-----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, NF8L/9+faQl2tQWg0t0fGEErKAvregPT0MILdHsb7ahA09EtRK28oLsf7bvY4Kzt g8QWLUr1y8lEh0br198SMg== 0000930413-99-000203.txt : 19990302 0000930413-99-000203.hdr.sgml : 19990302 ACCESSION NUMBER: 0000930413-99-000203 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19981231 FILED AS OF DATE: 19990301 FILER: COMPANY DATA: COMPANY CONFORMED NAME: COLLEGE RETIREMENT EQUITIES FUND CENTRAL INDEX KEY: 0000777535 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 136022042 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-04415 FILM NUMBER: 99554580 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 ANNUAL REPORT Annual Report - -------------------------------------------------------------------------------- COLLEGE RETIREMENT EQUITIES FUND Audited Financial Statements including Statement of Investments for the Stock Account -------------------- December 31, 1998 [CREF LOGO] As required by the Investment Company Act of 1940, CREF provides its participants with this annual report of the financial condition and portfolio holdings of the Stock Account. CREF also provides an annual report to participants in the seven other CREF Accounts. Semi-annual reports are also provided each year toward the end of August. COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT INDEX TO AUDITED FINANCIAL STATEMENTS DECEMBER 31, 1998 - -------------------------------------------------------------------------------- Page ----- Report of Management Responsibility..................................... 2 Report of Independent Auditors.......................................... 3 Audited Financial Statements: Statement of Assets and Liabilities................................. 4 Statement of Operations............................................. 5 Statements of Changes in Net Assets................................. 6 Notes to Financial Statements....................................... 7 Statement of Investments............................................ 12 Participant Voting Results.............................................. 57 1 [CREF LOGO] - -------------------------------------------------------------------------------- REPORT OF MANAGEMENT RESPONSIBILITY To the Participants of College Retirement Equities Fund: The accompanying financial statements of the Stock Account 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 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 Ernst & Young 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 Ernst & Young LLP and internal audit personnel to review matters relating to financial reporting, internal controls and auditing. In addition to the annual audit of the financial statements of all the CREF Accounts by the independent auditing firm, the New York State Insurance Department, other state insurance departments and the Securities and Exchange Commission perform periodic examinations of the CREF Accounts' operations. /s/ JOHN H. BIGGS -------------------------------- Chairman, President and Chief Executive Officer /s/ RICHARD L. GIBBS -------------------------------- Executive Vice President and Principal Accounting Officer 2 [LOGO ERNST & YOUNG LLP] [ ] 787 Seventh Avenue [ ] Phone: 212 773 3000 New York, New York 10019 REPORT OF INDEPENDENT AUDITORS To the Participants and Board of Trustees of College Retirement Equities Fund: We have audited the accompanying statement of assets and liabilities, including the statement of investments, of the Stock Account of College Retirement Equities Fund ("CREF") as of December 31, 1998, and the related statements of operations for the year then ended and of changes in net assets for each of the two years in the 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. The condensed financial information for the year ended December 31, 1996 and the periods prior thereto were audited by other auditors, whose report dated February 6, 1997 expressed an unqualified opinion on such condensed financial information. 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, 1998, by correspondence with the custodians and brokers. 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, the financial statements referred to above present fairly, in all material respects, the financial position of the Stock Account of CREF at December 31, 1998, the results of its operations for the year then ended, and the changes in its net assets for each of the two years in the period then ended, in conformity with generally accepted accounting principles. /s/ ERNST & YOUNG LLP February 5, 1999 Ernst & Young LLP is a Member of Ernst & Young International, Ltd. 3 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1998 (amounts in thousands, except per accumulation unit amount)
ASSETS Portfolio investments, at cost ................................................ $ 66,213,200 Net unrealized appreciation of portfolio investments .......................... 51,676,580 ------------ Portfolio investments, at value ............................................... 117,889,780 Cash .......................................................................... 127,901 Dividends and interest receivable ............................................. 149,582 Receivable from securities transactions ....................................... 195,667 Amounts due from TIAA ......................................................... 12,683 ------------ 118,375,613 TOTAL ASSETS ------------ LIABILITIES Deposits for securities loaned--Note 4 ........................................ 1,783,702 Payable for securities transactions ........................................... 220,601 ------------ TOTAL LIABILITIES 2,004,303 ------------ NET ASSETS Accumulation Fund ............................................................ 96,034,279 Annuity Fund ................................................................. 20,337,031 ------------ TOTAL NET ASSETS $116,371,310 ============ THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6 ...................... 565,999 ============ NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5 .................................. $169.67 ============
See notes to financial statements. 4 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENT OF OPERATIONS YEAR ENDED DECEMBER 31, 1998 (amounts in thousands)
INVESTMENT INCOME Income: Interest .............................................................................. $ 96,657 Dividends ............................................................................. 1,583,771 ----------- TOTAL INCOME 1,680,428 ----------- Expenses--Note 3: Investment ............................................................................ 111,046 Operating ............................................................................. 256,595 ----------- TOTAL EXPENSES 367,641 Fees paid indirectly .................................................................. 8 ----------- NET EXPENSES 367,633 ----------- INVESTMENT INCOME-NET 1,312,795 ----------- REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments ................................................................ 11,928,564 Futures transactions ................................................................ 20,499 Foreign currency transactions ........................................................ (9,849) ----------- Net realized gain 11,939,214 ----------- Net change in unrealized appreciation on: Portfolio investments ................................................................ 8,777,303 Futures transactions ................................................................. 39,302 Translation of assets (other than portfolio investments) and liabilities denominated in foreign currencies .................................. 2,109 ----------- Net change in unrealized appreciation 8,818,714 ----------- NET REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS 20,757,928 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $22,070,723 ===========
See notes to financial statements. 5 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENTS OF CHANGES IN NET ASSETS (amounts in thousands)
Years Ended December 31, ------------------------ 1998 1997 ----- ---- FROM OPERATIONS Investment income--net ............................................. $ 1,312,795 $ 1,417,042 Net realized gain on total investments ............................. 11,939,214 8,253,175 Net change in unrealized appreciation on total investments ............................................. 8,818,714 11,432,448 ------------ ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 22,070,723 21,102,665 ------------ ----------- FROM PARTICIPANT TRANSACTIONS Premiums ........................................................... 2,762,905 2,507,501 ------------ ----------- Disbursements and transfers: Net transfers to TIAA ............................................ 1,261,329 742,005 Net transfers to other CREF Accounts ............................. 3,236,208 1,916,205 Annuity payments ................................................. 1,701,354 1,294,165 Withdrawals and repurchases ...................................... 1,641,765 1,305,554 Death benefits ................................................... 171,064 149,280 ------------ ----------- TOTAL DISBURSEMENTS AND TRANSFERS, NET 8,011,720 5,407,209 ------------ ----------- NET DECREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS (5,248,815) (2,899,708) ------------ ----------- NET INCREASE IN NET ASSETS 16,821,908 18,202,957 NET ASSETS Beginning of year .................................................. 99,549,402 81,346,445 ------------ ----------- End of year ........................................................ $116,371,310 $99,549,402 ============ ===========
See notes to financial statements. 6 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT 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 eight investment portfolios. The accompanying financial statements are those of the Stock Account ("Account"), which invests primarily in equity securities. The seven other investment portfolios of CREF, which are not included in these financial statements, include the Money Market Account, which invests in money market instruments; the Bond Market Account, which invests in a broad range of fixed-income securities; the Social Choice Account, which invests in a diversified portfolio of equity and fixed-income securities while giving special consideration to certain social criteria; the Global Equities Account, which invests in equity securities of foreign and domestic companies; the Growth Account, which invests in a diversified portfolio of equity securities that present opportunities for growth; the Equity Index Account, which invests in a diversified portfolio of equity securities selected to track the overall United States stock market; and the Inflation-Linked Bond Account, which invests primarily in inflation-indexed bonds. TIAA-CREF Investment Management, LLC ("Investment Management"), a subsidiary of Teachers Insurance and Annuity Association of America ("TIAA"), a companion organization, is registered with the Commission as an investment adviser and provides investment advisory services for the CREF Accounts pursuant to an Investment Management Services Agreement with CREF. TIAA-CREF Individual & Institutional Services, Inc. ("Services"), a subsidiary of TIAA, which is registered with the Commission as a broker-dealer and is a member of the National Association of Securities Dealers, Inc., provides administrative services for the CREF Accounts and performs distribution functions for CREF's certificates pursuant to a Principal Underwriting and Administrative Services Agreement with CREF. TIAA provides guarantees for the CREF Accounts for certain mortality and expense risks pursuant to an Immediate Annuity Purchase Rate Guarantee Agreement. NOTE 2--SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements may require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, income, expenses and related disclosures. Actual results may differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Account, which are in conformity with generally accepted accounting principles. VALUATION OF INVESTMENTS: Securities listed or traded on any United States national securities exchange are valued at the last sales price as of the close of the principal securities exchange on which such securities are traded or, if there is no sale, at the mean of the last bid and asked prices on such exchange. Securities traded only in the over-the-counter market and quoted in the NASDAQ National Market System are valued at the last sales price, or at the mean of the last bid and asked prices if no sale is reported. All other over-the-counter securities are valued at the mean of the last bid and asked prices, except for bonds which are valued at the most recent bid price or the equivalent quoted yield of such bonds. Short-term money market instruments are stated at market value. Foreign investments are valued at the closing price in the principal market where they are traded; local currencies are converted into U.S. dollars as described below under Foreign Currency Transactions and Translation. Stock index futures and options which are traded on commodities exchanges are valued at the last sale price as of the close of such commodities exchanges. Portfolio securities for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Finance Committee of the Board of Trustees and in accordance with the responsibilities of the Board as a whole. ACCOUNTING FOR INVESTMENTS: Securities transactions are accounted for as of the date the securities are purchased or sold (trade date). Interest income is recorded as earned and, for short-term money market instruments, includes accrual of discount and amortization of premium. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as soon as the Account is informed of the ex-dividend date. Realized gains and losses on security transactions are accounted for on the average cost basis. 7 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS--(CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED) FOREIGN CURRENCY TRANSACTIONS AND TRANSLATION: Foreign investments, bank deposits and forward foreign currency contracts are valued in U.S. dollars, based on the exchange rate at the end of the period. Investments traded in foreign currencies are translated at exchange rates prevailing on the respective dates traded. Income is translated at approximate rates prevailing when earned. Asset and liability accounts that are denominated in a foreign currency are translated at the prevailing exchange rate at the end of the period. The cumulative impact of changes in foreign exchange rates on portfolio investments sold during the period is reflected in the net realized gain (loss) on portfolio investments. The cumulative impact of changes in foreign exchange rates on portfolio investments held at the end of the period is reflected in the net change in unrealized appreciation (depreciation) on portfolio investments. Currency gains and losses arising from the settlement of forward foreign currency contracts, changes in exchange rates between the trade and settlement dates of portfolio investment transactions, and changes in exchange rates between the accrual and receipt dates for dividend and interest income are recorded as net realized gains (losses) on foreign currency transactions. For assets other than portfolio investments and liabilities, changes in foreign exchange rates are reflected in the net change in unrealized appreciation (depreciation) on translation of assets (other than portfolio investments) and liabilities denominated in foreign currencies. SECURITIES LENDING: The Account has a program to lend portfolio securities to qualified institutions. Such loans are secured by collateral at least equal to 102% of the market value of the securities loaned for United States securities and 105% of the market value of securities loaned for foreign securities. The Account continues to receive income on the securities loaned and receives additional income from the lending transaction. Additionally, any change in the market value of the securities loaned is recognized by the Account. Although each transaction is collateralized, the Account would bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. COVERED CALL OPTIONS WRITTEN: The Account writes (sells) covered call options to provide protection against adverse movements in the price of securities in the portfolio. When an option is written, an amount equal to the premium received is recorded as a liability; the liability is adjusted on a daily basis to the current market price of the option written and an unrealized gain or loss is recorded. Premiums received from writing options which expire unexercised are recognized as realized gains from option transactions on the expiration date. Premiums received from writing options which are exercised are added to the proceeds from the sale of the underlying securities in recognizing the net realized gain or loss on portfolio investments. In writing options, it is assumed that the option may be exercised at any time prior to the expiration of the Account's obligation as a writer, and that in such circumstances the net proceeds of the sale of the underlying securities pursuant to the call option may be below the prevailing market value. FUTURES CONTRACTS: The Account purchases futures contracts for the purpose of acquiring a position in a security or group of securities which it intends to purchase at a later date, or for cash management purposes to remain highly invested in the equity markets while minimizing transaction costs. The Account sells futures contracts for the purpose of offsetting changes in market value while withdrawing from a specific market. A financial futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses from futures transactions by "marking-to-market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are received or made, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a realized gain or loss from futures transactions is recorded, equal to the net variation margin received or paid over the period of the contract. The contractual amounts under futures contracts reflect the extent of the Account's exposure to off-balance sheet risk. The credit risk to such contracts is limited to the failure of the exchange or board of trade which acts as the counterparty to the Account's futures transactions. 8 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS--(CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONCLUDED) FORWARD FOREIGN CURRENCY CONTRACTS: The Account enters into forward foreign currency contracts to purchase or sell foreign currency to accommodate foreign investment transactions. Forward foreign currency contracts are "marked-to-market" at the end of each day's trading. Daily changes in the value of such contracts are reflected in the net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies. When the contract is closed, payment is received or made and a realized gain or loss on foreign currency transactions is recognized, equal to the difference between the cost of the closing transaction and the basis in the contract. The Account may also enter into a forward foreign currency contract to offset an existing contract. Forward foreign currency contracts are entered into directly with a counterparty and the Account is exposed to the risk of default of such counterparty. The maximum potential loss from such risk is the aggregate face value in U.S. dollars at the time the contract is opened. There is no daily margin requirement for such contracts. SECURITIES PURCHASED ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS: The Account may purchase securities on a when-issued or delayed delivery basis. In addition to the normal market risks, this exposes the Account to the risk that the transaction may not be consummated. RESTRICTED SECURITIES: Restricted securities held by the Account may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in securities which are widely held and publicly traded. FEDERAL INCOME TAXES: CREF is taxed as a life insurance company under Subchapter L of the Internal Revenue Code ("Code"), not as a regulated investment company under Subchapter M of the Code. CREF should incur no material federal income tax liability. Under the rules of taxation applicable to life insurance companies, CREF's Accumulation and Annuity Funds for participants will generally be treated as life insurance reserves; therefore, any increase in such reserves will be deductible. NOTE 3--MANAGEMENT AGREEMENTS Through management agreements with each company, Investment Management and Services provide services necessary for the operation of CREF's Accounts. Such services are provided at cost in accordance with an Investment Management Agreement between CREF and Investment Management, and in accordance with a Principal Underwriting and Administrative Services Agreement between CREF and Services (see Note 1). Investment Management and Services receive management fee payments from the CREF Accounts on a daily basis according to formulas established each year with the objective of keeping the management fees as close as possible to each Account's actual expenses. Any differences between actual expenses and the management fees are adjusted quarterly. Investment Management and Services generally pay directly for all third-party services provided for the benefit of the CREF Accounts. "Soft-dollar" arrangements for brokerage and other services are generally not utilized by the CREF Accounts. However, certain custodial fees are reduced based on the level of average cash balances on deposit with custodian banks during the period. The amount by which custodial fees were reduced under these expense offset agreements, is reflected in the accompanying Statement of Operations as "Fees paid indirectly". NOTE 4--INVESTMENTS At December 31, 1998, the value of securities loaned was $1,896,792,735 and collateral received in connection therewith was comprised of cash of $1,783,701,884, letters of credit of $185,730,878 and United States government securities amounting to $454,461. At December 31, 1998, net unrealized appreciation of portfolio investments was $51,676,580,115, consisting of gross unrealized appreciation of $54,403,433,434 and gross unrealized depreciation of $2,726,853,319. 9 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS--(CONTINUED) NOTE 4--INVESTMENTS--(CONCLUDED) At December 31, 1998, the Account held 2,330 open futures contracts in the Standard & Poor's 500 Index, expiring in March 1999, with a value of $725,503,750 and an unrealized gain of $39,302,207. Companies in which the Account held 5% or more of the outstanding voting shares are defined as "affiliated" in the Investment Company Act of 1940. At December 31, 1998, the total value of investments in affiliated companies was $12,356,193. For the year ended December 31, 1998, total dividend income and the net realized gain relating to such investments were $5,931,671 and $12,049,764, respectively. Purchases and sales of portfolio securities, other than short-term money market instruments, for the year ended December 31, 1998, were as follows: Purchases: Unaffiliated issuers................................. $36,216,163,507 Affiliated issuers................................... 159,136,989 --------------- TOTAL PURCHASES $36,375,300,496 =============== Sales: Unaffiliated issuers.................................. $39,725,489,351 Affiliated issuers.................................... 305,683,559 --------------- TOTAL SALES $40,031,172,910 =============== NOTE 5--CONDENSED FINANCIAL INFORMATION Selected condensed financial information for an Accumulation Unit of the Account is presented below.
FOR THE YEARS ENDED DECEMBER 31, ------------------------------------------------------------ 1998 1997 1996 1995 1994 ---- ---- ---- ---- ---- Per Accumulation Unit Data: Investment income.................... $ 2.381 $ 2.317 $ 2.114 $ 1.885 $ 1.699 Expenses............................. .521 .387 .304 .271 .223 -------- -------- -------- ------- ------- Investment income--net................ 1.860 1.930 1.810 1.614 1.476 Net realized and unrealized gain (loss) on investments......... 29.795 26.864 15.953 19.984 (1.557) -------- -------- -------- ------- ------- Net increase (decrease) in Accumulation Unit Value............ 31.655 28.794 17.763 21.598 (.081) Accumulation Unit Value: Beginning of year.................. 138.017 109.223 91.460 69.862 69.943 -------- -------- -------- ------- ------- End of year........................ $169.672 $138.017 $109.223 $91.460 $69.862 ======== ======== ======== ======= ======= Total return......................... 22.94% 26.36% 19.42% 30.92% (0.12%) Ratios to Average Net Assets: Expenses........................... 0.34% 0.31% 0.31% 0.34% 0.32% Investment income--net.............. 1.23% 1.55% 1.82% 2.00% 2.11% Portfolio turnover rate.............. 34.63% 23.25% 19.57% 16.25% 18.77% Thousands of Accumulation Units outstanding at end of year......... 565,999 597,531 620,498 632,803 637,435
10 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS--(CONCLUDED) NOTE 6--ACCUMULATION UNITS Changes in the number of Accumulation Units outstanding were as follows:
Years Ended December 31, ------------------------ 1998 1997 ---- ---- Accumulation Units: Credited for premiums.................................... 17,047,048 20,134,412 Cancelled for transfers, disbursements and amounts applied to the Annuity Fund.................... (48,579,351) (43,101,543) Outstanding: Beginning of year...................................... 597,531,204 620,498,335 ----------- ----------- End of year............................................ 565,998,901 597,531,204 =========== ===========
NOTE 7--LINE OF CREDIT The Stock, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts share in a $1.95 billion unsecured revolving credit facility for temporary or emergency purposes, including, without limitation, the funding of participant redemptions that otherwise might require the untimely disposition of securities. An annual commitment fee is charged for this facility, which is allocated among the participating Accounts. Interest associated with any borrowing under the credit facility will be charged to the borrowing Accounts at rates which are based on the Federal Funds Rate in effect during the time of the borrowing. For the year ended December 31, 1998, there were no borrowings under the credit facility. 11 COLLEGE INVESTMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT DECEMBER 31, 1998 SUMMARY BY INDUSTRY (000) VALUE % -------- ----- BONDS CORPORATE BONDS AMUSEMENT AND RECREATION SERVICES ....... $ 16 0.00% AUTOMOTIVE DEALERS AND SERVICE STATIONS ...................... 413 0.00 COMMUNICATIONS .......................... 8,994 0.01 DEPOSITORY INSTITUTIONS ................. 12,033 0.01 ELECTRIC, GAS, AND SANITARY SERVICES .... 4,861 0.00 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT . 9,988 0.01 HOLDING AND OTHER INVESTMENT OFFICES .... 67 0.00 INSURANCE CARRIERS ...................... 32 0.00 METAL MINING ............................ 480 0.00 SECURITY AND COMMODITY BROKERS .......... 7,499 0.01 TRUCKING AND WAREHOUSING ................ 4,401 0.00 -------- ------ TOTAL CORPORATE BONDS (Cost $44,411) ......................... 48,784 0.04 -------- ------ GOVERNMENT BOND GOVERNMENT BOND ........................ 371 0.00 -------- ------ TOTAL GOVERNMENT BOND (Cost $381) ............................ 371 0.00 --------- ------ TOTAL BONDS (Cost $44,792) ......................... 49,155 0.04 --------- ------ PREFERRED STOCK APPAREL AND OTHER TEXTILE PRODUCTS ...... 834 0.00 BUSINESS SERVICES ....................... 43,971 0.04 CHEMICALS AND ALLIED PRODUCTS ........... 10,167 0.01 COMMUNICATIONS .......................... 21,713 0.02 DEPOSITORY INSTITUTIONS ................. 2,317 0.00 ELECTRIC, GAS, AND SANITARY SERVICES .... 4,436 0.00 FABRICATED METAL PRODUCTS ............... 2,633 0.00 GENERAL MERCHANDISE STORES .............. 11,246 0.01 HEALTH SERVICES ......................... 34 0.00 HEAVY CONSTRUCTION, EXCEPT BUILDING ..... 207 0.00 HOLDING AND OTHER INVESTMENT OFFICES .... 3,539 0.00 INSTRUMENTS AND RELATED PRODUCTS ........ 24 0.00 INSURANCE AGENTS, BROKERS AND SERVICE ... 8,555 0.01 INSURANCE CARRIERS ...................... 9,716 0.01 METAL MINING ............................ 841 0.00 NONDEPOSITORY INSTITUTIONS .............. 111 0.00 OIL AND GAS EXTRACTION .................. 1,030 0.00 PAPER AND ALLIED PRODUCTS ............... 7 0.00 PRIMARY METAL INDUSTRIES ................ 125 0.00 PRINTING AND PUBLISHING ................. 24,491 0.02 REAL ESTATE ............................. 253 0.00 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ...................... 6,862 0.01 STONE, CLAY, AND GLASS PRODUCTS ......... 188 0.00 TRANSPORTATION EQUIPMENT ................ 2,829 0.00 -------- ------ TOTAL PREFERRED STOCK (Cost $92,420) .......................... 156,129 0.13 -------- ------ COMMON STOCK AGRICULTURAL PRODUCTION-CROPS ........... 19,762 0.02% AGRICULTURAL SERVICES ................... 2,665 0.00 AMUSEMENT AND RECREATION SERVICES ....... 138,551 0.12 APPAREL AND ACCESSORY STORES ............ 589,264 0.51 APPAREL AND OTHER TEXTILE PRODUCTS ...... 174,405 0.15 AUTO REPAIR, SERVICES AND PARKING ....... 55,703 0.05 AUTOMOTIVE DEALERS AND SERVICE STATIONS . 36,828 0.03 BUILDING MATERIALS AND GARDEN SUPPLIES .. 812,947 0.70 BUSINESS SERVICES ....................... 6,781,914 5.83 CHEMICALS AND ALLIED PRODUCTS ........... 14,541,458 12.50 COAL MINING ............................. 3,018 0.00 COMMUNICATIONS .......................... 14,061,824 12.08 DEPOSITORY INSTITUTIONS ................. 10,990,023 9.44 EATING AND DRINKING PLACES .............. 861,493 0.74 EDUCATIONAL SERVICES .................... 49,685 0.04 ELECTRIC, GAS, AND SANITARY SERVICES .... 4,804,238 4.13 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT ............................. 8,708,556 7.48 ENGINEERING AND MANAGEMENT SERVICES ..... 170,761 0.15 FABRICATED METAL PRODUCTS ............... 970,292 0.83 FISHING, HUNTING, AND TRAPPING .......... 9 0.00 FOOD AND KINDRED PRODUCTS ............... 4,683,204 4.02 FOOD STORES ............................. 1,121,605 0.96 FORESTRY ................................ 33,721 0.03 FURNITURE AND FIXTURES .................. 142,627 0.12 FURNITURE AND HOMEFURNISHINGS STORES .... 261,917 0.23 GENERAL BUILDING CONTRACTORS ............ 258,526 0.22 GENERAL MERCHANDISE STORES .............. 2,288,114 1.97 HEALTH SERVICES ......................... 504,114 0.43 HEAVY CONSTRUCTION, EXCEPT BUILDING ..... 193,505 0.17 HOLDING AND OTHER INVESTMENT OFFICES .... 843,539 0.72 HOTELS AND OTHER LODGING PLACES ......... 195,202 0.17 INDUSTRIAL MACHINERY AND EQUIPMENT ...... 7,892,601 6.78 INSTRUMENTS AND RELATED PRODUCTS ........ 2,422,036 2.08 INSURANCE AGENTS, BROKERS AND SERVICE ... 186,928 0.16 INSURANCE CARRIERS ...................... 6,216,784 5.34 LEATHER AND LEATHER PRODUCTS ............ 7,485 0.01 LEGAL SERVICES .......................... 36 0.00 LOCAL AND INTERURBAN PASSENGER TRANSIT .. 103,129 0.09 LUMBER AND WOOD PRODUCTS ................ 159,351 0.14 METAL MINING ............................ 276,999 0.24 MISCELLANEOUS MANUFACTURING INDUSTRIES .. 132,254 0.11 MISCELLANEOUS RETAIL .................... 966,128 0.83 MOTION PICTURES ......................... 509,027 0.44 NONDEPOSITORY INSTITUTIONS .............. 2,238,861 1.92 NONMETALLIC MINERALS, EXCEPT FUELS ...... 95,872 0.08 OIL AND GAS EXTRACTION .................. 853,078 0.73 PAPER AND ALLIED PRODUCTS ............... 931,218 0.80 PERSONAL SERVICES ....................... 101,032 0.09 PETROLEUM AND COAL PRODUCTS ............. 4,880,094 4.19 PIPELINES, EXCEPT NATURAL GAS ........... 12,444 0.01 PRIMARY METAL INDUSTRIES ................ 522,178 0.45 12 See notes to financial statements. COLLEGE INVESTMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT DECEMBER 31, 1998 SUMMARY BY INDUSTRY (CONTINUED) (000) VALUE % -------- ----- PRINTING AND PUBLISHING ............. $ 1,543,103 1.33% RAILROAD TRANSPORTATION ............. 502,906 0.43 REAL ESTATE ......................... 299,730 0.26 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS .................. 686,432 0.59 SECURITY AND COMMODITY BROKERS ...... 1,056,815 0.91 SOCIAL SERVICES ..................... 4,034 0.00 SPECIAL TRADE CONTRACTORS ........... 42,739 0.04 STONE, CLAY, AND GLASS PRODUCTS ..... 540,520 0.46 TEXTILE MILL PRODUCTS ............... 136,650 0.12 TOBACCO PRODUCTS .................... 1,124,280 0.97 TRANSPORTATION BY AIR ............... 530,255 0.46 TRANSPORTATION EQUIPMENT ............ 3,858,664 3.32 TRANSPORTATION SERVICES ............. 105,591 0.09 TRUCKING AND WAREHOUSING ............ 170,548 0.15 WATER TRANSPORTATION ................ 211,019 0.18 WHOLESALE TRADE-DURABLE GOODS ....... 222,580 0.19 WHOLESALE TRADE-NONDURABLE GOODS .... 748,593 0.64 ------------ ------ TOTAL COMMON STOCK (Cost $62,983,291) .................. 114,591,464 98.47 ------------ ------ SHORT TERM INVESTMENTS BANK NOTES .......................... 63,987 0.05% CERTIFICATES OF DEPOSIT ............. 289,301 0.25 COMMERCIAL PAPER .................... 1,915,815 1.65 MEDIUM TERM BONDS ................... 47,928 0.04 U.S. GOVERNMENT & AGENCIES .......... 503,172 0.43 VARIABLE RATE NOTES ................. 272,829 0.24 ------------- 3 ------ TOTAL SHORT TERM INVESTMENTS (Cost $ 3,092,697) .................. 3,093,032 2.66 ------------- ------ TOTAL PORTFOLIO (Cost $ 66,213,200) ................. 117,889,780 101.30 OTHER ASSETS & LIABILITIES, NET (1,518,470) (1.30) ------------- ------ NET ASSETS ............................ $ 116,371,310 100.00% ============= ====== 13 See notes to financial statements. COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED) DECEMBER 31, 1998 SUMMARY BY COUNTRY Value (000) % ----------- ------- DOMESTIC UNITED STATES ..... $ 92,464,965 78.43% ------------ ------ TOTAL DOMESTIC ...... 92,464,965 78.43 ------------ ------ FOREIGN ARGENTINA ......... 15,225 0.01 AUSTRALIA ......... 535,681 0.45 AUSTRIA ........... 36,058 0.03 BELGIUM ........... 380,991 0.32 BRAZIL ............ 13,675 0.01 CANADA ............ 711,774 0.60 CHILE ............. 52,950 0.05 CHINA ............. 16,263 0.01 DENMARK ........... 140,805 0.12 FINLAND ........... 402,633 0.34 FRANCE ............ 1,969,120 1.67 GERMANY ........... 2,202,984 1.87 GREECE ............ 1,010 0.00 HONG KONG ......... 326,908 0.28 HUNGARY ........... 4,929 0.00 INDIA ............. 22,277 0.02 IRELAND ........... 176,522 0.15 ITALY ............. 1,467,588 1.25 JAPAN ............. 4,251,787 3.61 LUXEMBOURG ........ 10,015 0.01 MALAYSIA .......... 35,706 0.03 MEXICO ............ 7,727 0.01 NETHERLANDS ....... 1,566,681 1.33 NEW ZEALAND ....... 54,703 0.05 NORWAY ............ 90,200 0.08 PORTUGAL .......... 151,060 0.13 SINGAPORE ......... 115,286 0.10 SOUTH AFRICA ...... 17,283 0.02 SPAIN ............. 790,006 0.67 SWEDEN ............ 546,841 0.46 SWITZERLAND ....... 1,895,947 1.61 UNITED KINGDOM .... 4,320,591 3.66 ZIMBABWE .......... 557 0.00 ------------ ------ TOTAL FOREIGN ....... 22,331,783 18.95 TOTAL SHORT TERM .... 3,093,032 2.62 ------------ ------ TOTAL PORTFOLIO ..... $117,889,780 100.00% ============ ====== 14 See notes to financial statements. COLLEGE INVESTMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT DECEMBER 31, 1998 VALUE PRINCIPAL (000) --------- -------- BONDS--0.04% CORPORATE BONDS--0.04% AMUSEMENT AND RECREATION SERVICES--0.00% MULTI PURPOSE ICULS $ 307,000(1) 3.000%, 12/31/02 .................. $ 16 ------- AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.00% (degree) UGLY DUCKLING CORP (SUB DEB) 413,400 12.000%, 10/23/03 ................ 413 ------- COMMUNICATIONS--0.01% 8,615,000 VIACOM INTERNATIONAL, INC (SUB DEB) 8.000%, 07/07/06 ................. 8,994 ------- DEPOSITORY INSTITUTIONS--0.01% BANCA INTESA 210,884(2) 3.150%, 01/01/03 ................. 448 BANCA INTESA (RISP) 16,220(2) 3.150%, 01/01/03 ................. 48 FUJI BANK 2,580,000,000(3) 0.250%, 02/01/02 ................. 8,082 MITSU TRUST & BANKING 983,000,000(3) 0.500%, 10/01/07 ................. 3,455 ------- 12,033 ------- ELECTRIC, GAS, AND SANITARY SERVICES--0.00% 4,979,000 WMX TECHNOLOGIES, INC (SUB CV NOTE) 2.000%, 01/24/05 ................. 4,861 ------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--0.01% SONY CORP 950,000,000(3) 1.400%, 03/31/05 ................. 9,988 ------- HOLDING AND OTHER INVESTMENT OFFICES--0.00% VALUE REALISATION TRUST DEB 24,621 1.400%, 09/30/06 ................. 67 ------- INSURANCE CARRIERS--0.00% 35,000 LIBLIFE INTERNATIONAL CV 6.500%, 09/30/04 ................. 32 ------- METAL MINING--0.00% RGC GOLD 791,298 0.000%, 12/31/00 ................. 480 ------- SECURITY AND COMMODITY BROKERS--0.01% MORGAN STANLEY (CPS) 5,987,000 3.000%, 05/17/00 ................. 7,499 ------- TRUCKING AND WAREHOUSING--0.00% YAMATO TRANSPORT CV 340,000,000(3) 1.700%, 09/30/02 ................. 4,401 ------- TOTAL CORPORATE BONDS (Cost $44,411) ..................... 48,784 ------- GOVERNMENT BOND--0.00% GOVERNMENT BOND--0.00% U.S. TREASURY BOND 325,000 11.750%, 02/15/01 ................ 371 ------- TOTAL GOVERNMENT BOND (Cost $381) ........................ 371 ------- TOTAL BONDS (Cost $44,792) ...................... 49,155 ======= - ---------------- (1) Denominated in Malaysian Ringets (2) Denominated in Italian Lire (3) Denominated in Japanese Yen VALUE SHARES (000) ------ -------- PREFERRED STOCK--0.13% APPAREL AND OTHER TEXTILE PRODUCTS--0.00% 5,050 ESCADA AG. ......................... $ 834 ------- BUSINESS SERVICES---0.04% 92,100 SAP AG. ............................ 43,971 ------- CHEMICALS AND ALLIED PRODUCTS--0.01% 1,713(degree)CIN-CORPARACAO INDUSTRIAL ........ 62 43,000 HENKEL KGAA ........................ 3,847 25,000(degree)MONSANTO CO ...................... 1,225 2,500,000#(degree)NETGENICS, INC CV SERIES D ...... 5,000 40 WELLA GROUP AG. .................... 33 ------- 10,167 ------- COMMUNICATIONS--0.02% 132,625 AIRTOUCH COMMUNICATIONS, INC CV SERIES B ....................... 7,891 85,158 AIRTOUCH COMMUNICATIONS, INC CV SERIES C ....................... 8,771 66,267,124(degree)EMBRATEL PARTICIPACOES S.A. 905 66,267,124 TELEBRAS S.A. ...................... 8 66,267,124(degree)TELECENTRO OESTE CELULAR PARTICIPACOES S.A. ................ 70 66,267,124(degree)TELECENTRO-SUL PARTICIPACOES S.A. 575 66,267,124(degree)TELELESTE CELULAR PARTICIPACOES S.A. 38 66,267,124(degree)TELEMIG CELULAR PARTICIPCOES S.A. 73 66,267,124(degree)TELENORDESTE CELULAR PART S.A. ... 60 66,267,124(degree)TELENORTE CELULAR PARTICIPACOES S.A. 31 66,267,124(degree)TELENORTE-LESTE PARTICIPACOES S.A. 828 66,267,124(degree)TELESP CELULAR S.A. .............. 488 66,267,124(degree)TELESP PARTICIPACOES S.A. ........ 1,508 550,635 TELESP S.A. ........................ 75 66,267,124(degree)TELESUDESTE CELULAR S.A. ......... 280 66,267,124(degree)TELESUL CELULAR PARTICIPACOES S.A. 112 ------- 21,713 ------- DEPOSITORY INSTITUTIONS--0.00% 2,252,000 BANCO ITAU S.A. .................... 1,100 219,454,122 BRADESCO S.A. ...................... 1,217 ------- 2,317 ------- ELECTRIC, GAS, AND SANITARY SERVICES--0.00% 38,848,207 CEMIG S.A. ......................... 739 23,122,930(degree)CENTRAIS GERADORAS BRASIL ........ 29 45,614(degree)CIA PAULISTA DE FORCA & LUZ ...... 3 23,122,930 ELECTROBRAS S.A. SERIES B .......... 444 2,200,000 ELETROPAULO METROPOLITANA .......... 102 5,000 HOUSTON INDUSTRIES, INC ACES ....... 532 70,870 RHEIN-WESTFALEN ELECTRIC AG. (NON-VOTE) 2,587 ------ 4,436 ------ FABRICATED METAL PRODUCTS--0.00% 9,968 FRIEDRICH-GROHE AG. ................ 2,633 ------ GENERAL MERCHANDISE STORES--0.01% 210,200 HARCOURT GENERAL, INC SERIES A ..... 11,246 ------ HEALTH SERVICES--0.00% 8,534(degree)MEDIQ, INC SERIES A .............. 34 ------ HEAVY CONSTRUCTION, EXCEPT BUILDING--0.00% 5,500 BAU HOLDING AG. .................... 207 ------ HOLDING AND OTHER INVESTMENT OFFICES--0.00% 74,530 APARTMENT INVESTMENT & MANAGEMENT CO SERIES E ............ 2,758 See notes to financial statements. 15 VALUE SHARES (000) ------ -------- HOLDING AND OTHER INVESTMENT OFFICES--(CONTINUED) 18,432 KIMCO REALTY CORP SERIES D ......... $ 477 23,313 PRIME RETAIL, INC .................. 304 ------- 3,539 ------- INSTRUMENTS AND RELATED PRODUCTS--0.00% 816,100(degree)FRESENIUS MEDICAL CARE (CLASS D) . 24 ------- INSURANCE AGENTS, BROKERS AND SERVICE--0.01% 15,000 MARSCHOLLER LAUT UND PARTNER ....... 8,555 ------- INSURANCE CARRIERS--0.01% 106,672 AETNA, INC SERIES C ................ 8,114 15,700 AXA COLONIA KONZERN AG. ............ 1,602 ------- 9,716 ------- METAL MINING--0.00% 65,532 VALE DO RIO DOCE NAVEGACAO S.A. SERIES A ........... 841 ------- NONDEPOSITORY INSTITUTIONS--0.00% 23,604 INTERNATIONALE NEDERLANDEN GROEP NV .......................... 111 ------- OIL AND GAS EXTRACTION--0.00% 9,087,000 PETROBRAS S.A. ..................... 1,030 ------- PAPER AND ALLIED PRODUCTS--0.00% 1,670 KONINKLIJKE NV ..................... 7 ------- PRIMARY METAL INDUSTRIES--0.00% 1,600,000 MET GERDAU S.A. .................... 26 44,800 USINAS SIDERGIACAS DE MINAS GERAIS . 99 ------- 125 ------- PRINTING AND PUBLISHING--0.02% 4,020,887 NEWS CORP LTD (LTD-VOTE) ........... 24,491 ------- REAL ESTATE--0.00% 18,300 PRICE ENTERPRISES, INC ............. 253 ------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.01% 132,287 SEALED AIR CORP (CLASS A) .......... 6,862 ------- STONE, CLAY, AND GLASS PRODUCTS--0.00% 679 DYCKERHOFF ZEMENTWERKE AG. ......... 188 ------- TRANSPORTATION EQUIPMENT--0.00% 900 MAN AG. (NON-VOTE) ................. 182 53,400 RHEINMETALL AG. .................... 1,003 33,000 VOLKSWAGEN AG. ..................... 1,644 ------- 2,829 ------- TOTAL PREFERRED STOCK (Cost $92,420) ...................... 156,129 ------- COMMON STOCK--98.47% AGRICULTURAL PRODUCTION- CROPS--0.02% 14,872(degree)AGRITOPE, INC .................... 20 509 DELTA & PINE LAND CO ............... 19 911,000 GOLDEN HOPE PLANTATIONS BERHAD ..... 688 15,900 KORN-OG FODERSTOF KOMPAGNIET AS .... 298 693,963 PIONEER-HI-BRED INTERNATIONAL, INC . 18,737 ------- 19,762 ------- AGRICULTURAL SERVICES--0.00% 110,700(degree)CADIZ, INC ....................... 844 65,100 CRESUD SACIFYA ..................... 78 87,400(degree)VETERINARY CENTERS OF AMERICA, INC 1,743 ------- 2,665 ------- AMUSEMENT AND RECREATION SERVICES--0.12% 52,576(degree)AMERICAN SKIING CO ............... 404 218,400(degree)AMF BOWLING, INC ................. 1,119 125,500(degree)ANCHOR GAMING CO ................. 7,075 186,500(degree)ARGOSY GAMING CORP ............... 501 10,629(degree)BALLY TOTAL FITNESS HOLDINGS CORP 264 258,645(degree)BOYD GAMING CORP ................. 857 12,600(degree)CHAMPIONSHIP AUTO RACING TEAMS, INC $ 373 4,800 CHURCHILL DOWNS, INC ............... 158 1,800 DOVER DOWNS ENTERTAINMENT, INC ..... 22 1,199,162(degree)EMI GROUP PLC 8,021 2,100(degree)FAMILY GOLF CENTERS, INC ......... 41 85,400(degree)FLORIDA PANTHERS HOLDINGS, INC ... 795 3,283,771 GRANADA GROUP LTD (CLASS A) ........ 58,050 268,000(degree)GRAND CASINOS, INC ............... 2,161 1,591,673(degree)HARRAH'S ENTERTAINMENT, INC ...... 24,969 1,600(degree)HOLLYWOOD PARK, INC .............. 13 2,700(degree)INTERNATIONAL SPEEDWAY CORP (CLASS A) 109 2,750(degree)ISLE OF CAPRI CASINOS, INC ....... 11 1,324,950 MAGNUM CORP BERHAD ................. 398 26,527(degree)MIRAGE RESORT, INC ............... 396 1,217,700(degree)MULTI-PURPOSE HOLDINGS BERHAD .... 229 48,760(degree)PENN NATIONAL GAMING, INC ........ 341 14,000(degree)PLAYERS INTERNATIONAL, INC ....... 87 58,592(degree)PREMIER PARKS, INC ............... 1,772 57,934(degree)PRESIDENT CASINOS, INC ........... 69 268,101(degree)RIO HOTEL & CASINO, INC .......... 4,256 700 SANKYO CO LTD ...................... 12 659(degree)SCIENTIFIC GAMES HOLDINGS CORP ... 12 172,250(degree)SFX ENTERTAINMENT, INC (CLASS A) . 9,452 400(degree)SPEEDWAY MOTORSPORTS, INC ........ 11 1,414,673(degree)STAR CITY HOLDINGS LTD ........... 1,252 144,897(degree)STATION CASINOS, INC ............. 1,186 864,400 TABCORP HOLDINGS LTD ............... 5,302 256,000 TOKYO DOME CORP .................... 1,366 380,000 TOKYO TOKEIBA CO LTD ............... 556 226,600(degree)WESTWOOD ONE, INC ................ 6,911 ------- 138,551 ------- APPAREL AND ACCESSORY STORES--0.51% 51,423(degree)ABERCROMBIE & FITCH CO (CLASS A) . 3,638 95,600(degree)AMERICAN EAGLE OUTFITTERS, INC ... 6,369 187,202(degree)ANN TAYLOR STORES CORP ........... 7,383 2,400(degree)BEBE STORES, INC ................. 85 297,330 BROWN GROUP, INC ................... 5,222 112,450(degree)BUCKLE, INC ...................... 2,699 1,024 BURLINGTON COAT FACTORY WAREHOUSE CORP .................... 17 301,200 CATO CORP (CLASS A) ................ 2,965 8,600(degree)CHARMING SHOPPES, INC ............ 37 68,600(degree)CHILDRENS PLACE RETAIL STORES .... 1,724 700 CLAIRE'S STORES, INC ............... 14 108,618 CLAIRE'S STORES, INC (CLASS A) ..... 2,227 176,100 DEB SHOPS, INC ..................... 2,642 127,401(degree)DOUGLAS HOLDINGS AG. ............. 7,725 10,040(degree)DOUGLAS HOLDINGS AG. NEW ......... 543 114,700(degree)DRESS BARN, INC .................. 1,742 4,184(degree)EDISON BROTHERS STORES WTS 09/26/05 1 400(degree)FINISH LINE, INC (CLASS A) ....... 3 259,169(degree)FOOTSTAR, INC .................... 6,479 600(degree)GADZOOKS, INC .................... 5 3,693,088 GAP, INC ........................... 207,736 435,800(degree)GENESCO, INC ..................... 2,479 250,000(degree)GOODYS FAMILY CLOTHING, INC ...... 2,508 227,300(degree)GYMBOREE CORP .................... 1,449 546,645 HENNES & MAURITZ AB SERIES B ....... 44,644 418,283 INTIMATE BRANDS, INC (CLASS A) ..... 12,496 1,550(degree)JUST FOR FEET, INC ............... 27 3,129,695 LIMITED, INC ....................... 91,152 342,450(degree)MENS WAREHOUSE, INC .............. 10,873 195,022 NORDSTROM, INC ..................... 6,765 53,500(degree)NORTH FACE, INC .................. 696 109,650(degree)PACIFIC SUNWEAR CALIFORNIA, INC .. 1,796 200(degree)PAUL HARRIS STORES, INC .......... 2 334,543(degree)PAYLESS SHOESOURCE, INC .......... 15,849 183,600(degree)PETRIE STORES CORP (LIQUIDATING TRUST) 379 893,800 ROSS STORES, INC ................... 35,193 See notes to financial statements. 16 VALUE SHARES (000) ------ -------- APPAREL AND ACCESSORY STORES--(CONTINUED) 3,938 SALAMANDER AG. ..................... $ 709 500 SHIMAMAURA CO LTD .................. 23 800(degree)STAGE STORES, INC ................ 8 248,100(degree)STEIN MART, INC .................. 1,729 95,403(degree)SYMS CORP ........................ 859 1,000 TALBOTS, INC ....................... 31 3,307,566 TJX COS, INC ....................... 95,919 7,800(degree)URBAN OUTFITTERS, INC ............ 132 142,100(degree)WET SEAL, INC (CLASS A) .......... 4,290 ------- 589,264 ------- APPAREL AND OTHER TEXTILE PRODUCTS--0.15% 198,000 AOYAMA TRADING CO LTD .............. 5,547 124,768 AUTHENTIC FITNESS CORP ............. 2,277 5,579,300 BENETTON GROUP S.P.A. .............. 11,266 79,240(degree)COLUMBIA SPORTSWEAR CO ........... 1,337 1,900(degree)CYRK, INC ........................ 14 215,400(degree)DONNA KARAN INTERNATIONAL, INC ... 1,642 17 ESCADA AG. (STAMM) ................. 3 982,837(degree)FRUIT OF THE LOOM, INC (CLASS A) . 13,575 201,000 GUNZE LTD .......................... 485 4,430(degree)HARTMARX CORP .................... 25 1,454,703(degree)JONES APPAREL GROUP, INC ......... 32,094 258,390 KELLWOOD CO ........................ 6,460 2,761,000 KURARAY CO LTD ..................... 30,523 745,700 LIZ CLAIBORNE, INC ................. 23,536 555,200(degree)NAUTICA ENTERPRISES, INC ......... 8,328 133,000 ONWARD KASHIYMA CO LTD ............. 1,790 218,600 OSHKOSH B'GOSH, INC (CLASS A) ...... 4,413 97,800 OXFORD INDUSTRIES, INC ............. 2,763 13,193 x(degree)PARAGON TRADE BRANDS, INC ... 28 395,033 PHILLIPS VAN HEUSEN CORP ........... 2,839 4,523 PILLOWTEX CORP ..................... 121 1,000(degree)POLO RALPH LAUREN CORP ........... 19 233,363(degree)QUIKSILVER, INC .................. 7,001 396,100(degree)RENOWN, INC ...................... 246 233,000 TOKYO STYLE CO LTD ................. 2,363 11,400(degree)TOMMY HILFIGER CORP .............. 684 152,869 VF CORP ............................ 7,166 452,000 WACOAL CORP ........................ 5,822 80,699 WARNACO GROUP, INC (CLASS A) ....... 2,038 ------- 174,405 ------- AUTO REPAIR, SERVICES AND PARKING--0.05% 596,683(degree)AVIS RENT A CAR, INC ............. 14,432 8,001(degree)BUDGET GROUP, INC ................ 127 1,479,000 COMFORT GROUP LTD .................. 533 396,618(degree)DOLLAR THRIFTY AUTOMOTIVE GROUP, INC 5,106 330,865 HERTZ CORP (CLASS A) ............... 15,096 54,364 IMPERIAL HOLDINGS LTD .............. 333 217,457 MIDAS, INC ......................... 6,768 61,770(degree)NATIONAL AUTO CREDIT, INC ........ 56 710,967 ROLLINS TRUCK LEASING CORP ......... 10,487 106,352 RYDER SYSTEM, INC .................. 2,765 ------- 55,703 ------- AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.03% 88,400 AUTOBACS SEVEN CO LTD .............. 2,978 52,200(degree)AUTOZONE, INC .................... 1,719 271,800 CANADIAN TIRE, INC (CLASS A) ....... 7,122 2,300(degree)CIRCUIT CITY STORES, INC (CARMAX GROUP) 13 152,800(degree)COPART, INC ...................... 4,947 244,300(degree)CSK AUTO CORP .................... 6,520 118,198(degree)DISCOUNT AUTO PARTS, INC ......... 2,593 139,100(degree)GROUP 1 AUTOMOTIVE, INC .......... 3,617 389,100 LEX SERVICE GROUP LTD .............. 2,473 323,958 LONHRO AFRICA PLC .................. 299 35,600(degree)OREILLY AUTOMOTIVE, INC .......... 1,682 7,922 PENDRAGON PLC ...................... 20 27,920 PEP BOYS MANNY, MOE, & JACK CO ..... 438 259,100(degree)UNITED AUTO GROUP, INC ........... 2,380 2,700(degree)WEST MARINE, INC ................. 27 ------- 36,828 ------- BUILDING MATERIALS AND GARDEN SUPPLIES--0.70% 495,580 CRH PLC ............................ 8,571 110,400(degree)EAGLE HARDWARE & GARDEN, INC ..... 3,588 800 FASTENAL CO ........................ 35 10,806,572 HOME DEPOT, INC .................... 661,227 236,000 HONG LEONG INDUSTRIES BERHAD ....... 104 2,374,254 LOWES COS, INC ..................... 121,532 529,186 MEYER INTERNATIONAL PLC ............ 3,038 72,202 PORTLAND VALDERRIVAS S.A. .......... 2,955 900(degree)TRACTOR SUPPLY CO ................ 22 1,878,189 WOLSELEY PLC ....................... 11,875 ------- 812,947 ------- BUSINESS SERVICES--5.83% 100(degree)3DO CO ........................... 0 90,500 AARON RENTS, INC ................... 1,369 136,300(degree)ABACUS DIRECT CORP ............... 6,202 3,100 ABM INDUSTRIES, INC ................ 107 115,300(degree)ABR INFORMATION SERVICES, INC .... 2,263 611,300(degree)ACCLAIM ENTERTAINMENT, INC ....... 7,488 25,454(degree)ACKERLEY GROUP, INC .............. 465 945,879(degree)ACNEILSEN CORP ................... 26,721 1,900(degree)ACTIVISION, INC .................. 21 206,120(degree)ACXIOM CORP ...................... 6,390 218,500 ADECCO S.A. ADR .................... 12,618 56,954(degree)ADECCO S.A. (BR) ................. 25,999 300(degree)ADMINSTAFF, INC .................. 8 465,644 ADOBE SYSTEMS, INC ................. 21,769 12,500(degree)ADVANTAGE LEARNING SYSTEMS, INC .. 822 80,300(degree)ADVENT SOFTWARE, INC ............. 3,784 370,530 (degree)ADVO, INC ................... 9,773 600 (degree)AFFILIATED COMPUTER SERVICES, INC (CLASS A) ......................... 27 13,700(degree)ALTERNATIVE RESOURCES CORP ....... 146 2,200(degree)ALYDAAR SOFTWARE CORP ............ 18 3,220,000 AMERICA ONLINE, INC ................ 515,200 712,125 (degree)AMERICAN MANAGEMENT SYSTEMS, INC 28,485 17,500 (degree)AMERICAN SOFTWARE, INC (CLASS A) 37 224,400 ANALYSTS INTERNATIONAL CORP ........ 4,320 65,000(degree)ANSWERTHINK CONSULTING GROUP ..... 1,747 78,000 ANTAH HOLDINGS BERHAD .............. 11 168,200(degree)APAC TELESERVICES, INC ........... 636 69,100(degree)ARIS CORP ........................ 825 3,980,087(degree)ASCEND COMMUNICATIONS, INC ....... 261,691 24,200(degree)ASPECT DEVELOPMENT, INC .......... 1,072 2,100(degree)ASPEN TECHNOLOGY, INC ............ 30 4,300(degree)AT HOME CORP SERIES A ............ 319 701,000 AUTODESK, INC ...................... 29,924 1,658,503 AUTOMATIC DATA PROCESSING, INC ..... 132,991 605,800(degree)AVANT CORP ....................... 9,693 75,300(degree)AVT CORP ......................... 2,184 3,000(degree)AWARE, INC ....................... 82 7,900(degree)AXENT TECHNOLOGIES, INC .......... 241 11,051(degree)AZTEC TECHNOLOGY PARTNERS, INC ... 40 20,514(degree)BA MERCHANT SERVICES, INC (CLASS A) 413 4,400(degree)BANYAN SYSTEMS, INC .............. 39 2,500(degree)BEA SYSTEMS, INC ................. 31 199,000(degree)BILLING CONCEPTS CORP ............ 2,189 6,100(degree)BISYS GROUP, INC ................. 315 1,611,100(degree)BMC SOFTWARE, INC ................ 71,795 61,600(degree)BOOLE & BABBAGE, INC ............. 1,813 207,900(degree)BORG-WARNER SECURITY CORP ........ 3,898 64,500(degree)BORON, LEPORE & ASSOCIATES, INC .. 2,225 240(degree)BRC HOLDINGS, INC ................ 5 494,300(degree)BUILDING ONE SERVICE ............. 10,319 2,200(degree)CACI INTERNATIONAL, INC (CLASS A) 37 See notes to financial statements. 17 VALUE SHARES (000) ------ -------- BUSINESS SERVICES--(CONTINUED) 269,274(degree)CADENCE DESIGN SYSTEMS, INC ...... $ 8,011 5,100(degree)CAMBRIDGE TECHNOLOGY PARTNERS, INC 113 269,350(degree)CAP GEMINI S.A. .................. 43,251 1,600,000 CAPITA GROUP PLC ................... 14,788 83,400(degree)CARIBINER INTERNATIONAL, INC ..... 761 206,362(degree)CATALINA MARKETING CORP .......... 14,110 200(degree)CCC INFORMATION SERVICES GROUP, INC 3 948(degree)CDI CORP ......................... 19 47,900(degree)CELLULAR TECHNICAL SERVICES CO ... 16 500(degree)CENTURY BUSINESS SERVICES, INC ... 7 607,326(degree)CERIDIAN CORP .................... 42,399 430,000(degree)CERNER CORP ...................... 11,503 209,600(degree)CHECKFREE HOLDINGS CORP .......... 4,899 4,200 CHEMED CORP ........................ 141 180,829(degree)CHOICEPOINT, INC ................. 11,663 404,900(degree)CIBER, INC ....................... 11,312 155,135(degree)CITRIX SYSTEMS, INC .............. 15,058 41,400(degree)CLARIFY, INC ..................... 1,012 150(degree)CMGI, INC ........................ 16 200(degree)CNET, INC ........................ 11 51,574(degree)COMDISCO, INC .................... 870 158,587(degree)COMPLETE BUSINESS SOLUTIONS, INC . 5,372 3,757,805 COMPUTER ASSOCIATES INTERNATIONAL, INC 160,176 632,200(degree)COMPUTER HORIZONS CORP ........... 16,832 40,200 (degree)COMPUTER MANAGEMENT SCIENCES, INC 698 1,778,133 (degree)COMPUTER SCIENCES CORP ...... 114,578 330,919 COMPUTER TASK GROUP, INC ........... 8,976 1,613,600(degree)COMPUWARE CORP ................... 126,063 213,100(degree)CONCORD COMMUNICATIONS, INC ...... 12,093 143,500(degree)COREL CORP ....................... 570 15,300(degree)CORSAIR COMMUNICATIONS, INC ...... 77 163,300(degree)CORT BUSINESS SERVICES CORP ...... 3,960 60,100(degree)COTELLIGENT, INC ................. 1,281 295,000(degree)CREATIVE TECHNOLOGY LTD .......... 4,166 432,600(degree)CSG SYSTEMS INTERNATIONAL, INC ... 34,175 242,000 CSK CORP ........................... 5,578 4,894(degree)CYBERGUARD CORP .................. 10 2,400(degree)DAOU SYSTEMS, INC ................ 15 53,800 DASSAULT SYSTEMS S.A. .............. 2,530 338(degree)DATA BROADCASTING CORP ........... 6 42,900(degree)DATA DIMENSIONS, INC ............. 367 29,000(degree)DATA PROCESSING RESOURCES CORP ... 848 252,900(degree)DATASTREAM SYSTEMS, INC .......... 2,908 1,800(degree)DATAWORKS CORP ................... 19 15,385(degree)DBT ONLINE, INC .................. 384 1,100(degree)DECISIONONE HOLDINGS CORP ........ 5 14,400(degree)DELTEK SYSTEMS, INC .............. 243 218,600(degree)DENDRITE INTERNATIONAL, INC ...... 5,458 3,000(degree)DIGITAL LIGHTWAVE, INC ........... 7 63,300(degree)DOCUMENTUM, INC .................. 3,383 202,738(degree)DST SYSTEMS, INC ................. 11,569 500(degree)EARTHLINK NETWORK, INC ........... 29 2,600(degree)ELECTRO RENT CORP ................ 42 432,200(degree)ELECTRONIC ARTS, INC ............. 24,257 3,413,733 ELECTRONIC DATA SYSTEMS CORP ....... 171,540 427,500(degree)ELECTRONICS FOR IMAGING, INC ..... 17,180 185,000(degree)EMPLOYEE SOLUTIONS, INC .......... 474 99,400(degree)ENGINEERING ANIMATION, INC ....... 5,368 347,429(degree)ENVOY CORP ....................... 20,238 1,709,198 EQUIFAX, INC ....................... 58,433 118,291(degree)EXCITE, INC ...................... 4,976 50,300(degree)FACTSET RESEARCH SYSTEMS, INC .... 3,106 142,342 FAIR ISSAC & CO, INC ............... 6,574 12,000(degree)FILENET CORP ..................... 138 81,000(degree)FIREARMS TRAINING SYSTEMS, INC ... 114 2,574,668 FIRST DATA CORP .................... 81,585 19,762(degree)FISERV, INC ...................... 1,017 136,900(degree)FORE SYSTEMS, INC ................ 2,507 200(degree)FORRESTER RESEARCH, INC .......... 9 4,700(degree)FORTE SOFTWARE, INC .............. 28 328,700(degree)GENERAL MAGIC, INC ............... 1,654 167,600 (degree)GENESYS TELECOMMUNICATIONS LABORATORIES, INC ................. 3,729 309,700(degree)GEOTEL COMMUNICATIONS CORP ....... 11,536 332,495 GERBER SCIENTIFIC, INC ............. 7,918 460,970 GETRONICS NV ....................... 22,843 1,800(degree)GETTY IMAGES, INC ................ 31 8,472(degree)GRANDE HOLDINGS WTS 10/15/00 ..... 0 12,700(degree)GREAT PLAINS SOFTWARE, INC ....... 613 142,300(degree)GT INTERACTIVE SOFTWARE CORP ..... 712 689,979(degree)GTECH HOLDINGS CORP .............. 17,681 1,150(degree)HARBINGER CORP ................... 9 21,900 HAW PAR CORP LTD ................... 25 4,446,223 HBO & CO ........................... 127,551 6,300(degree)HCIA, INC ........................ 27 5,600(degree)HEALTH MANAGEMENT SYSTEMS, INC ... 44 357,800(degree)HNC SOFTWARE ..................... 14,469 23,975(degree)HYPERION SOLUTIONS CORP .......... 432 4,000(degree)I2 TECHNOLOGIES, INC ............. 122 16,300(degree)ICON CMT CORP .................... 261 24,800(degree)IKOS SYSTEMS, INC ................ 90 783,482(degree)IMATION CORP ..................... 13,711 344,150(degree)IMRGLOBAL CORP ................... 10,131 1,503,119 IMS HEALTH, INC .................... 113,392 76,000(degree)INCHCAPE MARKETING SERVICES ...... 41 45,100(degree)INDUS INTERNATIONAL, INC ......... 316 2,000(degree)INDUSTRI-MATEMATIK INTERNATIONAL CORP 10 3,000 INES CORP .......................... 27 2,900(degree)INFORMATION RESOURCES, INC ....... 30 1,734,900(degree)INFORMIX CORP .................... 17,132 3,000(degree)INFOSEEK CORP .................... 148 47,400(degree)INFOUSA, INC (CLASS A) ........... 231 76,500(degree)INFOUSA, INC (CLASS B) ........... 402 113,537(degree)INPRISE CORP ..................... 624 500(degree)INSO CORP ........................ 13 12,450(degree)INSPIRE INSURANCE SOLUTIONS, INC . 229 3,500(degree)INSURANCE AUTO AUCTIONS, INC ..... 42 500(degree)INTEGRATED SYSTEMS, INC .......... 7 72,300(degree)INTELLIGROUP, INC ................ 1,292 1,265(degree)INTERGRAPH CORP .................. 7 256,100(degree)INTERIM SERVICES, INC ............ 5,986 315,000(degree)INTERNATIONAL NETWORK SERVICES ... 20,948 223,300(degree)INTERNATIONAL TELECOMMUNICATIONS . 3,294 61,900 INTERPOOL, INC ..................... 1,037 1,203,400 INTERPUBLIC GROUP OF COS, INC ...... 95,971 400(degree)INTUIT, INC ...................... 29 2,200(degree)ISS GROUP, INC ................... 121 40,500 ISS INTERNATIONAL SERVICE SYSTEM AS SERIES B ................ 2,634 658,800(degree)J.D. EDWARDS & CO ................ 18,693 600 JACK HENRY & ASSOCIATES, INC ....... 30 168,600(degree)JDA SOFTWARE GROUP, INC .......... 1,633 935,855(degree)KEANE, INC ....................... 37,376 260,715 KELLY SERVICES, INC (CLASS A) ...... 8,278 44,550(degree)KEPPEL LAND WTS 12/12/00 ......... 11 113,700 KONAMI CO LTD ...................... 3,296 141,050(degree)LABOR READY, INC ................. 2,777 306,188 LAGARDERE S.C.A. ................... 13,018 1,217,409(degree)LEARNING CO, INC ................. 31,577 84,800(degree)LEASING SOLUTIONS, INC ........... 345 18,400(degree)LEGATO SYSTEMS, INC .............. 1,213 164,100(degree)LHS GROUP, INC ................... 8,472 6,676(degree)LYCOS, INC ....................... 371 72,224(degree)M-WEB HOLDINGS LTD ............... 128 110,697(degree)MACNEAL-SCHWENDLER CORP .......... 775 61,200(degree)MACROMEDIA, INC .................. 2,062 63,400(degree)MANHATTAN ASSOCIATES, INC ........ 1,728 See notes to financial statements. 18 VALUE SHARES (000) ------ -------- BUSINESS SERVICES--(CONTINUED) 1,280,700 MANPOWER, INC ...................... $32,258 20,676(degree)MANUGISTICS GROUP, INC ........... 258 198,700(degree)MAPICS, INC ...................... 3,279 133,700(degree)MARCAM SOLUTIONS CORP ............ 836 1,200(degree)MASTECH CORP ..................... 34 20,700 MCGRATH RENTCORP ................... 455 1,100(degree)MEDICAL MANAGER CORP ............. 35 377,300(degree)MEDQUIST, INC .................... 14,903 472,800(degree)MEITEC CORP ...................... 11,820 1,037,600(degree)MENTOR GRAPHICS CORP ............. 8,820 14,700(degree)MERCURY INTERACTIVE CORP ......... 930 103,000 MERKANTILDATA ASA .................. 1,014 348,650(degree)METAMOR WORLDWIDE, INC ........... 8,716 141,500(degree)METRO INFORMATION SERVICES, INC .. 4,245 3,730(degree)MICRO FOCUS GROUP PLC ADR ........ 35 193,300(degree)MICROMUSE, INC ................... 3,769 14,446,473(degree)MICROSOFT CORP ................... 2,003,545 878(degree)MIDWAY GAMES, INC ................ 10 18,000(degree)MINDSPRING ENTERPRISES, INC ...... 1,099 518,900 MISYS PLC .......................... 3,779 51,400(degree)MOBIUS MANAGEMENT SYSTEMS, INC ... 765 42,500(degree)MODIS PROFESSIONAL SERVICES ...... 616 40,400 NAMCO LTD .......................... 813 313,100 NATIONAL COMPUTER SYSTEMS, INC ..... 11,585 462,555 NATIONAL DATA CORP ................. 22,521 139,400(degree)NCO GROUP, INC ................... 6,273 337(degree)NCR CORP ......................... 14 58,430(degree)NETMANAGE, INC ................... 108 34,191(degree)NETSCAPE COMMUNICATIONS CORP ..... 2,077 3,600(degree)NETSPEAK CORP .................... 41 486,600(degree)NETWORK APPLIANCE, INC ........... 21,897 64,700 (degree)NETWORK SOLUTIONS, INC (CLASS A) 8,468 972,780 (degree)NETWORKS ASSOCIATES, INC .... 64,447 900(degree)NEW ERA OF NETWORKS, INC ......... 40 191,900(degree)NEWBRIDGE NETWORKS CORP .......... 5,822 406 NIELSEN MEDIA RESEARCH ............. 7 1,100 NORRELL CORP ....................... 16 1,300(degree)NORSTAN, INC ..................... 23 900(degree)NOVA CORP (GEORGIA) .............. 31 73,100(degree)NOVACARE EMPLOYEE SERVICES, INC .. 393 370,600(degree)NOVELL, INC ...................... 6,717 4,980(degree)NTT DATA COMMUNICATIONS SYSTEM CORP 24,767 221,200 (degree)OBJECTIVE SYSTEMS INTEGRATORS, INC 1,023 32,200 (degree)ODS NETWORKS, INC ........... 97 380,194 OLSTEN CORP ........................ 2,804 1,731,700 OMNICOM GROUP, INC ................. 100,439 27,500(degree)ON ASSIGNMENT, INC ............... 949 900(degree)ONSALE, INC ...................... 36 3,500(degree)OPEN MARKET, INC ................. 41 6,197,037(degree)ORACLE CORP ...................... 267,247 35,450(degree)OUTDOOR SYSTEMS, INC ............. 1,064 1,979,346(degree)PARAMETRIC TECHNOLOGY CORP ....... 32,164 715,853 PAYCHEX, INC ....................... 36,822 115,600(degree)PAYMENTECH, INC .................. 2,139 149,400(degree)PEGASUS SYSTEMS, INC ............. 5,378 55,700(degree)PEGASYSTEMS, INC ................. 232 71,100(degree)PEOPLESOFT, INC .................. 1,346 47,300(degree)PEREGRINE SYSTEMS, INC ........... 2,194 11,000(degree)PERITUS SOFTWARE SERVICES, INC ... 7 544,048(degree)PERSONNEL GROUP OF AMERICA, INC .. 9,521 4,500(degree)PHOENIX TECHNOLOGIES LTD ......... 39 111,200 #(degree)PHYSICIAN COMPUTER NETWORK, INC 3 78,815(degree)PINKERTONS, INC .................. 1,680 596,800 PITTSTON BRINKS GROUP CO ........... 19,023 2,200(degree)PLATINUM SOFTWARE CORP ........... 28 637,000(degree)PLATINUM TECHNOLOGY, INC ......... 12,183 482,600(degree)POLICY MANAGEMENT SYSTEMS CORP ... 24,371 100(degree)PRECISION RESPONSE CORP .......... 1 1,300(degree)PREVIEW TRAVEL, INC .............. 24 2,279(degree)PRIMARK CORP ..................... 62 318,400(degree)PROGRESS SOFTWARE CORP ........... 10,746 111,000(degree)PROJECT SOFTWARE & DEVELOPMENT, INC 3,719 103,396 PROSEGUR COMPANIA DE SEGURIDAD S.A. 1,208 800(degree)PSINET, INC ...................... 17 6,200(degree)QAD, INC ......................... 22 47,300(degree)QRS CORP ......................... 2,270 123,200(degree)QUADRAMED CORP ................... 2,526 25,600(degree)QUINTEL COMMUNICATIONS ........... 48 700(degree)RADIANT SYSTEMS, INC ............. 5 3,500(degree)RADISYS CORP ..................... 105 889,023(degree)RATIONAL SOFTWARE CORP ........... 23,559 134,900(degree)REALNETWORKS, INC ................ 4,840 86,800(degree)REMEDY CORP ...................... 1,210 59,800(degree)REMEDYTEMP, INC (CLASS A) ........ 904 86,193(degree)RENT WAY, INC .................... 2,096 226,919(degree)RENTAL SERVICE CORP .............. 3,560 243,800(degree)RENTERS CHOICE, INC .............. 7,741 7,901,020 RENTOKIL INITIAL PLC ............... 59,550 822,850(degree)ROBERT HALF INTERNATIONAL, INC ... 36,771 315,414 ROLLINS, INC ....................... 5,520 642,053(degree)ROMAC INTERNATIONAL, INC ......... 14,286 4,223,145 RUETERS GROUP PLC .................. 44,337 1,023,900(degree)SABRE GROUP HOLDINGS, INC ........ 45,564 499,058(degree)SAFETY-KLEEN CORP ................ 7,049 19,100(degree)SANCHEZ COMPUTER ASSOCIATES, INC . 559 6,100(degree)SANTA CRUZ OPERATION, INC ........ 27 162,200 SAP AG. ............................ 70,115 161,400(degree)SAPIENT CORP ..................... 9,038 2,500(degree)SEATTLE FILMWORKS, INC ........... 12 272,300 SECOM CO LTD ....................... 22,595 471,600 SECURITAS AB SERIES B FREE ......... 7,331 219,412 SEI INVESTMENT CO .................. 21,804 261,200 SHARED MEDICAL SYSTEMS CORP ........ 13,027 928,817(degree)SIEBEL SYSTEMS, INC .............. 31,522 2,243,900 SIME DARBY BERHAD .................. 1,802 478,200(degree)SITEL CORP ....................... 1,166 500(degree)SNYDER COMMUNICATIONS, INC ....... 17 466,700(degree)SOFTWARE AG. SYSTEMS, INC ........ 8,459 29,512(degree)SOFTWARE PUBLISHING CORP HOLDINGS, INC 32 62,200(degree)SOS STAFFING SERVICES, INC ....... 451 597,934 SOTHEBYS HOLDINGS, INC (CLASS A) ... 19,134 118,700 (degree)SPR, INC .................... 2,048 69,100(degree)SS&C TECHNOLOGIES, INC 855 299,700(degree)STAFFMARK, INC ................... 6,706 10,633(degree)STERLING COMMERCE, INC ........... 478 1,159,038(degree)STERLING SOFTWARE, INC ........... 31,366 19,500 (degree)STRUCTURAL DYNAMICS RESEARCH CORP 388 2,379,700 (degree)SUN MICROSYSTEMS, INC ....... 203,762 25,000(degree)SUNGARD DATA SYSTEMS, INC ........ 992 11,700(degree)SUNQUEST INFORMATION SYSTEMS, INC 165 916,355(degree)SYBASE, INC ...................... 6,787 209,700(degree)SYKES ENTERPRISES, INC ........... 6,396 129,600(degree)SYMANTEC CORP .................... 2,819 3,867(degree)SYNOPSYS, INC .................... 210 111,850(degree)SYNTEL, INC ...................... 1,265 5,464 (degree)SYSTEM SOFTWARE ASSOCIATES, INC 38 470,432 (degree)SYSTEMS & COMPUTER TECHNOLOGY CORP 6,468 54,400(degree)SYSTEMSOFT CORP .................. 10 28,400(degree)TCSI CORP ........................ 59 2,450(degree)TECHNOLOGY SOLUTIONS CO .......... 26 1,400(degree)TELESPECTRUM WORLDWIDE, INC ...... 14 55,600(degree)TELETECH HOLDINGS, INC ........... 570 84,000(degree)TIETO CORP (CLASS B) ............. 3,766 190,700(degree)TMP WORLDWIDE, INC ............... 8,009 3,563,000 TOKYU CORP ......................... 9,381 106,199 TOTAL SYSTEM SERVICES, INC ......... 2,496 37,700 TRANS COSMOS ....................... 1,063 See notes to financial statements. 19 VALUE SHARES (000) ------ -------- BUSINESS SERVICES--(CONTINUED) 370,800(degree)TRANSACTION SYSTEM ARCHITECTURE .. $18,540 100(degree)TRANSITION SYSTEMS, INC .......... 2 319,300 TRUE NORTH COMMUNICATIONS, INC ..... 8,581 473,117(degree)UNITED RENTALS, INC .............. 15,672 224,050(degree)USWEB CORP ....................... 5,909 630,600(degree)VALASSIS COMMUNICATIONS, INC ..... 32,555 6,003(degree)VANSTAR CORP ..................... 56 65,200(degree)VANTIVE CORP ..................... 522 1,200(degree)VERIO, INC ....................... 27 33,200(degree)VERISIGN, INC .................... 1,963 235,827(degree)VERITAS SOFTWARE CORP ............ 14,135 269,700(degree)VIASOFT, INC ..................... 1,888 47,800 #VIGLEN TECHNOLOGY (LITIGATION NOTE) 0 5,000(degree)VINCAM GROUP, INC ................ 88 78,000(degree)VISIO CORP ....................... 2,852 1,500(degree)VOLT INFORMATION SCIENCES, INC ... 34 100 WACKENHUT CORP SERIES A ............ 3 290,102 WACKENHUT CORP SERIES B ............ 6,364 3,200(degree)WALKER INTERACTIVE SYSTEMS, INC .. 22 12,208(degree)WANG LABORATORIES, INC ........... 339 6,673(degree)WANG LABORATORIES, INC WTS 07/02/01 70 201,500(degree)WEST TELESERVICES CORP ........... 1,965 111,800(degree)WESTAFF, INC ..................... 699 2,617,261 WHARF HOLDINGS LTD ................. 3,817 134,962 #(degree)WHARF HOLDINGS LTD WTS 12/31/99 11 5,800(degree)WIND RIVER SYSTEMS, INC .......... 273 110,000 WM-DATA AB SERIES B ................ 4,695 692,000 WPP GROUP PLC ...................... 4,211 57,200 XTRA CORP .......................... 2,367 552,800(degree)YAHOO, INC ....................... 130,979 195,800(degree)YOUNG & RUBICAM, INC ............. 6,339 --------- 6,781,914 --------- CHEMICALS AND ALLIED PRODUCTS--12.50% 11,743,856 ABBOTT LABORATORIES CO ............. 575,449 221,600(degree)ADVANCED TISSUE SCIENCE CO ....... 575 79,647 AFRICAN OXYGEN LTD ................. 95 31,000 AGA AB SERIES A FREE ............... 411 340,300 AGA AB SERIES B FREE ............... 4,471 366,738(degree)AGOURON PHARMACEUTICALS, INC ..... 21,546 192,051 AGRIUM, INC ........................ 1,688 829,446 AIR PRODUCTS & CHEMICALS, INC ...... 33,178 849,480 AKZO NOBEL NV ...................... 38,701 144,806 ALBEMARLE CORP ..................... 3,439 22,700 ALBERTO CULVER CO (CLASS A) ........ 573 260,367 ALBERTO CULVER CO (CLASS B) ........ 6,949 1,000(degree)ALGOS PHARMACEUTICAL CORP ........ 26 85,200(degree)ALKERMES, INC .................... 1,890 30,372 (degree)ALLERGAN SPECIALTY THERAPEUTICS, INC (CLASS A) ....... 283 880,322 ALLERGAN, INC ...................... 57,001 26,200(degree)ALLIANCE PHARMACEUTICAL CORP ..... 86 22,900(degree)ALPHA BETA TECHNOLOGY, INC ....... 16 23,300 ALPHARMA, INC (CLASS A) ............ 823 600(degree)ALZA CORP ........................ 31 12,255,007 AMERICAN HOME PRODUCTS CORP ........ 690,110 2,078,700(degree)AMGEN, INC ....................... 217,354 77,500(degree)AMYLIN PHARMACEUTICALS, INC ...... 39 500(degree)APHTON CORP ...................... 6 84,349(degree)AQUILA BIOPHARMACEUTICALS, INC ... 327 2,556,000 ASAHI CHEMICAL INDUSTRY CO LTD ..... 12,213 3,989,336 ASTRA AB SERIES A FREE ............. 81,452 385,066 ASTRA AB SERIES B FREE ............. 7,838 205,500(degree)AVIRON, INC ...................... 5,317 1,094,488 AVON PRODUCTS, INC ................. 48,431 159,859(degree)AXYS PHARMACEUTICALS, INC ........ 939 1,000,000(degree)BANYU PHARMACEUTICAL CO LTD ...... 18,617 166,800(degree)BARR LABORATORIES, INC ........... 8,006 1,588,100 BASF AG. ........................... 60,641 1,822,450 BAYER AG. .......................... 76,100 135,200 BEIERSDORF AG. ..................... 9,335 730,200(degree)BIO-TECHNOLOGY GENERAL CORP ...... 5,066 904,700(degree)BIOGEN, INC ...................... 75,090 78,500(degree)BIOMATRIX, INC ................... 4,573 90,648 BLOCK DRUG, INC (CLASS A) .......... 3,932 2,167,918 BOC GROUP PLC ...................... 31,002 8,500(degree)BORDEN CHEMICALS & PLASTICS LTD .. 40 79,050(degree)BOSTON LIFE SCIENCES, INC ........ 257 8,192,822 BRISTOL MYERS SQUIBB CO ............ 1,096,302 712,500 CABOT CORP ......................... 19,905 144,881 CALGON CARBON CORP ................. 1,087 115,600 CAMBREX CORP ....................... 2,774 1,000(degree)CARBIDE/GRAPHITE GROUP, INC ...... 15 240,573 CARTER WALLACE, INC ................ 4,721 82,500 #CARTER WALLACE, INC (CLASS B) ...... 1,619 184,300(degree)CELL GENESYS, INC ................ 1,106 91,799(degree)CELL PATHWAYS, INC ............... 2,020 46,267(degree)CENTOCOR, INC .................... 2,088 208,300(degree)CEPHALON, INC .................... 1,875 60,400(degree)CHATTEM, INC ..................... 2,892 190,900 CHEMFIRST, INC ..................... 3,770 239,968(degree)CHIRON CORP ...................... 6,284 2,416,417(degree)CHIROSCIENCE GROUP PLC ........... 10,091 262,000 CHUGAI PHARMACEUTICAL CO LTD ....... 2,625 219,500 CHURCH & DWIGHT CO, INC ............ 7,888 4,000 CIN-CORPARACAO INDUSTRIAL DO NORTE S.A ...................... 160 232,174 CLOROX CO .......................... 27,121 1,623,723 COLGATE PALMOLIVE CO ............... 150,803 6,000(degree)COLUMBIA LABORATORIES, INC ....... 18 4,200(degree)COPLEY PHARMACEUTICAL, INC ....... 44 162,300(degree)COR THERAPEUTICS, INC ............ 2,150 11,100(degree)COULTER PHARMACEUTICAL, INC ...... 333 90,800(degree)CREATIVE BIOMOLECULES, INC ....... 335 1,695(degree)CRESCENDO PHARMACEUTICALS CORP ... 23 1,154,000(degree)CROMPTON & KNOWLES CORP .......... 23,873 150,000(degree)CYGNUS, INC ...................... 731 545,557(degree)CYTEC INDUSTRIES, INC ............ 11,593 280,582(degree)CYTOGEN CORP ..................... 237 1,431,000 DAICEL CHEMICAL INDUSTRIES LTD ..... 4,263 544,000 DAIICHI PHARMACEUTICAL CO LTD ...... 9,206 553,000 DAINIPPON INK & CHEMICAL, INC ...... 1,515 387,710(degree)DEGUSSA AG. ...................... 21,311 384,000 DENKI KAGKU KOGYO .................. 626 377,440 DEXTER CORP ........................ 11,866 39,316 DIAGNOSTIC PRODUCTS CORP ........... 1,224 18,507 DIAL CORP .......................... 534 1,466,400 DOW CHEMICAL CO .................... 133,351 9,730,626 DU PONT (E.I.) DE NEMOURS & CO ..... 516,331 1,900(degree)DURA PHARMACEUTICALS, INC ........ 29 27,100 DYNO INDUSTRIER AS ................. 402 176,700(degree)E-Z-EM, INC (CLASS A) ............ 1,082 231,367(degree)E-Z-EM, INC (CLASS B) ............ 1,186 42,548 EASTMAN CHEMICAL CO ................ 1,904 120,360(degree)ECOGEN, INC ...................... 203 1,000,500 ECOLAB, INC ........................ 36,206 188,036 EISAI CO LTD ....................... 3,667 1,027,191(degree)ELAN CORP PLC ADR ................ 71,454 119,049(degree)ELEMENTIS PLC .................... 165 267,029 ELF SANOFI S.A. .................... 43,977 7,700(degree)EMISPHERE TECHNOLOGIES, INC ...... 120 4,396(degree)ENZON, INC ....................... 59 21,563(degree)EPITOPE, INC ..................... 127 19,700 ETHYL CORP ......................... 115 9,000 FABRICA ESP DE PRODUCTO QUIMICO Y FARM .................... 146 581,171 FERRO CORP ......................... 15,110 750,267(degree)FMC CORP ......................... 42,015 See notes to financial statements. 20 VALUE SHARES (000) ------ -------- CHEMICALS AND ALLIED PRODUCTS--(CONTINUED) 192(degree)FOREST LABORATORIES, INC ......... $ 10 6,000(degree)FRENCH FRAGRANCES, INC ........... 44 38,200(degree)FUISZ TECHNOLOGIES LTD ........... 492 21,656 FULLER (H.B.) CO ................... 1,042 300(degree)GELTEX PHARMACEUTICALS, INC ...... 7 100(degree)GENENTECH, INC ................... 8 5,600 GENERAL CHEMICAL GROUP, INC ........ 78 468,681(degree)GENSIA SICOR, INC ................ 2,124 850,800(degree)GENZYME CORP (GENERAL DIVISION) .. 42,327 18,977(degree)GENZYME CORP (TISSUE REPAIR DIVISION) 43 117,612(degree)GENZYME-MOLECULAR ONCOLOGY ....... 382 326,020 GEON CO ............................ 7,498 456,781 GEORGIA GULF CORP .................. 7,337 100(degree)GILEAD SCIENCES, INC ............. 4 11,518,903 GLAXO WELLCOME PLC ................. 396,335 340,040(degree)GRACE W.R. & CO .................. 5,334 327,600 GREAT LAKES CHEMICAL CORP .......... 13,104 339,200 GREENCORE GROUP PLC ................ 1,568 12,300(degree)GUILFORD PHARMACEUTICALS, INC .... 175 737,844 HANNA (M.A.) CO .................... 9,085 1,568,100 HERCULES, INC ...................... 42,927 5,200(degree)HESKA CORP ....................... 23 451,700(degree)HUMAN GENOME SCIENCES, INC ....... 16,064 479 ICN PHARMACEUTICALS, INC ........... 11 1,900(degree)ICOS CORP ........................ 57 49,400(degree)IDEC PHARMACEUTICALS CORP ........ 2,322 87,900(degree)IDEXX LABORATORIES, INC .......... 2,365 1,397,937 IMC GLOBAL, INC .................... 29,881 54,157(degree)IMC GLOBAL, INC WTS 12/22/00 ..... 37 232,000(degree)IMCLONE SYSTEMS, INC ............. 2,103 242,500(degree)IMMUCOR, INC ..................... 2,122 228,600(degree)IMMUNE RESPONSE CORP ............. 2,486 196,100(degree)IMMUNEX CORP ..................... 24,672 339,000(degree)IMMUNOMEDICS, INC ................ 1,398 845,026 IMPERIAL CHEMICAL INDUSTRY PLC ..... 7,325 1,300(degree)INHALE THERAPEUTIC SYSTEMS ....... 43 244,900(degree)INTERNATIONAL SPECIALTY PRODUCTS, INC 3,321 145,600(degree)INTERNEURON PHARMACEUTICALS, INC . 478 1,053,647 INTERNATIONAL FLAVORS & FRAGRANCES, INC ................... 46,558 158,000(degree)ISHIHARA SANGYO KAISHA LTD ....... 259 35,200(degree)ISIS PHARMACEUTICALS, INC ........ 455 731,259(degree)IVAX CORP ........................ 9,095 10,320,526 JOHNSON & JOHNSON CO ............... 865,634 382,900 JONES PHARMACEUTICAL, INC .......... 13,976 81,000 KAKEN PHARMACEUTICAL CO LTD ........ 289 1,510,000 KANEKA CORP ........................ 11,338 411,000 KANSAI PAINT CO LTD ................ 1,195 4,282,055 KAO CORP ........................... 96,801 208,900 KEMIRA OY .......................... 1,506 75,000(degree)KING PHARMACEUTICALS, INC ........ 1,978 209,490 KISSEI PHARMACEUTICALS CO LTD ...... 3,705 168,900 KONISHI CO LTD ..................... 1,346 3,800(degree)KOS PHARMACEUTICALS, INC ......... 22 550,000 KUREHA CHEMICAL INDUSTRY CO LTD .... 1,438 29,300(degree)KV PHARMACEUTICAL CO (CLASS B) ... 606 1,195,000 KYOWA HAKKO KOGYO .................. 5,911 25,000 LABORATORIO CHILE ADR .............. 359 68,997 L'AIR LIQUIDE ...................... 12,660 26,958 #L'AIR LIQUIDE (REGD) 1996 .......... 4,946 5,693 #L'AIR LIQUIDE (REGD) 1999 .......... 1,045 177,223 LAUDER (ESTEE) CO (CLASS A) ........ 15,153 425,290 LAWTER INTERNATIONAL, INC .......... 4,944 70,655 LEARONAL, INC ...................... 2,393 611,600(degree)LIGAND PHARMACEUTICALS CO (CLASS A) 7,110 7,436,105 LILLY (ELI) & CO ................... 660,884 251,414 LILLY INDUSTRIES, INC (CLASS A) .... 5,013 655,000 LION CORP .......................... 2,735 286,000(degree)LIPOSOME CO, INC ................. 4,415 178,170 LOREAL S.A. ........................ 128,854 941,631 LUBRIZOL CORP ...................... 24,188 680,311 LYONDELL CHEMICAL CO ............... 12,246 55,200 MACDERMID, INC ..................... 2,160 112,000 MALAYSIAN OXYGEN BERHAD ............ 149 1,057,350 MALLINCKRODT, INC .................. 32,580 1,283,650 +(degree)MARTEK BIOSCIENCES CORP ..... 10,269 29,500(degree)MATRIX PHARMACEUTICALS, INC ...... 77 73,566(degree)MCWHORTER TECHNOLOGIES, INC ...... 1,683 403(degree)MEDCO RESEARCH, INC .............. 10 1,668(degree)MEDICIS PHARMACEUTICAL CORP (CLASS A) 99 107,200(degree)MEDIMMUNE, INC ................... 10,660 9,859,559 MERCK & CO, INC .................... 1,456,134 391,300 MERCK & CO KGAA .................... 17,620 95,900(degree)METHANEX CORP .................... 499 1,307,520 MILLENNIUM CHEMICAL, INC ........... 25,987 365,200(degree)MILLENNIUM PHARMACEUTICALS, INC .. 9,450 4,400 MINERALS TECHNOLOGIES, INC ......... 180 91,900(degree)MIRAVANT MEDICAL TECHNOLOGY ...... 1,183 347,477 MISSISSIPPI CHEMICAL CORP .......... 4,865 4,315,000 MITSUBISHI CHEMICAL CORP ........... 9,104 649,000 MITSUBISHI GAS CHEMICAL CO, INC .... 1,801 1,400 MITSUI CHEMICAL CORP ............... 5 1,150(degree)MOLECULAR BIOSYSTEMS, INC ........ 3 6,126,175 MONSANTO CO ........................ 290,993 14,875,050 MONTEDISON S.P.A. .................. 19,799 424,400 MORTON INTERNATIONAL, INC .......... 10,398 2,098,454 MYLAN LABORATORIES, INC ............ 66,101 13,300(degree)NABI, INC ........................ 36 21,100 NALCO CHEMICAL CORP ................ 654 252,400 NATURES SUNSHINE PRODUCTS, INC ..... 3,849 285,730(degree)NBTY, INC ........................ 2,036 22,100 NCH CORP ........................... 1,315 58,400(degree)NEOPROBE CORP .................... 42 50,000#(degree)NETGENICS , INC STOCK OPTIONS 03/20/08 70 48,500(degree)NEUROGEN CORP .................... 849 208,272(degree)NEXSTAR PHARMACEUTICALS, INC ..... 1,927 749,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD . 4,037 232,500 NL INDUSTRIES, INC ................. 3,299 2,377 NORIT NV ........................... 23 1,138(degree)NORTH AMERICAN VACCINE, INC ...... 10 26,300 NOVARTIS AG. (BR) .................. 51,700 192,848 NOVARTIS AG. (REGD) ................ 379,097 195,120 NOVO NORDISK AS (CLASS B) .......... 25,752 8,375(degree)OCTEL CORP ....................... 116 728,790 OLIN CORP .......................... 20,634 25,690 OM GROUP, INC ...................... 938 55,734(degree)OMEGA PROTEIN CORP ............... 564 427,900(degree)ORGANOGENESIS, INC ............... 4,814 166,883 ORICA LTD .......................... 869 5,400(degree)PATHOGENESIS CORP ................ 313 76,850(degree)PENWEST PHARMACEUTICALS CO ....... 480 243,280(degree)PERRIGO CO ....................... 2,144 10,738,896 PFIZER, INC ........................ 1,347,060 15,342(degree)PHARMACEUTICAL RESOURCES, INC .... 73 3,651,627 PHARMACIA & UPJOHN, INC ............ 206,773 6,400(degree)PHARMACYCLICS, INC ............... 163 1,752,893 PPG INDUSTRIES, INC ................ 102,106 696,780 PRAXAIR, INC ....................... 24,561 12,203,358 PROCTER & GAMBLE CO ................ 1,114,319 286,500(degree)PROTEIN DESIGN LABORATORIES, INC . 6,625 175,800(degree)REGENERON PHARMACEUTICALS, INC ... 1,297 244,300(degree)REPLIGEN CORP .................... 313 88,292(degree)REVLON, INC (CLASS A) ............ 1,451 388,600(degree)REXALL SUNDOWN, INC .............. 5,440 200,000(degree)RHODIA S.A. ...................... 3,043 842,172 RHONE-POULENC S.A. (CLASS A) ....... 43,358 62,700(degree)RIBOZYME PHARMACEUTICALS, INC .... 274 See notes to financial statements. 21 VALUE SHARES (000) ------ -------- CHEMICALS AND ALLIED PRODUCTS--(CONTINUED) 8,000 RIKEN VITAMIN CO LTD ............... $ 71 342,800(degree)ROBERTS PHARMACEUTICAL CORP ...... 7,456 1,369 ROCHE HOLDINGS AG. (BR) ............ 24,794 29,265 ROCHE HOLDINGS AG. (GENUSSCHEINE) .. 357,103 87,100 (degree)ROGERS CORP ................. 2,602 1,763,785 ROHM & HAAS CO ..................... 53,134 2,057 RPM, INC ........................... 33 1,500(degree)SANGSTAT MEDICAL CORP ............ 32 1,519,196 SANKYO CO LTD ...................... 33,266 625,500(degree)SANTEN PHARMACEUTICAL CO LTD ..... 12,033 164,000(degree)SANYO CHEMICAL INDUSTRIES LTD .... 1,525 800(degree)SCHEIN PHARMACEUTICAL, INC ....... 12 109,470 SCHERING AG. ....................... 13,753 10,200,312 SCHERING-PLOUGH CORP ............... 563,567 590,577 SCHULMAN (A.), INC ................. 13,399 203,600(degree)SCOTTS CO (CLASS A) .............. 7,826 1,084,000 SEKISUI CHEMICAL CO LTD ............ 7,304 157,800(degree)SEQUUS PHARMACEUTICALS, INC ...... 3,195 6,900(degree)SEROLOGICALS CORP ................ 207 67,800 SHERWIN-WILLIAMS CO ................ 1,992 1,921,745 SHIN-ETSU CHEMICAL CO LTD .......... 46,340 686,000 SHIONOGI & CO LTD .................. 5,029 368,340 SHISEIDO & CO LTD .................. 4,741 430,000 SHOWA DENKO K.K. ................... 377 12,000 SIGMA ALDRICH CORP ................. 353 130 SIKA FINANZ AG. (BR) ............... 39 15,882,244 SMITHKLINE BEECHAM PLC ............. 221,969 9,191,490 SNIA BDP S.P.A. .................... 14,492 72,000 SOCIEDAD QUIMICA Y MINERA DE CHILE ADR 2,426 135,650 SOLVAY ET CIE S.A. ................. 10,227 71,964 SOMMER-ALLIBERT .................... 1,947 700(degree)SONUS PHARMACEUTICALS, INC ....... 5 21,185 STEPAN CO .......................... 564 57,800(degree)SUGEN, INC ....................... 853 3,050,000 SUMITOMO CHEMICAL CO LTD ........... 11,897 800(degree)SUPERGEN, INC .................... 7 26,475 SYNTHELABO S.A. .................... 5,607 517,000 TAISHO PHARMACEUTICAL CO LTD ....... 14,254 2,452,000 TAKEDA CHEMICAL INDUSTRIES LTD ..... 94,558 700(degree)TECHNE CORP ...................... 15 3,640,000(degree)TEIJIN LTD ....................... 13,424 1,000 TEIKOKU HORMONE MANUFACTURING ...... 6 327,200(degree)THERAGENICS CORP ................. 5,501 34,800(degree)THERATECH, INC ................... 566 6,704(degree)THERMOLASE CORP .................. 31 2,719,000 TORAY INDUSTRIES, INC .............. 14,222 298,000 TOSOH CORP ......................... 428 1,700(degree)TRANSKARYOTIC THERAPIES, INC ..... 43 64,300(degree)TRIANGLE PHARMACEUTICALS, INC .... 876 78,400(degree)TWINLAB CORP ..................... 1,029 401,228(degree)U.S. BIOSCIENCE, INC ............. 2,884 72,900(degree)U.S.A. DETERGENTS, INC ........... 529 416,000 UBE INDUSTRIES LTD ................. 631 2,361 UCB S.A. ........................... 14,570 7,888 UNION CARBIDE CORP ................. 335 56,300 VALSPAR CORP ....................... 2,101 6,800(degree)VERTEX PHARMACEUTICALS, INC ...... 202 106,500(degree)VICAL, INC ....................... 1,511 13,900(degree)VIROPHARMA, INC .................. 129 5,515,947 WARNER-LAMBERT CO .................. 414,730 1,158,238(degree)WATSON PHARMACEUTICALS, INC ...... 72,824 116,300 WELLMAN, INC ....................... 1,185 7,209 WITCO CORP ......................... 115 23,103(degree)XOMA CORP ........................ 74 1,648,849 YAMANOUCHI PHARMACEUTICAL CO LTD ... 53,207 1,770,979 ZENECA GROUP PLC ................... 77,111 75,000 ZENECA GROUP PLC ADR ............... 3,366 50,900(degree)ZILA, INC ........................ 503 16,292 ZODIAC S.A. ........................ 3,494 120,900(degree)ZONAGEN, INC ..................... 2,312 ---------- 14,541,458 ---------- COAL MINING--0.00% 161,466 ARCH COAL, INC ..................... 2,765 2,156 HULLAS DEL COTO CORTES S.A. ........ 41 307,374 QCT RESOURCES LTD .................. 185 593,000 WANKIE COLLIERY CO LTD ............. 27 ---------- 3,018 ---------- COMMUNICATIONS--12.08% 111,000(degree)@ENTERTAINMENT, INC .............. 749 183,100(degree)ADELPHIA COMMUNICATIONS CORP (CLASS A) .................... 8,377 2,900(degree)AERIAL COMMUNICATIONS, INC ....... 17 121,000 AIPHONE CO LTD ..................... 1,073 3,676,815(degree)AIRTOUCH COMMUNICATIONS, INC ..... 265,190 376,190 ALCATEL ............................ 46,062 1,110(degree)ALCATEL S.A. ADR ................. 27 479,400 ALIANT COMMUNICATIONS, INC ......... 19,595 1,530,143 ALLTEL CORP ........................ 91,522 192,600(degree)AMERICAN MOBILE SATELLITE CORP ... 1,011 13,211,753 AMERITECH CORP ..................... 837,295 230 #(degree)ANTENA 3 DE TELEVISION GDS .. 6,733 60,600(degree)ARCH COMMUNICATIONS GROUP, INC ... 87 384,766(degree)ASCENT ENTERTAINMENT GROUP, INC .. 2,838 12,000 ASIA SATELLITE TELECOM HOLDINGS LTD 21 672(degree)ASSOCIATED GROUP, INC (CLASS A) .. 29 462,300(degree)ASSOCIATED GROUP, INC (CLASS B) .. 19,648 25,628,547 AT & T CORP ........................ 1,928,548 1,472,642 BCE, INC ........................... 55,464 13,402,214 BELL ATLANTIC CORP ................. 710,317 13,481,632 BELLSOUTH CORP ..................... 672,396 74,355 BHC COMMUNICATIONS, INC (CLASS A) .. 9,071 3,389,709 BRITISH SKY BROADCASTING GROUP PLC . 25,746 17,689,369 BRITISH TELECOMMUNICATIONS PLC ..... 266,503 5,320,337(degree)CABLE & WIRELESS COMMUNICATIONS PLC 48,597 4,385,985 CABLE & WIRELESS PLC ............... 53,928 1,550,600(degree)CABLEVISION SYSTEMS CORP (CLASS A) 77,821 27,574 CANAL PLUS S.A. .................... 7,528 123,800(degree)CAPSTAR BROADCASTING CORP (CLASS A) 2,832 944,876 CARLTON COMMUNICATIONS PLC ......... 8,694 10,138,007 CBS CORP ........................... 332,020 187,100(degree)CD RADIO, INC .................... 6,408 901 (degree)CELLULAR COMMUNICATIONS INTERNATIONAL , INC ............... 61 184,783(degree)CELLULAR COMMUNICATIONS OF PUERTO RICO ....................... 3,418 259,500(degree)CENTENNIAL CELLULAR CORP (CLASS A) 10,640 171,400 (degree)CENTURY COMMUNICATIONS CORP (CLASS A) .................... 5,437 1,127,100 CENTURY TELEPHONE ENTERPRISES, INC . 76,079 47,000 CFW COMMUNICATIONS CO .............. 1,099 2,199,100(degree)CHANCELLOR MEDIA CORP (CLASS A) .. 105,282 392(degree)CHRIS CRAFT INDUSTRIES, INC ...... 19 1,218,200 CIA DE TELECOMMUNICACIONES CHILE ADR 25,202 1,969,479 CINCINNATI BELL, INC ............... 74,471 2,793,061(degree)CLEAR CHANNEL COMMUNICATIONS, INC 152,222 735,000(degree)COLT TELECOM GROUP PLC ........... 10,963 750,000(degree)COLT TELECOM GROUP PLC ADR ....... 44,906 36,700(degree)COM21, INC ....................... 771 688,900 COMCAST CORP (CLASS A) ............. 39,569 1,921,335 COMCAST CORP (CLASS A) SPECIAL ..... 112,758 70,233(degree)COMMONWEALTH TELEPHONE ENTERPRISES 2,353 1,800 COMSAT CORP SERIES 1 ............... 65 1,000(degree)CONCENTRIC NETWORK CORP .......... 33 86,383(degree)CORECOMM LTD ..................... 1,361 607,589(degree)COX COMMUNICATIONS, INC (CLASS A) 42,000 72,100(degree)COX RADIO, INC (CLASS A) ......... 3,046 See notes to financial statements. 22 VALUE SHARES (000) ------ -------- COMMUNICATIONS--(CONTINUED) 12,500(degree)CROWN CASTLE INTERNATIONAL CORP .. $ 294 5,316,400 DEUTSCHE TELEKOM AG. ............... 174,915 166,066(degree)DIMENSION DATA HOLDINGS LTD ...... 706 1,200(degree)E.SPIRE COMMUNICATIONS, INC ...... 8 146,400(degree)ELECTRIC LIGHTWAVE (CLASS A) ..... 1,199 5,230,000(degree)EMBRATEL PARTICIPACOES S.A. ...... 45 12,100(degree)EMMIS COMMUNICATIONS (CLASS A) ... 525 437,000(degree)ENERGIS PLC ...................... 9,779 6,046,217 ERICSSON TELEFON (LM) AB SERIES B .. 143,961 155,000(degree)ESPRIT TELECOM GROUP PLC ADR ..... 7,246 115,000(degree)EXODUS COMMUNICATIONS, INC ....... 7,389 2,157,276 FRANCE TELECOM S.A. ................ 171,464 564,096 FRONTIER CORP ...................... 19,179 744,000 FUJIKURA LTD ....................... 3,997 23,506 GAYLORD ENTERTAINMENT CO ........... 708 148,000(degree)GENERAL COMMUNICATIONS (CLASS A) . 601 600(degree)GLOBAL TELESYSTEMS GROUP, INC .... 33 47,750 GN STORE NORD AS-GN GREAT NORDIC ... 1,688 2,500 GRAY COMMUNICATIONS SYSTEMS, INC ... 46 7,166,962 GTE CORP ........................... 465,853 327,400(degree)HEARST-ARGYLE TELEVISION, INC .... 10,804 51,000(degree)HEFTEL BROADCASTING CORP (CLASS A) 2,512 107,100(degree)HIGHWAYMASTER COMMUNICATIONS, INC 120 16,980,510 HONG KONG TELECOMMUNICATIONS LTD ... 29,699 400,000(degree)HYPERION TELECOMMUNICATIONS, INC (CLASS A) ......................... 6,050 194,125(degree)ICG COMMUNICATIONS, INC .......... 4,174 163,400(degree)IDT CORP ......................... 2,512 81,789(degree)INTERMEDIA COMMUNICATIONS, INC ... 1,411 93,100(degree)ITC DELTACOM, INC ................ 1,420 6,600(degree)JACOR COMMUNICATIONS, INC ........ 425 214,700(degree)JACOR COMMUNICATIONS, INC WTS 09/18/01 ...................... 1,718 86,500(degree)JONES INTERCABLE, INC (CLASS A) .. 3,082 1,035,418 KONINKLIJKE KPN NV ................. 51,862 7,000(degree)LCC INTERNATIONAL, INC (CLASS A) . 26 156,067(degree)LEAP WIRELESS INTERNATIONAL, INC . 1,131 1,060,700(degree)LEVEL 3 COMMUNICATIONS, INC ...... 45,743 2,144,194(degree)LIBERTY MEDIA GROUP (CLASS A) .... 98,767 4,900(degree)LIGHTBRIDGE, INC ................. 27 600(degree)LORAL SPACE & COMMUNICATIONS LTD . 11 11,009,126 LUCENT TECHNOLOGIES, INC ........... 1,211,004 350,000 MAHANAGAR TELEPHONE NIGAM LTD GDR .. 4,270 20,505,551(degree)MCI WORLDCOM, INC ................ 1,471,273 34,800(degree)MCLEODUSA, INC (CLASS A) ......... 1,088 3,774,546(degree)MEDIA ONE GROUP, INC ............. 177,404 1,842,830 MEDIASET S.P.A. .................... 14,974 26,200(degree)METROCALL, INC ................... 115 7,100(degree)METROMEDIA FIBER NETWORK (CLASS A) 238 57,200(degree)MGC COMMUNICATIONS, INC .......... 400 723(degree)MILLICOM INTERNATIONAL CELLULAR S.A. 25 4,700(degree)MITEL CORP ....................... 34 254,200(degree)NETCOM AB SERIES B ............... 10,349 8,400(degree)NEXTEL COMMUNICATIONS, INC (CLASS A) 198 68,100(degree)NEXTLINK COMMUNICATIONS, INC ..... 1,932 66,000 NIPPON COMSYS CORP ................. 900 35,621 NIPPON TELEGRAPH & TELEPHONE CORP .. 275,367 18,920 NIPPON TELEVISION NETWORK CORP ..... 5,585 700 NORTH PITTSBURGH SYSTEMS, INC ...... 9 350,022(degree)NTL, INC ......................... 19,754 514(degree)NTT MOBILE COMMUNICATIONS ........ 21,189 1,459,000(degree)OMNIPOINT CORP ................... 13,587 9,600(degree)PACIFIC GATEWAY EXCHANGE, INC .... 461 106,400(degree)PAGEMART WIRELESS, INC (CLASS A) . 592 1,538,600(degree)PAGING NETWORK, INC .............. 7,212 38,000(degree)PANAFON HELLENIC TELECOM GDR ..... 1,010 942(degree)PANAMSAT CORP .................... 37 36,500(degree)PAXSON COMMUNICATIONS CORP ....... 335 2,300(degree)PEGASUS COMMUNICATIONS CORP ...... 58 500(degree)PERPHONICS CORP .................. 7 94,400(degree)PLD TELEKOM, INC ................. 171 332,495 PORTUGAL TELECOM S.A. .............. 15,245 162,700(degree)POWERTEL, INC .................... 2,207 535,516(degree)PREMIERE TECHNOLOGIES, INC ....... 3,949 600,000(degree)PRICE COMMUNICATIONS CORP ........ 7,763 1,900(degree)PRIMUS TELECOMMUNICATIONS GROUP, INC 31 28,313(degree)QWEST COMMUNICATIONS INTERNATIONAL , INC ............... 1,416 554,500(degree)RCN CORP ......................... 9,808 477,400(degree)ROGERS COMMUNICATIONS, INC (CLASS B) 4,243 125,000(degree)RSL COMMUNICATIONS LTD (CLASS A) . 3,688 23,231,844 SBC COMMUNICATIONS, INC ............ 1,245,808 8,126,200 SINGAPORE TELECOMMUNICATIONS LTD ... 12,411 1,090,600(degree)SKYTEL COMMUNICATIONS, INC ....... 24,130 93,200(degree)SMARTALK TELESERVICES, INC ....... 248 700,000 SMARTONE TELECOMMUNICATIONS HOLDINGS LTD ...................... 1,943 1,292,059(degree)SONERA GROUP OYJ ................. 22,966 1,886,901 SPRINT CORP (FON GROUP) ............ 158,736 1,124,600(degree)SPRINT CORP (PCS GROUP) .......... 26,006 1,615(degree)STAR TELECOMMUNICATIONS, INC ..... 20 367,600(degree)SWISSCOM AG. (REGD) .............. 153,892 565,200 TCA CABLE TV, INC .................. 20,171 1,070,449(degree)TCI SATELLITE ENTERTAINMENT (CLASS A) 1,539 1,044,000 TECHNOLOGY RESOURCES INDUSTRIES BERHAD ................. 381 2,000(degree)TEL-SAVE.COM, INC ................ 34 146,300 TELE DANMARK AS .................... 19,746 3,082,930(degree)TELE-COMMUNICATIONS, INC (CLASS A) 170,525 5,230,000 TELEBRAS S.A. ...................... 0 735,000(degree)TELEC DE SAO PAULO S.A. .......... 63 5,230,000(degree)TELECENTRO-SUL PARTICIPACOES S.A. 35 5,230,000(degree)TELECENTROESTE CELULAR PART S.A. . 4 7,824,460 TELECOM CORP OF NEW ZEALAND ........ 34,103 18,118,681 TELECOM ITALIA ..................... 154,919 32,085,696 TELECOM ITALIA MOBILE S.P.A. ....... 225,566 4,226,386 TELECOM ITALIA RISP ................ 26,654 3,212,734(degree)TELECOM-TCI VENTURES GROUP (CLASS A) 75,700 1,191,441 TELEFONICA DE ARGENTINA S.A. (CLASS B) 3,399 2,839,999 TELEFONICA DE ESPANA S.A. .......... 126,471 2,290,000 TELEFONOS DE MEXICO S.A. SERIES L .. 5,650 130,827(degree)TELEGLOBE, INC (U.S.A.) .......... 4,710 108,700(degree)TELEGROUP, INC ................... 143 3,091,500 TELEKOM MALAYSIA BERHAD ............ 5,693 5,230,000(degree)TELELESTE CELULAR PARTICIPACOES S.A. 2 5,230,000(degree)TELEORDESTE CELULAR PARTICIPACOES S.A 3 5,230,000(degree)TELENORTE CELULAR PARTICIPACOES S.A. 2 5,230,000(degree)TELENORTE-LESTE PARTICIPACOES S.A. 43 5,230,000(degree)TELEMIG CELULAR PARTICIPACOES S.A. 4 246 TELEPHONE & DATA SYSTEMS, INC ...... 11 5,230,000(degree)TELESP CELULAR PARTICIPACOES S.A. 23 5,230,000(degree)TELESP PARTICIPACOES S.A. ........ 67 5,230,000(degree)TELESUDESTE CELULAR PARTICIPACOES S.A. 15 5,230,000(degree)TELESUL CELULAR PARTICIPACOES S.A. 5 887,700 TELEVISION BROADCASTS LTD .......... 2,292 6,000(degree)TELIGENT, INC .................... 173 8,077,606(degree)TELSTRA CORP ..................... 37,805 270,600 TELUS CORP ......................... 5,726 223,000 TOKYO BROADCASTING SYSTEMS, INC .... 2,497 107,900(degree)TRANSACTION NETWORK SERVICES, INC 2,165 2,221(degree)U.S. CELLULAR CORP ............... 84 112,500(degree)U.S. LEC CORP (CLASS A) .......... 1,666 110,500(degree)U.S. SATELLITE BROADCASTING, INC (CLASS A) ......................... 1,519 4,232,967 U.S. WEST, INC ..................... 273,555 688,134(degree)U.S.A. NETWORKS, INC ............. 22,794 41,100(degree)UNITED INTERNATIONAL HOLDINGS, INC 791 See notes to financial statements. 23 VALUE SHARES (000) ------ -------- COMMUNICATIONS--(CONTINUED) 332,200 UNITED TELEVISION, INC ............. $ 38,203 299,900(degree)UNITED VIDEO SATELLITE GROUP, INC 7,085 310,935(degree)UNIVISION COMMUNICATIONS, INC .... 11,252 64,500(degree)USN COMMUNICATIONS, INC .......... 12 339,900(degree)VANGUARD CELLULAR SYSTEMS, INC ... 8,774 453,987(degree)VIACOM, INC (CLASS A) ............ 33,396 1,609,809(degree)VIACOM, INC (CLASS B) ............ 119,126 147,686(degree)VIACOM, INC (CLASS B) WTS 07/07/99 1,689 890,300(degree)VIATEL, INC ...................... 20,366 149,750 VIDESH SANCHAR NIGAM LTD (SPONS GDR) 1,834 9,603,674 VODAFONE GROUP PLC ................. 155,951 626,100(degree)WESTERN WIRELESS CORP (CLASS A) .. 13,774 200(degree)WINSTAR COMMUNICATIONS, INC ...... 8 11,600(degree)YOUNG BROADCASTING, INC (CLASS A) 486 ---------- 14,061,824 ---------- DEPOSITORY INSTITUTIONS--9.44% 3,224,052(degree)ABBEY NATIONAL PLC ............... 69,037 3,901,616(degree)ABN-AMRO HOLDINGS NV ............. 82,120 193,799 ABSA GROUP LTD ..................... 919 5,400 ALABAMA NATIONAL BANCORP ........... 144 415,095 ALLIED IRISH BANK .................. 7,390 2,204,300(degree)ALLIED IRISH BANK PLC ............ 39,538 221 ALLIED IRISH BANK PLC (SPONS ADR) .. 24 120,100 AMCORE FINANCIAL, INC .............. 2,749 362,800 AMMB HOLDINGS BERHAD ............... 299 962,105 AMSOUTH BANCORP .................... 43,896 571,900 ANCHOR BANCORP WISCONSIN, INC ...... 13,726 400 ANDOVER BANCORP, INC ............... 14 277,200(degree)APPLIED INTERNATIONAL HOLDINGS LTD WTS 12/30/99 .................. 0 11,600 AREA BANCSHARES CORP ............... 305 1,708,400 ARGENTARIA, CAJA POSTAL Y BCO HIPOTECA 44,309 4,419,486 ASAHI BANK LTD ..................... 16,220 747,000 ASHIKAGA BANK LTD .................. 1,338 1,236,716 ASSOCIATED BANC-CORP ............... 42,280 795,080 ASTORIA FINANCIAL CORP ............. 36,375 1,653,808 AUSTRALIAN & NEW ZEALAND BANKING GROUP LTD ................. 10,834 4,909,090(degree)BANCA COMMERCIALE ITALIANA S.P.A. 33,936 2,717,210(degree)BANCA INTESA S.P.A. .............. 16,337 5,840,420(degree)BANCA INTESA S.P.A. RISP ......... 17,850 5,000(degree)BANCA POPOLARE DI BRESCIA ........ 122 2,630,500 BANCA POPOLARE DI MILANO ........... 23,927 1,000 BANCFIRST CORP ..................... 36 5,800 BANCFIRST OHIO CORP ................ 176 64,880(degree)BANCO AMBROSIANO VENETO RISP WTS 05/31/02 ...................... 44 843,540(degree)BANCO AMBROSIANO VENETO WTS 05/31/02 1,067 4,650,100 BANCO BILBAO VIZCAYA S.A. (REGD) ... 73,019 5,746,641 BANCO CENTRALE HISPANOAMERICANO S.A. 68,337 489,632 BANCO COMERCIAL PORTUGUES S.A. (REGD) 15,053 38,600 BANCO DE A. EDWARDS S.P.A. ADR ..... 425 252,881 BANCO DE GALICIA BUENOS AIRES S.A. SERIES A .......................... 1,114 5,123 BANCO DE GALICIA Y BUENOS AIRES ADR 90 50,000(degree)BANCO DI NAPOLI .................. 71 290,787 BANCO ESPIRITO SANTO E COMERCIAL ... 9,025 129,261 BANCO FRANCES S.A. ................. 919 5,000(degree)BANCO INTERCONTINENTAL ESPANOLA S.A. 185 12,720(degree)BANCO PINTO & SOTTO MAYOR S.A. ... 241 2,345,296 BANCO SANTANDER S.A. ............... 46,676 175,000 BANCO SANTIAGO ADR ................. 2,603 246,551 BANCORPSOUTH, INC .................. 4,453 330,200 BANCWEST CORP ...................... 15,850 171,570(degree)BANK AUSTRIA AG. ................. 8,729 1,420,990 BANK OF EAST ASIA LTD .............. 2,476 9,200 BANK OF GRANITE CORP ............... 254 609,700 BANK OF MONTREAL ................... 24,491 5,621,672 BANK OF NEW YORK CO, INC ........... 226,272 1,129,744 BANK OF NOVA SCOTIA ................ 24,823 1,900 BANK OF OKINAWA LTD ................ 41 9,947,830 BANK OF TOKYO MITSUBISHI LTD ....... 103,182 3,588,000 BANK OF YOKOHAMA LTD ............... 8,620 11,012,450 BANK ONE CORP ...................... 562,323 3,000(degree)BANK PLUS CORP ................... 13 270,500 BANK UNITED CORP (CLASS A) ......... 10,617 17,365,257 BANKAMERICA CORP ................... 1,044,086 2,850 BANKATLANTIC BANCORP, INC (CLASS A) 18 85,100 BANKATLANTIC BANCORP, INC (CLASS B) 606 2,784,900 BANKBOSTON CORP .................... 108,437 949,718 BANKERS TRUST CORP ................. 81,142 112,700 BANKNORTH GROUP, INC ............... 4,240 698,857(degree)BANQUE NATIONALE DE PARIS ........ 57,573 4,144,344(degree)BARCLAYS PLC ..................... 89,364 825,802 BAY VIEW CAPITAL CORP .............. 17,910 1,789,204(degree)BAYERISCHE HYPO-UND VEREINSBANK AG. 140,184 1,466,301 BB&T CORP .......................... 59,110 954,000(degree)BHF-BANK AG. ..................... 38,375 11,124(degree)BOK FINANCIAL CORP ............... 524 192,400 BPI-SGPS S.A. (REGD) ............... 6,529 9,096,185(degree)BRADESCO S.A. RTS ................ 5 43,440 BRENTON BANKS, INC ................. 728 16,200 BSB BANCORP, INC ................... 533 4,600 BT FINANCIAL CORP .................. 126 73,900(degree)CALIFORNIA FEDERAL BANK .......... 896 134,720 (degree)CALIFORNIA FEDERAL BANK GOODWILL CERT ..................... 1,667 932,957 CANADIAN IMPERIAL BANK OF COMMERCE .......................... 23,081 800 CAROLINA FIRST CORP ................ 20 8,000 CATHAY BANCORP, INC ................ 328 389,800 CCB FINANCIAL CORP ................. 22,219 17,200(degree)CENTENNIAL BANCORP ............... 323 86,100 CENTURA BANKS, INC ................. 6,404 2,500 CENTURY SOUTH BANKS, INC ........... 70 10,000 CFSB BANCORP, INC .................. 244 5,565,977 CHARTER ONE FINANCIAL, INC ......... 154,456 7,762,087 CHASE MANHATTAN CORP ............... 528,307 4,000 CHEMICAL FINANCIAL CORP ............ 136 1,574,540 CHIBA BANK LTD ..................... 6,267 92,350 CHITTENDEN CORP .................... 2,955 2,609,900(degree)CHRISTIANIA BANK OG KREDITKASSE .. 9,043 59,700 CITIZENS BANKING CORP (MICHIGAN) ... 2,015 24,300 CITY NATIONAL CORP ................. 1,011 61,738 CNB BANCSHARES, INC ................ 2,879 350,100 COLONIAL BANCGROUP, INC ............ 4,201 1,606,808 COMERICA, INC ...................... 109,564 746,666 COMMERCE ASSET HOLDINGS BERHAD ..... 404 270,182 COMMERCE BANCORP, INC .............. 14,185 160,108 COMMERCE BANCSHARES, INC ........... 6,805 22,375 COMMERCIAL FEDERAL CORP ............ 519 817,000 COMMONWEALTH BANK OF AUSTRALIA LTD . 11,608 48,600 COMMUNITY BANK SYSTEM, INC ......... 1,425 179,900 COMMUNITY FIRST BANKSHARES, INC .... 3,789 48,100 COMMUNITY TRUST BANCORP, INC ....... 1,130 763,300 COMPASS BANCSHARES, INC ............ 29,053 558,055(degree)CONCORD EFS, INC ................. 23,648 31,300 CORUS BANKSHARES, INC .............. 1,009 25,279(degree)CREDIT COMMERCIAL DE FRANCE S.A. . 2,349 696,438 CREDIT SUISSE GROUP (REGD) ......... 109,017 693,307 CRESTAR FINANCIAL CORP ............. 49,918 1 #CRESTARAN INTERNATIONAL INVESTMENT BV ..................... 0 311,600 CULLEN FROST BANKERS, INC .......... 17,099 20,795 CVB FINANCIAL CORP ................. 468 33,700 D & N FINANCIAL CORP ............... 796 1,645,000 DAO HENG BANK GROUP LTD ............ 5,085 See notes to financial statements. 24 VALUE SHARES (000) ------ -------- DEPOSITORY INSTITUTIONS--(CONTINUED) 170,400(degree)DEN DANSKE BANK AF 1871 .......... $22,891 3,512,000 DEN NORSKE BANK ASA ................ 12,123 1,192,930 DEUTSCHE BANK AG. .................. 70,225 814,325 DEVELOPMENT BANK OF SINGAPORE LTD (FR) ................ 7,354 1,765,500 DIME BANCORP, INC .................. 46,675 124,700 DIME COMMUNITY BANCORP, INC ........ 2,572 38,295 DOWNEY FINANCIAL CORP .............. 974 936,860(degree)DRESDNER BANK AG. ................ 39,373 20,000 #(degree)EAST-WEST BANKING CORP ...... 185 5,000 EVERGREEN BANCORP, INC ............. 161 15,300 F & M BANCORP, INC (MARYLAND) ...... 501 32,020 F & M BANCORP, INC (WISCONSIN) ..... 969 88,600 F & M NATIONAL CORP ................ 2,652 25,180 F.N.B. CORP ........................ 711 3,000 FARMERS CAPITAL BANK CORP .......... 113 976,349 FIFTH THIRD BANCORP ................ 69,626 367,433 FIRST AMERICAN CORP ................ 16,305 172,000 FIRST BANCORP (PUERTO RICO) ........ 5,192 10,200 FIRST CHARTER CORP ................. 176 20,500 FIRST CITIZENS BANCSHARES, INC (CLASS A) 1,845 500 FIRST COMMERCE BANCSHARES, INC ..... 14 84,171 FIRST COMMONWEALTH FINANCIAL CORP .. 2,062 48,000 FIRST FEDERAL CAPITAL CORP ......... 786 74,580(degree)FIRST FINANCIAL BANCORP .......... 2,158 920 FIRST FINANCIAL BANKSHARES, INC .... 32 2,800 FIRST FINANCIAL CORP (INDIANA) ..... 138 17,400 FIRST FINANCIAL HOLDINGS, INC ...... 331 29,100 FIRST INDIANA CORP ................. 582 26,100 FIRST LIBERTY FINANCIAL CORP ....... 548 12,450 FIRST MERCHANTS CORP ............... 325 370,005 FIRST MIDWEST BANCORP, INC ......... 14,083 74,500(degree)FIRST REPUBLIC BANK .............. 1,867 1,830,968 FIRST SECURITY CORP ................ 42,799 1,700 FIRST SENTINEL BANCORP, INC ........ 14 10,700 FIRST SOURCE CORP .................. 358 1,216,200 FIRST TENNESSEE NATIONAL CORP ...... 46,292 6,859,549 FIRST UNION CORP ................... 417,146 44,800 FIRST UNITED BANCSHARES, INC ....... 795 420,925 FIRST VIRGINIA BANKS, INC .......... 19,783 41,960 FIRST WASHINGTON BANCORP, INC ...... 1,007 43,004 FIRST WESTERN BANCORP, INC ......... 1,365 693,285 FIRSTAR CORP ....................... 64,649 333,900(degree)FIRSTFED FINANCIAL CORP .......... 5,968 425,600 FIRSTMERIT CORP .................... 11,438 76,900 FLAGSTAR BANCORP, INC .............. 2,009 9,334,746 FLEET FINANCIAL GROUP, INC ......... 417,146 849,000(degree)FORENINGSSPARBANKEN AB ........... 21,995 7,644,000(degree)FPB BANK HOLDINGS CO LTD ......... 1,845 200(degree)FRONTIER FINANCIAL CORP .......... 9 3,694,334 FUJI BANK LTD ...................... 13,624 197,550 FULTON FINANCIAL CORP .............. 4,445 104,500 GBC BANCORP ........................ 2,691 267,000(degree)GOLD ZACK AG. .................... 42,480 750,000(degree)GOLDEN STATE BANCORP, INC ........ 12,469 731,200(degree)GOLDEN STATE BANCORP, INC WTS 01/01/01 3,336 652,500 GOLDEN WEST FINANCIAL CORP ......... 59,826 34,540 GRAND PREMIER FINANCIAL, INC ....... 423 100 GREATER BAY BANCORP ................ 3 194,400 GREENPOINT FINANCIAL CORP .......... 6,828 159,506(degree)GRUPO FINANCIERO BANAMEX ACCIVAL S.A. DE CV SERIES L ............... 184 817,000 GUNMA BANK LTD ..................... 6,497 29,200(degree)HAMILTON BANCORP, INC ............ 779 26,000 HANCOCK HOLDINGS CO ................ 1,183 2,689,259 HANG SENG BANK LTD ................. 24,038 6,009 HARBOR FLORIDA BANCSHARES, INC ..... 67 5,700 HARLEYSVILLE NATIONAL CORP ......... 222 3,800 HARRIS FINANCIAL, INC .............. 52 639,011 HIBERNIA CORP (CLASS A) ............ 11,103 460,000 HIGO FAMILY BANK LTD ............... 2,108 2,651,000(degree)HOKURIKU BANK LTD ................ 4,771 6,000 HORIZON BANCORP, INC ............... 204 3,062,774 HSBC HOLDINGS PLC .................. 77,457 1,129,660 HSBC HOLDINGS PLC (H.K.) ........... 28,142 751,549 HSBC HOLDINGS LTD (U.K.) ........... 20,382 411,557 HUBCO, INC ......................... 12,398 1,212,996 HUNTINGTON BANCSHARES, INC ......... 36,466 1,304,116(degree)IMPERIAL BANCORP ................. 21,681 500 INDEPENDENCE COMMUNITY BANK CORP ... 8 40,600 INDEPENDENT BANK CORP .............. 705 4,352,223 INDUSTRIAL BANK OF JAPAN LTD ....... 20,102 37,400 INTERNATIONAL BANCSHARES CORP ...... 1,893 30,950 INTERWEST BANCORP, INC ............. 685 25,400 INVESTEC GROUP LTD ................. 864 29,800 IRWIN FINANCIAL CORP ............... 810 700 JEFFBANKS, INC ..................... 14 6,600 JEFFERSON SAVINGS BANCORP, INC ..... 87 819,305 JOYO BANK .......................... 3,210 23,646 JSB FINANCIAL, INC ................. 1,286 816,025(degree)KBC BANCASSURANCE HOLDINGS NV .... 64,610 5,721,040 KEYCORP ............................ 183,073 121,932 KEYSTONE FINANCIAL, INC ............ 4,511 93,200#(degree)KUMAGI GUMI WTS 12/31/99 ........ 7 2,512,000(degree)KWONG ON BANK LTD ................ 2,967 12,669,029(degree)LLOYDS TSB GROUP PLC ............. 180,223 84,130(degree)LOCAL FINANCIAL CORP ............. 757 32,397 M & T BANK CORP .................... 16,812 292,800 MAF BANCORP, INC ................... 7,759 4,000 MAHONING NATIONAL BANCORP, INC ..... 124 9,200 MAINSTREET FINANCIAL CORP .......... 427 2,238,200 MALAYAN BANKING BERHAD ............. 3,174 539,258 MARSHALL & ILSLEY CORP ............. 31,513 5,912,014 MBNA CORP .......................... 147,431 2,075,736 MELLON BANK CORP ................... 142,707 919,960 MERCANTILE BANCORP, INC ............ 42,433 361,739 MERCANTILE BANKSHARES CORP ......... 13,927 2,600 MERCHANTS NEW YORK BANCORP, INC .... 94 2,808,265(degree)MERITA LTD ....................... 17,859 8,000 MICHINOKU BANK LTD ................. 44 29,742 MID-AMERICA BANCORP ................ 807 10,200 MISSISSIPPI VALLEY BANCSHARES ...... 344 2,290,000 MITSUBISHI TRUST & BANKING CORP .... 14,759 868,000 MITSUI TRUST & BANKING CO LTD ...... 993 1,275,227 MORGAN (J.P.) & CO, INC ............ 133,979 4,751,852 NATIONAL AUSTRALIA BANK LTD ........ 71,704 50,400 NATIONAL BANCORP OF ALASKA, INC .... 1,701 509,668 NATIONAL BANK OF CANADA ............ 8,229 9,500(degree)NATIONAL CITY BANCORP ............ 249 27,930 NATIONAL CITY BANCSHARES, INC ...... 1,042 2,700,904 NATIONAL CITY CORP ................. 195,816 1,400 NATIONAL COMMERCE BANCORP .......... 26 2,300 NATIONAL PENN BANCSHARES, INC ...... 63 88,590(degree)NATIONAL PROCESSING, INC ......... 487 3,980,000 NATIONAL WESTMINSTER BANK PLC ...... 76,748 26,914 NBT BANCORP, INC ................... 629 60,969 NEDCOR LTD ......................... 1,038 1,781,420 NORTH FORK BANCORP, INC ............ 42,643 1,185,843 NORTHERN TRUST CORP ................ 103,539 24,900(degree)NORTHWEST BANCORP, INC ........... 243 40,100 OCEAN FINANCIAL CORP ............... 667 303,913 OCWEN ASSET INVESTMENT ............. 1,463 94,500(degree)OCWEN FINANCIAL CORP ............. 1,164 865,337 OLD KENT FINANCIAL CORP ............ 40,238 103,699 OLD NATIONAL BANCORP ............... 5,781 3,200 OMEGA FINANCIAL CORP ............... 97 191,650 ONE VALLEY BANCORP, INC ............ 6,300 See notes to financial statements. 25 VALUE SHARES (000) ------ -------- DEPOSITORY INSTITUTIONS--(CONTINUED) 25,466 ORIENTAL FINANCIAL GROUP ........... $ 797 1,541,838 OVERSEAS-CHINESE BANKING CORP LTD (FR) 10,466 67,600 PACIFIC CAPITAL BANCORP ............ 1,741 1,333,700 PACIFIC CENTURY FINANCIAL CORP ..... 32,509 410,115(degree)PARIBAS S.A. ..................... 35,658 9,464 PARK NATIONAL CORP ................. 975 17,706 PEOPLES BANCORP, INC ............... 193 1,150 PEOPLES BANK OF BRIDGEPORT CO ...... 32 964,186 PEOPLES HERITAGE FINANCIAL GROUP, INC 19,284 8,400 PEOPLES HOLDINGS CO ................ 271 69,600(degree)PFF BANCORP, INC ................. 1,114 2,600 PINNACLE BANC GROUP, INC ........... 74 2,795,912 PNC BANK CORP ...................... 151,329 850,537 POPULAR, INC ....................... 28,918 1,000 PREMIER BANCSHARES, INC ............ 26 6,100 PRIME BANCORP, INC ................. 96 19,600 PRIME BANCSHARES, INC .............. 338 440,076 PROVIDENT BANKSHARES CORP .......... 10,947 162,100 PROVIDENT FINANCIAL GROUP .......... 6,119 1,431,048 PROVIDIAN FINANCIAL CORP ........... 107,329 3,053,424 PUBLIC BANK BERHAD (FR) ............ 1,040 272,532 PUBLIC BANK BERHAD (LR) ............ 100 9,800 QUEENS COUNTY BANCORP, INC ......... 292 1,389,511 REGIONS FINANCIAL CORP ............. 56,015 900 RELIANCE BANCORP, INC .............. 25 528,240 REPUBLIC BANCORP, INC .............. 7,197 2,000(degree)REPUBLIC BANCSHARES, INC ......... 26 2,000 REPUBLIC BANKING CORP OF FLORIDA ... 21 1,323,850 REPUBLIC NEW YORK CORP ............. 60,318 6,974 REPUBLIC SECURITY FINANCIAL CORP ... 85 1,241,600 RHB CAPITAL BERHAD ................. 485 78,000(degree)RHB CAPITAL BERHAD WTS 12/28/99 .. 8 19,500 RHB SAKURA MERCHANT BANKERS BERHAD . 6 3,000 RIGGS NATIONAL CORP ................ 61 336,400 ROSLYN BANCORP, INC ................ 7,233 673,505 ROYAL BANK OF CANADA ............... 33,566 2,949,224(degree)ROYAL BANK OF SCOTLAND PLC ....... 47,106 75,300 S & T BANCORP, INC ................. 2,075 7,867,000 SAKURA BANK LTD .................... 18,063 8,132,736(degree)SAN PAOLO-IMI S.P.A. ............. 144,005 8,700 SANDY SPRING BANCORP, INC .......... 262 394,765 SANWA BANK LTD ..................... 3,048 724,000 SEVENTY-SEVEN (77) BANK LTD ........ 7,253 1,523,000 SHIZUOKA BANK LTD .................. 18,835 4,100 SHORELINE FINANCIAL CORP ........... 108 1,000 SIGNAL CORP ........................ 34 238,700(degree)SILICON VALLEY BANCSHARES ........ 4,065 6,000 SIMMONS FIRST NATIONAL CORP (CLASS A) ......................... 223 870,870 SKANDINAVISKA ENSKILDA BANKEN SERIES A 9,186 88,203 SKY FINANCIAL GROUP, INC ........... 2,332 314,064(degree)SOCIETE GENERALE S.A. ............ 50,880 1,841,895 SOUTHTRUST CORP .................... 68,035 29,400(degree)SOUTHWEST BANCORP OF TEXAS, INC .. 526 1,169,272 SOVEREIGN BANCORP, INC ............. 16,662 140,600 ST. FRANCIS CAPITAL CORP ........... 5,940 871,744 ST. GEORGE BANK LTD ................ 5,513 515,937 ST. PAUL BANCORP, INC .............. 14,043 245,000(degree)STATE BANK OF INDIA .............. 922 300,000(degree)STATE BANK OF INDIA GDR .......... 2,498 793,100 STATE STREET CORP .................. 55,170 1,100 STATEN ISLAND BANCORP, INC ......... 22 14,126 STERLING BANCORP ................... 322 24,800 STERLING BANCSHARES, INC ........... 369 6,084,550 SUMITOMO BANK LTD .................. 62,571 1,793,459 SUMMIT BANCORP ..................... 78,352 1,172,080 SUNTRUST BANKS, INC ................ 89,664 77,550 SUSQUEHANNA BANCSHARES, INC ........ 1,587 441,800 SVENSKA HANDELSBANKEN SERIES A ..... 18,640 220,500(degree)SVENSKA HANDELSBANKEN SERIES B FREE 8,460 3,730(degree)SWISS BANK CORP (REGD) WTS 06/30/00 60 777,694 SYNOVUS FINANCIAL CORP ............. 18,956 907,400 TCF FINANCIAL CORP ................. 21,948 89,100 TEXAS REGIONAL BANCSHARES, INC (CLASS A) 2,233 3,405,609 TOKAI BANK LTD ..................... 16,122 25,100 TORONTO DOMINION BANK .............. 879 18,900 TR FINANCIAL CORP .................. 744 88,600 TRIANGLE BANCORP, INC .............. 1,401 44,600 TRUST CO OF NEW JERSEY ............. 1,093 66,735 TRUSTCO BANK CORP .................. 2,002 123,800 TRUSTMARK CORP ..................... 2,801 5,256,730 U.S. BANCORP ....................... 186,614 198,069 U.S. TRUST CORP .................... 15,053 7,515 U.S.B. HOLDINGS CO, INC ............ 127 37,665 UMB FINANCIAL CORP ................. 1,728 12,533,860(degree)UNCREDITO ITALIANO S.P.A. ........ 74,447 173,500(degree)UNI BANKDANMARK AS (CLASS A) ..... 15,675 871,126(degree)UNION BANK OF SWITZERLAND AG. (REGD) 267,648 1,757,977 UNION PLANTERS CORP ................ 79,658 429,600 UNIONBANCAL CORP ................... 14,633 49,500 UNITED BANKSHARES, INC ............. 1,312 5,940 UNITED NATIONAL BANCORP ............ 138 1,235,890 UNITED OVERSEAS BANK LTD (FR) ...... 7,940 61,700 USBANCORP, INC ..................... 1,226 1,344,659 UST CORP ........................... 31,684 259,525 VALLEY NATIONAL BANCORP ............ 7,315 116,700(degree)VERMONT FINANCIAL SERVICES CORP .. 3,880 1,081,412 WACHOVIA CORP ...................... 94,556 785,082 WASHINGTON FEDERAL, INC ............ 20,952 4,309,393 WASHINGTON MUTUAL, INC ............. 164,565 1,000 WASHINGTON TRUST BANCORP, INC ...... 22 313,284 WEBSTER FINANCIAL CORP ............. 8,596 15,835,346 WELLS FARGO CO ..................... 632,424 32,300 WESBANCO, INC ...................... 953 53,690 WEST COAST BANCORP (OREGON) ........ 1,127 149,600 WESTAMERICA BANCORP ................ 5,498 800 WESTCORP ........................... 6 63,200 WESTERN BANCORP .................... 1,849 61,900 WESTERNBANK PUERTO RICO ............ 983 7,457,742 WESTPAC BANKING CORP ............... 49,954 144,550 WHITNEY HOLDINGS CORP .............. 5,421 161,300 WILMINGTON TRUST CORP .............. 9,940 940,000(degree)WING HANG BANK LTD ............... 2,342 741,302 WING LUNG BANK LTD ................. 2,574 5,200 WSFS FINANCIAL CORP ................ 88 514,000 YAMAGUCHI BANK LTD ................. 4,857 3,480,000(degree)YASUDA TRUST & BANKING CO LTD .... 2,684 2,600 ZIONS BANCORP ...................... 162 ---------- 10,990,023 ---------- EATING AND DRINKING PLACES--0.74% 27,300(degree)ADVANTICA RESTAURANT GROUP, INC .. 169 439,757 APPLEBEES INTERNATIONAL, INC ....... 9,070 456,000 AVADO BRANDS, INC .................. 3,791 634,682 BOB EVANS FARMS, INC ............... 16,541 11,800x(degree)BOSTON CHICKEN, INC ............. 4 786,793(degree)BRINKER INTERNATIONAL, INC ....... 22,719 766,300(degree)BUFFETS, INC ..................... 9,148 2,262,000(degree)CAFE DE CORAL HOLDINGS LTD ....... 708 283,900(degree)CEC ENTERTAINMENT, INC ........... 7,878 857,564 CKE RESTAURANTS, INC ............... 25,245 2,148,659 COMPASS GROUP PLC .................. 24,613 40,906(degree)CONSOLIDATED PRODUCTS, INC ....... 844 31,425 CRACKER BARREL OLD COUNTRY STORE, INC 733 2,107,800 DARDEN RESTAURANTS, INC ............ 37,940 2,650(degree)DAVE & BUSTERS, INC .............. 61 8,062,714 DIAGEO PLC (CLASS A) ............... 91,757 See notes to financial statements. 26 VALUE SHARES (000) ------ -------- EATING AND DRINKING PLACES--(CONTINUED) 2,800(degree)EINSTEIN/NOAH BAGEL CORP ......... $ 4 591,865(degree)FOODMAKER, INC ................... 13,058 200,384 FRISCHS RESTAURANTS, INC ........... 2,117 2,456,600 HOST MARRIOTT CORP (NEW) ........... 33,932 4,780(degree)HOST MARRIOTT SERVICES CORP ...... 50 76,000(degree)IHOP CORP NEW .................... 3,035 3,100(degree)LANDRYS SEAFOOD RESTAURANTS, INC . 23 1,500(degree)LONE STAR STEAKHOUSE & SALOON, INC 14 280,691 LUBYS CAFETERIA, INC ............... 4,333 528,200 MARRIOTT INTERNATIONAL (CLASS A) ... 15,318 4,304,343 MCDONALD'S CORP .................... 329,820 8,927 MELCO INTERNATIONAL DEVELOPMENT LTD 1 276 MORRISON HEALTH CARE, INC .......... 5 129,200(degree)NPC INTERNATIONAL, INC ........... 1,558 17,900(degree)OUTBACK STEAKHOUSE, INC .......... 714 309,000 OVERSEAS UNION ENTERPRISES LTD ..... 614 350,100(degree)PAPA JOHNS INTERNATIONAL, INC .... 15,448 419,922 PICCADILLY CAFETERIAS, INC ......... 4,409 2,500(degree)PJ AMERICA, INC .................. 45 598,007(degree)PLANET HOLLYWOOD, INC (CLASS A) .. 1,383 63,150(degree)RAINFOREST CAFE, INC ............. 383 600(degree)RARE HOSPITALITY INTERNATIONAL, INC 8 2,000 ROYAL CO LTD ....................... 26 395,534 RUBY TUESDAY, INC .................. 8,405 226,950(degree)RYANS FAMILY STEAK HOUSES, INC ... 2,809 115,875(degree)SBARRO, INC ...................... 3,034 3,300(degree)SCOTTS RESTAURANTS, INC .......... 15 7,878(degree)SHONEYS, INC ..................... 10 230,924x(degree)SIZZLER INTERNATIONAL, INC ...... 520 231,000 SKYLARK CO LTD ..................... 3,442 87,701(degree)SODEXHO ALLIANCE S.A. ............ 19,624 122,951(degree)SODEXHO MARRIOTT SERVICES, INC ... 3,404 326,975(degree)SONIC CORP ....................... 8,134 204,100(degree)SPAGHETTI WAREHOUSE, INC ......... 1,556 927,000(degree)TELEPIZZA S.A. ................... 8,832 3,950(degree)THE CHEESECAKE FACTORY CO ........ 117 1,107,000 +(degree)TPI ENTERPRISES, INC ........ 4 1,374,571(degree)TRICON GLOBAL RESTAURANTS, INC ... 68,900 265,248(degree)U.S. FOODSERVICE, INC ............ 12,997 13,767 VALORA HOLDINGS AG. (REGD) ......... 3,724 1,084,400 VIAD CORP .......................... 32,939 261,200(degree)VICORP RESTAURANTS, INC .......... 4,049 66,869 WENDYS INTERNATIONAL, INC .......... 1,459 ---------- 861,493 ---------- EDUCATIONAL SERVICES--0.04% 717,462(degree)APOLLO GROUP, INC (CLASS A) ...... 24,304 95,191(degree)BERLITZ INTERNATIONAL, INC ....... 2,761 47,600(degree)COMPUTER LEARNING CENTERS, INC ... 318 375,829(degree)DEVRY, INC ....................... 11,510 121,400(degree)EDUCATION MANAGEMENT CORP ........ 2,868 3,000(degree)EDUTREK INTERNATIONAL, INC (CLASS A) 17 72,700(degree)LEARNING TREE INTERNATIONAL, INC . 659 237,625(degree)SYLVAN LEARNING SYSTEMS, INC ..... 7,248 ---------- 49,685 ---------- ELECTRIC, GAS, AND SANITARY SERVICES--4.13% 700(degree)AES CORP ......................... 33 508,900 AGL RESOURCES, INC ................. 11,737 222,854 AGUAS DE BARCELONA S.A. ............ 14,941 2,217(degree)AGUAS DE BARCELONA S.A. NEW ...... 148 1,570,774 ALLEGHENY ENERGY, INC .............. 54,192 1,579,390(degree)ALLIED WASTE INDUSTRIES, INC ..... 37,313 901,181 AMEREN CORP ........................ 38,469 176,685(degree)AMERICAN ECOLOGY CORP ............ 221 793,856 AMERICAN ELECTRIC POWER CO, INC .... 37,361 1,200 AMERICAN STATES WATER CO ........... 33 130,367 AMERICAN WATER WORKS CO, INC ....... 4,400 216,667(degree)ANGLIAN WATER PLC ................ 2,992 392,036(degree)AQUA ALLIANCE, INC ............... 809 13,756 AQUARION CO ........................ 564 42,853 AQUILA GAS PIPELINE CORP ........... 367 183,867 ATMOS ENERGY CORP .................. 5,930 703,631 AUSTRALIA GAS LIGHT CO ............. 5,073 1,894,621 BALTIMORE GAS & ELECTRIC CO ........ 58,496 400 BAY STATE GAS CO ................... 16 61,986 BEC ENERGY ......................... 2,553 460,000 BERLINER KRAFT-UND LICHT (BEWAG) AG. 12,428 1,200 BEWCKISER WASSER TECHNIK AG. ....... 266 283,669 BLACK HILLS CORP ................... 7,482 500,000 BRITISH ENERGY PLC ................. 5,719 1,947,842 BROWNING FERRIS INDUSTRIES, INC .... 55,392 393,500(degree)CALENERGY, INC ................... 13,650 45,600 CALIFORNIA WATER SERVICE GROUP ..... 1,428 185,300(degree)CALPINE CORP ..................... 4,679 1,009,036 CAROLINA POWER & LIGHT CO .......... 47,488 80,400(degree)CASELLA WASTE SYSTEMS, INC (CLASS A) 2,985 105,677,660(degree)CENTRAIS GERADORAS DO SUL (BR) ... 138 2,024,500 CENTRAL & SOUTH WEST CORP .......... 55,547 122,800 CENTRAL HUDSON GAS & ELECTRIC CORP . 5,495 6,826,121 (degree)CENTRICA PLC ................ 13,742 165,000 CHILECTRA S.A. ADR ................. 3,609 4,268,702(degree)CIA PAULISTA DE FORCA & LUZ ...... 307 38,500 CILCORP, INC ....................... 2,356 1,913,198 CINERGY CORP ....................... 65,766 488,189(degree)CITIZENS UTILITIES CO (CLASS B) .. 3,967 453,240(degree)CLEAN HARBORS, INC ............... 680 322,964 CLECO CORP ......................... 11,082 3,841,120 CLP HOLDINGS LTD ................... 19,138 219,264 CMP GROUP, INC ..................... 4,139 203,200 CMS ENERGY CORP .................... 9,843 1,919,274 COASTAL CORP ....................... 67,055 26,128 COLONIAL GAS CO .................... 911 1,128,661 COLUMBIA ENERGY GROUP .............. 65,180 239,200 COMMONWEALTH ENERGY SYSTEM CO ...... 9,688 1,077,075 CONECTIV, INC ...................... 26,388 62,012 CONECTIV, INC (CLASS A) ............ 2,449 29,900 CONNECTICUT ENERGY CORP ............ 912 1,076,800 CONSOLIDATED EDISON CO OF N.Y., INC 56,936 1,223,000 CONSOLIDATED NATURAL GAS CO ........ 66,042 1,169 CTG RESOURCES, INC ................. 31 105,600 DAISEKI CO LTD ..................... 637 1,972,500 DOMINION RESOURCES, INC ............ 92,214 845,575 DPL, INC ........................... 18,286 740,593 DQE, INC ........................... 32,540 1,684,071 DTE ENERGY CO ...................... 72,205 1,954,924 DUKE ENERGY CORP ................... 125,237 455,898 DYNEGY, INC ........................ 4,986 315,038 EASTERN ENTERPRISES CO ............. 13,783 15,500(degree)EASTERN ENVIRONMENTAL SERVICES, INC 459 290,457 EASTERN UTILITIES ASSOCIATION CO ... 8,205 1,718,452 EDISON INTERNATIONAL CO ............ 47,902 1,698,130 EDISON S.P.A. ...................... 20,044 360,950 EDPERBRASCAN CORP (CLASS A) ........ 5,005 1,714(degree)EL PASO ELECTRIC CO .............. 15 161,504 EL PASO ENERGY CORP ................ 5,622 178,207 ELECTRABEL NV ...................... 78,330 2,000(degree)ELECTRABEL S.A. (STRIP VVPR) ..... 0 1,134,294 ELECTRICIDADE DE PORTUGAL S.A. ..... 24,974 105,677,660 ELECTROBRAS S.A. ................... 1,819 41,781 EMPIRE DISTRICT ELECTRIC CO ........ 1,034 619,000 EMPRESA NACIONAL DE ELECTRIDAD S.A. ADR 7,041 2,720,960 ENDESA S.A. ........................ 72,203 310,800 ENERGEN CORP ....................... 6,061 994,186 ENERGY EAST CORP ................... 56,172 192,000 ENERSIS S.A. ADR ................... 4,956 1,669,583 ENRON CORP ......................... 95,271 2,592,504 ENTERGY CORP ....................... 80,692 See notes to financial statements. 27 VALUE SHARES (000) ------ -------- ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED) 32,701 EQUITABLE RESOURCES, INC ........... $ 952 4,337 ETOWN CORP ......................... 205 2,600,027 FIRSTENERGY CORP ................... 84,663 330,339 FLORIDA PROGRESS CORP .............. 14,803 659,748 FPL GROUP, INC ..................... 40,657 478,219 GAS NATURAL SDG S.A. ............... 52,143 57,870 GENER S.A. (SPONS ADR) ............. 926 1,596,400 GPU, INC ........................... 70,541 385 GROUPE BRUXELLES LAMBERT NPV (STRIP VVPR) ...................... 0 70,135 GROUPE BRUXELLES LAMBERT S.A. ...... 14,291 66,410 HAFSLUND AS SERIES A ............... 418 34,402 HAFSLUND AS SERIES B ............... 146 424,393 HAWAIIAN ELECTRIC INDUSTRIES, INC .. 17,082 6,916,284 HONG KONG & CHINA GAS CO LTD ....... 8,793 124,922(degree)HONG KONG & CHINA GAS CO LTD WTS 03/30/99 ...................... 8 25 HONG KONG ELECTRIC CO LTD .......... 0 866,415 HOUSTON INDUSTRIES, INC ............ 27,834 323,700(degree)HUANENG POWER INTERNATIONAL, INC SERIES N ADR ...................... 4,694 144,398 HYDER PLC .......................... 1,820 2,189,297 IBERDROLA S.A. ..................... 41,022 333,400 IDACORP, INC ....................... 12,065 39,220 ILLINOVA CORP ...................... 981 218,166 INDIANA ENERGY, INC ................ 5,372 250,993 INTERSTATE ENERGY CORP ............. 8,095 31,367 IPALCO ENTERPRISES, INC ............ 1,739 2,405(degree)IT GROUP, INC .................... 27 1,093,640 ITALGAS S.P.A. ..................... 5,932 1,938,600 KANSAI ELECTRIC POWER CO, INC ...... 42,536 469,134 KANSAS CITY POWER & LIGHT CO ....... 13,898 138,000(degree)KELLEY OIL & GAS CORP ............ 82 1,697,190 KEYSPAN ENERGY CORP ................ 52,613 8,100 KN ENERGY, INC ..................... 295 135,700 LACLEDE GAS CO ..................... 3,630 730,267 LOUISVILLE GAS & ELECTRIC ENERGY CORP 20,676 35,900 MADISON GAS & ELECTRIC CO .......... 817 192,904 MCN ENERGY GROUP, INC .............. 3,677 93,979 MDU RESOURCES GROUP, INC ........... 2,473 427,400 MIDAMERICAN ENERGY HOLDINGS CO ..... 11,486 31,805 MINNESOTA POWER, INC ............... 1,399 200,800x(degree)MOLTEN METAL TECHNOLOGY, INC .... 4 3,106 MONTANA POWER CO ................... 176 963,936 NATIONAL FUEL GAS CO ............... 43,558 1,852,101 NATIONAL GRID GROUP PLC ............ 14,784 2,454,593 NATIONAL POWER PLC ................. 21,155 668,600 NEVADA POWER CO .................... 17,384 863,660 NEW CENTURY ENERGIES, INC .......... 42,103 553,943 NEW ENGLAND ELECTRIC SYSTEMS CO .... 26,659 115,400 NEW JERSEY RESOURCES CORP .......... 4,558 14,800(degree)NEWPARK RESOURCES, INC ........... 101 12,400(degree)NIAGARA MOHAWK POWER CORP ........ 200 442,540 NICOR, INC ......................... 18,697 243,358 NIPSCO INDUSTRIES, INC ............. 7,407 91,946 NORTH CAROLINA NATURAL GAS CORP .... 3,051 1,500(degree)NORTHEAST UTILITIES CO ........... 24 297,468 NORTHERN STATES POWER CO ........... 8,255 159,100 NORTHWEST NATURAL GAS CO ........... 4,117 80,492 NORTHWESTERN CORP .................. 2,128 89,405 NOVA CORP .......................... 1,164 143,500 NUI CORP ........................... 3,848 116,188 OGDEN CORP ......................... 2,912 325,544 OGE ENERGY CORP .................... 9,441 293,076 ONEOK, INC ......................... 10,587 4,572 ORANGE & ROCKLAND UTILITY, INC ..... 261 4,085,000 OSAKA GAS CO LTD ................... 14,087 33,670 OESTERREICHISCHE ELEKTRIZITAETSWIRSCHAFTS AG. ...... 5,149 17,800 OTTER TAIL POWER CO ................ 710 8,447,800 PACIFICORP ......................... 177,932 2,236,100 PECO ENERGY CO ..................... 93,078 21,900 PENNSYLVANIA ENTERPRISES, INC ...... 558 561,999 PEOPLES ENERGY CORP ................ 22,410 1,632,213 PG&E CORP .......................... 51,415 65,633 PHILADELPHIA SUBURBAN CORP ......... 1,940 109,196(degree)PHILIP SERVICES CORP ............. 34 84,164 PIEDMONT NATURAL GAS CO, INC ....... 3,040 296,034 PINNACLE WEST CAPITAL CORP ......... 12,544 959,500 POTOMAC ELECTRIC POWER CO .......... 25,247 883,300(degree)POWER TECHNOLOGIES LTD ........... 541 285,479 POWERGEN PLC ....................... 3,752 2,085,910 PP&L RESOURCES, INC ................ 58,145 666,224 PUBLIC SERVICE CO OF NEW MEXICO .... 13,616 112,202 PUBLIC SERVICE CO OF NORTH CAROLINA 2,917 2,308,628 PUBLIC SERVICE ENTERPRISE GROUP, INC 92,345 185,731 PUGET SOUND ENERGY, INC ............ 5,177 1,093,080 QUESTAR CORP ....................... 21,178 277,449(degree)REPUBLIC INDUSTRIES, INC ......... 4,092 1,342,320 RHEIN-WESTFALEN ELECTRIC AG. (STAMM) 73,539 596,497 ROCHESTER GAS & ELECTRIC CORP ...... 18,641 759,900 SCANA CORP ......................... 24,507 992,089(degree)SCOTTISH & SOUTHERN ENERGY PLC ... 11,175 3,516,874 SCOTTISH POWER PLC ................. 36,132 2,304(degree)SEAGULL ENERGY CORP .............. 15 3,305 SEMCO ENERGY, INC .................. 54 1,488,405 SEMPRA ENERGY ...................... 37,768 25,108,146 SHUN TAK ENTERPRISES CORP LTD ...... 4,732 35,100 SIERRA PACIFIC RESOURCES ........... 1,334 87,182 SIG CORP, INC ...................... 3,111 22,300 SONAT, INC ......................... 603 42,000 SOUTH JERSEY INDUSTRIES, INC ....... 1,100 6,059,793 SOUTHERN CO ........................ 176,113 44,964(degree)SOUTHERN UNION CO ................ 1,096 12,300 SOUTHWEST GAS CORP ................. 331 192,200 SOUTHWESTERN ENERGY CO ............. 1,442 498,235 LYONNAISE DES EAUX S.A. ............ 102,391 400(degree)SUPERIOR SERVICES, INC ........... 8 392,152 TECO ENERGY, INC ................... 11,054 3,159,000 TENAGA NASIONAL BERHAD ............. 4,538 1,889,564 TEXAS UTILITIES CO ................. 88,219 805,689 THAMES WATER PLC ................... 15,416 2,200(degree)THERMO ECOTEK CORP ............... 23 131,000 TNP ENTERPRISES, INC ............... 4,970 1,084,800 TOHOKU ELECTRIC POWER CO, INC ...... 19,234 2,344,474 TOKYO ELECTRIC POWER CO, INC ....... 57,988 5,802,000 TOKYO GAS CO LTD ................... 15,276 278,857 TRACTEBEL NV ....................... 54,142 6,138(degree)TRACTEBEL NV PUT WTS 11/15/99 .... 1 896,883 TRANS CANADA PIPELINES LTD ......... 13,109 136,701 TRANS CANADA PIPELINES LTD (U.S.) .. 2,016 397,600 TRANSALTA CORP ..................... 5,850 568,500 TRANSPORTADORA DE GAS DEL SUR (CLASS B) 1,127 3,924 UGI CORP ........................... 93 2,234,783 UNICOM CORP ........................ 86,179 1,670,100(degree)UNION ELECTRICA FENOSA S.A. ...... 28,936 330,320(degree)UNISOURCE ENERGY CORP HOLDINGS CO 4,459 100 UNITED ILLUMINATING CO ............. 5 868,980 UNITED UTILITIES PLC ............... 12,044 128,500 UNITED WATER RESOURCES, INC ........ 3,076 128,203 UTILICORP UNITED, INC .............. 4,703 1,087,130 VEBA AG. ........................... 65,074 70,246 VIAG AG. ........................... 41,205 488,606 VIVENDI S.A. ....................... 126,827 48,973(degree)VIVENDI S.A. WTS 05/02/01 ........ 127 586,272 WASHINGTON GAS LIGHT CO ............ 15,903 See notes to financial statements. 28 VALUE SHARES (000) ------ -------- ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED) 457,800 WASHINGTON WATER POWER CO .......... $ 8,813 6,377,140 WASTE MANAGEMENT, INC 297,334 700(degree)WASTEMASTERS, INC ................ 0 238,111 WESTCOAST ENERGY, INC .............. 4,728 100 WESTERN GAS RESOURCES, INC ......... 1 2,610 WESTERN RESOURCES, INC ............. 87 64,298 WICOR, INC ......................... 1,403 1,770,574 WILLIAMS COS, INC .................. 55,220 722,481 WISCONSIN ENERGY CORP .............. 22,713 281,272 WPS RESOURCES CORP ................. 9,915 422,200 YANKEE ENERGY SYSTEMS, INC ......... 12,297 151,135(degree)YORK RESEARCH CORP ............... 510 ---------- 4,804,238 ---------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--7.48% 22,300(degree)AAVID THERMAL TECHNOLOGIES, INC .. 376 3,867,630 ABB AB SERIES A .................... 41,273 58,000 ABB AB SERIES B .................... 615 300(degree)ACT MANUFACTURING, INC ........... 4 129,800(degree)ACTEL CORP ....................... 2,596 3,850,098(degree)ADC TELECOMMUNICATIONS, INC ...... 133,791 198,024(degree)ADTRAN, INC ...................... 3,626 2,000(degree)ADVANCED ENERGY INDUSTRIES, INC .. 50 47,700(degree)ADVANCED FIBRE COMMUNICATIONS .... 522 164,900(degree)ADVANCED LIGHTING TECHNOLOGIES, INC 1,608 636,850(degree)ADVANCED MICRO DEVICES, INC ...... 18,429 197,929 ADVANTEST CORP ..................... 12,564 159,116 AEROQUIP-VICKERS, INC .............. 4,764 71,000(degree)AIWA CO LTD ...................... 1,876 379,935 ALLEGHENY TELEDYNE, INC ............ 7,765 4,200(degree)ALLEN TELECOM, INC ............... 28 900(degree)ALLIANCE SEMICONDUCTOR CORP ...... 4 1,584,000 ALPS ELECTRIC CO LTD ............... 29,138 1,741,000(degree)ALSTOM ........................... 40,828 2,865,240(degree)ALTERA CORP ...................... 174,421 1,371,580(degree)AMERICAN POWER CONVERSION CORP ... 66,436 13,125 #AMERICAN SATELLITE NETWORK WTS 06/30/99 ...................... 0 87,100(degree)AMERICAN TOWER SYSTEMS (CLASS A) . 2,575 287,200 AMETEK, INC ........................ 6,408 101,700(degree)AMKOR TECHNOLOGY, INC ............ 1,100 1,091,343 AMP, INC ........................... 56,818 6,000(degree)AMPEX CORP (CLASS A) ............. 7 55,845(degree)AMPHENOL CORP (CLASS A) .......... 1,686 20,992 AMSTRAD PLC ........................ 12 700(degree)ANADIGICS, INC ................... 8 197,729(degree)ANALOG DEVICES, INC .............. 6,204 1,444,918(degree)ANDREW CORP ...................... 23,841 39,900(degree)ANTEC CORP ....................... 803 1,269(degree)APPLIED MAGNETICS CORP ........... 8 267,000(degree)APPLIED MICRO CIRCUITS CORP ...... 9,070 5,649(degree)ARTESYN TECHNOLOGIES, INC ........ 79 86,200(degree)ARTISAN COMPONENTS, INC .......... 458 466,600(degree)ASPECT TELECOMMUNICATIONS CORP ... 8,049 1,713,300(degree)ATMEL CORP ....................... 26,235 16,226(degree)AURA SYSTEMS, INC ................ 16 2,200 AUSTRIA MIKRO SYSTEM INTERNATIONAL AG. 83 31,500 AVX CORP ........................... 534 252,750(degree)AYDIN CORP ....................... 2,575 5,933 BALDOR ELECTRIC CO ................. 120 56,000 BANG & OLUFSEN HOLDINGS AS (CLASS B) 3,414 60,115 BARCO INDUSTRIES NV ................ 16,974 68,800(degree)BENCHMARK ELECTRONICS, INC ....... 2,520 440,600 BMC INDUSTRIES, INC ................ 2,754 356,603 BOWTHORPE HOLDINGS PLC ............. 2,068 3,900(degree)BROADBAND TECHNOLOGIES, INC ...... 11 122,100(degree)BROADCOM CORP (CLASS A) .......... 14,744 398,000 BROTHERS INDUSTRIES LTD ............ 1,242 177,400(degree)BURR BROWN CORP .................. 4,158 216,700 C&D TECHNOLOGIES, INC .............. 5,959 43,500(degree)CALIFORNIA MICROWAVE, INC ........ 408 750,000(degree)CELLNET DATA SYSTEMS, INC ........ 3,750 4,300(degree)CHECKPOINT SYSTEMS, INC .......... 53 17,100(degree)CIDCO, INC ....................... 49 500,630(degree)CIENA CORP ....................... 7,322 963(degree)COMMSCOPE, INC ................... 16 798,165(degree)COMVERSE TECHNOLOGY, INC ......... 56,670 2,176,845 COOPER INDUSTRIES, INC ............. 103,808 192,642 CTS CORP ........................... 8,380 9,700(degree)CUSTOMTRACKS CORP ................ 104 1,371,300(degree)CYPRESS SEMICONDUCTOR CORP ....... 11,399 549,000 DAI NIPPON SCREEN MANUFACTURING CO LTD ............................ 1,372 13,685 DALLAS SEMICONDUCTOR CORP .......... 558 1,200(degree)DAVOX CORP ....................... 9 750,200(degree)DIGITAL MICROWAVE CORP ........... 5,134 88,920(degree)DII GROUP, INC ................... 2,045 816(degree)DSP COMMUNICATIONS, INC .......... 12 36,100(degree)ECHOSTAR COMMUNICATIONS CORP (CLASS A) ......................... 1,746 1,180,000(degree)ELEC & ELTEK INTERNATIONAL CO LTD 6,372 1,680,400 ELEC & ELTEK INTERNATIONAL HOLDNGS LTD ....................... 321 3,600(degree)ELECTRO SCIENTIFIC INDUSTRIES, INC 163 234,558 ELECTROCOMPONENTS PLC .............. 1,573 1,048,670 ELECTROLUX AB SERIES B ............. 18,048 613,154 EMAIL LTD .......................... 877 2,651,970 EMERSON ELECTRIC CO ................ 160,444 7,800 EMPRESA FABRIL DE MAQUINAS ELECTRICAS ........................ 80 3,900(degree)ESS TECHNOLOGY ................... 20 95,300(degree)EVANS & SUTHERLAND COMPUTER CORP . 1,680 1,100(degree)EXAR CORP ........................ 18 181,600(degree)EXCEL SWITCHING CORP ............. 6,901 100 EXIDE CORP ......................... 2 687,017 FISHER & PAYKEL INDUSTRIES LTD ..... 2,486 10,000 FRANKLIN ELECTRIC CO, INC .......... 675 5,415,000 FUJITSU LTD ........................ 72,248 1,130,000 FURUKAWA ELECTRIC CO LTD ........... 3,857 47,000(degree)FUTABA CORP ...................... 1,846 98,357(degree)GENERAL DATACOMM INDUSTRIES, INC . 227 27,228,257 GENERAL ELECTRIC CO ................ 2,778,984 5,933,078 GENERAL ELECTRIC CO (U.K.) ......... 53,553 843,700(degree)GENERAL INSTRUMENT CORP .......... 28,633 135,900(degree)GENERAL SEMICONDUCTOR, INC ....... 1,113 41,700(degree)GENLYTE GROUP, INC ............... 782 883,000 x(degree)GEOTEK COMMUNICATIONS, INC .. 19 29,437(degree)GLENAYRE TECHNOLOGIES, INC ....... 131 4,100(degree)HADCO CORP ....................... 144 3,880 HARMAN INTERNATIONAL INDUSTRIES, INC 148 80,600 HARMON INDUSTRIES, INC ............. 1,859 1,320,549 HARRIS CORP ........................ 48,365 9,900 HELIX TECHNOLOGY CORP .............. 129 73,900 HIROSE ELECTRIC CO LTD ............. 5,182 7,853,230 HITACHI LTD ........................ 48,734 2,600(degree)HMT TECHNOLOGY CORP .............. 33 53,200(degree)HOLOPHANE CORP ................... 1,367 14,776 HUBBELL, INC (CLASS B) ............. 561 29,270(degree)HUTCHINSON TECHNOLOGY, INC ....... 1,043 1,000 INNOVEX, INC ....................... 14 6,700(degree)INTEGRATED CIRCUIT SYSTEMS, INC .. 118 608,200(degree)INTEGRATED DEVICE TECHNOLOGY, INC 3,725 7,500(degree)INTEGRATED SILICON SOLUTION, INC . 23 14,258,278 INTEL CORP ......................... 1,690,497 324,400 INTER-TEL, INC ..................... 7,583 357,500(degree)INTERDIGITAL COMMUNICATIONS CORP . 1,631 7,400(degree)INTERNATIONAL RECTIFIER CORP ..... 72 1,200(degree)INTERVOICE, INC .................. 41 See notes to financial statements. 29 VALUE SHARES (000) ------ -------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED) 10,200(degree)ITI TECHNOLOGIES, INC ............ $ 316 6,000(degree)ITRON, INC ....................... 43 512,492(degree)JABIL CIRCUIT, INC ............... 38,245 2,500,320 JOHNSON ELECTRIC HOLDINGS LTD ...... 6,422 3,700(degree)JPM CO ........................... 52 204,200 JUNO LIGHTING, INC ................. 4,773 12,100(degree)KEMET CORP ....................... 136 546,200(degree)KOMAG, INC ....................... 5,667 2,293,041(degree)KONINKLIJKE PHILIPS ELECTRONICS NV 153,953 500(degree)KOPIN CORP ....................... 11 170,700 KUHLMAN CORP ....................... 6,465 448,100 KYOCERA CORP ....................... 23,716 92,000(degree)L-3 COMMINUCATIONS HOLDINGS, INC . 4,284 7,350(degree)LATTICE SEMICONDUCTOR CORP ....... 337 52,579 LEGRAND S.A. ....................... 13,940 587,500(degree)LEVEL ONE COMMUNICATIONS, INC .... 20,856 1,215,700 LINEAR TECHNOLOGY CO ............... 108,881 1,500(degree)LITTLEFUSE, INC .................. 29 10,200(degree)LO-JACK CORP ..................... 121 400(degree)LSI LOGIC CORP ................... 6 155,000 MABUCHI MOTOR CO LTD ............... 11,886 674(degree)MAGNETEK, INC .................... 8 229,000 MALAYSIAN PACIFIC INDUSTRIES BERHAD ............................ 219 5,554,650 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ................. 98,437 60,335 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ADR ............. 10,528 2,064,850(degree)MAXIM INTEGRATED PRODUCTS ........ 90,208 21,003 MAYTAG CO .......................... 1,307 349,800(degree)MEMC ELECTRONIC MATERIALS, INC ... 2,973 208,421 METAL MANUFACTURES LTD ............. 294 408,850 METHODE ELECTRONICS, INC (CLASS A) . 6,388 117,175(degree)MICREL, INC ...................... 6,445 800(degree)MICRO LINEAR CORP ................ 3 840,575(degree)MICROCHIP TECHNOLOGY, INC ........ 31,101 709,695(degree)MICRON TECHNOLOGY, INC ........... 35,884 210,000 MIMASU SEMICONDUCTOR INDUSTRY ...... 2,180 3,811,000(degree)MITSUBISHI ELECTRIC CORP ......... 11,994 560,100(degree)MMC NETWORKS, INC ................ 7,421 20,007 MOLEX, INC ......................... 763 189,452 MOLEX, INC (CLASS A) ............... 6,039 21,000(degree)MOOG, INC (CLASS A) .............. 822 4,274,400 MOTOROLA, INC ...................... 261,006 277,730(degree)MRV COMMUNICATIONS, INC .......... 1,718 614,000 MURATA MANUFACTURING CO LTD ........ 25,529 89,700 NATIONAL PRESTO INDUSTRIES, INC .... 3,823 159,299(degree)NATIONAL SEMICONDUCTOR CORP ...... 2,151 703,749 NATIONAL SERVICE INDUSTRIES, INC ... 26,742 7,100(degree)NATURAL MICROSYSTEMS CORP ........ 52 400,700(degree)NEOMAGIC CORP .................... 8,865 857,000 NGK SPARK PLUG CO LTD .............. 8,745 900 NIHON DEMPA KOGYO CO LTD ........... 8 3,171,000 NIPPON ELECTRIC CORP ............... 29,236 80,000(degree)NIPPON ELECTRIC GLASS CO LTD ..... 1,087 244,000 NITTO DENKO CORP ................... 4,067 598,000 NOKIA AB SERIES K .................. 73,224 1,691,600(degree)NOKIA OYJ SERIES A ............... 207,132 3,000(degree)NOMA INDUSTRIES LTD (CLASS A) .... 19 933,942 NORTHERN TELECOMMUNICATIONS LTD .... 46,575 1,494,855 NORTHERN TELECOMMUNICATIONS LTD (U.S.) 74,930 1,300(degree)OAK INDUSTRIES, INC .............. 46 289,700(degree)OAK TECHNOLOGY, INC .............. 1,014 500(degree)OIS OPTICAL IMAGING SYSTEMS, INC . 0 608,600(degree)P-COM, INC ....................... 2,425 19,609(degree)PAIRGAIN TECHNOLOGIES, INC ....... 151 900 PARK ELECTROCHEMICAL CORP .......... 26 2,400(degree)PARKERVISION, INC ................ 56 28,600(degree)PHOTRONICS, INC .................. 686 5,700(degree)PICTURETEL CORP .................. 38 268,729 PIONEER ELECTRONIC CORP ............ 4,515 125,400 PITTWAY CORP ....................... 4,240 241,436 PITTWAY CORP (CLASS A) ............. 7,982 34,600(degree)PLANTRONICS, INC ................. 2,976 242,900(degree)PLEXUS CORP ...................... 8,228 8,700(degree)PMC-SIERRA, INC .................. 549 302,700(degree)POLYCOM, INC ..................... 6,735 1,800(degree)POWERWAVE TECHNOLOGIES, INC ...... 34 71,100(degree)PREMISYS COMMUNICATIONS, INC ..... 653 94,403(degree)QLOGIC CORP ...................... 12,355 1,141,684(degree)QUALCOMM, INC .................... 59,154 4,600(degree)RAMBUS, INC ...................... 443 23,800(degree)RAMTRON INTERNATIONAL CORP ....... 12 1,502,122 RAYCHEM CORP ....................... 48,537 199,700(degree)RAYOVAC CORP ..................... 5,329 748,150(degree)READ RITE CORP ................... 11,059 102,600(degree)RECOTON CORP ..................... 1,840 162,500(degree)RELTEC CORP ...................... 3,605 14,400(degree)REMEC, INC ....................... 259 80,000(degree)RINNAI CORP ...................... 1,401 434,000 ROHM CO ............................ 39,591 8,600(degree)ROYAL APPLIANCE MANUFACTURING CO, INC 32 700(degree)S3, INC .......................... 5 179,200 SALIENT 3 COMMUNICATIONS (CLASS A) . 1,635 842,014(degree)SANMINA CORP ..................... 52,626 2,102,000 SANYO ELECTRIC CO LTD .............. 6,522 237,500(degree)SAWTEK, INC ...................... 4,156 243,800(degree)SCI SYSTEMS, INC ................. 14,079 18,600 SCIENTIFIC-ATLANTA, INC ............ 424 87,000(degree)SCM MICROSYSTEMS, INC ............ 6,182 300(degree)SDL, INC ......................... 12 95,800(degree)SEMTECH CORP ..................... 3,437 10,950(degree)SENSORMATIC ELECTRONICS CORP ..... 76 49,900 SGL CARBON AG. ..................... 2,996 30,000(degree)SGS-THOMSON MICROELECTRONICS NV .. 2,363 1,931,000 SHARP CORP ......................... 17,444 9,000(degree)SHELDAHL, INC .................... 54 28,000(degree)SHINKO ELECTRIC INDUSTRIES CO LTD 1,117 9,800(degree)SILICONIX, INC ................... 203 323,299(degree)SILICONWARE PRECISION INDUSTRIES GDR 3,395 63,900(degree)SIPEX CORP ....................... 2,244 327,920 SIRTI S.P.A. ....................... 1,983 404,200(degree)SMART MODULAR TECHNOLOGIES, INC .. 11,217 1,158,442(degree)SOLECTRON CORP ................... 107,663 1,207,098 SONY CORP .......................... 88,071 800 SONY MUSIC ENTERTAINMENT, INC ...... 37 900(degree)SPECTRA-PHYSICS LASERS, INC ...... 9 1,000(degree)SPECTRIAN CORP ................... 13 515,400 STEWART & STEVENSON SERVICES, INC .. 5,025 2,400,500 SUMITOMO ELECTRIC INDUSTRIES CO .... 27,048 79,657 SUNBEAM CORP ....................... 558 77,000(degree)SUPERTEX, INC .................... 770 286,000 SUWA INTERNATIONAL HOLDINGS LTD .... 8 57,200(degree)SUWA INTERNATIONAL HOLDINGS LTD WTS 10/15/99 ...................... 0 231,200(degree)SYMMETRICOM, INC ................. 1,546 85,000 TAIYO YUDEN CO LTD ................. 1,008 48,938 TECHNITROL, INC .................... 1,560 447,200(degree)TEKELEC .......................... 7,407 293,600 TELEFLEX, INC ...................... 13,396 2,839,999(degree)TELEFONICA DE ESPANA S.A. RTS .... 2,525 1,748,125(degree)TELLABS, INC ..................... 119,856 2,879,500 TEXAS INSTRUMENTS, INC ............. 246,377 380(degree)THERMICEDGE CORP ................. 0 1,142,308 THOMAS & BETTS CORP ................ 49,476 164,377 THOMAS INDUSTRIES, INC ............. 3,226 2,800(degree)THREE-FIVE SYSTEMS, INC .......... 38 See notes to financial statements. 30 VALUE SHARES (000) ------ -------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED) 215,750 TOKYO ELECTRON CO LTD .............. $ 8,205 2,730,000 TOSHIBA CORP ....................... 16,288 20 TOWA CORP .......................... 1 23,500#(degree)TRANSCRYPT INTERNATIONAL, INC ... 66 5,900(degree)TRIDENT MICROSYSTEMS, INC ........ 24 400(degree)TRIQUINT SEMICONDUCTOR, INC ...... 8 477,000(degree)UCAR INTERNATIONAL, INC .......... 8,497 196,000 UNIDEN CORP ........................ 1,649 246,900(degree)UNIPHASE CORP .................... 17,129 379,534(degree)UNITRODE CORP .................... 6,642 943,000(degree)VENTURE MANUFACTURING (SINGAPORE) LTD 3,601 7,100(degree)VICOR CORP ....................... 64 700(degree)VIDEOSERVER, INC ................. 13 1,670(degree)VISHAY INTERTECHNOLOGY, INC ...... 24 1,164,500(degree)VITESSE SEMICONDUCTOR CORP ....... 53,130 568,000(degree)VLSI TECHNOLOGY, INC ............. 6,213 256(degree)VTEL CORP ........................ 1 2,500(degree)WAVEPHORE, INC ................... 20 29,700(degree)WESTELL TECHNOLOGIES, INC (CLASS A) 145 902,061 WHIRLPOOL CORP ..................... 49,952 54,192(degree)WINDMERE-DURABLE HOLDINGS, INC ... 420 289,500 WOODHEAD INDUSTRIES, INC ........... 3,764 15,800 WOODWARD GOVERNOR CO ............... 350 317,551(degree)WORLD ACCESS, INC ................ 6,788 1,558,800(degree)XILINX, INC ...................... 101,517 92,500(degree)XYLAN CORP ....................... 1,625 581,000 YAMAHA CORP ........................ 6,026 472,622x(degree)ZENITH ELECTRONICS CORP ......... 123 2,300(degree)ZOLTEK COS, INC .................. 21 1,500(degree)ZORAN CORP ....................... 26 ---------- 8,708,556 ---------- ENGINEERING AND MANAGEMENT SERVICES--0.15% 4,000(degree)AHL SERVICES, INC ................ 125 8,400(degree)AURORA BIOSCIENCE CORP ........... 54 32,000 BLOUNT INTERNATIONAL, INC .......... 798 602,400(degree)CATALYTICA, INC .................. 10,843 100(degree)CORRECTIONS CORP OF AMERICA ...... 2 58,100 DAMES & MOORE GROUP ................ 748 1,300(degree)DATA TRANSMISSION NETWORK CORP ... 38 46,800(degree)DIAMOND TECHNOLOGY PARTNERS, INC (CLASS A) ......................... 895 270,339 DUN & BRADSTREET CORP .............. 8,533 900 EG & G, INC ........................ 25 900(degree)ENTREMED, INC .................... 19 62,100(degree)F.Y.I., INC ...................... 1,987 30,730(degree)FIRST CONSULTING GROUP, INC ...... 630 600(degree)GARTNER GROUP, INC (CLASS A) ..... 13 13,201(degree)GENSET S.A. ...................... 1,016 1,200(degree)HAGLER BAILLY, INC ............... 24 2,100(degree)INCYTE PHARMACEUTICALS, INC ...... 78 30,000#(degree)INTERNATIONAL HYDRON (LIQUIDATING TRUST) ............... 1 366,997(degree)JACOBS ENGINEERING GROUP, INC .... 14,955 56,200(degree)KENDLE INTERNATIONAL, INC ........ 1,314 30,498 LANDAUER, INC ...................... 987 400(degree)LASON, INC ....................... 23 59,365(degree)MAXIMUS, INC ..................... 2,197 5,200(degree)MEDAPHIS CORP .................... 17 32,300(degree)META GROUP, INC .................. 961 24,700(degree)METZLER GROUP, INC ............... 1,203 129,100(degree)MYRIAD GENETICS, INC ............. 1,291 157,400(degree)NEUROMEDICAL SYSTEMS, INC ........ 39 2,400(degree)NFO WORLDWIDE, INC ............... 28 50,800(degree)NICHOLS RESEARCH CORP ............ 1,060 123,900 OYO CORP ........................... 2,005 600(degree)PAREXEL INTERNATIONAL CORP ....... 15 8,912 (degree)PHARMACEUTICAL PRODUCT DEVELOPMENT, INC .................. 268 400(degree)PROBUSINESS SERVICES, INC ........ 18 200(degree)PROFIT RECOVERY GROUP INTERNATIONAL 7 1,682,950(degree)QUINTILES TRANSNATIONAL CORP ..... 89,827 201,802(degree)RENAISSANCE WORLDWIDE, INC ....... 1,236 4,059,804(degree)SEMBCORP INDUSTRIES LTD .......... 4,626 233,968 SERVICEMASTER CO ................... 5,162 3,546,000(degree)SINGAPORE TECHNOLOGIES ENGINEERING LTD .................... 3,310 54,700(degree)SM & A CORP ....................... 1,039 235,600(degree)STAFF LEASING, INC ................ 2,739 97,519 STONE & WEBSTER, INC ................ 3,243 21,690 TEJON RANCH CO ...................... 431 750(degree)TETRA TECH, INC ................... 20 12,836(degree)TETRA TECHNOLOGIES, INC ........... 140 613,500(degree)TIME ENGINEERING BERHAD ........... 100 95,400 TKC CORP ............................ 1,704 666,000 TOYO ENGINEERING CO ................. 709 6,200(degree)URS CORP .......................... 145 12,200(degree)VALENCE TECHNOLOGY, INC ........... 88 139,100(degree)VEDIOR NV-CVA ..................... 2,742 11,600(degree)WACKENHUT CORRECTIONS CORP ........ 332 262,400(degree)WESTON (ROY F.), INC (CLASS A) .... 722 8,300(degree)WHITTMAN HART, INC ................ 229 ---------- 170,761 ---------- FABRICATED METAL PRODUCTS--0.83% 126,934(degree)ALLTRISTA CORP .................... 3,046 1,400 AMCAST INDUSTRIAL CORP .............. 27 2,300(degree)AMERICAN SAFETY RAZOR CO .......... 28 20,210 BALL CORP ........................... 925 123,000 BARNES GROUP, INC ................... 3,582 1,344,871 BICC LTD ............................ 1,578 140,577(degree)BOHLER-UDDEHOLM AG. (BR) .......... 6,546 11,596,793 BTR PLC ............................. 23,925 25,700 BUTLER MANUFACTURING CO ............. 575 26,480(degree)BWAY CORP ......................... 399 512,162 CARADON PLC ......................... 869 106,300 CCL INDUSTRIES, INC (CLASS B) ....... 1,228 72,200 CHART INDUSTRIES, INC ............... 551 4,600(degree)COLEMAN CO, INC ................... 42 8,816 (degree)COLEP-COMPANHIA PORTUGUESA DE EMBALAGE ........................ 66 499,249 CRANE CO ............................ 15,071 350,875 CROWN CORK & SEAL CO, INC ........... 10,811 343,200(degree)FANSTEEL, INC ..................... 1,973 10,428 FISCHER (GEORGE) LTD (REGD) ......... 3,527 50,000 FUJIMI, INC ......................... 1,738 10,714,432 GILLETTE CO ......................... 517,641 1,158,806 GKN PLC ............................. 15,376 4,262(degree)GRIFFON CORP ...................... 45 108,900(degree)GULF ISLAND FABRICATION, INC ...... 844 33,000 HARSCO CORP ......................... 1,004 117,900 INTERNATIONAL ALUMINUM CORP ......... 3,485 75,000 KIAN JOO CAN FACTORY BERHAD ......... 77 95,200(degree)LADISH CO, INC .................... 797 954,950 MAGNETI MARELLI ..................... 1,656 929,947 MARK IV INDUSTRIES, INC ............. 12,089 1,654,200 MASCO CORP .......................... 47,558 5,000(degree)MATERIAL SCIENCES CORP ............ 43 6,450(degree)MILLER INDUSTRIES, INC ............ 29 37,000(degree)NCI BUILDING SYSTEMS, INC ......... 1,041 2,800(degree)NORTEK, INC ....................... 77 1,914,721 PARKER-HANNIFIN CORP ................ 62,707 56,380 PRIMEX TECHNOLOGIES, INC ............ 2,396 2,884,642 ROCKWELL INTERNATIONAL CORP ......... 140,085 4,700(degree)ROHN INDUSTRIES, INC .............. 16 127,550(degree)SANKYO ALUMINIUM INDUSTRY CO LTD .. 111 242,000 SANWA SHUTTER CORP .................. 1,060 1,200(degree)SHAW GROUP, INC ................... 10 1,900(degree)SHILOH INDUSTRIES, INC ............ 25 See notes to financial statements. 31 VALUE SHARES (000) ------ -------- FABRICATED METAL PRODUCTS--(CONTINUED) 36,300(degree)SILGAN HOLDINGS, INC ............. $ 1,009 21,300(degree)SIMPSON MANUFACTURING CO, INC .... 797 277,300(degree)SMC CORP ......................... 22,174 546,200 SNAP-ON, INC ....................... 19,015 329(degree)SPS TECHNOLOGIES, INC ............ 19 100 STANLEY WORKS CO ................... 3 147,100 STRUM, RUGER & CO, INC ............. 1,756 210,000 TAKARA STANDARD CO ................. 1,769 619,000 TOSTEM CORP ........................ 12,292 212,900(degree)TOWER AUTOMOTIVE, INC ............ 5,309 700,900 TOYO SEIKAN KAISHA LTD ............. 11,918 2,977(degree)U.S. CAN CORP .................... 53 75,400 UNITED DOMINION INDUSTRIES LTD ..... 1,590 1,100 VALMONT INDUSTRIES ................. 15 270,300 WATTS INDUSTRIES, INC (CLASS A) .... 4,494 473(degree)WHITTAKER CORP ................... 8 330,900(degree)WYMAN-GORDON CO .................. 3,392 ---------- 970,292 ---------- FISHING, HUNTING, AND TRAPPING--0.00% 700(degree)ZAPATA CORP ...................... 9 ---------- FOOD AND KINDRED PRODUCTS--4.02% 3,000 AARHUS OLIEFABRIK AS (CLASS A) ..... 87 1,700 AARHUS OLIEFABRIK AS (CLASS B) ..... 51 67,228(degree)AGRIBIOTECH, INC ................. 870 28,419(degree)AGRIBRANDS INTERNATIONAL, INC .... 853 905,600 AJINOMOTO CO LTD ................... 9,634 35,600(degree)AMERICAN ITALIAN PASTA CO (CLASS A) 939 3,612,869 ANHEUSER BUSCH COS, INC ............ 237,095 6,675,530 ARCHER DANIELS MIDLAND CO .......... 114,736 391,100 ARIAKE JAPAN CO LTD ................ 13,349 648,000 ASAHI BREWERIES LTD ................ 9,565 144,000(degree)ASIA FOOD & PROPERTIES LTD ....... 22 10,800(degree)ASIA FOOD & PROPERTIES LTD WTS 07/12/02 1 1,462,530 ASSOCIATED BRITISH FOODS PLC ....... 13,834 173,061 AZUCARERA EBRO AGRICOLAS S.A. ...... 3,823 2,532,996 BASS PLC ........................... 36,876 5,400(degree)BERINGER WINE ESTATES HOLDINGS, INC (CLASS B) ......................... 241 1,585,300 BESTFOODS, INC ..................... 84,417 4,158 BONGRAIN S.A. ...................... 1,861 8,500(degree)BOSTON BEER CO, INC (CLASS A) .... 72 15,180(degree)BRAU UND BRUNNEN AG. ............. 1,365 383,847 BROWN FORMAN, INC (CLASS B) ........ 29,052 4,682(degree)BURNS PHILP & CO LTD ............. 0 21,672(degree)BUSH BOAKE ALLEN, INC ............ 764 1,104,276 CADBURY SCHWEPPES LTD .............. 18,832 1,104,800 CAMPBELL SOUP CO ................... 60,764 179,305(degree)CANANDAIGUA BRANDS, INC (CLASS A) 10,366 75,509 CARLSBERG BREWERIES AS (CLASS A) ... 4,390 11,781 CARLSBERG BREWERIES AS (CLASS B) ... 681 88,500 CHIQUITA BRANDS INTERNATIONAL, INC . 846 1,104,393 COCA COLA AMATIL LTD ............... 4,119 265,600 COCA COLA BOTTLING CO CONSOLIDATED . 15,272 16,042,939 COCA COLA CO ....................... 1,072,872 2,111,345 COCA COLA ENTERPRISES, INC ......... 75,481 158,200 COMPANIA CERVECERIAS UNIDAS S.A. ADR 3,045 4,164,788 CONAGRA, INC ....................... 131,191 47,000 COORS (ADOLPH) CO (CLASS B) ........ 2,653 568,825 CORN PRODUCTS INTERNATIONAL, INC ... 17,278 180,300 COTT CORP .......................... 640 43,700(degree)CULTOR OYJ SERIES 1 .............. 449 208,500 CULTOR OYJ SERIES 2 ................ 2,141 83,000 DANISCO AS ......................... 4,499 225,318 DANONE GROUP ....................... 64,536 156,000 DCC PLC ............................ 1,326 693,799 DEAN FOODS CO ...................... 28,316 811,060 DELTA CORP ......................... 177 815,857 DOLE FOOD, INC ..................... 24,476 264,344 DREYERS GRAND ICE CREAM, INC ....... 3,998 752,928 EARTHGRAINS CO ..................... 23,294 40,700 EMBOTELLADORA ANDINA ADR (CLASS B) . 529 49,153 ERIDANIA BEGHIN-SAY S.A. ........... 8,509 428,700 EZAKI GLICO CO LTD ................. 2,459 17,875 FLOWERS INDUSTRIES, INC ............ 428 7,387,858 FOSTERS BREWING GROUP LTD .......... 20,030 369,800 FRASER & NEAVE LTD ................. 1,080 1,248,914 GENERAL MILLS, INC ................. 97,103 160,300 GOLDEN ENTERPRISES, INC ............ 862 1,724,752 GOODMAN FIELDER LTD ................ 1,746 272,000 GRUPO INDUSTRIAL MASECA SERIES B ... 220 389,600 GUINESS ANCHOR BERHAD .............. 274 949,631 HEINEKEN NV ........................ 57,179 1,812,750 HEINZ (H.J.) CO .................... 102,647 125,000 HERDEZ S.A. SERIES B ............... 35 67,763 HERSHEY FOODS CORP ................. 4,214 2,470 HOLSTEN BRAUEREI AG. ............... 512 703,257 HORMEL FOODS CORP .................. 23,032 92,000 HOUSE FOODS CORP ................... 1,558 1,768,600 IBP, INC ........................... 51,510 11,138 IMPERIAL HOLLY CORP ................ 90 510,480(degree)INTERNATIONAL HOME FOODS, INC .... 8,614 753,711 INTERSTATE BAKERIES CORP ........... 19,926 2,565,000 IOI CORP ........................... 1,030 1,049,700 ITOEN LTD .......................... 54,253 58,000 ITOHAM FOODS, INC .................. 247 110,200(degree)J & J SNACK FOODS CORP ........... 2,466 108,000 KATOKICHI CO LTD ................... 1,656 700(degree)KEEBLER FOODS CO ................. 26 917,400 KELLOGG CO ......................... 31,306 148,000(degree)KEMAYAN CORP BERHAD .............. 13 246,400 KERRY GROUP (CLASS A) .............. 3,362 65,000 KERRY GROUP PLC (CLASS A) .......... 868 576,000 KIKKOMAN CORP ...................... 3,666 4,358,000 KIRIN BREWERY CO LTD ............... 55,634 529,329 LANCASTER COLONY CORP .............. 17,005 229,332 LANCE, INC ......................... 4,572 2,029,930 LION NATHAN LTD .................... 5,180 219,104 LVMH MOET HENNESSY LOUIS VUITTON ... 43,380 154,000 MARUHA CORP ........................ 160 909,400 MCCORMICK & CO, INC (NON-VOTE) ..... 30,749 110,000 MEFOS LTD .......................... 809 1,094,000 MEIJI SEIKA KAISHA LTD ............. 4,364 222,575 MICHAEL FOODS, INC ................. 6,677 102,400(degree)MIDWEST GRAIN PRODUCTS, INC ...... 1,395 27,700 MOLSON CO LTD (CLASS A) ............ 397 1,000 MOLSON CO LTD (CLASS B) ............ 14 2,007,850 NABISCO HOLDINGS CORP (CLASS A) .... 83,326 218,700 NESTLE MALAYSIA BERHAD ............. 612 101,011 NESTLE S.A. (REGD) ................. 219,893 510,000 NICHIREI CORP ...................... 1,216 265,000 NIPPON BEET SUGAR MANUFACTURING CO LTD .............. 413 775,000 NIPPON MEAT PACKERS, INC ........... 12,504 839,000 NIPPON OIL & FATS CO LTD ........... 1,674 892,000(degree)NIPPON SUISAN KAISHA LTD ......... 1,028 114,000(degree)NISSHIN FLOUR MILLING CO LTD ..... 953 214,000 NISSIN FOOD PRODUCTS CO LTD ........ 5,397 322,763 NUMICO NV .......................... 15,393 818,040 ORKLA AS SERIES A .................. 12,186 42,992 ORKLA AS SERIES B .................. 561 8,600 OSTERREICHISCHE BRAU-AKTIENGESELLSCHAF 492 92,700(degree)OYJ HARTWALL ABP ................. 1,510 2,201,520 PARMALAT FINANZIARIA S.P.A. ........ 4,219 12,300(degree)PASCUAL HERMANOS S.A. ............ 6 80,100 PENFORD CORP ....................... 1,282 15,626,801 PEPSICO, INC ....................... 639,722 See notes to financial statements. 32 VALUE SHARES (000) ------ -------- FOOD AND KINDRED PRODUCTS--(CONTINUED) 484,750 PERLIS PLANTATIONS BERHAD .......... $ 348 126,204 PERNOD-RICARD S.A. ................. 8,201 142,200 PILGRIMS PRIDE CORP (CLASS B) ...... 2,835 350,000 POWER PACIFIC LTD .................. 0 625 PPB OIL PALMS BERHAD ............... 0 220,000(degree)PULEVA S.A. ...................... 147 480,000(degree)Q.P. CORP ........................ 3,953 399,204 QUAKER OATS CO ..................... 23,753 1,458,000(degree)RAISIO GROUP PLC ................. 16,125 517,243(degree)RALCORP HOLDINGS, INC ............ 9,440 5,104,373 RALSTON PURINA CO .................. 165,254 20,300 RIVIANA FOODS, INC ................. 501 1,180,846 RJR NABISCO HOLDINGS CORP .......... 35,056 20,000(degree)SAKATA SEED CORP ................. 418 29,150 SAPPORO BREWERIES LTD .............. 127 5,392,600 SARA LEE CORP ...................... 152,004 883,129 SCOTTISH & NEWCASTLE PLC ........... 10,256 10 SEABOARD CORP ...................... 4 526,900 SEAGRAMS CO LTD .................... 19,982 220,600 SEAGRAMS CO LTD (U.S.) ............. 8,383 167,100(degree)SMITHFIELD FOODS, INC ............ 5,661 51,308 SMUCKER, (J.M.) CO (CLASS A) ....... 1,270 194,700 SMUCKER, (J.M.) CO (CLASS B) ....... 4,308 645,000 SNOW BRAND MILK PRODUCTS CO ........ 2,951 102,121 SOUTH AFRICAN BREWERIES LTD ........ 1,720 5,102 SOUTH AFRICAN BREWERIES LTD (SPONS ADR) ....................... 85 1,421,362 SOUTHCORP LTD ...................... 4,538 42,920(degree)SUIZA FOODS CORP ................. 2,186 3,000 TAKARA SHUZO CO LTD ................ 18 2,008,859 TATE & LYLE PLC .................... 11,063 217,490 TCBY ENTERPRISES, INC .............. 1,522 53,700 TIGER OATS LTD ..................... 529 25,025 TONGAAT HULETT GROUP LTD ........... 164 367,556 TOOTSIE ROLL INDUSTRIES, INC ....... 14,381 600(degree)TRIARC COS, INC .................. 10 1,881,760 TYSON FOODS, INC ................... 39,987 26,400 UNICER-UNIAO CERVEIJEIRA S.A. ...... 630 822,541 UNIGATE PLC ........................ 5,912 8,478,969 UNILEVER LTD ....................... 95,083 1,795,569 UNILEVER NV CERT ................... 153,561 49,594 UNITED BISCUITS HOLDINGS PLC ....... 195 851,032 UNIVERSAL FOODS CORP ............... 23,350 38,200 VINA CONCHA Y TORO S.A. ADR ........ 988 81,001 VISCOFAN S.A. ...................... 2,624 154,600(degree)VLASIC FOODS INTERNATIONAL, INC .. 3,681 258,506 WHITMAN CORP ....................... 6,560 1,666 WORTHINGTON FOODS, INC ............. 32 34,100 WRIGLEY (WM) JR CO ................. 3,054 373,800 #WRIGLEY (WM) JR CO (CLASS B) ....... 33,478 119,000 YAMAZAKI BAKING CO LTD ............. 1,554 ---------- 4,683,204 ---------- FOOD STORES--0.96% 1,516,100 ALBERTSONS, INC .................... 96,557 882,532 AMERICAN STORES CO ................. 32,599 4,878x(degree)BRUNOS, INC ..................... 4 103,627 CARREFOUR SUPERMARCHE S.A. ......... 78,265 266,700(degree)CASINO GUICHARD-PERRACHON S.A. ... 27,786 6,500 COLRUYT S.A. ....................... 5,449 132,450(degree)DELHAIZE FRERES NV ............... 11,721 1,084,750 FOOD LION, INC (CLASS A) ........... 11,525 2,061,250 FOOD LION, INC (CLASS B) ........... 20,741 614,300(degree)GENERAL NUTRITION COS, INC ....... 9,982 144,400 GREAT ATLANTIC & PACIFIC TEA CO, INC 4,278 457,527 HANNAFORD BROTHERS, INC ............ 24,249 1,400,000(degree)ITO-YOKADO CO LTD ................ 98,049 174,650(degree)JERONIMO MARTINS SGPS S.A. ....... 9,554 3,479,215 KONINKLIJKE AHOLD NV ............... 128,661 1,718,108(degree)KROGER CO ........................ 103,946 5,000 MARUETSU, INC ...................... 15 203,700 OSHAWA GROUP LTD (CLASS A) ......... 4,841 115,200 PICKN PAY STORES LTD SERIES N ...... 104 55,939(degree)PROMODES S.A. .................... 40,696 407,850 RINASCENTE S.P.A. .................. 4,203 29,300 RUDDICK CORP ....................... 674 918,687 SAFEWAY PLC ........................ 4,616 4,526,036(degree)SAFEWAY, INC ..................... 275,805 5,613,210 SAINSBURY (J) PLC .................. 44,992 164,440(degree)SEVEN-ELEVEN JAPAN CO LTD ........ 13,266 1,042,800(degree)SOUTHLAND CORP ................... 1,988 17,900(degree)STARBUCKS CORP ................... 1,005 18,048,145 TESCO PLC .......................... 51,424 304,000 UNY CO LTD ......................... 5,565 106,631 WEIS MARKETS, INC .................. 4,145 3,600(degree)WHOLE FOODS MARKET, INC .......... 174 36,300(degree)WILD OATS MARKETS, INC ........... 1,143 632 WINN DIXIE STORES, INC ............. 28 326 YOSHINOYA D&C CO LTD ............... 3,555 ---------- 1,121,605 ---------- FORESTRY--0.03% 15,700 CORTICEIRA AMORIM S.A. ............. 225 547,200 GEORGIA-PACIFIC CORP (TIMBER GROUP) 13,030 886,400 HIGHLANDS & LOWLANDS BERHAD ........ 406 772,800 KUALA LUMPUR KEPONG BERHAD ......... 925 416,539 RAYONIER, INC ...................... 19,135 ---------- 33,721 ---------- FURNITURE AND FIXTURES--0.12% 25,862 BASSETT FURNITURE INDUSTRIES, INC .. 624 18,800 BUSH INDUSTRIES, INC (CLASS A) ..... 234 251,400 ETHAN ALLEN INTERIORS, INC ......... 10,307 682,498(degree)FURNITURE BRANDS INTERNATIONAL, INC 18,598 341,400 HON INDUSTRIES, INC ................ 8,172 434,096 KIMBALL INTERNATIONAL, INC (CLASS B) 8,248 243,974(degree)KNOLL, INC ....................... 7,228 402,000 LA-Z-BOY, INC ...................... 7,161 3,167(degree)LADD FURNITURE, INC .............. 51 9,400(degree)LEAR CORP ........................ 362 326,648 LEGGETT & PLATT, INC ............... 7,186 32,859(degree)MEADOWCRAFT, INC ................. 368 559,200 MILLER (HERMAN), INC ............... 15,029 8,046,800(degree)OLIVETTI GROUP S.P.A. ............ 28,058 48,046(degree)OSULLIVAN INDUSTRIES HOLDINGS, INC 504 242,300 SHELBY WILLIAMS INDUSTRIES, INC .... 2,908 199,106 STEELCASE, INC ..................... 3,273 1,295,119 U.S. INDUSTRIES, INC ............... 24,122 10,540 VIRCO MANUFACTURING ................ 194 ---------- 142,627 ---------- FURNITURE AND HOMEFURNISHINGS STORES--0.23% 1,753,800(degree)BED BATH & BEYOND, INC ........... 59,848 136,200(degree)BEST BUY, INC .................... 8,359 12(degree)BOMBAY, INC ...................... 0 112,500(degree)CDNOW, INC ....................... 2,025 986,950 CIRCUIT CITY STORES-CIRCUIT CITY GROUP 49,286 7,200(degree)COMPUCOM SYSTEMS, INC ............ 25 1,228,386(degree)COMPUSA, INC ..................... 16,046 327,500(degree)EGGHEAD.COM, INC ................. 6,816 55,800(degree)GOOD GUYS, INC ................... 359 78,800 HAVERTY FURNITURE COS, INC ......... 1,655 4,087 HEILIG MEYERS CO ................... 27 900(degree)INACOM CORP ...................... 13 28,098 JD GROUP LTD ....................... 124 3,800(degree)LECHTERS, INC .................... 9 1,000(degree)LINENS N THINGS, INC ............. 40 250,978(degree)MAXIM GROUP, INC ................. 6,023 731,692(degree)MUSICLAND STORES CORP ............ 10,930 2,000(degree)N2K, INC ......................... 26 1,548,929 PIER 1 IMPORTS, INC ................ 15,005 3,587(degree)REX STORES CORP .................. 48 See notes to financial statements. 33 VALUE SHARES (000) ------ -------- FURNITURE AND HOMEFURNISHINGS STORES--(CONTINUED) 227,800 SHIMACHU CO ........................ $ 4,544 207,800 x(degree)SUN TELEVISION & APPLIANCES, INC 0 1,357,415 TANDY CORP ......................... 55,909 404,650(degree)TRANS WORLD ENTERTAINMENT CORP ... 7,714 423,850(degree)WILLIAMS-SONOMA, INC ............. 17,086 ---------- 261,917 ---------- GENERAL BUILDING CONTRACTORS--0.22% 693,953 AMEC PLC ........................... 2,055 231,620 BERKELEY GROUP PLC ................. 1,692 1,010,612 CENTEX CORP ........................ 45,541 29,974,000(degree)CHINA RESOURCES BEIJING LAND ..... 7,467 84,400(degree)CROSSMAN COMMUNITIES, INC ........ 2,332 54,000(degree)DAIKYO, INC ...................... 65 8,300 DAITO TRUST CONSTRUCTION CO LTD .... 72 2,533,000 DAIWA HOUSE INDUSTRY CO LTD ........ 27,014 833,000(degree)EKRAN BERHAD ..................... 156 1,334,300 FLETCHER CHALLENGE LTD (BUILDING DIVISION) ............... 2,065 1,729,000(degree)FUJITA CORP ...................... 966 175,000(degree)HASEKO CORP ...................... 88 159,000(degree)HAZAMA-GUMI LTD .................. 104 380,900 HILLENBRAND INDUSTRIES, INC ........ 21,664 582,966 HORTON (D.R.), INC ................. 13,408 210,000 IGB CORP BERHAD .................... 54 11,400 JARVIS PLC ......................... 126 746,359 KAUFMAN & BROAD HOME CORP .......... 21,458 26,000 KOMATSU CONSTRUCTION CO LTD ........ 31 904,885 LEIGHTON HOLDINGS LTD .............. 3,885 795,932 LENNAR CORP ........................ 20,097 278,900 MDC HOLDINGS, INC .................. 5,961 478,836 MISAWA HOMES CO LTD ................ 1,486 533,000 NISHIMATSU CONSTRUCTION CO LTD ..... 3,119 162,493(degree)NVR, INC ......................... 7,749 848,000 OBAYASHI CORP ...................... 4,075 413,861 PULTE CORP ......................... 11,511 138,400 RYLAND GROUP, INC .................. 3,996 1,079,000 SHIMIZU CORP ....................... 3,625 59,000(degree)SHOKUSAN JUTAKO SAGO ............. 23 308,460 SKANSKA AB SERIES B FREE ........... 8,562 7,360(degree)SOCIEDADE DE CONSTR SOARES DA COS BABY 24 52,046,000 +SOUTH CHINA INDUSTRIES LTD ......... 2,083 373,951 STANDARD-PACIFIC CORP .............. 5,282 6,300(degree)STRABAG BAU AG. .................. 390 34,000 SUZUNUI INDUSTRY CO LTD ............ 51 3,490,000 TAISEI CORP ........................ 6,714 1,322,394 TAYLOR WOODROW PLC ................. 3,311 419,266(degree)TOLL BROTHERS, INC ............... 9,460 800(degree)U.S. HOME CORP ................... 27 1,100(degree)WALTER INDUSTRIES, INC ........... 17 237,425 WEBB (DEL) CORP .................... 6,544 607,300 WILSON (CONNOLLY) HOLDINGS PLC ..... 1,086 1,161,524 WIMPEY (GEORGE) LTD ................ 2,097 1,091,000 YTL CORP BERHAD .................... 993 ---------- 258,526 ---------- GENERAL MERCHANDISE STORES--1.97% 17,300(degree)AMES DEPARTMENT STORES, INC ...... 467 586,463(degree)BJS WHOLESALE CLUB, INC .......... 27,161 229,500 x(degree)CALDOR CORP ................. 94 874,350 CASEYS GENERAL STORES, INC ......... 11,394 1,934,660 COLES MYER LTD ..................... 10,146 806(degree)CONSOLIDATED STORES CORP ......... 16 19,761 CORTEFIEL S.A. ..................... 522 36,800(degree)COST PLUS, INC ................... 1,155 986,236(degree)COSTCO COS, INC .................. 71,194 96,000 DAIEI, INC ......................... 261 323,000 DAIMARU, INC ....................... 974 1,380,125 DAVID JONES LTD .................... 1,524 3,647,480 DAYTON HUDSON CORP ................. 197,876 1,549,000 DILLARDS, INC (CLASS A) ............ 43,953 28,593 DOLLAR GENERAL CORP ................ 676 1,086,775(degree)DOLLAR TREE STORES, INC .......... 47,478 31,900 FAMILY DOLLAR STORES, INC .......... 702 2,174,362(degree)FEDERATED DEPARTMENT STORES, INC . 94,721 387,570(degree)FRED MEYER, INC .................. 23,351 147,800 FREDS, INC ......................... 2,217 703,000 GIORDANO INTERNATIONAL LTD ......... 132 310,300(degree)GOTTSCHALKS, INC ................. 2,366 259,300 HAGEMEYER NV ....................... 9,478 156,000 HANKYU DEPARTMENT STORES, INC ...... 1,025 8 HARCOURT GENERAL, INC .............. 0 50,950(degree)HOMEBASE, INC .................... 325 67,300 HUDSONS BAY CO ..................... 848 744,000 ISETAN CO .......................... 7,994 89,750(degree)JACOBSON STORES, INC ............. 628 2,340 JELMOLI HOLDINGS AG. (BR) .......... 2,624 1,143,000(degree)JUSCO CO LTD ..................... 23,154 5,859,800(degree)K MART CORP ...................... 89,728 43,503(degree)KARSTADT AG ...................... 22,723 158,400 KESCO OYJ .......................... 2,378 5,347,281 KINGFISHER PLC ..................... 57,874 811,900(degree)KOHLS CORP ....................... 49,881 190,490 x(degree)LURIA (L.) & SON, INC ....... 1 6,949,151 MARKS & SPENCER PLC ................ 47,664 1,799,000 MARUI CO LTD ....................... 34,688 1,237,755 MAY DEPARTMENT STORES CO ........... 74,729 130,000 MEIKLES AFRICA LTD (ZIMBABWE) ...... 87 862,213 METRO AG ........................... 68,849 45,000 MITSUKOSHI LTD ..................... 120 984,800 MYCAL CORP ......................... 5,884 630,849(degree)NEIMAN-MARCUS GROUP, INC ......... 15,732 1,367,592 PENNEY (J.C.) CO, INC .............. 64,106 74,900 PEPKOR LTD ......................... 312 89,600 PICKN PAY STORES LTD ............... 87 348,452 PINAULT-PRINTEMPS-REDOUTE S.A. ..... 66,619 3,250(degree)RINASCENTE S.P.A. WTS 12/31/99 ... 7 193,800 ROBINSON & CO LTD .................. 435 900,980(degree)SAKS, INC ........................ 28,437 44,022(degree)SEARS PLC ........................ 190 3,165,300 SEARS ROEBUCK & CO ................. 134,525 1,000 SEIYU LTD .......................... 3 16,030(degree)SERVICE MERCHANDISE, INC ......... 5 360,700(degree)SHOPKO STORES, INC ............... 11,993 51,200 SONAE INVESTIMENTOS-SGPS S.A. ...... 2,489 38,150(degree)STOCKMANN AB OY SERIES A ......... 943 50,825 STOCKMANN B FREE ................... 960 445,000 TAKASHIMAYA CO LTD ................. 3,752 46,729 TRUWORTHS INTERNATIONAL LTD ........ 26 9,700(degree)VALUE CITY DEPARTMENT STORES, INC 135 200(degree)VENATOR GROUP, INC ............... 1 173,626x(degree)VENTURE STORES, INC ............. 1 11,259,959 WAL-MART STORES, INC ............... 916,983 1,391,879 WATERFORD WEDGWOOD PLC (UNITS) ..... 1,183 42,000 WOOLTRU LTD ........................ 53 61,000 WOOLTRU LTD (CLASS N) (NON-VOTE) ... 75 ---------- 2,288,114 ---------- HEALTH SERVICES--0.43% 1,400(degree)ADVANCE PARADIGM, INC ............ 49 52,586 ALLEGIANCE CORP .................... 2,452 184,300(degree)AMERICAN HOMEPATIENT, INC ........ 334 900(degree)AMERICAN ONCOLOGY RESOURCES, INC . 13 5,678(degree)AMERICAN RETIREMENT CORP ......... 89 186,700(degree)AMERIPATH, INC ................... 1,669 4,200(degree)APPLIED ANALYTICAL INDUSTRIES, INC 73 647,753(degree)APRIA HEALTHCARE GROUP, INC ...... 5,789 1,130,361(degree)BEVERLY ENTERPRISES, INC ......... 7,630 155,208(degree)CAREMATRIX CORP .................. 4,753 See notes to financial statements. 34 VALUE SHARES (000) ------ -------- HEALTH SERVICES--(CONTINUED) 107,800(degree)CENTENNIAL HEALTHCARE CORP ....... $ 1,671 7,100(degree)CLINTRIALS, INC .................. 28 101,595(degree)COASTAL PHYSICIAN GROUP, INC ..... 35 4,370,399 COLUMBIA/HCA HEALTHCARE CORP ....... 108,167 687,100(degree)CONCENTRA MANAGED CARE, INC ...... 7,343 7,832(degree)CORAM HEALTHCARE CORP ............ 15 212,595 #CORAM HEALTHCARE CORP WTS 07/11/99 . 0 639,116(degree)COVANCE, INC ..................... 18,614 212,800(degree)COVENTRY HEALTH CARE, INC ........ 1,875 221,500(degree)CURATIVE HEALTH SERVICES, INC .... 7,420 66,282(degree)ENZO BIOCHEMICAL, INC ............ 684 111,300(degree)EXPRESS SCRIPTS, INC ............. 7,471 86,200(degree)EXTENDICARE, INC (CLASS A) ....... 488 341,800x(degree)FPA MEDICAL MANAGEMENT, INC ..... 0 26,000(degree)GENESIS HEALTH VENTURES, INC ..... 228 444,952(degree)HCR MANOR CARE ................... 13,070 3,184,050(degree)HEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) NEW ..................... 68,855 23,300(degree)HEALTHCARE RECOVERIES, INC ....... 396 138,000 HEALTHPLAN SERVICES CORP ........... 1,587 4,162,268(degree)HEALTHSOUTH CORP ................. 64,255 377,163(degree)INTEGRATED HEALTH SERVICES, INC .. 5,327 795,980(degree)LABORATORY CORP OF AMERICA HOLDINGS 1,094 75,098(degree)LABORATORY CORP OF AMERICA HOLDINGS WTS 04/28/00 ...................... 0 2,483(degree)LCA-VISION, INC .................. 3 723,850(degree)LINCARE HOLDINGS, INC ............ 29,361 360(degree)LTC HEALTHCARE, INC .............. 1 95,600(degree)MAGELLAN HEALTH SERVICES, INC .... 801 1,183,324(degree)MARINER POST-ACUTE NETWORK, INC .. 5,399 12,000(degree)MATRIA HEALTHCARE, INC ........... 35 234,200 MDS, INC (CLASS B) ................. 4,498 15,966(degree)MEDICAL RESOURCES, INC ........... 36 2,700,181(degree)MEDPARTNERS, INC ................. 14,176 19,732(degree)NATIONAL HEALTHCARE CORP ......... 306 104,000 NICHII GAKKAN CO ................... 4,333 1,034,935(degree)NOVACARE, INC .................... 2,587 700(degree)ORTHODONTIC CENTERS OF AMERICA, INC 14 18,356(degree)PARACELSUS HEALTHCARE CORP ....... 29 270,100(degree)PEDIATRIX MEDICAL GROUP, INC ..... 16,189 23,900x(degree)PHP HEALTHCARE CORP ............. 1 358,687(degree)PHYCOR, INC ...................... 2,444 255,700(degree)PHYMATRIX CORP ................... 559 449,100(degree)PHYSICIAN RELIANCE NETWORK, INC .. 5,894 5,794(degree)PHYSICIANS RESOURCE GROUP, INC ... 0 1,900(degree)PRIME MEDICAL SERVICES, INC ...... 14 142,800(degree)PROVINCE HEALTHCARE CO ........... 5,123 75(degree)PSS WORLD MEDICAL, INC ........... 2 42,808(degree)QUEST DIAGNOSTICS, INC ........... 763 667,900(degree)QUORUM HEALTH GROUP, INC ......... 8,641 190,100(degree)RENAL CARE GROUP, INC ............ 5,477 177,984(degree)RESPONSE ONCOLOGY, INC ........... 723 966(degree)SUN HEALTHCARE GROUP, INC ........ 6 1,840,303(degree)TENET HEALTHCARE CORP ............ 48,308 84,100(degree)UNITED PAYORS & UNITED PROVIDERS, INC 2,397 273,500(degree)UNIVERSAL HEALTH SERVICES, INC ... 14,188 73,688(degree)VENCOR, INC ...................... 332 ---------- 504,114 ---------- HEAVY CONSTRUCTION, EXCEPT BUILDING--0.17% 207,500(degree)ACS ACTIVIDADES CONS Y SERV ...... 8,201 1,626,000(degree)AOKI CONSTRUCTION CO LTD ......... 778 176,700x(degree)ATKINSON (G.F.) CO OF CALIFORNIA 1 351,920 AUTOPISTAS CONCESIONARIA ESPANOLA S.A. ..................... 5,861 137,284 BOUYGUES S.A. ...................... 28,311 945,675 BRISA-AUTO ESTRADAS DE PORTUGAL S.A. 55,666 37,000(degree)CHIYODA CORP ..................... 71 9,928(degree)COSTAIN GROUP PLC ................ 3 225,286 DRAGADOS Y CONSTRUCCIONES S.A. ..... 8,315 182,368(degree)DYCOM INDUSTRIES, INC ............ 10,418 12,306 ENGIL-SGPS ......................... 84 144,400 FLUOR CORP ......................... 6,146 207,248 FOMENTO CONSTRUCCIONES Y CONTRATAS S.A. .................... 15,431 713,202 FOSTER WHEELER CORP ................ 9,405 262,550 GRANITE CONSTRUCTION, INC .......... 8,812 46,270 GROUPE GTM ......................... 4,804 57,200 HOCHTIEF AG. ....................... 2,232 49,378 HOLLANDSCHE BETON GROEP NV (H.B.G.) 610 823,410(degree)IMPREGILO S.P.A. ................. 746 291,300(degree)INSITUFORM TECHNOLOGIES, INC (CLASS A) 4,224 668,000 JGC CONSTRUCTION CORP .............. 1,569 2,274,000 KAJIMA CORP ........................ 5,947 178,000 KUMAGAI GUMI CO LTD ................ 137 294,400 KUMAGAI GUMI CO LTD (H.K.) ......... 125 500,000 LARSEN & TOUBRO GDR ................ 3,838 424,000 MAEDA ROAD CONSTRUCTION CO LTD ..... 2,853 1,150(degree)MASTEC, INC ...................... 24 1,000 MATSUO BRIDGE CO LTD ............... 2 200 MCDERMOTT INTERNATIONAL, INC ....... 5 100(degree)MORRSION KNUDSEN CORP ............ 1 17,039(degree)MORRISON KNUDSEN CORP WTS 03/11/03 53 191,000(degree)NIIGATA ENGINEERING CO LTD ....... 154 485,000 OKUMURA CORP ....................... 2,154 1,200(degree)OMNIAMERICA, INC ................. 38 130,000 PENTA OCEAN CONSTRUCTION CO LTD .... 260 786,000 SATO KOGYO ......................... 599 9,200(degree)SOCIEDADE DE CONSTRUCOES SOARES DA COS ..................... 31 13,034 SOMAGUE-SGPS S.A. .................. 76 40,500 SUPERFOS AS ........................ 598 364,000 TOA CORP ........................... 671 50,000 TOMOE ENGINEERING CO LTD ........... 332 82,000 TOYO EXTERIOR CORP ................. 800 61,000(degree)TOYO KANETSU K.K. ................ 63 1,002,100#(degree)UNITED ENGINEERING BERHAD ....... 511 2,524,000 UNITED INDUSTRIAL CORP ............. 1,010 27,000(degree)UNITED INDUSTRIAL CORP WTS 07/05/99 1 3,300 UNIVERSALE-BAU AG. ................. 118 16,300 VA TECHNOLOGIE AG. (BR) ............ 1,413 1,000 YOKOGAWA BRIDGE CORP ............... 3 ---------- 193,505 ---------- HOLDING AND OTHER INVESTMENT OFFICES--0.72% 600(degree)ALEXANDERS, INC .................. 47 4,948 ALEXANDRIA REAL ESTATE EQUITIES, INC 153 3,042,373(degree)ALLIED ZURICH PLC ................ 45,380 235,900 AMB PROPERTY CORP .................. 5,190 2,800(degree)AMERCO ........................... 78 182,300 AMERICAN HEALTH PROPERTIES, INC .... 3,760 21,100 AMLI RESIDENTIAL PROPERTIES TRUST .. 469 20,600(degree)ANGLOVAAL INDUSTRIAL HOLDINGS .... 64 63,000 ANGLOVAAL INDUSTRIES LTD ........... 80 20,600 ANGLOVAAL MINING LTD ............... 63 2,100(degree)ANTHRACITE CAPITAL, INC .......... 16 285,453 APARTMENT INVESTMENT & MANAGEMENT CO ..................... 10,615 1,386,000(degree)APPLIED INTERNATIONAL HOLDINGS LTD 24 662,753 ARCHSTONE COMMUNITIES TRUST ........ 13,421 4,000(degree)ASSOCIATED ESTATES REALTY CORP ... 47 429,841 AVALONBAY COMMUNITIES, INC ......... 14,722 64,917 BARLOW LTD ......................... 249 6,199,690#(degree)BB BIOVENTURES LP ............... 7,971 38,300 BEDFORD PROPERTY INVESTORS, INC .... 646 29,800 BERKSHIRE REALTY CO, INC ........... 283 246,100 BOSTON PROPERTIES, INC ............. 7,506 2,727(degree)BOYKIN LODGING CO ................ 34 175,283 BRADLEY REAL ESTATE, INC ........... 3,593 See notes to financial statements. 35 VALUE SHARES (000) ------ -------- HOLDING AND OTHER INVESTMENT OFFICES--(CONTINUED) 6,000 BRANDYWINE REALTY TRUST ............ $ 107 222,000 BRE PROPERTIES, INC (CLASS A) ...... 5,495 6,700,398 BRIERLEY INVESTMENTS LTD ........... 1,522 29,900 BURNHAM PACIFIC PROPERTIES, INC .... 361 134,272 CAMDEN PROPERTY TRUST .............. 3,491 276,477 CAPSTEAD MORTGAGE CORP ............. 1,140 447,000 CARRAMERICA REALTY CORP ............ 10,728 223,900 CBL & ASSOCIATES PROPERTIES, INC ... 5,779 243,400 CCA PRISON REALTY TRUST ............ 4,990 226,600 CENTERPOINT PROPERTIES CORP ........ 7,662 40,800(degree)CENTERTRUST RETAIL PROPERTIES, INC 500 32,600(degree)CHARLES E. SMITH RESIDENTIAL REALTY 1,047 69,900 CHATEAU PROPERTIES, INC ............ 2,049 64,700 CHELSEA GCA REALTY, INC ............ 2,305 648,500(degree)COAST FEDERAL LITIGATION CONTINGENT RTS .................... 4,296 59,900 COLONIAL PROPERTIES TRUST .......... 1,595 55,829 COMMERCIAL NET LEASE REALTY, INC ... 740 207,600 CORNERSTONE PROPERTIES, INC ........ 3,244 2,800 CORNERSTONE REALTY INCOME TRUST, INC 29 93,877 COUSINS PROPERTIES, INC ............ 3,028 798,600 CRESCENT REAL ESTATE EQUITIES CO ... 18,368 29,910(degree)CRESECENT OPERATING, INC ......... 142 6,496 xCRIIMI MAE, INC .................... 23 241,994 CROWN AMERICAN REALTY TRUST ........ 1,875 453,700 DEVELOPERS DIVERSIFIED REALTY CORP . 8,053 330,660(degree)DROTT AB SERIES B ................ 3,039 749,742 DUKE REALTY INVESTMENTS, INC ....... 17,432 26,793 DYNEX CAPITAL, INC ................. 124 58,900 EASTGROUP PROPERTIES, INC .......... 1,086 170,800 ENTERTAINMENT PROPERTIES TRUST ..... 2,904 23,100 EQUITY INNS, INC ................... 222 1,917,290 EQUITY OFFICE PROPERTIES TRUST ..... 46,015 543,451 EQUITY RESIDENTIAL PROPERTIES TRUST CO 21,976 2,400 ESSEX PROPERTY TRUST, INC .......... 71 12,922 EURAFRANCE S.A. .................... 8,559 102,900 FEDERAL REALTY INVESTMENT TRUST .... 2,431 18,415 FELCOR LODGING TRUST, INC .......... 425 3,620(degree)FIRST HUNGARY FUND LTD (CLASS A) . 4,929 292,500 FIRST INDUSTRIAL REALTY TRUST, INC . 7,843 1,598,400 FIRST NIS REGIONAL FUND (FULLY PD) . 9,990 248,893(degree)FIRST RUSSIAN FRONTIER PLC ORD ... 756 49,778(degree)FIRST RUSSIAN FRONTIER SERIES A WTS 06/30/01 ...................... 21 3,100(degree)FIRST UNION REAL ESTATE INVESTMENTS 18 291,086 FRANCHISE FINANCE CORP OF AMERICA .. 6,986 235,700 GENERAL GROWTH PROPERTIES, INC ..... 8,927 343,538(degree)GETTY REALTY HOLDINGS CORP ....... 5,024 4,200 GLENBOROUGH REALTY TRUST, INC ...... 86 48,900 GLIMCHER REALTY TRUST .............. 767 33,030 GREAT LAKES REIT, INC .............. 518 110,500 HEALTH CARE PROPERTY INVESTORS, INC 3,398 100,318 HEALTH CARE REIT, INC .............. 2,596 73,000 HEALTHCARE REALTY TRUST, INC ....... 1,629 592,700 HIGHWOODS PROPERTIES, INC .......... 15,262 3,633(degree)HOME PROPERTIES OF NEW YORK, INC . 94 4,219(degree)HORIZON GROUP PROPERTIES, INC .... 16 227,400 HOSPITALITY PROPERTIES TRUST ....... 5,486 781,500 HRPT PROPERTIES TRUST .............. 10,990 8,251,400 HUTCHINSON WHAMPOA LTD ............. 58,312 100(degree)IMPAC MORTGAGE HOLDINGS, INC ..... 0 29,400 IMPERIAL CREDIT COMMERCIAL MORTGAGE INVESTMENT CORP ................... 276 947,175 INDYMAC MORTGAGE HOLDINGS, INC ..... 10,005 120,900 INNKEEPERS U.S.A. TRUST ............ 1,428 97,300 IRT PROPERTY CO .................... 973 59,200 IRVINE APARTMENT COMMUNITIES, INC .. 1,887 65,400 JDN REALTY CORP .................... 1,410 103,500 JP REALTY, INC ..................... 2,031 1,726 KILROY REALTY CORP ................. 40 483,150 KIMCO REALTY CORP .................. 19,175 87,600 KOGER EQUITY, INC .................. 1,506 1,879,952 LAND SECURITIES PLC ................ 24,210 1,501,738 LEND LEASE CORP LTD ................ 20,266 230,800 LIBERTY PROPERTY TRUST CO .......... 5,683 800 LTC PROPERTIES, INC ................ 13 68,100 MACERICH CO ........................ 1,745 389,500 MACK-CALI REALTY CORP .............. 12,026 97,400 MANUFACTURED HOME COMMUNITIES, INC . 2,441 800,882 MEDITRUST CORP PAIRED .............. 12,113 113,300 MERIDIAN INDUSTRIAL TRUST, INC ..... 2,663 401,781 MERISTAR HOSPITALITY CORP .......... 7,458 21,635(degree)MERRY LAND PROPERTIES, INC ....... 78 54,400 MGI PROPERTIES, INC ................ 1,520 1,025 MID-AMERICA APARTMENT COMMUNITIES, INC .................. 23 2,445 MILLS CORP ......................... 49 98,800 NATIONAL GOLF PROPERTIES, INC ...... 2,859 18,400 NATIONAL HEALTH INVESTORS, INC ..... 454 194,100 NATIONWIDE HEALTH PROPERTIES, INC .. 4,185 1,011,546 NEW PLAN EXCEL REALTY TRUST ........ 22,444 46,500 OMEGA HEALTHCARE INVESTORS, INC .... 1,404 262,240 ORIENTAL HOLDINGS .................. 283 20,900 PACIFIC GULF PROPERTIES, INC ....... 419 91,900 PAN PACIFIC RETAIL PROPERTIES, INC . 1,832 3,546 PARKWAY PROPERTIES, INC ............ 111 263,825 PATRIOT AMERICAN HOSPITALITY, INC .. 1,583 77,572(degree)PEC ISRAEL ECONOMIC CORP ......... 2,230 438,824 NOBLEZA-PICCARDO SDAD INDUSTRIAL COMERCIAL Y FINANCIERA ............ 1,858 106,740 POST PROPERTIES, INC ............... 4,103 569,100 POWER CORP OF CANADA ............... 12,301 236,400 PRENTISS PROPERTIES TRUST .......... 5,275 4,575(degree)PRICESMART, INC .................. 80 34,000 PRIME GROUP REALTY TRUST ........... 514 144,300 PROLOGIS TRUST ..................... 2,994 45,448 PS BUSINESS PARKS, INC ............. 1,085 889,200 PUBLIC STORAGE, INC ................ 24,064 102,300 REALTY INCOME CORP ................. 2,545 143,600 RECKSON ASSOCIATES REALTY CORP ..... 3,186 15,229 REDWOOD TRUST, INC ................. 213 76,600 REGENCY REALTY CORP ................ 1,704 156,700 REMBRANDT GROUP LTD ................ 959 317,000 RFS HOTEL INVESTORS, INC ........... 3,883 100 SAUL CENTERS, INC .................. 2 105,300 SHURGARD STORAGE CENTERS, INC ...... 2,718 764,260 SIMON PROPERTY GROUP, INC .......... 21,781 5,500 SL GREEN REALTY CORP ............... 119 54,600(degree)SOVRAN SELF STORAGE, INC ......... 1,372 318,000 SPIEKER PROPERTIES, INC ............ 11,011 32,501 ST. JAMES PLACE CAPITAL PLC ........ 157 13,600 STARWOOD FINANCIAL TRUST ........... 816 978,437 STARWOOD HOTELS & RESORTS TRUST .... 22,198 26,500(degree)STORAGE TRUST REALTY ............. 619 208,900 STORAGE U.S.A., INC ................ 6,750 1,511,000 SUMITOMO CORP ...................... 7,367 48,100(degree)SUMMIT PROPERTIES, INC ........... 830 63,600 SUN COMMUNITIES, INC ............... 2,214 900 SUNSTONE HOTEL INVESTORS, INC ...... 8 900 TANGER FACTORY OUTLET CENTERS, INC . 19 548,680 TAUBMAN CENTERS, INC ............... 7,544 74,009(degree)THORNBURG MORTGAGE ASSET CORP .... 564 275,700 TOWER REALTY TRUST, INC ............ 5,548 1,100 TOWN & COUNTRY TRUST ............... 18 83,400 TRINET CORPORATE REALTY TRUST, INC . 2,231 38,800 U.S. RESTAURANT PROPERTIES, INC .... 943 20,505,060(degree)UNIONE IMMOBILIARE S.P.A. ........ 10,718 See notes to financial statements. 36 VALUE SHARES (000) ------ -------- HOLDING AND OTHER INVESTMENTS OFFICE (CONTINUED) 1,070,712 UNITED DOMINION REALTY TRUST, INC .. $11,042 1,206 UNIVERSAL HEALTH REALTY INCOME TRUST ...................... 24 58,500 URBAN SHOPPING CENTERS, INC ........ 1,916 712,456(degree)VENTAS, INC ...................... 8,683 5,465(degree)VORNADO OPERATING CO ............. 44 189,200 VORNADO REALTY TRUST ............... 6,386 119,300(degree)WALDEN RESIDENTIAL PROPERTIES, INC 2,438 162,900 WASHINGTON REAL ESTATE INVESTMENT TRUST .................. 3,034 40,600 WEEKS CORP 1,144 374,332 WEINGARTEN REALTY INVESTORS, INC ... 16,705 59,198(degree)WELLSFORD REAL PROPERTIES, INC ... 610 55,300 WESTERN INVESTMENT REAL ESTATE TRUST 653 151,800 WESTFIELD AMERICA, INC ............. 2,619 84,407(degree)WESTFIELD TRUST (UNITS) NEW ...... 181 1,700 WINSTON HOTELS, INC ................ 14 ---------- 843,539 ---------- HOTELS AND OTHER LODGING PLACES--0.17% 84,236(degree)ACCOR S.A. ....................... 18,246 741,072(degree)AZTAR CORP ....................... 3,752 611,000 BERJAYA LAND BERHAD ................ 206 9,050(degree)BRISTOL HOTELS & RESORTS, INC .... 55 4,820,071(degree)CENDANT CORP ..................... 91,883 385,078(degree)CHOICE HOTELS INTERNATIONAL, INC . 5,271 20,184(degree)CIRCUS CIRCUS ENTERPRISES, INC ... 231 48,700(degree)CLUB MEDITERRANEE S.A. ........... 4,376 245,660(degree)CRESTLINE CAPITAL CORP ........... 3,593 1,628,934(degree)CROWN LTD ........................ 610 1,098,600(degree)EXTENDED STAY AMERICA, INC ....... 11,535 70,000(degree)FABER GROUP BERHAD ............... 8 10,000 FUJITA KANKO, INC .................. 89 6,500 GENTING BERHAD ..................... 10 19,100(degree)GENTING INTERNATIONAL PLC ........ 2 2,000 HARBOUR CENTRE DEVELOPMENT LTD ..... 1 30,017 HILTON HOTELS CORP ................. 574 46,353(degree)HOMESTEAD VILLAGE, INC ........... 209 3,137,283 HONG KONG & SHANGHAI HOTELS LTD .... 2,227 34,500 HOTEL PROPERTIES LTD ............... 15 82,000 JURYS HOTEL GROUP PLC .............. 624 19,278 KERSAF INVESTMENTS LTD ............. 59 731,676 LADBROKE GROUP PLC ................. 2,940 440,000 LANDMARKS HOLDINGS BERHAD .......... 82 84,700(degree)LODGIAN, INC ..................... 413 74,415(degree)MARCUS CORP ...................... 1,209 132,400 MEIKLES AFRICA LTD ................. 74 6,400(degree)MERISTAR HOTELS & RESORTS, INC ... 17 7,181(degree)MGM GRAND, INC ................... 195 1,834,500 MIRAMAR HOTEL & INVESTMENT CO LTD .. 1,882 600(degree)PRIMADONNA RESORTS, INC .......... 5 3,471(degree)PRIME HOSPITALITY CORP ........... 37 983,750(degree)PROMUS HOTEL CORP ................ 31,849 199,288(degree)RED ROOF INNS, INC ............... 3,363 384,500 REGAL HOTELS INTERNATIONAL LTD ..... 42 968,100 RESORTS WORLD BERHAD ............... 781 2,832,500 SHANGRI-LA ASIA LTD ................ 2,413 2,703 SHANGRI-LA HOTELS BERHAD ........... 1 42,500 SOL MELIA S.A. ..................... 1,485 7,800(degree)SUBURBAN LODGES OF AMERICA, INC .. 64 11,786(degree)SUNBURST HOSPITALITY CORP ........ 50 233,293(degree)SUNTERRA CORP .................... 3,499 61,700(degree)TRENDWEST RESORTS, INC ........... 771 10,500(degree)TRUMP HOTEL & CASINO RESORT, INC . 39 2,831(degree)VAIL RESORTS, INC ................ 62 18,600(degree)VISTANA, INC ..................... 260 1,654,666 ZIMBABWE SUN LTD ................... 93 ---------- 195,202 ---------- INDUSTRIAL MACHINERY AND EQUIPMENT--6.78% 5,173,949(degree)3COM CORP ........................ $231,858 2,400(degree)3DFX INTERACTIVE, INC ............ 30 13,681 ABB ASEA BROWN BOVERI LTD (BR) ..... 16,037 2,493,300(degree)ADAPTEC, INC ..................... 43,789 1,300(degree)AG-CHEM EQUIPMENT CO, INC ........ 15 190,200 AGCO CORP .......................... 1,498 137,240 AGIV AG. ........................... 3,543 2,700 ALAMO GROUP, INC ................... 31 3,500 ALLIED PRODUCTS CORP ............... 22 219,000 AMADA CO LTD ....................... 1,062 333,000 AMANO CORP ......................... 3,150 1,066,300(degree)AMERICAN STANDARD COS, INC ....... 38,387 53,200(degree)APEX PC SOLUTIONS, INC ........... 1,536 1,502,694(degree)APPLE COMPUTER, INC .............. 61,517 3,116,400(degree)APPLIED MATERIALS, INC ........... 133,031 184,049 APPLIED POWER, INC (CLASS A) ....... 6,948 45,000(degree)ASK ASA .......................... 278 9,600(degree)ASTEC INDUSTRIES, INC ............ 534 5,800(degree)ASYST TECHNOLOGIES, INC .......... 118 284,010 ATLAS COPCO AB SERIES A FREE ....... 6,237 235,270 ATLAS COPCO AB SERIES B FREE ....... 5,108 2,000(degree)ATMI, INC ........................ 51 26,900(degree)AUSPEX SYSTEMS, INC .............. 116 266,370(degree)AUTOTOTE CORP (CLASS A) .......... 516 380,331 BAKER HUGHES, INC .................. 6,727 3,700(degree)BANCTEC, INC ..................... 46 34,200(degree)BELL & HOWELL CO ................. 1,293 107,100 BLACK & DECKER CORP ................ 6,004 500(degree)BLACK BOX CORP ................... 19 5,300(degree)BROWN & SHARPE MANUFACTURING CO (CLASS A) ......................... 42 1,090,315 BRUNSWICK CORP ..................... 26,985 8,700(degree)BUDERUS AG. ...................... 3,171 476,400(degree)C-CUBE MICROSYSTEMS, INC ......... 12,922 908,400(degree)CABLETRON SYSTEMS, INC ........... 7,608 2,076 CASCADE CORP ....................... 33 102,434 CASE CORP .......................... 2,234 1,000 CATENA CORP ........................ 4 2,040,200 CATERPILLAR, INC ................... 93,849 1,049,000(degree)CIRRUS LOGIC, INC ................ 10,293 14,003,690(degree)CISCO SYSTEMS, INC ............... 1,299,717 1,895,000(degree)COLTEC INDUSTRIES, INC ........... 36,953 39,100 COLUMBUS MCKINNON CORP ............. 704 11,656,726 COMPAQ COMPUTER CORP ............... 488,854 42,296(degree)COOPER CAMERON CORP .............. 1,036 280,400(degree)COPYTELE, INC .................... 359 283,200 CUMMINS ENGINE CO, INC ............. 10,054 9,550(degree)CUNO, INC ........................ 155 6,900(degree)CYLINK CORP ...................... 25 57,000 DAIFUKU CO LTD ..................... 305 988,000 DAIKIN INDUSTRIES LTD .............. 9,810 7,100(degree)DATA GENERAL CORP ................ 117 1,815,873 DEERE & CO ......................... 60,151 7,534,738(degree)DELL COMPUTER CORP ............... 551,449 487,174 DELTA PLC .......................... 908 114,700(degree)DETROIT DIESEL CORP .............. 2,373 181,850(degree)DEUTZ AG. ........................ 1,692 137,600(degree)DIALOGIC CORP .................... 2,705 267,700(degree)DIAMOND MULTIMEDIA SYSTEMS, INC .. 1,707 1,169,762 DIEBOLD, INC ....................... 41,746 200,300(degree)DIGI INTERNATIONAL, INC .......... 2,228 252,100 DONALDSON CO, INC .................. 5,231 427,750 DOVER CORP ......................... 15,666 69,000(degree)DREXLER TECHNOLOGY CORP .......... 828 94,600(degree)DRIL-QUIP, INC ................... 1,679 1,200 DT INDUSTRIES, INC ................. 19 393,000 EBARA CORP ......................... 3,390 See notes to financial statements. 37 VALUE SHARES (000) ------ -------- INDUSTRIAL MACHINERY AND EQUIPMENT--(CONTINUED) 8,100(degree)ELECTROGLAS, INC ................. $ 95 3,858,489(degree)EMC CORP ......................... 327,972 3,000(degree)EMULEX CORP ...................... 120 3,100(degree)ENCAD, INC ....................... 11 20,400(degree)EST ASIATIQUE .................... 141 287,620(degree)ESTERLINE CORP ................... 6,256 6,200(degree)ETEC SYSTEMS, INC ................ 248 4,300(degree)EXABYTE CORP ..................... 24 17,900 FAG KUGELFISCHER (GEORG) SCHAEFER AG. 152 570,220 FANUC LTD .......................... 19,563 249,370 FEDDERS CORP ....................... 1,449 153,550 FEDDERS CORP (CLASS A) ............. 806 5,400(degree)FEI CO ........................... 41 1,941,095 FKI PLC ............................ 4,344 656,310 FLOWSERVE CORP ..................... 10,870 63,300 FLS INDUSTRIES AS (CLASS B) ........ 1,293 6,900(degree)FSI INTERNATIONAL, INC ........... 72 2,000 FUJI TEC CO LTD .................... 13 2,823,121 FUTURIS CORP LTD ................... 3,204 170,691(degree)GARDNER DENVER, INC .............. 2,518 14,738(degree)GATEWAY 2000, INC ................ 754 14,800 GENERAL BINDING CORP ............... 551 500,000 GILDEMEISTER S.P.A. ................ 1,822 43,500(degree)GLEASON CORP ..................... 788 211,917(degree)GLOBAL INDUSTRIAL TECHNOLOGIES, INC 2,265 239,881 GRACO, INC ......................... 7,076 6,962(degree)GRADCO SYSTEMS, INC .............. 18 61,100 HARDINGE, INC ...................... 1,127 38,300 HARNISCHFEGER INDUSTRIES, INC ...... 390 6,412,197 HEWLETT-PACKARD CO ................. 438,033 891,000 HITACHI ZOSEN CORP ................. 1,232 294,300(degree)HORIZON OFFSHORE, INC ............ 1,619 783,473 HUSSMANN INTERNATIONAL, INC ........ 15,180 77,200(degree)HYPERCOM CORP .................... 762 24,630 IDEX CORP .......................... 603 2,500(degree)IN FOCUS SYSTEMS, INC ............ 22 70,530 INDUSTRIE-WERKE KARLSRUHE AUGSBURG AG. ...................... 1,156 1,688,900 INGERSOLL-RAND CO .................. 79,273 250,900(degree)INTEGRATED PROCESS EQUIPMENT CORP 2,697 9,489,225*INTERNATIONAL BUSINESS MACHINES CORP .... 1,753,134 500(degree)INTEVAC, INC ..................... 3 47,551(degree)IOMEGA CORP ...................... 348 400(degree)IONICS, INC ...................... 12 266,605(degree)IRI INTERNATIONAL CORP ........... 1,066 669,000 JLG INDUSTRIES, INC ................ 10,453 96,100(degree)JTS CORP ......................... 1 419,200 KAYDON CORP ........................ 16,794 80,000(degree)KCI KONESCRANES INTERNATIONAL .... 3,634 19 KENNAMETAL, INC .................... 0 2,071,900 KEPPEL CORP ........................ 5,550 1,487,000 KOMATSU LTD ........................ 7,817 310,000 KOMORI CORP ........................ 6,541 11,360 KONE CORP SERIES B ................. 1,324 97,000 KOYO SEIKO CO LTD .................. 538 48,800(degree)KRONOS, INC ...................... 2,162 2,615,000 KUBOTA CORP ........................ 7,813 5,800(degree)KULICHE & SOFFA INDUSTRIES, INC .. 103 379,000 KURITA WATER INDUSTRIES LTD ........ 5,571 107,559(degree)LAM RESEARCH CORP ................ 1,916 819,633(degree)LEXMARK INTERNATIONAL GROUP (CLASS A) 82,373 89,300 LINCOLN ELECTRIC HOLDINGS CO ....... 1,987 6,593 LINDE AG. .......................... 4,057 14,450 LINDSAY MANUFACTURING CO ........... 214 680,000 LUCASVARITY PLC ADR ................ 22,780 7,000 LUFKIN INDUSTRIES, INC ............. 130 322,000 MAKINO MILLING MACHINE CO LTD ...... 1,847 451,000 MAKITA CORP ........................ 5,034 82,675 MANITOWOC, INC ..................... 3,669 91,300 METRA CO SERIES B .................. 1,587 3,900(degree)MICRON ELECTRONICS, INC .......... 68 192,300(degree)MICROS SYSTEMS, INC .............. 6,322 2,000(degree)MICROTOUCH SYSTEMS, INC .......... 26 609,752 MILACRON, INC ...................... 11,738 1,938,000 MINEBEA CO LTD ..................... 22,232 2,522,500 MINNESOTA MINING & MANUFACTURING CO .................. 179,413 8,016,000 MITSUBISHI HEAVY INDUSTRIES LTD .... 31,268 374,000 MORI SEIKI CO LTD .................. 4,244 5,200(degree)MTI TECHNOLOGY CORP .............. 23 257 NACCO INDUSTRIES, INC (CLASS A) .... 24 7,691(degree)NASHUA CORP ...................... 102 1,650(degree)NATIONAL INSTRUMENTS CORP ........ 56 107,500(degree)NETWORK COMPUTING DEVICES, INC ... 753 8,641(degree)NETWORK EQUIPMENT TECHNOLOGIES, INC 89 302,000(degree)NIDEC CORP ....................... 37,027 5,000 NIKKO CO LTD ....................... 11 1,800 NN BALL & ROLLER, INC .............. 11 135,072 NORDSON CORP ....................... 6,939 882,434(degree)NOVELLUS SYSTEMS, INC ............ 43,680 554,000 NSK LTD ............................ 2,073 240,000 NTN TOYO BEARING CO LTD ............ 774 498,000 OKUMA CORP ......................... 2,596 103,900 OMNIQUIP INTERNATIONAL, INC ........ 1,559 34,000 OMRON CORP ......................... 467 5,916(degree)OSMONICS, INC .................... 50 16,926 PALL CORP .......................... 428 2,925(degree)PAXAR CORP ....................... 26 465,400 PENTAIR, INC ....................... 18,529 1,250,041 PITNEY BOWES, INC .................. 82,581 2,000(degree)POKPHAND (C.P.) CO LTD ........... 0 11,500(degree)PRESSTEK, INC .................... 78 1,800(degree)PRI AUTOMATION, INC .............. 47 2,200(degree)PROXIM, INC ...................... 59 274,502(degree)QMS, INC ......................... 875 52,300(degree)QUANTUM CORP ..................... 1,111 3,133 RAUMA OY ........................... 46 1,000 ROBBINS & MYERS, INC ............... 22 438,450 ROPER INDUSTRIES, INC .............. 8,933 4,200(degree)SANDISK CORP ..................... 59 271,000 SANDVIK AB SERIES A ................ 4,714 99,000 SANDVIK AB SERIES B FREE ........... 1,710 100,000 SANSO ELECTRIC CO LTD .............. 470 120,600 SAUER, INC ......................... 912 4,058 SCHINDLER HOLDINGS LTD (PT CERT) ... 6,500 4,360 SCHINDLER HOLDINGS LTD (REGD) ...... 7,428 38,339 SCOTSMAN INDUSTRIES, INC ........... 788 1,218,035(degree)SEAGATE TECHNOLOGY, INC .......... 36,846 18,500(degree)SECURITY DYNAMICS TECHNOLOGIES, INC 426 78,600(degree)SEQUENT COMPUTER SYSTEMS, INC .... 948 450,200(degree)SHIVA CORP ....................... 2,546 363,835 SIDEL S.A. ......................... 30,872 70,204(degree)SILICON GRAPHICS, INC ............ 904 1,400(degree)SILICON VALLEY GROUP, INC ........ 18 220,250(degree)SLI, INC ......................... 6,112 14,775(degree)SMITH CORONA WTS 02/28/99 ........ 1 15,514(degree)SMITH INTERNATIONAL, INC ......... 391 116,200(degree)SPECIALTY EQUIPMENT COS, INC ..... 3,145 10,400(degree)SPEEDFAM INTERNATIONAL, INC ...... 178 232,800(degree)SPLASH TECHNOLOGY HOLDINGS, INC .. 1,731 126,682 STANDEX INTERNATIONAL CORP ......... 3,325 30,035 STARRETT (L.S.) CO (CLASS A) ....... 1,031 34,000 #STARRETT (L.S.) CO (CLASS B) ....... 1,167 1,610,646(degree)STORAGE TECHNOLOGY CORP .......... 57,279 48,411 STORK NV ........................... 1,107 512,000x(degree)STREAMLOGIC CORP ................ 10 300 SULZER WINTERTHUR AG. (REGD) ....... 183 See notes to financial statements. 38 VALUE SHARES (000) ------ -------- INDUSTRIAL MACHINERY AND EQUIPMENT--(CONTINUED) 308,000 SUMITOMO HEAVY INDUSTRIES LTD ...... $ 644 20,000 SVENSKA KULLAGERFABRIKEN AB SERIES A FREE .............................. 227 134,801 SVENSKA KULLAGERFABRIKEN AB SERIES B 1,572 326,100 SYMBOL TECHNOLOGIES, INC ........... 20,850 329,000 TAKUMA CO LTD ...................... 2,109 181,900 TECUMSEH PRODUCTS CO (CLASS A) ..... 8,481 31,300 TECUMSEH PRODUCTS CO (CLASS B) ..... 1,416 104,700(degree)TELXON CORP ...................... 1,453 190,500 TENNANT CO ......................... 7,644 2,142,846 TENNECO, INC ....................... 72,991 30,700(degree)TEREX CORP ....................... 877 935,653 TIMKEN CO .......................... 17,660 273,250 TOMRA SYSTEMS AS ................... 8,966 76,350 TORO CO ............................ 2,176 349,900 TOYODA AUTOMATIC LOOM WORKS LTD .... 6,201 242,500(degree)TRICORD SYSTEMS, INC ............. 546 626,000 TSUBAKIMOTO CHAIN CO ............... 1,337 32,000(degree)TSUGAMI CORP ..................... 35 9,851,305 TYCO INTERNATIONAL LTD ............. 743,158 385,633(degree)U.S. FILTER CORP ................. 8,821 3,656(degree)ULTRATECH STEPPER, INC ........... 58 4,193,700(degree)UNISYS CORP ...................... 144,421 258,288(degree)UNOVA, INC ....................... 4,681 109,800(degree)VALMET OY SERIES A ............... 1,475 994,979(degree)VARCO INTERNATIONAL, INC ......... 7,711 428 VARIAN ASSOCIATES, INC ............. 16 718,300 VICKERS PLC ........................ 2,163 263,500(degree)VISUAL NETWORKS, INC ............. 9,881 3,893(degree)WESTAIM CORP ..................... 19 19,800(degree)WESTERN DIGITAL CORP ............. 298 18,800(degree)XIRCOM, INC ...................... 639 687,900 YORK INTERNATIONAL CORP ............ 28,075 40,997 ZARDOYA OTIS S.A. .................. 1,282 2,600(degree)ZEBRA TECHNOLOGY CORP ............ 75 1,440#(degree)ZEBRA TECHNOLOGY CORP (CLASS B) . 41 ---------- 7,892,601 ---------- INSTRUMENTS AND RELATED PRODUCTS--2.08% 150,100(degree)ACUSON CORP ...................... 2,233 337,975(degree)ADAC LABORATORIES, INC ........... 6,749 2,000(degree)ADE CORP ......................... 26 823,680(degree)AFFYMETRIX, INC .................. 20,077 94,100(degree)ALARIS MEDICAL, INC .............. 553 1,500(degree)ANACOMP, INC ..................... 28 90,500(degree)ANALOGIC CORP .................... 3,405 198,894 ARROW INTERNATIONAL, INC ........... 6,240 922,850(degree)ARTERIAL VASCULAR ENGINEERING, INC 48,450 41,800(degree)AVID TECHNOLOGIES, INC ........... 977 10,673(degree)BACOU U.S.A., INC ................ 229 188,833 BALLARD MEDICAL PRODUCTS CO ........ 4,591 689,325 BARD (C.R.), INC ................... 34,122 802,123 BAUSCH & LOMB, INC ................. 48,127 1,416,798 BAXTER INTERNATIONAL, INC .......... 91,118 97,100(degree)BAXTER INTERNATIONAL, INC RTS .... 8 96,187 BECKMAN COULTER, INC ............... 5,218 836,524 BECTON DICKINSON & CO .............. 35,709 85,056(degree)BIO-RAD LABORATORIES, INC (CLASS A) 1,786 948,900 BIOMET, INC ........................ 38,193 53,624(degree)BOLLE, INC ....................... 107 320,100(degree)BOSTON SCIENTIFIC CORP ........... 8,583 1,873,000 CANON, INC ......................... 40,100 840,000 CASIO COMPUTER CO LTD .............. 6,211 8,200x(degree)CELLPRO, INC .................... 0 1,866(degree)CHYRON CORP ...................... 3 4,600(degree)CIRCON CORP ...................... 69 98,000 CITIZEN WATCH CO LTD ............... 591 23,400(degree)CLOSURE MEDICAL CORP ............. 698 19,700(degree)CNS, INC ......................... 68 4,480(degree)COHERENT, INC .................... 56 108,100(degree)COHESION TECHNOLOGIES, INC ....... 392 46,200 COHU, INC .......................... 1,016 13,800(degree)COLE NATIONAL CORP (CLASS A) ..... 236 3,400 COLLAGEN AESTHETICS, INC ........... 31 250,400(degree)CONMED CORP ...................... 8,263 160,775(degree)COOPER COS, INC .................. 3,326 6,300(degree)CREDENCE SYSTEMS CORP ............ 117 95,980 CUBIC CORP ......................... 1,800 1,700(degree)CYBERONICS, INC .................. 23 2,696(degree)CYMER, INC ....................... 39 59,400(degree)CYTYC CORP ....................... 1,530 1,550 DANIEL INDUSTRIES, INC ............. 19 213,300(degree)DATASCOPE CORP ................... 4,906 717,600 DENTSPLY INTERNATIONAL, INC ........ 18,478 197,800(degree)DIONEX CORP ...................... 7,244 139,250(degree)DYNATECH CORP .................... 383 2,654,989 EASTMAN KODAK CO ................... 191,159 1,871(degree)ESCO ELECTRONICS CORP (TRUST RECEIPT) 17 47,300 ESSILOR INTERNATIONAL .............. 18,628 141,050(degree)FOSSIL, INC ...................... 4,055 537 FRESENIUS MEDICAL CARE AG. ADR ..... 13 1,493,500 FUJI PHOTO FILM CO LTD ............. 55,609 75,000 GEA AG. ............................ 2,265 317,700(degree)GENRAD, INC ...................... 5,004 1,073,826 GUIDANT CORP ....................... 118,389 214,400(degree)HAEMONETICS CORP ................. 4,878 295,300(degree)HANGER ORTHOPEDIC GROUP, INC ..... 6,644 63,700(degree)HEALTHDYNE INFORMATION ENTERPRISES 326 1,400(degree)HEARTPORT, INC ................... 8 800(degree)HOLOGIC, INC ..................... 10 1,963,700 HONEYWELL, INC ..................... 147,891 200(degree)I-STAT CORP ...................... 2 58,100(degree)IMATRON, INC ..................... 80 1,169,343 IMI PLC ............................ 4,621 774(degree)INPUT/OUTPUT, INC ................ 6 40,420 INSTRUMENTARIUM GROUP SERIES B FREE 1,668 194,700 INVACARE CORP ...................... 4,673 73,400(degree)ISOLYSER CO, INC ................. 78 941,628 JOHNSON CONTROLS, INC 55,556 66,330 KEYENCE CORP ....................... 8,174 21,400(degree)KLA-TENCOR CORP .................. 928 1,064,000 KONICA CORP ........................ 4,858 1,700(degree)LECROY CORP ...................... 28 16,300(degree)LIFECORE BIOMEDICAL, INC ......... 167 545,797(degree)LITTON INDUSTRIES, INC ........... 35,613 200(degree)LTX CORP ......................... 1 1,000(degree)LUNAR CORP ....................... 10 145,300(degree)MAXXIM MEDICAL, INC .............. 4,323 3,306,487 MEDTRONIC, INC ..................... 245,507 21,600 MENTOR CORP ........................ 506 480,200(degree)METTLER-TOLEDO INTERNATIONAL, INC 13,476 800 MILLIPORE CORP ..................... 23 96,000(degree)MINE SAFETY APPLIANCE CO ......... 6,816 2,400(degree)MINIMED, INC ..................... 251 77,900 MOVADO GROUP, INC .................. 2,074 239,400 MTS SYSTEMS CORP ................... 3,232 7,500(degree)NEOPATH, INC ..................... 45 157,500 NEWPORT CORP ....................... 2,658 542,000 NIKON CORP ......................... 5,285 12,500(degree)NOVOSTE CORP ..................... 355 3,100(degree)OAKLEY, INC ...................... 29 127,932 OCE NV ............................. 4,601 199,000(degree)OCULAR SCIENCES, INC ............. 5,323 91,700(degree)OEC MEDICAL SYSTEMS, INC ......... 2,883 1,618,000 OLYMPUS OPTICAL CO LTD ............. 18,633 1,900 OPTICAL COATING LABORATORIES, INC .. 49 See notes to financial statements. 39 VALUE SHARES (000) ------ -------- INSTRUMENTS AND RELATED PRODUCTS--(CONTINUED) 86(degree)PANAVISION, INC NEW .............. $ 1 3,100(degree)PERCEPTION, INC .................. 21 45,000(degree)PERCLOSE, INC .................... 1,491 553 PERKIN-ELMER CORP .................. 54 135,200(degree)PINNACLE SYSTEMS, INC ............ 4,833 571,208 POLAROID CORP ...................... 10,674 28,000(degree)POSSIS MEDICAL, INC .............. 189 11,450 RADIOMETER AS (CLASS B) ............ 603 1,133,198 RAYTHEON CO (CLASS A) .............. 58,572 508,251 RAYTHEON CO (CLASS B) .............. 27,064 253,600(degree)RESMED, INC ...................... 11,507 328,688(degree)RESPIRONICS, INC ................. 6,584 712,923(degree)RICOH CO LTD ..................... 6,586 32,900(degree)ROBOTIC VISION SYSTEMS, INC ...... 93 2,400(degree)ROFIN-SINAR TECHNOLOGIES, INC .... 23 100,900(degree)SABRATEK CORP .................... 1,652 14,292 SAGEM S.A. ......................... 9,466 1,900(degree)SCHICK TECHNOLOGIES, INC ......... 19 59,800(degree)SCOTT TECHNOLOGIES, INC .......... 989 66,900(degree)SEPRACOR, INC .................... 5,896 14,692,348 SIEBE PLC .......................... 57,935 68,900(degree)SOFAMOR DANEK GROUP, INC ......... 8,389 11,349(degree)SOLA INTERNATIONAL, INC .......... 196 70,956(degree)SONOSITE, INC .................... 736 2,160(degree)SPACELABS MEDICAL, INC ........... 50 1,075,558(degree)ST. JUDE MEDICAL, INC ............ 29,780 2,100(degree)STAAR SURGICAL CO ................ 16 1,131,244(degree)STERIS CORP ...................... 32,170 600 STRYKER CORP ....................... 33 10,700(degree)SUMMIT TECHNOLOGY, INC ........... 47 2,800(degree)SUNRISE MEDICAL, INC ............. 35 746,800(degree)SYBRON INTERNATIONAL CORP ........ 20,304 1,200(degree)TAVA TECHNOLOGIES, INC ........... 9 41,635(degree)TECH-SYM CORP .................... 926 1,029,479 TEKTRONIX, INC ..................... 30,949 23,954(degree)TERADYNE, INC .................... 1,015 1,100 THE SWATCH GROUP AG. (BR) .......... 681 51,790 THE SWATCH GROUP AG. (REGD) ........ 7,758 58,350(degree)THERMEDICS, INC .................. 631 3,100(degree)THERMO CARDIOSYSTEMS, INC ........ 32 34,722(degree)THERMO ELECTRON CORP ............. 588 4,185(degree)THERMO INSTRUMENT SYSTEMS, INC ... 63 3,600(degree)THERMO OPTEK CORP ................ 31 3,300(degree)THERMOQUEST CORP ................. 43 7,000(degree)THERMOSPECTRA CORP ............... 79 36,900(degree)THERMOTREX CORP .................. 316 898(degree)TREX MEDICAL CORP ................ 8 5,800(degree)TRIMBLE NAVIGATION LTD ........... 42 24,400(degree)VENTANA MEDICAL SYSTEMS, INC ..... 528 292,300(degree)VISX, INC ........................ 25,558 87,200 VITAL SIGNS, INC ................... 1,526 468,200(degree)VIVUS, INC ....................... 1,214 310(degree)WATERS CORP ...................... 27 500 WATKINS-JOHNSON CO ................. 10 178,018(degree)WESLEY JESSEN VISIONCARE, INC .... 4,940 3,294,712 WILLIAMS PLC ....................... 18,706 7,000(degree)WIRELESS TELECOM GROUP, INC ...... 13 225,400 X RITE, INC ........................ 1,747 4,952,690 XEROX CORP ......................... 584,417 5,600(degree)XOMED SURGICAL PRODUCTS, INC ..... 179 801,000 YOKOGAWA ELECTRIC CORP ............. 3,977 53,200(degree)ZYGO CORP ........................ 459 ---------- 2,422,036 ---------- INSURANCE AGENTS, BROKERS AND SERVICE--0.16% 6,100 BLANCH (E.W.) HOLDINGS, INC ........ 289 235,100 CRAWFORD & CO (CLASS A) ............ 3,144 167,800 CRAWFORD & CO (CLASS B) ............ 2,590 1,034,906(degree)FIRST HEALTH GROUP CORP .......... 17,141 218,287(degree)FORTIS AG. ....................... 79,108 51,968(degree)FORTIS AG. CVG ................... 234 54,003(degree)FORTIS AG. NPV (STRIP VVPR). ..... 3 12,100 GALLAGHER (ARTHUR J.) & CO ......... 534 8,200 GENERALI HOLDING VIENNA ............ 2,015 34,362 HILB, ROGAL & HAMILTON CO .......... 683 251,384 LAB HOLDINGS, INC .................. 4,399 20,500 MARSCHOLLEK LAUT UND PARTNER ....... 11,766 1,086,379 MARSH & MCLENNAN COS, INC .......... 63,485 43,992 POE & BROWN, INC ................... 1,537 ---------- 186,928 ---------- INSURANCE CARRIERS--5.34% 27,900 20TH CENTURY INDUSTRIES ............ 647 37,605 AACHENER & MUNCHENER BETEIL (BR) ... 4,427 93,600 AACHENER & MUNCHENER BETEIL (REGD) . 13,768 1,800(degree)ACCEPTANCE INSURANCE COS, INC .... 36 65,000 ACE LTD ............................ 2,238 2,297,000 AEGON NV ........................... 282,244 18,668 AEGON NV ARS ....................... 2,282 960,221 AETNA, INC ......................... 75,497 1,981,146 AFLAC, INC ......................... 87,170 3,880(degree)AGF-ASSUR GEN DE FRANCE CVG ...... 2 105,900 ALFA CORP .......................... 2,568 102,916(degree)ALLEGHANY CORP (DELAWARE) ........ 19,335 642,917 ALLIANZ AG. (REGD) ................. 235,844 398,731 ALLMERICA FINANCIAL CORP ........... 23,077 11,371,506 ALLSTATE CORP ...................... 439,224 638,000 AMBAC FINANCIAL GROUP, INC ......... 38,400 183,201 AMERICAN ANNUITY GROUP, INC ........ 4,214 264,300 AMERICAN BANKERS INSURANCE GROUP, INC 12,786 285,008 AMERICAN FINANCIAL GROUP, INC ...... 12,505 1,580,082 AMERICAN GENERAL CORP .............. 123,246 85,699 AMERICAN HERITAGE LIFE INVESTMENT CORP 2,094 8,164,836 AMERICAN INTERNATIONAL GROUP, INC .. 788,927 59,500 AMERICAN MEDICAL SECURITY GROUP .... 852 232,600 AMERICAN NATIONAL INSURANCE CO ..... 19,248 386,000(degree)AMERIN CORP ...................... 9,119 930 AMERUS LIFE HOLDINGS, INC (CLASS A) 21 1,851,000(degree)AMP LTD .......................... 23,474 572,950 AON CORP ........................... 31,727 242,152 ARGONAUT GROUP, INC ................ 5,933 132,200 ARM FINANCIAL GROUP, INC (CLASS A) . 2,933 3,100 ASR VERZEKERINGSGROEP NV ........... 281 4,554,823 ASSICURAZIONI GENERALI S.P.A. ...... 190,581 960,668 AXA ................................ 139,297 7,673(degree)AXA CTF DE VALEUR GARANT ......... 37 321,050 BERKLEY (W.R.) CORP ................ 10,936 1,406(degree)BERKSHIRE HATHAWAY, INC (CLASS A) 98,420 15(degree)BERKSHIRE HATHAWAY, INC (CLASS B) 35 656,700 CAPITAL RE CORP .................... 13,175 1,100 CAPITOL TRANSAMERICA CORP .......... 21 2,552,107 CGU PLC ............................ 39,957 12,000 CHARTWELL RE CORP .................. 285 258,072 CHICAGO TITLE CORP ................. 12,113 950 CHIYODA FIRE & MARINE INSURANCE CO LTD 3 568,100 CHUBB CORP ......................... 36,855 1,883,395 CIGNA CORP ......................... 145,610 923,841 CINCINNATI FINANCIAL CORP .......... 33,836 18,044,627 CITIGROUP, INC ..................... 893,209 448,600 CMAC INVESTMENT CORP ............... 20,608 300(degree)CNA FINANCIAL CORP ............... 12 19,700 CNA SURETY CORP .................... 310 140,396 COLONIA KONZERN AG. (REGD) ......... 15,931 112,340 COMMERCE GROUP, INC ................ 3,981 24,900 COMPANHIA DE SEGUROS TRANQUILIDADE . 795 47,300(degree)COMPDENT CORP .................... 491 2,414,166 CONSECO, INC ....................... 73,783 22,956 CORPORACION MAPFRE S.A. ............ 624 418(degree)DELPHI FINANCIAL GROUP, INC ...... 22 See notes to financial statements. 40 VALUE SHARES (000) ------ -------- INSURANCE CARRIERS--(CONTINUED) 134,700 ENHANCE FINANCIAL SERVICES GROUP, INC $ 4,041 285,400 EQUITABLE COS, INC ................. 16,518 96,600 ERIE INDEMNITY CO (CLASS A) ........ 3,019 758,866 EVEREST REINSURANCE HOLDINGS, INC .. 29,548 1,030,500 EXEL LTD (CLASS A) ................. 77,288 130,039 FAI INSURANCES LTD ................. 59 34,750(degree)FAIRFAX FINANCIAL HOLDINGS LTD ... 12,217 210,729 FBL FINANCIAL GROUP, INC (CLASS A) . 5,110 337,030 FIDELITY NATIONAL FINANCIAL, INC ... 10,279 141,821 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD ...................... 7,694 755,348 FIRST AMERICAN FINANCIAL CORP ...... 24,266 735,000 FOREMOST CORP OF AMERICA ........... 15,435 452,975(degree)FOUNDATION HEALTH SYSTEMS (CLASS A) 5,407 4,900(degree)FPIC INSURANCE GROUP, INC ........ 234 605,760 FREMONT GENERAL CORP ............... 14,993 540 FRONTIER INSURANCE GROUP, INC ...... 7 5,000 GAINSCO, INC ....................... 31 2,353,047 GIO AUSTRALIAN HOLDINGS LTD ........ 7,736 29,400 GUARANTEE LIFE COS, INC ............ 544 519,475 GUARDIAN ROYAL EXCHANGE PLC ........ 2,908 181,800 HARLEYSVILLE GROUP, INC ............ 4,693 2,076,457 HARTFORD FINANCIAL SERVICES GROUP, INC 113,946 133,787 HARTFORD LIFE, INC (CLASS A) ....... 7,793 1,500 HCC INSURANCE HOLDINGS, INC ........ 26 2,351(degree)HIGHLANDS INSURANCE GROUP, INC ... 31 968,957 HIH INSURANCE LTD .................. 1,284 300,000 HIH INSURANCE LTD (INSTALL RECEIPT) 232 14,332 HORACE MANN EDUCATORS CORP ......... 408 600 HSB GROUP, INC ..................... 25 300(degree)HUMANA, INC ...................... 5 252,000(degree)IDRIS HYDRAULIC BERHAD (MALAYSIA) 39 10,000 IFIL FINANZIARIA DI PARTECIPAZIONI . 42 39,010,360 INSTITUTO NAZIONALE DELLE ASSICURAZION 103,258 432,649 IRISH LIFE ......................... 4,077 179,199 IRISH LIFE PLC ..................... 1,686 1,195,526 JEFFERSON-PILOT CORP ............... 89,664 10,800(degree)KANSAS CITY LIFE INSURANCE CO .... 883 75,440 LANDAMERICA FINANCIAL GROUP, INC ... 4,210 1,513,893 LEGAL & GENERAL GROUP PLC .......... 19,659 41,014 LIBERTY CORP ....................... 2,020 10,000 LIBERTY FINANCIAL COS, INC ......... 270 84,270 LIBERTY LIFE ASSOCIATION OF AFICA LTD 1,160 2,100 LIFE U.S.A. HOLDINGS, INC .......... 27 411,900 LINCOLN NATIONAL CORP .............. 33,699 434,900 LOEWS CORP ......................... 42,729 12,500(degree)MARKEL CORP ...................... 2,263 3,920(degree)MAXICARE HEALTH PLANS, INC ....... 21 310,987 MBIA, INC .......................... 20,389 12,055 MEADOWBROOK INSURANCE GROUP ........ 198 94,251(degree)MEDICAL ASSURANCE, INC ........... 3,116 1,300,000(degree)MEDIOLANUM S.P.A. ................ 9,657 38,100 MERCURY GENERAL CORP ............... 1,669 179,500 METROPOLITAN LIFE LTD .............. 227 1,632,000 MGIC INVESTMENT CORP ............... 64,974 124,000(degree)MID ATLANTIC MEDICAL SERVICES, INC 1,217 10,091 MIDLAND CO ......................... 243 962,050 MITSUI TAISHO MARINE & FIRE CO LTD . 5,075 50,518 MMI COS, INC ....................... 846 214,270 MUENCHENER RUECKVER AG. (REGD) ..... 103,816 9,920 MUENCHENER RUECKVER GESELLSCHAFT AG. (BR) .......................... 3,264 145,800 NAC RE CORP ........................ 6,843 200(degree)NATIONAL WESTERN LIFE INSURANCE CO 24 17,400 NATIONWIDE FINANCIAL SERVICES, INC (CLASS A) ......................... 899 1,127,000 NICHIDO FIRE & MARINE INSURANCE CO LTD 5,545 916,000 NIPPON FIRE & MARINE INSURANCE CO LTD 3,378 396,600 NISSAN FIRE & MARINE INSURANCE ..... 1,195 1,000 NYMAGIC, INC ....................... 21 194,200 OHIO CASUALTY CORP ................. 7,986 1,897,485 OLD REPUBLIC INTERNATIONAL CORP .... 42,693 112 ORION CAPITAL CORP ................. 4 619,105(degree)OXFORD HEALTH PLANS, INC ......... 9,209 204,859(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS A) ................... 14,903 287,189(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS B) ................... 22,832 36,100(degree)PENN TREATY AMERICAN CORP ........ 972 6,800 PENNCORP FINANCIAL GROUP, INC ...... 7 1,300 (degree)PHILADELPHIA CONSOLIDATED HOLDINGS CORP ..................... 29 5,100 PMA CAPITAL CORP (CLASS A) ......... 100 363,434 PMI GROUP, INC ..................... 17,945 65,900 POHJOLA INSURANCE CO LTD SERIES B .. 3,618 228,600 PRESIDENTIAL LIFE CORP ............. 4,543 231,950 PROGRESSIVE CORP ................... 39,287 208,500 PROTECTIVE LIFE CORP ............... 8,301 314,950 PROVIDENT COS, INC ................. 13,070 3,508,411 PRUDENTIAL CORP PLC ................ 52,973 31,800 PXRE CORP .......................... 797 2,006,876 QBE INSURANCE GROUP LTD ............ 8,309 871,859 RAS S.P.A. ......................... 12,662 735,319 REINSURANCE AUSTRALIA CORP LTD ..... 1,128 180,350 REINSURANCE GROUP OF AMERICA, INC .. 12,625 1,038,778 RELIANCE GROUP HOLDINGS, INC ....... 13,374 1,312,532 RELIASTAR FINANCIAL CORP ........... 60,541 58,800(degree)RISK CAPITAL HOLDINGS, INC ....... 1,279 2,700 RLI CORP ........................... 90 4,820,545 ROYAL & SUN ALLIANCE INSURANCE GROUP PLC ......................... 39,360 237,300 SAFECO CORP ........................ 10,189 213,200(degree)SAFEGUARD HEALTH ENTERPRISES, INC 706 261,590 SAI S.P.A. ......................... 3,157 669,250 SAI (S/S) (NON-VOTE) CV ............ 4,464 180,000(degree)SAMPO INSURANCE CO SERIES A ...... 6,879 40,645 SCHWEIZERISCHE RUCKVERSICHERUNG (REGD) ............................ 105,970 40,000(degree)SCOTTISH ANNUITY & LIFE HOLDINGS LTD 550 30,867 SCPIE HOLDINGS, INC ................ 936 794,800 SELECTIVE INSURANCE GROUP, INC ..... 15,995 130,150(degree)SIERRA HEALTH SERVICES, INC ...... 2,741 1,717,665 SKANDIA FORSAKRINGS AB ............. 26,276 837,972 ST. PAUL COS, INC .................. 29,120 58,200 STEWART INFORMATION SERVICES CORP .. 3,376 319,300 UNI-STOREBRAND AS SERIES A ......... 2,410 2,288,028(degree)SUMITOMO MARINE & FIRE INSURANCE CO 14,523 2,584,161 SUNAMERICA, INC .................... 209,640 344,200 TIG HOLDINGS, INC .................. 5,357 5,056,000 TOKIO MARINE & FIRE INSURANCE CO LTD 60,510 1,566,700 TORCHMARK CORP ..................... 55,324 726,041 TRANSAMERICA CORP .................. 83,858 407 TRANSATLANTIC HOLDINGS, INC ........ 31 894,052 TRAVELERS PROPERTY CASUALTY CORP ... 27,716 26,900 TRENWICK GROUP, INC ................ 878 69,400(degree)TRIAD GUARANTY, INC .............. 1,531 154,400(degree)TRIGON HEALTHCARE, INC ........... 5,761 400(degree)UICI ............................. 10 2,583,174 UNITED HEALTHCARE CORP ............. 111,238 56,600 UNITED WISCONSIN SERVICES, INC ..... 492 168,004 UNITRIN, INC ....................... 12,054 341,200 UNUM CORP .......................... 19,918 45,296 VESTA INSURANCE GROUP, INC ......... 272 191,373(degree)WELLPOINT HEALTH NETWORKS, INC ... 16,649 39,642 ZENITH NATIONAL INSURANCE CORP ..... 917 120,972(degree)ZURICH ALLIED AG. ................ 89,573 ---------- 6,216,784 ---------- See notes to financial statements. 41 VALUE SHARES (000) ------ -------- LEATHER AND LEATHER PRODUCTS--0.01% 135,000 JUSTIN INDUSTRIES, INC ............. $ 1,772 161,496(degree)NINE WEST GROUP, INC ............. 2,513 136,008(degree)SAMSONITE CORP ................... 757 272,100 STRIDE RITE CORP ................... 2,381 900(degree)TIMBERLAND CO .................... 41 1,587 WOLVERINE WORLD WIDE, INC .......... 21 ---------- 7,485 ---------- LEGAL SERVICES--0.00% 1,088(degree)PREPAID LEGAL SERVICES, INC ...... 36 ---------- LOCAL AND INTERURBAN PASSENGER TRANSIT--0.09% 291,000(degree)COACH U.S.A., INC ................ 10,094 11,275 EAST JAPAN RAILWAY CO .............. 63,072 773,100(degree)GREYHOUND LINES, INC ............. 4,590 937,692 LAIDLAW, INC ....................... 9,432 58,400 LAIDLAW, INC (U.S.) ................ 588 21,700(degree)RURAL/METRO CORP ................. 237 3,797,292 STAGECOACH HOLDINGS PLC ............ 15,116 ---------- 103,129 ---------- LUMBER AND WOOD PRODUCTS--0.14% 2,700(degree)ABT BUILDING PRODUCTS CORP ....... 28 206,600(degree)AMERICAN HOMESTAR CORP ........... 3,099 20,000(degree)AOKAM PERDANA BERHAD ............. 2 3,955,942 CARTER HOLT HARVEY LTD ............. 3,553 532,903(degree)CHAMPION ENTERPRISES, INC ........ 14,588 324,621 CLAYTON HOMES, INC ................. 4,484 32,308 DELTIC TIMBER CORP ................. 658 1,641,718 FLETCHER CHALLENGE LTD (FORESTS DIVISION) 546 85,700 GEORGIA-PACIFIC CORP (PACKAGING GROUP) 5,019 226,000 JAYA TIASA HOLDINGS BERHAD ......... 210 435,000(degree)LAND & GENERAL BERHAD ............ 71 1,280,205 LOUISIANA PACIFIC CORP ............. 23,444 4,087,200 MACMILLAN BLOEDEL LTD .............. 40,712 73,300 MASISA S.A. (SPONS ADR) ............ 467 235,800 OAKWOOD HOMES CORP ................. 3,581 66,025(degree)PALM HARBOR HOMES, INC ........... 1,663 4,334 POPE & TALBOT, INC ................. 36 1,658,150 SEKISUI HOUSE LTD .................. 17,566 108,718 SKYLINE CORP ....................... 3,533 92,000 SUMITOMO FORESTRY CO LTD ........... 661 2,346 TJ INTERNATIONAL, INC .............. 60 80,400 UNIVERSAL FOREST PRODUCTS, INC ..... 1,613 664,350 WEYERHAEUSER CO .................... 33,757 ---------- 159,351 ---------- METAL MINING--0.24% 89,900 ACINDAR S.A. (CLASS B) ............. 108 30,000 AGNICO EAGLE MINES LTD ............. 123 3,000(degree)ALTAIR INTERNATIONAL, INC ........ 20 30,248(degree)ALUSUISSE LONZA HOLDINGS AG. (REGD) 35,236 57,235 ANGLO AMERICAN PLATINUM CORP LTD ... 785 15,587 ANGLOGOLD LTD ...................... 607 929,379 BARRICK GOLD CORP .................. 18,031 222,500 BARRICK GOLD CORP (U.S.) ........... 4,339 44,350 BATTLE MOUNTAIN GOLD CO ............ 183 219,600 CAMBIOR, INC ....................... 1,072 176,800 CAMECO CORP ........................ 3,160 199,281 CLEVELAND CLIFFS, INC .............. 8,034 3,466(degree)COEUR DALENE MINES CORP .......... 16 70,700 COMINCO LTD ........................ 799 1,622,594 CYPRUS AMAX MINERALS CO ............ 16,226 642,785 DELTA GOLD NL ...................... 978 35,000 DOMINION MINING LTD ................ 9 340,000(degree)ECHO BAY MINES LTD ............... 587 4,500(degree)ECHO BAY MINES LTD (U.S.) ........ 8 50,500 ELKEM AS ........................... 603 186,831(degree)ERAMET ........................... 5,615 182,000 EUOR-NEVADA MINING CORP ............ 2,962 592,628 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS A) ............... 5,741 2,177,864 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) ............... 22,731 4,400(degree)GETCHELL GOLD CORP ............... 120 6,222 GOLDFIELDS LTD ..................... 5 878,516 GREAT CENTRAL MINES LTD ............ 630 422,500(degree)HECLA MINING CO .................. 1,532 40,424 HOMESTAKE MINING CO ................ 371 19,300 IMPALA PLATINUM HOLDINGS LTD ....... 262 89,500 INCO LTD CO ........................ 944 24,060 INCO LTD CO (U.S.) ................. 254 14,809 JOHNSON MATTHEY PLC ................ 100 6,493(degree)KINROSS GOLD CORP ................ 15 628,512 LONRHO PLC ......................... 3,440 726,600 MALAYSIA MINING CORP BERHAD ........ 292 5,461,100 MIM HOLDINGS LTD ................... 2,412 3,839,000 MITSUBISHI MATERIALS CORP .......... 6,466 2,603,000 MITSUI MINING & SMELTING CO LTD .... 12,853 8,284(degree)NEWCREST MINING LTD .............. 11 1,437,258 NEWMONT MINING CORP ................ 25,960 2,038,000 NIPPON LIGHT METAL CO LTD .......... 2,132 595,200 NORANDA, INC ....................... 5,909 3,398,104 NORMANDY MINING LTD ................ 3,147 1,772,592 NORTH LTD .......................... 2,892 202,100 OUTOKUMPU OY SERIES A .............. 1,868 13,000#x(degree)PEGASUS GOLD, INC .............. 7 12,000 PHELPS DODGE CORP .................. 611 475,400 PLACER DOME, INC ................... 5,416 636,448 PLACER DOME, INC (U.S.) ............ 7,319 729,000(degree)RESOLUTE SAMANTHA LTD ............ 514 237,800 RIO ALGOM LTD ...................... 2,539 1,048,169 RIO TINTO LTD ...................... 12,444 150,000 RIO TINTO PLC (BR) ................. 1,672 1,221,680 RIO TINTO PLC (REGD) ............... 14,208 75,390 SMITH (HOWARD) LTD ................. 499 608,097 SONS OF GWALIA NL .................. 1,731 111,000 SOUTHERN PERU COPPER CORP .......... 1,048 339,599(degree)STILLWATER MINING CO ............. 13,924 666,000 SUMITOMO METAL MINING CO LTD ....... 2,167 518,254(degree)SUNSHINE MINING & REFINING CO .... 259 1,977(degree)SUNSHINE MINING & REFINING CO WTS 03/03/99 ...................... 0 331,200 TECK CORP LTD (CLASS B) ............ 2,415 42,300 UNION MINIERE GROUP S.A. ........... 1,611 518,794(degree)WESTRALIAN SANDS LTD NEW ......... 1,241 2,571,172 WMC LTD ............................ 7,760 130,680(degree)ZIMBABWE PLATINUM MINES LTD ...... 26 ---------- 276,999 ---------- MISCELLANEOUS MANUFACTURING INDUSTRIES--0.11% 32,600(degree)AMER GROUP LTD PLC SERIES A ...... 339 1,000(degree)ASICS CORP ....................... 1 114,300 BIC S.A. ........................... 6,343 525,375(degree)BLYTH INDUSTRIES, INC ............ 16,418 392,900 BRADY CORP (CLASS A) ............... 10,584 1,299,300(degree)BULGARI S.P.A. ................... 7,761 20,500 CALLAWAY GOLF CO ................... 210 28,100x(degree)CML GROUP, INC .................. 5 2,195 CROSS (A.T.) CO (CLASS A) .......... 12 464 HASBRO, INC ........................ 17 249,930(degree)HEXCEL CORP ...................... 2,093 1,208,088 INTERNATIONAL GAME TECHNOLOGY CO ... 29,372 4,063(degree)JAN BELL MARKETING, INC .......... 26 602,500 JOSTENS, INC ....................... 15,778 180,705 K2, INC ............................ 1,864 82,300(degree)LYDALL, INC ...................... 977 54,266(degree)MARVEL ENTERPRISES ............... 336 1,026,284 MATTEL, INC ........................ 23,412 See notes to financial statements. 42 VALUE SHARES (000) ------ -------- MISCELLANEOUS MANUFACTURING INDUSTRIES--(CONTINUED) 12,000 MIZUNO CORP ........................ $ 36 117,000 NINTENDO CO LTD .................... 11,358 254,800(degree)NU KOTE HOLDINGS, INC (CLASS A) .. 10 2,000 ONEIDA LTD ......................... 30 14,300 RHI AG. ............................ 373 36,250 RUSS BERRIE & CO, INC .............. 852 53,500 SEGA ENTERPRISES LTD ............... 1,188 77,600(degree)STEINWAY MUSICAL INSTRUMENTS, INC 2,018 430,000 VARITRONIX INTERNATIONAL LTD ....... 805 4,900(degree)WMS INDUSTRIES, INC .............. 36 ---------- 132,254 ---------- MISCELLANEOUS RETAIL--0.83% 77,529(degree)AMAZON.COM, INC .................. 24,906 3,160 ARTEMIS S.A. ....................... 109 9,600(degree)BARNES & NOBLE, INC .............. 408 147,500(degree)BARNETT, INC ..................... 2,028 122,100 BLAIR CORP ......................... 2,709 2,006,130 BOOTS CO LTD ....................... 34,162 837,300(degree)BORDERS GROUP, INC ............... 20,880 600(degree)BRYLANE, INC ..................... 14 548 CASH AMERICA INTERNATIONAL, INC .... 8 165,800(degree)CDW COMPUTER CENTERS, INC ........ 15,906 151,500(degree)COLDWATER CREEK, INC ............. 2,083 932,800(degree)CORPORATE EXPRESS, INC ........... 4,839 3,699,151 CVS CORP ........................... 203,453 800(degree)DELIA*S, INC ..................... 10 215,700(degree)DUANE READE, INC ................. 8,304 96,827 ENESCO GROUP, INC .................. 2,251 13,335 FINGERHUT COS, INC ................. 206 1,900(degree)FINLAY ENTERPRISES, INC .......... 19 169,100(degree)GARDEN RIDGE CORP ................ 1,532 77,200(degree)GENESIS DIRECT, INC .............. 603 3,200 GENOVESE DRUG STORES, INC (CLASS A) 91 205,100(degree)GLOBAL DIRECTMAIL CORP ........... 4,794 1,955,037 GREAT UNIVERSAL STORES PLC ......... 20,606 228,378 HANCOCK FABRICS, INC ............... 1,913 381,274(degree)HANOVER DIRECT, INC .............. 1,311 298,100(degree)INSIGHT ENTERPRISES, INC ......... 15,166 83,041(degree)JO-ANN STORES, INC (CLASS A) ..... 1,339 237,800(degree)JO-ANN STORES, INC (CLASS B) ..... 3,299 236,100x(degree)JUMBOSPORTS, INC ................ 30 215,764(degree)LANDS END, INC ................... 5,812 698 LONGS DRUG STORES CORP ............. 26 412,200(degree)MICHAELS STORES, INC ............. 7,458 559,600(degree)MICRO WAREHOUSE, INC ............. 18,921 483(degree)MSC INDUSTRIAL DIRECT CO (CLASS A) 11 106,611(degree)NATIONAL MEDIA CORP .............. 1,139 1,029,770 NEXT PLC ........................... 8,464 48(degree)NISSEN CO LTD .................... 0 1,546,698(degree)OFFICE DEPOT, INC ................ 57,131 800(degree)OFFICEMAX, INC ................... 10 1,455,500 OMNICARE, INC ...................... 50,579 11,624 OPSM PROTECTOR LTD ................. 24 74,300(degree)PARTY CITY CORP .................. 1,073 187,600(degree)PETCO ANIMAL SUPPLIES, INC ....... 1,888 299,900(degree)PETSMART, INC .................... 3,299 96,000 PLAYMATES TOYS HOLDINGS LTD ........ 4 1,015,043 RITE AID CORP ...................... 50,308 19,790,000(degree)SA SA INTERNATIONAL HOLDINGS LTD . 1,405 25,800(degree)SCHEIN (HENRY), INC .............. 1,155 2,757,752(degree)STAPLES, INC ..................... 120,479 330,195(degree)STELUX HOLDINGS INTERNATIONAL LTD 10 803,900(degree)SUNGLASS HUT INTERNATIONAL, INC .. 5,627 100,900(degree)THE SPORTS AUTHORITY, INC ........ 530 221,288 TIFFANY & CO ....................... 11,479 3,241,141(degree)TOYS R US, INC ................... 54,694 112,989(degree)U.S. OFFICE PRODUCTS CO .......... 438 2,925,296 WALGREEN CO ........................ 171,313 616,197(degree)ZALE CORP ........................ 19,872 ---------- 966,128 ---------- MOTION PICTURES--0.44% 27,550(degree)AMC ENTERTAINMENT, INC ........... 580 16,164,236 DISNEY (WALT) CO ................... 484,927 22,731(degree)GC COS, INC ...................... 946 194,800(degree)HOLLYWOOD ENTERTAINMENT CORP ..... 5,308 55,200(degree)KING WORLD PRODUCTIONS, INC ...... 1,625 131,200(degree)METRO-GOLDWYN-MAYER, INC ......... 1,730 458,200(degree)METROMEDIA INTERNATIONAL GROUP, INC 2,491 2,400(degree)MOVIE GALLERY, INC ............... 17 800(degree)ON COMMAND CORP .................. 7 180 PATHE S.A. ......................... 50 2,900(degree)PIXAR, INC ....................... 102 368,433 RANK GROUP PLC ..................... 1,419 107,080(degree)SPELLING ENTERTAINMENT GROUP, INC 803 53,000 TOEI CO ............................ 157 64,600 TOHO CO LTD ........................ 8,865 ---------- 509,027 ---------- NONDEPOSITORY INSTITUTIONS--1.92% 4,300 AAMES FINANCIAL CORP ............... 14 643,300 ACOM CO LTD ........................ 41,404 4,444 ADVANTA CORP (CLASS A) ............. 59 105,597 ADVANTA CORP (CLASS B) ............. 1,168 22,700 AIFUL CORP ......................... 1,381 2,340 ALLIED CAPITAL CORP ................ 41 3,391,117 AMERICAN EXPRESS CO ................ 346,742 1,191,620(degree)AMERICREDIT CORP ................. 16,459 16,800(degree)AMRESCO, INC ..................... 147 394,581(degree)ARCADIA FINANCIAL LTD ............ 1,430 7,492,094 ASSOCIATES FIRST CAPITAL CORP ...... 317,477 410,921 CAPITAL ONE FINANCIAL CORP ......... 47,256 38,152 CHARTER MUNICIPAL MORTGAGE ACCEPTANCE ........................ 463 2,319,500 CIT GROUP, INC (CLASS A) ........... 73,789 99,400x(degree)CITYSCAPE FINANCIAL CORP ........ 1 34,200 CONNING CORP ....................... 710 4,000(degree)CONTIFINANCIAL CORP .............. 29 37,900 CORPORACION FINANCIERE ALBA S.A. ... 6,339 102,566 COUNTRYWIDE CREDIT INDUSTRIES, INC . 5,148 290,500(degree)CREDIT ACCEPTANCE CORP ........... 2,124 174,043 CREDIT SAISON CO LTD ............... 4,297 579(degree)DELTA FINANCIAL CORP ............. 3 10,000 DIAMOND LEASE CO LTD ............... 72 372,700 DORAL FINANCIAL CORP ............... 8,246 7,594,734 FEDERAL NATIONAL MORTGAGE ASSOCIATION 562,010 7,400(degree)FINANCIAL FEDERAL CORP ........... 183 103,900 FINOVA GROUP, INC .................. 5,604 3,700(degree)FIRST SIERRA FINANCIAL, INC ...... 45 400,912(degree)FIRSTPLUS FINANCIAL GROUP, INC ... 1,103 1,175,850 FIRSTRAND LTD ...................... 1,283 179,500(degree)FRANCHISE MORTGAGE ACCEPTANCE CO . 1,391 5,306,664 FREDDIE MAC ........................ 341,948 15,740 FUND AMERICAN ENTERPRISES HOLDINGS, INC 2,205 4,709,430 HALIFAX PLC ........................ 66,837 61,600(degree)HEADLANDS MORTGAGE CO ............ 1,290 700(degree)HEALTHCARE FINANCIAL PARTNERS, INC 28 1,800 HELLER FINANCIAL, INC .............. 53 89,000(degree)HITACHI CREDIT CORP .............. 1,980 2,386,289 HOUSEHOLD INTERNATIONAL, INC ....... 94,557 26,400(degree)IMC MORTGAGE CO .................. 7 17,300(degree)IMPERIAL CREDIT INDUSTRIES, INC .. 145 2,723,029 ING GROEP NV ....................... 166,136 219,000 IRISH PERMANENT PLC ................ 3,298 114,000 JACCS CO ........................... 515 105,300(degree)LEUCADIA NATIONAL CORP ........... 3,317 286,200(degree)LONG BEACH FINANCIAL CORP ........ 2,147 See notes to financial statements. 43 VALUE SHARES (000) ------ -------- NONDEPOSITORY INSTITUTIONS--(CONTINUED) 1,100 MEDALLION FINANCIAL CORP ........... $ 16 892,550 MEDIOBANCA S.P.A. .................. 12,422 7,056 MERCAPITAL S.A. .................... 70 1,212,400x(degree)MERCURY FINANCE CO .............. 55 316,033 METRIS COS, INC .................... 15,900 80,400(degree)NICHIEI CO LTD (KYOTO) ........... 6,415 1,025,000 NIPPON SHINPAN CO LTD .............. 2,017 6,702(degree)OMEGA WORLDWIDE, INC ............. 29 88,000 ORIX CORP .......................... 6,584 2,647 PACIFIC CREST CAPITAL, INC ......... 39 76,000 POWER FINANCIAL CORP ............... 1,682 565,754 PROVIDENT FINANCIAL PLC ............ 8,331 359,800 RESOURCE AMERICA, INC (CLASS A) .... 3,261 1,325 RESOURCE BANCSHARES MORTGAGE GROUP, INC ........................ 22 596,586 SCHROEDERS LTD ..................... 10,889 47,600 SHOHKOH FUND & CO .................. 15,360 4,292 SIRROM CAPITAL CORP ................ 21 388,640 SLM HOLDINGS CORP .................. 18,655 132,800x(degree)SOUTHERN PACIFIC FUNDING CORP ... 11 12,800 STUDENT LOAN CORP .................. 574 738,000(degree)UNICAPITAL CORP .................. 5,443 7,800 UNITED COS FINANCIAL CORP .......... 26 25,300(degree)WFS FINANCIAL, INC ............... 158 ---------- 2,238,861 ---------- NONMETALLIC MINERALS, EXCEPT FUELS--0.08% 142,050 AMCOL INTERNATIONAL CORP ........... 1,403 977,842 ASHTON MINING LTD .................. 492 679 CALMAT CO .......................... 21 42,000(degree)GOLDEN PLUS HOLDINGS BERHAD ...... 9 14,600 JOHNS MANVILLE CORP ................ 240 781,263 MARTIN MARIETTA MATERIALS, INC ..... 48,585 8,476 POTASH CORP OF SASKATCHEWAN, INC ... 541 166,500 POTASH CORP OF SASKATCHEWAN, INC (U.S.) 10,677 257,700 VULCAN MATERIALS CO ................ 33,904 ---------- 95,872 ---------- OIL AND GAS EXTRACTION--0.73% 212,500 ALBERTA ENERGY LTD ................. 4,565 1,335,028 ANADARKO PETROLEUM CORP ............ 41,219 14,444(degree)ANDERSON EXPLORATION LTD ......... 131 3,775,488 APACHE CORP ........................ 95,567 13,200(degree)ATWOOD OCEANICS, INC ............. 224 119,364(degree)BELCO OIL & GAS CORP ............. 664 400(degree)BENTON OIL & GAS CO .............. 1 72,424 BERRY PETROLEUM CO (CLASS A) ....... 1,028 16,270(degree)BJ SERVICES CO ................... 254 21,700(degree)BJ SERVICES CO WTS 04/13/00 ...... 180 3,504,500 BRITISH-BORNEO OIL & GAS PLC ....... 5,831 1,600(degree)BROWN (TOM), INC ................. 16 1,848(degree)BUMI ARMADA BERHAD ............... 1 4,118,347 BURLINGTON RESOURCES, INC .......... 147,488 309,100 CABOT OIL & GAS CORP (CLASS A) ..... 4,637 81,900(degree)CAL DIVE INTERNATIONAL, INC ...... 1,699 148,800(degree)CANADIAN HUNTER EXPLORATION, INC . 969 338,794(degree)CANADIAN NATURAL RESOURCES LTD ... 5,073 182,713 CANADIAN OCCIDENTAL PETROLEUM LTD .. 1,891 16,500 CHESAPEAKE ENERGY CORP ............. 14 49,900 COFLEXIP S.A. ...................... 3,386 64,800(degree)COHO ENERGY, INC ................. 182 520 CORNERSTONE PROPANE PARTNERS LP .... 9 1,250 CROSS TIMBERS OIL CO ............... 9 473,500 DEVON ENERGY CORP .................. 14,531 910,200 DIAMOND OFFSHORE DRILLING, INC ..... 21,560 102,727(degree)EEX CORP ......................... 719 741,100 ENRON OIL & GAS CO ................. 12,784 2,990,735 ENSCO INTERNATIONAL, INC ........... 31,963 469,480(degree)EQUITY OIL CO .................... 455 1,470,523 FLETCHER CHALLENGE LTD (ENERGY DIVISION) 2,797 226,200(degree)FORCENERGY GAS EXPLORATION, INC 594 340,734(degree)FOREST OIL CORP .................. 2,896 204,400(degree)FRIEDE GOLDMAN INTERNATIONAL, INC 2,325 1,580(degree)GEOPHYSIQUE (COMPAGNIE GENERALE DE) 92 433,900(degree)GLOBAL INDUSTRIES LTD ............ 2,658 56,800(degree)GLOBAL MARINE, INC ............... 522 1,455,900(degree)GREY WOLF, INC ................... 1,183 106,600 GULF CANADA RESOURCES LTD .......... 311 2,030,192 HALLIBURTON CO ..................... 60,144 146,000(degree)HANOVER COMPRESSOR CO ............ 3,750 11,797(degree)HARKEN ENERGY CORP ............... 23 864,749 HELMERICH & PAYNE, INC ............. 16,755 136,937(degree)HOUSTON EXPLORATION CO ........... 2,722 65,661(degree)HS RESOURCES, INC ................ 497 308,500 IHC CALAND NV ...................... 12,822 1,123,364 IMPERIAL OIL LTD ................... 17,955 418,510 KCS ENERGY, INC .................... 1,282 1,116,573 KERR-MCGEE CORP .................... 42,709 419(degree)KEY ENERGY SERVICES, INC ......... 2 47,591 KONINKLIJKE PAKHOED HOLDINGS NV .... 1,202 2,128,272 LONDON & SCOTTISH MARINE OIL PLC ... 3,541 1,700(degree)LOUIS DREYFUS NATURAL GAS CORP ... 24 866,700(degree)MARINE DRILLING CO, INC .......... 6,663 29,729(degree)MCMORAN EXPLORATION CO ........... 405 5,000(degree)MERIDIAN RESOURCE CORP ........... 16 25,011 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) ......................... 286 209,500 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS B) ......................... 2,435 2,100(degree)NABORS INDUSTRIES, INC ........... 28 196,300(degree)NEW HORIZONS WORLDWIDE, INC ...... 4,539 1,500(degree)NEWFIELD EXPLORATION CO .......... 31 11,100 NOBLE AFFILIATES, INC .............. 273 160,779(degree)NOBLE DRILLING CORP .............. 2,080 521,016 NOVUS PETROLEUM LTD ................ 415 300(degree)NUEVO ENERGY CO .................. 3 3,000(degree)NUMAC ENERGY, INC ................ 7 418,747 OCCIDENTAL PETROLEUM CORP .......... 7,066 73,910(degree)OCEAN ENERGY, INC ................ 467 379,900(degree)OCEANEERING INTERNATIONAL, INC ... 5,699 500(degree)OCELOT ENERGY, INC (CLASS B) ..... 1 900(degree)OMNI ENERGY SERVICES CORP ........ 4 29,525 OMV AKTIENGESELLS AG. .............. 2,784 47(degree)ORYX ENERGY CO ................... 1 1,000,886(degree)PARKER DRILLING CO ............... 3,190 183,500(degree)PATTERSON ENERGY, INC ............ 745 46,200 PENN VIRGINIA CORP ................. 849 379,400(degree)PETROLEUM GEO-SERVICES AS ........ 4,830 1,128,300 PIONEER NATURAL RESOURCES CO ....... 9,873 527,400(degree)POCO PETROLEUM LTD ............... 4,395 600 POGO PRODUCING CO .................. 8 347,669(degree)POOL ENERGY SERVICES CO .......... 3,759 1,000(degree)PRIDE INTERNATIONAL, INC ......... 7 71,137 PRIMAGAZ CIE ....................... 6,749 1,492,378(degree)R & B FALCON CORP ................ 11,379 31,100(degree)RANGE RESOURCES CORP ............. 107 26,800(degree)RANGER OIL LTD ................... 119 398,250(degree)RENAISSANCE ENERGY LTD ........... 4,524 325,900(degree)RIGEL ENERGY CORP ................ 2,122 1,398,468(degree)ROWAN COS, INC ................... 13,985 601,244 RPC, INC ........................... 4,434 900(degree)RUTHERFORD-MORAN OIL CORP ........ 3 4,310(degree)SANTA FE ENERGY RESOURCES, INC ... 32 9,800 SANTA FE INTERNATIONAL CORP ........ 143 721,622 SCHLUMBERGER LTD ................... 33,285 172,200(degree)SEITEL, INC ...................... 2,142 50(degree)SERVAL GROWTH FUND TRUST (UNITS) . 0 2,393,828 SMEDVIG AS SERIES A ................ 20,108 See notes to financial statements. 44 VALUE SHARES (000) ------ -------- OIL AND GAS EXTRACTION--(CONTINUED) 1,200 SNYDER OIL CORP .................... $ 16 109,100 ST. MARY LAND & EXPLORATION CO 2,018 800(degree)STONE ENERGY CORP ................ 23 123,500(degree)SUPERIOR ENERGY SERVICES, INC .... 351 2,400(degree)SWIFT ENERGY CO .................. 18 87,276(degree)SYNTROLEUM CORP .................. 540 137,815(degree)TALISMAN ENERGY, INC ............. 2,418 6,660 TECHNIP S.A. ....................... 627 123,900(degree)TITAN EXPLORATION, INC ........... 813 642,069 TOTAL S.A. ......................... 65,055 153,554(degree)TRANSMONTAIGNE, INC .............. 2,323 835,700 TRANSOCEAN OFFSHORE, INC ........... 22,407 6,623(degree)TRANSTEXAS GAS CORP .............. 17 635(degree)TRITON ENERGY LTD ................ 5 2,800(degree)TUBOSCOPE, INC ................... 23 360,000(degree)TULLOW OIL PLC ................... 295 1,977,091 UNION PACIFIC RESOURCES GROUP, INC . 17,917 4,900(degree)UNIT CORP ........................ 21 68,300(degree)UTI ENERGY CORP .................. 495 64,700 VASTAR RESOURCES, INC .............. 2,794 800(degree)VERITAS DGC, INC ................. 10 1,800 VINTAGE PETROLEUM, INC ............. 16 42,550(degree)WEATHERFORD INTERNATIONAL ........ 824 102,338 WISER OIL CO ....................... 205 ---------- 853,078 ---------- PAPER AND ALLIED PRODUCTS--0.80% 295,100 ABITIBI CONSOLIDATED, INC .......... 2,728 152,847(degree)ACX TECHNOLOGIES, INC ............ 2,025 704,383 AMCOR LTD .......................... 3,013 14,309(degree)AMERICAN PAD & PAPER CO .......... 22 2,296,579 ARJO WIGGINS APPLETON PLC .......... 4,222 2,540,000(degree)ASIA PULP & PAPER CO LTD ADR ..... 20,796 31,711 AVERY DENNISON CORP ................ 1,429 136,500 BEMIS, INC ......................... 5,178 2,524,000 BERJAYA GROUP BERHAD ............... 377 558,732 BOISE CASCADE CORP ................. 17,321 8,896 BOWATER, INC ....................... 369 342,427(degree)BUCKEYE TECHNOLOGIES, INC ........ 5,115 123,880 BUHRMANN NV ........................ 2,218 369,300 CARAUSTAR INDUSTRIES, INC .......... 10,548 195,370 CARTIERE BURGO S.P.A. .............. 1,259 832,390 CHAMPION INTERNATIONAL CORP ........ 33,712 589,364 CONSOLIDATED PAPERS, INC ........... 16,208 3,305(degree)CROWN VANTAGE, INC ............... 7 568,052 DE LA RUE CO PLC ................... 1,952 316,200 DOMTAR, INC ........................ 1,822 10,580 DOMTAR, INC (U.S.) ................. 62 39,300 DONOHUE, INC (CLASS A) ............. 750 477,680(degree)EARTHSHELL CORP .................. 5,702 2,747,846 FLETCHER CHALLENGE LTD (PAPER DIVISION) 1,844 2,192,596 FORT JAMES CORP .................... 87,704 874,888(degree)GAYLORD CONTAINER CO ............. 5,359 401,548 GLATFELTER (P.H.) CO ............... 4,969 43,300 GREIF BROTHERS CORP (CLASS A) ...... 1,264 1,356,722 INTERNATIONAL PAPER CO ............. 60,798 16,199(degree)INVESTIMENTOS PARTICIPACOES (BABY SHS) 169 24,300 INVESTIMENTOS PARTICIPACOES E GESTAO 256 240,800(degree)IVEX PACKAGING CORP .............. 5,599 2,063,800(degree)JEFFERSON SMURFIT GROUP PLC ...... 3,723 4,291,948 KIMBERLY CLARK CORP ................ 233,911 386,500 KIMBERLY CLARK DE MEXICO S.A. DE CV SERIES A ....................... 1,233 900(degree)KORSNAS AB SERIES A .............. 12 424,100 LONGVIEW FIBRE CO .................. 4,904 1,761(degree)MAIL-WELL, INC ................... 20 50,800(degree)MAYR-MELNHOF KARTON AG. .......... 2,376 1,650,932 MEAD CORP .......................... 48,393 281,400(degree)METSA SERLA OYJ SERIES B ......... 2,306 1,249,000 MITSUBISHI PAPER MILLS LTD ......... 2,558 151,000 NAMPAK LTD ......................... 230 259,507(degree)NEXFOR, INC ...................... 1,022 992,000 NGK INSULATORS LTD ................. 12,813 1,338,000 NIPPON PAPER INDUSTRIES CO ......... 6,097 38,500 NORSKE SKOGINDUSTRIER SERIES A ..... 1,122 2,400 NORSKE SKOGINDUSTRIER SERIES B ..... 60 2,474,334 OJI PAPER CO LTD ................... 12,876 1,000(degree)PLAYTEX PRODUCTS, INC ............ 16 117,519 PORTUCEL INDUSTRIA EMPRESA ......... 771 459 POTLATCH CORP ...................... 17 345,864(degree)RENO DE MEDICI S.P.A. ............ 1,091 7,000(degree)REPAP ENTERPRISES, INC ........... 0 85,314 REPUBLIC GROUP, INC ................ 1,712 1,368,111 REXAM PLC .......................... 3,858 88,000 ROCK-TENN CO (CLASS A) ............. 1,491 53,879 SAPPI LTD .......................... 208 857,740 SCA AB SERIES B .................... 18,730 238,056 SCHWEITZER-MAUDUIT INTERNATIONAL, INC 3,675 88,000(degree)SETTSU CORP ...................... 37 346,314(degree)SHOREWOOD PACKAGING CORP ......... 7,099 1,979,079 SMURFIT (JEFFERSON) GROUP PLC ...... 3,556 9,524,422(degree)SMURFIT-STONE CONTAINER CORP ..... 150,605 607,921 SONOCO PRODUCTS CO ................. 18,010 228,100 ST. JOE CORP ....................... 5,346 130,000 STORA KOPPARBERG BERGSLAGS SERIES A FREE ..................... 1,427 335,101 STORA KOPPARBERG BERGSLAGS SERIES B FREE ..................... 3,721 5,314 TEMPLE-INLAND, INC ................. 315 224,800 UNI CHARM CORP ..................... 10,562 80,400 UNION CAMP CORP .................... 5,427 841,200 UPM-KYMMENE OY ..................... 23,591 621,432 WAUSAU-MOSINEE PAPER CORP .......... 10,992 676,821 WESTVACO CORP ...................... 18,147 70,472 WILLAMETTE INDUSTRIES, INC ......... 2,361 ---------- 931,218 ---------- PERSONAL SERVICES--0.09% 1,195 ANGELICA CORP ...................... 22 1,102,200 BLOCK (H&R), INC ................... 49,599 1,100(degree)CARRIAGE SERVICES, INC (CLASS A) . 31 39,600 CINTAS CORP ........................ 2,789 3,400(degree)COINMACH LAUNDRY CORP ............ 44 125,187 CPI CORP ........................... 3,317 800(degree)EQUITY CORP INTERNATIONAL ........ 21 149,600 G & K SERVICES, INC (CLASS A) ...... 7,966 78,200 REGIS CORP ......................... 3,128 825,731 SERVICE CORP INTERNATIONAL ......... 31,429 98,061 UNIFIRST CORP ...................... 2,237 15,600 UNITOG CO .......................... 449 ---------- 101,032 ---------- PETROLEUM AND COAL PRODUCTS--4.19% 1,053,100 AMERADA HESS CORP .................. 52,392 6,543,622 AMOCO CORP ......................... 386,074 29,200 ARABIAN OIL CO LTD ................. 376 1,142,387 ASHLAND, INC ....................... 55,263 1,757,930 ATLANTIC RICHFIELD CO .............. 114,705 9,857,334 BG PLC ............................. 62,199 16,101,986 BRITISH PETROLEUM CO PLC ........... 240,445 200 BRITISH PETROLEUM CO PLC ADR ....... 19 5,587,164 BROKEN HILL PROPRIETARY CO LTD ..... 41,191 18,031 BURMAH CASTROL PLC ................. 258 4,958,053 CHEVRON CORP ....................... 411,209 2,459,000 COSMO OIL CO LTD ................... 3,728 193,800 ELCOR CORP ......................... 6,262 749,732 ELF AQUITANE S.A. .................. 86,701 See notes to financial statements. 45 VALUE SHARES (000) ------ -------- PETROLEUM AND COAL PRODUCTS--(CONTINUED) 29,240,680 ENTE NAZIONALE IDROCARBURI S.P.A. .. $191,501 3,000(degree)ESSO MALAYSIA BERHAD ............. 2 21,099,888 EXXON CORP ......................... 1,542,929 81,647(degree)FRONTIER OIL CORP ................ 403 273,900#(degree)HEIZER CORP (LIQUIDATING TRUST) . 45 857 HOLLY CORP ......................... 14 45,000 JAPAN ENERGY CORP .................. 43 15,000 KANTO NATURAL GAS DEVELOPMENT CO LTD 80 1,714,000(degree)MITSUBISHI OIL CO LTD ............ 3,024 7,781,241 MOBIL CORP ......................... 677,941 488,880 MURPHY OIL CORP .................... 20,166 2,819,200 NIPPON OIL CO LTD .................. 9,847 255,478 NORSK HYDRO AS ..................... 8,618 767,000 PENNZENERGY CO ..................... 12,512 799,651(degree)PENNZOIL-QUAKER STATE CO ......... 11,845 93,000 PETRO-CANADA (NON-RESIDENT) ........ 984 400,800 PETRO-CANADA (VARIABLE-VOTE) ....... 4,240 37,307 PETROFINA S.A. ..................... 17,104 2,532(degree)PETROFINA S.A. WTS 08/05/03 ...... 19 2,175,317 PHILLIPS PETROLEUM CO .............. 92,723 763,174 REPSOL S.A. ........................ 40,772 5,728,870 ROYAL DUTCH PETROLEUM CO ........... 285,421 2,688,017 SANTOS LTD ......................... 7,222 210,884 SASOL LTD .......................... 798 427,000 SHELL REFINERY BERHAD .............. 315 216,900 SUNCOR ENERGY, INC ................. 6,496 1,136,742 SUNOCO, INC ........................ 40,994 132,000 TEIKOKU OIL CO LTD ................. 392 1,781(degree)TESORO PETROLEUM CORP ............ 22 3,910,526 TEXACO, INC ........................ 206,769 1,000 TONEN CORP ......................... 6 2,709,225 TOSCO CORP ......................... 70,101 1,598,999 ULTRAMAR DIAMOND SHAMROCK CORP ..... 38,776 2,415,032 UNOCAL CORP ........................ 70,489 1,230,921 USX-MARATHON GROUP, INC ............ 37,081 335,900 VALERO ENERGY CORP ................. 7,138 204,100 WD-40 CO ........................... 5,842 293,100 WOODSIDE PETROLEUM LTD ............. 1,312 82,000 YPF SOCIEDAD ANONIMA (CLASS D) ..... 2,294 107,100 YPF SOCIEDAD ANONIMA (CLASS D) ADR . 2,992 ---------- 4,880,094 ---------- PIPELINES, EXCEPT NATURAL GAS--0.01% 190,980 ENBRIDGE, INC ...................... 8,766 79,588 ENBRIDGE, INC (U.S.) ............... 3,656 600 KINDER MORGAN ENERGY PARTNERS LP ... 22 ---------- 12,444 ---------- PRIMARY METAL INDUSTRIES--0.45% 12,650 ACERINOX S.A. ...................... 295 22,940(degree)ACME METALS, INC ................. 7 127,000(degree)AFC CABLE SYSTEMS, INC ........... 4,270 104,400 AK STEEL HOLDINGS CORP ............. 2,453 405,900 ALCAN ALUMINIUM CO LTD ............. 10,967 75,900 ALCAN ALUMINIUM CO LTD (U.S.) ...... 2,054 36,100(degree)ALPINE GROUP, INC ................ 542 928,039 ALUMINUM CO OF AMERICA ............. 69,197 1,653,000 AMSTEEL CORP BERHAD ................ 161 84,000(degree)AMSTEEL CORP BERHAD WTS 05/19/00 . 3 20,960 ANGLO AMERICAN INDUSTRIAL CORP ..... 319 1,485,600(degree)ARMCO, INC ....................... 6,500 650,135 ASARCO, INC ........................ 9,793 2,087,072 AUSTRALIAN NATIONAL INDUSTRIES LTD . 1,472 3,342 BEKAERT S.A. ....................... 1,664 1,500 BELDEN, INC ........................ 32 946,521(degree)BETHLEHEM STEEL CORP ............. 7,927 457,200 BIRMINGHAM STEEL CORP .............. 1,915 5,900 BRITISH STEEL PLC .................. 9 41,700 BRUSH WELLMAN, INC ................. 727 188,376(degree)CABLE DESIGN TECHNOLOGIES CO ..... 3,485 71,122 CARPENTER TECHNOLOGY CORP .......... 2,414 45,100 CENTURY ALUMINUM CO ................ 426 45,644(degree)CHASE INDUSTRIES, INC ............ 476 186,000(degree)CITATION CORP .................... 2,348 39,800 CO STEEL, INC ...................... 330 75,100 COMMONWEALTH INDUSTRIES, INC ....... 704 53,500(degree)CURTISS WRIGHT CORP .............. 2,040 1,533,000 DAIDO STEEL CO LTD ................. 2,025 99,400 DANIELI & CO ....................... 723 261,800 DOFASCO, INC ....................... 3,341 215,350(degree)ENCORE WIRE CORP ................. 1,992 50,666 ENGELHARD CORP ..................... 988 11,724(degree)ESSEX INTERNATIONAL, INC ......... 406 9,000 FLACK S.P.A. ....................... 73 72,900(degree)FOSTER (LB) CO (CLASS A) ......... 483 43,000(degree)FRIED. KRUPP AG. HOESCH KRUPP .... 5,809 607,829 GENERAL CABLE CORP ................. 12,460 159,500 GENERAL HOUSEWARES CORP ............ 1,914 90,270 GERDAU METALURGICA S.A. ............ 1 101,200(degree)GIBRALTAR STEEL CORP ............. 2,302 52,000 GRANGES AB ......................... 751 54,820 HOOGOVENS NEN STAALIADRIEREN NV .... 1,519 1,360 IMCO RECYCLING, INC ................ 21 308,237 INLAND STEEL INDUSTRIES, INC ....... 5,201 311,300 INTERMET CORP ...................... 4,066 461,888 ISCOR LTD .......................... 83 1,000 IVACO, INC (CLASS A) ............... 2 432,000(degree)JAPAN METALS & CHEMICALS CO ...... 709 654,000(degree)JAPAN STEEL WORKS LTD ............ 812 73,200(degree)KAISER ALUMINUN CORP ............. 357 5,360,000 KAWASAKI STEEL CORP ................ 8,030 859(degree)LONE STAR TECHNOLOGIES, INC ...... 9 1,666,300 LTV CORP ........................... 9,685 44,600 MADECO S.A. ADR .................... 374 1,068,020 MANNESMANN AG. ..................... 122,473 61,300 MATTHEWS INTERNATIONAL CORP (CLASS A) 1,931 47,300(degree)MAVERICK TUBE CORP ............... 263 49,762(degree)MAXXAM, INC ...................... 2,855 2,500(degree)METALS U.S.A., INC ............... 24 58,000(degree)MITSUBISHI STEEL MANUFACTURING CO LTD 52 447,300(degree)MUELLER INDUSTRIES, INC .......... 9,086 451,450 NATIONAL IRON & STEEL MILLS LTD .... 495 223,600 NATIONAL STEEL CORP (CLASS B) ...... 1,593 47,000 NIPPON DENKO CO LTD ................ 69 12,305,000 NIPPON STEEL CORP .................. 22,363 11,112,200 NKK CORP ........................... 7,585 9,046 NKT HOLDINGS AS .................... 569 16,800(degree)NS GROUP, INC .................... 75 359,300 NUCOR CORP ......................... 15,540 24,700(degree)OPTICAL CABLE CORP ............... 299 359,700 OREGON STEEL MILLS, INC ............ 4,271 263,259 PECHINEY S.A. ...................... 8,601 310,750 PRECISION CAST PARTS CORP .......... 13,751 39,909 PREUSSAG AKTIEGESELLSCHAFT AG. ..... 18,042 35,000(degree)PROMET BERHAD .................... 2 184,829 QUANEX CORP ........................ 4,170 189,400(degree)RAUTARUUKKI SERIES K ............. 1,231 103,490 REYNOLDS METALS CO ................. 5,453 82,000 ROANOKE ELECTRIC STEEL CORP ........ 1,204 76,383 ROUGE INDUSTRIES, INC (CLASS A) .... 668 168,500(degree)RTI INTERNATIONAL METALS ......... 2,359 643,101 SIDERCA S.A. (CLASS A) ............. 734 30,520#(degree)SILVERSTONE BERHAD .............. 0 41,700(degree)SPECIAL METALS CORP .............. 373 7,600(degree)STEEL DYNAMICS, INC .............. 89 36,800 STELCO, INC (CLASS A) .............. 192 5,651,000 SUMITOMO METAL INDUSTRIES LTD ...... 6,463 120,225 SUPERIOR TELECOM, INC .............. 5,681 See notes to financial statements. 46 VALUE SHARES (000) ------ -------- PRIMARY METAL INDUSTRIES--(CONTINUED) 118,050 SVENSKT STAL AB SERIES A (SSAB) .... $ 1,129 49,350 SVENSKT STAL AB SERIES B ........... 472 11,171 TEXAS INDUSTRIES, INC .............. 301 140,040(degree)THYSSEN AG. ...................... 25,988 9,558 TITAN INTERNATIONAL, INC ........... 91 304,300 TITANIUM METALS CORP ............... 2,587 513,900 TOKYO STEEL MANUFACTURING CO LTD ... 2,579 168,580 TRELLEBORG AB SERIES B FREE ........ 1,373 12,000 TREMONT CORP ....................... 399 53,340 USINOR ............................. 592 1,075,714 USX-US STEEL GROUP, INC ............ 24,741 163,100(degree)WHX CORP ......................... 1,641 195,700(degree)WOLVERINE TUBE, INC .............. 4,110 76,212 WORTHINGTON INDUSTRIES, INC ........ 953 ---------- 522,178 ---------- PRINTING AND PUBLISHING--1.33% 170,345 AMERICAN BUSINESS PRODUCTS, INC .... 4,003 1,088,000 AMERICAN GREETINGS CORP (CLASS A) .. 44,676 197,597(degree)AMERICAN MEDIA, INC (CLASS A) .... 1,099 1,400(degree)APPLIED GRAPHICS TECHNOLOGIES, INC 23 492,200 BANTA CORP ......................... 13,474 87,300 BELO (A.H.) CORP SERIES A .......... 1,741 351,800 #BELO (A.H.) CORP SERIES B .......... 7,014 266,304(degree)BIG FLOWER HOLDINGS, INC ......... 5,875 583,740 BOWNE & CO, INC .................... 10,434 207,800 CENTRAL NEWSPAPERS, INC (CLASS A) .. 14,845 66,101 CLONDALKIN GROUP PLC (UNITS) ....... 473 185,900(degree)CONSOLIDATED GRAPHICS, INC ....... 12,560 31,692(degree)CSS INDUSTRIES, INC .............. 961 1,757,662 DAI NIPPON PRINTING CO LTD ......... 28,079 125,700(degree)DAY RUNNER, INC .................. 1,823 1,507,929 DELUXE CORP ........................ 55,134 700 DONNELLEY (R.R.) & SONS CO ......... 31 10,600 DOW JONES & CO, INC ................ 510 406,300 #DOW JONES & CO, INC (CLASS B) ...... 19,553 1,587,768(degree)ELSEVIER UTIGEVERSMIJ NV ......... 22,251 8,604 ENNIS BUSINESS FORMS, INC .......... 86 207,925(degree)FRANKLIN COVEY CO ................ 3,483 161,000(degree)GAKKEN CO LTD .................... 186 2,474,700 GANNETT CO, INC .................... 159,618 271,800(degree)GIBSON GREETINGS, INC ............ 3,228 32,300(degree)GOLDEN BOOKS FAMILY ENTERTAINMENT, INC ............................... 10 492,495 HARLAND (JOHN H.) CO ............... 7,788 593,100 HARTE-HANKS, INC ................... 16,903 1,300 HOLLINGER INTERNATIONAL, INC ....... 18 600 HOUGHTON MIFFLIN CO ................ 28 443,100 INDEPENDENT NEWSPAPERS PLC ......... 1,784 45,638(degree)JOURNAL REGISTER CO .............. 685 2,800 KNIGHT-RIDDER, INC ................. 143 419,900 LEE ENTERPRISES, INC ............... 13,227 14,400 #LEE ENTERPRISES, INC (CLASS B) ..... 454 136,100x(degree)MARVEL ENTERTAINMENT GROUP, INC 20 6,435 MCCLATCHY CO (CLASS A) ............. 228 301,331 MCGRAW HILL COS, INC ............... 30,698 80,600(degree)MEDIA ARTS GROUP, INC ............ 1,133 311,246 MEDIA GENERAL, INC (CLASS A) ....... 16,496 41,400 MEREDITH CORP ...................... 1,568 320,900 #MEREDITH CORP (CLASS B) ............ 12,154 52,600 MERRILL CORP ....................... 1,016 199,900 MONDADORI (ARNOLDO) EDITORE S.P.A. . 2,649 89,308 MOORE CORP LTD ..................... 974 854 MOORE CORP LTD (U.S.) .............. 9 33,400 NASPERS LTD ........................ 131 82,800 NEW ENGLAND BUSINESS SERVICES, INC . 3,240 299,000 NEW STRAITS TIMES PRESS BERHAD ..... 147 948,332 NEW YORK TIMES CO (CLASS A) ........ 32,895 7,581,813 NEWS CORP LTD ...................... 50,134 905,971 NEWS CORP LTD (SPONS ADR) .......... 22,366 657,800 ORIENTAL PRESS GROUP ............... 64 6,477,561 PEARSON PLC ........................ 128,574 245,419 PENTON MEDIA, INC .................. 4,970 188,900(degree)PETERSEN COS, INC (CLASS A) ...... 6,399 1,057,922(degree)PRIMEDIA, INC .................... 12,431 100 PULITZER PUBLISHING CO ............. 9 72,600 QUEBECOR PRINTING, INC ............. 1,581 138,800 QUEBECOR, INC (CLASS B) ............ 2,973 36,627 R.H. DONNELLEY CORP ................ 533 18,000 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VOTE) .............. 453 2,853,046(degree)REED INTERNATIONAL PLC ........... 22,310 917,500 REYNOLDS & REYNOLDS CO (CLASS A) ... 21,045 4,565 RURAL PRESS LTD .................... 14 1,800 SCHAWK, INC (CLASS A) .............. 25 75,000 SCHIBSTED ASA ...................... 945 701,400(degree)SCHOLASTIC CORP .................. 37,613 329,465 SCRIPPS (E.W.) CO (CLASS A) ........ 16,391 511,846 SINGAPORE PRESS HOLDINGS LTD ....... 5,584 7,190,000 SOUTH CHINA MORNING POST ........... 3,689 292,900 SOUTHAM, INC ....................... 4,453 145,900 STANDARD REGISTER, INC ............. 4,514 2,060 THOMAS NELSON, INC ................. 28 1,343,050 THOMSON CORP ....................... 31,390 6,240,730 TIME WARNER, INC ................... 387,315 20,400 TIMES MIRROR CO SERIES A ........... 1,142 742,859 #TIMES MIRROR CO SERIES C ........... 41,600 1,223,000 TOPPAN PRINTING CO LTD ............. 14,962 7,100(degree)TOPPS, INC ....................... 36 1,194,652 TRIBUNE CO ......................... 78,847 41,000 WALLACE COMPUTER SERVICES, INC ..... 1,081 69,700 WASHINGTON POST CO (CLASS B) ....... 40,282 79,938 WILEY (JOHN) & SONS, INC (CLASS A) . 3,862 107,593 WOLTERS KLUWER NV .................. 23,036 5,367(degree)WORKFLOW MANAGEMENT, INC ......... 36 553,848(degree)WORLD COLOR PRESS, INC ........... 16,858 ---------- 1,543,103 ---------- RAILROAD TRANSPORTATION--0.43% 600,726 BRAMBLES INDUSTRIES LTD ............ 14,647 4,285,694 BURLINGTON NORTHERN SANTA FE CORP .. 144,642 53,000 CANADIAN NATIONAL RAILWAY CO ....... 2,752 528 CANADIAN NATIONAL RAILWAY CO (U.S.) 27 593,700 CANADIAN PACIFIC LTD ............... 11,093 131,700 CANADIAN PACIFIC LTD (U.S.) NEW .... 2,486 2,138,472 CSX CORP ........................... 88,747 153,501 FLORIDA EAST COAST INDUSTRIES, INC . 5,401 2,530,639 HANKYU CORP ........................ 11,128 36,500 KANSAS CITY SOUTHERN INDUSTRIES, INC 1,795 334,000 KEIHIN ELECTRIC EXPRESS RAILWAY .... 1,051 3,337,203 KINKI NIPPON RAILWAY CO LTD ........ 17,899 2,516,875 NAGOYA RAILROAD CO LTD ............. 9,148 841,010 NANKAI ELECTRIC RAILWAY CO ......... 4,242 1,912,000 NIPPON EXPRESS CO LTD .............. 10,780 1,536,436 NORFOLK SOUTHERN CORP .............. 48,686 733,000 ODAKYU ELECTRIC RAILWAY CO LTD ..... 2,567 166,200 PROVIDENCE AND WORCESTER RAILROAD CO 2,078 2,657,215 RAILTRACK GROUP PLC ................ 69,455 854,000 TOBU RAILWAY CO LTD ................ 2,498 983,431 UNION PACIFIC CORP ................. 44,316 434,500(degree)WISCONSIN CENTRAL TRANSIT CORP ... 7,468 ---------- 502,906 ---------- REAL ESTATE--0.26% 422,400 ARDEN REALTY GROUP, INC ............ 9,794 108,700(degree)AVATAR HOLDINGS, INC ............. 1,739 51,072,000(degree)BEIJING NORTH STAR CO LTD SERIES H 8,174 713,300(degree)BRITISH LAND PLC ................. 5,305 See notes to financial statements. 47 VALUE SHARES (000) ------ -------- REAL ESTATE--(CONTINUED) 75,600 BROOKFIELD PROPERTIES CORP ......... $ 925 135,925(degree)CASTLE & COOKE, INC .............. 2,005 340,250(degree)CATELLUS DEVELOPMENT CORP ........ 4,870 167,000(degree)CB RICHARD ELLIS SERVICES GROUP, INC 3,027 5,151,508 CHEUNG KONG HOLDINGS LTD ........... 37,071 615,551(degree)CHINESE ESTATES HOLDINGS WTS 11/24/99 27 615,551(degree)CHINESE ESTATES HOLDINGS WTS 11/24/00 33 2,448,313 CHINESE ESTATES LTD ................ 357 1,368,326 CITY DEVELOPMENT LTD ............... 5,929 548,000 DAIWA KOSHO LEASE CO LTD ........... 2,254 1,789,800 DBS LAND LTD ....................... 2,636 88,900 DILIGENTIA AB ...................... 625 2,089(degree)ECHELON INTERNATIONAL CORP ....... 47 105,273(degree)EVERGO CHINA HOLDINGS LTD ........ 2 1,600(degree)EXCEL LEGACY CORP ................ 6 387,600(degree)FAIRFIELD COMMUNITIES, INC ....... 4,288 28,000 FIRST CAPITAL CORP LTD ............. 19 62,400 FOREST CITY ENTERPRISES, INC (CLASS A) 1,638 1,516,523 GENERAL PROPERTY TRUST ............. 2,837 479,000(degree)GENTRA, INC ...................... 842 979,638 GREAT PORTLAND ESTATES PLC ......... 3,195 99,156(degree)GRUBB & ELLIS CO ................. 799 23,175,000 GUANGZHOU INVESTMENT CO LTD. ....... 2,303 911,582 HAMMERSON PLC ...................... 5,225 2,271,500 HANG LUNG DEVELOPMENT CO LTD ....... 2,434 1,153,000 HENDERSON LAND DEVELOPMENT CO LTD .. 5,968 240 HONG KONG LAND HOLDINGS LTD ........ 0 840,000 HONG LEONG PROPERTIES BERHAD ....... 122 590,449 HOPEWELL HOLDINGS NEW LTD .......... 322 2,232,287 HYSAN DEVELOPMENT CO LTD ........... 3,328 196,559(degree)HYSAN DEVELOPMENT CO LTD WTS 04/30/99 4 183,744(degree)INSIGNIA FINANCIAL GROUP, INC .... 2,228 102,391 IRSA S.A. .......................... 281 149,600(degree)LASALLE PARTNERS, INC ............ 4,404 31,500 LION LAND BERHAD ................... 3 413,060 LNR PROPERTY CORP .................. 8,235 1,580,000 MALAYSIAN RESOURCES CORP BERHAD .... 402 138,095 MEPC PLC ........................... 919 1,534,900 METROPLEX BERHAD ................... 199 130,737(degree)METROVACESA ...................... 3,931 2,435,000 MITSUBISHI ESTATE CO LTD ........... 21,867 1,655,000 MITSUI FUDOSAN CO LTD .............. 12,544 889,250 MULPHA INTERNATIONAL BERHAD ........ 99 92,000 MYCOM BERHAD ....................... 9 2,966,074 NEW WORLD DEVELOPMENT CO LTD ....... 7,466 288,000 PARKWAY HOLDINGS LTD ............... 513 72,000 PETALING GARDEN BERHAD ............. 38 96,000 PRESTIGE PROPERTY HOLDINGS LTD ..... 5 2,369 PRICE ENTERPRISES, INC ............. 13 89,696(degree)RECKSON SERVICES INDUSTRIES, INC . 370 593,800 ROUSE CO ........................... 16,330 107,200(degree)ROYAL LEPAGE LTD ................. 269 1,021,800 SCHRODERS PROPERTY FUND ............ 1,667 17,700(degree)SECURITY CAPITAL GROUP, INC (CLASS B) 240 500,000 SELANGOR PROPERTIES BERHAD ......... 153 39,002 SIMCO (REGD) ....................... 3,540 4,700,012 SINO LAND CO ....................... 2,518 1,406,618 SLOUGH ESTATES PLC ................. 6,389 517,300 STEWART ENTERPRISES, INC (CLASS A) . 11,510 1,813,794 STOCKLAND TRUST GROUP (UNITS) ...... 4,517 88,077(degree)STOCKLAND TRUST GROUP (UNITS) NEW 212 5,824,217 SUN HUNG KAI PROPERTIES LTD ........ 42,475 1,924,394 TAI CHEUNG HOLDINGS LTD ............ 472 74,400(degree)TAK WING INVESTMENT HOLDINGS LTD . 4 744,000 TOKYO TATEMONO CO LTD .............. 1,273 203,080(degree)TRAMMELL CROW CO ................. 5,686 637(degree)TRIZEC HAHN CORP WTS 07/25/99 .... 2 32,260(degree)UNIBAIL S.A. ..................... 4,707 1,170,000 UNITED OVERSEAS LAND LTD ........... 794 120,645(degree)URBIS S.A. ....................... 1,877 464,060(degree)VALLEHERMOSO S.A. ................ 6,648 3,066,151 WESTFIELD TRUST (UNITS) ............ 6,771 ---------- 299,730 ---------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.59% 80,900 ADIDAS SALOMON AG. ................. 8,791 4,700(degree)AEP INDUSTRIES, INC .............. 102 333,564 APTARGROUP, INC .................... 9,361 604,184 ARMSTRONG WORLD INDUSTRIES, INC .... 36,440 300 BANDAG, INC ........................ 12 119,300 BANDAG, INC (CLASS A) .............. 4,161 2,617,895 BRIDGESTONE CORP ................... 59,529 125,300 CARLISLE COS, INC .................. 6,469 1,685,824(degree)CONTINENTAL AG. .................. 46,559 13,200(degree)CONVERSE, INC .................... 31 300 COOPER TIRE & RUBBER CO ............ 6 590,427 FIRST BRANDS CORP .................. 23,285 154,300 FOAMEX INTERNATIONAL, INC .......... 1,909 2,880 FORBO HOLDINGS AG. (REGD) .......... 1,258 219,596 FURON CO ........................... 3,747 1,319,850 GOODRICH (B.F.) CO ................. 47,350 1,491,452 GOODYEAR TIRE & RUBBER CO .......... 75,225 1,450,200 ILLINOIS TOOL WORKS, INC ........... 84,112 525,716 MICHELIN S.A. (CLASS B) ............ 21,034 89,750 MIRAI INDUSTRY CO LTD .............. 899 129,176 MYERS INDUSTRIES, INC .............. 3,706 1,123,000 NIKE, INC (CLASS B) ................ 45,552 123,000 OKAMATO INDUSTRIES, INC ............ 277 1,736,800 PACIFIC DUNLOP LTD ................. 2,813 4,612,849 PIRELLI S.P.A. ..................... 14,811 2,000,000 PIRELLI S.P.A. RISP ................ 4,936 787,823 PREMARK INTERNATIONAL, INC ......... 27,278 710(degree)REEBOK INTERNATIONAL LTD ......... 11 356,115 RUBBERMAID, INC .................... 11,195 1,368,064(degree)SAFESKIN CORP .................... 33,005 482,292(degree)SEALED AIR CORP .................. 24,627 1,952,045 SOLUTIA, INC ....................... 43,677 92,600 SPARTECH CORP ...................... 2,037 155,100(degree)SYNETIC, INC ..................... 6,824 296,669 TREDEGAR INDUSTRIES, INC ........... 6,675 1,496,700 TUPPERWARE CORP .................... 24,602 83,387 WEST CO, INC ....................... 2,976 46,487 WYNNS INTERNATIONAL, INC ........... 1,029 550 YOKOHAMA RUBBER CO LTD ............. 1 63,000(degree)YUE YUEN INDUSTRIAL HOLDINGS ..... 120 ---------- 686,432 ---------- SECURITY AND COMMODITY BROKERS--0.91% 30,375 ADVEST GROUP, INC .................. 562 173,985(degree)AFFILIATED MANAGERS GROUP, INC ... 5,198 36,200(degree)AMERITRADE HOLDINGS CORP (CLASS A) 1,140 1,140,000(degree)AMVESCAP PLC ..................... 8,844 1,590,628 BEAR STEARNS COS, INC .............. 59,450 400 DAIN RAUSCHER CORP ................. 12 5,535,000 DAIWA SECURITIES CO LTD ............ 18,941 83,600 DONALDSON, LUFKIN, & JENRETTE, INC . 3,428 69,033 DUFF & PHELPS CREDIT RATING CO ..... 3,784 1,900(degree)E TRADE GROUP, INC ............... 89 392,500 EATON VANCE CORP ................... 8,193 2,029,592 EDWARDS (A.G.), INC ................ 75,602 537,692 EVEREN CAPITAL CORP ................ 12,232 106,600 FEDERATED INVESTMENTS, INC ......... 1,932 416,700 FRANKLIN RESOURCES, INC ............ 13,334 213,300 FREEDOM SECURITIES CORP ............ 3,226 84,700(degree)FRIEDMAN, BILLINGS, RAMSEY GROUP, INC 551 31,900(degree)HAMBRECHT & QUIST GROUP .......... 724 37,932 HONG LEONG CREDIT BERHAD ........... 19 1,000(degree)INVESTMENT TECHNOLOGY GROUP, INC . 62 See notes to financial statements. 48 VALUE SHARES (000) ------ -------- SECURITY AND COMMODITY BROKERS--(CONTINUED) 21,939 INVESTORS FINANCIAL SERVICES CORP .. $ 1,308 4,342,400 ITOCHU CORP ........................ 8,392 130,100 JEFFERIES GROUP, INC ............... 6,456 474 JOHN NUVEEN CO (CLASS A) ........... 18 1,132 LEGG MASON, INC .................... 36 1,317,339 LEHMAN BROTHERS HOLDINGS, INC ...... 58,045 5,015,900 MARUBENI CORP ...................... 8,627 1,303,000(degree)MBF CAPITAL BERHAD ............... 205 1,654,592 MERRILL LYNCH & CO, INC ............ 110,444 2,916,000 MITSUBISHI CORP .................... 16,803 2,258,000 MITSUI & CO LTD .................... 12,631 696,600 MORGAN KEEGAN, INC ................. 13,105 3,879,873 MORGAN STANLEY, DEAN WITTER, & CO .. 275,471 3,000,000(degree)NIKKO SECURITIES CO LTD .......... 8,378 5,275,000 NOMURA SECURITIES CO LTD ........... 46,062 113,200(degree)OM GRUPPEN AB .................... 1,424 781,702 PAINE WEBBER GROUP, INC ............ 30,193 517,000x(degree)PEREGRINE INVESTMENT HOLDINGS LTD 287 181,406 PHOENIX INVESTMENT PARTNERS LTD .... 1,531 8,118 PIONEER GROUP, INC ................. 160 721,400 PRICE (T. ROWE) ASSOCIATES, INC .... 24,708 433,000(degree)RASHID HUSSAIN BERHAD ............ 215 981,456 RAYMOND JAMES FINANCIAL CORP ....... 20,733 2,928,036 SCHWAB (CHARLES) CORP .............. 164,519 77,436 SOUTHWEST SECURITIES GROUP, INC .... 1,558 390,000 TA ENTERPRISE BERHAD ............... 88 19,000 UNITED ASSET MANAGEMENT CORP ....... 494 270,600 VALUE LINE, INC .................... 10,655 335,029 WADDELL & REED FINANCIAL, INC (CLASS A) 7,936 386,060 WADDELL & REED FINANCIAL, INC (CLASS B) 8,976 1,901,000x(degree)YAMAICHI SECURITIES CO LTD ...... 34 ---------- 1,056,815 ---------- SOCIAL SERVICES--0.00% 26,500(degree)BROOKDALE LIVING COMMUNITIES, INC 517 62,300(degree)CAPITAL SENIOR LIVING CORP ....... 868 38,950(degree)RES-CARE, INC .................... 962 73,200(degree)RWD TECHNOLOGIES, INC ............ 1,583 2,000(degree)SUNRISE ASSISTED LIVING, INC ..... 104 ---------- 4,034 ---------- SPECIAL TRADE CONTRACTORS--0.04% 3,500(degree)AMERICAN RESIDENTIAL SERVICES, INC 11 326,600 APOGEE ENTERPRISES, INC ............ 3,674 129,200(degree)COMFORT SYSTEMS U.S.A., INC ...... 2,309 309,200(degree)GROUP MAINTENANCE AMERICA CORP ... 3,749 72,900(degree)INTEGRATED ELECTRICAL SERVICES, INC 1,622 833,000 KANDENKO CO LTD .................... 5,642 705,000 KINDEN CORP ........................ 10,737 259,000 KYUNDENKO CO LTD ................... 1,754 5,600(degree)LAYNE CHRISTENSEN CO ............. 41 77,100(degree)MATRIX SERVICE CO ................ 366 102,960 NIPPON KANZAI CO LTD ............... 1,561 10,236(degree)NSC CORP ......................... 10 3,095x(degree)OMEGA ENVIRONMENTAL, INC ........ 0 185,217 SCHNEIDER S.A. ..................... 11,240 800(degree)SERVICE EXPERTS, INC ............. 23 ---------- 42,739 ---------- STONE, CLAY, AND GLASS PRODUCTS--0.46% 13,934 ADELAIDE BRIGHTON HOLDINGS LTD ..... 7 3,573 AKER RGI ASA ....................... 32 78,800 AKER RGI ASA SERIES A .............. 827 400 AMERON INTERNATIONAL CORP .......... 15 1,812,000 ASAHI GLASS CO LTD ................. 11,261 20,000 ASANO SLATE CO LTD ................. 15 5,989,055 BLUE CIRCLE INDUSTRIES PLC ......... 30,890 1,833,169 BORAL LTD .......................... 2,609 8,997 BPB PLC ............................ 32 2,700 CARBO CERAMICS, INC ................ 47 37,700 CBR NV ............................. 3,731 353,600 CEMENTIR S.P.A. .................... 407 98,750 CEMEX S.A. (CLASS B) ............... 248 72,720 CEMEX S.A. DE CV-CPO ............... 157 4,900 CENTEX CONSTRUCTION PRODUCTS, INC .. 199 277,389 CIMENTOS DE PORTUGAL ............... 8,855 26,116 CORCEMAR S.A. ...................... 148 751,588 CORNING, INC ....................... 33,821 1,442,998 CRH PLC ............................ 24,561 82 CRISTALERIA ESPANOLA S.A. .......... 6 13(degree)CRISTALERIA ESPANOLA S.A. NEW .... 1 2,021,663 CSR LTD ............................ 4,948 151,200(degree)DAL-TILE INTERNATIONAL, INC ...... 1,569 331,113(degree)DEPARTMENT 56, INC ............... 12,437 10,131(degree)DUPONT PHOTOMASKS, INC ........... 430 836,031 ENGLISH CHINA CLAYS PLC ............ 2,302 99,438 FLORIDA ROCK INDUSTRIES, INC ....... 3,083 152,100(degree)GIANT CEMENT HOLDINGS, INC ....... 3,764 11,088 GLAVERBEL S.A. ..................... 1,469 58 GLAVERBEL STRIP NPV (VVPR) ......... 0 600,000 GUJARAT AMBUJA CEMENTS ............. 3,960 1,931,751 HANSON PLC ......................... 15,339 150,670 HEIDELBERGER ZEMENT AG. ............ 11,760 851,930(degree)HEPWORTH PLC ..................... 2,275 11,621 HOLDERBANK FINANCIERE GLARUS AG. (BR) 13,757 1,300 HOLDERBANK FINANCIERE GLARUS AG. (REGD) 326 439,000(degree)HOYA CORP ........................ 21,405 196,000 HUME INDUSTRIES BERHAD ............. 119 19 IMETAL S.A. ........................ 2 685,000 INAX CORP .......................... 4,433 793,720(degree)ITALCEMENTI S.P.A. ............... 8,760 40,000 ITALCEMENTI S.P.A. (S/S) ........... 204 1,625,715 JAMES HARDIE INDUSTRIES LTD ........ 3,325 203,000 KEDAH CEMENT HOLDINGS BERHAD ....... 84 515,360 LAFARGE CORP ....................... 20,872 379,802 LAFARGE S.A. (BR) .................. 36,102 30,768 #LAFARGE S.A. (REGD) ................ 2,925 611 LAFARGE S.A. (SPANISH CERT) ........ 52 68,265 LIBBEY, INC ........................ 1,975 400 LONE STAR INDUSTRIES, INC .......... 15 307,500 MALAYAN CEMENT BERHAD .............. 78 1,364,000 MALAYAN UNITED INDUSTRIES BERHAD ... 207 239,000 MALAYSIAN MOSAICS BERHAD ........... 57 895,070 MARLEY PLC ......................... 1,832 1,000(degree)MIKASA, INC ...................... 13 116,418 MURRAY & ROBERTS HOLDINGS LTD ...... 61 1,326,406 NEWELL COS, INC .................... 54,714 1,430,000 NIPPON SHEET GLASS CO LTD .......... 4,031 185,000 NORITAKE CO LTD .................... 958 928,158 OWENS CORNING CO ................... 32,892 249,881(degree)OWENS ILLINOIS, INC .............. 7,653 610,000 PAN-MALAYSIA CEMENT WORKS BERHAD ... 127 3,396,305 PILKINGTON PLC ..................... 3,362 3,449,732 PIONEER INTERNATIONAL LTD .......... 7,300 334,569 PORTLAND HOLDINGS LTD .............. 73 2,100 PUERTO RICAN CEMENT CO, INC ........ 73 147,154 RUGBY GROUP PLC .................... 230 469 EUROC INDUSTRIA AB SERIES A ........ 17 445,441 SOUTHDOWN, INC ..................... 26,365 256,880 ST. GOBAIN S.A. .................... 36,282 1,709,000 SUMITOMO OSAKA CEMENT CO LTD ....... 3,197 626,200(degree)SUNGEI WAY HOLDINGS BERHAD ....... 143 2,635,200 TAIHEIYO CEMENT CORP ............... 6,611 9,840,900 TARMAC PLC ......................... 18,420 51,500 TOTO LTD ........................... 414 654,900 USG CORP ........................... 33,359 396,000 VIDRALA S.A. ....................... 4,611 See notes to financial statements. 49 VALUE SHARES (000) ------ -------- STONE, CLAY, AND GLASS PRODUCTS--(CONTINUED) 9,440 WIENERBERGER BAUSTOFF AG. .......... $ 1,879 ---------- 540,520 ---------- TEXTILE MILL PRODUCTS--0.12% 300,228 ALBANY INTERNATIONAL CORP (CLASS A) NEW ..................... 5,686 2,264,606 BBA GROUP PLC ...................... 14,111 1,875(degree)BURLINGTON INDUSTRIES, INC ....... 21 21,866 CHARGEURS S.A. ..................... 1,210 1,453,850 COATS VIYELLA PLC .................. 653 252,949(degree)COLLINS & AIKMAN CORP ............ 1,296 7,246(degree)CONE MILLS CORP .................. 41 331,130 COURTAULDS TEXTILES PLC ............ 865 2,300 CULP, INC .......................... 18 167,610(degree)DAN RIVER, INC (CLASS A) ......... 1,969 107,838 FAB INDUSTRIES, INC ................ 2,319 15,375(degree)GALEY & LORD, INC ................ 133 49,635(degree)GUILFORD MILLS, INC .............. 828 676,400 INTERFACE, INC (CLASS A) ........... 6,278 382,000(degree)KANEBO LTD ....................... 379 979,000 KURABO INDUSTRIES LTD .............. 1,007 2,500(degree)LENZING AG. ...................... 156 121,500 MARZOTTO & FIGLI S.P.A. ............ 1,341 482,000 MITSUBISHI RAYON CO LTD ............ 1,320 585,331(degree)MOHAWK INDUSTRIES, INC ........... 24,620 896,000 NISSHINBO INDUSTRY, INC ............ 3,130 218,000(degree)POLYMER GROUP, INC ............... 2,166 1,300(degree)QUAKER FABRIC CORP ............... 8 15,000 RUSSELL CORP ....................... 305 1,568,200 SHAW INDUSTRIES, INC ............... 38,029 49,173 SPRING INDUSTRIES, INC ............. 2,038 9,400 ST. JOHN KNITS, INC ................ 244 1,085,000 TOYOBO CO LTD ...................... 1,404 28,300(degree)TULTEX CORP ...................... 25 235,225 UNIFI, INC ......................... 4,602 194,000(degree)UNITIKA LTD ...................... 134 643,600(degree)WESTPOINT STEVENS, INC ........... 20,314 ---------- 136,650 ---------- TOBACCO PRODUCTS--0.97% 3,039,696 BRITISH AMERICAN TOBACCO PLC ....... 26,729 173,638(degree)CONSOLIDATED CIGAR HOLDINGS, INC . 3,071 285,357 FORTUNE BRANDS, INC ................ 9,024 2,950,000 GALLAHER GROUP PLC ................. 20,001 93,340(degree)GENERAL CIGAR HOLDINGS, INC (CLASS A) 811 1,174,300 IMASCO LTD ......................... 25,000 24,928 NOBLEZA-PICCARDO S.A. (CLASS B) .... 85 17,301,789 PHILIP MORRIS COS, INC ............. 925,646 215,000 R.J. REYNOLDS BERHAD ............... 170 392,337 ROTHMANS HOLDINGS LTD .............. 2,816 327,300 ROTHMANS OF PALL MALL BERHAD ....... 1,350 149,173 SEITA S.A. ......................... 9,346 63,878 SOUZA CRUZ S.A. .................... 412 3,365,400 TABACALERA S.A. SERIES A (REGD) .... 85,028 424,117 UST, INC ........................... 14,791 ---------- 1,124,280 ---------- TRANSPORTATION BY AIR--0.46% 165,100(degree)AIR CANADA, INC .................. 661 385,900 AIR NEW ZEALAND LTD (CLASS B) ...... 608 337,300 AIRBORNE FREIGHT CORP .............. 12,164 913(degree)AIRNET SYSTEMS, INC .............. 13 76,600(degree)AIRTRAN HOLDINGS, INC ............ 201 4,829(degree)ALASKA AIR GROUP, INC ............ 214 2,293,000(degree)ALITALIA S.P.A. .................. 8,482 1,170(degree)ALL NIPPON AIRWAYS CO LTD ........ 4 1,980(degree)AMERICA WEST HOLDINGS CORP (CLASS B) 34 1,775,663(degree)AMR CORP ......................... 105,430 722,898 ASA HOLDINGS, INC .................. 22,048 1,400(degree)ATLANTIC COAST AIRLINES HOLDINGS . 35 162,700(degree)ATLAS AIR, INC ................... 7,962 25,584 AUSTRIAN AIRLINES/OEST LUFTV AG. ... 917 270,688(degree)AVIALL, INC ...................... 3,181 1,781,328 BRITISH AIRPORT AUTHORITIES PLC .... 20,791 3,933,613 BRITISH AIRWAYS PLC ................ 26,523 200(degree)CANADIAN AIRLINES CORP ........... 0 4,000(degree)CANADIAN AIRLINES CORP WTS 04/22/99 0 3,892,800 CATHAY PACIFIC AIRWAYS LTD ......... 3,869 874,500 COMAIR HOLDINGS, INC ............... 29,514 586,700(degree)CONTINENTAL AIRLINES, INC (CLASS B) 19,654 1,035,686 DELTA AIRLINES, INC ................ 53,856 709,990 DEUTSCHE LUFTHANSA AG. (REGD) ...... 15,687 552,181(degree)FDX CORP ......................... 49,144 22,367 FLUGHAFEN WIEN AG. ................. 1,098 21,800 HELICOPTER SERVICES GROUP ASA ...... 103 52,500 HONG KONG AIRCRAFT ENGINEERING CO LTD 72 2,998,400(degree)JAPAN AIRLINES CO LTD ............ 7,921 30,800(degree)KITTY HAWK, INC .................. 339 116,183 KLM (ROYAL DUTCH AIRLINES) NV ...... 3,516 692,000 MALAYSIAN AIRLINE SYSTEM BERHAD .... 265 424,800(degree)MESA AIR GROUP, INC .............. 3,319 259(degree)MIDWEST EXPRESS HOLDINGS, INC .... 7 110,400 NALURI BERHAD ...................... 16 22,080(degree)MALAYSIAN HELICOPTER WTS 06/11/00 1 600(degree)NORTHWEST AIRLINES CORP (CLASS A) 15 321,900(degree)OFFSHORE LOGISTICS, INC .......... 3,823 330,005 PITTSTON BAX GROUP ................. 3,671 303,000(degree)RYANAIR HOLDINGS PLC ............. 2,169 415,000(degree)RYANAIR HOLDINGS PLC ADR ......... 15,666 167,500 SAFMARINE & RENNIES HOLDINGS LTD ... 145 34,100 SAIRGROUP .......................... 8,466 56,388 SAS DANMARK AS ..................... 638 52,000 SAS NORGE ASA SERIES B ............. 437 1,047,000 SINGAPORE INTERNATIONAL AIRLINES LTD (FR) 7,678 1,800 SKYWEST, INC ....................... 59 1,420,535 SOUTHWEST AIRLINES CO .............. 31,873 2,876,200 SWIRE PACIFIC LTD (CLASS A) ........ 12,882 3,500(degree)TRANS WORLD AIRLINES, INC ........ 17 866,600(degree)U.S. AIRWAYS GROUP, INC .......... 45,063 59(degree)UAL CORP ......................... 4 ---------- 530,255 ---------- TRANSPORTATION EQUIPMENT--3.32% 2,600(degree)AFTERMARKET TECHNOLOGY CORP ...... 20 6,000 AISIN SEIKI CO LTD ................. 66 9,507,429 ALLIED SIGNAL, INC ................. 421,298 287,000 ARCTIC CAT, INC .................... 2,924 845,649 AUTOLIV, INC ....................... 31,448 5,100(degree)AVONDALE INDUSTRIES, INC ......... 148 500(degree)BANNER AEROSPACE, INC ............ 5 388,698(degree)BE AEROSPACE, INC ................ 8,163 8,113,407 BOEING CO .......................... 264,700 24,000 BOMBARDIER, INC (CLASS A) .......... 349 1,729,204 BOMBARDIER, INC (CLASS B) .......... 24,767 264,200 BORG-WARNER AUTOMOTIVE, INC ........ 14,746 400(degree)BREED TECHNOLOGIES, INC .......... 3 6,000x(degree)BREMER VULKAN AG. ............... 3 6,213,844 BRITISH AEROSPACE PLC .............. 52,675 7,134(degree)BRITISH AEROSPACE PLC WTS 11/15/00 176 346,300 CAE, INC ........................... 1,837 216,750 CLARCOR, INC ....................... 4,335 900 COACHMEN INDUSTRIES, INC ........... 24 340,288 COBHAM GROUP PLC ................... 3,887 177,850 COMMERCIAL INTERTECH CORP .......... 2,301 643,984 CORDANT TECHNOLOGIES, INC .......... 24,149 208,000 CYCLE & CARRIAGE LTD ............... 712 1,148,230(degree)DAIMLERCHRYSLER AG. .............. 113,403 1,898,528(degree)DAIMLERCHRYSLER (U.S.A.) ......... 182,377 675,211 DANA CORP .......................... 27,599 582,278 DANAHER CORP ....................... 31,625 See notes to financial statements. 50 VALUE SHARES (000) ------ -------- TRANSPORTATION EQUIPMENT--(CONTINUED) 83,722(degree)DELCO REMY INTERNATIONAL, INC (CLASS A) ................... $ 822 1,720,400 DENSO CORP ......................... 31,876 148,895(degree)DUCOMMUN, INC .................... 2,057 780,434 EATON CORP ......................... 55,167 1,700 EXCEL INDUSTRIES, INC .............. 30 219,700 EXEDY CORP ......................... 869 6,800(degree)FABBRICA ITALIANA APPARECCHIATURE 25 714 FEDERAL SIGNAL CORP ................ 20 244 FEDERAL-MOGUL CORP ................. 15 6,882,918 FIAT S.P.A. ........................ 23,958 1,646,997 FIAT S.P.A. DI RISP ................ 3,296 366,667 FIAT S.P.A. (PRIV) ................. 708 1,800 FLEETWOOD ENTERPRISES, INC ......... 63 7,202,415 FORD MOTOR CO ...................... 422,692 568,624 GENCORP, INC ....................... 14,180 290,100 GENERAL DYNAMICS CORP .............. 17,007 4,899,743 GENERAL MOTORS CORP ................ 350,638 2,059,394(degree)GENERAL MOTORS CORP (CLASS H) .... 81,732 797,000(degree)GENTEX CORP ...................... 15,940 31,827 GREENBRIER COS, INC ................ 450 1,195,474(degree)GULFSTREAM AEROSPACE CORP ........ 63,659 20,435(degree)HALTER MARINE GROUP, INC ......... 100 808,400 HARLEY DAVIDSON, INC ............... 38,298 42,620(degree)HAYES LEMMERZ INTERNATIONAL, INC . 1,287 1,973(degree)HEICO CORP ....................... 62 5,550 HEICO CORP (CLASS A) ............... 128 2,276,000 HONDA MOTOR CO LTD ................. 74,857 190,732(degree)HOWMET INTERNATIONAL, INC ........ 3,076 1,225 HUFFY CORP ......................... 20 407,000 INCHAPE MOTORS ..................... 471 160,536 ITT INDUSTRIES, INC ................ 6,381 125,300 KAMAN CORP (CLASS A) ............... 2,013 4,504,000 KAWASAKI HEAVY INDUSTRIES LTD ...... 10,581 38,100(degree)KELLSTROM INDUSTRIES, INC ........ 1,095 45,335 KVAERNER INDUSTRIER AS SERIES A .... 893 3,935 KVAERNER INDUSTRIER AS SERIES B .... 65 130,994(degree)LAIRD GROUP PLC .................. 359 979,131 LOCKHEED MARTIN CORP ............... 82,981 2,211,543 LUCASVARITY PLC .................... 7,378 227,600 MAGNA INTERNATIONAL, INC ........... 14,136 40,400 MAN AG. (STAMM) .................... 11,885 291,600 MASCOTECH, INC ..................... 4,994 3,082,613 MERITOR AUTOMOTIVE, INC ............ 65,313 481,000(degree)MITSUI ENGINEERING & SHIP BUILDING CO LTD ............................ 478 118,170 MODINE MANUFACTURING CO ............ 4,284 206,250(degree)MONACO COACH CORP ................ 5,466 200(degree)MOTIVEPOWER INDUSTRIES, INC ...... 6 103,800(degree)NATIONAL R.V. HOLDINGS, INC ...... 2,673 1,194,535(degree)NAVISTAR INTERNATIONAL CORP ...... 34,044 803 NEWPORT NEWS SHIPBUILDING, INC ..... 27 73,000 NIPPON SHARYO LTD .................. 237 4,173,000 NISSAN MOTOR CO LTD ................ 12,800 484,275 NORTHROP GRUMMAN CORP .............. 35,413 30,400 OEA, INC ........................... 359 8,517(degree)ORBITAL SCIENCES CORP ............ 377 1,130,000 ORIENT CORP ........................ 2,524 1,007,800 PACCAR, INC ........................ 41,446 573,000 PERUSAHAAN OTOMOBIL NASIONAL BERHAD 607 190,106 PEUGEOT S.A. ....................... 29,437 350,193 POLARIS INDUSTRIES, INC ............ 13,723 268,600 REGAL-BELOIT CORP .................. 6,178 52,900 RHEINMETALL AG. .................... 1,369 4,133,234 ROLLS ROYCE LTD .................... 17,123 400,000 SANDEN CORP ........................ 3,032 13,779(degree)SEQUA CORP (CLASS A) ............. 825 257,000 SHIMANO, INC ....................... 6,641 794,500 SIEMENS AG. ........................ 51,278 275,475 SIMPSON INDUSTRIES, INC ............ 2,669 232,550 SMITH (A.O.) CORP .................. 5,712 349,800 SMITHS INDUSTRIES PLC .............. 4,991 136,700(degree)SPAR AEROSPACE LTD ............... 823 150,350 SPARTAN MOTORS, INC ................ 865 441,124(degree)SPX CORP ......................... 29,555 68,863 STANDARD MOTOR PRODUCTS, INC (CLASS A) 1,670 49,143 STANDARD PRODUCTS CO ............... 1,001 116,585(degree)STONERIDGE, INC .................. 2,652 30,194(degree)STRATTEC SECURITY CORP ........... 906 952,507 SUNDSTRAND CORP .................... 49,411 400 SUPERIOR INDUSTRIES INTERNATIONAL, INC 11 149,000(degree)SUZUKI MOTOR CORP ................ 1,770 1,000,000(degree)TATA ENGINEERING & LOC GDR ....... 4,000 492,427 TEXTRON, INC ....................... 37,394 341,422 THOMSON-CSF ........................ 14,669 20,956 THOR INDUSTRIES, INC ............... 534 1,678,312 TI GROUP PLC ....................... 9,040 9,422,880 TOYOTA MOTOR CORP .................. 256,455 121,300 TRANSPRO, INC ...................... 591 778,400 TRINITY INDUSTRIES, INC ............ 29,968 221,700(degree)TRISTAR AEROSPACE CO ............. 1,552 104,130(degree)TRIUMPH GROUP, INC ............... 3,332 1,215,571 TRW, INC ........................... 68,300 417,000 UMW HOLDINGS BERHAD ................ 307 2,811,890 UNITED TECHNOLOGIES CORP ........... 305,793 329,870 VALEO S.A. ......................... 26,006 271,500 VARLEN CORP ........................ 6,261 870,540 VOLKSWAGEN AG. ..................... 69,514 51,680 VOLVO AB SERIES A .................. 1,157 992,070 VOLVO AB SERIES B FREE ............. 22,765 1,150 WABASH NATIONAL CORP ............... 23 3,900(degree)WALBRO CORP ...................... 25 35,300 WESTINGHOUSE AIR BRAKE CO .......... 863 159,696 WINNEBAGO INDUSTRIES, INC .......... 2,415 ---------- 3,858,664 ---------- TRANSPORTATION SERVICES--0.09% 8,993 AIR EXPRESS INTERNATIONAL CORP ..... 196 2,800(degree)AMBASSADORS INTERNATIONAL, INC ... 41 31,200 C.H. ROBINSON WORLDWIDE, INC ....... 809 96,450 CIRCLE INTERNATIONAL GROUP, INC .... 1,977 8,660 DANZAS HOLDINGS AG. (REGD) ......... 3,657 1,800(degree)EAGLE U.S.A. AIRFREIGHT, INC ..... 44 354,900 EXPEDITORS INTERNATIONAL OF WASHINGTON 14,906 44,300(degree)FRITZ COS, INC ................... 479 996,400 GALILEO INTERNATIONAL, INC ......... 43,343 837,100 GATX CORP .......................... 31,705 2,400 LAURITZEN J. HOLDINGS (CLASS B) .... 166 5,775(degree)NAVIGANT INTERNATIONAL, INC ...... 44 1,716,136(degree)NEW WORLD INFRASTUCTURE LTD ...... 2,514 125,000(degree)TRAVEL SERVICES INTERNATIONAL, INC 3,813 27,088 TRENCOR LTD ........................ 49 123,200(degree)U.S. EXPRESS ENTERPRISES, INC (CLASS A) 1,848 ---------- 105,591 ---------- TRUCKING AND WAREHOUSING--0.15% 351,600(degree)AMERICAN FREIGHTWAYS CORP ........ 4,054 332,700 ARNOLD INDUSTRIES, INC ............. 5,365 229,800 CNF TRANSPORTATION, INC ............ 8,632 272,550(degree)CONSOLIDATED FREIGHTWAYS CORP .... 4,327 169,000(degree)CONTAINER CORP OF INDIA (DEM) .... 955 110,200(degree)COVENANT TRANSPORT, INC (CLASS A) 1,970 17,900(degree)DISPATCH MANAGEMENT SERVICES CORP 73 162,807(degree)HEARTLAND EXPRESS, INC ........... 2,849 355,550 HUNT (J.B.) TRANSPORT SERVICES, INC 8,178 15,000(degree)IRON MOUNTAIN, INC ............... 541 97,100(degree)KNIGHT TRANSPORTATION, INC ....... 2,591 187,994(degree)LANDSTAR SYSTEM, INC ............. 7,661 155,900(degree)M.S. CARRIERS, INC ............... 5,135 See notes to financial statements. 51 VALUE SHARES (000) ------ -------- TRUCKING AND WAREHOUSING--(CONTINUED) 345,000 MITSUBISHI LOGISTICS CORP .......... $ 4,037 145,000 MITSUI SOKO CO LTD ................. 492 124,410(degree)PIERCE LEAHY CORP ................ 3,172 286,550 ROADWAY EXPRESS, INC ............... 4,137 630,000 SEINO TRANSPORTATION CO LTD ........ 3,608 419,550(degree)SWIFT TRANSPORTATION CO, INC ..... 11,761 1,324,418 TNT POST GROUP NV .................. 42,696 407,200 USFREIGHTWAYS CORP ................. 11,860 21,390 WERNER ENTERPRISES, INC ............ 378 2,022,878 YAMATO TRANSPORT CO LTD ............ 28,334 404,800(degree)YELLOW CORP ...................... 7,742 ---------- 170,548 ---------- WATER TRANSPORTATION--0.18% 322,634 ALEXANDER & BALDWIN, INC ........... 7,501 2,200(degree)AMERICAN CLASSIC VOYAGES CO ...... 39 55,900(degree)ASKO OYJ SERIES A ................ 957 72,400 BERGESEN AS SERIES A ............... 865 170,200 BERGESEN D.Y. AS (CLASS B) ......... 1,966 2,030,000 CARNIVAL CORP (CLASS A) ............ 97,440 15,200 CMB CIE MARITIME BELGE S.A. ........ 679 2,094 DAMPSKIBSSELSKABET AF 1912 (CLASS B) 14,641 2,008 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) 20,350 26,800(degree)FINNLINES OY ..................... 1,154 14,800(degree)GULFMARK OFFSHORE, INC ........... 233 153,000 HAI SUN HUP GROUP LTD .............. 38 29,700(degree)HVIDE MARINE, INC (CLASS A) ...... 149 48,000 IRISH CONTINENTAL GROUP PLC ........ 569 537,000 KAMIGUMI CO LTD .................... 2,614 264,000 KAWASAKI KISEN KAISHA LTD .......... 356 63,972(degree)KIRBY CORP ....................... 1,275 28,500 KONINKLIJKE NEDLLOYD GROEP NV ...... 387 34,400 LEIF HOEGH & CO .................... 402 1,788,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) 1,646 110,800 MALAYSIAN INTERNATIONAL SHIPPING CO (LR) 137 63,550(degree)MARINE TRANSPORT CORP ............ 143 2,808,000 MITSUI OSK LINES LTD ............... 4,531 245,168(degree)NCL HOLDINGS AS .................. 579 117,000(degree)NEPTUNE ORIENT LINES LTD ......... 38 2,331,800 NIPPON YUSEN KABUSHIKI KAISHA ...... 7,380 9,108 OCEAN GROUP PLC .................... 115 358,800(degree)OMI CORP (NEW) ................... 1,166 295,660 OVERSEAS SHIPHOLDING GROUP, INC .... 4,749 666,675 PENINSULAR & ORIENTAL STEAM NAVIGATION CO ..................... 7,881 13,300(degree)SEACOR SMIT, INC ................. 658 19,100(degree)STAR CRUISES PUBLIC CO LTD ....... 40 1,258,100 TIDEWATER, INC ..................... 29,172 243,713 TRANSPORT DEVELOPMENT GROUP PLC .... 955 3,300(degree)TRICO MARINE SERVICES, INC ....... 16 20,400 UNITOR AS .......................... 198 ---------- 211,019 ---------- WHOLESALE TRADE-DURABLE GOODS--0.19% 1,125 AAR CORP ........................... 27 234,000(degree)ACTION PERFORMANCE COS, INC ...... 8,278 79,500(degree)ANICOM, INC ...................... 730 443,946(degree)ANIXTER INTERNATIONAL, INC ....... 9,018 265,611 APPLIED INDUSTRIAL TECHNOLOGIES, INC 3,685 155,700x(degree)APS HOLDINGS CORP ............... 12 1,579,064(degree)ARROW ELECTRONICS, INC ........... 42,141 26,600(degree)AVIATION SALES CO ................ 1,081 14,862(degree)BELL INDUSTRIES, INC ............. 169 38,533x(degree)BEN FRANKLIN RETAIL STORES, INC . 0 269,091 BRIGGS & STRATTON CORP ............. 13,421 821,000(degree)BRIGHTPOINT, INC ................. 11,289 1,175 CANON SALES CO, INC ................ 17 47,274 CASTLE (A.M.) & CO ................. 709 542,700(degree)CELLSTAR CORP .................... 3,697 531,600(degree)CHS ELECTRONICS, INC ............. 9,004 196,721 COMMERCIAL METALS CO ............... 5,459 51,000 CREAN (JAMES) PLC (UNITS) .......... 65 98,400 DE BEERS CENTENARY AG. (UNITS) ..... 1,255 151,500 DICKSON CONCEPTS INTERNATIONAL LTD . 117 9,000 DIETEREN S.A. ...................... 4,965 198,000 EDARAN OTOMOBIL NASIONAL BERHAD .... 219 102(degree)EKCO GROUP, INC .................. 0 1,709(degree)FAIRCHILD CORP (CLASS A) ......... 27 76,100(degree)FISHER SCIENTIFIC INTERNATIONAL, INC 1,517 1,050 FUJI DENKI REIKI CO LTD ............ 4 65,500 GENUINE PARTS CO ................... 2,190 11,300(degree)GRAHAM-FIELD HEALTH PRODUCTS, INC 38 11,400 GRAINGER (W.W.), INC ............... 475 23,900(degree)HA-LO INDUSTRIES, INC ............ 899 311,084(degree)HANDLEMAN CO ..................... 4,375 1,500(degree)HIRSCH INTERNATIONAL CORP (CLASS A) 4 273,400 HUGHES SUPPLY, INC ................. 7,997 533,200 IKON OFFICE SOLUTIONS, INC ......... 4,566 138,750(degree)INGRAM MICRO, INC (CLASS A) ...... 4,839 20,000(degree)JLK DIRECT DISTRIBUTION, INC (CLASS A) 204 13,400(degree)KENT ELECTRONICS CORP ............ 171 400(degree)KEYSTONE AUTOMOTIVE INDUSTRIES, INC 8 96,900 LAWSON PRODUCTS, INC ............... 2,229 461,666(degree)LEADER UNIVERSAL HOLDINGS BERHAD . 89 2,000(degree)MARSHALL INDUSTRIES, INC ......... 49 351,800(degree)MERISEL, INC ..................... 836 24,800(degree)METAL MANAGEMENT, INC ............ 87 265,978 METRO CASH & CARRY LTD ............. 176 299,000(degree)MICROAGE, INC .................... 4,597 327,714 OWENS & MINOR, INC ................. 5,161 238,475(degree)PATTERSON DENTAL CO .............. 10,374 900 PIONEER-STANDARD ELECTRONICS, INC .. 8 4,600(degree)POMEROY COMPUTER RESOURCES, INC .. 104 42,800 RELIANCE STEEL & ALUMINUM CO ....... 1,182 67,397 REUNERT LTD ........................ 94 162,700(degree)SAFEGUARD SCIENTIFICS, INC ....... 4,464 253,000(degree)SANRIO CO LTD .................... 3,272 14,500(degree)SODAK GAMING, INC ................ 121 100,000(degree)SOFTBANK CORP .................... 6,028 1,479,000 #TAN CHONG INTERNATIONAL LTD ........ 145 1,063,000 TAN CHONG MOTOR HOLDINGS BERHAD .... 241 68,250(degree)TBC CORP ......................... 486 523,100(degree)TECH DATA CORP ................... 21,055 652,000(degree)TERUMO CORP ...................... 15,375 86,100(degree)VWR SCIENTIFIC PRODUCTS CORP ..... 1,496 5,740 WESCO FINANCIAL CORP ............... 2,036 10,000(degree)WILMAR INDUSTRIES, INC ........... 203 ---------- 222,580 ---------- WHOLESALE TRADE-NONDURABLE GOODS--0.64% 2,000(degree)800-JR CIGAR, INC ................ 47 8,100(degree)AIRGAS, INC ...................... 72 70,000(degree)AMERICAN DRUG CO ................. 27 70,000(degree)AMERICAN DRUG CO WTS 08/05/00 .... 8 19,400(degree)AMERISOURCE HEALTH CORP (CLASS A) 1,261 19,000(degree)AUSTRIA TABAKWERKE AG. ........... 1,458 295,600(degree)AVATEX CORP ...................... 296 23,260(degree)BARNETT RESOURCES CORP ........... 558 1,870,554 BERGEN BRUNSWIG CORP (CLASS A) ..... 65,236 143,166 BINDLEY WESTERN INDUSTRIES, INC 7,051 116,400(degree)BOISE CASCADE OFFICE PRODUCTS CORP 1,571 4,397,727 CARDINAL HEALTH, INC ............... 333,631 376,200(degree)CENTRAL GARDEN & PET CO .......... 5,408 110,400(degree)DAISYTEK INTERNATIONAL CORP ...... 2,098 654,628 DIMON, INC ......................... 4,869 See notes to financial statements. 52 VALUE SHARES (000) ------ -------- WHOLESALE TRADE-NONDURABLE GOODS--(CONTINUED) 434,927(degree)ERCROS S.A. ...................... $ 586 47,300 ESSELTE AB SERIES B FREE ........... 776 621,323 F.H. FAULDING & CO LTD ............. 2,935 1,212 FLEMING COS, INC ................... 13 505,641 FYFFES PLC ......................... 1,131 434,038(degree)GETTY PETROLEUM MARKETING, INC ... 1,275 3,000,000(degree)GUANGNAN HOLDINGS ................ 689 7,183 HERBALIFE INTERNATIONAL, INC (CLASS A) 102 6,066 HERBALIFE INTERNATIONAL, INC (CLASS B) 69 7,250(degree)HERLITZ AG. ...................... 239 56,600 HUNT CORP .......................... 601 1,400,000 IMPERIAL TOBACCO GROUP PLC ......... 15,001 282,800 INTERNATIONAL MULTIFOODS CORP ...... 7,300 384,000 IWATANI & CO LTD ................... 783 6,400(degree)KENNETH COLE PRODUCTIONS, INC .... 120 123,000 KOKUYO CO LTD ...................... 1,659 100,174 LOBLAW COS LTD ..................... 2,439 756,250 MCKESSON CORP NEW .................. 59,791 564,000 NAGASE & CO ........................ 1,935 25,000 NASH FINCH CO ...................... 356 608,537(degree)NATIONAL-OILWELL, INC ............ 6,808 1,660,000(degree)NG FUNG HONG LTD ................. 1,489 166,562(degree)NU SKIN ENTERPRISES, INC (CLASS A) 3,935 98,600(degree)PERFORMANCE FOOD GROUP CO ........ 2,773 32,271(degree)PLAINS RESOURCES, INC ............ 454 19,600(degree)PRIORITY HEALTHCARE CORP (CLASS B) 1,017 632,862 RICHFOOD HOLDINGS, INC ............. 13,132 16,000 SAGAMI RUBBER INDUSTRIES CO LTD .... 76 6,273(degree)SCHOOL SPECIALTY, INC ............ 134 650,750(degree)SCIOS, INC ....................... 6,752 255,000 SKW TROSTBERG AG. .................. 6,507 54,500 SMART & FINAL, INC ................. 525 151,636 STANDARD COMMERCIAL CORP ........... 1,298 2,196,219 SUPERVALU, INC ..................... 61,494 3,200,361 SWEDISH MATCH CO ................... 11,647 13,700(degree)SYNCOR INTERNATIONAL CORP ........ 373 2,211,000 SYSCO CORP ......................... 60,664 8,600 TERRA INDUSTRIES, INC .............. 53 157,200(degree)U.S.A. FLORAL PRODUCTS, INC ...... 1,808 1,183,200 UNISOURCE WORLDWIDE, INC ........... 8,578 8,900(degree)UNITED NATURAL FOODS, INC ........ 215 368,096(degree)UNITED STATIONERS, INC ........... 9,570 264,796(degree)UNIVERSAL CORP ................... 9,301 57,200 URALITA S.A. ....................... 638 33,446 VALHI, INC ......................... 380 130,108 WEIDER NUTRITION INTERNATIONAL, INC 829 439,500 WESTON (GEORGE) LTD ................ 16,739 1,226 WORLD FUEL SERVICES CORP ........... 13 ---------- 748,593 ---------- TOTAL COMMON STOCK (Cost $62,983,291) ................ 114,591,464 ----------- PRINCIPAL --------- SHORT TERM INVESTMENTS--2.66% BANK NOTES--0.05% ABBEY NATIONAL TREASURY SERVICE $ 3,943,000 5.375%, 01/19/99 ................. 3,943 BANK OF NEW YORK 15,000,000 5.530%, 02/25/99 ................. 15,006 20,000,000 5.750%, 05/14/99 ................. 20,038 WACHOVIA BANK, NATIONAL ASSOCIATION 25,000,000 * 5.070%, 01/22/99 ................. 25,000 ---------- 63,987 ---------- CERTIFICATES OF DEPOSIT--0.25% BANK OF MONTREAL 40,000,000 * 5.330%, 01/06/99 ................. 40,002 BANK OF NOVA SCOTIA $10,000,000 5.690%, 03/05/99 ................. 10,007 14,000,000 5.650%, 03/23/99 ................. 14,012 BARCLAYS BANK PLC 25,000,000 5.530%, 02/23/99 ................. 25,009 CREDIT AGRICOLE 25,000,000 * 5.750%, 05/19/99 ................. 25,049 CREDIT SUISSE 25,000,000 5.700%, 03/26/99 ................. 25,025 25,000,000 5.740%, 04/20/99 ................. 25,036 DEUTSCHE BANK 25,000,000 5.700%, 04/16/99 ................. 25,032 RABOBANK 15,000,000 5.630%, 03/24/99 ................. 15,012 ROYAL BANK OF CANADA 50,000,000 * 5.720%, 04/19/99 ................. 50,069 TORONTO DOMINION BANK 20,000,000 * 5.650%, 07/09/99 ................. 20,048 WESTDEUTSCHE LANDESBANK 15,000,000 * 5.160%, 01/05/99 ................. 15,000 ---------- 289,301 ---------- COMMERCIAL PAPER--1.65% AMERICAN HOME PRODUCTS 12,500,000 ~ 5.150%, 03/02/99 ................. 12,396 15,000,000 *~ 5.150%, 03/19/99 ................. 14,841 ANHEUSER-BUSCH CO 25,000,000 5.050%, 01/13/99 ................. 24,955 ARIZONA PUBLIC SERVICE CO 25,000,000 * 6.000%, 01/04/99 ................. 24,985 ASSET SECURITIZATION COOP CORP 20,000,000 ~ 5.500%, 01/21/99 ................. 19,943 25,000,000 *~ 5.400%, 01/22/99 ................. 24,925 10,450,000 ~ 5.500%, 01/22/99 ................. 10,419 25,000,000 *~ 5.450%, 01/26/99 ................. 24,911 20,000,000 ~ 5.180%, 02/11/99 ................. 19,885 ASSOCIATES CORP OF NORTH AMERICA 25,000,000 5.170%, 02/02/99 ................. 24,887 BELL ATLANTIC FINANCIAL SERVICES, INC 38,000,000 5.500%, 01/04/99 ................. 37,978 25,000,000 * 5.220%, 01/07/99 ................. 24,975 BELLSOUTH CAPITAL FUNDING CORP 7,000,000 ~ 5.100%, 01/21/99 ................. 6,980 BETA FINANCE, INC 15,450,000 ~ 5.480%, 01/25/99 ................. 15,397 27,000,000 ~ 4.870%, 03/22/99 ................. 26,702 CARGILL, INC 24,000,000 5.000%, 04/12/99 ................. 23,670 CASE CORP 25,000,000 ~ 6.200%, 01/05/99 ................. 24,982 CATERPILLAR FINANCIAL SERVICES CORP 20,200,000 5.500%, 01/20/99 ................. 20,145 CIESCO LP 50,000,000 * 5.070%, 01/12/99 ................. 49,917 25,000,000 5.100%, 02/04/99 ................. 24,880 25,000,000 * 5.150%, 02/16/99 ................. 24,840 COCA COLA CO 15,000,000 5.250%, 01/15/99 ................. 14,969 CONAGRA, INC 20,000,000 6.000%, 01/05/99 ................. 19,985 15,000,000 * 5.850%, 01/21/99 ................. 14,955 CORPORATE ASSET FUNDING CORP, INC 15,000,000 ~ 5.370%, 01/06/99 ................. 14,987 20,000,000 ~ 5.200%, 01/08/99 ................. 19,978 25,000,000 *~ 5.130%, 01/20/99 ................. 24,932 20,000,000 *~ 5.350%, 02/09/99 ................. 19,891 20,000,000 *~ 5.125%, 03/03/99 ................. 19,831 See notes to financial statements. 53 VALUE PRINCIPAL (000) --------- -------- COMMERCIAL PAPER--(CONTINUED) CVS CORP $ 1,800,000 ~ 6.300%, 01/05/99 ................. $ 1,799 5,000,000 6.250%, 01/07/99 ................. 4,995 5,000,000 6.000%, 01/26/99 ................. 4,981 DELAWARE FUNDING CORP 14,085,000 ~ 5.570%, 01/11/99 ................. 14,063 15,000,000 ~ 5.150%, 01/15/99 ................. 14,969 20,000,000 ~ 5.180%, 01/25/99 ................. 19,932 DETROIT EDISON CO 20,000,000 6.220%, 01/07/99 ................. 19,980 DUPONT (E.I.) DE NEMOURS & CO 35,000,000 * 5.170%, 01/11/99 ................. 34,947 12,800,000 5.210%, 01/28/99 ................. 12,751 27,000,000 4.900%, 02/04/99 ................. 26,871 25,000,000 4.920%, 02/12/99 ................. 24,853 ENTERPRISE FUNDING CORP 20,000,000 ~ 5.380%, 01/29/99 ................. 19,921 FORD MOTOR CREDIT CO 50,000,000 5.030%, 01/20/99 ................. 49,863 230,000 5.250%, 02/19/99 ................. 228 FORTUNE BRANDS 20,500,000 ~ 5.300%, 01/15/99 ................. 20,458 30,000,000 *~ 5.120%, 01/27/99 ................. 29,889 14,500,000 ~ 5.120%, 01/28/99 ................. 14,445 GENERAL ELECTRIC CAPITAL CORP 25,000,000 5.320%, 01/13/99 ................. 24,955 25,000,000 5.030%, 01/20/99 ................. 24,932 GENERAL MOTORS ACCEPTANCE CORP 25,000,000 5.190%, 01/11/99 ................. 24,962 25,000,000 5.180%, 01/13/99 ................. 24,955 25,000,000 5.060%, 01/20/99 ................. 24,932 GTE CORP 20,000,000 ~ 5.220%, 01/29/99 ................. 19,921 GTE FUNDING, INC 25,000,000 5.500%, 01/22/99 ................. 24,925 HOUSEHOLD FINANCE CORP 20,000,000 5.120%, 05/28/99 ................. 19,990 INTERNATIONAL BUSINESS MACHINES CREDIT CORP 22,000,000 5.300%, 01/05/99 ................. 21,984 INGERSOLL RAND CO 15,000,000 ~ 5.150%, 01/04/99 ................. 14,991 JOHNSON & JOHNSON CO 7,650,000 ~ 5.080%, 01/21/99 ................. 7,628 MCGRAW-HILL COS, INC 12,000,000 * 5.250%, 01/15/99 ................. 11,975 7,000,000 5.200%, 01/29/99 ................. 6,972 27,500,000 5.050%, 02/16/99 ................. 27,324 MOTOROLA, INC 49,000,000 5.125%, 01/19/99 ................. 48,873 15,000,000 5.150%, 01/28/99 ................. 14,943 NATIONAL FUEL GAS CO 10,000,000 5.300%, 01/28/99 ................. 9,960 NATIONAL RURAL UTILITIES COOP FINANCE 25,000,000 5.090%, 01/26/99 ................. 24,911 18,000,000 5.120%, 02/08/99 ................. 17,904 7,000,000 5.090%, 02/09/99 ................. 6,962 9,000,000 5.050%, 02/17/99 ................. 8,941 NORFOLK SOUTHERN CORP 9,955,000 ~ 6.000%, 02/01/99 ................. 9,909 NORTHERN INDIANA PUBLIC SERVICE CO 14,200,000 5.300%, 01/20/99 ................. 14,161 PACCAR FINANCIAL CORP 10,000,000 5.400%, 01/04/99 ................. 9,994 12,000,000 5.340%, 01/19/99 ................. 11,969 PACIFICORP 25,000,000 * 5.050%, 01/21/99 ................. 24,928 PARK AVENUE RECEIVABLES CORP $25,000,000 *~ 5.600%, 01/04/99 ................. 24,986 15,173,000 ~ 5.580%, 01/11/99 ................. 15,150 25,000,000 *~ 5.320%, 01/21/99 ................. 24,928 25,000,000 ~ 5.800%, 01/29/99 ................. 24,901 PFIZER, INC 30,000,000 ~ 5.200%, 01/04/99 ................. 29,983 PROCTOR & GAMBLE CO 35,000,000 5.250%, 01/27/99 ................. 34,871 RECEIVABLES CAPITAL CORP 13,248,000 ~ 5.420%, 01/29/99 ................. 13,195 25,000,000 ~ 5.400%, 02/03/99 ................. 24,884 SBC COMMUNICATIONS, INC 40,000,000 ~ 5.150%, 01/08/99 ................. 39,956 SC JOHNSON & SON, INC 20,000,000 ~ 5.380%, 01/05/99 ................. 19,986 20,000,000 ~ 5.520%, 01/19/99 ................. 19,948 9,000,000 ~ 5.400%, 02/26/99 ................. 8,930 SONAT, INC 20,000,000 5.830%, 01/22/99 ................. 19,937 TEXAS UTILITIES CO 12,000,000 ~ 6.250%, 01/12/99 ................. 11,979 20,000,000 ~ 5.150%, 03/04/99 ................. 19,822 THE STANLEY WORKS 9,000,000 ~ 5.170%, 01/12/99 ................. 8,985 7,000,000 ~ 5.150%, 01/19/99 ................. 6,982 11,000,000 ~ 5.060%, 01/21/99 ................. 10,968 VOLVO GROUP TREASURY NA, INC 50,000,000 ~ 5.700%, 01/04/99 ................. 49,971 WALT DISNEY CO 10,000,000 5.080%, 01/05/99 ................. 9,993 20,000,000 5.080%, 01/22/99 ................. 19,940 25,000,000 * 5.000%, 02/17/99 ................. 24,837 20,000,000 4.920%, 04/23/99 ................. 19,696 ---------- 1,915,815 ---------- MEDIUM TERM BONDS--0.04% ASSOCIATES CORP OF NORTH AMERICA 15,000,000 6.680%, 09/17/99 ................. 15,156 CIT GROUP HOLDINGS, INC 10,000,000 * 6.375%, 05/21/99 ................. 10,047 MERRILL LYNCH & CO, INC 7,550,000 6.200%, 07/19/99 ................. 7,592 SOUTHERN CALIFORNIA GAS CO 15,000,000 6.210%, 11/08/99 ................. 15,133 ---------- 47,928 ---------- U.S. GOVERNMENT & AGENCIES--0.43% FEDERAL HOME LOAN BANK 25,000,000 5.020%, 01/06/99 .................. 24,981 21,000,000 5.040%, 01/08/99 ................. 20,979 25,000,000 4.750%, 01/19/99 ................. 24,939 9,000,000 4.750%, 01/20/99 ................. 8,977 12,000,000 5.025%, 01/26/99 ................. 11,960 13,470,000 5.650%, 04/09/99 ................. 13,506 FEDERAL HOME LOAN MORTGAGE CORP 25,000,000 5.010%, 01/04/99 ................. 24,988 14,641,000 5.040%, 01/04/99 ................. 14,634 5,000,000 4.850%, 01/06/99 ................. 4,996 5,000,000 5.070%, 01/06/99 ................. 4,996 7,500,000 5.050%, 01/08/99 ................. 7,492 50,000,000 4.740%, 01/14/99 ................. 49,911 19,510,000 5.170%, 01/14/99 ................. 19,475 13,500,000 5.000%, 01/15/99 ................. 13,474 25,000,000 4.990%, 02/04/99 ................. 24,885 12,000,000 5.080%, 02/05/99 ................. 11,943 9,500,000 4.965%, 03/09/99 ................. 9,417 See notes to financial statements. 54 VALUE PRINCIPAL (000) --------- -------- U.S. GOVERNMENT & AGENCIES--(CONTINUED) FEDERAL NATIONAL MORTGAGE ASSOCIATION $41,000,000 5.050%, 01/07/99 ................. $40,964 25,000,000 5.054%, 01/08/99 ................. 24,974 19,875,000 4.750%, 01/15/99 ................. 19,836 25,000,000 5.350%, 01/20/99 ................. 25,003 30,500,000 4.760%, 01/25/99 ................. 30,402 4,500,000 4.990%, 01/25/99 ................. 4,485 50,000,000 4.840%, 01/27/99 ................. 49,826 10,000,000 4.980%, 02/01/99 ................. 9,958 6,200,000 5.010%, 02/05/99 ................. 6,171 ---------- 503,172 ---------- VARIABLE RATE NOTES--0.24% AMERICAN EXPRESS CENTURION BANK 20,000,000 5.010%, 06/04/99 ................. 19,992 BANK OF MONTREAL 10,000,000 4.850%, 07/22/99 ................. 9,988 BETA FINANCE, INC 15,000,000 ~ 5.050%, 05/19/99 ................. 14,970 CHRYSLER FINANCIAL CORP 15,000,000 5.536%, 02/10/99 ................. 14,997 5,000,000 5.531%, 03/12/99 ................. 4,999 25,000,000 5.551%, 05/19/99 ................. 24,995 FIRST UNION NATIONAL BANK, NC 25,000,000 4.700%, 04/30/99 ................. 24,983 GOLDMAN SACHS GROUP LP 13,000,000 5.300%, 02/24/99 ................. 12,994 MERRILL LYNCH & CO, INC 25,000,000 4.930%, 01/14/99 ................. 25,000 MORGAN STANLEY DEAN WITTER 25,000,000 5.000%, 01/15/99 ................. 24,998 NATIONSBANK NA 35,000,000 * 4.830%, 04/27/99 ................. 34,958 PNC BANK NA 20,000,000 5.499%, 07/27/99 ................. 19,974 15,000,000 5.543%, 10/13/99 ................. 14,991 SEARS ROEBUCK ACCEPTANCE CORP 25,000,000 5.506%, 03/26/99 ................. 24,990 ---------- 272,829 ---------- TOTAL SHORT TERM INVESTMENTS (Cost $3,092,697) .............. 3,093,032 ---------- TOTAL PORTFOLIO (Cost $66,213,200) .............. $117,889,780 ============ - ------------------------ (degree) Non-income producing + Affiliated holding x In bankruptcy ~ Commercial Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open futures contracts. # Restricted Securities-Investment in securities not registered under the Securities Act of 1933 or not publicly traded in foreign markets. At December 31, 1998, the value of these securities amounted to $146,751,856 or 0.13% of net assets. Additional information on each restricted security is as follows: ACQUISITION ACQUISITION SECURITY DATE COST -------- ----------- ----------- AMERICAN SATELLITE NETWORK WTS 06/30/99 01/12/94 $ 0 ANTENA 3 DE TELEVISION GDS 12/12/96 5,982,300 BB BIOVENTURES LP 05/08/97 6,199,690 BELO (A.H.) CORP SERIES B 05/23/88 1,900,588 CARTER WALLACE, INC (CLASS B) 10/29/87 1,075,932 CORAM HEALTHCARE CORP WTS 07/11/99 07/24/97 0 CRESTARAN INTERNATIONAL INVESTMENT BV 09/30/94 0 DOW JONES & CO, INC (CLASS B) 07/31/86 12,068,995 EAST-WEST BANKING CORP 06/23/98 200,000 HEIZER CORP (LIQUIDATING TRUST) 11/19/91 0 INTERNATIONAL HYDRON (LIQUIDATING TRUST) 12/07/92 0 KUMAGI GUMI WTS 12/31/99 06/29/98 0 LAFARGE S.A. (REGD) 04/03/97 1,843,677 LEE ENTERPRISES, INC (CLASS B) 03/31/86 60,768 L'AIR LIQUIDE (REGD) 1996 10/29/96 3,697,028 L'AIR LIQUIDE (REGD) 1999 09/30/94 680,649 MEREDITH CORP (CLASS B) 12/30/86 1,893,160 NETGENICS, INC STOCK OPTIONS 03/20/08 06/08/98 0 NETGENICS, INC CV SERIES D 03/20/98 5,000,000 PEGASUS GOLD, INC 11/30/90 148,513 PHYSICIAN COMPUTER NETWORK, INC 01/22/96 1,211,798 SILVERSTONE BERHAD 01/08/98 1,173 STARRETT (L.S.) CO (CLASS B) 10/07/88 798,235 TAN CHONG INTERNATIONAL LTD 05/22/98 263,414 TIMES MIRROR CO SERIES C 02/01/95 17,642,901 TRANSCRYPT INTERNATIONAL, INC 02/18/98 420,844 UNITED ENGINEERING BERHAD 08/02/88 2,159,305 VIGLEN TECHNOLOGY (LITIGATION NOTE) 04/30/98 0 WHARF HOLDINGS LTD WTS 12/31/99 06/19/98 0 WRIGLEY (WM) JR CO (CLASS B) 04/30/86 2,007,603 ZEBRA TECHNOLOGY CORP (CLASS B) 10/29/98 43,233 ----------- $65,299,806 =========== See notes to financial statements. 55 COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES--STOCK ACCOUNT JANUARY 1, 1998--DECEMBER 31, 1998
VALUE AT REALIZED DIVIDEND ISSUE DECEMBER 31, 1997 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME ----- ----------------- ------------- -------------- ----------- ---------- ~ BAY VIEW CAPITAL CORP 29,935,322 -- -- -- -- CASTELLUM AB ** 40,729,577 29,357,233 (7,615,521) -- FMC CORP 147,795,834 12,904,126 77,086,272 (702,360) -- GENERAL SIGNAL CORP 137,746,406 1,823,141 48,268,265 5,618,110 2,292,265 ~ JEFFERSON SMURFIT CORP ** 54,907,680 -- -- -- MALLINCKRODT GROUP, INC 211,091,900 16,249,206 102,846,763 8,071,671 2,694,473 MARTEK BIOSCIENCES 4,761,900 9,781,746 -- -- -- PLENUM PUBLISHING CORP 8,859,187 (129,756) 14,061,915 9,403,012 60,880 SABRE GROUP HOLDINGS ** 22,086,842 28,172,129 5,323,130 -- ~ SMEDVIG A/S SERIES A 52,684,750 784,427 97,568 (16,433) 642,995 SOUTH CHINA HOLDINGS LTD 7,517,312 -- 3,323,238 (8,623,171) -- SOUTH CHINA INDUSTRIES LTD 5,642,196 -- -- -- 46,993 TPI ENTERPRISES, INC 3,321 -- -- -- -- YANKEE ENERGY SYSTEM 16,153,943 -- 2,470,176 591,326 194,065 ------------ ------------ ------------ ----------- ---------- $622,192,071 $159,136,989 $305,683,559 $12,049,764 $5,931,671 ============ ============ ============ =========== ==========
SHARES AT VALUE AT ISSUE DECEMBER 31, 1998 DECEMBER 31, 1998 ----- ----------------- ----------------- ~ BAY VIEW CAPITAL CORP -- * CASTELLUM AB -- * FMC CORP -- * GENERAL SIGNAL CORP -- * ~ JEFFERSON SMURFIT CORP -- * MALLINCKRODT GROUP, INC -- * MARTEK BIOSCIENCES 1,283,650 10,269,200 PLENUM PUBLISHING CORP -- * SABRE GROUP HOLDINGS -- * ~ SMEDVIG A/S SERIES A -- * SOUTH CHINA HOLDINGS LTD -- * SOUTH CHINA INDUSTRIES LTD 52,046,000 2,082,565 TPI ENTERPRISES, INC 1,107,700 4,428 YANKEE ENERGY SYSTEM -- * ----------- $12,356,193 =========== ** Not an Affiliate as of December 31, 1997 * Not an Affiliate as of December 31, 1998 ~ Shares Outstanding increased See notes to financial statements. 56 COLLEGE RETIREMENT EQUITIES FUND Participant Voting Results December 31, 1998 ----------------- CREF's annual meeting was held on November 11, 1998. The annual meeting involved the election of trustees. The four trustees elected to four-year terms at the annual meeting were: Robert H. Atwell, 26,097,623,351.33 (98.0%) votes were cast in favor, and 540,185,163.69 (2.0%) votes were withheld. Elizabeth E. Bailey, 26,024,304,647.96 (97.7%) votes were cast in favor, and 613,503,867.06 (2.3%) votes were withheld. Stuart Tse Kong Ho, 26,155,619,551.44 (98.2%) votes were cast in favor, and 482,188,963.61 (1.8%) votes were withheld. David K. Storrs, 26,181,620,037.08 (98.3%) votes were cast in favor, and 456,188,477.94 (1.7%) votes were withheld. The other trustees currently in office are: John H. Biggs, Gary P. Brinson, Joyce A. Fecske, Edes P. Gilbert, Nancy L. Jacob, Marjorie Fine Knowles, Martin L. Leibowitz, Jay O. Light, Bevis Longstreth, Robert M. Lovell, Jr., Stephen A. Ross, Eugene C. Sit, Maceo K. Sloan, and Robert W. Vishny. 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, 177,525,679.36 (35.0%) votes were cast in favor, 299,782,242.12 (59.1%) votes were cast in opposition and 30,086,129.60 (5.9%) 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, 5,299,030,165.32 (24.6%) votes were cast in favor, 14,644,002,624.49 (68.1%) votes were cast in opposition and 1,569,735,443.59 (7.3%) abstained. The proposal was defeated. For the Money Market Account, 318,702,925.02 (25.2%) votes were cast in favor, 860,496,439.06 (68.0%) were cast in opposition and 86,184,320.34 (6.8%) abstained. The proposal was defeated. For the Bond Account, 148,962,461.37 (25.3%) votes were cast in favor, 401,162,036.14 (68.1%) votes were cast in opposition and 38,613,697.13 (6.6%) abstained. The proposal was defeated. For the Global Equities Account, 298,560,776.23 (26.1%) votes were cast in favor, 781,962,194.03 (68.3%) votes were cast in opposition and 64,101,614.30 (5.6%) abstained. The proposal was defeated. For the Growth Account, 319,699,090.08 (26.9%) votes were cast in favor, 806,591,848.74 (67.8%) votes were cast in opposition and 63,007,149.20 (5.3%) abstained. The proposal was defeated. For the Equity Index Account, 160,645,618.08 (26.9%) votes were cast in favor, 401,540,506.12 (67.2%) votes were in opposition and 35,102,846.60 (5.9%) abstained. The proposal was defeated. For the Inflation-Linked Bond Account, 4,749,024.10 (21.2%) votes were cast in favor, 15,789,200.94 (70.8%) votes were cast in opposition and 1,774,483.08 (8.0%) abstained. The proposal was defeated. Shareholders also ratified the election of Ernst & Young LLP as the independent auditors for CREF for the fiscal year ending December 31, 1998, 25,993,354,981.88 (97.6%) votes were cast in favor, 224,298,294.51 (0.8%) votes were cast in opposition and 420,155,238.63 (1.6%) abstained. 57 CREF LOGO COLLEGE RETIREMENT EQUITIES FUND 730 Third Avenue New York, NY 10017-3206 LOGO Printed on recycled paper 212/490-9000 CAR--01S--2/99 ANNUAL REPORT - -------------------------------------------------------------------------------- COLLEGE RETIREMENT EQUITIES FUND AUDITED FINANCIAL STATEMENTS INCLUDING STATEMENTS OF INVESTMENTS for these Accounts: Money Market Bond Market Social Choice Global Equities Growth Equity Index Inflation-Linked Bond ---------------------- December 31, 1998 CREF 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, Bond Market, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts. CREF also provides an annual report to participants in the Stock Account. Semi-annual reports are also provided each year toward the end of August. COLLEGE RETIREMENT EQUITIES FUND MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT BOND MARKET ACCOUNT GROWTH ACCOUNT SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT INFLATION-LINKED BOND ACCOUNT INDEX TO AUDITED FINANCIAL STATEMENTS DECEMBER 31, 1998 - -------------------------------------------------------------------------------- Page ---- Report of Management Responsibility ...................................... 2 Report of Independent Auditors ........................................... 3 Audited Financial Statements: Statements of Assets and Liabilities .................................. 4 Statements of Operations .............................................. 6 Statements of Changes in Net Assets ................................... 8 Notes to Financial Statements ......................................... 10 Statements of Investments: Money Market Account ................................................ 20 Bond Market Account ................................................. 24 Social Choice Account ............................................... 30 Global Equities Account ............................................. 38 Growth Account ...................................................... 55 Equity Index Account ................................................ 72 Inflation-Linked Bond Account ....................................... 99 Participant Voting Results ............................................... 100 1 CREF - -------------------------------------------------------------------------------- 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, Equity Index and Inflation-Linked Bond Accounts of College Retirement Equities Fund ("CREF") are the responsibility of management. They have been prepared in accordance with generally accepted accounting principlas and gave 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 managementt 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 Ernst & Young LLP. The independent auditors' report, which appears on the following page, expresses and 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 Ernst & Young LLP and internal audit personnel to review matters relating to financial reporting, internal controls and auditing. In addition to the annual audit of the financial statements of all the CREF Accounts by the independent auditing firm, the New York State Insurance Department, other state insurance departments and the Securities and Exchange Commission perform preiodic examinations of the CREF Accounts' operations. /s/ John H. Biggs ---------------------------- Chairman, President and Chief Executive Officer /s/ Richard L. Gibbs ---------------------------- Executive Vice President and Principal Accounting Officer 2 [LETTERHEAD OF ERNST & YOUNG LLP] 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, Equity Index and Inflation-Linked Bond Accounts of College Retirement Equities Fund ("CREF") as of December 31, 1998, and the related statements of operations for the year then ended and of changes in net assets for each of the two years in the 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. The condensed financial information for the year ended December 31, 1996 and the periods prior thereto were audited by other auditors, whose report dated February 6, 1997 expressed an unqualified opinion on such condensed financial information. 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, 1998, by correspondence with the custodians and brokers. 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, the financial statements referred to above present fairly, in all material respects, the financial position of the Money Market, Bond Market, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts of CREF at December 31, 1998, and the results of their operations for the year then ended and changes in their net assets for each of the two years in the period then ended, in conformity with generally accepted accounting principles. /s/ Ernst & Young LLP February 5, 1999 Ernst & Young LLP is a member of Ernst & Young International, Ltd. 3 COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1998 (amounts in thousands, except per accumulation unit amounts)
Money Market Bond Market Social Choice Account Account Account ------------ ----------- ------------- ASSETS Portfolio investments, at cost..................................... $5,884,687 $3,973,307 $2,682,498 Net unrealized appreciation (depreciation ) of portfolio investments 163 18,886 1,009,662 ---------- ---------- ---------- Portfolio investments, at value.................................... 5,884,850 3,992,193 3,692,160 Cash............................................................... 1,127 1,400 591 Dividends and interest receivable.................................. 28,912 30,713 16,101 Receivable from securities transactions............................ 110 401,643 220,434 Amounts due from TIAA.............................................. 1,066 1,372 2,758 ---------- ---------- ---------- TOTAL ASSETS 5,916,065 4,427,321 3,932,044 ---------- ---------- ---------- LIABILITIES Deposits for securities loaned--Note 4.............................. -- 552,327 192,646 Payable for securities transactions................................ -- 819,091 396,391 ---------- ---------- ---------- TOTAL LIABILITIES -- 1,371,418 589,037 ---------- ---------- ---------- NET ASSETS Accumulation Fund.................................................. 5,731,994 3,009,881 3,222,696 Annuity Fund....................................................... 184,071 46,022 120,311 ---------- ---------- ---------- TOTAL NET ASSETS $5,916,065 $3,055,903 $3,343,007 ========== ========== ========== THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6............ 312,358 57,481 37,211 ======== ====== ====== NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5........................ $18.35 $52.36 $86.61 ====== ====== ======
4 Global Equities Growth Equity Index Inflation-Linked Account Account Account Bond Account --------------- -------- ------------ ---------------- $4,838,167 $5,952,355 $2,482,463 $140,810 1,192,162 1,724,842 989,259 (1,074) ---------- ---------- ---------- -------- 6,030,329 7,677,197 3,471,722 139,736 41,445 2,311 410 17 4,968 4,679 3,762 1,981 42,452 42,471 44 -- 3,358 5,754 3,039 90 ---------- ---------- ---------- -------- 6,122,552 7,732,412 3,478,977 141,824 ---------- ---------- ---------- -------- 46,964 -- -- -- 24,659 71,439 26,995 -- ---------- ---------- ---------- -------- 71,623 71,439 26,995 -- ---------- ---------- ---------- -------- 5,819,001 7,475,676 3,347,446 138,161 231,928 185,297 104,536 3,663 ---------- ---------- ---------- -------- $6,050,929 $7,660,973 $3,451,982 $141,824 ========== ========== ========== ======== 81,825 98,862 47,997 5,112 ====== ====== ====== ===== $71.12 $75.62 $69.74 $27.03 ====== ====== ====== ====== See notes to financial statements. 5 COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF OPERATIONS (amounts in thousands)
Money Market Bond Market Social Choice Account Account Account ------------ ------------ ------------- Year Ended December 31, 1998 ----------------------------------------------- INVESTMENT INCOME Income: Interest........................................................... $278,125 $137,370 $ 69,794 Dividends.......................................................... -- 953 23,530 -------- -------- -------- TOTAL INCOME 278,125 138,323 93,324 -------- -------- -------- Expenses--Note 3: Investment......................................................... 3,080 1,727 2,087 Operating.......................................................... 11,962 5,213 6,588 -------- -------- -------- TOTAL EXPENSES 15,042 6,940 8,675 -------- -------- -------- Fees paid indirectly............................................... -- -- 1 -------- -------- -------- NET EXPENSES 15,042 6,940 8,674 -------- -------- -------- INVESTMENT INCOME--NET 263,083 131,383 84,650 -------- -------- -------- REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments............................................ (67) 45,281 57,952 Futures transactions............................................. -- -- -- Foreign currency transactions.................................... -- -- -- -------- -------- -------- Net realized gain (loss) (67) 45,281 57,952 -------- -------- -------- Net change in unrealized appreciation (depreciation) on: Portfolio investments............................................ 1,203 (1,665) 340,114 Futures transactions............................................. -- -- -- Translation of assets (other than portfolio investments) and liabilities denominated in foreign currencies.............. -- -- -- -------- -------- -------- Net change in unrealized appreciation (depreciation) 1,203 (1,665) 340,114 -------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS 1,136 43,616 398,066 -------- -------- -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $264,219 $174,999 $482,716 ======== ======== ========
6 Global Equities Growth Equity Index Inflation-Linked Account Account Account Bond Account -------------- ------- ------------ ---------------- Year Ended December 31, 1998 -------------------------------------------------------- $ 10,012 $ 11,877 $ 2,035 $ 5,617 68,322 32,344 40,141 -- -------- ---------- -------- ------- 78,334 44,221 42,176 5,617 -------- ---------- -------- ------- 9,610 8,435 1,921 117 13,647 13,963 6,504 267 -------- ---------- -------- ------- 23,257 22,398 8,425 384 -------- ---------- -------- ------- 9 -- -- -- -------- ---------- -------- ------- 23,248 22,398 8,425 384 -------- ---------- -------- ------- 55,086 21,823 33,751 5,233 -------- ---------- -------- ------- 402,149 801,309 26,959 (82) 11,050 22,361 1,470 -- 4,078 (160) -- -- -------- ---------- -------- ------- 417,277 823,510 28,429 (82) -------- ---------- -------- ------- 463,187 870,370 519,533 (1,275) -- 6,253 733 -- 66 4 -- -- -------- ---------- -------- ------- 463,253 876,627 520,266 (1,275) -------- ---------- -------- ------- 880,530 1,700,137 548,695 (1,357) -------- ---------- -------- ------- $935,616 $1,721,960 $582,446 $ 3,876 ======== ========== ======== ======= See notes to financial statements. 7 COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS (amounts in thousands)
Money Market Account Bond Market Account Social Choice Account ------------------------------- ------------------------------- ----------------------------- Years Ended December 31, Years Ended December 31, Years Ended December 31, --------------------------- ------------------------------- ------------------------------ 1998 1997 1998 1997 1998 1997 ------ ------ ------ ------ ------ ------ FROM OPERATIONS Investment income--net...... $ 263,083 $ 215,013 $ 131,383 $ 75,230 $ 84,650 $ 64,966 Net realized gain (loss) on total investments........ (67) (17) 45,281 15,277 57,952 34,533 Net change in unrealized appreciation (depreciation) on total investments.............. 1,203 232 (1,665) 19,390 340,114 319,331 ----------- ----------- ----------- ----------- ----------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 264,219 215,228 174,999 109,897 482,716 418,830 ----------- ----------- ----------- ----------- ----------- ----------- FROM PARTICIPANT TRANSACTIONS Premiums................... 433,743 347,966 217,168 143,544 354,892 280,886 ----------- ----------- ----------- ----------- ----------- ----------- Disbursements and transfers: Net transfers to (from) TIAA................... 76,723 139,824 (27,940) (5,786) (222) (7,155) Net transfers to (from) other CREF Accounts.... (1,466,151) (344,269) (1,165,693) (320,553) (245,594) (75,436) Annuity payments......... 29,286 20,937 7,318 3,572 10,469 6,924 Withdrawals and repurchases............ 337,703 267,929 61,279 33,351 46,245 32,003 Death benefits........... 5,792 7,030 1,665 2,725 1,691 1,132 ----------- ----------- ----------- ----------- ----------- ----------- TOTAL DISBURSEMENTS AND TRANSFERS, NET (1,016,647) 91,451 (1,123,371) (286,691) (187,411) (42,532) ----------- ----------- ----------- ----------- ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 1,450,390 256,515 1,340,539 430,235 542,303 323,418 ----------- ----------- ----------- ----------- ----------- ----------- NET INCREASE IN NET ASSETS 1,714,609 471,743 1,515,538 540,132 1,025,019 742,248 NET ASSETS Beginning of period........ 4,201,456 3,729,713 1,540,365 1,000,233 2,317,988 1,575,740 ------------ ----------- ----------- ----------- ----------- ----------- End of period.............. $ 5,916,065 $ 4,201,456 $ 3,055,903 $ 1,540,365 $ 3,343,007 $ 2,317,988 ============ =========== =========== =========== =========== ===========
8
Global Equities Account Growth Account Equity Index Account ------------------------ ------------------------ ------------------------ Years Ended December 31, Years Ended December 31, Years Ended December 31, ------------------------ ------------------------ ------------------------ 1998 1997 1998 1997 1998 1997 ------ ------ ------ ------ ------ ------ $ 55,086 $ 58,597 $ 21,823 $ 30,174 $ 33,751 $ 20,987 417,277 560,335 823,510 374,778 28,429 27,214 463,253 187,267 876,627 437,711 520,266 318,147 ----------- ----------- ----------- ----------- ----------- ----------- 935,616 806,199 1,721,960 842,663 582,446 366,348 ----------- ----------- ----------- ----------- ----------- ----------- 559,900 514,077 874,916 594,289 447,088 245,464 ----------- ----------- ----------- ----------- ----------- ----------- 54,623 (9,063) (53,572) (110,601) (36,240) (62,402) 524,020 144,157 (445,194) (802,560) (404,520) (478,493) 23,089 15,870 17,186 9,909 9,740 4,618 103,745 88,942 105,337 67,977 49,838 26,448 5,780 6,877 3,109 2,159 1,440 860 ----------- ----------- ----------- ----------- ----------- ----------- 711,257 246,783 (373,134) (833,116) (379,742) (508,969) ----------- ----------- ----------- ----------- ----------- ----------- (151,357) 267,294 1,248,050 1,427,405 826,830 754,433 ----------- ----------- ---------- ----------- ----------- ----------- 784,259 1,073,493 2,970,010 2,270,068 1,409,276 1,120,781 5,266,670 4,193,177 4,690,963 2,420,895 2,042,706 921,925 ----------- ----------- ----------- ----------- ----------- ----------- $ 6,050,929 $ 5,266,670 $ 7,660,973 $ 4,690,963 $ 3,451,982 $ 2,042,706 =========== =========== =========== =========== =========== ===========
Inflation-Linked Bond Account ------------------------------------------- January 13, 1997 Year Ended (date established) to December 31, 1998 December 31, 1997 ----------------- --------------------- $ 5,233 $ 2,575 (82) 173 (1,275) 201 --------- --------- 3,876 2,949 --------- --------- 10,543 53,466 --------- --------- (549) (450) (33,075) (39,051) 313 100 1,476 236 10 -- --------- --------- (31,825) (39,165) --------- --------- 42,368 92,631 --------- --------- 46,244 95,580 95,580 -- --------- --------- $ 141,824 $ 95,580 ========= ========= See notes to financial statements. 9 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 eight investment portfolios ("Accounts"). The accompanying financial statements are those of the Money Market Account, which invests in money market instruments; the Bond Market Account, which invests in a broad range of fixed-income securities; the Social Choice Account, which invests in a diversified portfolio of equity and fixed-income securities while giving special consideration to certain social criteria; the Global Equities Account, which invests in equity securities of foreign and domestic companies; the Growth Account, which invests in a diversified portfolio of equity securities that present opportunities for growth; the Equity Index Account, which invests in a diversified portfolio of equity securities selected to track the overall United States stock market; and the Inflation-Linked Bond Account, which invests primarily in inflation-indexed bonds. The eighth investment portfolio of CREF, the Stock Account, which invests primarily in equity securities, is not included in these financial statements. The Inflation-Linked Bond Account was established on January 13, 1997 with a $50,000,000 investment by Teachers Insurance and Annuity Association of America ("TIAA"), a companion organization, which purchased 2,000,000 Accumulation Units at the established $25.00 initial Accumulation Unit Value. On May 1, 1997, the Inflation-Linked Bond Account was registered with the Commission under the Securities Act of 1933 and the Investment Company Act of 1940 as an additional series of CREF. On May 1, 1997, CREF began to offer Accumulation Units of the Inflation-Linked Bond Account to participants other than TIAA. TIAA's Accumulation Units shared in the pro rata investment experience and were subject to the same valuation procedures and expense deductions as all other Accumulation Units in the Account. At December 31, 1998, TIAA's investment in the Inflation-Linked Bond Account remained at 2,000,000 Accumulation Units, with a total value of $54,055,600. TIAA-CREF Investment Management, LLC ("Investment Management"), a subsidiary of TIAA, is registered with the Commission as an investment adviser and provides investment advisory services for the CREF Accounts pursuant to an Investment Management Services Agreement with CREF. TIAA-CREF Individual & Institutional Services, Inc. ("Services"), a subsidiary of TIAA, which is registered with the Commission as a broker-dealer and is a member of the National Association of Securities Dealers, Inc., provides administrative services for the CREF Accounts and performs distribution functions for CREF's certificates pursuant to a Principal Underwriting and Administrative Services Agreement with CREF. TIAA provides guarantees for the CREF Accounts for certain mortality and expense risks pursuant to an Immediate Annuity Purchase Rate Guarantee Agreement. NOTE 2--SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements may require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, income, expenses and related disclosures. Actual results may differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Accounts, which are in conformity with generally accepted accounting principles. Valuation of Investments: Securities listed or traded on any United States national securities exchange are valued at the last sales price as of the close of the principal securities exchange on which such securities are traded or, if there is no sale, at the mean of the last bid and asked prices on such exchange. Securities traded only in the over-the-counter market and quoted in the NASDAQ National Market System are valued at the last sales price, or at the mean of the last bid and asked prices if no sale is reported. All other over-the-counter securities are valued at the mean of the last bid and asked prices, except for bonds which are valued at the most recent bid price or the equivalent quoted yield of such bonds. Short-term money market instruments are stated at market value or amortized cost, which approximates market value. Foreign investments are valued at the closing price in the principal market where they are traded; local currencies are converted into U.S. dollars as described below under Foreign Currency Transactions and Translation. Stock index futures and options which are traded on commodities exchanges are valued at the last sale price as of the close of such commodities exchanges. Portfolio securities for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Finance Committee of the Board of Trustees and in accordance with the responsibilities of the Board as a whole. 10 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(Continued) Accounting for Investments: Securities transactions are accounted for as of the date the securities are purchased or sold (trade date). Interest income is recorded as earned and, for short-term money market instruments, includes accrual of discount and amortization of premium. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as soon as the Accounts are informed of the ex-dividend date. Realized gains and losses on security transactions are accounted for on the average cost basis. Foreign Currency Transactions and Translation: Foreign investments, bank deposits and forward foreign currency contracts are valued in U.S. dollars, based on the exchange rate at the end of the period. Investments traded in foreign currencies are translated at exchange rates prevailing on the respective dates traded. Income is translated at approximate rates prevailing when earned. Asset and liability accounts that are denominated in a foreign currency are translated at the prevailing exchange rate at the end of the period. The cumulative impact of changes in foreign exchange rates on portfolio investments sold during the period is reflected in the net realized gain (loss) on portfolio investments. The cumulative impact of changes in foreign exchange rates on portfolio investments held at the end of the period is reflected in the net change in unrealized appreciation (depreciation) on portfolio investments. Currency gains and losses arising from the settlement of forward foreign currency contracts, changes in exchange rates between the trade and settlement dates of portfolio investment transactions, and changes in exchange rates between the accrual and receipt dates for dividend and interest income are recorded as net realized gains (losses) on foreign currency transactions. For assets other than portfolio investments and liabilities, changes in foreign exchange rates are reflected in the net change in unrealized appreciation (depreciation) on translation of assets (other than portfolio investments) and liabilities denominated in foreign currencies. Securities Lending: The Accounts may lend portfolio securities to qualified institutions. Such loans are secured by collateral at least equal to 102% of the market value of the securities loaned for United States securities and 105% of the market value of securities loaned for foreign securities. An Account continues to receive income on the securities loaned and receives additional income from the lending transaction. Additionally, any change in the market value of the securities loaned is recognized by the Account. Although each transaction is collateralized, the Account would bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. Covered Call Options Written: The Accounts write (sell) covered call options to provide protection against adverse movements in the price of securities in the portfolio. When an option is written, an amount equal to the premium received is recorded as a liability; the liability is adjusted on a daily basis to the current market price of the option written and an unrealized gain or loss is recorded. Premiums received from writing options which expire unexercised are recognized as realized gains from option transactions on the expiration date. Premiums received from writing options which are exercised are added to the proceeds from the sale of the underlying securities in recognizing the net realized gain or loss on portfolio investments. In writing options, it is assumed that the option may be exercised at any time prior to the expiration of an Account's obligation as a writer, and that in such circumstances the net proceeds of the sale of the underlying securities pursuant to the call option may be below the prevailing market value. Futures Contracts: The Accounts purchase futures contracts for the purpose of acquiring a position in a security or group of securities which the Accounts intend to purchase at a later date, or for cash management purposes to remain highly invested in the equity markets while minimizing transaction costs. The Accounts sell futures contracts for the purpose of offsetting changes in market value while withdrawing from a specific market. A financial futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses from futures transactions by "marking-to-market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are received or made, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a realized gain or loss from futures transactions is recorded, equal to the net variation margin received or paid over the period of the contract. The contractual amounts under futures contracts reflect the extent of an Account's exposure to off-balance sheet risk. The credit risk to such contracts is limited to the failure of the exchange or board of trade which acts as the counterparty to the Account's futures transactions. 11 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(CONTINUED) NOTE 2--SIGNIFICAANT ACCOUNTING POLICIES--(Continued) Forward Foreign Currency Contracts: The Accounts may enter into forward foreign currency contracts to purchase or sell foreign currency to accommodate foreign investment transactions. Forward foreign currency contracts are "marked-to-market" at the end of each day's trading. Daily changes in the value of such contracts are reflected in the net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies. When the contract is closed, payment is received or made and a realized gain or loss on foreign currency transactions is recognized, equal to the difference between the cost of the closing transaction and the basis in the contract. An Account may also enter into a forward foreign currency contract to offset an existing contract. Forward foreign currency contracts are entered into directly with a counterparty and an Account is exposed to the risk of default of such counterparty. The maximum potential loss from such risk is the aggregate face value in U.S. dollars at the time the contract is opened. There is no daily margin requirement for such contracts. Repurchase Agreements: The Accounts enter into repurchase agreements with qualified institutions. Repurchase agreements involve the purchase of securities from an institution, subject to the seller's agreement to repurchase and the Accounts' agreement to resell such securities at a mutually-agreed upon price. Pursuant to the terms of the repurchase agreement, securities purchased subject to repurchase agreements must have an aggregate market value greater than or equal to the agreed-upon repurchase price plus accrued interest at all times. If the value of the underlying securities falls below the value of the repurchase price plus accrued interest, the Accounts will require the seller to deposit additional collateral by the next business day. If a request for additional collateral is not met, or if the seller defaults on its repurchase obligation, the Accounts maintain the right to sell the underlying securities at market value and pursue a claim for any remaining loss against the seller. Securities Purchased on a When-Issued or Delayed Delivery Basis: The Accounts may purchase securities on a when-issued or delayed delivery basis. In addition to the normal market risks, this exposes the Accounts to the risk that the transaction may not be consummated. Restricted Securities: Restricted securities held by the Accounts may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in securities which are widely held and publicly traded. Federal Income Taxes: CREF is taxed as a life insurance company under Subchapter L of the Internal Revenue Code ("Code"), not as a regulated investment company under Subchapter M of the Code. CREF should incur no material federal income tax liability. Under the rules of taxation applicable to life insurance companies, CREF's Accumulation and Annuity Funds for participants will generally be treated as life insurance reserves; therefore, any increase in such reserves will be deductible. NOTE 3--MANAGEMENT AGREEMENTS Services necessary for the operation of CREF's Accounts are provided, at cost, by Investment Management and Services. Such services are provided in accordance with an Investment Management Services Agreement between CREF and Investment Management, and in accordance with a Principal Underwriting and Administrative Services Agreement between CREF and Services (see Note 1). Investment Management and Services receive management fee payments from the CREF Accounts on a daily basis according to formulas established each year with the objective of keeping the management fees as close as possible to each Account's actual expenses. Any differences between actual expenses and the management fees are adjusted quarterly. Investment Management and Services generally pay directly for all third-party services provided for the benefit of the CREF Accounts. "Soft-dollar" arrangements for brokerage and other services are generally not utilized by the CREF Accounts. However, certain custodial fees are reduced based on the level of average cash balances on deposit with custodian banks during the period. The amount by which custodial fees were reduced under these expense offset agreements is reflected in the accompanying Statements of Operations as "Fees paid indirectly". 12 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(CONTINUED) NOTE 4--INVESTMENTS At December 31, 1998, the market value of securities loaned, and collateral received in connection therewith, was comprised as follow:
Collateral ------------------------------------------------ Market Value Letters United States of Securities Loaned Cash of Credit Government Securities ------------------ ----------- --------- ------------------- Bond Market Account.................... $539,698,300 $552,327,447 $ 4,283,215 $87,433 Social Choice Account.................. 188,101,476 192,645,701 1,537,513 -- Global Equities Account................ 61,260,564 46,964,235 17,687,122 --
At December 31, 1998, net unrealized appreciation (depreciation) of portfolio investments, consisting of gross unrealized appreciation and gross unrealized depreciation, were as follows:
Gross Gross Net Unrealized Unrealized Unrealized Appreciation Appreciation of Depreciation of (Depreciation) of Portfolio Portfolio Portfolio Investments Investments Investments ------------- ------------- -------------- Money Market Account..........................................$ 1,335,764 $ 1,172,940 $ 162,824 Bond Market Account........................................... 29,831,808 10, 945,629 18,886,179 Social Choice Account......................................... 1,035,827,948 26,166,349 1,009,661,599 Global Equities Account....................................... 1,375,580,326 183,418,409 1,192,161,917 Growth Account................................................ 1,927,186,802 202,344,764 1,724,842,038 Equity Index Account.......................................... 1,115,888,816 126,629,838 989,258,978 Inflation-Linked Bond Account................................. 106,670 1,180,537 (1,073,867)
At December 31, 1998 the Growth and Equity Index Accounts held 418 and 40 open futures contracts, respectively, in the Standard & Poor's 500 Index, expiring in March 1999, with a value of $130,154,750 and $12,455,000, respectively and an unrealized gain of $5,699,757 and $674,716, respectively. 13 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(CONTINUED) NOTE 4--INVESTMENTS--(Continued) 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, 1998, the total value of the Global Equities Account's investments in affiliated companies was $97,814,831. For the year ended December 31, 1998, total dividend income and net realized gain relating to such investments of the Global Equities Account were $3,158,677 and $9,299,939, respectively. At December 31, 1998 the total value of the Growth Account's investments in affiliated companies was $222,832,049. For the year ended December 31, 1998, total dividend income and net realized gain relating to such investments of the Growth Account were $120,009 and $19,129,926, respectively. For the other CREF Accounts covered by these financial statements, there were no other investments in affiliated companies. Purchases and sales of portfolio securities, other than short-term money market instruments, for the Bond Market, Social Choice, Global Equities, Growth, Equity Index, and the Inflation-Linked Bond Accounts for the year ended December 31, 1998, were as follows:
Bond Market Social Choice Global Equities Account Account Account --------------- -------------- --------------- Purchases: Unaffiliated issuers.................................. $12,592,962,149 $4,634,604,142 $5,681,784,148 Affiliated issuers.................................... -- -- 8,902,969 --------------- -------------- -------------- TOTAL PURCHASES $12,592,962,149 $4,634,604,142 $5,690,687,117 =============== ============== ============== Sales: Unaffiliated issuers.................................. $11,133,989,472 $4,013,087,884 $5,763,801,516 Affiliated issuers.................................... -- -- 18,005,438 --------------- -------------- -------------- TOTAL SALES $11,133,989,472 $4,013,087,884 $5,781,806,954 =============== ============== ==============
Growth Equity Index Inflation-Linked Account Account Bond Account ----------- ----------- ------------- Purchases: Unaffiliated issuers.................................. $6,509,613,728 $955,222,149 $89,910,138 Affiliated issuers.................................... 256,978,587 -- -- -------------- ------------ ----------- TOTAL PURCHASES $6,766,592,315 $955,222,149 $89,910,138 ============== ============ =========== Sales: Unaffiliated issuers.................................. $5,340,031,280 $106,686,488 $45,439,443 Affiliated issuers.................................... 171,577,342 -- -- -------------- ------------ ----------- TOTAL SALES $5,511,608,622 $106,686,488 $45,439,443 ============== ============ ===========
14 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, -------------------------------------------------------------------- 1998 1997 1996 1995 1994 ------- ------- ------- ------- ------- Per Accumulation Unit Data: Investment income..................... $ .998 $ .953 $ .880 $ .910 $ .631 Expenses.............................. .054 .046 .049 .048 .041 -------- -------- -------- -------- -------- Investment income--net................. .944 .907 .831 .862 .590 Net realized and unrealized gain (loss) on total investments................ .005 .001 (.003) .009 (.012) -------- -------- -------- -------- -------- Net increase in Accumulation Unit Value............. .949 .908 .828 .871 .578 Accumulation Unit Value: Beginning of year................... 17.402 16.494 15.666 14.795 14.217 -------- -------- -------- -------- -------- End of year.......................... $ 18.351 $ 17.402 $ 16.494 $ 15.666 $ 14.795 ======== ======== ======== ======== ======== Total return............................. 5.45% 5.51% 5.28% 5.88% 4.07% Ratios to Average Net Assets: Expenses.............................. 0.30% 0.27% 0.30% 0.32% 0.28% Investment income--net.................. 5.27% 5.35% 5.16% 5.64% 4.03% Portfolio turnover rate.................. n/a n/a n/a n/a n/a Thousands of Accumulation Units outstanding at end of year............ 312,358 233,116 218,292 193,181 183,135
Bond Market Account ---------------------------------------------------------------------- For the Years Ended December 31, ---------------------------------------------------------------------- 1998 1997 1996 1995 1994 ------- ------- ------- ------- ------- Per Accumulation Unit Data: Investment income...................... $ 3.156 $ 3.081 $ 3.039 $ 2.863 $ 2.502 Expenses............................... .158 .134 .126 .123 .108 ------- ------- ------- ------- ------- Investment income--net.................. 2.998 2.947 2.913 2.740 2.394 Net realized and unrealized gain (loss) on total investments................ 1.150 1.266 (1.600) 3.722 (3.897) ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value............. 4.148 4.213 1.313 6.462 (1.503) Accumulation Unit Value: Beginning of year................... 48.215 44.002 42.689 36.227 37.730 ------- ------- ------- ------- ------- End of year.......................... $52.363 $ 48.215 $ 44.002 $42.689 $36.227 ======= ======= ======= ======= ======= Total return............................. 8.60% 9.57% 3.08% 17.84% (3.98%) Ratios to Average Net Assets: Expenses.............................. 0.32% 0.29% 0.30% 0.31% 0.29% Investment income--net.................. 5.98% 6.44% 6.86% 6.93% 6.54% Portfolio turnover rate.................. 525.32% 398.77% 145.27% 185.11% 161.46% Thousands of Accumulation Units outstanding at end of year............ 57,481 31,654 22,611 19,522 14,939
15 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(Continued)
Social Choice Account ---------------------------------------------------------------------- For the Years Ended December 31, ---------------------------------------------------------------------- 1998 1997 1996 1995 1994 ------- ------- ------- ------- ------- Per Accumulation Unit Data: Investment income..................... $ 2.679 $ 2.396 $ 2.068 $ 1.832 $ 1.621 Expenses.............................. .249 .193 .158 .144 .125 -------- ------- ------- ------- ------- Investment income--net................. 2.430 2.203 1.910 1.688 1.496 Net realized and unrealized gain (loss) on total investments................ 11.159 12.223 5.968 9.863 (2.015) -------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value............. 13.589 14.426 7.878 11.551 (.519) Accumulation Unit Value: Beginning of year................... 73.016 58.590 50.712 39.161 39.680 -------- ------- ------- ------- ------- End of year.......................... $ 86.605 $73.016 $58.590 $50.712 $39.161 ======== ======= ======= ======= ======= Total return............................. 18.61% 24.62% 15.53% 29.49% (1.31%) Ratios to Average Net Assets: Expenses.............................. 0.31% 0.30% 0.30% 0.32% 0.32% Investment income--net.................. 3.07% 3.37% 3.58% 3.75% 3.80% Portfolio turnover rate.................. 147.90% 91.87% 40.93% 52.65% 49.06% Thousands of Accumulation Units outstanding at end of year............ 37,211 30,554 25,841 22,196 18,302
Global Equities Account ---------------------------------------------------------------------- For the Years Ended December 31, ---------------------------------------------------------------------- 1998 1997 1996 1995 1994 ------- ------- ------- ------- ------- Per Accumulation Unit Data: Investment income..................... $ .902 $ .848 $ .751 $ .727 $ .687 Expenses.............................. .268 .205 .167 .157 .134 -------- ------- ------- ------- ------- Investment income--net................. .634 .643 .584 .570 .553 Net realized and unrealized gain (loss) on total investments................ 10.508 8.650 7.138 6.618 (.719) -------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value............. 11.142 9.293 7.722 7.188 (.166) Accumulation Unit Value: Beginning of year................... 59.973 50.680 42.958 35.770 35.936 -------- ------- ------- ------- ------- End of year......................... $ 71.115 $59.973 $50.680 $42.958 $35.770 ======== ======= ======= ======= ======= Total return............................. 18.58% 18.34% 17.98% 20.09% (0.46%) Ratios to Average Net Assets: Expenses.............................. 0.41% 0.38% 0.37% 0.40% 0.41% Investment income--net.................. 0.97% 1.19% 1.28% 1.47% 1.71% Portfolio turnover rate.................. 103.31% 98.70% 88.84% 67.50% 51.63% Thousands of Accumulation Units outstanding at end of year............ 81,825 84,645 80,016 70,163 70,700
16 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(Continued)
Growth Account -------------------------------------------------------------- April 4, 1994 For the Years Ended December 31, (date established) ------------------------------------------- to December 31, 1998 1997 1996 1995 1994(1) --------- --------- --------- --------- --------- Per Accumulation Unit Data: Investment income............................ $ .482 $ .527 $ .484 $ .417 $ .398 Expenses.................................... .244 .155 .119 .114 .084 ------- ------- ------- ------- ------- Investment income--net....................... .238 .372 .365 .303 .314 Net realized and unrealized gain on total investments...................... 18.475 12.219 8.638 8.891 .802 ------- ------- ------- ------- ------- Net increase in Accumulation Unit Value................... 18.713 12.591 9.003 9.194 1.116 Accumulation Unit Value: Beginning of period....................... 56.904 44.313 35.310 26.116 25.000 ------- ------- ------- ------- ------- End of period.............................. $75.617 $56.904 $44.313 $35.310 $26.116 ======= ======= ======= ======= ======= Total return................................... 32.89% 28.41% 25.50% 35.20% 4.46% Ratios to Average Net Assets: Expenses.................................... 0.38% 0.34% 0.35% 0.43% 0.33% Investment income--net....................... 0.37% 0.82% 1.07% 1.13% 1.21% Portfolio turnover rate........................ 97.57% 53.27% 38.51% 24.42% 12.29% Thousands of Accumulation Units outstanding at end of period................ 98,862 80,370 53,201 32,375 10,446
Equity Index Account -------------------------------------------------------------- April 4, 1994 For the Years Ended December 31, (date established) ------------------------------------------- to December 31, 1998 1997 1996 1995 1994(1) --------- --------- --------- --------- --------- Per Accumulation Unit Data: Investment income............................ $ .953 $ .826 $ .773 $ .755 $ .552 Expenses..................................... .190 .141 .106 .100 .072 ------- ------- ------- ------- ------- Investment income--net........................ .763 .685 .667 .655 .480 Net realized and unrealized gain on total investments...................... 12.789 12.672 6.936 8.703 .393 ------- ------- ------- ------- ------- Net increase in Accumulation Unit Value................... 13.552 13.357 7.603 9.358 .873 Accumulation Unit Value: Beginning of period....................... 56.191 42.834 35.231 25.873 25.000 ------- ------- ------- ------- ------- End of period.............................. $69.743 $56.191 $42.834 $35.231 $25.873 ======= ======= ======= ======= ======= Total return................................... 24.12% 31.18% 21.58% 36.17% 3.49% Ratios to Average Net Assets: Expenses.................................... 0.31% 0.30% 0.30% 0.34% 0.27% Investment income--net....................... 1.24% 1.47% 1.87% 2.22% 1.83% Portfolio turnover rate........................ 3.98% 3.50% 7.85% 8.31% 1.33% Thousands of Accumulation Units outstanding at end of period................ 47,997 35,368 20,725 10,911 2,716 (1) The percentages shown for this period are not annualized.
17 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(Continued) NOTE 5--CONDENSED FINANCIAL INFORMATION--(Concluded)
Inflation-Linked Bond Account --------------------------------------- January 13, 1997 For the Year Ended (date established) to December 31, 1998 December 31, 1997(1) ------------------ ---------------------- Per Accumulation Unit Data: Investment income............................................. $ 1.256 $ 1.031 Expenses...................................................... .086 .067 ------- ------- Investment income--net......................................... 1.170 .964 Net realized and unrealized gain (loss) on total investments.. (.260) .154 ------- ------- Net increase in Accumulation Unit Value....................... .910 1.118 Accumulation Unit Value: Beginning of period........................................ 26.118 25.000 ------- ------- End of period............................................... $27.028 $26.118 ======= ======= Total return.................................................... 3.48% 4.47% Ratios to Average Net Assets: Expenses..................................................... 0.33% 0.25% Investment income--net......................................... 4.50% 3.60% Portfolio turnover rate......................................... 40.98% 63.56% Thousands of Accumulation Units outstanding at end of period.... 5,112 3,626 (1) The percentages shown for this period are not annualized.
18 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(CONTINUED) 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, --------------------------- --------------------------- --------------------------- 1998 1997 1998 1997 1998 1997 ----------- ----------- ----------- ----------- ----------- ----------- Accumulation Units: Credited for premiums...... 20,309,464 20,510,609 3,510,276 3,137,486 3,943,919 4,236,125 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund............. 58,933,328 (5,686,721) 22,316,290 5,905,434 2,713,496 476,429 Outstanding: Beginning of year........ 233,115,524 218,291,636 31,654,054 22,611,134 30,553,890 25,841,336 ----------- ----------- ---------- ---------- ---------- ---------- End of year.............. 312,358,316 233,115,524 57,480,620 31,654,054 37,211,305 30,553,890 =========== =========== ========== ========== ========== ==========
Global Equities Account Growth Account Equity Index Account --------------------------- --------------------------- --------------------------- Years Ended December 31, Years Ended December 31, Years Ended December 31, --------------------------- --------------------------- --------------------------- 1998 1997 1998 1997 1998 1997 ----------- ----------- ----------- ----------- ----------- ----------- Accumulation Units: Credited for premiums...... 7,906,965 9,103,302 11,782,117 11,408,929 5,725,242 4,863,305 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund............. (10,726,495) (4,474,351) 6,710,301 15,760,341 6,903,285 9,780,337 Outstanding: Beginning of year........ 84,644,864 80,015,913 80,369,823 53,200,553 35,368,353 20,724,711 ---------- ---------- ---------- ---------- ---------- ---------- End of year.............. 81,825,334 84,644,864 98,862,241 80,369,823 47,996,880 35,368,353 ========== ========== ========== ========== ========== ==========
Inflation-Linked Bond Account -------------------------------------- January 13, 1997 Year Ended (date established) December 31, 1998 December 31, 1997 ----------------- ----------------- Accumulation Units: Credited for premiums....... 246,599 2,133,619 Credited for transfers, disbursements and amounts applied to the Annuity Fund.............. 1,239,193 1,492,416 Outstanding: Beginning of period....... 3,626,035 -- --------- --------- End of period............. 5,111,827 3,626,035 ========= ========= NOTE 7--LINE OF CREDIT The Stock, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts share in a $1.95 billion unsecured revolving credit facility for temporary or emergency purposes, including, without limitation, the funding of participant redemptions that otherwise might require the untimely disposition of securities. An annual commitment fee is charged for this facility, which is allocated among the participating Accounts. Interest associated with any borrowing under the credit facility will be charged to the borrowing Accounts at rates which are based on the Federal Funds Rate in effect during the time of the borrowing. For the year ended December 31, 1998, there were no borrowings under the credit facility. 19 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT DECEMBER 31, 1998 SUMMARY BY INDUSTRY (000) VALUE % ----- ----- SHORT TERM INVESTMENTS BANK NOTES ........................... $ 172,096 2.91% CERTIFICATES OF DEPOSIT .............. 523,483 8.85 COMMERCIAL PAPER ..................... 4,093,401 69.19 MEDIUM TERM BONDS .................... 31,440 0.53 U.S. GOVERNMENT & AGENCIES ........... 201,767 3.41 VARIABLE RATE NOTES .................. 862,663 14.58 ---------- ----- TOTAL SHORT TERM INVESTMENTS (Cost $5,884,687) ..................... 5,884,850 99.47 ---------- ----- TOTAL PORTFOLIO (Cost $5,884,687) ..................... 5,884,850 99.47 OTHER ASSETS & LIABILITIES, NET ..... 31,215 0.53 ---------- ----- NET ASSETS ............................. $5,916,065 100.00% ========== ====== ======================================= VALUE PRINCIPAL (000) --------- ----- SHORT TERM INVESTMENTS--99.47% BANK NOTES--2.91% BANC ONE (MILWAUKEE) NA $10,000,000 5.550%, 01/29/99 .............. $ 10,000 BANK OF NEW YORK 24,000,000 5.570%, 03/17/99 .............. 24,015 25,000,000 5.750%, 05/14/99 .............. 25,047 FCC NATIONAL BANK 20,000,000 5.100%, 01/21/99 .............. 19,998 FIRST NATIONAL BANK OF CHICAGO 25,000,000 5.740%, 05/07/99 .............. 25,043 HUNTINGTON NATIONAL BANK 25,000,000 5.625%, 01/12/99 .............. 24,999 WACHOVIA BANK, NATIONAL ASSOCIATION 43,000,000 5.070%, 01/22/99 .............. 42,994 --------- 172,096 --------- CERTIFICATES OF DEPOSIT--8.85% ABBEY NATIONAL TREASURY SERVICES 25,000,000 5.590%, 02/03/99 .............. 25,003 BANK OF AMERICA 20,000,000 5.200%, 02/08/99 .............. 19,999 BANK OF MONTREAL 15,000,000 5.750%, 05/10/99 .............. 15,027 BARCLAYS BANK PLC 25,000,000 5.530%, 02/23/99 .............. 25,001 CANADIAN IMPERIAL BANK OF COMMERCE 25,000,000 5.450%, 01/07/99 .............. 25,000 11,000,000 4.980%, 03/26/99 .............. 10,997 CREDIT AGRICOLE 17,000,000 5.750%, 05/19/99 .............. 17,033 20,000,000 5.750%, 05/21/99 .............. 20,040 CREDIT SUISSE 15,000,000 5.720%, 03/11/99 .............. 15,013 25,000,000 5.700%, 03/26/99 .............. 25,025 10,000,000 5.800%, 04/27/99 .............. 10,018 DEUTSCHE BANK 25,000,000 5.600%, 02/16/99 .............. 25,008 DRESDNER BANK $23,000,000 5.450%, 01/07/99 ............... $ 23,000 FIRST NATIONAL BANK OF CHICAGO 25,000,000 5.520%, 02/16/99 .............. 25,001 NATIONAL WESTMINSTER BANK PLC 10,000,000 5.737%, 05/07/99 .............. 10,017 RABOBANK 25,000,000 5.630%, 03/24/99 .............. 25,020 10,000,000 5.700%, 04/20/99 .............. 10,013 20,000,000 5.750%, 05/14/99 .............. 20,038 10,000,000 5.740%, 05/19/99 .............. 10,019 REGIONS BANK (ALABAMA) 25,000,000 5.770%, 05/21/99 .............. 25,076 ROYAL BANK OF CANADA 22,000,000 5.645%, 03/09/99 .............. 22,015 SWISS BANK CORP 25,000,000 5.635%, 03/22/99 .............. 25,020 TORONTO DOMINION BANK 25,000,000 5.640%, 06/18/99 .............. 25,050 20,000,000 5.650%, 07/09/99 .............. 20,048 WESTDEUTSCHE LANDESBANK 50,000,000 5.310%, 02/16/99 .............. 50,002 --------- 523,483 --------- COMMERCIAL PAPER--69.19% ABN AMRO NORTH AMERICA FINANCE, INC 22,700,000 5.100%, 03/30/99 .............. 22,425 AMERICAN EXPRESS CREDIT CORP 50,000,000 5.140%, 01/14/99 .............. 49,901 50,000,000 5.140%, 01/15/99 .............. 49,894 50,000,000 5.000%, 01/19/99 .............. 49,869 AMERICAN HOME PRODUCTS 45,000,000 5.250%, 01/04/99 .............. 44,980 20,800,000 5.150%, 03/05/99 .............. 20,619 ANHEUSER-BUSCH CO 22,200,000 5.125%, 01/28/99 .............. 22,113 ASSET SECURITIZATION COOP CORP 50,000,000 ~ 5.250%, 01/20/99 .............. 49,861 25,000,000 ~ 5.400%, 01/21/99 .............. 24,927 25,000,000 ~ 5.180%, 01/28/99 .............. 24,902 50,000,000 ~ 5.180%, 02/18/99 .............. 49,643 ASSOCIATES CORP OF NORTH AMERICA 25,000,000 5.150%, 01/08/99 .............. 24,974 ATLANTIC RICHFIELD CO 50,000,000 ~ 5.050%, 02/25/99 .............. 49,586 19,000,000 5.040%, 03/05/99 .............. 18,834 BETA FINANCE, INC 30,000,000 ~ 5.250%, 01/06/99 .............. 29,978 8,000,000 ~ 5.120%, 01/15/99 .............. 7,983 12,000,000 ~ 5.280%, 01/15/99 .............. 11,975 40,000,000 ~ 5.150%, 01/25/99 .............. 39,861 25,000,000 ~ 4.890%, 05/19/99 .............. 24,950 CANADIAN IMPERIAL HOLDINGS, INC 50,000,000 5.200%, 01/13/99 .............. 49,909 CAROLINA POWER & LIGHT CO 50,000,000 5.250%, 02/04/99 .............. 49,752 See notes to financial statements. 20 MONEY MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- ----- COMMERICAL PAPER--(CONTINUED) CATERPILLAR FINANCIAL SERVICES CORP $25,000,000 5.020%, 01/12/99 .............. $ 24,958 CHRYSLER FINANCIAL CORP 25,000,000 5.190%, 01/05/99 .............. 24,985 39,000,000 5.100%, 01/20/99 .............. 38,892 CIESCO LP 8,800,000 5.150%, 01/11/99 .............. 8,787 35,000,000 5.130%, 01/13/99 .............. 34,936 35,000,000 ~ 5.350%, 01/14/99 .............. 34,932 5,000,000 5.000%, 01/15/99 .............. 4,989 40,000,000 ~ 5.050%, 01/20/99 .............. 39,889 5,800,000 5.200%, 02/03/99 .............. 5,772 CIGNA CORP 25,000,000 5.150%, 01/04/99 .............. 24,989 25,000,000 5.350%, 01/13/99 .............. 24,955 CIT GROUP HOLDINGS, INC 54,400,000 5.070%, 01/26/99 .............. 54,203 25,000,000 5.160%, 01/29/99 .............. 24,899 CITIGROUP, INC 5,000,000 5.150%, 02/01/99 .............. 4,978 COCA COLA CO 50,000,000 5.030%, 03/19/99 .............. 49,469 COCA COLA ENTERPRISES, INC 37,000,000 5.250%, 01/28/99 .............. 36,823 12,000,000 5.120%, 01/29/99 .............. 11,943 11,400,000 5.240%, 02/08/99 .............. 11,326 15,000,000 5.150%, 03/18/99 .............. 14,840 COMMERCIAL CREDIT CO 25,000,000 5.180%, 01/19/99 .............. 24,934 25,000,000 5.320%, 01/25/99 .............. 24,913 20,000,000 5.100%, 02/01/99 .............. 19,907 COOPER INDUSTRIES, INC 48,000,000 5.250%, 01/04/99 .............. 47,979 23,000,000 5.300%, 01/04/99 .............. 22,990 CORPORATE ASSET FUNDING CORP, INC 8,140,000 ~ 5.450%, 01/04/99 .............. 8,136 32,900,000 ~ 5.200%, 01/06/99 .............. 32,875 8,000,000 ~ 5.150%, 01/12/99 .............. 7,987 25,000,000 ~ 5.270%, 01/21/99 .............. 24,927 25,000,000 ~ 5.230%, 01/25/99 .............. 24,913 25,000,000 ~ 5.150%, 02/12/99 .............. 24,848 9,725,000 ~ 5.080%, 03/08/99 .............. 9,636 DEERE & CO 50,000,000 5.310%, 01/19/99 .............. 49,869 DELAWARE FUNDING CORP 50,000,000 ~ 5.430%, 01/05/99 .............. 49,970 10,000,000 ~ 5.220%, 01/06/99 .............. 9,993 50,000,000 ~ 5.400%, 01/19/99 .............. 49,869 11,700,000 ~ 5.330%, 01/26/99 .............. 11,658 23,000,000 ~ 5.330%, 02/10/99 .............. 22,867 DUKE ENERGY CORP 50,000,000 5.250%, 01/06/99 .............. 49,964 DUPONT (E.I.) DE NEMOURS & CO 25,000,000 5.300%, 01/11/99 .............. 24,963 25,000,000 5.300%, 01/12/99 .............. 24,960 21,000,000 5.100%, 01/14/99 .............. 20,959 50,000,000 5.110%, 02/05/99 .............. 49,744 20,655,000 5.150%, 02/05/99 .............. 20,549 ENTERPRISE FUNDING CORP 17,161,000 ~ 5.500%, 01/14/99 .............. 17,127 26,693,000 ~ 5.550%, 01/15/99 .............. 26,636 3,000,000 ~ 5.380%, 01/29/99 .............. 2,987 FLORIDA POWER & LIGHT CO 20,000,000 ~ 5.220%, 02/05/99 .............. 19,899 FLORIDA POWER CORP $15,000,000 5.270%, 01/04/99 .............. $ 14,993 15,000,000 5.270%, 01/05/99 .............. 14,991 13,000,000 5.270%, 01/06/99 .............. 12,990 10,000,000 5.270%, 01/08/99 .............. 9,990 FORD MOTOR CREDIT CO 19,700,000 5.110%, 01/05/99 .............. 19,688 10,000,000 5.100%, 01/07/99 .............. 9,991 2,100,000 5.120%, 01/08/99 .............. 2,098 60,000,000 5.140%, 01/21/99 .............. 59,824 20,000,000 5.030%, 01/22/99 .............. 19,939 FORTUNE BRANDS 24,000,000 ~ 5.460%, 01/14/99 .............. 23,953 25,000,000 ~ 5.300%, 01/15/99 .............. 24,947 25,000,000 5.100%, 01/21/99 .............. 24,927 10,000,000 ~ 5.300%, 01/22/99 .............. 9,969 25,000,000 ~ 5.120%, 01/29/99 .............. 24,899 GENERAL ELECTRIC CAPITAL CORP 25,000,000 5.170%, 01/19/99 .............. 24,934 25,000,000 5.330%, 01/21/99 .............. 24,927 GENERAL MOTORS ACCEPTANCE CORP 30,162,000 5.490%, 01/13/99 .............. 30,107 33,000,000 5.180%, 01/15/99 .............. 32,930 24,000,000 5.070%, 01/29/99 .............. 23,903 6,265,000 5.110%, 02/08/99 .............. 6,231 1,700,000 5.210%, 02/09/99 .............. 1,690 50,000,000 5.210%, 02/10/99 .............. 49,711 GOLDMAN SACHS GROUP LP 25,000,000 5.450%, 02/17/99 .............. 24,825 25,000,000 5.450%, 02/26/99 .............. 24,790 GTE CORP 25,000,000 ~ 5.550%, 01/11/99 .............. 24,961 12,000,000 ~ 5.400%, 01/29/99 .............. 11,952 13,300,000 ~ 5.250%, 02/03/99 .............. 13,236 19,000,000 ~ 5.480%, 02/12/99 .............. 18,885 GTE FUNDING, INC 23,710,000 5.500%, 01/22/99 .............. 23,634 12,500,000 5.120%, 02/02/99 .............. 12,443 8,000,000 5.200%, 02/08/99 .............. 7,956 50,000,000 5.250%, 02/12/99 .............. 49,694 HOUSEHOLD FINANCE CORP 50,000,000 5.100%, 01/08/99 .............. 49,948 JOHN DEERE CAPITAL CORP 50,000,000 5.320%, 01/25/99 .............. 49,826 19,150,000 6.500%, 09/20/99 .............. 19,328 JOHNSON & JOHNSON CO 2,350,000 ~ 5.080%, 01/21/99 .............. 2,343 MAY DEPARTMENT STORES CO 11,200,000 5.225%, 01/08/99 .............. 11,189 MCGRAW-HILL COS, INC 7,000,000 5.170%, 02/22/99 .............. 6,945 MONSANTO CO 21,306,000 ~ 5.170%, 01/08/99 .............. 21,279 10,000,000 ~ 5.100%, 02/12/99 .............. 9,939 MORGAN STANLEY DEAN WITTER 22,550,000 5.450%, 01/22/99 .............. 22,481 MOTOROLA CREDIT CORP 25,000,000 5.140%, 02/02/99 .............. 24,883 MOTOROLA, INC 75,000,000 5.125%, 02/02/99 .............. 74,650 NATIONAL RURAL UTILITIES COOP FINANCE 17,000,000 5.120%, 01/14/99 .............. 16,966 40,000,000 5.270%, 01/20/99 .............. 39,889 25,000,000 5.120%, 01/27/99 .............. 24,906 40,000,000 5.010%, 02/09/99 .............. 39,772 See notes to financial statements. 21 MONEY MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- ----- COMMERICAL PAPER--(CONTINUED) PACIFICORP $30,000,000 5.120%, 01/26/99 .............. $ 29,892 2,700,000 5.100%, 02/11/99 .............. 2,684 PARK AVENUE RECEIVABLES CORP 17,000,000 ~ 5.450%, 01/20/99 .............. 16,952 6,000,000 ~ 5.270%, 01/22/99 .............. 5,982 25,000,000 ~ 5.320%, 01/25/99 .............. 24,913 43,500,000 ~ 5.490%, 02/08/99 .............. 43,258 25,000,000 ~ 5.280%, 02/09/99 .............. 24,857 8,000,000 ~ 5.320%, 02/10/99 .............. 7,954 26,500,000 ~ 5.370%, 02/10/99 .............. 26,347 PENNEY (J.C.) FUNDING CORP 26,000,000 ~ 5.240%, 01/29/99 .............. 25,895 15,000,000 ~ 5.300%, 01/29/99 .............. 14,939 16,950,000 ~ 5.310%, 01/29/99 .............. 16,882 17,000,000 ~ 5.130%, 02/03/99 .............. 16,918 15,700,000 ~ 5.250%, 02/19/99 .............. 15,585 18,000,000 ~ 5.230%, 02/26/99 .............. 17,848 11,000,000 ~ 4.900%, 03/05/99 .............. 10,904 3,400,000 ~ 4.920%, 03/12/99 .............. 3,367 12,030,000 ~ 5.020%, 04/19/99 .............. 11,853 RECEIVABLES CAPITAL CORP 50,000,000 ~ 5.450%, 01/21/99 .............. 49,854 14,364,000 ~ 5.280%, 02/04/99 .............. 14,293 20,000,000 ~ 5.030%, 02/22/99 .............. 19,844 RESEAU FERRE DE FRANCE 60,000,000 5.300%, 01/20/99 .............. 59,833 25,000,000 5.070%, 03/02/99 .............. 24,792 15,000,000 5.060%, 03/10/99 .............. 14,859 SAINT PAUL COS 20,000,000 ~ 5.300%, 01/14/99 .............. 19,961 20,000,000 ~ 5.230%, 01/29/99 .............. 19,919 SC JOHNSON & SON, INC 10,000,000 ~ 5.350%, 01/14/99 .............. 9,980 17,000,000 ~ 5.230%, 01/15/99 .............. 16,964 25,000,000 ~ 5.100%, 01/20/99 .............. 24,931 7,000,000 ~ 5.200%, 01/21/99 .............. 6,980 29,400,000 ~ 5.100%, 01/22/99 .............. 29,310 20,000,000 ~ 5.400%, 01/25/99 .............. 19,931 10,000,000 ~ 5.080%, 01/28/99 .............. 9,961 10,000,000 ~ 5.200%, 01/29/99 .............. 9,960 SEARS ROEBUCK ACCEPTANCE CORP 21,700,000 5.190%, 01/29/99 .............. 21,612 SWEDISH EXPORT CREDIT CORP 25,000,000 5.110%, 01/20/99 .............. 24,931 22,000,000 5.000%, 01/25/99 .............. 21,924 45,610,000 4.760%, 03/22/99 .............. 45,107 THE STANLEY WORKS 25,000,000 ~ 5.100%, 02/01/99 .............. 24,884 16,000,000 ~ 5.090%, 02/11/99 .............. 15,905 28,000,000 ~ 5.230%, 02/19/99 .............. 27,796 23,500,000 ~ 5.100%, 02/22/99 .............. 23,316 19,000,000 ~ 5.030%, 03/10/99 .............. 18,822 4,567,000 ~ 5.050%, 03/18/99 .............. 4,519 TORONTO DOMINION HOLDINGS (U.S.) 27,915,000 5.120%, 03/01/99 .............. 27,687 45,000,000 5.065%, 03/04/99 .............. 44,614 XEROX CAPITAL (EUROPE) PLC 19,200,000 5.010%, 01/22/99 .............. 19,141 11,000,000 5.150%, 01/22/99 .............. 10,966 20,000,000 5.160%, 01/22/99 .............. 19,939 XEROX CREDIT CORP $50,000,000 5.150%, 01/06/99 .............. $ 49,963 10,000,000 5.100%, 01/28/99 .............. 9,961 ---------- 4,093,401 ---------- MEDIUM TERM BONDS--0.53% CHASE MANHATTAN CORP 8,000,000 7.580%, 07/23/99 .............. 8,105 FORD MOTOR CREDIT CO 5,205,000 7.250%, 05/15/99 .............. 5,244 8,941,000 6.375%, 09/15/99 .............. 9,016 FORTUNE BRANDS 9,000,000 7.500%, 05/15/99 .............. 9,075 ---------- 31,440 ---------- U.S. GOVERNMENT & AGENCIES--3.41% FEDERAL FARM CREDIT BANK 22,000,000 5.300%, 02/02/99 .............. 22,005 FEDERAL HOME LOAN MORTGAGE CORP 17,135,000 5.000%, 02/26/99 .............. 17,001 50,000,000 4.980%, 03/09/99 .............. 49,566 FEDERAL NATIONAL MORTGAGE ASSOCIATION 50,000,000 4.990%, 03/11/99 .............. 49,553 64,250,000 4.980%, 03/15/99 .............. 63,642 ---------- 201,767 ---------- VARIABLE RATE NOTES--14.58% ABBEY NATIONAL TREASURY SERVICES 25,000,000 4.790%, 07/20/99 .............. 24,975 AMERICAN EXPRESS CENTURION BANK 25,000,000 5.520%, 01/04/99 .............. 25,000 15,000,000 5.483%, 05/14/99 .............. 14,993 15,000,000 5.010%, 06/04/99 .............. 14,994 ASSOCIATES CORP OF NORTH AMERICA 50,000,000 4.900%, 01/04/99 .............. 49,999 BANK OF AMERICA 11,000,000 5.902%, 05/17/99 .............. 11,021 BANK OF MONTREAL 34,000,000 4.850%, 07/22/99 .............. 33,950 BETA FINANCE, INC 25,000,000 ~ 5.050%, 05/19/99 .............. 24,838 CATERPILLAR FINANCIAL SERVICES CORP 30,500,000 5.291%, 05/05/99 .............. 30,476 COLGATE-PALMOLIVE CO 20,000,000 5.090%, 08/25/99 .............. 19,970 CORESTATES BANK NA (PHILADELPHIA) 5,000,000 5.574%, 01/29/99 .............. 4,999 FIRST UNION NATIONAL BANK (CHARLOTTE) 25,000,000 4.900%, 05/17/99 .............. 24,978 FIRST UNION NATIONAL BANK, NC 25,000,000 4.700%, 04/30/99 .............. 24,983 25,000,000 4.710%, 08/20/99 .............. 24,968 25,000,000 4.710%, 09/24/99 .............. 24,965 FLEET NATIONAL BANK 20,000,000 4.800%, 05/11/99 .............. 19,978 FEDERAL NATIONAL MORTGAGE ASSOCIATION 8,000,000 4.740%, 05/28/99 .............. 7,994 GENERAL MOTORS ACCEPTANCE CORP 5,000,000 5.149%, 04/28/99 .............. 4,996 GOLDMAN SACHS GROUP LP 13,000,000 5.259%, 02/01/99 .............. 12,997 7,000,000 5.300%, 02/24/99 .............. 6,997 HOUSEHOLD FINANCE CORP 25,000,000 5.162%, 04/29/99 .............. 24,975 25,000,000 5.120%, 05/28/99 .............. 24,988 25,000,000 5.210%, 07/19/99 .............. 24,955 See notes to financial statements. 22 MONEY MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- ----- VARIABLE RATE NOTES--(CONTINUED) INTERNATIONAL BUSINESS MACHINES CORP $25,000,000 5.050%, 05/21/99 .............. $ 24,970 25,000,000 5.293%, 10/19/99 .............. 24,970 J.P. MORGAN & CO 20,000,000 4.830%, 02/24/99 .............. 19,987 10,000,000 5.481%, 07/07/99 .............. 9,986 KEY BANK 25,000,000 4.870%, 01/14/99 .............. 24,998 18,000,000 4.800%, 02/24/99 .............. 17,990 7,000,000 4.830%, 06/21/99 .............. 6,990 MORGAN STANLEY DEAN WITTER 20,000,000 5.481%, 03/01/99 .............. 19,998 NATIONSBANK NA 15,000,000 4.830%, 04/27/99 .............. 14,982 PEPSICO, INC 25,000,000 5.209%, 08/19/99 .............. 24,963 PNC BANK 25,000,000 4.830%, 05/14/99 .............. 24,968 PNC BANK NA 20,000,000 5.499%, 07/27/99 .............. 19,974 5,000,000 5.543%, 10/13/99 .............. 4,997 ROYAL BANK OF CANADA 25,000,000 4.795%, 07/06/99 .............. 24,975 25,000,000 4.790%, 09/10/99 .............. 24,975 SEARS ROEBUCK ACCEPTANCE CORP 25,000,000 5.506%, 03/26/99 .............. 24,990 STUDENT LOAN MARKETING ASSOCIATION 25,000,000 4.800%, 10/20/99 .............. 24,975 SUNTRUST 15,000,000 5.406%, 06/18/99 .............. 15,008 U.S. BANCORP 25,000,000 5.476%, 09/13/99 .............. 24,978 ---------- 862,663 ---------- TOTAL SHORT TERM INVESTMENTS (Cost $5,884,687) ................ 5,884,850 ---------- TOTAL PORTFOLIO (Cost $5,884,687) ................ $5,884,850 ========== - ------------------------ ~ 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. 23 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT DECEMBER 31, 1998 SUMMARY BY INDUSTRY (000) VALUE % ----- ----- BONDS CORPORATE BONDS ASSET BACKED .......................... $ 120,733 3.95% AUTO REPAIR, SERVICES AND PARKING ..... 5,196 0.17 BUSINESS SERVICES ..................... 14,956 0.49 CHEMICALS AND ALLIED PRODUCTS ......... 15,029 0.49 COMMUNICATIONS ........................ 100,538 3.29 DEPOSITORY INSTITUTIONS ............... 48,291 1.58 EATING AND DRINKING PLACES ............ 10,001 0.33 ELECTRIC, GAS, AND SANITARY SERVICES .. 78,228 2.56 FOOD AND KINDRED PRODUCTS ............. 35,403 1.16 FOOD STORES ........................... 4,008 0.13 GENERAL MERCHANDISE STORES ............ 5,040 0.16 HEALTH SERVICES ....................... 10,094 0.33 HOLDING AND OTHER INVESTMENT OFFICES .. 18,264 0.60 INDUSTRIAL MACHINERY AND EQUIPMENT .... 39,543 1.29 INSTRUMENTS AND RELATED PRODUCTS ...... 12,908 0.42 INSURANCE CARRIERS .................... 24,978 0.82 MISCELLANEOUS RETAIL .................. 12,954 0.42 MOTION PICTURES ....................... 14,947 0.49 NATIONAL SECURITY AND INTERNATIONAL AFFAIRS .............................. 10,768 0.35 NONDEPOSITORY INSTITUTIONS ............ 113,179 3.70 OIL AND GAS EXTRACTION ................ 10,828 0.35 PERSONAL SERVICES ..................... 28,417 0.93 PETROLEUM AND COAL PRODUCTS ........... 3,028 0.10 PRINTING AND PUBLISHING ............... 10,523 0.34 RAILROAD TRANSPORTATION ............... 29,277 0.96 SECURITY AND COMMODITY BROKERS ........ 16,290 0.54 TOBACCO PRODUCTS ...................... 19,378 0.64 TRANSPORTATION BY AIR ................. 11,492 0.38 --------- ------ TOTAL CORPORATE BONDS (Cost $820,908) ........................ 824,291 26.97 --------- ------ GOVERNMENT BONDS AGENCY SECURITIES ..................... 307,038 10.05 FOREIGN GOVERNMENT BONDS .............. 22,424 0.73 GOVERNMENT BONDS ...................... 295 0.01 MORTGAGE BACKED SECURITIES ............ 851,135 27.85 OTHER MORTGAGE BACKED SECURITIES ...... 5,136 0.17 U.S. TREASURY SECURITIES .............. 959,888 31.41 --------- ------ TOTAL GOVERNMENT BONDS (Cost $2,130,291) ...................... 2,145,916 70.22 --------- ------ TOTAL BONDS (Cost $2,951,199) ...................... 2,970,207 97.19 --------- ------ PREFERRED STOCK HOLDING AND OTHER INVESTMENT OFFICES .. 7,855 0.26 --------- ------ TOTAL PREFERRED STOCK (Cost $8,000) .......................... 7,855 0.26 --------- ------ SHORT TERM INVESTMENTS INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED .................... 552,327 18.08 COMMERCIAL PAPER ...................... 461,804 15.11 --------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $1,014,108) ...................... 1,014,131 33.19 --------- ------ TOTAL PORTFOLIO (Cost $3,973,307) ...................... 3,992,193 130.64 OTHER ASSETS & LIABILITIES, NET ...... (936,290) (30.64) --------- ------ NET ASSETS .............................. $3,055,903 100.00% ========= ====== ============================== MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- BONDS--97.19% CORPORATE BONDS--26.97% ASSET BACKED--3.95% ADVANTA MORTGAGE LOAN TRUST SERIES 1998-1 (CLASS A3) $ 23,000,000 6.270%, 12/25/17 AAA $ 23,054 AMRESCO RESIDENTIAL SECURITIES MORTGAGE LOAN TRUST SERIES 1997-2 (CLASS A3) 4,399,190 6.795%, 12/25/20 ..... AAA 4,402 BLOCK MORTGAGE FINANCE, INC SERIES 1997-1 (CLASS A-2) 3,758,034 6.850%, 10/25/11 ..... AAA 3,760 CHASE CREDIT CARD MASTER TRUST SERIES 1997-2 (CLASS B) 19,000,000 6.450%, 04/15/03 ..... A2 19,302 COMED TRANSITIONAL FUNDING TRUST SERIES 1998-1 (CLASS A5) 8,500,000 5.440%, 03/25/07 ..... AAA 8,484 FIRST ALLIANCE MORTGAGE LOAN TRUST SERIES 1997-3 (CLASS A1) 3,114,764 6.935%, 12/20/28 ..... AAA 3,141 FIRST U.S.A. CREDIT CARD MASTER TRUST SERIES 1998-9 (CLASS A) 15,000,000 5.280%, 09/18/06 ..... AAA 14,890 GREEN TREE HOME EQUITY LOAN TRUST SERIES 1998-C (CLASS A3) 20,250,000 6.180%, 07/15/29 ..... AAA 20,364 IMC HOME EQUITY LOAN TRUST SERIES 1997-2 (CLASS A-2) 2,581,021 6.700%, 11/20/11 ..... AAA 2,576 NATIONSBANK AUTO GRANTOR TRUST SERIES 1995-A (CLASS A) 352,808 5.850%, 06/15/02 ..... AAA 353 NEWCOURT EQUIPMENT TRUST SECURITIES SERIES 1998-2 (CLASS A3) 10,000,000 5.450%, 10/15/02 ..... AAA 9,975 STANDARD CREDIT CARD MASTER TRUST SERIES 1991-6 (CLASS B) 4,225,000 8.350%, 01/07/00 ..... A2 4,225 TOYOTA AUTO RECEIVABLES GRANTOR TRUST SERIES 1997-A (CLASS B) 1,915,152 6.600%, 04/15/02 ..... A2 1,923 VANDERBILT MORTGAGE & FINANCE SERIES 1997-A (CLASS A-2) 4,263,538 6.525%, 12/07/28 ..... AAA 4,284 -------- 120,733 -------- AUTO REPAIR, SERVICES AND PARKING--0.17% ERAC U.S.A. FINANCE CO NOTE 5,000,000 ^ 6.950%, 03/01/04 ..... BAA2 5,196 -------- BUSINESS SERVICES--0.49% COMDISCO, INC NOTE 10,000,000 6.270%, 11/23/00 ..... BAA2 9,994 5,000,000 6.130%, 08/01/01 ..... BAA1 4,962 -------- 14,956 -------- See notes to financial statements. 24 BOND MARKET ACCOUNT (CONTINUED) MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- CHEMICALS AND ALLIED PRODUCTS--0.49% ABBOTT LABORATORIES NOTE $ 5,000,000 5.400%, 09/15/08 ..... AA1 $ 5,045 MERCK & CO, INC DEB 5,000,000 5.950%, 12/01/28 ..... AAA 4,991 MONSANTO CO DEB 5,000,000 ^ 6.600%, 12/01/28 ..... A2 4,993 -------- 15,029 -------- COMMUNICATIONS--3.29% BELLSOUTH TELECOMMUNICATIONS NOTE 10,000,000 6.500%, 06/15/05 ..... AAA 10,641 CONTINENTAL CABLEVISION (SR NOTE) 10,000,000 8.300%, 05/15/06 ..... BAA3 11,096 LUCENT TECHNOLOGIES NOTE 15,000,000 5.500%, 11/15/08 ..... A2 15,170 SPRINT CAPITAL CORP (GUARANTEE NOTE) 15,000,000 6.875%, 11/15/28 ..... BAA1 15,590 TELE- COMMUNICATIONS, INC DEB 6,000,000 7.875%, 08/01/13 ..... BAA3 7,029 U.S. WEST CAPITAL FUNDING, INC (GUARANTEE NOTE) 7,800,000 6.125%, 07/15/02 ..... A3 7,963 10,000,000 6.500%, 11/15/18 ..... A3 10,233 MCI WORLDCOM, INC (SR NOTE) 15,000,000 9.375%, 01/15/04 ..... BAA2 15,541 7,000,000 6.400%, 08/15/05 ..... BAA2 7,275 -------- 100,538 -------- DEPOSITORY INSTITUTIONS--1.58% AMSOUTH BANK OF ALABAMA (SUB NOTE) 5,000,000 6.450%, 02/01/18 ..... A1 5,209 BANK ONE CORP (SUB NOTE) 7,000,000 6.375%, 01/30/09 ..... A1 7,276 BANKAMERICA CORP (SUB NOTE) 5,000,000 7.625%, 06/15/04 ..... A1 5,461 CHASE MANHATTAN CORP (SUB NOTE) 9,500,000 6.000%, 11/01/05 ..... A1 9,617 CITICORP (SUB NOTE) 13,500,000 6.375%, 11/15/08 ..... A1 13,973 SKANDINAVISKA ENSKILDA BANKEN (SUB NOTE) 7,000,000 ^ 6.500%, 12/29/49 ..... BAA1 6,755 -------- 48,291 -------- EATING AND DRINKING PLACES--0.33% MCDONALD'S CORP (SR NOTE) 10,000,000 5.350%, 09/15/08 ..... AA2 10,001 -------- ELECTRIC, GAS, AND SANITARY SERVICES--2.56% CALIFORNIA ENERGY CO (SR NOTE) 7,000,000 9.875%, 06/30/03 ..... BA1 7,839 CLEVELAND ELECTRIC TOLEDO EDISON NOTE 5,000,000 7.190%, 07/01/00 ..... BA1 5,074 COASTAL CORP (SR NOTE) 11,490,000 10.000%, 02/01/01 .... BAA3 12,446 CONSUMERS ENERGY CO DEB $ 5,000,000 ^ 6.200%, 05/01/03 ..... BAA3 $ 5,116 EL PASO ELECTRIC CO (FIRST MORTGAGE BOND) 1,000,000 7.250%, 02/01/99 ..... BA2 1,001 5,000,000 8.900%, 02/01/06 ..... BA2 5,544 GEORGIA POWER CO (SR NOTE) 10,000,000 5.500%, 12/01/05 ..... A2 9,965 MONONGAHELA POWER CO (FIRST MORTGAGE BOND) 3,000,000 8.625%, 11/01/21 ..... A1 3,170 NATIONAL RURAL UTILITIES TRUST 5,000,000 5.000%, 10/01/02 ..... AA3 4,917 NIAGARA MOHAWK POWER CO (SR NOTE) 10,000,000 7.125%, 07/01/01 ..... BA2 10,163 PACIFICORP (FIRST MORTGAGE BOND) 2,650,000 5.650%, 11/01/06 ..... A2 2,654 PUGET SOUND ENERGY, INC (SR NOTE) 5,000,000 7.020%, 12/01/27 ..... BAA1 5,308 U.S.A. WASTE SERVICES, INC NOTE 5,000,000 6.125%, 07/15/01 ..... BAA3 5,031 -------- 78,228 -------- FOOD AND KINDRED PRODUCTS--1.16% BESTFOODS DEB 5,000,000 6.625%, 04/15/28 ..... A2 5,255 COCA COLA (PUTABLE ASSET TRUST) 5,000,000 ^ 6.000%, 03/15/01 ..... A3 5,081 HEINZ (H.J.) CO DEB 5,000,000 6.375%, 07/15/28 ..... A1 5,300 NABISCO, INC (PASS THRU CERT) 10,000,000 ^ 6.300%, 08/26/99 ..... BAA2 9,994 RALSTON PURINA CO DEB 7,500,000 9.300%, 05/01/21 ..... BAA1 9,773 -------- 35,403 -------- FOOD STORES--0.13% SAFEWAY, INC NOTE 4,000,000 5.750%, 11/15/00 ..... BAA2 4,008 -------- GENERAL MERCHANDISE STORES--0.16% DAYTON HUDSON CO NOTE 5,000,000 5.950%, 06/15/00 ..... A3 5,040 -------- HEALTH SERVICES--0.33% COLUMBIA/HCA HEALTHCARE CORP NOTE 5,000,000 6.500%, 03/15/99 ..... BA2 4,994 TENET HEALTHCARE CORP (SR NOTE) 5,000,000 7.875%, 01/15/03 ..... BA1 5,100 -------- 10,094 -------- HOLDING AND OTHER INVESTMENT OFFICES--0.60% CRESCENT REAL ESTATE NOTE 10,200,000 6.625%, 09/15/02 ..... BAA3 9,617 CRIIMI MAE CMBS CORP SERIES 1998-1 (CLASS A1) 8,692,697 ^ 5.697%, 10/20/01 ..... AAA 8,647 -------- 18,264 -------- See notes to financial statements. 25 BOND MARKET ACCOUNT (CONTINUED) MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- INDUSTRIAL MACHINERY AND EQUIPMENT--1.29% INTERNATIONAL BUSINESS MACHINES CORP NOTE $10,000,000 5.250%, 12/01/03 ..... A1 $ 10,035 11,150,000 6.500%, 01/15/28 ..... A1 11,703 TYCO INTERNATIONAL GROUP NOTE 5,000,000 ^ 5.875%, 11/01/04 ..... BAA1 4,951 U.S. FILTER CORP NOTE 13,000,000 ^ 6.375%, 05/15/01 ..... BA1 12,854 -------- 39,543 -------- INSTRUMENTS AND RELATED PRODUCTS--0.42% RAYTHEON CO NOTE 7,900,000 5.950%, 03/15/01 ..... BAA1 7,969 RAYTHEON CO DEB 5,000,000 6.400%, 12/15/18 ..... BAA1 4,939 -------- 12,908 -------- INSURANCE CARRIERS--0.82% AMERICAN ANNUITY GROUP (GUARANTEE NOTE) 10,000,000 6.875%, 06/01/08 ..... BAA3 9,740 ASSOCIATED P & C HOLDINGS, INC (SR NOTE) 5,000,000 6.750%, 07/15/03 ..... BAA1 5,192 TRANSAMERICA CAPITAL CORP (GUARANTEE NOTE) 5,000,000 ^ 7.800%, 12/01/26 ..... A2 5,488 VESTA INSURANCE GROUP, INC DEB 5,175,000 8.750%, 07/15/25 ..... BA2 4,558 -------- 24,978 -------- MISCELLANEOUS RETAIL--0.42% RITE AID CORP NOTE 8,000,000 ^ 5.500%, 12/15/00 ..... BAA1 7,960 5,000,000 ^ 6.000%, 10/01/03 ..... BAA1 4,994 -------- 12,954 -------- MOTION PICTURES--0.49% WALT DISNEY CO NOTE 5,000,000 5.600%, 01/13/00 ..... A2 5,026 10,000,000 5.250%, 11/10/03 ..... A2 9,921 -------- 14,947 -------- NATIONAL SECURITY AND INTERNATIONAL AFFAIRS--0.35% PROVINCE OF ONTARIO NOTE 10,000,000 7.375%, 01/27/03 ..... AA3 10,768 -------- NONDEPOSITORY INSTITUTIONS--3.70% ARISTAR, INC (SR NOTE) 10,000,000 6.750%, 08/15/01 ..... A3 10,211 ASSOCIATES CORP NA (SR NOTE) 6,000,000 5.750%, 11/01/03 ..... AA3 6,054 AT & T CAPITAL CORP (GUARANTEE NOTE) 3,000,000 7.500%, 11/15/00 ..... BAA3 3,037 AT&T CAPITAL CORP (MEDIUM TERM NOTE) $15,000,000 6.230%, 09/24/99 ..... BAA3 $ 15,115 CHRYSLER FINANCIAL CO (MEDIUM TERM NOTE) 12,000,000 5.250%, 10/19/00 ..... A2 12,002 CIT GROUP, INC (SR NOTE) 5,000,000 5.910%, 11/10/03 ..... AA3 5,048 FORD MOTOR CREDIT CO NOTE 5,000,000 5.125%, 10/15/01 ..... A1 4,966 5,000,000 6.125%, 04/28/03 ..... A1 5,106 GENERAL ELECTRIC CAPITAL CORP NOTE 10,000,000 5.600%, 01/14/00 ..... AAA 10,050 GENERAL MOTORS ACCEPTANCE CORP (SR NOTE) 10,000,000 5.750%, 11/10/03 ..... A2 10,078 HELLER FINANCIAL, INC (SR NOTE) 5,000,000 5.875%, 11/01/00 ..... A3 4,999 HOUSEHOLD FINANCE CORP NOTE 5,000,000 5.875%, 11/01/02 ..... A2 5,024 5,000,000 6.500%, 11/15/08 ..... A2 5,203 MONEY STORE, INC (GUARANTEE NOTE) 10,000,000 8.375%, 04/15/04 ..... A1 11,235 TOYOTA MOTOR CREDIT CORP NOTE 5,000,000 5.625%, 11/13/03 ..... AA1 5,051 -------- 113,179 -------- OIL AND GAS EXTRACTION--0.35% PETROLEUM GEO-SERVICES NOTE 10,460,000 7.500%, 03/31/07 ..... BAA3 10,828 -------- PERSONAL SERVICES--0.93% LOEWEN GROUP, INC NOTE 25,000,000 ^ 6.700%, 10/01/99 ..... BA3 23,369 SERVICE CORP INTERNATIONAL (SR NOTE) 5,000,000 6.300%, 03/15/20 ..... BAA1 5,048 -------- 28,417 -------- PETROLEUM AND COAL PRODUCTS--0.10% VALERO ENERGY CORP NOTE 3,000,000 ^ 6.750%, 12/15/02 ..... BAA2 3,028 -------- PRINTING AND PUBLISHING--0.34% TIME WARNER, INC DEB 5,000,000 7.250%, 10/15/17 ..... BAA3 5,436 5,000,000 6.625%, 05/15/29 ..... BAA3 5,087 -------- 10,523 -------- RAILROAD TRANSPORTATION--0.96% BURLINGTON NORTHERN SANTA FE CORP NOTE 7,050,000 6.375%, 12/15/05 ..... BAA2 7,268 UNION PACIFIC RAILROAD CORP NOTE 3,000,000 6.340%, 11/25/03 ..... BAA3 3,043 12,100,000 6.790%, 11/09/07 ..... BAA3 12,543 UNION PACIFIC RAILROAD CORP DEB 6,229,000 8.500%, 01/15/17 ..... BAA3 6,423 -------- 29,277 -------- See notes to financial statements. 26 BOND MARKET ACCOUNT (CONTINUED) MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- SECURITY AND COMMODITY BROKERS--0.54% MERRILL LYNCH & CO NOTE $ 6,000,000 6.875%, 11/15/18 ..... AA3 $ 6,220 MORGAN STANLEY DEAN WITTER (SR NOTE) 10,000,000 5.890%, 03/20/00 ..... AA3 10,070 -------- 16,290 -------- TOBACCO PRODUCTS--0.64% FORTUNE BRANDS DEB 8,900,000 6.625%, 07/15/28 ..... A2 9,295 PHILIP MORRIS COS, INC NOTE 10,000,000 6.150%, 03/15/00 ..... A2 10,083 -------- 19,378 -------- TRANSPORTATION BY AIR--0.38% DELTA AIRLINES, INC SERIES 1993-A2 (PASS THRU TRUST) 5,000,000 10.500%, 04/30/16 .... BAA1 6,590 NORTHWEST AIRLINES CORP SERIES 1997-1B (PASS THRU CERT) 4,698,876 7.248%, 07/02/14 ..... BAA2 4,902 -------- 11,492 -------- TOTAL CORPORATE BONDS (Cost $820,908) ......... 824,291 -------- GOVERNMENT BONDS--70.22% AGENCY SECURITIES--10.05% FEDERAL HOME LOAN BANK (FHLB) 6,700,000 5.860%, 02/28/01 ..... 6,701 FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 22,000,000 4.750%, 12/14/01 ..... 21,911 3,000,000 7.100%, 04/10/07 ..... 3,340 51,300,000 5.125%, 10/15/08 ..... 50,811 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 52,500,000 5.570%, 03/17/00 ..... 52,853 10,000,000 5.650%, 04/28/00 ..... 10,084 10,000,000 5.970%, 10/02/00 ..... 10,163 3,000,000 8.250%, 12/18/00 ..... 3,180 39,000,000 4.750%, 11/14/03 ..... 38,500 5,000,000 6.850%, 09/12/05 ..... 5,101 5,000,000 6.210%, 11/07/07 ..... 5,284 STUDENT LOAN MARKETING ASSOCATION (SLMA) 62,500,000 * 5.570%, 03/17/00 ..... 62,920 TENNESSEE VALLEY AUTHORITY DEB 25,750,000 5.375%, 11/13/08 ..... 25,818 10,000,000 6.250%, 12/15/17 ..... 10,372 -------- 307,038 -------- FOREIGN GOVERNMENT BONDS--0.73% BRITISH COLUMBIA NOTE 3,000,000 5.375%, 10/29/08 ..... AA2 2,994 CANADA GOVERNMENT 5,000,000 5.250%, 11/05/08 ..... AA1 5,023 ONTARIO PROVINCE 10,000,000 5.500%, 10/01/08 ..... AA3 10,039 QUEBEC PROVINCE 4,000,000 7.125%, 02/09/24 ..... A2 4,368 -------- 22,424 -------- GOVERNMENT BONDS--0.01% NEW YORK CITY TAX LIEN SERIES 1996-1 (COLLECTABLE BOND) 294,652 ^ 6.810%, 05/25/05 ..... AAA 295 -------- VALUE (000) ----- MORTGAGE BACKED SECURITIES--27.85% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) $ 2,107,722 5.500%, 09/01/00 ..... $ 2,103 3,480,072 7.000%, 09/01/10 ..... 3,556 5,292,448 6.000%, 04/01/11 ..... 5,326 14,261,664 7.000%, 07/01/13 ..... 14,570 2,382,620 7.000%, 05/01/23 ..... 2,430 592,543 8.500%, 06/01/27 ..... 620 1,248,556 8.500%, 07/01/27 ..... 1,307 3,901,888 8.500%, 08/01/27 ..... 4,084 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 1,797,149 7.500%, 08/01/01 ..... 1,810 2,967,850 6.000%, 12/01/02 ..... 2,984 10,000,000 5.855%, 12/01/08 ..... 10,062 9,137,000 5.925%, 12/01/08 ..... 9,238 1,280,892 6.000%, 12/01/08 ..... 1,289 12,320,007 6.500%, 05/01/09 ..... 12,503 2,905,275 7.500%, 11/01/10 ..... 2,989 1,963,366 8.000%, 06/01/11 ..... 2,022 527,220 8.000%, 07/01/11 ..... 543 28,094,075 6.500%, 03/01/13 ..... 28,499 35,000,000 @ 6.000%, 02/25/14 ..... 35,044 1,269,116 6.500%, 02/01/16 ..... 1,283 935,179 6.500%, 03/01/16 ..... 945 1,505,310 6.500%, 04/01/16 ..... 1,532 7,491,920 8.000%, 03/01/23 ..... 7,780 15,467,740 @ 8.000%, 07/01/24 ..... 16,023 7,054,451 8.500%, 12/01/24 ..... 7,389 3,158,081 9.000%, 11/01/25 ..... 3,343 32,000,934 8.500%, 02/01/28 ..... 33,511 862,326 8.500%, 08/01/28 ..... 903 14,931,640 6.000%, 10/01/28 ..... 14,738 28,000,000 @ 6.000%, 02/25/29 ..... 27,619 217,000,000 @ 6.500%, 02/25/29 ..... 218,187 60,000,000 @ 7.000%, 02/25/29 ..... 61,153 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 455,012 8.500%, 10/15/09 ..... 475 915,889 8.500%, 12/15/09 ..... 957 3,213,168 9.000%, 12/15/09 ..... 3,428 868,678 8.500%, 01/15/10 ..... 908 152,378 9.000%, 06/15/16 ..... 164 306,193 9.000%, 08/15/16 ..... 329 490,894 9.000%, 09/15/16 ..... 527 119,892 9.000%, 10/15/16 ..... 129 153,579 9.000%, 11/15/16 ..... 165 596,899 9.000%, 12/15/16 ..... 641 2,310,037 9.500%, 12/15/16 ..... 2,482 227,763 9.000%, 07/15/17 ..... 245 178,594 9.000%, 06/15/20 ..... 192 3,164,606 6.875%, 03/20/22 ..... 3,215 5,586,573 6.875%, 02/20/23 ..... 5,673 5,916,155 6.500%, 09/15/23 ..... 5,983 8,636,703 7.000%, 12/20/23 ..... 8,762 3,706,075 6.500%, 01/15/24 ..... 3,747 2,398,966 6.500%, 03/15/24 ..... 2,425 14,988,358 6.500%, 05/15/24 ..... 15,158 2,659,518 8.000%, 06/15/24 ..... 2,766 4,800,391 6.500%, 09/15/24 ..... 4,853 13,095,299 7.000%, 04/15/28 ..... 13,405 1,238,000 7.500%, 06/15/28 ..... 1,278 28,733,247 7.000%, 07/15/28 ..... 29,414 1,152,025 7.500%, 07/15/28 ..... 1,189 3,084,387 7.500%, 08/15/28 ..... 3,180 20,039,325 7.500%, 09/15/28 ..... 20,662 See notes to financial statements. 27 BOND MARKET ACCOUNT (CONTINUED) MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- MORTGAGE-BACKED SECURITIES--(CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) $104,225,318 7.000%, 10/15/28 ..... $ 106,693 3,029,189 7.500%, 10/15/28 ..... 3,123 9,986,172 7.500%, 11/15/28 ..... 10,296 52,520,000 6.500%, 12/15/28 ..... 53,067 10,000,000 @ 7.000%, 02/25/29 ..... 10,219 -------- 851,135 -------- OTHER MORTGAGE BACKED SECURITIES--0.17% EASTVIEW CREDIT CORP (CLASS A) (COMMERCIAL MTGE PASS THRU) 5,000,000 6.950%, 06/15/04 ..... N/R 5,136 -------- U.S. TREASURY SECURITIES--31.41% U.S. TREASURY BOND 36,500,000 10.750%, 05/15/03 .... 45,043 40,000,000 11.875%, 11/15/03 .... 52,206 13,000,000 10.375%, 11/15/09 .... 16,603 52,500,000 14.000%, 11/15/11 .... 83,172 63,030,000 12.000%, 08/15/13 .... 96,229 65,170,000 7.500%, 11/15/16 .... 80,954 88,500,000 8.125%, 05/15/21 .... 119,392 26,150,000 8.000%, 11/15/21 .... 34,963 12,400,000 6.375%, 08/15/27 .... 14,252 11,800,000 5.500%, 08/15/28 .... 12,351 U.S. TREASURY NOTE 84,000,000 5.750%, 11/15/00 .... 85,627 46,450,000 5.375%, 02/15/01 .... 47,161 25,000,000 6.625%, 06/30/01 .... 26,152 9,500,000 6.250%, 06/30/02 .... 9,972 27,000,000 5.750%, 10/31/02 .... 27,970 20,000,000 5.250%, 08/15/03 .... 20,509 6,000,000 5.750%, 08/15/03 .... 6,265 70,000,000 4.250%, 11/15/03 .... 69,103 5,000,000 7.875%, 11/15/04 .... 5,793 17,500,000 6.500%, 05/15/05 .... 19,179 5,000,000 5.875%, 11/15/05 .... 5,334 55,550,000 4.750%, 11/15/08 .... 55,984 19,000,000 8.125%, 08/15/21 .... 25,674 -------- 959,888 -------- TOTAL GOVERNMENT BONDS (Cost $2,130,291) ...... 2,145,916 --------- TOTAL BONDS (Cost $2,951,199) ....... 2,970,207 --------- SHARES ------ PREFERRED STOCK--0.26% HOLDING AND OTHER INVESTMENT OFFICES--0.26% 160,000 DUKE REALTY INVESTMENTS, INC 7,855 -------- TOTAL PREFERRED STOCK (Cost $8,000) ........... 7,855 -------- PRINCIPAL --------- SHORT TERM INVESTMENTS--33.19% INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED--18.08% CERTIFICATES OF DEPOSIT BARCLAYS BANK PLC $23,000,000 4.940%, 06/02/99 ..... 23,097 DEUTSCHE BANK AG. 25,000,000 5.410%, 08/16/99 ..... 25,049 VALUE PRINCIPAL (000) --------- ----- SOCIETE GENERALE $10,000,000 5.510%, 05/07/99 ..... $ 10,036 25,000,000 5.480%, 05/20/99 ..... 25,036 COMMERCIAL PAPER PARK AVENUE RECEIVABLES 25,000,000 0.000%, 01/28/99 ..... 24,902 MEDIUM TERM NOTE CREDIT SUISSE-FIRST BOSTON 25,000,000 4.650%, 07/09/99 ..... 25,341 REPURCHASE AGREEMENTS JP MORGAN SECURITIES 5.100%, DATED 12/31/98, DUE 01/04/99 (FULLY COLLATERALIZED BY $87,108,376, GOVERNMENT NATIONAL MORTGAGE ASSOCIATION, DUE 01/15/07-11/15/28, 20,000,000 6.500%-9.500%, VALUE $20,499) .... 20,003 JP MORGAN SECURITIES 5.520%, DATED 12/31/98, DUE 01/04/99 (FULLY COLLATERALIZED BY $426,854,308 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION, DUE 02/15/15-01/15/28, 70,000,000 9.000%, VALUE $71,400) ........... 70,040 LEHMAN BROTHERS, INC 5.100%, DATED 12/31/98, DUE 01/04/99, (FULLY COLLATERALIZED BY $168,759,859 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION, DUE 7/20/24-07/20/27, 80,115,000 6.500%-7.000%, VALUE $80,115) .... 80,126 SALOMON SMITH BARNEY 5.000%, DATED 12/31/98, DUE 01/04/99, (FULLY COLLATERALIZED BY $38,678,034 U.S. TREASURY NOTES, DUE 05/31/99-11/15/04, 40,000,000 5.375%-7.875%, VALUE $40,712) .... 40,005 TIME DEPOSITS BANK OF MONTREAL 25,000,000 5.160%, 01/29/99 ................. 25,232 BANK OF NOVA SCOTIA TORONTO 24,060,000 5.630%, 02/01/99 ................. 24,064 CANADIAN IMPERIAL BANK OF COMMERCE 25,000,000 5.160%, 01/29/99 ................. 25,232 TORONTO DOMINION LONDON 13,414,000 8.000%, 01/04/99 ................. 13,417 VARIABLE RATE NOTES BANKERS TRUST CO 40,000,000 4.980%, 09/14/99 ................. 39,992 MERRILL LYNCH & CO 40,000,000 4.990%, 10/14/99 ................. 40,348 NATIONSBANK OF NC, NA 40,000,000 5.030%, 04/22/99 ................. 40,407 -------- 552,327 -------- COMMERCIAL PAPER--15.11% AIRTOUCH COMMUNICATIONS, INC 24,000,000 * 6.075%, 01/14/99 ................. 23,951 ARIZONA PUBLIC SERVICE CO 9,085,000 6.500%, 01/05/99 ................. 9,078 25,000,000 * 6.200%, 01/14/99 ................. 24,949 COX COMMUNICATIONS, INC 25,000,000 *~ 5.860%, 01/11/99 ................. 24,960 CROWN CORK & SEAL CO, INC 35,000,000 *~ 6.200%, 01/11/99 ................. 34,944 15,000,000 * 5.900%, 01/13/99 ................. 14,972 CSX CORP See notes to financial statements. 28 BOND MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- ----- COMMERCIAL PAPER--(CONTINUED) $10,000,000 *~ 6.120%, 01/06/99 ................. $ 9,991 15,000,000 *~ 6.180%, 01/13/99 ................. 14,972 CVS CORP 15,000,000 *~ 6.040%, 01/06/99 ................. 14,987 15,500,000 *~ 6.250%, 01/14/99 ................. 15,469 EL PASO NATURAL GAS CO 20,000,000 * 5.750%, 01/08/99 ................. 19,977 20,500,000 * 5.700%, 01/11/99 ................. 20,467 HOUSTON INDUSTRIES FINANCE CO LP 1,090,000 ~ 5.500%, 01/04/99 ................. 1,089 MCI WORLDCOM, INC 9,000,000 *^~5.800%, 01/14/99 ................. 8,982 OCCIDENTAL PETROLEUM CORP 20,000,000 *~ 5.850%, 01/08/99 ................. 19,977 PRAXAIR, INC 5,000,000 5.550%, 01/04/99 ................. 4,997 SAFEWAY, INC 35,000,000 *~ 5.850%, 01/11/99 ................. 34,944 SONAT, INC 13,458,000 * 5.800%, 01/14/99 ................. 13,431 TEXAS UTILITIES CO 50,000,000 *~ 5.850%, 01/14/99 ................. 49,899 TEXTRON, INC 28,000,000 * 5.800%, 01/08/99 ................. 27,968 21,865,000 * 6.130%, 01/11/99 ................. 21,830 VOLVO GROUP TREASURY NA, INC 15,000,000 ~ 5.600%, 01/04/99 ................. 14,991 35,000,000 ~ 6.100%, 01/04/99 ................. 34,979 -------- 461,804 -------- TOTAL SHORT TERM INVESTMENTS (Cost $1,014,108) ................... 1,014,131 ---------- TOTAL PORTFOLIO (Cost $3,973,307) .................. $3,992,193 ========== - ------------------------ ~ Commercial Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. ^ Security is exempt from registration under Rule 144A of the Securities Act of 1933 and may be resold in transactions exempt from registration normally to qualified institutional buyers. At December 31, 1998, the value of these securities amounted to $117,702,127 or 3.85% of net assets. * All or a portion of this security has been segregated by the Custodian to cover securities purchased on a delayed delivery basis. @ These securities were purchased on a delayed delivery basis. - ------------------------ OTHER INFORMATION The composition of long-term debt holdings as a percentage of total value of investment in debt securities, is as follows: MOODY'S RATINGS AAA, AA, A 16.42% BAA 9.39% BA 2.71% The percentage not rated by Moody's amounts to 0.17%. U.S. Government obligations represent 71.31% of the long term debt portfolio value and are not reflected in the above ratings. Moody's ratings are provided by Moody's Investors Services and are not audited. See notes to financial statements. 29 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT DECEMBER 31, 1998 SUMMARY BY INDUSTRY (000) VALUE % -------- ----- BONDS CORPORATE BONDS ASSET BACKED ............................ $ 46,831 1.40% CHEMICALS AND ALLIED PRODUCTS ........... 5,213 0.16 COMMUNICATIONS .......................... 43,208 1.29 DEPOSITORY INSTITUTIONS ................. 29,826 0.89 EATING AND DRINKING PLACES .............. 20,358 0.61 ELECTRIC, GAS, AND SANITARY SERVICES .... 30,362 0.91 FOOD AND KINDRED PRODUCTS ............... 15,463 0.46 FOOD STORES ............................. 12,093 0.36 GENERAL MERCHANDISE STORES .............. 26,158 0.78 HEALTH SERVICES ......................... 3,060 0.09 INDUSTRIAL MACHINERY AND EQUIPMENT ...... 20,122 0.60 INSTRUMENTS AND RELATED PRODUCTS ........ 20,620 0.62 INSURANCE CARRIERS ...................... 19,645 0.59 MOTION PICTURES ......................... 23,744 0.71 NONDEPOSITORY INSTITUTIONS .............. 20,087 0.60 PETROLEUM AND COAL PRODUCTS ............. 5,055 0.15 PRINTING AND PUBLISHING ................. 7,122 0.21 SECURITY AND COMMODITY BROKERS .......... 12,186 0.37 TRANSPORTATION BY AIR ................... 14,161 0.43 --------- ----- TOTAL CORPORATE BONDS (Cost $370,672) 375,314 11.23 --------- ----- GOVERNMENT BONDS AGENCY SECURITIES ....................... 129,363 3.87 FOREIGN GOVERNMENT BONDS ................ 5,541 0.16 MORTGAGE BACKED SECURITIES .............. 372,138 11.13 U.S. TREASURY SECURITIES ................ 389,091 11.64 --------- ----- TOTAL GOVERNMENT BONDS (Cost $880,172) ......................... 896,133 26.80 --------- ----- TOTAL BONDS (COST $1,250,844) ....................... 1,271,447 38.03 --------- ----- COMMON STOCK APPAREL AND ACCESSORY STORES ............ 7,602 0.23 APPAREL AND OTHER TEXTILE PRODUCTS ...... 1,230 0.04 AUTO REPAIR, SERVICES AND PARKING ....... 88 0.00 BUILDING MATERIALS AND GARDEN SUPPLIES .. 23,869 0.71 BUSINESS SERVICES ....................... 124,587 3.73 CHEMICALS AND ALLIED PRODUCTS ........... 276,191 8.26 COMMUNICATIONS .......................... 232,820 6.96 DEPOSITORY INSTITUTIONS ................. 172,956 5.17 EATING AND DRINKING PLACES .............. 19,992 0.60 ELECTRIC, GAS, AND SANITARY SERVICES .... 106,313 3.18 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT . 68,151 2.04 ENGINEERING AND MANAGEMENT SERVICES ..... 1,865 0.06 FABRICATED METAL PRODUCTS ............... 57 0.00 FOOD AND KINDRED PRODUCTS ............... 140,198 4.19 FOOD STORES ............................. 13,591 0.41 FURNITURE AND HOMEFURNISHINGS STORES .... 807 0.02 GENERAL BUILDING CONTRACTORS ............ 1,627 0.05 GENERAL MERCHANDISE STORES .............. 61,102 1.83 HEALTH SERVICES ......................... 9,072 0.27 HOLDING AND OTHER INVESTMENT OFFICES .... 5,342 0.16 INDUSTRIAL MACHINERY AND EQUIPMENT ...... 216,815 6.49 INSTRUMENTS AND RELATED PRODUCTS ........ 54,272 1.62 INSURANCE AGENTS, BROKERS AND SERVICE ... 7,949 0.24 INSURANCE CARRIERS ...................... 122,763 3.67 MISCELLANEOUS MANUFACTURING INDUSTRIES .. 5,061 0.15 MISCELLANEOUS RETAIL .................... 13,545 0.41 MOTION PICTURES ......................... 17,845 0.53 NONDEPOSITORY INSTITUTIONS .............. 88,521 2.65 OIL AND GAS EXTRACTION .................. 45,866 1.37 PAPER AND ALLIED PRODUCTS ............... 26,959 0.81 PERSONAL SERVICES ....................... 4,765 0.14 PETROLEUM AND COAL PRODUCTS ............. 12,055 0.36 PRIMARY METAL INDUSTRIES ................ 5,246 0.16 PRINTING AND PUBLISHING ................. 47,991 1.44 RAILROAD TRANSPORTATION ................. 13,347 0.40 REAL ESTATE ............................. 567 0.02 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ....................... 15,520 0.46 SECURITY AND COMMODITY BROKERS .......... 25,007 0.75 STONE, CLAY, AND GLASS PRODUCTS ......... 3,882 0.12 TRANSPORTATION BY AIR ................... 9,522 0.28 TRANSPORTATION EQUIPMENT ................ 6,106 0.18 TRUCKING AND WAREHOUSING ................ 1,093 0.03 WHOLESALE TRADE-DURABLE GOODS ........... 11,083 0.33 WHOLESALE TRADE-NONDURABLE GOODS ........ 17,930 0.54 --------- ----- TOTAL COMMON STOCK (Cost $1,052,125) ....................... 2,041,170 61.06 --------- ----- SHORT TERM INVESTMENTS INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED ..................... 192,646 5.76 COMMERCIAL PAPER ....................... 186,897 5.59 --------- ----- TOTAL SHORT TERM INVESTMENTS (Cost $379,529) ......................... 379,543 11.35 --------- ----- TOTAL PORTFOLIO (Cost $2,682,498) ....................... 3,692,160 110.44 OTHER ASSETS & LIABILITIES, NET ........ (349,153) (10.44) ---------- ------ NET ASSETS $3,343,007 100.00% ========== ====== See notes to financial statements. 30 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT DECEMBER 31, 1998 MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- BONDS--38.03% CORPORATE BONDS--11.23% ASSET BACKED--1.40% AMERICAN EXPRESS MASTER TRUST SERIES 1994-2 (CLASS A) $3,125,000 7.600%, 08/15/02 ..... AAA $ 3,286 CHASE CREDIT CARD MASTER TRUST SERIES 1997-2 (CLASS B) 8,000,000 6.450%, 04/15/03 ..... A2 8,127 CITIBANK CREDIT CARD MASTER TRUST SERIES 1997-2 (CLASS B) 3,000,000 6.700%, 02/15/04 ..... A1 3,058 FLEETWOOD CREDIT GRANTOR TRUST SERIES 1993-B (CLASS A) 2,159,855 4.950%, 08/15/08 ..... AAA 2,120 FIRST U.S.A. CREDIT CARD MASTER TRUST SERIES 1998-9 (CLASS A) 4,000,000 5.280%, 09/18/06 ..... AAA 3,971 NATIONSCREDIT GRANTOR TRUST SERIES 1997-2 (CLASS A1) 3,484,865 6.350%, 04/15/14 ..... AAA 3,556 NATIONSBANK CREDIT CARD MASTER TRUST SERIES 1993-2 (CLASS B) 7,000,000 * 6.250%, 12/15/05 ..... A2 7,079 STANDARD CREDIT CARD MASTER TRUST SERIES 1991-6 (CLASS B) 2,570,000 8.350%, 01/07/00 ..... A2 2,570 UCFC HOME EQUITY LOAN SERIES 1998-A (CLASS A3) 7,500,000 6.255%, 01/15/18 ..... AAA 7,512 UCFCM SERIES 1997-2 (CLASS B1) (SUB DEB) 6,000,000 7.370%, 02/15/18 ..... BAA2 5,552 -------- 46,831 -------- CHEMICALS AND ALLIED PRODUCTS--0.16% MERCK & CO, INC (MEDUIM TERM NOTE) 5,000,000 5.760%, 05/03/37 ..... AAA 5,213 -------- COMMUNICATIONS--1.29% AMERITECH CAPITAL FUNDING CORP (GUARANTEE NOTE) 7,000,000 5.650%, 01/15/01 ..... AA3 7,068 BELLSOUTH TELECOMMUNICATIONS NOTE 8,000,000 6.000%, 06/15/02 ..... AAA 8,210 COX COMMUNICIATIONS, INC (CLASS A) NOTE 3,500,000 8.700%, 06/15/99 ..... BAA2 3,551 COX ENTERPRISES SERIES 1997-1 (PASS THRU CERT) 5,000,000 ^ 6.250%, 08/26/99 ..... BAA1 5,028 NEW YORK TELEPHONE CO DEB 3,000,000 7.250%, 02/15/24 ..... A2 3,212 7,000,000 9.375%, 07/15/31 ..... A2 7,998 VIACOM INTERNATIONAL, INC (SUB DEB) $ 205,000 8.000%, 07/07/06 ..... BA2 $ 214 MCI WORLDCOM, INC (SR NOTE) 7,651,000 9.375%, 01/15/04 ..... BAA2 7,927 -------- 43,208 -------- DEPOSITORY INSTITUTIONS--0.89% CAPITAL ONE BANK (SR NOTE) 10,000,000 6.260%, 05/07/01 ..... BAA3 9,880 FIRST UNION CORP (SUB NOTE) 10,000,000 6.300%, 04/15/08 ..... A2 10,427 MBNA CORP (SR NOTE) 4,030,000 6.500%, 09/15/00 ..... BAA2 4,040 WACH0VIA CAPITAL TRUST DEB 5,000,000 ^ 7.965%, 06/01/27 ..... AA3 5,479 -------- 29,826 -------- EATING AND DRINKING PLACES--0.61% MCDONALD'S CORP NOTE 13,000,000 5.900%, 05/11/01 ..... AA2 13,203 7,000,000 6.000%, 06/23/02 ..... AA2 7,155 -------- 20,358 -------- ELECTRIC, GAS, AND SANITARY SERVICES--0.91% EL PASO NATURAL GAS CO NOTE 5,000,000 6.750%, 11/15/03 ..... BAA2 5,167 IDAHO POWER CO (FIRST MORTGAGE BOND) 9,000,000 8.650%, 01/01/00 ..... A2 9,277 PACIFICORP (FIRST MORTGAGE BOND) 5,000,000 5.650%, 11/01/06 ..... A2 5,007 PUGET SOUND POWER & LIGHT CO (MEDIUM TERM NOTE) 5,000,000 8.060%, 06/19/06 ..... BAA1 5,677 SONAT, INC NOTE 5,000,000 6.750%, 10/01/07 ..... A3 5,234 -------- 30,362 -------- FOOD AND KINDRED PRODUCTS--0.46% COCA COLA (PUTABLE ASSET TRUST) 10,000,000 ^ 6.000%, 03/15/01 ..... A3 10,163 HEINZ (H.J.) CO DEB 5,000,000 6.375%, 07/15/28 ..... A1 5,300 -------- 15,463 -------- FOOD STORES--0.36% KROGER CO (NOTE) 2,000,000 10.000%, 05/01/99 .... BA2 2,027 10,000,000 6.000%, 07/01/00 .... BAA3 10,066 -------- 12,093 -------- GENERAL MERCHANDISE STORES--0.78% DILLARDS, INC NOTE 5,000,000 5.790%, 11/15/01 ..... BAA1 4,958 See notes to financial statements. 31 SOCIAL CHOICE ACCOUNT (CONTINUED) MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- GENERAL MERCHANDISE STORES -- (CONTINUED) SEARS ROEBUCK ACCEPTANCE CORP (MEDIUM TERM NOTE) $5,000,000 6.990%, 09/30/02 ..... A2 $ 5,219 WAL-MART STORES, INC NOTE 10,000,000 5.850%, 06/01/00 ..... AA2 10,066 5,500,000 8.625%, 04/01/01 ..... AA2 5,915 -------- 26,158 -------- HEALTH SERVICES--0.09% TENET HEALTHCARE CORP (SR NOTE) 3,000,000 7.875%, 01/15/03 ..... BA1 3,060 -------- INDUSTRIAL MACHINERY AND EQUIPMENT--0.60% INTERNATIONAL BUSINESS MACHINES CORP 10,000,000 5.250%, 12/01/03 ..... A1 10,035 INTERNATIONAL BUSINESS MACHINES CREDIT CORP (SR NOTE) 10,000,000 5.790%, 03/20/00 ..... A1 10,087 -------- 20,122 -------- INSTRUMENTS AND RELATED PRODUCTS--0.62% BECTON DICKINSON & CO DEB 10,000,000 6.700%, 08/01/28 ..... A1 10,614 XEROX CORP NOTE 10,000,000 5.500%, 11/15/03 ..... A2 10,006 -------- 20,620 -------- INSURANCE CARRIERS--0.59% AMERICAN GENERAL FINANCE (SR NOTE) 10,000,000 5.750%, 11/01/03 ..... A 10,027 CITIGROUP CAPITAL DEB 2,000,000 7.750%, 12/01/36 ..... AA3 2,186 USF&G CORP (SR NOTE) 7,000,000 8.375%, 06/15/01 ..... A2 7,432 -------- 19,645 -------- MOTION PICTURES--0.71% WALT DISNEY CO NOTE 10,000,000 5.600%, 01/13/00 ..... A2 10,051 5,000,000 5.250%, 11/10/03 ..... A2 4,960 TIME WARNER ENTERTAINMENT DEB 6,500,000 10.150%, 05/01/12 .... BAA2 8,733 -------- 23,744 -------- NONDEPOSITORY INSTITUTIONS--0.60% ASSOCIATES CORP NA (SR NOTE) 5,000,000 5.750%, 11/01/03 ..... AA3 5,045 CAPITAL ONE FINANCIAL CORP NOTE 5,000,000 7.125%, 08/01/08 ..... BA1 4,957 FINOVA CAPITAL CORP NOTE 10,000,000 6.375%, 05/15/05 ..... BAA1 10,085 -------- 20,087 -------- PETROLEUM AND COAL PRODUCTS--0.15% EQUISTAR CHEMICALS NOTE 5,000,000 10.000%, 06/01/99 .... BAA3 5,055 -------- PRINTING AND PUBLISHING--0.21% TIME WARNER, INC (GUARANTEE NOTE) $ 7,000,000 6.625%, 05/15/29 ..... BAA3 $ 7,122 -------- SECURITY AND COMMODITY BROKERS--0.37% MORGAN STANLEY DEAN WITTER (SR NOTE) 7,000,000 6.090%, 03/09/11 ..... A1 7,093 SALOMON SMITH BARNEY HOLDINGS NOTE 5,000,000 6.375%, 10/01/04 ..... AA3 5,093 -------- 12,186 -------- TRANSPORTATION BY AIR--0.43% 2,379,889 DELTA AIRLINES, INC SERIES 1992-B1 (PASS THRU CERT) 8.270%, 09/23/07 ..... BAA1 2,554 DELTA AIRLINES, INC DEB 4,906,888 8.950%, 01/12/12 ..... BAA1 5,543 UNITED AIR LINES, INC DEB 4,975,000 9.750%, 08/15/21 ..... BAA3 6,064 -------- 14,161 -------- TOTAL CORPORATE BONDS (Cost $370,672) ......... 375,314 -------- GOVERNMENT BONDS--26.80% AGENCY SECURITIES--3.87% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 8,000,000 4.750%, 12/14/01 ..... 7,968 5,000,000 7.090%, 11/24/06 ..... 5,065 25,500,000 5.125%, 10/15/08 ..... 25,257 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 11,000,000 5.570%, 03/17/00 ..... 11,074 4,585,000 5.970%, 10/02/00 ..... 4,660 1,000,000 8.250%, 12/18/00 ..... 1,060 18,500,000 4.750%, 11/14/03 ..... 18,263 1,000,000 7.400%, 07/01/04 ..... 1,102 9,000,000 7.875%, 02/24/05 ..... 10,211 8,000,000 5.800%, 02/22/06 ..... 8,211 5,000,000 6.210%, 11/07/07 ..... 5,284 STUDENT LOAN MARKETING ASSOCIATION (SLMA) 31,000,000 * 5.570%, 03/17/00 ..... 31,208 -------- 129,363 -------- FOREIGN GOVERNMENT BONDS--0.16% ONTARIO PROVINCE 5,000,000 7.625%, 06/22/04 ..... AA3 5,541 -------- MORTGAGE BACKED SECURITIES--11.13% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 576,818 6.000%, 10/15/10 ..... 576 3,582,333 6.000%, 03/01/11 ..... 3,605 953,612 7.000%, 05/01/23 ..... 973 234,626 8.500%, 05/01/27 ..... 246 767,873 8.500%, 07/01/27 ..... 804 3,514,013 8.500%, 08/01/27 ..... 3,678 See notes to financial statements. 32 SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- ----- MORTGAGE-BACKED SECURITIES--(CONTINUED) FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) $ 2,967,850 6.000%, 12/01/02 ................. $ 2,984 348,168 8.500%, 02/01/05 ................. 357 10,000,000 5.855%, 12/01/08 ................. 10,062 1,182,484 7.500%, 06/01/11 ................. 1,216 875,573 8.000%, 06/01/11 ................. 901 1,054,437 8.000%, 07/01/11 ................. 1,086 196,425 7.500%, 08/01/11 ................. 202 479,402 7.500%, 09/01/11 ................. 493 1,055,175 7.500%, 10/01/11 ................. 1,085 7,726,817 7.000%, 04/01/12 ................. 7,894 4,773,125 6.500%, 09/01/12 ................. 4,842 13,749,986 6.500%, 03/01/13 ................. 13,948 10,000,000 @ 6.000%, 02/25/14 ................. 10,013 202,132 8.500%, 11/01/14 ................. 212 2,054,722 8.000%, 03/01/23 ................. 2,134 4,279,409 @ 8.000%, 07/01/24 ................. 4,433 219,183 8.500%, 07/01/26 ................. 230 391,306 8.500%, 07/01/27 ................. 410 2,219,832 8.500%, 11/01/27 ................. 2,325 488,847 8.500%, 01/01/28 ................. 512 11,401,392 8.500%, 02/01/28 ................. 11,939 475,372 8.500%, 06/01/28 ................. 498 885,565 8.500%, 08/01/28 ................. 927 456,210 8.500%, 09/01/28 ................. 478 4,977,213 6.000%, 10/01/28 ................. 4,913 13,000,000 @ 6.000%, 02/25/29 ................. 12,823 87,500,000 @ 6.500%, 02/25/29 ................. 87,979 45,000,000 @ 7.000%, 02/25/29 ................. 45,865 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 544,755 8.500%, 09/15/09 ................. 569 451,959 8.500%, 10/15/09 ................. 472 315,489 8.500%, 12/15/09 ................. 330 3,106,715 9.000%, 12/15/09 ................. 3,314 2,730,902 9.000%, 12/15/17 ................. 2,933 186,368 9.000%, 03/15/20 ................. 200 183,776 9.000%, 08/15/20 ................. 198 3,164,606 6.875%, 03/20/22 ................. 3,215 2,616,976 8.000%, 06/15/22 ................. 2,727 3,308,266 6.625%, 07/20/22 ................. 3,362 3,293,188 7.000%, 10/20/22 ................. 3,344 3,008,157 6.875%, 02/20/23 ................. 3,055 3,052,284 6.625%, 07/20/23 ................. 3,091 876,907 6.500%, 08/15/23 ................. 887 526,851 6.500%, 09/15/23 ................. 533 4,450,547 7.000%, 12/20/23 ................. 4,515 2,547,556 6.875%, 05/20/24 ................. 2,588 3,627,000 6.500%, 04/20/27 ................. 3,670 4,581,638 7.000%, 04/15/28 ................. 4,690 3,241,769 7.000%, 05/15/28 ................. 3,319 9,654,092 7.500%, 08/15/28 ................. 9,963 17,838,337 7.500%, 09/15/28 ................. 18,393 29,905,791 7.000%, 10/15/28 ................. 30,614 25,250,000 6.500%, 12/15/28 ................. 25,513 -------- 372,138 -------- U.S. TREASURY SECURITIES--11.64% U.S. TREASURY BOND 8,300,000 11.875%, 11/15/03 ................ 10,833 8,100,000 14.000%, 11/15/11 ................ 12,832 20,000,000 12.000%, 08/15/13 ................ 30,534 39,000,000 7.500%, 11/15/16 ................. 48,445 32,600,000 8.125%, 08/15/19 ................. 43,536 14,100,000 8.125%, 05/15/21 ................. 19,022 26,400,000 8.000%, 11/15/21 ................. 35,298 11,600,000 6.375%, 08/15/27 ................. 13,333 U.S. TREASURY NOTE 15,000,000 5.375%, 02/15/01 ................. 15,230 20,000,000 5.625%, 02/28/01 ................. 20,400 6,000,000 6.625%, 06/30/01 ................. 6,277 12,000,000 7.500%, 11/15/01 ................. 12,904 11,700,000 6.250%, 08/31/02 ................. 12,298 35,500,000 5.750%, 10/31/02 ................. 36,776 34,500,000 4.250%, 11/15/03 ................. 34,058 10,000,000 6.500%, 05/15/05 ................. 10,959 10,800,000 7.000%, 07/15/06 ................. 12,297 13,950,000 4.750%, 11/15/08 ................. 14,059 -------- 389,091 -------- TOTAL GOVERNMENT BONDS (Cost $880,172) .................... 896,133 -------- TOTAL BONDS (Cost $1,250,844) ................... 1,271,447 --------- SHARES COMMON STOCK--61.06% APPAREL AND ACCESSORY STORES--0.23% 10,753(degree)ABERCROMBIE & FITCH CO (CLASS A) .. 761 121,620 GAP, INC ........................... 6,841 -------- 7,602 -------- APPAREL AND OTHER TEXTILE PRODUCTS--0.04% 15,800 LIZ CLAIBORNE, INC ................. 499 15,600 VF CORP ............................ 731 -------- 1,230 -------- AUTO REPAIR, SERVICES AND PARKING--0.00% 3,400 RYDER SYSTEM, INC .................. 88 -------- BUILDING MATERIALS AND GARDEN SUPPLIES--0.71% 390,100 HOME DEPOT, INC .................... 23,869 -------- BUSINESS SERVICES--3.73% 163,900 AUTOMATIC DATA PROCESSING, INC ..... 13,143 120,025 COMPUTER ASSOCIATES INTERNATIONAL, INC ................ 5,116 7,840(degree)IMATION CORP ...................... 137 98,700 IMS HEALTH, INC .................... 7,446 562,700(degree)MICROSOFT CORP .................... 78,039 38,566 NIELSEN MEDIA RESEARCH ............. 694 82,200(degree)NOVELL, INC ....................... 1,490 214,862(degree)ORACLE CORP ....................... 9,266 108,100(degree)SUN MICROSYSTEMS, INC ............. 9,256 -------- 124,587 -------- CHEMICALS AND ALLIED PRODUCTS--8.26% 189,200 AIR PRODUCTS & CHEMICALS, INC ...... 7,568 2,235(degree)ALLERGAN SPECIALTY THERAPEUTICS, INC (CLASS A) ....... 21 65,100 ALLERGAN, INC ...................... 4,215 57,200(degree)ALZA CORP ......................... 2,989 6,680(degree)ALZA CORP WTS 12/31/99 ............ 4 108,700(degree)AMGEN, INC ........................ 11,366 137,200 AVON PRODUCTS, INC ................. 6,071 See notes to financial statements. 33 SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE SHARES (000) - ------ ----- CHEMICALS AND ALLIED PRODUCTS--(CONTINUED) 40,300 CABOT CORP ......................... $ 1,126 113,700 CLOROX CO .......................... 13,282 147,800 COLGATE PALMOLIVE CO ............... 13,727 2,405(degree)CRESCENDO PHARMACEUTICALS CORP .... 33 49,200(degree)FOREST LABORATORIES, INC .......... 2,617 18,969 FULLER (H.B.) CO ................... 913 36,800(degree)GENZYME CORP (GENERAL DIVISION) ... 1,831 3,588(degree)GENZYME CORP (TISSUE REPAIR DIVISION) 8 104,976(degree)GENZYME-MOLECULAR ONCOLOGY ........ 341 45,750 HANNA (M.A.) CO .................... 563 62,500 INTERNATIONAL FLAVORS & FRAGRANCES, INC ................... 2,762 23,400(degree)IVAX CORP ......................... 291 524,600 JOHNSON & JOHNSON CO ............... 44,001 88,200 LYONDELL CHEMICAL CO ............... 1,588 54,500 MALLINCKRODT, INC .................. 1,679 400,400 MERCK & CO, INC .................... 59,134 58,200 MYLAN LABORATORIES, INC ............ 1,833 70,700 NALCO CHEMICAL CORP ................ 2,192 9,000 NCH CORP ........................... 536 148,600 PRAXAIR, INC ....................... 5,238 553,000 PROCTER & GAMBLE CO ................ 50,496 629,200 SCHERING-PLOUGH CORP ............... 34,763 80,462 SCHULMAN (A.), INC ................. 1,825 108,200 SIGMA ALDRICH CORP ................. 3,178 -------- 276,191 -------- COMMUNICATIONS--6.96% 124,882(degree)AIRTOUCH COMMUNICATIONS, INC ...... 9,007 82,750(degree)ALCATEL S.A. ADR .................. 2,022 325,400 AMERITECH CORP ..................... 20,622 431,500 AT & T CORP ........................ 32,470 497,164 BELL ATLANTIC CORP ................. 26,350 670,000 BELLSOUTH CORP ..................... 33,416 6,300 COMCAST CORP (CLASS A) ............. 362 73,250 COMCAST CORP (CLASS A) SPECIAL ..... 4,299 55,745(degree)COX COMMUNICATIONS, INC (CLASS A) . 3,853 61,368(degree)LIBERTY MEDIA GROUP (CLASS A) ..... 2,827 376,942(degree)MCI WORLDCOM, INC ................. 27,046 161,144(degree)MEDIA ONE GROUP, INC .............. 7,574 524,878 SBC COMMUNICATIONS, INC ............ 28,147 95,500 SPRINT CORP (FON GROUP) ............ 8,034 47,750(degree)SPRINT CORP (PCS GROUP) ........... 1,104 120,794 (degree)TELE-COMMUNICATIONS, INC (CLASS A) 6,681 106,812 (degree)TELECOM-TCI VENTURES GROUP (CLASS A) ......................... 2,517 166,444 U.S. WEST, INC ..................... 10,756 76,931(degree)VIACOM, INC (CLASS B) ............. 5,693 3,523(degree)VIACOM, INC (CLASS B) WTS 07/07/99 40 -------- 232,820 -------- DEPOSITORY INSTITUTIONS--5.17% 204,486 BANK OF NEW YORK CO, INC ........... 8,231 323,767 BANK ONE CORP ...................... 16,532 544,448 BANKAMERICA CORP ................... 32,735 13,600 BANKERS TRUST CORP ................. 1,162 251,476 CHASE MANHATTAN CORP ............... 17,116 320,485 FIRST UNION CORP ................... 19,489 143,134 FLEET FINANCIAL GROUP, INC ......... 6,396 37,700 KEYCORP ............................ 1,206 245,925 MBNA CORP .......................... 6,133 77,500 MORGAN (J.P.) & CO, INC ............ 8,142 83,100 NATIONAL CITY CORP ................. 6,025 104,600 PNC BANK CORP ...................... 5,661 99,000 SUNTRUST BANKS, INC ................ 7,574 203,562 U.S. BANCORP ....................... 7,226 60,900 WACHOVIA CORP ...................... 5,325 135,516 WASHINGTON MUTUAL, INC ............. 5,175 471,440 WELLS FARGO CO ..................... 18,828 -------- 172,956 -------- EATING AND DRINKING PLACES--0.60% 102,200 DARDEN RESTAURANTS, INC ............ 1,840 236,900 MCDONALD'S CORP .................... 18,152 -------- 19,992 -------- ELECTRIC, GAS, AND SANITARY SERVICES--3.18% 142,494 COLUMBIA ENERGY GROUP .............. 8,229 229,100 CONSOLIDATED NATURAL GAS CO ........ 12,371 107,900 EL PASO ENERGY CORP ................ 3,756 87,093 EQUITABLE RESOURCES, INC ........... 2,537 43,200 IDACORP, INC ....................... 1,563 253,057 KEYSPAN ENERGY CORP ................ 7,845 216,500 LOUISVILLE GAS & ELECTRIC ENERGY CORP ....................... 6,130 88,133 MCN ENERGY GROUP, INC .............. 1,680 87,700 NICOR, INC ......................... 3,705 237,400 NIPSCO INDUSTRIES, INC ............. 7,226 182,000 OGE ENERGY CORP .................... 5,278 499,131 PACIFICORP ......................... 10,513 78,300 PEOPLES ENERGY CORP ................ 3,122 279,800 POTOMAC ELECTRIC POWER CO .......... 7,362 146,100 PUGET SOUND ENERGY, INC ............ 4,073 255,900 SONAT, INC ......................... 6,925 176,500 TECO ENERGY, INC ................... 4,975 289,300 WILLIAMS COS, INC .................. 9,023 -------- 106,313 -------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--2.04% 40,800(degree)ADVANCED MICRO DEVICES, INC ....... 1,181 13,800 BALDOR ELECTRIC CO ................. 279 17,900(degree)GLENAYRE TECHNOLOGIES, INC ........ 79 428,600 INTEL CORP ......................... 50,816 75,900(degree)MICRON TECHNOLOGY, INC ............ 3,838 36,170 MOLEX, INC ......................... 1,379 45,400(degree)NATIONAL SEMICONDUCTOR CORP ....... 613 25,400 RAYCHEM CORP ....................... 821 48,400(degree)SENSORMATIC ELECTRONICS CORP ...... 336 53,100(degree)TELLABS, INC ...................... 3,641 21,300 THOMAS & BETTS CORP ................ 923 50,605(degree)VISHAY INTERTECHNOLOGY, INC ....... 734 63,400 WHIRLPOOL CORP ..................... 3,511 -------- 68,151 -------- ENGINEERING AND MANAGEMENT SERVICES--0.06% 59,100 DUN & BRADSTREET CORP .............. 1,865 -------- FABRICATED METAL PRODUCTS--0.00% 4,410 MARK IV INDUSTRIES, INC ............ 57 -------- FOOD AND KINDRED PRODUCTS--4.19% 154,300 BESTFOODS, INC ..................... 8,216 237,000 CAMPBELL SOUP CO ................... 13,035 729,000 COCA COLA CO ....................... 48,752 96,100 COCA COLA ENTERPRISES, INC ......... 3,436 34,700 CONAGRA, INC ....................... 1,093 110,500 GENERAL MILLS, INC ................. 8,591 214,150 HEINZ (H.J.) CO .................... 12,126 105,200 HERSHEY FOODS CORP ................. 6,542 See notes to financial statements. 34 SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE SHARES (000) - ------ ----- FOOD AND KINDRED PRODUCTS--(CONTINUED) 197,500 KELLOGG CO ......................... $ 6,740 5,800 MCCORMICK & CO, INC (NON-VOTE) ..... 196 418,400 PEPSICO, INC ....................... 17,128 105,900 QUAKER OATS CO ..................... 6,301 21,790(degree)VLASIC FOODS INTERNATIONAL, INC ... 519 98,800 WHITMAN CORP ....................... 2,507 56,000 WRIGLEY (WM) JR CO ................. 5,016 -------- 140,198 -------- FOOD STORES--0.41% 98,100 ALBERTSONS, INC .................... 6,248 86,600 AMERICAN STORES CO ................. 3,199 68,500(degree)KROGER CO ......................... 4,144 -------- 13,591 -------- FURNITURE AND HOMEFURNISHINGS STORES--0.02% 19,597 TANDY CORP ......................... 807 -------- GENERAL BUILDING CONTRACTORS--0.05% 28,600 HILLENBRAND INDUSTRIES, INC ........ 1,627 -------- GENERAL MERCHANDISE STORES--1.83% 66,900 DAYTON HUDSON CORP ................. 3,629 1,000(degree)FEDERATED DEPARTMENT STORES, INC .. 44 148,600(degree)K MART CORP ....................... 2,275 33,600 MAY DEPARTMENT STORES CO ........... 2,029 60,200 PENNEY (J.C.) CO, INC .............. 2,822 104,800 SEARS ROEBUCK & CO ................. 4,454 563,000 WAL-MART STORES, INC ............... 45,849 -------- 61,102 -------- HEALTH SERVICES--0.27% 235,755 COLUMBIA/HCA HEALTHCARE CORP ....... 5,835 123,300(degree)TENET HEALTHCARE CORP ............. 3,237 -------- 9,072 -------- HOLDING AND OTHER INVESTMENT OFFICES--0.16% 119,700 WEINGARTEN REALTY INVESTORS, INC ... 5,342 -------- INDUSTRIAL MACHINERY AND EQUIPMENT--6.49% 48,300(degree)APPLE COMPUTER, INC ............... 1,977 116,600(degree)APPLIED MATERIALS, INC ............ 4,977 369,525(degree)CISCO SYSTEMS, INC ................ 34,297 430,510 COMPAQ COMPUTER CORP ............... 18,055 30,600 CUMMINS ENGINE CO, INC ............. 1,086 106,200 DEERE & CO ......................... 3,518 296,400(degree)DELL COMPUTER CORP ................ 21,693 10,462 DIEBOLD, INC ....................... 373 133,200(degree)EMC CORP .......................... 11,322 70,200 GRACO, INC ......................... 2,071 288,500 HEWLETT-PACKARD CO ................. 19,708 271,000 INTERNATIONAL BUSINESS MACHINES CORP ..................... 50,067 265,200 MINNESOTA MINING & MANUFACTURING CO .................. 18,862 24,700 NORDSON CORP ....................... 1,269 137,200 PITNEY BOWES, INC .................. 9,064 90,400(degree)SMITH INTERNATIONAL, INC .......... 2,277 30,238 TIMKEN CO .......................... 571 207,170 TYCO INTERNATIONAL LTD ............. 15,628 -------- 216,815 -------- INSTRUMENTS AND RELATED PRODUCTS--1.62% 30,800 BAUSCH & LOMB, INC ................. $ 1,848 242,700 BECTON DICKINSON & CO .............. 10,360 53,500 BIOMET, INC ........................ 2,153 118,800(degree)BOSTON SCIENTIFIC CORP ............ 3,185 63,200 GUIDANT CORP ....................... 6,968 184,300 MEDTRONIC, INC ..................... 13,684 9,898(degree)ST. JUDE MEDICAL, INC ............. 274 133,900 XEROX CORP ......................... 15,800 -------- 54,272 -------- INSURANCE AGENTS, BROKERS AND SERVICE--0.24% 136,020 MARSH & MCLENNAN COS, INC .......... 7,949 -------- INSURANCE CARRIERS--3.67% 255,306 ALLSTATE CORP ...................... 9,861 152,800 AMERICAN GENERAL CORP .............. 11,918 415,517 AMERICAN INTERNATIONAL GROUP, INC .. 40,149 202 (degree)BERKSHIRE HATHAWAY, INC (CLASS A) 14,140 22 (degree)BERKSHIRE HATHAWAY, INC (CLASS B) 52 49,700 CHUBB CORP ......................... 3,224 69,200 CIGNA CORP ......................... 5,350 635,952 CITIGROUP, INC ..................... 31,480 10,500(degree)CNA FINANCIAL CORP ................ 423 56,053 CONSECO, INC ....................... 1,713 18,200 JEFFERSON-PILOT CORP ............... 1,365 1,400 SAFECO CORP ........................ 60 2,400 ST. PAUL COS, INC .................. 83 25,500 TRANSAMERICA CORP .................. 2,945 -------- 122,763 -------- MISCELLANEOUS MANUFACTURING INDUSTRIES--0.15% 60,100 HASBRO, INC ........................ 2,171 126,691 MATTEL, INC ........................ 2,890 -------- 5,061 -------- MISCELLANEOUS RETAIL--0.41% 84,176 CVS CORP ........................... 4,630 45,950(degree)TOYS R US, INC .................... 775 139,000 WALGREEN CO ........................ 8,140 -------- 13,545 -------- MOTION PICTURES--0.53% 594,825 DISNEY (WALT) CO ................... 17,845 -------- NONDEPOSITORY INSTITUTIONS--2.65% 198,400 AMERICAN EXPRESS CO ................ 20,286 253,400 ASSOCIATES FIRST CAPITAL CORP ...... 10,738 402,300 FEDERAL NATIONAL MORTGAGE ASSOCIATION ....................... 29,770 231,700 FREDDIE MAC ........................ 14,930 232,226 HOUSEHOLD INTERNATIONAL, INC ....... 9,202 74,900 SLM HOLDINGS CORP .................. 3,595 -------- 88,521 -------- OIL AND GAS EXTRACTION--1.37% 220,300 ANADARKO PETROLEUM CORP ............ 6,802 234,200 APACHE CORP ........................ 5,928 126,000(degree)BJ SERVICES CO .................... 1,969 163,400 HELMERICH & PAYNE, INC ............. 3,166 104,600 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) .................... 1,196 See notes to financial statements. 35 SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE SHARES (000) - ------ ----- OIL AND GAS EXTRACTION--(CONTINUED) 60,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS B) .................... $ 700 150,900(degree)NABORS INDUSTRIES, INC ............ 2,047 151,947 NOBLE AFFILIATES, INC .............. 3,742 163,266(degree)NOBLE DRILLING CORP ............... 2,112 224,594(degree)ORYX ENERGY CO .................... 3,018 155,900(degree)PARKER DRILLING CO ................ 497 142,600(degree)ROWAN COS, INC .................... 1,426 490,700(degree)SANTA FE ENERGY RESOURCES, INC .... 3,619 153,917 TRANSOCEAN OFFSHORE, INC ........... 4,127 409,815 UNION PACIFIC RESOURCES GROUP, INC . 3,714 93,075(degree)WEATHERFORD INTERNATIONAL ......... 1,803 -------- 45,866 -------- PAPER AND ALLIED PRODUCTS--0.81% 139,800 AVERY DENNISON CORP ................ 6,300 265,400 CONSOLIDATED PAPERS, INC ........... 7,299 149,050 SONOCO PRODUCTS CO ................. 4,416 132,500 UNION CAMP CORP .................... 8,944 -------- 26,959 -------- PERSONAL SERVICES--0.14% 125,200 SERVICE CORP INTERNATIONAL ......... 4,765 -------- PETROLEUM AND COAL PRODUCTS--0.36% 260,600 MURPHY OIL CORP .................... 10,750 45,600 WD-40 CO ........................... 1,305 -------- 12,055 -------- PRIMARY METAL INDUSTRIES--0.16% 39,052 BIRMINGHAM STEEL CORP .............. 164 87,200 NUCOR CORP ......................... 3,771 104,850 WORTHINGTON INDUSTRIES, INC ........ 1,311 -------- 5,246 -------- PRINTING AND PUBLISHING--1.44% 24,300 DELUXE CORP ........................ 888 41,000 DOW JONES & CO, INC ................ 1,973 155,400 GANNETT CO, INC .................... 10,023 11,300 KNIGHT-RIDDER, INC ................. 578 74,100 MCGRAW HILL COS, INC ............... 7,549 38,600 NEW YORK TIMES CO (CLASS A) ........ 1,339 20,220 R.H. DONNELLEY CORP ................ 294 356,358 TIME WARNER, INC ................... 22,116 57,700 TIMES MIRROR CO SERIES A ........... 3,231 -------- 47,991 -------- RAILROAD TRANSPORTATION--0.40% 421,200 NORFOLK SOUTHERN CORP .............. 13,347 -------- REAL ESTATE--0.02% 20,600 ROUSE CO ........................... 567 -------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.46% 24,100 BANDAG, INC ........................ $ 962 117,300 ILLINOIS TOOL WORKS, INC ........... 6,803 121,200 NIKE, INC (CLASS B) ................ 4,916 90,300 RUBBERMAID, INC .................... 2,839 -------- 15,520 -------- SECURITY AND COMMODITY BROKERS--0.75% 146,000 MERRILL LYNCH & CO, INC ............ 9,746 214,948 MORGAN STANLEY, DEAN WITTER, & CO .. 15,261 -------- 25,007 -------- STONE, CLAY, AND GLASS PRODUCTS--0.12% 94,100 NEWELL COS, INC .................... 3,882 -------- TRANSPORTATION BY AIR--0.28% 82,600(degree)AMR CORP .......................... 4,904 37,600 DELTA AIRLINES, INC ................ 1,955 99,562 SOUTHWEST AIRLINES CO .............. 2,234 5,618(degree)U.S. AIRWAYS GROUP, INC ........... 292 2,300(degree)UAL CORP .......................... 137 -------- 9,522 -------- TRANSPORTATION EQUIPMENT--0.18% 83,265 DANA CORP .......................... 3,403 23,500 FEDERAL-MOGUL CORP ................. 1,398 12,000 FLEETWOOD ENTERPRISES, INC ......... 417 24,500 MODINE MANUFACTURING CO ............ 888 -------- 6,106 -------- TRUCKING AND WAREHOUSING--0.03% 67,800 ARNOLD INDUSTRIES, INC ............. 1,093 -------- WHOLESALE TRADE-DURABLE GOODS--0.33% 24,400 AVNET, INC ......................... 1,476 191,850 GENUINE PARTS CO ................... 6,415 66,200 GRAINGER (W.W.), INC ............... 2,756 50,900 IKON OFFICE SOLUTIONS, INC ......... 436 -------- 11,083 -------- WHOLESALE TRADE-NONDURABLE GOODS--0.54% 61,180 BERGEN BRUNSWIG CORP (CLASS A) ..... 2,134 83,800 CARDINAL HEALTH, INC ............... 6,358 66,800 MCKESSON CORP NEW .................. 5,281 144,800 SYSCO CORP ......................... 3,972 25,450 UNISOURCE WORLDWIDE, INC ........... 185 -------- 17,930 -------- TOTAL COMMON STOCK (Cost $1,052,125) ................... 2,041,170 --------- See notes to financial statements. 36 SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) - --------- ----- SHORT TERM INVESTMENTS--11.35% INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED--5.76% REPURCHASE AGREEMENTS JP MORGAN SECURITIES 5.100%, DATED 12/31/98, DUE 01/04/99 (FULLY COLLATERALIZED BY $391,987,694 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION, DUE 01/15/07-11/15/28, $90,000,000 6.500%-9.500%, VALUE $92,246) $ 90,013 LEHMAN BROTHERS, INC 5.100%, DATED 12/31/98, DUE 01/04/99, (FULLY COLLATERALIZED BY $41,887,159 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION, DUE 07/15/24-07/15/27, 19,885,000 6.500%-7.000%, VALUE $19,885) 19,888 SALOMON SMITH BARNEY 5.000%, DATED 12/31/98, DUE 01/04/99, (FULLY COLLATERALIZED BY $2,238,915 U.S. TREASURY NOTES, DUE 05/31/99-11/15/04, 2,310,000 5.375%-7.875%, VALUE $2,352) 2,310 TIME DEPOSITS BANK OF AMERICAN CAYMAN 10,000,000 5.160%, 01/29/99 ........................... 10,093 VARIABLE RATE NOTES BANKERS TRUST CO 30,000,000 5.520%, 09/14/99 ........................... 29,994 MERRILL LYNCH & CO 40,000,000 4.990%, 10/14/99 ........................... 40,348 ---------- 192,646 ---------- COMMERCIAL PAPER--5.59% CONAGRA, INC 20,000,000 5.750%, 01/04/99 ........................... 19,988 COX COMMUNICATIONS, INC 10,000,000 *~ 5.850%, 01/14/99 ........................... 9,980 23,000,000 *~ 5.880%, 01/14/99 ........................... 22,953 CVS CORP 26,000,000 *~ 6.250%, 01/14/99 ........................... 25,947 MCI WORLDCOM, INC 25,000,000 ^*~ 5.750%, 01/14/99 ........................... 24,949 13,000,000 ^*~ 5.800%, 01/14/99 ........................... 12,974 12,000,000 ^*~ 5.820%, 01/14/99 ........................... 11,976 SBC COMMUNICATIONS, INC 8,250,000 5.100%, 01/04/99 ........................... 8,245 SONAT, INC 30,000,000 * 5.650%, 01/14/99 ........................... 29,939 20,000,000 * 6.000%, 01/19/99 ........................... 19,946 ---------- 186,897 ---------- TOTAL SHORT TERM INVESTMENTS (Cost $379,529) ............................. 379,543 ---------- TOTAL PORTFOLIO (Cost $2,682,498) $3,692,160 =========== - ------------------------ (degree) Non-income producing ~ Commercial Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. ^ Security is exempt from registration under Rule 144(A) of the Securities Act of 1933 and may be resold in transactions exempt from registration normally to qualified institutional buyers. At December 31, 1998, the value of these securities amounted to $70,567,840 or 2.11% of net assets. * All or a portion of this security has been segregated by the Custodian to cover securities purchased on a delayed delivery basis. @ These securities were purchased on a delayed delivery basis. - ------------------------ OTHER INFORMATION The composition of long-term debt holdings as a percentage of total value of investment in debt securities, is as follows: MOODY'S RATINGS AAA, AA, A 20.73% BAA 8.42% BA 0.81% U.S. Government obligations represent 70.04% of the long term debt portfolio value and are not reflected in the above ratings. Moody's ratings are provided by Moody's Investors Services and are not audited. See notes to financial statements. 37 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1998 SUMMARY BY INDUSTRY (000) VALUE % ----- ----- BONDS CORPORATE BONDS COMMUNICATIONS ........................ $ 93 0.00% DEPOSITORY INSTITUTIONS ............... 188 0.00 INSURANCE CARRIERS .................... 230 0.00 METAL MINING .......................... 23 0.00 -------- ----- TOTAL CORPORATE BONDS (Cost $357) ........................... 534 0.00 -------- ----- TOTAL BONDS (Cost $ 357) ........................... 534 0.00 -------- ----- PREFERRED STOCK APPAREL AND OTHER TEXTILE PRODUCTS .... 58 0.00 BUSINESS SERVICES ..................... 3,372 0.06 CHEMICALS AND ALLIED PRODUCTS ......... 8 0.00 ELECTRIC, GAS, AND SANITARY SERVICES .. 1,813 0.03 FABRICATED METAL PRODUCTS ............. 185 0.00 INSURANCE CARRIERS .................... 77 0.00 PRINTING AND PUBLISHING ............... 1,291 0.02 TRANSPORTATION EQUIPMENT .............. 2,244 0.04 -------- ----- TOTAL PREFERRED STOCK (Cost $5,250) ......................... 9,048 0.15 -------- ----- COMMON STOCK AGRICULTURAL PRODUCTION-CROPS ......... 212 0.00 AMUSEMENT AND RECREATION SERVICES ..... 4,025 0.07 APPAREL AND ACCESSORY STORES .......... 20,958 0.35 APPAREL AND OTHER TEXTILE PRODUCTS .... 12,381 0.20 AUTO REPAIR, SERVICES AND PARKING ..... 218 0.00 AUTOMOTIVE DEALERS AND SERVICE STATIONS 801 0.01 BUILDING MATERIALS AND GARDEN SUPPLIES 14,604 0.24 BUSINESS SERVICES ..................... 352,728 5.83 CHEMICALS AND ALLIED PRODUCTS ......... 693,424 11.46 COAL MINING ........................... 122 0.00 COMMUNICATIONS ........................ 974,564 16.11 DEPOSITORY INSTITUTIONS ............... 386,618 6.39 EATING AND DRINKING PLACES ............ 92,552 1.53 ELECTRIC, GAS, AND SANITARY SERVICES .. 115,260 1.90 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT 475,298 7.85 ENGINEERING AND MANAGEMENT SERVICES ... 886 0.01 FABRICATED METAL PRODUCTS ............. 55,804 0.92 FOOD AND KINDRED PRODUCTS ............. 144,746 2.39 FOOD STORES ........................... 132,474 2.19 FORESTRY .............................. 73 0.00 FURNITURE AND FIXTURES ................ 1,126 0.02 FURNITURE AND HOMEFURNISHINGS STORES .. 1,223 0.02 GENERAL BUILDING CONTRACTORS .......... 3,969 0.07 GENERAL MERCHANDISE STORES ............ 121,278 2.00 HEALTH SERVICES ....................... 20,277 0.34 HEAVY CONSTRUCTION, EXCEPT BUILDING ... 35,405 0.59 HOLDING AND OTHER INVESTMENT OFFICES .. 14,550 0.24 HOTELS AND OTHER LODGING PLACES ....... 3,113 0.05 INDUSTRIAL MACHINERY AND EQUIPMENT .... 426,640 7.05 INSTRUMENTS AND RELATED PRODUCTS ...... 125,725 2.08 INSURANCE AGENTS, BROKERS AND SERVICE . 3,746 0.06 INSURANCE CARRIERS .................... 436,753 7.22 LOCAL AND INTERURBAN PASSENGER TRANSIT 11,022 0.18 LUMBER AND WOOD PRODUCTS .............. 10,959 0.18 METAL MINING .......................... 9,940 0.16 MISCELLANEOUS MANUFACTURING INDUSTRIES 410 0.01 MISCELLANEOUS RETAIL .................. 10,418 0.17 MOTION PICTURES ....................... 8,812 0.15 NONDEPOSITORY INSTITUTIONS ............ 86,396 1.43 NONMETALLIC MINERALS, EXCEPT FUELS .... 753 0.01 OIL AND GAS EXTRACTION ................ 130,395 2.15 PAPER AND ALLIED PRODUCTS ............. 16,252 0.27 PERSONAL SERVICES ..................... 1,108 0.02 PETROLEUM AND COAL PRODUCTS ........... 218,747 3.62 PIPELINES, EXCEPT NATURAL GAS ......... 403 0.01 PRIMARY METAL INDUSTRIES .............. 13,808 0.23 PRINTING AND PUBLISHING ............... 203,847 3.37 RAILROAD TRANSPORTATION ............... 127,193 2.10 REAL ESTATE ........................... 16,343 0.27 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ..................... 35,055 0.58 SECURITY AND COMMODITY BROKERS ........ 17,421 0.29 SPECIAL TRADE CONTRACTORS ............. 1,240 0.02 STONE, CLAY, AND GLASS PRODUCTS ....... 13,742 0.23 TEXTILE MILL PRODUCTS ................. 560 0.01 TOBACCO PRODUCTS ...................... 40,924 0.68 TRANSPORTATION BY AIR ................. 11,070 0.18 TRANSPORTATION EQUIPMENT .............. 134,058 2.22 TRANSPORTATION SERVICES ............... 90,440 1.49 TRUCKING AND WAREHOUSING .............. 11,241 0.19 WATER TRANSPORTATION .................. 12,186 0.20 WHOLESALE TRADE-DURABLE GOODS ......... 5,575 0.09 WHOLESALE TRADE-NONDURABLE GOODS ...... 40,743 0.68 -------- ----- TOTAL COMMON STOCK (Cost $ 4,764,399) ..................... 5,952,614 98.38 --------- ----- SHORT TERM INVESTMENTS COMMERCIAL PAPER ...................... 40,227 0.67 U.S. GOVERNMENT & AGENCIES ............ 27,906 0.46 --------- ----- TOTAL SHORT TERM INVESTMENTS (Cost $ 68,161) ....................... 68,133 1.13 --------- ----- TOTAL PORTFOLIO (Cost $4,838,167) ..................... 6,030,329 99.66 OTHER ASSETS & LIABILITIES, NET ...... 20,600 0.34 --------- ----- NET ASSETS $6,050,929 100.00% ========== ====== See notes to financial statements. 38 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1998 SUMMARY BY COUNTRY VALUE (000) % ------- ------- DOMESTIC UNITED STATES $ 3,132,826 51.95% ---------- ------ TOTAL DOMESTIC 3,132,826 51.95 ---------- ------ FOREIGN AUSTRALIA 60,893 1.01 AUSTRIA 1,146 0.02 BELGIUM 18,010 0.30 CANADA 84,687 1.40 DENMARK 64,053 1.06 FINLAND 40,930 0.68 FRANCE 162,303 2.69 GERMANY 88,764 1.47 GREECE 3,402 0.06 HONG KONG 30,176 0.50 IRELAND 16,287 0.27 ITALY 180,964 3.00 JAPAN 491,274 8.15 MALAYSIA 1,318 0.02 NETHERLANDS 299,401 4.96 NEW ZEALAND 3,948 0.07 NORWAY 30,504 0.51 PORTUGAL 35,543 0.59 SINGAPORE 9,681 0.16 SPAIN 52,307 0.87 SWEDEN 114,054 1.89 SWITZERLAND 152,647 2.53 THAILAND 888 0.01 UNITED KINGDOM 886,187 14.70 ZIMBABWE 3 0.00 ---------- ------ TOTAL FOREIGN 2,829,370 46.92 TOTAL SHORT TERM 68,133 1.13 ---------- ------ TOTAL PORTFOLIO $6,030,329 100.00% ========== ====== See notes to financial statements. 39 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1998 VALUE PRINCIPAL (000) --------- ----- BONDS--0.00% CORPORATE BONDS--0.00% COMMUNICATIONS--0.00% VIACOM INTERNATIONAL, INC (SUB DEB) $ 89,000 8.000%, 07/07/06 ................. $ 93 ------ DEPOSITORY INSTITUTIONS--0.00% BANCA INTESA 35,900(1) 3.150%, 01/01/03 ................. 76 MITSU TRUST & BANKING 32,000,000(2) 0.500%, 10/01/07 ................. 112 ------ 188 ------ INSURANCE CARRIERS--0.00% AXA S.A. CV 1,531(3) 4.500%, 01/01/99 ................. 230 ------ METAL MINING--0.00% RGC GOLD 37,400 0.000%, 12/31/00 ................. 23 ------ TOTAL CORPORATE BONDS (Cost $357) ......................... 534 ------ TOTAL BONDS (Cost $357) .......................... 534 ------ - ------------------------ (1) Denominated in Italian Lire (2) Denominated in Japanese Yen (3) Denominated in French Francs SHARES ------ PREFERRED STOCK--0.15% APPAREL AND OTHER TEXTILE PRODUCTS--0.00% 350 ESCADA AG. ......................... 58 ------ BUSINESS SERVICES--0.06% 7,062 SAP AG. ............................ 3,372 ------ CHEMICALS AND ALLIED PRODUCTS--0.00% 213(degree)CIN-CORPARACAO INDUSTRIAL ......... 8 ------ ELECTRIC, GAS, AND SANITARY SERVICES--0.03% 49,670 RHEIN-WESTFALEN ELECTRIC AG. (NON-VOTE) ........................ 1,813 ------ FABRICATED METAL PRODUCTS--0.00% 700 FRIEDRICH-GROHE AG. ................ 185 ------ INSURANCE CARRIERS--0.00% 1,014 AETNA, INC SERIES C ................ 77 ------ PRINTING AND PUBLISHING--0.02% 212,001 NEWS CORP LTD ( LTD- VOTE) ......... 1,291 ------ TRANSPORTATION EQUIPMENT--0.04% 4,500 RHEINMETALL AG. .................... 85 43,330 VOLKSWAGEN AG. ..................... 2,159 ------ 2,244 ------ TOTAL PREFERRED STOCK (Cost $5,250) ........................ 9,048 ------ COMMON STOCK--98.38% AGRICULTURAL PRODUCTION-CROPS--0.00% 51,000 GOLDEN HOPE PLANTATIONS BERHAD ..... $ 39 6,400 PIONEER-HI-BRED INTERNATIONAL, INC . 173 ------ 212 ------ AMUSEMENT AND RECREATION SERVICES--0.07% 62,047(degree)EMI GROUP PLC ..................... 415 150,537 GRANADA GROUP LTD (CLASS A) ........ 2,661 25,836(degree)HARRAH'S ENTERTAINMENT, INC ....... 405 79,000(degree)MULTI-PURPOSE HOLDINGS BERHAD ..... 15 127,000(degree)STAR CITY HOLDINGS LTD ............ 112 41,900 TABCORP HOLDINGS LTD ............... 257 30,000 TOKYO DOME CORP .................... 160 ------ 4,025 ------ APPAREL AND ACCESSORY STORES--0.35% 7,800(degree)DOUGLAS HOLDINGS AG. .............. 473 730(degree)DOUGLAS HOLDINGS AG. NEW .......... 39 92,987 GAP, INC ........................... 5,231 21,600 HENNES & MAURITZ AB SERIES B ....... 1,764 461,844 LIMITED, INC ....................... 13,451 ------ 20,958 ------ APPAREL AND OTHER TEXTILE PRODUCTS--0.20% 11,000 AOYAMA TRADING CO LTD .............. 308 198,800 BENETTON GROUP S.P.A. .............. 401 90(degree)DOLLFUS-MIEG & CIE S.A. ........... 1 4,015(degree)FRUIT OF THE LOOM, INC (CLASS A) .. 55 4,000 GUNZE LTD .......................... 10 1,005,000 KURARAY CO LTD ..................... 11,110 1,000 ONWARD KASHIYMA CO LTD ............. 13 8,000(degree)RENOWN, INC ....................... 5 2,496 VF CORP ............................ 117 28,000 WACOAL CORP ........................ 361 ------ 12,381 ------ AUTO REPAIR, SERVICES AND PARKING--0.00% 8,400 RYDER SYSTEM, INC .................. 218 ------ AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.01% 8,000 AUTOBACS SEVEN CO LTD .............. 270 13,500 CANADIAN TIRE, INC (CLASS A) ....... 354 21,435 LEX SERVICE GROUP LTD .............. 136 44,913 LONHRO AFRICA PLC .................. 41 ------ 801 ------ BUILDING MATERIALS AND GARDEN SUPPLIES--0.24% 63,386 CRH PLC ............................ 1,096 197,662 HOME DEPOT, INC .................... 12,094 41,247 MEYER INTERNATIONAL PLC ............ 237 5,900 PORTLAND VALDERRIVAS S.A. .......... 242 147,843 WOLSELEY PLC ....................... 935 ------ 14,604 ------ BUSINESS SERVICES--5.83% 13,694(degree)ACNEILSEN CORP .................... 387 2,600(degree)ADECCO S.A. (BR) .................. 1,187 See notes to financial statements. 40 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- BUSINESS SERVICES--(CONTINUED) 9,400 ADOBE SYSTEMS, INC ................. $ 439 58,768 AMERICA ONLINE, INC ................ 9,403 553,865(degree)ASCEND COMMUNICATIONS, INC ........ 36,417 8,966 AUTOMATIC DATA PROCESSING, INC ..... 719 23,300(degree)BMC SOFTWARE, INC ................. 1,038 5,680(degree)CAP GEMINI S.A. ................... 912 106,635 COMPUTER ASSOCIATES INTERNATIONAL, INC 4,545 10,445,000 CORPORATE SERVICES GROUP PLC ....... 26,328 76,000(degree)CREATIVE TECHNOLOGY LTD ........... 1,073 15,400 CSK CORP ........................... 355 3,967 DASSAULT SYSTEMS S.A. .............. 187 49,992 ELECTRONIC DATA SYSTEMS CORP ....... 2,512 100,262 FIRST DATA CORP .................... 3,177 397,200 GETRONICS NV ....................... 19,683 1,000 HAW PAR CORP LTD ................... 1 5,010,000 HAYS PLC ........................... 43,970 117,900 HBO & CO ........................... 3,382 25,763 IMS HEALTH, INC .................... 1,943 33,000(degree)INCHCAPE MARKETING SERVICES ....... 18 17,500 INTERPUBLIC GROUP OF COS, INC ...... 1,396 2,300 ISS INTERNATIONAL SERVICE SYSTEM AS SERIES B ....................... 150 8,000 KONAMI CO LTD ...................... 232 12,664 LAGARDERE S.C.A. ................... 538 4,232,600(degree)LOGICA PLC ........................ 36,795 20,680 MANPOWER, INC ...................... 521 275,000 MEITEC CORP ........................ 6,875 6,000 MERKANTILDATA ASA .................. 59 838,610(degree)MICROSOFT CORP .................... 116,305 57,400 MISYS PLC .......................... 418 1,000 NAMCO LTD .......................... 20 490,400(degree)NEWBRIDGE NETWORKS CORP ........... 14,878 17,800(degree)NOVELL, INC ....................... 323 161,187(degree)ORACLE CORP ....................... 6,951 22,400(degree)PARAMETRIC TECHNOLOGY CORP ........ 364 1,912(degree)PEOPLESOFT, INC ................... 36 648 PITTSTON BRINKS GROUP CO ........... 21 6,200 PROSEGUR COMPANIA DE SEGURIDAD S.A. 72 100 RATIN AS (CLASS B) ................. 21 284,000 RENTOKIL INITIAL PLC ............... 2,141 243,306 RUETERS GROUP PLC .................. 2,554 3,200 SAP AG. ............................ 1,383 8,700 SECOM CO LTD ....................... 722 30,800 SECURITAS AB SERIES B FREE ......... 479 98(degree)SIEBEL SYSTEMS, INC ............... 3 88,200 SIME DARBY BERHAD .................. 71 100 SOPHUS BERENDSEN (CLASS B) NEW ..... 3 6,000(degree)TIETO CORP (CLASS B) .............. 269 277,000 TOKYU CORP ......................... 729 24,800 #VIGLEN TECHNOLOGY (LITIGATION NOTE) 0 290,000 WHARF HOLDINGS LTD ................. 423 10,900 #(degree)WHARF HOLDINGS LTD WTS 12/31/99 1 7,000 WM-DATA AB SERIES B ................ 299 ------- 352,728 ------- CHEMICALS AND ALLIED PRODUCTS--11.46% 207,575 ABBOTT LABORATORIES CO ............. 10,171 17,600 AGA AB SERIES A FREE ............... 233 8,000 AGA AB SERIES B FREE ............... 105 8,500 AGRIUM, INC ........................ 75 54,100 AIR PRODUCTS & CHEMICALS, INC ...... 2,164 33,900 AKZO NOBEL NV ...................... 1,544 867,368 AMERICAN HOME PRODUCTS CORP ........ 48,844 184,000 ASAHI CHEMICAL INDUSTRY CO LTD ..... $ 879 58,000 ASTRA AB SERIES A FREE ............. 1,184 122,532 ASTRA AB SERIES B FREE ............. 2,494 58,200 BASF AG. ........................... 2,222 71,240 BAYER AG. .......................... 2,975 6,600 BEIERSDORF AG. ..................... 456 116,345 BOC GROUP PLC ...................... 1,664 438,352 BRISTOL MYERS SQUIBB CO ............ 58,657 500 CIN-CORPARACAO INDUSTRIAL DO NORTE S.A 20 25,200 CLOROX CO .......................... 2,944 280,000 COLGATE PALMOLIVE CO ............... 26,005 92,000 DAICEL CHEMICAL INDUSTRIES LTD ..... 274 50,000 DAIICHI PHARMACEUTICAL CO LTD ...... 846 32,000 DAINIPPON INK & CHEMICAL, INC ...... 88 13,540(degree)DEGUSSA AG. ....................... 744 29,022 DOW CHEMICAL CO .................... 2,639 497,733 DU PONT (E.I.) DE NEMOURS & CO ..... 26,411 1,600 DYNO INDUSTRIER AS ................. 24 10,875 EASTMAN CHEMICAL CO ................ 487 9,000 EISAI CO LTD ....................... 176 151,100(degree)ELAN CORP PLC ADR ................. 10,511 34,600(degree)ELEMENTIS PLC ..................... 48 14,722 ELF SANOFI S.A. .................... 2,425 5,000 FABRICA ESP DE PRODUCTO QUIMICO Y FARM 81 8,723(degree)FMC CORP .......................... 488 400,990 GLAXO WELLCOME PLC ................. 13,797 25,400 GREENCORE GROUP PLC ................ 117 45,300 IMPERIAL CHEMICAL INDUSTRY PLC ..... 393 19,756 INTERNATIONAL FLAVORS & FRAGRANCES, INC 873 53,000(degree)ISHIHARA SANGYO KAISHA LTD ........ 87 140,983 JOHNSON & JOHNSON CO ............... 11,825 70,000 KANEKA CORP ........................ 526 24,000 KANSAI PAINT CO LTD ................ 70 591,000 KAO CORP ........................... 13,360 13,380 KEMIRA OY .......................... 96 11,600 KISSEI PHARMACEUTICALS CO LTD ...... 205 42,000 KUREHA CHEMICAL INDUSTRY CO LTD .... 110 91,000 KYOWA HAKKO KOGYO .................. 450 4,877 L'AIR LIQUIDE ...................... 895 2,332 #L'AIR LIQUIDE (REGD) 1996 .......... 428 148,270 LILLY (ELI) & CO ................... 13,177 22,000 LION CORP .......................... 92 7,164 LOREAL S.A. ........................ 5,181 14,207 LUBRIZOL CORP ...................... 365 18,574 MALLINCKRODT, INC .................. 572 22,230 MERCK & CO KGAA .................... 1,001 470,186 MERCK & CO, INC .................... 69,441 230,000 MITSUBISHI CHEMICAL CORP ........... 485 58,000 MITSUBISHI GAS CHEMICAL CO, INC .... 161 1,000 MITSUI CHEMICAL CORP ............... 3 50,599 MONSANTO CO ........................ 2,403 661,450 MONTEDISON S.P.A. .................. 880 9,340 NALCO CHEMICAL CORP ................ 290 34,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD . 183 26,122 NOVARTIS AG. (REGD) ................ 51,350 6,500 NOVO NORDISK AS (CLASS B) .......... 858 52,500 ORICA LTD .......................... 273 573,848 PFIZER, INC ........................ 71,982 41,243 PPG INDUSTRIES, INC ................ 2,402 40,491 PRAXAIR, INC ....................... 1,427 712,084 PROCTER & GAMBLE CO ................ 65,022 35,550 RHONE-POULENC S.A. (CLASS A) ....... 1,830 50 ROCHE HOLDINGS AG. (BR) ............ 906 1,013 ROCHE HOLDINGS AG. (GENUSSCHEINE) .. 12,361 See notes to financial statements. 41 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- CHEMICAL AND ALLIED PRODUCTS -- (CONTINUED) 45,550 ROHM & HAAS CO ..................... $ 1,372 53,100 SANKYO CO LTD ...................... 1,163 4,300 SCHERING AG. ....................... 540 957,986 SCHERING-PLOUGH CORP ............... 52,929 78,000 SEKISUI CHEMICAL CO LTD ............ 526 38,300 SHERWIN-WILLIAMS CO ................ 1,125 38,255 SHIN-ETSU CHEMICAL CO LTD .......... 922 47,000 SHIONOGI & CO LTD .................. 345 317,700 SHISEIDO & CO LTD .................. 4,090 24,000 SHOWA DENKO K.K. ................... 21 706,105 SMITHKLINE BEECHAM PLC ............. 9,868 67,100 SNIA BDP S.P.A. .................... 106 10,350 SOLVAY ET CIE S.A. ................. 780 5,600 SOMMER-ALLIBERT .................... 151 194,000 SUMITOMO CHEMICAL CO LTD ........... 757 217,000 TAISHO PHARMACEUTICAL CO LTD ....... 5,983 333,000 TAKEDA CHEMICAL INDUSTRIES LTD ..... 12,842 1,841,000(degree)TEIJIN LTD ........................ 6,789 225,000 TORAY INDUSTRIES, INC .............. 1,177 29,000 UBE INDUSTRIES LTD ................. 44 187 UCB S.A. ........................... 1,154 1,351,100 USEC, INC .......................... 18,747 100,981 WARNER-LAMBERT CO .................. 7,593 196,964 YAMANOUCHI PHARMACEUTICAL CO LTD ... 6,356 92,594 ZENECA GROUP PLC ................... 4,032 1,200 ZODIAC S.A. ........................ 257 ------- 693,424 ------- COAL MINING--0.00% 203,412 QCT RESOURCES LTD .................. 122 ------- COMMUNICATIONS--16.11% 69,471(degree)AIRTOUCH COMMUNICATIONS, INC ...... 5,011 20,080 ALCATEL ............................ 2,459 61 ALLTEL CORP ........................ 4 1,922,101 AT & T CORP ........................ 144,638 65,100 BCE, INC ........................... 2,452 215,963 BELL ATLANTIC CORP ................. 11,446 241,252 BELLSOUTH CORP ..................... 12,032 277,579 BRITISH SKY BROADCASTING GROUP PLC . 2,108 730,350 BRITISH TELECOMMUNICATIONS PLC ..... 11,003 1,895,000(degree)CABLE & WIRELESS COMMUNICATIONS PLC 17,309 219,201 CABLE & WIRELESS PLC ............... 2,695 1,990 CANAL PLUS S.A. .................... 543 80,984 CBS CORP ........................... 2,652 788,925 (degree)CHANCELLOR MEDIA CORP (CLASS A) 37,770 1,000,493 (degree)CLEAR CHANNEL COMMUNICATIONS, INC 54,527 232,450 DEUTSCHE TELEKOM AG. ............... 7,648 203,000(degree)EQUANT NV ......................... 13,766 2,745,100 ERICSSON TELEFON (LM) AB SERIES B .. 65,361 100 (degree)EUROPE 1 COMMUNICATION ...... 23 99,625 FRANCE TELECOM S.A. ................ 7,918 610(degree)FUJI TELEVISION NETWORK, INC ...... 2,774 546,000 FUJIKURA LTD ....................... 2,933 2,400 GN STORE NORD AS-GN GREAT NORDIC ... 85 1,232,877 HONG KONG TELECOMMUNICATIONS LTD ... 2,156 599,430(degree)INFINITY BROADCASTING CORP (CLASS A) 16,409 56,457 KONINKLIJKE KPN NV ................. 2,828 75(degree)LEAP WIRELESS INTERNATIONAL, INC .. 1 550(degree)LIBERTY MEDIA GROUP (CLASS A) ..... 25 659,692 LUCENT TECHNOLOGIES, INC ........... 72,566 947,724(degree)MCI WORLDCOM, INC ................. 67,999 135,900 MEDIASET S.P.A. .................... 1,104 11,100(degree)NETCOM AB SERIES B ................ 452 262,000 NIPPON COMSYS CORP ................. 3,575 3,510 NIPPON TELEGRAPH & TELEPHONE CORP .. 27,134 111 (degree)NTT MOBILE COMMUNICATIONS ... 4,576 128,000(degree)PANAFON HELLENIC TELECOM GDR ...... 3,402 16,143 PORTUGAL TELECOM S.A. .............. 740 34,000(degree)ROGERS COMMUNICATIONS, INC (CLASS B) 302 1,035,797 SBC COMMUNICATIONS, INC ............ 55,545 493,000 SINGAPORE TELECOMMUNICATIONS LTD ... 753 845,000 SMARTONE TELECOMMUNICATIONS HOLDNGS LTD ....................... 2,345 1,520,941(degree)SONERA GROUP OYJ .................. 27,034 25,124 SPRINT CORP (FON GROUP) ............ 2,114 7,300(degree)SWISSCOM AG. (REGD) ............... 3,056 20(degree)TCI SATELLITE ENTERTAINMENT (CLASS A) 0 31,000 TECHNOLOGY RESOURCES INDUSTRIES BERHAD ............................ 11 633,400 TELECOM CORP OF NEW ZEALAND ........ 2,761 520,405 TELECOM ITALIA ..................... 4,450 12,750,199 TELECOM ITALIA MOBILE S.P.A. ....... 94,327 41,861 (degree)TELE-COMMUNICATIONS, INC (CLASS A) 2,315 104,578(degree)TELECOM-TCI VENTURES GROUP (CLASS A) 2,464 443,400 TELE DANMARK AS .................... 59,845 119,130 TELEFONICA DE ESPANA S.A. .......... 5,305 135,000 TELEKOM MALAYSIA BERHAD ............ 249 72,000 TELEVISION BROADCASTS LTD .......... 186 1,807,394(degree)TELSTRA CORP ...................... 8,459 8,700 TELUS CORP ......................... 184 38,766(degree)VIACOM, INC (CLASS B) ............. 2,869 1,534 (degree)VIACOM, INC (CLASS B) WTS 07/07/99 18 5,532,978 VODAFONE GROUP PLC ................. 89,848 ------- 974,564 ------- DEPOSITORY INSTITUTIONS--6.39% 202,231 ABBEY NATIONAL PLC ................. 4,330 166,894 ABN-AMRO HOLDINGS NV ............... 3,513 141,260(degree)ALLIED IRISH BANK PLC ............. 2,534 16,000 AMKB HOLDINGS BERHAD ............... 13 66,400 ARGENTARIA, CAJA POSTAL Y BCO HIPOTECA 1,722 254,514 ASAHI BANK LTD ..................... 934 431 AUSTRALIAN & NEW ZEALAND BANKING GROUP LTD ......................... 3 213,000 (degree)BANCA COMMERCIALE ITALIANA S.P.A. 1,472 83,600(degree)BANCA INTESA RISP S.P.A. .......... 256 168,600(degree)BANCA INTESA S.P.A. ............... 1,014 29,000 BANCA POPOLARE DI MILANO ........... 264 143,600(degree)BANCO AMBROSIANO VENETO WTS 05/31/02 182 241,900 BANCO BILBAO VIZCAYA S.A. (REGD) ... 3,798 147,886 BANCO CENTRALE HISPANOAMERICANO S.A. 1,759 18,071 BANCO COMERCIAL PORTUGUES S.A. (REGD) 556 9,095 BANCO ESPIRITO SANTO E COMERCIAL ... 282 912(degree)BANCO PINTO & SOTTO MAYOR S.A. .... 17 135,584 BANCO SANTANDER S.A. ............... 2,698 5,804(degree)BANK AUSTRIA AG. .................. 295 98,000 BANK OF EAST ASIA LTD .............. 171 24,000 BANK OF MONTREAL ................... 964 28,132 BANK OF NEW YORK CO, INC ........... 1,132 61,192 BANK OF NOVA SCOTIA ................ 1,345 1,229,747 BANK OF TOKYO MITSUBISHI LTD ....... 12,755 181,000 BANK OF YOKOHAMA LTD ............... 435 142,807 BANK ONE CORP ...................... 7,292 604,540 BANKAMERICA CORP ................... 36,348 33,124 BANKBOSTON CORP .................... 1,290 24,400 BANKERS TRUST CORP ................. 2,085 21,382(degree)BANQUE NATIONALE DE PARIS ......... 1,761 See notes to financial statements. 42 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- DEPOSITORY INSTITUTIONS--(CONTINUED) 191,900(degree)BARCLAYS PLC ...................... $ 4,138 45,850(degree)BAYERISCHE HYPO-UND VEREINSBANK AG. 3,592 7,100 BPI-SGPS S.A. (REGD) ............... 241 50,460 CANADIAN IMPERIAL BANK OF COMMERCE . 1,248 117,460 CHIBA BANK LTD ..................... 468 29,000 CHRISTIANIA BANK OG KREDITKASSE .... 100 31,500 COMERICA, INC ...................... 2,148 50 COMMERZBANK AG. .................... 2 72,000 COMMONWEALTH BANK OF AUSTRALIA LTD . 1,023 31,093 CREDIT SUISSE GROUP (REGD) ......... 4,867 2,000 DAI-ICHI KANGO BANK LTD ............ 11 4,300(degree)DEN DANSKE BANK AF 1871 ........... 578 26,000 DEN NORSKE BANK ASA ................ 90 52,530 DEUTSCHE BANK AG. .................. 3,092 40,600 DEVELOPMENT BANK OF SINGAPORE LTD (FR) 367 47,790 DRESDNER BANK AG. .................. 2,008 139,737 FIRST UNION CORP ................... 8,498 115,816 FLEET FINANCIAL GROUP, INC ......... 5,176 37,400(degree)FORENINGSSPARBANKEN AB ............ 969 356,000 FUJI BANK LTD ...................... 1,313 11,244 GOLDEN WEST FINANCIAL CORP ......... 1,031 1,000 GUNMA BANK LTD ..................... 8 194,200 HANG SENG BANK LTD ................. 1,736 50,000 HIGO FAMILY BANK LTD ............... 229 170,000(degree)HOKURIKU BANK LTD ................. 306 160,263 HSBC HOLDINGS LTD (U.K.) ........... 4,346 80,117 HSBC HOLDINGS PLC .................. 2,026 68,529 HSBC HOLDINGS PLC (H.K.) ........... 1,707 1,023,297 INDUSTRIAL BANK OF JAPAN LTD ....... 4,726 415 JOYO BANK .......................... 2 37,700(degree)KBC BANCASSURANCE HOLDINGS NV ..... 2,985 117,665 KEYCORP ............................ 3,765 2,800 #(degree)KUMAGI GUMI WTS 12/31/99 .... 0 552,014 LLOYDS TSB GROUP PLC ............... 7,853 105,800 MALAYAN BANKING BERHAD ............. 150 151,434 MBNA CORP .......................... 3,776 113,100(degree)MERITA LTD ........................ 719 137,000 MITSUBISHI TRUST & BANKING CORP .... 883 109,000 MITSUI TRUST & BANKING CO LTD ...... 125 7,144 MORGAN (J.P.) & CO, INC ............ 751 560,400 NATIONAL AUSTRALIA BANK LTD ........ 8,456 15,851 NATIONAL BANK OF CANADA ............ 256 47,210 NATIONAL CITY CORP ................. 3,423 367,024 OVERSEAS-CHINESE BANKING CORP LTD (FR) 2,491 14,225(degree)PARIBAS S.A. ...................... 1,237 76,725 PNC BANK CORP ...................... 4,153 30,200 ROYAL BANK OF CANADA ............... 1,505 131,908(degree)ROYAL BANK OF SCOTLAND PLC ........ 2,107 496,000 SAKURA BANK LTD .................... 1,139 1,817,509(degree)SAN PAOLO-IMI S.P.A. .............. 32,182 4,235 SANWA BANK LTD ..................... 33 239,000 SEVENTY-SEVEN (77) BANK LTD ........ 2,394 115,000 SHIZUOKA BANK LTD .................. 1,422 60,100 SKANDINAVISKA ENSKILDA BANKEN SERIES A 634 11,658 SOCIETE GENERALE S.A. .............. 1,889 3,400 STATE STREET CORP .................. 237 920,200 SUMITOMO BANK LTD .................. 9,463 42,395 SUNTRUST BANKS, INC ................ 3,243 24,900 SVENSKA HANDELSBANKEN SERIES A ..... 1,051 5,025(degree)SWISS BANK CORP (REGD) WTS 06/30/00 81 217,000 TOKAI BANK LTD ..................... 1,027 33,086 U.S. BANCORP ....................... 1,175 3,645,100 UNCREDITO ITALIANO S.P.A. .......... 21,651 4,250(degree)UNI BANKDANMARK AS (CLASS A) ...... 384 182,174(degree)UNION BANK OF SWITZERLAND AG. (REGD) 55,972 45,000 UNITED OVERSEAS BANK LTD (FR) ...... 289 1,400 WACHOVIA CORP ...................... 122 55,144 WASHINGTON MUTUAL, INC ............. 2,106 1,344,563 WELLS FARGO CO ..................... 53,698 556,100 WESTPAC BANKING CORP ............... 3,725 54,000 WING LUNG BANK LTD ................. 187 42,000 YAMAGUCHI BANK LTD ................. 397 280,000(degree)YASUDA TRUST & BANKING CO LTD ..... 216 ------- 386,618 ------- EATING AND DRINKING PLACES--1.53% 6,827,500 COMPASS GROUP PLC .................. 78,211 33,194 DARDEN RESTAURANTS, INC ............ 597 404,174 DIAGEO PLC (CLASS A) ............... 4,600 52,374 HOST MARRIOTT CORP (NEW) ........... 723 26,400 MARRIOTT INTERNATIONAL (CLASS A) ... 766 79,410 MCDONALD'S CORP .................... 6,085 37,100 MELCO INTERNATIONAL DEVELOPMENT LTD 3 23,000 SKYLARK CO LTD ..................... 343 1,764(degree)SODEXHO ALLIANCE S.A. ............. 395 43,100(degree)TELEPIZZA S.A. .................... 411 9(degree)TRICON GLOBAL RESTAURANTS, INC .... 0 1,000 VALORA HOLDINGS AG. (REGD) ......... 270 4,878 VIAD CORP .......................... 148 ------- 92,552 ------- ELECTRIC, GAS, AND SANITARY SERVICES--1.90% 8,000 AGUAS DE BARCELONA S.A. ............ 536 51(degree)AGUAS DE BARCELONA S.A. NEW ....... 3 34,829 AMERICAN ELECTRIC POWER CO, INC .... 1,639 9,300(degree)ANGLIAN WATER PLC ................. 128 54,515 AUSTRALIA GAS LIGHT CO ............. 393 37,933 BALTIMORE GAS & ELECTRIC CO ........ 1,171 32,275 BROWNING FERRIS INDUSTRIES, INC .... 918 10,893 CAROLINA POWER & LIGHT CO .......... 513 54,341 CENTRAL & SOUTH WEST CORP .......... 1,491 531,841(degree)CENTRICA PLC ...................... 1,071 100 CHUBU ELECTRIC POWER CO, INC ....... 2 628,000 CLP HOLDINGS LTD ................... 3,129 54,263 COASTAL CORP ....................... 1,896 17,276 COLUMBIA ENERGY GROUP .............. 998 24,464 CONSOLIDATED NATURAL GAS CO ........ 1,321 25,718 DOMINION RESOURCES, INC ............ 1,202 37,076 DTE ENERGY CO ...................... 1,590 27,523 DUKE ENERGY CORP ................... 1,763 90,300 EDISON INTERNATIONAL CO ............ 2,517 74,550 EDISON S.P.A. ...................... 880 13,400 EDPERBRASCAN CORP (CLASS A) ........ 186 6,900 ELECTRABEL NV ...................... 3,033 10,950(degree)ELECTRABEL S.A. (STRIP VVPR) ...... 3 50,950 ELECTRICIDADE DE PORTUGAL S.A. ..... 1,122 122,008 ENDESA S.A. ........................ 3,238 19,756 ENRON CORP ......................... 1,127 32,037 ENTERGY CORP ....................... 997 56,761 FIRSTENERGY CORP ................... 1,848 5,800 FPL GROUP, INC ..................... 357 19,400 GAS NATURAL SDG S.A. ............... 2,115 31,663 GPU, INC ........................... 1,399 3,100 GROUPE BRUXELLES LAMBERT S.A. ...... 632 504,900 HONG KONG & CHINA GAS CO LTD ....... 642 11,949(degree)HONG KONG & CHINA GAS CO LTD WTS 03/30/99 ...................... 1 See notes to financial statements. 43 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- ELECTRIC GAS, AND SANITARY SERVICES -- (CONTINUED) 8,600 HOUSTON INDUSTRIES, INC ............ $ 276 3,065 HYDER PLC .......................... 39 98,974 IBERDROLA S.A. ..................... 1,855 2,100 ILLINOVA CORP ...................... 53 76,000 ITALGAS S.P.A. ..................... 412 122,200 KANSAI ELECTRIC POWER CO, INC ...... 2,681 71,095 NATIONAL GRID GROUP PLC ............ 567 124,577 NATIONAL POWER PLC ................. 1,074 2,000(degree)NIAGARA MOHAWK POWER CORP ......... 32 34,000 NORTHERN STATES POWER CO ........... 944 7,880 NOVA CORP .......................... 103 12,755 OGDEN CORP ......................... 320 172,000 OSAKA GAS CO LTD ................... 593 1,600 OESTERREICHISCHE ELEKTRIZITAETSWIRSCHAFTS AG. ...... 245 22,863 PECO ENERGY CO ..................... 952 42,900 PG&E CORP .......................... 1,351 28,802 POTOMAC ELECTRIC POWER CO .......... 758 38,710 PP&L RESOURCES, INC ................ 1,079 28,257 PUBLIC SERVICE ENTERPRISE GROUP, INC 1,130 35,000 RHEIN-WESTFALEN ELECTRIC AG. (STAMM) 1,917 52,300(degree)SCOTTISH & SOUTHERN ENERGY PLC .... 589 219,897 SCOTTISH POWER PLC ................. 2,259 12,800 SEMPRA ENERGY ...................... 325 460,000 SHUN TAK ENTERPRISES CORP LTD ...... 87 25,900 SONAT, INC ......................... 701 3,151 SOUTHERN CO ........................ 92 19,553 LYONNAISE DES EAUX S.A. ............ 4,018 139,000 TENAGA NASIONAL BERHAD ............. 200 36,493 TEXAS UTILITIES CO ................. 1,704 43,514 THAMES WATER PLC ................... 833 66,600 TOHOKU ELECTRIC POWER CO, INC ...... 1,181 309,987 TOKYO ELECTRIC POWER CO, INC ....... 7,667 467,000 TOKYO GAS CO LTD ................... 1,230 10,800 TRACTEBEL NV ....................... 2,097 600(degree)TRACTEBEL NV PUT WTS 11/15/99 ..... 0 40,428 TRANS CANADA PIPELINES LTD ......... 591 26,300 TRANSALTA CORP ..................... 387 41,405 UNICOM CORP ........................ 1,597 35,400(degree)UNION ELECTRICA FENOSA S.A. ....... 613 94,054 UNITED UTILITIES PLC ............... 1,304 47,550 VEBA AG. ........................... 2,846 3,049 VIAG AG. ........................... 1,788 20,115 VIVENDI S.A. ....................... 5,221 24,394(degree)VIVENDI S.A. WTS 05/02/01 ......... 63 462,808 WASTE MANAGEMENT, INC .............. 21,578 2,355 WESTCOAST ENERGY, INC .............. 47 ------- 115,260 ------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--7.85% 32,000 ABB AB SERIES A .................... 341 68,100 ABB AB SERIES B .................... 723 11,210 ADVANTEST CORP ..................... 712 2,770 ALLEGHENY TELEDYNE, INC ............ 57 44,000 ALPS ELECTRIC CO LTD ............... 809 24,500(degree)AMERICAN POWER CONVERSION CORP .... 1,187 970,050(degree)AMERICAN TOWER SYSTEMS (CLASS A) .. 28,677 17,794 AMP, INC ........................... 926 10,891 AMSTRAD PLC ........................ 6 488,000(degree)ASM LITHOGRAPHY HOLDINGS NV ....... 14,926 900 BANG & OLUFSEN HOLDINGS AS (CLASS B) 55 1,500 BARCO INDUSTRIES NV ................ $ 424 5,267 BOWTHORPE HOLDINGS PLC ............. 31 41,000 BROTHERS INDUSTRIES LTD ............ 128 662,798 COOPER INDUSTRIES, INC ............. 31,607 32,000 DAI NIPPON SCREEN MANUFACTURING CO LTD ............................ 80 100,000(degree)ELEC & ELTEK INTERNATIONAL CO LTD . 540 13,519 ELECTROCOMPONENTS PLC .............. 91 37,350 ELECTROLUX AB SERIES B ............. 643 1,500 EMPRESA FABRIL DE MAQUINAS ELECTRICAS 15 25,300 FISHER & PAYKEL INDUSTRIES LTD ..... 92 1,095,000 FUJITSU LTD ........................ 14,610 72,000 FURUKAWA ELECTRIC CO LTD ........... 246 1,157,086 GENERAL ELECTRIC CO ................ 118,095 346,681 GENERAL ELECTRIC CO (U.K.) ......... 3,129 15,063 HARRIS CORP ........................ 552 140,700 HIROSE ELECTRIC CO LTD ............. 9,866 444,000 HITACHI LTD ........................ 2,755 869,542 INTEL CORP ......................... 103,095 1,211,700 JOHNSON ELECTRIC HOLDINGS LTD ...... 3,112 43,399(degree)KONINKLIJKE PHILIPS ELECTRONICS NV 2,914 25,500 KYOCERA CORP ....................... 1,350 4,683 LEGRAND S.A. ....................... 1,242 35,000 MABUCHI MOTOR CO LTD ............... 2,684 30,000 MALAYSIAN PACIFIC INDUSTRIES BERHAD 29 745,000 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD 13,203 7,300 MAYTAG CO .......................... 454 10,229(degree)MICRON TECHNOLOGY, INC ............ 517 311,000(degree)MITSUBISHI ELECTRIC CORP .......... 979 91,037 MOTOROLA, INC ...................... 5,559 93,000 MURATA MANUFACTURING CO LTD ........ 3,867 9,872 NATIONAL SERVICE INDUSTRIES, INC ... 375 52,000 NGK SPARK PLUG CO LTD .............. 531 916,000 NIPPON ELECTRIC CORP ............... 8,445 18,000 NITTO DENKO CORP ................... 300 44,200 NOKIA AB SERIES K .................. 5,412 34,800(degree)NOKIA OYJ SERIES A ................ 4,261 853,800 NORTHERN TELECOMMUNICATIONS LTD .... 42,579 21,000 PIONEER ELECTRONIC CORP ............ 353 17,800(degree)QUALCOMM, INC ..................... 922 20,491 RAYCHEM CORP ....................... 662 84,000 ROHM CO ............................ 7,663 123,000 SANYO ELECTRIC CO LTD .............. 382 1,003,000 SHARP CORP ......................... 9,061 61,200 (degree)SHINKO ELECTRIC INDUSTRIES CO LTD 2,441 19,800 SIRTI S.P.A. ....................... 120 117,402 SONY CORP .......................... 8,566 42,000 SUMITOMO ELECTRIC INDUSTRIES CO .... 473 119,130(degree)TELEFONICA DE ESPANA S.A. RTS ..... 106 49,418 TEXAS INSTRUMENTS, INC ............. 4,228 75,700 TOKYO ELECTRON CO LTD .............. 2,879 600,000 TOSHIBA CORP ....................... 3,580 9,000 UNIDEN CORP ........................ 76 166,000(degree)VENTURE MANUFACTURING (SINGAPORE) LTD 634 11,195 WHIRLPOOL CORP ..................... 620 29,000 YAMAHA CORP ........................ 301 ------- 475,298 ------- ENGINEERING AND MANAGEMENT SERVICES--0.01% 5,828 DUN & BRADSTREET CORP .............. 184 5,800 OYO CORP ........................... 94 116,000(degree)SEMBCORP INDUSTRIES LTD ........... 132 202,000(degree)SINGAPORE TECHNOLOGIES ENGINEERING LTD ................... 189 See notes to financial statements. 44 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- ENGINEERING AND MANAGEMENT SERIES -- (CONTINUED) 132,000(degree)TIME ENGINEERING BERHAD ........... 22 43,000 TOYO ENGINEERING CO ................ 46 11,100(degree)VEDIOR NV-CVA ..................... 219 ------- 886 ------- FABRICATED METAL PRODUCTS--0.92% 855,000 ASSA ABLOY AB SERIES B ............. 32,699 105,800 BICC LTD ........................... 124 500(degree)BOHLER-UDDEHOLM AG. (BR) .......... 23 700,150 BTR PLC ............................ 1,444 6,400 CCL INDUSTRIES, INC (CLASS B) ...... 74 1,673(degree)COLEP-COMPANHIA PORTUGUESA DE EMBALAGE ....................... 12 11,188 CROWN CORK & SEAL CO, INC .......... 345 716 FISCHER (GEORGE) LTD (REGD) ........ 242 130,199 GILLETTE CO ........................ 6,290 136,880 GKN PLC ............................ 1,816 51,620 MAGNETI MARELLI .................... 90 72,200 MASCO CORP ......................... 2,076 27,948 PARKER-HANNIFIN CORP ............... 915 27,421 ROCKWELL INTERNATIONAL CORP ........ 1,332 38,000(degree)SANKYO ALUMINIUM INDUSTRY CO LTD .. 33 39,000 SANWA SHUTTER CORP ................. 171 75,800(degree)SMC CORP .......................... 6,061 5,100 SNAP-ON, INC ....................... 178 13,800 STANLEY WORKS CO ................... 383 44,000 TOSTEM CORP ........................ 874 36,600 TOYO SEIKAN KAISHA LTD ............. 622 ------- 55,804 ------- FOOD AND KINDRED PRODUCTS--2.39% 5(degree)AGRIBRANDS INTERNATIONAL, INC ..... 0 43,000 AJINOMOTO CO LTD ................... 457 2,250 ALLIED DOMECQ PLC .................. 21 58,312 ANHEUSER BUSCH COS, INC ............ 3,827 108,654 ARCHER DANIELS MIDLAND CO .......... 1,867 40,000 ASAHI BREWERIES LTD ................ 590 145,333(degree)ASIA FOOD & PROPERTIES LTD ........ 23 10,900(degree)ASIA FOOD & PROPERTIES LTD WTS 07/12/02 1 111,774 ASSOCIATED BRITISH FOODS PLC ....... 1,057 14,003 AZUCARERA EBRO AGRICOLAS S.A. ...... 309 109,966 BASS PLC ........................... 1,601 300 BONGRAIN S.A. ...................... 134 784(degree)BRAU UND BRUNNEN AG. .............. 71 139,898 CADBURY SCHWEPPES LTD .............. 2,386 19,654 CAMPBELL SOUP CO ................... 1,081 5,200 CARLSBERG BREWERIES AS (CLASS A) ... 302 88,275 COCA COLA AMATIL LTD ............... 329 258,464 COCA COLA CO ....................... 17,285 55,744 CONAGRA, INC ....................... 1,756 12,400 COTT CORP .......................... 44 4,000(degree)CULTOR OYJ SERIES 1 ............... 41 4,200 CULTOR OYJ SERIES 2 ................ 43 4,900 DANISCO AS ......................... 266 7,800 DANONE GROUP ....................... 2,234 12,000 DCC PLC ............................ 102 3,637 ERIDANIA BEGHIN-SAY S.A. ........... 630 35,500 EZAKI GLICO CO LTD ................. 204 948,300 FOSTERS BREWING GROUP LTD .......... 2,571 14,000 FRASER & NEAVE LTD ................. 41 39,156 GENERAL MILLS, INC ................. 3,044 79,612 GOODMAN FIELDER LTD ................ 81 37,250 HEINEKEN NV ........................ $ 2,243 46,565 HEINZ (H.J.) CO .................... 2,637 16,000 HOUSE FOODS CORP ................... 271 179,900 ITOEN LTD .......................... 9,298 27,100 KERRY GROUP (CLASS A) .............. 370 49,000 KIKKOMAN CORP ...................... 312 151,000 KIRIN BREWERY CO LTD ............... 1,928 121,100 LION NATHAN LTD .................... 309 8,346 LVMH MOET HENNESSY LOUIS VUITTON ... 1,652 73,000 MEIJI SEIKA KAISHA LTD ............. 291 2,300 MOLSON CO LTD (CLASS A) ............ 33 13,000 NESTLE MALAYSIA BERHAD ............. 36 4,242 NESTLE S.A. (REGD) ................. 9,234 59,000 NICHIREI CORP ...................... 141 37,000 NIPPON BEET SUGAR MANUFACTURING CO LTD ............................ 58 37,000 NIPPON MEAT PACKERS, INC ........... 597 29,000 NIPPON OIL & FATS CO LTD ........... 58 93,000(degree)NIPPON SUISAN KAISHA LTD .......... 107 8,000 NISSIN FOOD PRODUCTS CO LTD ........ 202 7,000 ORKLA AS SERIES A .................. 104 400 OSTERREICHISCHE BRAU-AKTIENGESELLSCHAF 23 6,900(degree)OYJ HARTWALL ABP .................. 112 161,900 PARMALAT FINANZIARIA S.P.A. ........ 310 90 PEPSICO, INC ....................... 4 10,536 PERNOD-RICARD S.A. ................. 685 625 PPB OIL PALMS BERHAD ............... 0 36,000(degree)Q.P. CORP ......................... 296 34,873 QUAKER OATS CO ..................... 2,075 21,000(degree)RAISIO GROUP PLC .................. 232 1,483,665 RALSTON PURINA CO .................. 48,034 850 SAPPORO BREWERIES LTD .............. 4 66,698 SARA LEE CORP ...................... 1,880 52,579 SCOTTISH & NEWCASTLE PLC ........... 611 32,800 SEAGRAMS CO LTD .................... 1,244 1,028,000 SNOW BRAND MILK PRODUCTS CO ........ 4,703 98,560 SOUTHCORP LTD ...................... 315 53,100 TATE & LYLE PLC .................... 292 203,000(degree)THAI UNION FROZEN PRODUCTS (FR) ... 888 2,800 UNICER-UNIAO CERVEIJEIRA S.A. ...... 67 61,460 UNIGATE PLC ........................ 442 313,914 UNILEVER LTD ....................... 3,520 74,901 UNILEVER NV CERT ................... 6,406 4,523 UNITED BISCUITS HOLDINGS PLC ....... 18 6,640 VISCOFAN S.A. ...................... 215 7,000 YAMAZAKI BAKING CO LTD ............. 91 ------- 144,746 ------- FOOD STORES--2.19% 38,667 ALBERTSONS, INC .................... 2,463 14,811 CARREFOUR SUPERMARCHE S.A. ......... 11,186 13,600(degree)CASINO GUICHARD-PERRACHON S.A. .... 1,417 438 COLRUYT S.A. ....................... 367 826 DAIRY FARM INTERNATIONAL HOLDINGS LTD 1 6,600 DELHAIZE FRERES NV ................. 584 178,000 ITO-YOKADO CO LTD .................. 12,466 6,350(degree)JERONIMO MARTINS SGPS S.A. ........ 347 160,891 KONINKLIJKE AHOLD NV ............... 5,950 52,171(degree)KROGER CO ......................... 3,156 6,700 OSHAWA GROUP LTD (CLASS A) ......... 159 2,811 PROMODES S.A. ...................... 2,045 28,320 RINASCENTE S.P.A. .................. 292 138,700 SAFEWAY PLC ........................ 697 1,433,269(degree)SAFEWAY, INC ...................... 87,340 178,015 SAINSBURY (J) PLC .................. 1,427 See notes to financial statements. 45 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- FOOD STORES--(CONTINUED) 820,934 TESCO PLC .......................... $ 2,339 13,000 UNY CO LTD ......................... 238 ------- 132,474 ------- FORESTRY--0.00% 2,100 CORTICEIRA AMORIM S.A. ............. 30 1,300 GEORGIA-PACIFIC CORP (TIMBER GROUP) 31 10,000 KUALA LUMPUR KEPONG BERHAD ......... 12 ------- 73 ------- FURNITURE AND FIXTURES--0.02% 322,900(degree)OLIVETTI GROUP S.P.A. ............. 1,126 ------- FURNITURE AND HOMEFURNISHINGS STORES--0.02% 10,000 SHIMACHU CO ........................ 199 24,861 TANDY CORP ......................... 1,024 ------- 1,223 ------- GENERAL BUILDING CONTRACTORS--0.07% 51,820 AMEC PLC ........................... 153 23,100 BERKELEY GROUP PLC ................. 169 15,186 CENTEX CORP ........................ 684 75,000 DAIWA HOUSE INDUSTRY CO LTD ........ 800 91,000(degree)EKRAN BERHAD ...................... 17 50,000 FLETCHER CHALLENGE LTD (BUILDING DIVISION) ............... 77 148,000(degree)FUJITA CORP ....................... 83 136,000 IGB CORP BERHAD .................... 35 38,700 LEIGHTON HOLDINGS LTD .............. 166 38,164 MISAWA HOMES CO LTD ................ 118 34,000 NISHIMATSU CONSTRUCTION CO LTD ..... 199 56,000 OBAYASHI CORP ...................... 269 34,000 SHIMIZU CORP ....................... 114 11,900 SKANSKA AB SERIES B FREE ........... 330 1,360(degree)SOCIEDADE DE CONSTR SOARES DA COS BABY 4 188,000 TAISEI CORP ........................ 362 59,300 TAYLOR WOODROW PLC ................. 148 51,371 WILSON (CONNOLLY) HOLDINGS PLC ..... 92 74,100 WIMPEY (GEORGE) LTD ................ 134 16,500 YTL CORP BERHAD .................... 15 ------- 3,969 ------- GENERAL MERCHANDISE STORES--2.00% 629,518 COLES MYER LTD ..................... 3,302 39,000 DAIEI, INC ......................... 106 99,000 DAVID JONES LTD .................... 109 519,284 DAYTON HUDSON CORP ................. 28,171 206,000 GIORDANO INTERNATIONAL LTD ......... 39 12,000 HAGEMEYER NV ....................... 439 8,000 HANKYU DEPARTMENT STORES, INC ...... 53 8,000 ISETAN CO .......................... 86 180 JELMOLI HOLDINGS AG. (BR) .......... 202 42,000(degree)JUSCO CO LTD ...................... 851 126,254(degree)K MART CORP ....................... 1,933 1,350(degree)KARSTADT AG. ...................... 705 10,500 KESCO OYJ .......................... 158 244,884 KINGFISHER PLC ..................... 2,650 273,536 MARKS & SPENCER PLC ................ 1,876 313,000 MARUI CO LTD ....................... 6,035 16,186 MAY DEPARTMENT STORES CO ........... 977 37,500 METRO AG. .......................... 2,994 32,000 METRO HOLDINGS LTD ................. 30 70,200 MYCAL CORP ......................... 419 3,410 PENNEY (J.C.) CO, INC .............. 160 11,500 PINAULT-PRINTEMPS-REDOUTE S.A. ..... 2,199 28,454(degree)SEARS PLC ......................... 123 90,273 SEARS ROEBUCK & CO ................. 3,837 954 SELFRIDGES PLC ..................... 3 2,700 SONAE INVESTIMENTOS-SGPS S.A. ...... 131 6,800 STOCKMANN B FREE ................... 128 32,000 TAKASHIMAYA CO LTD ................. 270 776,170 WAL-MART STORES, INC ............... 63,209 97,639 WATERFORD WEDGWOOD PLC (UNITS) ..... 83 ------- 121,278 ------- HEALTH SERVICES--0.34% 31,707 COLUMBIA/HCA HEALTHCARE CORP ....... 785 15,700(degree)EXTENDICARE, INC (CLASS A) ........ 89 2,700(degree)HCR MANOR CARE .................... 79 84,151(degree)HEALTHSOUTH CORP .................. 1,299 13,300 MDS, INC (CLASS B) ................. 255 50,800(degree)MEDPARTNERS, INC .................. 267 87(degree)QUEST DIAGNOSTICS, INC ............ 2 666,700(degree)TENET HEALTHCARE CORP ............. 17,501 ------- 20,277 ------- HEAVY CONSTRUCTION, EXCEPT BUILDING--0.59% 9,800(degree)ACS ACTIVIDADES CONS Y SERV ....... 387 82,000(degree)AOKI CONSTRUCTION CO LTD .......... 39 20,980 AUTOPISTAS CONCESIONARIA ESPANOLA S.A. 349 1,286 BOUYGUES S.A. ...................... 265 535,800 BRISA-AUTO ESTRADAS DE PORTUGAL S.A. 31,539 30,000(degree)CHIYODA CORP ...................... 57 4,300 DRAGADOS Y CONSTRUCCIONES S.A. ..... 159 2,328 ENGIL-SGPS ......................... 16 9,100 FOMENTO CONSTRUCCIONES Y CONTRATAS S.A. ..................... 678 18,000 HOCHTIEF AG. ....................... 702 2,753 HOLLANDSCHE BETON GROEP NV (H.B.G.) 34 80,000(degree)IMPREGILO S.P.A. .................. 72 39,000 JGC CONSTRUCTION CORP .............. 92 142,000 KAJIMA CORP ........................ 371 14,000 KUMAGAI GUMI LTD (H.K.) ............ 6 25,000 MAEDA ROAD CONSTRUCTION CO LTD ..... 168 1,146(degree)MORRISON KNUDSEN CORP WTS 03/11/03 4 38,000(degree)NIIGATA ENGINEERING CO LTD ........ 31 25,000 OKUMURA CORP ....................... 111 6,000(degree)RENONG BERHAD ..................... 1 50,000 SATO KOGYO ......................... 38 1,700 (degree)SOCIEDADE DE CONSTRUCOES SOARES DA COS ..................... 6 2,511 SOMAGUE-SGPS S.A. .................. 15 2,500 SUPERFOS AS ........................ 37 9,000 TOYO EXTERIOR CORP ................. 88 60,000 #(degree)UNITED ENGINEERING BERHAD ... 31 119,000 UNITED INDUSTRIAL CORP ............. 48 700 VA TECHNOLOGIE AG. (BR) ............ 61 ------- 35,405 ------- HOLDING AND OTHER INVESTMENT OFFICES--0.24% 207,145(degree)ALLIED ZURICH PLC ................. 3,090 497,200 BRIERLEY INVESTMENTS LTD ........... 113 8,900(degree)DROTT AB SERIES B ................. 82 64,478 EQUITY OFFICE PROPERTIES TRUST ..... 1,547 15,100 EQUITY RESIDENTIAL PROPERTIES TRUST CO 611 945 EURAFRANCE S.A. .................... 626 411,000 HUTCHINSON WHAMPOA LTD ............. 2,905 92,885 LAND SECURITIES PLC ................ 1,196 210,000 LEND LEASE CORP LTD ................ 2,834 See notes to financial statements. 46 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- HOLDING AND OTHER INVESTMENT OFFICES--(CONTINUED) 18,600 ORIENTAL HOLDINGS .................. $ 20 28,000 POWER CORP OF CANADA ............... 605 9,530 SIMON PROPERTY GROUP, INC .......... 272 72,000 SUMITOMO CORP ...................... 351 556,400(degree)UNIONE IMMOBILIARE S.P.A. ......... 291 3,249(degree)WESTFIELD TRUST (UNITS) NEW ....... 7 ------- 14,550 ------- HOTELS AND OTHER LODGING PLACES--0.05% 5,857 ACCOR S.A. ......................... 1,269 3,900(degree)CLUB MEDITERRANEE S.A. ............ 350 5,237(degree)CRESTLINE CAPITAL CORP ............ 77 102,700(degree)CROWN LTD ......................... 38 5,000 FUJITA KANKO, INC .................. 44 8,000 GENTING BERHAD ..................... 12 206,000 HONG KONG & SHANGHAI HOTELS LTD .... 146 127,000 HOTEL PROPERTIES LTD ............... 54 8,000 JURYS HOTEL GROUP PLC .............. 61 18,572 LADBROKE GROUP PLC ................. 75 122,000 LANDMARKS HOLDINGS BERHAD .......... 23 118,000 MIRAMAR HOTEL & INVESTMENT CO LTD .. 121 14,159(degree)PROMUS HOTEL CORP ................. 458 69,000 RESORTS WORLD BERHAD ............... 56 62,000 SHANGRI-LA ASIA LTD ................ 53 13,000 SHANGRI-LA HOTEL LTD ............... 21 7,300 SOL MELIA S.A. ..................... 255 ------- 3,113 ------- INDUSTRIAL MACHINERY AND EQUIPMENT--7.05% 750 ABB ASEA BROWN BOVERI LTD (BR) ..... 879 9,800 AGIV AG. ........................... 253 22,000 AMADA CO LTD ....................... 107 23,000 AMANO CORP ......................... 218 34,000(degree)APPLE COMPUTER, INC ............... 1,392 45,200(degree)APPLIED MATERIALS, INC ............ 1,929 18,200 ATLAS COPCO AB SERIES B FREE ....... 395 39,242 BAKER HUGHES, INC .................. 694 7,342 BLACK & DECKER CORP ................ 412 1,200 BRUNSWICK CORP ..................... 30 650(degree)BUDERUS AG. ....................... 237 7,400 CASE CORP .......................... 161 24,833 CATERPILLAR, INC ................... 1,142 861,617(degree)CISCO SYSTEMS, INC ................ 79,969 6,941 CUMMINS ENGINE CO, INC ............. 246 42,000 DAIKIN INDUSTRIES LTD .............. 417 24,104 DEERE & CO ......................... 798 302,818(degree)DELL COMPUTER CORP ................ 22,162 18,360 DELTA PLC .......................... 34 13,000(degree)DEUTZ AG. ......................... 121 10,000 EBARA CORP ......................... 86 71,105(degree)EMC CORP .......................... 6,044 1,600(degree)EST ASIATIQUE ..................... 11 27,200 FANUC LTD .......................... 933 111,544 FKI PLC ............................ 250 4,000 FLS INDUSTRIES AS (CLASS B) ........ 82 103,991 FUTURIS CORP LTD ................... 118 20(degree)GLOBAL INDUSTRIAL TECHNOLOGIES, INC 0 107,364 HEWLETT-PACKARD CO ................. 7,334 6,000 HITACHI ZOSEN CORP ................. 8 5,000 INDUSTRIE-WERKE KARLSRUHE AUGSBURG AG. ...................... 82 30,013 INGERSOLL-RAND CO .................. 1,409 416,649 INTERNATIONAL BUSINESS MACHINES CORP 76,976 632,500 KEPPEL CORP ........................ 1,694 57,000 KOMATSU LTD ........................ 300 18,000 KOMORI CORP ........................ 380 655 KONE CORP SERIES B ................. 76 117,000 KUBOTA CORP ........................ 350 11,000 KURITA WATER INDUSTRIES LTD ........ 162 120 LINDE AG. .......................... 74 15,000 MAKINO MILLING MACHINE CO LTD ...... 86 35,000 MAKITA CORP ........................ 391 6,520 METRA CO SERIES B .................. 113 293,000 MINEBEA CO LTD ..................... 3,361 39,452 MINNESOTA MINING & MANUFACTURING CO 2,806 441,000 MITSUBISHI HEAVY INDUSTRIES LTD .... 1,720 17,000 MORI SEIKI CO LTD .................. 193 89,800 NIDEC CORP ......................... 11,010 33,000 OKUMA CORP ......................... 172 4,000 OMRON CORP ......................... 55 1,013 RAUMA OY ........................... 15 20,000 SANDVIK AB SERIES A ................ 348 6,100 SANDVIK AB SERIES B FREE ........... 105 320 SCHINDLER HOLDINGS LTD (REGD) ...... 545 62,662(degree)SEAGATE TECHNOLOGY, INC ........... 1,896 143,700 SIDEL S.A. ......................... 12,193 2,674 STORK NV ........................... 61 100 SULZER WINTERTHUR AG. (REGD) ....... 61 11,600 SVENKA KULLAGERFABRIKEN AB SERIES B 135 12,000 TAKUMA CO LTD ...................... 77 2,000 TOMRA SYSTEMS AS ................... 66 11,100 TOYODA AUTOMATIC LOOM WORKS LTD .... 197 27,000 TSUBAKIMOTO CHAIN CO ............... 58 5,000(degree)TSUGAMI CORP ...................... 5 1,656,730 TYCO INTERNATIONAL LTD ............. 124,980 1,676,165(degree)UNISYS CORP ....................... 57,723 7,400(degree)VALMET OY SERIES A ................ 99 36,000(degree)VAN DER HORST LTD ................. 9 40,500 VICKERS PLC ........................ 122 2,333 ZARDOYA OTIS S.A. .................. 73 ------- 426,640 ------- INSTRUMENTS AND RELATED PRODUCTS--2.08% 6,000 ASAHI OPTICAL CO LTD ............... 21 31,041 BAXTER INTERNATIONAL, INC .......... 1,996 10,520 BECTON DICKINSON & CO .............. 449 91,000 CANON, INC ......................... 1,948 35,000 CASIO COMPUTER CO LTD .............. 259 11,000 CITIZEN WATCH CO LTD ............... 66 50,700 EASTMAN KODAK CO ................... 3,650 2,112 ESSILOR INTERNATIONAL .............. 832 54,000 FUJI PHOTO FILM CO LTD ............. 2,011 75,700 IMI PLC ............................ 299 2,630 INSTRUMENTARIUM GROUP SERIES B FREE 109 14,941 JOHNSON CONTROLS, INC .............. 882 90,000 KONICA CORP ........................ 411 3,798(degree)LITTON INDUSTRIES, INC ............ 248 571,000 NIKON CORP ......................... 5,568 9,300 OCE NV ............................. 334 715,000 OLYMPUS OPTICAL CO LTD ............. 8,234 7,430 OXFORD INSTRUMENTS GROUP PLC ....... 25 1,000 RADIOMETER AS (CLASS B) ............ 53 1,077(degree)RICOH CO LTD ...................... 10 1,087 SAGEM S.A. ......................... 720 15,770,740 SIEBE PLC .......................... 62,187 See notes to financial statements. 47 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- INSTRUMENTS AND RELATED PRODUCTS--(CONTINUED) 12,200 TEKTRONIX, INC ..................... $ 367 5,577 THE SWATCH GROUP AG. (REGD) ........ 835 166,843 WILLIAMS PLC ....................... 947 279,628 XEROX CORP ......................... 32,996 54,000 YOKOGAWA ELECTRIC CORP ............. 268 ------- 125,725 ------- INSURANCE AGENTS, BROKERS AND SERVICE--0.06% 10,057 (degree)FORTIS AG. .................. 3,645 4,662(degree)FORTIS AG. CVG .................... 21 5,494 FORTIS AG. NPV (STRIP VVPR) ........ 0 326 GENERALI HOLDING VIENNA ............ 80 ------- 3,746 ------- INSURANCE CARRIERS--7.22% 2,550 AACHENER & MUNCHENER BETEIL (BR) ... 300 7,500 AACHENER & MUNCHENER BETEIL (REGD) . 1,103 1,014,882 ACE LTD ............................ 34,950 591,000 AEGON NV ........................... 72,619 22 AEGON NV ARS ....................... 3 6,343 AETNA, INC ......................... 499 42,647 AFLAC, INC ......................... 1,876 29 ALLEANZA ASSICURAZIONI (S/S) NON CV 0 28,739 ALLIANZ AG. (REGD) ................. 10,542 480,512 ALLSTATE CORP ...................... 18,560 668,122 AMERICAN INTERNATIONAL GROUP, INC .. 64,557 386,000(degree)AMP LTD ........................... 4,895 4,700 AON CORP ........................... 260 120,964 ASSICURAZIONI GENERALI S.P.A. ...... 5,061 466,155 AXA ................................ 67,593 666(degree)AXA CTF DE VALEUR GARANT .......... 3 29(degree)BERKSHIRE HATHAWAY, INC (CLASS A) . 2,030 10(degree)BERKSHIRE HATHAWAY, INC (CLASS B) . 24 153,254 CGU PLC ............................ 2,399 9,200 CHUBB CORP ......................... 597 42,670 CIGNA CORP ......................... 3,299 817,090 CITIGROUP, INC ..................... 40,446 6,599 COLONIA KONZERN AG. (REGD) ......... 749 1,300 COMPANHIA DE SEGUROS TRANQUILIDADE . 41 1,000 CORPORACION MAPFRE S.A. ............ 27 323,811 EXEL LTD (CLASS A) ................. 24,286 1,700(degree)FAIRFAX FINANCIAL HOLDINGS LTD .... 598 39,704 GIO AUSTRALIAN HOLDINGS LTD ........ 131 85,300 GUARDIAN ROYAL EXCHANGE PLC ........ 478 12,547 HARTFORD FINANCIAL SERVICES GROUP, INC 689 461,400 INSTITUTO NAZIONALE DELLE ASSICURAZION 1,221 47,389 IRISH LIFE ......................... 447 23,503 JEFFERSON-PILOT CORP ............... 1,763 205,869 LEGAL & GENERAL GROUP PLC .......... 2,673 7,000 LINCOLN NATIONAL CORP .............. 573 2,500 MBIA, INC .......................... 164 79,000 MITSUI TAISHO MARINE & FIRE CO LTD . 417 8,310 MUENCHENER RUECKVER AG. (REGD) ..... 4,026 700 MUENCHENER RUECKVER GESELLSCHAFT AG. (BR) .......................... 230 68,000 NICHIDO FIRE & MARINE INSURANCE CO LTD 335 79,000 NIPPON FIRE & MARINE INSURANCE CO LTD 291 20,300(degree)OXFORD HEALTH PLANS, INC .......... 302 2,000(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS A) 146 8,600(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS B) 684 5,300 POHJOLA INSURANCE CO LTD SERIES B .. 291 184,876 PRUDENTIAL CORP PLC ................ 2,791 234,526 QBE INSURANCE GROUP LTD ............ 971 65,000 RAS S.P.A. ......................... 944 149,940 ROYAL & SUN ALLIANCE INSURANCE GROUP PLC ......................... 1,224 18,400 SAI S.P.A. ......................... 222 7,200(degree)SAMPO INSURANCE CO SERIES A ....... 275 1,723 SCHWEIZERISCHE RUCKVERSICHERUNG (REGD) 4,492 52,000 SKANDIA FORSAKRINGS AB ............. 795 11,600 UNI-STOREBRAND AS SERIES A ......... 88 65,972 SUMITOMO MARINE & FIRE INSURANCE CO 419 13,015 SUNAMERICA, INC .................... 1,056 639,000 TOKIO MARINE & FIRE INSURANCE CO LTD 7,648 12,500 TORCHMARK CORP ..................... 441 892,154 UNITED HEALTHCARE CORP ............. 38,418 20,900 UNUM CORP .......................... 1,220 4,823(degree)ZURICH ALLIED AG. ................. 3,571 ------- 436,753 ------- LOCAL AND INTERURBAN PASSENGER TRANSIT--0.18% 1,720 EAST JAPAN RAILWAY CO .............. 9,622 50,286 LAIDLAW, INC ....................... 506 224,500 STAGECOACH HOLDINGS PLC ............ 894 ------- 11,022 ------- LUMBER AND WOOD PRODUCTS--0.18% 382,300 CARTER HOLT HARVEY LTD ............. 343 207,060 FLETCHER CHALLENGE LTD (FORESTS DIVISION) 69 23,850 GEORGIA-PACIFIC CORP (PACKAGING GROUP) 1,397 18,000 JAYA TIASA HOLDINGS BERHAD ......... 17 400 LOUISIANA PACIFIC CORP ............. 7 26,200 MACMILLAN BLOEDEL LTD .............. 261 808,900 SEKISUI HOUSE LTD .................. 8,569 15,000 SUMITOMO FORESTRY CO LTD ........... 108 3,700 WEYERHAEUSER CO .................... 188 ------- 10,959 ------- METAL MINING--0.16% 710(degree)ALUSUISSE LONZA HOLDINGS AG. (REGD) 827 14,100 BARRICK GOLD CORP .................. 274 33,900(degree)BARRICK GOLD CORP (U.S.) .......... 661 16,500 CAMBIOR, INC ....................... 81 5,100 CAMECO CORP ........................ 91 23,970 CYPRUS AMAX MINERALS CO ............ 240 31,000(degree)ECHO BAY MINES LTD ................ 53 3,000 ELKEM AS ........................... 36 4,500 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS A) ......................... 44 40,677 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) ......................... 425 77,109 GREAT CENTRAL MINES LTD ............ 55 19,000 HOMESTAKE MINING CO ................ 175 4,081 INCO LTD CO ........................ 43 3,000 INCO LTD CO (U.S.) ................. 32 42,819 LONRHO PLC ......................... 234 1,584,059 MIM HOLDINGS LTD ................... 700 260,000 MITSUBISHI MATERIALS CORP .......... 438 17,000 MITSUI MINING & SMELTING CO LTD .... 84 11,700 NEWMONT MINING CORP ................ 211 99,000 NIPPON LIGHT METAL CO LTD .......... 104 35,500 NORANDA, INC ....................... 352 243,392 NORMANDY MINING LTD ................ 225 28,680 NORTH LTD .......................... 47 13,900 OUTOKUMPU OY SERIES A .............. 128 26,900 PLACER DOME, INC ................... 306 59,000(degree)RESOLUTE SAMANTHA LTD ............. 42 14,300 RIO ALGOM LTD ...................... 153 156,900 RIO TINTO LTD ...................... 1,863 See notes to financial statements. 48 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- METAL MINING--(CONTINUED) 36,050 RIO TINTO PLC (BR) ................. $ 402 61,758 RIO TINTO PLC (REGD) ............... 718 6,300 SMITH (HOWARD) LTD ................. 42 29,392 SONS OF GWALIA NL .................. 84 58,300 STRAITS TRADING CO ................. 38 32,000 SUMITOMO METAL MINING CO LTD ....... 104 22,900 TECK CORP LTD (CLASS B) ............ 167 2,400 UNION MINIERE GROUP S.A. ........... 91 24,520(degree)WESTRALIAN SANDS LTD NEW .......... 59 102,000 WMC LTD ............................ 308 13,000(degree)ZIMBABWE PLATINUM MINES LTD ....... 3 ------- 9,940 ------- MISCELLANEOUS MANUFACTURING INDUSTRIES--0.01% 3,000 (degree)AMER GROUP LTD PLC SERIES A . 31 32,300(degree)BULGARI S.P.A. .................... 193 2,925 INTERNATIONAL GAME TECHNOLOGY CO ... 71 1,239 MATTEL, INC ........................ 28 632 RHI AG. ............................ 16 1,000 SEGA ENTERPRISES LTD ............... 22 26,000 VARITRONIX INTERNATIONAL LTD ....... 49 ------- 410 ------- MISCELLANEOUS RETAIL--0.17% 51,700 BOOTS CO LTD ....................... 880 32,205 CVS CORP ........................... 1,771 178,720 GREAT UNIVERSAL STORES PLC ......... 1,884 9,942 NEXT PLC ........................... 82 54,150(degree)STAPLES, INC ...................... 2,366 10,713(degree)TOYS R US, INC .................... 181 55,562 WALGREEN CO ........................ 3,254 ------- 10,418 ------- MOTION PICTURES--0.15% 272,062 DISNEY (WALT) CO ................... 8,162 2 PATHE S.A. ......................... 1 30,324 RANK GROUP PLC ..................... 117 3,000 TOEI CO ............................ 9 3,810 TOHO CO LTD ........................ 523 ------- 8,812 ------- NONDEPOSITORY INSTITUTIONS--1.43% 18,000 ACOM CO LTD ........................ 1,159 70,785 AMERICAN EXPRESS CO ................ 7,238 409,212 ASSOCIATES FIRST CAPITAL CORP ...... 17,340 1,300 CORPORACION FINANCIERE ALBA S.A. ... 217 3,200 COUNTRYWIDE CREDIT INDUSTRIES, INC . 161 11,162 CREDIT SAISON CO LTD ............... 276 584,548 FEDERAL NATIONAL MORTGAGE ASSOCIATION 43,257 227,800 HALIFAX PLC ........................ 3,233 110,082 ING GROEP NV ....................... 6,716 12,000 IRISH PERMANENT PLC ................ 181 67,700 MEDIOBANCA S.P.A. .................. 942 59,000 NIPPON SHINPAN CO LTD .............. 116 3,000 ORIX CORP .......................... 224 28,923 PROVIDENT FINANCIAL PLC ............ 426 26,795 SCHROEDERS LTD ..................... 489 13,700 SHOHKOH FUND & CO .................. 4,421 ------- 86,396 ------- NONMETALLIC MINERALS, EXCEPT FUELS--0.01% 234,398 ASHTON MINING LTD .................. 118 49,000(degree)GOLDEN PLUS HOLDINGS BERHAD ....... 10 7,900 POTASH CORP OF SASKATCHEWAN, INC ... 507 900 VULCAN MATERIALS CO ................ 118 ------- 753 ------- OIL AND GAS EXTRACTION--2.15% 13,200 ALBERTA ENERGY LTD ................. 284 8,875(degree)CANADIAN HUNTER EXPLORATION, INC .. 58 18,400(degree)CANADIAN NATURAL RESOURCES LTD .... 276 13,367 CANADIAN OCCIDENTAL PETROLEUM LTD .. 138 4,100 COFLEXIP S.A. ...................... 278 60,200 FLETCHER CHALLENGE LTD (ENERGY DIVISION) 114 17,500 GULF CANADA RESOURCES LTD .......... 51 54,669 HALLIBURTON CO ..................... 1,620 4,800 HELMERICH & PAYNE, INC ............. 93 2,353,450 +IHC CALAND NV ...................... 97,815 55,100 IMPERIAL OIL LTD ................... 881 2,875 KONINKLIJKE PAKHOED HOLDINGS NV .... 73 140,366 LONDON & SCOTTISH MARINE OIL PLC ... 234 1,200 OMV AKTIENGESELLS AG. .............. 113 1,903,550(degree)PETROLEUM GEO-SERVICES AS ......... 24,235 28,300(degree)POCO PETROLEUM LTD ................ 236 5,500 PRIMAGAZ ........................... 522 25,600(degree)RENAISSANCE ENERGY LTD ............ 291 3,000 SMEDVIG AS SERIES A ................ 25 4,800(degree)TALISMAN ENERGY, INC .............. 84 4,300 TECHNIP S.A. ....................... 405 25,240 TOTAL S.A. ......................... 2,557 15,000(degree)TULLOW OIL PLC .................... 12 ------- 130,395 ------- PAPER AND ALLIED PRODUCTS--0.27% 9,400 ABITIBI CONSOLIDATED, INC .......... 87 210,000 AMCOR LTD .......................... 898 174,700 ARJO WIGGINS APPLETON PLC .......... 321 900 AVERY DENNISON CORP ................ 41 145,000 BERJAYA GROUP BERHAD ............... 22 14,394 BOISE CASCADE CORP ................. 446 7,040 BUHRMANN NV ........................ 126 1,600 BUNZL PLC .......................... 6 10,800 CARTIERE BURGO S.P.A. .............. 70 24,400 CHAMPION INTERNATIONAL CORP ........ 988 16,600 DOMTAR, INC ........................ 96 103,900 FLETCHER CHALLENGE LTD (PAPER DIVISION) 70 56,438 FORT JAMES CORP .................... 2,258 20,279 INTERNATIONAL PAPER CO ............. 909 1,800(degree)INVESTIMENTOS PARTICIPACOES (BABY SHS) 19 2,700 INVESTIMENTOS PARTICIPACOES E GESTAO 28 182,929(degree)JEFFERSON SMURFIT GROUP PLC ....... 330 63,811 KIMBERLY CLARK CORP ................ 3,478 545(degree)MAYR-MELNHOF KARTON AG. ........... 25 62,000 MITSUBISHI PAPER MILLS LTD ......... 127 15,478(degree)NEXFOR, INC ....................... 61 74,000 NGK INSULATORS LTD ................. 956 43,000 NIPPON PAPER INDUSTRIES CO ......... 196 2,400 NORSKE SKOGINDUSTRIER SERIES A ..... 70 144,666 OJI PAPER CO LTD ................... 753 5,944 PORTUCEL INDUSTRIA EMPRESA ......... 39 35,520(degree)RENO DE MEDICI S.P.A. ............. 112 55,600(degree)REPAP ENTERPRISES, INC ............ 3 101,175 REXAM PLC .......................... 285 20,300 SCA AB SERIES B .................... 443 9,600 STORA KOPPARBERG BERGSLAGS SERIES A FREE ..................... 105 24,400 STORA KOPPARBERG BERGSLAGS SERIES B FREE ..................... 271 See notes to financial statements. 49 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- PAPER AND ALLIED PRODUCTS--(CONTINUED) 5,100 UNI CHARM CORP ..................... $ 240 17,700 UNION CAMP CORP .................... 1,195 37,400 UPM-KYMMENE OY ..................... 1,049 2,698 WESTVACO CORP ...................... 72 1,700 WILLAMETTE INDUSTRIES, INC ......... 57 ------- 16,252 ------- PERSONAL SERVICES--0.02% 23,625 BLOCK (H&R), INC ................... 1,063 400(degree)LOEWEN GROUP, INC ................. 3 1,100 SERVICE CORP INTERNATIONAL ......... 42 ------- 1,108 ------- PETROLEUM AND COAL PRODUCTS--3.62% 71,461 AMOCO CORP ......................... 4,216 16,201 ATLANTIC RICHFIELD CO .............. 1,057 442,090 BG PLC ............................. 2,790 2,416,741 BRITISH PETROLEUM PLC .............. 36,088 613,755 BROKEN HILL PROPRIETARY CO LTD ..... 4,525 99,891 CHEVRON CORP ....................... 8,285 127,000 COSMO OIL CO LTD ................... 193 32,139 ELF AQUITANE S.A. .................. 3,717 950,300 ENTE NAZIONALE IDROCARBURI S.P.A. .. 6,224 920,902 EXXON CORP ......................... 67,341 84,000(degree)MITSUBISHI OIL CO LTD ............. 148 392,696 MOBIL CORP ......................... 34,214 8,487 MURPHY OIL CORP .................... 350 159,800 NIPPON OIL CO LTD .................. 558 12,900 NORSK HYDRO AS ..................... 435 17,300 PETRO-CANADA (VARIABLE- VOTE) ...... 183 2,900 PETROFINA S.A. ..................... 1,330 33,608 REPSOL S.A. ........................ 1,795 845,705 ROYAL DUTCH PETROLEUM CO ........... 42,134 34,775 SANTOS LTD ......................... 93 7,100 SUNCOR ENERGY, INC ................. 213 24,116 SUNOCO, INC ........................ 870 33,788 UNOCAL CORP ........................ 986 33,265 USX-MARATHON GROUP, INC ............ 1,002 ------- 218,747 ------- PIPELINES, EXCEPT NATURAL GAS--0.01% 8,781 ENBRIDGE, INC ...................... 403 ------- PRIMARY METAL INDUSTRIES--0.23% 13,000 ALCAN ALUMINIUM CO LTD ............. 351 6,100 ALCAN ALUMINIUM CO LTD (U.S.) ...... 165 495 ALUMINUM CO OF AMERICA ............. 37 10,192 ASARCO, INC ........................ 154 200 BEKAERT S.A. ....................... 100 1,100 CO STEEL, INC ...................... 9 80,000 DAIDO STEEL CO LTD ................. 106 4,000 DANIELI & CO ....................... 29 20,100 ENGELHARD CORP ..................... 392 10,000 FLACK S.P.A. ....................... 82 2,850 GRANGES AB ......................... 41 3,500 HOOGOVENS NEN STAALIADRIEREN NV .... 97 23,000(degree)JAPAN METALS & CHEMICALS CO ....... 38 62,000(degree)JAPAN STEEL WORKS LTD ............. 77 225,000 KAWASAKI STEEL CORP ................ 337 41,390 MANNESMANN AG. ..................... 4,746 741,000 NIPPON STEEL CORP .................. 1,347 573,000 NKK CORP ........................... 391 700 NKT HOLDINGS AS .................... 44 19,819 NUCOR CORP ......................... 857 20,665 PECHINEY S.A. ...................... 675 1,234 PREUSSAG AKTIEGESELLSCHAFT AG. ..... 558 13,600(degree)RAUTARUUKKI SERIES K .............. 88 17,619 REYNOLDS METALS CO ................. 928 14,280 #(degree)SILVERSTONE BERHAD .......... 0 455,000 SUMITOMO METAL INDUSTRIES LTD ...... 520 6,625 SVENSKT STAL AB SERIES A (SSAB) .... 63 2,450 SVENSKT STAL AB SERIES B ........... 23 5,184(degree)THYSSEN AG. ....................... 962 20,500 TOKYO STEEL MANUFACTURING CO LTD ... 103 9,900 TRELLEBORG AB SERIES B FREE ........ 81 17,700 USX-US STEEL GROUP, INC ............ 407 ------- 13,808 ------- PRINTING AND PUBLISHING--3.37% 7,000 CLONDALKIN GROUP PLC (UNITS) ....... 50 94,000 DAI NIPPON PRINTING CO LTD ......... 1,502 20,618 DELUXE CORP ........................ 754 2,427 DONNELLEY (R.R.) & SONS CO ......... 106 23,956 DOW JONES & CO, INC ................ 1,153 79,300 ELSEVIER UTIGEVERSMIJ NV ........... 1,111 65,949 GANNETT CO, INC .................... 4,254 3,100 HARLAND (JOHN H.) CO ............... 49 33,144 INDEPENDENT NEWSPAPERS PLC ......... 133 15,000 MONDADORI (ARNOLDO) EDITORE S.P.A. . 199 8,100 MOORE CORP LTD ..................... 88 57,000 NEW STRAITS TIMES PRESS BERHAD ..... 28 735,269 NEWS CORP LTD ...................... 4,862 190,000 ORIENTAL PRESS GROUP ............... 18 6,535,165 PEARSON PLC ........................ 129,717 12,700 QUEBECOR, INC (CLASS B) ............ 272 173,977(degree)REED INTERNATIONAL PLC ............ 1,360 3,000 SCHIBSTED ASA ...................... 38 28,977 SINGAPORE PRESS HOLDINGS LTD ....... 316 368,000 SOUTH CHINA MORNING POST ........... 189 16,900 SOUTHAM, INC ....................... 257 60,000 THOMSON CORP ....................... 1,402 626,670 TIME WARNER, INC ................... 38,893 67,000 TOPPAN PRINTING CO LTD ............. 820 220,085 TRIBUNE CO ......................... 14,526 8,173 WOLTERS KLUWER NV .................. 1,750 ------- 203,847 ------- RAILROAD TRANSPORTATION--2.10% 71,000 BRAMBLES INDUSTRIES LTD ............ 1,731 78,089 BURLINGTON NORTHERN SANTA FE CORP .. 2,636 31,900 CANADIAN PACIFIC LTD ............... 596 10,932 CSX CORP ........................... 454 87,111 HANKYU CORP ........................ 383 66,000 KEIHIN ELECTRIC EXPRESS RAILWAY .... 208 256,797 KINKI NIPPON RAILWAY CO LTD ........ 1,377 109,125 NAGOYA RAILROAD CO LTD ............. 397 63,990 NANKAI ELECTRIC RAILWAY CO ......... 323 140,000 NIPPON EXPRESS CO LTD .............. 789 63,000 ODAKYU ELECTRIC RAILWAY CO LTD ..... 221 4,431,293 RAILTRACK GROUP PLC ................ 115,826 15,000 TOBU RAILWAY CO LTD ................ 44 49,000 UNION PACIFIC CORP ................. 2,208 ------- 127,193 ------- REAL ESTATE--0.27% 733,000 CHEUNG KONG HOLDINGS LTD ........... 5,275 39,319(degree)CHINESE ESTATES HOLDINGS WTS 11/24/99 2 39,319(degree)CHINESE ESTATES HOLDINGS WTS 11/24/00 2 59,225 CITY DEVELOPMENT LTD ............... 257 28,000 DAIWA KOSHO LEASE CO LTD ........... 115 69,000 DBS LAND LTD ....................... 102 See notes to financial statements. 50 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- REAL ESTATE--(CONTINUED) 6,000 DILIGENTIA AB ...................... $ 42 61,084(degree)EVERGO CHINA HOLDINGS LTD ......... 1 109,517 GENERAL PROPERTY TRUST ............. 205 65,216 HAMMERSON PLC ...................... 374 213,000 HANG LUNG DEVELOPMENT CO LTD ....... 228 165,000 HONG LEONG PROPERTIES BERHAD ....... 24 164,167 HYSAN DEVELOPMENT CO LTD ........... 245 10,400(degree)HYSAN DEVELOPMENT CO LTD WTS 04/30/99 0 5,000 MEPC PLC ........................... 33 175,000 METROPLEX BERHAD ................... 23 10,600(degree)METROVACESA ....................... 319 130,000 MITSUBISHI ESTATE CO LTD ........... 1,167 120,000 MITSUI FUDOSAN CO LTD .............. 910 186,250 MULPHA INTERNATIONAL BERHAD ........ 21 170,005 NEW WORLD DEVELOPMENT CO LTD ....... 428 4,997 SIMCO (REGD) ....................... 454 174,000 SINO LAND CO ....................... 93 101,900 SLOUGH ESTATES PLC ................. 463 65,000 STOCKLAND TRUST GROUP (UNITS) ...... 162 2,276(degree)STOCKLAND TRUST GROUP (UNITS) NEW . 5 454,837 SUN HUNG KAI PROPERTIES LTD ........ 3,317 136,000 TAI CHEUNG HOLDINGS LTD ............ 33 11,000 TOKYO TATEMONO CO LTD .............. 19 58,200 UNITED OVERSEAS LAND LTD ........... 40 11,233(degree)URBIS S.A. ........................ 175 3,900(degree)VALLEHERMOSO S.A. ................. 56 793,714 WESTFIELD TRUST (UNITS) ............ 1,753 ------- 16,343 ------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.58% 770 ADIDAS SALOMON AG. ................. 84 833 ARMSTRONG WORLD INDUSTRIES, INC .... 50 412,105 BRIDGESTONE CORP ................... 9,371 9,220(degree)CONTINENTAL AG. ................... 255 200 FORBO HOLDINGS AG. (REGD) .......... 87 8,702 GOODYEAR TIRE & RUBBER CO .......... 439 40,077 ILLINOIS TOOL WORKS, INC ........... 2,324 6,134 MICHELIN S.A. (CLASS B) ............ 245 68,104 NIKE, INC (CLASS B) ................ 2,762 23,000 OKAMATO INDUSTRIES, INC ............ 52 157,000 PACIFIC DUNLOP LTD ................. 254 232,200 PIRELLI S.P.A. ..................... 746 3,000(degree)SEALED AIR CORP ................... 153 814,887 SOLUTIA, INC ....................... 18,233 ------- 35,055 ------- SECURITY AND COMMODITY BROKERS--0.29% 171 CPR ................................ 8 214,000 DAIWA SECURITIES CO LTD ............ 732 237,000 ITOCHU CORP ........................ 458 270,000 MARUBENI CORP ...................... 464 7,514 MERRILL LYNCH & CO, INC ............ 502 178,000 MITSUBISHI CORP .................... 1,026 170,000 MITSUI & CO LTD .................... 951 886,000 NOMURA SECURITIES CO LTD ........... 7,737 7,000(degree)OM GRUPPEN AB ..................... 88 5,100 PAINE WEBBER GROUP, INC ............ 197 93,024 SCHWAB (CHARLES) CORP .............. 5,227 114,000 TA ENTERPRISE BERHAD ............... 26 275,000 x(degree)YAMAICHI SECURITIES CO LTD .. 5 ------- 17,421 ------- SPECIAL TRADE CONTRACTORS--0.02% 30,000 KANDENKO CO LTD .................... 203 13,000 KINDEN CORP ........................ 198 21,000 KYUNDENKO CO LTD ................... 142 11,485 SCHNEIDER S.A. ..................... 697 ------- 1,240 ------- STONE, CLAY, AND GLASS PRODUCTS--0.23% 3,400 AKER RGI ASA SERIES A .............. 36 81,000 ASAHI GLASS CO LTD ................. 503 65,847 BLUE CIRCLE INDUSTRIES PLC ......... 340 62,000 BORAL LTD .......................... 88 2,600 CBR NV ............................. 257 5,000 CEMENTIR S.P.A. .................... 6 7,708 CIMENTOS DE PORTUGAL ............... 246 5,600 CORNING, INC ....................... 252 405,200 CSR LTD ............................ 992 120 DYCKERHOFF AG. ..................... 33 55,200 ENGLISH CHINA CLAYS PLC ............ 152 700 GLAVERBEL S.A. ..................... 93 101,800 HANSON PLC ......................... 808 10,775 HEIDELBERGER ZEMENT AG. ............ 841 37,800(degree)HEPWORTH PLC ...................... 101 890 HOLDERBANK FINANCIERE GLARUS AG. (BR) 1,054 17,000(degree)HOYA CORP ......................... 829 41,000 INAX CORP .......................... 265 24,100(degree)ITALCEMENTI S.P.A. ................ 266 16,339 LAFARGE S.A. (BR) .................. 1,553 28,000 MALAYSIAN MOSAICS BERHAD ........... 7 74,314 MARLEY PLC ......................... 152 95,000 NIPPON SHEET GLASS CO LTD .......... 268 31,000 NORITAKE CO LTD .................... 160 13,863 OWENS CORNING CO ................... 491 59,000 PAN-MALAYSIA CEMENT WORKS BERHAD ... 12 178,800 PILKINGTON PLC ..................... 177 656,300 PIONEER INTERNATIONAL LTD .......... 1,389 2,998 RMC GROUP PLC ...................... 41 65 EUROC INDUSTRIA AB SERIES A ........ 2 11,787 ST. GOBAIN S.A. .................... 1,665 89,000 SUMITOMO OSAKA CEMENT CO LTD ....... 166 144,200 TAIHEIYO CEMENT CORP ............... 362 9,147 TARMAC PLC ......................... 17 4,700 TOTO LTD ........................... 38 400 WIENERBERGER BAUSTOFF AG. .......... 80 ------- 13,742 ------- TEXTILE MILL PRODUCTS--0.01% 7,259 BBA GROUP PLC ...................... 45 1,962 CHARGEURS S.A. ..................... 109 19,790 COURTAULDS TEXTILES PLC ............ 52 51,000 KURABO INDUSTRIES LTD .............. 52 7,000 MARZOTTO & FIGLI S.P.A. ............ 77 58,000 NISSHINBO INDUSTRY, INC ............ 203 17,000 TOYOBO CO LTD ...................... 22 ------- 560 ------- TOBACCO PRODUCTS--0.68% 168,345 BRITISH AMERICAN TOBACCO PLC ....... 1,480 56,900 IMASCO LTD ......................... 1,211 272,046 PHILIP MORRIS COS, INC ............. 14,554 29,000 ROTHMANS HOLDINGS LTD .............. 208 4,000 ROTHMANS OF PALL MALL BERHAD ....... 17 12,986 SEITA S.A. ......................... 814 896,100 TABACALERA S.A. SERIES A (REGD) .... 22,640 ------- 40,924 ------- See notes to financial statements. 51 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- TRANSPORTATION BY AIR--0.18% 182,000(degree)ALITALIA S.P.A. ................... $ 673 6,580(degree)ALL NIPPON AIRWAYS CO LTD ......... 22 21,920(degree)AMR CORP .......................... 1,302 1,500 AUSTRIAN AIRLINES/OEST LUFTV AG. ... 54 44,134 BRITISH AIRPORT AUTHORITIES PLC .... 515 148,949 BRITISH AIRWAYS PLC ................ 1,004 296,000 CATHAY PACIFIC AIRWAYS LTD ......... 294 23,400 DELTA AIRLINES, INC ................ 1,217 49,300 DEUTSCHE LUFTHANSA AG. (REGD) ...... 1,089 12,286(degree)FDX CORP .......................... 1,093 1,100 FLUGHAFEN WIEN AG. ................. 54 3,200 HONG KONG AIRCRAFT ENGINEERING CO LTD 4 161,600(degree)JAPAN AIRLINES CO LTD ............. 427 8,400 KLM (ROYAL DUTCH AIRLINES) NV ...... 254 21,000(degree)RYANAIR HOLDINGS PLC .............. 150 1,261 SAIRGROUP .......................... 313 4,200 SAS DANMARK AS ..................... 48 3,000 SAS NORGE ASA SERIES B ............. 25 58,000 SINGAPORE INTERNATIONAL AIRLINES LTD (FR) 425 17,663 SOUTHWEST AIRLINES CO .............. 396 182,400 SWIRE PACIFIC LTD (CLASS A) ........ 817 17,195(degree)U.S. AIRWAYS GROUP, INC ........... 894 ------- 11,070 ------- TRANSPORTATION EQUIPMENT--2.22% 102,477 BOEING CO .......................... 3,343 86,700 BOMBARDIER, INC (CLASS B) .......... 1,242 18,530 x(degree)BREMER VULKAN AG. ........... 8 290,878 BRITISH AEROSPACE PLC .............. 2,466 5,868 (degree)BRITISH AEROSPACE PLC WTS 11/15/00 145 27,200 CAE, INC ........................... 144 1,500 COBHAM GROUP PLC ................... 17 16,000 CYCLE & CARRIAGE LTD ............... 55 67,788(degree)DAIMLERCHRYSLER AG. ............... 6,695 346,277(degree)DAIMLERCHRYSLER (U.S.A.) .......... 33,264 118,600 DENSO CORP ......................... 2,197 18,200 EATON CORP ......................... 1,287 557,290 FIAT S.P.A. ........................ 1,940 10,253 GENERAL DYNAMICS CORP .............. 601 90,499 GENERAL MOTORS CORP ................ 6,476 66(degree)HALTER MARINE GROUP, INC .......... 0 29,651 HARLEY DAVIDSON, INC ............... 1,405 230,000 HONDA MOTOR CO LTD ................. 7,565 33,000 INCHAPE MOTORS ..................... 38 200,000 KAWASAKI HEAVY INDUSTRIES LTD ...... 470 2,500 KVAERNER INDUSTRIER AS SERIES A .... 49 160,462 LOCKHEED MARTIN CORP ............... 13,599 10,500 MAGNA INTERNATIONAL, INC ........... 652 34L(R)0 MAN AG. (STAMM) .................. 883 59,000(degree)MITSUI ENGINEERING & SHIP BUILDING CO LTD 59 17,114(degree)NAVISTAR INTERNATIONAL CORP ....... 488 301,000 NISSAN MOTOR CO LTD ................ 923 81,000 ORIENT CORP ........................ 181 8,263 PEUGEOT S.A. ....................... 1,279 3,500 RHEINMETALL AG. .................... 91 177,132 ROLLS ROYCE LTD .................... 734 33,000 SANDEN CORP ........................ 250 18,000 SHIMANO, INC ....................... 465 58,340 SIEMENS AG. ........................ 3,765 14,468 SUNDSTRAND CORP .................... 751 20,363 TEXTRON, INC ....................... 1,546 8,758 THOMSON-CSF ........................ 376 128,527 TI GROUP PLC ....................... 692 1,092,000 TOYOTA MOTOR CORP .................. 29,720 11,130 TRINITY INDUSTRIES, INC ............ 429 10,959 TRW, INC ........................... 616 31,384 UNITED TECHNOLOGIES CORP ........... 3,413 14,086 VALEO S.A. ......................... 1,111 19,610 VOLKSWAGEN AG. ..................... 1,566 46,300 VOLVO AB SERIES B FREE ............. 1,062 ------- 134,058 ------- TRANSPORTATION SERVICES--1.49% 13,300,100 AIRTOURS PLC ....................... 84,974 600 DANZAS HOLDINGS AG. (REGD) ......... 253 280,600 NATIONAL EXPRESS GROUP PLC ......... 5,210 1,770(degree)NEW WORLD INFRASTUCTURE LTD ....... 3 ------- 90,440 ------- TRUCKING AND WAREHOUSING--0.19% 10,700 CNF TRANSPORTATION, INC ............ 402 1,000 MITSUBISHI LOGISTICS CORP .......... 12 34,000 SEINO TRANSPORTATION CO LTD ........ 195 56,457 TNT POST GROUP NV .................. 1,820 629,122 YAMATO TRANSPORT CO LTD ............ 8,812 ------- 11,241 ------- WATER TRANSPORTATION--0.20% 3,100(degree)ASKO OYJ SERIES A ................. 53 3,600 BERGESEN D.Y. AS (CLASS B) ......... 42 472(degree)BONA SHIPHOLDING LTD .............. 1 70,765 CARNIVAL CORP (CLASS A) ............ 3,397 4,000 CHUAN HUP HOLDINGS LTD ............. 1 1,300 CMB CIE MARITIME BELGE S.A. ........ 58 88 DAMPSKIBSSELSKABET AF 1912 (CLASS B) 615 61 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) 618 2,200(degree)FINNLINES OY ...................... 95 950,000(degree)FIRST OLSEN TANKERS LTD ........... 4,925 43,200(degree)HAI SUN HUP WTS 05/10/02 .......... 3 4,500 IRISH CONTINENTAL GROUP PLC ........ 53 58,000 KAMIGUMI CO LTD .................... 282 57,000 KAWASAKI KISEN KAISHA LTD .......... 77 1,900 KONINKLIJKE NEDLLOYD GROEP NV ...... 26 1,500 LEIF HOEGH & CO .................... 18 56,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) 52 175,000 MITSUI OSK LINES LTD ............... 282 13,100(degree)NCL HOLDINGS AS ................... 31 200(degree)NEPTUNE ORIENT LINES LTD .......... 0 129,000 NIPPON YUSEN KABUSHIKI KAISHA ...... 408 16,830 OCEAN GROUP PLC .................... 212 78,579 PENINSULAR & ORIENTAL STEAM NAVIGATION CO ..................... 929 800 UNITOR AS .......................... 8 ------- 12,186 ------- WHOLESALE TRADE- DURABLE GOODS--0.09% 146,000 CANON SALES CO, INC ................ 2,070 17,000 DICKSON CONCEPTS INTERNATIONAL LTD . 13 648 DIETEREN S.A. ...................... 357 200 GENUINE PARTS CO ................... 7 27,800 IKON OFFICE SOLUTIONS, INC ......... 238 15,000(degree)SANRIO CO LTD ..................... 194 4,000 SEIKO CORP ......................... 17 84,000 #TAN CHONG INTERNATIONAL LTD ........ 8 28,000 TAN CHONG MOTOR HOLDINGS BERHAD .... 6 113,000(degree)TERUMO CORP ....................... 2,665 ------- 5,575 ------- See notes to financial statements. 52 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- WHOLESALE TRADE- NONDURABLE GOODS--0.68% 1,000(degree)AUSTRIA TABAKWERKE AG. ............ $ 77 490,779 CARDINAL HEALTH, INC ............... 37,230 41,500(degree)ERCROS S.A. ....................... 56 3,000 ESSELTE AB SERIES B FREE ........... 49 38,427 F.H. FAULDING & CO LTD ............. 181 25,000 FYFFES PLC ......................... 56 33,000 IWATANI & CO LTD ................... 67 8,000 KOKUYO CO LTD ...................... 108 7,095 LOBLAW COS LTD ..................... 173 29,000 NAGASE & CO ........................ 99 30,822 SUPERVALU, INC ..................... 863 43,770 SWEDISH MATCH CO ................... 159 30,926 SYSCO CORP ......................... 849 3,700 URALITA S.A. ....................... 41 19,300 WESTON (GEORGE) LTD ................ 735 --------- 40,743 --------- TOTAL COMMON STOCK (Cost $4,764,399) .................... 5,952,614 --------- PRINCIPAL SHORT TERM INVESTMENTS--1.13% COMMERCIAL PAPER--0.67% CIESCO LP $15,000,000 5.150%, 01/15/99 ................. 14,969 NORFOLK SOUTHERN CORP 2,000,000 ~ 6.050%, 01/05/99 ................. 1,999 341,000 ~ 6.300%, 01/08/99 ................. 341 THE STANLEY WORKS 23,000,000 ~ 5.200%, 01/26/99 ................. 22,918 --------- 40,227 --------- U.S. GOVERNMENT & AGENCIES--0.46% FEDERAL HOME LOAN BANK $10,000,000 4.800%, 01/22/99 ................. $ 9,972 15,000,000 4.840%, 01/27/99 ................. 14,948 FEDERAL HOME LOAN MORTGAGE CORP 3,000,000 4.990%, 02/04/99 ................. 2,986 --------- 27,906 --------- TOTAL SHORT TERM INVESTMENTS (Cost $68,161) ...................... 68,133 --------- TOTAL PORTFOLIO (Cost $4,838,167) ................... $6,030,329 ========== - ------------------------ (degree) Non-income producing + Affiliated holding x In bankruptcy ~ Commercial Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. # Restricted Securities-Investment in securities not registered under the Securities Act of 1933 or not publicly traded in foreign markets. At December 31, 1998, the value of these securities amounted to $467,984 or 0.01% of net assets. Additional information on each restricted security is as follows: ACQUISITION ACQUISITION SECURITY DATE COST - -------- ----------- ----------- KUMAGI GUMI WTS 12/31/99 06/29/98 $ 0 L'AIR LIQUIDE (REGD) 1996 10/29/96 318,656 SILVERSTONE BERHAD 01/08/98 804 TAN CHONG INTERNATIONAL LTD 05/22/98 22,691 UNITED ENGINEERING BERHAD 11/27/96 495,448 VIGLEN TECHNOLOGY LITIGATION NOTE 04/30/98 0 WHARF HOLDINGS LTD WTS 12/31/99 06/19/98 0 -------- $837,599 ======== See notes to financial statements. 53 COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES -- GLOBAL EQUITIES JANUARY 1, 1998 -- DECEMBER 31, 1998
VALUE AT REALIZED DIVIDEND ISSUE DECEMBER 31, 1997 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME ----- ----------------- ------------- -------------- ---------- ----------- ADAC LABORATORIES, INC NEW $ 23,706,576 -- $ 10,941,513 $ 7,358,388 -- ~CORPORATE SERVICES GROUP PLC 32,915,766 8,802,569 1,324,662 (551,879) 975,775 IHC CALAND NV 122,093,359 100,400 80,077 49,202 2,182,902 WESTWOOD ONE, INC 98,793,337 -- 5,659,186 2,444,228 -- ------------ ----------- ------------ ----------- ----------- TOTAL AFFILIATED TRANSACTIONS $277,509,038 $ 8,902,969 $ 18,005,438 $ 9,299,939 $ 3,158,677 ============ =========== ============ =========== ===========
SHARES AT VALUE AT ISSUE DECEMBER 31, 1998 DECEMBER 31, 1998 ----- ------------------ ----------------- ADAC LABORATORIES, INC NEW -- * ~CORPORATE SERVICES GROUP PLC -- * IHC CALAND NV 2,353,450 97,814,831 WESTWOOD ONE, INC -- * ----------- TOTAL AFFILIATED TRANSACTIONS $97,814,831 =========== * Not an Affiliate as of December 31, 1998 ~ Shares Outstanding Increased See notes to financial statements. 54 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT DECEMBER 31, 1998 SUMMARY BY INDUSTRY (000) VALUE % ----- ----- BONDS CORPORATE BONDS AUTOMOTIVE DEALERS AND SERVICE STATIONS ..... $ 7 0.00% -------- ----- TOTAL CORPORATE BONDS (Cost $8) ................................... 7 0.00 -------- ----- TOTAL BONDS (Cost $8) .................................... 7 0.00 -------- ----- PREFERRED STOCK HOLDING AND OTHER INVESTMENT OFFICES ........ 2 0.00 INSTRUMENTS AND RELATED PRODUCTS ............ 1 0.00 INSURANCE CARRIERS .......................... 277 0.01 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ........................... 202 0.00 -------- ----- TOTAL PREFERRED STOCK (Cost $417) ................................. 482 0.01 -------- ----- COMMON STOCK AGRICULTURAL PRODUCTION-CROPS ............... 696 0.01 AGRICULTURAL SERVICES ....................... 55 0.00 AMUSEMENT AND RECREATION SERVICES ........... 236,004 3.08 APPAREL AND ACCESSORY STORES ................ 28,055 0.37 APPAREL AND OTHER TEXTILE PRODUCTS .......... 4,466 0.06 AUTO REPAIR, SERVICES AND PARKING ........... 2,128 0.03 AUTOMOTIVE DEALERS AND SERVICE STATIONS ..... 905 0.01 BUILDING MATERIALS AND GARDEN SUPPLIES ...... 64,163 0.84 BUSINESS SERVICES ........................... 662,561 8.65 CHEMICALS AND ALLIED PRODUCTS ............... 1,117,144 14.58 COMMUNICATIONS .............................. 1,299,189 16.96 DEPOSITORY INSTITUTIONS ..................... 117,240 1.53 EATING AND DRINKING PLACES .................. 33,017 0.43 EDUCATIONAL SERVICES ........................ 4,863 0.06 ELECTRIC, GAS, AND SANITARY SERVICES ........ 285,062 3.72 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT ..... 920,359 12.01 ENGINEERING AND MANAGEMENT SERVICES ......... 9,889 0.13 FABRICATED METAL PRODUCTS ................... 52,740 0.69 FOOD AND KINDRED PRODUCTS ................... 194,013 2.53 FOOD STORES ................................. 24,638 0.32 FURNITURE AND FIXTURES ...................... 6,352 0.08 FURNITURE AND HOMEFURNISHINGS STORES ........ 14,091 0.18 GENERAL BUILDING CONTRACTORS ................ 1,834 0.02 GENERAL MERCHANDISE STORES .................. 95,933 1.25 HEALTH SERVICES ............................. 21,731 0.28 HEAVY CONSTRUCTION, EXCEPT BUILDING ......... 603 0.01 HOLDING AND OTHER INVESTMENT OFFICES ........ 5,461 0.07 HOTELS AND OTHER LODGING PLACES ............. 39,546 0.52 INDUSTRIAL MACHINERY AND EQUIPMENT .......... 826,246 10.79 INSTRUMENTS AND RELATED PRODUCTS ............ 118,564 1.55 INSURANCE AGENTS, BROKERS AND SERVICE ....... 1,594 0.02 INSURANCE CARRIERS .......................... 334,451 4.37 LEATHER AND LEATHER PRODUCTS ................ 48 0.00 LEGAL SERVICES .............................. 9 0.00 LOCAL AND INTERURBAN PASSENGER TRANSIT ...... 1,085 0.01 LUMBER AND WOOD PRODUCTS .................... 86 0.00 METAL MINING ................................ 2,610 0.03 MISCELLANEOUS MANUFACTURING INDUSTRIES ...... 4,874 0.06 MISCELLANEOUS RETAIL ........................ 53,656 0.70 MOTION PICTURES ............................. 37,620 0.49 NONDEPOSITORY INSTITUTIONS .................. 152,381 1.99 OIL AND GAS EXTRACTION ...................... 106,739 1.39 PAPER AND ALLIED PRODUCTS ................... 21,223 0.28 PERSONAL SERVICES ........................... 9,519 0.12 PETROLEUM AND COAL PRODUCTS ................. 1,718 0.02 PRIMARY METAL INDUSTRIES .................... 1,065 0.01 PRINTING AND PUBLISHING ..................... 38,074 0.50 RAILROAD TRANSPORTATION ..................... 2,114 0.03 REAL ESTATE ................................. 2,501 0.03 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ... 20,271 0.26 SECURITY AND COMMODITY BROKERS .............. 18,025 0.24 SOCIAL SERVICES ............................. 616 0.01 SPECIAL TRADE CONTRACTORS ................... 416 0.01 STONE, CLAY, AND GLASS PRODUCTS ............. 6,853 0.09 TEXTILE MILL PRODUCTS ....................... 37,181 0.49 TOBACCO PRODUCTS ............................ 72,355 0.95 TRANSPORTATION BY AIR ....................... 3,097 0.04 TRANSPORTATION EQUIPMENT .................... 93,610 1.22 TRANSPORTATION SERVICES ..................... 6,129 0.08 TRUCKING AND WAREHOUSING .................... 1,132 0.02 WATER TRANSPORTATION ........................ 83,529 1.09 WHOLESALE TRADE-DURABLE GOODS ............... 7,811 0.10 WHOLESALE TRADE-NONDURABLE GOODS ............ 127,711 1.67 --------- ----- TOTAL COMMON STOCK (Cost $5,712,871) ............................ 7,437,651 97.08 --------- ----- SHORT TERM INVESTMENTS COMMERCIAL PAPER ............................ 173,440 2.26 U.S. GOVERNMENT & AGENCIES .................. 65,617 0.86 --------- ----- TOTAL SHORT TERM INVESTMENTS (Cost $239,059) .............................. 239,057 3.12 --------- ----- TOTAL PORTFOLIO (Cost $5,952,355) ........................... 7,677,197 100.21 OTHER ASSETS & LIABILITIES, NET ............ (16,224) (0.21) ---------- ------ NET ASSETS .................................... $7,660,973 100.00% ========== ====== See notes to financial statements. 55 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT DECEMBER 31, 1998 VALUE PRINCIPAL (000) --------- ----- BONDS--0.00% CORPORATE BONDS--0.00% AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.00% (degree)UGLY DUCKLING CORP (SUB DEB) $6,500 12.000%, 10/23/03 ................ $ 7 ---------- TOTAL CORPORATE BONDS (Cost $8) ........................... 7 ---------- TOTAL BONDS (Cost $8) ............................ 7 ---------- SHARES ------ PREFERRED STOCK--0.01% HOLDING AND OTHER INVESTMENT OFFICES--0.00% 60 APARTMENT INVESTMENT & MANAGEMENT CO SERIES E ............ 2 ---------- INSTRUMENTS AND RELATED PRODUCTS--0.00% 32,800(degree)FRESENIUS MEDICAL CARE (CLASS D) .. 1 ---------- INSURANCE CARRIERS--0.01% 3,640 AETNA, INC SERIES C ................ 277 ---------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.00% 3,895 SEALED AIR CORP (CLASS A) .......... 202 ---------- TOTAL PREFERRED STOCK (Cost $417) .......................... 482 ---------- COMMON STOCK--97.08% AGRICULTURAL PRODUCTION-CROPS--0.01% 2,100(degree)AGRITOPE, INC ..................... 3 25,684 PIONEER-HI-BRED INTERNATIONAL, INC . 693 ---------- 696 ---------- AGRICULTURAL SERVICES--0.00% 5,100(degree)CADIZ, INC ........................ 39 800(degree)VETERINARY CENTERS OF AMERICA, INC 16 ---------- 55 ---------- AMUSEMENT AND RECREATION SERVICES--3.08% 8,995(degree)ANCHOR GAMING CO .................. 507 8,200 CHURCHILL DOWNS, INC ............... 270 42,934(degree)HARRAH'S ENTERTAINMENT, INC ....... 674 1,200(degree)INTERNATIONAL SPEEDWAY CORP (CLASS A ) 49 500(degree)MALIBU ENTERTAINMENT WORLDWIDE, INC 1 40(degree)MIRAGE RESORT, INC ................ 1 200(degree)PENN NATIONAL GAMING, INC ......... 1 300(degree)PLAYERS INTERNATIONAL, INC ........ 2 5,368,300 +(degree)PREMIER PARKS, INC .......... 162,391 1,311,650 (degree)SFX ENTERTAINMENT, INC (CLASS A) 71,977 1,500(degree)SPEEDWAY MOTORSPORTS, INC ......... 43 2,900(degree)WESTWOOD ONE, INC ................. 88 ---------- 236,004 ---------- APPAREL AND ACCESSORY STORES--0.37% 1,177(degree)ABERCROMBIE & FITCH CO (CLASS A) .. 83 1,400(degree)AMERICAN EAGLE OUTFITTERS, INC .... 93 3,200(degree)BUCKLE, INC ....................... 77 35,400(degree)CHILDRENS PLACE RETAIL STORES ..... 889 47 CLAIRES STORES, INC ................ 1 400(degree)DRESS BARN, INC ................... 6 200(degree)GADZOOKS, INC ..................... 2 296,538 GAP, INC ........................... 16,680 50(degree)JUST FOR FEET, INC ................ 1 21,050(degree)MENS WAREHOUSE, INC ............... 668 1,400 NORDSTROM, INC ..................... 49 25(degree)PACIFIC SUNWEAR CALIFORNIA, INC ... 0 80,000 ROSS STORES, INC ................... 3,150 200(degree)STEIN MART, INC ................... 1 375(degree)SYMS CORP ......................... 3 210,277 TJX COS, INC ....................... 6,098 8,400(degree)WET SEAL, INC (CLASS A) ........... 254 ---------- 28,055 ---------- APPAREL AND OTHER TEXTILE PRODUCTS--0.06% 1,600(degree)COLUMBIA SPORTSWEAR CO ............ 27 1,100(degree)DONNA KARAN INTERNATIONAL, INC .... 8 63,470(degree)FRUIT OF THE LOOM, INC (CLASS A) .. 877 2,475(degree)GUESS ?, INC ...................... 12 108,838(degree)JONES APPAREL GROUP, INC .......... 2,401 1,500 LIZ CLAIBORNE, INC ................. 47 58,400(degree)NAUTICA ENTERPRISES, INC .......... 876 200 OSHKOSH B'GOSH, INC (CLASS A) ...... 4 1,900 PILLOWTEX CORP ..................... 51 5,446(degree)QUIKSILVER, INC ................... 163 ---------- 4,466 ---------- AUTO REPAIR, SERVICES AND PARKING--0.03% 32,981(degree)AVIS RENT A CAR, INC .............. 798 26,109 HERTZ CORP (CLASS A) ............... 1,191 4,466 MIDAS, INC ......................... 139 ---------- 2,128 ---------- AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.01% 42 (degree)AUTOZONE, INC ............... 1 22,799(degree)CSK AUTO CORP ..................... 608 11,043(degree)GROUP 1 AUTOMOTIVE, INC ........... 287 200(degree)OREILLY AUTOMOTIVE, INC ........... 9 ---------- 905 ---------- BUILDING MATERIALS AND GARDEN SUPPLIES--0.84% 2,000 (degree)EAGLE HARDWARE & GARDEN, INC 65 70 FASTENAL CO ........................ 3 860,270 HOME DEPOT, INC .................... 52,638 223,825 LOWES COS, INC ..................... 11,457 ---------- 64,163 ---------- BUSINESS SERVICES--8.65% 2,300 AARON RENTS, INC ................... 35 10,000(degree)ABACUS DIRECT CORP ................ 455 52,400(degree)ACCLAIM ENTERTAINMENT, INC ........ 642 200(degree)ACTIVISION, INC ................... 2 16,060(degree)ACXIOM CORP ....................... 498 47,680 ADOBE SYSTEMS, INC ................. 2,229 200(degree)ADVANTAGE LEARNING SYSTEMS, INC ... 13 See notes to financial statements. 56 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- BUSINESS SERVICES--(CONTINUED) 23,410(degree)ADVO, INC ......................... $ 617 19,627(degree)AFFILIATED COMPUTER SERVICES, INC (CLASS A) ......................... 883 8,600(degree)ALTERNATIVE RESOURCES CORP ........ 91 261,740 AMERICA ONLINE, INC ................ 41,878 53,875(degree)AMERICAN MANAGEMENT SYSTEMS, INC .. 2,155 14,100 ANALYSTS INTERNATIONAL CORP ........ 271 17,700(degree)ANSWERTHINK CONSULTING GROUP ...... 476 46,600(degree)APAC TELESERVICES, INC ............ 176 300(degree)APPLIX, INC ....................... 1 7,500(degree)ARIS CORP ......................... 90 115,180(degree)ASCEND COMMUNICATIONS, INC ........ 7,573 48,120 AUTODESK, INC ...................... 2,054 123,960 AUTOMATIC DATA PROCESSING, INC ..... 9,940 136,380(degree)AVANT CORP ........................ 2,182 6,800(degree)AXENT TECHNOLOGIES, INC ........... 208 367(degree)AZTEC TECHNOLOGY PARTNERS, INC .... 1 14,900(degree)BA MERCHANT SERVICES, INC (CLASS A) 300 13,400(degree)BILLING CONCEPTS CORP ............. 147 150(degree)BISYS GROUP, INC .................. 8 163,700(degree)BMC SOFTWARE, INC ................. 7,295 1,135(degree)BOOLE & BABBAGE, INC .............. 33 13,400(degree)BORG-WARNER SECURITY CORP ......... 251 33,000(degree)BUILDING ONE SERVICE .............. 689 18,800(degree)CADENCE DESIGN SYSTEMS, INC ....... 559 21,023(degree)CARIBINER INTERNATIONAL, INC ...... 192 306,600(degree)CBT GROUP PLC ADR ................. 4,561 4,700(degree)CENTURY BUSINESS SERVICES, INC .... 68 32,700(degree)CERNER CORP ....................... 875 53,960(degree)CHECKFREE HOLDINGS CORP ........... 1,261 1,701(degree)CHOICEPOINT, INC .................. 110 2,816(degree)CIBER, INC ........................ 79 1,120(degree)CITRIX SYSTEMS, INC ............... 109 13,200(degree)CLARIFY, INC ...................... 323 3,600(degree)CMGI, INC ......................... 383 100(degree)CNET, INC ......................... 5 36,300(degree)COMDISCO, INC ..................... 613 21,200(degree)COMPLETE BUSINESS SOLUTIONS, INC .. 718 305,369 COMPUTER ASSOCIATES INTERNATIONAL, INC 13,016 38,565(degree)COMPUTER HORIZONS CORP ............ 1,027 11,600(degree)COMPUTER MANAGEMENT SCIENCES, INC . 202 81,418(degree)COMPUTER SCIENCES CORP ............ 5,246 66,178 COMPUTER TASK GROUP, INC ........... 1,795 125,220(degree)COMPUWARE CORP .................... 9,783 45(degree)COMSHARE, INC ..................... 0 15,500(degree)CONCORD COMMUNICATIONS, INC ....... 880 3,700(degree)CORT BUSINESS SERVICES CORP ....... 90 26,300(degree)COTELLIGENT, INC .................. 561 39,000(degree)CSG SYSTEMS INTERNATIONAL, INC .... 3,081 4,700(degree)DATA PROCESSING RESOURCES CORP .... 137 7,100(degree)DATASTREAM SYSTEMS, INC ........... 82 3,200(degree)DBT ONLINE, INC ................... 80 700(degree)DELTEK SYSTEMS, INC ............... 12 16,100(degree)DENDRITE INTERNATIONAL, INC ....... 402 2,600(degree)DOCUMENTUM, INC ................... 139 10,788(degree)DST SYSTEMS, INC .................. 616 12,300(degree)ELECTRO RENT CORP ................. 198 38,100(degree)ELECTRONIC ARTS, INC .............. 2,138 55,939 ELECTRONIC DATA SYSTEMS CORP ....... 2,811 65,800(degree)ELECTRONICS FOR IMAGING, INC ...... 2,644 800(degree)EMPLOYEE SOLUTIONS, INC ........... 2 8,800(degree)ENGINEERING ANIMATION, INC ........ 475 26,900(degree)ENVOY CORP ........................ 1,567 10,381 EQUIFAX, INC ....................... $ 355 50(degree)EXCALIBUR TECHNOLOGIES CORP ....... 0 7,299(degree)FACTSET RESEARCH SYSTEMS, INC ..... 451 14,685 FAIR ISSAC & CO, INC ............... 678 97(degree)FILENET CORP ...................... 1 600(degree)FIREARMS TRAINING SYSTEMS, INC .... 1 307,661 FIRST DATA CORP .................... 9,749 75(degree)FISERV, INC ....................... 4 21,600(degree)GENESYS TELECOMMUNICATIONS LABORATORIES, INC ................. 481 14,100(degree)GEOTEL COMMUNICATIONS CORP ........ 525 300(degree)GEOWORKS CORP ..................... 1 1,400 GERBER SCIENTIFIC, INC ............. 33 6,300(degree)GETTY IMAGES, INC ................. 108 32,900(degree)GT INTERACTIVE SOFTWARE CORP ...... 165 22,468(degree)GTECH HOLDINGS CORP ............... 576 361,400 HBO & CO ........................... 10,368 200(degree)HCIA, INC ......................... 1 29,940(degree)HNC SOFTWARE ...................... 1,211 90(degree)HYPERION SOLUTIONS CORP ........... 2 7,400(degree)ICON CMT CORP ..................... 118 100(degree)IMATION CORP ...................... 2 12,600(degree)IMRGLOBAL CORP .................... 371 35,956 IMS HEALTH, INC .................... 2,712 33,200(degree)INDUS INTERNATIONAL, INC .......... 232 105,600(degree)INFORMIX CORP ..................... 1,043 9,400(degree)INFOUSA, INC (CLASS B) ............ 49 800(degree)INTELIDATA TECHNOLOGIES CORP ...... 1 3,000(degree)INTELLIGROUP, INC ................. 54 19,513(degree)INTERIM SERVICES, INC ............. 456 24,800(degree)INTERNATIONAL NETWORK SERVICES .... 1,649 57,400(degree)INTERNATIONAL TELECOMMUNICATIONS .. 847 34,112 INTERPUBLIC GROUP OF COS, INC ...... 2,720 50(degree)INTUIT, INC ....................... 4 50,200(degree)J.D. EDWARDS & CO ................. 1,424 150(degree)JDA SOFTWARE GROUP, INC ........... 1 73,431(degree)KEANE, INC ........................ 2,933 18,880 KELLY SERVICES, INC (CLASS A) ...... 599 28,700(degree)LABOR READY, INC .................. 565 92,540(degree)LEARNING CO, INC .................. 2,400 80 (degree)LEGATO SYSTEMS, INC ......... 5 204,375 (degree)LERNOUT & HAUSPIE SPEECH PRODUCTS 6,668 10,300(degree)LHS GROUP, INC .................... 532 3,800(degree)LYCOS, INC ........................ 211 400(degree)MACROMEDIA, INC ................... 13 10,700(degree)MANHATTAN ASSOCIATES, INC ......... 292 103,701 MANPOWER, INC ...................... 2,612 19,000(degree)MAPICS, INC ....................... 314 22,700(degree)MASTECH CORP ...................... 650 7,800 MCGRATH RENTCORP ................... 172 29,500(degree)MEDQUIST, INC ..................... 1,165 100(degree)MERCURY INTERACTIVE CORP .......... 6 38,400(degree)METAMOR WORLDWIDE, INC ............ 960 9,800(degree)METRO INFORMATION SERVICES, INC ... 294 47(degree)MICRO FOCUS GROUP PLC ADR ......... 0 5,000(degree)MICROMUSE, INC .................... 98 2,675,634(degree)MICROSOFT CORP .................... 371,077 3,900(degree)MIDWAY GAMES, INC ................. 43 8,300(degree)MINDSPRING ENTERPRISES, INC ....... 507 100 NATIONAL COMPUTER SYSTEMS, INC ..... 4 1,500 NATIONAL DATA CORP ................. 73 4,700(degree)NCO GROUP, INC .................... 212 99(degree)NETSCAPE COMMUNICATIONS CORP ...... 6 19,900(degree)NETWORK APPLIANCE, INC ............ 896 300(degree)NETWORK PERIPHERALS, INC .......... 1 See notes to financial statements. 57 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- BUSINESS SERVICES--(CONTINUED) 4,800(degree)NETWORK SOLUTIONS, INC (CLASS A) .. $ 628 23,994(degree)NETWORKS ASSOCIATES, INC .......... 1,590 2,380 NIELSEN MEDIA RESEARCH ............. 43 67 NORRELL CORP ....................... 1 33,300(degree)NOVACARE EMPLOYEE SERVICES, INC ... 179 450(degree)NOVELL, INC ....................... 8 1,000(degree)OBJECTIVE SYSTEMS INTEGRATORS, INC 5 700(degree)ODS NETWORKS, INC ................. 2 34,989 OMNICOM GROUP, INC ................. 2,029 487,637(degree)ORACLE CORP ....................... 21,029 122,634(degree)PARAMETRIC TECHNOLOGY CORP ........ 1,993 131,037 PAYCHEX, INC ....................... 6,740 2,600(degree)PAYMENTECH, INC ................... 48 5,500(degree)PEGASUS SYSTEMS, INC .............. 198 400(degree)PEGASYSTEMS, INC .................. 2 75(degree)PEOPLESOFT, INC ................... 1 8,900(degree)PEREGRINE SYSTEMS, INC ............ 413 15,721(degree)PERSONNEL GROUP OF AMERICA, INC ... 275 2,400 #(degree)PHYSICIAN COMPUTER NETWORK, INC 0 22,491 PITTSTON BRINKS GROUP CO ........... 717 88,100(degree)PLATINUM TECHNOLOGY, INC .......... 1,685 56,555(degree)POLICY MANAGEMENT SYSTEMS CORP .... 2,856 21,550(degree)PROGRESS SOFTWARE CORP ............ 727 10,100(degree)PROJECT SOFTWARE & DEVELOPMENT, INC 338 6,200(degree)QRS CORP .......................... 298 400(degree)QUADRAMED CORP .................... 8 110,029(degree)RATIONAL SOFTWARE CORP ............ 2,916 9,200(degree)REALNETWORKS, INC ................. 330 80(degree)REMEDY CORP ....................... 1 2,200(degree)RENT WAY, INC ..................... 53 18,200(degree)RENTERS CHOICE, INC ............... 578 106,942(degree)ROBERT HALF INTERNATIONAL, INC .... 4,779 23,842 ROLLINS, INC ....................... 417 47,986(degree)ROMAC INTERNATIONAL, INC .......... 1,068 17,684(degree)SABRE GROUP HOLDINGS, INC ......... 787 2,600(degree)SANCHEZ COMPUTER ASSOCIATES, INC .. 76 900(degree)SANTA CRUZ OPERATION, INC ......... 4 5,500(degree)SAPIENT CORP ...................... 308 16,800 SEI INVESTMENT CO .................. 1,670 12,707 SHARED MEDICAL SYSTEMS CORP ........ 634 70,048(degree)SIEBEL SYSTEMS, INC ............... 2,377 36,453(degree)SITEL CORP ........................ 89 21,954 SOTHEBYS HOLDINGS, INC (CLASS A) ... 703 15,050(degree)SPR, INC .......................... 260 8,200(degree)SS&C TECHNOLOGIES, INC ............ 101 25,200(degree)STAFFMARK, INC .................... 564 69,643(degree)STERLING SOFTWARE, INC ............ 1,885 5,440 (degree)STRUCTURAL DYNAMICS RESEARCH CORP 108 169,210 (degree)SUN MICROSYSTEMS, INC ....... 14,489 216(degree)SUNGARD DATA SYSTEMS, INC ......... 9 400(degree)SUNQUEST INFORMATION SYSTEMS, INC . 6 20,800(degree)SYKES ENTERPRISES, INC ............ 634 3,243(degree)SYMANTEC CORP ..................... 71 302(degree)SYNOPSYS, INC ..................... 16 75,700(degree)SYNTEL, INC ....................... 856 15,300(degree)SYSTEMS & COMPUTER TECHNOLOGY CORP 210 200(degree)TCSI CORP ......................... 0 25,300(degree)TELETECH HOLDINGS, INC ............ 259 39,900(degree)TMP WORLDWIDE, INC ................ 1,676 47,900 TOTAL SYSTEM SERVICES, INC ......... 1,126 7,120(degree)TRANSACTION SYSTEM ARCHITECTURE ... 356 46,804 TRUE NORTH COMMUNICATIONS, INC ..... 1,258 39,159(degree)UNITED RENTALS, INC ............... 1,297 47,050(degree)USWEB CORP ........................ $ 1,241 4,200(degree)VERISIGN, INC ..................... 248 400(degree)VERITAS SOFTWARE CORP ............. 24 3,020(degree)VIASOFT, INC ...................... 21 900(degree)VINCAM GROUP, INC ................. 16 80(degree)WANG LABORATORIES, INC ............ 2 21,800(degree)WEST TELESERVICES CORP ............ 213 4,500(degree)WESTAFF, INC ...................... 28 250(degree)WIND RIVER SYSTEMS, INC ........... 12 34,398(degree)YAHOO, INC ........................ 8,150 33,600(degree)YOUNG & RUBICAM, INC .............. 1,088 ---------- 662,561 ---------- CHEMICALS AND ALLIED PRODUCTS--14.58% 1,821,036 ABBOTT LABORATORIES CO ............. 89,231 50(degree)ADVANCED TISSUE SCIENCE CO ........ 0 34,400(degree)AGOURON PHARMACEUTICALS, INC ...... 2,021 84 ALBERTO CULVER CO (CLASS B) ........ 2 200(degree)ALLIANCE PHARMACEUTICAL CORP ...... 1 2,467,463 AMERICAN HOME PRODUCTS CORP ........ 138,949 169,199(degree)AMGEN, INC ........................ 17,692 2,350(degree)AMYLIN PHARMACEUTICALS, INC ....... 1 11,400(degree)AVIRON, INC ....................... 295 63,762 AVON PRODUCTS, INC ................. 2,821 42,500(degree)AXYS PHARMACEUTICALS, INC ......... 250 10,800(degree)BARR LABORATORIES, INC ............ 518 33,300(degree)BIO-TECHNOLOGY GENERAL CORP ....... 231 71,100(degree)BIOGEN, INC ....................... 5,901 4,100(degree)BIOMATRIX, INC .................... 239 519,823 BRISTOL MYERS SQUIBB CO ............ 69,559 300 CABOT CORP ......................... 8 700(degree)CADUS PHARMACEUTICAL CORP ......... 1 13,409(degree)CELL GENESYS, INC ................. 80 617(degree)CELL PATHWAYS, INC ................ 14 47,600(degree)CEPHALON, INC ..................... 428 11,900(degree)CHATTEM, INC ...................... 570 3,216(degree)CHIRON CORP ....................... 84 2,003 CHURCH & DWIGHT CO, INC ............ 72 60,655 CLOROX CO .......................... 7,085 125,102 COLGATE PALMOLIVE CO ............... 11,619 13,300(degree)COULTER PHARMACEUTICAL, INC ....... 399 280(degree)CREATIVE BIOMOLECULES, INC ........ 1 95(degree)CRESCENDO PHARMACEUTICALS CORP .... 1 93,752(degree)CROMPTON & KNOWLES CORP ........... 1,939 45,360(degree)CYTEC INDUSTRIES, INC ............. 964 2,600(degree)CYTOGEN CORP ...................... 2 799 DIAGNOSTIC PRODUCTS CORP ........... 25 356 DIAL CORP .......................... 10 152,492 DU PONT (E.I.) DE NEMOURS & CO ..... 8,092 50(degree)DURA PHARMACEUTICALS, INC ......... 1 88,701 ECOLAB, INC ........................ 3,210 1,464,500(degree)ELAN CORP PLC ADR ................. 101,874 200(degree)EPITOPE, INC ...................... 1 10,000 ETHYL CORP ......................... 58 23,432 FERRO CORP ......................... 609 19,300(degree)FUISZ TECHNOLOGIES LTD ............ 248 29,234(degree)GENSIA SICOR, INC ................. 132 500(degree)GENZYME CORP (GENERAL DIVISION) ... 25 24(degree)GENZYME CORP (TISSUE REPAIR DIVISION) 0 20,073 GEORGIA GULF CORP .................. 322 16,100(degree)GRACE W.R. & CO ................... 253 1,649,100 +(degree)GUILFORD PHARMACEUTICALS, INC 23,500 45,346 HERCULES, INC ...................... 1,241 10,800(degree)HUMAN GENOME SCIENCES, INC ........ 384 See notes to financial statements. 58 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- CHEMICALS AND ALLIED PRODUCTS--(CONTINUED) 3 ICN PHARMACEUTICALS, INC ........... $ 0 700(degree)ICOS CORP ......................... 21 26,700(degree)IDEC PHARMACEUTICALS CORP ......... 1,255 30 IMC GLOBAL, INC .................... 1 2,233(degree)IMC GLOBAL, INC WTS 12/22/00 ...... 2 1,900(degree)IMMUNE RESPONSE CORP .............. 21 36,400(degree)IMMUNEX CORP ...................... 4,580 400(degree)INTERNEURON PHARMACEUTICALS, INC .. 1 6,936 INTERNATIONAL FLAVORS & FRAGRANCES, INC ................... 306 32,720(degree)ISIS PHARMACEUTICALS, INC ......... 423 30,433(degree)IVAX CORP ......................... 379 697,513 JOHNSON & JOHNSON CO ............... 58,504 27,000 JONES PHARMACEUTICAL, INC .......... 986 450(degree)KV PHARMACEUTICAL CO (CLASS B) .... 9 58,827 LAUDER (ESTEE) CO (CLASS A) ........ 5,030 60 LAWTER INTERNATIONAL, INC .......... 1 11,500 LEARONAL, INC ...................... 390 40(degree)LIGAND PHARMACEUTICALS CO (CLASS A) 0 510,462 LILLY (ELI) & CO ................... 45,367 8,319 LILLY INDUSTRIES, INC (CLASS A) .... 166 47,500(degree)LIPOSOME CO, INC .................. 733 66 LYONDELL CHEMICAL CO ............... 1 7,600 MACDERMID, INC ..................... 297 10,200(degree)MACROCHEM CORP (DELAWARE) ......... 86 250(degree)MATRIX PHARMACEUTICALS, INC ....... 1 9,700(degree)MCWHORTER TECHNOLOGIES, INC ....... 222 200(degree)MEDICIS PHARMACEUTICAL CORP (CLASS A) 12 22,200(degree)MEDIMMUNE, INC .................... 2,208 1,632,055 *MERCK & CO, INC .................... 241,034 4,200(degree)MILLENNIUM PHARMACEUTICALS, INC ... 109 268,963 MONSANTO CO ........................ 12,776 82 MORTON INTERNATIONAL, INC .......... 2 162,029 MYLAN LABORATORIES, INC ............ 5,104 600(degree)NABI, INC ......................... 2 23,600 NATURES SUNSHINE PRODUCTS, INC ..... 360 14,300(degree)NEXSTAR PHARMACEUTICALS, INC ...... 132 80(degree)NOVEN PHARMACEUTICALS, INC ........ 0 4,300(degree)OCTEL CORP ........................ 60 17,382(degree)ORGANOGENESIS, INC ................ 196 1,300(degree)PATHOGENESIS CORP ................. 75 684,826 PFIZER, INC ........................ 85,903 40,996 PRAXAIR, INC ....................... 1,445 762,998 PROCTER & GAMBLE CO ................ 69,671 27,000 (degree)PROTEIN DESIGN LABORATORIES, INC 624 100(degree)REGENERON PHARMACEUTICALS, INC .... 1 4,400(degree)REVLON, INC (CLASS A) ............. 72 800(degree)ROGERS CORP ....................... 24 62 RPM, INC ........................... 1 830,832 SCHERING-PLOUGH CORP ............... 45,903 3,150(degree)SEROLOGICALS CORP ................. 95 2,300 STEPAN CO .......................... 61 6,100(degree)SUGEN, INC ........................ 90 3,000(degree)TECHNE CORP ....................... 63 112,000(degree)THERAGENICS CORP .................. 1,883 800(degree)THERMOLASE CORP ................... 4 30,000(degree)TRIANGLE PHARMACEUTICALS, INC ..... 409 22,700(degree)U.S. BIOSCIENCE, INC .............. 163 100 VALSPAR CORP ....................... 4 11,040(degree)VERTEX PHARMACEUTICALS, INC ....... 328 19,900(degree)VICAL, INC ........................ 282 449,916 WARNER-LAMBERT CO .................. 33,828 68,470(degree)WATSON PHARMACEUTICALS, INC ....... 4,305 10,300 WITCO CORP ......................... 164 300(degree)ZONAGEN, INC ...................... 6 ---------- 1,117,144 ---------- COMMUNICATIONS--16.96% 13,100(degree)@ENTERTAINMENT, INC ............... 88 28,400(degree)ADELPHIA COMMUNICATIONS CORP (CLASS A) 1,299 302,741(degree)AIRTOUCH COMMUNICATIONS, INC ...... 21,835 14,500 ALIANT COMMUNICATIONS, INC ......... 593 97,815 ALLTEL CORP ........................ 5,851 300(degree)AMERICAN MOBILE SATELLITE CORP .... 2 42 AMERITECH CORP ..................... 3 200(degree)ARCH COMMUNICATIONS GROUP, INC .... 0 50(degree)ASSOCIATED GROUP, INC (CLASS A) ... 2 50(degree)ASSOCIATED GROUP, INC (CLASS B) ... 2 1,476,871 AT & T CORP ........................ 111,135 110,100 BELL ATLANTIC CORP ................. 5,835 33,196(degree)CABLEVISION SYSTEMS CORP (CLASS A) 1,666 2,526,161(degree)CAPSTAR BROADCASTING CORP (CLASS A) 57,786 4,247,716 CBS CORP ........................... 139,113 554,400(degree)CD RADIO, INC ..................... 18,988 50(degree)CELLULAR COMMUNICATIONS INTERNATIONAL , INC ............... 3 6,900(degree)CELLULAR COMMUNICATIONS OF PUERTO RICO ....................... 128 19,200(degree)CENTENNIAL CELLULAR CORP (CLASS A) 787 1,067,700(degree)CHANCELLOR MEDIA CORP (CLASS A) ... 51,116 157,520 CINCINNATI BELL, INC ............... 5,956 2,008,024(degree)CLEAR CHANNEL COMMUNICATIONS, INC . 109,437 13,000(degree)COM21, INC ........................ 273 18,400 COMCAST CORP (CLASS A) ............. 1,057 109,533 COMCAST CORP (CLASS A) SPECIAL ..... 6,428 1,500(degree)COMMNET CELLULAR, INC ............. 18 3,933(degree)COMMONWEALTH TELEPHONE ENTERPRISES 132 500 (degree)CORECOMM LTD ................ 8 17,501 (degree)COX COMMUNICATIONS, INC (CLASS A) 1,210 386,550(degree)COX RADIO, INC (CLASS A) .......... 16,332 25,100(degree)ELECTRIC LIGHTWAVE (CLASS A) ...... 206 11,100(degree)EMMIS COMMUNICATIONS (CLASS A) .... 481 31,300(degree)EXODUS COMMUNICATIONS, INC ........ 2,011 70 FRONTIER CORP ...................... 2 1,265,200 (degree)GLOBALSTAR TELECOMMUNICATIONS LTD 25,462 135,782 GTE CORP ........................... 8,826 65,800(degree)HEARST-ARGYLE TELEVISION, INC ..... 2,171 39,900(degree)HEFTEL BROADCASTING CORP (CLASS A) 1,965 60,798(degree)ICG COMMUNICATIONS, INC ........... 1,307 14,100(degree)IDT CORP .......................... 217 5,000(degree)JACOR COMMUNICATIONS, INC WTS 09/18/01 40 22,100(degree)JONES INTERCABLE, INC (CLASS A) ... 787 400(degree)LCC INTERNATIONAL, INC (CLASS A) .. 2 50(degree)LEAP WIRELESS INTERNATIONAL, INC .. 0 98,800(degree)LEVEL 3 COMMUNICATIONS, INC ....... 4,261 109,512(degree)LIBERTY MEDIA GROUP (CLASS A) ..... 5,044 1,611,500(degree)LORAL SPACE & COMMUNICATIONS LTD .. 28,705 1,762,034 LUCENT TECHNOLOGIES, INC ........... 193,824 5,279,565(degree)MCI WORLDCOM, INC ................. 378,809 5,100(degree)MCLEODUSA, INC (CLASS A) .......... 159 15,764(degree)MEDIA ONE GROUP, INC .............. 741 4,300(degree)MGC COMMUNICATIONS, INC ........... 30 15,700(degree)NEXTLINK COMMUNICATIONS, INC ...... 445 1,000 NORTH PITTSBURGH SYSTEMS, INC ...... 13 28,900(degree)NTL, INC .......................... 1,631 8,300(degree)PAGEMART WIRELESS, INC (CLASS A) .. 46 107,100(degree)PAGING NETWORK, INC ............... 502 See notes to financial statements. 59 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- COMMUNICATIONS--(CONTINUED) 87(degree)PANAMSAT CORP ..................... $ 3 1,400(degree)PEGASUS COMMUNICATIONS CORP ....... 35 27,800(degree)PREMIERE TECHNOLOGIES, INC ........ 205 50(degree)QWEST COMMUNICATIONS INTERNATIONAL , INC ............... 3 231,895 SBC COMMUNICATIONS, INC ............ 12,435 75,000(degree)SKYTEL COMMUNICATIONS, INC ........ 1,659 62,800(degree)SPRINT CORP (PCS GROUP) ........... 1,452 12,700 TCA CABLE TV, INC .................. 453 33,260(degree)TCI SATELLITE ENTERTAINMENT (CLASS A) 48 79(degree)TELE-COMMUNICATIONS, INC (CLASS A) 4 260,142(degree)TELECOM-TCI VENTURES GROUP (CLASS A) 6,130 12,152(degree)TELEGLOBE, INC (U.S.A.) ........... 437 97 TELEPHONE & DATA SYSTEMS, INC ...... 4 400(degree)TRANSACTION NETWORK SERVICES, INC . 8 5,414(degree)U.S. CELLULAR CORP ................ 206 29,000(degree)U.S. LEC CORP (CLASS A) ........... 430 6,900(degree)U.S. SATELLITE BROADCASTING, INC (CLASS A) 95 67(degree)U.S.A. NETWORKS, INC .............. 2 6,800(degree)UNITED INTERNATIONAL HOLDINGS, INC 131 5,200 UNITED TELEVISION, INC ............. 598 20,900 (degree)UNITED VIDEO SATELLITE GROUP, INC 494 28,592 (degree)UNIVISION COMMUNICATIONS, INC 1,035 2,800(degree)USN COMMUNICATIONS, INC ........... 1 12,196(degree)VIACOM, INC (CLASS A) ............. 897 88,804(degree)VIACOM, INC (CLASS B) ............. 6,571 77,700(degree)WESTERN WIRELESS CORP (CLASS A) ... 1,709 1,266,000(degree)WINSTAR COMMUNICATIONS, INC ....... 49,374 ---------- 1,299,189 ---------- DEPOSITORY INSTITUTIONS--1.53% 7,100 ALABAMA NATIONAL BANCORP ........... 189 20,100 ANCHOR BANCORP WISCONSIN, INC ...... 482 2,400 ANDOVER BANCORP, INC ............... 83 100 AREA BANCSHARES CORP ............... 3 3,000 BANCFIRST OHIO CORP ................ 91 3,700 BANK OF GRANITE CORP ............... 102 140,400 BANK OF NEW YORK CO, INC ........... 5,651 100,041 BANK ONE CORP ...................... 5,108 2,100 BANKNORTH GROUP, INC ............... 79 15,800 BRENTON BANKS, INC ................. 265 2,800 BROOKLINE BANCORP, INC ............. 32 2,600 CATHAY BANCORP, INC ................ 107 7,600(degree)CENTENNIAL BANCORP ................ 143 3,637 CHITTENDEN CORP .................... 116 4,800(degree)COLUMBIA BANKING SYSTEM, INC ...... 89 22,000 COMMUNITY FIRST BANKSHARES, INC .... 463 1,352(degree)CONCORD EFS, INC .................. 57 2,490 CULLEN FROST BANKERS, INC .......... 137 6,785 CVB FINANCIAL CORP ................. 153 2,580 F & M BANCORP, INC (WISCONSIN) ..... 78 200 F.N.B. CORP ........................ 6 6,300 FARMERS CAPITAL BANK CORP .......... 236 144,075 FIFTH THIRD BANCORP ................ 10,274 28,917 FIRST BANCORP (PUERTO RICO) ........ 873 3,100 FIRST CHARTER CORP ................. 53 635 FIRST COMMONWEALTH FINANCIAL CORP .. 16 1,800(degree)FIRST FINANCIAL BANCORP ........... 52 900 FIRST WESTERN BANCORP, INC ......... 29 17,868 FIRSTAR CORP ....................... 1,666 1,800 FLAGSTAR BANCORP, INC .............. 47 82 FLEET FINANCIAL GROUP, INC ......... 4 2,200(degree)FRONTIER FINANCIAL CORP ........... 101 75 FULTON FINANCIAL CORP .............. 2 10,900 GBC BANCORP ........................ 281 200 GOLD BANC CORP, INC ................ 3 1,700 GREATER BAY BANCORP ................ 57 7,998 GREENPOINT FINANCIAL CORP .......... 281 9,000(degree)HAMILTON BANCORP, INC ............. 240 6,000 HORIZON BANCORP, INC ............... 204 11,268 HUBCO, INC ......................... 339 42,605(degree)IMPERIAL BANCORP .................. 708 26,400 INDEPENDENCE COMMUNITY BANK CORP ... 421 900 INTERNATIONAL BANCSHARES CORP ...... 46 5,400 JEFFERSON SAVINGS BANCORP, INC ..... 71 700 MAHONING NATIONAL BANCORP, INC ..... 22 491,870 MBNA CORP .......................... 12,266 15,746 MELLON BANK CORP ................... 1,083 5,800 MERCHANTS NEW YORK BANCORP, INC .... 210 1,500 NATIONAL BANCORP OF ALASKA, INC .... 51 8,400 NATIONAL PENN BANCSHARES, INC ...... 229 13,500 NORTH FORK BANCORP, INC ............ 323 11,000 NORTHERN TRUST CORP ................ 960 12,767 OLD NATIONAL BANCORP ............... 712 200 OMEGA FINANCIAL CORP ............... 6 122 ORIENTAL FINANCIAL GROUP ........... 4 14,200 PACIFIC CAPITAL BANCORP ............ 366 97 PARK NATIONAL CORP ................. 10 4,600 PEOPLES BANCORP, INC ............... 50 2,800 PRIME BANCSHARES, INC .............. 48 118,102 PROVIDIAN FINANCIAL CORP ........... 8,858 5,650 QUEENS COUNTY BANCORP, INC ......... 168 5,300 REPUBLIC BANCORP, INC .............. 72 2,500 REPUBLIC BANKING CORP OF FLORIDA ... 27 9,000 REPUBLIC SECURITY FINANCIAL CORP ... 109 4,200 RICHMOND COUNTY FINANCIAL CORP ..... 67 2,200 S & T BANCORP, INC ................. 61 5,100 SANDY SPRING BANCORP, INC .......... 154 45,600(degree)SILICON VALLEY BANCSHARES ......... 777 5,517 SKY FINANCIAL GROUP, INC ........... 146 21,600(degree)SOUTHWEST BANCORP OF TEXAS, INC ... 386 80 SOVEREIGN BANCORP, INC ............. 1 37,583 STATE STREET CORP .................. 2,614 7,285 STATEN ISLAND BANCORP, INC ......... 145 21,100 STERLING BANCSHARES, INC ........... 314 1,000 STERLING FINANCIAL CORP ............ 42 3,400 SUSQUEHANNA BANCSHARES, INC ........ 70 1,200 SYNOVUS FINANCIAL CORP ............. 29 15,838 TCF FINANCIAL CORP ................. 383 2,800 TEXAS REGIONAL BANCSHARES, INC (CLASS A) 70 17,900 TR FINANCIAL CORP .................. 705 700 TRIANGLE BANCORP, INC .............. 11 14,000 TRUST CO OF NEW JERSEY ............. 343 10,057 TRUSTCO BANK CORP .................. 302 401,313 U.S. BANCORP ....................... 14,247 10 U.S.B. HOLDINGS CO, INC ............ 0 4,000 UST CORP ........................... 94 45,407 WASHINGTON MUTUAL, INC ............. 1,734 1,800 WASHINGTON TRUST BANCORP, INC ...... 39 949,026 WELLS FARGO CO ..................... 37,902 4,290 WEST COAST BANCORP (OREGON) ........ 90 6,000 WESTAMERICA BANCORP ................ 221 14,100 WESTERN BANCORP .................... 412 47,850 WESTERNBANK PUERTO RICO ............ 760 1,100 WHITNEY HOLDINGS CORP .............. 41 1,100 WILMINGTON TRUST CORP .............. 68 ---------- 117,240 ---------- See notes to financial statements. 60 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- EATING AND DRINKING PLACES--0.43% 7,300(degree)ADVANTICA RESTAURANT GROUP, INC ... $ 45 12,240 APPLEBEES INTERNATIONAL, INC ....... 252 11,400 AVADO BRANDS, INC .................. 95 2,750 x(degree)BOSTON CHICKEN, INC ......... 1 9,096(degree)BRINKER INTERNATIONAL, INC ........ 263 15,800(degree)BUFFETS, INC ...................... 189 45,622(degree)CEC ENTERTAINMENT, INC ............ 1,266 37,186 CKE RESTAURANTS, INC ............... 1,095 62(degree)CONSOLIDATED PRODUCTS, INC ........ 1 320 CRACKER BARREL OLD COUNTRY STORE, INC 7 300(degree)EINSTEIN/NOAH BAGEL CORP .......... 0 5,800(degree)FINE HOST CORP .................... 5 60,504(degree)FOODMAKER, INC .................... 1,335 139,447 HOST MARRIOTT CORP (NEW) ........... 1,926 6,800(degree)HOST MARRIOTT SERVICES CORP ....... 71 89(degree)LANDRYS SEAFOOD RESTAURANTS, INC .. 1 50(degree)LONE STAR STEAKHOUSE & SALOON, INC 0 38,800 MARRIOTT INTERNATIONAL (CLASS A) ... 1,125 278,156 MCDONALD'S CORP .................... 21,314 9,400(degree)NPC INTERNATIONAL, INC ............ 113 600(degree)OUTBACK STEAKHOUSE, INC ........... 24 26,130(degree)PAPA JOHNS INTERNATIONAL, INC ..... 1,153 3,900(degree)PJ AMERICA, INC ................... 71 39,545(degree)PLANET HOLLYWOOD, INC (CLASS A) ... 91 59(degree)SBARRO, INC ....................... 2 12,169(degree)SODEXHO MARRIOTT SERVICES, INC .... 337 15,450(degree)SONIC CORP ........................ 384 18,915(degree)TRICON GLOBAL RESTAURANTS, INC .... 948 12,894(degree)U.S. FOODSERVICE, INC ............. 632 2,237 VIAD CORP .......................... 68 9,300 WENDYS INTERNATIONAL, INC .......... 203 ---------- 33,017 ---------- EDUCATIONAL SERVICES--0.06% 40,050(degree)APOLLO GROUP, INC (CLASS A) ....... 1,357 84(degree)COMPUTER LEARNING CENTERS, INC .... 1 9,052(degree)DEVRY, INC ........................ 277 2,200(degree)EDUCATION MANAGEMENT CORP ......... 52 4,200(degree)LEARNING TREE INTERNATIONAL, INC .. 38 102,875(degree)SYLVAN LEARNING SYSTEMS, INC ...... 3,138 ---------- 4,863 ---------- ELECTRIC, GAS, AND SANITARY SERVICES--3.72% 29,968(degree)AES CORP .......................... 1,420 125,130(degree)ALLIED WASTE INDUSTRIES, INC ...... 2,956 62,208(degree)AQUA ALLIANCE, INC ................ 128 3,000 BLACK HILLS CORP ................... 79 94 BROWNING FERRIS INDUSTRIES, INC .... 3 3,471(degree)CALENERGY, INC .................... 120 8,500(degree)CASELLA WASTE SYSTEMS, INC (CLASS A) 316 15,264 DYNEGY, INC ........................ 167 20,900(degree)EASTERN ENVIRONMENTAL SERVICES, INC 619 9,133 ENRON CORP ......................... 521 1,505 INDIANA ENERGY, INC ................ 37 10,313 KEYSPAN ENERGY CORP ................ 320 5,800 KN ENERGY, INC ..................... 211 7,200 x(degree)MOLTEN METAL TECHNOLOGY, INC 0 174(degree)NEWPARK RESOURCES, INC ............ 1 1,900 SEMCO ENERGY, INC .................. 31 26,600 SEMPRA ENERGY ...................... 675 72 SONAT, INC ......................... 2 1,100(degree)THERMO ECOTEK CORP ................ 12 13,828(degree)UNISOURCE ENERGY CORP HOLDINGS CO . 187 400(degree)WASTE INDUSTRIES INC .............. 7 5,946,355 WASTE MANAGEMENT, INC .............. 277,249 30 WILLIAMS COS, INC .................. 1 ---------- 285,062 ---------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--12.01% 28,000(degree)AAVID THERMAL TECHNOLOGIES, INC ... 473 200(degree)ACT MANUFACTURING, INC ............ 3 54,920(degree)ACTEL CORP ........................ 1,098 45,260(degree)ADC TELECOMMUNICATIONS, INC ....... 1,573 23,535(degree)ADTRAN, INC ....................... 431 50(degree)ADVANCED FIBRE COMMUNICATIONS ..... 1 22,400(degree)ADVANCED MICRO DEVICES, INC ....... 648 200(degree)ALLIANCE SEMICONDUCTOR CORP ....... 1 1,100(degree)ALTERA CORP ....................... 67 102,900(degree)AMERICAN POWER CONVERSION CORP .... 4,984 3,396,348(degree)AMERICAN TOWER SYSTEMS (CLASS A) .. 100,405 18,700 AMETEK, INC ........................ 417 114 AMP, INC ........................... 6 1,000(degree)AMPHENOL CORP (CLASS A) ........... 30 1,772,017(degree)ANALOG DEVICES, INC ............... 55,597 49,575(degree)ANDREW CORP ....................... 818 325(degree)ARTESYN TECHNOLOGIES, INC ......... 5 300(degree)ARTISAN COMPONENTS, INC ........... 2 79,900(degree)ATMEL CORP ........................ 1,223 200(degree)AURA SYSTEMS, INC ................. 0 521(degree)AXIOHM TRANSACTION SOLUTIONS, INC . 3 1,900(degree)BENCHMARK ELECTRONICS, INC ........ 70 179 BMC INDUSTRIES, INC ................ 1 15,100(degree)BROADCOM CORP (CLASS A) ........... 1,823 50(degree)BURR BROWN CORP ................... 1 9,003 C&D TECHNOLOGIES, INC .............. 248 300(degree)CALIFORNIA AMPLIFIER, INC ......... 1 102,800(degree)CELLNET DATA SYSTEMS, INC ......... 514 695(degree)CHECKPOINT SYSTEMS, INC ........... 9 17,300(degree)CIENA CORP ........................ 253 33(degree)COMMSCOPE, INC .................... 1 54,941(degree)COMVERSE TECHNOLOGY, INC .......... 3,901 1,800 CTS CORP ........................... 78 200(degree)DAVOX CORP ........................ 2 41,100(degree)DIGITAL MICROWAVE CORP ............ 281 900(degree)ECHOSTAR COMMUNICATIONS CORP (CLASS A) ......................... 44 300(degree)EIS INTERNATIONAL, INC ............ 1 1,409 EMERSON ELECTRIC CO ................ 85 50(degree)ENERGY CONVERSION DEVICES, INC .... 0 13,300(degree)EXCEL SWITCHING CORP .............. 505 100 FRANKLIN ELECTRIC CO, INC .......... 7 1,000(degree)GENERAL DATACOMM INDUSTRIES, INC .. 2 3,330,777 GENERAL ELECTRIC CO ................ 339,947 23,744(degree)GENERAL INSTRUMENT CORP ........... 806 9,900 x(degree)GEOTEK COMMUNICATIONS, INC .. 0 50(degree)GLENAYRE TECHNOLOGIES, INC ........ 0 4,940(degree)HOLOPHANE CORP .................... 127 4,500(degree)IMP, INC .......................... 2 200 (degree)INTEGRATED SILICON SOLUTION, INC 1 1,474,800 INTEL CORP ......................... 174,856 10,100 INTER-TEL, INC ..................... 236 102,386(degree)INTERDIGITAL COMMUNICATIONS CORP .. 467 200(degree)ITI TECHNOLOGIES, INC ............. 6 30,966(degree)JABIL CIRCUIT, INC ................ 2,311 100(degree)JPM CO ............................ 1 40(degree)KEMET CORP ........................ 0 117,450(degree)KOMAG, INC ........................ 1,219 See notes to financial statements. 61 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED) 5,500 KUHLMAN CORP ....................... 208 5,200(degree)L-3 COMMINUCATIONS HOLDINGS, INC .. 242 11(degree)LATTICE SEMICONDUCTOR CORP ........ 1 34,665(degree)LEVEL ONE COMMUNICATIONS, INC ..... 1,231 1,103,600 LINEAR TECHNOLOGY CO ............... 98,841 3,500(degree)LO-JACK CORP ...................... 42 78(degree)MAGNETEK, INC ..................... 1 4,200(degree)MICREL, INC ....................... 231 100(degree)MICRO LINEAR CORP ................. 0 63,970(degree)MICROCHIP TECHNOLOGY, INC ......... 2,367 35,171(degree)MICRON TECHNOLOGY, INC ............ 1,778 47,200(degree)MMC NETWORKS, INC ................. 625 3,232 MOLEX, INC ......................... 123 156,683 MOTOROLA, INC ...................... 9,567 27,900(degree)MRV COMMUNICATIONS, INC ........... 173 60(degree)MYLEX CORP ........................ 1 92,031(degree)NATIONAL SEMICONDUCTOR CORP ....... 1,242 57,840(degree)NEOMAGIC CORP ..................... 1,280 867,550 NORTHERN TELECOMMUNICATIONS LTD (U.S.) 43,486 200(degree)OAK TECHNOLOGY, INC ............... 1 2,475(degree)OIS OPTICAL IMAGING SYSTEMS, INC .. 0 51,200(degree)P-COM, INC ........................ 204 50(degree)PAIRGAIN TECHNOLOGIES, INC ........ 0 4 PARK ELECTROCHEMICAL CORP .......... 0 18,100(degree)PLANTRONICS, INC .................. 1,557 18,900(degree)PLEXUS CORP ....................... 640 18,800(degree)POLYCOM, INC ...................... 418 4,500(degree)QLOGIC CORP ....................... 589 82,800(degree)QUALCOMM, INC ..................... 4,290 66(degree)RAMBUS, INC ....................... 6 800(degree)RAMTRON INTERNATIONAL CORP ........ 0 73,338 RAYCHEM CORP ....................... 2,370 30,800(degree)RAYOVAC CORP ...................... 822 14,000(degree)READ RITE CORP .................... 207 31(degree)RECOTON CORP ...................... 1 1,600(degree)RELTEC CORP ....................... 36 1,000(degree)REMEC, INC ........................ 18 50(degree)S3, INC ........................... 0 53,054(degree)SANMINA CORP ...................... 3,316 73,000(degree)SAWTEK, INC ....................... 1,278 1,140(degree)SCI SYSTEMS, INC .................. 66 8,000(degree)SCM MICROSYSTEMS, INC ............. 569 19,400(degree)SEMTECH CORP ...................... 696 29,500(degree)SMART MODULAR TECHNOLOGIES, INC ... 819 96,099(degree)SOLECTRON CORP .................... 8,931 8,000(degree)SPECTRA-PHYSICS LASERS, INC ....... 76 792 SUNBEAM CORP ....................... 6 20(degree)SYMMETRICOM, INC .................. 0 18,639 TECHNITROL, INC .................... 594 124,900(degree)TEKELEC ........................... 2,069 33 TELEFLEX, INC ...................... 2 132,688(degree)TELLABS, INC ...................... 9,097 50(degree)TELTREND, INC ..................... 1 181,072 TEXAS INSTRUMENTS, INC ............. 15,493 1,000 THOMAS INDUSTRIES, INC ............. 20 80(degree)UNIPHASE CORP ..................... 6 100(degree)VICOR CORP ........................ 1 100(degree)VIDEOSERVER, INC .................. 2 51(degree)VISHAY INTERTECHNOLOGY, INC ....... 1 76,650(degree)VITESSE SEMICONDUCTOR CORP ........ 3,497 95(degree)WAVEPHORE, INC .................... 1 12,000(degree)WESTELL TECHNOLOGIES, INC (CLASS A) 59 8,800(degree)WORLD ACCESS, INC ................. 188 80,000(degree)XILINX, INC ....................... 5,210 9,200(degree)XYLAN CORP ........................ 162 34,800 x(degree)ZENITH ELECTRONICS CORP ..... 9 80(degree)ZOLTEK COS, INC ................... 1 ---------- 920,359 ---------- ENGINEERING AND MANAGEMENT SERVICES--0.13% 7,237 BLOUNT INTERNATIONAL, INC .......... 180 106,700(degree)CATALYTICA, INC ................... 1,921 8,100(degree)DIAMOND TECH PARTNERS, INC (CLASS A) 155 14,700 DUN & BRADSTREET CORP .............. 464 11,500(degree)F.Y.I., INC ....................... 368 6,400(degree)KENDLE INTERNATIONAL, INC ......... 150 10,420(degree)MAXIMUS, INC ...................... 386 200(degree)MEDAPHIS CORP ..................... 1 5,300(degree)META GROUP, INC ................... 158 12,800(degree)METZLER GROUP, INC ................ 623 500(degree)MYRIAD GENETICS, INC .............. 5 512(degree)NFO WORLDWIDE, INC ................ 6 2,318 (degree)PHARMACEUTICAL PRODUCT DEVELOPMENT ....................... 70 88,200(degree)QUINTILES TRANSNATIONAL CORP ...... 4,708 6,166 SERVICEMASTER CO ................... 136 30,900(degree)STAFF LEASING, INC ................ 359 7,200(degree)WHITTMAN HART, INC ................ 199 ---------- 9,889 ---------- FABRICATED METAL PRODUCTS--0.69% 15,217 BARNES GROUP, INC .................. 443 1,400(degree)BWAY CORP ......................... 21 18,873 CHART INDUSTRIES, INC .............. 144 6,100 CRANE CO ........................... 184 1,283 CROWN CORK & SEAL CO, INC .......... 40 940,306 GILLETTE CO ........................ 45,429 7,300(degree)GULF ISLAND FABRICATION, INC ...... 57 1,200 HARSCO CORP ........................ 37 3,700(degree)LADISH CO, INC .................... 31 197,016 MASCO CORP ......................... 5,664 100(degree)MATERIAL SCIENCES CORP ............ 1 7,700(degree)MILLER INDUSTRIES, INC ............ 35 20(degree)NCI BUILDING SYSTEMS, INC ......... 1 18(degree)SHAW GROUP, INC ................... 0 4,185(degree)SIMPSON MANUFACTURING CO, INC ..... 157 24,000 STRUM, RUGER & CO, INC ............. 287 4,045(degree)TOWER AUTOMOTIVE, INC ............. 101 10,500(degree)WYMAN-GORDON CO ................... 108 ---------- 52,740 ---------- FOOD AND KINDRED PRODUCTS--2.53% 2,400(degree)AGRIBRANDS INTERNATIONAL, INC ..... 72 2,900(degree)AMERICAN ITALIAN PASTA CO (CLASS A) 76 48,668 ANHEUSER BUSCH COS, INC ............ 3,194 100 (degree)BERINGER WINE ESTATES HOLDINGS, INC (CLASS B) ......................... 4 159,945 BESTFOODS, INC ..................... 8,517 17,300(degree)BOSTON BEER CO, INC (CLASS A) ..... 147 138 BROWN FORMAN, INC (CLASS B) ........ 10 63,756 CAMPBELL SOUP CO ................... 3,507 1,294,608 COCA COLA CO ....................... 86,577 209,958 COCA COLA ENTERPRISES, INC ......... 7,506 255,583 CONAGRA, INC ....................... 8,051 45,300 DEAN FOODS CO ...................... 1,849 14,961 DOLE FOOD, INC ..................... 449 3,256 EARTHGRAINS CO ..................... 101 See notes to financial statements. 62 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- FOOD AND KINDRED PRODUCTS--(CONTINUED) 350 FLOWERS INDUSTRIES, INC ............ $ 8 78,052 GENERAL MILLS, INC ................. 6,069 84,067 HEINZ (H.J.) CO .................... 4,760 400 HERSHEY FOODS CORP ................. 25 52,662(degree)INTERNATIONAL HOME FOODS, INC ..... 889 22,659 INTERSTATE BAKERIES CORP ........... 599 25,800(degree)KEEBLER FOODS CO .................. 971 45,603 KELLOGG CO ......................... 1,556 31,350 LANCASTER COLONY CORP .............. 1,007 25,600 LANCE, INC ......................... 510 7,700 MCCORMICK & CO, INC (NON-VOTE) ..... 260 6,600 MICHAEL FOODS, INC ................. 198 723,354 PEPSICO, INC ....................... 29,612 1,300 PILGRIMS PRIDE CORP (CLASS B) ...... 26 94,541 QUAKER OATS CO ..................... 5,625 203,812 RALSTON PURINA CO .................. 6,598 3,800 RIVIANA FOODS, INC ................. 94 50 RJR NABISCO HOLDINGS CORP .......... 1 388,562 SARA LEE CORP ...................... 10,953 2,500(degree)SMITHFIELD FOODS, INC ............. 85 28,500(degree)SUIZA FOODS CORP .................. 1,452 25,230 TCBY ENTERPRISES, INC .............. 177 38,908 TOOTSIE ROLL INDUSTRIES, INC ....... 1,522 11,650 TYSON FOODS, INC ................... 248 8,310(degree)VLASIC FOODS INTERNATIONAL, INC ... 198 1,800 WHITMAN CORP ....................... 46 5,185 WRIGLEY (WM) JR CO ................. 464 ---------- 194,013 ---------- FOOD STORES--0.32% 10,747 ALBERTSONS, INC .................... 684 66,180 FOOD LION, INC (CLASS B) ........... 666 28(degree)GENERAL NUTRITION COS, INC ........ 0 1,016 HANNAFORD BROTHERS, INC ............ 54 128,940(degree)KROGER CO ......................... 7,801 252,338(degree)SAFEWAY, INC ...................... 15,377 26,000(degree)SOUTHLAND CORP .................... 50 100(degree)STARBUCKS CORP .................... 6 ---------- 24,638 ---------- FURNITURE AND FIXTURES--0.08% 19,300 ETHAN ALLEN INTERIORS, INC ......... 791 35,090(degree)FURNITURE BRANDS INTERNATIONAL, INC 956 72,100 HON INDUSTRIES, INC ................ 1,726 34,967(degree)KNOLL, INC ........................ 1,036 9,981(degree)LEAR CORP ......................... 384 50,300 MILLER (HERMAN), INC ............... 1,352 5,800 VIRCO MANUFACTURING ................ 107 ---------- 6,352 ---------- FURNITURE AND HOME FURNISHINGS STORES--0.18% 125,520 (degree)BED BATH & BEYOND, INC ...... 4,283 200(degree)BOMBAY, INC ....................... 1 600 CIRCUIT CITY STORES-CIRCUIT CITY GROUP 30 500(degree)COMPUCOM SYSTEMS, INC ............. 2 87,027(degree)COMPUSA, INC ...................... 1,137 85,817(degree)MUSICLAND STORES CORP ............. 1,282 60,445 PIER 1 IMPORTS, INC ................ 586 85,908 TANDY CORP ......................... 3,538 169,500(degree)TRANS WORLD ENTERTAINMENT CORP .... 3,231 17(degree)WILLIAMS-SONOMA, INC .............. 1 ---------- 14,091 ---------- GENERAL BUILDING CONTRACTORS--0.02% 200(degree)CROSSMAN COMMUNITIES, INC ......... 6 15,511 HILLENBRAND INDUSTRIES, INC ........ 882 1,543 HORTON (D.R.), INC ................. 35 32,953 LENNAR CORP ........................ 832 1,418(degree)NVR, INC .......................... 68 798 STANDARD-PACIFIC CORP .............. 11 ---------- 1,834 ---------- GENERAL MERCHANDISE STORES--1.25% 67,341 CASEYS GENERAL STORES, INC ......... 878 5,500(degree)COST PLUS, INC .................... 173 65,900(degree)COSTCO COS, INC ................... 4,757 162,663 DAYTON HUDSON CORP ................. 8,824 76,650(degree)DOLLAR TREE STORES, INC ........... 3,349 137,400 FAMILY DOLLAR STORES, INC .......... 3,023 12(degree)FEDERATED DEPARTMENT STORES, INC .. 1 50 HARCOURT GENERAL, INC .............. 3 104,051(degree)KOHLS CORP ........................ 6,393 6,432(degree)NEIMAN-MARCUS GROUP, INC .......... 160 69 PENNEY (J.C.) CO, INC .............. 3 98,457(degree)SAKS, INC 3,108 801,360 WAL-MART STORES, INC ............... 65,261 ---------- 95,933 ---------- HEALTH SERVICES--0.28% 520(degree)AMERICAN HOMEPATIENT, INC ......... 1 650(degree)AMERICAN ONCOLOGY RESOURCES, INC .. 9 500(degree)AMERIPATH, INC .................... 4 7,123(degree)CAREMATRIX CORP ................... 218 7,000(degree)CENTENNIAL HEALTHCARE CORP ........ 109 91 COLUMBIA/HCA HEALTHCARE CORP ....... 2 33,900(degree)CONCENTRA MANAGED CARE, INC ....... 362 800(degree)CORAM HEALTHCARE CORP ............. 2 7,663(degree)COVANCE, INC ...................... 223 33,400(degree)COVENTRY HEALTH CARE, INC ......... 294 18,500(degree)CURATIVE HEALTH SERVICES, INC ..... 620 2,400(degree)EXPRESS SCRIPTS, INC .............. 161 2,475 x(degree)FPA MEDICAL MANAGEMENT, INC . 0 76(degree)GENESIS HEALTH VENTURES, INC ...... 1 240,567(degree)HEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) NEW ..................... 5,202 1,790 HEALTHPLAN SERVICES CORP ........... 21 332,073(degree)HEALTHSOUTH CORP .................. 5,126 4(degree)LABORATORY CORP OF AMERICA HOLDINGS 0 2,560(degree)LABORATORY CORP OF AMERICA HOLDINGS WTS 04/28/00 ...................... 0 553(degree)LCA-VISION, INC ................... 1 52,680(degree)LINCARE HOLDINGS, INC ............. 2,137 10,500(degree)MAGELLAN HEALTH SERVICES, INC ..... 88 42,247(degree)MARINER POST-ACUTE NETWORK, INC ... 193 600,506(degree)MEDPARTNERS, INC .................. 3,153 19,076(degree)PEDIATRIX MEDICAL GROUP, INC ...... 1,143 26,950(degree)PHYCOR, INC ....................... 184 14,900(degree)PHYSICIAN RELIANCE NETWORK, INC ... 196 1,639(degree)PHYSICIANS RESOURCE GROUP, INC .... 0 9,300(degree)PROVINCE HEALTHCARE CO ............ 334 225(degree)PSS WORLD MEDICAL, INC ............ 5 12,990(degree)QUORUM HEALTH GROUP, INC .......... 168 20,650(degree)RENAL CARE GROUP, INC ............. 595 100(degree)SUN HEALTHCARE GROUP, INC ......... 1 29,000(degree)TENET HEALTHCARE CORP ............. 761 14,400(degree)UNITED PAYORS & UNITED PROVIDERS, INC 410 118(degree)UNIVERSAL HEALTH SERVICES, INC .... 6 242(degree)VENCOR, INC ....................... 1 ---------- 21,731 ---------- See notes to financial statements. 63 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- HEAVY CONSTRUCTION, EXCEPT BUILDING--0.01% 9,298(degree)DYCOM INDUSTRIES, INC ............. $ 531 11 FLUOR CORP ......................... 0 4,900(degree)INSITUFORM TECHNOLOGIES, INC (CLASS A) 71 50(degree)MASTEC, INC ....................... 1 ---------- 603 ---------- HOLDING AND OTHER INVESTMENT OFFICES--0.07% 100(degree)ALEXANDERS, INC ................... 8 99 CORNERSTONE PROPERTIES, INC ........ 2 4,315 COUSINS PROPERTIES, INC ............ 139 973 CRESCENT REAL ESTATE EQUITIES CO ... 22 16 FEDERAL REALTY INVESTMENT TRUST .... 0 8,699 FELCOR LODGING TRUST, INC .......... 201 17,200 GENERAL GROWTH PROPERTIES, INC ..... 651 54 GREAT LAKES REIT, INC .............. 1 23,656 HEALTH CARE PROPERTY INVESTORS, INC 727 7,500 IMPERIAL CREDIT COMMERCIAL MORTGAGE INVESTMENT CORP .......... 70 190 IRVINE APARTMENT COMMUNITIES, INC .. 6 3,378 MACERICH CO ........................ 87 53,200 MEDITRUST CORP PAIRED .............. 805 12,445 MERISTAR HOSPITALITY CORP .......... 231 5,570 MILLS CORP ......................... 111 58 PATRIOT AMERICAN HOSPITALITY, INC .. 0 200 PENNSYLVANIA REAL ESTATE INVESTMENT TRUST .................. 4 4,900 POST PROPERTIES, INC ............... 188 78 RECKSON ASSOCIATES REALTY CORP ..... 2 64 SIMON PROPERTY GROUP, INC .......... 2 3,000 STARWOOD FINANCIAL TRUST ........... 180 18,700 TOWN & COUNTRY TRUST ............... 300 6,827 WASHINGTON REAL ESTATE INVESTMENT TRUST .................. 127 35,797 WEINGARTEN REALTY INVESTORS, INC ... 1,597 ---------- 5,461 ---------- HOTELS AND OTHER LODGING PLACES--0.52% 1,954,050 (degree)CENDANT CORP ................ 37,249 78 (degree)CHOICE HOTELS INTERNATIONAL, INC 1 13,944(degree)CRESTLINE CAPITAL CORP ............ 204 51,900(degree)EXTENDED STAY AMERICA, INC ........ 545 800(degree)MERISTAR HOTELS & RESORTS, INC .... 2 457(degree)MGM GRAND, INC .................... 12 33,120(degree)PROMUS HOTEL CORP ................. 1,072 75(degree)RED ROOF INNS, INC ................ 1 136(degree)SUNBURST HOSPITALITY CORP ......... 1 24,054(degree)SUNTERRA CORP ..................... 361 4,500(degree)TRENDWEST RESORTS, INC ............ 56 3,000(degree)VISTANA, INC ...................... 42 ---------- 39,546 ---------- INDUSTRIAL MACHINERY AND EQUIPMENT--10.79% 188,927(degree)3COM CORP ......................... 8,466 63,800(degree)ADAPTEC, INC ...................... 1,120 930 ALLIED PRODUCTS CORP ............... 6 33,990(degree)AMERICAN STANDARD COS, INC ........ 1,224 160,400(degree)APPLIED MATERIALS, INC ............ 6,847 6,728 APPLIED POWER, INC (CLASS A) ....... 254 3,000(degree)ASTEC INDUSTRIES, INC ............. 167 51,902 BAKER HUGHES, INC .................. 918 16,264(degree)BELL & HOWELL CO .................. 615 2,376 BLACK & DECKER CORP ................ 133 40(degree)BLACK BOX CORP .................... 2 8,900(degree)CENTENNIAL TECHNOLOGIES, INC ...... 5 1,969,635(degree)CISCO SYSTEMS, INC ................ 182,807 65(degree)COLTEC INDUSTRIES, INC ............ 1 1,800 COLUMBUS MCKINNON CORP ............. 32 894,996 COMPAQ COMPUTER CORP ............... 37,534 15(degree)COOPER CAMERON CORP ............... 0 620,706(degree)DELL COMPUTER CORP ................ 45,428 50,582 DIEBOLD, INC ....................... 1,805 5,100(degree)DIGI INTERNATIONAL, INC ........... 57 57 DONALDSON CO, INC .................. 1 2,212(degree)DRIL-QUIP, INC .................... 39 292,478(degree)EMC CORP .......................... 24,861 500(degree)FEI CO ............................ 4 3,164 FLOWSERVE CORP ..................... 52 106(degree)GATEWAY 2000, INC ................. 5 300 GENERAL BINDING CORP ............... 11 9,573 GRACO, INC ......................... 282 298,126 HEWLETT-PACKARD CO ................. 20,366 3,000(degree)HORIZON OFFSHORE, INC ............. 17 46,300 HUSSMANN INTERNATIONAL, INC ........ 897 32,600(degree)HYPERCOM CORP ..................... 322 48,743 INTERNATIONAL BUSINESS MACHINES CORP 9,005 92(degree)IOMEGA CORP ....................... 1 4,178(degree)IRI INTERNATIONAL CORP ............ 17 19,300(degree)ITEQ, INC ......................... 41 12,576 JLG INDUSTRIES, INC ................ 197 9,616 KAYDON CORP ........................ 385 52 KENNAMETAL, INC .................... 1 100(degree)KRONOS, INC ....................... 4 63,851(degree)LEXMARK INTERNATIONAL GROUP (CLASS A) 6,417 6,448 MANITOWOC, INC ..................... 286 12,400(degree)MICRON ELECTRONICS, INC ........... 215 400(degree)MICROTOUCH SYSTEMS, INC ........... 5 68,864 MINNESOTA MINING & MANUFACTURING CO 4,898 506(degree)NETWORK EQUIPMENT TECHNOLOGIES, INC 5 45,854(degree)NOVELLUS SYSTEMS, INC ............. 2,270 18,250 PALL CORP .......................... 462 25(degree)PAXAR CORP ........................ 0 82,903 PITNEY BOWES, INC .................. 5,477 1,800(degree)QUANTUM CORP ...................... 38 53 ROBBINS & MYERS, INC ............... 1 45 ROPER INDUSTRIES, INC .............. 1 3,200 SAUER, INC ......................... 24 80,079(degree)SEAGATE TECHNOLOGY, INC ........... 2,422 10,100(degree)SEQUENT COMPUTER SYSTEMS, INC ..... 122 110,500(degree)SHIVA CORP ........................ 625 4,700(degree)SPECIALTY EQUIPMENT COS, INC ...... 127 17,500(degree)SPLASH TECHNOLOGY HOLDINGS, INC ... 130 218 STANDEX INTERNATIONAL CORP ......... 6 116,500(degree)STORAGE TECHNOLOGY CORP ........... 4,143 42,632 SYMBOL TECHNOLOGIES, INC ........... 2,726 10,300 TENNANT CO ......................... 413 5,060,800 TYCO INTERNATIONAL LTD ............. 381,774 29,281(degree)U.S. FILTER CORP .................. 670 1,972,850(degree)UNISYS CORP ....................... 67,940 18,510(degree)VARCO INTERNATIONAL, INC .......... 143 208 VARIAN ASSOCIATES, INC ............. 8 25,600(degree)VISUAL NETWORKS, INC .............. 960 30 YORK INTERNATIONAL CORP ............ 1 270 #(degree)ZEBRA TECHNOLOGY CORP (CLASS B) . 8 ---------- 826,246 ---------- See notes to financial statements. 64 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- INSTRUMENTS AND RELATED PRODUCTS--1.55% 20,800(degree)ADAC LABORATORIES, INC ............ $ 415 700(degree)AFFYMETRIX, INC ................... 17 9,240 ARROW INTERNATIONAL, INC ........... 290 82,400 (degree)ARTERIAL VASCULAR ENGINEERING, INC 4,326 650(degree)AVID TECHNOLOGIES, INC ............ 15 700(degree)BACOU U.S.A., INC ................. 15 1,321 BALLARD MEDICAL PRODUCTS CO ........ 32 5,400 BAUSCH & LOMB, INC ................. 324 83,924 BAXTER INTERNATIONAL, INC .......... 5,397 200(degree)BAXTER INTERNATIONAL, INC RTS ..... 0 30,200 BECKMAN COULTER, INC ............... 1,638 117,684 BECTON DICKINSON & CO .............. 5,024 26,200 BIOMET, INC ........................ 1,055 22,698(degree)BOSTON SCIENTIFIC CORP ............ 609 297 x(degree)CELLPRO, INC ................ 0 400(degree)CHYRON CORP ....................... 1 7,000(degree)CLOSURE MEDICAL CORP .............. 209 20(degree)CNS, INC .......................... 0 738,900(degree)CYMER, INC ........................ 10,806 23,800(degree)CYTYC CORP ........................ 613 72 DANIEL INDUSTRIES, INC ............. 1 300(degree)DATASCOPE CORP .................... 7 62,800 DENTSPLY INTERNATIONAL, INC ........ 1,617 9,542(degree)DYNATECH CORP ..................... 26 25,608 EASTMAN KODAK CO ................... 1,844 9,550(degree)FOSSIL, INC ....................... 275 10 FRESENIUS MEDICAL CARE AG. ADR ..... 0 41,822(degree)GENRAD, INC ....................... 659 109,819 GUIDANT CORP ....................... 12,108 21,055(degree)HANGER ORTHOPEDIC GROUP, INC ...... 474 700(degree)HEARTPORT, INC .................... 4 55,700 HONEYWELL, INC ..................... 4,195 11,900 INVACARE CORP ...................... 286 326,400(degree)KLA-TENCOR CORP ................... 14,158 4,200(degree)LIFECORE BIOMEDICAL, INC .......... 43 500(degree)LTX CORP .......................... 1 261,090 MEDTRONIC, INC ..................... 19,386 200 MENTOR CORP ........................ 5 49,009 (degree)METTLER-TOLEDO INTERNATIONAL, INC 1,375 2,500 MOVADO GROUP, INC .................. 67 3,000 MTS SYSTEMS CORP ................... 41 4,900(degree)NOVOSTE CORP ...................... 139 29,600(degree)OCULAR SCIENCES, INC .............. 792 13,242(degree)OEC MEDICAL SYSTEMS, INC .......... 416 2,800(degree)PANAVISION, INC NEW ............... 35 60(degree)PERCLOSE, INC ..................... 2 9,300(degree)PINNACLE SYSTEMS, INC ............. 332 100(degree)POSSIS MEDICAL, INC ............... 1 16,800(degree)RESMED, INC ....................... 762 2,800(degree)RESPIRONICS, INC .................. 56 2,250(degree)ROBOTIC VISION SYSTEMS, INC ....... 6 600(degree)SCOTT TECHNOLOGIES, INC ........... 10 83(degree)SONOSITE, INC ..................... 1 57,551(degree)ST. JUDE MEDICAL, INC ............. 1,593 86,000(degree)STERIS CORP ....................... 2,446 89 STRYKER CORP ....................... 5 300(degree)SUMMIT TECHNOLOGY, INC ............ 1 108,033(degree)SYBRON INTERNATIONAL CORP ......... 2,937 39,778 TEKTRONIX, INC ..................... 1,196 100(degree)THERMO CARDIOSYSTEMS, INC ......... 1 414(degree)THERMO ELECTRON CORP .............. 7 1,000(degree)THERMO OPTEK CORP ................. 9 300(degree)UROMED CORP ....................... 0 23,500(degree)VISX, INC ......................... 2,055 3,900 VITAL SIGNS, INC ................... 68 1,700(degree)VIVUS, INC ........................ 4 13,300(degree)WESLEY JESSEN VISIONCARE, INC ..... 369 152,217 XEROX CORP ......................... 17,962 100(degree)ZYGO CORP ......................... 1 ---------- 118,564 ---------- INSURANCE AGENTS, BROKERS AND SERVICE--0.02% 28,804 CRAWFORD & CO (CLASS B) ............ 445 68,900(degree)FIRST HEALTH GROUP CORP ........... 1,141 100 GALLAGHER (ARTHUR J.) & CO ......... 4 68 MARSH & MCLENNAN COS, INC .......... 4 ---------- 1,594 ---------- INSURANCE CARRIERS--4.37% 1,915 AETNA, INC ......................... 151 91,474 AFLAC, INC ......................... 4,025 1,672,300 ALLSTATE CORP ...................... 64,593 633,433 AMERICAN INTERNATIONAL GROUP, INC .. 61,205 3,500(degree)AMERIN CORP ....................... 83 1,004,565 CITIGROUP, INC ..................... 49,726 17,159 CMAC INVESTMENT CORP ............... 788 100(degree)COMPDENT CORP ..................... 1 57,731 CONSECO, INC ....................... 1,764 7,100 EQUITABLE COS, INC ................. 411 3,131 EVEREST REINSURANCE HOLDINGS, INC .. 122 779,500 EXEL LTD (CLASS A) ................. 58,463 25,835 FIDELITY NATIONAL FINANCIAL, INC ... 788 62,240 FIRST AMERICAN FINANCIAL CORP ...... 1,999 100(degree)FOUNDATION HEALTH SYSTEMS (CLASS A) 1 5,917 HARTFORD LIFE, INC (CLASS A) ....... 345 283 HCC INSURANCE HOLDINGS, INC ........ 5 50(degree)HIGHLANDS INSURANCE GROUP, INC .... 1 1,371(degree)HUMANA, INC ....................... 24 83 MBIA, INC .......................... 5 125,582 MGIC INVESTMENT CORP ............... 5,000 100 NATIONWIDE FINANCIAL SERVICES, INC (CLASS A) ......................... 5 91,730(degree)OXFORD HEALTH PLANS, INC .......... 1,364 3,065(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS A) 223 6,723(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS B) 534 94 PMI GROUP, INC ..................... 5 4,091 PROGRESSIVE CORP ................... 693 20 PROTECTIVE LIFE CORP ............... 1 11,300 PROVIDENT COS, INC ................. 469 112 REINSURANCE GROUP OF AMERICA, INC .. 8 25 SCPIE HOLDINGS, INC ................ 1 491,958 SUNAMERICA, INC .................... 39,910 12,000(degree)TRIAD GUARANTY, INC ............... 265 963,100 UNITED HEALTHCARE CORP ............. 41,473 ---------- 334,451 ---------- LEATHER AND LEATHER PRODUCTS--0.00% 8,585(degree)SAMSONITE CORP .................... 48 ---------- LEGAL SERVICES--0.00% 266(degree)PREPAID LEGAL SERVICES, INC ....... 9 ---------- LOCAL AND INTERURBAN PASSENGER TRANSIT--0.01% 18,700(degree)COACH U.S.A., INC ................. 649 71,240(degree)GREYHOUND LINES, INC .............. 423 1,200(degree)RURAL/METRO CORP .................. 13 ---------- 1,085 ---------- See notes to financial statements. 65 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- LUMBER AND WOOD PRODUCTS--0.00% 1,300(degree)AMERICAN HOMESTAR CORP ............ $ 20 460 CLAYTON HOMES, INC ................. 6 2,400(degree)PALM HARBOR HOMES, INC ............ 60 ---------- 86 ---------- METAL MINING--0.03% 53,104 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS A) ............... 514 139,550 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) ............... 1,457 90 NEWMONT MINING CORP ................ 2 15,494(degree)STILLWATER MINING CO .............. 635 3,663(degree)SUNSHINE MINING & REFINING CO ..... 2 ---------- 2,610 ---------- MISCELLANEOUS MANUFACTURING INDUSTRIES--0.06% 42,460(degree)BLYTH INDUSTRIES, INC ............. 1,327 24,600 BRADY CORP (CLASS A) ............... 663 97 HASBRO, INC ........................ 4 6,735(degree)HEXCEL CORP ....................... 56 2,300 INTERNATIONAL GAME TECHNOLOGY CO ... 56 47,381 JOSTENS, INC ....................... 1,241 311 K2, INC ............................ 3 98(degree)LYDALL, INC ....................... 1 56,845 MATTEL, INC ........................ 1,297 8,686(degree)STEINWAY MUSICAL INSTRUMENTS, INC . 226 56(degree)WMS INDUSTRIES, INC ............... 0 ---------- 4,874 ---------- MISCELLANEOUS RETAIL--0.70% 7,100(degree)AMAZON.COM, INC ................... 2,281 9,700(degree)BARNETT, INC ...................... 133 47,084(degree)BORDERS GROUP, INC ................ 1,174 16,730(degree)CDW COMPUTER CENTERS, INC ......... 1,605 11,000(degree)COLDWATER CREEK, INC .............. 151 70(degree)CORPORATE EXPRESS, INC ............ 0 156,439 CVS CORP ........................... 8,604 200(degree)GARDEN RIDGE CORP ................. 2 42,885(degree)GLOBAL DIRECTMAIL CORP ............ 1,002 6,861 HANCOCK FABRICS, INC ............... 57 1,100(degree)HANOVER DIRECT, INC ............... 4 20,900(degree)INSIGHT ENTERPRISES, INC .......... 1,063 3,800 x(degree)JUMBOSPORTS, INC ............ 0 65,500(degree)MICHAELS STORES, INC .............. 1,185 190,454(degree)OFFICE DEPOT, INC ................. 7,035 141(degree)OFFICEMAX, INC .................... 2 102,974 OMNICARE, INC ...................... 3,578 11,200(degree)PETCO ANIMAL SUPPLIES, INC ........ 113 40(degree)PETSMART, INC ..................... 0 183 RITE AID CORP ...................... 9 177,510(degree)STAPLES, INC ...................... 7,755 7,550(degree)SUNGLASS HUT INTERNATIONAL, INC ... 53 85(degree)TOYS R US, INC .................... 1 10,658(degree)U.S. OFFICE PRODUCTS CO ........... 41 304,065 WALGREEN CO ........................ 17,807 30(degree)ZALE CORP ......................... 1 ---------- 53,656 ---------- MOTION PICTURES--0.49% 1,800(degree)AMC ENTERTAINMENT, INC ............ 38 1,232,447 DISNEY (WALT) CO ................... 36,973 17,900(degree)HOLLYWOOD ENTERTAINMENT CORP ...... 488 16,100(degree)SPELLING ENTERTAINMENT GROUP, INC . 121 ---------- 37,620 ---------- NONDEPOSITORY INSTITUTIONS--1.99% 75 ADVANTA CORP (CLASS A) ............. $ 1 236,346 AMERICAN EXPRESS CO ................ 24,166 91,814(degree)AMERICREDIT CORP .................. 1,268 1,695,368 ASSOCIATES FIRST CAPITAL CORP ...... 71,841 53,936 CAPITAL ONE FINANCIAL CORP ......... 6,203 4,267 CHARTER MUNICIPAL MORTGAGE ACCEPTANCE ........................ 52 11,400 x(degree)CITYSCAPE FINANCIAL CORP .... 0 16,500 CONNING CORP ....................... 342 7,733(degree)CONTIFINANCIAL CORP ............... 55 5,568 COUNTRYWIDE CREDIT INDUSTRIES, INC . 279 37,100 DORAL FINANCIAL CORP ............... 821 267,597 FEDERAL NATIONAL MORTGAGE ASSOCIATION 19,802 10,493(degree)FIRSTPLUS FINANCIAL GROUP, INC .... 29 6,400(degree)FRANCHISE MORTGAGE ACCEPTANCE CO .. 50 386,952 FREDDIE MAC ........................ 24,934 5,700(degree)HEADLANDS MORTGAGE CO ............. 119 8,681 HOUSEHOLD INTERNATIONAL, INC ....... 344 600(degree)IMC MORTGAGE CO ................... 0 100(degree)IMPERIAL CREDIT INDUSTRIES, INC ... 1 7,800(degree)LONG BEACH FINANCIAL CORP ......... 59 15,900 METRIS COS, INC .................... 800 23,284 SLM HOLDINGS CORP .................. 1,118 1,881 x(degree)SOUTHERN PACIFIC FUNDING CORP 0 13,200(degree)UNICAPITAL CORP ................... 97 100 UNITED COS FINANCIAL CORP .......... 0 ---------- 152,381 ---------- OIL AND GAS EXTRACTION--1.39% 1,241,079 APACHE CORP ........................ 31,415 83(degree)ATWOOD OCEANICS, INC .............. 1 22(degree)BELCO OIL & GAS CORP .............. 0 1,263(degree)BENTON OIL & GAS CO ............... 4 5,100 BERRY PETROLEUM CO (CLASS A) ....... 72 4,800(degree)BROWN (TOM), INC .................. 48 7,700 CABOT OIL & GAS CORP (CLASS A) ..... 116 5,800(degree)CAL DIVE INTERNATIONAL, INC ....... 120 1,391 CHESAPEAKE ENERGY CORP ............. 1 500(degree)COHO ENERGY, INC .................. 1 15,000(degree)COMSTOCK RESOURCES, INC ........... 46 3,764 CROSS TIMBERS OIL CO ............... 28 1,052,959 DIAMOND OFFSHORE DRILLING, INC ..... 24,942 53,033(degree)EEX CORP .......................... 371 9,251 ENRON OIL & GAS CO ................. 160 136,139 ENSCO INTERNATIONAL, INC ........... 1,455 13,800 (degree)FRIEDE GOLDMAN INTERNATIONAL, INC 157 14(degree)GLOBAL INDUSTRIES LTD ............. 0 107,200(degree)GREY WOLF, INC .................... 87 131,548 HALLIBURTON CO ..................... 3,897 1,246(degree)HANOVER COMPRESSOR CO ............. 32 24,813 KCS ENERGY, INC .................... 76 59,840(degree)MARINE DRILLING CO, INC ........... 460 71(degree)MCMORAN EXPLORATION CO ............ 1 12,491 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) ......................... 143 100(degree)NABORS INDUSTRIES, INC ............ 1 4,600 NOBLE AFFILIATES, INC .............. 113 37(degree)NOBLE DRILLING CORP ............... 0 5,852,087 +(degree)OCEAN ENERGY, INC NEW ....... 36,941 15,646(degree)OCEANEERING INTERNATIONAL, INC .... 235 2,100(degree)OMNI ENERGY SERVICES CORP ......... 9 29,800(degree)PATTERSON ENERGY, INC ............. 121 42 PIONEER NATURAL RESOURCES CO ....... 0 86,934(degree)ROWAN COS, INC .................... 869 See notes to financial statements. 66 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- OIL AND GAS EXTRACTION--(CONTINUED) 10,300 RPC, INC ........................... $ 76 11,100(degree)RUTHERFORD-MORAN OIL CORP ......... 31 300 ST. MARY LAND & EXPLORATION CO ..... 6 29,663(degree)STONE ENERGY CORP ................. 853 22,600(degree)SUPERIOR ENERGY SERVICES, INC ..... 64 400(degree)SWIFT ENERGY CO ................... 3 14,700(degree)SYNTROLEUM CORP ................... 91 23,971(degree)TRANSMONTAIGNE, INC ............... 363 78,700 TRANSOCEAN OFFSHORE, INC ........... 2,110 12,235(degree)TRANSTEXAS GAS CORP ............... 32 7,800(degree)TUBOSCOPE, INC .................... 63 9,400(degree)UTI ENERGY CORP ................... 68 23,594 VASTAR RESOURCES, INC .............. 1,019 4,349 VINTAGE PETROLEUM, INC ............. 38 ---------- 106,739 ---------- PAPER AND ALLIED PRODUCTS--0.28% 100(degree)ACX TECHNOLOGIES, INC ............. 1 388(degree)AMERICAN PAD & PAPER CO ........... 1 22,643(degree)BUCKEYE TECHNOLOGIES, INC ......... 338 200 CARAUSTAR INDUSTRIES, INC .......... 6 63,200(degree)EARTHSHELL CORP ................... 754 192,933 FORT JAMES CORP .................... 7,717 54,300(degree)GAYLORD CONTAINER CO .............. 333 7,288(degree)IVEX PACKAGING CORP ............... 169 204,736 KIMBERLY CLARK CORP ................ 11,158 2,300 REPUBLIC GROUP, INC ................ 46 5,283 SCHWEITZER-MAUDUIT INTERNATIONAL, INC 82 3,756(degree)SMURFIT-STONE CONTAINER CORP ...... 59 5,549 SONOCO PRODUCTS CO ................. 164 22,310 WAUSAU-MOSINEE PAPER CORP .......... 395 ---------- 21,223 ---------- PERSONAL SERVICES--0.12% 92,747 BLOCK (H&R), INC ................... 4,174 53,600 CINTAS CORP ........................ 3,775 2,100(degree)COINMACH LAUNDRY CORP ............. 27 50 G & K SERVICES, INC (CLASS A) ...... 3 600 REGIS CORP ......................... 24 39,821 SERVICE CORP INTERNATIONAL ......... 1,516 ---------- 9,519 ---------- PETROLEUM AND COAL PRODUCTS--0.02% 6,600 ELCOR CORP ......................... 213 11,808(degree)FRONTIER OIL CORP ................. 58 43,860 PENNZENERGY CO ..................... 715 43,860(degree)PENNZOIL-QUAKER STATE CO .......... 650 84 TEXACO, INC ........................ 4 61 TOSCO CORP ......................... 2 80 UNOCAL CORP ........................ 2 2,600 WD-40 CO ........................... 74 ---------- 1,718 ---------- PRIMARY METAL INDUSTRIES--0.01% 2,425(degree)AFC CABLE SYSTEMS, INC ............ 82 15(degree)ARMCO, INC ........................ 0 542(degree)CABLE DESIGN TECHNOLOGIES CO ...... 10 2,500(degree)CHASE INDUSTRIES, INC ............. 26 414(degree)ESSEX INTERNATIONAL, INC .......... 14 17,894 GENERAL CABLE CORP ................. 367 100(degree)GIBRALTAR STEEL CORP .............. 2 336 IMCO RECYCLING, INC ................ 5 1,100 INTERMET CORP ...................... 14 5,400 MATTHEWS INTERNATIONAL CORP (CLASS A) 170 19,200(degree)NS GROUP, INC ..................... 85 1,000 NUCOR CORP ......................... 43 5,600(degree)OPTICAL CABLE CORP ................ 68 160 PRECISION CAST PARTS CORP .......... 7 7,900(degree)STEEL DYNAMICS, INC ............... 93 1,534 SUPERIOR TELECOM, INC .............. 72 187 TITANIUM METALS CORP ............... 2 380 WORTHINGTON INDUSTRIES, INC ........ 5 ---------- 1,065 ---------- PRINTING AND PUBLISHING--0.50% 5,400(degree)APPLIED GRAPHICS TECHNOLOGIES, INC 89 14,808 BELO (A.H.) CORP SERIES A .......... 295 9,706 CENTRAL NEWSPAPERS, INC (CLASS A) .. 693 8,320(degree)CONSOLIDATED GRAPHICS, INC ........ 562 9,300(degree)DAY RUNNER, INC ................... 135 88 DELUXE CORP ........................ 3 11,100 DOW JONES & CO, INC ................ 534 110,989 GANNETT CO, INC .................... 7,159 5,740 HARLAND (JOHN H.) CO ............... 91 8,200 HARTE-HANKS, INC ................... 234 35,503 HOLLINGER INTERNATIONAL, INC ....... 495 50,456 LEE ENTERPRISES, INC ............... 1,589 13,100 x(degree)MARVEL ENTERTAINMENT GROUP, INC 2 5,400(degree)MEDIA ARTS GROUP, INC ............. 76 25,663 MEDIA GENERAL, INC (CLASS A) ....... 1,360 4,700 MEREDITH CORP ...................... 178 5,000 MERRILL CORP ....................... 97 155 NEW ENGLAND BUSINESS SERVICES, INC . 6 7,600 NEW YORK TIMES CO (CLASS A) ........ 264 1,000 PENTON MEDIA, INC .................. 20 16,492(degree)PETERSEN COS, INC (CLASS A) ....... 559 16,300(degree)PLAYBOY ENTERPRISES, INC (CLASS B) 341 5,339(degree)PRIMEDIA, INC ..................... 63 56 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VOTE) .............. 1 87,852 REYNOLDS & REYNOLDS CO (CLASS A) ... 2,015 21 STANDARD REGISTER, INC ............. 1 100 THOMAS NELSON, INC ................. 1 257,442 TIME WARNER, INC ................... 15,977 100 TIMES MIRROR CO SERIES A ........... 6 78,809 TRIBUNE CO ......................... 5,201 68 WALLACE COMPUTER SERVICES, INC ..... 2 500 WILEY (JOHN) & SONS, INC (CLASS A) . 24 77(degree)WORKFLOW MANAGEMENT, INC .......... 1 6(degree)WORLD COLOR PRESS, INC ............ 0 ---------- 38,074 ---------- RAILROAD TRANSPORTATION--0.03% 34,682 KANSAS CITY SOUTHERN INDUSTRIES, INC 1,706 23,750(degree)WISCONSIN CENTRAL TRANSIT CORP .... 408 ---------- 2,114 ---------- REAL ESTATE--0.03% 83(degree)CATELLUS DEVELOPMENT CORP ......... 1 6,209(degree)FAIRFIELD COMMUNITIES, INC ........ 69 4,400 FOREST CITY ENTERPRISES, INC (CLASS A) 116 2,700(degree)GRUBB & ELLIS CO .................. 22 1,953(degree)INSIGNIA FINANCIAL GROUP, INC ..... 24 18,796(degree)LASALLE PARTNERS, INC ............. 553 1,230(degree)RECKSON SERVICES INDUSTRIES, INC .. 5 31,800 STEWART ENTERPRISES, INC (CLASS A) . 708 35,838 (degree)TRAMMELL CROW CO ............ 1,003 ---------- 2,501 ---------- See notes to financial statements. 67 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.26% 16,994 APTARGROUP, INC .................... $ 477 76 ARMSTRONG WORLD INDUSTRIES, INC .... 5 3,400 CARLISLE COS, INC .................. 176 2,397 FIRST BRANDS CORP .................. 95 21,872 FURON CO ........................... 373 33,484 GOODRICH (B.F.) CO ................. 1,201 150,425 ILLINOIS TOOL WORKS, INC ........... 8,725 1,835 MYERS INDUSTRIES, INC .............. 53 74,600 NIKE, INC (CLASS B) ................ 3,026 48(degree)REEBOK INTERNATIONAL LTD .......... 1 159,694(degree)SAFESKIN CORP ..................... 3,853 8,795(degree)SEALED AIR CORP ................... 449 55 SOLUTIA, INC ....................... 1 7,800 SPARTECH CORP ...................... 172 40,248 TREDEGAR INDUSTRIES, INC ........... 906 19,617 TUPPERWARE CORP .................... 322 19,700 WYNNS INTERNATIONAL, INC ........... 436 ---------- 20,271 ---------- SECURITY AND COMMODITY BROKERS--0.24% 4,964(degree)AFFILIATED MANAGERS GROUP, INC .... 148 426 DUFF & PHELPS CREDIT RATING CO ..... 23 14,900(degree)E TRADE GROUP, INC ................ 697 36,224 EATON VANCE CORP ................... 756 6,015 EVEREN CAPITAL CORP ................ 137 57,300 FEDERATED INVESTMENTS, INC ......... 1,039 17,613 FRANKLIN RESOURCES, INC ............ 564 2,067 FREEDOM SECURITIES CORP ............ 31 22,100(degree)FRIEDMAN, BILLINGS, RAMSEY GROUP, INC 144 4,200(degree)INVESTMENT TECHNOLOGY GROUP, INC .. 261 17,200 JEFFERIES GROUP, INC ............... 854 1,509 JOHN NUVEEN CO (CLASS A) ........... 56 5,600 MORGAN KEEGAN, INC ................. 105 3,200 PRICE (T. ROWE) ASSOCIATES, INC .... 110 231,351 SCHWAB (CHARLES) CORP .............. 12,999 500 SOUTHWEST SECURITIES GROUP, INC .... 10 2,300 VALUE LINE, INC .................... 91 ---------- 18,025 ---------- SOCIAL SERVICES--0.01% 13,800(degree)CAPITAL SENIOR LIVING CORP ........ 192 1,400(degree)RWD TECHNOLOGIES, INC ............. 30 7,600(degree)SUNRISE ASSISTED LIVING, INC ...... 394 ---------- 616 ---------- SPECIAL TRADE CONTRACTORS--0.01% 461(degree)AMERICAN RESIDENTIAL SERVICES, INC 1 6,600 x(degree)AMRE, INC ................... 0 34,200(degree)GROUP MAINTENANCE AMERICA CORP .... 415 ---------- 416 ---------- STONE, CLAY, AND GLASS PRODUCTS--0.09% 901 CENTEX CONSTRUCTION PRODUCTS, INC .. 37 54,499 CORNING, INC ....................... 2,452 27,300(degree)DAL-TILE INTERNATIONAL, INC ....... 283 10,119(degree)DEPARTMENT 56, INC ................ 380 7,650 LIBBEY, INC ........................ 221 42,606 NEWELL COS, INC .................... 1,757 6,500(degree)OWENS ILLINOIS, INC ............... 199 29,917 USG CORP ........................... 1,524 ---------- 6,853 ---------- TEXTILE MILL PRODUCTS--0.49% 12,604(degree)COLLINS & AIKMAN CORP ............. 65 29,400 INTERFACE, INC (CLASS A) ........... 273 8,693(degree)MOHAWK INDUSTRIES, INC ............ 366 15,882 SHAW INDUSTRIES, INC ............... 385 1,143,500(degree)WESTPOINT STEVENS, INC ............ 36,092 ---------- 37,181 ---------- TOBACCO PRODUCTS--0.95% 1,352,433 PHILIP MORRIS COS, INC ............. 72,355 ---------- TRANSPORTATION BY AIR--0.04% 1,600(degree)AIRTRAN HOLDINGS, INC ............. 4 11,534(degree)ATLAS AIR, INC .................... 564 65,925 COMAIR HOLDINGS, INC ............... 2,225 1,300(degree)FDX CORP .......................... 116 50(degree)MESA AIR GROUP, INC ............... 0 55(degree)MIDWEST EXPRESS HOLDINGS, INC ..... 1 3,600(degree)U.S. AIRWAYS GROUP, INC ........... 187 ---------- 3,097 ---------- TRANSPORTATION EQUIPMENT--1.22% 101,786 ALLIED SIGNAL, INC ................. 4,510 29,400(degree)BE AEROSPACE, INC ................. 617 343,930 BOEING CO .......................... 11,221 389 CLARCOR, INC ....................... 8 2,461 COMMERCIAL INTERTECH CORP .......... 32 1,733 CORDANT TECHNOLOGIES, INC .......... 65 95,704 DANAHER CORP ....................... 5,198 3,200(degree)DUCOMMUN, INC ..................... 44 1,600 FEDERAL-MOGUL CORP ................. 95 988,500(degree)GENERAL MOTORS CORP (CLASS H) ..... 39,231 19,400(degree)GENTEX CORP ....................... 388 90,659(degree)GULFSTREAM AEROSPACE CORP ......... 4,828 42(degree)HALTER MARINE GROUP, INC .......... 0 147,760 HARLEY DAVIDSON, INC ............... 7,000 21,600(degree)HAYES LEMMERZ INTERNATIONAL, INC .. 652 400(degree)HOWMET INTERNATIONAL, INC ......... 6 3,600(degree)KELLSTROM INDUSTRIES, INC ......... 104 25,374 MASCOTECH, INC ..................... 435 122,744 MERITOR AUTOMOTIVE, INC ............ 2,601 6,700 MODINE MANUFACTURING CO ............ 243 13,350(degree)MONACO COACH CORP ................. 354 2,600(degree)MOTIVEPOWER INDUSTRIES, INC ....... 84 12,000(degree)NATIONAL R.V. HOLDINGS, INC ....... 309 31,455 POLARIS INDUSTRIES, INC ............ 1,233 4,604 REGAL-BELOIT CORP .................. 106 14,435(degree)STONERIDGE, INC ................... 328 67,251 SUNDSTRAND CORP .................... 3,489 1,320 SUPERIOR INDUSTRIES INTERNATIONAL, INC 37 5,024 THOR INDUSTRIES, INC ............... 128 13,955(degree)TRIUMPH GROUP, INC ................ 447 89,610 UNITED TECHNOLOGIES CORP ........... 9,745 3,262 WABASH NATIONAL CORP ............... 66 900(degree)WALBRO CORP ....................... 6 ---------- 93,610 ---------- TRANSPORTATION SERVICES--0.08% 50 AIR EXPRESS INTERNATIONAL CORP ..... 1 40,100 C.H. ROBINSON WORLDWIDE, INC ....... 1,040 100 CIRCLE INTERNATIONAL GROUP, INC .... 2 2,600 EXPEDITORS INTERNATIONAL OF WASHINGTON ........................ 109 112,816 GALILEO INTERNATIONAL, INC ......... 4,907 83(degree)NAVIGANT INTERNATIONAL, INC ....... 1 200(degree)TRAVEL SERVICES INTERNATIONAL, INC 6 4,200(degree)U.S. EXPRESS ENTERPRISES, INC (CLASS A) 63 ---------- 6,129 ---------- See notes to financial statements. 68 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- TRUCKING AND WAREHOUSING--0.02% 5,216 CNF TRANSPORTATION, INC ............ $ 196 1,500(degree)COVENANT TRANSPORT, INC (CLASS A) . 27 5,500(degree)DISPATCH MANAGEMENT SERVICES CORP . 22 20,900 HUNT (J.B.) TRANSPORT SERVICES, INC 481 4,900(degree)KNIGHT TRANSPORTATION, INC ........ 131 259(degree)PIERCE LEAHY CORP ................. 7 9,550(degree)SWIFT TRANSPORTATION CO, INC ...... 268 ---------- 1,132 ---------- WATER TRANSPORTATION--1.09% 1,684,900 CARNIVAL CORP (CLASS A) ............ 80,875 700(degree)HVIDE MARINE, INC (CLASS A) ....... 4 114,302 TIDEWATER, INC ..................... 2,650 34(degree)TRICO MARINE SERVICES, INC ........ 0 ---------- 83,529 ---------- WHOLESALE TRADE-DURABLE GOODS--0.10% 17,500(degree)ACTION PERFORMANCE COS, INC ....... 619 10,000(degree)ANICOM, INC ....................... 92 56(degree)ANIXTER INTERNATIONAL, INC ........ 1 900 APPLIED INDUSTRIAL TECHNOLOGIES, INC 12 5,973(degree)ARROW ELECTRONICS, INC ............ 159 738 AVNET, INC ......................... 45 2,100 BRIGGS & STRATTON CORP ............. 105 47,989(degree)BRIGHTPOINT, INC .................. 660 73 CASTLE (A.M.) & CO ................. 1 56(degree)CELLSTAR CORP ..................... 0 5,800(degree)CHS ELECTRONICS, INC .............. 98 100(degree)FAIRCHILD CORP (CLASS A) .......... 2 36,572(degree)FISHER SCIENTIFIC INTERNATIONAL, INC 729 300(degree)GRAHAM-FIELD HEALTH PRODUCTS, INC . 1 3,600(degree)HA-LO INDUSTRIES, INC ............. 135 600(degree)HIRSCH INTERNATIONAL CORP (CLASS A) 2 47,519 IKON OFFICE SOLUTIONS, INC ......... 407 56,797(degree)INGRAM MICRO, INC (CLASS A) ....... 1,981 5,800(degree)JLK DIRECT DISTRIBUTION, INC (CLASS A) 59 24,300(degree)METAL MANAGEMENT, INC ............. 85 1,900(degree)MICROAGE, INC ..................... 29 12,971 OWENS & MINOR, INC ................. 204 12,400(degree)PATTERSON DENTAL CO ............... 539 10,700(degree)POMEROY COMPUTER RESOURCES, INC ... 241 14,720(degree)SAFEGUARD SCIENTIFICS, INC ........ 404 28,971(degree)TECH DATA CORP .................... 1,166 2,043(degree)VWR SCIENTIFIC PRODUCTS CORP ...... 35 ---------- 7,811 ---------- WHOLESALE TRADE-NONDURABLE GOODS--1.67% 37,272(degree)BARRETT RESOURCES CORP ............ 895 74,222 BERGEN BRUNSWIG CORP (CLASS A) ..... 2,588 432 (degree)BOISE CASCADE OFFICE PRODUCTS CORP 6 1,454,072 CARDINAL HEALTH, INC ............... 110,328 92 DIMON, INC ......................... 1 52(degree)KENNETH COLE PRODUCTIONS, INC ..... 1 84,717 MCKESSON CORP NEW .................. 6,698 48,373(degree)NATIONAL-OILWELL, INC ............. 541 5,100(degree)NU SKIN ENTERPRISES, INC (CLASS A) 120 600(degree)PERFORMANCE FOOD GROUP CO ......... 17 1,418(degree)PHARMERICA, INC ................... 9 1,000(degree)PLAINS RESOURCES, INC ............. 14 4,200(degree)PRIORITY HEALTHCARE CORP (CLASS B) 218 60,532 RICHFOOD HOLDINGS, INC ............. 1,256 48(degree)SCHOOL SPECIALTY, INC ............. 1 18,200(degree)SCIOS, INC ........................ 189 200 SMART & FINAL, INC ................. 2 97,378 SYSCO CORP ......................... 2,672 3,100(degree)U.S.A. FLORAL PRODUCTS, INC ....... 36 1,600(degree)UNITED NATURAL FOODS, INC ......... 39 49,400(degree)UNITED STATIONERS, INC ............ 1,284 21,600(degree)UNIVERSAL CORP .................... 755 3,500 VALHI, INC ......................... 40 200 WEIDER NUTRITION INTERNATIONAL, INC 1 ---------- 127,711 ---------- TOTAL COMMON STOCK (Cost $5,712,871) .................... 7,437,651 ---------- PRINCIPAL --------- SHORT TERM INVESTMENTS--3.12% COMMERCIAL PAPER--2.26% ABBOT LABORATORIES $ 6,200,000 * 5.600%, 01/06/99 ................. 6,195 AIR PRODUCTS & CHEMICALS, INC 7,340,000 4.850%, 03/31/99 ................. 7,250 CARGILL GLOBAL FUNDING PLC 5,000,000 ~ 5.720%, 01/04/99 ................. 4,997 CATERPILLAR FINANCIAL SERVICES CORP 4,500,000 4.950%, 01/04/99 ................. 4,497 COCA COLA CO 1,900,000 5.030%, 03/03/99 ................. 1,884 CORPORATE ASSET FUNDING CORP, INC 6,000,000 *~ 5.200%, 01/08/99 ................. 5,993 11,000,000 *~ 5.170%, 01/11/99 ................. 10,983 CSX CORP 2,100,000 ~ 5.600%, 01/04/99 ................. 2,099 CVS CORP 9,000,000 *~ 6.250%, 01/05/99 ................. 8,993 GENERAL ELECTRIC CAPITAL CORP 17,500,000 * 5.320%, 01/12/99 ................. 17,471 GENERAL MOTORS ACCEPTANCE CORP 7,000,000 * 5.070%, 01/26/99 ................. 6,975 GILLETTE CO 15,000,000 *~ 6.000%, 01/05/99 ................. 14,989 HAWAIIAN ELECTRIC CO, INC 3,100,000 5.100%, 02/03/99 ................. 3,085 JOHNSON & JOHNSON CO 10,000,000 *~ 4.950%, 03/22/99 ................. 9,890 MOTOROLA, INC 10,000,000 * 5.050%, 01/29/99 ................. 9,960 PACCAR FINANCIAL CORP 8,900,000 5.450%, 01/21/99 ................. 8,874 PITNEY BOWES, INC 15,000,000 * 5.580%, 01/13/99 ................. 14,973 PUBLIC SERVICE CO OF COLORADO 9,000,000 6.600%, 01/07/99 ................. 8,991 RALSTON PURINA CO 4,400,000 * 6.050%, 01/06/99 ................. 4,396 SAINT PAUL COS 10,000,000 *~ 4.950%, 01/04/99 ................. 9,994 SC JOHNSON & SON, INC 5,000,000 ~ 5.820%, 01/07/99 ................. 4,995 6,000,000 *~ 4.970%, 02/23/99 ................. 5,956 ---------- 173,440 ---------- See notes to financial statements. 69 GROWTH ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- ----- U.S. GOVERNMENT & AGENCIES--0.86% FEDERAL HOME LOAN BANK $17,000,000 * 4.762%, 01/22/99 ................. $ 16,952 171,000 4.750%, 10/08/99 ................. 165 FEDERAL HOME LOAN MORTGAGE CORP 14,750,000 5.170%, 01/14/99 ................. 14,724 18,800,000 5.150%, 01/20/99 ................. 18,751 14,145,000 4.850%, 02/19/99 ................. 14,052 980,000 4.930%, 02/22/99 ................. 973 ---------- 65,617 ---------- TOTAL SHORT TERM INVESTMENTS (Cost $239,059) .................... 239,057 ---------- TOTAL PORTFOLIO (Cost $5,952,355) .................... $7,677,197 ========== - ------------------------ (degree) Non-income producing + Affiliated holding x In bankruptcy ~ Commerical Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open futures contracts. # Restricted Securities-Investment in securities not registered under the Securities Act of 1933 or not publicly traded in foreign markets. At December 31, 1998, the value of these securities amounted to $7,838 or 0.00% of net assets. Additional information on each restricted security is as follows: Acquisition Acquisition Security Date Cost -------- ----------- ----------- PHYSICIAN COMPUTER NETWORK, INC 12/27/95 $17,985 ZEBRA TECHNOLOGY CORP (CLASS B) 10/29/98 8,133 ------- $26,118 ======= See notes to financial statements. 70 COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES--GROWTH ACCOUNT JANUARY 1, 1998--DECEMBER 31, 1998
VALUE AT REALIZED DIVIDEND ISSUE DECEMBER 31, 1997 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME ----- ----------------- ------------- ------------- ---------- --------- GUILFORD PHARMACEUTICALS, INC. ** $ 15,964,926 -- -- -- LIFE RE CORP ** 14,744,319 90,995,110 18,109,974 120,009 # OCEAN ENERGY, INC ** 38,226,527 69,133,933 3,618 -- OCEAN ENERGY, INC (NEW) ** 110,196,914 991,326 (102,636) -- PREMIER PARKS, INC ** 77,845,901 10,456,973 1,118,970 -- --- ------------ ----------- ----------- -------- TOTAL AFFILIATED TRANSACTIONS $0 $256,978,587 $171,577,342 $19,129,926 $120,009 === =========== =========== =========== ========
SHARES AT VALUE AT ISSUE DECEMBER 31, 1998 DECEMBER 31, 1998 ----- ----------------- ------------------ GUILFORD PHARMACEUTICALS, INC. 1,649,100 23,499,675 LIFE RE CORP -- * # OCEAN ENERGY, INC -- * OCEAN ENERGY, INC (NEW) 5,852,087 36,941,299 PREMIER PARKS, INC 5,368,300 162,391,075 ------------ TOTAL AFFILIATED TRANSACTIONS $222,832,049 ============ ** Not an Affiliate as of December 31, 1997 * Not an Affiliate as of December 31, 1998 # Exchange of stock See notes to financial statements. 71 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX FUND ACCOUNT DECEMBER 31, 1998 SUMMARY BY INDUSTRY (000) VALUE % ----- ----- BONDS CORPORATE BONDS COMMUNICATIONS .......................... $ 8 0.00% ELECTRIC, GAS, AND SANITARY SERVICES .... 14 0.00 ----------- ------ TOTAL CORPORATE BONDS (Cost $15) ............................... 22 0.00 ----------- ------ TOTAL BONDS (Cost $15) ............................... 22 0.00 ----------- ------ PREFERRED STOCK ELECTRONIC AND OTHER ELECTRIC EQUIPMENT .. 18 0.00 HOLDING AND OTHER INVESTMENT OFFICES ..... 32 0.00 INSTRUMENTS AND RELATED PRODUCTS ......... 0 0.00 INSURANCE CARRIERS ....................... 97 0.00 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ....................... 458 0.01 ----------- ------ TOTAL PREFERRED STOCK (Cost $577) .............................. 605 0.01 ----------- ------ COMMON STOCK AGRICULTURAL PRODUCTION-CROPS ............ 2,363 0.07 AGRICULTURAL SERVICES .................... 125 0.00 AMUSEMENT AND RECREATION SERVICES ........ 3,888 0.11 APPAREL AND ACCESSORY STORES ............. 18,606 0.54 APPAREL AND OTHER TEXTILE PRODUCTS ....... 4,229 0.12 AUTO REPAIR, SERVICES AND PARKING ........ 2,043 0.06 AUTOMOTIVE DEALERS AND SERVICE STATIONS .. 2,226 0.06 BUILDING MATERIALS AND GARDEN SUPPLIES ... 33,002 0.96 BUSINESS SERVICES ........................ 247,056 7.16 CHEMICALS AND ALLIED PRODUCTS ............ 447,225 12.96 COAL MINING .............................. 72 0.00 COMMUNICATIONS ........................... 368,797 10.68 DEPOSITORY INSTITUTIONS .................. 285,098 8.26 EATING AND DRINKING PLACES ............... 29,161 0.84 EDUCATIONAL SERVICES ..................... 1,958 0.06 ELECTRIC, GAS, AND SANITARY SERVICES ..... 149,437 4.33 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT .............................. 256,885 7.44 ENGINEERING AND MANAGEMENT SERVICES ...... 8,643 0.25 FABRICATED METAL PRODUCTS ................ 27,958 0.81 FISHING, HUNTING, AND TRAPPING ........... 31 0.00 FOOD AND KINDRED PRODUCTS ................ 136,780 3.96 FOOD STORES .............................. 26,158 0.76 FORESTRY ................................. 1,029 0.03 FURNITURE AND FIXTURES ................... 4,872 0.14 FURNITURE AND HOMEFURNISHINGS STORES ..... 7,778 0.23 GENERAL BUILDING CONTRACTORS ............. 4,132 0.12 GENERAL MERCHANDISE STORES ............... 77,300 2.24 HEALTH SERVICES .......................... 20,947 0.61 HEAVY CONSTRUCTION, EXCEPT BUILDING ...... 1,713 0.05 HOLDING AND OTHER INVESTMENT OFFICES ..... 37,744 1.09 HOTELS AND OTHER LODGING PLACES .......... 8,582 0.25 INDUSTRIAL MACHINERY AND EQUIPMENT ....... 250,311 7.25 INSTRUMENTS AND RELATED PRODUCTS ......... 77,587 2.25 INSURANCE AGENTS, BROKERS AND SERVICE .... 5,255 0.15 INSURANCE CARRIERS ....................... 170,711 4.95 LEATHER AND LEATHER PRODUCTS ............. 760 0.02 LEGAL SERVICES ........................... 426 0.01 LOCAL AND INTERURBAN PASSENGER TRANSIT ... 366 0.01 LUMBER AND WOOD PRODUCTS ................. 6,913 0.20 METAL MINING ............................. 4,451 0.13 MISCELLANEOUS MANUFACTURING INDUSTRIES ............................. 5,201 0.15 MISCELLANEOUS RETAIL ..................... 37,686 1.09 MOTION PICTURES .......................... 19,819 0.57 NONDEPOSITORY INSTITUTIONS ............... 75,622 2.19 NONMETALLIC MINERALS, EXCEPT FUELS ....... 2,263 0.07 OIL AND GAS EXTRACTION ................... 21,438 0.62 PAPER AND ALLIED PRODUCTS ................ 29,375 0.85 PERSONAL SERVICES ........................ 6,339 0.18 PETROLEUM AND COAL PRODUCTS .............. 137,070 3.97 PRIMARY METAL INDUSTRIES ................. 12,467 0.36 PRINTING AND PUBLISHING .................. 47,432 1.37 RAILROAD TRANSPORTATION .................. 16,052 0.47 REAL ESTATE .............................. 3,166 0.09 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ....................... 15,352 0.44 SECURITY AND COMMODITY BROKERS ........... 37,163 1.08 SOCIAL SERVICES .......................... 529 0.02 SPECIAL TRADE CONTRACTORS ................ 506 0.02 STONE, CLAY, AND GLASS PRODUCTS .......... 9,658 0.28 TEXTILE MILL PRODUCTS .................... 3,813 0.11 TOBACCO PRODUCTS ......................... 43,416 1.26 TRANSPORTATION BY AIR .................... 17,371 0.50 TRANSPORTATION EQUIPMENT ................. 103,615 3.00 TRANSPORTATION SERVICES .................. 2,519 0.07 TRUCKING AND WAREHOUSING ................. 3,253 0.10 WATER TRANSPORTATION ..................... 1,573 0.05 WHOLESALE TRADE-DURABLE GOODS ............ 10,051 0.29 WHOLESALE TRADE-NONDURABLE GOODS ......... 15,383 0.45 ----------- ------ TOTAL COMMON STOCK (Cost $2,421,519) ........................ 3,410,750 98.81 ----------- ------ SHORT TERM INVESTMENTS U.S. GOVERNMENT & AGENCIES ............... 60,345 1.75 ----------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $60,352) ........................... 60,345 1.75 ----------- ------ TOTAL PORTFOLIO (Cost $2,482,463) ........................ 3,471,722 100.57 OTHER ASSETS & LIABILITIES, NET ......... (19,740) (0.57) ----------- ------ NET ASSETS ................................. $ 3,451,982 100.00% =========== ====== See notes to financial statements. 72 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX FUND ACCOUNT DECEMBER 31, 1998 VALUE PRINCIPAL (000) --------- ----- BONDS--0.00% CORPORATE BONDS--0.00% COMMUNICATIONS--0.00% VIACOM INTERNATIONAL, INC (SUB DEB) $ 8,000 8.000%, 07/07/06 ................. $ 8 ---------- ELECTRIC, GAS, AND SANITARY SERVICES--0.00% WMX TECHNOLOGIES, INC (SUB CV NOTE) 14,000 2.000%, 01/24/05 ................. 14 ---------- TOTAL CORPORATE BONDS (Cost $15) ......................... 22 ---------- TOTAL BONDS (Cost $15) .......................... 22 ---------- SHARES ------ PREFERRED STOCK--0.01% ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--0.00% 1,122 PREMIER FARNELL PLC CV ADR ......... 18 ---------- HOLDING AND OTHER INVESTMENT OFFICES--0.00% 864 APARTMENT INVESTMENT & MANAGEMENT CO SERIES E ............ 32 ---------- INSTRUMENTS AND RELATED PRODUCTS--0.00% 11,200(degree)FRESENIUS MEDICAL CARE (CLASS D) .. 0 ---------- INSURANCE CARRIERS--0.00% 1,273 AETNA, INC SERIES C ................ 97 ---------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.01% 8,835 SEALED AIR CORP (CLASS A) .......... 458 ---------- TOTAL PREFERRED STOCK (Cost $577) .......................... 605 ---------- COMMON STOCK--98.81% AGRICULTURAL PRODUCTION-CROPS--0.07% 11,333 DELTA & PINE LAND CO ............... 419 72,000 PIONEER-HI-BRED INTERNATIONAL, INC . 1,944 ---------- 2,363 ---------- AGRICULTURAL SERVICES--0.00% 7,200(degree)CADIZ, INC ........................ 55 3,500(degree)VETERINARY CENTERS OF AMERICA, INC 70 ---------- 125 ---------- AMUSEMENT AND RECREATION SERVICES--0.11% 2,000(degree)AMERICAN SKIING CO ................ 15 14,400(degree)AMF BOWLING, INC .................. 74 2,300(degree)ANCHOR GAMING CO .................. 130 17,800(degree)ARGOSY GAMING CORP ................ 48 7,014(degree)BALLY TOTAL FITNESS HOLDINGS CORP . 174 12,800(degree)BOYD GAMING CORP .................. 42 1,800(degree)CHAMPIONSHIP AUTO RACING TEAMS, INC 53 1,500 CHURCHILL DOWNS, INC ............... 49 7,000(degree)FAMILY GOLF CENTERS, INC .......... 138 6,700(degree)FLORIDA PANTHERS HOLDINGS, INC .... 62 12,550(degree)GRAND CASINOS, INC ................ 101 26,308(degree)HARRAH'S ENTERTAINMENT, INC ....... 413 3,300(degree)HOLLYWOOD PARK, INC ............... 27 4,300(degree)INTERNATIONAL SPEEDWAY CORP (CLASS A ) 174 49,600(degree)MIRAGE RESORT, INC ................ 741 9,750(degree)PLAYERS INTERNATIONAL, INC ........ 60 12,600(degree)PREMIER PARKS, INC ................ 381 3,700(degree)RIO HOTEL & CASINO, INC ........... 59 11,800(degree)SCIENTIFIC GAMES HOLDINGS CORP .... 223 8,200(degree)SFX ENTERTAINMENT, INC (CLASS A) .. 450 5,500(degree)SPEEDWAY MOTORSPORTS, INC ......... 157 6,700(degree)STATION CASINOS, INC .............. 55 8,600(degree)WESTWOOD ONE, INC ................. 262 .................................................... ---------- 3,888 ---------- APPAREL AND ACCESSORY STORES--0.54% 17,941(degree)ABERCROMBIE & FITCH CO (CLASS A) .. 1,269 3,800(degree)AMERICAN EAGLE OUTFITTERS, INC .... 253 5,557(degree)ANN TAYLOR STORES CORP ............ 219 6,000 BROWN GROUP, INC ................... 105 2,400(degree)BUCKLE, INC ....................... 58 6,120 BURLINGTON COAT FACTORY WAREHOUSE CORP .................... 100 8,300 CATO CORP (CLASS A) ................ 82 36,100(degree)CHARMING SHOPPES, INC ............. 156 3,400(degree)CHILDRENS PLACE RETAIL STORES ..... 85 13,100 CLAIRES STORES, INC ................ 269 8,100(degree)DRESS BARN, INC ................... 123 13 (degree)EDISON BROTHERS STORES WTS 09/26/05 ...................... 0 5,800(degree)FINISH LINE, INC (CLASS A) ........ 46 9,969(degree)FOOTSTAR, INC ..................... 249 3,800(degree)GADZOOKS, INC ..................... 29 133,194 GAP, INC ........................... 7,492 6,100(degree)GENESCO, INC ...................... 35 7,400(degree)GOODYS FAMILY CLOTHING, INC ....... 74 8,200(degree)GYMBOREE CORP ..................... 52 17,800 INTIMATE BRANDS, INC (CLASS A) ..... 532 6,700(degree)JUST FOR FEET, INC ................ 116 50,050 LIMITED, INC ....................... 1,458 8,850(degree)MENS WAREHOUSE, INC ............... 281 31,700 NORDSTROM, INC ..................... 1,100 1,600(degree)NORTH FACE, INC ................... 21 6,200(degree)PACIFIC SUNWEAR CALIFORNIA, INC ... 102 10,496(degree)PAYLESS SHOESOURCE, INC ........... 497 2,900(degree)PETRIE STORES CORP (LIQUIDATING TRUST) 6 14,400 ROSS STORES, INC ................... 567 9,200(degree)STAGE STORES, INC ................. 86 12,800(degree)STEIN MART, INC ................... 89 6,200 TALBOTS, INC ....................... 195 94,500 TJX COS, INC ....................... 2,741 1,500(degree)URBAN OUTFITTERS, INC ............. 25 3,100(degree)WET SEAL, INC (CLASS A) ........... 94 ---------- 18,606 ---------- See notes to financial statements. 73 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- APPAREL AND OTHER TEXTILE PRODUCTS--0.12% 9,400 AUTHENTIC FITNESS CORP ............. $ 172 19,500(degree)FRUIT OF THE LOOM, INC (CLASS A) .. 269 2,200(degree)HARTMARX CORP ..................... 12 24,500(degree)JONES APPAREL GROUP, INC .......... 541 7,800 KELLWOOD CO ........................ 195 17,100 LIZ CLAIBORNE, INC ................. 540 13,500(degree)NAUTICA ENTERPRISES, INC .......... 203 800 OSHKOSH B'GOSH, INC (CLASS A) ...... 16 12,000 PHILLIPS VAN HEUSEN CORP ........... 86 2,245 PILLOWTEX CORP ..................... 60 14,400(degree)POLO RALPH LAUREN CORP ............ 276 1,900(degree)QUIKSILVER, INC ................... 57 29,300 VF CORP ............................ 1,373 17,000 WARNACO GROUP, INC (CLASS A) ....... 429 ---------- 4,229 ---------- AUTO REPAIR, SERVICES AND PARKING--0.06% 7,800(degree)AVIS RENT A CAR, INC .............. 189 8,700(degree)BUDGET GROUP, INC ................. 138 3,150 CENTRAL PARKING CORP ............... 102 7,000(degree)DOLLAR THRIFTY AUTOMOTIVE GROUP, INC 90 6,800 HERTZ CORP (CLASS A) ............... 310 9,733 MIDAS, INC ......................... 303 5,460(degree)NATIONAL AUTO CREDIT, INC ......... 5 25,500 ROLLINS TRUCK LEASING CORP ......... 376 20,400 RYDER SYSTEM, INC .................. 530 ---------- 2,043 ---------- AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.06% 42,424 (degree)AUTOZONE, INC ............... 1,397 843(degree)CIRCUIT CITY STORES, INC (CARMAX GROUP) 5 1,000(degree)COPART, INC ....................... 32 5,300(degree)CSK AUTO CORP ..................... 141 1,200(degree)DISCOUNT AUTO PARTS, INC .......... 26 1,700(degree)GROUP 1 AUTOMOTIVE, INC ........... 44 3,800(degree)OREILLY AUTOMOTIVE, INC ........... 180 20,045 PEP BOYS MANNY, MOE, & JACK CO ..... 314 5,300(degree)TYLER CORP (DELAWARE) ............. 32 3,300(degree)UNITED AUTO GROUP, INC ............ 30 2,500(degree)WEST MARINE, INC .................. 25 ---------- 2,226 ---------- BUILDING MATERIALS AND GARDEN SUPPLIES--0.96% 11,900(degree)EAGLE HARDWARE & GARDEN, INC ...... 387 8,100 FASTENAL CO ........................ 356 448,000 HOME DEPOT, INC .................... 27,412 94,700 LOWES COS, INC ..................... 4,847 ---------- 33,002 ---------- BUSINESS SERVICES--7.16% 5,400(degree)3DO CO ............................ 26 4,225 AARON RENTS, INC ................... 64 2,200(degree)ABACUS DIRECT CORP ................ 100 8,643 ABM INDUSTRIES, INC ................ 299 8,900(degree)ABR INFORMATION SERVICES, INC ..... 175 16,100(degree)ACCLAIM ENTERTAINMENT, INC ........ 197 4,000(degree)ACKERLEY GROUP, INC ............... 73 20,966(degree)ACNEILSEN CORP .................... 592 2,800(degree)ACTIVISION, INC ................... 31 17,760(degree)ACXIOM CORP ....................... 551 1,824(degree)ADMINSTAFF, INC ................... 46 19,272 ADOBE SYSTEMS, INC ................. 901 800(degree)ADVANTAGE LEARNING SYSTEMS, INC ... 53 5,900(degree)ADVENT SOFTWARE, INC .............. 278 10,700(degree)ADVO, INC ......................... 282 12,140(degree)AFFILIATED COMPUTER SERVICES, INC (CLASS A) ......................... 546 9,300(degree)ALTERNATIVE RESOURCES CORP ........ 99 1,000(degree)ALYDAAR SOFTWARE CORP ............. 8 139,672 AMERICA ONLINE, INC ................ 22,348 11,425(degree)AMERICAN MANAGEMENT SYSTEMS, INC .. 457 5,250 ANALYSTS INTERNATIONAL CORP ........ 101 6,000(degree)APAC TELESERVICES, INC ............ 23 2,000(degree)ARIS CORP ......................... 24 65,335(degree)ASCEND COMMUNICATIONS, INC ........ 4,296 4,500(degree)ASPECT DEVELOPMENT, INC ........... 199 8,400(degree)ASPEN TECHNOLOGY, INC ............. 122 9,900(degree)AT HOME CORP SERIES A ............. 735 12,400 AUTODESK, INC ...................... 529 90,845 AUTOMATIC DATA PROCESSING, INC ..... 7,285 7,600(degree)AVANT CORP ........................ 122 1,400(degree)AVT CORP .......................... 41 6,800(degree)AXENT TECHNOLOGIES, INC ........... 208 4,905(degree)AZTEC TECHNOLOGY PARTNERS, INC .... 18 3,700(degree)BA MERCHANT SERVICES, INC (CLASS A) 74 11,000(degree)BANYAN SYSTEMS, INC ............... 98 1,500(degree)BARRA, INC ........................ 35 15,200(degree)BEA SYSTEMS, INC .................. 186 11,000(degree)BILLING CONCEPTS CORP ............. 121 11,200(degree)BISYS GROUP, INC .................. 578 65,000(degree)BMC SOFTWARE, INC ................. 2,897 7,600(degree)BOOLE & BABBAGE, INC .............. 224 2,009(degree)BORG-WARNER SECURITY CORP ......... 38 2,800(degree)BORON, LEPORE & ASSOCIATES, INC ... 97 60(degree)BRC HOLDINGS, INC ................. 1 9,000(degree)BROADVISION, INC .................. 288 10,100(degree)BUILDING ONE SERVICE .............. 211 2,010(degree)CACI INTERNATIONAL, INC (CLASS A) . 34 66,165(degree)CADENCE DESIGN SYSTEMS, INC ....... 1,968 14,000(degree)CAMBRIDGE TECHNOLOGY PARTNERS, INC 310 8,300(degree)CARIBINER INTERNATIONAL, INC ...... 76 5,500(degree)CATALINA MARKETING CORP ........... 376 5,000(degree)CCC INFORMATION SERVICES GROUP, INC 86 4,800(degree)CDI CORP .......................... 97 4,500(degree)CELLULAR TECHNICAL SERVICES CO .... 2 15,000(degree)CENTURY BUSINESS SERVICES, INC .... 216 19,460(degree)CERIDIAN CORP ..................... 1,359 7,100(degree)CERNER CORP ....................... 190 11,200(degree)CHECKFREE HOLDINGS CORP ........... 262 4,087(degree)CHOICEPOINT, INC .................. 264 10,800(degree)CIBER, INC ........................ 302 12,000(degree)CITRIX SYSTEMS, INC ............... 1,165 5,500(degree)CLARIFY, INC ...................... 134 5,300(degree)CMGI, INC ......................... 564 2,300(degree)CNET, INC ......................... 126 31,241(degree)COMDISCO, INC ..................... 527 4,708(degree)COMPLETE BUSINESS SOLUTIONS, INC .. 159 128,875 COMPUTER ASSOCIATES INTERNATIONAL, INC 5,493 10,150(degree)COMPUTER HORIZONS CORP ............ 270 46,856(degree)COMPUTER SCIENCES CORP ............ 3,019 7,500 COMPUTER TASK GROUP, INC ........... 203 48,100(degree)COMPUWARE CORP .................... 3,758 3,500(degree)CONCORD COMMUNICATIONS, INC ....... 199 2,000(degree)CORT BUSINESS SERVICES CORP ....... 49 5,000(degree)COTELLIGENT, INC .................. 107 See notes to financial statements. 74 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- BUSINESS SERVICES--(CONTINUED) 7,200(degree)CSG SYSTEMS INTERNATIONAL, INC .... $ 569 7,400(degree)CYBERGUARD CORP ................... 15 4,200(degree)DATA DIMENSIONS, INC .............. 36 4,300(degree)DATASTREAM SYSTEMS, INC ........... 49 19,300(degree)DATAWORKS CORP .................... 201 1,200(degree)DBT ONLINE, INC ................... 30 1,700(degree)DELTEK SYSTEMS, INC ............... 29 4,800(degree)DENDRITE INTERNATIONAL, INC ....... 120 4,100(degree)DOCUMENTUM, INC ................... 219 4,500(degree)DOUBLECLICK, INC .................. 205 11,300(degree)DST SYSTEMS, INC .................. 645 3,900(degree)EARTHLINK NETWORK, INC ............ 222 1,800(degree)ELECTRO RENT CORP ................. 29 18,200(degree)ELECTRONIC ARTS, INC .............. 1,021 109,819 ELECTRONIC DATA SYSTEMS CORP ....... 5,518 16,000(degree)ELECTRONICS FOR IMAGING, INC ...... 643 15,900(degree)EMPLOYEE SOLUTIONS, INC ........... 41 2,000(degree)ENGINEERING ANIMATION, INC ........ 108 6,100(degree)ENVOY CORP ........................ 355 43,409 EQUIFAX, INC ....................... 1,484 7,800(degree)EXCITE, INC ....................... 328 1,500(degree)FACTSET RESEARCH SYSTEMS, INC ..... 93 5,400 FAIR ISSAC & CO, INC ............... 249 9,200(degree)FILENET CORP ...................... 106 133,059 FIRST DATA CORP .................... 4,216 23,650(degree)FISERV, INC ....................... 1,216 27,600(degree)FORE SYSTEMS, INC ................. 505 5,600(degree)FORTE SOFTWARE, INC ............... 33 7,600(degree)GENERAL MAGIC, INC ................ 38 1,800 (degree)GENESYS TELECOMMUNICATIONS LABORATORIES, INC ................ 40 9,200(degree)GEOTEL COMMUNICATIONS CORP ........ 343 4,600 GERBER SCIENTIFIC, INC ............. 110 5,800(degree)GETTY IMAGES, INC ................. 100 1,600(degree)GREAT PLAINS SOFTWARE, INC ........ 77 100 GREY ADVERTISING, INC .............. 36 8,300(degree)GT INTERACTIVE SOFTWARE CORP ...... 42 12,100(degree)GTECH HOLDINGS CORP ............... 310 17,100(degree)HARBINGER CORP .................... 137 136,372 HBO & CO ........................... 3,912 1,400(degree)HCIA, INC ......................... 6 3,500(degree)HEALTH MANAGEMENT SYSTEMS, INC .... 28 7,400(degree)HNC SOFTWARE ...................... 299 8,990(degree)HYPERION SOLUTIONS CORP ........... 162 7,800(degree)I2 TECHNOLOGIES, INC .............. 237 3,800(degree)IDX SYSTEMS CORP .................. 167 1,000(degree)IKOS SYSTEMS, INC ................. 4 21,000(degree)IMATION CORP ...................... 368 2,850(degree)IMRGLOBAL CORP .................... 84 48,828 IMS HEALTH, INC .................... 3,683 12,200(degree)INDUS INTERNATIONAL, INC .......... 85 6,600(degree)INDUSTRI-MATEMATIK INTERNATIONAL CORP 33 12,200(degree)INFORMATION RESOURCES, INC ........ 124 41,900(degree)INFORMIX CORP ..................... 414 7,900(degree)INFOSEEK CORP ..................... 390 4,400(degree)INFOUSA, INC (CLASS A) ............ 21 9,500(degree)INFOUSA, INC (CLASS B) ............ 50 13,200(degree)INPRISE CORP ...................... 73 3,000(degree)INSO CORP ......................... 75 1,900(degree)INSPIRE INSURANCE SOLUTIONS, INC .. 35 12,200(degree)INSURANCE AUTO AUCTIONS, INC ...... 145 3,800(degree)INTEGRATED SYSTEMS, INC ........... 57 8,400(degree)INTERGRAPH CORP ................... 48 17,800(degree)INTERIM SERVICES, INC ............. 416 8,100(degree)INTERNATIONAL NETWORK SERVICES .... 539 5,300(degree)INTERNATIONAL TELECOMMUNICATIONS .. 78 40,450 INTERPUBLIC GROUP OF COS, INC ...... 3,226 12,900(degree)INTUIT, INC ....................... 935 1,200(degree)ISS GROUP, INC .................... 66 11,500(degree)J.D. EDWARDS & CO ................. 326 2,800 JACK HENRY & ASSOCIATES, INC ....... 139 6,500(degree)JDA SOFTWARE GROUP, INC ........... 63 18,600(degree)KEANE, INC ........................ 743 9,000 KELLY SERVICES, INC (CLASS A) ...... 286 7,400(degree)LABOR READY, INC .................. 146 9,150(degree)LAMAR ADVERTISING CO (CLASS A) .... 341 22,280(degree)LEARNING CO, INC .................. 578 2,800(degree)LEASING SOLUTIONS, INC ............ 11 11,057(degree)LEGATO SYSTEMS, INC ............... 729 3,600(degree)LHS GROUP, INC .................... 186 12,500(degree)LYCOS, INC ........................ 695 9,700(degree)MACROMEDIA, INC ................... 327 200(degree)MANHATTAN ASSOCIATES, INC ......... 5 22,200 MANPOWER, INC ...................... 559 5,400(degree)MANUGISTICS GROUP, INC ............ 68 2,300(degree)MAPICS, INC ....................... 38 7,000(degree)MASTECH CORP ...................... 200 2,600(degree)MEDICAL MANAGER CORP .............. 82 7,800(degree)MEDQUIST, INC ..................... 308 2,300(degree)MEMBERWORKS, INC .................. 68 14,300(degree)MENTOR GRAPHICS CORP .............. 122 4,300(degree)MERCURY INTERACTIVE CORP .......... 272 9,950(degree)METAMOR WORLDWIDE, INC ............ 249 600(degree)METRO INFORMATION SERVICES, INC ... 18 2,000(degree)METRO NETWORKS, INC ............... 85 2,750(degree)MICRO FOCUS GROUP PLC ADR ......... 26 3,700(degree)MICROMUSE, INC .................... 72 533,365(degree)MICROSOFT CORP .................... 73,971 13,859(degree)MIDWAY GAMES, INC ................. 152 4,400(degree)MINDSPRING ENTERPRISES, INC ....... 269 33,777(degree)MODIS PROFESSIONAL SERVICES ....... 490 7,100 NATIONAL COMPUTER SYSTEMS, INC ..... 263 9,500 NATIONAL DATA CORP ................. 463 1,900(degree)NCO GROUP, INC .................... 86 4,068(degree)NCR CORP .......................... 170 64,858(degree)NETMANAGE, INC .................... 120 18,630(degree)NETSCAPE COMMUNICATIONS CORP ...... 1,132 24,000(degree)NETWORK APPLIANCE, INC ............ 1,080 1,000(degree)NETWORK SOLUTIONS, INC (CLASS A) .. 131 40,568(degree)NETWORKS ASSOCIATES, INC .......... 2,688 7,200(degree)NEW ERA OF NETWORKS, INC .......... 317 15,142 NIELSEN MEDIA RESEARCH ............. 273 5,100 NORRELL CORP ....................... 75 1,700(degree)NORSTAN, INC ...................... 30 19,695(degree)NOVA CORP (GEORGIA) ............... 683 5,000(degree)NOVACARE EMPLOYEE SERVICES, INC ... 27 105,900(degree)NOVELL, INC ....................... 1,919 3,900(degree)OBJECTIVE SYSTEMS INTEGRATORS, INC 18 5,600(degree)ODS NETWORKS, INC ................. 17 20,982 OLSTEN CORP ........................ 155 50,000 OMNICOM GROUP, INC ................. 2,900 2,000(degree)ON ASSIGNMENT, INC ................ 69 2,300(degree)ONSALE, INC ....................... 92 10,200(degree)OPEN MARKET, INC .................. 119 229,187(degree)ORACLE CORP ....................... 9,884 21,759(degree)OUTDOOR SYSTEMS, INC .............. 653 81,732(degree)PARAMETRIC TECHNOLOGY CORP ........ 1,328 42,418 PAYCHEX, INC ....................... 2,182 See notes to financial statements. 75 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- BUSINESS SERVICES--(CONTINUED) 4,500(degree)PAYMENTECH, INC ................... $ 83 2,700(degree)PEGASUS SYSTEMS, INC .............. 97 2,600(degree)PEGASYSTEMS, INC .................. 11 50,700(degree)PEOPLESOFT, INC ................... 960 2,800(degree)PEREGRINE SYSTEMS, INC ............ 130 14,122(degree)PERSONNEL GROUP OF AMERICA, INC ... 247 5,300(degree)PHOENIX TECHNOLOGIES LTD .......... 46 12,200#(degree)PHYSICIAN COMPUTER NETWORK, INC .. 0 12,500 PITTSTON BRINKS GROUP CO ........... 398 5,700(degree)PLATINUM SOFTWARE CORP ............ 73 22,800(degree)PLATINUM TECHNOLOGY, INC .......... 436 11,000(degree)POLICY MANAGEMENT SYSTEMS CORP .... 556 3,400(degree)PREVIEW TRAVEL, INC ............... 63 5,406(degree)PRIMARK CORP ...................... 147 9,600(degree)PROGRESS SOFTWARE CORP ............ 324 3,000(degree)PROJECT SOFTWARE & DEVELOPMENT, INC 101 2,400(degree)PROTECTION ONE, INC ............... 21 12,300(degree)PSINET, INC ....................... 257 8,400(degree)QAD, INC .......................... 30 1,600(degree)QRS CORP .......................... 77 5,200(degree)QUADRAMED CORP .................... 107 4,100(degree)RADISYS CORP ...................... 123 25,192(degree)RATIONAL SOFTWARE CORP ............ 668 2,400(degree)REALNETWORKS, INC ................. 86 8,400(degree)REMEDY CORP ....................... 117 600(degree)REMEDYTEMP, INC (CLASS A) ......... 9 5,657(degree)RENT WAY, INC ..................... 138 5,980(degree)RENTAL SERVICE CORP ............... 94 6,100(degree)RENTERS CHOICE, INC ............... 194 26,150(degree)ROBERT HALF INTERNATIONAL, INC .... 1,169 7,900 ROLLINS, INC ....................... 138 9,900(degree)ROMAC INTERNATIONAL, INC .......... 220 18,500(degree)SABRE GROUP HOLDINGS, INC ......... 823 15,775(degree)SAFETY-KLEEN CORP ................. 223 3,100(degree)SANCHEZ COMPUTER ASSOCIATES, INC .. 91 3,800(degree)SAPIENT CORP ...................... 213 3,400 SEI INVESTMENT CO .................. 338 7,600 SHARED MEDICAL SYSTEMS CORP ........ 379 16,308(degree)SIEBEL SYSTEMS, INC ............... 553 10,100(degree)SITEL CORP ........................ 25 13,200(degree)SNYDER COMMUNICATIONS, INC ........ 446 7,100(degree)SOFTWARE AG. SYSTEMS, INC ......... 129 6,600(degree)SOS STAFFING SERVICES, INC ........ 48 16,000 SOTHEBYS HOLDINGS, INC (CLASS A) ... 512 4,000(degree)SPORTSLINE U.S.A., INC ............ 62 400(degree)SPR, INC .......................... 7 3,600(degree)SS&C TECHNOLOGIES, INC ............ 45 5,200(degree)STAFFMARK, INC .................... 116 27,977(degree)STERLING COMMERCE, INC ............ 1,259 23,400(degree)STERLING SOFTWARE, INC ............ 633 10,800(degree)STRUCTURAL DYNAMICS RESEARCH CORP . 215 115,300(degree)SUN MICROSYSTEMS, INC ............. 9,873 27,300(degree)SUNGARD DATA SYSTEMS, INC ......... 1,083 23,400(degree)SYBASE, INC ....................... 173 4,100(degree)SYKES ENTERPRISES, INC ............ 125 15,500(degree)SYMANTEC CORP ..................... 337 17,872(degree)SYNOPSYS, INC ..................... 970 700(degree)SYNTEL, INC ....................... 8 9,750(degree)SYSTEM SOFTWARE ASSOCIATES, INC ... 69 10,400(degree)SYSTEMS & COMPUTER TECHNOLOGY CORP 143 48,400(degree)SYSTEMSOFT CORP ................... 9 12,200(degree)TCSI CORP ......................... 26 11,625(degree)TECHNOLOGY SOLUTIONS CO ........... 125 1,200(degree)TELESPECTRUM WORLDWIDE, INC ....... 12 5,600(degree)TELETECH HOLDINGS, INC ............ 57 3,200(degree)TMP WORLDWIDE, INC ................ 134 9,400 TOTAL SYSTEM SERVICES, INC ......... 221 7,600(degree)TRANSACTION SYSTEM ARCHITECTURE ... 380 4,400(degree)TRANSITION SYSTEMS, INC ........... 66 9,600 TRUE NORTH COMMUNICATIONS, INC ..... 258 6,811(degree)UNITED RENTALS, INC ............... 226 17,150(degree)USWEB CORP ........................ 452 10,900(degree)VALASSIS COMMUNICATIONS, INC ...... 563 12,000(degree)VANSTAR CORP ...................... 111 7,900(degree)VANTIVE CORP ...................... 63 800(degree)VERIO, INC ........................ 18 700(degree)VERISIGN, INC ..................... 41 14,000(degree)VERITAS SOFTWARE CORP ............. 839 5,100(degree)VIASOFT, INC ...................... 36 1,100(degree)VINCAM GROUP, INC ................. 19 6,900(degree)VISIO CORP ........................ 252 2,100(degree)VOLT INFORMATION SCIENCES, INC .... 47 4,800 WACKENHUT CORP SERIES A ............ 122 14,900(degree)WANG LABORATORIES, INC ............ 413 7,800(degree)WEST TELESERVICES CORP ............ 76 5,400(degree)WESTAFF, INC ...................... 34 6,600(degree)WIND RIVER SYSTEMS, INC ........... 310 3,800 XTRA CORP .......................... 157 21,400(degree)YAHOO, INC ........................ 5,070 4,100(degree)YOUNG & RUBICAM, INC .............. 133 ---------- 247,056 ---------- CHEMICALS AND ALLIED PRODUCTS--12.96% 461,969 ABBOTT LABORATORIES CO ............. 22,636 8,000(degree)ADVANCED TISSUE SCIENCE CO ........ 21 9,100(degree)AGOURON PHARMACEUTICALS, INC ...... 535 67,411 AIR PRODUCTS & CHEMICALS, INC ...... 2,696 7,200 ALBEMARLE CORP ..................... 171 10,200 ALBERTO CULVER CO (CLASS B) ........ 272 1,600(degree)ALGOS PHARMACEUTICAL CORP ......... 42 6,500(degree)ALKERMES, INC ..................... 144 7,185(degree)ALLERGAN SPECIALTY THERAPEUTICS, INC (CLASS A) ......................... 67 36,857 ALLERGAN, INC ...................... 2,386 5,300(degree)ALLIANCE PHARMACEUTICAL CORP ...... 17 4,741 ALPHARMA, INC (CLASS A) ............ 167 22,024(degree)ALZA CORP ......................... 1,151 399,470 AMERICAN HOME PRODUCTS CORP ........ 22,495 77,100(degree)AMGEN, INC ........................ 8,062 11,400(degree)AMYLIN PHARMACEUTICALS, INC ....... 6 1,600(degree)ANDRX CORP ........................ 82 600(degree)APHTON CORP ....................... 8 2,100(degree)ARQULE, INC ....................... 10 2,700(degree)AVIRON, INC ....................... 70 74,996 AVON PRODUCTS, INC ................. 3,319 3,300(degree)AXYS PHARMACEUTICALS, INC ......... 19 3,100(degree)BARR LABORATORIES, INC ............ 149 14,600(degree)BIO-TECHNOLOGY GENERAL CORP ....... 101 20,800(degree)BIOGEN, INC ....................... 1,726 2,100(degree)BIOMATRIX, INC .................... 122 1,420 BLOCK DRUG, INC (CLASS A) .......... 62 301,476 BRISTOL MYERS SQUIBB CO ............ 40,341 22,100 CABOT CORP ......................... 617 800(degree)CADUS PHARMACEUTICAL CORP ......... 2 18,100 CALGON CARBON CORP ................. 136 5,482 CAMBREX CORP ....................... 132 1,300(degree)CARBIDE/GRAPHITE GROUP, INC ....... 19 See notes to financial statements. 76 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- CHEMICALS AND ALLIED PRODUCTS--(CONTINUED) 4,700 CARTER WALLACE, INC ................ $ 92 3,600(degree)CELL GENESYS, INC ................. 22 19,200(degree)CENTOCOR, INC ..................... 866 5,300(degree)CEPHALON, INC ..................... 48 2,200(degree)CHATTEM, INC ...................... 105 15,700 CHEMFIRST, INC ..................... 310 1,500(degree)CHIREX, INC ....................... 32 35,828(degree)CHIRON CORP ....................... 938 6,500 CHURCH & DWIGHT CO, INC ............ 234 21,500 CLOROX CO .......................... 2,511 88,742 COLGATE PALMOLIVE CO ............... 8,242 9,100(degree)COLUMBIA LABORATORIES, INC ........ 28 17,300(degree)COPLEY PHARMACEUTICAL, INC ........ 179 6,400(degree)COR THERAPEUTICS, INC ............. 85 3,200(degree)COULTER PHARMACEUTICAL, INC ....... 96 8,455(degree)CRESCENDO PHARMACEUTICALS CORP .... 115 20,290(degree)CROMPTON & KNOWLES CORP ........... 420 8,700(degree)CYGNUS, INC ....................... 42 12,200(degree)CYTEC INDUSTRIES, INC ............. 259 12,800 DEXTER CORP ........................ 402 5,100 DIAGNOSTIC PRODUCTS CORP ........... 159 28,100 DIAL CORP .......................... 811 66,914 DOW CHEMICAL CO .................... 6,085 338,138 DU PONT (E.I.) DE NEMOURS & CO ..... 17,942 12,900(degree)DURA PHARMACEUTICALS, INC ......... 196 22,000 EASTMAN CHEMICAL CO ................ 985 32,300 ECOLAB, INC ........................ 1,169 3,741(degree)ELAN CORP PLC ADR ................. 260 29,400 ETHYL CORP ......................... 171 14,500 FERRO CORP ......................... 377 8,700(degree)FMC CORP .......................... 487 20,200(degree)FOREST LABORATORIES, INC .......... 1,074 2,700(degree)FUISZ TECHNOLOGIES LTD ............ 35 3,992 FULLER (H.B.) CO ................... 192 3,100(degree)GELTEX PHARMACEUTICALS, INC ....... 70 3,361 GENERAL CHEMICAL GROUP, INC ........ 47 21,500(degree)GENSIA SICOR, INC ................. 97 21,800(degree)GENZYME CORP (GENERAL DIVISION) ... 1,085 495(degree)GENZYME CORP (TISSUE REPAIR DIVISION) 1 2,193(degree)GENZYME-MOLECULAR ONCOLOGY ........ 7 7,500 GEON CO ............................ 173 10,800 GEORGIA GULF CORP .................. 173 9,400(degree)GILEAD SCIENCES, INC .............. 386 18,600(degree)GRACE W.R. & CO ................... 292 15,800 GREAT LAKES CHEMICAL CORP .......... 632 15,375 HANNA (M.A.) CO .................... 189 27,800 HERCULES, INC ...................... 761 2,600(degree)HESKA CORP ........................ 12 10,000(degree)HUMAN GENOME SCIENCES, INC ........ 356 22,066 ICN PHARMACEUTICALS, INC ........... 499 10,400(degree)ICOS CORP ......................... 309 6,300(degree)IDEC PHARMACEUTICALS CORP ......... 296 9,800(degree)IDEXX LABORATORIES, INC ........... 264 2,300(degree)IGEN INTERNATIONAL, INC ........... 70 35,324 IMC GLOBAL, INC .................... 755 1,972(degree)IMC GLOBAL, INC WTS 12/22/00 ...... 1 4,200(degree)IMCLONE SYSTEMS, INC .............. 38 5,200(degree)IMMUNE RESPONSE CORP .............. 57 5,400(degree)IMMUNEX CORP ...................... 679 4,300(degree)INHALE THERAPEUTIC SYSTEMS ........ 142 5,700(degree)INTERNATIONAL SPECIALTY PRODUCTS, INC 77 7,800(degree)INTERNEURON PHARMACEUTICALS, INC .. 26 28,540 INTERNATIONAL FLAVORS & FRAGRANCES, INC 1,261 9,500(degree)ISIS PHARMACEUTICALS, INC ......... 123 41,392(degree)IVAX CORP ......................... 515 407,455 JOHNSON & JOHNSON CO ............... 34,175 6,400 JONES PHARMACEUTICAL, INC .......... 234 3,922(degree)KV PHARMACEUTICAL CO (CLASS B) .... 81 10,710 LAUDER (ESTEE) CO (CLASS A) ........ 916 10,100 LAWTER INTERNATIONAL, INC .......... 117 700 LEARONAL, INC ...................... 24 9,900(degree)LIGAND PHARMACEUTICALS CO (CLASS A) 115 277,900 LILLY (ELI) & CO ................... 24,698 4,100 LILLY INDUSTRIES, INC (CLASS A) .... 82 10,400(degree)LIPOSOME CO, INC .................. 161 14,995 LUBRIZOL CORP ...................... 385 9,400 LYONDELL CHEMICAL CO ............... 169 5,300 MACDERMID, INC ..................... 207 2,800(degree)MACROCHEM CORP (DELAWARE) ......... 24 21,400 MALLINCKRODT, INC .................. 659 5,400(degree)MATRIX PHARMACEUTICALS, INC ....... 14 15,000(degree)MCWHORTER TECHNOLOGIES, INC ....... 343 5,200(degree)MEDICIS PHARMACEUTICAL CORP (CLASS A) 310 6,900(degree)MEDIMMUNE, INC .................... 686 362,438 MERCK & CO, INC .................... 53,528 21,500 MILLENNIUM CHEMICAL, INC ........... 427 8,400(degree)MILLENNIUM PHARMACEUTICALS, INC ... 217 9,500 MINERALS TECHNOLOGIES, INC ......... 389 1,700(degree)MIRAVANT MEDICAL TECHNOLOGY ....... 22 7,168 MISSISSIPPI CHEMICAL CORP .......... 100 189,642 MONSANTO CO ........................ 9,008 35,111 MORTON INTERNATIONAL, INC .......... 860 37,750 MYLAN LABORATORIES, INC ............ 1,189 19,800(degree)NABI, INC ......................... 53 17,900 NALCO CHEMICAL CORP ................ 555 5,800 NATURES SUNSHINE PRODUCTS, INC ..... 88 22,670(degree)NBTY, INC ......................... 162 7,000(degree)NEUROGEN CORP ..................... 123 4,700(degree)NEXSTAR PHARMACEUTICALS, INC ...... 43 5,500 NL INDUSTRIES, INC ................. 78 3,600(degree)OCTEL CORP ........................ 50 10,500 OLIN CORP .......................... 297 5,850 OM GROUP, INC ...................... 214 8,550(degree)ORGANOGENESIS, INC ................ 96 4,600(degree)PATHOGENESIS CORP ................. 267 26,000(degree)PERRIGO CO ........................ 229 395,052 PFIZER, INC ........................ 49,554 152,978 PHARMACIA & UPJOHN, INC ............ 8,662 2,100(degree)PHARMACYCLICS, INC ................ 54 51,200 PPG INDUSTRIES, INC ................ 2,982 45,450 PRAXAIR, INC ....................... 1,602 404,000 PROCTER & GAMBLE CO ................ 36,890 6,600(degree)PROTEIN DESIGN LABORATORIES, INC .. 153 2,200(degree)REGENERON PHARMACEUTICALS, INC .... 16 4,500(degree)REVLON, INC (CLASS A) ............. 74 10,900(degree)REXALL SUNDOWN, INC ............... 153 10,400(degree)ROBERTS PHARMACEUTICAL CORP ....... 226 400(degree)ROGERS CORP ....................... 12 33,600 ROHM & HAAS CO ..................... 1,012 28,437 RPM, INC ........................... 455 4,500(degree)SANGSTAT MEDICAL CORP ............. 96 446,360 SCHERING-PLOUGH CORP ............... 24,661 18,775 SCHULMAN (A.), INC ................. 426 10,100(degree)SCOTTS CO (CLASS A) ............... 388 10,200(degree)SEQUUS PHARMACEUTICALS, INC ....... 207 6,550(degree)SEROLOGICALS CORP ................. 197 See notes to financial statements. 77 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- CHEMICALS AND ALLIED PRODUCTS--(CONTINUED) 41,431 SHERWIN-WILLIAMS CO ................ $ 1,217 29,780 SIGMA ALDRICH CORP ................. 875 1,100(degree)SUGEN, INC ........................ 16 2,300(degree)SUPERGEN, INC ..................... 21 2,500(degree)TECHNE CORP ....................... 53 7,500(degree)THERAGENICS CORP .................. 126 3,200(degree)THERMOLASE CORP ................... 15 5,700(degree)TRANSKARYOTIC THERAPIES, INC ...... 145 3,000(degree)TRIANGLE PHARMACEUTICALS, INC ..... 41 8,100(degree)TWINLAB CORP ...................... 106 13,400(degree)U.S. BIOSCIENCE, INC .............. 96 1,400(degree)U.S.A. DETERGENTS, INC ............ 10 35,900 UNION CARBIDE CORP ................. 1,526 10,600 VALSPAR CORP ....................... 396 10,000(degree)VERTEX PHARMACEUTICALS, INC ....... 298 3,000(degree)VICAL, INC ........................ 43 2,600(degree)VIROPHARMA, INC ................... 24 250,399 WARNER-LAMBERT CO .................. 18,827 24,476(degree)WATSON PHARMACEUTICALS, INC ....... 1,539 9,000 WELLMAN, INC ....................... 92 18,900 WITCO CORP ......................... 301 7,000(degree)ZILA, INC ......................... 69 1,500(degree)ZONAGEN, INC ...................... 29 ---------- 447,225 ---------- COAL MINING--0.00% 4,200 ARCH COAL, INC ..................... 72 ---------- COMMUNICATIONS--10.68% 4,900(degree)ADELPHIA COMMUNICATIONS CORP (CLASS A) 224 800(degree)AERIAL COMMUNICATIONS, INC ........ 5 170,721(degree)AIRTOUCH COMMUNICATIONS, INC ...... 12,313 5,354(degree)ALCATEL S.A. ADR .................. 131 13,900 ALIANT COMMUNICATIONS, INC ......... 568 79,449 ALLTEL CORP ........................ 4,752 7,900(degree)AMERICAN MOBILE SATELLITE CORP .... 41 334,848 AMERITECH CORP ..................... 21,221 5,200(degree)ARCH COMMUNICATIONS GROUP, INC .... 7 14,796(degree)ASCENT ENTERTAINMENT GROUP, INC ... 109 7,400(degree)ASSOCIATED GROUP, INC (CLASS A) ... 318 540,992 AT & T CORP ........................ 40,710 471,296 BELL ATLANTIC CORP ................. 24,979 595,258 BELLSOUTH CORP ..................... 29,688 34,154(degree)CABLEVISION SYSTEMS CORP (CLASS A) 1,714 9,196(degree)CAPSTAR BROADCASTING CORP (CLASS A) 210 216,019 CBS CORP ........................... 7,075 4,000(degree)CD RADIO, INC ..................... 137 5,250 (degree)CELLULAR COMMUNICATIONS INTERNATIONAL , INC ............... 357 2,800(degree)CELLULAR COMMUNICATIONS OF PUERTO RICO ....................... 52 3,000(degree)CENTENNIAL CELLULAR CORP (CLASS A) 123 8,500(degree)CENTURY COMMUNICATIONS CORP (CLASS A) 270 24,350 CENTURY TELEPHONE ENTERPRISES, INC . 1,644 3,100 CFW COMMUNICATIONS CO .............. 72 35,600(degree)CHANCELLOR MEDIA CORP (CLASS A) ... 1,704 7,478(degree)CHRIS CRAFT INDUSTRIES, INC ....... 360 40,537 CINCINNATI BELL, INC ............... 1,533 54,032(degree)CLEAR CHANNEL COMMUNICATIONS, INC . 2,945 2,800 COMCAST CORP (CLASS A) ............. 161 105,928 COMCAST CORP (CLASS A) SPECIAL ..... 6,217 3,066(degree)COMMONWEALTH TELEPHONE ENTERPRISES 103 16,500 COMSAT CORP SERIES 1 ............... 594 3,900(degree)CONCENTRIC NETWORK CORP ........... 130 2,800(degree)CORECOMM LTD ...................... 44 21,084(degree)COX COMMUNICATIONS, INC (CLASS A) . 1,457 2,100(degree)COX RADIO, INC (CLASS A) .......... 89 12,400(degree)E.SPIRE COMMUNICATIONS, INC ....... 79 3,700(degree)EMMIS COMMUNICATIONS (CLASS A) .... 160 3,600(degree)EXODUS COMMUNICATIONS, INC ........ 231 51,365 FRONTIER CORP ...................... 1,746 12,930 GAYLORD ENTERTAINMENT CO ........... 390 17,800(degree)GLOBAL TELESYSTEMS GROUP, INC ..... 992 750 GRAY COMMUNICATIONS SYSTEMS, INC ... 14 289,883 GTE CORP ........................... 18,842 14,500(degree)HEARST-ARGYLE TELEVISION, INC ..... 479 2,900x(degree)HEARTLAND WIRELESS COMMUNICATIONS, INC ............... 0 11,700(degree)HEFTEL BROADCASTING CORP (CLASS A) 576 4,400(degree)HIGHWAYMASTER COMMUNICATIONS, INC . 5 13,349(degree)ICG COMMUNICATIONS, INC ........... 287 4,100(degree)IDT CORP .......................... 63 12,600(degree)INTERMEDIA COMMUNICATIONS, INC .... 217 14,600(degree)ITC DELTACOM, INC ................. 223 7,600(degree)IXC COMMUNICATIONS, INC ........... 256 12,900(degree)JACOR COMMUNICATIONS, INC ......... 830 4,300(degree)JACOR COMMUNICATIONS, INC WTS 09/18/01 34 3,700(degree)JONES INTERCABLE, INC (CLASS A) ... 132 7,000(degree)LCC INTERNATIONAL, INC (CLASS A) .. 26 4,050(degree)LEAP WIRELESS INTERNATIONAL, INC .. 29 92,600(degree)LEVEL 3 COMMUNICATIONS, INC ....... 3,993 100,981(degree)LIBERTY MEDIA GROUP (CLASS A) ..... 4,651 2,300(degree)LORAL SPACE & COMMUNICATIONS LTD .. 41 400,857 LUCENT TECHNOLOGIES, INC ........... 44,094 558,322(degree)MCI WORLDCOM, INC ................. 40,060 12,700(degree)MCLEODUSA, INC (CLASS A) .......... 397 183,600(degree)MEDIA ONE GROUP, INC .............. 8,629 6,700(degree)METROMEDIA FIBER NETWORK (CLASS A) 224 48,200(degree)NEXTEL COMMUNICATIONS, INC (CLASS A) 1,139 14,800(degree)NEXTLINK COMMUNICATIONS, INC ...... 420 3,400 NORTH PITTSBURGH SYSTEMS, INC ...... 45 12,066(degree)NTL, INC .......................... 681 10,100(degree)OMNIPOINT CORP .................... 94 4,900(degree)PACIFIC GATEWAY EXCHANGE, INC ..... 236 4,500(degree)PAGEMART WIRELESS, INC (CLASS A) .. 25 31,900(degree)PAGING NETWORK, INC ............... 150 11,810(degree)PANAMSAT CORP ..................... 460 7,303(degree)PAXSON COMMUNICATIONS CORP ........ 67 2,100(degree)PEGASUS COMMUNICATIONS CORP ....... 53 3,900(degree)POWERTEL, INC ..................... 53 9,200(degree)PREMIERE TECHNOLOGIES, INC ........ 68 4,700(degree)PRIMUS TELECOMMUNICATIONS GROUP, INC 78 18,789(degree)QWEST COMMUNICATIONS INTERNATIONAL , INC ............... 939 9,200(degree)RCN CORP .......................... 163 593,788 SBC COMMUNICATIONS, INC ............ 31,842 12,900 (degree)SINCLAIR BROADCASTING GROUP, INC (CLASS A ) ........................ 252 16,600(degree)SKYTEL COMMUNICATIONS, INC ........ 367 1,000(degree)SMARTALK TELESERVICES, INC ........ 3 104,066 SPRINT CORP (FON GROUP) ............ 8,755 51,433(degree)SPRINT CORP (PCS GROUP) ........... 1,189 6,100(degree)STAR TELECOMMUNICATIONS, INC ...... 74 9,500 TCA CABLE TV, INC .................. 339 14,040(degree)TCI SATELLITE ENTERTAINMENT (CLASS A) 20 9,700(degree)TEL-SAVE.COM, INC ................. 162 158,987(degree)TELE-COMMUNICATIONS, INC (CLASS A) 8,794 See notes to financial statements. 78 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- COMMUNICATIONS--(CONTINUED) 109,726(degree)TELECOM-TCI VENTURES GROUP (CLASS A) $ 2,585 9,718(degree)TELEGLOBE, INC (U.S.A.) ........... 350 18,340 TELEPHONE & DATA SYSTEMS, INC ...... 824 100(degree)TELIGENT, INC ..................... 3 1,900(degree)TRANSACTION NETWORK SERVICES, INC . 38 5,900(degree)U.S. CELLULAR CORP ................ 224 4,000(degree)U.S. LEC CORP (CLASS A) ........... 59 7,700(degree)U.S. SATELLITE BROADCASTING, INC (CLASS A) 106 150,461 U.S. WEST, INC ..................... 9,724 24,330(degree)U.S.A. NETWORKS, INC .............. 806 11,300(degree)UNITED INTERNATIONAL HOLDINGS, INC 218 2,100 UNITED TELEVISION, INC ............. 242 7,000(degree)UNITED VIDEO SATELLITE GROUP, INC . 165 7,000(degree)UNIVISION COMMUNICATIONS, INC ..... 253 8,600(degree)VANGUARD CELLULAR SYSTEMS, INC .... 222 6,460(degree)VIACOM, INC (CLASS A) ............. 475 70,293(degree)VIACOM, INC (CLASS B) ............. 5,202 150(degree)VIACOM, INC (CLASS B) WTS 07/07/99 2 20,600(degree)WESTERN WIRELESS CORP (CLASS A) ... 453 12,700(degree)WINSTAR COMMUNICATIONS, INC ....... 495 3,000(degree)YOUNG BROADCASTING, INC (CLASS A) . 126 ---------- 368,797 ---------- DEPOSITORY INSTITUTIONS--8.26% 1,000 ALABAMA NATIONAL BANCORP ........... 27 7,900 ALLIED IRISH BANK PLC (SPONS ADR) .. 872 10,700 AMCORE FINANCIAL, INC .............. 245 57,800 AMSOUTH BANCORP .................... 2,637 4,500 ANCHOR BANCORP WISCONSIN, INC ...... 108 400 ANDOVER BANCORP, INC ............... 14 1,200 AREA BANCSHARES CORP ............... 32 19,106 ASSOCIATED BANC-CORP ............... 653 21,745 ASTORIA FINANCIAL CORP ............. 995 400 BANCFIRST CORP ..................... 14 1,500 BANCFIRST OHIO CORP ................ 46 15,300 BANCORPSOUTH, INC .................. 276 12,500 BANCWEST CORP ...................... 600 2,200 BANK OF GRANITE CORP ............... 61 226,320 BANK OF NEW YORK CO, INC ........... 9,109 356,802 BANK ONE CORP ...................... 18,219 3,000(degree)BANK PLUS CORP .................... 13 9,400 BANK UNITED CORP (CLASS A) ......... 369 527,098 BANKAMERICA CORP ................... 31,692 8,000 BANKATLANTIC BANCORP, INC (CLASS B) 57 88,769 BANKBOSTON CORP .................... 3,456 29,152 BANKERS TRUST CORP ................. 2,491 2,900 BANKNORTH GROUP, INC ............... 109 1,000(degree)BANKUNITED FINANCIAL CORP (CLASS A) 8 5,500 BAY VIEW CAPITAL CORP .............. 119 98,442 BB&T CORP .......................... 3,968 1,957(degree)BOK FINANCIAL CORP ................ 92 1,400 BRENTON BANKS, INC ................. 23 700 BROOKLINE BANCORP, INC ............. 8 600 BSB BANCORP, INC ................... 20 1,100 BT FINANCIAL CORP .................. 30 470(degree)CALIFORNIA FEDERAL BANK GOODWILL CERT 6 4,600 CAROLINA FIRST CORP ................ 116 1,300 CATHAY BANCORP, INC ................ 53 12,000 CCB FINANCIAL CORP ................. 684 2,200(degree)CENTENNIAL BANCORP ................ 41 8,200 CENTURA BANKS, INC ................. 610 1,400 CENTURY SOUTH BANKS, INC ........... 39 2,000 CFSB BANCORP, INC .................. 49 64,980 CHARTER ONE FINANCIAL, INC ......... 1,803 256,038 CHASE MANHATTAN CORP ............... 17,427 1,875 CHEMICAL FINANCIAL CORP ............ 64 2,252 CHITTENDEN CORP .................... 72 6,900 CITIZENS BANKING CORP (MICHIGAN) ... 233 1,000 CITY HOLDINGS CO ................... 33 13,100 CITY NATIONAL CORP ................. 545 9,990 CNB BANCSHARES, INC ................ 466 27,000 COLONIAL BANCGROUP, INC ............ 324 1,200(degree)COLUMBIA BANKING SYSTEM, INC ...... 22 46,100 COMERICA, INC ...................... 3,143 7,056 COMMERCE BANCORP, INC .............. 370 17,669 COMMERCE BANCSHARES, INC ........... 751 19,000 COMMERCIAL FEDERAL CORP ............ 441 1,000 COMMONWEALTH BANCORP, INC .......... 16 1,100 COMMUNITY BANK SYSTEM, INC ......... 32 16,600 COMMUNITY FIRST BANKSHARES, INC .... 350 1,600 COMMUNITY TRUST BANCORP, INC ....... 38 20,350 COMPASS BANCSHARES, INC ............ 775 27,962(degree)CONCORD EFS, INC .................. 1,185 1,200 CORUS BANKSHARES, INC .............. 39 1,200 CPB, INC ........................... 21 33,291 CRESTAR FINANCIAL CORP ............. 2,397 10,300 CULLEN FROST BANKERS, INC .......... 565 2,054 CVB FINANCIAL CORP ................. 46 33,000 DIME BANCORP, INC .................. 872 1,600 DIME COMMUNITY BANCORP, INC ........ 33 5,460 DOWNEY FINANCIAL CORP .............. 139 1,900 EVERGREEN BANCORP, INC ............. 61 900 F & M BANCORP, INC (MARYLAND) ...... 29 2,800 F & M BANCORP, INC (WISCONSIN) ..... 85 6,500 F & M NATIONAL CORP ................ 195 2,900 F.N.B. CORP ........................ 82 1,200 FARMERS CAPITAL BANK CORP .......... 45 64,077 FIFTH THIRD BANCORP ................ 4,569 32,266 FIRST AMERICAN CORP ................ 1,432 14,800 FIRST BANCORP (PUERTO RICO) ........ 447 1,600 FIRST CHARTER CORP ................. 28 2,900 FIRST CITIZENS BANCSHARES, INC (CLASS A) 261 1,200 FIRST COMMERCE BANCSHARES, INC ..... 34 6,761 FIRST COMMONWEALTH FINANCIAL CORP .. 166 1,100 FIRST FEDERAL CAPITAL CORP ......... 18 11,440(degree)FIRST FINANCIAL BANCORP ........... 331 1,560 FIRST FINANCIAL BANKSHARES, INC .... 55 700 FIRST FINANCIAL CORP (INDIANA) ..... 35 1,900 FIRST FINANCIAL HOLDINGS, INC ...... 36 1,000 FIRST INDIANA CORP ................. 20 1,300 FIRST LIBERTY FINANCIAL CORP ....... 27 1,500 FIRST MERCHANTS CORP ............... 39 7,100 FIRST MIDWEST BANCORP, INC ......... 270 1,900(degree)FIRST REPUBLIC BANK ............... 48 50,012 FIRST SECURITY CORP ................ 1,169 8,200 FIRST SENTINEL BANCORP, INC ........ 67 700 FIRST SOURCE CORP .................. 23 37,500 FIRST TENNESSEE NATIONAL CORP ...... 1,427 278,340 FIRST UNION CORP ................... 16,927 5,900 FIRST UNITED BANCSHARES, INC ....... 105 15,050 FIRST VIRGINIA BANKS, INC .......... 707 1,700 FIRST WASHINGTON BANCORP, INC ...... 41 1,600 FIRST WESTERN BANCORP, INC ......... 51 60,638 FIRSTAR CORP ....................... 5,654 5,350(degree)FIRSTFED FINANCIAL CORP ........... 96 18,500 FIRSTMERIT CORP .................... 497 169,728 FLEET FINANCIAL GROUP, INC ......... 7,585 1,400(degree)FRONTIER FINANCIAL CORP ........... 64 See notes to financial statements. 79 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- DEPOSITORY INSTITUTIONS--(CONTINUED) 18,600 FULTON FINANCIAL CORP .............. $ 419 2,300 GBC BANCORP ........................ 59 2,400 GOLD BANC CORP, INC ................ 37 38,700(degree)GOLDEN STATE BANCORP, INC ......... 643 13,600(degree)GOLDEN STATE BANCORP, INC WTS 01/01/01 62 14,300 GOLDEN WEST FINANCIAL CORP ......... 1,311 1,650 GRAND PREMIER FINANCIAL, INC ....... 20 1,200 GREATER BAY BANCORP ................ 41 21,700 GREENPOINT FINANCIAL CORP .......... 762 1,400(degree)HAMILTON BANCORP, INC ............. 37 1,800 HANCOCK HOLDINGS CO ................ 82 700 HARLEYSVILLE NATIONAL CORP ......... 27 4,600 HARRIS FINANCIAL, INC .............. 63 45,459 HIBERNIA CORP (CLASS A) ............ 790 1,600 HORIZON BANCORP, INC ............... 54 15,171 HUBCO, INC ......................... 457 62,164 HUNTINGTON BANCSHARES, INC ......... 1,869 11,250(degree)IMPERIAL BANCORP .................. 187 22,000 INDEPENDENCE COMMUNITY BANK CORP ... 351 1,400 INDEPENDENT BANK CORP .............. 24 1,600 INTERNATIONAL BANCSHARES CORP ...... 81 3,100 INTERWEST BANCORP, INC ............. 69 2,600 IRWIN FINANCIAL CORP ............... 71 1,700 JEFFBANKS, INC ..................... 34 900 JEFFERSON SAVINGS BANCORP, INC ..... 12 135,039 KEYCORP ............................ 4,321 15,850 KEYSTONE FINANCIAL, INC ............ 586 2,341 M & T BANK CORP .................... 1,215 19,380 MAF BANCORP, INC ................... 514 200 MAHONING NATIONAL BANCORP, INC ..... 6 3,200 MAINSTREET FINANCIAL CORP .......... 149 31,356 MARSHALL & ILSLEY CORP ............. 1,832 196,605 MBNA CORP .......................... 4,903 78,152 MELLON BANK CORP ................... 5,373 41,882 MERCANTILE BANCORP, INC ............ 1,932 20,705 MERCANTILE BANKSHARES CORP ......... 797 1,500 MERCHANTS NEW YORK BANCORP, INC .... 54 700 MICHIGAN FINANCIAL CORP ............ 24 618 MID-AMERICA BANCORP ................ 17 1,100 MISSISSIPPI VALLEY BANCSHARES ...... 37 53,165 MORGAN (J.P.) & CO, INC ............ 5,586 4,400 NATIONAL BANCORP OF ALASKA, INC .... 149 2,905 NATIONAL CITY BANCSHARES, INC ...... 108 99,191 NATIONAL CITY CORP ................. 7,191 33,000 NATIONAL COMMERCE BANCORP .......... 621 2,900 NATIONAL PENN BANCSHARES, INC ...... 79 2,205 NBT BANCORP, INC ................... 52 42,268 NORTH FORK BANCORP, INC ............ 1,012 31,760 NORTHERN TRUST CORP ................ 2,773 400(degree)NORTHWEST BANCORP, INC ............ 4 10,200(degree)OCWEN FINANCIAL CORP .............. 126 25,846 OLD KENT FINANCIAL CORP ............ 1,202 10,111 OLD NATIONAL BANCORP ............... 564 1,500 OMEGA FINANCIAL CORP ............... 45 10,512 ONE VALLEY BANCORP, INC ............ 346 2,133 ORIENTAL FINANCIAL GROUP ........... 67 1,500 PACIFIC CAPITAL BANCORP ............ 39 24,200 PACIFIC CENTURY FINANCIAL CORP ..... 590 2,900 PARK NATIONAL CORP ................. 299 5,400 PEOPLES BANCORP, INC ............... 59 8,600 PEOPLES BANK OF BRIDGEPORT CO ...... 238 29,604 PEOPLES HERITAGE FINANCIAL GROUP, INC 592 2,100 PEOPLES HOLDING CO ................. 68 1,900(degree)PFF BANCORP, INC .................. 30 89,939 PNC BANK CORP ...................... 4,868 39,427 POPULAR, INC ....................... 1,341 5,282 PREMIER BANCSHARES, INC ............ 138 2,000 PRIME BANCORP, INC ................. 32 8,085 PROVIDENT BANKSHARES CORP .......... 201 12,200 PROVIDENT FINANCIAL GROUP .......... 461 38,494 PROVIDIAN FINANCIAL CORP ........... 2,887 19,200 QUEENS COUNTY BANCORP, INC ......... 571 64,030 REGIONS FINANCIAL CORP ............. 2,581 700 RELIANCE BANCORP, INC .............. 19 2,600 REPUBLIC BANCORP, INC .............. 35 32,264 REPUBLIC NEW YORK CORP ............. 1,470 9,300 REPUBLIC SECURITY FINANCIAL CORP ... 113 2,900 RICHMOND COUNTY FINANCIAL CORP ..... 47 15,700 RIGGS NATIONAL CORP ................ 320 15,700 ROSLYN BANCORP, INC ................ 338 9,600 S & T BANCORP, INC ................. 265 2,000 SANDY SPRING BANCORP, INC .......... 60 900 SHORELINE FINANCIAL CORP ........... 24 900 SIGNAL CORP ........................ 31 6,400(degree)SILICON VALLEY BANCSHARES ......... 109 1,000 SIMMONS FIRST NATIONAL CORP (CLASS A) 37 400 SIS BANCORP ........................ 18 10,673 SKY FINANCIAL GROUP, INC ........... 282 48,500 SOUTHTRUST CORP .................... 1,791 4,300(degree)SOUTHWEST BANCORP OF TEXAS, INC ... 77 47,640 SOVEREIGN BANCORP, INC ............. 679 22,625 ST. PAUL BANCORP, INC .............. 616 48,600 STATE STREET CORP .................. 3,381 11,000 STATEN ISLAND BANCORP, INC ......... 219 1,000 STERLING BANCORP ................... 23 3,500 STERLING BANCSHARES, INC ........... 52 800 STERLING FINANCIAL CORP ............ 33 51,421 SUMMIT BANCORP ..................... 2,246 55,900 SUNTRUST BANKS, INC ................ 4,276 16,380 SUSQUEHANNA BANCSHARES, INC ........ 335 66,187 SYNOVUS FINANCIAL CORP ............. 1,613 25,900 TCF FINANCIAL CORP ................. 626 2,300 TEXAS REGIONAL BANCSHARES, INC (CLASS A) 58 10,700 TR FINANCIAL CORP .................. 421 4,309 TRIANGLE BANCORP, INC .............. 68 2,700 TRUST CO OF NEW JERSEY ............. 66 6,335 TRUSTCO BANK CORP .................. 190 19,800 TRUSTMARK CORP ..................... 448 220,843 U.S. BANCORP ....................... 7,840 6,100 U.S. TRUST CORP .................... 464 1,320 U.S.B. HOLDINGS CO, INC ............ 22 5,540 UMB FINANCIAL CORP ................. 254 40,298 UNION PLANTERS CORP ................ 1,826 7,800 UNIONBANCAL CORP ................... 266 10,400 UNITED BANKSHARES, INC ............. 276 1,650 UNITED NATIONAL BANCORP ............ 38 2,200 USBANCORP, INC ..................... 44 12,900 UST CORP ........................... 304 15,153 VALLEY NATIONAL BANCORP ............ 427 1,100(degree)VERMONT FINANCIAL SERVICES CORP ... 37 62,106 WACHOVIA CORP ...................... 5,430 15,034 WASHINGTON FEDERAL, INC ............ 401 170,939 WASHINGTON MUTUAL, INC ............. 6,528 2,000 WASHINGTON TRUST BANCORP, INC ...... 43 14,800 WEBSTER FINANCIAL CORP ............. 406 490,718 WELLS FARGO CO ..................... 19,598 4,400 WESBANCO, INC ...................... 130 See notes to financial statements. 80 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- DEPOSITORY INSTITUTIONS--(CONTINUED) 1,920 WEST COAST BANCORP (OREGON) ........ $ 40 12,600 WESTAMERICA BANCORP ................ 463 6,800 WESTERN BANCORP .................... 199 18,000 WESTERNBANK PUERTO RICO ............ 286 6,400 WHITNEY HOLDINGS CORP .............. 240 10,000 WILMINGTON TRUST CORP .............. 616 22,500 ZIONS BANCORP ...................... 1,403 ---------- 285,098 ---------- EATING AND DRINKING PLACES--0.84% 7,000(degree)ADVANTICA RESTAURANT GROUP, INC ... 43 21,900 APPLEBEES INTERNATIONAL, INC ....... 452 11,800 AVADO BRANDS, INC .................. 98 24,600 BOB EVANS FARMS, INC ............... 641 11,100x(degree)BOSTON CHICKEN, INC .............. 3 23,700(degree)BRINKER INTERNATIONAL, INC ........ 684 10,500(degree)BUFFETS, INC ...................... 125 3,600(degree)CEC ENTERTAINMENT, INC ............ 100 14,918 CKE RESTAURANTS, INC ............... 439 2,125(degree)CONSOLIDATED PRODUCTS, INC ........ 44 16,400 CRACKER BARREL OLD COUNTRY STORE, INC 382 44,400 DARDEN RESTAURANTS, INC ............ 799 1,500(degree)DAVE & BUSTERS, INC ............... 35 12,100(degree)FOODMAKER, INC .................... 267 45,100 HOST MARRIOTT CORP (NEW) ........... 623 9,740(degree)HOST MARRIOTT SERVICES CORP ....... 101 1,500(degree)IHOP CORP NEW ..................... 60 8,700(degree)LANDRYS SEAFOOD RESTAURANTS, INC .. 65 10,600(degree)LONE STAR STEAKHOUSE & SALOON, INC 97 9,500 LUBYS CAFETERIA, INC ............... 147 67,000 MARRIOTT INTERNATIONAL (CLASS A) ... 1,943 203,900 MCDONALD'S CORP .................... 15,624 12,000 MORRISON HEALTH CARE, INC .......... 229 12,800(degree)OUTBACK STEAKHOUSE, INC ........... 510 9,350(degree)PAPA JOHNS INTERNATIONAL, INC ..... 413 1,800(degree)PJ AMERICA, INC ................... 33 7,100(degree)PLANET HOLLYWOOD, INC (CLASS A) ... 16 7,250(degree)RAINFOREST CAFE, INC .............. 44 20,700 RUBY TUESDAY, INC .................. 440 17,200(degree)RYANS FAMILY STEAK HOUSES, INC .... 213 3,500(degree)SBARRO, INC ....................... 92 17,900(degree)SHONEYS, INC ...................... 23 8,700(degree)SODEXHO MARRIOTT SERVICES, INC .... 241 2,700(degree)SONIC CORP ........................ 67 3,400(degree)THE CHEESECAKE FACTORY CO ......... 101 36,490(degree)TRICON GLOBAL RESTAURANTS, INC .... 1,829 15,190(degree)U.S. FOODSERVICE, INC ............. 744 25,700 VIAD CORP .......................... 781 28,100 WENDYS INTERNATIONAL, INC .......... 613 ---------- 29,161 ---------- EDUCATIONAL SERVICES--0.06% 12,487(degree)APOLLO GROUP, INC (CLASS A) ....... 423 1,400(degree)BERLITZ INTERNATIONAL, INC ........ 41 4,700(degree)COMPUTER LEARNING CENTERS, INC .... 31 27,800(degree)DEVRY, INC ........................ 851 3,200(degree)EDUCATION MANAGEMENT CORP ......... 76 3,500(degree)ITT EDUCATIONAL SERVICES, INC ..... 119 2,800(degree)LEARNING TREE INTERNATIONAL, INC .. 25 1,900 STRAYER EDUCATION, INC ............. 67 10,650(degree)SYLVAN LEARNING SYSTEMS, INC ...... 325 ---------- 1,958 ---------- ELECTRIC, GAS, AND SANITARY SERVICES--4.33% 35,500(degree)AES CORP .......................... $ 1,682 39,300 AGL RESOURCES, INC ................. 906 37,570 ALLEGHENY ENERGY, INC .............. 1,296 36,915(degree)ALLIED WASTE INDUSTRIES, INC ...... 872 37,313 AMEREN CORP ........................ 1,593 54,969 AMERICAN ELECTRIC POWER CO, INC .... 2,587 21,439 AMERICAN WATER WORKS CO, INC ....... 724 41,400(degree)AQUA ALLIANCE, INC ................ 85 2,297 AQUARION CO ........................ 94 1,253 AQUILA GAS PIPELINE CORP ........... 11 8,611 ATMOS ENERGY CORP .................. 278 40,879 BALTIMORE GAS & ELECTRIC CO ........ 1,262 3,717 BAY STATE GAS CO ................... 148 14,300 BEC ENERGY ......................... 589 4,728 BLACK HILLS CORP ................... 125 54,200 BROWNING FERRIS INDUSTRIES, INC .... 1,541 16,200(degree)CALENERGY, INC .................... 562 2,707 CALIFORNIA WATER SERVICE GROUP ..... 85 4,562(degree)CALPINE CORP ...................... 115 42,987 CAROLINA POWER & LIGHT CO .......... 2,023 600(degree)CASELLA WASTE SYSTEMS, INC (CLASS A) 22 60,056 CENTRAL & SOUTH WEST CORP .......... 1,648 8,800 CENTRAL HUDSON GAS & ELECTRIC CORP . 394 7,800 CILCORP, INC ....................... 477 39,723 CINERGY CORP ....................... 1,365 75,026(degree)CITIZENS UTILITIES CO (CLASS B) ... 610 10,900 CLECO CORP ......................... 374 27,411 CMP GROUP, INC ..................... 517 30,400 CMS ENERGY CORP .................... 1,473 56,800 COASTAL CORP ....................... 1,984 1,700 COLONIAL GAS CO .................... 59 24,391 COLUMBIA ENERGY GROUP .............. 1,409 16,700 COMMONWEALTH ENERGY SYSTEM CO ...... 676 39,425 CONECTIV, INC ...................... 966 4,287 CONECTIV, INC (CLASS A) ............ 169 1,500 CONNECTICUT ENERGY CORP ............ 46 68,119 CONSOLIDATED EDISON CO OF N.Y., INC 3,602 28,300 CONSOLIDATED NATURAL GAS CO ........ 1,528 1,230 CTG RESOURCES, INC ................. 32 56,288 DOMINION RESOURCES, INC ............ 2,631 43,200 DPL, INC ........................... 934 20,400 DQE, INC ........................... 896 40,893 DTE ENERGY CO ...................... 1,753 113,851 DUKE ENERGY CORP ................... 7,294 29,500 DYNEGY, INC ........................ 323 11,000 EASTERN ENTERPRISES CO ............. 481 8,700(degree)EASTERN ENVIRONMENTAL SERVICES, INC 258 20,300 EASTERN UTILITIES ASSOCIATION CO ... 573 104,100 EDISON INTERNATIONAL CO ............ 2,902 12,008(degree)EL PASO ELECTRIC CO ............... 105 33,196 EL PASO ENERGY CORP ................ 1,156 1,600 EMPIRE DISTRICT ELECTRIC CO ........ 40 6,286 ENERGEN CORP ....................... 123 16,100 ENERGY EAST CORP ................... 910 98,770 ENRON CORP ......................... 5,636 67,053 ENTERGY CORP ....................... 2,087 19,400 EQUITABLE RESOURCES, INC ........... 565 1,100 ETOWN CORP ......................... 52 65,636 FIRSTENERGY CORP ................... 2,137 24,100 FLORIDA PROGRESS CORP .............. 1,080 47,500 FPL GROUP, INC ..................... 2,927 34,921 GPU, INC ........................... 1,543 See notes to financial statements. 81 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED) 9,000 HAWAIIAN ELECTRIC INDUSTRIES, INC .. $ 362 77,149 HOUSTON INDUSTRIES, INC ............ 2,478 16,000 IDACORP, INC ....................... 579 20,400 ILLINOVA CORP ...................... 510 10,400 INDIANA ENERGY, INC ................ 256 23,134 INTERSTATE ENERGY CORP ............. 746 16,800 IPALCO ENTERPRISES, INC ............ 931 24,100 KANSAS CITY POWER & LIGHT CO ....... 714 20,200(degree)KELLEY OIL & GAS CORP ............. 12 48,204 KEYSPAN ENERGY CORP ................ 1,494 11,800 KN ENERGY, INC ..................... 429 2,300 LACLEDE GAS CO ..................... 62 45,405 LOUISVILLE GAS & ELECTRIC ENERGY CORP 1,286 1,500 MADISON GAS & ELECTRIC CO .......... 34 23,100 MCN ENERGY GROUP, INC .............. 440 15,450 MDU RESOURCES GROUP, INC ........... 407 29,200 MIDAMERICAN ENERGY HOLDINGS CO ..... 785 16,300 MINNESOTA POWER, INC ............... 717 3,800 x(degree)MOLTEN METAL TECHNOLOGY, INC 0 22,700 MONTANA POWER CO ................... 1,284 11,500 NATIONAL FUEL GAS CO ............... 520 25,500 NEVADA POWER CO .................... 663 31,185 NEW CENTURY ENERGIES, INC .......... 1,520 17,600 NEW ENGLAND ELECTRIC SYSTEMS CO .... 847 7,300 NEW JERSEY RESOURCES CORP .......... 288 20,000(degree)NEWPARK RESOURCES, INC ............ 136 64,100(degree)NIAGARA MOHAWK POWER CORP ......... 1,034 14,200 NICOR, INC ......................... 600 33,500 NIPSCO INDUSTRIES, INC ............. 1,020 2,449 NORTH CAROLINA NATURAL GAS CORP .... 81 51,400(degree)NORTHEAST UTILITIES CO ............ 822 41,400 NORTHERN STATES POWER CO ........... 1,149 11,900 NORTHWEST NATURAL GAS CO ........... 308 6,000 NORTHWESTERN CORP .................. 159 1,100 NUI CORP ........................... 29 24,500 OGDEN CORP ......................... 614 28,200 OGE ENERGY CORP .................... 818 9,867 ONEOK, INC ......................... 356 12,200 ORANGE & ROCKLAND UTILITY, INC ..... 695 500 OTTER TAIL POWER CO ................ 20 82,300 PACIFICORP ......................... 1,733 64,100 PECO ENERGY CO ..................... 2,668 1,500 PENNSYLVANIA ENTERPRISES, INC ...... 38 10,100 PEOPLES ENERGY CORP ................ 403 110,865 PG&E CORP .......................... 3,492 7,000 PHILADELPHIA SUBURBAN CORP ......... 207 9,880 PIEDMONT NATURAL GAS CO, INC ....... 357 23,300 PINNACLE WEST CAPITAL CORP ......... 987 31,900 POTOMAC ELECTRIC POWER CO .......... 839 39,832 PP&L RESOURCES, INC ................ 1,110 31,500 PUBLIC SERVICE CO OF NEW MEXICO .... 644 4,100 PUBLIC SERVICE CO OF NORTH CAROLINA 107 67,223 PUBLIC SERVICE ENTERPRISE GROUP, INC 2,689 21,940 PUGET SOUND ENERGY, INC ............ 612 28,600 QUESTAR CORP ....................... 554 122,516(degree)REPUBLIC INDUSTRIES, INC .......... 1,807 21,300 ROCHESTER GAS & ELECTRIC CORP ...... 666 28,200 SCANA CORP ......................... 909 18,892(degree)SEAGULL ENERGY CORP ............... 119 3,800 SEMCO ENERGY, INC .................. 62 66,629 SEMPRA ENERGY ...................... 1,691 18,700 SIERRA PACIFIC RESOURCES ........... 711 6,300 SIG CORP, INC ...................... 225 33,126 SONAT, INC ......................... 896 600 SOUTH JERSEY INDUSTRIES, INC ....... 16 207,215 SOUTHERN CO ........................ 6,022 4,360(degree)SOUTHERN UNION CO ................. 106 8,000 SOUTHWEST GAS CORP ................. 215 24,900 SOUTHWESTERN ENERGY CO ............. 187 6,400(degree)SUPERIOR SERVICES, INC ............ 128 34,300 TECO ENERGY, INC ................... 967 82,482 TEXAS UTILITIES CO ................. 3,851 1,300 TNP ENTERPRISES, INC ............... 49 7,610 UGI CORP ........................... 181 61,000 UNICOM CORP ........................ 2,352 15,240(degree)UNISOURCE ENERGY CORP HOLDINGS CO . 206 11,000 UNITED ILLUMINATING CO ............. 567 8,200 UNITED WATER RESOURCES, INC ........ 196 18,750 UTILICORP UNITED, INC .............. 688 10,800 WASHINGTON GAS LIGHT CO ............ 293 17,600 WASHINGTON WATER POWER CO .......... 339 167,518 WASTE MANAGEMENT, INC .............. 7,811 31,000(degree)WASTEMASTERS, INC ................. 10 3,300 WESTERN GAS RESOURCES, INC ......... 19 15,100 WESTERN RESOURCES, INC ............. 502 18,000 WICOR, INC ......................... 393 126,716 WILLIAMS COS, INC .................. 3,952 30,300 WISCONSIN ENERGY CORP .............. 953 9,200 WPS RESOURCES CORP ................. 324 1,500 YANKEE ENERGY SYSTEMS, INC ......... 44 ---------- 149,437 ---------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--7.44% 4,700(degree)AAVID THERMAL TECHNOLOGIES, INC ... 79 9,400(degree)ACTEL CORP ........................ 188 39,800(degree)ADC TELECOMMUNICATIONS, INC ....... 1,383 11,600(degree)ADTRAN, INC ....................... 212 1,900(degree)ADVANCED ENERGY INDUSTRIES, INC ... 48 20,400(degree)ADVANCED FIBRE COMMUNICATIONS ..... 223 2,200(degree)ADVANCED LIGHTING TECHNOLOGIES, INC 21 43,407(degree)ADVANCED MICRO DEVICES, INC ....... 1,256 31,600 AEROQUIP-VICKERS, INC .............. 946 51,020 ALLEGHENY TELEDYNE, INC ............ 1,043 5,885(degree)ALLEN TELECOM, INC ................ 39 10,900(degree)ALLIANCE SEMICONDUCTOR CORP ....... 44 29,400(degree)ALTERA CORP ....................... 1,790 23,000(degree)AMERICAN POWER CONVERSION CORP .... 1,114 40,100(degree)AMERICAN TOWER SYSTEMS (CLASS A) .. 1,185 9,300 AMETEK, INC ........................ 208 11,100(degree)AMKOR TECHNOLOGY, INC ............. 120 53,393 AMP, INC ........................... 2,780 15,720(degree)AMPEX CORP (CLASS A) .............. 18 5,400(degree)AMPHENOL CORP (CLASS A) ........... 163 3,700(degree)ANADIGICS, INC .................... 42 48,556(degree)ANALOG DEVICES, INC ............... 1,523 24,087(degree)ANDREW CORP ....................... 397 8,200(degree)ANTEC CORP ........................ 165 6,600(degree)APPLIED INNOVATION, INC ........... 23 5,400(degree)APPLIED MAGNETICS CORP ............ 33 6,700(degree)APPLIED MICRO CIRCUITS CORP ....... 228 11,500(degree)ARTESYN TECHNOLOGIES, INC ......... 161 17,200(degree)ASPECT TELECOMMUNICATIONS CORP .... 297 29,100(degree)ATMEL CORP ........................ 446 5,700(degree)AURA SYSTEMS, INC ................. 6 19,800 AVX CORP ........................... 335 9,866 BALDOR ELECTRIC CO ................. 200 See notes to financial statements. 82 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED) 1,741(degree)BENCHMARK ELECTRONICS, INC ........ $ 64 7,600 BMC INDUSTRIES, INC ................ 48 900(degree)BROADCOM CORP (CLASS A) ........... 109 11,550(degree)BURR BROWN CORP ................... 271 2,572 C&D TECHNOLOGIES, INC .............. 71 8,800(degree)CALIFORNIA MICROWAVE, INC ......... 83 7,800(degree)CELLNET DATA SYSTEMS, INC ......... 39 9,200(degree)CHECKPOINT SYSTEMS, INC ........... 114 14,800(degree)CIDCO, INC ........................ 43 30,600(degree)CIENA CORP ........................ 448 9,433(degree)COMMSCOPE, INC .................... 159 12,540(degree)COMVERSE TECHNOLOGY, INC .......... 890 30,373 COOPER INDUSTRIES, INC ............. 1,448 1,506 CTS CORP ........................... 66 24,400(degree)CYPRESS SEMICONDUCTOR CORP ........ 203 8,000 DALLAS SEMICONDUCTOR CORP .......... 326 3,700(degree)DAVOX CORP ........................ 28 16,100(degree)DIGITAL MICROWAVE CORP ............ 110 10,080(degree)DII GROUP, INC .................... 232 10,900(degree)DSP COMMUNICATIONS, INC ........... 167 3,900(degree)ECHOSTAR COMMUNICATIONS CORP (CLASS A) ......................... 189 3,200 (degree)ELECTRO SCIENTIFIC INDUSTRIES, INC 145 131,746 EMERSON ELECTRIC CO ................ 7,971 3,900(degree)ESS TECHNOLOGY .................... 20 900(degree)EVANS & SUTHERLAND COMPUTER CORP .. 16 1,000(degree)EXCEL SWITCHING CORP .............. 38 4,600 EXIDE CORP ......................... 75 6,400(degree)GENERAL DATACOMM INDUSTRIES, INC .. 15 995,822 GENERAL ELECTRIC CO ................ 101,636 36,800(degree)GENERAL INSTRUMENT CORP ........... 1,249 6,800(degree)GENERAL SEMICONDUCTOR, INC ........ 56 1,100(degree)GENLYTE GROUP, INC ................ 21 9,900 x(degree)GEOTEK COMMUNICATIONS, INC .. 0 18,687(degree)GLENAYRE TECHNOLOGIES, INC ........ 83 4,500(degree)HADCO CORP ........................ 158 8,350 HARMAN INTERNATIONAL INDUSTRIES, INC 318 2,300 HARMON INDUSTRIES, INC ............. 53 22,300 HARRIS CORP ........................ 817 7,300 HELIX TECHNOLOGY CORP .............. 95 9,700(degree)HMT TECHNOLOGY CORP ............... 124 1,600(degree)HOLOPHANE CORP .................... 41 16,350 HUBBELL, INC (CLASS B) ............. 621 6,300(degree)HUTCHINSON TECHNOLOGY, INC ........ 224 2,400 INNOVEX, INC ....................... 33 1,300(degree)INTEGRATED CIRCUIT SYSTEMS, INC ... 23 22,700(degree)INTEGRATED DEVICE TECHNOLOGY, INC . 139 2,300(degree)INTEGRATED SILICON SOLUTION, INC .. 7 509,170 INTEL CORP ......................... 60,368 6,800 INTER-TEL, INC ..................... 159 24,800(degree)INTERDIGITAL COMMUNICATIONS CORP .. 113 13,100(degree)INTERNATIONAL RECTIFIER CORP ...... 128 5,400(degree)INTERVOICE, INC ................... 186 700(degree)ITI TECHNOLOGIES, INC ............. 22 6,500(degree)ITRON, INC ........................ 47 6,200(degree)JABIL CIRCUIT, INC ................ 463 12,600 JUNO LIGHTING, INC ................. 295 16,400(degree)KEMET CORP ........................ 185 16,200(degree)KOMAG, INC ........................ 168 1,400(degree)KOPIN CORP ........................ 29 5,800 KUHLMAN CORP ....................... 220 1,000(degree)L-3 COMMINUCATIONS HOLDINGS, INC .. 47 6,800(degree)LATTICE SEMICONDUCTOR CORP ........ 312 10,400(degree)LEVEL ONE COMMUNICATIONS, INC ..... 369 22,600 LINEAR TECHNOLOGY CO ............... 2,024 9,800(degree)LITTLEFUSE, INC ................... 189 400(degree)LO-JACK CORP ...................... 5 41,372(degree)LSI LOGIC CORP .................... 667 13,000(degree)MAGNETEK, INC ..................... 150 34,900(degree)MAXIM INTEGRATED PRODUCTS ......... 1,525 26,000 MAYTAG CO .......................... 1,619 12,900(degree)MEMC ELECTRONIC MATERIALS, INC .... 110 9,600 METHODE ELECTRONICS, INC (CLASS A) . 150 3,700(degree)MICREL, INC ....................... 204 15,200(degree)MICROCHIP TECHNOLOGY, INC ......... 562 63,809(degree)MICRON TECHNOLOGY, INC ............ 3,226 9,900(degree)MMC NETWORKS, INC ................. 131 22,632 MOLEX, INC ......................... 863 1,400(degree)MOOG, INC (CLASS A) ............... 55 181,200 MOTOROLA, INC ...................... 11,065 6,300(degree)MRV COMMUNICATIONS, INC ........... 39 14,300(degree)MYLEX CORP ........................ 172 46,292(degree)NATIONAL SEMICONDUCTOR CORP ....... 625 11,700 NATIONAL SERVICE INDUSTRIES, INC ... 445 7,200(degree)NEOMAGIC CORP ..................... 159 12,607 NORTHERN TELECOMMUNICATIONS LTD (U.S.) 632 4,900(degree)OAK INDUSTRIES, INC ............... 172 6,800(degree)OAK TECHNOLOGY, INC ............... 24 49,100(degree)OIS OPTICAL IMAGING SYSTEMS, INC .. 0 12,100(degree)P-COM, INC ........................ 48 22,500(degree)PAIRGAIN TECHNOLOGIES, INC ........ 173 1,300 PARK ELECTROCHEMICAL CORP .......... 37 6,500(degree)PHOTRONICS, INC ................... 156 7,300(degree)PICTURETEL CORP ................... 48 7,400 PITTWAY CORP (CLASS A) ............. 245 4,100(degree)PLANTRONICS, INC .................. 353 3,000(degree)PLEXUS CORP ....................... 102 9,200(degree)PMC-SIERRA, INC ................... 581 3,000(degree)POLYCOM, INC ...................... 67 2,500(degree)POWERWAVE TECHNOLOGIES, INC ....... 47 1,392 PREMIER FARNELL PLC ADR ............ 7 6,100(degree)PREMISYS COMMUNICATIONS, INC ...... 56 3,300(degree)QLOGIC CORP ....................... 432 17,900(degree)QUALCOMM, INC ..................... 927 5,000(degree)RAMBUS, INC ....................... 481 23,400 RAYCHEM CORP ....................... 756 7,100(degree)RAYOVAC CORP ...................... 189 12,100(degree)READ RITE CORP .................... 179 3,000(degree)RECOTON CORP ...................... 54 15,800(degree)RELTEC CORP ....................... 351 11,700(degree)REMEC, INC ........................ 211 13,000(degree)S3, INC ........................... 96 13,090(degree)SANMINA CORP ...................... 818 3,100(degree)SAWTEK, INC ....................... 54 17,677(degree)SCI SYSTEMS, INC .................. 1,021 21,500 SCIENTIFIC-ATLANTA, INC ............ 490 3,200(degree)SCM MICROSYSTEMS, INC ............. 227 3,100(degree)SDL, INC .......................... 123 4,800(degree)SEMTECH CORP ...................... 172 28,200(degree)SENSORMATIC ELECTRONICS CORP ...... 196 1,100(degree)SILICONIX, INC .................... 23 5,600(degree)SIPEX CORP ........................ 197 8,400(degree)SMART MODULAR TECHNOLOGIES, INC ... 233 32,200(degree)SOLECTRON CORP .................... 2,993 10,600 STEWART & STEVENSON SERVICES, INC .. 103 33,526 SUNBEAM CORP ....................... 235 See notes to financial statements. 83 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED) 3,100 TECHNITROL, INC .................... $ 99 9,600(degree)TEKELEC ........................... 159 10,300 TELEFLEX, INC ...................... 470 52,244(degree)TELLABS, INC ...................... 3,582 118,641 TEXAS INSTRUMENTS, INC ............. 10,151 15,205 THOMAS & BETTS CORP ................ 659 2,000 THOMAS INDUSTRIES, INC ............. 39 12,100(degree)UCAR INTERNATIONAL, INC ........... 216 11,300(degree)UNIPHASE CORP ..................... 784 6,700(degree)UNITRODE CORP ..................... 117 8,200(degree)VICOR CORP ........................ 74 3,800(degree)VIDEOSERVER, INC .................. 70 18,937(degree)VISHAY INTERTECHNOLOGY, INC ....... 275 21,600(degree)VITESSE SEMICONDUCTOR CORP ........ 986 11,900(degree)VLSI TECHNOLOGY, INC .............. 130 3,600(degree)WAVEPHORE, INC .................... 29 7,300(degree)WESTELL TECHNOLOGIES, INC (CLASS A) 36 20,000 WHIRLPOOL CORP ..................... 1,108 5,033(degree)WINDMERE-DURABLE HOLDINGS, INC .... 39 8,000(degree)WORLD ACCESS, INC ................. 171 19,800(degree)XILINX, INC ....................... 1,289 9,800(degree)XYLAN CORP ........................ 172 4,400 x(degree)ZENITH ELECTRONICS CORP ..... 1 2,400(degree)ZOLTEK COS, INC ................... 22 ---------- 256,885 ---------- ENGINEERING AND MANAGEMENT SERVICES--0.25% 700(degree)AHL SERVICES, INC ................. 22 6,300 BLOUNT INTERNATIONAL, INC .......... 157 13,000(degree)CATALYTICA, INC ................... 234 24,800(degree)CORRECTIONS CORP OF AMERICA ....... 437 700 DAMES & MOORE GROUP ................ 9 1,700(degree)DATA TRANSMISSION NETWORK CORP .... 49 1,400(degree)DIAMOND TECH PARTNERS, INC (CLASS A) 27 47,348 DUN & BRADSTREET CORP .............. 1,494 21,300 EG & G, INC ........................ 592 2,300(degree)ENTREMED, INC ..................... 48 2,200(degree)F.Y.I., INC ....................... 70 8,581(degree)FIRST CONSULTING GROUP, INC ....... 176 14,000(degree)GARTNER GROUP, INC (CLASS A) ...... 298 3,100(degree)HAGLER BAILLY, INC ................ 62 6,800(degree)INCYTE PHARMACEUTICALS, INC ....... 254 6,100(degree)JACOBS ENGINEERING GROUP, INC ..... 249 1,200(degree)KENDLE INTERNATIONAL, INC ......... 28 3,000(degree)LASON, INC ........................ 175 1,000(degree)MAXIMUS, INC ...................... 37 19,700(degree)MEDAPHIS CORP ..................... 65 2,000(degree)META GROUP, INC ................... 60 4,200(degree)METZLER GROUP, INC ................ 204 15,100(degree)NEUROMEDICAL SYSTEMS, INC ......... 4 3,700(degree)NFO WORLDWIDE, INC ................ 43 1,800(degree)NICHOLS RESEARCH CORP ............. 38 6,600(degree)PAREXEL INTERNATIONAL CORP ........ 165 4,300(degree)PHARMACEUTICAL PRODUCT DEVELOPMENT 129 2,300(degree)PROBUSINESS SERVICES, INC ......... 105 3,300(degree)PROFIT RECOVERY GROUP INTERNATIONAL 124 16,300(degree)QUINTILES TRANSNATIONAL CORP ...... 870 10,600(degree)RENAISSANCE WORLDWIDE, INC ........ 65 72,550 SERVICEMASTER CO ................... 1,601 6,500(degree)STAFF LEASING, INC ................ 76 1,900(degree)SUPERIOR CONSULTANT HOLDINGS CORP . 83 1,200 TEJON RANCH CO ..................... 24 8,250(degree)TETRA TECH, INC ................... 223 2,500(degree)URS CORP .......................... 58 3,000(degree)WACKENHUT CORRECTIONS CORP ........ 86 7,300(degree)WHITTMAN HART, INC ................ 202 ---------- 8,643 ---------- FABRICATED METAL PRODUCTS--0.81% 1,676(degree)ALLTRISTA CORP .................... 40 219 AMCAST INDUSTRIAL CORP ............. 4 3,500(degree)AMERICAN SAFETY RAZOR CO .......... 42 12,239 BALL CORP .......................... 560 2,652 BARNES GROUP, INC .................. 77 745 CHART INDUSTRIES, INC .............. 6 7,400(degree)COLEMAN CO, INC ................... 68 16,725 CRANE CO ........................... 505 29,853 CROWN CORK & SEAL CO, INC .......... 920 339,922 GILLETTE CO ........................ 16,422 5,500(degree)GRIFFON CORP ...................... 58 1,400(degree)GULF ISLAND FABRICATION, INC ...... 11 12,200 HARSCO CORP ........................ 371 19,413 MARK IV INDUSTRIES, INC ............ 252 100,622 MASCO CORP ......................... 2,893 1,500(degree)MATERIAL SCIENCES CORP ............ 13 7,400(degree)MILLER INDUSTRIES, INC ............ 33 3,000(degree)NCI BUILDING SYSTEMS, INC ......... 84 2,300(degree)NORTEK, INC ....................... 64 30,075 PARKER-HANNIFIN CORP ............... 985 3,550 PRIMEX TECHNOLOGIES, INC ........... 151 46,044 ROCKWELL INTERNATIONAL CORP ........ 2,236 40,700(degree)ROHN INDUSTRIES, INC .............. 140 5,500(degree)SILGAN HOLDINGS, INC .............. 153 15,650 SNAP-ON, INC ....................... 545 2,200(degree)SPS TECHNOLOGIES, INC ............. 125 18,400 STANLEY WORKS CO ................... 511 6,700 STRUM, RUGER & CO, INC ............. 80 13,800(degree)TOWER AUTOMOTIVE, INC ............. 344 6,700 VALMONT INDUSTRIES ................. 93 5,600 WATTS INDUSTRIES, INC (CLASS A) .... 93 7,700(degree)WYMAN-GORDON CO ................... 79 ---------- 27,958 ---------- FISHING, HUNTING, AND TRAPPING--0.00% 2,500(degree)ZAPATA CORP ....................... 31 ---------- FOOD AND KINDRED PRODUCTS--3.96% 12,200(degree)AGRIBIOTECH, INC .................. 158 5,160(degree)AGRIBRANDS INTERNATIONAL, INC ..... 155 4,200(degree)AMERICAN ITALIAN PASTA CO (CLASS A) 111 137,666 ANHEUSER BUSCH COS, INC ............ 9,034 174,800 ARCHER DANIELS MIDLAND CO .......... 3,004 5,200 (degree)BERINGER WINE ESTATES HOLDINGS, INC (CLASS B) ......................... 232 86,245 BESTFOODS, INC ..................... 4,593 4,105(degree)BOSTON BEER CO, INC (CLASS A) ..... 35 14,750 BROWN FORMAN, INC (CLASS B) ........ 1,116 4,000(degree)BUSH BOAKE ALLEN, INC ............. 141 66,551 CAMPBELL SOUP CO ................... 3,660 4,600 (degree)CANANDAIGUA BRANDS, INC (CLASS A) 266 14,200 CHIQUITA BRANDS INTERNATIONAL, INC . 136 1,100 COCA COLA BOTTLING CO CONSOLIDATED . 63 693,794 COCA COLA CO ....................... 46,397 67,400 COCA COLA ENTERPRISES, INC ......... 2,410 146,373 CONAGRA, INC ....................... 4,611 10,000 COORS (ADOLPH) CO (CLASS B) ........ 564 See notes to financial statements. 84 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- FOOD AND KINDRED PRODUCTS--(CONTINUED) 12,675 CORN PRODUCTS INTERNATIONAL, INC ... $ 385 11,200 DEAN FOODS CO ...................... 457 14,300 DOLE FOOD, INC ..................... 429 9,500 DREYERS GRAND ICE CREAM, INC ....... 144 15,860 EARTHGRAINS CO ..................... 491 100 FARMER BROTHERS CO ................. 21 28,350 FLOWERS INDUSTRIES, INC ............ 679 46,411 GENERAL MILLS, INC ................. 3,608 2,600(degree)HAIN FOOD GROUP, INC .............. 65 102,709 HEINZ (H.J.) CO .................... 5,816 27,737 HERSHEY FOODS CORP ................. 1,725 11,800 HORMEL FOODS CORP .................. 386 23,500 IBP, INC ........................... 684 6,800(degree)INTERNATIONAL HOME FOODS, INC ..... 115 11,100 INTERSTATE BAKERIES CORP ........... 293 5,900(degree)KEEBLER FOODS CO .................. 222 65,600 KELLOGG CO ......................... 2,239 10,050 LANCASTER COLONY CORP .............. 323 6,300 LANCE, INC ......................... 126 21,100 MCCORMICK & CO, INC (NON-VOTE) ..... 713 7,200 MICHAEL FOODS, INC ................. 216 17,500 NABISCO HOLDINGS CORP (CLASS A) .... 726 446,005 PEPSICO, INC ....................... 18,258 40,200 QUAKER OATS CO ..................... 2,392 10,500(degree)RALCORP HOLDINGS, INC ............. 192 83,000 RALSTON PURINA CO .................. 2,687 1,200 RIVIANA FOODS, INC ................. 30 97,883 RJR NABISCO HOLDINGS CORP .......... 2,906 2,500(degree)ROBERT MONDAVI CORP (CLASS A) ..... 102 276,000 SARA LEE CORP ...................... 7,780 9,100(degree)SMITHFIELD FOODS, INC ............. 308 6,800 SMUCKER (J.M.) CO (CLASS A) ........ 168 10,400(degree)SUIZA FOODS CORP .................. 530 100 TCBY ENTERPRISES, INC .............. 1 8,532 TOOTSIE ROLL INDUSTRIES, INC ....... 334 3,800(degree)TRIARC COS, INC ................... 61 34,500 TYSON FOODS, INC ................... 733 21,400 UNIVERSAL FOODS CORP ............... 587 6,800(degree)VLASIC FOODS INTERNATIONAL, INC ... 162 28,900 WHITMAN CORP ....................... 733 7,553(degree)WLR FOODS, INC .................... 68 1,200 WORTHINGTON FOODS, INC ............. 23 24,300 WRIGLEY (WM) JR CO ................. 2,176 ---------- 136,780 ---------- FOOD STORES--0.76% 64,589 ALBERTSONS, INC 4,114 81,246 AMERICAN STORES CO ................. 3,001 102,500 FOOD LION, INC (CLASS B) ........... 1,031 21,400(degree)GENERAL NUTRITION COS, INC ........ 348 8,000 GREAT ATLANTIC & PACIFIC TEA CO, INC 237 13,900 HANNAFORD BROTHERS, INC ............ 737 68,231(degree)KROGER CO ......................... 4,128 15,100 RUDDICK CORP ....................... 347 146,822(degree)SAFEWAY, INC ...................... 8,947 42,200(degree)SOUTHLAND CORP .................... 80 25,200(degree)STARBUCKS CORP .................... 1,414 3,400 WEIS MARKETS, INC .................. 132 8,000(degree)WHOLE FOODS MARKET, INC ........... 387 2,900(degree)WILD OATS MARKETS, INC ............ 91 25,936 WINN DIXIE STORES, INC ............. 1,164 ---------- 26,158 ---------- FORESTRY--0.03% 27,000 GEORGIA-PACIFIC CORP (TIMBER GROUP) $ 643 8,400 RAYONIER, INC ...................... 386 ---------- 1,029 ---------- FURNITURE AND FIXTURES--0.14% 3,300 BASSETT FURNITURE INDUSTRIES, INC .. 80 1,861 BUSH INDUSTRIES, INC (CLASS A) ..... 23 7,800 ETHAN ALLEN INTERIORS, INC ......... 320 14,600(degree)FURNITURE BRANDS INTERNATIONAL, INC 398 15,100 HON INDUSTRIES, INC ................ 361 10,000 KIMBALL INTERNATIONAL, INC (CLASS B) 190 3,300(degree)KNOLL, INC ........................ 98 13,100 LA-Z-BOY, INC ...................... 233 18,852(degree)LEAR CORP ......................... 726 55,420 LEGGETT & PLATT, INC ............... 1,219 23,800 MILLER (HERMAN), INC ............... 640 4,503(degree)OSULLIVAN INDUSTRIES HOLDINGS, INC 47 2,300 STEELCASE, INC ..................... 38 26,800 U.S. INDUSTRIES, INC ............... 499 ---------- 4,872 ---------- FURNITURE AND HOMEFURNISHINGS STORES--0.23% 29,400(degree)BED BATH & BEYOND, INC ............ 1,003 23,800(degree)BEST BUY, INC ..................... 1,461 13,500(degree)BOMBAY, INC ....................... 75 2,100(degree)CDNOW, INC ........................ 38 27,915 CIRCUIT CITY STORES-CIRCUIT CITY GROUP 1,394 8,900(degree)COMPUCOM SYSTEMS, INC ............. 31 31,500(degree)COMPUSA, INC ...................... 411 4,500(degree)GUITAR CENTER, INC ................ 111 1,000 HAVERTY FURNITURE COS, INC ......... 21 21,100 HEILIG MEYERS CO ................... 141 3,100(degree)INACOM CORP ....................... 46 18,200(degree)LINENS N THINGS, INC .............. 721 3,892(degree)MAXIM GROUP, INC .................. 93 9,078(degree)MUSICLAND STORES CORP ............. 136 3,100(degree)N2K, INC .......................... 40 29,055 PIER 1 IMPORTS, INC ................ 281 29,500 TANDY CORP ......................... 1,215 4,200(degree)TRANS WORLD ENTERTAINMENT CORP .... 80 11,900(degree)WILLIAMS-SONOMA, INC .............. 480 ---------- 7,778 ---------- GENERAL BUILDING CONTRACTORS--0.12% 17,078 CENTEX CORP ........................ 770 3,000(degree)CROSSMAN COMMUNITIES, INC ......... 83 13,337 HILLENBRAND INDUSTRIES, INC ........ 759 9,200 HORTON (D.R.), INC ................. 212 13,700 KAUFMAN & BROAD HOME CORP .......... 394 13,350 LENNAR CORP ........................ 337 2,900 MDC HOLDINGS, INC .................. 62 1,700(degree)NVR, INC .......................... 81 13,600 PULTE CORP ......................... 378 2,300 RYLAND GROUP, INC .................. 66 7,715 STANDARD-PACIFIC CORP .............. 109 15,800(degree)TOLL BROTHERS, INC ................ 356 5,413(degree)U.S. HOME CORP .................... 180 12,900(degree)WALTER INDUSTRIES, INC ............ 198 5,333 WEBB (DEL) CORP .................... 147 ---------- 4,132 ---------- See notes to financial statements. 85 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- GENERAL MERCHANDISE STORES--2.24% 5,000(degree)99 CENTS ONLY STORES .............. $ 246 6,800(degree)AMES DEPARTMENT STORES, INC ....... 184 11,000(degree)BJS WHOLESALE CLUB, INC ........... 509 1,300x(degree)CALDOR CORP ...................... 1 24,000 CASEYS GENERAL STORES, INC ......... 313 33,203(degree)CONSOLIDATED STORES CORP .......... 670 2,000(degree)COST PLUS, INC .................... 63 64,900(degree)COSTCO COS, INC ................... 4,685 132,700 DAYTON HUDSON CORP ................. 7,199 29,400 DILLARDS, INC (CLASS A) ............ 834 49,326 DOLLAR GENERAL CORP ................ 1,165 14,925(degree)DOLLAR TREE STORES, INC ........... 652 2,400(degree)ELDER BEERMAN STORES CORP ......... 28 39,800 FAMILY DOLLAR STORES, INC .......... 876 60,813(degree)FEDERATED DEPARTMENT STORES, INC .. 2,649 46,346(degree)FRED MEYER, INC ................... 2,792 2,000 FREDS, INC ......................... 30 15,700 HARCOURT GENERAL, INC .............. 835 11,700(degree)HOMEBASE, INC ..................... 75 146,598(degree)K MART CORP ....................... 2,245 42,500(degree)KOHLS CORP ........................ 2,611 69,200 MAY DEPARTMENT STORES CO ........... 4,178 14,500(degree)NEIMAN-MARCUS GROUP, INC .......... 362 65,898 PENNEY (J.C.) CO, INC .............. 3,089 41,703(degree)SAKS, INC ......................... 1,316 110,070 SEARS ROEBUCK & CO ................. 4,678 32,100(degree)SERVICE MERCHANDISE, INC .......... 9 13,400(degree)SHOPKO STORES, INC ................ 446 2,100(degree)VALUE CITY DEPARTMENT STORES, INC . 29 36,700(degree)VENATOR GROUP, INC ................ 236 421,121 WAL-MART STORES, INC ............... 34,295 ---------- 77,300 ---------- HEALTH SERVICES--0.61% 1,800(degree)ADVANCE PARADIGM, INC ............. 63 38,880 ALLEGIANCE CORP .................... 1,813 700(degree)AMERICAN HOMEPATIENT, INC ......... 1 7,700(degree)AMERICAN ONCOLOGY RESOURCES, INC .. 112 7,100(degree)AMERICAN RETIREMENT CORP .......... 111 6,500(degree)AMERIPATH, INC .................... 58 1,600(degree)APPLIED ANALYTICAL INDUSTRIES, INC 28 14,200(degree)APRIA HEALTHCARE GROUP, INC ....... 127 4,200(degree)ASSISTED LIVING CONCEPTS, INC ..... 55 28,272(degree)BEVERLY ENTERPRISES, INC .......... 191 3,836(degree)CAREMATRIX CORP ................... 117 1,700(degree)CENTENNIAL HEALTHCARE CORP ........ 26 9,400(degree)CLINTRIALS, INC ................... 37 35,700(degree)COASTAL PHYSICIAN GROUP, INC ...... 12 186,962 COLUMBIA/HCA HEALTHCARE CORP ....... 4,627 20,800(degree)CONCENTRA MANAGED CARE, INC ....... 222 26,778(degree)CORAM HEALTHCARE CORP ............. 50 17,550(degree)COVANCE, INC ...................... 511 14,300(degree)COVENTRY HEALTH CARE, INC ......... 126 3,000(degree)CURATIVE HEALTH SERVICES, INC ..... 101 13,284(degree)ENZO BIOCHEMICAL, INC ............. 137 9,700(degree)EXPRESS SCRIPTS, INC .............. 651 5,400x(degree)FPA MEDICAL MANAGEMENT, INC ...... 0 11,000(degree)GENESIS HEALTH VENTURES, INC ...... 96 23,750(degree)HCR MANOR CARE .................... 698 65,703(degree)HEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) NEW ..................... 1,421 127,309(degree)HEALTHSOUTH CORP .................. 1,965 2,700 HOOPER HOLMES, INC ................. 78 1,200(degree)IMPATH, INC ....................... 32 20,048(degree)INTEGRATED HEALTH SERVICES, INC ... 283 20,080(degree)LABORATORY CORP OF AMERICA HOLDINGS 28 244(degree)LABORATORY CORP OF AMERICA HOLDINGS WTS 04/28/00 ...................... 0 1,222(degree)LCA-VISION, INC ................... 2 14,600(degree)LINCARE HOLDINGS, INC ............. 592 190(degree)LTC HEALTHCARE, INC ............... 0 9,400(degree)MAGELLAN HEALTH SERVICES, INC ..... 79 33,899(degree)MARINER POST-ACUTE NETWORK, INC ... 155 58,119(degree)MEDPARTNERS, INC .................. 305 100(degree)NATIONAL HEALTHCARE CORP .......... 2 16,900(degree)NOVACARE, INC ..................... 42 9,000(degree)ORTHODONTIC CENTERS OF AMERICA, INC 175 4,200(degree)PEDIATRIX MEDICAL GROUP, INC ...... 252 26,525(degree)PHYCOR, INC ....................... 181 8,300(degree)PHYMATRIX CORP .................... 18 6,400(degree)PHYSICIAN RELIANCE NETWORK, INC ... 84 12,900(degree)PHYSICIANS RESOURCE GROUP, INC .... 1 1,600(degree)PROVINCE HEALTHCARE CO ............ 57 20,925(degree)PSS WORLD MEDICAL, INC ............ 481 16,875(degree)QUEST DIAGNOSTICS, INC ............ 301 21,950(degree)QUORUM HEALTH GROUP, INC .......... 284 12,300(degree)RENAL CARE GROUP, INC ............. 354 19,700(degree)SUN HEALTHCARE GROUP, INC ......... 129 91,473(degree)TENET HEALTHCARE CORP ............. 2,401 20,610(degree)TOTAL RENAL CARE HOLDINGS, INC .... 609 2,800(degree)UNITED PAYORS & UNITED PROVIDERS, INC 80 10,200(degree)UNIVERSAL HEALTH SERVICES, INC .... 529 12,615(degree)VENCOR, INC ....................... 57 ---------- 20,947 ---------- HEAVY CONSTRUCTION, EXCEPT BUILDING--0.05% 2,900(degree)DYCOM INDUSTRIES, INC ............. 166 21,052 FLUOR CORP ......................... 896 12,600 FOSTER WHEELER CORP ................ 166 4,000 GRANITE CONSTRUCTION, INC .......... 134 7,200(degree)INSITUFORM TECHNOLOGIES, INC (CLASS A) 104 2,700(degree)MASTEC, INC ....................... 57 6,984(degree)MORRSION KNUDSEN CORP ............. 68 3,800(degree)OMNIAMERICA, INC .................. 122 ---------- 1,713 ---------- HOLDING AND OTHER INVESTMENT OFFICES--1.09% 700(degree)ALEXANDERS, INC ................... 55 27,500 AMB PROPERTY CORP .................. 605 2,500(degree)AMERCO ............................ 70 11,400 AMERICAN HEALTH PROPERTIES, INC .... 235 2,900(degree)ANTHRACITE CAPITAL, INC ........... 23 29,800 APARTMENT INVESTMENT & MANAGEMENT CO ..................... 1,108 63,279 ARCHSTONE COMMUNITIES TRUST ........ 1,281 2,200(degree)ASSOCIATED ESTATES REALTY CORP .... 26 26,522 AVALONBAY COMMUNITIES, INC ......... 908 1,500 BEDFORD PROPERTY INVESTORS, INC .... 25 11,600 BOSTON PROPERTIES, INC ............. 354 2,300(degree)BOYKIN LODGING CO ................. 28 3,870 BRADLEY REAL ESTATE, INC ........... 79 8,000 BRANDYWINE REALTY TRUST ............ 143 15,000 BRE PROPERTIES, INC (CLASS A) ...... 371 3,200 BURNHAM PACIFIC PROPERTIES, INC .... 39 23,900 CAMDEN PROPERTY TRUST .............. 621 3,400 CAPITAL AUTOMOTIVE REIT ............ 51 42,272 CAPSTEAD MORTGAGE CORP ............. 174 See notes to financial statements. 86 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- HOLDING AND OTHER INVESTMENT OFFICES--(CONTINUED) 17,600 CARRAMERICA REALTY CORP ............ $ 422 9,400 CBL & ASSOCIATES PROPERTIES, INC ... 243 5,000 CCA PRISON REALTY TRUST ............ 103 1,400 CENTERPOINT PROPERTIES CORP ........ 47 1,000(degree)CENTERTRUST RETAIL PROPERTIES, INC 12 1,300(degree)CHARLES E. SMITH RESIDENTIAL REALTY 42 13,900 CHATEAU PROPERTIES, INC ............ 407 1,600 CHELSEA GCA REALTY, INC ............ 57 6,600(degree)COAST FEDERAL LITIGATION CONTINGENT RTS .................... 44 9,500 COLONIAL PROPERTIES TRUST .......... 253 26,900 CORNERSTONE PROPERTIES, INC ........ 420 10,072 COUSINS PROPERTIES, INC ............ 325 36,100 CRESCENT REAL ESTATE EQUITIES CO ... 830 1,040(degree)CRESECENT OPERATING, INC .......... 5 16,091 xCRIIMI MAE, INC .................... 56 24,800 DEVELOPERS DIVERSIFIED REALTY CORP . 440 33,684 DUKE REALTY INVESTMENTS, INC ....... 783 23,553 DYNEX CAPITAL, INC ................. 109 2,000 ENTERTAINMENT PROPERTIES TRUST ..... 34 3,600 EQUITY INNS, INC ................... 35 67,909 EQUITY OFFICE PROPERTIES TRUST ..... 1,630 31,968 EQUITY RESIDENTIAL PROPERTIES TRUST CO 1,293 13,400 FEDERAL REALTY INVESTMENT TRUST .... 317 29,604 FELCOR LODGING TRUST, INC .......... 683 17,300 FIRST INDUSTRIAL REALTY TRUST, INC . 464 3,200(degree)FIRST UNION REAL ESTATE INVESTMENTS 19 22,852 FRANCHISE FINANCE CORP OF AMERICA .. 548 2,900 GABLES RESIDENTIAL TRUST ........... 67 10,500 GENERAL GROWTH PROPERTIES, INC ..... 398 1,300(degree)GETTY REALTY HOLDINGS CORP ........ 19 10,500 GLENBOROUGH REALTY TRUST, INC ...... 214 12,100 GLIMCHER REALTY TRUST .............. 190 500 GOLF TRUST OF AMERICA, INC ......... 14 900 GREAT LAKES REIT, INC .............. 14 10,200 HEALTH CARE PROPERTY INVESTORS, INC 314 6,142 HEALTH CARE REIT, INC .............. 159 9,200 HEALTHCARE REALTY TRUST, INC ....... 205 26,000 HIGHWOODS PROPERTIES, INC .......... 670 2,400(degree)HOME PROPERTIES OF NEW YORK, INC .. 62 15,600 HOSPITALITY PROPERTIES TRUST ....... 376 46,200 HRPT PROPERTIES TRUST .............. 650 1,800(degree)IMPAC MORTGAGE HOLDINGS, INC ...... 8 6,700 IMPERIAL CREDIT COMMERCIAL MORTGAGE INVESTMENT CORP .......... 63 45,546 INDYMAC MORTGAGE HOLDINGS, INC ..... 481 3,800 INNKEEPERS U.S.A. TRUST ............ 45 2,300 IRT PROPERTY CO .................... 23 3,800 IRVINE APARTMENT COMMUNITIES, INC .. 121 12,150 JDN REALTY CORP .................... 262 11,200 KILROY REALTY CORP ................. 258 18,450 KIMCO REALTY CORP .................. 732 2,700 KOGER EQUITY, INC .................. 46 2,200 LEXINGTON CORPORATE PROPERTIES TRUST .................. 28 29,200 LIBERTY PROPERTY TRUST CO .......... 719 3,300 LTC PROPERTIES, INC ................ 55 11,700 MACERICH CO ........................ 300 18,700 MACK-CALI REALTY CORP .............. 577 8,800 MANUFACTURED HOME COMMUNITIES, INC .................. 221 36,163 MEDITRUST CORP PAIRED .............. 547 4,300 MERIDIAN INDUSTRIAL TRUST, INC ..... 101 13,900 MERISTAR HOSPITALITY CORP .......... 258 676(degree)MERRY LAND PROPERTIES, INC ........ 2 600 MGI PROPERTIES, INC ................ 17 2,400 MILLS CORP ......................... 48 1,900 NATIONAL GOLF PROPERTIES, INC ...... 55 7,400 NATIONAL HEALTH INVESTORS, INC ..... 183 17,100 NATIONWIDE HEALTH PROPERTIES, INC .. 369 30,291 NEW PLAN EXCEL REALTY TRUST ........ 672 7,300 OMEGA HEALTHCARE INVESTORS, INC .... 220 700 PARKWAY PROPERTIES, INC ............ 22 38,282 PATRIOT AMERICAN HOSPITALITY, INC .. 230 7,000(degree)PEC ISRAEL ECONOMIC CORP .......... 201 13,900 POST PROPERTIES, INC ............... 534 21,600 PRENTISS PROPERTIES TRUST .......... 482 2,800 PRIME RETAIL, INC .................. 27 21,263 PROLOGIS TRUST ..................... 441 3,100 PS BUSINESS PARKS, INC ............. 74 33,500 PUBLIC STORAGE, INC ................ 907 20,700 REALTY INCOME CORP ................. 515 11,700 RECKSON ASSOCIATES REALTY CORP ..... 260 5,303 REDWOOD TRUST, INC ................. 74 11,700 RFS HOTEL INVESTORS, INC ........... 143 10,700 SHURGARD STORAGE CENTERS, INC ...... 276 40,356 SIMON PROPERTY GROUP, INC .......... 1,150 3,800 SL GREEN REALTY CORP ............... 82 700(degree)SOVRAN SELF STORAGE, INC .......... 18 22,500 SPIEKER PROPERTIES, INC ............ 779 14,700 STARWOOD FINANCIAL TRUST ........... 882 53,806 STARWOOD HOTELS & RESORTS TRUST .... 1,221 3,200(degree)STORAGE TRUST REALTY .............. 75 11,400 STORAGE U.S.A., INC ................ 368 700(degree)SUMMIT PROPERTIES, INC ............ 12 500 SUN COMMUNITIES, INC ............... 17 7,548 SUNSTONE HOTEL INVESTORS, INC ...... 71 500 TANGER FACTORY OUTLET CENTERS, INC . 11 17,000 TAUBMAN CENTERS, INC ............... 234 2,500(degree)THORNBURG MORTGAGE ASSET CORP ..... 19 1,800 TOWER REALTY TRUST, INC ............ 36 1,000 TOWN & COUNTRY TRUST ............... 16 6,700 TRINET CORPORATE REALTY TRUST, INC . 179 2,100 U.S. RESTAURANT PROPERTIES, INC .... 51 55,918 UNITED DOMINION REALTY TRUST, INC .. 577 1,000 URBAN SHOPPING CENTERS, INC ........ 33 17,315(degree)VENTAS, INC ....................... 211 975(degree)VORNADO OPERATING CO .............. 8 19,500 VORNADO REALTY TRUST ............... 658 1,600(degree)WALDEN RESIDENTIAL PROPERTIES, INC 33 21,400 WASHINGTON REAL ESTATE INVESTMENT TRUST .................. 399 3,600 WEEKS CORP ......................... 101 8,900 WEINGARTEN REALTY INVESTORS, INC ... 397 8,100(degree)WELLSFORD REAL PROPERTIES, INC .... 84 2,700 WESTERN INVESTMENT REAL ESTATE TRUST ...................... 32 13,000 WESTFIELD AMERICA, INC ............. 224 ---------- 37,744 ---------- HOTELS AND OTHER LODGING PLACES--0.25% 9,300(degree)AZTAR CORP ........................ 47 4,675(degree)BRISTOL HOTELS & RESORTS, INC ..... 29 258,667(degree)CENDANT CORP ...................... 4,931 14,600(degree)CHOICE HOTELS INTERNATIONAL, INC .. 200 24,676(degree)CIRCUS CIRCUS ENTERPRISES, INC .... 282 4,510(degree)CRESTLINE CAPITAL CORP ............ 66 See notes to financial statements. 87 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- HOTELS AND OTHER LODGING PLACES--(CONTINUED) 17,800(degree)EXTENDED STAY AMERICA, INC ........ $ 187 54,302 HILTON HOTELS CORP ................. 1,039 9,046(degree)HOMESTEAD VILLAGE, INC ............ 41 7,000(degree)LODGIAN, INC ...................... 34 1,500(degree)MARCUS CORP ....................... 24 13,900(degree)MERISTAR HOTELS & RESORTS, INC .... 36 3,171(degree)MGM GRAND, INC .................... 86 3,600(degree)PRIMADONNA RESORTS, INC ........... 32 21,300(degree)PRIME HOSPITALITY CORP ............ 225 24,287(degree)PROMUS HOTEL CORP ................. 786 8,500(degree)RED ROOF INNS, INC ................ 143 500(degree)SUBURBAN LODGES OF AMERICA, INC ... 4 7,833(degree)SUNBURST HOSPITALITY CORP ......... 33 7,700(degree)SUNTERRA CORP ..................... 116 5,100(degree)TRUMP HOTEL & CASINO RESORT, INC .. 19 7,600(degree)VAIL RESORTS, INC ................. 167 3,900(degree)VISTANA, INC ...................... 55 ---------- 8,582 ---------- INDUSTRIAL MACHINERY AND EQUIPMENT--7.25% 108,240(degree)3COM CORP ......................... 4,851 7,200(degree)3DFX INTERACTIVE, INC ............. 91 31,450(degree)ADAPTEC, INC ...................... 552 1,000(degree)AG-CHEM EQUIPMENT CO, INC ......... 11 21,000 AGCO CORP .......................... 165 2,376 ALAMO GROUP, INC ................... 27 2,200 ALLIED PRODUCTS CORP ............... 14 19,927(degree)AMERICAN STANDARD COS, INC ........ 717 4,000(degree)APEX PC SOLUTIONS, INC ............ 116 40,100(degree)APPLE COMPUTER, INC ............... 1,642 111,260(degree)APPLIED MATERIALS, INC ............ 4,749 13,820 APPLIED POWER, INC (CLASS A) ....... 522 1,400(degree)ASTEC INDUSTRIES, INC ............. 78 2,300(degree)ASYST TECHNOLOGIES, INC ........... 47 4,700(degree)ATMI, INC ......................... 119 12,600(degree)AUSPEX SYSTEMS, INC ............... 55 10,100(degree)AUTOTOTE CORP (CLASS A) ........... 20 85,135 BAKER HUGHES, INC .................. 1,506 10,500(degree)BANCTEC, INC ...................... 132 3,900(degree)BELL & HOWELL CO .................. 147 26,273 BLACK & DECKER CORP ................ 1,473 5,900(degree)BLACK BOX CORP .................... 223 29,093 BRUNSWICK CORP ..................... 720 10,100(degree)C-CUBE MICROSYSTEMS, INC .......... 274 37,576(degree)CABLETRON SYSTEMS, INC ............ 315 2,238 CASCADE CORP ....................... 35 21,000 CASE CORP .......................... 458 108,808 CATERPILLAR, INC ................... 5,005 18,400(degree)CIRRUS LOGIC, INC ................. 181 477,755(degree)CISCO SYSTEMS, INC ................ 44,342 14,100(degree)COLTEC INDUSTRIES, INC ............ 275 2,700 COLUMBUS MCKINNON CORP ............. 49 517,710 COMPAQ COMPUTER CORP ............... 21,711 14,414(degree)COOPER CAMERON CORP ............... 353 20,500(degree)COPYTELE, INC ..................... 26 9,800 CUMMINS ENGINE CO, INC ............. 348 2,200(degree)CUNO, INC ......................... 36 2,500(degree)CYLINK CORP ....................... 9 16,400(degree)DATA GENERAL CORP ................. 270 71,217 DEERE & CO ......................... 2,359 326,180(degree)DELL COMPUTER CORP ................ 23,872 5,100(degree)DETROIT DIESEL CORP ............... 106 2,100(degree)DIALOGIC CORP ..................... 41 7,500(degree)DIAMOND MULTIMEDIA SYSTEMS, INC ... 48 19,875 DIEBOLD, INC ....................... 709 3,000(degree)DIGI INTERNATIONAL, INC ........... 33 10,000 DONALDSON CO, INC .................. 208 65,500 DOVER CORP ......................... 2,399 400(degree)DRIL-QUIP, INC .................... 7 2,600 DT INDUSTRIES, INC ................. 41 8,500(degree)ELECTROGLAS, INC .................. 100 151,138(degree)EMC CORP .......................... 12,847 6,700(degree)ENCAD, INC ........................ 24 2,700(degree)ESTERLINE CORP .................... 59 6,100(degree)ETEC SYSTEMS, INC ................. 244 17,300(degree)EXABYTE CORP ...................... 95 4,600(degree)FEDDERS CORP ...................... 27 13,705 FLOWSERVE CORP ..................... 227 11,000(degree)FSI INTERNATIONAL, INC ............ 114 800(degree)GARDNER DENVER, INC ............... 12 20,730(degree)GATEWAY 2000, INC ................. 1,061 300(degree)GLEASON CORP ...................... 5 15,100(degree)GLOBAL INDUSTRIAL TECHNOLOGIES, INC 161 5,550 GRACO, INC ......................... 164 15,200 HARNISCHFEGER INDUSTRIES, INC ...... 155 267,267 HEWLETT-PACKARD CO ................. 18,258 3,000(degree)HORIZON OFFSHORE, INC ............. 17 18,800 HUSSMANN INTERNATIONAL, INC ........ 364 100(degree)HYPERCOM CORP ..................... 1 7,900 IDEX CORP .......................... 194 11,100(degree)IN FOCUS SYSTEMS, INC ............. 99 47,800 INGERSOLL-RAND CO .................. 2,244 5,900(degree)INTEGRATED PROCESS EQUIPMENT CORP . 63 282,428 *INTERNATIONAL BUSINESS MACHINES CORP 52,179 82,061(degree)IOMEGA CORP ....................... 600 6,200(degree)IONICS, INC ....................... 186 12,100 JLG INDUSTRIES, INC ................ 189 500(degree)JTS CORP .......................... 0 9,800 KAYDON CORP ........................ 393 10,013 KENNAMETAL, INC .................... 213 1,700(degree)KRONOS, INC ....................... 75 6,600(degree)KULICHE & SOFFA INDUSTRIES, INC ... 117 10,700(degree)LAM RESEARCH CORP ................. 191 18,300(degree)LEXMARK INTERNATIONAL GROUP (CLASS A) 1,839 6,200 LINCOLN ELECTRIC HOLDINGS CO ....... 138 1,600 LINDSAY MANUFACTURING CO ........... 24 4,900 MANITOWOC, INC ..................... 217 9,700(degree)MICRON ELECTRONICS, INC ........... 168 3,900(degree)MICROS SYSTEMS, INC ............... 128 9,900 MILACRON, INC ...................... 191 120,700 MINNESOTA MINING & MANUFACTURING CO 8,585 4,700(degree)MTI TECHNOLOGY CORP ............... 21 2,600 NACCO INDUSTRIES, INC (CLASS A) .... 239 4,200(degree)NATIONAL INSTRUMENTS CORP ......... 143 7,500(degree)NETWORK EQUIPMENT TECHNOLOGIES, INC 77 3,900 NORDSON CORP ....................... 200 10,000(degree)NOVELLUS SYSTEMS, INC ............. 495 4,100 OMNIQUIP INTERNATIONAL, INC ........ 62 35,200 PALL CORP .......................... 891 8,625(degree)PAXAR CORP ........................ 77 10,800 PENTAIR, INC ....................... 430 81,400 PITNEY BOWES, INC .................. 5,377 6,700(degree)PRESSTEK, INC ..................... 46 4,500(degree)PRI AUTOMATION, INC ............... 117 44,735(degree)QUANTUM CORP ...................... 951 See notes to financial statements. 88 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- INDUSTRIAL MACHINERY AND EQUIPMENT--(CONTINUED) 8,500 ROPER INDUSTRIES, INC .............. $ 173 6,400(degree)SANDISK CORP ...................... 90 72,917(degree)SEAGATE TECHNOLOGY, INC ........... 2,206 11,750(degree)SECURITY DYNAMICS TECHNOLOGIES, INC 270 12,200(degree)SEQUENT COMPUTER SYSTEMS, INC ..... 147 6,000(degree)SHIVA CORP ........................ 34 53,068(degree)SILICON GRAPHICS, INC ............. 683 8,800(degree)SILICON VALLEY GROUP, INC ......... 112 6,050(degree)SLI, INC .......................... 168 14,600(degree)SMITH INTERNATIONAL, INC .......... 368 1,200(degree)SPECIALTY EQUIPMENT COS, INC ...... 32 2,600(degree)SPEEDFAM INTERNATIONAL, INC ....... 45 7,300(degree)SPLASH TECHNOLOGY HOLDINGS, INC ... 54 10,900 STANDEX INTERNATIONAL CORP ......... 286 29,200(degree)STORAGE TECHNOLOGY CORP ........... 1,038 17,250 SYMBOL TECHNOLOGIES, INC ........... 1,103 8,400 TECUMSEH PRODUCTS CO (CLASS A) ..... 392 6,800(degree)TELXON CORP ....................... 94 2,000 TENNANT CO ......................... 80 46,030 TENNECO, INC ....................... 1,568 5,460(degree)TEREX CORP ........................ 156 3,700(degree)THERMO FIBERTEK, INC .............. 26 12,963 TIMKEN CO .......................... 245 4,400 TORO CO ............................ 125 27,706 TYCO INTERNATIONAL LTD ............. 2,090 48,756(degree)U.S. FILTER CORP .................. 1,115 3,700(degree)ULTRATECH STEPPER, INC ............ 59 77,274(degree)UNISYS CORP ....................... 2,661 19,300(degree)UNOVA, INC ........................ 350 18,700(degree)VARCO INTERNATIONAL, INC .......... 145 7,700 VARIAN ASSOCIATES, INC ............. 292 5,400(degree)VISUAL NETWORKS, INC .............. 203 4,738 WATSCO, INC ........................ 79 25,800(degree)WESTERN DIGITAL CORP .............. 389 6,400(degree)XIRCOM, INC ....................... 218 10,800 YORK INTERNATIONAL CORP ............ 441 6,700(degree)ZEBRA TECHNOLOGY CORP ............. 193 ---------- 250,311 ---------- INSTRUMENTS AND RELATED PRODUCTS--2.25% 4,636(degree)ACUSON CORP ....................... 69 4,800(degree)ADAC LABORATORIES, INC ............ 96 1,300(degree)ADE CORP .......................... 17 8,200(degree)AFFYMETRIX, INC ................... 200 8,400(degree)ALARIS MEDICAL, INC ............... 49 700(degree)ANACOMP, INC ...................... 13 400(degree)ANALOGIC CORP ..................... 15 4,400 ARROW INTERNATIONAL, INC ........... 138 13,100(degree)ARTERIAL VASCULAR ENGINEERING, INC 688 10,200(degree)AVID TECHNOLOGIES, INC ............ 238 7,500 BALLARD MEDICAL PRODUCTS CO ........ 182 16,313 BARD (C.R.), INC ................... 807 15,200 BAUSCH & LOMB, INC ................. 912 85,113 BAXTER INTERNATIONAL, INC .......... 5,474 2,200 BAXTER INTERNATIONAL, INC RTS ...... 0 11,500 BECKMAN COULTER, INC ............... 624 74,078 BECTON DICKINSON & CO .............. 3,162 633(degree)BIO-RAD LABORATORIES, INC (CLASS A) 13 29,400 BIOMET, INC ........................ 1,183 73,942(degree)BOSTON SCIENTIFIC CORP ............ 1,983 1,600 x(degree)CELLPRO, INC ................ 0 24,166(degree)CHYRON CORP ....................... 45 800(degree)CLOSURE MEDICAL CORP .............. 24 13,300(degree)CNS, INC .......................... 46 10,100(degree)COGNEX CORP ....................... 202 5,600(degree)COHERENT, INC ..................... 70 2,100 COHU, INC .......................... 46 5,300(degree)COLE NATIONAL CORP (CLASS A) ...... 91 2,600(degree)CONMED CORP ....................... 86 3,600(degree)COOPER COS, INC ................... 74 6,500(degree)CREDENCE SYSTEMS CORP ............. 120 7,600(degree)CYMER, INC ........................ 111 4,500(degree)CYTYC CORP ........................ 116 9,300(degree)DATASCOPE CORP .................... 214 12,500 DENTSPLY INTERNATIONAL, INC ........ 322 9,000(degree)DIONEX CORP ....................... 330 4,900(degree)DYNATECH CORP ..................... 13 97,919 EASTMAN KODAK CO ................... 7,050 1,800(degree)FOSSIL, INC ....................... 52 6,283 FRESENIUS MEDICAL CARE AG. ADR ..... 148 12,800(degree)GENRAD, INC ....................... 202 45,306 GUIDANT CORP ....................... 4,995 9,000(degree)HAEMONETICS CORP .................. 205 3,300(degree)HANGER ORTHOPEDIC GROUP, INC ...... 74 1,700(degree)HOLOGIC, INC ...................... 21 37,100 HONEYWELL, INC ..................... 2,794 13,800(degree)INPUT/OUTPUT, INC ................. 101 8,800 INVACARE CORP ...................... 211 3,200(degree)ISOLYSER CO, INC .................. 3 22,000 JOHNSON CONTROLS, INC .............. 1,298 26,200(degree)KLA-TENCOR CORP ................... 1,136 9,100(degree)LITTON INDUSTRIES, INC ............ 594 24,500(degree)LTX CORP .......................... 63 3,000(degree)MAXXIM MEDICAL, INC ............... 89 140,763 MEDTRONIC, INC ..................... 10,452 7,700 MENTOR CORP ........................ 180 10,888(degree)METTLER-TOLEDO INTERNATIONAL, INC . 306 16,100 MILLIPORE CORP ..................... 458 300(degree)MINE SAFETY APPLIANCE CO .......... 21 2,000(degree)MINIMED, INC ...................... 210 1,300 MOVADO GROUP, INC .................. 35 2,000 MTS SYSTEMS CORP ................... 27 1,200(degree)NOVOSTE CORP ...................... 34 6,900(degree)OAKLEY, INC ....................... 65 1,800(degree)OCULAR SCIENCES, INC .............. 48 2,700(degree)OEC MEDICAL SYSTEMS, INC .......... 85 1,100(degree)PERCLOSE, INC ..................... 36 14,200 PERKIN-ELMER CORP .................. 1,385 3,100(degree)PINNACLE SYSTEMS, INC ............. 111 10,100 POLAROID CORP ...................... 189 26,588 RAYTHEON CO (CLASS A) .............. 1,374 74,500 RAYTHEON CO (CLASS B) .............. 3,967 3,100(degree)RESMED, INC ....................... 141 8,100(degree)RESPIRONICS, INC .................. 162 1,800(degree)SABRATEK CORP ..................... 29 2,900(degree)SCOTT TECHNOLOGIES, INC ........... 48 9,800(degree)SEPRACOR, INC ..................... 864 7,000(degree)SOFAMOR DANEK GROUP, INC .......... 852 8,500(degree)SOLA INTERNATIONAL, INC ........... 147 7,333(degree)SONOSITE, INC ..................... 76 24,512(degree)ST. JUDE MEDICAL, INC ............. 679 18,420(degree)STERIS CORP ....................... 524 21,200 STRYKER CORP ....................... 1,167 18,950(degree)SUMMIT TECHNOLOGY, INC ............ 83 12,700(degree)SUNRISE MEDICAL, INC .............. 158 28,600(degree)SYBRON INTERNATIONAL CORP ......... 778 See notes to financial statements. 89 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- INSTRUMENTS AND RELATED PRODUCTS--(CONTINUED) 12,300(degree)TAVA TECHNOLOGIES, INC ............ $ 94 14,750 TEKTRONIX, INC ..................... 443 25,500(degree)TERADYNE, INC ..................... 1,081 7,500(degree)THERMEDICS, INC ................... 81 5,800(degree)THERMO CARDIOSYSTEMS, INC ......... 61 48,650(degree)THERMO ELECTRON CORP .............. 824 3,968(degree)THERMO INSTRUMENT SYSTEMS, INC .... 60 2,300(degree)THERMO OPTEK CORP ................. 20 11,422(degree)THERMO VISION CORP ................ 36 4,100(degree)THERMOQUEST CORP .................. 53 2,600(degree)THERMOTREX CORP ................... 22 9,400(degree)TRIMBLE NAVIGATION LTD ............ 68 2,900(degree)VEECO INSTRUMENTS, INC ............ 154 2,000(degree)VENTANA MEDICAL SYSTEMS, INC ...... 43 3,800(degree)VISX, INC ......................... 332 7,000(degree)VIVUS, INC ........................ 18 8,800(degree)WATERS CORP ....................... 768 2,300(degree)WESLEY JESSEN VISIONCARE, INC ..... 64 15,600 X RITE, INC ........................ 121 99,000 XEROX CORP ......................... 11,682 1,950(degree)XOMED SURGICAL PRODUCTS, INC ...... 62 ---------- 77,587 ---------- INSURANCE AGENTS, BROKERS AND SERVICE--0.15% 1,100 BALDWIN & LYONS, INC (CLASS B) ..... 27 2,772 BLANCH (E.W.) HOLDINGS, INC ........ 131 5,859 CRAWFORD & CO (CLASS B) ............ 90 17,200(degree)FIRST HEALTH GROUP CORP ........... 285 4,600 GALLAGHER (ARTHUR J.) & CO ......... 203 2,200 HILB, ROGAL & HAMILTON CO .......... 44 75,380 MARSH & MCLENNAN COS, INC .......... 4,405 2,000 POE & BROWN, INC ................... 70 ---------- 5,255 ---------- INSURANCE CARRIERS--4.95% 22,400 20TH CENTURY INDUSTRIES ............ 519 5,983(degree)ACCEPTANCE INSURANCE COS, INC ..... 121 7,226 AEGON NV ARS ....................... 883 41,594 AETNA, INC ......................... 3,270 79,940 AFLAC, INC ......................... 3,517 6,100 ALFA CORP .......................... 148 1,300(degree)ALLEGHANY CORP (DELAWARE) ......... 244 17,356 ALLMERICA FINANCIAL CORP ........... 1,004 232,516 ALLSTATE CORP ...................... 8,981 16,363 AMBAC FINANCIAL GROUP, INC ......... 985 4,100 AMERICAN ANNUITY GROUP, INC ........ 94 12,600 AMERICAN BANKERS INSURANCE GROUP, INC ........................ 610 14,200 AMERICAN FINANCIAL GROUP, INC ...... 623 79,532 AMERICAN GENERAL CORP .............. 6,203 4,038 AMERICAN HERITAGE LIFE INVESTMENT CORP ................... 99 317,415 AMERICAN INTERNATIONAL GROUP, INC .. 30,670 5,500 AMERICAN MEDICAL SECURITY GROUP .... 79 1,500 AMERICAN NATIONAL INSURANCE CO ..... 124 10,100(degree)AMERIN CORP ....................... 239 3,800 AMERUS LIFE HOLDINGS, INC (CLASS A) 85 43,851 AON CORP ........................... 2,428 6,400 ARGONAUT GROUP, INC ................ 157 6,000 ARM FINANCIAL GROUP, INC (CLASS A) . 133 9,350 BERKLEY (W.R.) CORP ................ 318 79 (degree)BERKSHIRE HATHAWAY, INC (CLASS A) 5,530 22 (degree)BERKSHIRE HATHAWAY, INC (CLASS B) 52 6,000 CAPITAL RE CORP .................... 120 1,277 CHARTWELL RE CORP .................. 30 3,900 CHICAGO TITLE CORP ................. 183 49,200 CHUBB CORP ......................... 3,192 63,537 CIGNA CORP ......................... 4,912 46,509 CINCINNATI FINANCIAL CORP .......... 1,703 691,771 CITIGROUP, INC ..................... 34,243 6,900 CMAC INVESTMENT CORP ............... 317 9,000(degree)CNA FINANCIAL CORP ................ 362 5,018 CNA SURETY CORP .................... 79 7,900 COMMERCE GROUP, INC ................ 280 93,377 CONSECO, INC ....................... 2,854 8,115(degree)DELPHI FINANCIAL GROUP, INC ....... 426 11,000 ENHANCE FINANCIAL SERVICES GROUP, INC 330 26,700 EQUITABLE COS, INC ................. 1,545 19,000 ERIE INDEMNITY CO (CLASS A) ........ 594 13,200 EVEREST REINSURANCE HOLDINGS, INC .. 514 3,800 EXECUTIVE RISK, INC ................ 209 9,400 FBL FINANCIAL GROUP, INC (CLASS A) . 228 6,490 FIDELITY NATIONAL FINANCIAL, INC ... 198 10,200 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD ...................... 553 13,800 FIRST AMERICAN FINANCIAL CORP ...... 443 5,300 FOREMOST CORP OF AMERICA ........... 111 31,371(degree)FOUNDATION HEALTH SYSTEMS (CLASS A) 374 1,800(degree)FPIC INSURANCE GROUP, INC ......... 86 14,400 FREMONT GENERAL CORP ............... 356 9,570 FRONTIER INSURANCE GROUP, INC ...... 123 4,700 HARLEYSVILLE GROUP, INC ............ 121 65,900 HARTFORD FINANCIAL SERVICES GROUP, INC ........................ 3,616 10,900 HARTFORD LIFE, INC (CLASS A) ....... 635 10,700 HCC INSURANCE HOLDINGS, INC ........ 189 9,150(degree)HIGHLANDS INSURANCE GROUP, INC .... 120 14,600 HORACE MANN EDUCATORS CORP ......... 416 8,550 HSB GROUP, INC ..................... 351 46,675(degree)HUMANA, INC ....................... 831 31,175 JEFFERSON-PILOT CORP ............... 2,338 100(degree)KANSAS CITY LIFE INSURANCE CO ..... 8 4,100 LANDAMERICA FINANCIAL GROUP, INC ... 229 4,300 LIBERTY CORP ....................... 212 4,800 LIBERTY FINANCIAL COS, INC ......... 130 2,600 LIFE U.S.A. HOLDINGS, INC .......... 33 29,200 LINCOLN NATIONAL CORP .............. 2,389 21,466 LOEWS CORP ......................... 2,109 1,200(degree)MARKEL CORP ....................... 217 11,800(degree)MAXICARE HEALTH PLANS, INC ........ 63 29,494 MBIA, INC .......................... 1,934 7,569(degree)MEDICAL ASSURANCE, INC ............ 250 7,400 MERCURY GENERAL CORP ............... 324 33,500 MGIC INVESTMENT CORP ............... 1,334 11,900 (degree)MID ATLANTIC MEDICAL SERVICES, INC 117 2,200 MMI COS, INC ....................... 37 8,700 NAC RE CORP ........................ 408 7,300 NATIONWIDE FINANCIAL SERVICES, INC (CLASS A) ......................... 377 8,600 OHIO CASUALTY CORP ................. 354 40,425 OLD REPUBLIC INTERNATIONAL CORP .... 910 8,800 ORION CAPITAL CORP ................. 350 24,800(degree)OXFORD HEALTH PLANS, INC .......... 369 824(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS A) 60 10,579(degree)PACIFICARE HEALTH SYSTEMS, INC (CLASS B) 841 300(degree)PENN TREATY AMERICAN CORP ......... 8 See notes to financial statements. 90 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- INSURANCE CARRIERS--(CONTINUED) 10,300 PENNCORP FINANCIAL GROUP, INC ...... $ 10 1,000 PMA CAPITAL CORP (CLASS A) ......... 20 6,200 PMI GROUP, INC ..................... 306 12,800 PRESIDENTIAL LIFE CORP ............. 254 12,916 PROGRESSIVE CORP ................... 2,188 16,900 PROTECTIVE LIFE CORP ............... 673 24,708 PROVIDENT COS, INC ................. 1,025 1,700 PXRE CORP .......................... 43 8,800 REINSURANCE GROUP OF AMERICA, INC .. 616 17,700 RELIANCE GROUP HOLDINGS, INC ....... 228 26,301 RELIASTAR FINANCIAL CORP ........... 1,213 2,600(degree)RISK CAPITAL HOLDINGS, INC ........ 57 1,000 RLI CORP ........................... 33 40,800 SAFECO CORP ........................ 1,752 2,600 SCPIE HOLDINGS, INC ................ 79 9,200 SELECTIVE INSURANCE GROUP, INC ..... 185 7,200(degree)SIERRA HEALTH SERVICES, INC ....... 152 68,181 ST. PAUL COS, INC .................. 2,369 2,600 STATE AUTO FINANCIAL CORP .......... 32 1,500 STEWART INFORMATION SERVICES CORP .. 87 45,965 SUNAMERICA, INC .................... 3,729 12,900 TIG HOLDINGS, INC .................. 201 41,600 TORCHMARK CORP ..................... 1,469 17,800 TRANSAMERICA CORP .................. 2,056 5,250 TRANSATLANTIC HOLDINGS, INC ........ 397 15,200 TRAVELERS PROPERTY CASUALTY CORP ... 471 2,300 TRENWICK GROUP, INC ................ 75 3,000(degree)TRIAD GUARANTY, INC ............... 66 12,400(degree)TRIGON HEALTHCARE, INC ............ 463 10,300(degree)UICI .............................. 252 600 UNITED FIRE & CASULTY CO ........... 20 50,900 UNITED HEALTHCARE CORP ............. 2,192 5,500 UNITED WISCONSIN SERVICES, INC ..... 48 8,000 UNITRIN, INC ....................... 574 41,200 UNUM CORP .......................... 2,405 5,400 VESTA INSURANCE GROUP, INC ......... 32 20,434(degree)WELLPOINT HEALTH NETWORKS, INC .... 1,778 ---------- 170,711 ---------- LEATHER AND LEATHER PRODUCTS--0.02% 19,000 JUSTIN INDUSTRIES, INC ............. 249 8,400(degree)NINE WEST GROUP, INC .............. 131 2,134(degree)SAMSONITE CORP .................... 12 10,500 STRIDE RITE CORP ................... 92 1,000(degree)TIMBERLAND CO ..................... 46 17,362 WOLVERINE WORLD WIDE, INC .......... 230 ---------- 760 ---------- LEGAL SERVICES--0.01% 12,900(degree)PREPAID LEGAL SERVICES, INC ....... 426 ---------- LOCAL AND INTERURBAN PASSENGER TRANSIT--0.01% 8,000 (degree)COACH U.S.A., INC ........... 278 10,180(degree)GREYHOUND LINES, INC .............. 60 2,600(degree)RURAL/METRO CORP .................. 28 ---------- 366 ---------- LUMBER AND WOOD PRODUCTS--0.20% 1,400(degree)ABT BUILDING PRODUCTS CORP ........ 14 1,700(degree)AMERICAN HOMESTAR CORP ............ 26 6,177 CAVALIER HOMES, INC ................ 70 12,100(degree)CHAMPION ENTERPRISES, INC ......... 331 28,520 CLAYTON HOMES, INC ................. 394 14,857 DELTIC TIMBER CORP ................. 303 27,300 GEORGIA-PACIFIC CORP (PACKAGING GROUP) ................. 1,599 31,800 LOUISIANA PACIFIC CORP ............. 582 12,200 OAKWOOD HOMES CORP ................. 185 8,750(degree)PALM HARBOR HOMES, INC ............ 220 6,400 TJ INTERNATIONAL, INC .............. 164 2,400 UNIVERSAL FOREST PRODUCTS, INC ..... 48 58,597 WEYERHAEUSER CO .................... 2,977 ---------- 6,913 ---------- METAL MINING--0.13% 67,014 BATTLE MOUNTAIN GOLD CO ............ 276 7,800 CLEVELAND CLIFFS, INC .............. 314 4,500(degree)COEUR DALENE MINES CORP ........... 21 38,400 CYPRUS AMAX MINERALS CO ............ 384 17,692 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS A) ............... 171 29,233 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) ............... 305 10,391(degree)GETCHELL GOLD CORP ................ 283 21,400(degree)HECLA MINING CO ................... 78 55,200 HOMESTAKE MINING CO ................ 507 39,187(degree)KINROSS GOLD CORP ................. 91 49,230 NEWMONT MINING CORP ................ 889 15,400 PHELPS DODGE CORP .................. 783 7,300(degree)STILLWATER MINING CO .............. 299 100,000(degree)SUNSHINE MINING & REFINING CO ..... 50 ---------- 4,451 ---------- MISCELLANEOUS MANUFACTURING INDUSTRIES--0.15% 10,000 (degree)BLYTH INDUSTRIES, INC ....... 313 6,600 BRADY CORP (CLASS A) ............... 178 22,694 CALLAWAY GOLF CO ................... 233 2,600 x(degree)CML GROUP, INC .............. 0 32,685 HASBRO, INC ........................ 1,181 8,200(degree)HEXCEL CORP ....................... 69 30,477 INTERNATIONAL GAME TECHNOLOGY CO ... 741 9,000 JOSTENS, INC ....................... 236 5,500 K2, INC ............................ 57 1,071(degree)LYDALL, INC ....................... 13 86,756 MATTEL, INC ........................ 1,979 3,500(degree)NU KOTE HOLDINGS, INC (CLASS A) ... 0 2,041 ONEIDA LTD ......................... 30 3,700 RUSS BERRIE & CO, INC .............. 87 700(degree)STEINWAY MUSICAL INSTRUMENTS, INC . 18 8,900(degree)WMS INDUSTRIES, INC ............... 66 ---------- 5,201 ---------- MISCELLANEOUS RETAIL--1.09% 9,400(degree)AMAZON.COM, INC ................... 3,020 15,700(degree)BARNES & NOBLE, INC ............... 667 2,500(degree)BARNETT, INC ...................... 34 900 BLAIR CORP ......................... 20 22,767(degree)BORDERS GROUP, INC ................ 568 2,800(degree)BRYLANE, INC ...................... 65 3,769 CASH AMERICA INTERNATIONAL, INC .... 57 1,750(degree)CDW COMPUTER CENTERS, INC ......... 168 2,700(degree)COLDWATER CREEK, INC .............. 37 32,790(degree)CORPORATE EXPRESS, INC ............ 170 117,314 CVS CORP ........................... 6,452 5,136(degree)DUANE READE, INC .................. 198 4,500 ENESCO GROUP, INC .................. 105 14,400 FINGERHUT COS, INC ................. 222 See notes to financial statements. 91 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- MISCELLANEOUS RETAIL -- (CONTINUED) INSURANCE CARRIERS--4.95% 3,000(degree)FRIEDMANS, INC (CLASS A) .......... $ 31 4,100(degree)GARDEN RIDGE CORP ................. 37 2,300(degree)GENESIS DIRECT, INC ............... 18 4,600(degree)GLOBAL DIRECTMAIL CORP ............ 108 4,900 HANCOCK FABRICS, INC ............... 41 25,600(degree)HANOVER DIRECT, INC ............... 88 5,000(degree)INSIGHT ENTERPRISES, INC .......... 254 3,500(degree)JO-ANN STORES, INC (CLASS A) ...... 56 800 x(degree)JUMBOSPORTS, INC ............ 0 4,800(degree)LANDS END, INC .................... 129 11,400 LONGS DRUG STORES CORP ............. 428 10,100(degree)MICHAELS STORES, INC .............. 183 10,500(degree)MICRO WAREHOUSE, INC .............. 355 13,200(degree)MSC INDUSTRIAL DIRECT CO (CLASS A) 299 74,650(degree)OFFICE DEPOT, INC ................. 2,757 37,621(degree)OFFICEMAX, INC .................... 461 25,900 OMNICARE, INC ...................... 900 1,300(degree)PARTY CITY CORP ................... 19 6,900(degree)PETCO ANIMAL SUPPLIES, INC ........ 69 34,900(degree)PETSMART, INC ..................... 384 77,945 RITE AID CORP ...................... 3,863 7,500(degree)SCHEIN (HENRY), INC ............... 336 9,600(degree)SPIEGEL, INC (CLASS A) ............ 55 85,775(degree)STAPLES, INC ...................... 3,747 14,700(degree)SUNGLASS HUT INTERNATIONAL, INC ... 103 9,250(degree)THE SPORTS AUTHORITY, INC ......... 49 9,206 TIFFANY & CO ....................... 478 77,301(degree)TOYS R US, INC .................... 1,304 9,431(degree)U.S. OFFICE PRODUCTS CO ........... 37 151,000 WALGREEN CO ........................ 8,843 14,600(degree)ZALE CORP ......................... 471 ---------- 37,686 ---------- MOTION PICTURES--0.57% 1,000(degree)AMC ENTERTAINMENT, INC ............ 21 1,584(degree)CARMIKE CINEMAS, INC (CLASS A) .... 32 620,278 DISNEY (WALT) CO ................... 18,608 8,300(degree)HOLLYWOOD ENTERTAINMENT CORP ...... 226 16,400(degree)KING WORLD PRODUCTIONS, INC ....... 483 21,100(degree)METROMEDIA INTERNATIONAL GROUP, INC 115 8,800(degree)MOVIE GALLERY, INC ................ 63 5,600(degree)PIXAR, INC ........................ 196 10,000(degree)SPELLING ENTERTAINMENT GROUP, INC . 75 ---------- 19,819 ---------- NONDEPOSITORY INSTITUTIONS--2.19% 6,100 AAMES FINANCIAL CORP ............... 19 5,299 ADVANTA CORP (CLASS A) ............. 70 137,112 AMERICAN EXPRESS CO ................ 14,020 16,400(degree)AMERICREDIT CORP .................. 227 16,550(degree)AMRESCO, INC ...................... 145 14,700(degree)ARCADIA FINANCIAL LTD ............. 53 216,940 ASSOCIATES FIRST CAPITAL CORP ...... 9,193 19,392 CAPITAL ONE FINANCIAL CORP ......... 2,230 6,000 CHARTER MUNICIPAL MORTGAGE ACCEPTANCE ........................ 73 9,800 CIT GROUP, INC (CLASS A) ........... 312 2,500 x(degree)CITYSCAPE FINANCIAL CORP .... 0 2,700 CONNING CORP ....................... 56 2,900(degree)CONTIFINANCIAL CORP ............... 21 32,188 COUNTRYWIDE CREDIT INDUSTRIES, INC . 1,615 4,800(degree)CREDIT ACCEPTANCE CORP ............ 35 7,000 DORAL FINANCIAL CORP ............... 155 700(degree)DVI, INC .......................... 13 400(degree)FEDERAL AGRICULTURAL MORTGAGE CORP (CLASS C) ........... 15 313,195 FEDERAL NATIONAL MORTGAGE ASSOCIATION ....................... 23,176 1,000(degree)FINANCIAL FEDERAL CORP ............ 25 16,013 FINOVA GROUP, INC .................. 864 1,500(degree)FIRST SIERRA FINANCIAL, INC ....... 18 6,300(degree)FIRSTPLUS FINANCIAL GROUP, INC .... 17 204,341 FREDDIE MAC ........................ 13,167 1,200 FUND AMERICAN ENTERPRISES HOLDINGS, INC ..................... 168 4,900(degree)HEADLANDS MORTGAGE CO ............. 103 3,200(degree)HEALTHCARE FINANCIAL PARTNERS, INC 128 10,300 HELLER FINANCIAL, INC .............. 303 148,201 HOUSEHOLD INTERNATIONAL, INC ....... 5,872 5,900(degree)IMC MORTGAGE CO ................... 2 8,200(degree)IMPERIAL CREDIT INDUSTRIES, INC ... 69 11,200(degree)LEUCADIA NATIONAL CORP ............ 353 3,900(degree)LONG BEACH FINANCIAL CORP ......... 29 1,200 MEDALLION FINANCIAL CORP ........... 17 95,250 x(degree)MERCURY FINANCE CO .......... 4 7,384 METRIS COS, INC .................... 372 3,379(degree)OMEGA WORLDWIDE, INC .............. 15 6,300 RESOURCE AMERICA, INC (CLASS A) .... 57 3,000 RESOURCE BANCSHARES MORTGAGE GROUP, INC ........................ 50 1,200 SIRROM CAPITAL CORP ................ 6 48,991 SLM HOLDINGS CORP .................. 2,352 2,000 STUDENT LOAN CORP .................. 90 10,840(degree)UNICAPITAL CORP ................... 80 7,280 UNITED COS FINANCIAL CORP .......... 25 12,100(degree)WILSHIRE FINANCIAL SERVICES GROUP, INC ........................ 8 ---------- 75,622 ---------- NONMETALLIC MINERALS, EXCEPT FUELS--0.07% 3,500 AMCOL INTERNATIONAL CORP ........... 35 3,100 CALMAT CO .......................... 96 7,900 JOHNS MANVILLE CORP ................ 130 12,468 MARTIN MARIETTA MATERIALS, INC ..... 775 1,913 POTASH CORP OF SASKATCHEWAN, INC ... 122 8,400 VULCAN MATERIALS CO ................ 1,105 ---------- 2,263 ---------- OIL AND GAS EXTRACTION--0.62% 30,316 ANADARKO PETROLEUM CORP ............ 936 24,257 APACHE CORP ........................ 614 4,400(degree)ATWOOD OCEANICS, INC .............. 75 2,300(degree)BELCO OIL & GAS CORP .............. 13 11,400(degree)BENTON OIL & GAS CO ............... 34 5,171 BERRY PETROLEUM CO (CLASS A) ....... 73 21,068(degree)BJ SERVICES CO .................... 329 160(degree)BJ SERVICES CO WTS 04/13/00 ....... 1 6,900(degree)BROWN (TOM), INC .................. 69 53,208 BURLINGTON RESOURCES, INC .......... 1,906 12,700 CABOT OIL & GAS CORP (CLASS A) ..... 191 11,000 CHESAPEAKE ENERGY CORP ............. 10 8,000(degree)COMSTOCK RESOURCES, INC ........... 25 14,850 CROSS TIMBERS OIL CO ............... 111 6,900 DEVON ENERGY CORP .................. 212 19,300 DIAMOND OFFSHORE DRILLING, INC ..... 457 17,015(degree)EEX CORP .......................... 119 20,000 ENRON OIL & GAS CO ................. 345 40,750 ENSCO INTERNATIONAL, INC ........... 436 See notes to financial statements. 92 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- OIL AND GAS EXTRACTION--(CONTINUED) 6,800(degree)FORCENERGY GAS EXPLORATION, INC ... $ 18 13,500(degree)FOREST OIL CORP ................... 115 3,800(degree)FRIEDE GOLDMAN INTERNATIONAL, INC . 43 19,200(degree)GLOBAL INDUSTRIES LTD ............. 118 45,800(degree)GLOBAL MARINE, INC ................ 421 37,900(degree)GREY WOLF, INC .................... 31 135,457 HALLIBURTON CO ..................... 4,013 7,300(degree)HANOVER COMPRESSOR CO ............. 188 44,100(degree)HARKEN ENERGY CORP ................ 85 13,800 HELMERICH & PAYNE, INC ............. 267 2,500(degree)HS RESOURCES, INC ................. 19 6,800 KCS ENERGY, INC .................... 21 13,600 KERR-MCGEE CORP .................... 520 2,700(degree)KEY ENERGY SERVICES, INC .......... 13 6,100(degree)LOUIS DREYFUS NATURAL GAS CORP .... 87 16,900(degree)MARINE DRILLING CO, INC ........... 130 12,921(degree)MCMORAN EXPLORATION CO ............ 176 6,900(degree)MERIDIAN RESOURCE CORP ............ 22 16,400 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) ......................... 188 28,400(degree)NABORS INDUSTRIES, INC ............ 385 11,000(degree)NEWFIELD EXPLORATION CO ........... 230 16,300 NOBLE AFFILIATES, INC .............. 401 39,200(degree)NOBLE DRILLING CORP ............... 507 6,800(degree)NUEVO ENERGY CO ................... 78 103,329 OCCIDENTAL PETROLEUM CORP .......... 1,744 23,414(degree)OCEAN ENERGY, INC ................. 148 4,500(degree)OCEANEERING INTERNATIONAL, INC .... 68 33,800(degree)ORYX ENERGY CO .................... 454 29,700(degree)PARKER DRILLING CO ................ 95 5,600(degree)PATTERSON ENERGY, INC ............. 23 1,300 PENN VIRGINIA CORP ................. 24 29,100 PIONEER NATURAL RESOURCES CO ....... 255 12,800 POGO PRODUCING CO .................. 166 3,400(degree)POOL ENERGY SERVICES CO ........... 37 13,800(degree)PRIDE INTERNATIONAL, INC .......... 97 59,586(degree)R & B FALCON CORP ................. 454 12,700(degree)RANGE RESOURCES CORP .............. 44 20,300(degree)ROWAN COS, INC .................... 203 900 ROYAL DUTCH PETROLEUM CO (N.Y. REGD) ADR ................... 43 4,300(degree)RUTHERFORD-MORAN OIL CORP ......... 12 34,200(degree)SANTA FE ENERGY RESOURCES, INC .... 252 2,267 SCHLUMBERGER LTD ................... 105 4,400(degree)SEITEL, INC ....................... 55 9,300 SNYDER OIL CORP .................... 124 1,900 ST. MARY LAND & EXPLORATION CO ..... 35 3,848(degree)STONE ENERGY CORP ................. 111 10,000(degree)SUPERIOR ENERGY SERVICES, INC ..... 28 4,950(degree)SWIFT ENERGY CO ................... 37 3,300(degree)SYNTROLEUM CORP ................... 20 8,900(degree)TITAN EXPLORATION, INC ............ 58 4,100(degree)TRANSMONTAIGNE, INC ............... 62 29,500 TRANSOCEAN OFFSHORE, INC ........... 791 6,600(degree)TRANSTEXAS GAS CORP ............... 17 2,700(degree)TRITON ENERGY LTD ................. 21 20,300(degree)TUBOSCOPE, INC .................... 165 74,692 UNION PACIFIC RESOURCES GROUP, INC . 677 3,000(degree)UTI ENERGY CORP ................... 22 4,900 VASTAR RESOURCES, INC .............. 212 7,000(degree)VERITAS DGC, INC .................. 91 10,900 VINTAGE PETROLEUM, INC ............. 94 29,015(degree)WEATHERFORD INTERNATIONAL ......... 562 ---------- 21,438 ---------- PAPER AND ALLIED PRODUCTS--0.85% 5,500(degree)ACX TECHNOLOGIES, INC ............. $ 73 8,166(degree)AMERICAN PAD & PAPER CO ........... 13 29,295 AVERY DENNISON CORP ................ 1,320 14,613 BEMIS, INC ......................... 554 13,600 BOISE CASCADE CORP ................. 422 15,269 BOWATER, INC ....................... 633 12,000(degree)BUCKEYE TECHNOLOGIES, INC ......... 179 7,300 CARAUSTAR INDUSTRIES, INC .......... 209 27,400 CHAMPION INTERNATIONAL CORP ........ 1,110 8,100 CHESAPEAKE CORP .................... 299 14,800 CONSOLIDATED PAPERS, INC ........... 407 12,170(degree)CROWN VANTAGE, INC ................ 27 6,400(degree)EARTHSHELL CORP ................... 76 65,075 FORT JAMES CORP .................... 2,603 16,200(degree)GAYLORD CONTAINER CO .............. 99 9,100 GLATFELTER (P.H.) CO ............... 113 700 GREIF BROTHERS CORP (CLASS A) ...... 20 90,240 INTERNATIONAL PAPER CO ............. 4,044 4,500(degree)IVEX PACKAGING CORP ............... 105 165,288 KIMBERLY CLARK CORP ................ 9,008 14,100 LONGVIEW FIBRE CO .................. 163 21,000(degree)MAIL-WELL, INC .................... 240 29,244 MEAD CORP .......................... 857 12,200(degree)PLAYTEX PRODUCTS, INC ............. 196 7,000 POTLATCH CORP ...................... 258 6,500 ROCK-TENN CO (CLASS A) ............. 110 5,760 SCHWEITZER-MAUDUIT INTERNATIONAL, INC 89 20,550(degree)SHOREWOOD PACKAGING CORP .......... 421 32,327(degree)SMURFIT-STONE CONTAINER CORP ...... 511 29,523 SONOCO PRODUCTS CO ................. 875 6,800 ST. JOE CORP ....................... 159 15,434 TEMPLE-INLAND, INC ................. 915 19,999 UNION CAMP CORP .................... 1,350 13,825 WAUSAU-MOSINEE PAPER CORP .......... 245 22,750 WESTVACO CORP ...................... 610 31,700 WILLAMETTE INDUSTRIES, INC ......... 1,062 ---------- 29,375 ---------- PERSONAL SERVICES--0.18% 27,821 BLOCK (H&R), INC ................... 1,252 700(degree)CARRIAGE SERVICES, INC (CLASS A) .. 20 19,300 CINTAS CORP ........................ 1,359 1,100(degree)COINMACH LAUNDRY CORP ............. 14 1,028 CPI CORP ........................... 27 6,400(degree)EQUITY CORP INTERNATIONAL ......... 170 6,900 G & K SERVICES, INC (CLASS A) ...... 367 4,400 REGIS CORP ......................... 176 77,046 SERVICE CORP INTERNATIONAL ......... 2,933 900 UNIFIRST CORP ...................... 21 ---------- 6,339 ---------- PETROLEUM AND COAL PRODUCTS--3.97% 23,200 AMERADA HESS CORP .................. 1,154 288,177 AMOCO CORP ......................... 17,002 19,172 ASHLAND, INC ....................... 927 95,626 ATLANTIC RICHFIELD CO .............. 6,240 197,216 CHEVRON CORP ....................... 16,357 2,400 ELCOR CORP ......................... 78 739,600 EXXON CORP ......................... 54,083 2,500(degree)FRONTIER OIL CORP ................. 12 1,400 HOLLY CORP ......................... 24 236,500 MOBIL CORP ......................... 20,605 11,600 MURPHY OIL CORP .................... 479 14,400 PENNZENERGY CO ..................... 235 See notes to financial statements. 93 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- PETROLEUM AND COAL PRODUCTS--(CONTINUED) 24,244(degree)PENNZOIL-QUAKER STATE CO .......... $ 359 2,000(degree)PETROFINA S.A. WTS 08/02/03 ....... 15 66,022 PHILLIPS PETROLEUM CO .............. 2,814 25,600 SUNOCO, INC ........................ 923 9,600(degree)TESORO PETROLEUM CORP ............. 116 161,725 TEXACO, INC ........................ 8,551 45,747 TOSCO CORP ......................... 1,184 28,194 ULTRAMAR DIAMOND SHAMROCK CORP ..... 684 71,931 UNOCAL CORP ........................ 2,099 92,200 USX-MARATHON GROUP, INC ............ 2,778 12,200 VALERO ENERGY CORP ................. 259 3,200 WD-40 CO ........................... 92 ---------- 137,070 ---------- PRIMARY METAL INDUSTRIES--0.36% 2,200(degree)AFC CABLE SYSTEMS, INC ............ 74 21,500 AK STEEL HOLDINGS CORP ............. 505 4,939(degree)ALPINE GROUP, INC ................. 74 53,947 ALUMINUM CO OF AMERICA ............. 4,022 20,121(degree)ARMCO, INC ........................ 88 20,100 ASARCO, INC ........................ 303 14,800 BELDEN, INC ........................ 314 43,786(degree)BETHLEHEM STEEL CORP .............. 367 9,200 BIRMINGHAM STEEL CORP .............. 39 12,700 BRUSH WELLMAN, INC ................. 221 8,000(degree)CABLE DESIGN TECHNOLOGIES CO ...... 148 4,800 CARPENTER TECHNOLOGY CORP .......... 163 1,700 CENTURY ALUMINUM CO ................ 16 1,504(degree)CHASE INDUSTRIES, INC ............. 16 300(degree)CURTISS WRIGHT CORP ............... 11 3,200(degree)ENCORE WIRE CORP .................. 30 25,700 ENGELHARD CORP ..................... 501 1,251(degree)ESSEX INTERNATIONAL, INC .......... 43 12,750 GENERAL CABLE CORP ................. 261 8,990 INLAND STEEL INDUSTRIES, INC ....... 152 1,800 INTERMET CORP ...................... 24 13,500(degree)KAISER ALUMINUN CORP .............. 66 7,500(degree)LONE STAR TECHNOLOGIES, INC ....... 76 43,900 LTV CORP ........................... 255 2,200 MATTHEWS INTERNATIONAL CORP (CLASS A) 69 9,800(degree)METALS U.S.A., INC ................ 96 17,000(degree)MUELLER INDUSTRIES, INC ........... 345 13,566 NATIONAL STEEL CORP (CLASS B) ...... 97 700(degree)NS GROUP, INC ..................... 3 24,100 NUCOR CORP ......................... 1,042 8,800 OREGON STEEL MILLS, INC ............ 105 8,100 PRECISION CAST PARTS CORP .......... 358 1,400 QUANEX CORP ........................ 32 18,500 REYNOLDS METALS CO ................. 975 12,600 ROUGE INDUSTRIES, INC (CLASS A) .... 110 2,400(degree)RTI INTERNATIONAL METALS .......... 34 14,100(degree)STEEL DYNAMICS, INC ............... 166 1,700 SUPERIOR TELECOM, INC .............. 80 5,700 TEXAS INDUSTRIES, INC .............. 154 4,800 TITAN INTERNATIONAL, INC ........... 46 5,900 TITANIUM METALS CORP ............... 50 21,000 USX-US STEEL GROUP, INC ............ 483 7,200(degree)WHX CORP .......................... 72 4,600(degree)WOLVERINE TUBE, INC ............... 97 22,740 WORTHINGTON INDUSTRIES, INC ........ 284 ---------- 12,467 ---------- PRINTING AND PUBLISHING--1.37% 2,700 AMERICAN BUSINESS PRODUCTS, INC .... $ 63 17,900 AMERICAN GREETINGS CORP (CLASS A) .. 735 13,725(degree)AMERICAN MEDIA, INC (CLASS A) ..... 76 11,500(degree)APPLIED GRAPHICS TECHNOLOGIES, INC 190 12,500 BANTA CORP ......................... 342 29,500 BELO (A.H.) CORP SERIES A .......... 588 5,809(degree)BIG FLOWER HOLDINGS, INC .......... 128 9,200 BOWNE & CO, INC .................... 164 6,800 CENTRAL NEWSPAPERS, INC (CLASS A) .. 486 3,400(degree)CONSOLIDATED GRAPHICS, INC ........ 230 386(degree)CSS INDUSTRIES, INC ............... 12 22,400 DELUXE CORP ........................ 819 28,000 DONNELLEY (R.R.) & SONS CO ......... 1,227 14,000 DOW JONES & CO, INC ................ 674 12,000(degree)FRANKLIN COVEY CO ................. 201 85,047 GANNETT CO, INC .................... 5,486 10,000(degree)GIBSON GREETINGS, INC ............. 119 8,300 HARLAND (JOHN H.) CO ............... 131 17,600 HARTE-HANKS, INC ................... 502 14,400 HOLLINGER INTERNATIONAL, INC ....... 201 7,800 HOUGHTON MIFFLIN CO ................ 369 11,600(degree)JOURNAL REGISTER CO ............... 174 21,200 KNIGHT-RIDDER, INC ................. 1,084 11,900 LEE ENTERPRISES, INC ............... 375 5,900x(degree)MARVEL ENTERTAINMENT GROUP, INC .. 1 4,200 MCCLATCHY CO (CLASS A) ............. 149 28,399 MCGRAW HILL COS, INC ............... 2,893 4,000(degree)MEDIA ARTS GROUP, INC ............. 56 6,029 MEDIA GENERAL, INC (CLASS A) ....... 320 10,000 MEREDITH CORP ...................... 379 2,900 MERRILL CORP ....................... 56 2,116 NEW ENGLAND BUSINESS SERVICES, INC . 83 46,700 NEW YORK TIMES CO (CLASS A) ........ 1,620 27,387 NEWS CORP LTD ...................... 676 3,500 PENTON MEDIA, INC .................. 71 3,600(degree)PETERSEN COS, INC (CLASS A) ....... 122 41,561(degree)PRIMEDIA, INC ..................... 488 2,000 PULITZER PUBLISHING CO ............. 173 9,190 R.H. DONNELLEY CORP ................ 134 25,110 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VOTE) .............. 632 21,700 REYNOLDS & REYNOLDS CO (CLASS A) ... 498 3,300(degree)SCHOLASTIC CORP ................... 177 9,700 SCRIPPS (E.W.) CO (CLASS A) ........ 483 2,900 STANDARD REGISTER, INC ............. 90 299,838 TIME WARNER, INC ................... 18,609 19,044 TIMES MIRROR CO SERIES A ........... 1,066 34,100(degree)TOPPS, INC ........................ 171 29,300 TRIBUNE CO ......................... 1,934 12,000 WALLACE COMPUTER SERVICES, INC ..... 317 2,100 WASHINGTON POST CO (CLASS B) ....... 1,214 6,400 WILEY (JOHN) & SONS, INC (CLASS A) . 309 3,270(degree)WORKFLOW MANAGEMENT, INC .......... 22 10,286(degree)WORLD COLOR PRESS, INC ............ 313 ---------- 47,432 ---------- RAILROAD TRANSPORTATION--0.47% 140,025 BURLINGTON NORTHERN SANTA FE CORP .. 4,726 158 CANADIAN NATIONAL RAILWAY CO ....... 8 63,852 CSX CORP ........................... 2,650 4,000 FLORIDA EAST COAST INDUSTRIES, INC . 141 31,500 KANSAS CITY SOUTHERN INDUSTRIES, INC 1,549 See notes to financial statements. 94 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- RAILROAD TRANSPORTATION--(CONTINUED) 110,558 NORFOLK SOUTHERN CORP .............. $ 3,503 72,185 UNION PACIFIC CORP ................. 3,253 12,900(degree)WISCONSIN CENTRAL TRANSIT CORP .... 222 ---------- 16,052 ---------- REAL ESTATE--0.09% 23,000 ARDEN REALTY GROUP, INC ............ 533 500(degree)AVATAR HOLDINGS, INC .............. 8 8,400(degree)CASTLE & COOKE, INC ............... 124 13,900(degree)CATELLUS DEVELOPMENT CORP ......... 199 2,797(degree)CB RICHARD ELLIS SERVICES GROUP, INC 51 12,346(degree)ECHELON INTERNATIONAL CORP ........ 275 1,500(degree)EXCEL LEGACY CORP ................. 6 11,600(degree)FAIRFIELD COMMUNITIES, INC ........ 128 300 FOREST CITY ENTERPRISES, INC (CLASS A) 8 4,116(degree)GRUBB & ELLIS CO .................. 33 2,200(degree)INSIGNIA FINANCIAL GROUP, INC ..... 27 6,000(degree)LASALLE PARTNERS, INC ............. 177 10,450 LNR PROPERTY CORP .................. 208 5,616(degree)RECKSON SERVICES INDUSTRIES, INC .. 23 16,400 ROUSE CO ........................... 451 11,200(degree)SECURITY CAPITAL GROUP, INC (CLASS B) 152 25,000 STEWART ENTERPRISES, INC (CLASS A) . 556 7,400(degree)TRAMMELL CROW CO .................. 207 ---------- 3,166 ---------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.44% 500 (degree)AEP INDUSTRIES, INC ......... 11 10,600 APTARGROUP, INC .................... 297 9,600 ARMSTRONG WORLD INDUSTRIES, INC .... 579 5,900 BANDAG, INC ........................ 236 8,500 CARLISLE COS, INC .................. 439 19,800 COOPER TIRE & RUBBER CO ............ 405 11,400 FIRST BRANDS CORP .................. 450 7,700 FOAMEX INTERNATIONAL, INC .......... 95 2,700 FURON CO ........................... 46 20,560 GOODRICH (B.F.) CO ................. 738 43,962 GOODYEAR TIRE & RUBBER CO .......... 2,217 59,900 ILLINOIS TOOL WORKS, INC ........... 3,474 2,496 MYERS INDUSTRIES, INC .............. 72 27,347 NIKE, INC (CLASS B) ................ 1,109 14,600 PREMARK INTERNATIONAL, INC ......... 506 10,990(degree)REEBOK INTERNATIONAL LTD .......... 163 44,051 RUBBERMAID, INC .................... 1,385 14,400(degree)SAFESKIN CORP ..................... 347 19,769(degree)SEALED AIR CORP ................... 1,009 33,356 SOLUTIA, INC ....................... 746 1,500 SPARTECH CORP ...................... 33 4,800(degree)SYNETIC, INC ...................... 211 7,800 TREDEGAR INDUSTRIES, INC ........... 176 15,900 TUPPERWARE CORP .................... 261 7,924 WEST CO, INC ....................... 283 2,886 WYNNS INTERNATIONAL, INC ........... 64 ---------- 15,352 ---------- SECURITY AND COMMODITY BROKERS--1.08% 13,200(degree)AFFILIATED MANAGERS GROUP, INC .... 394 2,300(degree)AMERITRADE HOLDINGS CORP (CLASS A) 72 35,713 BEAR STEARNS COS, INC .............. 1,335 3,200 DAIN RAUSCHER CORP ................. 94 8,200 DONALDSON, LUFKIN, & JENRETTE, INC . 336 600 DUFF & PHELPS CREDIT RATING CO ..... 33 10,650(degree)E TRADE GROUP, INC ................ 498 10,800 EATON VANCE CORP ................... 225 26,250 EDWARDS (A.G.), INC ................ 978 2,400 EVEREN CAPITAL CORP ................ 55 3,100 FEDERATED INVESTMENTS, INC ......... 56 48,591 FRANKLIN RESOURCES, INC ............ 1,555 5,743 FREEDOM SECURITIES CORP ............ 87 9,701(degree)FRIEDMAN, BILLINGS, RAMSEY GROUP, INC 63 5,700(degree)HAMBRECHT & QUIST GROUP ........... 129 600(degree)INVESTMENT TECHNOLOGY GROUP, INC .. 37 1,300 INVESTORS FINANCIAL SERVICES CORP .. 78 4,800 JEFFERIES GROUP, INC ............... 238 22,132 LEGG MASON, INC .................... 699 34,120 LEHMAN BROTHERS HOLDINGS, INC ...... 1,503 96,700 MERRILL LYNCH & CO, INC ............ 6,455 7,400 MORGAN KEEGAN, INC ................. 139 174,826 MORGAN STANLEY, DEAN WITTER, & CO .. 12,413 31,100 PAINE WEBBER GROUP, INC ............ 1,201 8,394 PHOENIX INVESTMENT PARTNERS LTD .... 71 10,000 PIONEER GROUP, INC ................. 198 29,600 PRICE (T. ROWE) ASSOCIATES, INC .... 1,014 17,700 RAYMOND JAMES FINANCIAL CORP ....... 374 97,962 SCHWAB (CHARLES) CORP .............. 5,504 24,700 UNITED ASSET MANAGEMENT CORP ....... 642 19,458 WADDELL & REED FINANCIAL, INC (CLASS A) 461 9,722 WADDELL & REED FINANCIAL, INC (CLASS B) 226 ---------- 37,163 ---------- SOCIAL SERVICES--0.02% 4,600(degree)ALTERNATIVE LIVING SERVICES, INC .. 158 2,700(degree)BROOKDALE LIVING COMMUNITIES, INC . 53 400(degree)CAPITAL SENIOR LIVING CORP ........ 6 1,700(degree)RES-CARE, INC ..................... 42 5,200(degree)SUNRISE ASSISTED LIVING, INC ...... 270 ---------- 529 ---------- SPECIAL TRADE CONTRACTORS--0.02% 2,000(degree)AMERICAN RESIDENTIAL SERVICES, INC 7 9,800 APOGEE ENTERPRISES, INC ............ 110 8,844(degree)COMFORT SYSTEMS U.S.A., INC ....... 158 3,800(degree)GROUP MAINTENANCE AMERICA CORP .... 46 4,500(degree)INTEGRATED ELECTRICAL SERVICES, INC 100 800 x(degree)OMEGA ENVIRONMENTAL, INC .... 0 2,917(degree)SERVICE EXPERTS, INC .............. 85 ---------- 506 ---------- STONE, CLAY, AND GLASS PRODUCTS--0.28% 2,600 CENTEX CONSTRUCTION PRODUCTS, INC .. 106 67,811 CORNING, INC ....................... 3,051 10,100(degree)DAL-TILE INTERNATIONAL, INC ....... 105 5,200(degree)DEPARTMENT 56, INC ................ 195 2,100(degree)DUPONT PHOTOMASKS, INC ............ 89 3,500 FLORIDA ROCK INDUSTRIES, INC ....... 109 2,100(degree)GIANT CEMENT HOLDINGS, INC ........ 52 10,688 LAFARGE CORP ....................... 433 6,200 LIBBEY, INC ........................ 179 9,200 LONE STAR INDUSTRIES, INC .......... 339 48,600 NEWELL COS, INC .................... 2,005 15,600 OWENS CORNING CO ................... 553 38,300(degree)OWENS ILLINOIS, INC ............... 1,173 900 PUERTO RICAN CEMENT CO, INC ........ 31 10,592 SOUTHDOWN, INC ..................... 627 12,000 USG CORP ........................... 611 ---------- 9,658 ---------- See notes to financial statements. 95 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- TEXTILE MILL PRODUCTS--0.11% 13,365 ALBANY INTERNATIONAL CORP (CLASS A) NEW ..................... $ 253 29,800(degree)BURLINGTON INDUSTRIES, INC ........ 328 15,800(degree)COLLINS & AIKMAN CORP ............. 81 26,800(degree)CONE MILLS CORP ................... 151 2,700(degree)GUILFORD MILLS, INC ............... 45 11,400 INTERFACE, INC (CLASS A) ........... 106 9,700(degree)MOHAWK INDUSTRIES, INC ............ 408 2,000(degree)POLYMER GROUP, INC ................ 20 10,300 RUSSELL CORP ....................... 209 33,500 SHAW INDUSTRIES, INC ............... 812 6,200 SPRING INDUSTRIES, INC ............. 257 9,000 ST. JOHN KNITS, INC ................ 234 18,700 UNIFI, INC ......................... 366 17,200(degree)WESTPOINT STEVENS, INC ............ 543 ---------- 3,813 ---------- TOBACCO PRODUCTS--1.26% 4,400(degree)CONSOLIDATED CIGAR HOLDINGS, INC .. 78 50,200 FORTUNE BRANDS, INC ................ 1,588 8,900(degree)GENERAL CIGAR HOLDINGS, INC (CLASS A) 77 742,304 PHILIP MORRIS COS, INC ............. 39,713 56,200 UST, INC ........................... 1,960 ---------- 43,416 ---------- TRANSPORTATION BY AIR--0.50% 30,000 AIRBORNE FREIGHT CORP .............. 1,082 200(degree)AIRNET SYSTEMS, INC ............... 3 4,600(degree)AIRTRAN HOLDINGS, INC ............. 12 9,800(degree)ALASKA AIR GROUP, INC ............. 434 15,600(degree)AMERICA WEST HOLDINGS CORP (CLASS B) 265 53,811(degree)AMR CORP .......................... 3,195 7,300 ASA HOLDINGS, INC .................. 223 2,800(degree)ATLANTIC COAST AIRLINES HOLDINGS .. 70 2,500(degree)ATLAS AIR, INC .................... 122 3,047(degree)AVIALL, INC ....................... 36 14,737 COMAIR HOLDINGS, INC ............... 497 17,100(degree)CONTINENTAL AIRLINES, INC (CLASS B) 573 42,658 DELTA AIRLINES, INC ................ 2,218 42,400(degree)FDX CORP .......................... 3,774 4,100(degree)KITTY HAWK, INC ................... 45 4,200(degree)MESA AIR GROUP, INC ............... 33 1,900(degree)MESABA HOLDINGS, INC .............. 39 3,321(degree)MIDWEST EXPRESS HOLDINGS, INC ..... 87 11,800(degree)NORTHWEST AIRLINES CORP (CLASS A) . 302 6,000(degree)OFFSHORE LOGISTICS, INC ........... 71 6,800 PITTSTON BAX GROUP ................. 76 5,100 SKYWEST, INC ....................... 167 99,626 SOUTHWEST AIRLINES CO .............. 2,235 12,300(degree)TRANS WORLD AIRLINES, INC ......... 59 26,214(degree)U.S. AIRWAYS GROUP, INC ........... 1,363 6,535(degree)UAL CORP .......................... 390 ---------- 17,371 ---------- TRANSPORTATION EQUIPMENT--3.00% 4,100(degree)AFTERMARKET TECHNOLOGY CORP ....... 32 236,056 ALLIED SIGNAL, INC ................. 10,460 11,700 ARCTIC CAT, INC .................... 119 12,500 ARVIN INDUSTRIES, INC .............. 521 27,399 AUTOLIV, INC ....................... 1,019 1,700(degree)AVONDALE INDUSTRIES, INC .......... 49 7,000(degree)BE AEROSPACE, INC ................. 147 302,552 BOEING CO .......................... 9,871 6,300 BORG-WARNER AUTOMOTIVE, INC ........ 352 5,900(degree)BREED TECHNOLOGIES, INC ........... 48 3,600 CLARCOR, INC ....................... 72 9,400 COACHMEN INDUSTRIES, INC ........... 247 2,400 COMMERCIAL INTERTECH CORP .......... 31 9,600 CORDANT TECHNOLOGIES, INC .......... 360 60,615(degree)DAIMLERCHRYSLER (U.S.A.) .......... 5,823 47,018 DANA CORP .......................... 1,922 23,260 DANAHER CORP ....................... 1,263 4,000(degree)DELCO REMY INTERNATIONAL, INC (CLASS A) 39 1,300(degree)DUCOMMUN, INC ..................... 18 20,600 EATON CORP ......................... 1,456 22,900 FEDERAL SIGNAL CORP ................ 627 14,700 FEDERAL-MOGUL CORP ................. 875 8,100 FLEETWOOD ENTERPRISES, INC ......... 281 337,442 FORD MOTOR CO ...................... 19,804 9,800 GENCORP, INC ....................... 244 32,000 GENERAL DYNAMICS CORP .............. 1,876 193,800 GENERAL MOTORS CORP ................ 13,869 29,000(degree)GENERAL MOTORS CORP (CLASS H) ..... 1,151 27,600(degree)GENTEX CORP ....................... 552 21,400(degree)GULFSTREAM AEROSPACE CORP ......... 1,140 8,715(degree)HALTER MARINE GROUP, INC .......... 42 45,200 HARLEY DAVIDSON, INC ............... 2,141 9,260(degree)HAYES LEMMERZ INTERNATIONAL, INC .. 280 1,200(degree)HEICO CORP ........................ 38 8,720(degree)HOWMET INTERNATIONAL, INC ......... 141 32,200 ITT INDUSTRIES, INC ................ 1,280 3,500 KAMAN CORP (CLASS A) ............... 56 2,400(degree)KELLSTROM INDUSTRIES, INC ......... 69 700(degree)KROLL O GARA CO ................... 28 51,135 LOCKHEED MARTIN CORP ............... 4,334 14,500 MASCOTECH, INC ..................... 248 18,633 MERITOR AUTOMOTIVE, INC ............ 395 5,100 MODINE MANUFACTURING CO ............ 185 7,200(degree)MONACO COACH CORP ................. 191 4,600(degree)MOTIVEPOWER INDUSTRIES, INC ....... 148 1,600(degree)NATIONAL R.V. HOLDINGS, INC ....... 41 19,900(degree)NAVISTAR INTERNATIONAL CORP ....... 567 11,406 NEWPORT NEWS SHIPBUILDING, INC ..... 381 20,040 NORTHROP GRUMMAN CORP .............. 1,465 7,700 OEA, INC ........................... 91 10,800(degree)ORBITAL SCIENCES CORP ............. 478 19,200 PACCAR, INC ........................ 790 8,600 POLARIS INDUSTRIES, INC ............ 337 10,600 REGAL-BELOIT CORP .................. 244 1,163(degree)SEQUA CORP (CLASS A) .............. 70 8,850 SMITH (A.O.) CORP .................. 217 10,287(degree)SPX CORP .......................... 689 500 STANDARD MOTOR PRODUCTS, INC (CLASS A) ......................... 12 10,900 STANDARD PRODUCTS CO ............... 222 1,900(degree)STONERIDGE, INC ................... 43 16,100 SUNDSTRAND CORP .................... 835 6,200 SUPERIOR INDUSTRIES INTERNATIONAL, INC ................ 172 38,672 TEXTRON, INC ....................... 2,937 17,475 TRANSPRO, INC ...................... 85 11,900 TRINITY INDUSTRIES, INC ............ 458 3,000(degree)TRISTAR AEROSPACE CO .............. 21 2,087(degree)TRIUMPH GROUP, INC ................ 67 34,100 TRW, INC ........................... 1,916 67,600 UNITED TECHNOLOGIES CORP ........... 7,352 3,500 VARLEN CORP ........................ 81 5,400 WABASH NATIONAL CORP ............... 110 3,700 WESTINGHOUSE AIR BRAKE CO .......... 90 ---------- 103,615 ---------- See notes to financial statements. 96 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ----- TRANSPORTATION SERVICES--0.07% 14,050 AIR EXPRESS INTERNATIONAL CORP ..... $ 306 9,600 C.H. ROBINSON WORLDWIDE, INC ....... 249 1,500 CIRCLE INTERNATIONAL GROUP, INC .... 31 2,900(degree)EAGLE U.S.A. AIRFREIGHT, INC ...... 71 9,300 EXPEDITORS INTERNATIONAL OF WASHINGTON ........................ 391 7,600(degree)FRITZ COS, INC .................... 82 18,000 GALILEO INTERNATIONAL, INC ......... 783 14,400 GATX CORP .......................... 545 2,452(degree)NAVIGANT INTERNATIONAL, INC ....... 19 1,000(degree)TRAVEL SERVICES INTERNATIONAL, INC 31 700(degree)U.S. EXPRESS ENTERPRISES, INC (CLASS A) 11 ---------- 2,519 ---------- TRUCKING AND WAREHOUSING--0.10% 10,100(degree)AMERICAN FREIGHTWAYS CORP ......... 116 4,000 ARNOLD INDUSTRIES, INC ............. 65 11,627 CNF TRANSPORTATION, INC ............ 437 10,950(degree)CONSOLIDATED FREIGHTWAYS CORP ..... 174 5,300(degree)COVENANT TRANSPORT, INC (CLASS A) . 95 3,300(degree)HEARTLAND EXPRESS, INC ............ 58 6,200 HUNT (J.B.) TRANSPORT SERVICES, INC 143 4,500(degree)IRON MOUNTAIN, INC ................ 162 10,100(degree)LANDSTAR SYSTEM, INC .............. 412 6,200(degree)M.S. CARRIERS, INC ................ 204 700(degree)PIERCE LEAHY CORP ................. 18 6,400 ROADWAY EXPRESS, INC ............... 92 14,250(degree)SWIFT TRANSPORTATION CO, INC ...... 399 12,300 USFREIGHTWAYS CORP ................. 358 16,875 WERNER ENTERPRISES, INC ............ 298 11,600(degree)YELLOW CORP ....................... 222 ---------- 3,253 ---------- WATER TRANSPORTATION--0.05% 17,900 ALEXANDER & BALDWIN, INC ........... 416 3,400(degree)GULFMARK OFFSHORE, INC ............ 54 13,000(degree)HVIDE MARINE, INC (CLASS A) ....... 65 8,800(degree)KIRBY CORP ........................ 175 2,270(degree)MARINE TRANSPORT CORP ............. 5 22,700(degree)OMI CORP (NEW) .................... 74 6,700 OVERSEAS SHIPHOLDING GROUP, INC .... 108 4,900(degree)SEACOR SMIT, INC .................. 242 16,827 TIDEWATER, INC ..................... 390 9,000(degree)TRICO MARINE SERVICES, INC ........ 44 ---------- 1,573 ---------- WHOLESALE TRADE-DURABLE GOODS--0.29% 12,450 AAR CORP ........................... 297 4,300(degree)ACTION PERFORMANCE COS, INC ....... 152 2,800(degree)ANICOM, INC ....................... 26 9,300(degree)ANIXTER INTERNATIONAL, INC ........ 189 10,330 APPLIED INDUSTRIAL TECHNOLOGIES, INC 143 27,571(degree)ARROW ELECTRONICS, INC ............ 736 1,200(degree)AVIATION SALES CO ................. 49 10,410 AVNET, INC ......................... 630 6,300 BRIGGS & STRATTON CORP ............. 314 15,300(degree)BRIGHTPOINT, INC .................. 210 12,000(degree)CELLSTAR CORP ..................... 82 11,100(degree)CHS ELECTRONICS, INC .............. 188 11,900 COMMERCIAL METALS CO ............... 330 5,400(degree)FAIRCHILD CORP (CLASS A) .......... 85 10,100(degree)FISHER SCIENTIFIC INTERNATIONAL, INC 201 45,696 GENUINE PARTS CO ................... 1,528 22,483 GRAINGER (W.W.), INC ............... 936 6,900(degree)HA-LO INDUSTRIES, INC ............. 260 9,400(degree)HANDLEMAN CO ...................... 132 7,100 HUGHES SUPPLY, INC ................. 208 38,300 IKON OFFICE SOLUTIONS, INC ......... 328 14,800(degree)INGRAM MICRO, INC (CLASS A) ....... 516 10,500(degree)KENT ELECTRONICS CORP ............. 134 2,500(degree)KEYSTONE AUTOMOTIVE INDUSTRIES, INC 52 6,200(degree)MARSHALL INDUSTRIES, INC .......... 152 23,700(degree)MERISEL, INC ...................... 56 7,300(degree)MICROAGE, INC ..................... 112 11,100 OWENS & MINOR, INC ................. 175 11,050(degree)PATTERSON DENTAL CO ............... 481 13,650 PIONEER-STANDARD ELECTRONICS, INC .. 128 1,200(degree)POMEROY COMPUTER RESOURCES, INC ... 27 2,400 RELIANCE STEEL & ALUMINUM CO ....... 66 9,500(degree)SAFEGUARD SCIENTIFICS, INC ........ 261 2,000(degree)SODAK GAMING, INC ................. 17 13,500(degree)TBC CORP .......................... 96 14,800(degree)TECH DATA CORP .................... 596 2,400(degree)VWR SCIENTIFIC PRODUCTS CORP ...... 42 270 WESCO FINANCIAL CORP ............... 96 1,000(degree)WILMAR INDUSTRIES, INC ............ 20 ---------- 10,051 ---------- WHOLESALE TRADE-NONDURABLE GOODS--0.45% 17,800(degree)AIRGAS, INC ....................... 159 7,400(degree)AMERISOURCE HEALTH CORP (CLASS A) . 481 34,000(degree)AVATEX CORP ....................... 34 13,700(degree)BARNETT RESOURCES CORP ............ 329 30,056 BERGEN BRUNSWIG CORP (CLASS A) ..... 1,048 4,146 BINDLEY WESTERN INDUSTRIES, INC .... 204 3,016(degree)BOISE CASCADE OFFICE PRODUCTS CORP 41 59,834 CARDINAL HEALTH, INC ............... 4,540 9,239(degree)CENTRAL GARDEN & PET CO ........... 133 1,500(degree)DAISYTEK INTERNATIONAL CORP ....... 29 15,300 DIMON, INC ......................... 114 15,771 FLEMING COS, INC ................... 164 4,100 HERBALIFE INTERNATIONAL, INC (CLASS A) 58 2,000 HERBALIFE INTERNATIONAL, INC (CLASS B) 23 3,000 INTERNATIONAL MULTIFOODS CORP ...... 77 22,900 MCKESSON CORP NEW .................. 1,811 14,800(degree)NATIONAL-OILWELL, INC ............. 166 3,600(degree)NCS HEALTHCARE, INC (CLASS A) ..... 86 13,200(degree)NU SKIN ENTERPRISES, INC (CLASS A) 312 2,500(degree)PERFORMANCE FOOD GROUP CO ......... 70 12,285(degree)PHARMERICA, INC ................... 74 4,700(degree)PLAINS RESOURCES, INC ............. 66 2,600(degree)PRIORITY HEALTHCARE CORP (CLASS B) 135 13,750 RICHFOOD HOLDINGS, INC ............. 285 2,725(degree)SCHOOL SPECIALTY, INC ............. 58 10,600(degree)SCIOS, INC ........................ 110 2,200 SMART & FINAL, INC ................. 21 34,784 SUPERVALU, INC ..................... 974 99,476 SYSCO CORP ......................... 2,700 21,000 TERRA INDUSTRIES, INC .............. 130 1,200(degree)U.S.A. FLORAL PRODUCTS, INC ....... 14 800 UNILEVER-N.Y. SHS .................. 66 19,050 UNISOURCE WORLDWIDE, INC ........... 138 10,200(degree)UNITED STATIONERS, INC ............ 265 11,600(degree)UNIVERSAL CORP .................... 407 4,600 VALHI, INC ......................... 52 1,400 WEIDER NUTRITION INTERNATIONAL, INC 9 ---------- 15,383 ---------- TOTAL COMMON STOCK (Cost $2,421,519) .................... 3,410,750 ---------- See notes to financial statements. 97 EQUITY INDEX ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- ----- SHORT TERM INVESTMENTS--1.75% U.S. GOVERNMENT & AGENCIES--1.75% FEDERAL HOME LOAN BANK $17,400,000 * 4.740%, 01/15/99 ................. $ 17,366 FEDERAL HOME LOAN MORTGAGE CORP 43,000,000 4.500%, 01/04/99 ................. 42,979 ---------- 60,345 ---------- TOTAL SHORT TERM INVESTMENTS (Cost $60,352) ....................... 60,345 ---------- TOTAL PORTFOLIO (Cost $2,482,463) .................... $3,471,722 ========== - ------------------------ (degree) 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. # Restricted Securities-Investment in securities not registered under the Securities Act of 1933 or not publicly traded on foreign markets. At December 31, 1998, the value of these securities amounted to $381 or 0.00% of net assets. Additional information on the restricted security is as follows: Acquisition Acquisition Security Date Cost -------- ----------- ----------- PHYSICIAN COMPUTER NETWORK, INC 01/22/96 $75,341 ======= See notes to financial statements. 98 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--INFLATION LINKED BOND ACCOUNT DECEMBER 31, 1998 SUMMARY BY INDUSTRY (000) VALUE % ----- ----- GOVERNMENT BONDS U.S. TREASURY SECURITIES ................. $136,838 96.49% TOTAL GOVERNMENT BONDS (Cost $137,911) ......................... 136,838 96.49 -------- ------ TOTAL BONDS (COST $137,911) ......................... 136,838 96.49 -------- ------ SHORT TERM INVESTMENT COMMERCIAL PAPER ........................ 2,898 2.04 -------- ------ TOTAL SHORT TERM INVESTMENT (COST $2,899) ........................... 2,898 2.04 -------- ------ TOTAL PORTFOLIO (COST $140,810) ......................... 139,736 98.53 OTHER ASSETS & LIABILITIES, NET ........ 2,088 1.47 -------- ------ NET ASSETS ................................ $141,824 100.00% ======== ====== VALUE PRINCIPAL (000) --------- ----- GOVERNMENT BONDS--94.49% U.S. TREASURY SECURITIES--96.49% U.S. TREASURY INFLATION INDEXED $35,325,532 3.625%, 07/15/02 ................. $ 35,061 33,328,296 3.375%, 01/15/07 ................. 32,214 35,222,420 3.625%, 01/15/08 ................. 34,551 36,094,601 3.625%, 04/15/28 ................. 35,012 ---------- 136,838 ---------- TOTAL GOVERNMENT BONDS (Cost $137,911) .................... 136,838 ---------- TOTAL BONDS (Cost $137,911) .................... 136,838 ---------- SHORT TERM INVESTMENT--2.04% COMMERCIAL PAPER--2.04% CSX CORP 2,900,000 ~ 5.600%, 01/04/99 ................. 2,898 ---------- TOTAL SHORT TERM INVESTMENT (Cost $2,899) ...................... 2,898 ---------- TOTAL PORTFOLIO (Cost $140,810) .................... $139,736 ========== ~ Commercial Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. 99 COLLEGE RETIREMENT EQUITIES FUND PARTICIPANT VOTING RESULTS DECEMBER 31, 1998 ----------------- CREF's annual meeting was held on November 11, 1998. The annual meeting involved the election of trustees. The four trustees elected to four-year terms at the annual meeting were: Robert H. Atwell, 26,097,623,351.33 (98.0%) votes were cast in favor, and 540,185,163.69 (2.0%) votes were withheld. Elizabeth E. Bailey, 26,024,304,647.96 (97.7%) votes were cast in favor, and 613,503,867.06 (2.3%) votes were withheld. Stuart Tse Kong Ho, 26,155,619,551.44 (98.2%) votes were cast in favor, and 482,188,963.61 (1.8%) votes were withheld. David K. Storrs, 26,181,620,037.08 (98.3%) votes were cast in favor, and 456,188,477.94 (1.7%) votes were withheld. The other trustees currently in office are: John H. Biggs, Gary P. Brinson, Joyce A. Fecske, Edes P. Gilbert, Nancy L. Jacob, Marjorie Fine Knowles, Martin L. Leibowitz, Jay O. Light, Bevis Longstreth, Robert M. Lovell, Jr., Stephen A. Ross, Eugene C. Sit, Maceo K. Sloan, and Robert W. Vishny. 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, 177,525,679.36 (35.0%) votes were cast in favor, 299,782,242.12 (59.1%) votes were cast in opposition and 30,086,129.60 (5.9%) 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, 5,299,030,165.32 (24.6%) votes were cast in favor, 14,644,002,624.49 (68.1%) votes were cast in opposition and 1,569,735,443.59 (7.3%) abstained. The proposal was defeated. For the Money Market Account, 318,702,925.02 (25.2%) votes were cast in favor, 860,496,439.06 (68.0%) were cast in opposition and 86,184,320.34 (6.8%) abstained. The proposal was defeated. For the Bond Account, 148,962,461.37 (25.3%) votes were cast in favor, 401,162,036.14 (68.1%) votes were cast in opposition and 38,613,697.13 (6.6%) abstained. The proposal was defeated. For the Global Equities Account, 298,560,776.23 (26.1%) votes were cast in favor, 781,962,194.03 (68.3%) votes were cast in opposition and 64,101,614.30 (5.6%) abstained. The proposal was defeated. For the Growth Account, 319,699,090.08 (26.9%) votes were cast in favor, 806,591,848.74 (67.8%) votes were cast in opposition and 63,007,149.20 (5.3%) abstained. The proposal was defeated. For the Equity Index Account, 160,645,618.08 (26.9%) votes were cast in favor, 401,540,506.12 (67.2%) votes were in opposition and 35,102,846.60 (5.9%) abstained. The proposal was defeated. For the Inflation-Linked Bond Account, 4,749,024.10 (21.2%) votes were cast in favor, 15,789,200.94 (70.8%) votes were cast in opposition and 1,774,483.08 (8.0%) abstained. The proposal was defeated. Shareholders also ratified the election of Ernst & Young LLP as the independent auditors for CREF for the fiscal year ending December 31, 1998, 25,993,354,981.88 (97.6%) votes were cast in favor, 224,298,294.51 (0.8%) votes were cast in opposition and 420,155,238.63 (1.6%) abstained. 100 CREF COLLEGE RETIREMENT EQUITIES FUND 730 Third Avenue New York, NY 10017-3206 LOGO Printed of recycled paper 212/490-9000 CAAR--02M-2/99 -----END PRIVACY-ENHANCED MESSAGE-----