PRODUCTS ......................... 36,464,337 2.31 INSURANCE--LIFE ............................. 20,973 0.00 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ........................ 40,655,206 2.58 LEISURE TIME ................................ 17,846,171 1.13 MACHINERY ................................... 12,882,057 0.82 METALS--ALUMINUM ............................ 2,943,675 0.19 METALS--GOLD ................................ 4,383,412 0.28 METALS--STEEL ............................... 6,585,937 0.42 OFFICE EQUIPMENT ............................ 55,326,667 3.51 PAPER ....................................... 17,554,212 1.11 PETROLEUM--EXPLORATION & PRODUCTION ................................. 21,823,011 1.38 PETROLEUM--SERVICE .......................... 33,503,650 2.13 PROPERTY--REAL ESTATE ....................... 5,114,687 0.32 PUBLISHING--NEWSPAPER ....................... 13,933,140 0.88 PUBLISHING--OTHER ........................... 9,470,737 0.60 RAILROAD .................................... 12,285,000 0.78 RESTAURANTS & HOTELS ........................ 13,080,075 0.83 RETAIL--FOOD ................................ 4,992,712 0.32 RETAIL--GENERAL MERCHANDISE ................. 28,538,584 1.81 TEXTILE & APPAREL ........................... 8,000,475 0.51 TRUCKERS & SHIPPING ......................... 2,786,637 0.18 UTILITIES--ELECTRIC ......................... 26,828,674 1.70 UTILITIES--GAS & PIPELINE ................... 27,339,987 1.74 UTILITIES--TELEPHONE ........................ 68,283,813 4.33 -------------- ------ TOTAL COMMON STOCK (Cost $623,862,859) ........................ 972,707,906 61.73 -------------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ............................ 4,898,159 0.31 -------------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $4,899,115) .......................... 4,898,159 0.31 -------------- ------ ROUNDING ................................. 85 0.00 -------------- ------ TOTAL PORTFOLIO (Cost $1,215,391,024) ....................... 1,565,608,026 99.36 OTHER ASSETS & LIABILITIES, NET ........... 10,131,819 0.64 -------------- ------ NET ASSETS .................................... $1,575,739,845 100.00% ============== ====== See notes to financial statements. -22- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT DECEMBER 31, 1996 PAR VALUE VALUE ----- ----- BONDS--37.31% CORPORATE BONDS--8.69% AIR TRANSPORTATION--0.18% DELTA AIRLINES, INC SERIES 1992-B1 (PASS-THRU CERT) $2,598,499 8.270%, 09/23/07 ................ $ 2,778,938 ------------ BANKS--2.08% BANKAMERICA CORP (SUBORDINATED NOTE) 2,000,000 9.750%, 07/01/00 ................ 2,199,320 BANKERS TRUST NEW YORK CORP NOTE 5,000,000 6.750%, 10/03/01 ................ 5,024,300 BARNETT BANK, INC (MEDIUM TERM SR NOTE) 4,000,000 6.250%, 07/28/98 ................ 4,011,200 CAPITAL ONE BANK NOTE 5,000,000 8.125%, 03/01/00 ................ 5,196,200 EQUICREDIT HOME EQUITY LOAN TRUST SERIES 1996-3 (CLASS A4) 3,000,000 6.700%, 06/15/08 ................ 3,007,602 FLEET MORTGAGE GROUP, INC NOTE 1,200,000 6.500%, 09/15/99 ................ 1,203,240 FLEET/NORSTAR GROUP (SUBORDINATED NOTE) 2,000,000 9.900%, 06/15/01 ................ 2,246,080 NATIONSBANK CORP (SR NOTE) 4,000,000 6.125%, 07/15/99 ................ 4,007,480 3,000,000 7.000%, 09/15/01 ................ 3,039,330 NATIONSBANK CREDIT CARD MASTER TRUST SERIES 1993-2 (CLASS A) 3,000,000 6.000%, 12/15/05 ................ 2,897,790 ------------ 32,832,542 ------------ BROADCASTERS--0.98% BLOCKBUSTER ENTERTAINMENT CORP (SR NOTE) 3,000,000 6.625%, 02/15/98 ................ 3,000,150 CAPITAL CITY ABC, INC NOTE 3,000,000 8.875%, 12/15/00 ................ 3,237,090 CONTINENTAL CABLEVISION (SR NOTE) 5,000,000 8.300%, 05/15/06 ................ 5,344,933 COX COMMUNICIATIONS, INC NEW (CLASS A) NOTE 3,500,000 8.700%, 06/15/99 ................ 3,661,455 VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 205,000 8.000%, 07/07/06 ................ 198,337 ------------ 15,441,965 ------------ BUSINESS SERVICES--0.07% DELUXE CORP DEB 1,000,000 8.550%, 02/15/01 ................ 1,062,910 ------------ FINANCIAL--MISCELLANEOUS--1.62% AETNA SERVICES, INC (GUARANTEED NOTE) 2,000,000 6.970%, 08/15/36 ................ 2,036,620 AMERICAN EXPRESS CREDIT CORP NOTE 2,000,000 6.750%, 06/01/01 ................ 2,013,940 ARISTAR, INC SR NOTE 1,000,000 7.750%, 06/15/01 ................ 1,037,270 DISCOVER CARD TRUST SERIES 1993-B (PASS-THRU CERT) 3,000,000 6.750%, 02/15/00 ................ 3,026,250 HOUSEHOLD INTERNATIONAL NETHERLANDS BV (SR NOTE) 4,000,000 5.250%, 10/15/98 ................ 3,924,520 MORGAN STANLY GROUP (SR NOTE) 4,000,000 5.750%, 02/15/01 ................ 3,876,720 MORTGAGE CAPITAL FUNDING, INC SERIES 96 MC-2 (MTGE PASS-THRU) 2,000,000 7.008%, 09/20/06 ................ 1,995,625 STANDARD CREDIT CARD MASTER TRUST SERIES 1991-6 (CLASS B) 2,570,000 8.350%, 01/07/00 ................ 2,665,552 TRAVELLERS, INC NOTE 5,000,000 5.750%, 04/15/98 ................ 4,973,700 ------------ 25,550,197 ------------ FOODS--0.12% CAMPBELL SOUP CO NOTE 2,000,000 5.625%, 09/15/03 ................ 1,852,600 ------------ HEALTHCARE--DRUGS--0.21% LYONDELL PETROCHEMICAL CO NOTE 3,000,000 10.000%, 06/01/99 ................ 3,232,560 ------------ HEALTHCARE--HOSPITAL SUPPLY--0.40% BECTON DICKINSON NOTE 3,000,000 6.900%, 10/01/06 ................ 3,016,080 COLUMBIA/HCA HEALTHCARE CORP NOTE 3,000,000 8.360%, 04/15/24 ................ 3,356,760 ------------ 6,372,840 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.22% CHUBB CAPITAL CORP NOTE 1,500,000 6.875%, 02/01/03 ................ 1,511,325 TRAVELERS CAPITAL CORP DEB 2,000,000 7.750%, 12/01/36 ................ 1,923,120 ------------ 3,434,445 ------------ PAPER--0.21% UNION CAMP CORP DEB 3,000,000 10.000%, 05/01/19 ................ 3,327,561 ------------ PUBLISHING--OTHER--0.19% TIME WARNER NOTE 3,000,000 7.450%, 02/01/98 ................ 3,033,030 ------------ RETAIL--FOOD--0.13% KROGER CO (SR SUBORDINATED NOTE) 2,000,000 10.000%, 05/01/99 ................ 2,120,000 ------------ RETAIL--GENERAL MERCHANDISE--1.04% DILLIARD DEPARTMENT 2,000,000 STORES, INC NOTE 7.150%, 09/01/02 2,034,060 FEDERATED DEPARTMENT STORES, INC (SR NOTE) 2,000,000 10.000%, 02/15/01 ................ 2,172,460 MAY DEPARTMENT STORES CO NOTE 3,000,000 7.150%, 08/15/04 ................ 3,059,880 SEARS ROEBUCK ACCEPTANCE CORP (MEDIUM TERM NOTE) 5,000,000 6.990%, 09/30/02 ................ 5,042,039 WAL-MART STORES, INC DEB 2,000,000 7.250%, 06/01/13 ................ 2,033,820 WAL-MART STORES, INC NOTE 2,000,000 6.125%, 10/01/99 ................ 1,993,840 ------------ 16,336,099 ------------ See notes to financial statements. -23- PAR VALUE VALUE ----- ----- UTILITIES--ELECTRIC--0.41% IDAHO POWER CO (FIRST MTGE BOND) $ 1,000,000 8.650%, 01/01/00 ................ $ 1,050,380 PUGET SOUND POWER & LIGHT CO (MEDIUM TERM NOTE) 5,000,000 8.060%, 06/19/06 ................ 5,343,250 ------------ 6,393,630 ------------ UTILITIES--GAS & PIPELINE--0.31% EL PASO NATURAL GAS CO NOTE 5,000,000 6.750%, 11/15/03 ................ 4,957,700 ------------ UTILITIES--TELEPHONE--0.52% NEW YORK TELEPHONE CO DEB 3,000,000 7.250%, 02/15/24 ................ 2,849,190 SOUTHWESTERN BELL TELEPHONE CO NOTE 3,000,000 6.250%, 10/15/02 ................ 2,955,570 U.S. WEST COMMUNICATIONS, INC NOTE 2,500,000 6.625%, 09/15/05 ................ 2,450,175 ------------ 8,254,935 ------------ TOTAL CORPORATE BONDS (Cost $137,529,991).................. 136,981,952 ------------ GOVERNMENT BONDS--28.62% AGENCY SECURITIES--1.43% FEDERAL FARM CREDIT BANK 3,000,000 6.440%, 11/05/99 ................ 2,997,660 FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 5,000,000 7.090%, 11/24/06 ................ 4,924,200 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 3,000,000 6.670%, 09/05/00 ................ 2,998,590 2,000,000 6.375%, 10/13/00 ................ 1,989,380 1,000,000 8.250%, 12/18/00 ................ 1,068,120 8,000,000 5.800%, 02/22/06 ................ 7,538,000 1,000,000 7.400%, 07/01/04 ................ 1,047,970 ------------ 22,563,920 ------------ MORTGAGE BACKED SECURITIES--11.64% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 2,045,000 6.000%, 10/15/10 ................ 2,032,852 4,717,974 6.000%, 03/01/11 ................ 4,558,742 5,834,557 7.000%, 04/01/11 ................ 5,839,399 678,785 8.000%, 12/01/22 ................ 696,806 424,709 8.000%, 01/01/23 ................ 435,590 943,442 8.000%, 05/01/23 ................ 967,018 1,399,329 7.000%, 05/01/23 ................ 1,380,088 4,594,203 7.500%, 02/01/24 ................ 4,618,598 2,820,833 7.000%, 12/01/25 ................ 2,772,610 5,006,528 6.500%, 04/01/26 ................ 4,792,198 6,001,304 7.500%, 04/01/26 ................ 6,006,885 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 4,616,618 6.000%, 12/01/02 ................ 4,508,404 6,515,203 6.500%, 08/25/03 ................ 6,519,242 745,941 8.500%, 02/01/05 ................ 776,494 6,778,125 6.500%, 05/01/11 ................ 6,653,134 4,829,710 7.000%, 05/01/11 ................ 4,823,672 1,619,315 8.000%, 06/01/11 ................ 1,665,869 1,936,562 7.500%, 06/01/11 ................ 1,963,189 1,942,208 8.000%, 07/01/11 ................ 1,998,046 490,384 7.500%, 08/01/11 ................ 497,126 746,791 7.500%, 09/01/11 ................ 757,059 1,745,954 7.500%, 10/01/11 ................ 1,769,959 6,639,993 6.500%, 12/01/23 ................ 6,368,151 798,092 8.000%, 09/01/24 ................ 814,804 2,610,645 8.500%, 03/01/25 ................ 2,711,807 4,782,007 9.000%, 04/01/25 ................ 5,050,961 769,917 8.000%, 05/01/25 ................ 785,076 771,397 9.000%, 06/01/25 ................ 813,337 966,800 6.500%, 08/01/25 ................ 923,294 4,571,936 7.500%, 09/01/25 ................ 4,574,084 3,189,367 8.000%, 09/01/25 ................ 3,252,165 6,705,510 6.500%, 10/01/25 ................ 6,403,761 963,263 7.000%, 10/01/25 ................ 942,485 992,164 7.000%, 11/01/25 ................ 970,763 7,643,006 7.000%, 12/01/25 ................ 7,481,527 935,964 6.500%, 12/01/25 ................ 893,845 1,608,965 8.000%, 12/01/25 ................ 1,640,645 4,020,935 7.000%, 07/01/26 ................ 3,931,710 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 795,443 8.500%, 09/15/09 ................ 831,731 757,059 8.500%, 10/15/09 ................ 791,596 4,999,307 9.000%, 12/15/09 ................ 5,241,423 665,399 8.500%, 12/15/09 ................ 695,754 4,761,051 9.000%, 12/15/17 ................ 5,131,460 546,482 9.000%, 03/15/20 ................ 582,850 265,625 9.000%, 08/15/20 ................ 283,302 4,959,624 6.500%, 03/20/22 ................ 5,054,154 4,582,257 8.000%, 06/15/22 ................ 4,708,269 6,698,963 7.000%, 10/15/23 ................ 6,581,730 2,531,856 7.000%, 11/15/23 ................ 2,487,548 4,913,376 7.000%, 02/15/24 ................ 4,827,391 1,644,775 8.000%, 06/15/24 ................ 1,686,897 7,734,139 7.000%, 09/15/24 ................ 7,598,791 685,983 9.000%, 01/15/25 ................ 724,562 See notes to financial statements. -24- PAR VALUE VALUE ----- ----- MORTGAGE BACKED SECURITIES--(Continued) $ 732,525 8.500%, 05/15/25 ................ $ 759,760 2,676,577 8.500%, 06/15/25 ................ 2,777,016 1,814,847 8.000%, 08/15/25 ................ 1,852,831 6,822,732 7.500%, 12/15/25 ................ 6,829,077 10,000,085 7.500%, 05/15/26 ................ 10,003,185 RESOLUTION TRUST CORP SERIES 1992-8 (CLASS A-2) (MTGE PASS-THROUGH CERT) 252,285 8.250%, 12/25/26 ................ 251,449 ------------ 183,292,171 ------------ U.S. TREASURY SECURITIES--15.55% U.S. TREASURY BONDS 8,000,000 7.875%, 02/15/21 ................ 9,042,480 29,000,000 7.500%, 11/15/16 ................ 31,392,500 4,000,000 7.625%, 11/15/22 ................ 4,415,640 31,000,000 * 7.125%, 02/15/23 ................ 32,365,860 U.S. TREASURY NOTES 18,000,000 7.250%, 02/15/98 ................ 18,295,380 10,000,000 9.000%, 05/15/98 ................ 10,421,900 16,000,000 6.125%, 05/15/98 ................ 16,077,440 12,000,000 * 6.875%, 07/31/99 ................ 12,243,720 18,000,000 5.875%, 11/15/99 ................ 17,929,620 21,000,000 6.250%, 05/31/00 ................ 21,085,260 15,000,000 8.000%, 05/15/01 ................ 16,028,850 5,000,000 * 7.500%, 11/15/01 ................ 5,263,300 10,000,000 7.500%, 05/15/02 ................ 10,573,400 20,000,000 7.250%, 05/15/04 ................ 21,043,800 9,000,000 6.500%, 08/15/05 ................ 9,057,690 8,000,000 5.875%, 11/15/05 ................ 7,713,760 2,000,000 7.000%, 07/15/06 ................ 2,077,820 ------------ 245,028,420 ------------ TOTAL GOVERNMENT BONDS (Cost $448,987,529).................. 450,884,511 ------------ TOTAL BONDS (Cost $586,517,520)................... 587,866,463 ------------ SHARES ------- PREFERRED STOCK--0.01% HEALTHCARE--SERVICE--0.01% 1,706 AETNA, INC CV 6.25% ................. 135,413 ------------ TOTAL PREFERRED STOCK (Cost $111,530) ...................... 135,413 ------------ COMMON STOCK--61.73% AIR TRANSPORTATION--0.68% 44,700 o AMR CORP ............................ 3,939,187 63,900 DELTA AIRLINES, INC ................. 4,528,912 44,250 SOUTHWEST AIRLINES CO ............... 979,031 1,200 o U.S. AIR GROUP, INC ................. 28,050 20,300 o UAL CORP NEW ........................ 1,268,750 ------------ 10,743,930 ------------ AUTOMOTIVE & RELATED--0.92% 24,100 BANDAG, INC ......................... 1,141,737 30,600 CUMMINS ENGINE CO, INC .............. 1,407,600 124,400 ECHLIN, INC ......................... 3,934,150 23,500 FEDERAL-MOGUL CORP .................. 517,000 127,900 GENUINE PARTS CO .................... 5,691,550 46,800 GRACO, INC .......................... 1,146,600 22,000 MODINE MANUFACTURING CO ............. 588,500 ------------ 14,427,137 ------------ BANKS--5.80% 136,565 BANC ONE CORP ....................... 5,872,295 44,800 BANK OF NEW YORK CO, INC ............ 1,512,000 113,100 BANKAMERICA CORP .................... 11,281,725 13,600 BANKERS TRUST NEW YORK CORP ......... 1,173,000 39,800 BARNETT BANKS, INC .................. 1,636,775 101,800 CHASE MANHATTAN CORP NEW ............ 9,085,650 103,491 CITICORP NA ......................... 10,659,573 38,200 CORESTATES FINANCIAL CORP ........... 1,981,625 82,140 FIRST CHICAGO NBD CORP .............. 4,415,025 75,747 FIRST UNION CORP .................... 5,605,278 55,167 FLEET FINANCIAL GROUP, INC NEW ...... 2,751,454 77,500 MORGAN (J.P.) & CO, INC ............. 7,565,937 74,186 NATIONSBANK CORP .................... 7,251,681 88,600 NORWEST CORP ........................ 3,854,100 104,600 PNC BANK CORP ....................... 3,935,575 99,000 SUNTRUST BANKS, INC ................. 4,875,750 1,100 U.S. BANCORP ........................ 49,431 58,400 WACHOVIA CORP NEW ................... 3,299,600 16,824 WELLS FARGO & CO .................... 4,538,274 ------------ 91,344,748 ------------ BEVERAGES--1.80% 537,800 COCA COLA CO ........................ 28,301,725 ------------ BROADCASTERS--0.38% 6,300 COMCAST CORP (CLASS A) .............. 111,037 15,650 COMCAST CORP (CLASS A) SPL .......... 278,765 27,275 o LIBERTY MEDIA GROUP (CLASS A) ....... 779,042 13,320 o TCI SATELLITE ENTERTAINMENT (CLASS A) 131,535 146,800 o TELE-COMMUNICATIONS, INC (CLASS A) NEW ...................... 1,917,575 76,931 o VIACOM, INC (CLASS B) ............... 2,682,968 5,873 o VIACOM, INC (CLASS B) WTS 7/07/97 ... 183 3,523 o VIACOM, INC (CLASS B) WTS 7/07/99 ... 8,807 ------------ 5,909,912 ------------ BUSINESS SERVICES--0.34% 32,900 o ACNEILSEN CORP ...................... 497,612 98,700 COGNIZANT CORP ...................... 3,257,100 12,600 DELUXE CORP ......................... 412,650 6,975 DIEBOLD, INC ........................ 438,553 48,400 SENSORMATIC ELECTRONICS CORP ........ 810,700 ------------ 5,416,615 ------------ CHEMICALS--MAJOR--0.85% 94,600 AIR PRODUCTS & CHEMICALS, INC ....... 6,539,225 148,600 PRAXAIR, INC ........................ 6,854,175 ------------ 13,393,400 ------------ CHEMICALS--SPECIALTY--1.12% 26,900 BETZDEARBORN, INC ................... 1,573,650 18,420 FULLER (H.B.) CO .................... 865,740 104,400 LYONDELL PETROCHEMICAL CO ........... 2,296,800 54,500 MALLINCKRODT, INC ................... 2,404,812 70,700 NALCO CHEMICAL CORP ................. 2,554,037 9,000 NCH CORP ............................ 542,250 11,500 RAYCHEM CORP ........................ 921,437 80,462 SCHULMAN (A.), INC .................. 1,971,319 54,100 SIGMA ALDRICH CORP .................. 3,377,868 22,900 WD-40 CO ............................ 1,168,257 ------------ 17,676,170 ------------ COMMUNICATION EQUIPMENT & SERVICES--0.70% 15,900 o 360 COMMUNICATIONS CO ............... 367,687 107,082 o AIRTOUCH COMMUNICATIONS, INC ........ 2,703,820 113,900 o CISCO SYSTEMS, INC .................. 7,246,887 11,600 o DSC COMMUNICATIONS CORP ............. 207,350 57,900 o NOVELL, INC ......................... 548,240 ------------ 11,073,984 ------------ See notes to financial statements. -25- SHARES VALUE ------ ----- COMPUTER SERVICE--2.07% 92,000 AUTOMATIC DATA PROCESSING, INC ...... $ 3,944,500 67,750 COMPUTER ASSOCIATES INTERNATIONAL, INC ................. 3,370,562 21,840 o IMATION CORP ........................ 614,250 241,600 o MICROSOFT CORP ...................... 19,962,200 111,475 o ORACLE CORP ......................... 4,654,081 ------------ 32,545,593 ------------ CONGLOMERATES--1.43% 50,900 ALCO STANDARD CORP .................. 2,627,712 4,200 MARK IV INDUSTRIES, INC ............. 95,025 220,400 MINNESOTA MINING & MANUFACTURING CO ................... 18,265,650 70,600 WHITMAN CORP ........................ 1,614,975 ------------ 22,603,362 ------------ COSMETICS--1.08% 68,600 AVON PRODUCTS, INC .................. 3,918,775 136,200 GILLETTE CO ......................... 10,589,550 55,600 INTERNATIONAL FLAVORS & FRAGRANCES, INC .................... 2,502,000 ------------ 17,010,325 ------------ ELECTRICAL EQUIPMENT--0.17% 33,100 GRAINGER (W.W.), INC ................ 2,656,275 ------------ ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--1.98% 30,800 o ADVANCED MICRO DEVICES, INC ......... 793,100 24,400 AVNET, INC .......................... 1,421,300 10,350 BALDOR ELECTRIC CO .................. 254,868 182,600 INTEL CORP .......................... 23,909,187 47,500 MICRON TECHNOLOGY, INC .............. 1,383,437 16,093 MOLEX, INC .......................... 629,638 43,500 o NATIONAL SEMICONDUCTOR CORP ......... 1,060,312 74,568 o VISHAY INTERTECHNOLOGY, INC ......... 1,743,027 ------------ 31,194,869 ------------ ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.11% 47,200 o APPLIED MATERIALS, INC .............. 1,696,250 ------------ FINANCIAL--MISCELLANEOUS--3.25% 171,200 AMERICAN EXPRESS CO ................. 9,672,800 53,909 DEAN WITTER, DISCOVER & CO .......... 3,571,471 40,500 FEDERAL HOME LOAN MORTGAGE CORP ..... 4,460,062 353,600 FEDERAL NATIONAL MORTGAGE ASSOCIATION ............... 13,171,600 84,437 GREAT WESTERN FINANCIAL CORP ........ 2,448,673 12,800 H.F. AHMANSON & CO .................. 416,000 24,829 HOUSEHOLD INTERNATIONAL, INC ........ 2,290,475 36,800 MBNA CORP ........................... 1,527,200 82,100 MERRILL LYNCH & CO, INC ............. 6,691,150 86,200 MORGAN STANLEY GROUP, INC ........... 4,924,175 21,400 STUDENT LOAN MARKETING ASSOCIATION .. 1,992,875 ------------ 51,166,481 ------------ FOODS--2.78% 114,100 CAMPBELL SOUP CO .................... 9,156,525 74,400 CPC INTERNATIONAL, INC .............. 5,766,000 102,000 GENERAL MILLS, INC .................. 6,464,250 155,850 HEINZ (H.J.) CO ..................... 5,571,637 105,200 HERSHEY FOODS CORP .................. 4,602,500 74,200 KELLOGG CO .......................... 4,869,375 5,800 MCCORMICK & CO, INC (NON-VOTE) ...... 136,662 107,600 QUAKER OATS CO ...................... 4,102,250 56,000 WRIGLEY (WM) JR CO .................. 3,150,000 ------------ 43,819,199 ------------ HEALTHCARE--DRUGS--3.27% 48,100 o ALZA CORP ........................... 1,244,587 6,680 o ALZA CORP WTS 12/31/99 .............. 835 77,400 o AMGEN, INC .......................... 4,208,625 9,922 BERGEN BRUNSWIG CORP (CLASS A) ...... 282,777 24,600 o FOREST LABORATORIES, INC ............ 805,650 36,800 o GENZYME CORP (GENERAL DIVISION) ..... 800,400 2,484 o GENZYME CORP (TISSUE REPAIR DIVISION) ........... 17,698 23,400 IVAX CORP ........................... 239,850 56,400 MCKESSON CORP NEW ................... 3,158,400 351,100 MERCK & CO, INC ..................... 27,824,675 34,500 MYLAN LABORATORIES, INC ............. 577,875 189,800 SCHERING-PLOUGH CORP ................ 12,289,550 6,680 o THERAPEUTIC DISCOVERY CORP (CLASS A).. 74,315 ------------ 51,525,237 ------------ HEALTHCARE--HOSPITAL SUPPLY--1.79% 218,800 BECTON DICKINSON & CO ............... 9,490,450 377,000 JOHNSON & JOHNSON CO ................ 18,755,750 ------------ 28,246,200 ------------ HEALTHCARE--OTHER--0.49% 31,400 ALLERGAN, INC ....................... 1,118,625 25,600 BAUSCH & LOMB, INC .................. 896,000 6,500 BIOMET, INC ......................... 98,312 28,600 HILLENBRAND INDUSTRIES, INC ......... 1,036,750 62,600 MEDTRONIC, INC ...................... 4,256,800 8,400 o ST. JUDE MEDICAL, INC ............... 358,050 ------------ 7,764,537 ------------ HEALTHCARE--SERVICE--0.54% 174,955 COLUMBIA/HCA HEALTHCARE CORP ........ 7,129,416 9,400 o HUMANA, INC ......................... 179,775 55,900 o TENET HEALTHCARE CORP ............... 1,222,812 ------------ 8,532,003 ------------ HOUSEHOLD--DURABLE GOODS--0.32% 65,400 NEWELL COS, INC ..................... 2,060,100 63,400 WHIRLPOOL CORP ...................... 2,956,025 ------------ 5,016,125 ------------ HOUSEHOLD--PRODUCTS--2.31% 66,100 CLOROX CO ........................... 6,634,787 60,100 COLGATE PALMOLIVE CO ................ 5,544,225 206,800 PROCTER & GAMBLE CO ................. 22,231,000 90,300 RUBBERMAID, INC ..................... 2,054,325 ------------ 36,464,337 ------------ INSURANCE--LIFE--0.00% 329 CONSECO, INC ........................ 20,973 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--2.58% 97,153 ALLSTATE CORP ....................... 5,622,729 193,030 AMERICAN INTERNATIONAL GROUP, INC ... 20,895,497 49,700 CHUBB CORP .......................... 2,671,375 3,500 o CNA FINANCIAL CORP .................. 374,500 14,900 GENERAL REINSURANCE CORP ............ 2,350,475 1,400 SAFECO CORP ......................... 55,212 25,000 TRANSAMERICA CORP ................... 1,975,000 147,888 TRAVELERS GROUP, INC ................ 6,710,418 ------------ 40,655,206 ------------ See notes to financial statements. -26- SHARES VALUE ------ ----- LEISURE TIME--1.13% 194,475 DISNEY (WALT) CO .................... $ 13,540,321 38,600 HASBRO, INC ......................... 1,500,575 101,091 MATTEL, INC ......................... 2,805,275 ------------ 17,846,171 ------------ MACHINERY--0.82% 106,200 DEERE & CO .......................... 4,314,375 56,000 ILLINOIS TOOL WORKS, INC ............ 4,473,000 87,500 KEYSTONE INTERNATIONAL, INC ......... 1,760,937 25,900 NORDSON CORP ........................ 1,651,125 14,880 TIMKEN CO ........................... 682,620 ------------ 12,882,057 ------------ METALS--ALUMINUM--0.19% 88,200 o ALUMAX, INC ......................... 2,943,675 ------------ METALS--GOLD--0.28% 285,100 SANTA FE PACIFIC GOLD CORP .......... 4,383,412 ------------ METALS--STEEL--0.42% 27,600 BIRMINGHAM STEEL CORP ............... 524,400 45,750 HANNA (M.A.) CO ..................... 1,000,781 64,100 NUCOR CORP .......................... 3,269,100 98,850 WORTHINGTON INDUSTRIES, INC ......... 1,791,656 ------------ 6,585,937 ------------ OFFICE EQUIPMENT--3.51% 48,300 o APPLE COMPUTER, INC ................. 1,008,262 92,000 AVERY DENNISON CORP ................. 3,254,500 68,900 o COMPAQ COMPUTER CORP ................ 5,115,825 258,000 HEWLETT-PACKARD CO .................. 12,964,500 135,900 INTERNATIONAL BUSINESS MACHINES CORP ....................... 20,520,900 54,900 PITNEY BOWES, INC ................... 2,992,050 49,300 o SUN MICROSYSTEMS, INC ............... 1,266,393 84,200 o TANDEM COMPUTERS, INC ............... 1,157,750 133,900 XEROX CORP .......................... 7,046,487 ------------ 55,326,667 ------------ PAPER--1.11% 149,400 CONSOLIDATED PAPERS, INC ............ 7,339,275 135,500 SONOCO PRODUCTS CO .................. 3,506,062 140,500 UNION CAMP CORP ..................... 6,708,875 ------------ 17,554,212 ------------ PETROLEUM--EXPLORATION & PRODUCTION--1.38% 56,800 ANADARKO PETROLEUM CORP ............. 3,677,800 41,500 APACHE CORP ......................... 1,468,062 60,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS B) ...................... 1,331,925 109,100 MURPHY OIL CORP ..................... 6,068,687 78,200 NOBLE AFFILIATES, INC ............... 3,743,825 164,400 o ORYX ENERGY CO ...................... 4,068,900 105,500 o SANTA FE ENERGY RESOURCES, INC ...... 1,463,812 ------------ 21,823,011 ------------ PETROLEUM--SERVICE--2.13% 63,000 o BJ SERVICES CO ...................... 3,213,000 40,300 CABOT CORP .......................... 1,012,537 107,900 DRESSER INDUSTRIES, INC ............. 3,344,900 5,775 o ENSCO INTERNATIONAL, INC ............ 280,087 81,700 HELMERICH & PAYNE, INC .............. 4,258,612 102,900 o NABORS INDUSTRIES, INC .............. 1,980,825 97,800 o NOBLE DRILLING CORP ................. 1,943,775 192,700 o PARKER DRILLING CO .................. 1,854,737 123,900 o ROWAN COS, INC ...................... 2,803,237 131,000 o SMITH INTERNATIONAL, INC ............ 5,878,625 32,200 TRANSOCEAN OFFSHORE, INC ............ 2,016,525 47,658 o WEATHERFORD ENTERRA, INC ............ 1,429,740 49,200 o WESTERN ATLAS, INC .................. 3,487,050 ------------ 33,503,650 ------------ PROPERTY--REAL ESTATE--0.32% 125,900 WEINGARTEN REALTY INVESTORS, INC .... 5,114,687 ------------ PUBLISHING--NEWSPAPER--0.88% 55,745 o COX COMMUNICATIONS, INC (CLASS A) NEW ...................... 1,289,103 41,000 DOW JONES & CO, INC ................. 1,388,875 77,700 GANNETT CO, INC ..................... 5,817,787 11,300 KNIGHT-RIDDER, INC .................. 432,225 13,100 NEW YORK TIMES CO (CLASS A) ......... 497,800 90,600 TIMES MIRROR CO (SERIES A) NEW ...... 4,507,350 ------------ 13,933,140 ------------ PUBLISHING--OTHER--0.60% 59,100 DUN & BRADSTREET CORP ............... 1,403,625 46,600 MCGRAW HILL COS, INC ................ 2,149,425 157,805 TIME WARNER, INC .................... 5,917,687 ------------ 9,470,737 ------------ RAILROAD--0.78% 140,400 NORFOLK SOUTHERN CORP ............... 12,285,000 ------------ RESTAURANTS & HOTELS--0.83% 102,200 DARDEN RESTAURANTS, INC ............. 894,250 217,100 MCDONALDS CORP ...................... 9,823,775 72,400 SYSCO CORP .......................... 2,362,050 ------------ 13,080,075 ------------ RETAIL--FOOD--0.32% 88,300 ALBERTSONS, INC ..................... 3,145,687 23,800 AMERICAN STORES CO NEW .............. 972,825 18,800 o KROGER CO ........................... 874,200 ------------ 4,992,712 ------------ RETAIL--GENERAL MERCHANDISE--1.81% 1,300 CVS CORP ............................ 53,787 1,000 o FEDERATED DEPARTMENT STORES, INC .... 34,125 4,200 GAP, INC ............................ 126,525 58,900 HOME DEPOT, INC ..................... 2,952,362 148,600 o K MART CORP ......................... 1,541,725 16,806 LIMITED, INC ........................ 308,810 33,600 MAY DEPARTMENT STORES CO ............ 1,570,800 53,600 PENNEY, (J.C.) CO, INC .............. 2,613,000 20,600 ROUSE CO ............................ 654,050 104,800 SEARS ROEBUCK & CO .................. 4,833,900 1,000 TANDY CORP .......................... 44,000 45,950 o TOYS R US, INC ...................... 1,378,500 492,000 WAL-MART STORES, INC ................ 11,254,500 53,600 o WOOLWORTH CORP ...................... 1,172,500 ------------ 28,538,584 ------------ TEXTILE & APPAREL--0.51% 15,800 LIZ CLAIBORNE, INC .................. 610,275 121,200 NIKE, INC (CLASS B) ................. 7,241,700 2,200 VF CORP ............................. 148,500 ------------ 8,000,475 ------------ TRUCKERS & SHIPPING--0.18% 74,400 ARNOLD INDUSTRIES, INC .............. 1,181,100 57,200 CALIBER SYSTEM, INC ................. 1,101,100 21,100 ROADWAY EXPRESS, INC ................ 408,812 3,400 RYDER SYSTEM, INC ................... 95,625 ------------ 2,786,637 ------------ See notes to financial statements. -27- SHARES VALUE ------ ----- UTILITIES--ELECTRIC--1.70% 32,500 IDAHO POWER CO ...................... $ 1,011,562 104,700 LOUISVILLE GAS & ELECTRIC ENERGY CORP ............. 2,565,150 118,700 NIPSCO INDUSTRIES, INC .............. 4,703,487 33,000 OKLAHOMA GAS & ELECTRIC CO .......... 1,377,750 136,900 PACIFICORP .......................... 2,806,450 279,800 POTOMAC ELECTRIC POWER CO ........... 7,204,850 122,800 PUGET SOUND POWER & LIGHT CO ........ 2,947,200 174,600 TECO ENERGY, INC .................... 4,212,225 ------------ 26,828,674 ------------ UTILITIES--GAS & PIPELINE--1.74% 30,800 BROOKLYN UNION GAS CO ............... 927,850 20,900 COLUMBIA GAS SYSTEMS, INC ........... 1,329,762 110,600 CONSOLIDATED NATURAL GAS CO ......... 6,110,650 33,400 EL PASO NATURAL GAS CO NEW .......... 1,686,700 24,600 EQUITABLE RESOURCES, INC ............ 731,850 1,400 o IONICS, INC ......................... 67,200 18,800 MCN CORP ............................ 542,850 55,700 NICOR, INC .......................... 1,991,275 89,600 PACIFIC ENTERPRISES, INC ............ 2,721,600 9,200 PEOPLES ENERGY CORP ................. 311,650 134,900 SONAT, INC .......................... 6,947,350 105,900 WILLIAMS COS, INC ................... 3,971,250 ------------ 27,339,987 ------------ UTILITIES--TELEPHONE--4.33% 162,700 AMERITECH CORP NEW .................. 9,863,687 166,300 BELL ATLANTIC CORP .................. 10,767,925 335,000 BELLSOUTH CORP ...................... 13,525,625 89,100 MCI COMMUNICATIONS CORP ............. 2,912,456 139,300 NYNEX CORP .......................... 6,703,812 117,082 PACIFIC TELESIS GROUP CO ............ 4,302,763 176,800 SBC COMMUNICATIONS, INC ............. 9,149,400 71,500 SPRINT CORP ......................... 2,851,062 162,044 U.S. WEST COMMUNICATIONS GROUP, INC . 5,225,919 161,144 o U.S. WEST MEDIA GROUP, INC .......... 2,981,164 ------------ 68,283,813 ------------ TOTAL COMMON STOCK (Cost $623,862,859) ................. 972,707,906 ------------ PAR VALUE ------- SHORT TERM INVESTMENTS--0.31% COMMERCIAL PAPER--0.31% MERRILL LYNCH & CO, INC 4,900,000 6.500%, 01/02/97 ................ 4,898,159 ------------ TOTAL SHORT TERM INVESTMENTS (Cost $4,899,115)................... 4,898,159 ------------ ROUNDING ........................... 85 ------------ TOTAL PORTFOLIO (Cost $1,215,391,024)............... $1,565,608,026 ============== - ---------- o Non-income producing * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. See notes to financial statements. -28- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1996 SUMMARY BY INDUSTRY VALUE % --------- ----- BONDS CORPORATE BONDS AUTOMOTIVE & RELATED ........................ $ 43,732 0.00% BROADCASTERS ................................ 86,107 0.00 INSURANCE LIFE .............................. 12,024,787 0.30 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ....................... 107,783 0.00 METALS--STEEL ............................... 83,956 0.00 -------------- ------ TOTAL CORPORATE BONDS (Cost $14,140,649) .......................... 12,346,365 0.30 -------------- ------ TOTAL BONDS (Cost $14,140,649) ........................... 12,346,365 0.30 -------------- ------ PREFERRED STOCK AUTOMOTIVE & RELATED ........................ 2,417,148 0.06 BUSINESS SERVICES ........................... 1,068,931 0.02 COMMUNICATION EQUIPMENT & SERVICES .......... 18,778,881 0.45 HEALTHCARE--SERVICE ......................... 80,486 0.00 PUBLISHING--NEWSPAPER ....................... 1,492,722 0.04 UTILITIES--ELECTRIC ......................... 9,760,584 0.23 -------------- ------ TOTAL PREFERRED STOCK (Cost $25,574,918) ........................... 33,598,752 0.80 -------------- ------ COMMON STOCK AEROSPACE ................................... 18,670,145 0.45 AIR TRANSPORTATION .......................... 36,838,095 0.88 AUTOMOTIVE & RELATED ........................ 124,601,069 2.97 BANKS ....................................... 297,669,796 7.10 BEVERAGES ................................... 55,613,950 1.33 BROADCASTERS ................................ 57,001,321 1.36 BUSINESS SERVICES ........................... 73,461,825 1.75 CHEMICALS--MAJOR ............................ 48,064,585 1.15 CHEMICALS--SPECIALTY ........................ 15,315,117 0.37 COMMUNICATION EQUIPMENT & SERVICES .......... 179,088,950 4.27 COMPUTER SERVICE ............................ 97,856,662 2.33 CONGLOMERATES ............................... 89,477,595 2.13 CONSTRUCTION--MATERIALS & BUILDERS .......... 93,300,569 2.23 CONTAINERS .................................. 2,069,254 0.05 COSMETICS ................................... 11,916,379 0.28 ELECTRICAL EQUIPMENT ........................ 143,879,904 3.43 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED .................... 297,492,421 7.09 ELECTRICAL EQUIPMENT--INSTRUMENTS ........... 18,039,758 0.43 ENVIRONMENTAL CONTROL ....................... 3,731,850 0.09 FINANCIAL--MISCELLANEOUS .................... 52,287,565 1.25 FOODS ....................................... 54,779,172 1.31 FOREST PRODUCTS ............................. 11,898,058 0.28 HEALTHCARE--DRUGS ........................... 277,360,643 6.61 HEALTHCARE--HOSPITAL SUPPLY ................. 15,647,844 0.37 HEALTHCARE--OTHER ........................... 2,798,211 0.07 HEALTHCARE--SERVICE ......................... 137,435,910 3.27 HOUSEHOLD--CONSUMER ELECTRONICS ............. 18,939,603 0.45 HOUSEHOLD--DURABLE GOODS .................... 5,190,488 0.12 HOUSEHOLD--PRODUCTS ......................... 22,033,811 0.53 INSURANCE--BROKERS & OTHER .................. 1,346,625 0.03 INSURANCE--LIFE ............................. 12,468,404 0.30 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ....................... 104,875,403 2.50 LEISURE TIME ................................ 160,073,019 3.82 MACHINERY ................................... 97,258,133 2.32 METALS--ALUMINUM ............................ 6,580,595 0.16 METALS--GOLD ................................ 13,093,551 0.31 METALS--NON-FERROUS ......................... 24,583,596 0.59 METALS--STEEL ............................... 81,171,381 1.94 MISCELLANEOUS MATERIALS & COMMODITIES ............................... 10,955,371 0.26 OFFICE EQUIPMENT ............................ 116,010,503 2.76 PAPER ....................................... 5,654,898 0.13 PETROLEUM-- EXPLORATION & PRODUCTION .................. 41,315,232 0.99 PETROLEUM--INTEGRATED ....................... 127,475,371 3.04 PETROLEUM--SERVICE .......................... 135,572,849 3.23 PHOTOGRAPHY ................................. 5,071,800 0.12 PROPERTY--REAL ESTATE ....................... 35,744,863 0.85 PUBLISHING--NEWSPAPER ....................... 8,254,340 0.20 PUBLISHING--OTHER ........................... 22,562,667 0.54 RAILROAD .................................... 45,629,010 1.09 RESTAURANTS & HOTELS ........................ 31,059,942 0.74 RETAIL--FOOD ................................ 26,979,531 0.64 RETAIL--GENERAL MERCHANDISE ................. 114,765,792 2.74 TEXTILE & APPAREL ........................... 22,076,781 0.53 TOBACCO ..................................... 155,417,587 3.71 TRADING COMPANIES ........................... 12,507,269 0.30 TRUCKERS & SHIPPING ......................... 29,134,432 0.69 UTILITIES--ELECTRIC ......................... 89,698,724 2.14 UTILITIES--GAS & PIPELINE ................... 20,421,288 0.49 UTILITIES--OTHER ............................ 5,123,290 0.12 UTILITIES--TELEPHONE ........................ 184,685,541 4.40 -------------- ------ TOTAL COMMON STOCK (Cost $3,474,939,636) ........................ 4,010,028,338 95.63 -------------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ............................ 133,392,623 3.18 U.S. GOVERNMENTS & AGENCIES ................. 183,673,224 4.38 U.S. TREASURY BILLS ......................... 40,676,457 0.97 -------------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $357,844,325) .......................... 357,742,304 8.54 -------------- ------ ROUNDING .................................... 461 0.00 -------------- ------ TOTAL PORTFOLIO (Cost $3,872,499,528) ........................ 4,413,716,220 105.26 OTHER ASSETS & LIABILITIES, NET ............ (220,539,302) (5.26) -------------- ------ NET ASSETS .................................... $4,193,176,918 100.00% ============== ====== See notes to financial statements. -29- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1996 SUMMARY BY COUNTRY VALUE % ------- ---- DOMESTIC: UNITED STATES ..................... $1,929,921,621 43.73% -------------- ------ TOTAL DOMESTIC ...................... 1,929,921,621 43.73 -------------- ------ FOREIGN: AUSTRALIA ......................... 36,685,881 0.83 AUSTRIA ........................... 2,769,089 0.06 BELGIUM ........................... 14,647,000 0.33 CANADA ............................ 94,501,809 2.14 DENMARK ........................... 11,390,604 0.26 FINLAND ........................... 6,583,445 0.15 FRANCE ............................ 142,772,792 3.23 GERMANY ........................... 146,541,973 3.32 HONG KONG ......................... 50,374,995 1.14 INDONESIA ......................... 21,292,551 0.48 IRELAND ........................... 2,600,522 0.06 ITALY ............................. 101,534,769 2.30 JAPAN ............................. 406,765,175 9.22 MALAYSIA .......................... 41,210,334 0.93 NETHERLANDS ....................... 220,913,357 5.01 NEW ZEALAND ....................... 4,217,908 0.10 NORWAY ............................ 52,604,025 1.19 SINGAPORE ......................... 18,862,723 0.43 SOUTH AFRICA ...................... 12,024,787 0.27 SPAIN ............................. 28,735,376 0.65 SWEDEN ............................ 171,228,884 3.88 SWITZERLAND ....................... 222,656,933 5.04 UNITED KINGDOM .................... 315,137,363 7.14 -------------- ------ TOTAL FOREIGN ....................... 2,126,052,295 48.16 -------------- ------ TOTAL SHORT TERM .................... 357,742,304 8.11 -------------- ------ TOTAL PORTFOLIO ..................... $4,413,716,220 100.00% ============== ====== See notes to financial statements. -30- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1996 PAR VALUE VALUE ----- ----- BONDS--0.30% CORPORATE BONDS--0.30% AUTOMOTIVE & RELATED--0.00% MICHELIN S.A. CV 743(1) 2.500%, 1/01/01 ................. $ 43,732 ------------ BROADCASTERS--0.00% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 89,000 8.000%, 07/07/06 ................ 86,107 ------------ INSURANCE--LIFE--0.30% LIBERTY LIFE INTERNATIONAL CV 10,665,000(2) 6.500%, 09/30/04 ................ 12,024,787 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.00% AXA S.A. CV 1,531(1) 4.500%, 01/01/99 ................ 107,783 ------------ METALS--STEEL--0.00% ~ PREUSSAG AG. (W/W) 113(3) 5.750%, 05/17/01 ................ 83,956 ------------ TOTAL CORPORATE BONDS (Cost $14,140,649)................... 12,346,365 ------------ TOTAL BONDS (Cost $14,140,649) ................... 12,346,365 ------------ - ---------- (1) Denominated in French Francs (2) Denominated in South African Rand (3) Denominated in Deutsche Marks SHARES ------ PREFERRED STOCK--0.80% AUTOMOTIVE & RELATED--0.06% 7,533 VOLKSWAGEN AG ....................... 2,417,148 ------------ BUSINESS SERVICES--0.02% 7,662 SAP AG .............................. 1,068,931 ------------ COMMUNICATION EQUIPMENT & SERVICES--0.45% 190,000 MFS COMMUNICATIONS CO, INC .......... 17,337,500 24,900 o NOKIA AB OY SERIES A ................ 1,441,381 ------------ 18,778,881 ------------ HEALTHCARE--SERVICE--0.00% 1,014 AETNA, INC CV 6.25% ................. 80,486 ------------ PUBLISHING--NEWSPAPER--0.04% 335,588 NEWS CORP LTD (LTD-VTG) ............. 1,492,722 ------------ UTILITIES--ELECTRIC--0.23% 289,270 RHEIN-WESTFALEN ELECTRIC AG ......... 9,760,584 ------------ TOTAL PREFERRED STOCK (Cost $25,574,918) .................... 33,598,752 ------------ COMMON STOCK--95.63% AEROSPACE--0.45% 44,713 BOEING CO ........................... 4,756,345 176,480 BRITISH AEROSPACE PLC ............... 3,865,730 5,868 o BRITISH AEROSPACE PLC WTS 11/15/00 .. 76,167 14,000 COBHAM GROUP PLC .................... 146,743 14,500 EG & G, INC ......................... 291,812 2,500 GENERAL DYNAMICS CORP ............... 176,250 62,000 MCDONNELL DOUGLAS CORP .............. 3,968,000 140,650 ROLLS ROYCE LTD ..................... 619,787 2,834 SAGEM S.A ........................... 1,706,243 22,433 SMITHS INDUSTRIES PLC ............... 307,500 68,200 SPAR AEROSPACE LTD .................. 624,432 65,831 THOMSON-CSF ......................... 2,131,136 ------------ 18,670,145 ------------ AIR TRANSPORTATION--0.88% 80,800 o AIR CANADA, INC ..................... 365,477 1,575,000 o AIRTOURS PLC ........................ 21,899,292 14,000 ALL NIPPON AIRWAYS CO LTD ........... 105,413 29,000 o AMR CORP ............................ 2,555,625 344,190 BRITISH AIRWAYS PLC ................. 3,566,469 12,600 DELTA AIRLINES, INC ................. 893,025 100 o FEDERAL EXPRESS CORP ................ 4,450 164,000 o JAPAN AIRLINES CO LTD ............... 868,908 136,700 LUFTHANSA AG ........................ 1,862,759 620,000 MALAYSIAN AIRLINE SYSTEM BERHAD ..... 1,607,997 277,000 SINGAPORE INTERNATIONAL AIRLINES LTD (FR) ................. 2,514,939 200 o SWISS AIR TRANSPORT CO (REGD) ....... 161,304 18,500 o U.S. AIR GROUP, INC ................. 432,437 ------------ 36,838,095 ------------ AUTOMOTIVE & RELATED--2.97% 1,001,700 AUTOLIV AB .......................... 43,864,787 170 o BAYERISCHE MOTOREN WERKE AG ......... 118,363 95,837 BBA GROUP PLC ....................... 580,580 215,000 BRIDGESTONE CORP .................... 4,074,895 79,508 CHRYSLER CORP ....................... 2,623,764 54,620 CONTINENTAL AG ...................... 981,749 12,000 CUMMINS ENGINE CO, INC .............. 552,000 38,000 DAIHATSU MOTOR CO LTD ............... 201,332 136,210 o DAIMLER BENZ AG ..................... 9,368,799 244,000 DENSO CORP .......................... 5,864,747 6,100 EATON CORP .......................... 425,475 326,000 FIAT S.P.A .......................... 984,591 89,067 GENERAL MOTORS CORP ................. 4,965,485 52,300 GOODYEAR TIRE & RUBBER CO ........... 2,686,912 111,396 GUEST KEEN NETTLEFOLDS LTD .......... 1,908,226 20,900 HARLEY DAVIDSON, INC ................ 982,300 211,000 HONDA MOTOR CO LTD .................. 6,016,802 8,100 LAIRD GROUP PLC ..................... 55,168 41,678 LEX SERVICE GROUP LTD ............... 226,808 228,967 o LUCASVARITY PLC ..................... 871,824 45,000 o MAZDA MOTOR CORP .................... 160,497 37,083 MICHELIN S.A. (CLASS B) ............. 1,997,950 748,000 NISSAN MOTOR CO LTD ................. 4,330,381 9,100 PEUGEOT S.A ......................... 1,022,235 613,200 PIRELLI S.P.A ....................... 1,135,811 224,600 T & N PLC ........................... 666,861 759,645 TOYOTA MOTOR CORP ................... 21,792,657 18,400 VALEO S.A ........................... 1,132,568 8,677 VOLKSWAGEN AG ....................... 3,603,451 63,700 VOLVO AB SERIES B FREE .............. 1,404,051 ------------ 124,601,069 ------------ See notes to financial statements. -31- SHARES VALUE ------ ----- BANKS--7.10% 485,981 ABBEY NATIONAL PLC .................. $ 6,362,193 113,500 ABN-AMRO HOLDINGS NV ................ 7,375,078 126,700 o ALLIED IRISH BANKS PLC .............. 849,181 42,800 ARGENTARIA S.A ...................... 1,911,759 513,000 ASAHI BANK LTD ...................... 4,552,079 464,000 ASHIKAGA BANK LTD ................... 2,234,524 1,420,000 ASSA ABLOY AB SERIES B .............. 25,787,972 20,000 AUSTRALIAN & NEW ZEALAND BANKING GROUP LTD ................... 125,975 52,601 BANC ONE CORP ....................... 2,261,843 86,600 BANCA COMMERCIALE ITALIANA S.P.A .... 157,272 52,000 BANCA POPOLARE DI MILANO ............ 263,463 21,600 BANCO BILBAO VIZCAYA S.A. (REGD) .... 1,164,086 17,180 BANCO CENTRALE HISPANOAMERICANO S.A ............... 440,486 36,400 BANCO SANTANDER S.A ................. 2,325,496 12,700 BANK AUSTRIA AG ..................... 937,310 9,700 BANK OF MONTREAL .................... 308,542 44,677 BANK OF NOVA SCOTIA ................. 1,494,447 1,032,747 BANK OF TOKYO MITSUBISHI LTD ........ 19,128,798 135,000 BANK OF YOKOHAMA LTD ................ 872,268 56,857 BANKAMERICA CORP .................... 5,671,485 47,588 BANKBOSTON CORP ..................... 3,057,529 16,100 BANKERS TRUST NEW YORK CORP ......... 1,388,625 48,552 BANQIE DE PARIBAS S.A ............... 3,277,081 68,738 BANQUE NATIONALE DE PARIS ........... 2,654,955 327,852 BARCLAYS PLC ........................ 5,613,336 132,800 BAYERISCHE VEREINSBANK AG ........... 5,446,082 60,790 CANADIAN IMPERIAL BANK OF COMMERCE .. 2,680,932 133,000 CHIBA BANK LTD ...................... 905,178 198,034 CITICORP CO ......................... 20,397,502 32,600 COMERICA, INC ....................... 1,707,425 3,750 o COMMERZBANK AG ...................... 95,143 21,400 o COMMONWEALTH BANK OF AUSTRALIA LTD ...................... 204,656 37,467 COMPAGNIE DE SUEZ S.A ............... 1,589,831 49,300 CORESTATES FINANCIAL CORP ........... 2,557,437 5,429 CREDIT NATIONAL S.A ................. 312,030 5,200 CREDITANSTALT-BAVKVEREIN (STAMM) .... 351,639 29,247 CS HOLDINGS (REGD) .................. 2,994,835 18,000 DAI-ICHI KANGO BANK LTD ............. 258,966 15,000 o DAIWA BANK LTD ...................... 78,181 187,530 DEUTSCHE BANK AG .................... 8,749,207 63,000 DEVELOPMENT BANK OF SINGAPORE LTD (FR) ................. 851,229 4,500 DRESDNER BANK AG .................... 134,611 78,850 FIRST CHICAGO NBD CORP .............. 4,238,187 62,630 FIRST UNION CORP .................... 4,634,620 71,226 FLEET FINANCIAL GROUP, INC NEW ...... 3,552,396 609,000 FUJI BANK LTD ....................... 8,866,644 130,000 GUNMA BANK LTD ...................... 1,131,149 505,600 HANG SENG BANK LTD .................. 6,144,308 638,000 HOKURIKU BANK LTD ................... 3,121,938 103,787 HSBC HOLDINGS LTD ................... 2,220,644 236,977 HSBC HOLDINGS LTD (HONG KONG) ....... 5,158,452 201,186 HSBC HOLDINGS LTD (UNITED KINGDOM) .. 4,496,422 485,190 INDUSTRIAL BANK OF JAPAN LTD ........ 8,401,622 325,300 INSTITUTO BANCARIO SAN PAOLO DI TURINO ................ 1,990,640 255,100 ISTITUTO MOBILIARE ITALIANO S.P.A ... 2,182,125 116,215 JOYO BANK ........................... 698,832 47,000 KEYCORP NEW ......................... 2,373,500 1,160,345 LLOYDS TSB GROUP PLC ................ 8,548,431 4,000 o LONG TERM CREDIT BANK OF JAPAN LTD .. 21,606 428,400 MALAYAN BANKING BERHAD .............. 4,749,631 88,500 MALAYAN BANKING BERHAD (SINGAPORE) .. 949,027 168,300 MEDIOBANCA S.P.A .................... 906,418 52,500 o MERITA LTD .......................... 162,887 254,000 MITSUBISHI TRUST & BANKING CORP ..... 3,391,725 377,000 MITSUI TRUST & BANKING CO LTD ....... 2,939,308 39,730 MORGAN (J.P.) & CO, INC ............. 3,878,641 171,800 NATIONAL AUSTRALIA BANK LTD ......... 2,019,618 70,400 NATIONAL BANK OF CANADA ............. 711,344 14,300 NATIONAL CITY CORP .................. 641,712 16,600 o NATIONAL WESTMINSTER BANK PLC ....... 194,733 60,423 NATIONSBANK CORP .................... 5,906,348 22,700 NORWEST CORP ........................ 987,450 104,818 OVERSEAS-CHINESE BANKING CORP LTD (FR) .............. 1,303,854 89,100 PNC BANK CORP ....................... 3,352,387 51,000 PUBLIC BANK BERHAD (FR) ............. 108,037 98,900 ROYAL BANK OF CANADA ................ 3,470,554 690 ROYAL BANK OF SCOTLAND PLC .......... 6,653 715,000 SAKURA BANK LTD ..................... 5,100,252 5,000 SANWA BANK LTD ...................... 68,058 118,000 SEVENTY-SEVEN (77) BANK LTD ......... 965,741 128,000 SHIZUOKA BANK LTD ................... 1,356,345 1,977 SIGNET BANKING CORP ................. 60,792 93,600 SKANDINAVISKA ENSKILDA BANKEN SERIES A ........... 959,579 73,438 SOCIETE GENERALE S.A ................ 7,924,655 16,100 STADSHYPOTEK AB SERIES A ............ 440,935 9,500 STANDARD CHARTERED PLC .............. 116,890 598,000 SUMITOMO BANK LTD ................... 8,603,455 13,000 SUMITOMO TRUST & BANKING CO LTD ..... 129,914 3,600 SUNTRUST BANKS, INC ................. 177,300 26,700 o SVENSKA HANDELSBANKEN SERIES A ...... 766,433 13,058 SWISS BANK CORP (REGD) .............. 2,474,875 5,025 o SWISS BANK CORP (REGD) WTS 6/30/00 .. 13,846 490,000 TOKAI BANK LTD ...................... 5,107,833 4,229 UNION BANK OF SWITZERLAND (BR) ...... 3,694,235 11,000 UNITED OVERSEAS BANK LTD (FR) ....... 122,676 22,400 WASHINGTON MUTUAL, INC .............. 970,200 7,716 WELLS FARGO & CO .................... 2,081,391 346,100 WESTPAC BANKING CORP ................ 1,968,335 372,000 YASUDA TRUST & BANKING CO LTD ....... 1,573,546 ------------ 297,669,796 ------------ BEVERAGES--1.33% 10,100 ALLIED DOMECQ PLC ................... 78,902 63,000 ANHEUSER BUSCH COS, INC ............. 2,520,000 588,732 ARTHUR GUINESS & SONS PLC ........... 4,609,299 162,000 ASAHI BREWERIES LTD ................. 1,674,756 164,430 BASS LTD ............................ 2,310,204 1,284 o BRAU UND BRUNNEN AG ................. 87,149 24,500 o CADBURY SCHWEPPS PLC AUSTRALIA ...... 196,549 15,100 CARLSBERG BREWERIES AS (CLASS A) .... 1,018,799 1,264 COCA COLA CO ........................ 66,518 29,500 COCA-COLA AMATIL LTD ................ 315,158 64,700 o EL AGUILA S.A ....................... 309,888 422,116 GRAND METROPOLITAN PLC .............. 3,315,665 18,800 HEINEKEN NV ......................... 3,323,531 4,948 HOLSTEN BRAUEREI AG ................. 1,091,635 156,000 KIRIN BREWERY CO LTD ................ 1,532,091 357,400 LION NATHAN LTD ..................... 856,106 7,830 LVMH MOET HENNESSY LOUIS VUITTON .... 2,182,362 743,490 PEPSICO, INC ........................ 21,747,082 3,036 PERNOD-RICARD S.A ................... 167,602 127,000 SAPPORO BREWERIES LTD ............... 1,050,340 239,059 SCOTTISH & NEWCASTLE PLC ............ 2,808,482 98,400 SEAGRAMS CO LTD ..................... 3,894,505 34,000 o WHITBREAD PLC ....................... 457,327 ------------ 55,613,950 ------------ See notes to financial statements. -32- SHARES VALUE ------ ----- BROADCASTERS--1.36% 146,000 BRITISH SKY BROADCASTING GROUP PLC .. $ 1,304,215 13,990 CANAL PLUS S.A ...................... 3,083,891 367,700 o MEDIASET S.P.A ...................... 1,693,626 105,800 o ROGERS COMMUNICATIONS INC (CLASS B) .......................... 779,586 15,020 o TCI SATELLITE ENTERTAINMENT (CLASS A) .......................... 148,322 129,500 o TELE METROPOLE, INC (CLASS B) ....... 1,691,142 150,200 o TELE-COMMUNICATIONS, INC (CLASS A) NEW .... ................. 1,961,987 80,000 TOKYO BROADCASTING SYSTEMS, INC ..... 1,219,884 25,060 o VIACOM, INC (CLASS B) ............... 873,967 2,557 o VIACOM, INC (CLASS B) WTS 7/07/97 ... 79 1,534 o VIACOM, INC (CLASS B) WTS 7/07/99 ... 3,835 2,661,100 +o WESTWOOD ONE, INC ................... 44,240,787 ------------ 57,001,321 ------------ BUSINESS SERVICES--1.75% 266 o ACNEILSEN CORP ...................... 4,023 7,574 o ADECCO S.A .......................... 1,912,875 3,710 ADECCO S.A. (BR) .................... 928,329 10,200 BLOCK (H&R), INC .................... 295,800 10,100 o BRITISH AIRPORT AUTHORITIES PLC ..... 84,087 54,600 COGNIZANT CORP ...................... 1,801,800 41,000 o DAIWA KOSHO LEASE CO LTD ............ 314,361 25,900 DELUXE CORP ......................... 848,225 10,361 ELECTROCOMPONENTS PLC ............... 81,916 21,200 ESSELTE AB SERIES B FREE ............ 468,834 763,636 GETRONICS NV ........................ 20,704,450 26,000 INTERPUBLIC GROUP OF COS, INC ....... 1,235,000 19,600 INTERNATIONAL SERVICE SYSTEM AS SERIES B ........................... 515,010 38,900 MOORE CORP LTD ...................... 805,982 14,600 PITTSTON BRINKS GROUP CO ............ 394,200 63,950 PROSEGUR COMPANIA DE SEGURIDAD S.A ...................... 589,977 4,613,800 RENTOKIL INITIAL PLC ................ 34,661,666 226,160 REUTERS HOLDINGS PLC ................ 2,908,512 8,528 SAP AG .............................. 1,159,311 13,000 SECOM CO LTD ........................ 785,084 20,100 SECURITAS AB SERIES B FREE .......... 584,337 4,000 o SURVEILLANCE SA, SOCIETE DE ......... 1,751,564 36,000 TOKYO DOME CORP ..................... 626,482 ------------ 73,461,825 ------------ CHEMICALS--MAJOR--1.15% 13,600 AGA AB SERIES A FREE ................ 205,155 149,500 AGA AB SERIES B FREE ................ 2,233,307 34,000 AKZO NOBEL NV ....................... 4,638,690 37,000 BASF AG ............................. 1,423,242 123,640 BAYER AG ............................ 5,038,342 67,146 BOC GROUP PLC ....................... 1,003,712 7,400 COURTAULDS PLC ...................... 49,831 2,614 DEGUSSA AG .......................... 1,181,396 58,002 DOW CHEMICAL CO ..................... 4,545,906 86,419 DU PONT (E.I.) DE NEMOURS & CO ...... 8,155,793 18,300 DYNO INDUSTRIER AS .................. 464,277 23,775 EASTMAN CHEMICAL CO ................. 1,313,568 5,500 HOECHST AG .......................... 259,457 90,900 ICI AUSTRALIA LTD ................... 985,555 111,626 IMPERIAL CHEMICAL INDUSTRY PLC ...... 1,468,031 4,951 ~o L'AIR LIQUIDE S.A. (REGD) ........... 771,388 265,737 MITSUBISHI CHEMICAL CORP ............ 858,496 215,000 MITSUBISHI GAS CHEMICAL CO, INC ..... 772,377 58,600 MONSANTO CO ......................... 2,278,075 1,529,950 o MONTEDISON S.P.A .................... 1,040,935 70,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD .. 518,623 51,500 PPG INDUSTRIES, INC ................. 2,890,437 3,200 RHONE-POULENC S.A. (CLASS A) ........ 108,886 4,700 ROHM & HAAS CO ...................... 383,637 4,425 SOLVAY ET CIE S.A ................... 2,706,054 384,000 SUMITOMO CHEMICAL CO LTD ............ 1,518,445 29,000 UBE INDUSTRIES LTD .................. 81,945 28,600 UNION CARBIDE CORP .................. 1,169,025 ------------ 48,064,585 ------------ CHEMICALS--SPECIALTY--0.37% 8,500 o AGRIUM INC .......................... 115,962 218,000 ASAHI CHEMICAL INDUSTRY CO LTD ...... 1,232,013 161,000 DAICEL CHEMICAL INDUSTRIES LTD ...... 753,149 29,000 DAINIPPON INK & CHEMICAL, INC ....... 107,179 43,800 ENGELHARD CORP ...................... 837,675 154,000 KANEKA CORP ......................... 786,739 89,000 KANSAI PAINT CO LTD ................. 398,702 79,000 KUREHA CHEMICAL INDUSTRY CO LTD ..... 315,110 1,800 LUBRIZOL CORP ....................... 55,800 23,600 MALLINCKRODT, INC ................... 1,041,350 39,100 o METHANEX CORP ....................... 355,143 54,900 NOVA CORP ........................... 486,638 11,800 POTASH CORP OF SASKATCHEWAN, INC .... 1,004,639 13,200 RAYCHEM CORP ........................ 1,057,650 6,550 RWE-DEA AG FUER MINERAL & CHEMICAL .. 1,687,333 249,000 SEKISUI CHEMICAL CO LTD ............. 2,509,807 141,395 SHIN-ETSU CHEMICAL CO LTD ........... 2,570,228 ------------ 15,315,117 ------------ COMMUNICATION EQUIPMENT & SERVICES--4.27% 183 o 360 COMMUNICATIONS CO ............... 4,231 7,620 o AIRTOUCH COMMUNICATIONS, INC ........ 192,405 279,600 o CISCO SYSTEMS, INC .................. 17,789,550 60,200 CORNING, INC ........................ 2,784,250 25,100 o DSC COMMUNICATIONS CORP ............. 448,662 204,000 ERICSSON TELEFON (LM) AB SERIES B ... 6,304,052 270,000 o GLOBALSTAR TELECOMMUNICATIONS LTD ... 17,010,000 12,300 HARRIS CORP ......................... 844,087 64,875 o LUCENT TECHNOLOGIES, INC ............ 3,000,468 2,000,967 o MFS COMMUNICATIONS CO, INC .......... 109,052,701 48,700 o NEWBRIDGE NETWORKS CORP ............. 1,380,312 41,600 NOKIA AB SERIES K ................... 2,400,870 64,000 NORTHERN TELECOMMUNICATIONS LTD ..... 3,978,112 5,000 o QUALCOMM, INC ....................... 199,375 460,500 o SFX BROADCASTING, INC (CLASS A) ..... 13,699,875 ------------ 179,088,950 ------------ COMPUTER SERVICE--2.33% 20,800 ADOBE SYSTEMS, INC .................. 777,400 80,400 AUTOMATIC DATA PROCESSING, INC ...... 3,447,150 32,550 o BAY NETWORKS, INC ................... 679,481 962,000 o CHECKFREE CORP ...................... 16,474,250 458,450 COMPUTER ASSOCIATES INTERNATIONAL, INC ................. 22,807,887 26,000 CSK CORP ............................ 680,929 110,200 ELECTRONIC DATA SYSTEMS CORP ........ 4,766,150 19,600 FIRST DATA CORP ..................... 715,400 725,000 o FRONTEC AB SERIES B ................. 12,529,310 See notes to financial statements. -33- SHARES VALUE ------ ----- COMPUTER SERVICE--(CONTINUED) 683,900 o LEARNING CO, INC .................... $ 9,831,062 156,800 o MICROSOFT CORP ...................... 12,955,600 292,025 o ORACLE CORP ......................... 12,192,043 ------------ 97,856,662 ------------ CONGLOMERATES--2.13% 37,100 o AGIV AG ............................. 536,843 4,600 ALCO STANDARD CORP .................. 237,475 30,600 BRASCAN LTD (CLASS A) ............... 680,892 772,860 BTR PLC ............................. 3,756,170 4,681 o BTR PLC WTS 11/30/97 ................ 2,683 5,147 o BTR PLC WTS 11/26/98 ................ 572 21,000 o CITIC PACIFIC LTD ................... 121,900 29,748 GEVAERT PHOTO-PRODUCTION NV ......... 2,060,358 2,000 GROUPE BRUXELLES LAMBERT S.A ........ 257,207 1,691,897 HANSON PLC .......................... 2,359,704 723,000 HUTCHINSON WHAMPOA LTD .............. 5,678,356 36,700 ITT INDUSTRIES, INC ................. 899,150 11,200 JOHNSON CONTROLS, INC ............... 928,200 209,000 KEPPEL CORP ......................... 1,628,609 25,822 LAGARDERE S.C.A ..................... 707,288 25,298 o LAGARDERE S.C.A. WTS 6/30/97 ........ 25,790 13,100 o LITTON INDUSTRIES, INC .............. 623,887 462,500 LOEWS CORP .......................... 43,590,625 169,566 LONRHO PLC .......................... 361,271 2,532,000 MALAYAN UNITED INDUSTRIES BERHAD .... 1,884,837 37,100 MELCO INTERNATIONAL DEVELOPMENT LTD .................... 12,950 47,880 MINNESOTA MINING & MANUFACTURING CO ................... 3,968,055 165,600 NOMA INDUSTRIES LTD (CLASS A) ....... 425,265 8,300 QUEBECOR, INC (CLASS B) ............. 138,666 66,000 RENONG BERHAD ....................... 117,077 14,600 o ROCKWELL INTERNATIONAL CORP NEW ..... 888,775 1,453,200 SIME DARBY BERHAD ................... 5,725,334 43,100 SOUTHCORP HOLDINGS LTD .............. 136,937 541,400 SWIRE PACIFIC LTD (CLASS A) ......... 5,162,004 10,600 TEXTRON, INC ........................ 999,050 43,400 TRW, INC ............................ 2,148,300 8,346 o U.S. INDUSTRIES, INC ................ 286,893 10,400 UNITED TECHNOLOGIES CORP ............ 686,400 26,700 VIAD CORP ........................... 440,550 52,500 WILLIAMS HOLDINGS PLC ............... 308,611 314,000 YTL CORP BERHAD ..................... 1,690,911 ------------ 89,477,595 ------------ CONSTRUCTION--MATERIALS & BUILDERS--2.23% 86,462 BARRATT DEVELOPMENTS LTD ............ 373,605 4,490 BILFINGER & BERGER AG ............... 164,612 245,700 BLUE CIRCLE INDUSTRIES PLC .......... 1,492,655 462,591 BORAL LTD ........................... 1,315,420 10,989 BOUYGUES S.A ........................ 1,137,200 108,700 BPB PLC ............................. 713,380 323,429 CARADON PLC ......................... 1,322,826 1,600 CBR NV .............................. 145,320 9,200 CENTEX CORP ......................... 346,150 1,140,400 o CHAMPION ENTERPRISES, INC ........... 22,237,800 251,000 CHICHIBU ONODA CEMENT CORP .......... 1,066,045 80,000 CHIYODA CORP ........................ 517,589 71,000 o CRH PLC ............................. 735,425 249,200 CSR LTD ............................. 870,934 59,000 DAITO TRUST CONSTRUCTION CO LTD ..... 655,687 171,000 DAIWA HOUSE INDUSTRY CO LTD ......... 2,195,015 15,400 DRAGADOS Y CONSTRUCCIONES S.A ....... 236,790 3,000 FOMENTO DE CONSTRUCCIONES Y CONTRATAS S.A ...................... 279,074 500 FORBO HOLDINGS AG. (REGD) ........... 201,072 213,000 FUJITA CORP ......................... 611,053 15,532 GTM ENTREPOSE S.A ................... 717,026 22,150 HEIDELBERGER ZEMENT AG .............. 1,789,419 68,800 HEPWORTH PLC ........................ 298,464 14,930 HOCHTIEF AG ......................... 590,960 1,500 HOLDERBANK FINANCIE RE GLARUS AG. (REGD) ............... 1,067,918 1,200 HOLLANDSCHE BETON GROEP NV (H.B.G.) . 248,283 12,457 IMETAL S.A .......................... 1,835,434 103,000 INAX CORP ........................... 761,342 75,700 ITALCEMENTI S.P.A ................... 423,390 136,400 JAMES HARDIE INDUSTRIES LTD ......... 429,036 55,000 JGC CONSTRUCTION CORP ............... 411,753 56,000 KAJIMA CORP ......................... 399,460 38,000 KANDENKO CO LTD ..................... 360,107 98,548 KINDEN CORP ......................... 1,248,016 280,000 KUMAGAI GUMI CO LTD ................. 692,301 26,000 o KYUNDENKO CO., LTD .................. 268,788 24,668 LAFARGE S.A. (BR) ................... 1,477,099 160,000 MARLEY PLC .......................... 346,367 19,300 MASCO CORP .......................... 694,800 7,800 MEYER INTERNATIONAL PLC ............. 48,253 51,000 MISAWA HOMES CO LTD ................. 355,885 1,770 o NEW WORLD INFRASTUCTURE LTD ......... 5,171 142,000 NIHON CEMENT CO LTD ................. 722,988 32,000 NISHIMATSU CONSTRUCTION CO LTD ...... 278,436 773,300 OAKWOOD HOMES CORP .................. 17,689,237 206,000 OBAYASHI CORP ....................... 1,387,807 77,000 OKUMURA CORP ........................ 467,001 4,900 OWENS CORNING CO .................... 208,862 35,000 PENTA OCEAN CONSTRUCTION CO LTD ..... 155,586 66,306 PILKINGTON PLC ...................... 177,579 161,600 PIONEER INTERNATIONAL LTD ........... 481,345 7,200 PORTLAND VALDERRIVAS S.A ............ 483,790 1,900 PULTE CORP .......................... 58,425 29,458 REDLAND PLC ......................... 184,758 618 RMC GROUP PLC ....................... 10,549 53,070 RUGBY GROUP PLC ..................... 86,277 70,000 SANKYO ALUMINIUM INDUSTRY CO LTD .... 274,990 46,129 SCHNEIDER S.A ....................... 2,128,634 264,000 SEKISUI HOUSE LTD ................... 2,683,744 19,100 SHERWIN-WILLIAMS CO ................. 1,069,600 193,000 SHIMIZU CORP ........................ 1,438,231 800 o SIKA FINANZ AG. (BR) ................ 190,646 41,200 SKANSKA AB SERIES B FREE ............ 1,819,247 14,713 ST. GOBAIN S.A ...................... 2,077,275 102,000 TAISEI CORP ......................... 527,238 351,100 TARMAC PLC .......................... 588,820 144,373 TAYLOR WOODROW PLC .................. 380,480 53,000 TOSTEM CORP ......................... 1,461,104 80,000 TOTO LTD ............................ 909,744 48,000 TOYO ENGINEERING CO ................. 214,203 34,000 UNITED ENGINEERING BERHAD ........... 306,948 115,820 URALITA S.A ......................... 903,780 11,200 VULCAN MATERIALS CO ................. 681,800 900 WIENERBERGER BAUSTOFF AG ............ 174,361 74,873 WILSON (CONNOLLY) HOLDINGS PLC ...... 212,055 224,900 WOLSELEY PLC ........................ 1,778,105 ------------ 93,300,569 ------------ CONTAINERS--0.05% 59,900 CCL INDUSTRIES, INC (CLASS B) ....... 655,504 26,000 CROWN CORK & SEAL CO, INC ........... 1,413,750 ------------ 2,069,254 ------------ See notes to financial statements. -34- SHARES VALUE ------ ----- COSMETICS--0.28% 44,800 AVON PRODUCTS, INC .................. $ 2,559,200 54,800 GILLETTE CO ......................... 4,260,700 6,900 INTERNATIONAL FLAVORS & FRAGRANCES, INC ..................... 310,500 7,420 LOREAL S.A .......................... 2,788,850 173,000 SHISEIDO & CO LTD ................... 1,997,129 ------------ 11,916,379 ------------ ELECTRICAL EQUIPMENT--3.43% 20,900 ABB AB SERIES B ..................... 2,363,038 34,090 ABB ASEA BROWN BOVERI LTD (BR) ...... 42,269,798 2,000 ADVANTEST CORP ...................... 93,558 24,487 ALCATEL ALSTHOM CIE GEN ............. 1,963,179 109,000 AMCOL HOLDINGS LTD .................. 204,160 8,500 o AMERICAN POWER CONVERSION CORP ...... 231,625 436 BICC LTD ............................ 2,066 56,360 DELTA PLC ........................... 368,916 487,000 FUJITSU LTD ......................... 4,531,145 242,764 GENERAL ELECTRIC CO ................. 24,003,290 606,181 GENERAL ELECTRIC CO (UNITED KINGDOM) 3,962,705 5,500 GENERAL SIGNAL CORP ................. 235,125 795,000 HITACHI LTD ......................... 7,396,839 511,000 MITSUBISHI ELECTRIC CORP ............ 3,037,562 340,000 NIPPON ELECTRIC CORP (N.E.C.) ....... 4,100,740 21,430 NKT HOLDINGS AS ..................... 1,271,507 108,700 PHILIPS ELECTRONICS NV .............. 4,398,778 97,740 SIEMENS AG .......................... 4,598,110 211,000 SUMITOMO ELECTRIC INDUSTRIES CO ..... 2,944,779 39,000 TOKYO ELECTRON CO LTD ............... 1,192,746 31,000 o TOSHIBA CORP ........................ 194,423 1,697,200 WESTINGHOUSE ELECTRIC CORP .......... 33,731,850 91,000 YOKOGAWA ELECTRIC CORP .............. 783,965 ------------ 143,879,904 ------------ ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--7.09% 70,500 AMP, INC ............................ 2,705,437 2,300 BARCO INDUSTRIES NV ................. 396,799 31,800 o COREL CORP .......................... 234,318 167,098 FUTURIS CORP LTD .................... 228,288 1,428,174 INTEL CORP .......................... 187,001,533 130,100 o INTER-CITY PRODUCTS CORP ............ 379,659 65,000 KYOCERA CORP ........................ 4,043,019 8,550 LEGRAND S.A ......................... 1,453,834 1,108,500 MICRON TECHNOLOGY, INC .............. 32,285,062 151,000 MINEBEA CO LTD ...................... 1,259,237 60,674 MOTOROLA, INC ....................... 3,723,866 37,200 MURATA MANUFACTURING CO LTD ......... 1,233,840 47,000 NITTO DENKO CORP .................... 688,338 96,000 OMRON CORP .......................... 1,802,947 489,030 OXFORD INSTRUMENTS GROUP PLC ........ 3,514,883 71,800 RACAL ELECTRONICS PLC ............... 316,393 7,700 ROHM CO ............................. 504,149 312,500 SGL CARBON AG ....................... 39,338,774 39,000 TAIYO YUDEN CO LTD .................. 544,295 16,300 TEXAS INSTRUMENTS, INC .............. 1,039,125 402,000 o XILINX, INC ......................... 14,798,625 ------------ 297,492,421 ------------ ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.43% 74,000 ALPS ELECTRIC CO LTD ................ 803,262 22,600 o APPLIED MATERIALS, INC .............. 812,187 6,000 o ASAHI OPTICAL CO LTD ................ 23,932 158,000 CANON, INC .......................... 3,484,595 127,000 CITIZEN WATCH CO LTD ................ 908,107 167,000 FUJI PHOTO FILM CO LTD .............. 5,495,853 139,000 KONICA CORP ......................... 919,668 20,000 OLYMPUS OPTICAL CO LTD .............. 189,530 2,000 RICOH CO LTD ........................ 22,915 4,000 SEIKO CORP .......................... 24,466 9,700 TEKTRONIX, INC ...................... 497,125 249,000 TOPPAN PRINTING CO LTD .............. 3,110,445 10,000 VARIAN ASSOCIATES, INC .............. 508,750 73,000 YAMAHA CORP ......................... 1,238,923 ------------ 18,039,758 ------------ ENVIRONMENTAL CONTROL--0.09% 13,200 OGDEN CORP .......................... 247,500 106,800 WMX TECHNOLOGIES, INC ............... 3,484,350 ------------ 3,731,850 ------------ FINANCIAL--MISCELLANEOUS--1.25% 16,000 ACOM CO LTD ......................... 680,929 56,000 AMERICAN EXPRESS CO ................. 3,164,000 1,123,560 o BURE INVESTMENT AKTIEBOLAGET AB ..... 13,328,720 14,700 o CATELLUS DEVELOPMENT CORP ........... 167,212 3,793 COMPAGNIE BANCAIRE S.A .............. 447,968 31,908 COUNTRYWIDE CREDIT INDUSTRIES, INC .. 913,366 15,444 CPR-COMPAGNIE PARISIENNE DE REESCOMPTE ...................... 1,229,269 52,800 CREDIT SAISON CO LTD ................ 1,178,118 291,000 DAIWA SECURITIES CO LTD ............. 2,582,173 600 EURAFRANCE S.A ...................... 258,751 120,088 FEDERAL NATIONAL MORTGAGE ASSOCIATION ............... 4,473,278 19,000 GOLDEN WEST FINANCIAL CORP .......... 1,199,375 46,128 GREAT WESTERN FINANCIAL CORP ........ 1,337,712 5,300 HOUSEHOLD INTERNATIONAL, INC ........ 488,925 21,900 MBNA CORP ........................... 908,850 63,675 MERCURY ASSETS MANAGEMENT GROUP PLC .......................... 1,355,005 44,000 MERRILL LYNCH & CO, INC ............. 3,586,000 29,000 NIPPON SHINPAN CO LTD ............... 162,392 347,000 NOMURA SECURITIES CO LTD ............ 5,201,564 26,500 PAINE WEBBER GROUP INC .............. 745,312 276,251 PROVIDENT FINANCIAL PLC ............. 2,375,560 22,000 SALOMON, INC ........................ 1,036,750 117,791 SCHROEDERS LTD ...................... 3,053,872 8,700 SCHWAB (CHARLES) CORP ............... 278,400 481,000 YAMAICHI SECURITIES CO LTD .......... 2,134,064 ------------ 52,287,565 ------------ FOODS--1.31% 49,000 AJINOMOTO CO LTD .................... 498,119 152,886 ARCHER DANIELS MIDLAND CO ........... 3,363,492 385,340 ASSOCIATED BRITISH FOODS PLC ........ 3,194,949 1,220 AULT FOODS LTD ...................... 16,955 216,013 CADBURY SCHWEPPES LTD ............... 1,820,590 16,000 CAMPBELL SOUP CO .................... 1,284,000 47,700 CONAGRA, INC ........................ 2,373,075 8,300 CULTOR OY SERIES 2 .................. 426,795 11,000 DANISCO AS .......................... 667,581 5,371 DANONE GROUP ........................ 746,947 18,800 EBRO CIA AZUC ALCO .................. 330,261 6,738 ERIDANIA BEGHIN-SAY S.A ............. 1,082,216 53,000 EZAKI GLICO CO LTD .................. 456,595 227,334 o FINANZIARIA AUTOGRILL S.P.A ......... 219,891 3,300 GENERAL MILLS, INC .................. 209,137 17,400 o GREENCORE GROUP PLC ................. 111,319 79,150 HEINZ (H.J.) CO ..................... 2,829,612 140,000 HOUSE FOODS CORP .................... 2,255,407 15,300 o KERRY GROUP CLASS A ................. 155,371 See notes to financial statements. -35- SHARES VALUE ------ ----- FOODS--(CONTINUED) 31,095 KORN-OG FODERSTOF KOMPAGNIET AS ..... $ 1,259,265 176,000 MEIJI SEIKA KAISHA LTD .............. 911,260 259,000 NESTLE MALAYSIA BERHAD .............. 2,081,844 8,259 NESTLE S.A. (REGD) .................. 8,838,390 121,000 NICHIREI CORP ....................... 586,879 49,000 NIPPON BEET SUGAR MANUFACTURING CO LTD ............... 181,518 67,000 NIPPON MEAT PACKERS, INC ............ 865,807 17,000 o NIPPON SUISAN KAISHA LTD ............ 60,046 2,400 ORKLA AS SERIES B ................... 167,256 478,500 PARMALAT FINANZIARIA S.P.A .......... 730,458 2,450 o PECHINEY S.A ........................ 102,452 4,400 PIONEER-HI-BRED INTERNATIONAL, INC .. 308,000 388,000 PRIMA LTD ........................... 1,428,509 51,000 Q.P. CORP ........................... 413,003 900 QUAKER OATS CO ...................... 34,312 10,956 RALSTON PURINA CO ................... 803,896 47,000 SARA LEE CORP ....................... 1,750,750 136,000 SNOW BRAND MILK PRODUCTS CO ......... 767,424 25,000 TAKARA SHUZO CO LTD ................. 175,530 90,300 UNIGATE PLC ......................... 642,073 174,513 UNILEVER LTD ........................ 4,230,293 28,600 UNILEVER NV CERTIFICATES ............ 5,052,703 214,661 UNITED BISCUITS HOLDINGS PLC ........ 771,433 36,000 YAMAZAKI BAKING CO LTD .............. 573,759 ------------ 54,779,172 ------------ FOREST PRODUCTS--0.28% 358,269 ARJO WIGGINS APPLETON PLC ........... 1,097,459 5,700 BOISE CASCADE CORP .................. 180,975 489,200 CARTER HOLT HARVEY LTD .............. 1,109,596 25,200 CHAMPION INTERNATIONAL CORP ......... 1,089,900 14,700 o EMPRESA NATIONAL DE CELULOSAS S.A ... 175,736 90,500 FLETCHER CHALLENGE LTD (ENERGY DIVISION) .................. 262,183 196,400 FLETCHER CHALLENGE LTD (FORESTS DIVISION) ................. 328,899 51,600 o INTERNATIONAL FOREST PRODUCTS LTD ... 404,683 117,000 JAYA TIASA HOLDINGS BERHAD .......... 620,787 202,500 o JEFFERSON SMURFIT GROUP PLC ......... 615,202 7,270 PAPIERWERKE WALDHOF-ASCHAFFENBURG AG. .......... 967,068 80,400 o REPAP ENTERPRISES, INC .............. 226,999 180,866 REXAM PLC ........................... 1,115,805 72,800 o SARRIO CIA PAPELERA DE LEIZA S.A .... 239,545 21,100 SCA AB SERIES B ..................... 427,995 9,600 STORA KOPPARBERG BERGSLAGS SERIES A FREE ...................... 132,161 123,100 STORA KOPPARBERG BERGSLAGS SERIES B FREE ...................... 1,676,672 36,400 o UPM-KYMMENE OY ...................... 762,118 9,800 WEYERHAEUSER CO ..................... 464,275 ------------ 11,898,058 ------------ HEALTHCARE--DRUGS--6.61% 124,364 AMERICAN HOME PRODUCTS CORP ......... 7,290,839 568,000 o AMGEN, INC .......................... 30,885,000 9,800 ASTRA AB SERIES A FREE .............. 483,685 159,800 ASTRA AB SERIES B FREE .............. 7,699,807 9,000 BANYU PHARMACEUTICAL CO LTD ......... 125,606 90,063 BRISTOL MYERS SQUIBB CO ............. 9,794,351 109,000 CHUGAI PHARMACEUTICAL CO LTD ........ 910,863 117,000 DAIICHI PHARMACEUTICAL CO LTD ....... 1,874,796 1,000 ELF SANOFI S.A ...................... 99,253 749,006 GLAXO WELLCOME PLC .................. 12,151,217 24,600 KISSEI PHARMACEUTICALS CO LTD ....... 487,436 163,000 KYOWA HAKKO KOGYO ................... 1,241,352 70,262 LILLY (ELI) & CO .................... 5,129,126 22,230 MERCK & CO KGAA ..................... 799,131 176,282 MERCK & CO, INC ..................... 13,970,348 50,200 MOCHIDA PHARMACEUTICAL CO LTD ....... 484,369 107,697 o NOVARTIS AG (REGD) .................. 122,951,744 18,300 NOVO NORDISK AS (CLASS B) ........... 3,443,520 54,500 o NYCOMED AS SERIES B ................. 836,437 80,762 PFIZER, INC ......................... 6,693,150 1,250 o RHONE-POULENC RORER INC-CTF SICO .... 95,695 50 ROCHE HOLDINGS AG. (BR) ............. 562,258 2,228 ROCHE HOLDINGS AG. (GENUSSCHEINE) ... 17,280,782 49,100 SANKYO CO LTD ....................... 1,387,428 11,100 SCHERING AG ......................... 935,623 80,900 SCHERING-PLOUGH CORP ................ 5,238,275 109,000 SHIONOGI & CO LTD ................... 776,581 643,638 SMITHKLINE BEECHAM/BECKMAN LTD ...... 8,916,300 74,100 TAISHO PHARMACEUTICAL CO LTD ........ 1,742,754 178,000 TAKEDA CHEMICAL INDUSTRIES LTD ...... 3,726,332 11,000 TANABE SEIYAKU CO LTD ............... 85,572 16,900 WARNER-LAMBERT CO ................... 1,267,500 125,000 YAMANOUCHI PHARMACEUTICAL CO LTD .... 2,562,962 192,616 ZENECA GROUP PLC .................... 5,430,551 ------------ 277,360,643 ------------ HEALTHCARE--HOSPITAL SUPPLY--0.37% 112,733 ABBOTT LABORATORIES CO .............. 5,721,199 12,100 BAXTER INTERNATIONAL, INC ........... 496,100 11,000 BECTON DICKINSON & CO ............... 477,125 5,200 o INSTRUMENTARIUM GROUP SERIES B FREE ....................... 188,414 173,438 JOHNSON & JOHNSON CO ................ 8,628,540 2,300 RADIOMETER AS (CLASS B) ............. 136,466 ------------ 15,647,844 ------------ HEALTHCARE--OTHER--0.07% 463 ESSILOR INTERNATIONAL ............... 140,267 20,700 o LOEWEN GROUP, INC ................... 807,944 100,000 o TRANSKARYOTIC THERAPIES, INC ........ 1,850,000 ------------ 2,798,211 ------------ HEALTHCARE--SERVICE--3.27% 1,200,333 + ADAC LABORATORIES, INC NEW .......... 28,657,950 762,243 AETNA, INC .......................... 60,979,440 142,500 COLUMBIA/HCA HEALTHCARE CORP ........ 5,806,875 12,100 o EXTENDICARE INC (SUB-VTG)(CLASS A) .. 142,565 40,900 o HUMANA, INC ......................... 782,212 20,500 MANOR CARE, INC ..................... 553,500 1,929,208 o MEDPARTNERS, INC .................... 40,513,368 ------------ 137,435,910 ------------ HOUSEHOLD-- CONSUMER ELECTRONICS--0.45% 89,000 CASIO COMPUTER CO LTD ............... 686,994 554,000 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ......... 9,020,421 68,000 PIONEER ELECTRONIC CORP ............. 1,294,662 581,000 SANYO ELECTRIC CO LTD ............... 2,402,551 123,000 SHARP CORP .......................... 1,748,414 54,400 SONY CORP ........................... 3,557,099 21,100 o ZENITH ELECTRONICS CORP ............. 229,462 ------------ 18,939,603 ------------ HOUSEHOLD--DURABLE GOODS--0.12% 29,600 BLACK & DECKER CORP ................. 891,700 10,000 ELECTROLUX AB SERIES B .............. 579,965 394,000 EMAIL LTD ........................... 1,273,723 33,000 MAYTAG CO ........................... 651,750 35,500 SHAW INDUSTRIES, INC ................ 417,125 7,800 STANLEY WORKS CO .................... 210,600 25,000 WHIRLPOOL CORP ...................... 1,165,625 ------------ 5,190,488 ------------ See notes to financial statements. -36- SHARES VALUE ------ ----- HOUSEHOLD--PRODUCTS--0.53% 6,296 BIC S.A ............................. $ 942,195 21,800 DIAL CORP ........................... 321,550 137,000 KAO CORP ............................ 1,593,344 50,800 KIMBERLY-CLARK CORP ................. 4,838,700 39,000 NORITAKE CO LTD ..................... 324,561 107,000 PROCTER & GAMBLE CO ................. 11,502,500 7,000 RUBBERMAID, INC ..................... 159,250 12,110 SMH AG. (REGD) ...................... 1,722,528 12,400 TAMBRANDS, INC ...................... 506,850 5,000 UNI CHARM CORP ...................... 122,333 ------------ 22,033,811 ------------ INSURANCE--BROKERS & OTHER--0.03% 13,300 MBIA, INC ........................... 1,346,625 ------------ INSURANCE--LIFE--0.30% 2,600 o AEGON NV ............................ 165,487 252 CONSECO, INC ........................ 16,065 28,900 o IRISH PRESS PLC ..................... 134,022 6,600 JEFFERSON-PILOT CORP ................ 373,725 207,535 LEGAL & GENERAL GROUP PLC ........... 1,321,175 4,500 LIBERTY CORP ........................ 176,625 29,100 PROVIDIAN CORP ...................... 1,495,012 712,435 PRUDENTIAL CORP PLC ................. 5,992,318 23,600 SUNAMERICA, INC ..................... 1,047,250 23,000 TORCHMARK CORP ...................... 1,161,500 8,100 UNUM CORP ........................... 585,225 ------------ 12,468,404 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--2.50% 910 AACHENER & MUNCHENER BERTEIL (BR) ... 590,487 1,735 AACHENER & MUNCHENER BERTEIL (REGD) ............................ 1,238,400 8,200 AFLAC, INC .......................... 350,550 63,927 ALLEANZA ASSICURAZIONI (S/S) NON CV . 319,686 3,809 ALLIANZ AG. (REGD) .................. 6,920,509 565,868 ALLSTATE CORP ....................... 32,749,610 56,487 AMERICAN INTERNATIONAL GROUP, INC ... 6,114,717 216,622 ASSICURAZIONI GENERALI S.P.A ........ 4,097,946 76,160 AXA S.A ............................. 4,834,344 23,100 CIGNA CORP .......................... 3,156,037 9,900 COLONIA KONZERN AG. (REGD) .......... 815,845 4,160 COMMERICAL UNION ASSURANCE CO LTD ... 48,658 900 EA-GENERALI AG ...................... 265,694 256 o FORTIS AG NPV (STRIP VVPR) .......... 128 8,219 FORTIS AG ........................... 1,317,040 3,700 GENERAL REINSURANCE CORP ............ 583,675 150,380 GUARDIAN ROYAL EXCHANGE ASSURANCE PLC ...................... 719,280 99,900 ING GROEP NV ........................ 3,592,198 198,900 INSTITUTO NAZIONALE DELLE ASSICURAZION ....................... 258,611 35,000 ITT HARTFORD GROUP, INC ............. 2,362,500 17,200 LINCOLN NATIONAL CORP ............... 903,000 262,000 MITSUI TAISHO MARINE & FIRE CO LTD .. 1,406,191 2,503 MUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) ........... 6,244,911 115 o MUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) WTS 3/13/98 .................. 24,028 216,000 NIPPON FIRE & MARINE INSURANCE CO LTD ............ 976,941 29,700 RAS S.P.A ........................... 276,527 677,489 ROYAL & SUN ALLIANCE INSURANCE GRP PLC .................. 5,153,474 2,000 ROYALE BELGE VIE ACCIDENTS .......... 412,414 2,690 SCHWEIZERISCHE RUCKVERSICHERUNG (REGD) ............................. 2,862,684 12,700 SKANDIA FORSAKRINGS AB .............. 358,978 27,500 ST. PAUL COS, INC ................... 1,612,187 261,000 SUMITOMO MARINE & FIRE INSURANCE CO . 1,618,930 168,000 TOKIO MARINE & FIRE INSURANCE CO LTD 1,577,578 22,300 TRANSAMERICA CORP ................... 1,761,700 133,558 TRAVELERS GROUP, INC ................ 6,060,194 118,900 WILLIS CORROON GROUP PLC ............ 285,880 10,843 ZURICH INSURANCE CO (REGD) .......... 3,003,871 ------------ 104,875,403 ------------ LEISURE TIME--3.82% 30,600 BRUNSWICK CORP ...................... 734,400 8,900 CALLAWAY GOLF CO .................... 255,875 786,400 o CARMIKE CINEMAS, INC (CLASS A) ...... 19,954,900 3,619,800 CARNIVAL CORP (CLASS A) ............. 119,453,400 101,821 DISNEY (WALT) CO .................... 7,089,287 402 EMI GROUP PLC ....................... 9,493 39,000 GENTING BERHAD ...................... 268,699 163,592 GRANADA GROUP LTD (CLASS A) ......... 2,411,812 32,150 o HARRAHS ENTERTAINMENT, INC .......... 638,981 273,438 LADBROKE GROUP PLC .................. 1,080,928 1,668,500 MAGNUM CORP BERHAD .................. 3,237,238 7,900 MATTEL, INC ......................... 219,225 17,000 NAMCO LTD ........................... 519,915 1,000 NINTENDO CO LTD ..................... 71,418 177,100 o RANK GROUP PLC ...................... 1,319,875 5,350 SALOMON S.A ......................... 457,942 28,000 SEGA ENTERPRISES LTD ................ 940,758 43,000 SHIMANO, INC ........................ 729,776 56,902 o THORN PLC ........................... 244,901 3,000 TOHO CO LTD ......................... 434,196 ------------ 160,073,019 ------------ MACHINERY--2.32% 126,000 AMADA CO LTD ........................ 976,941 41,000 AMANO CORP .......................... 437,986 61,800 ATLAS COPCO AB SERIES B FREE ........ 1,502,462 365,700 AUSTRALIAN NATIONAL INDUSTRIES LTD .. 363,094 93,200 BOMBARDIER, INC (CLASS B) ........... 1,720,259 18,530 XoBREMER VULKAN AG .................... 29,458 7,200 BRIGGS & STRATTON CORP .............. 316,800 96,000 BROTHERS INDUSTRIES LTD ............. 413,520 45,500 CATERPILLAR, INC .................... 3,423,875 12,400 CINCINNATI MILACRON, INC ............ 271,250 33,736 COOPER INDUSTRIES, INC .............. 1,421,129 100,000 DAIKIN INDUSTRIES LTD ............... 887,345 77,900 DEERE & CO .......................... 3,164,687 5,200 DOVER CORP .......................... 261,300 56,000 EBARA CORP .......................... 728,484 22,820 FAG KUGELFISCHER (GEORG) SCHAEFER AG. ....................... 310,219 72,000 FANUC LTD ........................... 2,301,238 841 FISCHER (GEORGE) LTD (BR) ........... 870,562 21 FISCHER (GEORGE) LTD (REGD) ......... 4,300 228,844 FKI PLC ............................. 791,073 800 FLS INDUSTRIES AS (CLASS B) ......... 102,391 11,200 o FMC CORP NEW ........................ 785,400 133,690 IMI PLC ............................. 859,082 2,653 INDUSTRIE-WERKE KARLSRUHE AUGSBURG AG. ....................... 628,346 See notes to financial statements. -37- SHARES VALUE ------ ----- MACHINERY--(CONTINUED) 33,200 INGERSOLL-RAND CO ................... $ 1,477,400 343,000 KOMATSU LTD ......................... 2,807,197 33,000 KOMORI CORP ......................... 699,365 1,700 o KONE CORP SERIES B .................. 187,372 58,000 KOYO SEIKO CO LTD ................... 479,683 302,000 KUBOTA CORP ......................... 1,454,367 22,000 KVAERNER INDUSTRIER AS SERIES A ..... 1,069,782 120 LINDE AG ............................ 73,194 17,300 MAGNA INTERNATIONAL, INC ............ 962,372 61,000 MAKITA CORP ......................... 851,334 895 MAN AG. (STAMM) ..................... 216,621 6,339 MANNESMANN AG ....................... 2,743,567 200,800 o METAL MANUFACTURES LTD .............. 494,435 492,000 MITSUBISHI HEAVY INDUSTRIES LTD ..... 3,899,493 37,000 MORI SEIKI CO LTD ................... 510,008 240,400 o NOVELLUS SYSTEMS, INC ............... 13,026,675 199,000 NTN TOYO BEARING CO LTD ............. 1,080,062 6,000 OKUMA CORP .......................... 47,761 21,400 PARKER-HANNIFIN CORP ................ 829,250 19,000 SANDEN CORP ......................... 151,899 340 SCHINDLER HOLDINGS LTD (REGD) ....... 346,887 395,700 SIDEL S.A ........................... 27,172,586 233,900 STORK NV ............................ 8,234,779 257,000 o SUMITOMO HEAVY INDUSTRIES LTD ....... 779,347 1,200 SUNDSTRAND CORP ..................... 51,000 34,000 TAKUMA CO LTD ....................... 371,995 188,600 TI GROUP PLC ........................ 1,878,411 109,000 TOYOTA AUTOMATIC LOOM WORKS LTD ..... 2,037,705 11,700 TRINITY INDUSTRIES, INC ............. 438,750 5,000 TSUGAMI CORP ........................ 14,430 1,900 VA TECHNOLOGIE AG. (BR) ............. 297,896 300 VICKERS PLC ......................... 1,309 ------------ 97,258,133 ------------ METALS--ALUMINUM--0.16% 45,100 ALCAN ALUMINIUM CO LTD .............. 1,521,758 52,400 ALUMINUM CO OF AMERICA .............. 3,340,500 570 ALUSUISSE LONZA HOLDINGS AG. (BR) ... 444,437 53,000 TOYO SEIKAN KAISHA LTD .............. 1,273,900 ------------ 6,580,595 ------------ METALS--GOLD--0.31% 45,900 AGNICO EAGLE MINES LTD .............. 644,615 150,000 BARRICK GOLD CORP ................... 4,295,249 55,700 BARRICK GOLD CORP ................... 1,601,375 61,300 CAMBIOR, INC ........................ 903,377 22,800 ECHO BAY MINES LTD .................. 151,367 172,500 o EMPEROR MINES LTD ................... 335,691 4,500 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A) ................ 126,562 37,700 FREEPORT-MCMORAN COPPER & GOLD INC, (CLASS B) ................ 1,126,287 69,400 GREAT CENTRAL MINES LTD ............. 197,345 194,794 NEWCREST MINING LTD ................. 773,624 32,500 NEWMONT MINING CORP ................. 1,454,375 114,100 NORMANDY MINING LTD ................. 157,695 53,000 PLACER DOME, INC .................... 1,161,924 27,800 o SONS OF GWALIA NL ................... 164,065 ------------ 13,093,551 ------------ METALS--NON-FERROUS--0.59% 109,100 ABERFOYLE LTD ....................... 279,039 128,200 ASHTON MINING LTD ................... 223,006 9,500 CAMECO CORP ......................... 380,498 14,700 COMINCO LTD ......................... 365,703 95,000 CRA LTD ............................. 1,490,305 79,000 FUJIKURA LTD ........................ 631,582 262,000 FURUKAWA ELECTRIC CO LTD ............ 1,239,164 69,381 INCO LTD ............................ 2,214,501 443,000 JAPAN ENERGY CORP ................... 1,202,180 450 JOHNSON MATTHEY PLC ................. 4,235 533,770 MIM HOLDINGS LTD .................... 746,193 575,000 MITSUBISHI MATERIALS CORP ........... 2,318,296 235,000 NIPPON LIGHT METAL CO LTD ........... 963,673 58,200 NORANDA, INC ........................ 1,297,154 147,200 NORTH LTD ........................... 430,269 46,200 OUTOKUMPU OY SERIES A ............... 786,874 19,900 PHELPS DODGE CORP ................... 1,343,250 339,300 QCT RESOURCES LTD ................... 458,160 79,420 RGC LTD ............................. 352,635 13,300 RIO ALGOM LTD ....................... 296,913 49,250 RTC CORP PLC (BR) ................... 792,246 59,710 RTZ CORP PLC (REGD) ................. 956,931 910,300 STRAITS TRADING CO .................. 2,212,623 129,000 SUMITOMO METAL MINING CO LTD ........ 867,952 16,200 TECK CORP LTD (CLASS B) ............. 375,246 7,600 o UNION MINIERE GROUP S.A ............. 514,415 292,207 WMC LTD ............................. 1,840,553 ------------ 24,583,596 ------------ METALS--STEEL--1.94% 3,600 ACERINOX S.A ........................ 519,216 3,005,000 AMSTEEL CORP BERHAD ................. 2,236,942 809,960 BRITISH STEEL PLC ................... 2,224,665 186,000 DAIDO STEEL CO LTD .................. 689,027 27,500 DOFASCO, INC ........................ 519,624 12,700 o HOOGOVENS NEN STAALIADRIEREN NV ..... 528,616 199,000 KAWASAKI STEEL CORP ................. 570,890 48,000 o KOBE STEEL LTD ...................... 100,898 904,000 NIPPON STEEL CORP ................... 2,663,482 1,149,000 o NKK CORP ............................ 2,583,543 5,813 PREUSSAG AKTIEGESELLSCHAFT AG ....... 1,314,535 68,000 o STELCO, INC (CLASS A) ............... 416,721 1,244,000 SUMITOMO METAL INDUSTRIES LTD ....... 3,054,362 1,862,600 o SVENSKT STAL AB (SSAB) SERIES A ..... 30,961,545 14,284 THYSSEN AG .......................... 2,530,355 55,000 TOKYO STEEL MANUFACTURING CO LTD .... 781,811 1,935,972 USINOR SACILOR S.A .................. 28,115,300 26,300 USX-US STEEL GROUP, INC ............. 825,162 29,500 WORTHINGTON INDUSTRIES, INC ......... 534,687 ------------ 81,171,381 ------------ MISCELLANEOUS MATERIALS & COMMODITIES--0.26% 132,000 ASAHI GLASS CO LTD .................. 1,239,526 950,000 o FIRST OLSEN TANKERS LTD ............. 8,480,269 447,000 KEMAYAN CORP BERHAD ................. 608,861 177,000 NIPPON SHEET GLASS CO LTD ........... 626,715 ------------ 10,955,371 ------------ OFFICE EQUIPMENT--2.76% 22,800 o APPLE COMPUTER, INC ................. 475,950 13,100 o DATA GENERAL CORP ................... 189,950 14,000 o DIGITAL EQUIPMENT CORP .............. 509,250 159,552 HEWLETT-PACKARD CO .................. 8,017,488 483,590 INTERNATIONAL BUSINESS MACHINES CORP ...................... 73,022,090 642,200 XEROX CORP .......................... 33,795,775 ------------ 116,010,503 ------------ See notes to financial statements. -38- SHARES VALUE ------ ----- PAPER--0.13% 9,000 o DAISHOWA PAPER MANUFACTURING CO LTD ............... $ 39,000 290,300 FLETCHER CHALLENGE LTD (PAPER DIV) .. 596,916 17,500 INTERNATIONAL PAPER CO .............. 706,562 277,000 MALAYSIAN PACIFIC INDUSTRIES BERHAD . 1,074,875 66,000 MITSUBISHI PAPER MILLS LTD .......... 257,571 243,000 NIPPON PAPER INDUSTRIES CO .......... 1,130,460 31,666 OJI PAPER CO LTD .................... 199,964 15,700 UNION CAMP CORP ..................... 749,675 31,300 WESTVACO CORP ....................... 899,875 ------------ 5,654,898 ------------ PETROLEUM--EXPLORATION & PRODUCTION--0.99% 13,700 o CANADIAN NATURAL RESOURCES LTD ...... 375,807 83,266 LONDON & SCOTTISH MARINE OIL PLC .... 339,133 35,200 PETRO-CANADA (VARIABLE- VTG) ........ 496,913 14,700 o RENAISSANCE ENERGY LTD .............. 500,295 2,304,000 SAGA PETROLEUM AS SERIES A .......... 38,608,010 27,600 o SANTA FE ENERGY RESOURCES, INC ...... 382,950 18,400 o TALISMAN ENERGY, INC ................ 612,124 ------------ 41,315,232 ------------ PETROLEUM--INTEGRATED--3.04% 23,700 ALBERTA ENERGY LTD .................. 565,397 96,600 AMOCO CORP .......................... 7,776,300 3,500 ARABIAN OIL CO LTD .................. 129,655 35,400 ATLANTIC RICHFIELD CO ............... 4,690,500 1,524,160 BRITISH PETROLEUM PLC ............... 18,271,106 796,235 BROKEN HILL PROPRIETARY CO LTD ...... 11,333,494 59,676 BURMAH CASTROL PLC .................. 1,124,380 14,500 CANADIAN OCCIDENTAL PETROLEUM LTD ... 233,256 77,100 CHEVRON CORP ........................ 5,011,500 290,000 COSMO OIL CO LTD .................... 1,391,580 60,982 ELF AQUITANE S.A .................... 5,540,083 1,210,300 ENTE NAZIONALE IDROCARBURI S.P.A .... 6,199,798 166,700 EXXON CORP .......................... 16,336,600 101,100 o GULF CANADA RESOURCES LTD ........... 737,579 30,200 IMPERIAL OIL LTD .................... 1,421,098 176,000 MITSUBISHI OIL CO LTD ............... 1,050,754 72,900 MOBIL CORP .......................... 8,912,025 500,000 NIPPON OIL CO LTD ................... 2,562,962 45,100 NORSK HYDRO AS ...................... 2,436,726 99,300 OCCIDENTAL PETROLEUM CORP ........... 2,321,137 4,000 OMV AKTIENGESELLS AG ................ 450,573 4,400 PETROFINA S.A ....................... 1,399,060 116,708 REPSOL S.A .......................... 4,468,310 102,100 ROYAL DUTCH PETROLEUM CO ............ 17,878,434 233,000 SANTOS LTD .......................... 943,866 12,400 SUNCOR, INC ......................... 512,934 18,050 TOTAL S.A ........................... 1,465,164 96,800 USX-MARATHON GROUP, INC NEW ......... 2,311,100 ------------ 127,475,371 ------------ PETROLEUM--SERVICE--3.23% 15,100 BAKER HUGHES, INC ................... 520,950 15,720 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC . 347,805 2,350,850 + IHC CALAND NV ....................... 134,136,368 9,100 KONINKLIJKE PAKHOED HOLDINGS NV ..... 284,079 10,300 MCDERMOTT INTERNATIONAL, INC ........ 171,237 1,200 TECHNIP S.A ......................... 112,410 ------------ 135,572,849 ------------ PHOTOGRAPHY--0.12% 63,200 EASTMAN KODAK CO .................... 5,071,800 ------------ PROPERTY--REAL ESTATE--0.85% 89,800 BRITISH LAND PLC .................... 794,498 590,000 CHEUNG KONG HOLDINGS LTD ............ 5,244,001 197 CHINESE ESTATES LTD ................. 219 196,560 CITY DEVELOPMENT LTD ................ 1,770,556 13,665 o CITY DEVELOPMENT LTD WTS 7/18/98 .... 95,736 130,000 DAIKYO, INC ......................... 612,612 61,084 o EVERGO CHINA HOLDINGS LTD ........... 10,187 56,400 GENERAL PROPERTY TRUST .............. 109,756 82,000 GREAT PORTLAND ESTATES PLC .......... 292,580 119,027 HAMMERSON PLC ....................... 819,855 11,000 o HENDERSON LAND DEVELOPMENT CO LTD ... 110,923 1,000 HYSAN DEVELOPMENT CO LTD ............ 3,981 2,554,000 IGB CORP BERHAD ..................... 2,841,709 33,492 LAND SECURITIES PLC ................. 426,422 264,000 MITSUBISHI ESTATE CO LTD ............ 2,706,488 191,000 MITSUI FUDOSAN CO LTD ............... 1,908,739 421,128 NEW WORLD DEVELOPMENT CO LTD ........ 2,844,713 175,800 SCHRODERS PROPERTY FUND ............. 322,563 1,420 SEFIMEG S.A ......................... 102,700 2,353 SIMCO (REGD) ........................ 205,029 99 o SIMCO (REGD) NEW .................... 8,308 119,000 o SINO LAND CO ........................ 145,384 160,500 SLOUGH ESTATES PLC .................. 764,938 142,400 STOCKLAND TRUST GROUP (UNITS) ....... 367,602 558,900 SUN HUNG KAI PROPERTIES LTD ......... 6,846,228 1,265,200 UNITED OVERSEAS LAND LTD ............ 1,926,561 28,100 VALLEHERMOSO S.A .................... 608,132 85,500 WESTFIELD TRUST (UNITS) ............. 161,632 740,000 WHARF HOLDINGS LTD .................. 3,692,811 ------------ 35,744,863 ------------ PUBLISHING--NEWSPAPER--0.20% 21,700 DOW JONES & CO, INC ................. 735,087 546,504 NEWS CORP LTD ....................... 2,882,345 42,400 PEARSON PLC ......................... 543,830 45,000 SINGAPORE PRESS HOLDINGS LTD (FR) ... 887,903 32,400 TIMES MIRROR CO (SERIES A) NEW ...... 1,611,900 20,200 TRIBUNE CO NEW ...................... 1,593,275 ------------ 8,254,340 ------------ PUBLISHING--OTHER--0.54% 206,000 DAI NIPPON PRINTING CO LTD .......... 3,602,620 94,255 DE LA RUE CO PLC .................... 923,434 3,800 DONNELLEY (R.R.) & SONS CO .......... 119,225 56,000 DUN & BRADSTREET CORP ............... 1,330,000 35,700 ELSEVIER UTIGEVERSMIJ NV ............ 602,636 32,000 GAKKEN CO LTD ....................... 180,570 31,700 MCGRAW HILL COS, INC ................ 1,462,162 27,610 REED INTERNATIONAL PLC .............. 520,447 2,593,000 SOUTH CHINA MORNING POST ............ 2,145,460 9,600 SOUTHAM, INC ........................ 133,420 206,200 THOMSON CORP ........................ 4,550,629 107,558 TIME WARNER, INC .................... 4,033,425 22,300 WOLTERS KLUWER NV ................... 2,958,639 ------------ 22,562,667 ------------ RAILROAD--1.09% 41,900 BURLINGTON NORTHERN SANTA FE CORP ... 3,619,112 1,053,000 CANADIAN PACIFIC LTD ................ 27,694,344 9,800 CANADIAN PACIFIC LTD (U.S.) NEW ..... 259,700 61,896 CSX CORP ............................ 2,615,106 90 EAST JAPAN RAILWAY CO ............... 403,957 234,250 HANKYU CORP ......................... 1,160,386 18,000 o KEISEI ELECTRIC RAILWAY CO .......... 124,831 112,769 KINKI NIPPON RAILWAY CO LTD ......... 702,398 See notes to financial statements. -39- SHARES VALUE ------ ----- RAILROAD--(CONTINUED) 363,490 NAGOYA RAILROAD CO LTD .............. $ 1,393,502 216,000 NANKAI ELECTRIC RAILWAY CO .......... 1,163,025 225,000 NIPPON EXPRESS CO LTD ............... 1,539,069 16,100 NORFOLK SOUTHERN CORP ............... 1,408,750 14,950 ODAKYU ELECTRIC RAILWAY CO LTD ...... 89,512 1,000 o SEIBU RAILWAY CO .................... 39,025 319,020 TOBU RAILWAY CO LTD ................. 1,558,318 227,000 TOKYU CORP .......................... 1,286,788 9,500 UNION PACIFIC CORP .................. 571,187 ------------ 45,629,010 ------------ RESTAURANTS & HOTELS--0.74% 14,033 ACCOR S.A ........................... 1,773,424 3,600 o CHOICE HOTELS INTERNATIONAL, INC .... 63,450 1,500,000 COMPASS GROUP PLC ................... 15,850,916 18,400 CRACKER BARREL OLD COUNTRY STORE, INC ............. 466,900 47,100 DARDEN RESTAURANTS, INC ............. 412,125 57,000 FUJITA KANKO, INC ................... 1,055,768 31,500 o HOST MARRIOTT CORP .................. 504,000 11,900 o ITT CORP (NEW) ...................... 516,162 9,500 MARRIOTT INTERNATIONAL, INC ......... 524,875 142,166 MCDONALDS CORP ...................... 6,433,011 3,909 MOEVENPICK HOLDINGS (BR) ............ 1,117,855 3,275 o PROMUS HOTEL CORP ................... 97,021 1,268,000 REGAL HOTELS INTERNATIONAL LTD ...... 442,609 50,000 RESORTS WORLD BERHAD ................ 227,677 26,500 o SCOTTS RESTAURANTS INC .............. 111,165 21,000 SKYLARK CO LTD ...................... 320,219 700 SODEXHO S.A ......................... 389,128 23,100 SYSCO CORP .......................... 753,637 ------------ 31,059,942 ------------ RETAIL--FOOD--0.64% 47,000 ALBERTSONS, INC ..................... 1,674,375 30,600 AMERICAN STORES CO NEW .............. 1,250,775 10,295 CARREFOUR SUPERMARCHE S.A ........... 6,685,370 503,826 DAIRY FARM INTERNATIONAL HOLDINGS LTD 405,579 39,000 DELHAIZE FRERES NV .................. 2,314,399 76,600 KONINKLIJKE AHOLD NV ................ 4,782,522 41,000 o KROGER CO ........................... 1,906,500 4,900 PROMODES S.A ........................ 1,380,798 406,020 SAFEWAY PLC ......................... 2,807,080 63,190 SAINSBURY (J) PLC ................... 419,571 19,100 SUPERVALU, INC ...................... 541,962 463,294 TESCO PLC ........................... 2,810,600 ------------ 26,979,531 ------------ RETAIL--GENERAL MERCHANDISE--2.74% 13,270 ADIDAS AG ........................... 1,145,227 29,000 AOYAMA TRADING CO LTD ............... 769,491 114,280 BOOTS CO LTD ........................ 1,178,293 26,400 BULGARI S.P.A ....................... 535,032 1,275 COMPTOIRS MODERNES .................. 686,696 56,200 o CUC INTERNATIONAL, INC .............. 1,334,750 1,000 CVS CORP ............................ 41,375 46,000 DAIEI, INC .......................... 350,716 107,000 DAIMARU, INC ........................ 570,597 51,800 DAYTON HUDSON CORP .................. 2,033,150 617,000 DOLLAR GENERAL CORP ................. 19,744,000 51,390 GREAT UNIVERSAL STORES PLC .......... 538,215 1,400 o GUCCI GROUP NV ...................... 93,883 8,200 HENNES & MAURITZ AB SERIES B ........ 1,133,686 69,400 HOME DEPOT, INC ..................... 3,478,675 1,317,500 INTIMATE BRANDS, INC (CLASS A) ...... 22,397,500 33,000 ISETAN CO ........................... 426,442 77,000 ITO-YOKADO CO LTD ................... 3,343,309 56,000 JUSCO CO LTD ........................ 1,895,989 82 o K MART CORP ......................... 850 2,750 KARSTADT AG ......................... 927,908 240,840 KINGFISHER PLC ...................... 2,602,724 41,320 LIMITED, INC ........................ 759,255 696,766 MARKS & SPENCER PLC ................. 5,854,564 139,000 MARUI CO LTD ........................ 2,502,743 61,700 MAY DEPARTMENT STORES CO ............ 2,884,475 17,586 o METRO AG ............................ 1,415,004 121,000 MITSUKOSHI LTD ...................... 856,865 128,000 MYCAL CORP .......................... 1,852,569 15,000 o NATIONAL HOUSE INDUSTRIAL ........... 199,006 135,570 NEXT PLC ............................ 1,316,605 57,500 PENNEY, (J.C.) CO, INC .............. 2,803,125 5,000 PINAULT-PRINTEMPS-REDOUTE S.A ....... 1,979,302 1,700 o POLYGRAM NV ......................... 86,484 40,100 RINASCENTE S.P.A .................... 232,195 4,200 RITE AID CORP ....................... 166,950 10,100 ROUSE CO ............................ 320,675 354,643 SEARS PLC ........................... 576,555 91,600 SEARS ROEBUCK & CO .................. 4,225,050 10,249 SEVEN-ELEVEN JAPAN CO LTD ........... 598,641 10,000 SHIMACHU CO ......................... 255,865 3,800 o STOCKMANN B FREE .................... 226,730 40,000 o TAG HEUER INTERNATIONAL SA .......... 6,434,320 61,300 o TOYS R US, INC ...................... 1,839,000 78,000 UNY CO LTD .......................... 1,424,576 2,087 VALORA HOLDINGS AG REGD ............. 397,879 409,458 WAL-MART STORES, INC ................ 9,366,351 44,000 o WOOLWORTH CORP ...................... 962,500 ------------ 114,765,792 ------------ TEXTILE & APPAREL--0.53% 2,962 o CHARGEURS INTERNATIONAL S.A ......... 146,424 179,298 COATS VIYELLA PLC ................... 408,087 42,990 COURTAULDS TEXTILES PLC ............. 166,265 300,000 DAWSON INTERNATIONAL PLC ............ 295,199 12,590 DOLLFUS-MIEG & CIE S.A .............. 304,651 137,000 FILA HOLDING S.P.A. ADR ............. 7,963,125 18,200 o FRUIT OF THE LOOM, INC (CLASS A) .... 689,325 88,000 o GUNZE LTD ........................... 455,630 205,000 o KANEBO LTD .......................... 422,091 97,000 KURABO INDUSTRIES LTD ............... 275,766 35,400 NIKE, INC (CLASS B) ................. 2,115,150 92,000 NISSHINBO INDUSTRY, INC ............. 714,907 101,000 ONWARD KASHIYMA CO LTD .............. 1,418,287 2,962 o PATHE S.A ........................... 712,183 89,000 o RENOWN, INC ......................... 236,921 19,000 o SANRIO CO LTD ....................... 153,045 213,000 TEIJIN LTD .......................... 928,507 36,000 TOKYO STYLE CO LTD .................. 502,426 462,000 TORAY INDUSTRIES, INC ............... 2,845,792 19,600 VF CORP ............................. 1,323,000 ------------ 22,076,781 ------------ TOBACCO--3.71% 1,051,961 B.A.T. INDUSTRIES LTD ............... 8,722,070 50 CIE FINANCIERE RICHEMONT AG. (UNITS A) .......................... 70,003 1,107,300 PHILIP MORRIS COS, INC .............. 124,709,662 3,995,000 PT HANJAYA MANDALA SAMPOERNA (FR) ... 21,292,551 33,300 ROTHMANS HOLDINGS LTD ............... 214,246 9,800 SEITA S.A ........................... 409,055 ------------ 155,417,587 ------------ See notes to financial statements. -40- SHARES VALUE ------ ----- TRADING COMPANIES--0.30% 256,000 ITOCHU CORP ......................... $ 1,371,783 434,000 MALAYSIAN MOSAICS BERHAD ............ 556,784 600,000 MARUBENI CORP ....................... 2,574,162 353,000 MITSUBISHI CORP ..................... 3,649,314 131,000 MITSUI & CO LTD ..................... 1,060,851 54,000 o NAGASE & CO ......................... 447,066 362,000 SUMITOMO CORP ....................... 2,847,309 ------------ 12,507,269 ------------ TRUCKERS & SHIPPING--0.69% 9,600 o BERGESEN D.Y. AS (CLASS B) .......... 228,520 7,600 CALIBER SYSTEM, INC ................. 146,300 1,906,000 CHUAN HUP HOLDINGS LTD .............. 1,274,026 45 DAMPSKIBSSELSKABET AF 1912 (CLASS B) .......................... 1,155,723 33 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) .......................... 1,236,331 1,127,656 o ICB SHIPPING AB SERIES B ............ 13,212,158 55,000 KAMIGUMI CO LTD ..................... 360,107 6,500 KONINKLIJKE NEDLLOYD GROEP NV ....... 178,113 102,486 LAIDLAW, INC (CLASS B) .............. 1,192,566 10,000 o LEIF HOEGH & CO ..................... 203,589 358,000 o MITSUI ENGINEERING & SHIP BUILDING CO LTD ............... 727,864 509,000 o MITSUI OSK LINES LTD ................ 1,214,654 926,200 NEPTUNE ORIENT LINES LTD ............ 801,187 559,000 NIPPON YUSEN KABUSHIKI KAISHA ....... 2,523,471 63,980 OCEAN GROUP PLC ..................... 531,568 105,555 PENINSULAR & ORIENTAL STEAM NAVIGATION CO ....... 1,065,754 23,300 RYDER SYSTEM, INC ................... 655,312 58,000 SEINO TRANSPORTATION CO LTD ......... 639,577 8,500 o UNITOR AS ........................... 109,155 162,358 YAMATO TRANSPORT CO LTD ............. 1,678,457 ------------ 29,134,432 ------------ UTILITIES--ELECTRIC--2.14% 32,400 BALTIMORE GAS & ELECTRIC CO ......... 866,700 34,500 CENTERIOR ENERGY CORP ............... 370,875 67,400 CENTRAL & SOUTH WEST CORP ........... 1,727,125 782,000 CHINA LIGHT & POWER CO LTD .......... 3,477,789 6,000 o CHUBU ELECTRIC POWER CO INC ......... 118,887 74,800 CONSOLIDATED EDISON CO OF NEW YORK, INC ...................... 2,187,900 45,200 DTE ENERGY CO ....................... 1,463,350 44,488 EAST MIDLANDS ELECTRICITY PLC ....... 506,660 45,800 EDISON INTERNATIONAL CO ............. 910,275 2,676,950 EDISON .............................. 16,909,757 11,950 ELECTRABEL NV ....................... 2,825,336 10,950 ELECTRABEL S.A. STRIP VVPR .......... 10,686 45,427 EMPRESA NACIONAL DE ELECTRIDAD S.A .. 3,227,003 76,800 ENTERGY CORP NEW .................... 2,131,200 40,600 GPU, INC ............................ 1,365,175 3,000 HOUSTON INDUSTRIES, INC ............. 67,875 113,104 IBERDROLA S.A ....................... 1,599,960 22,400 ILLINOVA CORP ....................... 616,000 279,910 KANSAI ELECTRIC POWER CO, INC ....... 5,787,419 4,000 o KYUSHU ELECTRIC POWER ............... 77,535 44,000 LONDON ELECTRICITY PLC .............. 512,397 35,500 LONG ISLAND LIGHTING CO ............. 785,437 311,808 NATIONAL GRID GROUP PLC ............. 1,043,182 519,000 NATIONAL POWER PLC .................. 4,343,125 46,300 o NIAGARA MOHAWK POWER CORP ........... 457,212 32,200 NORTHEAST UTILITIES CO .............. 426,650 38,600 NORTHERN ELECTRIC PLC ............... 429,034 3,900 OESTERREICHISCHE ELEKTRIZITAETSWIRSCHAFTS AG. ....... 291,613 126,900 PACIFIC GAS & ELECTRIC CO ........... 2,664,900 72,800 PECO ENERGY CO ...................... 1,838,200 18,100 PP&L RESOURCES, INC ................. 416,300 79,100 PUBLIC SERVICE ENTERPRISE GROUP, INC 2,155,475 16,010 RHEIN-WESTFALEN ELECTRIC AG. (STAMM) ............................ 677,341 366,972 SCOTTISH POWER PLC .................. 2,210,557 247,000 SHUN TAK ENTERPRISES CORP LTD ....... 164,453 24,400 SOUTHERN CO ......................... 552,050 14,600 SOUTHERN ELECTRICITY PLC ............ 198,880 872,000 TENAGA NASIONAL BERHAD .............. 4,177,863 174,954 TOHOKU ELECTRIC POWER CO, INC ....... 3,466,626 212,187 TOKYO ELECTRIC POWER CO, INC ........ 4,643,097 600 TRACTEBEL NV ........................ 279,087 600 o TRACTEBEL NV PUT WTS 11/15/99 ....... 8,689 201,200 TRANSALTA CORP ...................... 2,532,063 10,300 o TUCSON ELECTRIC POWER CO ............ 171,237 67,700 UNICOM CORP ......................... 1,836,362 93,950 VEBA AG ............................. 5,425,701 4,449 VIAG AG ............................. 1,743,686 ------------ 89,698,724 ------------ UTILITIES--GAS & PIPELINE--0.49% 347,270 BRITISH GAS CORP PLC ................ 1,334,165 63,450 CALOR GROUP PLC ..................... 321,945 28,300 COASTAL CORP ........................ 1,383,162 16,000 COLUMBIA GAS SYSTEMS, INC ........... 1,018,000 24,794 COMPAGNIE GENERALE DES EAUX ......... 3,066,579 200 CONSOLIDATED NATURAL GAS CO ......... 11,050 6,600 EASTERN ENTERPRISES CO .............. 233,475 6,287 ENERGIA E INDUSTRIAS ARAGONESAS S.A . 34,800 10,800 ENRON CORP .......................... 465,750 16,000 ENSERCH CORP ........................ 368,000 6,700 GAS NATURAL SDG S.A ................. 1,555,589 73,006 IPL ENERGY, INC ..................... 2,127,809 115,000 OSAKA GAS CO LTD .................... 314,059 26,500 PACIFIC ENTERPRISES, INC ............ 804,937 30,984 PRIMAGAZ ............................ 3,641,458 682,000 TOKYO GAS CO LTD .................... 1,844,885 50,550 WILLIAMS COS, INC ................... 1,895,625 ------------ 20,421,288 ------------ UTILITIES--OTHER--0.12% 100,590 ANGLIAN WATER PLC ................... 1,015,624 164,751 THAMES WATER PLC .................... 1,726,872 224,029 UNITED UTILITIES PLC ................ 2,380,794 ------------ 5,123,290 ------------ UTILITIES--TELEPHONE--4.40% 209,419 AT & T CORP ......................... 9,109,726 61,400 BCE, INC ............................ 2,925,088 91,000 BELL ATLANTIC CORP .................. 5,892,250 190,194 BELLSOUTH CORP ...................... 7,679,082 1,440,391 BRITISH TELECOMMUNICATIONS PLC ...... 9,724,192 219,812 CABLE & WIRELESS PLC ................ 1,826,277 293,850 o DEUTSCHE TELEKOM AG ................. 6,187,418 3,414,172 HONG KONG TELECOMMUNICATIONS LTD .... 5,495,317 4 o JAPAN TELECOM CO LTD ................ 89,251 43,300 KONINKLIJKE PTT NEDERLAND NV ........ 1,649,596 93,000 NYNEX CORP .......................... 4,475,625 107,001 PACIFIC TELESIS GROUP CO ............ 3,932,286 124,800 SBC COMMUNICATIONS, INC ............. 6,458,400 780,000 SINGAPORE TELECOMMUNICATIONS LTD .... 1,840,147 14,300 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP ............ 555,912 109,050 SPRINT CORP ......................... 4,348,368 3,200,000 STET-SOCIETA FINANSIARIA TELEFONICA . 10,791,200 2,400,000 STET-SOCIETA FINANZIARIA TELEFONICA . 10,896,480 144,000 o TECHNOLOGY RESOURCES INDUSTRIES BERHAD .................. 283,951 9,679,599 TELECOM ITALIA MOBILE S.P.A ......... 24,425,790 10,600 TELE DANMARK AS (CLASS B) ........... 584,006 208,600 TELECOM CORP OF NEW ZEALAND ......... 1,064,204 2,661,500 TELECOM ITALIA S.P.A ................ 6,899,991 316,303 TELEFONICA DE ESPANA S.A ............ 7,331,688 657,000 TELEKOM MALAYSIA BERHAD ............. 5,853,293 29,600 TELUS CORP .......................... 429,736 394,204 VODAFONE GROUP PLC .................. 1,662,892 1,622,000 o WORLDCOM, INC ....................... 42,273,375 -------------- 184,685,541 -------------- TOTAL COMMON STOCK (Cost $3,474,939,636)................. 4,010,028,338 -------------- See notes to financial statements. -41- PAR VALUE VALUE ------- ------- SHORT TERM INVESTMENTS--8.53% COMMERCIAL PAPER--3.18% AMERICAN HOME PRODUCTS $ 7,000,000 # 5.550%, 02/12/97 ................ $ 6,949,582 CATERPILLAR FINANCIAL SERVICES CORP 9,000,000 5.320%, 01/27/97 ................ 8,959,635 CIESCO LP 18,000,000 6.250%, 01/02/97 ................ 17,993,239 FORD MOTOR CREDIT CO 18,000,000 5.800%, 01/03/97 ................ 17,989,860 GENERAL MILLS 10,000,000 6.450%, 01/02/97 ................ 9,996,244 HAWAIIAN ELECTRIC CO, INC 6,500,000 * 5.500%, 02/04/97 ................ 6,461,577 MCKENNA TRIANGLE NATIONAL CORP 18,000,000 5.280%, 02/21/97 ................ 17,849,980 MERRILL LYNCH & CO, INC 14,500,000 # 5.340%, 02/12/97 ................ 14,396,429 NORTHERN INDIANA PUBLIC SERVICE CO 7,400,000 5.900%, 02/04/97 ................ 7,356,977 PHILIP MORRIS COS, INC 18,000,000 5.270%, 01/10/97 ................ 17,969,500 PRAXAIR, INC 7,500,000 5.490%, 01/24/97 ................ 7,469,600 ------------ 133,392,623 ------------ GOVERNMENT AGENCIES--4.38% FEDERAL HOME LOAN BANKS 21,800,000 5.205%, 01/16/97 ................ 21,747,680 28,000,000 5.250%, 01/23/97 ................ 27,903,400 8,000,000 5.400%, 03/18/97 ................ 7,908,968 FEDERAL HOME LOAN MORTGAGE CORP 22,000,000 5.280%, 01/14/97 ................ 21,953,800 23,000,000 5.260%, 01/14/97 ................ 22,951,700 55,000,000 5.430%, 01/24/97 ................ 54,802,000 4,000,000 5.250%, 01/31/97 ................ 3,981,400 5,000,000 5.410%, 02/25/97 ................ 4,958,544 FEDERAL NATIONAL MORTGAGE ASSOCIATION 10,600,000 5.320%, 02/04/97 ................ 10,544,350 7,000,000 5.460%, 03/17/97 ................ 6,921,382 ------------ 183,673,224 ------------ U.S. TREASURY BILLS--0.97% U.S. TREASURY BILLS 25,000,000 5.150%, 01/09/97 ................ 24,969,750 12,000,000 5.050%, 05/01/97 ................ 11,795,107 4,000,000 5.080%, 06/05/97 ................ 3,911,600 ------------ 40,676,457 ------------ TOTAL SHORT TERM INVESTMENTS (Cost $357,844,325).................. 357,742,304 ------------ ROUNDING 461 ------------ TOTAL PORTFOLIO (Cost $3,872,499,528)................ $4,413,716,220 ============== - ---------- o Non-income producing + Affiliate holdings X In bankruptcy * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. # Commercial Paper issued under the Private Placement exemption under 4(2) of the Securities Act of 1933, as amended. ~Restricted securities--investment in securities not registered under he Securities Act of 1933 or not publicly traded on foreign markets. Additional information on each holding is as follows: ACQUISITION ACQUISITION SECURITY DATE COST - -------- ----------- ----------- L'AIR LIQUIDE S.A. (REGD) .................. VARIOUS $760,797 PREUSSAG AG 5.75% (W/W) .................... 05/17/96 84,776 -------- $845,573 ======== See notes to financial statements. -42-
COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES--GLOBAL EQUITIES ACCOUNT JANUARY 1, 1996--DECEMBER 31, 1996 VALUE AT PURCHASE SALES REALIZED ISSUE DECEMBER 31, 1995 COST PROCEEDS GAIN (LOSS) ----- ------------------ -------------- ----------- ----------- ADAC LABORATORIES, INC NEW ... $ 14,554,037 -- -- -- COMMUNITY PSYCHIATRICS CENTERS 30,707,075 -- $12,830,861 $(2,990,877) IHC CALAND NV ................ 77,811,689 $ 1,999,517 -- -- WESTWOOD ONE, INC ............ 30,525,537 9,040,004 -- -- ------------ ----------- ----------- ----------- TOTAL AFFILIATED TRANSACTIONS $153,598,338 $11,039,521 $12,830,861 $(2,990,877) ============ =========== =========== ===========
DIVIDEND SHARES AT VALUE AT ISSUE INCOME DECEMBER 31, 1996 DECEMBER 31, 1996 ----- ----------- ------------------ ----------------- ADAC LABORATORIES, INC NEW ... $ 432,117 1,200,333 $ 28,657,950 COMMUNITY PSYCHIATRICS CENTERS -- * * IHC CALAND NV ................ 2,134,565 2,350,850 134,136,368 WESTWOOD ONE, INC ............ -- 2,661,100 44,240,787 ---------- ------------ TOTAL AFFILIATED TRANSACTIONS $2,566,682 $207,035,105 ========== ============
* Not an Affiliate as of December 31, 1996 See notes to financial statements. -43- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT DECEMBER 31, 1996 SUMMARY VALUE % ------- ------ PREFERRED STOCK HEALTHCARE--SERVICE ......................... $ 307,829 0.01% -------------- ------ TOTAL PREFERRED STOCK (Cost $250,865) ............................. 307,829 0.01 -------------- ------ COMMON STOCK AEROSPACE ................................... 12,947,712 0.53 AIR TRANSPORTATION .......................... 3,875,330 0.16 AUTOMOTIVE & RELATED ........................ 26,623,359 1.10 BANKS ....................................... 28,995,472 1.20 BEVERAGES ................................... 84,097,162 3.47 BROADCASTERS ................................ 14,821,135 0.61 BUSINESS SERVICES ........................... 33,951,398 1.40 CHEMICALS--MAJOR ............................ 40,006,232 1.65 CHEMICALS--SPECIALTY ........................ 14,076,539 0.58 COMMUNICATION EQUIPMENT & SERVICES .......... 93,186,315 3.85 COMPUTER SERVICE ............................ 140,612,083 5.81 CONGLOMERATES ............................... 19,456,641 0.80 CONSTRUCTION--MATERIALS & BUILDERS .......... 8,540,755 0.35 CONTAINERS .................................. 2,305,481 0.10 COSMETICS ................................... 22,438,886 0.93 ELECTRICAL EQUIPMENT ........................ 101,169,557 4.18 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED .................... 201,222,092 8.31 ELECTRICAL EQUIPMENT--INSTRUMENTS ........... 8,337,441 0.35 ENVIRONMENTAL CONTROL ....................... 8,966,867 0.37 FINANCIAL--MISCELLANEOUS .................... 70,104,991 2.90 FOODS ....................................... 82,700,609 3.42 HEALTHCARE--DRUGS ........................... 167,599,724 6.92 HEALTHCARE--HOSPITAL SUPPLY ................. 100,719,493 4.16 HEALTHCARE--OTHER ........................... 24,514,060 1.01 HEALTHCARE--SERVICE ......................... 131,907,017 5.45 HOUSEHOLD--CONSUMER ELECTRONICS ............. 409,499 0.02 HOUSEHOLD--DURABLE GOODS .................... 38,725,561 1.60 HOUSEHOLD--PRODUCTS ......................... 103,668,211 4.28 INSURANCE--BROKERS & OTHER .................. 6,741,412 0.28 INSURANCE--LIFE ............................. 3,014,862 0.13 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ....................... 66,608,021 2.75 LEISURE TIME ................................ 80,818,909 3.34 MACHINERY ................................... 14,611,960 0.61 METALS--ALUMINUM ............................ 53,662 0.00 METALS--GOLD ................................ 5,969,521 0.25 METALS--NON-FERROUS ......................... 1,745,861 0.07 METALS--STEEL ............................... 3,343,437 0.14 MISCELLANEOUS MATERIALS & COMMODITIES ............................... 253,575 0.01 OFFICE EQUIPMENT ............................ 48,355,044 2.00 PAPER ....................................... 2,928,807 0.12 PETROLEUM--EXPLORATION & PRODUCTION ................................ 28,816,161 1.19 PETROLEUM--INTEGRATED ....................... 1,965,612 0.08 PETROLEUM--SERVICE .......................... 57,585,701 2.38 PHOTOGRAPHY ................................. 7,918,500 0.33 PROPERTY--REAL ESTATE ....................... 1,048,250 0.04 PUBLISHING--NEWSPAPER ....................... 7,355,887 0.31 PUBLISHING--OTHER ........................... 13,574,466 0.56 RAILROAD .................................... 2,496,390 0.10 RESTAURANTS & HOTELS ........................ 62,314,529 2.57 RETAIL--FOOD ................................ 11,674,980 0.48 RETAIL--GENERAL MERCHANDISE ................. 119,653,213 4.94 TEXTILE & APPAREL ........................... 32,492,699 1.34 TOBACCO ..................................... 94,022,671 3.88 TRUCKERS & SHIPPING ......................... 417,212 0.02 UTILITIES--ELECTRIC ......................... 1,424,512 0.06 UTILITIES--GAS & PIPELINE ................... 7,322,112 0.30 UTILITIES--TELEPHONE ........................ 47,745,266 1.97 -------------- ------ TOTAL COMMON STOCK (Cost $1,902,339,473) ........................ 2,318,252,854 95.76 -------------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ............................ 1,693,787 0.07 U.S. GOVERNMENTS & AGENCIES ................. 106,585,117 4.40 -------------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $108,298,882) .......................... 108,278,904 4.47 -------------- ------ ROUNDING .................................... 167 0.00 -------------- ------ TOTAL PORTFOLIO (Cost $2,010,889,220) ........................ 2,426,839,754 100.24 OTHER ASSETS & LIABILITIES, NET ............ (5,944,608) (0.24) -------------- ------ NET ASSETS .................................... $2,420,895,146 100.00% ============== ====== See notes to financial statements. -44- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT DECEMBER 31, 1996 SHARES VALUE ------ ------- PREFERRED STOCK--0.01% HEALTHCARE--SERVICE--0.01% 3,640 AETNA, INC CV 6.25% ................. $ 288,925 480 FHP INTERNATIONAL CORP SERIES A CV 14,640 32,800 o FRESENIUS MEDICAL CARE (CLASS D) .... 4,264 ----------- 307,829 ----------- TOTAL PREFERRED STOCK (Cost $250,865) .................... 307,829 ----------- COMMON STOCK--95.76% AEROSPACE--0.53% 6,900 o ALLIANT TECHSYSTEMS, INC ............ 379,500 107,800 BOEING CO ........................... 11,467,225 16,300 o HEXCEL CORP ......................... 264,875 8,000 OEA, INC ............................ 366,000 4,900 PRECISION CAST PARTS CORP ........... 243,162 10,200 o WYMAN-GORDON CO ..................... 226,950 ----------- 12,947,712 ----------- AIR TRANSPORTATION--0.16% 12,000 AIR EXPRESS INTERNATIONAL CORP ...... 387,000 5,600 ATLANTIC SOUTHEAST AIRLINES, INC .... 122,500 14,050 COMAIR HOLDINGS, INC ................ 337,200 6,900 o CONTINENTAL AIRLINES, INC (CLASS B) . 194,925 5,400 o FEDERAL EXPRESS CORP ................ 240,300 7,800 o MESA AIR GROUP, INC ................. 52,650 50,500 o SABRE GROUP HOLDINGS, INC ........... 1,407,687 40,100 SOUTHWEST AIRLINES CO ............... 887,212 6,800 o U.S. AIR GROUP, INC ................. 158,950 13,500 o VALUJET, INC ........................ 86,906 ----------- ` ` 3,875,330 ----------- AUTOMOTIVE & RELATED--1.10% 13,300 o ALLEN GROUP, INC .................... 295,925 15,400 o AMERICREDIT CORP .................... 315,700 8,400 APOGEE ENTERPRISES, INC ............. 333,900 5,700 BREED TECHNOLOGIES, INC ............. 148,200 1,010,200 COOPER TIRE & RUBBER CO ............. 19,951,450 13,500 DANAHER CORP ........................ 629,437 7,100 o DISCOUNT AUTO PARTS, INC ............ 165,962 9,100 ECHLIN, INC ......................... 287,787 3,400 EXIDE CORP .......................... 78,200 5,500 o FOAMEX INTERNATIONAL, INC ........... 90,750 8,600 GRACO, INC .......................... 210,700 32,000 HARLEY DAVIDSON, INC ................ 1,504,000 9,900 INTERMET CORP ....................... 159,637 9,700 o KIRBY CORP .......................... 191,575 27,500 o LEAR CORP ........................... 938,437 18,400 o LO-JACK CORP ........................ 184,000 4,400 MODINE MANUFACTURING CO ............. 117,700 13,500 POLARIS INDUSTRIES, INC ............. 320,625 9,100 o RENTERS CHOICE, INC ................. 131,950 4,900 o SAFESKIN CORP ....................... 238,875 6,500 SUPERIOR INDUSTRIES INTERNATIONAL, INC ................. 150,312 9,700 WABASH NATIONAL CORP ................ 178,237 ------------ 26,623,359 ------------ BANKS--1.20% 3,700 CAPITAL ONE FINANCIAL CORP .......... 133,200 211,100 CITICORP N.A ........................ 21,743,300 22,800 FIFTH THIRD BANCORP ................. 1,432,125 3,742 FIRST UNION CORP .................... 276,908 60,000 NORTHERN TRUST CORP ................. 2,175,000 14,141 OLD NATIONAL BANCORP ................ 555,034 4,000 STATE STREET BOSTON CORP ............ 258,000 42,900 SYNOVUS FINANCIAL CORP .............. 1,378,162 12,795 TRUSTCO BANK CORP ................... 273,493 4,400 U.S. TRUST CORP NEW ................. 347,600 10,700 WILMINGTON TRUST CORP ............... 422,650 ------------ 28,995,472 ------------ BEVERAGES--3.47% 37,550 ANHEUSER BUSCH COS, INC ............. 1,502,000 11,400 BROWN FORMAN, INC (CLASS B) ......... 521,550 1,021,400 COCA COLA CO ........................ 53,751,175 23,700 COCA COLA ENTERPRISES, INC .......... 1,149,450 923,750 PEPSICO, INC ........................ 27,019,687 4,200 o ROBERT MONDAVI CORP (CLASS A) ....... 153,300 ------------ 84,097,162 ------------ BROADCASTERS--0.61% 12,300 o ACKERLEY COMMUNICATIONS, INC ........ 144,525 9,675 o ASSOCIATED GROUP, INC (CLASS A) ..... 297,506 575 o ASSOCIATED GROUP, INC (CLASS B) ..... 17,106 22,000 o CLEAR CHANNEL COMMUNICATIONS, INC ... 794,750 18,400 COMCAST CORP (CLASS A) .............. 324,300 91,143 COMCAST CORP (CLASS A) SPL .......... 1,623,484 14,600 o DATA BROADCASTING CORP .............. 102,200 11,700 o EVERGREEN MEDIA CORP (CLASS A) ...... 292,500 26,920 GAYLORD ENTERTAINMENT CO ............ 615,795 11,100 HARTE-HANKS COMMUNICATIONS, INC ..... 308,025 18,400 o HERITAGE MEDIA CORP (CLASS A) NEW ... 207,000 49,150 o INFINITY BROADCASTING CORP (CLASS A) 1,652,668 5,000 o JACOR COMMUNICATIONS, INC WTS 9/18/01 ........................ 10,000 62,350 o LIBERTY MEDIA GROUP (CLASS A) ....... 1,780,871 5,400 o LIN TELEVISION CORP ................. 228,150 10,400 o NATIONAL MEDIA CORP ................. 72,800 2,800 SCRIPPS (E.W.) CO (CLASS A) ......... 98,000 8,300 TCA CABLE TV, INC ................... 250,037 24,460 o TCI SATELLITE ENTERTAINMENT (CLASS A) 241,542 265,300 o TELE-COMMUNICATIONS, INC (CLASS A) NEW ...................... 3,465,481 3,700 UNITED TELEVISION, INC .............. 318,662 12,196 o VIACOM, INC (CLASS A) ............... 420,762 44,587 o VIACOM, INC (CLASS B) ............... 1,554,971 ------------ 14,821,135 ------------ BUSINESS SERVICES--1.40% 28,099 o ACCUSTAFF, INC ...................... 593,591 24,866 o ACNEILSEN CORP ...................... 376,098 7,900 ADVO, INC ........................... 110,600 14,400 o AFFILIATED COMPUTER SERVICES, INC (CLASS A) .......................... 428,400 7,300 o ALLIANCE SEMICONDUCTOR CORP ......... 52,012 7,600 o ALTERNATIVE RESOURCES CORP .......... 132,050 35,700 o AMERICA ONLINE, INC ................. 1,187,025 6,600 o AMRE, INC ........................... 10,725 22,200 o APOLLO GROUP, INC (CLASS A) ......... 742,312 17,700 AUTODESK, INC ....................... 495,600 41,100 BLOCK (H&R), INC .................... 1,191,900 2,500 o CABLEVISION SYSTEMS CORP (CLASS A) .. 76,562 27,900 o CALGENE, INC ........................ 139,500 See notes to financial statements. -45- SHARES VALUE ------ ------- BUSINESS SERVICES--(CONTINUED) 10,200 o CATALINA MARKETING CORP ............. $ 562,275 15,900 o CHECKPOINT SYSTEMS, INC ............. 393,525 10,400 CINTAS CORP ......................... 611,000 60,700 COGNIZANT CORP ...................... 2,003,100 7,200 o COMPUTER HORIZONS CORP .............. 277,200 27,100 o COMPUTERVISION CORP ................. 250,675 29,900 o CORPORATE EXPRESS, INC .............. 880,181 37,000 o CORRECTIONS CORP OF AMERICA ......... 1,133,125 8,100 o CREDENCE SYSTEMS CORP ............... 163,012 7,700 o DATA TRANSMISSION NETWORK CORP ...... 171,325 7,000 DELUXE CORP ......................... 229,250 18,300 o DEVRY, INC .......................... 430,050 3,500 o DIALOGIC CORP ....................... 110,250 18,500 DIEBOLD, INC ........................ 1,163,187 13,761 o DOUBLETREE CORP ..................... 619,245 4,400 o ENCAD, INC .......................... 181,500 11,800 o FAIRCHILD CORP (CLASS A) ............ 174,050 15,700 o FORE SYSTEMS, INC ................... 516,137 7,500 o FRANKLIN QUEST CO ................... 157,500 10,300 o FRITZ COS, INC ...................... 131,325 7,500 o GATEWAY 2000, INC ................... 401,718 8,000 o GENERAL MAGIC, INC .................. 18,500 9,200 HARLAND (JOHN H.) CO ................ 303,600 4,500 o INSO CORP ........................... 178,875 9,300 o INTERIM SERVICES, INC ............... 330,150 30,700 INTERPUBLIC GROUP OF COS, INC ....... 1,458,250 5,000 o ITRON, INC .......................... 88,750 7,800 KELLY SERVICES, INC (CLASS A) ....... 210,600 33,000 MANPOWER, INC ....................... 1,072,500 17,700 o MCAFEE ASSOCIATES, INC .............. 778,800 9,300 o MERCURY INTERACTIVE CORP ............ 120,900 10,500 o MICRO WAREHOUSE, INC ................ 123,375 15,500 o NATIONAL EDUCATION CORP ............. 236,375 3,000 o NFO RESEARCH, INC ................... 66,000 54,450 o OFFICE DEPOT, INC ................... 966,487 23,898 OLSTEN CORP ......................... 361,457 32,400 OMNICOM GROUP, INC .................. 1,482,300 3,900 o OPTICAL DATA SYSTEMS, INC ........... 46,800 26,250 PAYCHEX, INC ........................ 1,350,234 14,300 PITTSTON BRINKS GROUP CO ............ 386,100 12,200 o PREPAID LEGAL SERVICES, INC ......... 222,650 9,888 o PURE ATRIA CORP ..................... 244,728 11,400 o QUARTERDECK CORP .................... 47,025 5,800 o REMEDY CORP ......................... 311,750 28,300 o ROBERT HALF INTERNATIONAL, INC ...... 972,812 9,100 ROLLINS, INC ........................ 182,000 13,600 SENSORMATIC ELECTRONICS CORP ........ 227,800 98,700 SERVICE CORP INTERNATIONAL .......... 2,763,600 12,300 o SPECTRUM HOLOBYTE, INC .............. 92,250 11,400 o STAC, INC ........................... 75,525 18,100 o SUNGARD DATA SYSTEMS, INC ........... 714,950 8,250 o SYLVAN LEARNING SYSTEMS, INC ........ 235,125 6,200 o THERMOLASE CORP ..................... 97,650 13,100 TOTAL SYSTEM SERVICES, INC .......... 352,062 9,600 o TSENG LABORATORIES, INC ............. 30,000 14,300 UNIFIRST CORP ....................... 303,875 10,600 o UNITED STATIONERS, INC .............. 206,700 6,400 VALSPAR CORP ........................ 362,400 10,900 o VERIFONE, INC ....................... 321,550 10,200 WACKENHUT CORP SERIES A ............. 175,950 5,700 o WIND RIVER SYSTEMS, INC ............. 270,037 7,300 o WONDERWARE CORP ..................... 64,901 ------------ 33,951,398 ------------ CHEMICALS--MAJOR--1.65% 7,600 AIR PRODUCTS & CHEMICALS, INC ....... 525,350 5,500 o APPLIX, INC ......................... 120,312 3,100 o CHEMFIRST, INC (W/I) ................ 71,687 7,000 DOW CHEMICAL CO ..................... 548,625 21,400 DU PONT (E.I.) DE NEMOURS & CO ...... 2,019,625 42,700 HERCULES, INC ....................... 1,846,775 4,935 o MISSISSIPPI CHEMICAL CORP ........... 118,440 246,050 MONSANTO CO ......................... 9,565,193 11,800 o OAK TECHNOLOGY, INC ................. 132,750 7,400 PPG INDUSTRIES, INC ................. 415,325 520,600 PRAXAIR, INC ........................ 24,012,675 7,500 o QUINTILES TRANSNATIONAL CORP ........ 496,875 5,100 o TECHNE CORP ......................... 132,600 ------------ 40,006,232 ------------ CHEMICALS--SPECIALTY--0.58% 25,300 o AIRGAS, INC ......................... 556,600 4,550 ALBEMARLE CORP ...................... 82,468 4,400 BETZDEARBORN, INC ................... 257,400 13,300 CROMPTON & KNOWLES CORP ............. 256,025 18,300 o CYTEC INDUSTRIES, INC ............... 743,437 25,200 ECOLAB, INC ......................... 948,150 5,900 o ENERGY CONVERSION DEVICES, INC ...... 80,387 38,450 ENGELHARD CORP ...................... 735,356 14,500 FOSTER WHEELER CORP ................. 538,312 13,600 GEORGIA GULF CORP ................... 365,500 36,100 GRACE (W.R.) & CO ................... 1,868,175 6,100 GREAT LAKES CHEMICAL CORP ........... 285,175 17,800 ICN PHARMACEUTICALS, INC NEW ........ 349,325 8,500 LOCTITE CORP ........................ 517,437 6,900 LYONDELL PETROCHEMICAL CO ........... 151,800 6,450 o MCWHORTER TECHNOLOGIES, INC ......... 147,543 49,600 MORTON INTERNATIONAL, INC ........... 2,021,200 9,200 o MYCOGEN CORP ........................ 197,800 3,400 NALCO CHEMICAL CORP ................. 122,825 19,000 RAYCHEM CORP ........................ 1,522,375 23,550 RPM, INC ............................ 400,350 4,825 SCHULMAN (A.), INC .................. 118,212 17,700 o SEALED AIR CORP ..................... 736,762 17,200 SIGMA ALDRICH CORP .................. 1,073,925 ------------ 14,076,539 ------------ COMMUNICATION EQUIPMENT & SERVICES--3.85% 22,700 o 360 COMMUNICATIONS CO ............... 524,937 226,326 o 3COM CORP ........................... 16,606,670 8,250 o ACC CORP ............................ 249,562 202,600 o AIRTOUCH COMMUNICATIONS, INC ........ 5,115,650 25,900 o ANDREW CORP ......................... 1,374,318 12,900 o ARCH COMMUNICATIONS GROUP, INC ...... 120,937 50,300 o ASCEND COMMUNICATIONS, INC .......... 3,124,887 8,900 o AVID TECHNOLOGIES, INC .............. 92,337 21,300 o BRINKER INTERNATIONAL, INC .......... 340,800 4,700 o BROADBAND TECHNOLOGIES, INC ......... 69,325 7,800 o CABLE DESIGN TECHNOLOGIES CO ........ 242,775 44,100 o CABLETRON SYSTEMS, INC .............. 1,466,325 16,600 o CAI WIRELESS SYSTEMS, INC ........... 16,600 28,800 o CASCADE COMMUNICATIONS CORP ......... 1,587,600 5,400 o CELLULAR COMMUNICATIONS INTERNATIONAL, INC ................. 156,600 10,300 o CELLULAR TECHNICAL SERVICES CO ...... 206,000 14,600 o CENTURY COMMUNICATIONS CORP (CLASS A) .......................... 83,037 6,200 CENTURY TELEPHONE ENTERPRISES, INC .. 191,425 46,500 o CHYRON CORP ......................... 133,687 6,500 o CIDCO, INC .......................... 113,750 See notes to financial statements. -46- SHARES VALUE ------ ------- COMMUNICATION EQUIPMENT & SERVICES--(CONTINUED) 455,900 o CISCO SYSTEMS, INC .................. $ 29,006,637 91,300 CORNING, INC ........................ 4,222,625 10,100 o DIGI INTERNATIONAL, INC ............. 95,950 7,600 o DIGITAL MICROWAVE CORP .............. 211,850 45,900 o DSC COMMUNICATIONS CORP ............. 820,462 21,800 o DSP COMMUNICATIONS, INC ............. 422,375 8,600 o DYNATECH CORP ....................... 380,550 4,800 o EMMIS BROADCASTING CORP (CLASS A) ... 157,200 10,700 o EXECUTIVE TELECARD LTD .............. 66,875 8,300 o GENERAL DATACOMM INDUSTRIES, INC .... 87,150 23,300 o GEOTEK COMMUNICATIONS, INC .......... 166,012 4,600 o HARMONIC LIGHTWAVES, INC ............ 70,725 7,900 o HIGHWAYMASTER COMMUNICATIONS, INC ... 143,187 13,600 o INTELIDATA TECHNOLOGIES CORP ........ 98,600 17,600 o INTERDIGITAL COMMUNICATIONS CORP .... 101,200 9,300 o INTERMEDIA COMMUNICATIONS, INC ...... 239,475 16,200 o INTERNATIONAL FAMILY ENTERTAINMENT INC .................. 251,100 4,900 o JACOR COMMUNICATIONS, INC ........... 134,137 39,600 o LCI INTERNATIONAL, INC .............. 851,400 6,500 o LEVEL ONE COMMUNICATIONS, INC ....... 232,375 142,623 o LUCENT TECHNOLOGIES, INC ............ 6,596,313 12,500 o MACROMEDIA, INC ..................... 225,000 4,300 o MASTEC, INC ......................... 227,900 13,900 o METROCALL, INC ...................... 69,717 111,900 o MFS COMMUNICATIONS CO, INC .......... 6,098,550 4,600 o NETCOM ON-LINE COMMUNICATIONS SERVICE, INC ....................... 59,800 9,300 o NETWORK EQUIPMENT TECHNOLOGIES, INC .................. 153,450 4,500 o NEW WORLD COMMUNICATIONS GROUP, INC ......................... 113,625 102,400 o NOVELL, INC ......................... 969,600 23,200 o OCTEL COMMUNICATIONS CORP ........... 406,000 8,600 o P-COM, INC .......................... 254,775 41,800 o PAGING NETWORK, INC ................. 637,450 31,200 o PAIRGAIN TECHNOLOGIES, INC .......... 949,650 14,600 o PANAMSAT CORP ....................... 408,800 9,018 o PHARMACEUTICAL PRODUCT DEVELOPMENT ........................ 227,704 13,700 o PICTURETEL CORP NEW ................. 356,200 15,400 o PMT SERVICES, INC ................... 269,500 9,300 o PREMISYS COMMUNICATIONS, INC ........ 313,875 5,400 o PROXIM, INC ......................... 124,200 22,100 o QUALCOMM, INC ....................... 881,237 6,900 o RENAISSANCE COMMUNICATIONS CORP ..... 246,675 26,500 SCIENTIFIC-ATLANTA, INC ............. 397,500 3,300 o STANFORD TELECOMMUNICATIONS, INC .... 113,850 16,100 o TECH DATA CORP ...................... 440,737 65,800 o TELLABS, INC ........................ 2,475,725 3,300 o TELTREND, INC ....................... 91,575 16,400 o VANGUARD CELLULAR SYSTEMS, INC ...... 258,300 11,500 o WINSTAR COMMUNICATIONS, INC ......... 241,500 ------------ 93,186,315 ------------ COMPUTER SERVICE--5.81% 8,100 o ACTEL CORP .......................... 192,375 25,200 o ACXIOM CORP ......................... 604,800 378,000 o ADAPTEC, INC ........................ 15,120,000 53,100 o ADC TELECOMMUNICATIONS, INC ......... 1,652,737 25,900 ADOBE SYSTEMS, INC .................. 968,012 19,875 o AMERICAN MANAGEMENT SYSTEMS, INC .... 486,937 11,500 o AUSPEX SYSTEMS, INC ................. 133,687 118,800 AUTOMATIC DATA PROCESSING, INC ...... 5,093,550 5,800 o AVANT CORP .......................... 184,150 9,300 o BANCTEC, INC ........................ 191,812 71,555 o BAY NETWORKS, INC ................... 1,493,710 7,900 o BBN CORP ............................ 177,750 9,900 o BELL & HOWELL CO .................... 235,125 14,300 o BISYS GROUP, INC .................... 529,993 41,400 o BMC SOFTWARE, INC ................... 1,712,925 4,000 o BORLAND INTERNATIONAL, INC .......... 21,750 11,300 o BOSTON TECHNOLOGY, INC .............. 324,875 6,500 o BRODERBUND SOFTWARE, INC ............ 193,375 11,900 o C-CUBE MICROSYSTEMS, INC ............ 439,556 37,300 o CADENCE DESIGN SYSTEMS, INC ......... 1,482,675 15,800 o CAMBRIDGE TECHNOLOGY PARTNERS, INC .. 530,287 2,150 o CDW COMPUTER CENTERS, INC ........... 127,521 7,600 o CENTENNIAL TECHNOLOGIES, INC ........ 395,200 27,100 o CERIDIAN CORP ....................... 1,097,550 9,700 o CHECKFREE CORP ...................... 166,112 11,600 o CITRIX SYSTEMS, INC ................. 453,125 38,300 o COMPUSA, INC ........................ 789,937 471,825 COMPUTER ASSOCIATES INTERNATIONAL, INC ................. 23,473,293 25,300 o COMPUTER NETWORK TECHNOLOGY CORP .... 126,500 30,004 o COMPUTER SCIENCES CORP .............. 2,464,078 7,000 o COMPUTER TASK GROUP, INC ............ 301,875 15,800 o COMPUWARE CORP ...................... 791,975 5,700 o COMSHARE, INC ....................... 99,750 6,400 o CYRIX CORP .......................... 113,600 11,400 o DIAMOND MULTIMEDIA SYSTEMS, INC ..... 135,375 14,900 o DST SYSTEMS, INC .................... 467,487 21,000 o ELECTRONIC ARTS, INC ................ 628,687 137,500 ELECTRONIC DATA SYSTEMS CORP ........ 5,946,875 90,700 o EMC CORP ............................ 3,004,437 9,500 o EMPLOYEE SOLUTIONS, INC ............. 194,750 5,400 o EXCALIBUR TECHNOLOGIES CORP ......... 85,050 171,322 FIRST DATA CORP ..................... 6,253,253 19,900 o FISERV, INC ......................... 731,325 5,200 o GEOWORKS ............................ 127,400 19,900 o GT INTERACTIVE SOFTWARE CORP ........ 141,787 33,734 HBO & CO ............................ 2,002,956 7,400 o HNC SOFTWARE ........................ 231,250 7,900 o HYPERION SOFTWARE CORP .............. 167,875 11,800 o IDENTIX, INC ........................ 96,612 14,800 o IMATION CORP ........................ 416,250 4,100 o IMNET SYSTEMS, INC .................. 99,425 62,600 o INFORMIX CORP ....................... 1,275,475 11,800 o INTEGRATED SYSTEMS, INC ............. 306,800 10,700 o INTERSOLV, INC ...................... 98,975 14,900 o INTUIT, INC ......................... 469,350 5,100 JACK HENRY & ASSOCIATES INC ......... 182,325 17,100 o KEANE, INC .......................... 542,925 14,614 o LEARNING CO, INC .................... 210,076 9,300 o LEGATO SYSTEMS, INC ................. 303,412 7,000 o MDL INFORMATION SYSTEM, INC ......... 130,375 11,400 o MEDIC COMPUTER SYSTEMS, INC ......... 459,562 24,100 o MENTOR GRAPHICS CORP ................ 234,975 14,500 o MICROCHIP TECHNOLOGY, INC ........... 737,687 6,300 o MICRON ELECTRONICS, INC ............. 122,456 327,200 o MICROSOFT CORP ...................... 27,034,900 12,400 NATIONAL DATA CORP .................. 539,400 15,700 o NETMANAGE, INC ...................... 94,200 18,800 o NETSCAPE COMMUNICATIONS CORP ........ 1,069,250 5,400 o NETWORK GENERAL CORP ................ 163,350 6,300 o NETWORK PERIPHERALS, INC ............ 111,825 7,400 o OBJECTIVE SYSTEMS INTEGRATORS, INC .. 176,675 208,775 o ORACLE CORP ......................... 8,716,356 55,200 o PARAMETRIC TECHNOLOGY CORP .......... 2,835,900 32,500 o PEOPLESOFT, INC ..................... 1,557,968 See notes to financial statements. -47- SHARES VALUE ------ ------- COMPUTER SERVICE--(C0NTINUED) 10,000 o PHOENIX TECHNOLOGIES LTD ............ $ 161,250 9,200 o PHYSICIAN COMPUTER NETWORK, INC ..... 78,200 23,400 o PLATINUM TECHNOLOGY, INC ............ 318,825 6,000 o POLICY MANAGEMENT SYSTEMS CORP ...... 276,750 3,700 o PROJECT SOFTWARE & DEVELOPMENT, INC ................... 156,787 9,800 o PSINET, INC ......................... 106,575 16,100 o RATIONAL SOFTWARE CORP .............. 636,956 8,600 o READ RITE CORP ...................... 217,150 38,300 REYNOLDS & REYNOLDS CO (CLASS A) .... 995,800 12,600 o SAFEGUARD SCIENTIFICS, INC .......... 400,050 12,900 o SECURITY DYNAMICS TECHNOLOGIES, INC . 406,350 9,900 SEI CORP ............................ 220,275 11,500 SHARED MEDICAL SYSTEMS CORP ......... 566,375 10,200 o SHIVA CORP .......................... 355,725 5,600 o SPYGLASS, INC ....................... 70,000 32,596 o STERLING COMMERCE INC ............... 1,149,009 13,900 o STERLING SOFTWARE, INC .............. 439,587 13,600 o STRUCTURAL DYNAMICS RESEARCH CORP ... 272,000 30,000 o SYBASE, INC ......................... 500,625 20,000 o SYMANTEC CORP ....................... 290,000 16,700 o SYNOPSYS, INC ....................... 772,375 11,500 SYSTEM SOFTWARE ASSOCIATES, INC ..... 122,187 8,000 o SYSTEMSOFT CORP ..................... 119,000 6,200 o THE PEAK TECHNOLOGIES GROUP, INC .... 74,400 13,300 o TRANSACTION SYSTEM ARCHITECTURE ..... 442,225 5,400 o TRIDENT MICROSYSTEMS, INC ........... 91,125 7,500 o VIASOFT INC ......................... 354,375 6,100 o VIDEOSERVER, INC .................... 259,250 9,500 o VIEWLOGIC SYSTEMS, INC .............. 108,062 7,900 o XIRCOM, INC ......................... 171,825 8,700 o ZEBRA TECHNOLOGY CORP ............... 203,362 ------------ 140,612,083 ------------ CONGLOMERATES--0.80% 54,000 ALCO STANDARD CORP .................. 2,787,750 71,000 ALLIED SIGNAL, INC .................. 4,757,000 11,000 o ANIXTER INTERNATIONAL, INC .......... 177,375 9,100 o BLYTH INDUSTRIES, INC ............... 415,187 23,975 o CONCORD EFS, INC .................... 677,293 23,000 o COPYTELE, INC ....................... 113,562 7,350 CRANE CO ............................ 213,150 15,600 o METROMEDIA INTERNATIONAL GROUP INC .. 154,050 50,800 MINNESOTA MINING & MANUFACTURING CO . 4,210,050 7,300 STANDEX INTERNATIONAL CORP .......... 225,387 58,500 TYCO INTERNATIONAL LTD .............. 3,093,187 16,800 UNITED TECHNOLOGIES CORP ............ 1,108,800 36,900 VIAD CORP ........................... 608,850 40,000 WHITMAN CORP ........................ 915,000 ------------ 19,456,641 ------------ CONSTRUCTION--MATERIALS & BUILDERS--0.35% 5,900 CARLISLE COS, INC ................... 356,950 7,400 o CDI CORP ............................ 209,975 22,020 o CHAMPION ENTERPRISES, INC ........... 429,390 36,620 CLAYTON HOMES, INC .................. 494,370 12,000 FASTENAL CO ......................... 549,000 8,200 o JACOBS ENGINEERING GROUP, INC ....... 193,725 39,100 MASCO CORP .......................... 1,407,600 6,900 MEDUSA CORP ......................... 237,187 5,400 o NCI BUILDING SYSTEMS, INC ........... 186,300 19,900 OAKWOOD HOMES CORP .................. 455,212 18,300 OWENS CORNING CO .................... 780,037 7,700 PITTWAY CORP (CLASS A) .............. 411,950 4,500 SHERWIN-WILLIAMS CO ................. 252,000 38,264 SIMON DEBARTOLO GROUP, INC .......... 1,186,184 12,700 o SOLA INTERNATIONAL, INC ............. 482,600 18,800 o USG CORP ............................ 636,850 9,400 WATSCO, INC ......................... 271,425 ------------ 8,540,755 ------------ CONTAINERS--0.10% 33,150 CROWN CORK & SEAL CO, INC ........... 1,802,531 21,200 o GAYLORD CONTAINER CO ................ 129,850 16,400 o OWENS ILLINOIS, INC ................. 373,100 ------------ 2,305,481 ------------ COSMETICS--0.93% 51,900 AVON PRODUCTS, INC .................. 2,964,787 1,500 CARTER WALLACE, INC ................. 23,437 182,100 GILLETTE CO ......................... 14,158,275 38,500 INTERNATIONAL FLAVORS & FRAGRANCES, INC .................... 1,732,500 115,300 o NU SKIN ASIA PACIFIC, INC (CLASS A) . 3,559,887 ------------ 22,438,886 ------------ ELECTRICAL EQUIPMENT--4.18% 221,500 ABB AB SERIES A ..................... 24,978,803 32,500 o AMERICAN POWER CONVERSION CORP ...... 885,625 12,100 AMETEK, INC ......................... 269,225 10,500 BELDEN, INC ......................... 388,500 49,100 DURACELL INTERNATIONAL, INC ......... 3,430,862 27,300 EMERSON ELECTRIC CO ................. 2,641,275 583,000 GENERAL ELECTRIC CO ................. 57,644,125 2,600 GRAINGER (W.W.), INC ................ 208,650 16,800 HONEYWELL, INC ...................... 1,104,600 7,140 HUBBELL, INC (CLASS B) .............. 308,805 129,700 THOMAS & BETTS CORP ................. 5,755,437 178,800 WESTINGHOUSE ELECTRIC CORP .......... 3,553,650 ------------ 101,169,557 ------------ ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--8.31% 13,800 o ADVANCED MICRO DEVICES, INC ......... 355,350 17,300 o ALTERA CORP ......................... 1,257,493 6,600 o ALTRON, INC ......................... 138,600 47,700 AMP, INC ............................ 1,830,487 15,900 o AMPHENOL CORP (CLASS A) ............. 353,775 54,500 o ANALOG DEVICES, INC ................. 1,846,187 461,200 o ARROW ELECTRONICS, INC .............. 24,674,200 40,600 o ATMEL CORP .......................... 1,344,875 3,300 AVNET, INC .......................... 192,225 7,100 AVX CORP ............................ 152,650 7,700 o CALIFORNIA AMPLIFIER, INC ........... 47,162 9,400 o CHIPS & TECHNOLOGIES, INC ........... 171,550 6,500 o CHRONIMED, INC ...................... 88,562 22,900 o CIRRUS LOGIC, INC ................... 354,950 13,700 o COMPUCOM SYSTEMS, INC ............... 147,275 11,000 o COMPUTER PRODUCTS, INC .............. 214,500 9,600 o COMVERSE TECHNOLOGY, INC ............ 363,000 6,800 o CREE RESEARCH, INC .................. 63,750 19,000 o CYPRESS SEMICONDUCTOR CORP .......... 268,375 9,900 DALLAS SEMICONDUCTOR CORP ........... 227,700 5,700 o DII GROUP, INC ...................... 132,525 8,300 o ESS TECHNOLOGY ...................... 233,437 9,400 FISHER SCIENTIFIC INTERNATIONAL, INC 442,975 56,700 o GENERAL INSTRUMENT CORP NEW ......... 1,226,137 3,400 o HADCO CORP .......................... 166,600 5,200 HELIX TECHNOLOGY CORP ............... 150,800 1,900 o HUTCHINSON TECHNOLOGY, INC .......... 144,400 10,000 o IMP, INC ............................ 22,187 20,700 o INTEGRATED DEVICE TECHNOLOGY, INC ... 282,037 See notes to financial statements. -48- SHARES VALUE ------ ------- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--(CONTINUED) 523,700 INTEL CORP .......................... $ 68,571,968 19,200 o INTERNATIONAL RECTIFIER CORP ........ 292,800 15,400 o KEMET CORP .......................... 358,050 11,100 o KENT ELECTRONICS CORP ............... 285,825 9,800 o LAM RESEARCH CORP ................... 275,625 9,200 o LATTICE SEMICONDUCTOR CORP .......... 423,200 845,600 LINEAR TECHNOLOGY CO ................ 37,100,700 51,600 o LSI LOGIC CORP ...................... 1,380,300 539,700 o MAXIM INTEGRATED PRODUCTS ........... 23,342,025 7,300 o MEMC ELECTRONIC MATERIALS, INC ...... 164,250 14,900 METHODE ELECTRONICS, INC (CLASS A) .. 301,725 73,200 MICRON TECHNOLOGY, INC .............. 2,131,950 28,575 MOLEX, INC .......................... 1,117,996 241,100 MOTOROLA, INC ....................... 14,797,512 7,800 o MRV COMMUNICATIONS, INC ............. 169,650 10,100 o MYLEX CORP .......................... 126,250 7,400 o OAK INDUSTRIES, INC NEW ............. 170,200 14,200 PIONEER-STANDARD ELECTRONICS, INC ... 186,375 5,600 o PLANTRONICS, INC .................... 252,000 7,600 o ROBOTIC VISION SYSTEMS, INC ......... 90,250 21,200 o S3, INC ............................. 344,500 8,500 o SANMINA CORP ........................ 480,250 7,500 o SEMITOOL, INC ....................... 71,250 12,000 o SIERRA SEMICONDUCTOR CORP ........... 180,000 9,500 o SYMBOL TECHNOLOGIES, INC ............ 420,375 8,500 o SYMMETRICOM, INC .................... 168,937 6,600 o TCSI CORP ........................... 41,250 54,400 TEXAS INSTRUMENTS, INC .............. 3,468,000 10,000 o TRIMBLE NAVIGATION LTD .............. 115,000 36,000 o U.S. ROBOTICS CORP .................. 2,592,000 7,900 o UCAR INTERNATIONAL INC .............. 297,237 8,100 o UNIPHASE CORP ....................... 425,250 5,700 o UNITRODE CORP ....................... 167,437 15,000 o VICOR CORP .......................... 250,312 8,785 o VISHAY INTERTECHNOLOGY, INC ......... 205,349 8,300 o VITESSE SEMICONDUCTOR CORP .......... 377,650 14,600 o VLSI TECHNOLOGY, INC ................ 348,575 11,100 o WATERS CORP ......................... 337,162 16,700 o WESTERN DIGITAL CORP ................ 949,812 3,800 WYLE ELECTRONICS .................... 150,100 32,900 o XILINX, INC ......................... 1,211,131 7,200 o ZILOG, INC .......................... 188,100 ------------ 201,222,092 ------------ ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.35% 73,400 o APPLIED MATERIALS, INC .............. 2,637,812 23,300 o AURA SYSTEMS, INC ................... 50,968 11,200 o DIONEX CORP ......................... 392,000 8,200 o ELECTROGLAS, INC .................... 132,225 11,600 o ELECTRONICS FOR IMAGING, INC ........ 954,100 4,700 o EPIC DESIGN TECHNOLOGY, INC ......... 117,500 10,000 o GENRAD, INC ......................... 232,500 18,500 o INPUT/OUTPUT, INC ................... 342,250 20,700 o KLA INSTRUMENTS CORP ................ 734,850 7,300 o KULICHE & SOFFA INDUSTRIES, INC ..... 138,700 17,000 o LTX CORP ............................ 99,875 7,400 o NORTHFIELD LABORATORIES, INC ........ 79,550 18,500 PERKIN-ELMER CORP ................... 1,089,187 6,400 o SILICON VALLEY GROUP, INC ........... 128,800 1,800 TEKTRONIX, INC ...................... 92,250 11,800 o TENCOR INSTRUMENTS .................. 311,225 17,300 o TERADYNE, INC ....................... 421,687 6,500 o THERMO INSTRUMENT SYSTEMS, INC ...... 215,312 10,100 X RITE, INC ......................... 166,650 ------------ 8,337,441 ------------ ENVIRONMENTAL CONTROL--0.37% 35,100 o ALLIED WASTE INDUSTRIES, INC ........ 324,675 11,600 BROWNING FERRIS INDUSTRIES, INC ..... 304,500 10,100 o CULLIGAN WATER TECHNOLOGIES, INC .... 409,050 62,500 o REPUBLIC INDUSTRIES, INC ............ 1,949,218 16,650 o U.S. FILTER CORP .................... 528,637 44,000 o U.S.A. WASTE SERVICES, INC .......... 1,402,500 22,100 o UNITED WASTE SYSTEMS, INC ........... 759,687 100,800 WMX TECHNOLOGIES, INC ............... 3,288,600 ------------ 8,966,867 ------------ FINANCIAL--MISCELLANEOUS--2.90% 6,500 AAMES FINANCIAL CORP ................ 233,187 17,000 ADVANTA CORP (CLASS A) .............. 726,750 2,100 AMBAC, INC .......................... 139,387 64,600 AMERICAN EXPRESS CO ................. 3,649,900 15,000 CARR REALTY CORP .................... 438,750 4,000 CASE CORP ........................... 218,000 33,000 o CATELLUS DEVELOPMENT CORP ........... 375,375 6,200 CMAC INVESTMENT CORP ................ 227,850 5,197 COUNTRYWIDE CREDIT INDUSTRIES, INC .. 148,764 9,200 o CREDIT ACCEPTANCE CORP .............. 216,200 11,400 DEAN WITTER, DISCOVER & CO .......... 755,250 6,800 o EIS INTERNATIONAL, INC .............. 58,650 6,900 o ENVOY CORP .......................... 258,750 34,400 FEDERAL HOME LOAN MORTGAGE CORP ..... 3,788,300 304,800 FEDERAL NATIONAL MORTGAGE ASSOCIATION ........................ 11,353,800 4,200 FINOVA GROUP, INC ................... 269,850 781,800 FIRST USA, INC ...................... 27,069,825 22,300 FRANKLIN RESOURCES, INC ............. 1,524,762 21,400 o GARTNER GROUP, INC (CLASS A) NEW .... 833,262 11,900 GENERAL GROWTH PROPERTIES, INC ...... 383,775 59,600 GREEN TREE FINANCIAL CORP ........... 2,302,050 27,213 HOUSEHOLD INTERNATIONAL, INC ........ 2,510,399 78,900 MBNA CORP ........................... 3,274,350 58,050 MERCURY FINANCE CO .................. 711,112 17,400 MILLS CORP .......................... 415,425 14,600 o OLYMPIC FINANCIAL LTD ............... 209,875 12,300 PENNCORP FINANCIAL GROUP, INC ....... 442,800 17,500 PIONEER GROUP, INC .................. 415,625 20,900 PRICE (T. ROWE) ASSOCIATES, INC ..... 909,150 6,200 QUICK & REILLY GROUP, INC ........... 185,225 47,900 SCHWAB (CHARLES) CORP ............... 1,532,800 14,900 SPIEKER PROPERTIES, INC ............. 536,400 18,800 STUDENT LOAN MARKETING ASSOCIATION .. 1,750,750 14,450 THE MONEY STORE, INC ................ 399,181 13,600 TIG HOLDINGS, INC ................... 460,700 22,000 UNITED ASSET MANAGEMENT CORP ........ 585,750 7,700 UNITED COS FINANCIAL CORP ........... 205,012 11,200 VORNADO REALTY TRUST ................ 588,000 ------------ 70,104,991 ------------ FOODS--3.42% 47,900 CAMPBELL SOUP CO .................... 3,843,975 86,200 CONAGRA, INC ........................ 4,288,450 313,200 CPC INTERNATIONAL, INC .............. 24,273,000 19,000 DOLE FOOD, INC ...................... 643,625 3,344 EARTHGRAINS CO ...................... 174,724 9,900 FLOWERS INDUSTRIES, INC ............. 212,850 417,300 GENERAL MILLS, INC .................. 26,446,387 36,000 o GENERAL NUTRITION COS, INC .......... 607,500 58,600 HEINZ (H.J.) CO ..................... 2,094,950 See notes to financial statements. -49- SHARES VALUE ------ ------- FOODS--(CONTINUED) 24,100 HERSHEY FOODS CORP .................. $ 1,054,375 31,800 KELLOGG CO .......................... 2,086,875 9,500 LANCE, INC .......................... 171,000 7,700 MCCORMICK & CO, INC (NON-VOTE) ...... 181,431 17,100 NABISCO HOLDINGS CORP (CLASS A) ..... 664,762 10,200 NATURES SUNSHINE PRODUCTS, INC ...... 183,600 29,000 PIONEER-HI-BRED INTERNATIONAL, INC .. 2,030,000 11,200 QUAKER OATS CO ...................... 427,000 9,000 o RALCORP HOLDINGS, INC ............... 190,125 36,050 RALSTON PURINA CO ................... 2,645,168 20,500 RICHFOOD HOLDINGS, INC .............. 497,125 169,400 SARA LEE CORP ....................... 6,310,150 7,200 o SMITHFIELD FOODS, INC ............... 273,600 7,200 o THE CHEESECAKE FACTORY CO ........... 130,500 9,300 TOOTSIE ROLL INDUSTRIES, INC ........ 368,512 8,100 TYSON FOODS, INC .................... 277,425 9,600 o WHOLE FOODS MARKET, INC ............. 216,000 42,800 WRIGLEY (WM) JR CO .................. 2,407,500 ------------ 82,700,609 ------------ HEALTHCARE--DRUGS--6.92% 5,900 o AGOURON PHARMACEUTICALS, INC ........ 399,725 12,100 o ALLIANCE PHARMACEUTICAL CORP ........ 164,862 35,200 o ALZA CORP ........................... 910,800 183,900 AMERICAN HOME PRODUCTS CORP ......... 10,781,137 108,600 o AMGEN, INC .......................... 5,905,125 11,100 o AMYLIN PHARMACEUTICALS, INC ......... 144,300 10,650 ARBOR DRUGS, INC .................... 185,043 5,800 o BIO-RAD LABORATORIES, INC (CLASS A) . 174,000 24,600 o BIO-TECHNOLOGY GENERAL CORP ......... 322,875 29,000 o BIOGEN, INC ......................... 1,123,750 96,600 BRISTOL MYERS SQUIBB CO ............. 10,505,250 5,700 o CELLPRO, INC ........................ 71,250 22,100 o CENTOCOR, INC ....................... 790,075 10,200 o CEPHALON, INC ....................... 209,100 66,216 o CHIRON CORP ......................... 1,233,273 14,500 o COLUMBIA LABORATORIES, INC .......... 210,250 5,400 o CURATIVE HEALTH SERVICES, INC ....... 149,512 7,700 o CYGNUS, INC ......................... 111,650 38,700 o CYTOGEN CORP ........................ 212,850 18,600 o DURA PHARMACEUTICALS, INC ........... 888,150 10,660 o ENZO BIOCHEMICAL, INC ............... 193,212 15,900 o FOREST LABORATORIES, INC ............ 520,725 15,900 o GENZYME CORP (GENERAL DIVISION) ..... 345,825 37,710 o GENZYME CORP (TISSUE REPAIR DIVISION) 268,683 13,700 o GILEAD SCIENCES, INC ................ 342,500 15,600 o ICOS CORP ........................... 118,950 6,400 o IDEC PHARMACEUTICALS CORP ........... 152,000 9,200 o IMMUNEX CORP NEW .................... 179,400 15,800 o INTERNEURON PHARMACEUTICALS, INC .... 410,800 12,500 o ISIS PHARMACEUTICALS, INC ........... 225,000 43,100 IVAX CORP ........................... 441,775 11,300 JONES MEDICAL INDUSTRIES, INC ....... 413,862 13,200 o LIGAND PHARMACEUTICALS CO (CLASS A) . 196,350 489,484 LILLY (ELI) & CO .................... 35,732,332 15,300 o LIPOSOME CO, INC .................... 292,612 326,800 ~o MARTEK BIOSCIENCES CORP ............. 6,536,000 109,440 ~o MARTEK BIOSCIENCES CORP WTS 5/18/98 . 1,104,249 8,900 o MATRIX PHARMACEUTICALS, INC ......... 54,512 5,400 MCKESSON CORP NEW ................... 302,400 497,500 * MERCK & CO, INC ..................... 39,426,875 49,900 MYLAN LABORATORIES, INC ............. 835,825 10,000 o NEOPROBE CORP ....................... 153,750 7,400 o NEUREX CORP ......................... 125,800 7,200 o NEUROGEN CORP ....................... 138,600 9,200 o NOVEN PHARMACEUTICALS, INC .......... 128,800 262,300 PFIZER, INC ......................... 21,738,112 84,000 PHARMACIA & UPJOHN, INC ............. 3,328,500 5,600 o PROTEIN DESIGN LABORATORIES, INC .... 204,400 10,600 o REGENERON PHARMACEUTICALS, INC ...... 170,925 14,300 RHONE-POULNEC RORER, INC ............ 1,117,187 5,600 o ROBERTS PHARMACEUTICAL CORP ......... 63,000 10,700 o SCHERER (R.P.) CORP ................. 537,675 151,200 SCHERING-PLOUGH CORP ................ 9,790,200 11,100 o SEPRACOR, INC ....................... 184,537 14,900 o SEQUUS PHARMACEUTICALS, INC ......... 238,400 8,200 o SOMATOGEN, INC ...................... 90,200 10,500 o THERMEDICS, INC ..................... 190,312 9,400 o U.S. BIOSCIENCE, INC ................ 118,675 9,700 o VERTEX PHARMACEUTICALS, INC ......... 390,425 7,800 o VICAL, INC .......................... 128,700 74,300 WARNER-LAMBERT CO ................... 5,572,500 13,400 o WATSON PHARMACEUTICALS, INC ......... 602,162 ------------ 167,599,724 ------------ HEALTHCARE--HOSPITAL SUPPLY--4.16% 319,000 ABBOTT LABORATORIES CO .............. 16,189,250 17,400 o AMERICAN ONCOLOGY RESOURCES, INC .... 178,350 9,400 BARD (C.R.), INC .................... 263,200 49,600 BECTON DICKINSON & CO ............... 2,151,400 9,500 o CNS, INC ............................ 136,562 7,400 o CONMED CORP ......................... 151,700 795,100 DENTSPLY INTERNATIONAL, INC NEW ..... 37,767,250 6,700 o ENDOSONICS CORP ..................... 102,175 31,181 GUIDANT CORP ........................ 1,777,317 7,200 o GULF SOUTH MEDICAL SUPPLY, INC ...... 184,500 9,700 o HAEMONETICS CORP .................... 183,087 6,400 o HOLOGIC, INC ........................ 158,400 39,400 o IMATRON, INC ........................ 130,512 9,600 o ISOLYSER CO, INC .................... 67,200 544,476 JOHNSON & JOHNSON CO ................ 27,087,681 6,100 o LIFECORE BIOMEDICAL, INC ............ 109,800 268,000 MILLIPORE CORP ...................... 11,088,500 18,500 o NABI, INC ........................... 161,875 15,000 o NEUROMEDICAL SYSTEMS, INC ........... 198,750 8,400 o ORGANOGENESIS, INC .................. 194,250 18,950 OWENS & MINOR, INC NEW .............. 194,237 9,300 o PATTERSON DENTAL CO ................. 262,725 17,900 o PHYSICIAN SALES & SERVICE, INC ...... 257,312 7,300 o POSSIS MEDICAL, INC ................. 152,387 10,300 o RESPIRONICS, INC .................... 178,962 9,200 o SOFAMOR DANEK GROUP, INC ............ 280,600 8,300 o TECNOL MEDICAL PRODUCTS, INC ........ 125,537 20,100 U.S. SURGICAL CORP .................. 791,437 7,900 o VENTRITEX, INC ...................... 194,537 ------------ 100,719,493 ------------ HEALTHCARE--OTHER--1.01% 6,650 o ACCESS HEALTH, INC .................. 297,587 5,900 o ADVANCED TECHNOLOGY LABORATORIES, INC .................. 182,900 16,100 o ADVANCED TISSUE SCIENCE CO .......... 153,956 15,100 ALLERGAN, INC ....................... 537,937 9,700 o AMERICAN MEDICAL RESPONSE, INC ...... 315,250 5,400 ARROW INTERNATIONAL, INC ............ 155,250 17,500 BALLARD MEDICAL PRODUCTS CO ......... 325,937 46,400 BIOMET, INC ......................... 701,800 42,523 o BOSTON SCIENTIFIC CORP .............. 2,551,380 36,500 o CORAM HEALTHCARE CORP ............... 182,500 11,800 o COVENTRY CORP ....................... 109,334 See notes to financial statements. -50- SHARES VALUE ------ ------- HEALTHCARE--OTHER--(CONTINUED) 14,900 o CREATIVE BIOMOLECULES, INC .......... $ 154,587 6,700 DIAGNOSTIC PRODUCTS CORP ............ 173,362 8,800 o EPITOPE, INC ........................ 101,200 34,410 o FRESENIUS MEDICAL CARE AG. ADR ...... 967,781 11,750 o GENESIS HEALTH VENTURES, INC ........ 365,718 18,200 HILLENBRAND INDUSTRIES, INC ......... 659,750 9,400 o HUMAN GENOME SCIENCES, INC .......... 383,050 14,900 o IDEXX LABORATORIES, INC ............. 536,400 27,500 o MEDAPHIS CORP ....................... 307,656 98,150 MEDTRONIC, INC ...................... 6,674,200 11,500 MENTOR CORP ......................... 339,250 25,800 o NELLCOR PURITAN BENNETT, INC ........ 564,375 4,000 o NEOPATH, INC ........................ 73,000 48,150 PALL CORP ........................... 1,227,825 10,200 o PHYSICIAN RELIANCE NETWORK, INC ..... 79,050 5,200 o RESEARCH MEDICAL, INC ............... 119,600 32,800 o ST. JUDE MEDICAL, INC ............... 1,398,100 15,200 o STERIS CORP ......................... 661,200 34,400 STEWART ENTERPRISES, INC (CLASS A) .. 1,169,600 30,000 STRYKER CORP ........................ 896,250 12,000 o SUMMIT TECHNOLOGY, INC .............. 66,000 5,400 o SUNRISE MEDICAL, INC ................ 85,725 22,400 o SYBRON INTERNATIONAL CORP ........... 739,200 5,700 o SYNETIC, INC ........................ 276,450 4,600 o TARGET THERAPEUTICS, INC ............ 193,200 7,800 o THERMO CARDIOSYSTEMS, INC ........... 234,000 6,000 o THERMOTREX CORP ..................... 164,250 10,200 o UROMED CORP ......................... 99,450 8,000 o VIVUS, INC .......................... 290,000 ------------ 24,514,060 ------------ HEALTHCARE--SERVICE--5.45% 393,915 AETNA, INC .......................... 31,513,200 5,400 o AMERICAN HOMEPATIENT, INC ........... 147,150 11,400 o AMERISOURCE HEALTH CORP (CLASS A) ... 550,050 12,400 ANALYSTS INTERNATIONAL CORP ......... 350,300 19,300 o APRIA HEALTHCARE GROUP, INC ......... 361,875 13,200 o BEVERLY ENTERPRISES CO .............. 168,300 601,326 CARDINAL HEALTH, INC ................ 35,027,239 10,500 o CERNER CORP ......................... 162,750 276,230 COLUMBIA/HCA HEALTHCARE CORP ........ 11,256,372 5,000 FAIR ISSAC & CO, INC ................ 195,625 4,744 o FHP INTERNATIONAL CORP .............. 176,121 21,400 o FOUNDATION HEALTH CORP .............. 679,450 17,100 o HEALTH CARE & RETIREMENT CORP ....... 489,487 10,600 HEALTH CARE PROPERTY INVESTORS, INC . 371,000 41,212 o HEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) NEW ...................... 927,270 9,700 o HEALTH MANAGEMENT SYSTEMS, INC ...... 135,800 16,800 o HEALTH SYSTEMS INTERNATIONAL, INC ... 415,800 14,700 o HEALTHCARE COMPARE CO ............... 622,912 25,300 o HEALTHSOURCE, INC ................... 332,062 62,378 o HEALTHSOUTH CORP .................... 2,409,350 6,000 o HORIZON/CMS HEALTHCARE CORP ......... 75,750 56,800 o HUMANA, INC ......................... 1,086,300 5,400 o I-STAT CORP ......................... 128,250 4,300 o INTEGRATED SILICON SOLUTION, INC .... 37,087 13,200 INVACARE CORP ....................... 363,000 19,804 o LABORATORY CORP OF AMERICA HOLDINGS ........................... 56,936 2,560 o LABORATORY CORP OF AMERICA HOLDINGS WTS 4/28/00 ............... 240 13,400 o LINCARE HOLDINGS, INC ............... 549,400 6,700 o LIVING CENTERS OF AMERICA, INC ...... 185,925 18,400 MANOR CARE, INC ..................... 496,800 5,800 o MARINER HEALTH GROUP, INC ........... 48,575 23,400 o MATRIA HEALTHCARE, INC .............. 111,150 9,900 o MAXICARE HEALTH PLANS, INC .......... 220,275 350,751 o MEDPARTNERS, INC .................... 7,365,771 15,500 o MID ATLANTIC MEDICAL SERVICES, INC .. 207,312 1,766 MORRISON HEALTH CARE, INC ........... 26,048 8,500 o MULTICARE COS, INC .................. 172,125 27,000 OMNICARE, INC ....................... 867,375 20,500 o ORNDA HEALTHCORP .................... 599,625 7,700 o ORTHODONTIC CENTERS OF AMERICA, INC . 123,200 33,100 o OXFORD HEALTH PLANS, INC ............ 1,938,418 3,800 o PACIFICARE HEALTH SYSTEMS, INC (CLASS A) .......................... 308,750 267,000 o PACIFICARE HEALTH SYSTEMS, INC (CLASS B) .......................... 22,761,750 5,000 o PEDIATRIX MEDICAL GROUP, INC ........ 185,000 5,500 o PHP HEALTHCARE CORP ................. 140,937 25,000 o PHYCOR, INC ......................... 709,375 6,900 o PHYSICIAN CORP OF AMERICA ........... 69,000 10,200 o PHYSICIANS RESOURCE GROUP INC ....... 181,050 14,300 o RENAL TREATMENT CENTERS, INC ........ 364,650 12,400 o ROTECH MEDICAL CORP ................. 260,400 4,600 o SIERRA HEALTH SERVICES, INC ......... 113,275 8,200 o SUN HEALTHCARE GROUP, INC ........... 110,700 15,800 o TENET HEALTHCARE CORP ............... 345,625 10,800 o THERATX, INC ........................ 110,700 70,500 UNITED HEALTHCARE CORP .............. 3,172,500 14,800 o UNIVERSAL HEALTH SERVICES, INC ...... 423,650 20,100 o VALUE HEALTH, INC ................... 391,950 19,300 o VENCOR, INC ......................... 610,362 6,900 o VETERINARY CENTERS OF AMERICA, INC .. 75,900 5,600 o VISX, INC ........................... 123,900 17,950 o VIVRA, INC .......................... 495,868 ------------ 131,907,017 ------------ HOUSEHOLD--CONSUMER ELECTRONICS--0.02% 5,700 HARMAN INTERNATIONAL INDUSTRIES, INC 317,062 8,500 o ZENITH ELECTRONICS CORP ............. 92,437 ------------ 409,499 ------------ HOUSEHOLD--DURABLE GOODS--1.60% 9,300 BLACK & DECKER CORP ................. 280,162 14,700 o GENTEX CORP ......................... 295,837 1,024,500 LEGGETT & PLATT, INC ................ 35,473,312 64,700 NEWELL COS, INC ..................... 2,038,050 8,300 SHAW INDUSTRIES, INC ................ 97,525 5,100 STANLEY WORKS CO .................... 137,700 14,300 SUNBEAM CORP ........................ 368,225 13,900 o TOP SOURCE TECHNOLOGIES, INC ........ 34,750 ------------ 38,725,561 ------------ HOUSEHOLD--PRODUCTS--4.28% 4,300 APTARGROUP, INC ..................... 151,575 11,450 CLOROX CO ........................... 1,149,293 59,700 COLGATE PALMOLIVE CO ................ 5,507,325 39,400 DIAL CORP ........................... 581,150 14,700 FIRST BRANDS CORP ................... 417,112 515,230 KIMBERLY-CLARK CORP ................. 49,075,657 311,300 LANCASTER COLONY CORP ............... 14,319,800 13,200 o PERRIGO CO .......................... 120,450 278,600 PROCTER & GAMBLE CO ................. 29,949,500 58,600 RUBBERMAID, INC ..................... 1,333,150 8,300 TAMBRANDS, INC ...................... 339,262 13,500 TUPPERWARE CORP ..................... 723,937 ------------ 103,668,211 ------------ See notes to financial statements. -51- SHARES VALUE ------ ------- INSURANCE--BROKERS & OTHER--0.28% 5,800 o ABR INFORMATION SERVICES, INC ....... $ 228,375 11,000 CRAWFORD & CO (CLASS B) ............. 251,625 62,100 EQUIFAX, INC ........................ 1,901,812 8,700 GALLAGHER (ARTHUR J.) & CO .......... 269,700 16,400 o INSIGNIA FINANCIAL GROUP, INC ....... 369,000 26,800 MARSH & MCLENNAN COS, INC ........... 2,787,200 9,700 NORRELL CORP ........................ 264,325 22,500 o QUORUM HEALTH GROUP, INC ............ 669,375 ------------ 6,741,412 ------------ INSURANCE--LIFE--0.13% 4,600 o COMPDENT CORP ....................... 162,150 5,500 EQUITABLE COS, INC .................. 135,437 5,400 REINSURANCE GROUP OF AMERICA, INC ... 254,475 43,000 SUNAMERICA, INC ..................... 1,908,125 3,100 UNUM CORP ........................... 223,975 6,000 VESTA INSURANCE GROUP, INC .......... 188,250 7,400 WESTERN NATIONAL CORP ............... 142,450 ------------ 3,014,862 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--2.75% 21,100 20TH CENTURY INDUSTRIES ............. 356,062 11,300 AFLAC, INC .......................... 483,075 714,700 ALLSTATE CORP ....................... 41,363,262 184,600 AMERICAN INTERNATIONAL GROUP, INC ... 19,982,950 4,015 FRONTIER INSURANCE GROUP, INC NEW ... 153,573 3,900 GENERAL REINSURANCE CORP ............ 615,225 3,300 HARTFORD STEAM BOILER & INSURANCE CO ....................... 153,037 15,900 HCC INSURANCE HOLDINGS, INC ......... 381,600 7,650 o HIGHLANDS INSURANCE GROUP, INC ...... 154,912 23,100 MGIC INVESTMENT CORP ................ 1,755,600 6,000 PROGRESSIVE CORP .................... 404,250 11,600 TRAVELERS GROUP, INC ................ 526,350 8,900 ZURICH REINSURANCE CENTRE HOLDINGS, INC ....................... 278,125 ------------ 66,608,021 ------------ LEISURE TIME--3.34% 9,100 o ACCLAIM ENTERTAINMENT, INC .......... 29,575 14,300 o ALLIANCE ENTERTAINMENT CORP ......... 26,812 4,100 o ANCHOR GAMING CO .................... 165,025 11,400 ARCTIC CAT, INC ..................... 112,575 10,200 AUTHENTIC FITNESS CORP .............. 122,400 13,200 o BOYD GAMING CORP .................... 108,900 11,400 BRUNSWICK CORP ...................... 273,600 30,000 CALLAWAY GOLF CO .................... 862,500 1,163,200 CARNIVAL CORP (CLASS A) ............. 38,385,600 42,000 o CIRCUS CIRCUS ENTERPRISES, INC ...... 1,443,750 8,600 COACHMEN INDUSTRIES, INC ............ 244,025 278,970 DISNEY (WALT) CO .................... 19,423,286 10,000 o GALOOB TOYS, INC .................... 140,000 14,400 o GRAND CASINOS, INC .................. 194,400 18,400 o GTECH HOLDINGS CORP ................. 588,800 41,000 o HARRAHS ENTERTAINMENT, INC .......... 814,875 8,300 o HOLLYWOOD ENTERTAINMENT CORP ........ 153,550 48,400 INTERNATIONAL GAME TECHNOLOGY CO .... 883,300 9,200 JOSTENS, INC ........................ 194,350 9,900 K2, INC ............................. 272,250 470,418 MATTEL, INC ......................... 13,054,099 81,400 o MIRAGE RESORT, INC .................. 1,760,275 9,500 o PLAYERS INTERNATIONAL, INC .......... 51,062 4,600 o PRIMADONNA RESORTS, INC ............. 78,200 14,400 o REGAL CINEMAS, INC .................. 442,800 5,800 o SCIENTIFIC GAMES HOLDINGS CORP ...... 155,150 6,700 SHOWBOAT, INC ....................... 115,575 4,500 o SPORTS & RECREATION, INC ............ 34,875 10,200 o STATION CASINOS, INC ................ 103,275 9,200 STRUM, RUGER & CO, INC .............. 178,250 12,200 o TRUMP HOTEL & CASINO RESORT, INC .... 146,400 17,000 o VALUEVISION INTERNATIONAL, INC ...... 91,375 8,400 o WMS INDUSTRIES, INC ................. 168,000 ------------ 80,818,909 ------------ MACHINERY--0.61% 4,000 AGCO CORP ........................... 114,500 5,200 ALLIED PRODUCTS CORP ................ 154,700 4,400 BRIGGS & STRATTON CORP .............. 193,600 3,900 BW/IP HOLDING, INC .................. 64,350 6,300 CINCINNATI MILACRON, INC ............ 137,812 16,000 o COGNEX CORP ......................... 296,000 10,200 DELTA & PINE LAND CO ................ 326,400 43,600 DOVER CORP .......................... 2,190,900 7,400 DURIRON CO, INC ..................... 200,725 20,700 FEDERAL SIGNAL CORP ................. 535,612 10,100 o FIGGIE INTERNATIONAL, INC (CLASS A) . 121,200 6,900 GREENFIELD INDUSTRIES, INC .......... 211,312 9,700 IDEX CORP ........................... 386,787 38,000 ILLINOIS TOOL WORKS, INC ............ 3,035,250 6,100 o INTEGRATED PROCESS EQUIPMENT CORP ... 109,800 7,800 o INTERVOICE, INC ..................... 95,550 20,100 JLG INDUSTRIES, INC ................. 321,600 8,900 KAYDON CORP ......................... 419,412 1,919 KENNAMETAL, INC ..................... 74,601 3,300 KEYSTONE INTERNATIONAL, INC ......... 66,412 11,200 o MOLTEN METAL TECHNOLOGY, INC ........ 131,600 3 o NEWPORT NEWS SHIPBUILDING, INC ...... 45 4,800 NORDSON CORP ........................ 306,000 6,000 o NOVELLUS SYSTEMS, INC ............... 325,125 7,200 ROPER INDUSTRIES, INC NEW ........... 281,700 8,700 SUNDSTRAND CORP ..................... 369,750 58,475 o THERMO ELECTRON CORP ................ 2,412,093 5,100 TRIMAS CORP ......................... 121,762 11,300 TRINITY INDUSTRIES, INC ............. 423,750 2,800 TRINOVA CORP ........................ 101,850 7,200 o ULTRATECH STEPPER, INC .............. 171,000 16,300 YORK INTERNATIONAL CORP ............. 910,762 ------------ 14,611,960 ------------ METALS--ALUMINUM--0.00% 2,700 o ACX TECHNOLOGIES, INC ............... 53,662 ------------ METALS--GOLD--0.25% 18,500 BATTLE MOUNTAIN GOLD CO ............. 127,187 53,104 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A) ................ 1,493,550 17,377 FREEPORT-MCMORAN COPPER & GOLD INC, (CLASS B) ................ 519,137 13,200 o GETCHELL GOLD CORP .................. 506,550 22,700 HOMESTAKE MINING CO ................. 323,475 6,700 NEWMONT GOLD CO ..................... 293,125 40,072 NEWMONT MINING CORP ................. 1,793,222 59,400 o SANTA FE PACIFIC GOLD CORP .......... 913,275 ------------ 5,969,521 ------------ METALS--NON-FERROUS--0.07% 13,900 BMC INDUSTRIES, INC ................. 437,850 5,900 FREEPORT-MCMORAN, INC ............... 189,537 4,800 MINERALS TECHNOLOGIES, INC .......... 196,800 6,800 o MUELLER INDUSTRIES, INC ............. 261,800 6,000 o OREGON METALLURICAL CORP ............ 193,500 5,100 o RMI TITANIUM CO ..................... 143,437 5,500 o SOLV-EX CORP ........................ 77,000 7,600 o STILLWATER MINING CO ................ 137,750 115,400 o SUNSHINE MINING & REFINING CO ....... 108,187 ------------ 1,745,861 ------------ See notes to financial statements. -52- SHARES VALUE ------ ------- METALS--STEEL--0.14% 3,800 AK STEEL HOLDINGS CORP .............. $ 150,575 7,000 HANNA (M.A.) CO ..................... 153,125 7,600 o MATERIAL SCIENCES CORP .............. 136,800 34,500 NUCOR CORP .......................... 1,759,500 20,800 UNR INDUSTRIES, INC ................. 124,800 10,500 USX-US STEEL GROUP, INC ............. 329,437 6,800 o WOLVERINE TUBE, INC ................. 239,700 24,800 WORTHINGTON INDUSTRIES, INC ......... 449,500 ------------ 3,343,437 ------------ MISCELLANEOUS MATERIALS & COMMODITIES--0.01% 8,600 o OAKLEY, INC ......................... 93,525 4,400 o ZOLTEK COS, INC ..................... 160,050 ------------ 253,575 ------------ OFFICE EQUIPMENT--2.00% 10,100 o APPLIED MAGNETICS CORP .............. 301,737 10,300 o ASPECT TELECOMMUNICATIONS CORP ...... 654,050 41,450 AVERY DENNISON CORP ................. 1,466,293 5,100 o BOISE CASCADE OFFICE PRODUCTS CORP ...................... 107,100 98,000 o COMPAQ COMPUTER CORP ................ 7,276,500 8,200 o CONTROL DATA SYSTEMS, INC ........... 180,400 61,400 o DELL COMPUTER CORP .................. 3,261,875 4,300 o DH TECHNOLOGY, INC .................. 103,200 7,200 o FILENET CORP ........................ 230,400 335,900 HEWLETT-PACKARD CO .................. 16,878,975 9,300 HON INDUSTRIES, INC ................. 306,900 3,800 o IN FOCUS SYSTEMS, INC ............... 82,175 49,300 o IOMEGA CORP ......................... 856,587 19,700 o KOMAG, INC .......................... 534,362 26,700 o LEXMARK INTERNATIONAL GROUP (CLASS A) .................... 737,587 6,800 o MICROCOM, INC ....................... 84,150 3,700 o MICROS SYSTEMS, INC ................. 113,775 13,800 o PAXAR CORP .......................... 238,050 4,300 o PERCEPTRON INC ...................... 147,275 8,400 PITNEY BOWES, INC ................... 457,800 11,700 o QUANTUM CORP ........................ 334,912 12,100 o SCI SYSTEMS, INC .................... 539,962 75,400 o SEAGATE TECHNOLOGY, INC ............. 2,978,300 5,800 o SEQUENT COMPUTER SYSTEMS, INC ....... 102,950 70,200 o SILICON GRAPHICS, INC ............... 1,790,100 18,800 o SOLECTRON CORP ...................... 1,003,450 146,200 o SUN MICROSYSTEMS, INC ............... 3,755,512 15,100 o U.S. OFFICE PRODUCTS CO ............. 515,287 34,100 o UNISYS CORP ......................... 230,175 36,200 o VIKING OFFICE PRODUCTS, INC ......... 966,087 15,900 o WANG LABORATORIES, INC .............. 321,975 34,150 XEROX CORP .......................... 1,797,143 ------------ 48,355,044 ------------ PAPER--0.12% 18,000 BEMIS, INC .......................... 663,750 10,600 CARAUSTAR INDUSTRIES, INC ........... 352,450 15,400 o FORT HOWARD CORP .................... 426,387 7,300 o JEFFERSON SMURFIT CORP .............. 117,256 11,500 o LYDALL, INC ......................... 258,750 7,900 o SHOREWOOD PACKAGING CORP ............ 154,050 28,445 SONOCO PRODUCTS CO .................. 736,014 11,900 WAUSAU PAPER MILLS CO ............... 220,150 ------------ 2,928,807 ------------ PETROLEUM--EXPLORATION & PRODUCTION--1.19% 21,600 ANADARKO PETROLEUM CORP ............. 1,398,600 445,200 APACHE CORP ......................... 15,748,950 13,500 o BARNETT RESOURCES CORP .............. 575,437 13,700 o BENTON OIL & GAS CO ................. 309,962 2,900 BURLINGTON RESOURCES, INC ........... 146,087 8,150 o CHESAPEAKE ENERGY CORP .............. 453,343 5,400 DEVON ENERGY CORP ................... 187,650 7,200 o ENERGY VENTURES, INC ................ 366,300 21,900 ENRON OIL & GAS CO .................. 552,975 6,300 o FLORES & RUCKS, INC ................. 335,475 5,200 KCS ENERGY, INC ..................... 185,900 7,900 LOMAK PETROLEUM, INC ................ 135,287 10,400 LOUISIANA LAND & EXPLORATION CO ..... 557,700 19,900 o NEWFIELD EXPLORATION CO ............. 517,400 18,400 NOBLE AFFILIATES, INC ............... 880,900 3,700 o NUEVO ENERGY CO ..................... 192,400 38,300 o ORYX ENERGY CO ...................... 947,925 13,900 POGO PRODUCING CO ................... 656,775 9,548 o SEAGULL ENERGY CORP ................. 210,056 5,900 o STONE ENERGY CORP ................... 176,262 8,100 o SWIFT ENERGY CO ..................... 241,987 3,800 o TEJAS GAS CORP ...................... 180,975 99,989 UNION PACIFIC RESOURCES GROUP, INC .. 2,924,678 12,100 UNION TEXAS PETROLEUM HOLDINGS, INC . 270,737 12,800 o UNITED MERIDIAN CORP ................ 662,400 ------------ 28,816,161 ------------ PETROLEUM--INTEGRATED--0.08% 37,300 PHILLIPS PETROLEUM CO ............... 1,650,525 7,756 UNOCAL CORP ......................... 315,087 ------------ 1,965,612 ------------ PETROLEUM--SERVICE--2.38% 43,600 BAKER HUGHES, INC ................... 1,504,200 6,400 o BJ SERVICES CO ...................... 326,400 4,400 CABOT CORP .......................... 110,550 8,000 CROSS TIMBERS OIL CO ................ 201,000 473,200 o DIAMOND OFFSHORE DRILLING, INC ...... 26,972,400 25,600 DRESSER INDUSTRIES, INC ............. 793,600 29,900 o ENSCO INTERNATIONAL, INC ............ 1,450,150 33,800 FLUOR CORP .......................... 2,120,950 9,200 o GASONICS INTERNATIONAL CORP ......... 94,300 12,100 o GLOBAL INDUSTRIES LTD ............... 225,362 49,300 o GLOBAL MARINE, INC NEW .............. 1,016,812 43,551 HALLIBURTON CO ...................... 2,623,947 18,300 o MARINE DRILLING CO, INC ............. 360,281 21,200 o NABORS INDUSTRIES, INC .............. 408,100 14,600 o NOBLE DRILLING CORP ................. 290,175 13,800 o OCEANEERING INTERNATIONAL, INC ...... 219,075 15,200 o PRIDE PETROLEUM SERVICES, INC ....... 353,400 24,200 o READING & BATES CORP ................ 641,300 17,000 o SMITH INTERNATIONAL, INC ............ 762,875 24,700 TIDEWATER, INC ...................... 1,117,675 12,700 TOSCO CORP .......................... 1,004,887 9,000 TRANSOCEAN OFFSHORE, INC ............ 563,625 565,000 o VARCO INTERNATIONAL, INC ............ 13,065,625 7,000 VASTAR RESOURCES, INC ............... 266,000 12,100 o WEATHERFORD ENTERRA, INC ............ 363,000 10,300 o WESTERN ATLAS, INC .................. 730,012 ------------ 57,585,701 ------------ PHOTOGRAPHY--0.33% 93,100 EASTMAN KODAK CO .................... 7,471,275 3,600 o PHOTRONICS, INC ..................... 98,100 4,900 o PRESSTEK, INC ....................... 349,125 ------------ 7,918,500 ------------ PROPERTY--REAL ESTATE--0.04% 12,000 KIMCO REALTY CORP ................... 418,500 13,700 WASHINGTON REAL ESTATE INVESTMENT TRUST ................... 239,750 9,600 WEINGARTEN REALTY INVESTORS, INC .... 390,000 ------------ 1,048,250 ------------ See notes to financial statements. -53- SHARES VALUE ------ ------- PUBLISHING--NEWSPAPER--0.31% 26,000 o AMERICAN MEDIA, INC (CLASS A) ....... $ 152,750 17,400 BELO (A.H.) CORP SERIES A ........... 606,825 3,200 DOW JONES & CO, INC ................. 108,400 8,800 o EXPRESS SCRIPTS, INC ................ 315,700 33,000 GANNETT CO, INC ..................... 2,470,875 11,400 NEW YORK TIMES CO (CLASS A) ......... 433,200 32,200 TIMES MIRROR CO (SERIES A) NEW ...... 1,601,950 19,000 TRIBUNE CO NEW ...................... 1,498,625 500 WASHINGTON POST CO (CLASS B) ........ 167,562 ------------ 7,355,887 ------------ PUBLISHING--OTHER--0.56% 2,800 DONNELLEY (R.R.) & SONS CO .......... 87,850 31,900 DUN & BRADSTREET CORP ............... 757,625 21,950 HARCOURT GENERAL, INC ............... 1,012,443 2,900 HOUGHTON MIFFLIN CO ................. 164,212 55,800 o K-III COMMUNICATIONS CORP ........... 599,850 18,900 LEE ENTERPRISES, INC ................ 439,425 13,100 xo MARVEL ENTERTAINMENT GROUP, INC ..... 24,562 15,800 MCGRAW HILL COS, INC ................ 728,775 10,100 MEREDITH CORP ....................... 532,775 15,800 o PLAYBOY ENTERPRISES, INC (CLASS B) .. 154,050 30,000 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VTG) ................ 1,207,500 4,700 o SCHOLASTIC CORP ..................... 316,075 9,500 THOMAS NELSON, INC .................. 141,312 189,807 TIME WARNER, INC .................... 7,117,762 9,000 WILEY (JOHN) & SONS, INC (CLASS A) .. 290,250 ------------ 13,574,466 ------------ RAILROAD--0.10% 8,300 BURLINGTON NORTHERN SANTA FE CORP ... 716,912 21,950 ILLINOIS CENTRAL CORP SERIES A ...... 702,400 4,600 KANSAS CITY SOUTHERN INDUSTRIES, INC 207,000 104 UNION PACIFIC CORP .................. 6,253 21,800 o WISCONSIN CENTRAL TRANSIT CORP ...... 863,825 ------------ 2,496,390 ------------ RESTAURANTS & HOTELS--2.57% 13,600 APPLE SOUTH, INC .................... 183,600 14,100 APPLEBEES INTERNATIONAL, INC ........ 387,750 21,800 o BOSTON CHICKEN, INC ................. 782,075 14,100 o BUFFETS, INC ........................ 128,662 17,700 o CHOICE HOTELS INTERNATIONAL, INC .... 311,962 10,200 CKE RESTAURANTS, INC ................ 367,200 25,700 CRACKER BARREL OLD COUNTRY STORE, INC ......................... 652,137 10,300 DARDEN RESTAURANTS, INC ............. 90,125 21,200 o FOODMAKER, INC ...................... 188,150 54,500 o HFS INC ............................. 3,256,375 86,000 HILTON HOTELS CORP .................. 2,246,750 6,200 o HOST MARRIOTT CORP .................. 99,200 15,080 o HOST MARRIOTT SERVICES CORP ......... 137,605 5,600 o IHOP CORP NEW ....................... 132,300 34,500 o ITT CORP (NEW) ...................... 1,496,437 28,300 LA QUINTA INNS, INC ................. 541,237 9,900 o LANDRYS SEAFOOD RESTAURANTS, INC .... 211,612 13,700 o LONE STAR STEAKHOUSE & SALOON, INC .. 366,475 5,800 LUBYS CAFETERIA, INC ................ 115,275 42,800 MARRIOTT INTERNATIONAL, INC ......... 2,364,700 283,750 MCDONALDS CORP ...................... 12,839,687 7,600 o MGM GRAND, INC ...................... 265,050 1,325 MORRISON FRESH COOKING, INC ......... 6,128 18,900 o OUTBACK STEAKHOUSE, INC ............. 505,575 7,350 o PAPA JOHNS INTERNATIONAL, INC ....... 248,062 14,600 o PRIME HOSPITALITY CORP .............. 235,425 22,600 o PROMUS HOTEL CORP ................... 669,525 5,200 o RAINFOREST CAFE, INC ................ 122,200 2,650 RUBY TUESDAY, INC ................... 49,025 7,300 o SONIC CORP .......................... 186,150 72,200 SYSCO CORP .......................... 2,355,525 1,501,100 WENDYS INTERNATIONAL, INC ........... 30,772,550 ------------ 62,314,529 ------------ RETAIL--FOOD--0.48% 90,000 ALBERTSONS, INC ..................... 3,206,250 37,200 FOOD LION, INC (CLASS B) ............ 376,650 8,800 HANNAFORD BROTHERS, INC ............. 299,200 43,800 o KROGER CO ........................... 2,036,700 97,500 o SAFEWAY, INC NEW .................... 4,168,125 29,000 o SOUTHLAND CORP ...................... 86,093 31,700 o STARBUCKS CORP ...................... 907,412 18,800 WINN DIXIE STORES, INC .............. 594,550 ------------ 11,674,980 ------------ RETAIL--GENERAL MERCHANDISE--4.94% 61,200 o AUTOZONE, INC ....................... 1,683,000 3,600 o BABY SUPERSTORE, INC ................ 86,400 9,600 o BARNES & NOBLE, INC ................. 259,200 18,400 o BED BATH & BEYOND, INC .............. 446,200 8,000 o BEST BUY, INC ....................... 85,000 10,000 o BOMBAY, INC ......................... 46,250 8,300 o BORDERS GROUP, INC .................. 297,762 14,100 CASEYS GENERAL STORES, INC .......... 264,375 903,100 CIRCUIT CITY STORES, INC ............ 27,205,887 20,900 CLAIRES STORES, INC ................. 271,700 14,300 CML GROUP, INC ...................... 48,262 7,000 o COLE NATIONAL CORP (CLASS A) ........ 183,750 28,875 o CONSOLIDATED STORES CORP ............ 931,218 138,723 o CUC INTERNATIONAL, INC .............. 3,294,671 7,600 DAYTON HUDSON CORP .................. 298,300 7,800 o DEPARTMENT 56, INC .................. 193,050 37,470 DOLLAR GENERAL CORP ................. 1,199,040 37,493 o ECKERD CORP ......................... 1,199,776 8,600 FAMILY DOLLAR STORES, INC ........... 175,225 27,068 o FEDERATED DEPARTMENT STORES, INC .... 923,695 87,100 GAP, INC ............................ 2,623,887 8,900 o GARDEN RIDGE CORP ................... 76,762 4,400 o GLOBAL DIRECTMAIL CORP .............. 191,950 10,700 o GYMBOREE CORP ....................... 244,762 6,300 HEILIG MEYERS CO .................... 102,375 198,650 HOME DEPOT, INC ..................... 9,957,331 9,765 o HSN, INC ............................ 231,918 17,100 o JONES APPAREL GROUP, INC ............ 639,112 22,300 o KOHLS CORP .......................... 875,275 5,300 o LANDS END, INC ...................... 140,450 16,890 LIMITED, INC ........................ 310,353 60,200 LOWES COS, INC ...................... 2,137,100 6,900 o MENS WAREHOUSE, INC ................. 169,050 5,400 o MOVIE GALLERY, INC .................. 70,200 8,200 o NEIMAN-MARCUS GROUP, INC ............ 209,100 10,100 NORDSTROM, INC ...................... 357,918 41,200 o OFFICEMAX, INC ...................... 437,750 12,380 o PAYLESS SHOESOURCE, INC ............. 464,250 25,600 PEP BOYS MANNY, MOE, & JACK CO ...... 787,200 9,600 o PETCO ANIMAL SUPPLIES, INC .......... 199,200 47,400 o PETSMART, INC ....................... 1,036,875 10,700 PIER 1 IMPORTS, INC ................. 188,587 36,700 o PRICE/COSTCO, INC ................... 922,087 5,800 o PROFFITTS, INC ...................... 213,875 9,400 REGIS CORP .......................... 152,750 11,800 o REVCO (D.S.), INC NEW ............... 436,600 5,600 o REXALL SUNDOWN, INC ................. 152,250 5,900 ROSS STORES, INC .................... 295,000 23,200 ROUSE CO ............................ 736,600 128,300 SEARS ROEBUCK & CO .................. 5,917,837 23,800 SOTHEBYS HOLDINGS, INC (CLASS A) .... 443,275 67,400 o STAPLES, INC ........................ 1,217,412 21,800 o SUNGLASS HUT INTERNATIONAL, INC ..... 158,050 4,700 TALBOTS, INC ........................ 134,537 10,000 TANDY CORP .......................... 440,000 15,950 o THE SPORTS AUTHORITY, INC ........... 346,912 13,200 TIFFANY & CO NEW .................... 483,450 39,000 TJX COS, INC NEW .................... 1,847,625 29,600 o TOPPS, INC .......................... 118,400 11,900 o TOYS R US, INC ...................... 357,000 1,763,800 WAL-MART STORES, INC ................ 40,346,925 101,800 WALGREEN CO ......................... 4,072,000 8,700 o WILLIAMS-SONOMA, INC ................ 316,462 ------------ 119,653,213 ------------ See notes to financial statements. -54- SHARES VALUE ------ ------- TEXTILE & APPAREL--1.34% 3,900 o ANN TAYLOR STORES CORP .............. $ 68,250 15,000 o DONNKENNY, INC ...................... 69,375 4,500 o FRUIT OF THE LOOM, INC (CLASS A) .... 170,437 12,000 G & K SERVICES, INC (CLASS A) ....... 453,000 9,200 o JUST FOR FEET INC ................... 241,500 2,200 LIZ CLAIBORNE, INC .................. 84,975 17,800 o NAUTICA ENTERPRISES, INC ............ 449,450 53,100 NIKE, INC (CLASS B) ................. 3,172,725 10,800 o NINE WEST GROUP, INC ................ 500,850 9,100 ST. JOHN KNITS, INC ................. 395,850 15,400 UNIFI, INC .......................... 494,725 6,100 o URBAN OUTFITTERS, INC ............... 79,300 20,100 WARNACO GROUP, INC (CLASS A) ........ 595,462 848,000 o WESTPOINT STEVENS, INC .............. 25,334,000 13,200 WOLVERINE WORLD WIDE, INC ........... 382,800 ------------ 32,492,699 ------------ TOBACCO--3.88% 19,000 DIMON, INC .......................... 439,375 801,300 PHILIP MORRIS COS, INC .............. 90,246,412 11,600 RJR NABISCO HOLDINGS CORP ........... 394,400 10,460 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ................. 330,797 3,900 UNIVERSAL CORP ...................... 125,287 76,800 UST, INC ............................ 2,486,400 ------------ ` 94,022,671 ------------ TRUCKERS & SHIPPING--0.02% 14,900 o AMERICAN FREIGHTWAYS CORP ........... 165,762 10,700 o SWIFT TRANSPORTATDe CO, INC ........................... 251,450 ------------ 417,212 ------------ UTILITIES--ELECTRIC--0.06% 23,450 o AES CORP ............................ 1,090,425 4,500 OTTER TAIL POWER CO ................. 144,562 11,400 o TUCSON ELECTRIC POWER CO ............ 189,525 ------------ 1,424,512 ------------ UTILITIES--GAS & PIPELINE--0.30% 31,700 o AMERICAN STANDARD COS, INC .......... 1,212,525 8,700 o BLACK BOX CORP ...................... 358,875 12,600 o CALENERGY, INC ...................... 423,675 6,600 COASTAL CORP ........................ 322,575 1 o EL PASO NATURAL GAS CO NEW .......... 50 80,900 ENRON CORP .......................... 3,488,812 4,500 ENSERCH CORP ........................ 103,500 8,400 o IONICS, INC ......................... 403,200 27,000 NGC CORP ............................ 627,750 2,100 SONAT, INC .......................... 108,150 12,000 o TRIARC COS, INC ..................... 138,000 3,600 WILLIAMS COS, INC ................... 135,000 ------------ 7,322,112 ------------ UTILITIES--TELEPHONE--1.97% 5,800 o ADTRAN, INC ......................... 240,700 8,000 ALIANT COMMUNICATIONS, INC .......... 136,000 7,700 ALLTEL CORP ......................... 241,587 22,200 AMERITECH CORP NEW .................. 1,345,875 453,400 AT & T CORP ......................... 19,722,900 2,600 o C-TEC CORP .......................... 63,050 7,800 o CELLULAR COMMUNICATIONS OF PUERTO RICO, INC ................... 154,050 30,600 CINCINNATI BELL, INC ................ 1,885,725 4,500 o COMMNET CELLULAR, INC ............... 125,437 52,800 FRONTIER CORP ....................... 1,194,600 25,350 o GLENAYRE TECHNOLOGIES, INC .......... 546,609 133,600 GTE CORP ............................ 6,078,800 17,800 MCI COMMUNICATIONS CORP ............. 581,837 15,000 o MOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP .................. 127,500 12,250 o PRICELLULAR CORP (CLASS A) .......... 140,875 28,628 SBC COMMUNICATIONS, INC ............. 1,481,499 11,388 TELEPHONE & DATA SYSTEMS, INC ....... 412,815 10,700 o U.S. LONG DISTANCE CORP ............. 85,600 505,700 o WORLDCOM, INC ....................... 13,179,806 ------------ 47,745,266 ------------ TOTAL COMMON STOCK (Cost $1,902,339,473) ................ 2,318,252,854 ------------- PAR VALUE - ------ SHORT TERM INVESTMENTS--4.47% COMMERCIAL PAPER--0.07% PHILIP MORRIS COS, INC $ 1,700,000 * 5.600%,01/22/97 .................. 1,693,787 -------------- U.S. GOVERNMENTS & AGENCIES--4.40% FEDERAL HOME LOAN MORTGAGE CORP 18,700,000 5.300%, 01/14/97 ................ 18,660,730 12,000,000 * 5.420%,01/17/97 .................. 11,969,400 43,600,000 * 5.430%,01/24/97 .................. 43,443,040 23,200,000 5.285%, 01/31/97 ................ 23,092,120 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 9,500,000 5.240%, 02/26/97 ................ 9,419,827 -------------- 106,585,117 -------------- TOTAL SHORT TERM INVESTMENTS (Cost $108,298,882) .................. 108,278,904 -------------- ROUNDING ........................... 167 -------------- TOTAL PORTFOLIO (Cost $2,010,889,220) ............... $2,426,839,754 -------------- - ---------- o Non-income producing x In bankruptcy * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. ~ Restricted securities--investment in securities not registered under the Securities Act of 1933 or not publicly traded on foreign markets. Additional information on each holding is as follows: ACQUISITION ACQUISITION SECURITY DATE COST - -------- ----------- ----------- MARTEK BIOSCIENCES CORP 05/22/95 $3,571,750 MARTEK BIOSCIENCES CORP WTS 5/18/98 05/22/95 91,930 --------- $3,663,680 ========== See notes to financial statements. -55- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT DECEMBER 31, 1996 SUMMARY VALUE % ------- ---- BONDS CORPORATE BONDS BROADCASTERS ................................ $ 7,740 0.00% ENVIRONMENTAL CONTROL ....................... 13,055 0.00 -------------- ------ TOTAL CORPORATE BONDS (Cost $15,239) .............................. 20,795 0.00 -------------- ------ TOTAL BONDS (Cost $15,239) .............................. 20,795 0.00 -------------- ------ PREFERRED STOCK BUSINESS SERVICES ........................... 32,257 0.00 HEALTHCARE--SERVICE ......................... 112,260 0.01 -------------- ------ TOTAL PREFERRED STOCK (Cost $120,013) .............................. 144,517 0.01 -------------- ------ COMMON STOCK AEROSPACE ................................... 12,970,065 1.41 AIR TRANSPORTATION .......................... 4,892,040 0.53 AUTOMOTIVE & RELATED ........................ 21,386,237 2.32 BANKS ....................................... 78,083,700 8.47 BEVERAGES ................................... 27,085,862 2.94 BROADCASTERS ................................ 6,542,225 0.71 BUSINESS SERVICES ........................... 13,781,753 1.49 CHEMICALS--MAJOR ............................ 19,734,255 2.14 CHEMICALS--SPECIALTY ........................ 8,987,196 0.97 COMMUNICATION EQUIPMENT & SERVICES .......... 25,603,990 2.78 COMPUTER SERVICE ............................ 37,030,826 4.02 CONGLOMERATES ............................... 19,182,515 2.08 CONSTRUCTION--MATERIALS & BUILDERS .......... 6,104,836 0.66 CONTAINERS .................................. 1,329,846 0.14 COSMETICS ................................... 6,422,786 0.70 ELECTRICAL EQUIPMENT ........................ 30,249,519 3.28 ELECTRICAL EQUIPMENT--COMPONENTS DIVERSIFIED ............................... 35,067,881 3.80 ELECTRICAL EQUIPMENT--INSTRUMENTS ........... 3,425,986 0.37 ENVIRONMENTAL CONTROL ....................... 4,829,211 0.52 FINANCIAL--MISCELLANEOUS .................... 39,167,319 4.25 FOODS ....................................... 19,621,110 2.13 FOREST PRODUCTS ............................. 4,131,061 0.45 HEALTHCARE--DRUGS ........................... 53,352,411 5.79 HEALTHCARE--HOSPITAL SUPPLY ................. 19,002,158 2.06 HEALTHCARE--OTHER ........................... 8,746,938 0.95 HEALTHCARE--SERVICE ......................... 16,549,260 1.79 HOUSEHOLD--CONSUMER ELECTRONICS ............. 228,631 0.02 HOUSEHOLD--DURABLE GOODS .................... 3,189,337 0.34 HOUSEHOLD--PRODUCTS ......................... 17,978,227 1.95 INSURANCE--BROKERS & OTHER .................. 2,925,462 0.32 INSURANCE--LIFE ............................. 7,005,402 0.76 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ....................... 27,554,809 2.99 LEISURE TIME ................................ 11,812,268 1.28 MACHINERY ................................... 13,932,863 1.51 METALS--ALUMINUM ............................ 2,098,523 0.23 METALS--GOLD ................................ 2,795,040 0.31 METALS--NON-FERROUS ......................... 2,414,400 0.26 METALS--STEEL ............................... 3,008,125 0.33 MISCELLANEOUS MATERIALS & COMMODITIES ............................... 91,500 0.01 OFFICE EQUIPMENT ............................ 32,529,428 3.53 PAPER ....................................... 6,136,024 0.67 PETROLEUM--EXPLORATION & PRODUCTION ................................ 9,681,975 1.05 PETROLEUM--INTEGRATED ....................... 45,162,108 4.90 PETROLEUM--SERVICE .......................... 8,916,917 0.97 PHOTOGRAPHY ................................. 4,050,600 0.44 PROPERTY--REAL ESTATE ....................... 1,868,555 0.20 PUBLISHING--NEWSPAPER ....................... 4,599,728 0.50 PUBLISHING--OTHER ........................... 6,162,135 0.67 RAILROAD .................................... 7,712,993 0.84 RESTAURANTS & HOTELS ........................ 12,767,550 1.38 RETAIL--FOOD ................................ 6,428,981 0.70 RETAIL--GENERAL MERCHANDISE ................. 33,881,521 3.68 TEXTILE & APPAREL ........................... 4,760,990 0.52 TOBACCO ..................................... 16,312,918 1.77 TRUCKERS & SHIPPING ......................... 1,785,009 0.19 UTILITIES--ELECTRIC ......................... 34,188,232 3.71 UTILITIES--GAS & PIPELINE ................... 12,203,354 1.32 UTILITIES--OTHER ............................ 97,750 0.01 UTILITIES--TELEPHONE ........................ 51,672,213 5.60 -------------- ------ TOTAL COMMON STOCK (Cost $767,742,006) .......................... 919,234,554 99.71 -------------- ------ SHORT TERM INVESTMENTS U.S. GOVERNMENTS & AGENCIES ................. 13,885,552 1.51 -------------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $13,887,626) ........................... 13,885,552 1.51 -------------- ------ ROUNDING ................................... 275 0.00 -------------- ------ TOTAL PORTFOLIO (Cost $781,764,884) .......................... 933,285,693 101.23 OTHER ASSETS & LIABILITIES, NET ............ (11,360,608) (1.23) -------------- ------ NET ASSETS .................................... $ 921,925,085 100.00% ============== ====== See notes to financial statements. -56- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT DECEMBER 31, 1996 PAR VALUE VALUE -------- ------- BONDS--0.00% CORPORATE BONDS--0.00% BROADCASTERS--0.00% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) $ 8,000 8.000%, 07/07/06 .................... $ 7,740 ------------ ENVIRONMENTAL CONTROL--0.00% WMX TECHNOLOGIES, INC (SUBORDINATED CV NOTES) 14,000 2.000%, 01/24/05 .................... 13,055 ------------ TOTAL CORPORATE BONDS (Cost $15,239) ...................... 20,795 ------------ TOTAL BONDS (Cost $15,239) ........................ 20,795 ------------ SHARES ------ PREFERRED STOCK--0.01% BUSINESS SERVICES--0.00% 1,122 PREMIER FARNELL PLC CV ADR .......... 32,257 ------------ HEALTHCARE--SERVICE--0.01% 1,273 AETNA, INC CV PFD 6.25% ............. 101,044 320 FHP INTERNATIONAL CORP SERIES A CV .. 9,760 11,200 oFRESENIUS MEDICAL CARE (CLASS D) ... 1,456 ------------ 112,260 ------------ TOTAL PREFERRED STOCK (Cost $120,013) ....................... 144,517 ------------ COMMON STOCK--99.71% AEROSPACE--1.41% 2,900 o AAR CORP ............................ 87,725 900 o ALLIANT TECHSYSTEMS, INC ............ 49,500 46,998 BOEING CO ........................... 4,999,412 9,000 EG & G, INC ......................... 181,125 7,600 GENERAL DYNAMICS CORP ............... 535,800 14,600 GENERAL MOTORS CORP (CLASS H) ....... 821,250 7,600 o HEXCEL CORP ......................... 123,500 22,676 LOCKHEED MARTIN CORP ................ 2,074,854 20,700 MCDONNELL DOUGLAS CORP .............. 1,324,800 6,800 NORTHROP GRUMMAN CORP ............... 562,700 2,300 OEA, INC ............................ 105,225 7,000 o ORBITAL SCIENCES CORP ............... 120,750 3,500 PRECISION CAST PARTS CORP ........... 173,687 32,300 RAYTHEON CO ......................... 1,554,437 4,400 o ROHR, INC ........................... 99,550 7,000 o WYMAN-GORDON CO ..................... 155,750 ------------ 12,970,065 ------------ AIR TRANSPORTATION--0.53% 7,100 AIR EXPRESS INTERNATIONAL CORP ...... 228,975 3,600 AIRBORNE FREIGHT CORP ............... 84,150 11,400 o AMERICA WEST AIRLINES, INC (CLASS B) 180,975 11,000 o AMR CORP ............................ 969,375 3,900 ATLANTIC SOUTHEAST AIRLINES, INC .... 85,312 2,500 o ATLAS AIR, INC ...................... 119,375 6,725 COMAIR HOLDINGS, INC ................ 161,400 4,200 o CONTINENTAL AIRLINES, INC (CLASS B) . 118,650 8,900 DELTA AIRLINES, INC ................. 630,787 5,300 EXPEDITORS INTERNATIONAL OF WASHINGTON ......................... 121,900 16,500 o FEDERAL EXPRESS CORP ................ 734,250 1,000 o MESA AIR GROUP, INC ................. 6,750 9,100 o NORTHWEST AIRLINES CORP (CLASS A) ... 356,037 400 SKYWEST, INC ........................ 5,550 19,700 SOUTHWEST AIRLINES CO ............... 435,862 1,500 o TRANS WORLD AIRLINES, INC ........... 10,218 6,700 o U.S. AIR GROUP, INC ................. 156,612 7,300 o UAL CORP NEW ........................ 456,250 4,600 o VALUJET, INC ........................ 29,612 ------------ 4,892,040 ------------ AUTOMOTIVE & RELATED--2.32% 4,800 o ALLEN GROUP, INC .................... 106,800 6,700 o AMERICREDIT CORP .................... 137,350 3,700 APOGEE ENTERPRISES, INC ............. 147,075 5,600 ARVIN INDUSTRIES, INC ............... 138,600 2,900 BANDAG, INC ......................... 137,387 5,400 BORG-WARNER AUTOMOTIVE, INC ......... 207,900 2,100 BREED TECHNOLOGIES, INC ............. 54,600 83,762 CHRYSLER CORP ....................... 2,764,146 11,300 COOPER TIRE & RUBBER CO ............. 223,175 5,800 CUMMINS ENGINE CO, INC .............. 266,800 14,900 DANA CORP ........................... 486,112 4,500 DANAHER CORP ........................ 209,812 2,200 o DETROIT DIESEL CORP ................. 50,600 2,800 DONALDSON CO, INC ................... 93,800 9,500 EATON CORP .......................... 662,625 9,000 ECHLIN, INC ......................... 284,625 4,600 EXIDE CORP .......................... 105,800 6,900 FEDERAL-MOGUL CORP .................. 151,800 157,800 FORD MOTOR CO ....................... 5,029,875 5,700 GENCORP, INC ........................ 103,312 101,500 GENERAL MOTORS CORP ................. 5,658,625 16,800 GENUINE PARTS CO .................... 747,600 20,300 GOODYEAR TIRE & RUBBER CO ........... 1,042,912 9,800 HARLEY DAVIDSON, INC ................ 460,600 280 o HAYES WHEELS INTERNATIONAL, INC ..... 10,780 2,400 o KIRBY CORP .......................... 47,400 10,000 o LEAR CORP ........................... 341,250 4,100 MODINE MANUFACTURING CO ............. 109,675 13,500 o NAVISTAR INTERNATIONAL CORP ......... 123,187 5,300 PACCAR, INC ......................... 360,400 8,600 POLARIS INDUSTRIES, INC ............. 204,250 4,000 o RENTERS CHOICE, INC ................. 58,000 2,100 o SAFESKIN CORP ....................... 102,375 11,700 SAFETY-KLEEN CORP ................... 191,587 1,000 SMITH (A.O.) CORP ................... 29,875 10,250 SNAP-ON, INC ........................ 365,156 500 STANDARD PRODUCTS CO ................ 12,750 3,900 SUPERIOR INDUSTRIES INTERNATIONAL, INC ................. 90,187 1,800 o TBC CORP ............................ 13,500 675 TRANSPRO, INC ....................... 6,159 2,600 WABASH NATIONAL CORP ................ 47,775 ------------ 21,386,237 ------------ See notes to financial statements. -57- SHARES VALUE ------ ------- BANKS--8.47% 9,900 AMSOUTH BANCORP ..................... $ 478,912 900 ASSOCIATED BANC-CORP ................ 38,250 58,196 BANC ONE CORP ....................... 2,502,428 9,500 BANCORP HAWAII, INC ................. 399,000 51,500 BANK OF NEW YORK CO, INC ............ 1,738,125 48,500 BANKAMERICA CORP .................... 4,837,875 19,774 BANKBOSTON CORP ..................... 1,270,479 10,200 BANKERS TRUST NEW YORK CORP ......... 879,750 25,700 BARNETT BANKS, INC .................. 1,056,912 20,700 BOATMENS BANCSHARES, INC ............ 1,335,150 470 o CALIFORNIA FED BANK GOODWILL CERT ... 6,580 1,808 CAPITAL ONE FINANCIAL CORP .......... 65,088 700 CCB FINANCIAL CORP .................. 47,775 11,050 CENTRAL FIDELITY BANKS, INC ......... 284,537 800 CENTURA BANKS, INC .................. 35,700 7,925 CHARTER ONE FINANCIAL, INC .......... 332,850 57,858 CHASE MANHATTAN CORP NEW ............ 5,163,826 64,121 CITICORP CO ......................... 6,604,463 9,300 CITY NATIONAL CORP .................. 201,112 15,500 COMERICA, INC ....................... 811,812 8,819 COMMERCE BANCSHARES, INC ............ 407,878 5,800 COMPASS BANCSHARES, INC ............. 230,550 29,109 CORESTATES FINANCIAL CORP ........... 1,510,029 6,943 CRESTAR FINANCIAL CORP .............. 516,385 8,500 CULLEN FROST BANKERS, INC ........... 282,625 5,500 DAUPHIN DEPOSIT CORP ................ 181,500 3,000 DEPOSIT GUARANTY CORP ............... 93,000 12,900 o DIME BANCORP, INC ................... 190,275 12,100 FIFTH THIRD BANCORP ................. 760,031 6,300 FIRST AMERICAN CORP ................. 363,037 19,054 FIRST BANK SYSTEM, INC .............. 1,300,435 42,555 FIRST CHICAGO NBD CORP .............. 2,287,331 8,082 FIRST COMMERCE CORP ................. 314,187 1,497 FIRST COMMERCIAL CORP ............... 55,576 8,300 FIRST HAWAIIAN, INC ................. 290,500 10,130 FIRST OF AMERICA BANK CORP .......... 609,066 12,350 FIRST SECURITY CORP ................. 416,812 11,600 FIRST TENNESSEE NATIONAL CORP ....... 435,000 36,651 FIRST UNION CORP .................... 2,712,174 1,200 FIRST VIRGINIA BANKS, INC ........... 57,450 10,500 FIRSTAR CORP NEW .................... 551,250 35,488 FLEET FINANCIAL GROUP, INC NEW ...... 1,769,964 6,400 GREENPOINT FINANCIAL CORP ........... 303,200 20,840 HIBERNIA CORP (CLASS A) ............. 276,130 23,642 HUNTINGTON BANCSHARES, INC .......... 623,557 4,800 o IMPERIAL CREDIT INDUSTRIES, INC ..... 100,800 30,900 KEYCORP NEW ......................... 1,560,450 9,800 LONG ISLAND BANCORP, INC ............ 343,000 16,000 MAGNA GROUP, INC .................... 472,000 16,300 MARSHALL & ILSLEY CORP .............. 564,387 18,274 MELLON BANK CORP .................... 1,297,454 10,600 MERCANTILE BANCORP, INC ............. 544,575 11,170 MERCANTILE BANKSHARES CORP .......... 357,440 27,000 MORGAN (J.P.) & CO, INC ............. 2,635,875 30,698 NATIONAL CITY CORP .................. 1,377,572 900 NATIONAL COMMERCE BANCORP ........... 34,425 38,806 NATIONSBANK CORP .................... 3,793,286 6,900 NORTH FORK BANCORP, INC ............. 245,812 17,300 NORTHERN TRUST CORP ................. 627,125 49,448 NORWEST CORP ........................ 2,150,988 8,937 OLD KENT FINANCIAL CORP ............. 426,741 1,076 OLD NATIONAL BANCORP ................ 42,233 5,800 ONBANCORP, INC ...................... 215,325 1,250 ONE VALLEY BANCORP, INC ............. 46,406 4,800 PEOPLES BANK OF BRIDGEPORT CO ....... 138,600 8,300 PEOPLES HERITAGE FINANCIAL GROUP, INC ......................... 232,400 45,380 PNC BANK CORP ....................... 1,707,422 10,576 REGIONS FINANCIAL CORP .............. 546,647 8,300 REPUBLIC NEW YORK CORP .............. 677,487 6,400 RIGGS NATIONAL CORP ................. 110,400 9,406 SIGNET BANKING CORP ................. 289,234 16,750 SOUTHERN NATIONAL CORP .............. 607,187 15,800 SOUTHTRUST CORP ..................... 551,025 24,345 SOVEREIGN BANCORP, INC .............. 319,528 11,400 ST. PAUL BANCORP, INC ............... 334,875 2,100 STANDARD FEDERAL BANCORP ............ 119,437 2,200 STAR BANC CORP ...................... 202,125 11,200 STATE STREET BOSTON CORP ............ 722,400 14,002 SUMMIT BANCORP ...................... 612,587 31,100 SUNTRUST BANKS, INC ................. 1,531,675 15,650 SYNOVUS FINANCIAL CORP .............. 502,756 21,616 U.S. BANCORP ........................ 971,369 1,600 U.S. TRUST CORP NEW ................. 126,400 9,046 UNION PLANTERS CORP ................. 352,794 1,400 UNIONBANCAL CORP .................... 74,200 750 UNITED CAROLINA BANCSHARES CORP ..... 29,625 1,260 VALLEY NATIONAL BANCORP ............. 32,287 23,600 WACHOVIA CORP NEW ................... 1,333,400 7,450 WASHINGTON FEDERAL, INC ............. 197,425 7,400 WASHINGTON MUTUAL, INC .............. 320,512 12,468 WELLS FARGO & CO .................... 3,363,243 7,600 WILMINGTON TRUST CORP ............... 300,200 3,000 ZIONS BANCORP ....................... 312,000 ------------ 78,083,700 ------------ BEVERAGES--2.94% 61,700 ANHEUSER BUSCH COS, INC ............. 2,468,000 1,400 BROWN FORMAN, INC (CLASS B) ......... 64,050 334,900 COCA COLA CO ........................ 17,624,112 10,000 COCA COLA ENTERPRISES, INC .......... 485,000 7,900 COORS (ADOLPH) CO (CLASS B) ......... 150,100 215,200 PEPSICO, INC ........................ 6,294,600 ------------ 27,085,862 ------------ BROADCASTERS--0.71% 3,300 o AMERICAN RADIO SYSTEMS CORP ......... 89,925 6,800 o CLEAR CHANNEL COMMUNICATIONS, INC ... 245,650 2,800 COMCAST CORP (CLASS A) .............. 49,350 34,028 COMCAST CORP (CLASS A) SPL .......... 606,123 4,550 o EVERGREEN MEDIA CORP (CLASS A) ...... 113,750 10,290 GAYLORD ENTERTAINMENT CO ............ 235,383 1,800 HARTE-HANKS COMMUNICATIONS, INC ..... 49,950 11,000 o HERITAGE MEDIA CORP (CLASS A) NEW ... 123,750 15,925 o INFINITY BROADCASTING CORP (CLASS A) 535,478 4,300 o JACOR COMMUNICATIONS, INC WTS 9/18/01 ........................ 8,600 5,000 o KING WORLD PRODUCTIONS, INC ......... 184,375 21,975 o LIBERTY MEDIA GROUP (CLASS A) ....... 627,660 4,150 o LIN TELEVISION CORP ................. 175,337 16,300 SCRIPPS (E.W.) CO (CLASS A) ......... 570,500 3,800 TCA CABLE TV, INC ................... 114,475 8,540 o TCI SATELLITE ENTERTAINMENT (CLASS A) 84,332 86,700 o TELE-COMMUNICATIONS, INC (CLASS A) NEW ...................... 1,132,518 400 UNITED TELEVISION, INC .............. 34,450 6,460 o VIACOM, INC (CLASS A) ............... 222,870 36,393 o VIACOM, INC (CLASS B) ............... 1,269,205 250 o VIACOM, INC (CLASS B) WTS 7/07/97 ... 7 150 o VIACOM, INC (CLASS B) WTS 7/07/99 ... 375 4,100 o WESTWOOD ONE, INC ................... 68,162 ------------ 6,542,225 ------------ See notes to financial statements. -58- SHARES VALUE ------ ------- BUSINESS SERVICES--1.49% 10,444 o ACCUSTAFF, INC ...................... $ 220,629 13,966 o ACNEILSEN CORP ...................... 211,235 7,700 ADVO, INC ........................... 107,800 5,800 o AFFILIATED COMPUTER SERVICES, INC (CLASS A) ............ 172,550 1,500 o ALLIANCE SEMICONDUCTOR CORP ......... 10,687 4,500 o ALTERNATIVE RESOURCES CORP .......... 78,187 10,900 o AMERICA ONLINE, INC ................. 362,425 6,725 o APOLLO GROUP, INC (CLASS A) ......... 224,867 2,000 o ASPEN TECHNOLOGY INC ................ 160,500 5,300 AUTODESK, INC ....................... 148,400 8,100 BANTA CORP .......................... 185,287 13,600 BLOCK (H&R), INC .................... 394,400 2,500 o CABLEVISION SYSTEMS CORP (CLASS A) .. 76,562 1,200 o CALGENE, INC ........................ 6,000 2,800 o CATALINA MARKETING CORP ............. 154,350 5,600 o CHECKPOINT SYSTEMS, INC ............. 138,600 1,600 o CIBER INC ........................... 48,000 4,200 CINTAS CORP ......................... 246,750 22,700 COGNIZANT CORP ...................... 749,100 2,800 o COMPUTER HORIZONS CORP .............. 107,800 10,000 o COMPUTERVISION CORP ................. 92,500 4,550 o CORESTAFF, INC ...................... 107,778 10,060 o CORPORATE EXPRESS, INC .............. 296,141 10,900 o CORRECTIONS CORP OF AMERICA ......... 333,812 3,300 o CREDENCE SYSTEMS CORP ............... 66,412 11,900 DELUXE CORP ......................... 389,725 1,700 o DIALOGIC CORP ....................... 53,550 7,550 DIEBOLD, INC ........................ 474,706 6,057 o DOUBLETREE CORP ..................... 272,565 1,700 o ENCAD, INC .......................... 70,125 7,000 FIRST INDUSTRIAL REALTY TRUST, INC .. 212,625 5,700 o FORE SYSTEMS, INC ................... 187,387 3,900 o FRANKLIN QUEST CO ................... 81,900 3,000 o FRITZ COS, INC ...................... 38,250 2,500 o GATEWAY 2000, INC ................... 133,906 8,300 HARLAND (JOHN H.) CO ................ 273,900 1,400 o HCIA, INC ........................... 48,300 1,600 o INFORMATION RESOURCES, INC .......... 22,400 2,100 o INSO CORP ........................... 83,475 5,300 o INTERIM SERVICES, INC ............... 188,150 9,400 INTERPUBLIC GROUP OF COS, INC ....... 446,500 2,000 o ITRON, INC .......................... 35,500 5,900 KELLY SERVICES, INC (CLASS A) ....... 159,300 10,300 LIBERTY PROPERTY TRUST CO ........... 265,225 10,200 MANPOWER, INC ....................... 331,500 5,487 o MCAFEE ASSOCIATES, INC .............. 241,428 900 o MERISEL, INC ........................ 1,490 3,400 o MICRO WAREHOUSE, INC ................ 39,950 2,860 o NATIONAL AUTO CREDIT, INC ........... 34,320 5,800 o NATIONAL EDUCATION CORP ............. 88,450 8,300 NATIONAL SERVICE INDUSTRIES, INC .... 310,212 3,500 o NU KOTE HOLDING, INC (CLASS A) ...... 35,875 16,150 o OFFICE DEPOT, INC ................... 286,662 7,800 o OIS OPTICAL IMAGING SYSTEMS, INC .... 12,187 10,082 OLSTEN CORP ......................... 152,490 10,300 OMNICOM GROUP, INC .................. 471,225 1,400 o OPTICAL DATA SYSTEMS, INC ........... 16,800 8,075 PAYCHEX, INC ........................ 415,357 5,300 PHH CORP ............................ 227,900 6,800 PITTSTON BRINKS GROUP CO ............ 183,600 1,392 PREMIER FARNELL PLC ADR ............. 35,148 4,180 o PURE ATRIA CORP ..................... 103,455 2,100 o QUARTERDECK CORP .................... 8,662 2,600 o REMEDY CORP ......................... 139,750 8,500 o ROBERT HALF INTERNATIONAL, INC ...... 292,187 4,700 ROLLINS, INC ........................ 94,000 10,200 SENSORMATIC ELECTRONICS CORP ........ 170,850 31,000 SERVICE CORP INTERNATIONAL .......... 868,000 2,900 STANDARD REGISTER, INC .............. 94,250 6,000 o SUNGARD DATA SYSTEMS, INC ........... 237,000 2,300 o SYLVAN LEARNING SYSTEMS, INC ........ 65,550 2,400 o THERMOLASE CORP ..................... 37,800 5,900 o TRACOR, INC ......................... 125,375 1,700 TRUE NORTH COMMUNICATIONS, INC ...... 37,187 3,900 o U.S. CELLULAR CORP .................. 108,712 400 VALSPAR CORP ........................ 22,650 3,700 o VERIFONE, INC ....................... 109,150 2,900 o WACKENHUT CORRECTIONS CORP .......... 58,000 2,800 WALLACE COMPUTER SERVICES, INC ...... 96,600 1,800 o WIND RIVER SYSTEMS, INC ............. 85,275 500 o WONDERWARE CORP ..................... 4,445 ------------ 13,781,753 ------------ CHEMICALS--MAJOR--2.14% 14,900 AIR PRODUCTS & CHEMICALS, INC ....... 1,029,962 9,200 ARCADIAN CORP ....................... 243,800 1,000 ARCO CHEMICAL CO .................... 49,000 3,200 o CHEMFIRST, INC (W/I) .............. 74,000 32,000 DOW CHEMICAL CO ..................... 2,508,000 74,800 DU PONT (E.I.) DE NEMOURS & CO ...... 7,059,250 10,500 EASTMAN CHEMICAL CO ................. 580,125 8,800 GOODRICH (B.F.) CO .................. 356,400 14,400 HERCULES, INC ....................... 622,800 7,168 o MISSISSIPPI CHEMICAL CORP ........... 172,032 79,600 MONSANTO CO ......................... 3,094,450 5,000 o OAK TECHNOLOGY, INC ................. 56,250 7,500 OLIN CORP ........................... 282,187 25,400 PPG INDUSTRIES, INC ................. 1,425,575 20,100 PRAXAIR, INC ........................ 927,112 1,900 o QUINTILES TRANSNATIONAL CORP ........ 125,875 5,700 ROHM & HAAS CO ...................... 465,262 16,200 UNION CARBIDE CORP .................. 662,175 ------------ 19,734,255 ------------ CHEMICALS--SPECIALTY--0.97% 8,400 o AIRGAS, INC ......................... 184,800 6,500 ALBEMARLE CORP ...................... 117,812 4,300 BETZDEARBORN, INC ................... 251,550 6,900 CALGON CARBON CORP .................. 84,525 1,500 COMMERCIAL METALS CO ................ 45,187 10,200 CROMPTON & KNOWLES CORP ............. 196,350 6,400 o CYTEC INDUSTRIES, INC ............... 260,000 5,100 DEXTER CORP ......................... 162,562 8,500 ECOLAB, INC ......................... 319,812 15,400 ENGELHARD CORP ...................... 294,525 15,800 ETHYL CORP .......................... 152,075 3,600 FERRO CORP .......................... 102,150 6,000 FOSTER WHEELER CORP ................. 222,750 1,506 FULLER (H.B.) CO .................... 70,782 5,700 GEON CO ............................. 111,862 5,700 GEORGIA GULF CORP ................... 153,187 11,900 GRACE (W.R.) & CO ................... 615,825 8,700 GREAT LAKES CHEMICAL CORP ........... 406,725 8,144 ICN PHARMACEUTICALS, INC NEW ........ 159,826 10,200 IMC GLOBAL, INC ..................... 399,075 4,100 o INTERNATIONAL SPECIALTY PRODUCTS, INC ...................... 50,225 10,100 LAWTER INTERNATIONAL, INC ........... 127,512 3,800 LOCTITE CORP ........................ 231,325 8,900 LUBRIZOL CORP ....................... 275,900 6,800 LYONDELL PETROCHEMICAL CO ........... 149,600 6,700 MALLINCKRODT, INC ................... 295,637 200 o MCWHORTER TECHNOLOGIES, INC ......... 4,575 19,400 MORTON INTERNATIONAL, INC ........... 790,550 4,600 o MYCOGEN CORP ........................ 98,900 9,900 NALCO CHEMICAL CORP ................. 357,637 2,250 OM GROUP, INC ....................... 60,750 6,200 RAYCHEM CORP ........................ 496,775 13,650 RPM, INC ............................ 232,050 6,875 SCHULMAN (A.), INC .................. 168,437 6,100 o SEALED AIR CORP ..................... 253,912 6,700 SIGMA ALDRICH CORP .................. 418,331 6,200 TERRA INDUSTRIES, INC ............... 91,450 4,000 THIOKOL CORP ........................ 179,000 6,400 WELLMAN, INC ........................ 109,600 9,300 WITCO CORP .......................... 283,650 ------------ 8,987,196 ------------ See notes to financial statements. -59- SHARES VALUE ------ ------- COMMUNICATION EQUIPMENT & SERVICES--2.78% 17,600 o 360 COMMUNICATIONS CO ............... $ 407,000 22,160 o 3COM CORP ........................... 1,625,990 3,100 o ACC CORP ............................ 93,775 68,600 o AIRTOUCH COMMUNICATIONS, INC ........ 1,732,150 8,125 o ANDREW CORP ......................... 431,132 1,000 o ANTEC CORP .......................... 9,000 2,200 o APAC TELESERVICES INC ............... 84,425 5,200 o ARCH COMMUNICATIONS GROUP, INC ...... 48,750 16,400 o ASCEND COMMUNICATIONS, INC .......... 1,018,850 3,100 o AVID TECHNOLOGIES, INC .............. 32,162 11,900 o BRINKER INTERNATIONAL, INC .......... 190,400 3,700 o CABLE DESIGN TECHNOLOGIES CO ........ 115,162 14,200 o CABLETRON SYSTEMS, INC .............. 472,150 7,600 o CAI WIRELESS SYSTEMS, INC ........... 7,600 1,500 o CALIFORNIA MICROWAVE, INC ........... 22,312 9,100 o CASCADE COMMUNICATIONS CORP ......... 501,637 1,300 o CELLSTAR CORP ....................... 23,400 400 o CELLULAR COMMUNICATIONS INTERNATIONAL, INC ................. 11,600 10,300 CENTURY TELEPHONE ENTERPRISES, INC .. 318,012 12,200 o CHYRON CORP ......................... 35,075 1,900 o CIDCO, INC .......................... 33,250 91,100 o CISCO SYSTEMS, INC .................. 5,796,237 6,900 COMSAT CORP SERIES 1 ................ 169,912 30,200 CORNING, INC ........................ 1,396,750 15,200 o DSC COMMUNICATIONS CORP ............. 271,700 6,800 o DSP COMMUNICATIONS, INC ............. 131,750 3,100 o DYNATECH CORP ....................... 137,175 1,600 o GENERAL DATACOMM INDUSTRIES, INC .... 16,800 9,900 o GEOTEK COMMUNICATIONS, INC .......... 70,537 6,300 HARRIS CORP ......................... 432,337 2,900 o HEARTLAND WIRELESS COMMUNICATIONS INC ................. 38,062 3,800 o HIGHWAYMASTER COMMUNICATIONS, INC ... 68,875 3,900 o INTERCEL, INC ....................... 47,775 1,100 o INTERDIGITAL COMMUNICATIONS CORP .... 6,325 3,200 o INTERMEDIA COMMUNICATIONS, INC ...... 82,400 6,466 o INTERNATIONAL CABLETEL, INC ......... 163,266 2,900 o JACOR COMMUNICATIONS, INC ........... 79,387 12,500 o LCI INTERNATIONAL, INC .............. 268,750 7,900 o LORAL SPACE & COMMUNICATIONS LTD .... 145,162 85,162 o LUCENT TECHNOLOGIES, INC ............ 3,938,742 3,800 o MACROMEDIA, INC ..................... 68,400 2,800 o MASTEC, INC ......................... 148,400 12,611 o MFS COMMUNICATIONS CO, INC .......... 687,299 1,100 o NETCOM ON-LINE COMMUNICATIONS SERVICE, INC ....................... 14,300 3,400 o NETWORK EQUIPMENT TECHNOLOGIES, INC .................. 56,100 7,700 o NEW WORLD COMMUNICATIONS GROUP, INC ......................... 194,425 39,400 o NOVELL, INC ......................... 373,068 7,300 o OCTEL COMMUNICATIONS CORP ........... 127,750 5,000 o OMNIPOINT CORP ...................... 96,250 2,500 o P-COM, INC .......................... 74,062 15,200 o PAGING NETWORK, INC ................. 231,800 9,200 o PAIRGAIN TECHNOLOGIES, INC .......... 280,025 10,600 o PANAMSAT CORP ....................... 296,800 1,800 o PHARMACEUTICAL PRODUCT DEVELOPMENT ........................ 45,450 4,600 o PICTURETEL CORP NEW ................. 119,600 5,300 o PMT SERVICES, INC ................... 92,750 3,600 o PREMIERE TECHNOLOGIES INC ........... 90,000 2,600 o PREMISYS COMMUNICATIONS, INC ........ 87,750 6,600 o QUALCOMM, INC ....................... 263,175 3,500 o RENAISSANCE COMMUNICATIONS CORP ..... 125,125 9,700 SCIENTIFIC-ATLANTA, INC ............. 145,500 5,600 o SITEL CORP .......................... 79,100 6,800 o TECH DATA CORP ...................... 186,150 3,300 o TEL-SAVE HOLDINGS, INC .............. 95,700 5,100 o TELE-COMMUNICATIONS INTERNATIONAL (CLASS A) .......................... 67,575 21,100 o TELLABS, INC ........................ 793,887 7,600 o VANGUARD CELLULAR SYSTEMS, INC ...... 119,700 3,400 o WESTELL TECHNOLOGIES, INC (CLASS A) . 77,775 4,300 o WINSTAR COMMUNICATIONS, INC ......... 90,300 ------------ 25,603,990 ------------ COMPUTER SERVICE--4.02% 400 o 3DO CO .............................. 1,925 10,500 o ACXIOM CORP ......................... 252,000 14,000 o ADAPTEC, INC ........................ 560,000 17,000 o ADC TELECOMMUNICATIONS, INC ......... 529,125 7,872 ADOBE SYSTEMS, INC .................. 294,216 7,725 o AMERICAN MANAGEMENT SYSTEMS, INC .... 189,262 2,400 o ARBOR SOFTWARE CORP ................. 58,200 4,200 o AUSPEX SYSTEMS, INC ................. 48,825 39,700 AUTOMATIC DATA PROCESSING, INC ...... 1,702,137 2,300 o AVANT CORP .......................... 73,025 400 o BANYAN SYSTEMS, INC ................. 1,800 23,545 o BAY NETWORKS, INC ................... 491,501 3,100 o BBN CORP ............................ 69,750 2,500 o BDM INTERNATIONAL, INC .............. 135,625 6,200 o BISYS GROUP, INC .................... 229,787 13,200 o BMC SOFTWARE, INC ................... 546,150 2,200 o BORLAND INTERNATIONAL, INC .......... 11,962 4,500 o BOSTON TECHNOLOGY, INC .............. 129,375 2,000 o BRODERBUND SOFTWARE, INC ............ 59,500 4,000 o C-CUBE MICROSYSTEMS, INC ............ 147,750 11,525 o CADENCE DESIGN SYSTEMS, INC ......... 458,118 5,100 o CAMBRIDGE TECHNOLOGY PARTNERS, INC .. 171,168 1,950 o CDW COMPUTER CENTERS, INC ........... 115,659 8,900 o CERIDIAN CORP ....................... 360,450 6,100 o CHECKFREE CORP ...................... 104,462 5,200 o CITRIX SYSTEMS, INC ................. 203,125 1,600 o CLARIFY INC ......................... 76,800 10,600 o COMPUSA, INC ........................ 218,625 38,450 COMPUTER ASSOCIATES INTERNATIONAL, INC ................. 1,912,887 9,560 o COMPUTER SCIENCES CORP .............. 785,115 4,700 o COMPUWARE CORP ...................... 235,587 2,400 o CYRIX CORP .......................... 42,600 500 o DOCUMENTUM INC ...................... 16,875 4,000 o DST SYSTEMS, INC .................... 125,500 6,500 o ELECTRONIC ARTS, INC ................ 194,593 44,100 ELECTRONIC DATA SYSTEMS CORP ........ 1,907,325 29,400 o EMC CORP ............................ 973,875 2,700 o EMPLOYEE SOLUTIONS, INC ............. 55,350 3,100 o EXABYTE CORP ........................ 41,462 56,748 FIRST DATA CORP ..................... 2,071,302 7,100 o FISERV, INC ......................... 260,925 See notes to financial statements. -60- SHARES VALUE ------ ------- COMPUTER SERVICE--(CONTINUED) 5,200 o FORTE SOFTWARE, INC ................. $ 170,300 1,600 o FTP SOFTWARE, INC ................... 9,600 12,000 o GT INTERACTIVE SOFTWARE CORP ........ 85,500 10,700 HBO & CO ............................ 635,312 7,200 o HMT TECHNOLOGY CORP ................. 108,112 3,300 o HNC SOFTWARE ........................ 103,125 8,000 o IMATION CORP ........................ 225,000 19,500 o INFORMIX CORP ....................... 397,312 267 o INTEGRATED SYSTEMS CONSULTING GROUP .............................. 3,671 3,800 o INTEGRATED SYSTEMS, INC ............. 98,800 8,400 o INTERGRAPH CORP ..................... 86,100 4,700 o INTUIT, INC ......................... 148,050 500 o JTS CORP ............................ 1,656 4,800 o LEARNING CO, INC .................... 69,000 3,400 o LEGATO SYSTEMS, INC ................. 110,925 4,400 o MEDIC COMPUTER SYSTEMS, INC ......... 177,375 9,600 o MENTOR GRAPHICS CORP ................ 93,600 4,900 o MICROCHIP TECHNOLOGY, INC ........... 249,287 3,100 o MICRON ELECTRONICS, INC ............. 60,256 111,600 o MICROSOFT CORP ...................... 9,220,950 5,000 NATIONAL DATA CORP .................. 217,500 4,200 o NETMANAGE, INC ...................... 25,200 6,000 o NETSCAPE COMMUNICATIONS CORP ........ 341,250 300 o NETWORK APPLIANCE INC ............... 15,262 8,000 o NETWORK GENERAL CORP ................ 242,000 4,900 o OBJECTIVE SYSTEMS INTEGRATORS, INC .. 116,987 66,825 o ORACLE CORP ......................... 2,789,943 17,000 o PARAMETRIC TECHNOLOGY CORP .......... 873,375 9,400 o PEOPLESOFT, INC ..................... 450,612 3,700 o PHYSICIAN COMPUTER NETWORK, INC ..... 31,450 5,800 o PIXAR INC ........................... 75,400 8,600 o PLATINUM TECHNOLOGY, INC ............ 117,175 2,400 o POLICY MANAGEMENT SYSTEMS CORP ...... 110,700 1,400 o PROGRESS SOFTWARE CORP .............. 28,000 4,500 o PSINET, INC ......................... 48,937 4,900 o RATIONAL SOFTWARE CORP .............. 193,856 4,900 o READ RITE CORP ...................... 123,725 11,500 REYNOLDS & REYNOLDS CO (CLASS A) .... 299,000 5,900 o SAFEGUARD SCIENTIFICS, INC .......... 187,325 1,500 o SCOPUS TECHNOLOGY, INC .............. 69,750 4,400 o SECURITY DYNAMICS TECHNOLOGIES, INC . 138,600 2,000 SEI CORP ............................ 44,500 3,500 SHARED MEDICAL SYSTEMS CORP ......... 172,375 3,300 o SHIVA CORP .......................... 115,087 10,077 o STERLING COMMERCE INC ............... 355,214 3,900 o STERLING SOFTWARE, INC .............. 123,337 4,200 o STRUCTURAL DYNAMICS RESEARCH CORP ... 84,000 9,400 o SYBASE, INC ......................... 156,862 6,800 o SYMANTEC CORP ....................... 98,600 5,400 o SYNOPSYS, INC ....................... 249,750 3,150 SYSTEM SOFTWARE ASSOCIATES, INC ..... 33,468 2,400 o SYSTEMSOFT CORP ..................... 35,700 2,800 o TECHNOLOGY SOLUTIONS CO ............. 116,200 5,100 o TRANSACTION SYSTEM ARCHITECTURE ..... 169,575 6,700 o VANSTAR CORP ........................ 164,150 3,000 o VANTIVE CORP (THE) .................. 93,750 2,000 o VERITAS SOFTWARE CORP ............... 99,500 2,300 o VIASOFT INC ......................... 108,675 2,500 o VIDEOSERVER, INC .................... 106,250 2,500 o VISIO CORP .......................... 123,750 4,700 o YAHOO INC ........................... 79,900 3,700 o ZEBRA TECHNOLOGY CORP ............... 86,487 ------------ 37,030,826 ------------ CONGLOMERATES--2.08% 17,500 ALCO STANDARD CORP .................. 903,437 11,200 ALEXANDER & BALDWIN, INC ............ 280,000 32,600 ALLIED SIGNAL, INC .................. 2,184,200 6,200 AMERICAN FINANCIAL GROUP, INC ....... 234,050 8,700 o ANIXTER INTERNATIONAL, INC .......... 140,287 3,000 o BLYTH INDUSTRIES, INC ............... 136,875 8,500 o COLTEC INDUSTRIES, INC .............. 160,437 7,975 o CONCORD EFS, INC .................... 225,293 7,800 o COPYTELE, INC ....................... 38,512 8,150 CRANE CO ............................ 236,350 16,700 ITT INDUSTRIES, INC ................. 409,150 6,400 JOHNSON CONTROLS, INC ............... 530,400 1,950 KEYSTONE FINANCIAL, INC ............. 48,750 5,700 o LITTON INDUSTRIES, INC .............. 271,462 9,700 LOEWS CORP .......................... 914,225 10,299 MARK IV INDUSTRIES, INC ............. 233,014 7,000 o METROMEDIA INTERNATIONAL GROUP INC .. 69,125 55,300 MINNESOTA MINING & MANUFACTURING CO ................... 4,582,987 21,400 o ROCKWELL INTERNATIONAL CORP NEW ..... 1,302,725 5,900 SCHULLER CORP ....................... 62,687 1,100 STANDEX INTERNATIONAL CORP .......... 33,962 9,400 TEXTRON, INC ........................ 885,950 17,900 TRW, INC ............................ 886,050 19,000 TYCO INTERNATIONAL LTD .............. 1,004,625 10,800 o U.S. INDUSTRIES, INC ................ 371,250 34,400 UNITED TECHNOLOGIES CORP ............ 2,270,400 15,300 VIAD CORP ........................... 252,450 19,100 WHITMAN CORP ........................ 436,912 3,600 ZEIGLER COAL HOLDING CO ............. 76,950 ------------ 19,182,515 ------------ CONSTRUCTION--MATERIALS & BUILDERS--0.66% 6,000 ARMSTRONG WORLD INDUSTRIES, INC ..... 417,000 10,400 BAY APARTMENT COMMUNITIES, INC ...... 374,400 1,200 o CASTLE & COOKE, INC ................. 19,050 3,000 o CDI CORP ............................ 85,125 5,100 CENTEX CORP ......................... 191,887 8,600 o CHAMPION ENTERPRISES, INC ........... 167,700 14,716 CLAYTON HOMES, INC .................. 198,666 3,300 o EAGLE HARDWARE & GARDEN, INC ........ 68,475 4,000 FASTENAL CO ......................... 183,000 5,300 FLEETWOOD ENTERPRISES, INC .......... 145,750 4,900 o JACOBS ENGINEERING GROUP, INC ....... 115,762 600 JUSTIN INDUSTRIES, INC .............. 6,900 13,700 KAUFMAN & BROAD HOME CORP ........... 176,387 10,360 LAFARGE CORP ........................ 208,495 7,050 LENNAR CORP ......................... 192,112 2,300 MANUFACTURED HOME COMMUNITIES, INC ................... 53,475 15,868 MARTIN MARIETTA MATERIALS, INC ...... 368,931 21,800 MASCO CORP .......................... 784,800 900 MEDUSA CORP ......................... 30,937 4,800 o MILLER INDUSTRIES, INC .............. 96,000 7,200 OAKWOOD HOMES CORP .................. 164,700 7,300 OWENS CORNING CO .................... 311,162 700 PLY-GEM INDUSTRIES, INC ............. 8,662 4,300 PULTE CORP .......................... 132,225 10,300 SHERWIN-WILLIAMS CO ................. 576,800 14,356 SIMON DEBARTOLO GROUP, INC .......... 445,036 4,300 o SOLA INTERNATIONAL, INC ............. 163,400 300 TEXAS INDUSTRIES, INC ............... 15,187 6,500 o USG CORP ............................ 220,187 3,000 VULCAN MATERIALS CO ................. 182,625 ------------ 6,104,836 ------------ See notes to financial statements. -61- SHARES VALUE ------ ------- CONTAINERS--0.14% 7,759 BALL CORP ........................... $ 201,734 13,000 CROWN CORK & SEAL CO, INC ........... 706,875 6,500 o GAYLORD CONTAINER CO ................ 39,812 15,400 o OWENS ILLINOIS, INC ................. 350,350 1,100 WEST CO, INC ........................ 31,075 ------------ 1,329,846 ------------ COSMETICS--0.70% 1,200 ALBERTO CULVER CO (CLASS B) ......... 57,600 17,700 AVON PRODUCTS, INC .................. 1,011,112 600 o BUSH BOAKE ALLEN, INC ............... 15,975 4,700 CARTER WALLACE, INC ................. 73,437 58,900 GILLETTE CO ......................... 4,579,475 12,400 INTERNATIONAL FLAVORS & FRAGRANCES, INC .................... 558,000 2,500 LAUDER (ESTEE) CO (CLASS A) ......... 127,187 ------------ 6,422,786 ------------ ELECTRICAL EQUIPMENT--3.28% 10,100 o AMERICAN POWER CONVERSION CORP ...... 275,225 7,400 AMETEK, INC ......................... 164,650 7,400 BELDEN, INC ......................... 273,800 15,500 DURACELL INTERNATIONAL, INC ......... 1,083,062 30,000 EMERSON ELECTRIC CO ................. 2,902,500 219,900 GENERAL ELECTRIC CO ................. 21,742,612 4,600 GENERAL SIGNAL CORP ................. 196,650 6,000 GRAINGER (W.W.), INC ................ 481,500 17,200 HONEYWELL, INC ...................... 1,130,900 8,250 HUBBELL, INC (CLASS B) .............. 356,812 1,700 JUNO LIGHTING, INC .................. 27,200 10,005 THOMAS & BETTS CORP ................. 443,971 58,900 WESTINGHOUSE ELECTRIC CORP .......... 1,170,637 ------------ 30,249,519 ------------ ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--3.80% 17,200 o ADVANCED MICRO DEVICES, INC ......... 442,900 5,600 o ALTERA CORP ......................... 407,050 30,000 AMP, INC ............................ 1,151,250 5,800 o AMPHENOL CORP (CLASS A) ............. 129,050 16,525 o ANALOG DEVICES, INC ................. 559,784 1,000 o APPLIED INNOVATION, INC ............. 6,125 7,237 o ARROW ELECTRONICS, INC .............. 387,179 12,400 o ATMEL CORP .......................... 410,750 6,600 AVNET, INC .......................... 384,450 4,300 AVX CORP ............................ 92,450 1,800 BALDOR ELECTRIC CO .................. 44,325 1,700 o BURR BROWN CORP ..................... 44,200 4,100 o CHIPS & TECHNOLOGIES, INC ........... 74,825 7,600 o CIRRUS LOGIC, INC ................... 117,800 8,200 o COMPUCOM SYSTEMS, INC ............... 88,150 5,000 o COMPUTER PRODUCTS, INC .............. 97,500 3,300 o COMVERSE TECHNOLOGY, INC ............ 124,781 135 o CYBERGUARD CORP ..................... 1,636 9,800 o CYPRESS SEMICONDUCTOR CORP .......... 138,425 8,000 DALLAS SEMICONDUCTOR CORP ........... 184,000 5,100 o ESS TECHNOLOGY ...................... 143,437 3,500 o ETEC SYSTEMS, INC ................... 133,875 4,500 FISHER SCIENTIFIC INTERNATIONAL, INC 212,062 17,400 o GENERAL INSTRUMENT CORP NEW ......... 376,275 1,900 o HADCO CORP .......................... 93,100 1,100 HELIX TECHNOLOGY CORP ............... 31,900 10,400 o INTEGRATED DEVICE TECHNOLOGY, INC ... 141,700 115,400 INTEL CORP .......................... 15,110,187 7,000 o INTERNATIONAL RECTIFIER CORP ........ 106,750 1,400 o JABIL CIRCUIT, INC .................. 56,000 5,600 o KEMET CORP .......................... 130,200 6,100 o KENT ELECTRONICS CORP ............... 157,075 3,600 o LAM RESEARCH CORP ................... 101,250 3,600 o LATTICE SEMICONDUCTOR CORP .......... 165,600 10,300 LINEAR TECHNOLOGY CO ................ 451,912 16,100 o LSI LOGIC CORP ...................... 430,675 2,300 o MAGNETEK, INC ....................... 29,612 5,900 o MARSHALL INDUSTRIES, INC ............ 180,687 9,400 o MAXIM INTEGRATED PRODUCTS ........... 406,550 3,000 o MEMC ELECTRONIC MATERIALS, INC ...... 67,500 8,200 METHODE ELECTRONICS, INC (CLASS A) .. 166,050 23,400 MICRON TECHNOLOGY, INC .............. 681,525 12,025 MOLEX, INC .......................... 470,478 79,200 MOTOROLA, INC ....................... 4,860,900 2,000 o MRV COMMUNICATIONS, INC ............. 43,500 1,000 o MYLEX CORP .......................... 12,500 17,300 o NATIONAL SEMICONDUCTOR CORP ......... 421,687 2,400 o OAK INDUSTRIES, INC NEW ............. 55,200 1,950 PIONEER-STANDARD ELECTRONICS, INC ... 25,593 7,900 o S3, INC ............................. 128,375 3,300 o SANMINA CORP ........................ 186,450 5,300 o SIERRA SEMICONDUCTOR CORP ........... 79,500 3,900 o SYMBOL TECHNOLOGIES, INC ............ 172,575 2,200 o TCSI CORP ........................... 13,750 24,400 TEXAS INSTRUMENTS, INC .............. 1,555,500 3,400 o TRIMBLE NAVIGATION LTD .............. 39,100 11,300 o U.S. ROBOTICS CORP .................. 813,600 3,400 o UCAR INTERNATIONAL INC .............. 127,925 2,900 o UNIPHASE CORP ....................... 152,250 4,900 o VICOR CORP .......................... 81,768 7,497 o VISHAY INTERTECHNOLOGY, INC ......... 175,242 2,800 o VITESSE SEMICONDUCTOR CORP .......... 127,400 5,600 o VLSI TECHNOLOGY, INC ................ 133,700 5,900 o WATERS CORP ......................... 179,212 5,900 o WESTERN DIGITAL CORP ................ 335,562 3,300 WYLE ELECTRONICS .................... 130,350 10,200 o XILINX, INC ......................... 375,487 4,200 o ZILOG, INC .......................... 109,725 ------------ 35,067,881 ------------ ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.37% 22,900 o APPLIED MATERIALS, INC .............. 822,968 4,100 BECKMAN INSTRUMENTS, INC NEW ........ 157,337 1,800 o COHERENT, INC ....................... 76,050 3,300 o DESTEC ENERGY, INC .................. 51,562 3,300 o DIONEX CORP ......................... 115,500 1,600 o ELECTROGLAS, INC .................... 25,800 3,200 o ELECTRONICS FOR IMAGING, INC ........ 263,200 1,700 o EPIC DESIGN TECHNOLOGY, INC ......... 42,500 3,200 o GENRAD, INC ......................... 74,400 6,600 o INPUT/OUTPUT, INC ................... 122,100 6,600 o KLA INSTRUMENTS CORP ................ 234,300 1,900 o KULICHE & SOFFA INDUSTRIES, INC ..... 36,100 2,600 o LTX CORP ............................ 15,275 5,900 PERKIN-ELMER CORP ................... 347,362 4,900 o SILICON VALLEY GROUP, INC ........... 98,612 4,600 TEKTRONIX, INC ...................... 235,750 4,100 o TENCOR INSTRUMENTS .................. 108,137 10,000 o TERADYNE, INC ....................... 243,750 3,175 o THERMO INSTRUMENT SYSTEMS, INC ...... 105,171 4,300 VARIAN ASSOCIATES, INC .............. 218,762 1,900 X RITE, INC ......................... 31,350 ------------ 3,425,986 ------------ See notes to financial statements. -62- SHARES VALUE ------ ------- ENVIRONMENTAL CONTROL--0.52% 17,100 o ALLIED WASTE INDUSTRIES, INC ........ $ 158,175 25,300 BROWNING FERRIS INDUSTRIES, INC ..... 664,125 10,500 OGDEN CORP .......................... 196,875 800 o OMEGA ENVIRONMENTAL, INC ............ 1,025 18,800 o REPUBLIC INDUSTRIES, INC ............ 586,325 6,650 o U.S. FILTER CORP .................... 211,137 16,960 o U.S.A. WASTE SERVICES, INC .......... 540,600 7,700 o UNITED WASTE SYSTEMS, INC ........... 264,687 13,100 WHEELABRATOR TECHNOLOGIES, INC NEW .. 212,875 61,100 WMX TECHNOLOGIES, INC ............... 1,993,387 ------------ 4,829,211 ------------ FINANCIAL--MISCELLANEOUS--4.25% 2,200 AAMES FINANCIAL CORP ................ 78,925 7,100 ADVANTA CORP (CLASS A) .............. 303,525 2,100 ALEX BROWN, INC ..................... 152,250 5,800 AMBAC, INC .......................... 384,975 63,500 AMERICAN EXPRESS CO ................. 3,587,750 29,900 AMERICAN GENERAL CORP ............... 1,222,162 3,600 AMERICAN HEALTH PROPERTIES, INC ..... 85,950 5,400 o AMRESCO, INC ........................ 144,450 12,500 ASTORIA FINANCIAL CORP .............. 460,937 6,900 AVALON PROPERTIES, INC .............. 198,375 6,656 BEACON PROPERTIES CORP .............. 243,776 16,944 BEAR STEARNS COS, INC ............... 472,314 7,100 BENEFICIAL CORP ..................... 449,962 7,300 o CALIFORNIA FEDERAL BANCORP, INC ..... 178,850 10,890 CAPSTEAD MORTGAGE CORP .............. 261,360 7,800 CARR REALTY CORP .................... 228,150 7,600 CASE CORP ........................... 414,200 13,900 o CATELLUS DEVELOPMENT CORP ........... 158,112 1,300 CBL & ASSOCIATES PROPERTIES, INC .... 33,637 2,000 o CITYSCAPE FINANCIAL CORP ............ 52,500 5,600 CMAC INVESTMENT CORP ................ 205,800 3,800 o COAST SAVINGS FINANCIAL, INC ........ 139,175 7,500 COLLECTIVE BANCORP, INC ............. 263,437 6,850 COMDISCO, INC ....................... 217,487 1,400 COMMERCIAL FEDERAL CORP ............. 67,200 12,423 COUNTRYWIDE CREDIT INDUSTRIES, INC .. 355,608 2,900 o CREDIT ACCEPTANCE CORP .............. 68,150 12,200 CWM MORTGAGE HOLDINGS, INC .......... 262,300 19,400 DEAN WITTER, DISCOVER & CO .......... 1,285,250 4,600 DEVELOPERS DIVERSIFIED REALTY CORP .. 170,775 4,800 DUKE REALTY INVESTMENTS, INC ........ 184,800 846 o ECHELON INTERNATIONAL CORP .......... 13,218 9,800 EDWARDS (A.G.), INC ................. 329,525 2,900 o ENVOY CORP .......................... 108,750 6,600 EQUITY RESIDENTIAL PROPERTIES TRUST CO ........................... 272,250 22,700 FEDERAL HOME LOAN MORTGAGE CORP ..... 2,499,837 140,900 FEDERAL NATIONAL MORTGAGE ASSOCIATION ........................ 5,248,525 1,200 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD ....................... 39,450 4,000 FINOVA GROUP, INC ................... 257,000 11,375 FIRST FINANCIAL CORP (WISCONSIN) .... 278,687 15,100 FIRST USA, INC ...................... 522,837 19,787 FRANCHISE FINANCE CORP OF AMERICA ... 546,615 7,100 FRANKLIN RESOURCES, INC ............. 485,462 6,900 o GARTNER GROUP, INC (CLASS A) NEW .... 268,668 5,700 GENERAL GROWTH PROPERTIES, INC ...... 183,825 13,300 o GLENDALE FEDERAL SAVINGS BANK, INC NEW ................................ 309,225 2,800 GLIMCHER REALTY TRUST ............... 61,600 4,900 GOLDEN WEST FINANCIAL CORP .......... 309,312 11,583 GREAT WESTERN FINANCIAL CORP ........ 335,907 19,000 GREEN TREE FINANCIAL CORP ........... 733,875 10,100 H.F. AHMANSON & CO .................. 328,250 15,500 HEALTH AND RETIREMENT PROPERTY TRUST .............................. 300,312 7,800 HIGHWOODS PROPERTIES, INC ........... 263,250 12,510 HOUSEHOLD INTERNATIONAL, INC ........ 1,154,047 16,220 LEHMAN BROTHERS HOLDINGS, INC ....... 508,902 6,900 LEUCADIA NATIONAL CORP .............. 184,575 25,550 MBNA CORP ........................... 1,060,325 12,000 MEDITRUST CORP ...................... 480,000 18,850 MERCURY FINANCE CO .................. 230,912 24,500 MERRILL LYNCH & CO, INC ............. 1,996,750 8,917 MERRY LAND & INVESTMENT CO, INC ..... 191,715 11,500 MORGAN STANLEY GROUP, INC ........... 656,937 13,791 NEW PLAN REALTY TRUST ............... 349,946 4,300 o OLYMPIC FINANCIAL LTD ............... 61,812 10,500 PAINE WEBBER GROUP INC ............. 295,312 800 o PEC ISRAEL ECONOMIC CORP ............ 13,400 7,100 PENNCORP FINANCIAL GROUP, INC ....... 255,600 3,700 PIONEER GROUP, INC .................. 87,875 4,500 PMI GROUP, INC ...................... 249,187 3,600 POST PROPERTIES, INC ................ 144,900 7,500 PRICE (T. ROWE) ASSOCIATES, INC ..... 326,250 11,100 PUBLIC STORAGE, INC ................. 344,100 2,750 QUICK & REILLY GROUP, INC ........... 82,156 3,200 o RAC FINANCIAL GROUP INC ............. 67,600 4,600 RESOURCE MORTGAGE CAPITAL CORP ...... 135,125 4,200 RFS HOTEL INVESTORS, INC ............ 82,950 14,900 ROOSEVELT FINANCIAL GROUP, INC ...... 312,900 13,800 SALOMON, INC ........................ 650,325 15,300 SCHWAB (CHARLES) CORP ............... 489,600 2,200 o SEACOR HOLDINGS, INC ................ 138,600 8,000 SECURITY CAPITAL PACIFIC TRUST ...... 183,000 7,700 SPIEKER PROPERTIES, INC ............. 277,200 6,900 STUDENT LOAN MARKETING ASSOCIATION .. 642,562 6,600 TCF FINANCIAL CORP .................. 287,100 3,950 THE MONEY STORE, INC ................ 109,118 11,900 TIG HOLDINGS, INC ................... 403,112 11,200 UNITED ASSET MANAGEMENT CORP ........ 298,200 5,280 UNITED COS FINANCIAL CORP ........... 140,580 15,879 UNITED DOMINION REALTY TRUST CO ..... 246,124 ------------ 39,167,319 ------------ FOODS--2.13% 72,572 ARCHER DANIELS MIDLAND CO ........... 1,596,584 17,400 CAMPBELL SOUP CO .................... 1,396,350 6,300 CHIQUITA BRANDS INTERNATIONAL, INC .. 80,325 30,200 CONAGRA, INC ........................ 1,502,450 18,600 CPC INTERNATIONAL, INC .............. 1,441,500 7,500 DEAN FOODS CO ....................... 241,875 6,300 DOLE FOOD, INC ...................... 213,412 700 DREYERS GRAND ICE CREAM, INC ........ 20,300 840 EARTHGRAINS CO ...................... 43,890 8,400 FLOWERS INDUSTRIES, INC ............. 180,600 20,900 GENERAL MILLS, INC .................. 1,324,537 10,900 o GENERAL NUTRITION COS, INC .......... 183,937 42,850 HEINZ (H.J.) CO ..................... 1,531,887 12,800 HERSHEY FOODS CORP .................. 560,000 7,900 HORMEL FOODS CORP ................... 213,300 14,400 IBP, INC ............................ 349,200 4,000 INTERSTATE BAKERIES CORP ............ 196,500 12,100 KELLOGG CO .......................... 794,062 6,300 LANCE, INC .......................... 113,400 12,300 MCCORMICK & CO, INC (NON-VOTE) ...... 289,818 12,000 NABISCO HOLDINGS CORP (CLASS A) ..... 466,500 3,200 NATURES SUNSHINE PRODUCTS, INC ...... 57,600 700 o NBTY, INC ........................... 13,300 9,200 PIONEER-HI-BRED INTERNATIONAL, INC .. 644,000 18,500 QUAKER OATS CO ...................... 705,312 10,500 o RALCORP HOLDINGS, INC ............... 221,812 13,800 RALSTON PURINA CO ................... 1,012,575 10,350 RICHFOOD HOLDINGS, INC .............. 250,987 64,000 SARA LEE CORP ....................... 2,384,000 4,000 o SMITHFIELD FOODS, INC ............... 152,000 388 SMITH'S FOOD & DRUG CENTERS, INC (CLASS B) ............. 12,028 924 TOOTSIE ROLL INDUSTRIES, INC ........ 36,613 11,200 TYSON FOODS, INC .................... 383,600 4,600 UNIVERSAL FOODS CORP ................ 162,150 3,100 o WHOLE FOODS MARKET, INC ............. 69,750 350 WLR FOODS, INC ...................... 4,331 13,700 WRIGLEY (WM) JR CO .................. 770,625 ------------ 19,621,110 ------------ See notes to financial statements. -63- SHARES VALUE ------ ------- FOREST PRODUCTS--0.45% 6,000 BOISE CASCADE CORP .................. $ 190,500 11,000 CHAMPION INTERNATIONAL CORP ......... 475,750 11,300 o COLLINS & AIKMAN CORP ............... 70,625 11,500 GEORGIA-PACIFIC CORP ................ 828,000 15,900 LOUISIANA PACIFIC CORP .............. 335,887 5,500 POTLATCH CORP ....................... 236,500 5,700 RAYONIER, INC ....................... 218,737 1,100 TJ INTERNATIONAL, INC ............... 25,575 26,200 WEYERHAEUSER CO ..................... 1,241,225 7,300 WILLAMETTE INDUSTRIES, INC .......... 508,262 ------------ 4,131,061 ------------ HEALTHCARE--DRUGS--5.79% 2,800 o AGOURON PHARMACEUTICALS, INC ........ 189,700 3,000 o ALLIANCE PHARMACEUTICAL CORP ........ 40,875 11,800 o ALZA CORP ........................... 305,325 85,600 AMERICAN HOME PRODUCTS CORP ......... 5,018,300 35,900 o AMGEN, INC .......................... 1,952,062 11,625 ARBOR DRUGS, INC .................... 201,984 7,260 BERGEN BRUNSWIG CORP (CLASS A) ...... 206,910 1,000 o BIO-TECHNOLOGY GENERAL CORP ......... 13,125 9,100 o BIOGEN, INC ......................... 352,625 951 BLOCK DRUG, INC (CLASS A) ........... 43,746 66,800 BRISTOL MYERS SQUIBB CO ............. 7,264,500 600 o CELLPRO, INC ........................ 7,500 8,700 o CENTOCOR, INC ....................... 311,025 4,000 o CEPHALON, INC ....................... 82,000 22,128 o CHIRON CORP ......................... 412,134 200 o COPLEY PHARMACEUTICAL, INC .......... 1,850 1,100 o COR THERAPEUTICS, INC ............... 10,862 2,200 o CYGNUS, INC ......................... 31,900 6,400 o DURA PHARMACEUTICALS, INC ........... 305,600 2,364 o ELAN CORP PLC ADR ................... 78,603 1,890 o ENZO BIOCHEMICAL, INC ............... 34,256 7,100 o FOREST LABORATORIES, INC ............ 232,525 1,600 o GENETICS INSTITUTE, INC (DEPOSITORY SHARES) ................ 135,600 600 o GENSIA, INC ......................... 2,775 9,700 o GENZYME CORP (GENERAL DIVISION) ..... 210,975 81 o GENZYME CORP (TISSUE REPAIR DIVISION) ........... 577 4,900 o GILEAD SCIENCES, INC ................ 122,500 7,300 o IMMUNEX CORP NEW .................... 142,350 4,700 o INTERNEURON PHARMACEUTICALS, INC .... 122,200 5,400 o ISIS PHARMACEUTICALS, INC ........... 97,200 14,592 IVAX CORP ........................... 149,568 3,800 JONES MEDICAL INDUSTRIES, INC ....... 139,175 600 o LIGAND PHARMACEUTICALS CO (CLASS A) .......................... $ 8,925 62,238 LILLY (ELI) & CO .................... 4,543,374 5,700 o LIPOSOME CO, INC .................... 109,012 2,400 o MATRIX PHARMACEUTICALS, INC ......... 14,700 6,300 MCKESSON CORP NEW ................... 352,800 163,400 MERCK & CO, INC ..................... 12,949,450 18,150 MYLAN LABORATORIES, INC ............. 304,012 1,200 o NEUROGEN CORP ....................... 23,100 4,700 o NEXSTAR PHARMACEUTICALS, INC ........ 70,500 1,700 o PDT, INC ............................ 47,600 85,900 PFIZER, INC ......................... 7,118,962 58,645 PHARMACIA & UPJOHN, INC ............. 2,323,808 400 o PROTEIN DESIGN LABORATORIES, INC .... 14,600 6,000 RHONE-POULNEC RORER, INC ............ 468,750 1,900 o ROBERTS PHARMACEUTICAL CORP ......... 21,375 3,900 o SCHERER (R.P.) CORP ................. 195,975 50,200 SCHERING-PLOUGH CORP ................ 3,250,450 2,400 o SEPRACOR, INC ....................... 39,900 6,400 o SEQUUS PHARMACEUTICALS, INC ......... 102,400 2,200 o SOMATOGEN, INC ...................... 24,200 4,000 o THERMEDICS, INC ..................... 72,500 1,900 o U.S. BIOSCIENCE, INC ................ 23,987 4,100 o VERTEX PHARMACEUTICALS, INC ......... 165,025 35,800 WARNER-LAMBERT CO ................... 2,685,000 4,488 o WATSON PHARMACEUTICALS, INC ......... 201,679 ------------ 53,352,411 ------------ HEALTHCARE--HOSPITAL SUPPLY--2.06% 103,300 ABBOTT LABORATORIES CO .............. 5,242,475 9,440 ALLEGIANCE CORP ..................... 260,780 8,600 BARD (C.R.), INC .................... 240,800 35,400 BAXTER INTERNATIONAL, INC ........... 1,451,400 17,200 BECTON DICKINSON & CO ............... 746,050 1,300 o CNS, INC ............................ 18,687 3,000 DENTSPLY INTERNATIONAL, INC NEW ..... 142,500 9,671 GUIDANT CORP ........................ 551,247 2,900 o GULF SOUTH MEDICAL SUPPLY, INC ...... 74,312 3,300 o HAEMONETICS CORP .................... 62,287 3,200 o ISOLYSER CO, INC .................... 22,400 178,310 JOHNSON & JOHNSON CO ................ 8,870,922 6,200 MILLIPORE CORP ...................... 256,525 6,300 o NABI, INC ........................... 55,125 7,000 o NEUROMEDICAL SYSTEMS, INC ........... 92,750 5,800 OWENS & MINOR, INC NEW .............. 59,450 4,600 o PATTERSON DENTAL CO ................. 129,950 6,700 o PHYSICIAN SALES & SERVICE, INC ...... 96,312 3,900 o SCHEIN (HENRY), INC ................. 134,062 3,100 o SOFAMOR DANEK GROUP, INC ............ 94,550 1,000 o TECNOL MEDICAL PRODUCTS, INC ........ 15,125 7,700 U.S. SURGICAL CORP .................. 303,187 3,300 o VENTRITEX, INC ...................... 81,262 ------------ 19,002,158 ------------ HEALTHCARE--OTHER--0.95% 2,400 o ACCESS HEALTH, INC .................. 107,400 3,800 o ACUSON CORP ......................... 92,625 2,000 o ADVANCED TECHNOLOGY LABORATORIES, INC .................. 62,000 6,500 o ADVANCED TISSUE SCIENCE CO .......... 62,156 10,000 ALLERGAN, INC ....................... 356,250 5,400 o AMERICAN MEDICAL RESPONSE, INC ...... 175,500 1,200 ARROW INTERNATIONAL, INC ............ 34,500 3,900 BALLARD MEDICAL PRODUCTS CO ......... 72,637 7,100 BAUSCH & LOMB, INC .................. 248,500 15,500 BIOMET, INC ......................... 234,437 13,491 o BOSTON SCIENTIFIC CORP .............. 809,460 See notes to financial statements. -64- SHARES VALUE ------ ------- HEALTHCARE--OTHER--(CONTINUED) 5,178 o CORAM HEALTHCARE CORP ............... $ 25,890 5,100 o COVENTRY CORP ....................... 47,254 1,200 o DATASCOPE CORP ...................... 24,000 400 DIAGNOSTIC PRODUCTS CORP ............ 10,350 13,083 o FRESENIUS MEDICAL CARE AG. ADR ...... 367,959 5,300 o GENESIS HEALTH VENTURES, INC ........ 164,962 7,500 HILLENBRAND INDUSTRIES, INC ......... 271,875 4,500 o HUMAN GENOME SCIENCES, INC .......... 183,375 5,000 o IDEXX LABORATORIES, INC ............. 180,000 5,200 KINETIC CONCEPTS, INC ............... 63,700 9,100 o MEDAPHIS CORP ....................... 101,806 31,700 MEDTRONIC, INC ...................... 2,155,600 4,600 MENTOR CORP ......................... 135,700 8,900 o NELLCOR PURITAN BENNETT, INC ........ 194,687 16,100 PALL CORP ........................... 410,550 3,600 o PHYMATRIX CORP ...................... 51,300 4,900 o PHYSICIAN RELIANCE NETWORK, INC ..... 37,975 3,600 o PLAYTEX PRODUCTS, INC ............... 28,800 10,250 o ST. JUDE MEDICAL, INC ............... 436,906 5,910 o STERIS CORP ......................... 257,085 10,000 STEWART ENTERPRISES, INC (CLASS A) .. 340,000 9,900 STRYKER CORP ........................ 295,762 4,250 o SUMMIT TECHNOLOGY, INC .............. 23,375 2,200 o SUNRISE MEDICAL, INC ................ 34,925 9,700 o SYBRON INTERNATIONAL CORP ........... 320,100 2,300 o TARGET THERAPEUTICS, INC ............ 96,600 2,100 o THERMO CARDIOSYSTEMS, INC ........... 63,000 1,500 o THERMOTREX CORP ..................... 41,062 3,500 o VIVUS, INC .......................... 126,875 ------------ 8,746,938 ------------ HEALTHCARE--SERVICE--1.79% 18,218 AETNA, INC .......................... 1,457,440 5,900 o AMERISOURCE HEALTH CORP (CLASS A) ... 284,675 5,800 o APRIA HEALTHCARE GROUP, INC ......... 108,750 14,800 o BEVERLY ENTERPRISES CO .............. 188,700 12,891 CARDINAL HEALTH, INC ................ 750,900 4,100 o CERNER CORP ......................... 63,550 1,800 o COASTAL PHYSICIAN GROUP, INC ........ 6,300 90,555 COLUMBIA/HCA HEALTHCARE CORP ........ 3,690,116 5,796 o FHP INTERNATIONAL CORP .............. 215,176 7,400 o FOUNDATION HEALTH CORP .............. 234,950 2,600 o FOXMEYER HEALTH CORP ................ 4,225 5,950 o HEALTH CARE & RETIREMENT CORP ....... 170,318 13,362 o HEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) NEW ...................... 300,645 3,500 o HEALTH MANAGEMENT SYSTEMS, INC ...... 49,000 8,000 o HEALTH SYSTEMS INTERNATIONAL, INC ... 198,000 4,700 o HEALTHCARE COMPARE CO ............... 199,162 7,700 o HEALTHSOURCE, INC ................... 101,062 19,945 o HEALTHSOUTH CORP .................... 770,375 6,717 o HORIZON/CMS HEALTHCARE CORP ......... 84,802 20,500 o HUMANA, INC ......................... 392,062 5,700 INTEGRATED HEALTH SERVICES, INC ..... 138,937 2,300 o INTEGRATED SILICON SOLUTION, INC .... 19,837 7,600 INVACARE CORP ....................... 209,000 20,080 o LABORATORY CORP OF AMERICA HOLDINGS ........................... 57,730 244 o LABORATORY CORP OF AMERICA HOLDINGS WTS 4/28/00 ............... 22 5,000 o LINCARE HOLDINGS, INC ............... 205,000 5,000 o LIVING CENTERS OF AMERICA, INC ...... 138,750 6,700 o MAGELLAN HEALTH SERVICES, INC ....... 149,912 6,400 MANOR CARE, INC ..................... 172,800 5,000 o MARINER HEALTH GROUP, INC ........... 41,875 3,100 o MAXICARE HEALTH PLANS, INC .......... 68,975 16,769 o MEDPARTNERS, INC .................... 352,149 4,600 o MID ATLANTIC MEDICAL SERVICES, INC .. 61,525 1,100 MORRISON HEALTH CARE, INC ........... 16,225 5,450 o MULTICARE COS, INC .................. 110,362 9,500 o NOVACARE, INC ....................... 104,500 4,100 o OCCUSYSTEMS, INC .................... 110,700 2,200 OMEGA HEALTHCARE INVESTORS, INC ..... 73,150 8,400 OMNICARE, INC ....................... 269,850 7,000 o ORNDA HEALTHCORP .................... 204,750 4,000 o ORTHODONTIC CENTERS OF AMERICA, INC . 64,000 10,100 o OXFORD HEALTH PLANS, INC ............ 591,481 500 o PACIFICARE HEALTH SYSTEMS, INC (CLASS A) .......................... 40,625 2,800 o PACIFICARE HEALTH SYSTEMS, INC (CLASS B) .......................... 238,700 2,500 o PEDIATRIX MEDICAL GROUP, INC ........ 92,500 7,925 o PHYCOR, INC ......................... 224,871 5,300 o PHYSICIAN CORP OF AMERICA ........... 53,000 4,700 o PHYSICIANS RESOURCE GROUP INC ....... 83,425 5,300 o RENAL TREATMENT CENTERS, INC ........ 135,150 5,800 o ROTECH MEDICAL CORP ................. 121,800 150 o SALICK HEALTH CARE, INC NEW ......... 6,000 3,600 o SIERRA HEALTH SERVICES, INC ......... 88,650 10,500 o SUN HEALTHCARE GROUP, INC ........... 141,750 25,820 o TENET HEALTHCARE CORP ............... 564,812 4,800 o TOTAL RENAL CARE HOLDINGS, INC ...... 174,000 1,000 o TRANSITIONAL HOSPITALS CORP ......... 9,625 24,500 UNITED HEALTHCARE CORP .............. 1,102,500 6,900 o UNIVERSAL HEALTH SERVICES, INC ...... 197,512 7,398 o VALUE HEALTH, INC ................... 144,261 7,115 o VENCOR, INC ......................... 225,011 1,500 o VISX, INC ........................... 33,187 8,300 o VIVRA, INC .......................... 229,287 6,134 o WELLPOINT HEALTH NETWORKS, INC ...... 210,856 ------------ 16,549,260 ------------ HOUSEHOLD--CONSUMER ELECTRONICS--0.02% 3,250 HARMAN INTERNATIONAL INDUSTRIES, INC .................... 180,781 4,400 o ZENITH ELECTRONICS CORP ............. 47,850 ------------ 228,631 ------------ HOUSEHOLD--DURABLE GOODS--0.34% 800 BASSETT FURNITURE INDUSTRIES, INC ... 19,600 12,600 BLACK & DECKER CORP ................. 379,575 5,800 o GENTEX CORP ......................... 116,725 13,600 LEGGETT & PLATT, INC ................ 470,900 15,900 MAYTAG CO ........................... 314,025 20,600 NEWELL COS, INC ..................... 648,900 16,300 SHAW INDUSTRIES, INC ................ 191,525 10,600 STANLEY WORKS CO .................... 286,200 11,300 SUNBEAM CORP ........................ 290,975 10,100 WHIRLPOOL CORP ...................... 470,912 ------------ 3,189,337 ------------ HOUSEHOLD--PRODUCTS--1.95% 900 APTARGROUP, INC ..................... 31,725 2,800 o BRIGHTPOINT, INC .................... 83,300 4,600 CLOROX CO ........................... 461,725 18,700 COLGATE PALMOLIVE CO ................ 1,725,075 18,000 DIAL CORP ........................... 265,500 1,200 o FIRST ALERT, INC .................... 4,050 6,600 FIRST BRANDS CORP ................... 187,275 2,000 HERBALIFE INTERNATIONAL, INC ........ 65,250 36,644 KIMBERLY-CLARK CORP ................. 3,490,341 4,200 LANCASTER COLONY CORP ............... 193,200 14,900 o PERRIGO CO .......................... 135,962 8,200 PREMARK INTERNATIONAL, INC .......... 182,450 91,900 PROCTER & GAMBLE CO ................. 9,879,250 19,400 RUBBERMAID, INC ..................... 441,350 3,800 o SCOTTS CO (CLASS A) ................. 75,525 3,700 STANHOME, INC ....................... 98,050 5,100 TAMBRANDS, INC ...................... 208,462 7,300 TUPPERWARE CORP ..................... 391,462 1,400 o USA DETERGENTS INC .................. 58,275 ------------ 17,978,227 ------------ See notes to financial statements. -65- SHARES VALUE ------ ------- INSURANCE--BROKERS & OTHER--0.32% 2,700 o ABR INFORMATION SERVICES, INC ....... $ 106,312 9,000 ALEXANDER & ALEXANDER SERVICES, INC . 156,375 20,600 EQUIFAX, INC ........................ 630,875 1,000 GALLAGHER (ARTHUR J.) & CO .......... 31,000 4,400 JOHN ALDEN FINANCIAL CORP ........... 81,400 9,500 MARSH & MCLENNAN COS, INC ........... 988,000 5,900 MBIA, INC ........................... 597,375 3,200 NORRELL CORP ........................ 87,200 8,300 o QUORUM HEALTH GROUP, INC ............ 246,925 ------------ 2,925,462 ------------ INSURANCE--LIFE--0.76% 500 AMERICAN NATIONAL INSURANCE CO ...... 36,875 7,200 o AMERIN CORP ......................... 185,400 13,200 AON CORP ............................ 820,050 3,500 BERKLEY (W.R.) CORP ................. 177,625 10,842 CONSECO, INC ........................ 691,177 10,800 EQUITABLE COS, INC .................. 265,950 2,100 EQUITABLE OF IOWA COS NEW ........... 96,337 10,950 JEFFERSON-PILOT CORP ................ 620,043 3,200 o PAUL REVERE CORP (THE) .............. 119,200 4,600 PROVIDENT COS, INC .................. 222,525 13,500 PROVIDIAN CORP ...................... 693,562 12,700 RELIANCE GROUP HOLDINGS, INC ........ 115,887 6,064 RELIASTAR FINANCIAL CORP ............ 350,196 13,000 SUNAMERICA, INC ..................... 576,875 10,100 TORCHMARK CORP ...................... 510,050 10,100 UNUM CORP ........................... 729,725 10,100 USLIFE CORP ......................... 335,825 4,600 VESTA INSURANCE GROUP, INC .......... 144,325 16,300 WESTERN NATIONAL CORP ............... 313,775 ------------ 7,005,402 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--2.99% 6,700 20TH CENTURY INDUSTRIES ............. 113,062 18,150 AFLAC, INC .......................... 775,912 7,800 ALLIED GROUP, INC ................... 254,475 7,400 ALLMERICA FINANCIAL CORP ............ 247,900 1,500 ALLMERICA PROPERTY & CASUALTY COS, INC ........................... 45,562 55,928 ALLSTATE CORP ....................... 3,236,833 5,800 AMERICAN BANKERS INSURANCE GROUP, INC ......................... 296,525 51,550 AMERICAN INTERNATIONAL GROUP, INC ... 5,580,287 23,400 CHUBB CORP .......................... 1,257,750 10,300 CIGNA CORP .......................... 1,407,237 9,703 CINCINNATI FINANCIAL CORP ........... 629,482 800 o CNA FINANCIAL CORP .................. 85,600 11,500 EVEREST REINSURANCE HOLDINGS, INC ... 330,625 5,900 FREMONT GENERAL CORP ................ 182,900 9,900 GENERAL REINSURANCE CORP ............ 1,561,725 2,800 HARTFORD STEAM BOILER & INSURANCE CO ....................... 129,850 5,800 HCC INSURANCE HOLDINGS, INC ......... 139,200 850 o HIGHLANDS INSURANCE GROUP, INC ...... 17,212 4,500 HORACE MANN EDUCATORS CORP .......... 181,687 800 o INSURANCE AUTO AUCTIONS, INC ........ 7,600 16,600 ITT HARTFORD GROUP, INC ............. 1,120,500 14,900 LINCOLN NATIONAL CORP ............... 782,250 2,400 MERCURY GENERAL CORP NEW ............ 126,000 7,400 MGIC INVESTMENT CORP ................ 562,400 6,300 NAC RE CORP ......................... 213,412 6,200 OHIO CASUALTY CORP .................. 220,100 15,050 OLD REPUBLIC INTERNATIONAL CORP ..... 402,587 6,800 PROGRESSIVE CORP .................... 458,150 18,400 SAFECO CORP ......................... 725,650 10,600 ST. PAUL COS, INC ................... 621,425 10,000 TRANSAMERICA CORP ................... 790,000 84,900 TRAVELERS GROUP, INC ................ 3,852,337 7,300 TRAVELERS/AETNA PROPERTY CASUALTY CORP ...................... 258,237 7,800 o UICI ................................ 253,500 5,600 UNITRIN, INC ........................ 312,200 16,300 USF&G CORP .......................... 340,262 1,100 ZURICH REINSURANCE CENTRE HOLDINGS, INC ....................... 34,375 ------------ 27,554,809 ------------ LEISURE TIME--1.28% 2,900 o ACCLAIM ENTERTAINMENT, INC .......... 9,425 2,000 o ANCHOR GAMING CO .................... 80,500 2,600 ARCTIC CAT, INC ..................... 25,675 600 o ARGOSY GAMING CORP .................. 2,775 4,700 AUTHENTIC FITNESS CORP .............. 56,400 1,500 o AUTOTOTE CORP (CLASS A) ............. 2,156 850 o BALLY TOTAL FITNESS HOLDING CORP .... 6,746 12,800 o BOYD GAMING CORP .................... 105,600 14,900 BRUNSWICK CORP ...................... 357,600 8,900 CALLAWAY GOLF CO .................... 255,875 450 o CASINO AMERICA, INC ................. 1,434 500 o CASINO MAGIC CORP ................... 1,234 100 o CHARTWELL LEISURE, INC .............. 1,375 2,390 o CHRIS CRAFT INDUSTRIES, INC ......... 100,081 14,100 o CIRCUS CIRCUS ENTERPRISES, INC ...... 484,687 90,726 DISNEY (WALT) CO .................... 6,316,797 2,800 o GALOOB TOYS, INC .................... 39,200 4,450 o GRAND CASINOS, INC .................. 60,075 6,100 o GTECH HOLDINGS CORP ................. 195,200 13,600 o HARRAHS ENTERTAINMENT, INC .......... 270,300 10,400 HASBRO, INC ......................... 404,300 3,700 o HOLLYWOOD ENTERTAINMENT CORP ........ 68,450 1,000 o HOLLYWOOD PARK, INC ................. 15,000 16,700 INTERNATIONAL GAME TECHNOLOGY CO .... 304,775 6,900 JOSTENS, INC ........................ 145,762 37,256 MATTEL, INC ......................... 1,033,854 25,700 o MIRAGE RESORT, INC .................. 555,762 3,000 OUTBOARD MARINE CORP ................ 49,500 3,250 o PLAYERS INTERNATIONAL, INC .......... 17,468 2,900 o PRIMADONNA RESORTS, INC ............. 49,300 5,300 o REGAL CINEMAS, INC .................. 162,975 2,300 o SCIENTIFIC GAMES HOLDINGS CORP ...... 61,525 3,100 SHOWBOAT, INC ....................... 53,475 2,000 o SODAK GAMING, INC ................... 30,750 5,500 o SPEEDWAY MOTORSPORTS, INC ........... 115,500 10,000 o SPELLING ENTERTAINMENT GROUP, INC ... 73,750 800 o SPORTS & RECREATION, INC ............ 6,200 6,700 o STATION CASINOS, INC ................ 67,837 3,600 STRUM, RUGER & CO, INC .............. 69,750 5,100 o TRUMP HOTEL & CASINO RESORT, INC .... 61,200 4,600 o WMS INDUSTRIES, INC ................. 92,000 ------------ 11,812,268 ------------ See notes to financial statements. -66- SHARES VALUE ------ ------- MACHINERY--1.51% 8,100 AGCO CORP ........................... $ 231,862 4,600 BRIGGS & STRATTON CORP .............. 202,400 4,600 BW/IP HOLDING, INC .................. 75,900 25,600 CATERPILLAR, INC .................... 1,926,400 6,500 CINCINNATI MILACRON, INC ............ 142,187 4,100 o COGNEX CORP ......................... 75,850 3,757 o COOPER CAMERON CORP ................. 287,410 13,030 COOPER INDUSTRIES, INC .............. 548,888 35,200 DEERE & CO .......................... 1,430,000 3,800 DELTA & PINE LAND CO ................ 121,600 15,400 DOVER CORP .......................... 773,850 7,500 DURIRON CO, INC ..................... 203,437 9,100 FEDERAL SIGNAL CORP ................. 235,462 2,500 o FMC CORP NEW ........................ 175,312 1,500 o FSI INTERNATIONAL, INC .............. 22,500 2,700 GATX CORP ........................... 130,950 6,000 GIDDINGS & LEWIS, INC ............... 77,250 6,400 GOULDS PUMPS, INC ................... 146,800 4,600 GREENFIELD INDUSTRIES, INC .......... 140,875 6,700 HARNISCHFEGER INDUSTRIES, INC ....... 322,437 2,400 HARSCO CORP ......................... 164,400 13,600 ILLINOIS TOOL WORKS, INC ............ 1,086,300 14,600 INGERSOLL-RAND CO ................... 649,700 900 o INTEGRATED PROCESS EQUIPMENT CORP ... 16,200 2,100 o INTERVOICE, INC ..................... 25,725 6,900 JLG INDUSTRIES, INC ................. 110,400 2,100 KAYDON CORP ......................... 98,962 4,792 KENNAMETAL, INC ..................... 186,289 8,200 KEYSTONE INTERNATIONAL, INC ......... 165,025 6,348 o LUCASVARITY PLC ADR ................. 241,224 6,800 MASCOTECH, INC ...................... 111,350 2,600 MEASUREX CORP ....................... 62,400 3,800 o MOLTEN METAL TECHNOLOGY, INC ........ 44,650 4,406 o NEWPORT NEWS SHIPBUILDING, INC ...... 66,090 200 NORDSON CORP ........................ 12,750 2,000 o NOVELLUS SYSTEMS, INC ............... 108,375 11,150 PARKER-HANNIFIN CORP ................ 432,062 800 ROPER INDUSTRIES, INC NEW ........... 31,300 5,200 STEWART & STEVENSON SERVICES, INC ... 151,450 9,300 SUNDSTRAND CORP ..................... 395,250 6,700 TECUMSEH PRODUCTS CO (CLASS A) ...... 384,412 700 TELEFLEX, INC ....................... 36,487 19,350 o THERMO ELECTRON CORP ................ 798,187 5,238 TIMKEN CO ........................... 240,293 700 TORO CO ............................. 25,550 800 TRIMAS CORP ......................... 19,100 8,000 TRINITY INDUSTRIES, INC ............. 300,000 5,000 TRINOVA CORP ........................ 181,875 3,200 o ULTRATECH STEPPER, INC .............. 76,000 1,800 WATTS INDUSTRIES, INC (CLASS A) ..... 42,975 7,100 YORK INTERNATIONAL CORP ............. 396,712 ------------ 13,932,863 ------------ METALS--ALUMINUM--0.23% 5,500 o ACX TECHNOLOGIES, INC ............... 109,312 5,700 o ALUMAX, INC ......................... 190,237 20,500 ALUMINUM CO OF AMERICA .............. 1,306,875 7,900 o KAISER ALUMINUN CORP ................ 91,837 7,100 REYNOLDS METALS CO .................. 400,262 ------------ 2,098,523 ------------ METALS--GOLD--0.31% 18,600 o AMAX GOLD, INC ...................... 118,575 31,300 BATTLE MOUNTAIN GOLD CO ............. 215,187 4,500 COEUR DALENE MINES CORP ............. 68,062 17,692 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A) ................ 497,587 6,533 FREEPORT-MCMORAN COPPER & GOLD INC, (CLASS B) ................ 195,173 5,891 o GETCHELL GOLD CORP .................. 226,067 19,300 HOMESTAKE MINING CO ................. 275,025 4,500 NEWMONT GOLD CO ..................... 196,875 13,524 NEWMONT MINING CORP ................. 605,199 25,840 SANTA FE PACIFIC GOLD CORP .......... 397,290 ------------ 2,795,040 ------------ METALS--NON-FERROUS--0.26% 8,200 ASARCO, INC ......................... 203,975 5,600 BMC INDUSTRIES, INC ................. 176,400 1,200 BRUSH WELLMAN, INC .................. 19,650 6,300 o COLEMAN CO, INC ..................... 86,625 13,600 CYPRUS AMAX MINERALS CO ............. 317,900 4,416 FREEPORT-MCMORAN, INC ............... 141,864 6,700 o HECLA MINING CO ..................... 37,687 8,900 MAPCO, INC .......................... 302,600 5,400 MINERALS TECHNOLOGIES, INC .......... 221,400 3,300 o MUELLER INDUSTRIES, INC ............. 127,050 1,000 o OREGON METALLURICAL CORP ............ 32,250 8,900 PHELPS DODGE CORP ................... 600,750 2,000 o RMI TITANIUM CO ..................... 56,250 4,500 o STILLWATER MINING CO ................ 81,562 9,000 o SUNSHINE MINING & REFINING CO ....... 8,437 ------------ 2,414,400 ------------ METALS--STEEL--0.33% 4,500 AK STEEL HOLDINGS CORP .............. 178,312 17,225 ALLEGHENY TELEDYNE, INC ............. 396,175 9,800 o ARMCO, INC .......................... 40,425 15,500 o BETHLEHEM STEEL CORP ................ 139,500 7,700 BIRMINGHAM STEEL CORP ............... 146,300 2,900 CARPENTER TECHNOLOGY CORP ........... 106,212 600 CLEVELAND CLIFFS, INC ............... 27,225 7,475 HANNA (M.A.) CO ..................... 163,515 7,500 INLAND STEEL INDUSTRIES, INC ........ 150,000 6,000 J & L SPECIALTY STEEL, INC .......... 68,250 14,900 LTV CORP NEW ........................ 176,937 200 LUKENS, INC ......................... 4,025 11,200 NUCOR CORP .......................... 571,200 400 OREGON STEEL MILLS, INC ............. 6,700 300 ROUGE STEEL CO (CLASS A) ............ 6,337 17,400 UNR INDUSTRIES, INC ................. 104,400 10,700 USX-US STEEL GROUP, INC ............. 335,712 4,600 o WOLVERINE TUBE, INC ................. 162,150 12,400 WORTHINGTON INDUSTRIES, INC ......... 224,750 ------------ 3,008,125 ------------ MISCELLANEOUS MATERIALS & COMMODITIES--0.01% 4,400 o OAKLEY, INC ......................... 47,850 1,200 o ZOLTEK COS, INC ..................... 43,650 ------------ 91,500 ------------ OFFICE EQUIPMENT--3.53% 12,500 o AMDAHL CORP ......................... 151,562 16,900 o APPLE COMPUTER, INC ................. 352,787 3,900 o APPLIED MAGNETICS CORP .............. 116,512 3,900 o ASPECT TELECOMMUNICATIONS CORP ...... 247,650 2,742 o AST RESEARCH, INC ................... 11,482 13,900 AVERY DENNISON CORP ................. 491,712 2,200 o BOISE CASCADE OFFICE PRODUCTS CORP .. 46,200 37,100 o COMPAQ COMPUTER CORP ................ 2,754,675 7,600 o DATA GENERAL CORP ................... 110,200 19,600 o DELL COMPUTER CORP .................. 1,041,250 20,500 o DIGITAL EQUIPMENT CORP .............. 745,687 2,600 o FILENET CORP ........................ 83,200 110,800 HEWLETT-PACKARD CO .................. 5,567,700 4,000 HON INDUSTRIES, INC ................. 132,000 1,700 o IN FOCUS SYSTEMS, INC ............... 36,762 70,400 INTERNATIONAL BUSINESS MACHINES CORP ...................... 10,630,400 14,500 o IOMEGA CORP ......................... 251,937 6,700 o KOMAG, INC .......................... 181,737 12,300 o LEXMARK INTERNATIONAL GROUP (CLASS A) .......................... 339,787 1,800 o MICROCOM, INC ....................... 22,275 4,200 MILLER (HERMAN), INC ................ 237,825 22,300 PITNEY BOWES, INC ................... 1,215,350 7,100 o QUANTUM CORP ........................ 203,237 3,600 o SCI SYSTEMS, INC .................... 160,650 28,300 o SEAGATE TECHNOLOGY, INC ............. 1,117,850 7,700 o SEQUENT COMPUTER SYSTEMS, INC ....... 136,675 23,968 o SILICON GRAPHICS, INC ............... 611,184 5,500 o SOLECTRON CORP ...................... 293,562 8,100 o STORAGE TECHNOLOGY CORP ............. 385,762 4,900 o STRATUS COMPUTER, INC ............... 133,525 48,200 o SUN MICROSYSTEMS, INC ............... 1,238,137 19,000 o TANDEM COMPUTERS, INC ............... 261,250 5,000 o U.S. OFFICE PRODUCTS CO ............. 170,625 27,100 o UNISYS CORP ......................... 182,925 11,500 o VIKING OFFICE PRODUCTS, INC ......... 306,906 6,800 o WANG LABORATORIES, INC .............. 137,700 46,000 XEROX CORP .......................... 2,420,750 ------------ 32,529,428 ------------ See notes to financial statements. -67- SHARES VALUE ------ ------- PAPER--0.67% 5,500 ALBANY INTERNATIONAL CORP (CLASS A) NEW ...................... $ 127,187 7,200 BEMIS, INC .......................... 265,500 4,800 BOWATER, INC ........................ 180,600 6,200 CARAUSTAR INDUSTRIES, INC ........... 206,150 3,800 CHESAPEAKE CORP ..................... 119,225 3,000 CONSOLIDATED PAPERS, INC ............ 147,375 270 o CROWN VANTAGE, INC .................. 2,295 5,000 o FORT HOWARD CORP .................... 138,437 4,600 GLATFELTER (P.H.) CO ................ 82,800 39,648 INTERNATIONAL PAPER CO .............. 1,600,788 12,200 JAMES RIVER CORP OF VIRGINIA ........ 404,125 4,300 o JEFFERSON SMURFIT CORP .............. 69,068 8,100 LONGVIEW FIBRE CO ................... 148,837 7,200 MEAD CORP ........................... 418,500 9,700 PENTAIR, INC ........................ 312,825 1,900 o SHOREWOOD PACKAGING CORP ............ 37,050 14,630 SONOCO PRODUCTS CO .................. 378,551 10,500 STONE CONTAINER CORP ................ 156,187 7,600 TEMPLE-INLAND, INC .................. 411,350 9,500 UNION CAMP CORP ..................... 453,625 5,425 WAUSAU PAPER MILLS CO ............... 100,362 13,050 WESTVACO CORP ....................... 375,187 ------------ 6,136,024 ------------ PETROLEUM--EXPLORATION & PRODUCTION--1.05% 11,100 AMERADA HESS CORP ................... 642,412 6,700 ANADARKO PETROLEUM CORP ............. 433,825 11,100 APACHE CORP ......................... 392,662 7,300 ASHLAND, INC ........................ 320,287 6,300 o BARNETT RESOURCES CORP .............. 268,537 5,400 o BENTON OIL & GAS CO ................. 122,175 17,000 BURLINGTON RESOURCES, INC ........... 856,375 2,300 o CHESAPEAKE ENERGY CORP .............. 127,937 5,900 DEVON ENERGY CORP ................... 205,025 2,900 o ENERGY VENTURES, INC ................ 147,537 8,300 ENRON OIL & GAS CO .................. 209,575 4,800 o ENSERCH EXPLORATION, INC ............ 56,400 3,900 o FALCON DRILLING CO, INC ............. 153,075 2,400 o FLORES & RUCKS, INC ................. 127,800 6,200 KERR-MCGEE CORP ..................... 446,400 4,700 LOUISIANA LAND & EXPLORATION CO ..... 252,037 2,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) ..................... 49,225 6,500 MURPHY OIL CORP ..................... 361,562 4,800 o NEWFIELD EXPLORATION CO ............. 124,800 5,900 NOBLE AFFILIATES, INC ............... 282,462 4,300 o NUEVO ENERGY CO ..................... 223,600 16,200 o ORYX ENERGY CO ...................... 400,950 6,000 PARKER & PARSLEY PETROLEUM CO ....... 220,500 7,900 PENNZOIL CO ......................... 446,350 4,400 POGO PRODUCING CO ................... 207,900 15,600 o SANTA FE ENERGY RESOURCES, INC ...... 216,450 9,592 o SEAGULL ENERGY CORP ................. 211,024 6,300 SNYDER OIL CORP ..................... 109,462 3,800 SOUTHDOWN INC ....................... 118,275 2,400 o SWIFT ENERGY CO ..................... 71,700 825 o TEJAS GAS CORP ...................... 39,290 2,700 o TRITON ENERGY LTD ................... 130,950 34,992 UNION PACIFIC RESOURCES GROUP, INC .. 1,023,516 10,200 UNION TEXAS PETROLEUM HOLDINGS, INC . 228,225 4,700 o UNITED MERIDIAN CORP ................ 243,225 6,100 VINTAGE PETROLEUM, INC .............. 210,450 ------------ 9,681,975 ------------ PETROLEUM--INTEGRATED--4.90% 65,600 AMOCO CORP .......................... 5,280,800 20,600 ATLANTIC RICHFIELD CO ............... 2,729,500 88,300 CHEVRON CORP ........................ 5,739,500 167,100 EXXON CORP .......................... 16,375,800 3,200 o FORCENERGY GAS EXPLORATION, INC ..... 116,000 53,100 MOBIL CORP .......................... 6,491,475 44,800 OCCIDENTAL PETROLEUM CORP ........... 1,047,200 26,600 PHILLIPS PETROLEUM CO ............... 1,177,050 10,300 QUAKER STATE OIL REFINING CORP ...... 145,487 12,600 SUN CO, INC ......................... 307,125 35,100 TEXACO, INC ......................... 3,444,187 34,127 UNOCAL CORP ......................... 1,386,409 38,600 USX-MARATHON GROUP, INC NEW ......... 921,575 ------------ 45,162,108 ------------ PETROLEUM--SERVICE--0.97% 18,000 BAKER HUGHES, INC ................... 621,000 4,850 o BJ SERVICES CO ...................... 247,350 160 o BJ SERVICES CO WTS 4/13/00 .......... 4,300 11,500 CABOT CORP .......................... 288,937 6,800 CAMCO INTERNATIONAL, INC ............ 313,650 1,500 o CLIFFS DRILLING CO .................. 94,875 2,200 o DIAMOND OFFSHORE DRILLING, INC ...... 125,400 23,700 DRESSER INDUSTRIES, INC ............. 734,700 9,225 o ENSCO INTERNATIONAL, INC ............ 447,412 10,900 FLUOR CORP .......................... 683,975 5,300 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC . 117,262 5,200 o GLOBAL INDUSTRIES LTD ............... 96,850 17,500 o GLOBAL MARINE, INC NEW .............. 360,937 15,236 HALLIBURTON CO ...................... 917,969 5,000 HELMERICH & PAYNE, INC .............. 260,625 6,200 o MARINE DRILLING CO, INC ............. 122,062 190 o MCMORAN OIL & GAS CO ................ 415 12,400 o NABORS INDUSTRIES, INC .............. 238,700 13,600 o NOBLE DRILLING CORP ................. 270,300 8,800 o PARKER DRILLING CO .................. 84,700 5,500 o PRIDE PETROLEUM SERVICES, INC ....... 127,875 7,200 o READING & BATES CORP ................ 190,800 9,300 o ROWAN COS, INC ...................... 210,412 4,800 o SMITH INTERNATIONAL, INC ............ 215,400 7,100 TIDEWATER, INC ...................... 321,275 6,049 TOSCO CORP .......................... 478,627 2,100 TRANSOCEAN OFFSHORE, INC ............ 131,512 7,600 o TUBOSCOPE VETCO INTERNATIONAL CORP .. 117,800 12,294 ULTRAMAR DIAMOND SHAMROCK CORP ...... 388,797 2,800 o VARCO INTERNATIONAL, INC ............ 64,750 7,100 o WEATHERFORD ENTERRA, INC ............ 213,000 6,000 o WESTERN ATLAS, INC .................. 425,250 ------------ 8,916,917 ------------ See notes to financial statements. -68- SHARES VALUE ------ ----- PHOTOGRAPHY--0.44% 45,600 EASTMAN KODAK CO .................... $ 3,659,400 6,700 POLAROID CORP ....................... 291,450 1,400 o PRESSTEK, INC ....................... 99,750 ------------ 4,050,600 ------------ PROPERTY--REAL ESTATE--0.20% 5,200 CRESCENT REAL ESTATE EQUITIES, INC .. 274,300 13,200 HOSPITALITY PROPERTIES TRUST ........ 382,800 6,250 KIMCO REALTY CORP ................... 217,968 4,200 PATRIOT AMERICAN HSOPITALITY ........ 181,125 8,400 SECURITY CAPITAL INDUSTRIAL TRUST ... 179,550 12,500 TAUBMAN CENTERS, INC ................ 160,937 6,200 o TOLL BROTHERS, INC .................. 120,900 6,800 WASHINGTON REAL ESTATE INVESTMENT TRUST ................... 119,000 3,800 WEINGARTEN REALTY INVESTORS, INC .... 154,375 3,200 WELLSFORD RESIDENTIAL PROPERTY TRUST ..................... 77,600 ------------ 1,868,555 ------------ PUBLISHING--NEWSPAPER--0.50% 6,900 BELO (A.H.) CORP SERIES A ........... 240,637 1,100 CENTRAL NEWSPAPERS, INC (CLASS A) ... 48,400 11,584 o COX COMMUNICATIONS, INC (CLASS A) NEW ...................... 267,880 7,800 DOW JONES & CO, INC ................. 264,225 18,100 GANNETT CO, INC ..................... 1,355,237 14,400 HOLLINGER INTERNATIONAL, INC ........ 165,600 12,100 KNIGHT-RIDDER, INC .................. 462,825 13,300 NEW YORK TIMES CO (CLASS A) ......... 505,400 11,700 TIMES MIRROR CO (SERIES A) NEW ...... 582,075 6,700 TRIBUNE CO NEW ...................... 528,462 5,300 o VALASSIS COMMUNICATIONS, INC ........ 111,962 200 WASHINGTON POST CO (CLASS B) ........ 67,025 ------------ 4,599,728 ------------ PUBLISHING--OTHER--0.67% 12,000 AMERICAN GREETINGS CORP (CLASS A) ... 340,500 700 BOWNE & CO, INC ..................... 17,237 16,000 DONNELLEY (R.R.) & SONS CO .......... 502,000 22,800 DUN & BRADSTREET CORP ............... 541,500 700 o GIBSON GREETINGS, INC ............... 13,737 7,200 HARCOURT GENERAL, INC ............... 332,100 2,200 HOUGHTON MIFFLIN CO ................. 124,575 34,200 o K-III COMMUNICATIONS CORP ........... 367,650 1,400 LEE ENTERPRISES, INC ................ 32,550 5,300 Xo MARVEL ENTERTAINMENT GROUP, INC ..... 9,937 14,300 MCGRAW HILL COS, INC ................ 659,587 3,700 MEREDITH CORP ....................... 195,175 13,100 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VTG) ................ 527,275 2,300 o SCHOLASTIC CORP ..................... 154,675 62,497 TIME WARNER, INC .................... 2,343,637 ------------ 6,162,135 ------------ RAILROAD--0.84% 20,345 BURLINGTON NORTHERN SANTA FE CORP ... 1,757,299 7,808 CONRAIL, INC ........................ 777,872 28,800 CSX CORP ............................ 1,216,800 8,000 ILLINOIS CENTRAL CORP SERIES A ...... 256,000 4,700 KANSAS CITY SOUTHERN INDUSTRIES, INC 211,500 17,000 NORFOLK SOUTHERN CORP ............... 1,487,500 28,685 UNION PACIFIC CORP .................. 1,724,685 7,100 o WISCONSIN CENTRAL TRANSIT CORP ...... 281,337 ------------ 7,712,993 ------------ RESTAURANTS & HOTELS--1.38% 6,400 APPLE SOUTH, INC .................... 86,400 5,400 APPLEBEES INTERNATIONAL, INC ........ 148,500 9,300 o AZTAR CORP .......................... 65,100 12,200 BOB EVANS FARMS, INC ................ 164,700 9,100 o BOSTON CHICKEN, INC ................. 326,462 5,600 o BUFFETS, INC ........................ 51,100 5,900 o CHOICE HOTELS INTERNATIONAL, INC .... 103,987 4,200 CKE RESTAURANTS, INC ................ 151,200 9,500 CRACKER BARREL OLD COUNTRY STORE, INC ................. 241,062 26,100 DARDEN RESTAURANTS, INC ............. 228,375 7,500 o EXTENDED STAY AMERICA, INC .......... 150,937 11,300 FELCOR SUITE HOTELS, INC ............ 399,737 17,800 o HFS INC ............................. 1,063,550 25,400 HILTON HOTELS CORP .................. 663,575 1,344 o HOMESTEAD VILLAGE, INC .............. 24,192 902 o HOMESTEAD VILLAGE, INC WTS .......... 7,328 24,600 o HOST MARRIOTT CORP .................. 393,600 1,940 o HOST MARRIOTT SERVICES CORP ......... 17,702 16,000 o ITT CORP (NEW) ...................... 694,000 10,450 LA QUINTA INNS, INC ................. 199,856 4,900 o LANDRYS SEAFOOD RESTAURANTS, INC .... 104,737 4,800 o LONE STAR STEAKHOUSE & SALOON, INC .. 128,400 7,000 LUBYS CAFETERIA, INC ................ 139,125 14,300 MARRIOTT INTERNATIONAL, INC ......... 790,075 93,300 MCDONALDS CORP ...................... 4,221,825 2,600 o MGM GRAND, INC ...................... 90,675 825 MORRISON FRESH COOKING, INC ......... 3,815 6,800 o OUTBACK STEAKHOUSE, INC ............. 181,900 4,050 o PAPA JOHNS INTERNATIONAL, INC ....... 136,687 8,100 o PRIME HOSPITALITY CORP .............. 130,612 7,700 o PROMUS HOTEL CORP ................... 228,112 2,100 o RAINFOREST CAFE, INC ................ 49,350 800 o RIO HOTEL & CASINO, INC ............. 11,700 2,250 RUBY TUESDAY, INC ................... 41,625 10,900 o RYANS FAMILY STEAK HOUSES, INC ...... 74,937 2,200 SBARRO, INC ......................... 56,100 5,600 o SHONEYS, INC ........................ 39,200 24,100 SYSCO CORP .......................... 786,262 18,100 WENDYS INTERNATIONAL, INC ........... 371,050 ------------ 12,767,550 ------------ RETAIL--FOOD--0.70% 29,600 ALBERTSONS, INC ..................... 1,054,500 16,000 AMERICAN STORES CO NEW .............. 654,000 10,025 FLEMING COS, INC .................... 172,931 45,500 FOOD LION, INC (CLASS B) ............ 460,687 8,000 GIANT FOOD, INC (CLASS A) ........... 276,000 3,700 GREAT ATLANTIC & PACIFIC TEA CO, INC 117,937 6,000 HANNAFORD BROTHERS, INC ............. 204,000 14,400 o KROGER CO ........................... 669,600 2,612 o QUALITY FOOD CENTERS, INC ........... 88,155 2,900 RUDDICK CORP ........................ 40,600 31,800 o SAFEWAY, INC NEW .................... 1,359,450 21,700 o SOUTHLAND CORP ...................... 64,421 10,000 o STARBUCKS CORP ...................... 286,250 11,600 SUPERVALU, INC ...................... 329,150 3,800 o VONS COS, INC ....................... 227,525 13,400 WINN DIXIE STORES, INC .............. 423,775 ------------ 6,428,981 ------------ See notes to financial statements. -69- SHARES VALUE ------ ----- RETAIL--GENERAL MERCHANDISE--3.68% 19,900 o AUTOZONE, INC ....................... $ 547,250 1,800 o BABY SUPERSTORE, INC ................ 43,200 4,900 o BARNES & NOBLE, INC ................. 132,300 5,500 o BED BATH & BEYOND, INC .............. 133,375 3,900 o BEST BUY, INC ....................... 41,437 1,200 o BOMBAY, INC ......................... 5,550 6,200 o BORDERS GROUP, INC .................. 222,425 2,200 BROWN GROUP, INC .................... 40,425 3,400 o BURLINGTON COAT FACTORY WAREHOUSE CORP ..................... 44,200 1,300 Xo CALDOR CORP ......................... 1,462 8,600 CASEYS GENERAL STORES, INC .......... 161,250 14,600 o CHARMING SHOPPES, INC ............... 73,912 12,800 CIRCUIT CITY STORES, INC ............ 385,600 9,000 CLAIRES STORES, INC ................. 117,000 2,600 CML GROUP, INC ...................... 8,775 8,750 o CONSOLIDATED STORES CORP ............ 282,187 45,659 o CUC INTERNATIONAL, INC .............. 1,084,401 13,100 CVS CORP ............................ 542,012 28,100 DAYTON HUDSON CORP .................. 1,102,925 3,600 o DEPARTMENT 56, INC .................. 89,100 15,800 DILLARD DEPARTMENT STORES, INC (CLASS A) ...................... 487,825 11,812 DOLLAR GENERAL CORP ................. 377,984 2,800 o DOLLAR TREE STORES, INC ............. 107,100 9,245 o ECKERD CORP ......................... 295,840 300 Xo EDISON BROTHERS STORES, INC ......... 337 3,900 ETHAN ALLEN INTERIORS, INC .......... 150,150 6,900 FAMILY DOLLAR STORES, INC ........... 140,587 28,213 o FEDERATED DEPARTMENT STORES, INC .... 962,768 8,700 FINGERHUT COS, INC .................. 106,575 4,169 o FOOTSTAR, INC ....................... 103,703 14,600 o FURNITURE BRANDS INTERNATIONAL, INC . 204,400 28,100 GAP, INC ............................ 846,512 1,500 o GLOBAL DIRECTMAIL CORP .............. 65,437 3,500 o GYMBOREE CORP ....................... 80,062 1,800 o HANDLEMAN CO ........................ 15,300 1,700 HECHINGER CO (CLASS A) .............. 3,506 7,600 HEILIG MEYERS CO .................... 123,500 64,300 HOME DEPOT, INC ..................... 3,223,037 3,465 o HSN, INC ............................ 82,293 900 o INTELLIGENT ELECTRONICS, INC ........ 7,200 5,700 o JONES APPAREL GROUP, INC ............ 213,037 64,500 o K MART CORP ......................... 669,187 7,800 o KOHLS CORP .......................... 306,150 3,200 o LANDS END, INC ...................... 84,800 28,192 LIMITED, INC ........................ 518,028 1,000 LONGS DRUG STORES CORP .............. 49,125 19,100 LOWES COS, INC ...................... 678,050 4,100 o MAC FRUGALS BARGAINS CLOSE-OUTS, INC .................... 107,112 32,800 MAY DEPARTMENT STORES CO ............ 1,533,400 2,900 o MENS WAREHOUSE, INC ................. 71,050 3,800 MERCANTILE STORES CO, INC ........... 187,625 4,500 o MEYER (FRED), INC ................... 159,750 1,000 o MICHAELS STORES, INC ................ 12,000 600 o MICROAGE, INC ....................... 12,000 1,000 o MOVIE GALLERY, INC .................. 13,000 1,700 o MUSICLAND STORES CORP ............... 2,550 3,100 o NEIMAN-MARCUS GROUP, INC ............ 79,050 6,800 NORDSTROM, INC ...................... 240,975 17,400 o OFFICEMAX, INC ...................... 184,875 7,396 o PAYLESS SHOESOURCE, INC ............. 277,350 24,900 PENNEY, (J.C.) CO, INC .............. 1,213,875 8,100 PEP BOYS MANNY, MOE, & JACK CO ...... 249,075 2,900 o PETRIE STORES CORP (LIQUIDATING TRUST) ................ 7,975 14,600 o PETSMART, INC ....................... 319,375 9,080 PIER 1 IMPORTS, INC ................. 160,035 26,000 o PRICE/COSTCO, INC ................... 653,250 3,650 o PROFFITTS, INC ...................... 134,593 3,500 REGIS CORP .......................... 56,875 7,100 o REVCO (D.S.), INC NEW ............... 262,700 2,400 o REXALL SUNDOWN, INC ................. 65,250 18,415 RITE AID CORP ....................... 731,996 3,000 ROSS STORES, INC .................... 150,000 7,600 ROUSE CO ............................ 241,300 43,800 SEARS ROEBUCK & CO .................. 2,020,275 17,200 o SERVICE MERCHANDISE, INC ............ 73,100 14,500 o SHOPKO STORES, INC .................. 217,500 9,500 SOTHEBYS HOLDINGS, INC (CLASS A) .... 176,937 600 o SPIEGEL, INC (CLASS A) .............. 4,237 22,750 o STAPLES, INC ........................ 410,921 2,800 o STEIN MART, INC ..................... 56,700 6,800 STRIDE RITE CORP .................... 68,000 6,600 o SUNGLASS HUT INTERNATIONAL, INC ..... 47,850 2,100 TALBOTS, INC ........................ 60,112 7,600 TANDY CORP .......................... 334,400 7,050 o THE SPORTS AUTHORITY, INC ........... 153,337 4,200 TIFFANY & CO NEW .................... 153,825 11,100 TJX COS, INC NEW .................... 525,862 1,000 o TOPPS, INC .......................... 4,000 32,940 o TOYS R US, INC ...................... 988,200 4,200 o WABAN, INC .......................... 109,200 189,000 WAL-MART STORES, INC ................ 4,323,375 33,200 WALGREEN CO ......................... 1,328,000 2,500 o WEST MARINE, INC .................... 70,625 3,600 o WILLIAMS-SONOMA, INC ................ 130,950 16,800 o WOOLWORTH CORP ...................... 367,500 8,800 o ZALE CORP ........................... 168,300 ------------ 33,881,521 ------------ TEXTILE & APPAREL--0.52% 2,300 o ANN TAYLOR STORES CORP .............. 40,250 14,900 o BURLINGTON INDUSTRIES, INC .......... 163,900 600 CATO CORP (CLASS A) NEW ............. 3,000 1,600 o CONE MILLS CORP ..................... 12,600 10,700 o FRUIT OF THE LOOM, INC (CLASS A) .... 405,262 3,600 o JUST FOR FEET INC ................... 94,500 4,500 KELLWOOD CO ......................... 90,000 9,500 LIZ CLAIBORNE, INC .................. 366,937 5,400 o MOHAWK INDUSTRIES, INC .............. 118,800 7,200 o NAUTICA ENTERPRISES, INC ............ 181,800 16,700 NIKE, INC (CLASS B) ................. 997,825 4,000 o NINE WEST GROUP, INC ................ 185,500 1,300 PHILLIPS VAN HEUSEN CORP ............ 18,687 7,990 REEBOK INTERNATIONAL LTD ............ 335,580 7,100 RUSSELL CORP ........................ 211,225 3,300 ST. JOHN KNITS, INC ................. 143,550 9,200 UNIFI, INC .......................... 295,550 7,600 VF CORP ............................. 513,000 8,700 WARNACO GROUP, INC (CLASS A) ........ 257,737 4,700 o WESTPOINT STEVENS, INC .............. 140,412 6,375 WOLVERINE WORLD WIDE, INC ........... 184,875 ------------ 4,760,990 ------------ See notes to financial statements. -70- SHARES VALUE ------ ------- TOBACCO--1.77% 23,900 AMERICAN BRANDS, INC ................ $ 1,186,037 4,700 DIMON, INC .......................... 108,687 109,400 PHILIP MORRIS COS, INC .............. 12,321,175 42,083 RJR NABISCO HOLDINGS CORP ........... 1,430,822 3,860 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ................. 122,072 7,800 UNIVERSAL CORP ...................... 250,575 27,600 UST, INC ............................ 893,550 ------------ 16,312,918 ------------ TRUCKERS & SHIPPING--0.19% 5,200 o AMERICAN FREIGHTWAYS CORP ........... 57,850 4,900 APL LTD ............................. 115,762 3,000 ARNOLD INDUSTRIES, INC .............. 47,625 4,200 CALIBER SYSTEM, INC ................. 80,850 6,900 CNF TRANSPORTATION, INC ............. 153,525 3,450 o CONSOLIDATED FREIGHTWAYS CORP ....... 30,618 6,200 HUNT (J.B.) TRANSPORT SERVICES, INC . 86,800 800 o LANDSTAR SYSTEM, INC ................ 18,600 200 o M.S. CARRIERS, INC .................. 3,200 1,600 OVERSEAS SHIPHOLDING GROUP, INC ..... 27,200 2,100 PITTSTON BURLINGTON GROUP CO ........ 42,000 700 ROADWAY EXPRESS, INC ................ 13,562 13,600 ROLLINS TRUCK LEASING CORP .......... 171,700 11,500 RYDER SYSTEM, INC ................... 323,437 5,300 o SWIFT TRANSPORTATION CO, INC ........ 124,550 7,300 USFREIGHTWAYS CORP .................. 200,293 10,200 WERNER ENTERPRISES, INC ............. 184,875 2,000 XTRA CORP ........................... 86,750 1,100 o YELLOW CORP ......................... 15,812 ------------ 1,785,009 ------------ UTILITIES--ELECTRIC--3.71% 7,000 o AES CORP ............................ 325,500 17,300 ALLEGHENY POWER SYSTEMS, INC ........ 525,487 23,500 AMERICAN ELECTRIC POWER CO, INC ..... 966,437 12,900 ATLANTIC ENERGY, INC ................ 220,912 20,100 BALTIMORE GAS & ELECTRIC CO ......... 537,675 9,300 BOSTON EDISON CO .................... 249,937 18,200 CAROLINA POWER & LIGHT CO ........... 664,300 28,000 CENTERIOR ENERGY CORP ............... 301,000 24,500 CENTRAL & SOUTH WEST CORP ........... 627,812 1,500 CENTRAL HUDSON GAS & ELECTRIC CORP .. 47,062 8,500 CENTRAL MAINE POWER CO .............. 98,812 20,023 CINERGY CORP ........................ 668,267 3,700 CIPSCO, INC ......................... 133,662 28,366 o CITIZENS UTILITIES CO (CLASS B) ..... 315,571 12,400 CMS ENERGY CORP ..................... 416,950 29,700 CONSOLIDATED EDISON CO OF NEW YORK, INC ...................... 868,725 14,200 DELMARVA POWER & LIGHT CO ........... 289,325 22,900 DOMINION RESOURCES, INC ............. 881,650 15,100 DPL, INC ............................ 369,950 11,400 DQE, INC ............................ 330,600 17,900 DTE ENERGY CO ....................... 579,512 26,100 DUKE POWER CO ....................... 1,207,125 3,300 EASTERN UTILITIES ASSOCIATION CO .... 57,337 53,500 EDISON INTERNATIONAL CO ............. 1,063,312 15,500 ENOVA CORP .......................... 352,625 28,000 ENTERGY CORP NEW .................... 777,000 12,900 FLORIDA PROGRESS CORP ............... 416,025 22,000 FPL GROUP, INC ...................... 1,012,000 15,700 GPU, INC ............................ 527,912 5,800 HAWAIIAN ELECTRIC INDUSTRIES, INC ... 209,525 27,100 HOUSTON INDUSTRIES, INC ............. 613,137 7,400 IDAHO POWER CO ...................... 230,325 6,000 IES INDUSTRIES, INC ................. 179,250 10,900 ILLINOVA CORP ....................... 299,750 9,200 IPALCO ENTERPRISES, INC ............. 250,700 8,900 KANSAS CITY POWER & LIGHT CO ........ 253,650 4,000 KU ENERGY CORP ...................... 120,000 17,200 LONG ISLAND LIGHTING CO ............. 380,550 12,400 LOUISVILLE GAS & ELECTRIC ENERGY CORP ........................ 303,800 21,400 MIDAMERICAN ENERGY HOLDINGS CO ...... 339,725 2,700 MINNESOTA POWER & LIGHT CO .......... 74,250 11,300 MONTANA POWER CO .................... 241,537 13,200 NEVADA POWER CO ..................... 270,600 9,300 NEW ENGLAND ELECTRIC SYSTEMS CO ..... 324,337 13,900 NEW YORK STATE ELECTRIC & GAS CORP .. 300,587 26,800 o NIAGARA MOHAWK POWER CORP ........... 264,650 8,600 NIPSCO INDUSTRIES, INC .............. 340,775 18,400 NORTHEAST UTILITIES CO .............. 243,800 9,800 NORTHERN STATES POWER CO ............ 449,575 19,400 OHIO EDISON CO ...................... 441,350 6,500 OKLAHOMA GAS & ELECTRIC CO .......... 271,375 52,700 PACIFIC GAS & ELECTRIC CO ........... 1,106,700 37,500 PACIFICORP .......................... 768,750 26,900 PECO ENERGY CO ...................... 679,225 11,500 PINNACLE WEST CAPITAL CORP .......... 365,125 6,400 PORTLAND GENERAL CORP ............... 268,800 15,200 POTOMAC ELECTRIC POWER CO ........... 391,400 21,800 PP&L RESOURCES, INC ................. 501,400 9,500 PUBLIC SERVICE CO OF COLORADO ....... 369,312 11,100 PUBLIC SERVICE CO OF NEW MEXICO ..... 217,837 29,700 PUBLIC SERVICE ENTERPRISE GROUP, INC 809,325 13,100 PUGET SOUND POWER & LIGHT CO ........ 314,400 10,000 ROCHESTER GAS & ELECTRIC CORP ....... 191,250 15,900 SCANA CORP .......................... 425,325 10,100 SIERRA PACIFIC RESOURCES ............ 290,375 84,700 SOUTHERN CO ......................... 1,916,337 4,600 SOUTHWESTERN PUBLIC SERVICE CO ...... 162,725 16,200 TECO ENERGY, INC .................... 390,825 28,200 TEXAS UTILITIES CO .................. 1,149,150 4,940 o TUCSON ELECTRIC POWER CO ............ 82,127 27,400 UNICOM CORP ......................... 743,225 13,000 UNION ELECTRIC CO ................... 500,500 1,500 UNITED ILLUMINATING CO .............. 47,062 10,001 UTILICORP UNITED, INC ............... 270,027 13,400 WASHINGTON WATER POWER CO ........... 249,575 9,400 WESTERN RESOURCES, INC .............. 290,225 16,800 WISCONSIN ENERGY CORP ............... 451,500 ------------ 34,188,232 ------------ UTILITIES--GAS & PIPELINE--1.32% 10,800 AGL RESOURCES, INC .................. 228,150 11,300 o AMERICAN STANDARD COS, INC .......... 432,225 9,300 AMERICAN WATER WORKS CO, INC ........ 191,812 4,800 o BLACK BOX CORP ...................... 198,000 8,900 BROOKLYN UNION GAS CO ............... 268,112 1,400 CABOT OIL & GAS CORP (CLASS A) ...... 23,975 7,400 o CALENERGY, INC ...................... 248,825 12,600 COASTAL CORP ........................ 615,825 7,400 COLUMBIA GAS SYSTEMS, INC ........... 470,825 12,100 CONSOLIDATED NATURAL GAS CO ......... 668,525 1,200 EASTERN ENTERPRISES CO .............. 42,450 See notes to financial statements. -71- SHARES VALUE ------ ------- UTILITIES--GAS & PIPELINE--(CONTINUED) 7,548 o EL PASO NATURAL GAS CO NEW .......... $ 381,174 28,000 ENRON CORP .......................... 1,207,500 9,500 ENSERCH CORP ........................ 218,500 7,700 EQUITABLE RESOURCES, INC ............ 229,075 1,600 INDIANA ENERGY, INC ................. 39,000 2,500 o IONICS, INC ......................... 120,000 4,100 KN ENERGY, INC ...................... 160,925 10,200 MCN CORP ............................ 294,525 6,400 NATIONAL FUEL GAS CO ................ 264,000 18,700 NGC CORP ............................ 434,775 8,100 NICOR, INC .......................... 289,575 17,123 NORAM ENERGY CORP ................... 263,266 5,315 ONEOK, INC .......................... 159,450 11,400 PACIFIC ENTERPRISES, INC ............ 346,275 19,100 PANENERGY CORP ...................... 859,500 4,600 PEOPLES ENERGY CORP ................. 155,825 1,790 PIEDMONT NATURAL GAS CO, INC ........ 41,841 4,200 o PRIMARK CORP ........................ 103,950 6,000 QUESTAR CORP ........................ 220,500 11,200 SONAT, INC .......................... 576,800 4,600 SOUTHWEST GAS CORP .................. 88,550 1,300 SOUTHWESTERN ENERGY CO .............. 19,662 22,030 o TENNECO, INC NEW .................... 994,103 6,010 UGI CORP NEW ........................ 134,473 7,500 VALERO ENERGY CORP .................. 214,687 6,400 WASHINGTON ENERGY CO ................ 132,000 500 WESTERN GAS RESOURCES, INC .......... 9,625 1,500 WICOR, INC .......................... 53,812 21,367 WILLIAMS COS, INC ................... 801,262 ------------ 12,203,354 ------------ UTILITIES--OTHER--0.01% 3,400 o BILLING INFORMATION CONCEPTS CORP ... 97,750 ------------ UTILITIES--TELEPHONE--5.60% 1,900 o ADTRAN, INC ......................... 78,850 9,500 ALIANT COMMUNICATIONS, INC .......... 161,500 27,300 ALLTEL CORP ......................... 856,537 3,700 o AMERICAN MOBILE SATELLITE CORP ...... 45,325 74,100 AMERITECH CORP NEW .................. 4,492,312 217,100 AT & T CORP ......................... 9,443,850 58,700 BELL ATLANTIC CORP .................. 3,800,825 133,600 BELLSOUTH CORP ...................... 5,394,100 4,600 o C-TEC CORP .......................... 111,550 9,500 CINCINNATI BELL, INC ................ 585,437 23,400 FRONTIER CORP ....................... 529,425 8,287 o GLENAYRE TECHNOLOGIES, INC .......... 178,688 128,400 GTE CORP ............................ 5,842,200 91,200 MCI COMMUNICATIONS CORP ............. 2,981,100 8,800 o MOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP .................. 74,800 4,200 o MOBILEMEDIA CORP .................... 1,837 19,800 o NEXTEL COMMUNICATIONS, INC (CLASS A) 258,637 59,300 NYNEX CORP .......................... 2,853,812 56,200 PACIFIC TELESIS GROUP CO ............ 2,065,350 81,500 SBC COMMUNICATIONS, INC ............. 4,217,625 11,100 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP ............ 431,512 58,200 SPRINT CORP ......................... 2,320,725 9,801 TELEPHONE & DATA SYSTEMS, INC ....... 355,286 3,400 o U.S. LONG DISTANCE CORP ............. 27,200 62,600 U.S. WEST COMMUNICATIONS GROUP, INC . 2,018,850 63,800 o U.S. WEST MEDIA GROUP, INC .......... 1,180,300 52,358 o WORLDCOM, INC ....................... 1,364,580 ------------ 51,672,213 ------------ TOTAL COMMON STOCK (Cost $767,742,006) ................. 919,234,554 ------------ PAR VALUE -------- SHORT TERM INVESTMENTS--1.51% U.S. GOVERNMENTS & AGENCIES--1.51% FEDERAL HOME LOAN MORTGAGE CORP $ 10,800,000 5.400%, 01/02/97 ................ 10,796,712 3,100,000 5.430%, 01/24/97 ................ 3,088,840 ------------ 13,885,552 ------------ TOTAL SHORT TERM INVESTMENTS (Cost $13,887,626) ...... ........... 13,885,552 ROUNDING ........................ 275 ------------ TOTAL PORTFOLIO (Cost $781,764,884) ..... ........... $933,285,693 ============ - ---------- o Non-income producing X In bankruptcy See notes to financial statements. -72- COLLEGE RETIREMENT EQUITIES FUND Participant Voting Results December 31, 1996 --------------------- CREF's annual meeting was held on November 11, 1996. The annual meeting involved the election of trustees. The five trustees elected to four-year terms at the annual meeting were: John H. Biggs: 24,388,893,088 (98.1%) votes were cast in favor, and 473,571,838 (1.9%) votes were withheld. Marjorie Fine Knowles: 24,339,609,463 (97.9%) votes were cast in favor, and 522,914,314 (2.1%) votes were withheld. Bevis Longstreth: 24,359,955,477 (98.0%) votes were cast in favor, and 502,568,300 (2.0%) votes were withheld. Robert M. Lovell, Jr.: 24,368,987,754 (98.0%) votes were cast in favor, and 493,545,176 (2.0%) votes were withheld. Robert W. Vishny: 24,404,521,617 (98.2%) votes were cast in favor, and 458,011,313 (1.8%) votes were withheld. The other trustees currently in office are Robert H. Atwell, Elizabeth E. Bailey, Gary P. Brinson, Joyce A. Fecske, Edes P. Gilbert, Stuart Tse Kong Ho, Nancy L. Jacob, Thomas W. Jones, Martin L. Leibowitz, Jay O. Light, Stephen A. Ross, Eugene C. Sit, Maceo K. Sloan, Harry K. Spindler, and David K. Storrs. One shareholder proposal was submitted to a vote of CREF participants in the Social Choice Account, recommending adoption of an additional screen for the account. On this proposal, 61,572,674 (19.3%) votes were cast in favor, 237,891,147 (74.6%) votes were cast in opposition and 19,580,459 (6.1%) abstained. The proposal was defeated. One shareholder proposal was submitted to a vote of CREF participants, that CREF adopt a specified approach regarding the executive compensation policies of companies in which CREF holds equity interests. For the Stock Account, 3,359,178,110 (15.6%) votes were cast in favor, 16,825,435,462 (78.1%) votes were cast in opposition and 1,359,844,128 (6.3%) abstained. The proposal was defeated. For the Social Choice Account, 102,737,209 (32.1%) votes were cast in favor, 196,659,162 (61.5%) votes were cast in opposition and 20,556,321 (6.4%) abstained. The proposal was defeated. For the Global Equities Account, 212,485,196 (18.2%) votes were cast in favor, 899,576,143 (77.0%) votes were cast in opposition and 55,854,513 (4.8%) abstained. The proposal was defeated. For the Growth Account, 112,110,211 (18.9%) votes were cast in favor, 453,151,980 (76.2%) votes were cast in opposition and 28,973,269 (4.9%) abstained. The proposal was defeated. For the Equity Index Account, 47,592,161 (20.3%) votes were cast in favor, 175,402,357 (74.7%) votes were cast in opposition and 11,887,003 (5.0%) abstained. The proposal was defeated. One shareholder proposal was submitted to a vote of CREF participants in accounts with investments in tobacco manufacturers, asking CREF to divest its investments in those companies. For the Stock Account, 4,750,492,664 (22.1%) votes were cast in favor, 15,492,774,677 (71.9%) votes were cast in opposition and 1,301,322,801 (6.0%) abstained. The proposal was defeated. For the Money Market Account, 196,964,280 (25.6%) votes were cast in favor, 531,154,455 (68.9%) votes were cast in opposition and 42,109,592 (5.5%) abstained. The proposal was defeated. For the Bond Market Account, 61,884,660 (26.8%) votes were cast in favor, 157,274,558 (68.1%) votes were cast in opposition and 11,856,252 (5.1%) abstained. The proposal was defeated. For the Global Equities Account, 286,247,620 (24.5%) votes were cast in favor, 826,976,701 (70.8%) votes were cast in opposition and 54,683,355 (4.7%) abstained. The proposal was defeated. For the Growth Account, 145,619,242 (24.5%) votes were cast in favor, 420,682,878 (70.8%) votes were cast in opposition and 27,941,082 (4.7%) abstained. The proposal was defeated. For the Equity Index Account, 59,860,344 (25.5%) votes were cast in favor, 163,372,385 (69.5%) votes were cast in opposition and 11,648,791 (5.0%) 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, 1996, 24,060,980,398 (96.8%) votes were cast in favor, 275,476,128 (1.1%) votes were cast in opposition and 526,401,984 (2.1%) abstained. -73- [CREF Logo] College Retirement Equities Fund 730 Third Avenue New York, NY 10017-3206 212/490-9000 Printed on recycled paper CAR02M--2/97 EX-27 2 FDS --
6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 2 MONEY MARKET ACCOUNT 1 YEAR DEC-31-1996 DEC-31-1996 3,712,248,621 3,710,977,049 82,078,052 0 5,968,779 3,799,023,880 69,310,550 0 0 69,310,550 0 0 218,291,636 193,181,428 0 0 0 0 0 3,729,713,330 0 180,622,896 0 (9,987,743) 170,635,153 3,598 (876,263) 169,762,488 0 0 0 0 25,110,208 0 0 582,858,890 0 0 0 0 2,597,014 0 9,987,743 3,307,318,378 15.666 .831 (.003) 0 0 0 16.494 .300 0 0
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6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 3 BOND MARKET ACCOUNT 1 YEAR DEC-31-1996 DEC-31-1996 984,475,105 985,636,447 55,944,742 0 0 1,041,581,189 32,978,880 0 8,368,897 41,347,777 0 0 22,611,134 19,522,467 0 0 0 0 0 1,000,233,412 0 64,241,772 0 (2,668,857) 61,572,915 (3,512,730) (28,782,350) 29,277,835 0 0 0 0 3,106,394 (17,727) 0 166,848,588 0 0 0 0 656,539 0 2,668,857 897,691,904 42.689 2.913 (1.600) 0 0 0 44.002 .300 0 0
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6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 4 SOCIAL CHOICE ACCOUNT 1 YEAR DEC-31-1996 DEC-31-1996 1,215,391,024 1,565,608,026 20,897,714 0 1,364,530 1,587,870,270 11,775,579 0 354,846 12,130,425 0 0 25,841,336 22,195,567 0 0 0 0 0 1,575,739,845 16,485,935 35,957,391 0 (4,010,636) 48,432,690 11,910,403 140,408,956 200,752,049 0 0 0 0 4,247,359 (601,590) 0 411,420,946 0 0 0 0 976,893 0 4,010,636 1,353,970,884 50.712 1.910 5.968 0 0 0 58.590 .300 0 0
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6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 5 GLOBAL EQUITIES ACCOUNT 1 YEAR DEC-31-1996 DEC-31-1996 3,872,499,528 4,413,716,220 190,906,169 0 55,763,443 4,660,385,832 182,261,387 0 284,947,527 467,208,914 0 0 80,015,913 70,162,908 0 0 0 0 0 4,193,176,918 50,569,749 9,432,801 0 (13,316,884) 46,685,666 357,715,738 207,389,762 611,791,166 0 0 0 0 9,853,005 0 0 1,094,381,819 0 0 0 0 5,168,905 0 13,316,884 3,637,097,781 42.958 .584 7.138 0 0 0 50.680 .370 0 0
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6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 6 GROWTH ACCOUNT 1 YEAR DEC-31-1996 DEC-31-1996 2,010,889,220 2,426,839,754 17,809,542 0 3,354,922 2,448,004,218 27,109,072 0 0 27,109,072 0 0 53,200,553 32,375,238 0 0 0 0 0 2,420,895,146 20,419,790 4,288,343 0 (6,043,974) 18,664,159 111,570,297 261,921,473 392,155,929 0 0 0 0 20,825,315 0 0 1,264,465,519 0 0 0 0 2,134,334 0 6,043,974 1,742,219,151 35.310 .365 8.638 0 0 0 44.313 .350 0 0
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6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 7 EQUITY INDEX ACCOUNT 1 YEAR DEC-31-1996 DEC-31-1996 781,764,884 933,285,693 10,907,443 0 4,313,376 948,506,512 26,581,427 0 0 26,581,427 0 0 20,724,711 10,910,656 0 0 0 0 0 921,925,085 13,856,832 575,292 0 (1,982,258) 12,449,866 10,324,266 108,747,047 131,521,179 0 0 0 0 9,814,055 0 0 531,047,539 0 0 0 0 495,305 0 1,982,258 664,191,875 35.231 .667 6.936 0 0 0 42.834 .300 0 0
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