-----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, IVwE9Ulh4tqeCF6Gz8eLQPJKn8q48RCqOB9caYg3tQifa5P0OzLO6YDDKOz0iz9n dSThheuNveFh88uoRF6h0g== 0000930413-99-001078.txt : 19990830 0000930413-99-001078.hdr.sgml : 19990830 ACCESSION NUMBER: 0000930413-99-001078 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19990630 FILED AS OF DATE: 19990827 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: 99700738 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 FINANCIAL STATEMENTS (SAR) Semi-Annual Report - -------------------------------------------------------------------------------- COLLEGE RETIREMENT EQUITIES FUND Financial Statements (Unaudited) INCLUDING Statement OF Investments FOR THE Stock Account ------------- June 30, 1999 [GRAPHIC OMITTED] As required by the Investment Company Act of 1940, CREF provides its participants with this semi-annual report of the financial condition and portfolio holdings of the Stock Account. CREF also provides a semi-annual report to participants in the seven other CREF accounts. Annual reports are also provided each year toward the end of February. COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT INDEX TO UNAUDITED FINANCIAL STATEMENTS JUNE 30, 1999 - -------------------------------------------------------------------------------- Page ------ Statement of Assets and Liabilities.................................... 2 Statement of Operations................................................ 3 Statements of Changes in Net Assets.................................... 4 Notes to Financial Statements.......................................... 5 Statement of Investments............................................... 10 1 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENT OF ASSETS AND LIABILITIES (Unaudited) JUNE 30, 1999 (amounts in thousands, except per accumulation unit amount)
ASSETS Portfolio investments, at cost........................................................... $ 70,896,334 Net unrealized appreciation of portfolio investments..................................... 56,280,406 ------------ Portfolio investments, at value.......................................................... 127,176,740 Cash..................................................................................... 85,386 Dividends and interest receivable........................................................ 134,136 Receivable from securities transactions.................................................. 340,452 Amounts due from TIAA.................................................................... 25,046 ------------ TOTAL ASSETS 127,761,760 ------------ LIABILITIES Deposits for securities loaned--Note 4.................................................... 1,809,717 Payable for securities transactions...................................................... 450,886 ------------ TOTAL LIABILITIES 2,260,603 ------------ NET ASSETS Accumulation Fund........................................................................ 103,565,110 Annuity Fund............................................................................. 21,936,047 ------------ TOTAL NET ASSETS $125,501,157 ============ THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6.................................. 553,365 ======= NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5.............................................. $187.16 =======
See notes to financial statements. 2 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENT OF OPERATIONS (Unaudited) SIX MONTHS ENDED JUNE 30, 1999 (amounts in thousands)
INVESTMENT INCOME Income: Interest................................................................................. $ 38,223 Dividends................................................................................ 843,467 ----------- TOTAL INCOME 881,690 ----------- Expenses--Note 3: Investment............................................................................... 61,287 Operating................................................................................ 143,653 ----------- TOTAL EXPENSES 204,940 ----------- INVESTMENT INCOME--NET 676,750 ----------- REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments.................................................................. 6,469,287 Futures transactions................................................................... 66,721 Foreign currency transactions.......................................................... (11,619) ----------- Net realized gain 6,524,389 ----------- Net change in unrealized appreciation on: Portfolio investments.................................................................. 4,603,826 Futures transactions................................................................... 2,936 Translation of assets (other than portfolio investments) and liabilities denominated in foreign currencies.................................... (981) ----------- Net change in unrealized appreciation 4,605,781 ----------- NET REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS 11,130,170 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $11,806,920 ===========
See notes to financial statements. 3 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT STATEMENTS OF CHANGES IN NET ASSETS (amounts in thousands)
SIX MONTHS YEAR ENDED ENDED DECEMBER 31, JUNE 30, 1999 1998 ------------ ------------ (Unaudited) FROM OPERATIONS Investment income--net................................................ $ 676,750 $ 1,312,795 Net realized gain on total investments............................... 6,524,389 11,939,214 Net change in unrealized appreciation on total investments............................................... 4,605,781 8,818,714 ------------ ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 11,806,920 22,070,723 ------------ ------------ FROM PARTICIPANT TRANSACTIONS Premiums............................................................. 1,448,389 2,762,905 ------------ ------------ Disbursements and transfers: Net transfers to TIAA.............................................. 510,849 1,261,329 Net transfers to other CREF Accounts............................... 1,636,617 3,236,208 Annuity payments................................................... 940,545 1,701,354 Withdrawals and repurchases........................................ 957,959 1,641,765 Death benefits..................................................... 79,492 171,064 ------------ ------------ TOTAL DISBURSEMENTS AND TRANSFERS, NET 4,125,462 8,011,720 ------------ ------------ NET DECREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS (2,677,073) (5,248,815) ------------ ------------ NET INCREASE IN NET ASSETS 9,129,847 16,821,908 NET ASSETS Beginning of year.................................................... 116,371,310 99,549,402 ------------ ------------ End of period........................................................ $125,501,157 $116,371,310 ============ ============
See notes to financial statements. 4 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) NOTE 1--ORGANIZATION College Retirement Equities Fund ("CREF") was formed to aid and strengthen nonprofit educational and research organizations by providing their employees with variable retirement benefits. CREF is registered with the Securities and Exchange Commission ("Commission") under the Investment Company Act of 1940 as an open-end, diversified management investment company. It consists of eight investment portfolios. The accompanying financial statements are those of the Stock Account ("Account"), which invests primarily in equity securities. The seven other investment portfolios of CREF, which are not included in these financial statements, include the Money Market Account, which invests in money market instruments; the Bond Market Account, which invests in a broad range of fixed-income securities; the Social Choice Account, which invests in a diversified portfolio of equity and fixed-income securities while giving special consideration to certain social criteria; the Global Equities Account, which invests in equity securities of foreign and domestic companies; the Growth Account, which invests in a diversified portfolio of equity securities that present opportunities for growth; the Equity Index Account, which invests in a diversified portfolio of equity securities selected to track the overall United States stock market; and the Inflation-Linked Bond Account, which invests primarily in inflation-indexed bonds. TIAA-CREF Investment Management, LLC ("Investment Management"), a subsidiary of Teachers Insurance and Annuity Association of America ("TIAA"), a companion organization, is registered with the Commission as an investment adviser and provides investment advisory services for the CREF Accounts pursuant to an Investment Management Services Agreement with CREF. TIAA-CREF Individual & Institutional Services, Inc. ("Services"), a subsidiary of TIAA, which is registered with the Commission as a broker-dealer and is a member of the National Association of Securities Dealers, Inc., provides administrative services for the CREF Accounts and performs distribution functions for CREF's certificates pursuant to a Principal Underwriting and Administrative Services Agreement with CREF. TIAA provides guarantees for the CREF Accounts for certain mortality and expense risks pursuant to an Immediate Annuity Purchase Rate Guarantee Agreement. NOTE 2--SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements may require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, income, expenses and related disclosures. Actual results may differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Account, which are in conformity with generally accepted accounting principles. VALUATION OF INVESTMENTS: Securities listed or traded on any United States national securities exchange are valued at the last sales price as of the close of the principal securities exchange on which such securities are traded or, if there is no sale, at the mean of the last bid and asked prices on such exchange. Securities traded only in the over-the-counter market and quoted in the NASDAQ National Market System are valued at the last sales price, or at the mean of the last bid and asked prices if no sale is reported. All other over-the-counter securities are valued at the mean of the last bid and asked prices, except for bonds which are valued at the most recent bid price or the equivalent quoted yield of such bonds. Short-term money market instruments are stated at market value. Foreign investments are valued at the closing price in the principal market where they are traded; local currencies are converted into U.S. dollars as described below under Foreign Currency Transactions and Translation. Stock index futures and options which are traded on commodities exchanges are valued at the last sale price as of the close of such commodities exchanges. Portfolio securities for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Finance Committee of the Board of Trustees and in accordance with the responsibilities of the Board as a whole. ACCOUNTING FOR INVESTMENTS: Securities transactions are accounted for as of the date the securities are purchased or sold (trade date). Interest income is recorded as earned and, for short-term money market instruments, includes accrual of discount and amortization of premium. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as soon as the Account is informed of the ex-dividend date. Realized gains and losses on security transactions are accounted for on the average cost basis. 5 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(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 fully 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. 6 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED) 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 Services necessary for the operation of the CREF Accounts are provided, at cost, by Investment Management and Services. Such services are provided 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. NOTE 4--INVESTMENTS At June 30, 1999, the value of securities loaned was $1,877,790,184 and collateral received in connection therewith was comprised of cash of $1,809,717,121 and letters of credit of $161,780,878. At June 30, 1999, net unrealized appreciation of portfolio investments was $56,280,405,619, consisting of gross unrealized appreciation of $58,418,092,086 and gross unrealized depreciation of $2,137,686,467. At June 30, 1999, the Account held 3,058 open futures contracts in the Standard & Poor's 500 Index, expiring in September 1999, with a value of $1,056,309,650 and an unrealized gain of $42,238,088. Companies in which the Account held 5% or more of the outstanding voting shares are defined as "affiliated" in the Investment Company Act of 1940. At June 30, 1999, the total value of investments in affiliated companies was $34,663,747. For the six months ended June 30, 1999, total dividend income and the net realized loss relating to such investments were $33,512 and $1,203,302, respectively. 7 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 4--INVESTMENTS--(CONCLUDED) Purchases and sales of portfolio securities, other than short-term money market instruments, for the six months ended June 30, 1999, were as follows: Purchases: Unaffiliated issuers...................................... $17,895,720,449 Affiliated issuers........................................ 20,194,064 --------------- TOTAL PURCHASES $17,915,914,513 =============== Sales: Unaffiliated issuers...................................... $19,618,637,327 Affiliated issuers........................................ 24,188,789 --------------- TOTAL SALES $19,642,826,116 ================ NOTE 5--CONDENSED FINANCIAL INFORMATION Selected condensed financial information for an Accumulation Unit of the Account is presented below.
SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED --------------------------------------------------------- JUNE 30, 1999(1) 1998 1997 1996 1995 1994 -------------- ---- ---- ---- ---- ---- (Unaudited) Per Accumulation Unit Data: Investment income.................... $ 1.305 $ 2.381 $ 2.317 $ 2.114 $ 1.885 $ 1.699 Expenses............................. .303 .521 .387 .304 .271 .223 -------- -------- -------- -------- -------- -------- Investment income--net............... 1.002 1.860 1.930 1.810 1.614 1.476 Net realized and unrealized gain (loss) on investments......... 16.481 29.795 26.864 15.953 19.984 (1.557) -------- -------- -------- -------- -------- -------- Net increase (decrease) in Accumulation Unit Value............ 17.483 31.655 28.794 17.763 21.598 (.081) Accumulation Unit Value: Beginning of year.................. 169.672 138.017 109.223 91.460 69.862 69.943 -------- -------- -------- -------- -------- -------- End of period...................... $187.155 $169.672 $138.017 $109.223 $ 91.460 $ 69.862 ======== ======== ======== ======== ======== ======== Total return........................... 10.30% 22.94% 26.36% 19.42% 30.92% (0.12%) Ratios to Average Net Assets: Expenses............................. 0.17% 0.34% 0.31% 0.31% 0.34% 0.32% Investment income--net............... 0.57% 1.23% 1.55% 1.82% 2.00% 2.11% Portfolio turnover rate................ 15.19% 34.63% 23.25% 19.57% 16.25% 18.77% Thousands of Accumulation Units outstanding at end of period......... 553,365 565,999 597,531 620,498 632,803 637,435
(1) The percentages shown for this period are not annualized 8 COLLEGE RETIREMENT EQUITIES FUND STOCK ACCOUNT NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONCLUDED) NOTE 6--ACCUMULATION UNITS Changes in the number of Accumulation Units outstanding were as follows: SIX MONTHS YEAR ENDED ENDED JUNE 30, 1999 DECEMBER 31, 1998 ------------ ---------------- (Unaudited) Credited for premiums......................... 8,215,993 17,047,048 Cancelled for transfers, disbursements and amounts applied to the Annuity Fund......... (20,849,448) (48,579,351) Outstanding: Beginning of year........................... 565,998,901 597,531,204 ----------- ----------- End of period............................... 553,365,446 565,998,901 =========== =========== NOTE 7--LINE OF CREDIT The Stock, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts share in a $2 billion unsecured revolving credit facility for temporary or emergency purposes, including, without limitation, the funding of participant redemptions that otherwise might require the untimely disposition of securities. An annual commitment fee is charged for this facility, which is allocated among the participating Accounts. Interest associated with any borrowing under the credit facility will be charged to the borrowing Accounts at rates which are based on the Federal Funds Rate in effect during the time of the borrowing. For the six months ended June 30, 1999, there were no borrowings under the credit facility. 9 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED) JUNE 30, 1999 SUMMARY BY INDUSTRY (000) VALUE % --------- ----- BONDS CORPORATE BONDS AUTOMOTIVE DEALERS AND SERVICE STATIONS ......... $ 413 0.00% DEPOSITORY INSTITUTIONS 20,307 0.02 ELECTRIC, GAS, AND SANITARY SERVICES 5,402 0.00 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT ......... 13,146 0.01 HOLDING AND OTHER INVESTMENT OFFICES ............ 70 0.00 METAL MINING .................................... 313 0.00 SECURITY AND COMMODITY BROKERS .................. 66,050 0.05 TRUCKING AND WAREHOUSING ........................ 5,632 0.01 ---------- ------ TOTAL CORPORATE BONDS (COST $88,968) ................................. 111,333 0.09 ---------- ------ GOVERNMENT BONDS GOVERNMENT BONDS ................................ 356 0.00 ---------- ------ TOTAL GOVERNMENT BONDS (COST $381) ................................... 356 0.00 ---------- ------ TOTAL BONDS (COST $89,349) ................................ 111,689 0.09 ---------- ------ PREFERRED STOCK APPAREL AND OTHER TEXTILE PRODUCTS .............. 677 0.00 BUSINESS SERVICES ............................... 40,462 0.03 CHEMICALS AND ALLIED PRODUCTS ................... 16,158 0.01 COMMUNICATIONS .................................. 18,283 0.01 DEPOSITORY INSTITUTIONS ......................... 2,270 0.00 ELECTRIC, GAS, AND SANITARY SERVICES ............ 7,945 0.01 FABRICATED METAL PRODUCTS ....................... 1,624 0.00 FOOD AND KINDRED PRODUCTS ....................... 854 0.00 GENERAL MERCHANDISE STORES ...................... 11,778 0.01 HEALTH SERVICES ................................. 46 0.00 HEAVY CONSTRUCTION, EXCEPT BUILDING ............. 164 0.00 HOLDING AND OTHER INVESTMENT OFFICES ............ 1,061 0.00 INSTRUMENTS AND RELATED PRODUCTS ................ 12 0.00 INSURANCE AGENTS, BROKERS AND SERVICE ........... 7,147 0.01 INSURANCE CARRIERS .............................. 8,998 0.01 METAL MINING .................................... 1,294 0.00 NONDEPOSITORY INSTITUTIONS ...................... 88 0.00 OIL AND GAS EXTRACTION .......................... 2,914 0.00 PAPER AND ALLIED PRODUCTS ....................... 6 0.00 PRIMARY METAL INDUSTRIES ........................ 199 0.00 PRINTING AND PUBLISHING ......................... 30,733 0.02 REAL ESTATE ..................................... 273 0.00 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ............................... 8,268 0.01 STONE, CLAY, AND GLASS PRODUCTS ................. 205 0.00 TRANSPORTATION EQUIPMENT ........................ 7,712 0.01 ---------- ------ TOTAL PREFERRED STOCK (COST $106,678) ................................ 169,171 0.13 ---------- ------ COMMON STOCK AGRICULTURAL PRODUCTION-CROPS ................... $ 34,955 0.03% AGRICULTURAL SERVICES ........................... 2,861 0.00 AMUSEMENT AND RECREATION SERVICES ............... 255,257 0.20 APPAREL AND ACCESSORY STORES .................... 727,621 0.58 APPAREL AND OTHER TEXTILE PRODUCTS .............. 178,744 0.14 AUTO REPAIR, SERVICES AND PARKING ............... 60,038 0.05 AUTOMOTIVE DEALERS AND SERVICE STATIONS ......... 61,790 0.05 BUILDING MATERIALS AND GARDEN SUPPLIES .......... 903,509 0.72 BUSINESS SERVICES ............................... 7,780,285 6.20 CHEMICALS AND ALLIED PRODUCTS ................... 14,033,978 11.18 COAL MINING ..................................... 2,303 0.00 COMMUNICATIONS .................................. 17,095,472 13.62 DEPOSITORY INSTITUTIONS ......................... 11,365,971 9.06 EATING AND DRINKING PLACES ...................... 755,091 0.60 EDUCATIONAL SERVICES ............................ 23,272 0.02 ELECTRIC, GAS, AND SANITARY SERVICES ............ 4,474,316 3.57 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT ..................................... 10,159,275 8.10 ENGINEERING AND MANAGEMENT SERVICES ............. 151,253 0.12 FABRICATED METAL PRODUCTS ....................... 824,131 0.66 FISHING, HUNTING, AND TRAPPING .................. 6 0.00 FOOD AND KINDRED PRODUCTS ....................... 4,246,043 3.38 FOOD STORES ..................................... 1,094,446 0.87 FORESTRY ........................................ 30,046 0.02 FURNITURE AND FIXTURES .......................... 201,639 0.16 FURNITURE AND HOMEFURNISHINGS STORES ............ 383,261 0.31 GENERAL BUILDING CONTRACTORS .................... 201,185 0.16 GENERAL MERCHANDISE STORES ...................... 2,500,972 1.99 HEALTH SERVICES ................................. 446,286 0.36 HEAVY CONSTRUCTION, EXCEPT BUILDING ............. 105,244 0.08 HOLDING AND OTHER INVESTMENT OFFICES ............ 905,525 0.72 HOTELS AND OTHER LODGING PLACES ................. 306,275 0.24 INDUSTRIAL MACHINERY AND EQUIPMENT .............. 9,480,255 7.55 INSTRUMENTS AND RELATED PRODUCTS ................ 2,847,332 2.27 INSURANCE AGENTS, BROKERS AND SERVICE ........... 215,555 0.17 INSURANCE CARRIERS .............................. 6,169,353 4.92 LEATHER AND LEATHER PRODUCTS .................... 11,745 0.01 LEGAL SERVICES .................................. 3,501 0.00 LOCAL AND INTERURBAN PASSENGER TRANSIT .......... 116,789 0.09 LUMBER AND WOOD PRODUCTS ........................ 272,249 0.22 METAL MINING .................................... 371,542 0.30 MISCELLANEOUS MANUFACTURING INDUSTRIES .................................... 407,647 0.33 MISCELLANEOUS RETAIL ............................ 890,997 0.71 MOTION PICTURES ................................. 967,775 0.77 NONDEPOSITORY INSTITUTIONS ...................... 2,260,721 1.80 NONMETALLIC MINERALS, EXCEPT FUELS .............. 77,681 0.06 OIL AND GAS EXTRACTION .......................... 1,137,829 0.91 10 See notes to financial statements. COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED) JUNE 30, 1999 SUMMARY BY INDUSTRY (Continued) (000) VALUE % --------- ----- PAPER AND ALLIED PRODUCTS ..................... $ 951,945 0.76% PERSONAL SERVICES ............................. 99,137 0.08 PETROLEUM AND COAL PRODUCTS ................... 4,993,103 3.98 PIPELINES, EXCEPT NATURAL GAS ................. 11,664 0.01 PRIMARY METAL INDUSTRIES ...................... 878,836 0.70 PRINTING AND PUBLISHING ....................... 1,130,542 0.90 RAILROAD TRANSPORTATION ....................... 477,133 0.38 REAL ESTATE ................................... 305,894 0.24 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ............................ 574,774 0.46 SECURITY AND COMMODITY BROKERS ................ 1,386,880 1.11 SOCIAL SERVICES ............................... 5,471 0.00 SPECIAL TRADE CONTRACTORS ..................... 35,212 0.03 STONE, CLAY, AND GLASS PRODUCTS ............... 588,254 0.47 TEXTILE MILL PRODUCTS ......................... 103,238 0.08 TOBACCO PRODUCTS .............................. 977,963 0.78 TRANSPORTATION BY AIR ......................... 605,090 0.48 TRANSPORTATION EQUIPMENT ...................... 4,532,558 3.61 TRANSPORTATION SERVICES ....................... 89,842 0.07 TRUCKING AND WAREHOUSING ...................... 189,747 0.15 WATER TRANSPORTATION .......................... 253,547 0.20 WHOLESALE TRADE-DURABLE GOODS ................. 181,640 0.15 WHOLESALE TRADE-NONDURABLE GOODS .............. 949,459 0.76 ------------ ------ TOTAL COMMON STOCK (COST $67,667,053) .......................... 123,863,950 98.70 ============ ===== SHORT TERM INVESTMENTS CERTIFICATES OF DEPOSIT ....................... $ 54,993 0.04% COMMERCIAL PAPER .............................. 2,465,278 1.96 MEDIUM TERM BONDS ............................. 57,530 0.05 U.S. GOVERNMENT & AGENCIES .................... 347,661 0.28 VARIABLE RATE NOTES ........................... 106,468 0.09 ------------ ------ TOTAL SHORT TERM INVESTMENTS (COST $3,033,254) ........................... 3,031,930 2.42 ------------ ------ TOTAL PORTFOLIO (COST $70,896,334) .......................... 127,176,740 101.34 OTHER ASSETS & LIABILITIES, NET .......... (1,675,583) (1.34) ------------ ------ NET ASSETS .................................... $125,501,157 100.00% ============ ====== See notes to financial statements. 11 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (Unaudited) JUNE 30, 1999 SUMMARY BY COUNTRY Value (000) % --------- --- DOMESTIC UNITED STATES $ 100,679,335 79.17% ------------ ------ TOTAL DOMESTIC 100,679,335 79.17 ------------ ------ FOREIGN ARGENTINA 16,806 0.01 AUSTRALIA 637,143 0.50 AUSTRIA 34,633 0.03 BELGIUM 273,296 0.22 BRAZIL 17,944 0.02 CANADA 830,767 0.65 CHILE 67,645 0.05 CHINA 13,522 0.01 DENMARK 135,507 0.11 FINLAND 519,502 0.41 FRANCE 2,068,315 1.63 GERMANY 2,090,361 1.64 HONG KONG 459,867 0.36 HUNGARY 5,336 0.00 INDIA 132,379 0.10 IRELAND 183,259 0.14 ITALY 1,098,141 0.86 JAPAN 5,317,940 4.18 LUXEMBOURG 10,887 0.01 MALAYSIA 59,854 0.05 MEXICO 4,410 0.00 NETHERLANDS 1,403,399 1.10 NEW ZEALAND 37,624 0.03 NORWAY 84,495 0.07 PORTUGAL 123,025 0.10 SINGAPORE 202,589 0.16 SOUTH AFRICA 28,635 0.02 SPAIN 751,263 0.59 SWEDEN 630,892 0.50 SWITZERLAND 1,470,760 1.16 UNITED KINGDOM 4,754,541 3.74 ZIMBABWE 738 0.00 ------------ ------ TOTAL FOREIGN 23,465,475 18.45 TOTAL SHORT TERM 3,031,930 2.38 ------------ ------ TOTAL PORTFOLIO $127,176,740 100.00% ============ ====== See notes to financial statements. 12 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--STOCK ACCOUNT (UNAUDITED) JUNE 30, 1999 VALUE PRINCIPAL (000) --------- --------- BONDS--0.09% CORPORATE BONDS--0.09% AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.00% $ 413,400 o UGLY DUCKLING CORP (SUB DEB) 12.000%, 10/23/03 .................... $ 413 ------------- DEPOSITORY INSTITUTIONS--0.02% 210,884(1) BANCA INTESA (CV DEB) 1.600%, 01/01/03 ...................... 393 16,220(1) BANCA INTESA (CV DEB) (RISP) 1.600%, 01/01/03 ...................... 37 2,580,000,000(2) FUJI BANK 0.250%, 02/01/02 ...................... 15,075 983,000,000(2) MITSU TRUST & BANKING (CV DEB) 0.500%, 10/01/07 ...................... 4,802 ------------- 20,307 ELECTRIC, GAS, AND SANITARY SERVICES--0.00% 4,979,000 WMX TECHNOLOGIES, INC (SUB CV NOTE) 2.000%, 04/24/05 ...................... 5,402 ------------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--0.01% 950,000,000(2) SONY CORP 1.400%, 03/31/05 ...................... 13,146 ------------- HOLDING AND OTHER INVESTMENT OFFICES--0.00% 24,621 VALUE REALISATION TRUST DEB 1.400%, 09/30/06 ...................... 70 ------------- METAL MINING--0.00% 791,298 RGC GOLD 0.000%, 12/31/00 ...................... 313 ------------- SECURITY AND COMMODITY BROKERS--0.05% 26,025,000 MORGAN STANLEY DEAN WITTER 7.500%, 05/08/00 ...................... 54,660 5,987,000 3.000%, 05/17/00 ...................... 11,390 ------------- 66,050 ------------- TRUCKING AND WAREHOUSING--0.01% 340,000,000(2) YAMATO TRANSPORT (CV DEB) 1.700%, 09/30/02 ...................... 5,632 ------------- TOTAL CORPORATE BONDS (COST $88,968) ........................ 111,333 ------------- GOVERNMENT BONDS--0.00% GOVERNMENT BONDS--0.00% 325,000 U.S. TREASURY BOND 11.750%, 02/15/01 ..................... 356 ------------- TOTAL GOVERNMENT BONDS (COST $381) ........................... 356 ------------- TOTAL BONDS (COST $89,349) ........................ 111,689 ------------- - ------- (1) Denominated in Italian Lira (2) Denominated in Japanese Yen VALUE SHARES (000) ---------- --------- PREFERRED STOCK--0.13% APPAREL AND OTHER TEXTILE PRODUCTS--0.00% 5,050 ESCADA AG. ................................... $ 677 ------------- BUSINESS SERVICES--0.03% 101,250 [] SAP AG. ...................................... 40,462 ------------- CHEMICALS AND ALLIED PRODUCTS--0.01% 941,176 #o ADVANCED MEDICINE SERIES C ................... 8,000 1,713 CIN-CORPARACAO INDUSTRIAL .................... 39 23,000 o HENKEL KGAA .................................. 1,570 25,000 o MONSANTO CO .................................. 1,003 2,758,725 #o NETGENICS, INC CV SERIES D ................... 5,517 40 WELLA GROUP AG. .............................. 29 ------------- 16,158 ------------- COMMUNICATIONS--0.01% 85,158 AIRTOUCH COMMUNICATIONS, INC CV SERIES C ..... 12,577 66,267,124 EMBRATEL PARTICIPACOES S.A. .................. 919 66,267,124 o TELEBRAS S.A. ................................ 3 72,681,357 TELECENTROESTE CELULAR PARTICIPACOES S.A...... 91 66,267,124 TELECENTRO-SUL PARTICIPACOES S.A. ............ 728 66,267,124 TELENORTE-LESTE PARTICIPACOES S.A. ........... 1,203 66,267,124 o TELESP CELULAR S.A. .......................... 695 66,267,124 TELESP PARTICIPACOES S.A. .................... 1,551 66,267,124 TELESUDESTE CELULAR S.A. ..................... 376 66,267,124 TELESUL CELULAR PARTICIPACOES S.A. ........... 140 ------------- 18,283 ------------- DEPOSITORY INSTITUTIONS--0.00% 2,252,000 BANCO ITAU S.A. ............................. 1,156 219,454,122 BRADESCO S.A. ............................... 1,114 ------------- 2,270 ------------- ELECTRIC, GAS, AND SANITARY SERVICES--0.01% 38,848,207 CEMIG S.A. .................................. 811 23,122,930 CENTRAIS GERADORAS BRASIL ................... 19 27,304 CIA PAULISTA DE FORCA & LUZ ................. 2 18,310 o CIA PAULISTA E LUZ-DVD ...................... 1 23,122,930 ELECTROBRAS S.A. SERIES B ................... 466 2,491,107 o ELETROPAULO METROPOLITANA ................... 111 5,000 HOUSTON INDUSTRIES, INC ACES ................ 596 170,870 o RHEIN-WESTFALEN ELECTRIC AG. (NON-VOTE) ..... 5,939 ------------- 7,945 ------------- FABRICATED METAL PRODUCTS--0.00% 5,748 FRIEDRICH-GROHE AG. ......................... 1,624 ------------- FOOD AND KINDRED PRODUCTS--0.00% 1,516,000 o BRAHMA S.A. ................................. 854 ------------- GENERAL MERCHANDISE STORES--0.01% 210,200 HARCOURT GENERAL, INC SERIES A .............. 11,778 ------------- HEALTH SERVICES--0.00% 8,534 o MEDIQ, INC SERIES A ......................... 46 ------------- HEAVY CONSTRUCTION, EXCEPT BUILDING--0.00% 5,500 o BAU HOLDINGS AG. ............................ 164 ------------- HOLDING AND OTHER INVESTMENT OFFICES--0.00% 18,432 KIMCO REALTY CORP SERIES D .................. 452 11,020 PRIME RETAIL, INC ........................... 176 10,063 SUPERIOR TRUST I SERIES A ................... 433 ------------- 1,061 ------------- INSTRUMENTS AND RELATED PRODUCTS--0.00% 816,100 o FRESENIUS MEDICAL CARE (CLASS D) ............ 12 ------------- See notes to financial statements. 13 VALUE SHARES (000) ---------- --------- INSURANCE AGENTS, BROKERS AND SERVICE -- 0.01% 15,000 MARSCHOLLER LAUT UND PARTNER ................ $ 7,147 ------------- INSURANCE CARRIERS--0.01% 106,672 AETNA, INC SERIES C ........................ 7,920 12,900 AXA COLONIA KONZERN AG. .................... 1,078 ------------- 8,998 ------------- METAL MINING--0.00% 65,532 VALE DO RIO DOCE NAVEGACAO S.A. SERIES A ................................... 1,294 ------------- NONDEPOSITORY INSTITUTIONS--0.00% 23,604 INTERNATIONALE NEDERLANDEN GROEP NV ........ 88 ------------- OIL AND GAS EXTRACTION--0.00% 18,787,000 PETROBRAS S.A. ............................. 2,914 ------------- PAPER AND ALLIED PRODUCTS--0.00% 1,670 BUHRMANN NV ................................ 6 ------------- PRIMARY METAL INDUSTRIES--0.00% 1,600,000 o MET GERDAU S.A. ............................ 48 44,800 USINAS SIDER MINAS GERAIS S.A. ............. 151 ------------- 199 ------------- PRINTING AND PUBLISHING--0.02% 4,033,997 [] NEWS CORP LTD (LTD- VOTE) .................. 30,733 ------------- REAL ESTATE--0.00% 18,300 PRICE ENTERPRISES, INC ..................... 273 ------------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.01% 132,287 SEALED AIR CORP (CLASS A) .................. 8,268 ------------- STONE, CLAY, AND GLASS PRODUCTS--0.00% 679 DYCKERHOFF ZEMENTWERKE AG. ................. 205 ------------- TRANSPORTATION EQUIPMENT--0.01% 31,500 o MAN AG. (VORZUG) ........................... 715 12,900 RHEINMETALL AG. ............................ 231 183,000 VOLKSWAGEN AG. ............................. 6,766 ------------- 7,712 ------------- TOTAL PREFERRED STOCK (COST $106,678) ......................................... 169,171 ------------- COMMON STOCK--98.70% AGRICULTURAL PRODUCTION-CROPS--0.03% 14,872 []o AGRITOPE, INC .............................. 52 3,309 DELTA & PINE LAND CO ....................... 104 758,000 GOLDEN HOPE PLANTATIONS BERHAD ............. 586 15,900 KORN-OG FODERSTOF KOMPAGNIET AS ............ 354 869,563 PIONEER-HI-BRED INTERNATIONAL, INC ......... 33,859 ------------- 34,955 ------------- AGRICULTURAL SERVICES--0.00% 117,600 CADIZ, INC ................................. 1,110 69,512 CRESUD SACIFYA ............................. 75 123,600 VETERINARY CENTERS OF AMERICA, INC ......... 1,676 ------------- 2,861 ------------- AMUSEMENT AND RECREATION SERVICES--0.20% 56,076 o AMERICAN SKIING CO ......................... 228 219,500 []o AMF BOWLING, INC ........................... 1,852 113,200 o ANCHOR GAMING CO ........................... 5,441 176,000 o ARGOSY GAMING CORP ......................... 1,551 110,329 []o BALLY TOTAL FITNESS HOLDINGS CORP .......... 3,131 613,000 o BERJAYA SPORTS TOTO BERHAD ................. 1,278 258,645 o BOYD GAMING CORP ........................... 1,811 14,400 o CHAMPIONSHIP AUTO RACING TEAMS, INC ........ 431 4,800 [] CHURCHILL DOWNS, INC ....................... 166 1,800 DOVER DOWNS ENTERTAINMENT, INC ............. 32 2,640,788 EMI GROUP PLC .............................. 21,188 2,100 []o FAMILY GOLF CENTERS, INC ................... 16 117,700 o FLORIDA PANTHERS HOLDINGS, INC ............. 1,258 2,993,755 GRANADA GROUP LTD (CLASS A) ................ 55,543 962,574 o HARRAH'S ENTERTAINMENT, INC ................ 21,177 132,200 o HOLLYWOOD PARK, INC ........................ 2,247 8,800 o INTERNATIONAL SPEEDWAY CORP (CLASS A) ...... 418 2,750 o ISLE OF CAPRI CASINOS, INC ................. 19 67,000 o LAKES GAMING, INC .......................... 733 1,324,950 o MAGNUM CORP BERHAD ......................... 870 236,417 o MIRAGE RESORT, INC ......................... 3,960 735,000 o MULTI-PURPOSE HOLDINGS BERHAD .............. 392 48,760 o PENN NATIONAL GAMING, INC .................. 451 13,000 o PLAYERS INTERNATIONAL, INC ................. 93 2,796,428 o PREMIER PARKS, INC ......................... 102,769 57,934 o PRESIDENT CASINOS, INC ..................... 101 700 SANKYO CO LTD .............................. 33 148,577 o SFX ENTERTAINMENT, INC (CLASS A) ........... 9,509 16,640 o SKIS ROSSIGNOL S.A. ........................ 223 5,100 o SPEEDWAY MOTORSPORTS, INC .................. 200 208,623 STAR CITY HOLDINGS LTD ..................... 203 129,197 o STATION CASINOS, INC ....................... 2,632 922,721 [] TABCORP HOLDINGS LTD ....................... 6,217 232,000 o TOKYO DOME CORP ............................ 1,346 380,000 TOKYO TOKEIBA CO LTD ....................... 622 199,400 o WESTWOOD ONE, INC .......................... 7,116 ------------- 255,257 ------------- APPAREL AND ACCESSORY STORES--0.58% 965,502 o ABERCROMBIE & FITCH CO (CLASS A) ........... 46,344 213,200 o AMERICAN EAGLE OUTFITTERS, INC ............. 9,701 87,002 o ANN TAYLOR STORES CORP ..................... 3,915 109,050 o BUCKLE, INC ................................ 3,135 1,024 BURLINGTON COAT FACTORY WAREHOUSE CORP ............................. 20 286,400 CATO CORP (CLASS A) ........................ 3,329 23,100 o CHARMING SHOPPES, INC ...................... 141 66,300 o CHILDRENS PLACE RETAIL STORES .............. 2,685 233,100 CLAIRES STORES, INC ........................ 5,973 108,618 CLAIRES STORES, INC (CLASS A) .............. 2,783 163,000 DEB SHOPS, INC ............................. 3,240 62,441 DOUGLAS HOLDINGS AG. ....................... 2,801 106,100 o DRESS BARN, INC ............................ 1,698 7,469 EDGARS CONSOLIDATED STORES LTD ............. 58 4,184 xo EDISON BROTHERS STORES WTS 09/26/05 ........ 0 123,000 o FINISH LINE, INC (CLASS A) ................. 1,384 262,769 o FOOTSTAR, INC .............................. 9,772 50,000 o GADZOOKS, INC .............................. 800 4,830,982 GAP, INC ................................... 243,361 561,300 o GENESCO, INC ............................... 8,174 109,600 o GOODYS FAMILY CLOTHING, INC ................ 1,254 202,400 o GYMBOREE CORP .............................. 2,125 2,122,380 [] HENNES & MAURITZ AB SERIES B ............... 52,423 116,217 [] INTIMATE BRANDS, INC (CLASS A) ............. 5,506 1,550 []o JUST FOR FEET, INC ......................... 10 3,467,092 LIMITED, INC ............................... 157,319 166,050 o MENS WAREHOUSE, INC ........................ 4,234 146,090 NORDSTROM, INC ............................. 4,894 35,100 o NORTH FACE, INC ............................ 347 140,475 o PACIFIC SUNWEAR CALIFORNIA, INC ............ 3,424 200 o PAUL HARRIS STORES, INC .................... 1 203,743 o PAYLESS SHOESOURCE, INC .................... 10,900 183,600 o PETRIE STORES CORP (LIQUIDATING TRUST) ..... 436 810,000 ROSS STORES, INC ........................... 40,804 1,908 SALAMANDER AG. ............................. 287 500 SHIMAMAURA CO LTD .......................... 42 11,300 o STAGE STORES, INC .......................... 73 171,600 o STEIN MART, INC ............................ 1,609 87,903 []o SYMS CORP .................................. 714 1,000 TALBOTS, INC ............................... 38 2,598,666 TJX COS, INC ............................... 86,568 12,900 o URBAN OUTFITTERS, INC ...................... 324 14 See notes to financial statements. VALUE SHARES (000) ---------- --------- APPAREL AND ACCESSORY STORES--(CONTINUED) 139,500 o WET SEAL, INC (CLASS A) ....................... 3,993 26,000 o YORK-BENIMARU ................................. 982 ------------- 727,621 ------------- APPAREL AND OTHER TEXTILE PRODUCTS--0.14% 194,900 AOYAMA TRADING CO LTD ......................... 6,151 121,268 AUTHENTIC FITNESS CORP ........................ 2,122 5,619,500 [] BENETTON GROUP S.P.A. ......................... 11,069 72,000 o COLUMBIA SPORTSWEAR CO ........................ 1,107 1,900 o CYRK, INC ..................................... 12 156,400 o DONNA KARAN INTERNATIONAL, INC ................ 1,554 17 ESCADA AG. (STAMM) ............................ 2 185,937 o FRUIT OF THE LOOM LTD (CLASS A) ............... 1,813 4,800 o GUESS ?, INC .................................. 66 846,000 GUNZE LTD ..................................... 2,237 12,630 o HARTMARX CORP ................................. 53 1,251,455 o JONES APPAREL GROUP, INC ...................... 42,941 253,890 KELLWOOD CO ................................... 6,887 2,491,000 [] KURARAY CO LTD ................................ 29,964 424,800 LIZ CLAIBORNE, INC ............................ 15,505 325,400 o NAUTICA ENTERPRISES, INC ...................... 5,491 197,000 ONWARD KASHIYMA CO LTD ........................ 2,165 217,500 OSHKOSH B'GOSH, INC (CLASS A) ................. 4,595 97,500 OXFORD INDUSTRIES, INC ........................ 2,760 13,193 xo PARAGON TRADE BRANDS, INC ..................... 9 307,733 PHILLIPS VAN HEUSEN CORP ...................... 3,039 4,423 PILLOWTEX CORP ................................ 72 84,800 o POLO RALPH LAUREN CORP ........................ 1,611 330,600 o QUIKSILVER, INC ............................... 8,616 742,100 []o RENOWN, INC ................................... 1,042 295,000 [] TOKYO STYLE CO LTD ............................ 3,168 8,900 o TOMMY HILFIGER CORP ........................... 654 240,158 VF CORP ....................................... 10,267 392,055 WACOAL CORP ................................... 3,990 365,699 WARNACO GROUP, INC (CLASS A) .................. 9,782 ------------- 178,744 ------------- AUTO REPAIR, SERVICES AND PARKING--0.05% 468,183 o AVIS RENT A CAR, INC .......................... 13,636 173,601 o BUDGET GROUP, INC ............................. 2,137 1,000 CENTRAL PARKING CORP .......................... 34 1,067,000 o COMFORT GROUP LTD ............................. 658 382,218 o DOLLAR THRIFTY AUTOMOTIVE GROUP, INC .......... 8,887 129,265 HERTZ CORP (CLASS A) .......................... 8,014 65,697 o IMPERIAL HOLDINGS LTD ......................... 653 217,457 MIDAS, INC .................................... 6,170 61,770 o NATIONAL AUTO CREDIT, INC ..................... 62 700,167 ROLLINS TRUCK LEASING CORP .................... 7,789 461,452 RYDER SYSTEM, INC ............................. 11,998 ------------- 60,038 ------------- AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.05% 25,800 [] AUTOBACS SEVEN CO LTD ......................... 1,253 1,277,549 o AUTONATION, INC ............................... 22,756 279,900 o AUTOZONE, INC ................................. 8,432 215,700 CANADIAN TIRE, INC (CLASS A) .................. 6,267 2,300 o CIRCUIT CITY STORES, INC (CARMAX GROUP) ....... 12 270,800 o COPART, INC ................................... 5,755 235,400 o CSK AUTO CORP ................................. 6,356 97,498 o DISCOUNT AUTO PARTS, INC ...................... 2,352 110,100 o GROUP 1 AUTOMOTIVE, INC ....................... 2,326 96,286 LEX SERVICE GROUP LTD ......................... 886 323,958 LONHRO AFRICA PLC ............................. 245 48,100 o OREILLY AUTOMOTIVE, INC ....................... 2,423 7,922 PENDRAGON PLC ................................. 21 74,305 PEP BOYS MANNY, MOE, & JACK CO ................ 1,607 103,400 o UNITED AUTO GROUP, INC ........................ 1,060 2,700 o WEST MARINE, INC .............................. 39 ------------- 61,790 ------------- BUILDING MATERIALS AND GARDEN SUPPLIES--0.72% 420,851 CRH PLC ....................................... 7,465 118,300 [] FASTENAL CO ................................... 6,203 11,321,189 HOME DEPOT, INC ............................... 729,509 2,567,730 LOWES COS, INC ................................ 145,558 39,189 PORTLAND VALDERRIVAS S.A. ..................... 1,233 900 o TRACTOR SUPPLY CO ............................. 25 1,795,718 WOLSELEY PLC .................................. 13,516 ------------- 903,509 ------------- BUSINESS SERVICES--6.20% 100 o 3DO CO ........................................ 0 93,000 AARON RENTS, INC .............................. 2,069 112,300 o ABACUS DIRECT CORP ............................ 10,275 3,100 ABM INDUSTRIES, INC ........................... 95 837,700 o ACCLAIM ENTERTAINMENT, INC .................... 5,340 25,454 o ACKERLEY GROUP, INC ........................... 463 819,279 o ACNEILSEN CORP ................................ 24,783 1,900 o ACTIVISION, INC ............................... 28 269,720 o ACXIOM CORP ................................... 6,726 218,500 ADECCO S.A. ADR ............................... 14,640 54,654 o ADECCO S.A. (REGD) ............................ 29,285 8,400 o ADMINSTAFF, INC ............................... 134 671,144 ADOBE SYSTEMS, INC ............................ 55,139 26,700 o ADVANTAGE LEARNING SYSTEMS, INC ............... 591 80,300 o ADVENT SOFTWARE, INC .......................... 5,380 335,530 o ADVO, INC ..................................... 6,962 212,800 o AFFILIATED COMPUTER SERVICES, INC ............. 10,773 66,100 o ALTERNATIVE RESOURCES CORP .................... 463 7,227,561 AMERICA ONLINE, INC ........................... 798,645 684,825 o AMERICAN MANAGEMENT SYSTEMS, INC .............. 21,957 10,300 o AMERICAN SOFTWARE, INC (CLASS A) .............. 46 200,900 ANALYSTS INTERNATIONAL CORP ................... 2,888 63,300 []o ANSWERTHINK CONSULTING GROUP .................. 1,598 157,200 o APAC TELESERVICES, INC ........................ 511 46,000 o APTECH LTD .................................... 759 46,300 o ARIS CORP ..................................... 385 104,500 o ASPECT DEVELOPMENT, INC ....................... 1,933 2,100 o ASPEN TECHNOLOGY, INC ......................... 25 301,000 AUTODESK, INC ................................. 8,898 3,725,281 AUTOMATIC DATA PROCESSING, INC ................ 163,912 351,400 o AVANT CORP .................................... 4,436 74,900 o AVT CORP ...................................... 2,837 110,600 o AXENT TECHNOLOGIES, INC ....................... 1,230 8,551 o AZTEC TECHNOLOGY PARTNERS, INC ................ 16 200 o BANYAN SYSTEMS, INC ........................... 2 208,500 []o BEA SYSTEMS, INC .............................. 5,955 59,900 o BILLING CONCEPTS CORP ......................... 670 22,300 o BISYS GROUP, INC .............................. 1,305 1,244,582 o BMC SOFTWARE, INC ............................. 67,207 186,100 o BORG-WARNER SECURITY CORP ..................... 3,780 38,700 o BORON, LEPORE & ASSOCIATES, INC ............... 324 119,200 o BROADVISION, INC .............................. 8,791 146,928 o BUILDING ONE SERVICES CORP .................... 2,039 200 o CACI INTERNATIONAL, INC (CLASS A) ............. 5 1,898,074 o CADENCE DESIGN SYSTEMS, INC ................... 24,200 39,900 o CAMBRIDGE TECHNOLOGY PARTNERS, INC ............ 701 192,150 []o CAP GEMINI S.A. ............................... 30,200 800,000 CAPITA GROUP PLC .............................. 8,279 124,400 []o CARIBINER INTERNATIONAL, INC .................. 770 62,462 o CATALINA MARKETING CORP ....................... 5,747 1,200 o CCC INFORMATION SERVICES GROUP, INC ........... 15 69,848 o CDI CORP ...................................... 2,379 4,790 o CELLULAR TECHNICAL SERVICES CO ................ 16 153,200 []o CENTURY BUSINESS SERVICES, INC ................ 2,221 3,052,877 o CERIDIAN CORP ................................. 99,791 170,800 o CERNER CORP ................................... 3,581 133,800 o CHECKFREE HOLDINGS CORP ....................... 3,688 See notes to financial statements. 15 VALUE SHARES (000) ---------- --------- BUSINESS SERVICES--(CONTINUED) 146,829 o CHOICEPOINT, INC .............................. $ 9,856 663,900 o CIBER, INC .................................... 12,697 393,870 o CITRIX SYSTEMS, INC ........................... 22,254 69,300 o CLARIFY, INC .................................. 2,859 464,904 []o CMGI, INC ..................................... 53,028 326,630 []o CNET, INC ..................................... 18,822 183,974 o COMDISCO, INC ................................. 4,714 90,600 o COMPAREX HOLDINGS LTD ......................... 571 89,287 o COMPLETE BUSINESS SOLUTIONS, INC .............. 1,602 3,197,405 COMPUTER ASSOCIATES INTERNATIONAL, INC ............................ 175,857 260,600 o COMPUTER HORIZONS CORP ........................ 3,600 1,581,481 o COMPUTER SCIENCES CORP ........................ 109,419 213,619 COMPUTER TASK GROUP, INC ...................... 3,632 2,628,800 o COMPUWARE CORP ................................ 83,629 194,400 o CONCORD COMMUNICATIONS, INC ................... 8,748 1,809,379 o CONVERGYS CORP ................................ 34,831 13,800 o CORSAIR COMMUNICATIONS, INC ................... 59 161,800 o CORT BUSINESS SERVICES CORP ................... 3,873 80,900 o COTELLIGENT, INC .............................. 632 156,000 CREATIVE TECHNOLOGY LTD ....................... 2,034 961,800 o CSG SYSTEMS INTERNATIONAL, INC ................ 25,187 49,800 [] CSK CORP ...................................... 1,131 4,894 o CYBERGUARD CORP ............................... 6 2,400 o DAOU SYSTEMS, INC ............................. 14 224,100 []o DASSAULT SYSTEMS S.A. ......................... 7,407 338 o DATA BROADCASTING CORP ........................ 4 42,900 []o DATA DIMENSIONS, INC .......................... 142 108,400 o DATA PROCESSING RESOURCES CORP ................ 2,561 230,590 o DATASTREAM SYSTEMS, INC ....................... 3,689 55,285 o DBT ONLINE, INC ............................... 1,811 1,100 []o DECISIONONE HOLDINGS CORP ..................... 2 13,200 o DELTEK SYSTEMS, INC ........................... 130 153,100 o DENDRITE INTERNATIONAL, INC ................... 5,531 3,000 o DIGITAL LIGHTWAVE, INC ........................ 18 26,400 []o DOCUMENTUM, INC ............................... 345 218,400 []o DOUBLECLICK, INC .............................. 20,038 239,338 o DST SYSTEMS, INC .............................. 15,048 122,000 o EARTHLINK NETWORK, INC ........................ 7,495 2,952 o ECLIPSYS CORP ................................. 71 2,600 o ELECTRO RENT CORP ............................. 28 361,700 o ELECTRONIC ARTS, INC .......................... 19,622 2,149,945 ELECTRONIC DATA SYSTEMS CORP .................. 121,606 410,300 o ELECTRONICS FOR IMAGING, INC .................. 21,079 185,000 o EMPLOYEE SOLUTIONS, INC ....................... 220 51,600 []o ENGINEERING ANIMATION, INC .................... 1,093 31,129 o EPICOR SOFTWARE CORP .......................... 232 388,682 o EQUANT NV ..................................... 35,836 1,019,498 EQUIFAX, INC .................................. 36,383 469,414 o EXCITE AT HOME ................................ 25,319 57,550 o FACTSET RESEARCH SYSTEMS, INC ................. 3,259 157,542 FAIR ISSAC & CO, INC .......................... 5,524 15,900 o FILENET CORP .................................. 182 3,119,225 FIRST DATA CORP ............................... 152,647 275,793 o FISERV, INC ................................... 8,636 200 o FORRESTER RESEARCH, INC ....................... 5 100 o FORTE SOFTWARE, INC ........................... 1 107,320 []o GENERAL MAGIC, INC ............................ 379 250,100 o GENESYS TELECOMMUNICATIONS LABORATORIES, INC ............................. 6,253 320,095 GERBER SCIENTIFIC, INC ........................ 7,062 243,470 o GETRONICS NV .................................. 9,366 9,500 o GETTY IMAGES, INC ............................. 179 8,472 o GRANDE HOLDINGS WTS 10/15/00 .................. 0 19,800 o GREAT PLAINS SOFTWARE, INC .................... 934 132,800 o GT INTERACTIVE SOFTWARE CORP .................. 465 662,779 o GTECH HOLDINGS CORP ........................... 15,617 4,400 o HTE, INC ...................................... 15 211,050 o HARBINGER CORP ................................ 2,638 323,000 HAW PAR CORP LTD .............................. 550 6,300 o HCIA, INC ..................................... 56 100 o HEALTH MANAGEMENT SYSTEMS, INC ................ 1 67,300 []o HNC SOFTWARE .................................. 2,074 3,075 o HYPERION SOLUTIONS CORP ....................... 55 32,100 o I2 TECHNOLOGIES, INC .......................... 1,380 25,800 o IDX SYSTEMS CORP .............................. 582 24,800 o IKOS SYSTEMS, INC ............................. 243 619,182 o IMATION CORP .................................. 15,363 457,450 o IMRGLOBAL CORP ................................ 8,806 2,384,253 IMS HEALTH, INC ............................... 74,508 4,741 o INACOM CORP ................................... 60 48,100 o INDUS INTERNATIONAL, INC ...................... 207 3,600 o INDUSTRI-MATEMATIK INTERNATIONAL CORP ......... 9 3,000 INES CORP ..................................... 39 20,700 []o INFORMATION ARCHITECTS CORP ................... 49 2,900 o INFORMATION RESOURCES, INC .................... 25 1,394,650 o INFORMIX CORP ................................. 11,898 164,200 o INFOSEEK CORP ................................. 7,871 47,400 o INFOUSA, INC (CLASS A) ........................ 421 98,700 o INFOUSA, INC (CLASS B) ........................ 839 71,237 []o INPRISE CORP .................................. 347 500 o INSO CORP ..................................... 3 12,450 o INSPIRE INSURANCE SOLUTIONS, INC .............. 181 3,500 o INSURANCE AUTO AUCTIONS, INC .................. 56 14,900 o INTEGRATED SYSTEMS, INC ....................... 175 24,900 []o INTELLIGROUP, INC ............................. 177 22,965 o INTERGRAPH CORP ............................... 178 386,600 o INTERIM SERVICES, INC ......................... 7,974 642,350 o INTERNATIONAL NETWORK SERVICES ................ 25,935 439,900 o INTERNATIONAL TELECOMMUNICATIONS .............. 7,038 61,900 INTERPOOL, INC ................................ 805 827,700 INTERPUBLIC GROUP OF COS, INC ................. 71,700 307,300 o INTUIT, INC ................................... 27,695 69,800 o ISS GROUP, INC ................................ 2,635 41,100 o ISS INTERNATIONAL SERVICE SYSTEM AS SERIES B ..................................... 2,200 262,400 o J.D. EDWARDS & CO ............................. 4,854 9,700 JACK HENRY & ASSOCIATES, INC .................. 381 185,200 JARDINE MATHESON HOLDINGS LTD ................. 926 113,400 o JDA SOFTWARE GROUP, INC ....................... 1,056 1,868,000 o JIT HOLDINGS LTD .............................. 3,401 280,655 o KEANE, INC .................................... 6,350 264,715 KELLY SERVICES, INC (CLASS A) ................. 8,504 380,000 o KEPPEL LAND LTD ............................... 714 44,550 o KEPPEL LAND LTD WTS 12/12/00 .................. 31 70,162 [] KONAMI CO LTD ................................. 2,898 196,250 o LABOR READY, INC .............................. 6,378 301,888 LAGARDERE S.C.A. .............................. 11,239 149,100 o LAMAR ADVERTISING CO (CLASS A) ................ 6,104 80,200 []o LEASING SOLUTIONS, INC ........................ 60 85,600 o LEGATO SYSTEMS, INC ........................... 4,943 166,400 o LHS GROUP, INC ................................ 5,512 287,771 o LYCOS, INC .................................... 26,439 72,224 o M-WEB HOLDINGS LTD ............................ 299 230,500 o MACROMEDIA, INC ............................... 8,125 46,900 o MANHATTAN ASSOCIATES, INC ..................... 387 1,113,000 MANPOWER, INC ................................. 25,182 46,526 o MANUGISTICS GROUP, INC ........................ 675 77,500 o MAPICS, INC ................................... 819 133,700 o MARCAM SOLUTIONS CORP ......................... 999 139,000 o MASTECH CORP .................................. 2,589 20,800 MCGRATH RENTCORP .............................. 416 9,600 o MEDICAL MANAGER CORP .......................... 425 433,800 o MEDQUIST, INC ................................. 18,979 1,009,900 o MENTOR GRAPHICS CORP .......................... 12,939 1,830 o MERANT PLC ADR ................................ 36 16 See notes to financial statements. VALUE SHARES (000) ---------- --------- BUSINESS SERVICES--(CONTINUED) 237,700 o MERCURY INTERACTIVE CORP ...................... $ 8,409 220,300 o MERKANTILDATA ASA ............................. 2,127 709,550 o METAMOR WORLDWIDE, INC ........................ 17,074 129,000 []o METRO INFORMATION SERVICES, INC ............... 2,145 71,200 o MICROMUSE, INC ................................ 3,551 28,905,666 o MICROSOFT CORP ................................ 2,606,930 878 o MIDWAY GAMES, INC ............................. 11 232,000 o MINDSPRING ENTERPRISES, INC ................... 10,281 1,228,424 MISYS PLC ..................................... 10,514 21,700 o MOBIUS MANAGEMENT SYSTEMS, INC ................ 179 736,300 o MODIS PROFESSIONAL SERVICES ................... 10,124 1,422 o MOMENTUM BUSINESS APPLICANTS, INC ............. 10 110,697 o MSC.SOFTWARE CORP ............................. 643 92,304 NAMCO LTD ..................................... 2,478 181,100 NATIONAL COMPUTER SYSTEMS, INC ................ 6,112 254,355 NATIONAL DATA CORP ............................ 10,874 124,400 o NCO GROUP, INC ................................ 4,727 114,837 o NCR CORP ...................................... 5,605 58,430 o NETMANAGE, INC ................................ 126 100 o NETSPEAK CORP ................................. 1 348,600 o NETWORK APPLIANCE, INC ........................ 19,478 82,300 o NETWORK SOLUTIONS, INC ........................ 6,512 834,580 o NETWORKS ASSOCIATES, INC ...................... 12,258 200 o NEW ERA OF NETWORKS, INC ...................... 9 228,100 o NEWBRIDGE NETWORKS CORP ....................... 6,473 6,106 o NIELSEN MEDIA RESEARCH ........................ 179 328,188 o NIIT LTD ...................................... 15,440 2,300 NORRELL CORP .................................. 43 1,300 o NORSTAN, INC .................................. 16 366,400 o NOVA CORP (GEORGIA) ........................... 9,160 85,000 o NOVACARE EMPLOYEE SERVICES, INC ............... 234 1,237,100 o NOVELL, INC ................................... 32,783 203,700 o OBJECTIVE SYSTEMS INTEGRATORS, INC ............ 560 32,200 o ODS NETWORKS, INC ............................. 127 536,494 OLSTEN CORP ................................... 3,387 1,049,810 OMNICOM GROUP, INC ............................ 83,985 32,700 o ON ASSIGNMENT, INC ............................ 854 22,900 []o ONSALE, INC ................................... 434 167,100 o OPEN MARKET, INC .............................. 2,371 10,947,311 o ORACLE CORP ................................... 406,419 53,432 o OUTDOOR SYSTEMS, INC .......................... 1,950 227,500 o PACIFIC INTERNET LTD .......................... 10,778 664,446 o PARAMETRIC TECHNOLOGY CORP .................... 9,219 1,650,379 PAYCHEX, INC .................................. 52,606 134,300 o PAYMENTECH, INC ............................... 3,408 62,700 o PEGASUS SYSTEMS, INC .......................... 2,347 55,700 o PEGASYSTEMS, INC .............................. 571 394,000 PENTAFOUR SOFTWARE & EXPORT LTD ............... 10,297 163,800 o PEOPLESOFT, INC ............................... 2,826 158,300 o PEREGRINE SYSTEMS, INC ........................ 4,066 11,000 o PERITUS SOFTWARE SERVICES, INC ................ 2 322,648 o PERSONNEL GROUP OF AMERICA, INC ............... 3,226 1,000 o PHOENIX TECHNOLOGIES LTD ...................... 18 111,200 #o PHYSICIAN COMPUTER NETWORK, INC ............... 28 574,900 PITTSTON BRINKS GROUP CO ...................... 15,379 425,769 o POLICY MANAGEMENT SYSTEMS CORP ................ 12,773 100 o PRECISION RESPONSE CORP ....................... 1 67,300 []o PREVIEW TRAVEL, INC ........................... 1,476 2,279 o PRIMARK CORP .................................. 64 74,900 #o PROCURENET, INC ............................... 11 8,976 o PRODACTA AG. .................................. 157 299,500 o PROGRESS SOFTWARE CORP ........................ 8,461 44,300 o PROJECT SOFTWARE & DEVELOPMENT, INC ........... 1,384 24,546 PROSEGUR COMPANIA DE SEGURIDAD S.A. ........... 274 418,100 o PSINET, INC ................................... 18,292 7,200 o QAD, INC ...................................... 22 58,000 o QRS CORP ...................................... 4,524 138,500 []o QUADRAMED CORP ................................ 1,125 25,600 o QUINTEL COMMUNICATIONS ........................ 38 700 o RADIANT SYSTEMS, INC .......................... 10 3,500 o RADISYS CORP .................................. 136 928,323 o RATIONAL SOFTWARE CORP ........................ 30,577 116,137 o REALNETWORKS, INC ............................. 7,999 144,700 o REMEDY CORP ................................... 3,889 38,700 o REMEDYTEMP, INC (CLASS A) ..................... 522 190,593 o RENT WAY, INC ................................. 4,693 223,100 o RENT-A-CENTER, INC ............................ 5,354 205,819 o RENTAL SERVICE CORP ........................... 5,892 7,697,248 RENTOKIL INITIAL PLC .......................... 30,030 523,650 o ROBERT HALF INTERNATIONAL, INC ................ 13,615 315,114 ROLLINS, INC .................................. 5,022 545,153 o ROMAC INTERNATIONAL, INC ...................... 4,838 4,154,434 RUETERS GROUP PLC ............................. 54,648 66,335 o RWD TECHNOLOGIES, INC ......................... 692 412,400 o SABRE GROUP HOLDINGS, INC ..................... 28,353 654,133 o SAFETY-KLEEN CORP ............................. 11,856 586,700 o SAGA SYSTEMS, INC ............................. 7,480 38,200 []o SANCHEZ COMPUTER ASSOCIATES, INC .............. 1,323 6,100 o SANTA CRUZ OPERATION, INC ..................... 40 178,050 o SAP AG. ....................................... 60,228 99,900 []o SAPIENT CORP .................................. 5,657 1,031,675 o SATYAM COMPUTER SERVICES LTD .................. 30,335 2,500 o SEATTLE FILMWORKS, INC ........................ 8 288,300 SECOM CO LTD .................................. 30,011 500,000 o SECURICOR PLC ................................. 4,386 578,600 SECURITAS AB SERIES B FREE .................... 8,643 205,412 SEI INVESTMENT CO ............................. 18,128 167,200 SHARED MEDICAL SYSTEMS CORP ................... 10,910 701,717 o SIEBEL SYSTEMS, INC ........................... 46,533 1,740,900 SIME DARBY BERHAD ............................. 2,054 473,700 o SITEL CORP .................................... 1,391 378,300 o SNYDER COMMUNICATIONS, INC .................... 12,389 24,512 o SOFTWARE PUBLISHING CORP HOLDINGS, INC ........ 60 62,200 o SOS STAFFING SERVICES, INC .................... 327 9,400 SOTHEBYS HOLDINGS, INC (CLASS A) .............. 358 42,900 o SPORTSLINE U.S.A., INC ........................ 1,539 85,100 o SPR, INC ...................................... 452 67,400 o SS&C TECHNOLOGIES, INC ........................ 514 333,400 o STAFFMARK, INC ................................ 3,344 691,977 o STERLING COMMERCE, INC ........................ 25,257 949,138 o STERLING SOFTWARE, INC ........................ 25,330 188,300 o STRUCTURAL DYNAMICS RESEARCH CORP ............. 3,495 4,874,900 o SUN MICROSYSTEMS, INC ......................... 335,759 735,565 o SUNGARD DATA SYSTEMS, INC ..................... 25,377 11,700 o SUNQUEST INFORMATION SYSTEMS, INC ............. 189 12,680 o SURVEILLANCE S.A. SOCIETE DE .................. 3,140 694,855 o SYBASE, INC ................................... 7,643 187,800 o SYKES ENTERPRISES, INC ........................ 6,268 343,300 o SYMANTEC CORP ................................. 8,754 45,767 o SYNOPSYS, INC ................................. 2,526 170,750 []o SYNTEL, INC ................................... 1,537 5,464 o SYSTEM SOFTWARE ASSOCIATES, INC ............... 9 250,132 o SYSTEMS & COMPUTER TECHNOLOGY CORP ............ 3,643 54,400 xo SYSTEMSOFT CORP ............................... 6 9,600 o TCSI CORP ..................................... 25 86,050 o TECHNOLOGY SOLUTIONS CO ....................... 930 1,400 o TELESPECTRUM WORLDWIDE, INC ................... 11 102,300 o TELETECH HOLDINGS, INC ........................ 1,036 82,600 [] TIETO CORP (CLASS B) .......................... 3,441 300,200 []o TMP WORLDWIDE, INC ............................ 19,063 2,947,000 TOKYU CORP .................................... 7,426 106,199 [] TOTAL SYSTEM SERVICES, INC .................... 2,018 76,600 TRANS COSMOS .................................. 5,569 194,400 o TRANSACTION SYSTEM ARCHITECTURE ............... 7,582 525,300 TRUE NORTH COMMUNICATIONS, INC ................ 15,759 573,517 o UNITED RENTALS, INC ........................... 16,919 418,750 o USWEB CORP .................................... 9,291 892,925 o VALASSIS COMMUNICATIONS, INC .................. 32,703 142,300 o VANTIVE CORP .................................. 1,628 See notes to financial statements. 17 VALUE SHARES (000) ---------- --------- BUSINESS SERVICES--(CONTINUED) 43,400 o VERIO, INC .................................... $ 3,016 88,200 o VERISIGN, INC ................................. 7,607 404,927 o VERITAS SOFTWARE CORP ......................... 38,443 221,300 o VIASOFT, INC .................................. 775 165,800 o VISIO CORP .................................... 6,311 1,500 o VOLT INFORMATION SCIENCES, INC ................ 34 600 WACKENHUT CORP SERIES A ....................... 18 277,702 WACKENHUT CORP SERIES B ....................... 6,665 3,200 o WALKER INTERACTIVE SYSTEMS, INC ............... 8 196,000 o WEST TELESERVICES CORP ........................ 1,838 108,900 o WESTAFF, INC .................................. 640 4,535,261 WHARF HOLDINGS LTD ............................ 14,145 134,962 o WHARF HOLDINGS LTD WTS 12/31/99 ............... 125 89,400 o WIND RIVER SYSTEMS, INC ....................... 1,436 189,300 WM-DATA AB SERIES B ........................... 7,214 692,000 WPP GROUP PLC ................................. 5,852 98,000 o XTRA CORP ..................................... 4,502 973,600 []o YAHOO, INC .................................... 167,703 281,853 o YOUNG & RUBICAM, INC .......................... 12,807 ----------- 7,780,285 ----------- CHEMICALS AND ALLIED PRODUCTS--11.18% 11,133,712 ABBOTT LABORATORIES CO ........................ 506,584 265,800 o ADVANCED TISSUE SCIENCE CO .................... 864 29,420 AGA AB SERIES A FREE .......................... 367 15,200 o AGA AB SERIES A RTS ........................... 5 289,970 [] AGA AB SERIES B FREE .......................... 3,581 100,000 o AGA AB SERIES B RTS ........................... 34 206,351 AGRIUM, INC ................................... 1,798 1,120,046 AIR PRODUCTS & CHEMICALS, INC ................. 45,082 853,080 AKZO NOBEL NV ................................. 35,895 163,606 ALBEMARLE CORP ................................ 3,783 22,700 ALBERTO CULVER CO (CLASS A) ................... 518 253,167 ALBERTO CULVER CO (CLASS B) ................... 6,741 1,000 o ALGOS PHARMACEUTICAL CORP ..................... 22 148,700 o ALKERMES, INC ................................. 3,439 521,222 ALLERGAN, INC ................................. 57,856 30,372 o ALLERGAN SPECIALTY THERAPEUTICS, INC (CLASS A) ................................... 330 18,700 o ALLIANCE PHARMACEUTICAL CORP .................. 49 22,900 o ALPHA BETA TECHNOLOGY, INC .................... 0 171,100 ALPHARMA, INC (CLASS A) ....................... 6,085 155,620 []o ALZA CORP ..................................... 7,917 12,856,307 AMERICAN HOME PRODUCTS CORP ................... 739,238 3,782,100 o AMGEN, INC .................................... 230,235 68,800 o AMYLIN PHARMACEUTICALS, INC ................... 77 93,900 o ANDRX CORP .................................... 7,242 500 o APHTON CORP ................................... 7 84,349 o AQUILA BIOPHARMACEUTICALS, INC ................ 137 361,345 ARCH CHEMICALS, INC ........................... 8,785 14,442,000 ASAHI CHEMICAL INDUSTRY CO LTD ................ 80,061 2,172,124 [] ASTRAZENECA PLC ............................... 84,565 75,000 ASTRAZENECA PLC (SPONS ADR) ................... 2,939 2,339,660 ASTRAZENECA PLC (U.K.) ........................ 90,504 267,200 []o AVIRON, INC ................................... 7,682 1,383,188 AVON PRODUCTS, INC ............................ 76,767 167,259 o AXYS PHARMACEUTICALS, INC ..................... 564 1,000,000 BANYU PHARMACEUTICAL CO LTD ................... 16,523 57,700 o BARR LABORATORIES, INC ........................ 2,301 1,750,700 []o BASF AG. ...................................... 77,366 1,921,050 BAYER AG. ..................................... 80,040 226,700 BEIERSDORF AG. ................................ 15,080 535,400 []o BIO-TECHNOLOGY GENERAL CORP ................... 3,480 758,400 o BIOGEN, INC ................................... 48,775 100,900 []o BIOMATRIX, INC ................................ 2,182 90,848 BLOCK DRUG, INC (CLASS A) ..................... 3,787 1,730,403 BOC GROUP PLC ................................. 33,823 30,800 o BORDEN CHEMICALS & PLASTICS LTD ............... 219 77,350 []o BOSTON LIFE SCIENCES, INC ..................... 438 16,423,694 BRISTOL MYERS SQUIBB CO ....................... 1,156,844 585,200 CABOT CORP .................................... 14,155 218,181 o CALGON CARBON CORP ............................ 1,295 153,000 CAMBREX CORP .................................. 4,016 1,000 o CARBIDE/GRAPHITE GROUP, INC ................... 14 241,873 CARTER WALLACE, INC ........................... 4,399 82,500 # CARTER WALLACE, INC (CLASS B) ................. 1,500 221,000 []o CELL GENESYS, INC ............................. 939 100,199 []o CELL PATHWAYS, INC ............................ 1,159 574,867 o CENTOCOR, INC ................................. 26,803 193,500 o CEPHALON, INC ................................. 3,362 61,100 o CHATTEM, INC .................................. 1,944 166,900 CHEMFIRST, INC ................................ 4,058 86,500 o CHIREX, INC ................................... 2,779 81,468 o CHIRON CORP ................................... 1,690 373,000 [] CHUGAI PHARMACEUTICAL CO LTD .................. 4,018 120,700 CHURCH & DWIGHT CO, INC ....................... 5,250 4,000 CIN-CORPARACAO INDUSTRIAL DO NORTE S.A .................................. 103 450,967 CLOROX CO ..................................... 48,169 1,756,688 o COLGATE PALMOLIVE CO .......................... 173,473 39,300 o COLUMBIA LABORATORIES, INC .................... 337 4,200 o COPLEY PHARMACEUTICAL, INC .................... 43 90,300 o COR THERAPEUTICS, INC ......................... 1,332 55,200 o COULTER PHARMACEUTICAL, INC ................... 1,245 90,800 o CREATIVE BIOMOLECULES, INC .................... 329 1,695 o CRESCENDO PHARMACEUTICALS CORP ................ 29 1,431,600 o CROMPTON & KNOWLES CORP ....................... 28,006 112,000 CSL LTD ....................................... 967 152,400 []o CYGNUS, INC ................................... 1,981 748,357 o CYTEC INDUSTRIES, INC ......................... 23,854 280,582 o CYTOGEN CORP .................................. 544 428,714 DAICEL CHEMICAL INDUSTRIES LTD ................ 1,576 636,286 DAIICHI PHARMACEUTICAL CO LTD ................. 9,872 899,000 DAINIPPON INK & CHEMICAL, INC ................. 3,060 206,600 o DEGUSSA HUELS AG. ............................. 8,523 1,617,000 DENKI KAGKU KOGYO ............................. 3,540 258,140 DEXTER CORP ................................... 10,535 39,616 DIAGNOSTIC PRODUCTS CORP ...................... 1,094 123,507 DIAL CORP ..................................... 4,593 1,399,400 DOW CHEMICAL CO ............................... 177,549 9,301,126 DU PONT (E.I.) DE NEMOURS & CO ................ 635,383 289,800 o DURA PHARMACEUTICALS, INC ..................... 3,459 27,900 DYNO ASA ...................................... 503 176,700 o E-Z-EM, INC (CLASS A) ......................... 1,005 231,367 o E-Z-EM, INC (CLASS B) ......................... 1,273 117,448 EASTMAN CHEMICAL CO ........................... 6,078 120,360 o ECOGEN, INC ................................... 346 724,900 ECOLAB, INC ................................... 31,624 362,036 EISAI CO LTD .................................. 7,134 2,164,182 []o ELAN CORP PLC ADR ............................. 60,056 26,600 ELEMENTIS PLC ................................. 44 11,200 o EMISPHERE TECHNOLOGIES, INC ................... 79 3,196 o ENZON, INC .................................... 66 21,563 o EPITOPE, INC .................................. 127 16,500 ETHYL CORP .................................... 99 1,846 o FABRICA ESP DE PROCUCTO QUIMICO (NEW) ......... 22 77,360 FABRICA ESP DE PRODUCTO QUIMICO Y FARM ........................................ 951 381,671 FERRO CORP .................................... 10,496 462,867 o FMC CORP ...................................... 31,620 81,692 o FOREST LABORATORIES, INC ...................... 3,778 13,600 []o FRENCH FRAGRANCES, INC ........................ 99 113,000 []o FUISZ TECHNOLOGIES LTD ........................ 374 29,134 FULLER (H.B.) CO .............................. 1,992 1,800 []o GELTEX PHARMACEUTICALS, INC ................... 32 5,600 GENERAL CHEMICAL GROUP, INC ................... 18 595,500 o GENZYME CORP (GENERAL DIVISION) ............... 28,882 17,777 o GENZYME CORP (TISSUE REPAIR DIVISION) ......... 36 113,912 o GENZYME-MOLECULAR ONCOLOGY .................... 313 18 See notes to financial statements. VALUE SHARES (000) ---------- --------- CHEMICALS AND ALLIED PRODUCTS--(CONTINUED) 323,120 GEON CO ....................................... $ 10,421 265,981 GEORGIA GULF CORP ............................. 4,488 94,400 o GILEAD SCIENCES, INC .......................... 4,932 11,778,271 GLAXO WELLCOME PLC ............................ 327,320 587,240 o GRACE W.R. & CO ............................... 10,791 336,600 GREAT LAKES CHEMICAL CORP ..................... 15,505 339,200 GREENCORE GROUP PLC ........................... 1,049 12,300 o GUILFORD PHARMACEUTICALS, INC ................. 157 615,844 HANNA (M.A.) CO ............................... 10,123 1,053,700 HERCULES, INC ................................. 41,424 13,400 o HESKA CORP .................................... 31 451,700 []o HUMAN GENOME SCIENCES, INC .................... 17,842 528,479 ICN PHARMACEUTICALS, INC ...................... 17,010 136,150 o ICOS CORP ..................................... 5,557 89,500 o IDEC PHARMACEUTICALS CORP ..................... 6,897 25,600 o IDEXX LABORATORIES, INC ....................... 597 831,642 o IMC GLOBAL, INC ............................... 14,658 54,157 o IMC GLOBAL, INC WTS 12/22/00 .................. 30 122,200 o IMCLONE SYSTEMS, INC .......................... 3,101 241,800 o IMMUCOR, INC .................................. 3,295 114,200 []o IMMUNE RESPONSE CORP .......................... 614 361,700 o IMMUNEX CORP .................................. 46,094 339,000 []o IMMUNOMEDICS, INC ............................. 498 1,198,370 IMPERIAL CHEMICAL INDUSTRY PLC ................ 11,844 2,300 o INHALE THERAPEUTIC SYSTEMS .................... 55 575,147 INTERNATIONAL FLAVORS & FRAGRANCES, INC ............................... 25,522 216,500 o INTERNATIONAL SPECIALTY PRODUCTS, INC ......... 2,206 147,700 o INTERNEURON PHARMACEUTICALS, INC .............. 406 206,000 o ISHIHARA SANGYO KAISHA LTD .................... 390 179,800 []o ISIS PHARMACEUTICALS, INC ..................... 1,832 580,259 o IVAX CORP ..................................... 8,196 9,847,452 JOHNSON & JOHNSON CO .......................... 965,050 311,100 JONES PHARMACEUTICAL, INC ..................... 12,250 321,000 KAKEN PHARMACEUTICAL CO LTD ................... 2,297 1,602,000 [] KANEKA CORP ................................... 15,088 627,000 KANSAI PAINT CO LTD ........................... 1,922 4,300,055 [] KAO CORP ...................................... 120,788 200,400 KEMIRA OY ..................................... 1,211 99,433 [] KISSEI PHARMACEUTICALS CO LTD ................. 1,976 108,900 KONISHI CO LTD ................................ 1,314 3,800 o KOS PHARMACEUTICALS, INC ...................... 19 627,000 KUREHA CHEMICAL INDUSTRY CO LTD ............... 1,668 29,400 o KV PHARMACEUTICAL CO (CLASS B) ................ 467 390,000 KYOWA HAKKO KOGYO ............................. 2,233 87,900 LABORATORIO CHILE ADR ......................... 1,582 69,097 o L'AIR LIQUIDE ................................. 10,867 55,000 L'AIR LIQUIDE (REGD) 2001 ..................... 8,650 32,651 # L'AIR LIQUIDE S.A. (REGD) ..................... 5,135 637,646 [] LAUDER (ESTEE) CO (CLASS A) ................... 31,962 419,500 o LIGAND PHARMACEUTICALS CO (CLASS A) ........... 4,667 7,131,505 LILLY (ELI) & CO .............................. 510,794 250,714 LILLY INDUSTRIES, INC (CLASS A) ............... 4,654 767,000 [] LION CORP ..................................... 3,168 342,400 o LIPOSOME CO, INC .............................. 6,548 178,770 LOREAL S.A. ................................... 120,852 822,031 LUBRIZOL CORP ................................. 22,400 135,311 LYONDELL CHEMICAL CO .......................... 2,791 75,000 MACDERMID, INC ................................ 3,488 68,000 []o MACROCHEM CORP (DELAWARE) ..................... 404 1,121,450 MALLINCKRODT, INC ............................. 40,793 1,283,650 +[]o MARTEK BIOSCIENCES CORP ....................... 10,911 29,500 o MATRIX PHARMACEUTICALS, INC ................... 122 58,166 o MCWHORTER TECHNOLOGIES, INC ................... 840 30,303 o MEDCO RESEARCH, INC ........................... 795 257,002 o MEDICIS PHARMACEUTICAL CORP (CLASS A) ......... 6,521 482,600 o MEDIMMUNE, INC ................................ 32,696 17,981,268 MERCK & CO, INC ............................... 1,330,614 384,000 [] MERCK & CO KGAA ............................... 12,490 247,300 o METHANEX CORP ................................. 936 490,220 o MILLENNIUM CHEMICAL, INC ...................... 11,551 60,000 o MILLENNIUM PHARMACEUTICALS, INC ............... 2,160 41,800 MINERALS TECHNOLOGIES, INC .................... 2,333 69,300 []o MIRAVANT MEDICAL TECHNOLOGY ................... 494 246,277 MISSISSIPPI CHEMICAL CORP ..................... 2,417 2,228,000 [] MITSUBISHI CHEMICAL CORP ...................... 7,713 649,000 MITSUBISHI GAS CHEMICAL CO, INC ............... 2,048 1,400 MITSUI CHEMICAL CORP .......................... 9 1,150 o MOLECULAR BIOSYSTEMS, INC ..................... 3 7,152,087 [] MONSANTO CO ................................... 282,060 4,363,814 [] MONTEDISON S.P.A. ............................. 7,111 1,199,654 MYLAN LABORATORIES, INC ....................... 31,791 11,800 o NABI, INC ..................................... 33 111,937 NALCO CHEMICAL CORP ........................... 5,807 236,900 NATURES SUNSHINE PRODUCTS, INC ................ 2,487 86,630 o NBTY, INC ..................................... 563 21,600 o NCH CORP ...................................... 1,069 58,400 o NEOPROBE CORP ................................. 37 50,000 #o NETGENICS, INC STOCK OPTIONS 03/20/08 ......... 70 48,000 []o NEUROGEN CORP ................................. 702 178,272 o NEXSTAR PHARMACEUTICALS, INC .................. 3,554 209,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD ............ 1,243 152,200 o NL INDUSTRIES, INC ............................ 1,693 2,495 NORIT NV ...................................... 21 1,138 []o NORTH AMERICAN VACCINE, INC ................... 6 5,000 NOVA CHEMICALS CORP ........................... 117 165,515 NOVARTIS AG. (REGD) ........................... 241,682 166,920 NOVO NORDISK AS (CLASS B) ..................... 18,033 8,375 o OCTEL CORP .................................... 105 265,590 OLIN CORP ..................................... 3,502 53,734 o OMEGA PROTEIN CORP ............................ 282 406,200 []o ORGANOGENESIS, INC ............................ 3,808 274,183 [] ORICA LTD ..................................... 1,497 6,500 o PATHOGENESIS CORP ............................. 92 76,850 o PENWEST PHARMACEUTICALS CO .................... 615 444,757 o PERRIGO CO .................................... 3,391 10,184,796 PFIZER, INC ................................... 1,117,781 6,942 o PHARMACEUTICAL RESOURCES, INC ................. 60 3,000,027 PHARMACIA & UPJOHN, INC ....................... 170,439 7,700 o PHARMACYCLICS, INC ............................ 216 1,067,693 o PPG INDUSTRIES, INC ........................... 63,061 742,480 PRAXAIR, INC .................................. 36,335 11,531,078 PROCTER & GAMBLE CO ........................... 1,029,149 248,200 o PROTEIN DESIGN LABORATORIES, INC .............. 5,507 175,800 o REGENERON PHARMACEUTICALS, INC ................ 1,373 244,300 []o REPLIGEN CORP ................................. 702 179,506 o REVLON, INC (CLASS A) ......................... 5,430 371,600 []o REXALL SUNDOWN, INC ........................... 4,529 200,000 o RHODIA S.A. ................................... 3,795 876,672 o RHONE-POULENC S.A. (CLASS A) .................. 40,061 378,600 o ROBERTS PHARMACEUTICAL CORP ................... 9,181 33,477 ROCHE HOLDINGS AG. (GENUSSCHEINE) ............. 344,116 84,900 o ROGERS CORP ................................... 2,505 780,988 o ROHM & HAAS CO ................................ 33,485 5,357 RPM, INC ...................................... 76 1,500 o SANGSTAT MEDICAL CORP ......................... 26 1,424,196 [] SANKYO CO LTD ................................. 35,887 1,515,016 o SANOFI-SYNTHELABO S.A. ........................ 64,294 625,500 [] SANTEN PHARMACEUTICAL CO LTD .................. 12,041 28,300 o SCHEIN PHARMACEUTICAL, INC .................... 341 167,870 SCHERING AG. .................................. 17,797 10,937,412 SCHERING-PLOUGH CORP .......................... 579,683 565,077 SCHULMAN (A.), INC ............................ 9,712 182,600 o SCOTTS CO (CLASS A) ........................... 8,696 973,000 SEKISUI CHEMICAL CO LTD ....................... 5,643 77,700 o SEROLOGICALS CORP ............................. 631 815,400 SHERWIN-WILLIAMS CO ........................... 22,627 1,801,745 [] SHIN-ETSU CHEMICAL CO LTD ..................... 60,286 933,000 SHIONOGI & CO LTD ............................. 7,377 See notes to financial statements. 19 VALUE SHARES (000) ---------- --------- CHEMICALS AND ALLIED PRODUCTS--(CONTINUED) 1,675,340 []o SHISEIDO & CO LTD ............................. $ 25,108 2,641,000 o SHOWA DENKO K.K. .............................. 3,382 470,181 o SICOR, INC .................................... 1,998 335,714 o SIGMA ALDRICH CORP ............................ 11,561 7,230 SIKA FINANZ AG. (BR) .......................... 2,158 15,130,884 SMITHKLINE BEECHAM/BECKMAN LTD ................ 196,650 9,191,490 [] SNIA SPA ...................................... 11,517 72,000 SOCIEDAD QUIMICA Y MINERA DE CHILE ADR ........ 2,547 4,163 SOCIEDAD QUIMICA Y MINERA SERIES A ADR ........ 146 130,650 SOLVAY ET CIE S.A. ............................ 8,670 700 o SONUS PHARMACEUTICALS, INC .................... 4 21,385 STEPAN CO ..................................... 543 68,500 []o SUGEN, INC .................................... 2,021 4,048,000 [] SUMITOMO CHEMICAL CO LTD ...................... 18,561 18,500 []o SUPERGEN, INC ................................. 283 660,000 TAISHO PHARMACEUTICAL CO LTD .................. 21,811 2,977,000 TAKEDA CHEMICAL INDUSTRIES LTD ................ 137,978 17,900 o TECHNE CORP ................................... 454 1,533,000 TEIJIN LTD .................................... 6,206 1,000 TEIKOKU HORMONE MANUFACTURING ................. 9 16,036 o TETRA TECHNOLOGIES, INC ....................... 147 190,000 o THERAGENICS CORP .............................. 1,318 6,704 o THERMOLASE CORP ............................... 9 2,027,000 TORAY INDUSTRIES, INC ......................... 10,148 509,000 TOSOH CORP .................................... 1,421 18,000 o TRANSKARYOTIC THERAPIES, INC .................. 594 71,300 o TRIANGLE PHARMACEUTICALS, INC ................. 1,283 135,700 o TWINLAB CORP .................................. 1,166 172,128 o U.S. BIOSCIENCE, INC .......................... 1,678 72,900 o U.S.A. DETERGENTS, INC ........................ 442 2,308,000 UBE INDUSTRIES LTD ............................ 4,977 229,693 UCB S.A. ...................................... 9,831 398,038 UNION CARBIDE CORP ............................ 19,404 150,000 []o UNITED THERAPEUTICS CORP ...................... 1,781 78,300 VALSPAR CORP .................................. 2,975 12,000 o VERTEX PHARMACEUTICALS, INC ................... 290 106,500 o VICAL, INC .................................... 1,291 19,400 o VIROPHARMA, INC ............................... 149 5,172,592 WARNER-LAMBERT CO ............................. 358,849 352,005 o WATSON PHARMACEUTICALS, INC ................... 12,342 75,200 WELLMAN, INC .................................. 1,199 303,864 [] WESFARMERS LTD ................................ 2,735 83,387 WEST PHARMACEUTICAL SERVICES .................. 3,273 8,309 WITCO CORP .................................... 166 50,203 []o XOMA LTD ...................................... 304 1,550,849 [] YAMANOUCHI PHARMACEUTICAL CO LTD .............. 59,323 237,100 o ZILA, INC ..................................... 719 11,692 o ZODIAC S.A. ................................... 2,551 62,900 []o ZONAGEN, INC .................................. 582 ------------ 14,033,978 ------------- COAL MINING--0.00% 160,966 ARCH COAL, INC ................................ 2,233 2,156 HULLAS DEL COTO CORTES S.A. ................... 31 593,000 WANKIE COLLIERY CO LTD ........................ 39 ------------ 2,303 ------------ COMMUNICATIONS--13.62% 135,000 []o @ENTERTAINMENT, INC ........................... 2,531 294,826 []o ADELPHIA COMMUNICATIONS CORP (CLASS A) .................................... 18,758 17,900 []o AERIAL COMMUNICATIONS, INC .................... 242 462,635 [] ALCATEL ....................................... 65,126 1,110 o ALCATEL S.A. ADR .............................. 31 438,000 ALIANT COMMUNICATIONS, INC .................... 20,230 1,507,843 ALLTEL CORP ................................... 107,811 202,300 o AMERICAN MOBILE SATELLITE CORP ................ 3,313 12,757,753 AMERITECH CORP ................................ 937,695 230 #o ANTENA 3 DE TELEVISION GDS .................... 5,913 20,200 []o ARCH COMMUNICATIONS GROUP, INC ................ 172 392,466 o ASCENT ENTERTAINMENT GROUP, INC ............... 5,544 7,607 o ASSOCIATED GROUP, INC (CLASS A) ............... 495 437,300 o ASSOCIATED GROUP, INC (CLASS B) ............... 28,506 39,618,901 AT & T CORP ................................... 2,211,230 7,088,112 o AT & T CORP-LIBERTY MEDIA GROUP (CLASS A) .................................... 260,488 1,610,442 BCE, INC ...................................... 78,069 307,803 BCT TELUS COMMUNICATIONS, INC ................. 7,362 204,801 BCT TELUS COMMUNICATIONS, INC (NON-VOTE) ................................... 4,822 12,862,014 BELL ATLANTIC CORP ............................ 840,854 13,294,432 BELLSOUTH CORP ................................ 623,177 73,855 BHC COMMUNICATIONS, INC (CLASS A) ............. 9,601 3,421,482 BRITISH SKY BROADCASTING GROUP PLC ............ 31,739 20,030,693 o BRITISH TELECOMMUNICATIONS PLC ................ 335,636 4,820,337 o CABLE & WIRELESS COMMUNICATIONS PLC ........... 46,350 4,751,679 CABLE & WIRELESS PLC .......................... 60,557 1,001,600 []o CABLEVISION SYSTEMS CORP (CLASS A) ............ 70,112 40,874 o CANAL PLUS S.A. ............................... 11,470 193,300 o CAPSTAR BROADCASTING CORP (CLASS A) ........... 5,292 95,212 CARLTON COMMUNICATIONS PLC .................... 789 11,036,495 o CBS CORP ...................................... 479,398 223,197 []o CD RADIO, INC ................................. 6,801 180,383 o CELLULAR COMMUNICATIONS OF PUERTO RICO ................................... 5,141 114,900 o CENTURY COMMUNICATIONS CORP (CLASS A) .................................... 5,285 1,174,950 CENTURYTEL, INC ............................... 46,704 47,000 CFW COMMUNICATIONS CO ......................... 1,140 3,350,826 o CHANCELLOR MEDIA CORP (CLASS A) ............... 184,714 10,932 o CHRIS CRAFT INDUSTRIES, INC ................... 515 1,218,200 CIA DE TELECOMMUNICACIONES CHILE ADR .......... 30,150 1,556,779 CINCINNATI BELL, INC .......................... 38,822 3,472,675 o CLEAR CHANNEL COMMUNICATIONS, INC ............. 239,398 246,200 o COLT TELECOM GROUP PLC ........................ 5,165 97,800 o COM21, INC .................................... 1,669 687,600 COMCAST CORP (CLASS A) ........................ 24,625 3,726,388 COMCAST CORP (CLASS A) SPECIAL ................ 143,233 69,833 o COMMONWEALTH TELEPHONE ENTERPRISES ............ 2,824 271,900 o CONCENTRIC NETWORK CORP ....................... 10,808 77,983 o CORECOMM LTD .................................. 3,763 670,378 o COX COMMUNICATIONS, INC (CLASS A) ............. 24,678 75,700 o COX RADIO, INC (CLASS A) ...................... 4,107 5,667,710 [] DEUTSCHE TELEKOM AG. .......................... 237,896 227,466 o DIMENSION DATA HOLDINGS LTD ................... 1,006 154,500 o E.SPIRE COMMUNICATIONS, INC ................... 1,632 84,600 o ELECTRIC LIGHTWAVE, INC (CLASS A) ............. 1,100 19,200 o EMMIS COMMUNICATIONS (CLASS A) ................ 948 437,000 o ENERGIS PLC ................................... 10,422 6,668,117 ERICSSON TELEFON (LM) AB SERIES B ............. 213,722 169,500 o EXODUS COMMUNICATIONS, INC .................... 20,329 2,479,176 FRANCE TELECOM S.A. ........................... 187,284 1,236,196 FRONTIER CORP ................................. 72,936 554,000 [] FUJIKURA LTD .................................. 2,645 24,506 GAYLORD ENTERTAINMENT CO ...................... 735 150,100 o GENERAL COMMUNICATIONS (CLASS A) .............. 1,020 898,900 []o GLOBAL TELESYSTEMS GROUP, INC ................. 72,811 51,550 [] GN STORE NORD AS-GN GREAT NORDIC .............. 1,742 1,500 GRAY COMMUNICATIONS SYSTEMS, INC .............. 30 6,786,262 GTE CORP ...................................... 514,059 433,563 o HEARST-ARGYLE TELEVISION, INC ................. 10,406 107,100 o HIGHWAYMASTER COMMUNICATIONS, INC ............. 164 142,400 o HISPANIC BROADCASTING CORP .................... 10,805 25,836,910 HONG KONG TELECOMMUNICATIONS LTD .............. 67,099 400,000 o HYPERION TELECOMMUNICATIONS, INC (CLASS A) .................................... 7,525 1,000,825 o ICG COMMUNICATIONS, INC ....................... 21,393 114,500 o IDT CORP ...................................... 2,548 105,289 []o INTERMEDIA COMMUNICATIONS, INC ................ 3,159 20 See notes to financial statements. VALUE SHARES (000) ---------- --------- COMMUNICATIONS--(CONTINUED) 90,700 o ITC DELTACOM, INC ............................. $ 2,540 298,400 []o IXC COMMUNICATIONS, INC ....................... 11,731 214,700 o JACOR COMMUNICATIONS, INC WTS 09/18/01 ........ 2,362 72,300 o JONES INTERCABLE, INC (CLASS A) ............... 3,543 924,518 KONINKLIJKE KPN NV ............................ 43,382 7,000 o LCC INTERNATIONAL, INC (CLASS A) .............. 32 130,367 []o LEAP WIRELESS INTERNATIONAL, INC .............. 2,640 1,923,508 o LEVEL 3 COMMUNICATIONS, INC ................... 115,531 4,900 o LIGHTBRIDGE, INC .............................. 62 600 o LORAL SPACE & COMMUNICATIONS LTD .............. 11 27,107,582 LUCENT TECHNOLOGIES, INC ...................... 1,828,068 350,000 o MAHANAGAR TELEPHONE NIGAM LTD GDR ............. 3,465 20,952,131 o MCI WORLDCOM, INC ............................. 1,803,193 40,600 o MCLEODUSA, INC (CLASS A) ...................... 2,233 4,291,878 o MEDIA ONE GROUP, INC .......................... 319,208 1,760,530 [] MEDIASET S.P.A. ............................... 15,651 30,300 o METROCALL, INC ................................ 83 60,600 []o METROMEDIA FIBER NETWORK (CLASS A) ............ 2,178 22,500 o MGC COMMUNICATIONS, INC ....................... 585 3,123 o MILLICOM INTERNATIONAL CELLULAR S.A. .......... 98 1,000 o MITEL CORP .................................... 7 150,200 o NETCOM AB SERIES B ............................ 5,053 669,300 []o NEXTEL COMMUNICATIONS, INC (CLASS A) .......... 33,590 153,800 []o NEXTLINK COMMUNICATIONS, INC .................. 11,439 265,000 [] NIPPON COMSYS CORP ............................ 4,302 38,694 NIPPON TELEGRAPH & TELEPHONE CORP ............. 450,746 65,920 NIPPON TELEVISION NETWORK CORP ................ 27,231 700 NORTH PITTSBURGH SYSTEMS, INC ................. 12 457,622 o NTL, INC ...................................... 39,441 512 [] NTT MOBILE COMMUNICATIONS ..................... 6,937 2,048 o NTT MOBILE COMMUNICATIONS (NEW) ............... 27,410 6,544,400 []o OLIVETTI GROUP S.P.A. ......................... 15,726 4,484,400 []o OLIVETTI GROUP S.P.A. RTS ..................... 604 1,459,000 []o OMNIPOINT CORP ................................ 42,220 43,500 o PACIFIC GATEWAY EXCHANGE, INC ................. 1,267 116,400 o PAGEMART WIRELESS, INC (CLASS A) .............. 880 1,672,300 o PAGING NETWORK, INC ........................... 8,048 13,542 o PANAMSAT CORP ................................. 527 46,900 o PAXSON COMMUNICATIONS CORP .................... 633 7,000 o PEGASUS COMMUNICATIONS CORP ................... 276 16,300 o PERPHONICS CORP ............................... 267 94,400 o PLD TELEKOM, INC .............................. 295 278,695 PORTUGAL TELECOM S.A. ......................... 11,339 260,995 o PORTUGAL TELECOM S.A. RTS ..................... 3 186,300 o POWERTEL, INC ................................. 5,566 451,616 o PREMIERE TECHNOLOGIES, INC .................... 5,194 937,500 o PRICE COMMUNICATIONS CORP ..................... 14,063 137,300 o PRIMUS TELECOMMUNICATIONS GROUP, INC .......... 3,081 1,058,648 o QWEST COMMUNICATIONS INTERNATIONAL, INC .......................... 35,002 735,600 o RCN CORP ...................................... 30,619 232,900 o ROGERS COMMUNICATIONS, INC (CLASS B) .......... 3,721 125,000 o RSL COMMUNICATIONS LTD (CLASS A) .............. 2,414 23,584,004 SBC COMMUNICATIONS, INC ....................... 1,367,872 11,478,200 o SINGAPORE TELECOMMUNICATIONS LTD .............. 19,687 587,600 o SKYTEL COMMUNICATIONS, INC .................... 12,303 93,200 []o SMARTALK TELESERVICES, INC .................... 7 1,288,059 SONERA GROUP OYJ .............................. 28,162 4,381,902 SPRINT CORP (FON GROUP) ....................... 231,419 1,722,450 o SPRINT CORP (PCS GROUP) ....................... 98,395 91,415 o STAR TELECOMMUNICATIONS, INC .................. 714 193,600 SWISSCOM AG. (REGD) ........................... 72,852 224,700 o TALK.COM, INC ................................. 2,528 595,600 TCA CABLE TV, INC ............................. 33,056 1,332,349 o TCI SATELLITE ENTERTAINMENT (CLASS A) ......... 3,914 594,000 o TECHNOLOGY RESOURCES INDUSTRIES BERHAD ............................. 436 5,230,000 o TELEBRAS S.A. ................................. 0 5,230,000 o TELECENTRO-SUL PARTICIPACOES S.A. ............. 28 5,230,000 TELECENTROESTE CELULAR PARTICIPACOES S.A. ..... 5 446,000 o TELECOM ARGENTINA S.A. (CLASS B) .............. 2,453 5,158,460 [] TELECOM CORP OF NEW ZEALAND ................... 22,141 10,788,781 []o TELECOM ITALIA ................................ 112,155 22,093,296 TELECOM ITALIA MOBILE S.P.A. .................. 124,586 1,726,386 []o TELECOM ITALIA RISP ........................... 9,365 402,000 o TELE DANMARK AS ............................... 19,787 1,191,441 o TELEFONICA DE ARGENTINA S.A. (CLASS B) ........ 3,694 2,834,921 []o TELEFONICA DE ESPANA S.A. ..................... 136,564 217,000 o TELEFONICA PUBLICIDAD E INFORMACION ........... 4,330 1,096,500 TELEFONOS DE MEXICO S.A. SERIES L ............. 4,410 130,827 TELEGLOBE, INC (U.S.A.) ....................... 3,892 108,700 xo TELEGROUP, INC ................................ 1 2,536,500 TELEKOM MALAYSIA BERHAD ....................... 8,535 5,230,000 TELENORTE-LESTE PARTICIPACOES S.A. ............ 48 12,558 TELEPHONE & DATA SYSTEMS, INC ................. 918 5,230,000 TELESP CELULAR PARTICIPACOES S.A. ............. 28 5,230,000 TELESP PARTICIPACOES S.A. ..................... 67 5,230,000 TELESUDESTE CELULAR PARTICIPACOES S.A. ........ 14 5,230,000 TELESUL CELULAR PARTICIPACOES S.A. ............ 8 1,066,700 TELEVISION BROADCASTS LTD ..................... 5,004 28,900 []o TELIGENT, INC ................................. 1,729 7,955,606 TELSTRA CORP .................................. 45,586 87,000 TOKYO BROADCASTING SYSTEMS, INC ............... 1,258 51,600 o TRANSACTION NETWORK SERVICES, INC ............. 1,509 232,600 o TV GUIDE, INC ................................. 8,519 2,221 o U.S. CELLULAR CORP ............................ 119 72,800 o U.S. LEC CORP (CLASS A) ....................... 1,638 269,400 o U.S. SATELLITE BROADCASTING, INC (CLASS A) ................................... 4,917 3,736,467 U.S. WEST, INC ................................ 219,517 526,817 o U.S.A. NETWORKS, INC .......................... 21,139 144,600 []o UNITED INTERNATIONAL HOLDINGS, INC ............ 9,779 221,300 UNITED TELEVISION, INC ........................ 23,209 217,635 o UNIVISION COMMUNICATIONS, INC ................. 14,364 64,500 []xo USN COMMUNICATIONS, INC ....................... 1 884,974 o VIACOM, INC (CLASS A) ......................... 39,049 2,167,709 o VIACOM, INC (CLASS B) ......................... 95,379 147,686 o VIACOM, INC (CLASS B) WTS 07/07/99 ............ 2,732 873,700 o VIATEL, INC ................................... 49,036 5,569,100 o VIDESH SANCHAR NIGAM LTD (SPONS GDR) .......... 71,354 8,979,080 VODAFONE GROUP PLC ............................ 176,922 2,361,004 o VODAFONE GROUP PLC ADR ........................ 465,118 623,000 []o VOICESTREAM WIRELESS CORP ..................... 17,717 123,600 o WAVO CORP ..................................... 788 633,100 o WESTERN WIRELESS CORP (CLASS A) ............... 17,094 293,600 []o WINSTAR COMMUNICATIONS, INC ................... 14,313 59,400 o YOUNG BROADCASTING, INC (CLASS A) ............. 2,528 ------------ 17,095,472 ------------ DEPOSITORY INSTITUTIONS--9.06% 3,001,051 ABBEY NATIONAL PLC ............................ 56,341 3,800,316 ABN-AMRO HOLDINGS NV .......................... 82,305 193,799 ABSA GROUP LTD ................................ 1,097 5,400 ALABAMA NATIONAL BANCORP ...................... 135 415,095 ALLIED IRISH BANK ............................. 5,457 2,034,300 ALLIED IRISH BANK PLC ......................... 26,749 125,500 AMCORE FINANCIAL, INC ......................... 2,894 525,000 o AMMB HOLDINGS BERHAD .......................... 1,207 1,154,257 AMSOUTH BANCORP ............................... 26,764 571,900 ANCHOR BANCORP WISCONSIN, INC ................. 10,187 400 ANDOVER BANCORP, INC .......................... 13 11,600 AREA BANCSHARES CORP .......................... 315 2,753,200 [] ARGENTARIA, CAJA POSTAL Y BCO HIPOTECA ........ 62,722 4,484,486 ASAHI BANK LTD ................................ 21,489 943,000 [] ASHIKAGA BANK LTD ............................. 1,839 1,151,516 ASSOCIATED BANC-CORP .......................... 47,788 1,138,055 ASTORIA FINANCIAL CORP ........................ 50,003 1,653,808 AUSTRALIAN & NEW ZEALAND BANKING GROUP LTD ................................... 12,161 See notes to financial statements. 21 VALUE SHARES (000) ---------- --------- DEPOSITORY INSTITUTIONS--(CONTINUED) 4,592,490 [] BANCA COMMERCIALE ITALIANA S.P.A. ............. $ 33,533 4,870,938 [] BANCA INTESA S.P.A. ........................... 23,409 9,137,220 BANCA INTESA S.P.A. RISP ...................... 20,448 9,375,000 o BANCA NAZIONALE DEL LAVORO .................... 29,489 3,211,900 [] BANCA POPOLARE DI MILANO ...................... 24,810 14 BANCFIRST CORP ................................ 0 5,800 BANCFIRST OHIO CORP ........................... 143 843,540 o BANCO AMBROSIANO VENETO WTS 05/31/02 .......... 896 64,880 o BANCO AMBROSIANO VENETO WTS 05/31/02 RISP...... 30 4,824,300 BANCO BILBAO VIZCAYA S.A. (REGD) .............. 69,704 485,632 BANCO COMERCIAL PORTUGUES S.A. (REGD) ......... 12,586 5,123 o BANCO DE GALICIA BUENOS AIRES ADR ............. 104 252,881 o BANCO DE GALICIA BUENOS AIRES S.A. SERIES A .................................... 1,297 1,014,687 BANCO ESPIRITO SANTO E COMERCIAL .............. 23,608 99,561 BANCO FRANCES S.A. ............................ 647 690,700 BANCO PINTO & SOTTO MAYOR S.A. ................ 12,266 730,000 BANCO POPULAR ESPANOLA S.A. (REGD) ............ 52,511 8,881,660 [] BANCO SANTANDER CENTRAL HISPANO S.A. .......... 92,513 256,851 BANCORPSOUTH, INC ............................. 4,655 325,200 BANCWEST CORP ................................. 12,073 192,970 BANK AUSTRIA AG. .............................. 10,150 16,960,105 BANK OF AMERICA CORP .......................... 1,243,388 2,059,537 BANK OF EAST ASIA LTD ......................... 5,216 9,200 BANK OF GRANITE CORP .......................... 227 625,000 BANK OF MONTREAL .............................. 22,591 4,933,474 BANK OF NEW YORK CO, INC ...................... 180,997 1,186,844 BANK OF NOVA SCOTIA ........................... 25,660 11,039,830 [] BANK OF TOKYO MITSUBISHI LTD .................. 157,151 2,704,656 BANK OF YOKOHAMA LTD .......................... 6,949 10,940,735 BANK ONE CORP ................................. 651,658 14,100 o BANK PLUS CORP ................................ 76 248,800 BANK UNITED CORP (CLASS A) .................... 9,999 2,850 [] BANKATLANTIC BANCORP, INC (CLASS A) ........... 21 85,800 BANKATLANTIC BANCORP, INC (CLASS B) ........... 697 2,070,500 BANKBOSTON CORP ............................... 105,854 150,000 BANKNORTH GROUP, INC .......................... 4,950 1,000 o BANKUNITED FINANCIAL CORP (CLASS A) ........... 10 601,457 [] BANQUE NATIONALE DE PARIS ..................... 50,119 4,058,492 BARCLAYS PLC .................................. 118,096 935,702 + BAY VIEW CAPITAL CORP ......................... 19,182 1,173,804 [] BAYERISCHE HYPO-UND VEREINSBANK AG. ........... 76,264 1,628,257 BB&T CORP ..................................... 59,737 22,248 o BOK FINANCIAL CORP ............................ 562 687,300 BPI-SGPS S.A. (REGD) .......................... 14,424 309,920 o BPI-SGPS S.A. (REGD) (BABY SHS) ............... 6,401 47,784 BRENTON BANKS, INC ............................ 741 16,200 BSB BANCORP, INC .............................. 437 4,600 BT FINANCIAL CORP ............................. 113 73,900 o CALIFORNIA FEDERAL BANK ....................... 88 134,720 o CALIFORNIA FEDERAL BANK GOODWILL CERT ......... 303 962,857 CANADIAN IMPERIAL BANK OF COMMERCE ............ 22,834 800 CAROLINA FIRST CORP ........................... 20 8,000 CATHAY BANCORP, INC ........................... 340 458,200 CCB FINANCIAL CORP ............................ 24,227 18,920 o CENTENNIAL BANCORP ............................ 261 87,600 xo CENTURA BANKS, INC ............................ 4,938 2,500 CENTURY SOUTH BANKS, INC ...................... 56 11,000 CFSB BANCORP, INC ............................. 271 5,668,477 CHARTER ONE FINANCIAL, INC .................... 157,655 8,405,287 CHASE MANHATTAN CORP .......................... 728,108 4,000 CHEMICAL FINANCIAL CORP ....................... 139 1,278,540 [] CHIBA BANK LTD ................................ 4,722 215,342 CHITTENDEN CORP ............................... 6,729 1,427,900 CHRISTIANIA BANK OG KREDITKASSE ............... 5,133 78,800 CITIZENS BANKING CORP (MICHIGAN) .............. 2,369 6,666 CITY HOLDINGS CO .............................. 193 263,500 CITY NATIONAL CORP ............................ 9,865 70,838 CNB BANCSHARES, INC ........................... 4,038 439,800 COLONIAL BANCGROUP, INC ....................... 6,130 1,592,708 COMERICA, INC ................................. 94,667 855,000 COMMERCE ASSET HOLDINGS BERHAD ................ 1,905 292,291 COMMERCE BANCORP, INC ......................... 12,495 192,708 COMMERCE BANCSHARES, INC ...................... 7,756 22,375 COMMERCIAL FEDERAL CORP ....................... 519 1,000 COMMONWEALTH BANCORP, INC ..................... 18 817,000 COMMONWEALTH BANK OF AUSTRALIA LTD ............ 13,006 48,600 COMMUNITY BANK SYSTEM, INC .................... 1,233 262,600 COMMUNITY FIRST BANKSHARES, INC ............... 6,270 53,210 COMMUNITY TRUST BANCORP, INC .................. 1,244 1,037,300 COMPASS BANCSHARES, INC ....................... 28,266 420,855 o CONCORD EFS, INC .............................. 17,807 31,300 CORUS BANKSHARES, INC ......................... 996 279 [] CREDIT COMMERCIAL DE FRANCE S.A. .............. 30 676,238 CREDIT SUISSE GROUP (REGD) .................... 117,013 1 # CRESTARAN INTERNATIONAL INVESTMENT ............ 0 626,600 CULLEN FROST BANKERS, INC ..................... 17,271 20,795 CVB FINANCIAL CORP ............................ 541 1,017,000 [] DAI-ICHI KANGO BANK LTD ....................... 6,554 169,300 DEN DANSKE BANK AF 1871 ....................... 18,361 2,530,000 DEN NORSKE BANK ASA ........................... 8,356 1,453,888 DEUTSCHE BANK AG. ............................. 88,689 1,458,325 DEVELOPMENT BANK OF SINGAPORE LTD (FR) ........ 17,817 1,484,200 DIME BANCORP, INC ............................. 29,870 124,700 DIME COMMUNITY BANCORP, INC ................... 2,899 61,495 DOWNEY FINANCIAL CORP ......................... 1,349 1,122,260 DRESDNER BANK AG. ............................. 43,865 20,000 EAST WEST BANCORP, INC ........................ 201 15,300 F & M BANCORP, INC (MARYLAND) ................. 514 32,020 F & M BANCORP, INC (WISCONSIN) ................ 1,209 88,600 F & M NATIONAL CORP ........................... 2,940 26,439 F.N.B. CORP ................................... 714 3,000 FARMERS CAPITAL BANK CORP ..................... 107 1,157,528 FIFTH THIRD BANCORP ........................... 77,048 433,639 FIRST AMERICAN CORP ........................... 18,023 157,700 FIRST BANCORP (PUERTO RICO) ................... 3,558 11,200 FIRST CHARTER CORP ............................ 277 20,500 FIRST CITIZENS BANCSHARES, INC (CLASS A) ...... 1,655 500 FIRST COMMERCE BANCSHARES, INC ................ 12 84,171 FIRST COMMONWEALTH FINANCIAL CORP ............. 2,010 48,000 FIRST FEDERAL CAPITAL CORP .................... 708 74,580 o FIRST FINANCIAL BANCORP ....................... 1,687 920 FIRST FINANCIAL BANKSHARES, INC ............... 29 2,800 FIRST FINANCIAL CORP (INDIANA) ................ 106 17,400 FIRST FINANCIAL HOLDINGS, INC ................. 326 29,100 FIRST INDIANA CORP ............................ 622 26,100 FIRST LIBERTY FINANCIAL CORP .................. 819 12,450 FIRST MERCHANTS CORP .......................... 296 370,005 FIRST MIDWEST BANCORP, INC .................... 14,708 59,500 o FIRST REPUBLIC BANK ........................... 1,722 1,513,568 FIRST SECURITY CORP ........................... 41,245 1,700 FIRST SENTINEL BANCORP, INC ................... 15 11,770 FIRST SOURCE CORP ............................. 377 852,747 FIRST TENNESSEE NATIONAL CORP ................. 32,671 6,118,268 FIRST UNION CORP .............................. 287,559 44,800 FIRST UNITED BANCSHARES, INC .................. 834 403,425 FIRST VIRGINIA BANKS, INC ..................... 19,818 41,960 FIRST WASHINGTON BANCORP, INC ................. 842 43,004 FIRST WESTERN BANCORP, INC .................... 1,441 4,738,261 FIRSTAR CORP .................................. 132,671 325,100 o FIRSTFED FINANCIAL CORP ....................... 6,258 423,620 FIRSTMERIT CORP ............................... 11,888 65,600 FLAGSTAR BANCORP, INC ......................... 1,656 8,850,746 FLEET FINANCIAL GROUP, INC .................... 392,752 1,581,500 FORENINGSSPARBANKEN AB ........................ 22,322 400 FRONTIER FINANCIAL CORP ....................... 10 3,362,334 [] FUJI BANK LTD ................................. 23,445 226,675 FULTON FINANCIAL CORP ......................... 4,689 99,600 GBC BANCORP ................................... 2,017 22 See notes to financial statements. VALUE SHARES (000) ---------- --------- DEPOSITORY INSTITUTIONS--(CONTINUED) 88,000 o GOLD ZACK AG. ................................. $ 13,931 2,178,239 o GOLDEN STATE BANCORP, INC ..................... 47,921 731,200 o GOLDEN STATE BANCORP, INC WTS 01/01/01 ........ 960 504,300 GOLDEN WEST FINANCIAL CORP .................... 49,421 34,540 GRAND PREMIER FINANCIAL, INC .................. 427 100 GREATER BAY BANCORP ........................... 3 588,538 GREENPOINT FINANCIAL CORP ..................... 19,311 906,000 [] GUNMA BANK LTD ................................ 5,689 29,500 o HAMILTON BANCORP, INC ......................... 708 26,000 HANCOCK HOLDINGS CO ........................... 1,167 2,870,259 HANG SENG BANK LTD ............................ 32,092 6,009 HARBOR FLORIDA BANCSHARES, INC ................ 74 5,700 HARLEYSVILLE NATIONAL CORP .................... 204 3,800 HARRIS FINANCIAL, INC ......................... 41 1,022,651 HIBERNIA CORP (CLASS A) ....................... 16,043 497,000 HIGO FAMILY BANK LTD .......................... 2,033 1,729,000 HOKURIKU BANK LTD ............................. 3,428 475,566 HSBC HOLDINGS LTD (U.K.) ...................... 16,844 2,656,620 HSBC HOLDINGS PLC ............................. 94,054 1,329,969 o HSBC HOLDINGS PLC (H.K.) ...................... 48,510 536,157 HUDSON UNITED BANCORP ......................... 16,420 1,234,896 HUNTINGTON BANCSHARES, INC .................... 43,221 1,440,253 o IMPERIAL BANCORP .............................. 28,535 95,100 INDEPENDENCE COMMUNITY BANK CORP .............. 1,284 41,400 INDEPENDENT BANK CORP ......................... 652 6,744,223 [] INDUSTRIAL BANK OF JAPAN LTD .................. 53,490 46,950 INTERNATIONAL BANCSHARES CORP ................. 1,987 30,950 INTERWEST BANCORP, INC ........................ 774 25,400 INVESTEC GROUP LTD ............................ 1,065 30,000 RWIN FINANCIAL CORP ........................... 585 700 JEFFBANKS, INC ................................ 20 6,500 JEFFERSON SAVINGS BANCORP, INC ................ 90 1,495,305 JOYO BANK ..................................... 5,819 26,146 SB FINANCIAL, INC ............................. 1,330 766,170 KBC BANCASSURANCE HOLDINGS NV ................. 45,434 4,699,340 KEYCORP ....................................... 150,966 127,832 KEYSTONE FINANCIAL, INC ....................... 3,779 12,964,455 LLOYDS TSB GROUP PLC .......................... 175,748 87,130 o LOCAL FINANCIAL CORP .......................... 871 35,517 M & T BANK CORP ............................... 19,534 286,600 MAF BANCORP, INC .............................. 6,950 4,000 MAHONING NATIONAL BANCORP, INC ................ 175 1,760,200 MALAYAN BANKING BERHAD ........................ 4,755 547,058 MARSHALL & ILSLEY CORP ........................ 35,217 4,954,914 MBNA CORP ..................................... 151,744 4,008,572 MELLON BANK CORP .............................. 145,812 1,164,260 MERCANTILE BANCORP, INC ....................... 66,508 359,839 MERCANTILE BANKSHARES CORP .................... 12,729 2,600 MERCHANTS NEW YORK BANCORP, INC ............... 87 2,599,265 MERITA LTD .................................... 14,770 30,242 MID-AMERICA BANCORP ........................... 745 10,300 MISSISSIPPI VALLEY BANCSHARES ................. 341 2,332,000 MITSUBISHI TRUST & BANKING CORP ............... 22,657 1,291,000 MITSUI TRUST & BANKING CO LTD ................. 2,059 1,342,869 MORGAN (J.P.) & CO, INC ....................... 188,673 4,586,852 NATIONAL AUSTRALIA BANK LTD ................... 75,901 50,400 NATIONAL BANCORP OF ALASKA, INC ............... 1,336 501,484 NATIONAL BANK OF CANADA ....................... 6,539 9,500 NATIONAL CITY BANCORP ......................... 198 27,930 NATIONAL CITY BANCSHARES, INC ................. 892 2,413,583 NATIONAL CITY CORP ............................ 158,090 13,000 NATIONAL COMMERCE BANCORP ..................... 284 2,300 NATIONAL PENN BANCSHARES, INC ................. 54 88,190 o NATIONAL PROCESSING, INC ...................... 893 2,080,000 NATIONAL WESTMINSTER BANK PLC ................. 44,099 26,914 NBT BANCORP, INC .............................. 552 71,343 [] NEDCOR LTD .................................... 1,608 1,980,520 NORTH FORK BANCORP, INC ....................... 42,210 1,364,343 NORTHERN TRUST CORP ........................... 132,341 24,900 NORTHWEST BANCORP, INC ........................ 249 46,500 OCEAN FINANCIAL CORP .......................... 843 303,913 o OCWEN ASSET INVESTMENT ........................ 1,368 59,100 o OCWEN FINANCIAL CORP .......................... 525 797,848 OLD KENT FINANCIAL CORP ....................... 33,410 165,135 OLD NATIONAL BANCORP .......................... 4,964 3,200 OMEGA FINANCIAL CORP .......................... 111 192,150 ONE VALLEY BANCORP, INC ....................... 7,206 25,466 ORIENTAL FINANCIAL GROUP ...................... 614 2,004,838 OVERSEAS-CHINESE BANKING CORP LTD (FR) ........ 16,722 67,500 PACIFIC CAPITAL BANCORP ....................... 2,126 1,243,200 PACIFIC CENTURY FINANCIAL CORP ................ 26,807 700,000 o PACIFIC CENTURY INSURANCE ..................... 567 399,686 PARIBAS S.A. .................................. 44,806 9,464 PARK NATIONAL CORP ............................ 946 21,906 PEOPLES BANCORP, INC .......................... 218 1,150 PEOPLES BANK OF BRIDGEPORT CO ................. 35 855,086 PEOPLES HERITAGE FINANCIAL GROUP, INC ......... 16,086 8,400 PEOPLES HOLDINGS CO ........................... 273 80,000 o PFF BANCORP, INC .............................. 1,500 2,600 PINNACLE BANC GROUP, INC ...................... 83 2,439,139 PNC BANK CORP ................................. 140,555 899,673 POPULAR, INC .................................. 27,271 1,000 PREMIER BANCSHARES, INC ....................... 18 6,100 PRIME BANCORP, INC ............................ 169 20,100 PRIME BANCSHARES, INC ......................... 359 491,169 PROVIDENT BANKSHARES CORP ..................... 11,420 165,100 PROVIDENT FINANCIAL GROUP ..................... 7,223 1,092,848 PROVIDIAN FINANCIAL CORP ...................... 102,181 1,971,424 PUBLIC BANK BERHAD (FR) ....................... 1,859 972,532 PUBLIC BANK BERHAD (LR) ....................... 666 17,900 QUEENS COUNTY BANCORP, INC .................... 580 1,484,190 REGIONS FINANCIAL CORP ........................ 57,049 1,300 RELIANCE BANCORP, INC ......................... 36 650,974 REPUBLIC BANCORP, INC ......................... 9,887 2,000 o REPUBLIC BANCSHARES, INC ...................... 41 2,000 REPUBLIC BANKING CORP OF FLORIDA .............. 39 1,055,650 REPUBLIC NEW YORK CORP ........................ 71,982 9,974 REPUBLIC SECURITY FINANCIAL CORP .............. 84 1,280,000 o RHB CAPITAL BERHAD ............................ 1,486 88,900 RICHMOND COUNTY FINANCIAL CORP ................ 1,711 106,500 RIGGS NATIONAL CORP ........................... 2,190 519,590 ROSLYN BANCORP, INC ........................... 8,930 700,605 ROYAL BANK OF CANADA .......................... 30,768 2,472,148 ROYAL BANK OF SCOTLAND PLC .................... 50,347 75,400 S & T BANCORP, INC ............................ 1,904 7,222,000 [] SAKURA BANK LTD ............................... 27,387 7,605,496 [] SAN PAOLO-IMI S.P.A. .......................... 103,535 8,700 SANDY SPRING BANCORP, INC ..................... 241 765 SANWA BANK LTD ................................ 8 639,000 [] SEVENTY-SEVEN (77) BANK LTD ................... 5,596 1,547,000 SHIZUOKA BANK LTD ............................. 15,414 4,100 SHORELINE FINANCIAL CORP ...................... 123 230,300 o SILICON VALLEY BANCSHARES ..................... 5,700 6,000 SIMMONS FIRST NATIONAL CORP (CLASS A) ......... 193 1,533,870 SKANDINAVISKA ENSKILDA BANKEN SERIES A ........ 17,861 121,203 SKY FINANCIAL GROUP, INC ...................... 3,303 367,564 [] SOCIETE GENERALE S.A. ......................... 64,783 1,640,815 SOUTHTRUST CORP ............................... 62,966 30,500 o SOUTHWEST BANCORP OF TEXAS, INC ............... 549 993,872 SOVEREIGN BANCORP, INC ........................ 12,051 300,000 SPAREBANKEN NOR-CAP ........................... 5,602 281,200 ST. FRANCIS CAPITAL CORP ...................... 6,046 871,744 [] ST. GEORGE BANK LTD ........................... 6,051 273,637 ST. PAUL BANCORP, INC ......................... 6,978 985,100 STATE STREET CORP ............................. 84,103 62,900 STATEN ISLAND BANCORP, INC .................... 1,132 15,226 STERLING BANCORP .............................. 289 24,800 STERLING BANCSHARES, INC ...................... 332 5,804,550 [] SUMITOMO BANK LTD ............................. 71,981 See notes to financial statements. 23 VALUE SHARES (000) ---------- --------- DEPOSITORY INSTITUTIONS--(CONTINUED) 1,584,359 SUMMIT BANCORP ................................ $ 66,246 348,307 o SUNCORP-METWAY LTD ............................ 2,075 1,799,986 SUNTRUST BANKS, INC ........................... 124,987 86,950 SUSQUEHANNA BANCSHARES, INC ................... 1,538 1,760,400 SVENSKA HANDELSBANKEN SERIES A ................ 21,120 661,500 SVENSKA HANDELSBANKEN SERIES B FREE ........... 7,314 3,730 o SWISS BANK CORP WTS 06/30/00 (REGD) ........... 62 818,994 SYNOVUS FINANCIAL CORP ........................ 16,278 881,600 TCF FINANCIAL CORP ............................ 24,575 89,600 TEXAS REGIONAL BANCSHARES, INC (CLASS A) ................................... 2,436 3,453,609 [] TOKAI BANK LTD ................................ 19,688 25,100 TORONTO DOMINION BANK ......................... 1,132 88,800 TRIANGLE BANCORP, INC ......................... 1,504 45,300 TRUST CO OF NEW JERSEY ........................ 1,065 66,735 TRUSTCO BANK CORP ............................. 1,794 135,302 TRUSTMARK CORP ................................ 3,095 4,489,310 U.S. BANCORP .................................. 152,637 197,469 U.S. TRUST CORP ............................... 18,266 7,515 U.S.B. HOLDINGS CO, INC ....................... 115 841,577 UBS AG. (REGD) ................................ 251,185 41,365 UMB FINANCIAL CORP ............................ 1,774 12,410,460 UNCREDITO ITALIANO S.P.A. ..................... 54,523 220,600 UNI BANKDANMARK AS (CLASS A) .................. 14,723 1,835,502 UNION PLANTERS CORP ........................... 82,024 500,900 UNIONBANCAL CORP .............................. 18,095 50,700 UNITED BANKSHARES, INC ........................ 1,344 6,040 UNITED NATIONAL BANCORP ....................... 143 6,802,890 UNITED OVERSEAS BANK LTD (FR) ................. 47,550 61,700 USBANCORP, INC ................................ 972 1,347,059 UST CORP ...................................... 40,749 339,751 VALLEY NATIONAL BANCORP ....................... 9,768 1,157,212 WACHOVIA CORP ................................. 99,014 821,900 WASHINGTON FEDERAL, INC ....................... 18,441 3,971,148 WASHINGTON MUTUAL, INC ........................ 140,479 1,000 WASHINGTON TRUST BANCORP, INC ................. 18 311,584 WEBSTER FINANCIAL CORP ........................ 8,452 13,606,416 WELLS FARGO CO ................................ 581,674 32,300 WESBANCO, INC ................................. 969 54,990 WEST COAST BANCORP (OREGON) ................... 962 153,000 WESTAMERICA BANCORP ........................... 5,585 10,700 WESTCORP ...................................... 120 63,200 WESTERN BANCORP ............................... 2,749 63,700 WESTERNBANK PUERTO RICO ....................... 832 7,474,742 [] WESTPAC BANKING CORP .......................... 48,486 155,250 WHITNEY HOLDINGS CORP ......................... 6,171 168,500 WILMINGTON TRUST CORP ......................... 9,668 431,002 WING LUNG BANK LTD ............................ 1,678 5,200 WSFS FINANCIAL CORP ........................... 76 473,000 YAMAGUCHI BANK LTD ............................ 4,279 117,000 o YASUDA TRUST & BANKING CO LTD ................. 146 148,000 ZIONS BANCORP ................................. 9,398 ------------- 11,365,971 ------------- EATING AND DRINKING PLACES--0.60% 27,700 o ADVANTICA RESTAURANT GROUP, INC ............... 95 434,457 o APPLEBEES INTERNATIONAL, INC .................. 13,088 294,200 AVADO BRANDS, INC ............................. 2,464 627,682 BOB EVANS FARMS, INC .......................... 12,475 11,800 []xo BOSTON CHICKEN, INC ........................... 8 842,893 o BRINKER INTERNATIONAL, INC .................... 22,916 598,250 o BUFFETS, INC .................................. 6,880 36,625 CBRL GROUP, INC ............................... 634 385,700 o CEC ENTERTAINMENT, INC ........................ 16,296 306,564 CKE RESTAURANTS, INC .......................... 4,982 2,055,069 COMPASS GROUP PLC ............................. 20,376 32,306 o CONSOLIDATED PRODUCTS, INC .................... 582 1,863,400 DARDEN RESTAURANTS, INC ....................... 40,645 31,350 o DAVE & BUSTERS, INC ........................... 909 2,800 []o EINSTEIN/NOAH BAGEL CORP ...................... 3 686,665 o FOODMAKER, INC ................................ 19,484 200,384 FRISCHS RESTAURANTS, INC ...................... 2,079 1,045,889 HOST MARRIOTT CORP (NEW) ...................... 12,420 4,780 o HOST MARRIOTT SERVICES CORP ................... 39 152,000 o IHOP CORP (NEW) ............................... 3,658 591,000 o KENTUCKY FRIED CHICKEN BERHAD ................. 681 82,200 o LANDRYS SEAFOOD RESTAURANTS, INC .............. 658 276,419 o LONE STAR STEAKHOUSE & SALOON, INC ............ 2,686 280,691 LUBYS, INC .................................... 4,210 988,500 MARRIOTT INTERNATIONAL (CLASS A) .............. 36,945 8,495,307 MCDONALD'S CORP ............................... 350,962 8,927 o MELCO INTERNATIONAL DEVELOPMENT LTD ........... 1 1,530 MOEVENPICK HOLDINGS (BR) ...................... 661 276 MORRISON HEALTH CARE, INC ..................... 7 112,700 o NPC INTERNATIONAL, INC ........................ 1,733 232,700 o OUTBACK STEAKHOUSE, INC ....................... 9,148 178,000 OVERSEAS UNION ENTERPRISES LTD ................ 565 169,200 o PAPA JOHNS INTERNATIONAL, INC ................. 7,561 426,185 PICCADILLY CAFETERIAS, INC .................... 3,543 2,900 o PJ AMERICA, INC ............................... 61 598,007 []o PLANET HOLLYWOOD, INC (CLASS A) ............... 411 70,050 o RAINFOREST CAFE, INC .......................... 355 600 o RARE HOSPITALITY INTERNATIONAL, INC ........... 15 2,000 ROYAL CO LTD .................................. 28 400,534 RUBY TUESDAY, INC ............................. 7,610 295,350 o RYANS FAMILY STEAK HOUSES, INC ................ 3,433 112,775 o SBARRO, INC ................................... 3,052 7,878 o SHONEYS, INC .................................. 17 230,924 xo SIZZLER INTERNATIONAL, INC .................... 520 292,000 [] SKYLARK CO LTD ................................ 6,272 95,901 SODEXHO ALLIANCE S.A. ......................... 16,517 101,651 o SODEXHO MARRIOTT SERVICES, INC ................ 1,950 322,475 o SONIC CORP .................................... 10,521 791,100 o TELEPIZZA S.A. ................................ 4,096 26,650 o THE CHEESECAKE FACTORY CO ..................... 813 1,107,000 +o TPI ENTERPRISES, INC .......................... 14 1,145,771 o TRICON GLOBAL RESTAURANTS, INC ................ 62,015 142,648 o U.S. FOODSERVICE, INC ......................... 6,080 12,200 VALORA HOLDINGS AG. (REGD) .................... 2,809 571,000 VIAD CORP ..................................... 17,665 261,200 o VICORP RESTAURANTS, INC ....................... 4,538 243,869 WENDYS INTERNATIONAL, INC ..................... 6,905 ------------ 755,091 ------------ EDUCATIONAL SERVICES--0.02% 60,778 o APOLLO GROUP, INC (CLASS A) ................... 1,614 95,091 o BERLITZ INTERNATIONAL, INC .................... 1,747 47,600 []o COMPUTER LEARNING CENTERS, INC ................ 235 382,029 o DEVRY, INC .................................... 8,548 170,700 o EDUCATION MANAGEMENT CORP ..................... 3,542 3,000 o EDUTREK INTERNATIONAL, INC (CLASS A) .......... 14 6,600 o ITT EDUCATIONAL SERVICES, INC ................. 172 72,700 o LEARNING TREE INTERNATIONAL, INC .............. 795 242,925 []o SYLVAN LEARNING SYSTEMS, INC .................. 6,605 ------------ 23,272 ------------ ELECTRIC, GAS, AND SANITARY SERVICES--3.57% 357,150 o AES CORP ...................................... 20,759 486,800 AGL RESOURCES, INC ............................ 8,975 135,354 AGUAS DE BARCELONA S.A. ....................... 7,049 2,217 o AGUAS DE BARCELONA S.A. (NEW) ................. 114 1,459,174 ALLEGHENY ENERGY, INC ......................... 46,785 294,693 ALLIANT ENERGY CORP ........................... 8,362 1,171,690 o ALLIED WASTE INDUSTRIES, INC .................. 23,141 967,281 AMEREN CORP ................................... 37,119 176,685 o AMERICAN ECOLOGY CORP ......................... 442 1,017,356 AMERICAN ELECTRIC POWER CO, INC ............... 38,214 1,200 AMERICAN STATES WATER CO ...................... 34 170,367 AMERICAN WATER WORKS CO, INC .................. 5,239 24 See notes to financial statements. VALUE SHARES (000) ---------- --------- ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED) 408,567 ANGLIAN WATER PLC ............................. $ 4,518 403,436 o AQUA ALLIANCE, INC ............................ 403 22,034 AQUARION CO ................................... 766 201,377 ATMOS ENERGY CORP ............................. 5,034 1,122,955 AUSTRALIA GAS LIGHT CO ........................ 6,831 388,100 AVISTA CORP ................................... 6,307 163,000 []o AZURIX CORP ................................... 3,260 151,986 BEC ENERGY .................................... 6,269 128,470 o BEWAG AG. ..................................... 1,981 1,800 BEWCKISER WASSER TECHNIK AG. .................. 341 280,269 BLACK HILLS CORP .............................. 6,481 840,000 BRITISH ENERGY PLC ............................ 7,150 1,551,042 BROWNING FERRIS INDUSTRIES, INC ............... 66,695 47,400 CALIFORNIA WATER SERVICE GROUP ................ 1,238 168,100 o CALPINE CORP .................................. 9,077 978,436 CAROLINA POWER & LIGHT CO ..................... 41,889 143,600 o CASELLA WASTE SYSTEMS, INC (CLASS A) .......... 3,734 105,677,660 o CENTRAIS GERADORAS DO SUL (BR) ................ 83 2,101,600 CENTRAL & SOUTH WEST CORP ..................... 49,125 113,500 CENTRAL HUDSON GAS & ELECTRIC CORP ............ 4,767 7,127,533 o CENTRICA PLC .................................. 16,740 165,000 CHILECTRA S.A. ADR ............................ 3,568 4,268,702 CIA PAULISTA DE FORCA & LUZ ................... 274 38,500 CILCORP, INC .................................. 2,406 1,649,098 CINERGY CORP .................................. 52,771 495,541 o CITIZENS UTILITIES CO (CLASS B) ............... 5,513 453,240 o CLEAN HARBORS, INC ............................ 821 309,964 CLECO CORP .................................... 9,415 3,827,420 CLP HOLDINGS LTD .............................. 18,597 211,264 CMP GROUP, INC ................................ 5,532 487,680 CMS ENERGY CORP ............................... 20,422 1,729,674 COASTAL CORP .................................. 69,187 26,128 COLONIAL GAS CO ............................... 967 832,061 COLUMBIA ENERGY GROUP ......................... 52,160 178,100 COMMONWEALTH ENERGY SYSTEM CO ................. 7,480 1,057,475 CONECTIV, INC ................................. 25,842 62,012 [] CONECTIV, INC (CLASS A) ....................... 2,605 27,400 CONNECTICUT ENERGY CORP ....................... 1,057 1,115,200 CONSOLIDATED EDISON CO OF N.Y., INC ........... 50,463 1,005,300 CONSOLIDATED NATURAL GAS CO ................... 61,072 1,775,921 CONSTELLATION ENERGY GROUP .................... 52,612 351,000 o CONTACT ENERGY LTD ............................ 569 1,169 CTG RESOURCES, INC ............................ 43 160 DAISEKI CO LTD ................................ 2 1,658,100 DOMINION RESOURCES, INC ....................... 71,816 855,275 DPL, INC ...................................... 15,716 1,025,493 DQE, INC ...................................... 41,148 1,514,471 DTE ENERGY CO ................................. 60,579 2,199,486 DUKE ENERGY CORP .............................. 119,597 345,398 DYNEGY, INC ................................... 7,037 225,538 EASTERN ENTERPRISES CO ........................ 8,965 150,057 EASTERN UTILITIES ASSOCIATION CO .............. 4,370 2,475,652 EDISON INTERNATIONAL CO ....................... 66,224 957,030 [] EDISON S.P.A. ................................. 8,291 351,950 EDPERBRASCAN CORP (CLASS A) ................... 5,338 1,914 o EL PASO ELECTRIC CO ........................... 17 339,610 EL PASO ENERGY CORP ........................... 11,950 145,307 ELECTRABEL NV ................................. 46,905 2,000 ELECTRABEL S.A. (STRIP VVPR) .................. 0 1,216,494 ELECTRICIDADE DE PORTUGAL S.A. ................ 21,905 105,677,660 ELECTROBRAS S.A. .............................. 1,991 36,181 EMPIRE DISTRICT ELECTRIC CO ................... 943 411,626 EMPRESA NACIONAL DE ELECTRIDAD S.A. ADR .................................... 4,991 2,699,860 [] ENDESA S.A. ................................... 57,581 306,300 ENERGEN CORP .................................. 5,705 1,458,321 ENERGY EAST CORP .............................. 37,916 116,078 ENERSIS S.A. ADR .............................. 2,655 1,511,145 ENTERGY CORP .................................. 47,223 224,501 EQUITABLE RESOURCES, INC ...................... 8,475 5,237 ETOWN CORP .................................... 240 2,263,027 FIRSTENERGY CORP .............................. 70,154 590,839 FLORIDA PROGRESS CORP ......................... 24,409 964,248 FPL GROUP, INC ................................ 52,672 386,419 GAS NATURAL SDG S.A. .......................... 28,095 150,170 [] GENER S.A. (SPONS ADR) ........................ 2,666 1,466,700 GPU, INC ...................................... 61,876 385 GROUPE BRUXELLES LAMBERT NPV (STRIP VVPR) .............................. 0 68,235 [] GROUPE BRUXELLES LAMBERT S.A. ................. 11,534 70,510 HAFSLUND AS SERIES A .......................... 470 46,402 HAFSLUND AS SERIES B .......................... 192 316,693 HAWAIIAN ELECTRIC INDUSTRIES, INC ............. 11,243 10,721,712 HONG KONG & CHINA GAS CO LTD .................. 15,546 124,922 o HONG KONG & CHINA GAS CO LTD WTS 09/30/99 ................................ 20 25 HONG KONG ELECTRIC CO LTD ..................... 0 471,788 HYDER PLC ..................................... 5,570 1,761,597 [] IBERDROLA S.A. ................................ 26,833 328,100 IDACORP, INC .................................. 10,335 57,620 ILLINOVA CORP ................................. 1,570 221,966 INDIANA ENERGY, INC ........................... 4,731 18,134 IPALCO ENTERPRISES, INC ....................... 384 2,405 o IT GROUP, INC ................................. 39 1,031,340 ITALGAS S.P.A. ................................ 4,329 3,410,600 KANSAI ELECTRIC POWER CO, INC ................. 64,808 545,634 KANSAS CITY POWER & LIGHT CO .................. 13,914 130,800 o KELLEY OIL & GAS CORP ......................... 29 1,064,890 KEYSPAN CORP .................................. 28,086 280,250 KN ENERGY, INC ................................ 3,748 157,000 KURITA WATER INDUSTRIES LTD ................... 2,815 135,700 LACLEDE GAS CO ................................ 3,155 856,867 LOUISVILLE GAS & ELECTRIC ENERGY CORP ......... 17,994 35,900 MADISON GAS & ELECTRIC CO ..................... 736 432,104 MCN ENERGY GROUP, INC ......................... 8,966 161,579 MDU RESOURCES GROUP, INC ...................... 3,686 329,300 o MIDAMERICAN ENERGY HOLDINGS CO ................ 11,402 94,810 MINNESOTA POWER, INC .......................... 1,884 200,800 []xo MOLTEN METAL TECHNOLOGY, INC .................. 8 118,306 MONTANA POWER CO .............................. 8,341 966,736 NATIONAL FUEL GAS CO .......................... 46,887 2,011,183 NATIONAL GRID GROUP PLC ....................... 13,997 3,108,824 NATIONAL POWER PLC ............................ 22,640 576,600 NEVADA POWER CO ............................... 14,415 857,360 NEW CENTURY ENERGIES, INC ..................... 33,276 377,443 NEW ENGLAND ELECTRIC SYSTEMS CO ............... 18,919 116,700 NEW JERSEY RESOURCES CORP ..................... 4,369 14,800 o NEWPARK RESOURCES, INC ........................ 131 32,200 o NIAGARA MOHWAK HOLDINGS, INC .................. 517 466,640 NICOR, INC .................................... 17,761 269,458 NISOURCE, INC ................................. 6,955 90,592 NORTH CAROLINA NATURAL GAS CORP ............... 3,086 19,700 o NORTHEAST UTILITIES CO ........................ 348 1,009,068 NORTHERN STATES POWER CO ...................... 24,407 161,600 NORTHWEST NATURAL GAS CO ...................... 3,899 127,192 NORTHWESTERN CORP ............................. 3,076 142,600 NUI CORP ...................................... 3,565 608,044 OGE ENERGY CORP ............................... 14,441 296,300 ONEOK, INC .................................... 9,408 4,572 ORANGE & ROCKLAND UTILITY, INC ................ 267 4,010,000 OSAKA GAS CO LTD .............................. 13,616 31,745 o OESTERREICHISCHE ELEKTRIZITAETSWIRSCHAFTS AG. ................ 4,623 17,900 OTTER TAIL POWER CO ........................... 690 6,913,300 PACIFICORP .................................... 127,032 1,609,629 PECO ENERGY CO ................................ 67,403 22,100 PENNSYLVANIA ENTERPRISES, INC ................. 678 534,199 PEOPLES ENERGY CORP ........................... 20,133 See notes to financial statements. 25 VALUE SHARES (000) ---------- --------- ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED) 635,000 PETRONAS GAS BERHAD ........................... $ 1,354 2,074,313 PG&E CORP ..................................... 67,415 89,133 PHILADELPHIA SUBURBAN CORP .................... 2,056 109,196 o PHILIP SERVICES CORP .......................... 17 93,287 PIEDMONT NATURAL GAS CO, INC .................. 2,904 697,234 PINNACLE WEST CAPITAL CORP .................... 28,064 717,400 POTOMAC ELECTRIC POWER CO ..................... 21,118 285,479 POWERGEN PLC .................................. 3,078 1,752,910 PP&L RESOURCES, INC ........................... 53,902 601,524 PUBLIC SERVICE CO OF NEW MEXICO ............... 11,955 112,202 PUBLIC SERVICE CO OF NORTH CAROLINA ........... 3,282 1,836,128 PUBLIC SERVICE ENTERPRISE GROUP, INC .......... 75,052 506,431 PUGET SOUND ENERGY, INC ....................... 12,154 1,127,880 QUESTAR CORP .................................. 21,571 1,759,215 RELIANT ENERGY, INC ........................... 48,598 3,044,816 o REPUBLIC SERVICES, INC (CLASS A) .............. 75,359 1,190,320 o RHEIN-WESTFALEN ELECTRIC AG. (STAMM) .......... 55,106 567,997 ROCHESTER GAS & ELECTRIC CORP ................. 15,087 694,100 SCANA CORP .................................... 16,225 2,153,839 SCOTTISH & SOUTHERN ENERGY PLC ................ 22,034 3,724,574 SCOTTISH POWER PLC ............................ 32,173 1,505 SEMCO ENERGY, INC ............................. 23 1,633,305 SEMPRA ENERGY ................................. 36,954 9,472,146 SHUN TAK ENTERPRISES CORP LTD ................. 2,533 49,300 SIERRA PACIFIC RESOURCES ...................... 1,793 95,882 SIG CORP, INC ................................. 2,715 158,100 SONAT, INC .................................... 5,237 52,000 SOUTH JERSEY INDUSTRIES, INC .................. 1,472 4,101,296 SOUTHERN CO ................................... 108,684 44,964 o SOUTHERN UNION CO ............................. 978 600 SOUTHWEST GAS CORP ............................ 17 167,500 SOUTHWESTERN ENERGY CO ........................ 1,769 478,835 [] LYONNAISE DES EAUX S.A. ....................... 86,370 7,200 o SUPERIOR SERVICES, INC ........................ 192 841,952 TECO ENERGY, INC .............................. 19,154 804,000 o TENAGA NASIONAL BERHAD ........................ 1,667 2,061,464 TEXAS UTILITIES CO ............................ 85,035 192,714 THAMES WATER PLC .............................. 3,056 2,200 o THERMO ECOTEK CORP ............................ 18 129,700 TNP ENTERPRISES, INC .......................... 4,702 989,000 TOHOKU ELECTRIC POWER CO, INC ................. 14,969 2,503,474 [] TOKYO ELECTRIC POWER CO, INC .................. 52,845 5,292,000 [] TOKYO GAS CO LTD .............................. 13,029 244,357 TRACTEBEL NV .................................. 34,273 6,138 o TRACTEBEL NV PUT WTS 11/15/99 ................. 0 857,504 TRANS CANADA PIPELINES LTD .................... 12,022 140,050 TRANS CANADA PIPELINES LTD (U.S.) ............. 1,961 376,600 TRANSALTA CORP ................................ 5,521 568,500 TRANSPORTADORA DE GAS DEL SUR (CLASS B) ....... 1,069 237,624 UGI CORP ...................................... 4,797 1,627,483 UNICOM CORP ................................... 62,760 1,428,100 [] UNION ELECTRICA FENOSA S.A. ................... 18,675 258,020 o UNISOURCE ENERGY CORP HOLDINGS CO ............. 3,080 64,500 UNITED ILLUMINATING CO ........................ 2,737 1,933,886 UNITED UTILITIES PLC .......................... 23,503 120,100 UNITED WATER RESOURCES, INC ................... 2,725 669,647 UTILICORP UNITED, INC ......................... 16,281 1,282,930 [] VEBA AG. ...................................... 75,416 54,046 VIAG AG. ...................................... 25,528 1,592,410 VIVENDI S.A. .................................. 128,999 48,973 []o VIVENDI S.A. WTS 05/02/01 ..................... 131 577,372 WASHINGTON GAS LIGHT CO ....................... 15,012 6,465,954 o WASTE MANAGEMENT, INC ......................... 347,545 700 o WASTEMASTERS, INC ............................. 0 232,462 WESTCOAST ENERGY, INC ......................... 4,539 53,800 WESTERN GAS RESOURCES, INC .................... 861 178,610 WESTERN RESOURCES, INC ........................ 4,755 127,798 WICOR, INC .................................... 3,570 2,443,474 WILLIAMS COS, INC ............................. 104,000 738,081 [] WISCONSIN ENERGY CORP ......................... 18,498 274,672 WPS RESOURCES CORP ............................ 8,240 416,000 YANKEE ENERGY SYSTEMS, INC .................... 16,510 151,135 o YORK RESEARCH CORP ............................ 935 ------------- 4,474,316 ------------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--8.10% 30,800 o AAVID THERMAL TECHNOLOGIES, INC ............... 697 508,037 []o ABB LTD ....................................... 47,505 233,748 []o ABB LTD (SWITZERLAND) ......................... 22,028 300 o ACT MANUFACTURING, INC ........................ 4 119,900 o ACTEL CORP .................................... 1,769 43,500 o ADAPTIVE BROADBAND CORP ....................... 952 1,115,698 o ADC TELECOMMUNICATIONS, INC ................... 50,834 91,824 o ADTRAN, INC ................................... 3,340 22,600 o ADVANCED ENERGY INDUSTRIES, INC ............... 917 362,700 o ADVANCED FIBRE COMMUNICATIONS ................. 5,667 160,900 o ADVANCED LIGHTING TECHNOLOGIES, INC ........... 1,448 250,750 o ADVANCED MICRO DEVICES, INC ................... 4,529 141,629 [] ADVANTEST CORP ................................ 15,562 84,000 AIWA CO LTD ................................... 2,776 402,335 ALLEGHENY TELEDYNE, INC ....................... 9,103 4,200 o ALLEN TELECOM, INC ............................ 45 900 o ALLIANCE SEMICONDUCTOR CORP ................... 9 1,244,000 [] ALPS ELECTRIC CO LTD .......................... 29,137 1,431,000 o ALSTOM ........................................ 45,012 6,616,180 o ALTERA CORP ................................... 243,558 1,680,860 o AMERICAN POWER CONVERSION CORP ................ 33,827 284,229 o AMERICAN TOWER SYSTEMS (CLASS A) .............. 6,821 287,200 AMETEK, INC ................................... 6,606 241,000 []o AMKOR TECHNOLOGY, INC ......................... 2,470 6,000 o AMPEX CORP (CLASS A) .......................... 30 55,845 o AMPHENOL CORP (CLASS A) ....................... 2,220 20,992 AMSTRAD PLC ................................... 21 700 o ANADIGICS, INC ................................ 26 1,269,029 o ANALOG DEVICES, INC ........................... 63,689 1,211,118 o ANDREW CORP ................................... 22,936 151,800 []o ANTEC CORP .................................... 4,867 2,369 []o APPLIED MAGNETICS CORP ........................ 7 119,000 o APPLIED MICRO CIRCUITS CORP ................... 9,788 98,781 o ARTESYN TECHNOLOGIES, INC ..................... 2,192 67,300 o ARTISAN COMPONENTS, INC ....................... 782 319,400 o ASPECT TELECOMMUNICATIONS CORP ................ 3,114 1,272,535 o ATMEL CORP .................................... 33,325 16,226 o AURA SYSTEMS, INC ............................. 4 2,200 o AUSTRIA MIKRO SYSTEM INTERNATIONAL AG .............................. 81 54,000 AVX CORP .................................... 1,316 13,933 BALDOR ELECTRIC CO ............................ 277 57,500 o BANG & OLUFSEN HOLDINGS AS (CLASS B ........... 3,654 41,115 BARCO INDUSTRIES NV ........................... 6,619 66,100 o BENCHMARK ELECTRONICS, INC .................... 2,375 462,200 BMC INDUSTRIES, INC ........................... 4,766 436,096 BOWTHORPE HOLDINGS PLC ........................ 3,812 3,900 o BROADBAND TECHNOLOGIES, INC ................... 10 128,500 o BROADCOM CORP (CLASS A) ....................... 18,576 697,000 BROTHERS INDUSTRIES LTD ....................... 2,401 165,400 o BURR BROWN CORP ............................... 6,058 238,000 C&D TECHNOLOGIES, INC ......................... 7,289 808,700 []o CELLNET DATA SYSTEMS, INC ..................... 7,278 10,500 o CHECKPOINT SYSTEMS, INC ....................... 94 12,400 o CIDCO, INC .................................... 92 884,380 o CIENA CORP .................................... 26,697 279,563 o COMMSCOPE, INC ................................ 8,597 579,297 o COMVERSE TECHNOLOGY, INC ...................... 43,737 610,750 o CONEXANT SYSTEMS, INC ......................... 35,462 1,814,445 COOPER INDUSTRIES, INC ........................ 94,351 254,042 CTS CORP ...................................... 17,783 26 See notes to financial statements. VALUE SHARES (000) ---------- --------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(Continued) 21,100 o CUSTOMTRACKS CORP ............................. $ 1,180 566,900 o CYPRESS SEMICONDUCTOR CORP .................... 9,354 336,879 []o DAI NIPPON SCREEN MANUFACTURING CO LTD .......................... 1,739 57,685 DALLAS SEMICONDUCTOR CORP ..................... 2,913 1,200 o DAVOX CORP .................................... 14 396,900 o DIGITAL MICROWAVE CORP ........................ 5,060 247,120 o DII GROUP, INC ................................ 9,221 174,516 o DSP COMMUNICATIONS, INC ....................... 5,039 4,100 []o ECHOSTAR COMMUNICATIONS CORP CLASS A) .................................... 629 2,024 o EFACEC CAPITAL WTS 12/12/99 ................... 1 21,500 o ELECTRO SCIENTIFIC INDUSTRIES, INC ............ 898 333,058 ELECTROCOMPONENTS PLC ......................... 2,460 968,970 ELECTROLUX AB SERIES B ........................ 20,287 1,255,379 [] EMAIL LTD ..................................... 2,416 2,541,270 EMERSON ELECTRIC CO ........................... 159,782 7,800 EMPRESA FABRIL DE MAQUINAS ELECTRICAS ......... 46 2,578 o EMPRESA FABRIL DE MAQUINAS ELECTRICAS (BABY SHS) .................................. 15 76,921 o ESS TECHNOLOGY ................................ 1,034 87,500 o EVANS & SUTHERLAND COMPUTER CORP .............. 1,143 1,100 o EXAR CORP ..................................... 27 144,400 o EXCEL SWITCHING CORP .......................... 4,323 6,500 EXIDE CORP .................................... 96 81,000 o FIREARMS TRAINING SYSTEMS, INC ................ 73 497,017 [] FISHER & PAYKEL INDUSTRIES LTD ................ 1,580 10,000 FRANKLIN ELECTRIC CO, INC ..................... 650 5,968,000 [] FUJITSU LTD ................................... 120,060 387,000 FURUKAWA ELECTRIC CO LTD ...................... 1,774 64,000 FUTABA CORP ................................... 2,982 98,357 []o GENERAL DATACOMM INDUSTRIES, INC .............. 258 26,513,257 GENERAL ELECTRIC CO ........................... 2,995,998 4,392,778 GENERAL ELECTRIC CO (U.K.) .................... 44,800 684,500 o GENERAL INSTRUMENT CORP ....................... 29,091 135,900 o GENERAL SEMICONDUCTOR, INC .................... 1,240 41,700 o GENLYTE GROUP, INC ............................ 936 883,000 xo GEOTEK COMMUNICATIONS, INC .................... 23 71,437 o GLENAYRE TECHNOLOGIES, INC .................... 257 13,840 GROUPE SEB S.A ................................ 1,035 23,300 o HADCO CORP .................................... 926 100,380 HARMAN INTERNATIONAL INDUSTRIES, INC .......... 4,417 79,400 HARMON INDUSTRIES, INC ........................ 1,573 1,058,049 HARRIS CORP ................................... 41,462 27,900 HELIX TECHNOLOGY CORP ......................... 668 136,900 [] HIROSE ELECTRIC CO LTD ........................ 14,206 7,585,230 [] HITACHI LTD ................................... 71,127 251,200 o HMT TECHNOLOGY CORP ........................... 628 54,500 o HOLOPHANE CORP ................................ 2,078 65,676 HUBBELL, INC (CLASS B) ........................ 2,980 131,370 o HUTCHINSON TECHNOLOGY, INC .................... 3,646 7,300 NNOVEX, INC ................................... 102 1,150,400 o INTEGRATED DEVICE TECHNOLOGY, INC ............. 12,511 7,500 o INTEGRATED SILICON SOLUTION, INC .............. 44 27,772,386 INTEL CORP .................................... 1,652,457 186,900 INTER-TEL, INC ................................ 3,411 256,900 o INTERDIGITAL COMMUNICATIONS CORP .............. 1,188 7,400 o INTERNATIONAL RECTIFIER CORP .................. 99 185,000 o INTERVOICE, INC ............................... 2,671 10,200 o ITI TECHNOLOGIES, INC ......................... 231 19,800 []o ITRON, INC .................................... 170 339,184 o JABIL CIRCUIT, INC ............................ 15,306 3,513,320 o JOHNSON ELECTRIC HOLDINGS LTD ................. 14,490 3,700 o JPM CO ........................................ 48 177,400 JUNO LIGHTING, INC ............................ 4,346 12,100 o KEMET CORP .................................... 278 727,800 o KOMAG, INC .................................... 2,411 1,720,077 KONINKLIJKE PHILIPS ELECTRONICS NV ............ 169,675 500 o KOPIN CORP .................................... 12 298,100 KYOCERA CORP .................................. 17,486 103,800 o L-3 COMMINUCATIONS HOLDINGS, INC .............. 5,015 162,550 o LATTICE SEMICONDUCTOR CORP .................... 10,119 30,879 LEGRAND S.A ................................... 6,286 208,700 o LEVEL ONE COMMUNICATIONS, INC ................. 10,213 3,123,300 LINEAR TECHNOLOGY CO .......................... 210,042 24,900 o LITTLEFUSE, INC ............................... 479 10,200 o LO-JACK CORP .................................. 85 1,226,100 o LSI LOGIC CORP ................................ 56,554 212,800 MABUCHI MOTOR CO LTD .......................... 19,779 674 o MAGNETEK, INC ................................. 7 637,000 MALAYSIAN PACIFIC INDUSTRIES BERHAD ........... 1,600 5,128,650 [] MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ......... 99,573 60,335 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ADR ......................................... 11,965 1,879,124 o MAXIM INTEGRATED PRODUCTS ..................... 124,962 319,203 MAYTAG CO ..................................... 22,244 392,100 o MEMC ELECTRONIC MATERIALS, INC ................ 4,779 196,265 METAL MANUFACTURES LTD ........................ 240 307,850 METHODE ELECTRONICS, INC (CLASS A) ............ 7,042 89,775 o MICREL, INC ................................... 6,643 800 o MICRO LINEAR CORP ............................. 3 436,275 o MICROCHIP TECHNOLOGY, INC ..................... 20,669 865,395 o MICRON TECHNOLOGY, INC ........................ 34,886 3,243,000 MITSUBISHI ELECTRIC CORP ...................... 12,459 793,200 o MMC NETWORKS, INC ............................. 35,496 8,107 MOLEX, INC .................................... 300 167,252 MOLEX, INC (CLASS A) .......................... 5,268 16,000 o MOOG, INC (CLASS A) ........................... 550 4,643,098 MOTOROLA, INC ................................. 439,934 142,130 []o MRV COMMUNICATIONS, INC ....................... 1,865 573,000 MURATA MANUFACTURING CO LTD ................... 37,682 67,700 NATIONAL PRESTO INDUSTRIES, INC ............... 2,590 763,899 o NATIONAL SEMICONDUCTOR CORP ................... 19,336 657,849 NATIONAL SERVICE INDUSTRIES, INC .............. 23,683 9,600 o NATURAL MICROSYSTEMS CORP ..................... 92 292,160 o NEOMAGIC CORP ................................. 2,456 431,644 [] NGK SPARK PLUG CO LTD ......................... 4,440 900 NIHON DEMPA KOGYO CO LTD ...................... 6 2,899,000 [] NIPPON ELECTRIC CORP .......................... 36,046 136,000 [] NITTO DENKO CORP .............................. 2,854 4,424,700 o NOKIA OYJ .............................. ...... 387,871 957,042 NORTEL NETWORKS CORP .......................... 81,472 1,277,913 NORTEL NETWORKS CORP (U.S.) ................... 110,939 13,600 o OAK INDUSTRIES, INC ........................... 594 289,705 o OAK TECHNOLOGY, INC ........................... 1,050 500 o OIS OPTICAL IMAGING SYSTEMS, INC .............. 0 391,900 []o P-COM, INC .................................... 2,051 146,709 o PAIRGAIN TECHNOLOGIES, INC .................... 1,687 61,100 PARK ELECTROCHEMICAL CORP ..................... 1,757 14,800 []o PARKERVISION, INC ............................. 518 77,300 o PHOTRONICS, INC ............................... 1,894 24,600 o PICTURETEL CORP ............................... 197 336,729 PIONEER CORP .................................. 6,552 125,400 PITTWAY CORP .................................. 4,177 229,036 PITTWAY CORP (CLASS A) ........................ 7,830 48,300 o PLANTRONICS, INC .............................. 3,146 251,400 o PLEXUS CORP ................................... 7,573 476,300 o PMC-SIERRA, INC ............................... 28,072 258,200 o POLYCOM, INC .................................. 10,070 74,700 o POWERWAVE TECHNOLOGIES, INC ................... 2,409 161,800 o PREMISYS COMMUNICATIONS, INC .................. 1,183 98,106 o QLOGIC CORP ................................... 12,950 950,847 o QUALCOMM, INC ................................. 136,447 278,314 o RACAL ELECTRONICS PLC ......................... 1,696 4,600 []o RAMBUS, INC ................................... 424 23,800 o RAMTRON INTERNATIONAL CORP .................... 15 839,522 RAYCHEM CORP .................................. 31,062 176,100 o RAYOVAC CORP .................................. 3,995 1,135,050 o READ RITE CORP ................................ 7,041 45,100 []o RECOTON CORP .................................. 410 See notes to financial statements. 27 VALUE SHARES (000) ---------- --------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(Continued) 71,700 o REMEC, INC .................................... $ 1,156 44,000 [] RINNAI CORP ................................... 1,011 526,000 ROHM CO ....................................... 82,350 8,600 o ROYAL APPLIANCE MANUFACTURING CO, INC ......... 60 158,800 o S3, INC ....................................... 1,444 179,200 o SALIENT 3 COMMUNICATIONS (CLASS A) ............ 1,456 302,439 []o SANMINA CORP .................................. 22,948 1,907,000 SANYO ELECTRIC CO LTD ......................... 7,751 312,500 o SAWTEK, INC ................................... 14,336 199,700 o SCI SYSTEMS, INC .............................. 9,486 591,800 SCIENTIFIC-ATLANTA, INC ....................... 21,305 79,100 []o SCM MICROSYSTEMS, INC ......................... 3,668 217,334 o SDL, INC ...................................... 11,098 107,100 o SEMTECH CORP .................................. 5,583 426,850 o SENSORMATIC ELECTRONICS CORP .................. 5,949 1,400 o SGL CARBON AG. ................................ 108 60,000 SGS-THOMSON MICROELECTRONICS NV ............... 3,997 2,127,000 [] SHARP CORP .................................... 25,129 3,000 o SHELDAHL, INC ................................. 20 9,800 o SILICONIX, INC ................................ 336 323,299 o SILICONWARE PRECISION INDUSTRIES GDR .......... 4,373 41,700 o SIPEX CORP .................................... 855 309,420 SIRTI S.P.A. .................................. 1,493 168,250 o SLI, INC ...................................... 4,543 242,400 o SMART MODULAR TECHNOLOGIES, INC ............... 4,212 1,243,951 o SOLECTRON CORP ................................ 82,956 780,298 [] SONY CORP ..................................... 84,128 562,000 SONY MUSIC ENTERTAINMENT, INC ................. 47,824 900 o SPECTRA-PHYSICS LASERS, INC ................... 7 1,000 o SPECTRIAN CORP ................................ 15 433,000 STEWART & STEVENSON SERVICES, INC ............. 6,603 2,235,500 SUMITOMO ELECTRIC INDUSTRIES CO ............... 25,413 327,957 []o SUNBEAM CORP .................................. 2,603 75,200 o SUPERTEX, INC ................................. 865 286,000 o SUWA INTERNATIONAL HOLDINGS LTD ............... 13 57,200 o SUWA INTERNATIONAL HOLDINGS LTD WTS 10/15/99 ................................ 0 231,200 o SYMMETRICOM, INC .............................. 1,879 8,800 o SZ TESTSYSTEMS AG. ............................ 113 283,000 TAIYO YUDEN CO LTD ............................ 4,643 51,000 o TDK CORP ...................................... 4,664 64,138 TECHNITROL, INC ............................... 2,068 286,000 o TEKELEC ....................................... 3,486 245,600 TELEFLEX, INC ................................. 10,668 2,690,350 o TELLABS, INC .................................. 181,767 2,782,468 TEXAS INSTRUMENTS, INC ........................ 403,458 380 o THERMICEDGE CORP .............................. 0 1,415,808 THOMAS & BETTS CORP ........................... 66,897 163,377 THOMAS INDUSTRIES, INC ........................ 3,349 2,400 o THREE-FIVE SYSTEMS, INC ....................... 33 322,750 TOKYO ELECTRON CO LTD ......................... 21,892 2,630,000 [] TOSHIBA CORP .................................. 18,751 22 TOWA CORP ..................................... 1 23,500 []o TRANSCRYPT INTERNATIONAL, INC ................. 32 5,900 o TRIDENT MICROSYSTEMS, INC ..................... 54 400 o TRIQUINT SEMICONDUCTOR, INC ................... 23 501,700 o UCAR INTERNATIONAL, INC ....................... 12,668 196,000 [] UNIDEN CORP ................................... 1,992 173,000 []o UNIPHASE CORP ................................. 28,718 185,000 o UNISEM (M) BERHAD ............................. 460 207,134 o UNITRODE CORP ................................. 5,942 428 o VARIAN SEMICONDUCTOR EQUIPMENT ASSOCIATION ......................... 7 402,000 VARITRONIX INTERNATIONAL LTD .................. 837 412,000 VENTURE MANUFACTURING (SINGAPORE) LTD ............................. 3,170 24,400 o VICOR CORP .................................... 517 700 o VIDEOSERVER, INC .............................. 7 434,125 o VISHAY INTERTECHNOLOGY, INC ................... 9,117 857,660 o VITESSE SEMICONDUCTOR CORP .................... 57,838 8,000,000 o VTECH HOLDINGS LTD ............................ 25,416 256 o VTEL CORP ..................................... 1 66,200 o WESTELL TECHNOLOGIES, INC (CLASS A) ........... 461 558,242 WHIRLPOOL CORP ................................ 41,310 54,192 o WINDMERE-DURABLE HOLDINGS, INC ................ 914 289,200 WOODHEAD INDUSTRIES, INC ...................... 3,543 16,200 WOODWARD GOVERNOR CO .......................... 421 276,651 o WORLD ACCESS, INC ............................. 3,908 3,092,800 o XILINX, INC ................................... 177,063 362,984 YAMAHA CORP ................................... 4,363 472,622 []xo ZENITH ELECTRONICS CORP ....................... 184 2,300 []o ZOLTEK COS, INC ............................... 18 10,200 o ZORAN CORP .................................... 171 ------------ 10,159,275 ------------ ENGINEERING AND MANAGEMENT SERVICES--0.12% 47,100 o AHL SERVICES, INC ............................. 1,175 2,400 o AURORA BIOSCIENCE CORP ........................ 17 32,000 BLOUNT INTERNATIONAL, INC ..................... 870 542,200 o CATALYTICA, INC ............................... 7,591 300 []o DATA TRANSMISSION NETWORK CORP ................ 8 46,100 o DIAMOND TECHNOLOGY PARTNERS, INC (CLASS A) ................................... 1,031 357,639 DUN & BRADSTREET CORP ......................... 12,674 33,000 EG & G, INC ................................... 1,176 900 o ENTREMED, INC ................................. 20 82,300 o F.Y.I., INC ................................... 2,582 77,930 o FIRST CONSULTING GROUP, INC ................... 828 109,800 o GARTNER GROUP, INC (CLASS A) .................. 2,251 1,200 o HAGLER BAILLY, INC ............................ 12 60,200 o INCYTE PHARMACEUTICALS, INC ................... 1,592 30,000 #o INTERNATIONAL HYDRON (LIQUIDATING TRUST) ......................... 1 197,497 o JACOBS ENGINEERING GROUP, INC ................. 7,505 47,400 o KENDLE INTERNATIONAL, INC ..................... 758 30,498 LANDAUER, INC ................................. 900 65,300 o LASON, INC .................................... 3,241 60,065 o MAXIMUS, INC .................................. 1,727 5,200 o MEDAPHIS CORP ................................. 30 31,900 o META GROUP, INC ............................... 490 162,900 o METZLER GROUP, INC ............................ 4,500 69,100 o MYRIAD GENETICS, INC .......................... 622 157,400 xo NEUROMEDICAL SYSTEMS, INC ..................... 5 2,400 o NFO WORLDWIDE, INC ............................ 34 50,800 o NICHOLS RESEARCH CORP ......................... 1,111 100,700 OYO CORP ...................................... 1,880 600 o PAREXEL INTERNATIONAL CORP .................... 8 8,912 o PHARMACEUTICAL PRODUCT DEVELOPMENT ............ 244 400 o PROBUSINESS SERVICES, INC ..................... 14 200 o PROFIT RECOVERY GROUP INTERNATIONAL ........... 9 1,361,124 o QUINTILES TRANSNATIONAL CORP .................. 57,167 89,984 o RENAISSANCE WORLDWIDE, INC .................... 717 2,905,804 SEMBCORP INDUSTRIES LTD ....................... 4,608 567,368 SERVICEMASTER CO .............................. 10,638 5,519,000 SINGAPORE TECHNOLOGIES ENGINEERING LTD .............................. 6,256 34,000 o SM & A CORP ................................... 259 235,600 o STAFF LEASING, INC ............................ 3,033 42,019 STONE & WEBSTER, INC .......................... 1,119 25,000 o SUPERIOR CONSULTANT HOLDINGS CORP ............. 617 22,190 TEJON RANCH CO ................................ 560 5,387 o TETRA TECH, INC ............................... 89 88,000 o URS CORP ...................................... 2,580 55,300 []o VALENCE TECHNOLOGY, INC ....................... 408 139,100 VEDIOR NV-CVA ................................. 2,367 11,600 o WACKENHUT CORRECTIONS CORP .................... 230 262,400 o WESTON (ROY F.), INC (CLASS A) ................ 787 154,700 o WHITTMAN HART, INC ............................ 4,912 ------------ 151,253 ------------ 28 See notes to financial statements. VALUE SHARES (000) ---------- --------- FABRICATED METAL PRODUCTS--0.66% 100 o ALLIANT TECHSYSTEMS, INC ...................... $ 9 121,034 o ALLTRISTA CORP ................................ 3,994 1,400 AMCAST INDUSTRIAL CORP ........................ 23 43,523 BALL CORP ..................................... 1,839 92,300 BARNES GROUP, INC ............................. 2,008 1,344,871 BICC LTD ...................................... 1,919 14,200 BOHLER-UDDEHOLM AG. (BR) ...................... 703 25,700 BUTLER MANUFACTURING CO ....................... 718 26,480 o BWAY CORP ..................................... 377 212,600 CARADON PLC ................................... 501 70,600 CCL INDUSTRIES, INC (CLASS B) ................. 735 105,100 CHART INDUSTRIES, INC ......................... 828 4,500 o COLEMAN CO, INC ............................... 42 8,816 o COLEP-COMPANHIA PORTUGUESA DE EMBALAGE .................................. 49 489,049 CRANE CO ...................................... 15,374 786,375 CROWN CORK & SEAL CO, INC ..................... 22,412 343,200 o FANSTEEL, INC ................................. 1,888 3,628 FISCHER (GEORGE) LTD (REGD) ................... 1,183 8,531,732 GILLETTE CO ................................... 349,801 942,843 GKN PLC ....................................... 16,096 4,262 o GRIFFON CORP .................................. 33 103,500 o GULF ISLAND FABRICATION, INC .................. 1,236 65,600 HARSCO CORP ................................... 2,099 116,100 INTERNATIONAL ALUMINUM CORP ................... 3,200 150,000 KIAN JOO CAN FACTORY BERHAD ................... 245 91,100 o LADISH CO, INC ................................ 706 901,050 MAGNETI MARELLI ............................... 1,194 851,347 [] MARK IV INDUSTRIES, INC ....................... 17,985 2,095,200 MASCO CORP .................................... 60,499 1,600 o MATERIAL SCIENCES CORP ........................ 24 27,200 o METALS U.S.A., INC ............................ 347 32,700 o NCI BUILDING SYSTEMS, INC ..................... 699 2,800 o NORTEK, INC ................................... 88 962,421 PARKER-HANNIFIN CORP .......................... 44,031 112,660 PRIMEX TECHNOLOGIES, INC ...................... 2,429 2,693,442 ROCKWELL INTERNATIONAL CORP ................... 163,627 4,700 o ROHN INDUSTRIES, INC .......................... 6 201,550 []o SANKYO ALUMINIUM INDUSTRY CO LTD .............. 231 304,000 SANWA SHUTTER CORP ............................ 1,648 38,300 o SHAW GROUP, INC ............................... 608 1,900 o SHILOH INDUSTRIES, INC ........................ 28 36,300 o SILGAN HOLDINGS, INC .......................... 721 30,400 o SIMPSON MANUFACTURING CO, INC ................. 1,444 225,300 [] SMC CORP ...................................... 25,221 558,600 SNAP-ON, INC .................................. 20,214 40,629 o SPS TECHNOLOGIES, INC ......................... 1,524 135,100 STANLEY WORKS CO .............................. 4,349 124,500 STRUM, RUGER & CO, INC ........................ 1,331 376,000 TAKARA STANDARD CO ............................ 2,361 556,000 TOSTEM CORP ................................... 10,680 430,000 o TOWER AUTOMOTIVE, INC ......................... 10,938 585,900 TOYO SEIKAN KAISHA LTD ........................ 13,166 2,977 o U.S. CAN CORP ................................. 66 152,300 UNITED DOMINION INDUSTRIES LTD ................ 3,807 1,100 VALMONT INDUSTRIES ............................ 19 230,900 WATTS INDUSTRIES, INC (CLASS A) ............... 4,430 473 o WHITTAKER CORP ................................ 13 123,500 o WYMAN-GORDON CO ............................... 2,385 -------------- 824,131 -------------- FISHING, HUNTING, AND TRAPPING--0.00% 700 o ZAPATA CORP 6 -------------- FOOD AND KINDRED PRODUCTS--3.38% 3,000 AARHUS OLIEFABRIK AS (CLASS A) ................ 79 1,700 AARHUS OLIEFABRIK AS (CLASS B) ................ 46 2,940 []o AGRIBIOTECH, INC .............................. 18 69,919 o AGRIBRANDS INTERNATIONAL, INC ................. 2,766 1,159,600 AJINOMOTO CO LTD .............................. 13,221 21,300 o AMERICAN ITALIAN PASTA CO (CLASS A) ........... 647 3,153,128 ANHEUSER BUSCH COS, INC ....................... 223,675 3,851,030 ARCHER DANIELS MIDLAND CO ..................... 59,450 147,800 ARIAKE JAPAN CO LTD ........................... 6,044 473,000 [] ASAHI BREWERIES LTD ........................... 5,885 10,800 o ASIA FOOD & PROPERTIES LTD WTS 07/12/02 ....... 9 1,761,114 ASSOCIATED BRITISH FOODS PLC .................. 11,646 122,889 AZUCARERA EBRO AGRICOLAS S.A. ................. 1,881 2,306,994 BASS PLC ...................................... 33,474 22,100 o BERINGER WINE ESTATES HOLDINGS, INC (CLASS B) .................................... 923 1,942,500 BESTFOODS, INC ................................ 96,154 3,668 [] BONGRAIN S.A. ................................. 1,385 140,205 o BOSTON BEER CO, INC (CLASS A) ................. 1,130 12,480 o BRAU UND BRUNNEN AG. .......................... 824 304,947 BROWN FORMAN, INC (CLASS B) ................... 19,879 21,672 o BUSH BOAKE ALLEN, INC ......................... 634 2,378,608 CADBURY SCHWEPPES LTD ......................... 15,148 1,120,600 CAMPBELL SOUP CO .............................. 51,968 126,305 o CANANDAIGUA BRANDS, INC (CLASS A) ............. 6,623 69,809 o CARLSBERG BREWERIES AS (CLASS A) .............. 2,815 11,781 o CARLSBERG BREWERIES AS (CLASS B) .............. 491 327,000 CARLSBERG BREWERIES MALAYSIA BERHAD ........... 837 149,600 CHIQUITA BRANDS INTERNATIONAL, INC ............ 1,346 1,311,758 [] COCA COLA AMATIL LTD .......................... 5,287 264,300 COCA COLA BOTTLING CO CONSOLIDATED ............ 14,801 14,756,593 COCA COLA CO .................................. 922,287 2,023,945 COCA COLA ENTERPRISES, INC .................... 60,212 185,800 COMPANIA CERVECERIAS UNIDAS S.A. ADR .......... 5,319 3,385,588 CONAGRA, INC .................................. 90,141 53,617 COORS (ADOLPH) CO (CLASS B) ................... 2,654 569,225 CORN PRODUCTS INTERNATIONAL, INC .............. 17,326 25,500 o COTT CORP ..................................... 90 203,600 CULTOR OY SERIES 2 ............................ 3,780 21,300 CULTOR OYJ .................................... 395 74,600 o DANISCO AS .................................... 3,371 219,518 DANONE GROUP .................................. 56,597 156,000 DCC PLC ....................................... 1,271 532,299 DEAN FOODS CO ................................. 22,124 811,060 DELTA CORP .................................... 231 7,959,358 DIAGEO PLC (CLASS A) .......................... 83,119 791,957 DOLE FOOD, INC ................................ 23,264 134,344 DREYERS GRAND ICE CREAM, INC .................. 2,032 726,728 EARTHGRAINS CO ................................ 18,759 56,036 o EL AGUILA S.A. ................................ 536 200,000 o EMBOTELLADORA ANDINA ADR (CLASS A) ............ 4,000 40,700 EMBOTELLADORA ANDINA ADR (CLASS B) ............ 621 22,453 []o ERIDANIA BEGHIN-SAY S.A. ...................... 3,219 319,700 [] EZAKI GLICO CO LTD ............................ 1,915 158,825 FLOWERS INDUSTRIES, INC ....................... 3,445 7,143,858 [] FOSTERS BREWING GROUP LTD ..................... 20,134 675,800 FRASER & NEAVE LTD ............................ 2,997 1,010,814 GENERAL MILLS, INC ............................ 81,244 160,300 GOLDEN ENTERPRISES, INC ....................... 601 2,766,644 GOODMAN FIELDER LTD ........................... 2,467 12,600 o HAIN FOOD GROUP, INC .......................... 260 932,931 HEINEKEN NV ................................... 47,770 2,058,339 HEINZ (H.J.) CO ............................... 103,174 187,963 HERSHEY FOODS CORP ............................ 11,160 2,470 HOLSTEN BRAUEREI AG. .......................... 438 648,057 HORMEL FOODS CORP ............................. 26,084 155,000 [] HOUSE FOODS CORP .............................. 2,285 1,538,900 IBP, INC ...................................... 36,549 11,138 IMPERIAL SUGAR CO ............................. 77 619,080 o INTERNATIONAL HOME FOODS, INC ................. 11,414 384,411 INTERSTATE BAKERIES CORP ...................... 8,625 5,312,000 o IOI CORP ...................................... 3,034 472,700 ITOEN LTD ..................................... 31,633 See notes to financial statements. 29 VALUE SHARES (000) ---------- --------- FOOD AND KINDRED PRODUCTS--(Continued) 197,301 ITOHAM FOODS, INC ............................. $ 802 109,200 o J & J SNACK FOODS CORP ........................ 2,621 132,000 KATOKICHI CO LTD ............................. 2,279 415,406 o KEEBLER FOODS CO .............................. 12,618 927,500 KELLOGG CO .................................... 30,608 242,900 KERRY GROUP (CLASS A) ......................... 2,881 65,000 KERRY GROUP (CLASS A) PLC ..................... 781 129,000 []o KIKKOMAN CORP ................................. 1,092 4,386,000 KIRIN BREWERY CO LTD .......................... 52,542 474,729 LANCASTER COLONY CORP ......................... 16,378 229,332 LANCE, INC .................................... 3,583 1,208,880 LION NATHAN LTD ............................... 2,895 245,504 LVMH MOET HENNESSY LOUIS VUITTON .............. 71,880 252,204 o LVMH MOET HENNESSY LOUIS VUITTON RTS .......... 7,374 91,000 MARUHA CORP ................................... 114 770,900 MCCORMICK & CO, INC (NON-VOTE) ................ 24,332 50,000 MEFOS LTD ..................................... 731 165,000 MEIJI MILK PRODUCTS CO LTD .................... 590 476,708 MEIJI SEIKA KAISHA LTD ........................ 2,666 170,675 MICHAEL FOODS, INC ............................ 4,011 102,400 o MIDWEST GRAIN PRODUCTS, INC ................... 1,139 65,997 MOLSON CO LTD (CLASS A) ....................... 1,191 1,000 MOLSON CO LTD (CLASS B) ....................... 18 2,343,596 NABISCO GROUP HOLDINGS ........................ 45,847 2,036,980 [] NABISCO HOLDINGS CORP (CLASS A) ............... 88,099 186,700 NESTLE MALAYSIA BERHAD ........................ 664 101,271 NESTLE S.A. (REGD) ............................ 182,465 783,000 NICHIREI CORP ................................. 2,070 286,000 NIPPON BEET SUGAR MANUFACTURING CO LTD ......................... 591 547,000 NIPPON MEAT PACKERS, INC ...................... 7,140 678,000 NIPPON OIL & FATS CO LTD ...................... 1,748 732,000 NIPPON SUISAN KAISHA LTD ...................... 1,155 132,000 NISSHIN FLOUR MILLING CO LTD .................. 1,031 321,909 NISSIN FOOD PRODUCTS CO LTD ................... 7,846 325,245 [] NUMICO NV ..................................... 11,522 785,040 ORKLA AS SERIES A ............................. 12,216 43,992 ORKLA AS SERIES B ............................. 598 11,000 OSTERREICHISCHE BRAU-AKTIENGESELLSCHAF ....................... 488 92,700 OYJ HARTWALL ABP .............................. 1,372 2,095,120 [] PARMALAT FINANZIARIA S.P.A. ................... 2,744 12,300 o PASCUAL HERMANOS S.A. ......................... 7 77,900 PENFORD CORP .................................. 1,266 15,288,201 PEPSICO, INC .................................. 591,462 109,504 PERNOD-RICARD S.A. ............................ 7,341 65,900 PILGRIMS PRIDE CORP (CLASS B) ................. 1,977 350,000 xo POWER PACIFIC LTD ............................. 0 304,681 o Q.P. CORP ..................................... 2,190 800,004 QUAKER OATS CO ................................ 53,100 1,454,700 RAISIO GROUP PLC .............................. 13,502 403,343 o RALCORP HOLDINGS, INC ......................... 6,479 5,116,473 RALSTON PURINA CO ............................. 155,733 20,300 RIVIANA FOODS, INC ............................ 381 5,000 o ROBERT MONDAVI CORP (CLASS A) ................. 182 20,000 SAKATA SEED CORP .............................. 535 145,150 [] SAPPORO BREWERIES LTD ......................... 644 5,587,800 SARA LEE CORP ................................. 126,773 598,886 SCOTTISH & NEWCASTLE PLC ...................... 6,235 10 SEABOARD CORP ................................. 3 571,500 SEAGRAMS CO LTD ............................... 28,322 15,600 SEAGRAMS CO LTD (U.S.) ........................ 786 253,900 o SMITHFIELD FOODS, INC ......................... 8,490 48,508 SMUCKER, (J.M.) CO (CLASS A) .................. 1,079 194,700 SMUCKER, (J.M.) CO (CLASS B) .................. 3,699 456,000 SNOW BRAND MILK PRODUCTS CO ................... 2,226 210,738 [] SOUTH AFRICAN BREWERIES LTD ................... 1,830 10,050 SOUTH AFRICAN BREWERIES LTD (SPONS ADR) ....... 87 1,063,362 [] SOUTHCORP LTD ................................. 4,294 266,950 []o SUIZA FOODS CORP .............................. 11,179 602,000 [] TAKARA SHUZO CO LTD ........................... 4,909 2,368,428 TATE & LYLE PLC ............................... 14,840 219,590 TCBY ENTERPRISES, INC ......................... 1,331 53,700 [] TIGER OATS LTD ................................ 489 378,240 TOOTSIE ROLL INDUSTRIES, INC .................. 14,610 1,767,960 TYSON FOODS, INC .............................. 39,779 26,400 UNICER-UNIAO CERVEIJEIRA S.A. ................. 517 790,841 UNIGATE PLC ................................... 5,024 6,409,754 UNILEVER LTD .................................. 57,035 1,551,400 UNILEVER NV CERT .............................. 104,557 1,373,528 UNITED BISCUITS HOLDINGS PLC .................. 4,130 762,572 UNIVERSAL FOODS CORP .......................... 16,109 58,200 [] VINA CONCHA Y TORO S.A. ADR ................... 2,095 28,286 VISCOFAN S.A. ................................. 321 154,600 o VLASIC FOODS INTERNATIONAL, INC ............... 1,131 394,000 WANT WANT HOLDINGS ............................ 705 278,106 WHITMAN CORP .................................. 5,006 1,666 WORTHINGTON FOODS, INC ........................ 27 5,900 o WRIGLEY (WM) JR CO ............................ 531 373,800 #o WRIGLEY (WM) JR CO (CLASS B) .................. 33,642 241,000 o YAMAZAKI BAKING CO LTD ........................ 2,991 -------------- 4,246,043 -------------- FOOD STORES--0.87% 1,038,500 o 7-ELEVEN, INC ................................. 2,304 2,213,953 [] ALBERTSONS, INC ............................... 114,157 4,878 xo BRUNOS, INC ................................... 1 628,762 CARREFOUR SUPERMARCHE S.A. .................... 92,403 195,200 [] CASINO GUICHARD-PERRACHON S.A. ................ 17,111 6,200 o COLRUYT S.A. .................................. 4,079 141,650 DELHAIZE FRERES NV ............................ 12,059 225,400 DISTRIBUCION Y SERVICIO S.A. ADR .............. 4,226 1,084,750 FOOD LION, INC (CLASS A) ...................... 12,881 2,179,550 FOOD LION, INC (CLASS B) ...................... 25,201 388,900 o GENERAL NUTRITION COS, INC .................... 9,066 254,600 GREAT ATLANTIC & PACIFIC TEA CO, INC .......... 8,609 263,927 HANNAFORD BROTHERS, INC ....................... 14,120 1,454,000 ITO-YOKADO CO LTD ............................. 97,301 201,166 JERONIMO MARTINS SGPS S.A. .................... 6,645 175,000 o KAMPS AG. ..................................... 7,129 3,784,715 [] KONINKLIJKE AHOLD NV .......................... 130,366 4,862,256 o KROGER CO ..................................... 135,839 5,000 MARUETSU, INC ................................. 17 118,687 PICKN PAY STORES LTD SERIES N ................. 165 49,939 PROMODES S.A. ................................. 32,781 386,750 [] RINASCENTE S.P.A. ............................. 2,928 78,400 RUDDICK CORP .................................. 1,568 4,296,836 o SAFEWAY, INC .................................. 212,693 3,459,726 o SAFEWAY PLC ................................... 13,866 5,312,515 SAINSBURY (J) PLC ............................. 33,496 164,440 [] SEVEN-ELEVEN JAPAN CO LTD ..................... 16,112 581,130 o STARBUCKS CORP ................................ 21,829 18,964,699 TESCO PLC ..................................... 48,802 282,000 UNY CO LTD .................................... 4,240 106,131 WEIS MARKETS, INC ............................. 4,152 3,600 o WHOLE FOODS MARKET, INC ....................... 173 52,300 o WILD OATS MARKETS, INC ........................ 1,587 38,532 WINN DIXIE STORES, INC ........................ 1,423 1,538,331 [] WOOLWORTHS LTD ................................ 5,117 -------------- 1,094,446 -------------- FORESTRY--0.02% 15,700 CORTICEIRA AMORIM S.A. ........................ 156 556,000 GEORGIA-PACIFIC CORP (TIMBER GROUP) ........... 14,039 617,800 KUALA LUMPUR KEPONG BERHAD .................... 761 302,939 RAYONIER, INC ................................. 15,090 --------------- 30,046 --------------- 30 See notes to financial statements. VALUE SHARES (000) ---------- --------- FURNITURE AND FIXTURES--0.16% 25,962 BASSETT FURNITURE INDUSTRIES, INC ............. $ 594 20,500 BUSH INDUSTRIES, INC (CLASS A) ................ 341 255,400 ETHAN ALLEN INTERIORS, INC .................... 9,641 540,198 o FURNITURE BRANDS INTERNATIONAL, INC ........... 15,058 370,600 HON INDUSTRIES, INC ........................... 10,817 434,796 KIMBALL INTERNATIONAL, INC (CLASS B) .......... 7,337 262,174 o KNOLL, INC .................................... 6,980 341,900 LA-Z-BOY, INC ................................. 7,864 3,167 o LADD FURNITURE, INC ........................... 67 490,488 o LEAR CORP ..................................... 24,402 490,548 LEGGETT & PLATT, INC .......................... 13,643 763,700 MILLER (HERMAN), INC .......................... 16,038 1,364,989 NEWELL RUBBERMAID, INC ........................ 63,472 115,446 o OSULLIVAN INDUSTRIES HOLDINGS, INC ............ 1,963 336,000 o PROFURN LTD ................................... 258 108,706 STEELCASE, INC ................................ 2,174 1,224,719 U.S. INDUSTRIES, INC .......................... 20,820 10,540 VIRCO MANUFACTURING ........................... 170 -------------- 201,639 -------------- FURNITURE AND HOMEFURNISHINGS STORES--0.31% 1,265,800 o BED BATH & BEYOND, INC ........................ 48,733 775,800 o BEST BUY, INC ................................. 52,367 12 o BOMBAY, INC ................................... 0 618,715 []o CDNOW, INC .................................... 10,905 1,502,750 CIRCUIT CITY STORES-CIRCUIT CITY GROUP ........ 139,756 380,886 o COMPUSA, INC .................................. 2,833 332,535 []o EGGHEAD.COM, INC .............................. 3,720 55,800 o GOOD GUYS, INC ................................ 419 88,500 o GUITAR CENTER, INC ............................ 924 76,100 HAVERTY FURNITURE COS, INC .................... 2,683 4,087 HEILIG MEYERS CO .............................. 28 34,782 JD GROUP LTD .................................. 213 3,800 o LECHTERS, INC ................................. 10 144,900 o LINENS N THINGS, INC .......................... 6,339 118,678 o MAXIM GROUP, INC .............................. 1,031 983,892 o MUSICLAND STORES CORP ......................... 8,732 1,700,329 PIER 1 IMPORTS, INC ........................... 19,129 1,787 o REX STORES CORP ............................... 53 136,800 SHIMACHU CO ................................... 3,029 207,800 xo SUN TELEVISION & APPLIANCES, INC .............. 2 1,393,424 TANDY CORP .................................... 68,104 888,165 o TRANS WORLD ENTERTAINMENT CORP ................ 9,992 122,350 o WILLIAMS-SONOMA, INC .......................... 4,259 -------------- 383,261 -------------- GENERAL BUILDING CONTRACTORS--0.16% 29,800 AMEC PLC ...................................... 121 577,500 BARRATT DEVELOPMENTS LTD ...................... 3,241 163,636 BERKELEY GROUP PLC ............................ 1,963 924,312 CENTEX CORP ................................... 34,719 29,974,000 CHINA RESOURCES BEIJING LAND .................. 6,876 83,800 o CROSSMAN COMMUNITIES, INC ..................... 2,435 102,138 []o DAIKYO, INC ................................... 363 442,600 DAITO TRUST CONSTRUCTION CO LTD ............... 4,936 1,919,000 DAIWA HOUSE INDUSTRY CO LTD ................... 20,182 801,800 FLETCHER CHALLENGE LTD (BUILDING DIVISION)..... 1,168 1,738,000 []o FUJITA CORP ................................... 1,292 1,000 o HASEKO CORP ................................... 1 159,000 []o HAZAMA-GUMI LTD ............................... 133 206,300 HILLENBRAND INDUSTRIES, INC ................... 8,922 523,066 HORTON (D.R.), INC ............................ 8,696 1,370,000 o IJM CORP BERHAD ............................... 1,071 165,964 JARVIS PLC .................................... 781 363,559 KAUFMAN & BROAD HOME CORP ..................... 9,044 26,000 KOMATSU CONSTRUCTION CO LTD ................... 41 798,885 [] LEIGHTON HOLDINGS LTD ......................... 3,120 691,932 LENNAR CORP ................................... 16,606 268,500 MDC HOLDINGS, INC ............................. 5,773 116,836 [] MISAWA HOMES CO LTD ........................... 491 567,000 [] NISHIMATSU CONSTRUCTION CO LTD ................ 3,251 156,893 o NVR, INC ...................................... 8,188 1,116,000 OBAYASHI CORP ................................. 5,615 337,861 PULTE CORP .................................... 7,792 162,000 RYLAND GROUP, INC ............................. 4,809 1,069,000 [] SHIMIZU CORP .................................. 4,169 171,660 SKANSKA AB SERIES B FREE ...................... 6,471 51,996,000 + SOUTH CHINA INDUSTRIES LTD .................... 4,557 342,151 STANDARD-PACIFIC CORP ........................ 4,427 1,550 o STRABAG BAU AG. ............................... 82 33,000 SUZUNUI INDUSTRY CO LTD ....................... 53 2,518,000 [] TAISEI CORP ................................... 5,534 672,290 TAYLOR WOODROW PLC ............................ 1,939 224,266 o TOLL BROTHERS, INC ............................ 4,808 10,400 o U.S. HOME CORP ................................ 369 10,700 o WALTER INDUSTRIES, INC ........................ 138 170,025 o WEBB (DEL) CORP ............................... 4,059 435,300 WILSON (CONNOLLY) HOLDINGS PLC ................ 1,184 931,000 o YTL CORP BERHAD ............................... 1,765 -------------- 201,185 -------------- GENERAL MERCHANDISE STORES--1.99% 2,500 o 99 CENTS ONLY STORES .......................... 125 17,300 o AMES DEPARTMENT STORES, INC ................... 789 934,526 o BJS WHOLESALE CLUB, INC ....................... 28,094 229,500 []xo CALDOR CORP ................................... 4 843,450 CASEYS GENERAL STORES, INC .................... 12,652 2,671,842 [] COLES MYER LTD ................................ 15,545 102,706 o CONSOLIDATED STORES CORP ...................... 2,773 80,711 CORTEFIEL S.A. ................................ 2,123 89,200 o COST PLUS, INC ................................ 4,059 1,251,986 o COSTCO COS, INC ............................... 100,237 393,000 []o DAIEI, INC .................................... 1,344 166,719 [] DAIMARU, INC .................................. 815 1,149,123 [] DAVID JONES LTD ............................... 1,126 3,961,180 DAYTON HUDSON CORP ............................ 257,477 977,300 DILLARDS, INC (CLASS A) ....................... 34,328 1,399,641 DOLLAR GENERAL CORP ........................... 40,590 951,875 o DOLLAR TREE STORES, INC ....................... 41,883 146,680 FAMILY DOLLAR STORES, INC ..................... 3,520 1,778,062 o FEDERATED DEPARTMENT STORES, INC .............. 94,126 94,600 FOSCHINI LTD .................................. 199 125,700 FREDS, INC .................................... 1,964 1,901,000 GIORDANO INTERNATIONAL LTD .................... 1,348 308,100 o GOTTSCHALKS, INC .............................. 2,811 260,571 HAGEMEYER NV .................................. 8,519 199,000 HANKYU DEPARTMENT STORES, INC ................. 1,320 67,364 HARCOURT GENERAL, INC ......................... 3,473 51,450 o HOMEBASE, INC ................................. 325 148,000 HUDSONS BAY CO ................................ 1,650 154,000 ISETAN CO ..................................... 1,327 89,750 o JACOBSON STORES, INC .......................... 651 657,000 JUSCO CO LTD .................................. 11,941 4,170,000 o K MART CORP ................................... 68,544 31,803 []o KARSTADT AG. .................................. 15,284 139,100 KESCO OYJ ..................................... 1,872 4,996,419 KINGFISHER PLC ................................ 57,494 1,064,000 o KOHLS CORP .................................... 82,128 190,490 xo LURIA (L.) & SON, INC ......................... 2 6,140,431 MARKS & SPENCER PLC ........................... 35,523 616,000 [] MARUI CO LTD .................................. 10,178 2,064,982 MAY DEPARTMENT STORES CO ...................... 84,406 130,000 o MEIKLES AFRICA LTD (ZIMBABWE) ................. 115 731,213 o METRO AG. ..................................... 45,397 842,000 []o MITSUKOSHI LTD ................................ 3,659 757,800 [] MYCAL CORP .................................... 4,758 616,649 o NEIMAN-MARCUS GROUP, INC ...................... 15,840 1,303,838 PENNEY, (J.C.) CO, INC ........................ 63,318 98,600 PEPKOR LTD .................................... 397 See notes to financial statements. 31 VALUE SHARES (000) ---------- --------- GENERAL MERCHANDISE STORES--(Continued) 92,312 PICKN PAY STORES LTD .................... $ 136 349,088 o PINAULT-PRINTEMPS-REDOUTE S.A. .......... 59,906 3,250 o RINASCENTE S.P.A. WTS 12/31/99 .......... 4 79,800 ROBINSON & CO LTD ....................... 241 865,380 o SAKS, INC ............................... 24,988 2,741,800 SEARS ROEBUCK & CO ...................... 122,181 34,078 o SEIYU LTD ............................... 189 21,630 xo SERVICE MERCHANDISE, INC ................ 8 351,600 o SHOPKO STORES, INC ...................... 12,746 90,700 SONAE INVESTIMENTOS-SGPS S.A. ........... 3,085 38,150 STOCKMANN AB OY SERIES A ................ 774 42,125 STOCKMANN B FREE ........................ 641 419,000 [] TAKASHIMAYA CO LTD ...................... 4,005 47,193 TRUWORTHS INTERNATIONAL LTD ............. 49 9,700 o VALUE CITY DEPARTMENT STORES, INC ....... 119 45,900 o VENATOR GROUP, INC ...................... 479 173,626 []xo VENTURE STORES, INC ..................... 2 22,877,018 WAL-MART STORES, INC .................... 1,103,816 1,226,079 WATERFORD WEDGWOOD PLC (UNITS) .......... 1,264 109,477 WOOLTRU LTD ............................. 187 61,000 WOOLTRU LTD (CLASS N) (NON-VOTE) ........ 99 -------------- 2,500,972 -------------- HEALTH SERVICES--0.36% 17,300 o ADVANCE PARADIGM, INC ................... 1,055 171,300 o AMERICAN HOMEPATIENT, INC ............... 268 5,678 o AMERICAN RETIREMENT CORP ................ 71 53,100 o AMERIPATH, INC .......................... 458 4,200 o APPLIED ANALYTICAL INDUSTRIES, INC ...... 47 678,753 o APRIA HEALTHCARE GROUP, INC ............. 11,539 970,161 o BEVERLY ENTERPRISES, INC ................ 7,822 178,608 o CAREMATRIX CORP ......................... 2,221 106,400 o CENTENNIAL HEALTHCARE CORP .............. 562 7,100 o CLINTRIALS, INC ......................... 36 101,595 o COASTAL PHYSICIAN GROUP, INC ............ 54 4,494,599 COLUMBIA/HCA HEALTHCARE CORP ............ 102,533 558,700 o CONCENTRA MANAGED CARE, INC ............. 8,276 7,832 o CORAM HEALTHCARE CORP ................... 14 207,295 #o CORAM HEALTHCARE CORP WTS 07/11/99 ...... 0 599,816 o COVANCE, INC ............................ 14,358 176,400 o COVENTRY HEALTH CARE, INC ............... 1,929 194,900 o CURATIVE HEALTH SERVICES, INC ........... 1,072 64,982 o ENZO BIOCHEMICAL, INC ................... 642 233,500 o EXPRESS SCRIPTS, INC .................... 14,054 534,200 o EXTENDICARE, INC (CLASS A) .............. 1,678 341,800 []xo FPA MEDICAL MANAGEMENT, INC ............. 3 77,000 o GENESIS HEALTH VENTURES, INC ............ 231 48,752 o HCR MANOR CARE .......................... 1,179 6,931,300 o HEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) (NEW) ....................... 77,977 16,600 o HEALTHCARE RECOVERIES, INC .............. 79 136,700 HEALTHPLAN SERVICES CORP ................ 931 4,070,168 o HEALTHSOUTH CORP ........................ 60,798 78,900 HOOPER HOLMES, INC ...................... 1,608 255,700 o INNOVATIVE CLINICAL SOLUTION ............ 376 231,863 o INTEGRATED HEALTH SERVICES, INC ......... 1,855 698,780 o LABORATORY CORP OF AMERICA HOLDINGS ..... 2,009 75,098 o LABORATORY CORP OF AMERICA HOLDINGS WTS 04/28/00 .......................... 0 2,483 o LCA-VISION, INC ......................... 23 224,589 o LIFEPOINT HOSPITALS, INC ................ 3,018 732,950 o LINCARE HOLDINGS, INC ................... 18,324 360 o LTC HEALTHCARE, INC ..................... 1 95,600 o MAGELLAN HEALTH SERVICES, INC ........... 956 1,210,524 o MARINER POST-ACUTE NETWORK, INC ......... 492 12,000 o MATRIA HEALTHCARE, INC .................. 87 142,100 MDS, INC (CLASS B) ...................... 3,072 15,966 []o MEDICAL RESOURCES, INC .................. 26 1,197,981 o MEDPARTNERS, INC ........................ 9,060 20,232 o NATIONAL HEALTHCARE CORP ................ 162 14,150 NICHII GAKKAN CO ........................ 1,543 488,135 o NOVACARE, INC ........................... 732 6,700 o ORTHODONTIC CENTERS OF AMERICA, INC ..... 95 18,356 o PARACELSUS HEALTHCARE CORP .............. 24 85,000 []o PEDIATRIX MEDICAL GROUP, INC ............ 1,806 23,900 []xo PHP HEALTHCARE CORP ..................... 1 642,887 o PHYCOR, INC ............................. 4,761 5,794 o PHYSICIANS RESOURCE GROUP, INC .......... 7 1,900 o PRIME MEDICAL SERVICES, INC ............. 14 97,100 o PROVINCE HEALTHCARE CO .................. 1,893 143,608 o QUEST DIAGNOSTICS, INC .................. 3,931 519,500 o QUORUM HEALTH GROUP, INC ................ 6,526 235,900 o RENAL CARE GROUP, INC ................... 6,104 177,984 o RESPONSE ONCOLOGY, INC .................. 523 368,766 []o SUN HEALTHCARE GROUP, INC ............... 138 1,996,003 o TENET HEALTHCARE CORP ................... 37,051 484,600 o TOTAL RENAL CARE HOLDINGS, INC .......... 7,542 187,289 o TRIAD HOSPITALS, INC .................... 2,528 84,100 o UNITED PAYORS & UNITED PROVIDERS, INC ... 1,950 240,600 o UNIVERSAL HEALTH SERVICES, INC .......... 11,489 554,152 o US ONCOLOGY, INC ........................ 6,650 147,888 o VENCOR, INC ............................. 22 -------------- 446,286 -------------- HEAVY CONSTRUCTION, EXCEPT BUILDING--0.08% 45,900 []o ACS ACTIVIDADES CONS Y SERV ............. 1,314 9,555 o ACS ACTIVIDADES CONS Y SERV (NEW) ....... 271 1,579,000 []o AOKI CONSTRUCTION CO LTD ................ 1,004 176,700 xo ATKINSON (G.F.) CO OF CALIFORNIA ........ 0 301,820 [] AUTOPISTAS CONCESIONARIA ESPANOLA S.A. .. 3,533 312,620 o AUTOPISTAS CONCESIONAIRA ESPANOLA S.A. RTS .................................... 181 17,800 BILFINGER & BERGER AG. .................. 440 30,208 o BOUYGUES S.A. RTS ....................... 80 124,600 BRISA-AUTO ESTRADAS DE PORTUGAL S.A. .... 5,140 168,000 []o CHIYODA CORP ............................ 347 9,928 o COSTAIN GROUP PLC ....................... 3 871,258 DRAGADOS Y CONSTRUCCIONES S.A. .......... 10,216 116,902 o DYCOM INDUSTRIES, INC ................... 6,547 12,306 ENGIL-SGPS .............................. 66 159,500 FLUOR CORP .............................. 6,460 100,648 FOMENTO CONSTRUCCIONES Y CONTRATAS S.A. ......................... 5,761 327,802 FOSTER WHEELER CORP ..................... 4,630 126,449 GRANITE CONSTRUCTION, INC ............... 3,707 33,870 GROUPE GTM .............................. 3,633 630,000 o GRUPO FERROVIAL ......................... 15,268 131,800 HOCHTIEF AG. ............................ 6,062 46,578 HOLLANDSCHE BETON GROEP NV (H.B.G.) ..... 596 1,516,400 HONG KONG CONSTRUCTION HOLDINGS ......... 977 93,200 o HONG KONG CONSTRUCTION HOLDINGS WTS 12/31/99 .......................... 16 777,010 o IMPREGILO S.P.A. ........................ 656 278,700 o INSITUFORM TECHNOLOGIES, INC (CLASS A) .. 6,027 668,000 [] JGC CONSTRUCTION CORP ................... 1,772 2,201,000 [] KAJIMA CORP ............................. 8,001 83,000 o KUMAGAI GUMI CO LTD ..................... 93 306,000 MAEDA ROAD CONSTRUCTION CO LTD .......... 2,060 12,950 o MASTEC, INC ............................. 366 1,000 MATSUO BRIDGE CO LTD .................... 2 200 MCDERMOTT INTERNATIONAL, INC ............ 6 30,800 o MORRSION KNUDSEN CORP ................... 318 17,039 o MORRISON KNUDSEN CORP WTS 03/11/03 ...... 60 133,000 o NIIGATA ENGINEERING CO LTD .............. 127 629,000 [] OKUMURA CORP ............................ 2,338 289,000 o PENTA OCEAN CONSTRUCTION CO LTD ......... 504 791,000 []o SATO KOGYO .............................. 660 16,560 SOCIEDADE DE CONSTRUCOES SOARES DA COS ......................... 52 32 See notes to financial statements. VALUE SHARES (000) ---------- --------- HEAVY CONSTRUCTION, EXCEPT BUILDING--(Continued) 13,034 o SOMAGUE-SGPS S.A. ....................... $ 39 40,500 SUPERFOS AS ............................. 549 541,000 TOA CORP ................................ 1,006 50,000 o TOMOE ENGINEERING CO LTD ................ 293 631,000 []o TOYO ENGINEERING CO ..................... 714 82,000 TOYO EXTERIOR CORP ...................... 948 1,465,000 UNITED INDUSTRIAL CORP .................. 990 27,000 o UNITED INDUSTRIAL CORP WTS 07/05/99..... 1 3,300 o UNIVERSALE-BAU AG. ...................... 111 14,300 VA TECHNOLOGIE AG. (BR) ................. 1,296 1,000 YOKOGAWA BRIDGE CORP .................... 3 ------------ 105,244 ------------ HOLDING AND OTHER INVESTMENT OFFICES--0.72% 600 o ALEXANDERS, INC ......................... 44 4,948 ALEXANDRIA REAL ESTATE EQUITIES, INC .... 155 3,851,293 ALLIED ZURICH PLC ....................... 48,415 264,000 AMB PROPERTY CORP ....................... 6,204 800 o AMERCO .................................. 18 152,000 AMERICAN HEALTH PROPERTIES, INC ......... 3,059 24,800 AMLI RESIDENTIAL PROPERTIES TRUST ....... 555 63,000 ANGLOVAAL INDUSTRIES LTD ................ 86 2,100 ANTHRACITE CAPITAL, INC ................. 14 405,283 APARTMENT INVESTMENT & MANAGEMENT CO ......................... 17,326 629,953 ARCHSTONE COMMUNITIES TRUST ............. 13,820 2,000 ASSOCIATED ESTATES REALTY CORP .......... 24 39,500 o ASTRA CIA ARGENTINA S.A. ................ 72 417,341 AVALONBAY COMMUNITIES, INC .............. 15,442 50,617 [] BARLOW LTD .............................. 292 9,155,223 #o BB BIOVENTURES L.P. ..................... 11,108 96,300 BEDFORD PROPERTY INVESTORS, INC ......... 1,721 181,700 BERKSHIRE REALTY CO, INC ................ 2,101 698,000 o BOE LTD ................................. 694 355,200 BOSTON PROPERTIES, INC .................. 12,743 68,127 BOYKIN LODGING CO ....................... 1,047 172,014 BRADLEY REAL ESTATE, INC ................ 3,569 193,700 BRANDYWINE REALTY TRUST ................. 3,838 222,000 BRE PROPERTIES, INC (CLASS A) ........... 5,758 2,354,277 o BRIERLEY INVESTMENTS LTD ................ 661 31,000 BURNHAM PACIFIC PROPERTIES, INC ......... 382 270,572 CAMDEN PROPERTY TRUST ................... 7,508 19,200 CAPITAL AUTOMOTIVE REIT ................. 254 557,777 CAPSTEAD MORTGAGE CORP .................. 3,033 485,200 CARRAMERICA REALTY CORP ................. 12,130 197,400 CBL & ASSOCIATES PROPERTIES, INC ........ 5,206 204,300 CENTERPOINT PROPERTIES CORP ............. 7,482 41,500 CENTERTRUST RETAIL PROPERTIES, INC ...... 488 33,700 CHARLES E. SMITH RESIDENTIAL REALTY ..... 1,144 82,200 CHATEAU PROPERTIES, INC ................. 2,461 72,400 [] CHELSEA GCA REALTY, INC ................. 2,688 648,500 o COAST FEDERAL LITIGATION CONTINGENT RTS .......................... 689 112,000 COLONIAL PROPERTIES TRUST ............... 3,164 52,949 COMMERCIAL NET LEASE REALTY, INC ........ 682 270,900 CORNERSTONE PROPERTIES, INC ............. 4,301 2,800 CORNERSTONE REALTY INCOME TRUST, INC .... 30 24,800 o CORONATION HOLDINGS LTD (N SHS) ......... 517 118,845 COUSINS PROPERTIES, INC ................. 4,018 807,400 CRESCENT REAL ESTATE EQUITIES CO ........ 19,176 29,910 o CRESECENT OPERATING, INC ................ 204 6,496 xo CRIIMI MAE, INC ......................... 15 241,994 CROWN AMERICAN REALTY TRUST ............. 1,770 363,000 DEVELOPERS DIVERSIFIED REALTY CORP ...... 6,035 330,660 DROTT AB SERIES B ....................... 2,684 620,392 DUKE REALTY INVESTMENTS, INC ............ 13,998 26,793 o DYNEX CAPITAL, INC ...................... 54 76,900 EASTGROUP PROPERTIES, INC ............... 1,543 170,800 ENTERTAINMENT PROPERTIES TRUST .......... 3,010 24,500 EQUITY INNS, INC ........................ 227 2,045,890 EQUITY OFFICE PROPERTIES TRUST .......... 52,426 803,051 EQUITY RESIDENTIAL PROPERTIES TRUST CO .. 36,187 7,900 ESSEX PROPERTY TRUST, INC ............... 279 4,365 o EURAFRANCE S.A. ......................... 2,710 154,100 FEDERAL REALTY INVESTMENT TRUST ......... 3,535 457,715 FELCOR LODGING TRUST, INC ............... 9,498 3,620 o FIRST HUNGARY FUND LTD (CLASS A) ........ 5,336 324,400 FIRST INDUSTRIAL REALTY TRUST, INC ...... 8,901 1,598,400 FIRST NIS REGIONAL FUND (FULLY PD) ...... 10,789 248,893 o FIRST RUSSIAN FRONTIER PLC ORD .......... 1,426 49,778 o FIRST RUSSIAN FRONTIER SERIES A WTS 06/30/01 ........................... 23 10,360 o FIRST UNION REAL ESTATE INVESTMENTS ..... 47 295,728 FRANCHISE FINANCE CORP OF AMERICA ....... 6,506 600 GABLES RESIDENTIAL TRUST ................ 14 235,700 GENERAL GROWTH PROPERTIES, INC .......... 8,367 342,838 GETTY REALTY HOLDINGS CORP .............. 4,928 29,400 GLENBOROUGH REALTY TRUST, INC ........... 515 83,700 GLIMCHER REALTY TRUST ................... 1,360 43,530 GREAT LAKES REIT, INC ................... 707 2,000,000 o GUOCO GROUP LTD ......................... 5,362 118,800 HEALTH CARE PROPERTY INVESTORS, INC ..... 3,430 84,921 HEALTH CARE REIT, INC ................... 1,974 44,500 HEALTHCARE REALTY TRUST, INC ............ 935 394,600 HIGHWOODS PROPERTIES, INC ............... 10,827 3,878 HOME PROPERTIES OF NEW YORK, INC ........ 107 4,218 o HORIZON GROUP PROPERTIES, INC ........... 14 242,500 HOSPITALITY PROPERTIES TRUST ............ 6,578 876,100 HRPT PROPERTIES TRUST ................... 13,415 8,394,400 HUTCHINSON WHAMPOA LTD .................. 76,004 100 IMPAC MORTGAGE HOLDINGS, INC ............ 1 123,100 IMPERIAL CREDIT COMMERCIAL MORTGAGE INVESTMENT CORP ............... 1,331 836,469 INDYMAC MORTGAGE HOLDINGS, INC .......... 13,384 182,200 INNKEEPERS U.S.A. TRUST ................. 1,822 105,700 IRT PROPERTY CO ......................... 1,044 70,400 JDN REALTY CORP ......................... 1,575 96,900 JP REALTY, INC .......................... 1,993 109,926 KILROY REALTY CORP ...................... 2,679 350,850 KIMCO REALTY CORP ....................... 13,727 87,600 KOGER EQUITY, INC ....................... 1,615 1,842,252 LAND SECURITIES PLC ..................... 24,771 26,300 LASALLE HOTEL PROPERTIES ................ 403 900 o LASER MORTGAGE MANAGEMENT, INC .......... 3 1,383,738 [] LEND LEASE CORP LTD ..................... 18,998 234,300 LIBERTY PROPERTY TRUST CO ............... 5,828 800 LTC PROPERTIES, INC ..................... 10 67,200 MACERICH CO ............................. 1,764 406,200 MACK-CALI REALTY CORP ................... 12,567 97,400 MANUFACTURED HOME COMMUNITIES, INC ...... 2,532 779,082 MEDITRUST CORP .......................... 10,177 541,381 MERISTAR HOSPITALITY CORP ............... 12,147 21,635 o MERRY LAND PROPERTIES, INC .............. 107 56,100 MGI PROPERTIES, INC ..................... 1,585 2,325 MID-AMERICA APARTMENT COMMUNITIES, INC ....................... 54 32,109 MILLS CORP .............................. 696 89,000 NATIONAL GOLF PROPERTIES, INC ........... 2,164 102,200 NATIONAL HEALTH INVESTORS, INC .......... 2,331 175,500 NATIONWIDE HEALTH PROPERTIES, INC ....... 3,345 752,276 NEW PLAN EXCEL REALTY TRUST ............. 13,541 55,539 OMEGA HEALTHCARE INVESTORS, INC ......... 1,434 1,097,240 ORIENTAL HOLDINGS ....................... 2,704 91,900 PACIFIC GULF PROPERTIES, INC ............ 2,079 67,000 PAN PACIFIC RETAIL PROPERTIES, INC ...... 1,298 35,246 PARKWAY PROPERTIES, INC ................. 1,168 9,600 PENNSYLVANIA REAL ESTATE INVESTMENT TRUST ....................... 201 See notes to financial statements. 33 VALUE SHARES (000) ---------- --------- HOLDING AND OTHER INVESTMENT OFFICES--(Continued) 438,824 NOBLEZA-PICCARDO SDAD INDUSTRIAL COMERCIAL Y FINANCIERA ................ $ 2,703 118,644 POST PROPERTIES, INC .................... 4,864 449,100 POWER CORP OF CANADA .................... 8,557 270,300 PRENTISS PROPERTIES TRUST ............... 6,352 4,575 o PRICESMART, INC ......................... 160 35,200 PRIME GROUP REALTY TRUST ................ 605 39,793 PRIME RETAIL, INC ....................... 346 393,787 PRISON REALTY TRUST, INC ................ 3,864 360,760 PROLOGIS TRUST .......................... 7,305 45,448 PS BUSINESS PARKS, INC .................. 1,108 806,280 PUBLIC STORAGE, INC ..................... 22,576 123,900 REALTY INCOME CORP ...................... 2,943 211,800 RECKSON ASSOCIATES REALTY CORP .......... 4,977 155,311 o RECKSON ASSOCIATES REALTY CORP (CLASS B) ............................. 3,708 8,729 o REDWOOD TRUST, INC ...................... 145 76,600 REGENCY REALTY CORP ..................... 1,680 156,700 REMBRANDT GROUP LTD ..................... 1,306 208,600 RFS HOTEL INVESTORS, INC ................ 2,621 100 SAUL CENTERS, INC ....................... 2 105,800 SHURGARD STORAGE CENTERS, INC ........... 2,870 769,260 SIMON PROPERTY GROUP, INC ............... 19,520 15,300 SL GREEN REALTY CORP .................... 313 64,700 SOVRAN SELF STORAGE, INC ................ 1,743 401,200 SPIEKER PROPERTIES, INC ................. 15,597 194,801 ST. JAMES PLACE CAPITAL PLC ............. 711 13,600 [] STARWOOD FINANCIAL TRUST ................ 843 206,600 STORAGE U.S.A., INC ..................... 6,585 1,451,000 [] SUMITOMO CORP ........................... 10,609 56,500 SUMMIT PROPERTIES, INC .................. 1,116 64,200 SUN COMMUNITIES, INC .................... 2,279 118,300 SUNSTONE HOTEL INVESTORS, INC ........... 1,006 28,700 TANGER FACTORY OUTLET CENTERS, INC ...... 746 415,080 TAUBMAN CENTERS, INC .................... 5,474 129,420 THORNBURG MORTGAGE ASSET CORP ........... 1,294 35,000 TOWN & COUNTRY TRUST .................... 626 82,600 TRINET CORPORATE REALTY TRUST, INC ...... 2,287 38,800 U.S. RESTAURANT PROPERTIES, INC ......... 825 18,936,860 [] UNIONE IMMOBILIARE S.P.A. ............... 8,398 858,434 UNITED DOMINION REALTY TRUST, INC ....... 10,087 1,206 UNIVERSAL HEALTH REALTY INCOME TRUST .... 24 58,800 URBAN SHOPPING CENTERS, INC ............. 1,852 560,556 VENTAS, INC ............................. 3,013 5,465 o VORNADO OPERATING CO .................... 44 368,100 VORNADO REALTY TRUST .................... 12,999 110,200 WALDEN RESIDENTIAL PROPERTIES, INC ...... 2,369 215,300 WASHINGTON REAL ESTATE INVESTMENT TRUST ....................... 3,647 57,000 WEEKS CORP .............................. 1,739 350,332 WEINGARTEN REALTY INVESTORS, INC ........ 14,626 59,198 o WELLSFORD REAL PROPERTIES, INC .......... 636 55,300 WESTERN INVESTMENT REAL ESTATE TRUST .... 643 163,400 WESTFIELD AMERICA, INC .................. 2,461 2,751,558 WESTFIELD TRUST (UNITS) ................. 5,569 98,025 o WESTFIELD TRUST (UNITS) (NEW) ........... 197 1,700 WINSTON HOTELS, INC ..................... 18 ------------ 905,525 ------------ HOTELS AND OTHER LODGING PLACES--0.24% 101,736 ACCOR S.A. .............................. 25,548 747,172 o AZTAR CORP .............................. 6,865 9,050 o BRISTOL HOTELS & RESORTS, INC ........... 68 5,815,600 o CENDANT CORP ............................ 119,220 362,178 o CHOICE HOTELS INTERNATIONAL, INC ........ 7,153 39,400 []o CLUB MEDITERRANEE S.A. .................. 4,181 218,560 o CRESTLINE CAPITAL CORP .................. 3,675 2,583,934 o CROWN LTD ............................... 1,539 1,098,000 o EXTENDED STAY AMERICA, INC .............. 13,176 509,500 GENTING BERHAD .......................... 1,751 2,000 HARBOUR CENTRE DEVELOPMENT LTD .......... 2 1,266,331 o HILTON GROUP PLC ........................ 5,020 180,517 HILTON HOTELS CORP ...................... 2,561 46,353 o HOMESTEAD VILLAGE, INC .................. 113 2,586,283 o HONG KONG & SHANGHAI HOTELS LTD ......... 2,200 254,500 o HOTEL PROPERTIES LTD .................... 266 3,570 o INTERSTATE HOTELS CORP .................. 15 77,400 JURYS HOTEL GROUP PLC ................... 615 900,000 o LANDMARKS HOLDINGS BERHAD ............... 322 211,400 []o LODGIAN, INC ............................ 1,387 440,184 o MANDALAY RESORT GROUP ................... 9,299 74,415 MARCUS CORP ............................. 916 132,400 MEIKLES AFRICA LTD ...................... 126 6,400 o MERISTAR HOTELS & RESORTS, INC ........ 22 55,979 []o MGM GRAND, INC .......................... 2,743 1,754,500 o MIRAMAR HOTEL & INVESTMENT CO LTD ....... 2,137 1,415,427 o PARK PLACE ENTERTAINMENT ................ 13,712 335,571 o PRIME HOSPITALITY CORP .................. 4,027 628,450 o PROMUS HOTEL CORP ....................... 19,482 199,288 o RED ROOF INNS, INC ...................... 3,575 1,620,500 o REGAL HOTELS INTERNATIONAL LTD .......... 196 866,100 RESORTS WORLD BERHAD .................... 1,837 3,332,500 SHANGRI-LA ASIA LTD ..................... 4,123 35,000 SHANGRI-LA HOTEL LTD .................... 84 71,600 o SOL MELIA S.A. .......................... 3,024 1,313,237 STARWOOD HOTELS & RESORTS WORLDWIDE ..... 40,136 7,800 o SUBURBAN LODGES OF AMERICA, INC ......... 50 11,786 o SUNBURST HOSPITALITY CORP ............... 69 180,493 o SUNTERRA CORP ........................... 2,516 61,700 o TRENDWEST RESORTS, INC .................. 1,377 37,100 o TRUMP HOTEL & CASINO RESORT, INC ........ 169 2,831 []o VAIL RESORTS, INC ....................... 50 18,600 o VISTANA, INC ............................ 293 107,121 o WYNDHAM INTERNATIONAL, INC .............. 482 1,654,666 ZIMBABWE SUN LTD ........................ 153 ------------ 306,275 ------------ INDUSTRIAL MACHINERY AND EQUIPMENT--7.55% 2,488,379 o 3COM CORP ............................... 66,409 96,000 o 3DFX INTERACTIVE, INC ................... 1,500 2,849,600 o ADAPTEC, INC ............................ 100,627 1,300 o AG-CHEM EQUIPMENT CO, INC ............... 13 530,400 AGCO CORP ............................... 6,000 30,856 [] AGIV AG. ................................ 699 2,700 ALAMO GROUP, INC ........................ 24 10,000 ALLIED PRODUCTS CORP .................... 29 992,000 AMADA CO LTD ............................ 7,007 251,000 AMANO CORP .............................. 2,070 961,700 o AMERICAN STANDARD COS, INC .............. 46,162 101,500 o APEX PC SOLUTIONS, INC .................. 2,081 1,354,794 []o APPLE COMPUTER, INC ..................... 62,744 2,826,600 o APPLIED MATERIALS, INC ................... 208,815 190,849 APPLIED POWER, INC (CLASS A) ............ 5,213 89,000 o ASK PROXIMA ASA ......................... 476 36,000 o ASTEC INDUSTRIES, INC ................... 1,467 19,100 o ASYST TECHNOLOGIES, INC ................. 572 90,500 ATLAS COPCO AB SERIES A FREE ............ 2,464 183,270 [] ATLAS COPCO AB SERIES B FREE ............ 4,915 4,200 o ATMI, INC ............................... 125 92,300 o AUSPEX SYSTEMS, INC ..................... 1,004 266,370 o AUTOTOTE CORP (CLASS A) ................. 633 1,487,231 BAKER HUGHES, INC ....................... 49,822 13,700 o BANCTEC, INC ............................ 246 513,600 o BELL & HOWELL CO ........................ 19,421 326,490 BLACK & DECKER CORP ..................... 20,610 36,600 o BLACK BOX CORP .......................... 1,835 139,865 o BOUYGUES OFFSHORE S.A. .................. 4,399 4,400 o BROWN & SHARPE MANUFACTURING CO (CLASS A) ............................. 24 34 See notes to financial statements. VALUE SHARES (000) ---------- --------- INDUSTRIAL MACHINERY AND EQUIPMENT--(Continued) 1,112,615 BRUNSWICK CORP .......................... $ 31,014 4,250 BUDERUS AG. ............................. 1,705 221,400 o C-CUBE MICROSYSTEMS, INC ................ 7,016 488,300 o CABLETRON SYSTEMS, INC .................. 6,348 2,076 CASCADE CORP ............................ 29 717,884 CASE CORP ............................... 34,548 1,000 CATENA CORP ............................. 10 2,046,400 CATERPILLAR, INC ........................ 122,784 570,000 o CIRRUS LOGIC, INC ....................... 5,059 26,585,570 o CISCO SYSTEMS, INC ...................... 1,709,784 1,927,800 o COLTEC INDUSTRIES, INC .................. 41,809 39,100 COLUMBUS MCKINNON CORP .................. 938 10,420,844 COMPAQ COMPUTER CORP .................... 246,844 52,896 o COOPER CAMERON CORP ..................... 1,960 280,400 []o COPYTELE, INC ........................... 482 418,400 CUMMINS ENGINE CO, INC .................. 23,901 9,550 o CUNO, INC ............................... 183 6,900 o CYLINK CORP ............................. 26 132,000 DAIFUKU CO LTD .......................... 922 364,000 DAIKIN INDUSTRIES LTD ................... 4,225 167,900 o DATA GENERAL CORP ....................... 2,445 1,261,573 DEERE & CO 49,990 16,797,119 o DELL COMPUTER CORP ...................... 621,493 494,305 DELTA PLC ............................... 1,141 114,700 DETROIT DIESEL CORP ..................... 2,824 50,850 o DEUTZ AG. ............................... 346 59,000 o DIALOGIC CORP ........................... 2,589 253,200 o DIAMOND MULTIMEDIA SYSTEMS, INC ......... 1,044 1,247,462 DIEBOLD, INC ............................ 35,865 120,805 o DIGI INTERNATIONAL, INC ................. 1,261 242,400 DONALDSON CO, INC ....................... 5,939 828,250 DOVER CORP .............................. 28,989 69,000 []o DREXLER TECHNOLOGY CORP ................ 656 36,600 o DRIL-QUIP, INC .......................... 840 1,200 DT INDUSTRIES, INC ...................... 11 453,000 [] EBARA CORP .............................. 5,386 10,700 o ELECTROGLAS, INC ........................ 214 7,324,978 o EMC CORP ................................ 402,874 3,000 o EMULEX CORP ............................. 334 3,100 o ENCAD, INC .............................. 20 20,400 o EST ASIATIQUE ........................... 211 133,520 o ESTERLINE CORP .......................... 1,919 34,800 o ETEC SYSTEMS, INC ....................... 1,157 4,300 o EXABYTE CORP ............................ 17 149,121 FAG KUGELFISCHER (GEORG) SCHAEFER AG. ... 1,515 441,320 FANUC LTD ............................... 23,699 248,270 FEDDERS CORP ............................ 1,660 153,550 FEDDERS CORP (CLASS A) .................. 940 600 o FEI CO .................................. 5 1,786,995 FKI PLC ................................. 5,521 662,610 FLOWSERVE CORP .......................... 12,548 63,300 FLS INDUSTRIES AS (CLASS B) ............. 1,646 6,900 o FSI INTERNATIONAL, INC .................. 57 2,000 FUJI TEC CO LTD ......................... 19 2,384,251 FUTURIS CORP LTD ........................ 3,472 150,991 o GARDNER DENVER, INC ..................... 2,435 478,138 o GATEWAY, INC ............................ 28,210 14,800 GENERAL BINDING CORP .................... 348 44,200 GLEASON CORP ............................ 743 211,917 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC ..... 2,556 235,981 GRACO, INC .............................. 6,932 6,962 o GRADCO SYSTEMS, INC ..................... 18 61,100 HARDINGE, INC ........................... 1,073 138,200 xo HARNISCHFEGER INDUSTRIES, INC ........... 276 6,592,497 HEWLETT-PACKARD CO ...................... 662,546 1,090,000 HITACHI ZOSEN CORP ...................... 1,315 277,700 o HORIZON OFFSHORE, INC ................... 2,152 765,673 HUSSMANN INTERNATIONAL, INC ............. 12,681 59,100 o HYPERCOM CORP 565 26,230 IDEX CORP ............................... 862 2,500 o IN FOCUS SYSTEMS, INC ................... 38 69,530 o INDUSTRIE-WERKE KARLSRUHE AUGSBURG AG. ........................... 1,578 1,017,100 INGERSOLL-RAND CO ....................... 65,730 18,438,450 * INTERNATIONAL BUSINESS MACHINES CORP .... 2,383,170 500 o INTEVAC, INC ............................ 3 430,651 IOMEGA CORP ............................. 2,126 400 o IONICS, INC ............................. 15 256,305 o IRI INTERNATIONAL CORP .................. 1,185 576,600 JLG INDUSTRIES, INC ..................... 11,748 96,100 o JTS CORP ................................ 0 202,400 KAYDON CORP ............................. 6,806 80,000 KCI KONESCRANES INTERNATIONAL ........... 2,748 192,290 KENNAMETAL, INC ......................... 5,961 1,645,900 KEPPEL CORP ............................. 5,607 2,483,000 KOMATSU LTD ............................. 15,857 402,000 [] KOMORI CORP ............................. 7,240 10,800 KONE CORP SERIES B ...................... 1,348 470,000 [] KOYO SEIKO CO LTD ....................... 4,097 82,800 o KRONOS, INC ............................. 3,767 2,631,000 [] KUBOTA CORP ............................. 7,869 5,800 o KULICHE & SOFFA INDUSTRIES, INC ......... 156 478,659 o LAM RESEARCH CORP ....................... 22,347 1,099,666 o LEXMARK INTERNATIONAL GROUP (CLASS A) ... 72,647 89,300 LINCOLN ELECTRIC HOLDINGS CO ............ 1,831 25,993 LINDE AG. ............................... 15,575 14,450 LINDSAY MANUFACTURING CO ................ 254 7,100 LUFKIN INDUSTRIES, INC .................. 142 47,000 MAKINO MILLING MACHINE CO LTD ........... 322 397,000 MAKITA CORP ............................. 4,490 169,762 MANITOWOC, INC .......................... 7,066 80,800 METRA CO SERIES B ....................... 1,708 193,400 o MICROS SYSTEMS, INC ..................... 6,576 2,000 o MICROTOUCH SYSTEMS, INC ................. 30 530,052 MILACRON, INC ........................... 9,806 188,000 [] MINEBEA CO LTD .......................... 2,097 9,010,000 MITSUBISHI HEAVY INDUSTRIES LTD ......... 36,549 324,000 MORI SEIKI CO LTD ....................... 4,417 21,100 o MTI TECHNOLOGY CORP ..................... 276 41,057 NACCO INDUSTRIES, INC (CLASS A) ......... 3,018 7,691 o NASHUA CORP ............................. 76 27,030 o NATIONAL INSTRUMENTS CORP ............... 1,091 107,500 o NETWORK COMPUTING DEVICES, INC .......... 517 8,641 o NETWORK EQUIPMENT TECHNOLOGIES, INC ..... 85 5,000 NIKKO CO LTD ............................ 13 1,800 NN BALL & ROLLER, INC ................... 10 100,572 NORDSON CORP ............................ 6,160 128,609 o NOVELLUS SYSTEMS, INC ................... 8,778 1,171,000 NSK LTD ................................. 6,424 693,000 NTN TOYO BEARING CO LTD ................. 2,365 176,487 OKUMA CORP .............................. 819 64,000 OMNIQUIP INTERNATIONAL, INC ............. 504 177,000 OMRON CORP .............................. 3,071 5,716 o OSMONICS, INC ........................... 62 39,326 PALL CORP ............................... 873 430,400 PENTAIR, INC ............................ 19,691 1,471,241 PITNEY BOWES, INC ....................... 94,527 2,000 o POKPHAND (C.P.) CO LTD .................. 0 25,700 o PRESSTEK, INC ........................... 186 9,500 o PRI AUTOMATION, INC ..................... 344 2,200 o PROXIM, INC ............................. 128 274,502 o QMS, INC ................................ 1,510 859,100 []o QUANTUM CORP ............................ 20,726 3,133 RAUMA OY ................................ 37 1,000 ROBBINS & MYERS, INC .................... 22 368,650 ROPER INDUSTRIES, INC ................... 11,797 119,300 o SANDISK CORP ............................ 5,369 262,000 SANDVIK AB SERIES A ..................... 5,716 99,000 SANDVIK AB SERIES B FREE ................ 2,189 See notes to financial statements. 35 VALUE SHARES (000) ---------- --------- INDUSTRIAL MACHINERY AND EQUIPMENT--(Continued) 100,000 SANSO ELECTRIC CO LTD ................... $ 537 120,100 SAUER, INC .............................. 1,291 4,058 SCHINDLER HOLDINGS LTD (PT CERT) ........ 6,213 2,240 SCHINDLER HOLDINGS LTD (REGD) ........... 3,458 39,439 SCOTSMAN INDUSTRIES, INC ................ 850 2,191,135 o SEAGATE TECHNOLOGY, INC ................. 56,148 53,800 o SECURITY DYNAMICS TECHNOLOGIES, INC ..... 1,143 211,500 o SEQUENT COMPUTER SYSTEMS, INC ........... 3,754 327,004 [] SIDEL S.A. .............................. 39,761 1,201,604 o SILICON GRAPHICS, INC ................... 19,676 1,400 o SILICON VALLEY GROUP, INC ............... 24 285,614 o SMITH INTERNATIONAL, INC ................ 12,406 116,200 o SPECIALTY EQUIPMENT COS, INC ............ 3,421 120,361 o SPEEDFAM-IPEC, INC ...................... 1,933 244,300 o SPLASH TECHNOLOGY HOLDINGS, INC ......... 1,718 126,082 STANDEX INTERNATIONAL CORP .............. 3,451 28,435 STARRETT (L.S.) CO (CLASS A) ............ 764 34,000 # STARRETT (L.S.) CO (CLASS B) ............ 914 618,746 o STORAGE TECHNOLOGY CORP ................. 14,076 46,011 STORK NV ................................ 1,049 512,000 xo STREAMLOGIC CORP ........................ 0 2,500 o SULZER WINTERTHUR AG. (REGD) ............ 1,520 20,000 SVENSKA KULLAGERFABRIKEN AB SERIES A FREE ................................... 353 134,801 SVENSKA KULLAGERFABRIKEN AB SERIES B .... 2,489 554,000 SYMBOL TECHNOLOGIES, INC ................ 20,429 59,000 TAKUMA CO LTD ........................... 544 191,900 TECUMSEH PRODUCTS CO (CLASS A) .......... 11,622 31,300 TECUMSEH PRODUCTS CO (CLASS B) .......... 1,706 77,100 TELXON CORP ............................. 612 190,500 TENNANT CO .............................. 6,096 2,597,646 TENNECO, INC ............................ 62,019 120,800 o TEREX CORP .............................. 3,677 1,500 o THERMO FIBERTEK, INC .................... 11 911,553 TIMKEN CO ............................... 17,775 192,250 TOMRA SYSTEMS AS ........................ 7,228 30,250 TORO CO ................................. 1,191 461,900 [] TOYODA AUTOMATIC LOOM WORKS LTD ......... 7,842 242,500 o TRICORD SYSTEMS, INC .................... 864 67,000 TSUBAKIMOTO CHAIN CO .................... 239 12,383,108 TYCO INTERNATIONAL LTD .................. 1,173,299 4,156 o ULTRATECH STEPPER, INC .................. 63 5,529,000 o UNISYS CORP ............................. 215,285 233,188 o UNOVA, INC .............................. 3,702 109,800 VALMET OY SERIES A ...................... 1,246 593,579 o VARCO INTERNATIONAL, INC ................ 6,492 237,100 o VISUAL NETWORKS, INC .................... 7,587 2,100 WATKINS-JOHNSON CO ...................... 62 706,600 []o WESTERN DIGITAL CORP .................... 4,593 193,400 o XIRCOM, INC ............................. 5,814 762,400 YORK INTERNATIONAL CORP ................. 32,640 64,258 ZARDOYA OTIS S.A. ....................... 1,614 35,300 o ZEBRA TECHNOLOGY CORP ................... 1,357 1,440 #o ZEBRA TECHNOLOGY CORP (CLASS B) ......... 55 ------------ 9,480,255 ------------ INSTRUMENTS AND RELATED PRODUCTS--2.27% 143,000 o ACUSON CORP ............................. 2,458 215,375 o ADAC LABORATORIES, INC .................. 1,561 2,000 o ADE CORP ................................ 24 16,300 o AFFYMETRIX, INC ......................... 805 94,100 o ALARIS MEDICAL, INC ..................... 318 2,600 o ANACOMP, INC ............................ 44 83,100 ANALOGIC CORP ........................... 2,584 195,494 ARROW INTERNATIONAL, INC ................ 5,058 223,200 o AVID TECHNOLOGIES, INC .................. 3,599 49,960 o BABCOCK BORSIG AG. ...................... 2,319 10,673 o BACOU U.S.A., INC ....................... 182 65,333 BALLARD MEDICAL PRODUCTS CO ............. 1,523 314,725 BARD (C.R.), INC ........................ 15,048 220,523 BAUSCH & LOMB, INC ...................... 16,870 1,691,663 BAXTER INTERNATIONAL, INC ............... 102,557 97,100 o BAXTER INTERNATIONAL, INC RTS ........... 9 354,987 BECKMAN COULTER, INC .................... 17,261 1,274,524 BECTON DICKINSON & CO ................... 38,236 83,456 o BIO-RAD LABORATORIES, INC (CLASS A) ..... 2,180 635,800 o BIOMET, INC ............................. 25,273 53,624 o BOLLE, INC .............................. 147 1,909,250 o BOSTON SCIENTIFIC CORP .................. 83,888 1,663,000 CANON, INC .............................. 47,812 806,000 CASIO COMPUTER CO LTD ................... 6,126 1,866 o CHYRON CORP ............................ 3 692,000 CITIZEN WATCH CO LTD .................... 6,003 40,000 []o CLOSURE MEDICAL CORP .................... 1,200 19,700 o CNS, INC ................................ 67 78,000 o COGNEX CORP ............................. 2,462 91,480 o COHERENT, INC ........................... 1,704 108,100 o COHESION TECHNOLOGIES, INC .............. 649 28,000 COHU, INC ............................... 991 22,100 o COLE NATIONAL CORP (CLASS A) ............ 175 3,400 o COLLAGEN AESTHETICS, INC ................ 47 216,000 o CONMED CORP ............................. 6,615 84,875 COOPER COS, INC ......................... 2,117 8,200 xo CPX CORP ................................ 1 90,600 o CREDENCE SYSTEMS CORP ................... 3,364 94,980 CUBIC CORP .............................. 2,339 1,700 o CYBERONICS, INC ......................... 21 180,096 o CYMER, INC .............................. 4,502 75,600 o CYTYC CORP .............................. 1,474 201,000 o DATASCOPE CORP .......................... 6,457 742,500 DENTSPLY INTERNATIONAL, INC ............. 21,440 145,304 o DIONEX CORP ............................. 5,885 139,250 o DYNATECH CORP ........................... 479 2,453,389 EASTMAN KODAK CO ........................ 166,217 1,871 o ESCO ELECTRONICS CORP (TRUST RECEIPT) ... 24 29,684 [] ESSILOR INTERNATIONAL ................... 9,279 134,450 o FOSSIL, INC ............................. 6,504 537 FRESENIUS MEDICAL CARE AG. ADR .......... 11 1,785,500 [] FUJI PHOTO FILM CO LTD .................. 67,561 395,800 o GENRAD, INC ............................. 8,238 106,600 o GENZYME SURGICAL PRODUCTS ............... 470 2,838,995 o GUIDANT CORP ............................ 146,031 145,400 o HAEMONETICS CORP ........................ 2,917 301,800 o HANGER ORTHOPEDIC GROUP, INC ............ 4,282 27,100 o HEARTPORT, INC .......................... 64 63,700 o HIE, INC ................................ 151 800 o HOLOGIC, INC ............................ 5 2,064,300 HONEYWELL, INC .......................... 239,201 29,100 o I-STAT CORP ............................. 266 36,400 o IMATRON, INC ............................ 52 1,099,652 IMI PLC ................................. 4,455 774 o INPUT/OUTPUT, INC ....................... 6 154,300 INVACARE CORP ........................... 4,128 26,008,109 INVENSYS PLC ............................ 123,092 73,400 o ISOLYSER CO, INC ........................ 344 786,028 JOHNSON CONTROLS, INC ................... 54,482 83,430 KEYENCE CORP ............................ 14,599 805,700 o KLA-TENCOR CORP ......................... 52,270 913,000 KONICA CORP ............................. 3,764 1,700 o LECROY CORP ............................. 40 16,300 o LIFECORE BIOMEDICAL, INC ................ 187 359,997 o LITTON INDUSTRIES, INC .................. 25,830 200 o LTX CORP ................................ 3 1,000 o LUNAR CORP .............................. 8 43,000 o LUXOTTICA GROUP S.P.A. ADR .............. 669 86,100 o MAXXIM MEDICAL, INC ..................... 2,007 4,491,303 MEDTRONIC, INC .......................... 349,760 23,600 MENTOR CORP ............................. 440 484,000 o METTLER-TOLEDO INTERNATIONAL, INC ....... 12,009 36 See notes to financial statements. VALUE SHARES (000) ---------- --------- INSTRUMENTS AND RELATED PRODUCTS--(Continued)% 115,500 MILLIPORE CORP .......................... $ 4,685 96,000 MINE SAFETY APPLIANCE CO ................ 6,144 13,700 o MINIMED, INC ............................ 1,054 77,900 MOVADO GROUP, INC ....................... 2,016 227,400 MTS SYSTEMS CORP ........................ 2,771 7,500 o NEOPATH, INC ............................ 29 154,200 NEWPORT CORP ............................ 2,390 619,000 NIKON CORP .............................. 10,126 35,300 o NOVOSTE CORP ............................ 741 3,100 o OAKLEY, INC ............................. 22 125,103 OCE NV .................................. 3,187 212,300 o OCULAR SCIENCES, INC .................... 3,689 91,800 o OEC MEDICAL SYSTEMS, INC ................ 2,249 1,505,000 OLYMPUS OPTICAL CO LTD .................. 22,244 1,300 OPTICAL COATING LABORATORIES, INC ....... 109 86 o PANAVISION, INC (NEW) ................... 1 59,376 o PE CORP-CELERA GENOMICS GROUP ........... 961 127,353 PE CORP-PE BIOSYSTEMS GROUP ............. 14,614 3,100 o PERCEPTION, INC ......................... 14 43,300 o PERCLOSE, INC ........................... 2,081 285,200 o PINNACLE SYSTEMS, INC ................... 9,590 432,508 POLAROID CORP ........................... 11,948 28,000 []o POSSIS MEDICAL, INC ..................... 329 11,450 o RADIOMETER AS (CLASS B) ................. 557 1,126,998 RAYTHEON CO (CLASS A) ................... 77,622 879,951 RAYTHEON CO (CLASS B) ................... 61,927 265,300 o RESMED, INC ............................. 8,805 233,678 o RESPIRONICS, INC ........................ 3,534 712,923 [] RICOH CO LTD ............................ 9,813 31,400 o ROBOTIC VISION SYSTEMS, INC ............. 118 2,400 o ROFIN-SINAR TECHNOLOGIES, INC ........... 19 62,400 o SABRATEK CORP ........................... 1,365 8,637 o SAGEM S.A. .............................. 5,772 1,900 o SCHICK TECHNOLOGIES, INC ................ 6 59,800 o SCOTT TECHNOLOGIES, INC ................. 1,151 66,800 o SEPRACOR, INC ........................... 5,428 11,349 o SOLA INTERNATIONAL, INC ................. 221 70,956 o SONOSITE, INC ........................... 1,206 2,160 o SPACELABS MEDICAL, INC .................. 41 1,086,658 o ST. JUDE MEDICAL, INC ................... 38,712 2,100 o STAAR SURGICAL CO ....................... 28 446,844 o STERIS CORP ............................. 8,658 96,680 o STRYKER CORP ............................ 5,813 55,100 o SUMMIT TECHNOLOGY, INC .................. 1,212 2,800 o SUNRISE MEDICAL, INC .................... 20 656,000 o SYBRON INTERNATIONAL CORP ............... 18,081 7,000 o TAVA TECHNOLOGIES, INC .................. 54 41,635 o TECH-SYM CORP ........................... 989 1,104,279 TEKTRONIX, INC .......................... 33,335 345,053 o TERADYNE, INC ........................... 24,758 1,000 THE SWATCH GROUP AG. (BR) ............... 673 48,090 [] THE SWATCH GROUP AG. (REGD) ............. 6,867 58,350 o THERMEDICS, INC ......................... 543 100 o THERMO BIOANALYSIS CORP ................. 2 3,100 o THERMO CARDIOSYSTEMS, INC ............... 34 114,922 o THERMO ELECTRON CORP .................... 2,306 4,185 o THERMO INSTRUMENT SYSTEMS, INC .......... 71 3,800 o THERMO OPTEK CORP ....................... 39 1,200 o THERMOQUEST CORP ........................ 16 7,000 o THERMOSPECTRA CORP ...................... 111 36,900 o THERMOTREX CORP ......................... 281 898 o TREX MEDICAL CORP ....................... 5 43,200 o TRIMBLE NAVIGATION LTD .................. 556 428 o VARIAN MEDICAL SYSTEMS, INC ............. 11 428 o VARIAN, INC ............................. 6 48,600 o VEECO INSTRUMENTS, INC .................. 1,652 28,400 []o VENTANA MEDICAL SYSTEMS, INC ............ 543 609,200 o VISX, INC ............................... 48,241 86,500 VITAL SIGNS, INC ........................ 1,725 494,600 []o VIVUS, INC .............................. 1,298 47,020 o WATERS CORP ............................. 2,498 182,118 o WESLEY JESSEN VISIONCARE, INC ........... 5,896 1,897,322 WILLIAMS PLC ............................ 12,531 7,000 o WIRELESS TELECOM GROUP, INC ............. 16 206,100 X RITE, INC ............................. 1,327 10,163,080 XEROX CORP .............................. 600,257 27,400 o XOMED SURGICAL PRODUCTS, INC ............ 1,334 773,000 YOKOGAWA ELECTRIC CORP .................. 4,566 38,900 o ZYGO CORP ............................... 445 ------------ 2,847,332 ------------ INSURANCE AGENTS, BROKERS AND SERVICE--0.17% 21,800 BLANCH (E.W.) HOLDINGS, INC ............. 1,486 44,292 BROWN & BROWN, INC ...................... 1,683 235,100 CRAWFORD & CO (CLASS A) ................. 3,174 162,100 CRAWFORD & CO (CLASS B) ................. 2,634 606,706 o FIRST HEALTH GROUP CORP ................. 13,082 1,929,683 FORTIS B ................................ 60,598 51,968 o FORTIS B CVG ............................ 296 486,027 o FORTIS B NPV (STRIP VVPR) ............... 5 12,100 GALLAGHER (ARTHUR J.) & CO .............. 599 8,180 GENERALI HOLDINGS VIENNA ................ 1,502 34,362 HILB, ROGAL & HAMILTON CO ............... 769 250,684 LAB HOLDINGS, INC ....................... 3,478 20,500 MARSCHOLLEK LAUT UND PARTNER ............ 9,619 1,544,769 MARSH & MCLENNAN COS, INC ............... 116,630 ------------ 215,555 ------------ INSURANCE CARRIERS--4.92% 33,400 20TH CENTURY INDUSTRIES ................. 630 93,095 AACHENER & MUNCHENER BETEIL (BR) ........ 9,457 1,800 o ACCEPTANCE INSURANCE COS, INC ........... 27 65,000 ACE LTD ................................. 1,836 2,253,300 [] AEGON NV ................................ 163,481 23,468 [] AEGON NV ARS ............................ 1,737 1,345,021 AETNA, INC .............................. 120,295 2,051,646 AFLAC, INC .............................. 98,223 3,880 o AGF-ASSUR GEN DE FRANCE CVG ............. 3 105,900 ALFA CORP ............................... 2,118 104,472 o ALLEGHANY CORP (DELAWARE) ............... 19,327 649,517 []o ALLIANZ AG. (REGD) ...................... 180,189 428,631 o ALLMERICA FINANCIAL CORP ................ 26,066 11,175,406 ALLSTATE CORP ........................... 400,918 559,100 AMBAC FINANCIAL GROUP, INC .............. 31,939 183,101 o AMERICAN ANNUITY GROUP, INC ............. 4,440 32,700 AMERICAN BANKERS INSURANCE GROUP, INC ............................. 1,780 232,508 AMERICAN FINANCIAL GROUP, INC ........... 7,920 1,623,182 AMERICAN GENERAL CORP ................... 122,347 85,699 AMERICAN HERITAGE LIFE INVESTMENT CORP ......................... 2,100 9,672,359 AMERICAN INTERNATIONAL GROUP, INC ...... 1,132,271 58,700 o AMERICAN MEDICAL SECURITY GROUP ......... 506 230,400 AMERICAN NATIONAL INSURANCE CO .......... 16,416 92,830 AMERUS LIFE HOLDINGS, INC (CLASS A) ..... 2,506 1,820,000 AMP LTD ................................. 19,896 1,124,225 AON CORP ................................ 46,374 238,552 ARGONAUT GROUP, INC ..................... 5,725 146,700 ARM FINANCIAL GROUP, INC (CLASS A) ...... 1,247 4,476,723 ASSICURAZIONI GENERALI S.P.A. ........... 155,126 956,068 AXA ..................................... 116,643 7,672 []o AXA CTF DE VALEUR GARANT ................ 53 234,650 BERKLEY (W.R.) CORP ..................... 5,866 666 o BERKSHIRE HATHAWAY, INC (CLASS A) ....... 45,887 15 o BERKSHIRE HATHAWAY, INC (CLASS B) ....... 34 250,800 CAPITAL RE CORP ......................... 4,028 1,100 CAPITOL TRANSAMERICA CORP ............... 15 1,634,950 CGU PLC ................................. 23,620 See notes to financial statements. 37 VALUE SHARES (000) ---------- --------- INSURANCE CARRIERS--(Continued) 12,000 CHARTWELL RE CORP ....................... $ 224 244,472 CHICAGO TITLE CORP ...................... 8,725 950 CHIYODA FIRE & MARINE INSURANCE CO LTD .. 3 964,710 CHUBB CORP .............................. 67,047 1,244,172 CIGNA CORP .............................. 110,731 946,085 CINCINNATI FINANCIAL CORP ............... 35,537 27,733,790 CITIGROUP, INC .......................... 1,317,355 79,400 o CNA FINANCIAL CORP ...................... 3,201 20,800 CNA SURETY CORP ......................... 319 36,196 COLONIA KONZERN AG. (REGD) .............. 3,472 1,500,658 COLONIAL LTD ............................ 5,314 109,840 COMMERCE GROUP, INC ..................... 2,677 24,900 COMPANHIA DE SEGUROS TRANQUILIDADE ...... 627 2,331,023 CONSECO, INC ............................ 70,951 117,431 CORPORACION MAPFRE S.A. ................. 2,392 22,968 o DELPHI FINANCIAL GROUP, INC ............. 824 178,900 ENHANCE FINANCIAL SERVICES GROUP, INC ... 3,533 697,300 EQUITABLE COS, INC ...................... 46,719 96,600 ERIE INDEMNITY CO (CLASS A) ............. 2,753 477,766 EVEREST REINSURANCE HOLDINGS, INC ....... 15,587 2,900 EXECUTIVE RISK, INC ..................... 247 29,750 o FAIRFAX FINANCIAL HOLDINGS LTD .......... 7,939 209,129 FBL FINANCIAL GROUP, INC (CLASS A) ...... 4,078 48,800 o FEDSURE HOLDINGS LTD .................... 513 285,930 FIDELITY NATIONAL FINANCIAL, INC ........ 6,005 194,621 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD .......................... 10,120 715,648 FIRST AMERICAN FINANCIAL CORP ........... 12,792 714,000 FOREMOST CORP OF AMERICA ................ 15,708 174,575 o FOUNDATION HEALTH SYSTEMS (CLASS A) ..... 2,619 4,900 o FPIC INSURANCE GROUP, INC ............... 238 416,460 FREMONT GENERAL CORP .................... 7,861 211,740 FRONTIER INSURANCE GROUP, INC ........... 3,256 5,000 GAINSCO, INC ............................ 29 1,717,277 [] GIO AUSTRALIAN HOLDINGS LTD ............. 4,183 29,900 GUARANTEE LIFE COS, INC ................. 751 5,490 xo HAFNIA HOLDINGS ......................... 0 174,400 HARLEYSVILLE GROUP, INC ................. 3,575 1,317,707 HARTFORD FINANCIAL SERVICES GROUP, INC .. 76,839 169,487 HARTFORD LIFE, INC (CLASS A) ............ 8,919 8,700 HCC INSURANCE HOLDINGS, INC ............. 197 2,351 o HIGHLANDS INSURANCE GROUP, INC .......... 25 3,000,389 [] HIH INSURANCE LTD ....................... 3,714 27,632 HORACE MANN EDUCATORS CORP .............. 751 600 HSB GROUP, INC .......................... 25 244,200 o HUMANA, INC ............................. 3,159 10,000 o IFIL FINANZIARIA DI PARTECIPAZIONI ...... 36 19,988,660 o INSTITUTO NAZIONALE DELLE ASSICURAZION .. 46,382 973,426 JEFFERSON-PILOT CORP .................... 64,429 21,700 KANSAS CITY LIFE INSURANCE CO ........... 933 97,840 LANDAMERICA FINANCIAL GROUP, INC ........ 2,813 5,647,172 LEGAL & GENERAL GROUP PLC ............... 14,376 52,714 LIBERTY CORP ............................ 2,873 10,000 LIBERTY FINANCIAL COS, INC .............. 291 40,878 []o LIBERTY INTERNATIONAL PLC ............... 271 87,025 [] LIBERTY LIFE ASSOCIATION OF AFRICA LTD .. 1,115 2,100 LIFE U.S.A. HOLDINGS, INC ............... 43 1,430,000 LINCOLN NATIONAL CORP ................... 74,807 410,800 LOEWS CORP .............................. 32,505 12,500 o MARKEL CORP ............................. 2,338 3,920 o MAXICARE HEALTH PLANS, INC .............. 19 321,287 MBIA, INC ............................... 20,803 12,055 MEADOWBROOK INSURANCE GROUP ............. 164 86,951 o MEDICAL ASSURANCE, INC .................. 2,456 1,300,000 [] MEDIOLANUM S.P.A. ....................... 9,988 53,000 MERCURY GENERAL CORP .................... 1,802 296,600 [] METROPOLITAN LIFE LTD ................... 440 1,171,200 MGIC INVESTMENT CORP .................... 56,950 87,200 o MID ATLANTIC MEDICAL SERVICES, INC ...... 861 10,291 MIDLAND CO .............................. 261 1,062,050 [] MITSUI TAISHO MARINE & FIRE CO LTD ...... 5,221 50,918 MMI COS, INC ............................ 859 241,090 []o MUENCHENER RUECKVER AG. (REGD) .......... 44,630 214,770 o MUENCHENER RUECKVER AG. (REGD) (NEW) .... 39,204 200 o NATIONAL WESTERN LIFE INSURANCE CO ...... 19 96,100 NATIONWIDE FINANCIAL SERVICES, INC (CLASS A) ............................. 4,349 1,036,000 NICHIDO FIRE & MARINE INSURANCE CO LTD .. 5,332 1,151,000 NIPPON FIRE & MARINE INSURANCE CO LTD ... 3,899 280,600 NISSAN FIRE & MARINE INSURANCE CO LTD ... 881 1,000 NYMAGIC, INC ............................ 16 183,600 [] OHIO CASUALTY CORP ...................... 6,633 1,473,510 OLD REPUBLIC INTERNATIONAL CORP ......... 25,510 16,212 ORION CAPITAL CORP ...................... 582 1,261,428 o OXFORD HEALTH PLANS, INC ................ 19,631 463,548 o PACIFICARE HEALTH SYSTEMS, INC (CLASS A) 33,346 36,100 o PENN TREATY AMERICAN CORP ............... 869 6,800 []o PENNCORP FINANCIAL GROUP, INC ........... 3 1,300 o PHILADELPHIA CONSOLIDATED HOLDINGS CORP ......................... 32 5,100 PMA CAPITAL CORP (CLASS A) .............. 105 294,034 PMI GROUP, INC .......................... 18,469 61,300 POHJOLA INSURANCE CO LTD SERIES B ....... 3,145 219,400 PRESIDENTIAL LIFE CORP .................. 4,306 149,050 PROGRESSIVE CORP ........................ 21,612 207,000 PROTECTIVE LIFE CORP .................... 6,831 216,050 PROVIDENT COS, INC ...................... 8,642 3,287,004 PRUDENTIAL CORP PLC ..................... 48,393 31,800 PXRE CORP ............................... 576 1,563,624 QBE INSURANCE GROUP LTD ................. 5,951 669,420 RADIAN GROUP, INC ....................... 32,676 847,459 [] RAS S.P.A. .............................. 8,233 756,448 REINSURANCE AUSTRALIA CORP LTD .......... 631 281,675 REINSURANCE GROUP OF AMERICA, INC ....... 9,929 423,678 RELIANCE GROUP HOLDINGS, INC ............ 3,151 542,681 RELIASTAR FINANCIAL CORP ................ 23,742 58,800 o RISK CAPITAL HOLDINGS, INC .............. 794 3,500 RLI CORP ................................ 136 3,520,494 ROYAL & SUN ALLIANCE INSURANCE GROUP PLC ............................. 31,576 376,300 SAFECO CORP ............................. 16,604 213,200 o SAFEGUARD HEALTH ENTERPRISES, INC ....... 959 247,190 SAI S.P.A. .............................. 2,549 165,500 SAMPO INSURANCE CO SERIES A ............. 4,796 728,000 o SANLAM LTD .............................. 863 40,000 SCOTTISH ANNUITY & LIFE HOLDINGS LTD .... 430 31,567 SCPIE HOLDINGS, INC ..................... 1,030 774,500 SELECTIVE INSURANCE GROUP, INC .......... 14,764 120,150 o SIERRA HEALTH SERVICES, INC ............. 1,735 1,686,665 SKANDIA FORSAKRINGS AB .................. 31,543 918,422 ST. PAUL COS, INC ....................... 29,217 500 STATE AUTO FINANCIAL CORP ............... 7 109,400 STEWART INFORMATION SERVICES CORP ....... 2,311 308,650 o UNI-STOREBRAND AS SERIES A .............. 2,078 1,266,028 SUMITOMO MARINE & FIRE INSURANCE CO ..... 7,635 3,954 o SUN LIFE & PROVINCIAL HOLDINGS .......... 28 37,125 []o SWISS REINSURANCE ....................... 70,687 4,631,000 TOKIO MARINE & FIRE INSURANCE CO LTD .... 50,312 1,508,600 TORCHMARK CORP .......................... 51,481 999,782 TRANSAMERICA CORP ....................... 74,984 3,507 TRANSATLANTIC HOLDINGS, INC ............. 263 900,252 TRAVELERS PROPERTY CASUALTY CORP ........ 35,222 27,000 TRENWICK GROUP, INC ..................... 666 69,400 o TRIAD GUARANTY, INC ..................... 1,245 135,700 o TRIGON HEALTHCARE, INC .................. 4,936 13,000 o UICI .................................... 359 2,630,674 UNITED HEALTHCARE CORP .................. 164,746 38 See notes to financial statements. VALUE SHARES (000) ---------- --------- INSURANCE CARRIERS--(Continued) 56,600 o UNITED WISCONSIN SERVICES, INC .......... $ 453 302,208 UNITRIN, INC ............................ 12,391 552,610 UNUM CORP ............................... 30,255 129,896 VESTA INSURANCE GROUP, INC .............. 601 382,323 o WELLPOINT HEALTH NETWORKS, INC .......... 32,450 17,040 WHITE MOUNTAINS INSURANCE ............... 2,403 893,385 XL CAPITAL LTD .......................... 50,476 39,642 ZENITH NATIONAL INSURANCE CORP .......... 976 120,372 ZURICH ALLIED AG. ....................... 68,448 ------------ 6,169,353 ------------ LEATHER AND LEATHER PRODUCTS--0.01% 283,730 BROWN SHOE CO, INC ...................... 6,171 125,200 JUSTIN INDUSTRIES, INC .................. 1,745 136,008 []o SAMSONITE CORP .......................... 680 82,800 STRIDE RITE CORP ........................ 854 33,400 o TIMBERLAND CO ........................... 2,273 1,587 WOLVERINE WORLD WIDE, INC ............... 22 ------------ 11,745 ------------ LEGAL SERVICES--0.00% 128,788 o PREPAID LEGAL SERVICES, INC ............. 3,501 ------------ LOCAL AND INTERURBAN PASSENGER TRANSIT--0.09% 232,000 o COACH U.S.A., INC ....................... 9,730 13,086 EAST JAPAN RAILWAY CO ................... 70,273 786,992 LAIDLAW, INC ............................ 5,689 58,400 LAIDLAW, INC (U.S.) ..................... 431 21,700 o RURAL/METRO CORP ........................ 209 1,450,000 o SINGAPORE BUS SERVICES LTD .............. 2,317 7,855,613 o STAGECOACH HOLDINGS PLC ................. 28,140 ------------ 116,789 ------------ LUMBER AND WOOD PRODUCTS--0.22% 174,000 o AMERICAN HOMESTAR CORP .................. 1,196 20,000 o AOKAM PERDANA BERHAD .................... 3 3,465,842 CARTER HOLT HARVEY LTD .................. 4,151 354,203 o CHAMPION ENTERPRISES, INC ............... 6,597 623,514 CLAYTON HOMES, INC ...................... 7,131 32,608 DELTIC TIMBER CORP ...................... 878 581,718 o FLETCHER CHALLENGE LTD (FORESTS DIVISION) .................... 327 811,998 GEORGIA-PACIFIC CORP (PACKAGING GROUP) .. 38,468 17,200 o INTERNATIONAL FOREST PRODUCTS LTD ....... 65 1,016,000 o JAYA TIASA HOLDINGS BERHAD .............. 1,866 600,000 o LAND & GENERAL BERHAD ................... 210 1,302,805 LOUISIANA PACIFIC CORP .................. 30,942 3,962,000 MACMILLAN BLOEDEL LTD ................... 70,535 73,300 MASISA S.A. (SPONS ADR) ................. 770 37,600 OAKWOOD HOMES CORP ...................... 494 66,025 o PALM HARBOR HOMES, INC .................. 1,655 4,334 POPE & TALBOT, INC ...................... 52 1,760,150 [] SEKISUI HOUSE LTD ....................... 18,992 103,618 SKYLINE CORP ............................ 3,037 183,000 SUMITOMO FORESTRY CO LTD ................ 1,424 2,346 TJ INTERNATIONAL, INC ................... 73 82,700 UNIVERSAL FOREST PRODUCTS, INC .......... 1,778 1,186,980 WEYERHAEUSER CO ......................... 81,605 ------------ 272,249 ------------ METAL MINING--0.30% 89,900 o ACINDAR S.A. (CLASS B) .................. 97 5,300 AGNICO EAGLE MINES LTD .................. 33 3,000 []o ALTAIR INTERNATIONAL, INC ............... 16 15,048 ALUSUISSE LONZA HOLDINGS AG. (REGD) ..... 17,540 74,835 ANGLO AMERICAN PLATINUM CORP LTD ........ 1,746 470,528 []o ANGLO AMERICAN PLC ...................... 21,988 15,587 ANGLOGOLD LTD ........................... 672 101,439 o ASTRUIANA DE ZINC, S.A. MINES ........... 1,237 806,079 BARRICK GOLD CORP ....................... 15,467 163,200 BARRICK GOLD CORP (U.S.) ................ 3,162 162,950 []o BATTLE MOUNTAIN GOLD CO ................. 397 187,600 CAMBIOR, INC ............................ 602 156,800 CAMECO CORP ............................. 3,274 190,381 CLEVELAND CLIFFS, INC ................... 6,164 21,866 []o COEUR DALENE MINES CORP ................. 101 200,100 COMINCO LTD ............................. 3,366 1,767,294 CYPRUS AMAX MINERALS CO ................. 26,841 35,000 o DOMINION MINING LTD ..................... 8 166,498 o ECHO BAY MINES LTD ...................... 238 424,800 ELKEM AS ................................ 7,554 154,500 ERAMET .................................. 6,166 74,600 o EUOR-NEVADA MINING CORP ................. 887 15,800 o FRANCO-NEVADA MINING CORP LTD ........... 244 591,428 []o FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS A) ................... 9,906 1,809,164 o FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) .................... 32,452 4,231 GOLDFIELDS LTD .......................... 3 439,516 GREAT CENTRAL MINES LTD ................. 448 384,100 o HECLA MINING CO ......................... 792 145,224 HOMESTAKE MINING CO ..................... 1,189 36,291 ILUKA RESOURCES LTD ..................... 78 21,700 IMPALA PLATINUM HOLDINGS LTD ............ 546 371,800 INCO LTD CO ............................. 6,607 46,900 o INCO LTD CO (U.S.) ...................... 844 6,460 o JOHNNIES INDUSTRIAL CORP LTD ............ 42 506,176 JOHNSON MATTHEY PLC ..................... 4,935 13,892 o KINROSS GOLD CORP ....................... 23 1,134,485 o LONMIN PLC .............................. 10,551 614,600 o MALAYSIA MINING CORP BERHAD ............. 306 4,046,513 MIM HOLDINGS LTD ........................ 2,866 3,848,000 MITSUBISHI MATERIALS CORP ............... 8,615 1,382,000 [] MITSUI MINING & SMELTING CO LTD ......... 7,136 711,284 o NEWCREST MINING LTD ..................... 1,597 848,558 NEWMONT MINING CORP ..................... 16,865 1,699,000 NIPPON LIGHT METAL CO LTD ............... 2,541 541,500 NORANDA, INC ............................ 7,098 3,441,531 NORMANDY MINING LTD ..................... 2,292 4,886,106 [] NORTH LTD ............................... 9,896 537,700 OUTOKUMPU OY SERIES A ................... 6,044 13,000 #xo PEGASUS GOLD, INC ....................... 0 151,900 PHELPS DODGE CORP ....................... 9,408 590,700 PLACER DOME, INC ........................ 6,825 10,348 o PLACER DOME, INC (U.S.) ................. 122 76,700 RIO ALGOM LTD ........................... 1,083 858,169 [] RIO TINTO LTD ........................... 14,071 150,000 RIO TINTO PLC (BR) ...................... 2,341 2,880,387 RIO TINTO PLC (REGD) .................... 48,287 549,026 SMITH (HOWARD) LTD ...................... 4,197 598,037 SONS OF GWALIA NL ....................... 1,574 132,900 SOUTHERN PERU COPPER CORP ............... 1,919 204,698 o STILLWATER MINING CO .................... 6,691 448,000 o SUMITOMO METAL MINING CO LTD ............ 1,851 518,254 o SUNSHINE MINING & REFINING CO ........... 194 105,700 TECK CORP LTD (CLASS B) ................. 907 42,300 UNION MINIERE GROUP S.A. ................ 1,745 4,389,172 [] WMC LTD ................................. 18,855 ------------ 371,542 ------------ MISCELLANEOUS MANUFACTURING INDUSTRIES--0.33% 32,600 AMER GROUP LTD PLC SERIES A ............. 469 1,336,000 APPLIED INTERNATIONAL HOLDINGS LTD ...... 62 277,200 o APPLIED INTERNATIONAL HOLDINGS LTD WTS 12/30/99 .......................... 1 1,000 o ASICS CORP .............................. 1 148,400 BIC S.A. ................................ 7,828 392,675 o BLYTH INDUSTRIES, INC ................... 13,498 388,900 BRADY CORP (CLASS A) .................... 12,639 See notes to financial statements. 39 VALUE SHARES (000) ---------- --------- MISCELLANEOUS MANUFACTURING INDUSTRIES--(Continued) 718,900 BULGARI S.P.A. .......................... $ 4,834 359,500 CALLAWAY GOLF CO ........................ 5,258 28,100 xo CML GROUP, INC .......................... 1 2,195 o CROSS (A.T.) CO (CLASS A) ............... 12 1,239,346 HASBRO, INC ............................. 34,624 212,230 []o HEXCEL CORP ............................. 2,149 665,188 INTERNATIONAL GAME TECHNOLOGY CO ........ 12,306 4,063 o JAN BELL MARKETING, INC ................. 14 579,700 JOSTENS, INC ............................ 12,210 109,505 K2, INC ................................. 979 103,500 o LYDALL, INC ............................. 1,190 48,966 []o MARVEL ENTERPRISES ...................... 361 3,819 o MARVEL ENTERPRISES WTS 10/02/02 ......... 4 6,468 o MARVEL ENTERPRISES WTS 10/02/02 (CLASS C) .............................. 2 2,968,159 MATTEL, INC ............................. 78,471 2,371,420 MINNESOTA MINING & MANUFACTURING CO ..... 206,165 12,000 MIZUNO CORP ............................. 45 64,000 NINTENDO CO LTD ......................... 8,994 254,800 xo NU KOTE HOLDINGS, INC (CLASS A) ......... 15 5,200 ONEIDA LTD .............................. 146 17,600 RHI AG. ................................. 476 69,450 RUSS BERRIE & CO, INC ................... 1,719 38,500 [] SEGA ENTERPRISES LTD .................... 509 77,300 o STEINWAY MUSICAL INSTRUMENTS, INC ....... 2,048 36,300 o WMS INDUSTRIES, INC ..................... 617 ------------ 407,647 ------------ MISCELLAN EOUS RETAIL--0.71% 558,989 []o AMAZON.COM, INC ......................... 69,943 294,300 o BARNES & NOBLE, INC ..................... 8,056 142,300 o BARNETT, INC ............................ 1,067 105,000 BLAIR CORP .............................. 2,828 707,630 BOOTS CO LTD ............................ 8,405 421,700 o BORDERS GROUP, INC ...................... 6,668 1,848 CASH AMERICA INTERNATIONAL, INC ......... 24 428,600 o CDW COMPUTER CENTERS, INC ............... 18,858 152,900 o COLDWATER CREEK, INC .................... 2,982 539,900 o CORPORATE EXPRESS, INC .................. 3,779 4,430,701 CVS CORP ................................ 224,858 600 o DELIA*S, INC ............................ 8 104,100 o DUANE READE, INC ........................ 3,188 415,711 o E4L, INC ................................ 2,988 97,127 ENESCO GROUP, INC ....................... 2,246 1,900 o FINLAY ENTERPRISES, INC ................. 25 1,000 FRIEDMANS, INC (CLASS A) ................ 9 167,700 o GARDEN RIDGE CORP ....................... 797 71,100 o GENESIS DIRECT, INC ..................... 133 2,500,618 GREAT UNIVERSAL STORES PLC .............. 27,710 185,978 HANCOCK FABRICS, INC .................... 814 328,474 o HANOVER DIRECT, INC ..................... 924 516,450 o INSIGHT ENTERPRISES, INC ................ 12,782 83,041 o JO-ANN STORES, INC (CLASS A) ............ 1,246 237,100 o JO-ANN STORES, INC (CLASS B) ............ 3,082 236,100 xo JUMBOSPORTS, INC ........................ 24 89,764 []o LANDS END, INC .......................... 4,354 698 LONGS DRUG STORES CORP .................. 24 452,400 o MICHAELS STORES, INC .................... 13,855 187,700 o MICRO WAREHOUSE, INC .................... 3,355 46,200 []o NCS HEALTHCARE, INC (CLASS A) ........... 251 829,579 NEXT PLC ................................ 10,076 48 o NISSEN CO LTD ........................... 0 2,238,347 o OFFICE DEPOT, INC ....................... 49,384 182,600 o OFFICEMAX, INC .......................... 2,191 527,300 OMNICARE, INC ........................... 6,657 11,624 OPSM PROTECTOR LTD ...................... 22 59,400 o PARTY CITY CORP ......................... 228 200,400 o PETCO ANIMAL SUPPLIES, INC .............. 3,156 81,500 o PETSMART, INC ........................... 835 96,000 PLAYMATES TOYS HOLDINGS LTD ............. 7 1,165,243 RITE AID CORP ........................... 28,694 203,900 o SCHEIN (HENRY), INC ..................... 6,461 2,958,728 o STAPLES, INC ............................ 91,536 330,195 o STELUX HOLDINGS INTERNATIONAL LTD ....... 13 43,500 o SUNGLASS HUT INTERNATIONAL, INC ......... 748 215,000 o SYSTEMAX, INC ........................... 2,661 206,000 o THE SPORTS AUTHORITY, INC ............... 914 138,788 TIFFANY & CO ............................ 13,393 1,883,141 o TOYS R US, INC .......................... 38,957 112,989 o U.S. OFFICE PRODUCTS CO ................. 607 6,143,792 WALGREEN CO ............................. 180,474 717,497 o ZALE CORP ............................... 28,700 ------------ 890,997 ------------ MOTION PICTURES--0.77% 27,550 o AMC ENTERTAINMENT, INC .................. 527 6,900 o CARMIKE CINEMAS, INC (CLASS A) .......... 110 14,585,036 o DISNEY (WALT) CO ........................ 449,401 22,731 o GC COS, INC ............................. 813 368,100 o HOLLYWOOD ENTERTAINMENT CORP ............ 7,201 202,300 o KING WORLD PRODUCTIONS, INC ............. 7,043 142,200 o METRO-GOLDWYN-MAYER, INC ................ 2,595 613,800 o METROMEDIA INTERNATIONAL GROUP, INC ..... 4,604 2,400 o MOVIE GALLERY, INC ...................... 13 900 o ON COMMAND CORP ......................... 16 25,694 PATHE S.A. .............................. 3,084 65,300 []o PIXAR, INC .............................. 2,816 1,350,550 RANK GROUP PLC .......................... 5,370 1,480,000 o SHAW BROTHER LTD (H.K.) ................. 1,011 6,476,678 TIME WARNER, INC ........................ 476,036 9,000 TOEI CO ................................. 37 48,540 TOHO CO LTD ............................. 7,098 ------------ 967,775 ------------ NONDEPOSITORY INSTITUTIONS--1.80% 57,800 []o AAMES FINANCIAL CORP .................... 76 580,700 ACOM CO LTD ............................. 50,135 58,944 [] ADVANTA CORP (CLASS A) .................. 1,065 103,397 [] ADVANTA CORP (CLASS B) .................. 1,402 181,000 AIFUL CORP .............................. 22,161 2,340 ALLIED CAPITAL CORP ..................... 56 3,098,217 AMERICAN EXPRESS CO ..................... 403,155 411,020 o AMERICREDIT CORP ........................ 6,576 16,800 o AMRESCO, INC ............................ 108 389,581 []o ARCADIA FINANCIAL LTD ................... 3,019 7,221,394 ASSOCIATES FIRST CAPITAL CORP ........... 319,998 994,463 CAPITAL ONE FINANCIAL CORP .............. 55,379 42,552 CHARTER MUNICIPAL MORTGAGE ACCEPTANCE ............................ 545 45,500 CIT GROUP, INC (CLASS A) ................ 1,314 99,400 []xo CITYSCAPE FINANCIAL CORP ................ 1 75,900 []o CONTIFINANCIAL CORP ..................... 270 37,300 CORPORACION FINANCIERE ALBA S.A. ........ 6,039 603,424 COUNTRYWIDE CREDIT INDUSTRIES, INC ...... 25,796 282,800 []o CREDIT ACCEPTANCE CORP .................. 1,697 233,043 [] CREDIT SAISON CO LTD .................... 4,871 579 []o DELTA FINANCIAL CORP .................... 4 287,700 DORAL FINANCIAL CORP .................... 4,963 200 o FEDERAL AGRICULTURE MORTGAGE CORP ....... 14 6,498,484 FEDERAL NATIONAL MORTGAGE ASSOCIATION ........................... 444,334 11,400 o FINANCIAL FEDERAL CORP .................. 251 245,801 FINOVA GROUP, INC ....................... 12,935 3,700 o FIRST SIERRA FINANCIAL, INC ............. 93 365,812 []o FIRSTPLUS FINANCIAL GROUP, INC .......... 114 1,575,850 FIRSTRAND LTD ........................... 1,802 137,000 o FRANCHISE MORTGAGE ACCEPTANCE CO ........ 1,199 4,852,464 FREDDIE MAC ............................. 281,443 40 See notes to financial statements. VALUE SHARES (000) ---------- --------- NONDEPOSITORY INSTITUTIONS--1.80% 8,263,139 HALIFAX PLC ............................. $ 98,601 700 o HEALTHCARE FINANCIAL PARTNERS, INC ...... 24 1,800 HELLER FINANCIAL, INC ................... 50 236,000 HITACHI CREDIT CORP ..................... 4,670 2,948,796 HOUSEHOLD INTERNATIONAL, INC ............ 139,699 26,400 o IMC MORTGAGE CO ......................... 3 17,300 o IMPERIAL CREDIT INDUSTRIES, INC ......... 123 2,673,662 [] ING GROEP NV ............................ 144,761 376,776 IRISH LIFE & PERMANENT PLC .............. 3,983 109,042 o IRISH LIFE & PERMANENT PLC (U.K.) ....... 1,156 30,000 JACCS CO ................................ 137 257,000 LEUCADIA NATIONAL CORP .................. 6,521 201,400 o LONG BEACH FINANCIAL CORP ............... 2,958 1,100 MEDALLION FINANCIAL CORP ................ 21 1,568,850 o MEDIOBANCA S.P.A. ....................... 16,422 7,056 MERCAPITAL S.A. ......................... 66 938,166 METRIS COS, INC ......................... 38,230 3,555 []o MFN FINANCIAL CORP ...................... 35 4,123 o MFN FINANCIAL CORP WTS 03/23/02 SERIES A 7 4,123 o MFN FINANCIAL CORP WTS 03/23/03 SERIES B 6 4,123 o MFN FINANCIAL CORP WTS 03/23/04 SERIES C 6 785,000 NIPPON SHINPAN CO LTD ................... 2,607 6,702 o OMEGA WORLDWIDE, INC .................... 27 115,500 ORIX CORP ............................... 10,306 2,647 PACIFIC CREST CAPITAL, INC .............. 40 76,000 POWER FINANCIAL CORP .................... 1,438 482,481 PROVIDENT FINANCIAL PLC ................. 6,704 202,100 RESOURCE AMERICA, INC (CLASS A) ......... 2,930 1,325 RESOURCE BANCSHARES MORTGAGE GROUP, INC ............................ 14 469,840 SCHROEDERS LTD .......................... 9,598 122,850 SHOHKOH FUND & CO ....................... 88,098 543,040 SLM HOLDINGS CORP ....................... 24,878 132,800 []xo SOUTHERN PACIFIC FUNDING CORP ........... 6 12,800 STUDENT LOAN CORP ....................... 570 133,000 o THETA GROUP LTD ......................... 479 693,900 o UNICAPITAL CORP ......................... 4,380 7,800 []xo UNITED COS FINANCIAL CORP ............... 1 64,500 xo WILSHIRE FINANCIAL SERVICES, INC ........ 0 25,300 []o WFS FINANCIAL, INC ...................... 351 ------------ 2,260,721 ------------ NONMETALLIC MINERALS, EXCEPT FUELS--0.06 180,350 AMCOL INTERNATIONAL CORP ................ 2,593 873,592 [] ASHTON MINING LTD ....................... 411 17,600 JOHNS MANVILLE CORP ..................... 229 674,863 MARTIN MARIETTA MATERIALS, INC .......... 39,817 106,200 POTASH CORP OF SASKATCHEWAN, INC ........ 5,464 8,476 POTASH CORP OF SASKATCHEWAN, INC (U.S.) . 39 595,400 VULCAN MATERIALS CO ..................... 28,728 ------------ 77,681 ------------ OIL AND GAS EXTRACTION--0.91% 325,900 ALBERTA ENERGY LTD ...................... 10,415 896,228 ANADARKO PETROLEUM CORP ................. 32,992 340,644 o ANDERSON EXPLORATION LTD ................ 4,453 3,389,588 APACHE CORP ............................. 132,194 34,300 o ATWOOD OCEANICS, INC .................... 1,072 118,664 o BELCO OIL & GAS CORP .................... 823 53,300 o BENTON OIL & GAS CO ..................... 107 72,424 BERRY PETROLEUM CO (CLASS A) ............ 1,009 99,110 o BJ SERVICES CO .......................... 2,918 21,700 o BJ SERVICES CO WTS 04/13/00 ............. 667 30,208 o BOUYGUES S.A. ........................... 7,985 3,504,500 o BRITISH-BORNEO OIL & GAS PLC ............ 10,827 23,600 o BROWN (TOM), INC ........................ 367 4,616,447 BURLINGTON RESOURCES, INC ............... 199,661 146,800 CABOT OIL & GAS CORP (CLASS A) .......... 2,734 81,900 o CAL DIVE INTERNATIONAL, INC ............. 2,447 97,775 o CANADIAN HUNTER EXPLORATION, INC ........ 1,467 232,894 o CANADIAN NATURAL RESOURCES LTD .......... 4,563 190,894 CANADIAN OCCIDENTAL PETROLEUM LTD ....... 3,063 94,200 o CHESAPEAKE ENERGY CORP .................. 277 27,545 o COFLEXIP S.A. ........................... 2,365 77,900 o COHO ENERGY, INC ........................ 41 47,400 o COMSTOCK RESOURCES, INC ................. 157 18,750 o CONSOL ENERGY, INC ...................... 225 520 CORNERSTONE PROPANE PARTNERS L.P. ....... 9 165,450 CROSS TIMBERS OIL CO .................... 2,461 231,600 DEVON ENERGY CORP ....................... 8,280 732,900 DIAMOND OFFSHORE DRILLING, INC .......... 20,796 15,039 o EAGLE GEOPHYSICAL, INC .................. 11 278,161 o EEX CORP ................................ 1,930 456,800 ENRON OIL & GAS CO ...................... 9,250 2,106,735 ENSCO INTERNATIONAL, INC ................ 42,003 469,480 o EQUITY OIL CO ........................... 528 887,523 FLETCHER CHALLENGE LTD (ENERGY DIVISION) ...................... 2,408 226,200 xo FORCENERGY GAS EXPLORATION, INC ......... 212 354,734 o FOREST OIL CORP ......................... 4,456 102,900 []o FRIEDE GOLDMAN INTERNATIONAL, INC ..................... 1,428 391,500 o GLOBAL INDUSTRIES LTD ................... 5,016 1,344,000 o GLOBAL MARINE, INC ...................... 20,748 1,593,099 o GREY WOLF, INC .......................... 3,983 229,800 o GULF CANADA RESOURCES LTD ............... 947 2,456,592 HALLIBURTON CO .......................... 111,161 179,800 o HANOVER COMPRESSOR CO ................... 5,776 11,797 []o HARKEN ENERGY CORP ...................... 19 617,549 HELMERICH & PAYNE, INC .................. 14,705 105,637 o HOUSTON EXPLORATION CO .................. 2,001 71,261 o HS RESOURCES, INC ....................... 1,051 208,500 IHC CALAND NV ........................... 8,171 980,364 IMPERIAL OIL LTD ........................ 18,546 351,010 KCS ENERGY, INC ......................... 219 949,943 KERR-MCGEE CORP ......................... 47,675 482,019 o KEY ENERGY SERVICES, INC ................ 1,717 44,891 KONINKLIJKE PAKHOED HOLDINGS NV ......... 1,065 869,782 LONDON & SCOTTISH MARINE OIL PLC ........ 1,988 29,600 o LOUIS DREYFUS NATURAL GAS CORP .......... 638 302,600 o MARINE DRILLING CO, INC ................. 4,142 29,729 o MCMORAN EXPLORATION CO .................. 660 5,000 o MERIDIAN RESOURCE CORP .................. 19 25,011 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) ............................. 483 209,500 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS B) ............................. 3,850 75,100 o NABORS INDUSTRIES, INC .................. 1,835 244,900 o NEW HORIZONS WORLDWIDE, INC ............. 4,837 1,500 o NEWFIELD EXPLORATION CO ................. 43 43,100 NOBLE AFFILIATES, INC ................... 1,215 417,989 o NOBLE DRILLING CORP ..................... 8,229 521,016 o NOVUS PETROLEUM LTD ..................... 576 167,000 o NUEVO ENERGY CO ......................... 2,213 3,000 o NUMAC ENERGY, INC ....................... 7 1,545,647 OCCIDENTAL PETROLEUM CORP ............... 32,652 217,262 o OCEAN ENERGY, INC (NEW) ................. 2,091 367,600 o OCEANEERING INTERNATIONAL, INC .......... 5,928 500 o OCELOT ENERGY, INC (CLASS B) ............ 1 900 o OMNI ENERGY SERVICES CORP ............... 3 27,800 OMV AKTIENGESELLS AG. ................... 2,480 1,195,086 o PARKER DRILLING CO ...................... 3,959 212,700 o PATTERSON ENERGY, INC ................... 2,100 42,400 PENN VIRGINIA CORP ...................... 837 99,400 o PETROLEUM GEO-SERVICES AS ............... 1,496 1,206,100 o PIONEER NATURAL RESOURCES CO ............ 13,267 319,800 o POCO PETROLEUM LTD ...................... 2,571 18,400 POGO PRODUCING CO ....................... 343 See notes to financial statements. 41 VALUE SHARES (000) ---------- --------- OIL AND GAS EXTRACTION--(Continued) 162,769 o POOL ENERGY SERVICES CO ................. $ 3,306 1,000 o PRIDE INTERNATIONAL, INC ................ 11 6,737 PRIMAGAZ ................................ 591 1,694,378 o R & B FALCON CORP ....................... 15,885 157,900 RANGE RESOURCES CORP .................... 967 266,500 o RANGER OIL LTD .......................... 1,287 193,450 o RENAISSANCE ENERGY LTD .................. 2,588 325,900 o RIGEL ENERGY CORP ....................... 2,477 275,468 o ROWAN COS, INC .......................... 5,079 599,844 RPC, INC ................................ 5,249 15,000 SANTA FE INTERNATIONAL CORP ............. 345 186,245 o SANTA FE SNYDER CORP .................... 1,420 721,622 SCHLUMBERGER LTD ........................ 45,958 216,500 o SEITEL, INC ............................. 3,505 50 o SERVAL GROWTH FUND TRUST (UNITS) ........ 0 1,059,628 SMEDVIG AS SERIES A ..................... 9,826 108,800 ST. MARY LAND & EXPLORATION CO .......... 2,237 24,200 o STONE ENERGY CORP ....................... 1,025 141,200 o SUPERIOR ENERGY SERVICES, INC ........... 719 2,400 o SWIFT ENERGY CO ......................... 26 87,276 o SYNTROLEUM CORP ......................... 780 248,715 o TALISMAN ENERGY, INC .................... 6,730 40,269 TECHNIP S.A. ............................ 4,518 125,400 o TITAN EXPLORATION, INC .................. 627 722,519 o TOTAL FINA S.A. ......................... 93,216 2,050 o TOTAL FINA WTS 08/05/03 ................. 47 153,554 o TRANSMONTAIGNE, INC ..................... 1,929 805,300 TRANSOCEAN OFFSHORE, INC ................ 21,139 6,623 []xo TRANSTEXAS GAS CORP ..................... 4 134,635 o TRITON ENERGY LTD ....................... 1,447 35,900 o TUBOSCOPE, INC .......................... 491 360,000 o TULLOW OIL PLC .......................... 286 1,946,791 UNION PACIFIC RESOURCES GROUP, INC ...... 31,757 4,900 o UNIT CORP ............................... 40 61,000 o UTI ENERGY CORP ......................... 1,010 80,400 VASTAR RESOURCES, INC ................... 4,216 145,500 o VERITAS DGC, INC ........................ 2,664 120,200 o VINTAGE PETROLEUM, INC .................. 1,292 134,650 o WEATHERFORD INTERNATIONAL ............... 4,932 102,338 o WISER OIL CO ............................ 339 ------------ 1,137,829 ------------ PAPER AND ALLIED PRODUCTS--0.76% 268,200 ABITIBI CONSOLIDATED, INC ............... 3,062 111,247 o ACX TECHNOLOGIES, INC ................... 1,808 1,105,383 [] AMCOR LTD ............................... 6,144 14,309 o AMERICAN PAD & PAPER CO ................. 29 1,213,406 ARJO WIGGINS APPLETON PLC ............... 4,217 340,311 AVERY DENNISON CORP ..................... 20,546 140,800 BEMIS, INC .............................. 5,597 316,032 BOISE CASCADE CORP ...................... 13,550 28,596 BOWATER, INC ............................ 1,351 333,927 o BUCKEYE TECHNOLOGIES, INC ............... 5,072 105,580 BUHRMANN NV ............................. 1,704 876,020 BUNZL PLC ............................... 4,343 365,400 CARAUSTAR INDUSTRIES, INC ............... 9,021 185,070 [] CARTIERE BURGO S.P.A. ................... 1,187 506,490 CHAMPION INTERNATIONAL CORP ............. 24,248 136,900 CHESAPEAKE CORP ......................... 5,125 366,564 CONSOLIDATED PAPERS, INC ................ 9,806 3,305 o CROWN VANTAGE, INC ...................... 7 2,699 DE LA RUE CO PLC ........................ 16 344,200 DOMTAR, INC ............................. 3,232 30,580 DOMTAR, INC (U.S.) ...................... 291 58,950 DONOHUE, INC (CLASS A) .................. 866 532,080 []o EARTHSHELL CORP ......................... 3,725 47,130 EMPRESA NATIONAL DE CELULOSAS S.A. ...... 841 1,643,846 FLETCHER CHALLENGE LTD (PAPER DIVISION) . 1,228 1,998,533 FORT JAMES CORP 75,694 1,068,088 o GAYLORD CONTAINER CO .................... 8,478 411,748 GLATFELTER (P.H.) CO .................... 6,022 43,300 GREIF BROTHERS CORP (CLASS A) ........... 1,104 2,363,863 INTERNATIONAL PAPER CO .................. 119,375 40,500 INVESTIMENTOS PARTICIPACOES E GESTAO .... 326 244,600 o IVEX PACKAGING CORP ..................... 5,381 7,483,815 JEFFERSON SMURFIT GROUP PLC ............. 17,559 3,807,548 KIMBERLY-CLARK CORP ..................... 217,030 900 o KORSNAS AB SERIES A ..................... 13 305,300 LONGVIEW FIBRE CO ....................... 4,770 262,361 o MAIL-WELL, INC .......................... 4,247 15,000 [] MAYR-MELNHOF KARTON AG. ................. 681 583,132 MEAD CORP ............................... 24,346 1,083,000 MITSUBISHI PAPER MILLS LTD .............. 2,031 182,100 NAMPAK LTD .............................. 504 5,668 NEXFOR, INC ............................. 35 677,000 [] NGK INSULATORS LTD ...................... 7,070 1,355,000 NIPPON PAPER INDUSTRIES CO .............. 7,064 39,500 NORSKE SKOGINDUSTRIER SERIES A .......... 1,455 2,400 NORSKE SKOGINDUSTRIER SERIES B .......... 73 2,381,334 OJI PAPER CO LTD ........................ 13,772 6,000 o PLAYTEX PRODUCTS, INC ................... 93 117,519 PORTUCEL INDUSTRIA EMPRESA .............. 646 459 POTLATCH CORP ........................... 20 203,004 RENO DE MEDICI S.P.A. ................... 484 7,000 o REPAP ENTERPRISES, INC .................. 0 59,014 REPUBLIC GROUP, INC ..................... 1,062 1,248,111 REXAM PLC ............................... 5,037 86,400 ROCK-TENN CO (CLASS A) .................. 1,442 63,529 []o SAPPI LTD ............................... 465 295,340 SCA AB SERIES B ......................... 7,642 231,356 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ... 3,470 311,214 o SHOREWOOD PACKAGING CORP ................ 5,738 579,079 SMURFIT (JEFFERSON) GROUP PLC ........... 1,351 7,823,647 o SMURFIT-STONE CONTAINER CORP ............ 160,874 669,921 SONOCO PRODUCTS CO ...................... 20,056 236,600 ST. JOE CO .............................. 6,388 303,214 TEMPLE-INLAND, INC ...................... 20,694 123,100 [] UNI CHARM CORP .......................... 5,339 946,800 o UPM-KYMMENE OY .......................... 27,145 616,732 WAUSAU-MOSINEE PAPER CORP ............... 11,101 569,721 WESTVACO CORP ........................... 16,522 267,672 WILLAMETTE INDUSTRIES, INC .............. 12,330 ------------ 951,945 ------------ PERSONAL SERVICES--0.08% 1,195 ANGELICA CORP ........................... 21 1,014,100 BLOCK (H&R), INC ........................ 50,705 25,200 o CARRIAGE SERVICES, INC (CLASS A) ........ 473 260,554 CINTAS CORP ............................. 17,506 3,800 o COINMACH LAUNDRY CORP ................... 48 124,087 CPI CORP ................................ 4,095 122,400 G & K SERVICES, INC (CLASS A) ........... 6,411 123,450 REGIS CORP .............................. 2,369 816,599 SERVICE CORP INTERNATIONAL .............. 15,720 97,361 UNIFIRST CORP ........................... 1,789 ------------ 99,137 ------------ PETROLEUM AND COAL PRODUCTS--3.98% 216,386 AMERADA HESS CORP ....................... 12,875 51,100 ARABIAN OIL CO LTD ...................... 910 814,187 ASHLAND, INC ............................ 32,669 3,977,792 o ATLANTIC RICHFIELD CO ................... 332,394 10,970,393 o BG PLC .................................. 67,009 17,042,086 BP AMOCO PLC ............................ 305,437 733,405 BP AMOCO PLC (SPONS ADR) ................ 79,574 5,019,160 BROKEN HILL PROPRIETARY CO LTD .......... 58,138 18,583 BURMAH CASTROL PLC ...................... 353 4,551,692 CHEVRON CORP ............................ 433,264 1,848,000 COSMO OIL CO LTD ........................ 3,389 42 See notes to financial statements. VALUE SHARES (000) ---------- --------- PETROLEUM AND COAL PRODUCTS--(Continued) 188,900 ELCOR CORP .............................. $ 8,253 754,332 o ELF AQUITANE S.A. ....................... 110,701 28,552,280 [] ENTE NAZIONALE IDROCARBURI S.P.A. ....... 170,492 19,853,388 EXXON CORP .............................. 1,531,193 1,200,000 FORTUM OYJ .............................. 5,804 89,447 o FRONTIER OIL CORP ....................... 609 857 HOLLY CORP .............................. 11 922,000 JAPAN ENERGY CORP ....................... 1,082 7,798,641 MOBIL CORP .............................. 772,065 407,280 MURPHY OIL CORP ......................... 19,880 3,248,925 [] NIPPON MITSUBISHI OIL CO ................ 13,689 261,478 [] NORSK HYDRO AS .......................... 9,865 251,300 PENNZENERGY CO .......................... 4,194 494,551 PENNZOIL-QUAKER STATE CO ................ 7,418 12,700 PETRO-CANADA (NON-RESIDENT) ............. 172 597,200 PETRO-CANADA (VARIABLE- VOTE) ........... 8,110 36,307 PETROFINA S.A. .......................... 20,856 1,246,117 PHILLIPS PETROLEUM CO ................... 62,695 2,116,722 [] REPSOL S.A. ............................. 43,223 5,532,170 ROYAL DUTCH PETROLEUM CO ................ 324,063 2,734,417 [] SANTOS LTD .............................. 8,959 180,984 SASOL LTD ............................... 1,291 215,000 SHELL REFINERY BERHAD ................... 257 254,600 SUNCOR ENERGY, INC ...................... 10,381 643,542 SUNOCO, INC ............................. 19,427 605,176 TEIKOKU OIL CO LTD ...................... 1,960 1,781 o TESORO PETROLEUM CORP ................... 28 4,898,526 TEXACO, INC ............................ 306,158 1,000 TONEN CORP ............................. 7 2,007,625 TOSCO CORP ............................. 52,073 1,371,799 ULTRAMAR DIAMOND SHAMROCK CORP ......... 29,922 1,413,579 UNOCAL CORP ............................ 56,013 1,505,821 USX-MARATHON GROUP, INC ................ 49,033 322,600 VALERO ENERGY CORP ..................... 6,916 203,000 WD-40 CO ............................... 5,075 293,100 WOODSIDE PETROLEUM LTD ................. 1,985 82,000 YPF SOCIEDAD ANONIMA (CLASS D) ......... 3,231 ------------ 4,993,103 ------------ PIPELINES, EXCEPT NATURAL GAS--0.01% 345,360 ENBRIDGE, INC ........................... 7,875 159,076 ENBRIDGE, INC (U.S.) .................... 3,659 3,500 KINDER MORGAN ENERGY PARTNERS L.P. ...... 130 ------------ 11,664 ------------ 78,550 ACERINOX S.A. ........................... 2,297 22,940 o ACME METALS, INC ........................ 6 99,500 o AFC CABLE SYSTEMS, INC .................. 3,514 218,200 AK STEEL HOLDINGS CORP .................. 4,910 453,300 ALCAN ALUMINIUM CO LTD .................. 14,318 67,100 ALCAN ALUMINIUM CO LTD (U.S.) ........... 2,143 4,169,678 ALCOA, INC .............................. 257,999 51,500 o ALPINE GROUP, INC ....................... 827 923,500 o ARMCO, INC .............................. 6,118 668,535 ASARCO, INC ............................. 12,577 3,342 BEKAERT S.A. ............................ 1,430 158,800 BELDEN, INC ............................. 3,801 626,721 o BETHLEHEM STEEL CORP .................... 4,818 391,900 BIRMINGHAM STEEL CORP ................... 1,617 65,881 []o BOLIDEN LTD SDR ......................... 151 1,459,685 BRITISH STEEL PLC ....................... 3,779 42,000 BRUSH WELLMAN, INC ...................... 761 176,976 o CABLE DESIGN TECHNOLOGIES CO ............ 2,732 122,122 CARPENTER TECHNOLOGY CORP ............... 3,488 45,100 CENTURY ALUMINUM CO ..................... 279 45,644 o CHASE INDUSTRIES, INC ................... 385 187,600 o CITATION CORP ........................... 3,013 64,900 CO STEEL, INC ........................... 559 76,600 COMMONWEALTH INDUSTRIES, INC ............ 958 11,500,000 o COMPANIA SIDERURGICA NACIONAL S.A. ...... 300 52,100 CURTISS WRIGHT CORP ..................... 2,025 1,239,000 DAIDO STEEL CO LTD ...................... 1,965 78,500 []o DANIELI & CO ............................ 478 247,204 DOFASCO, INC ............................ 3,983 125,550 o ENCORE WIRE CORP ........................ 1,138 84,866 ENGELHARD CORP .......................... 1,920 282,129 GENERAL CABLE CORP ...................... 4,514 159,500 o GENERAL HOUSEWARES CORP ................. 3,100 90,270 o GERDAU METALURGICA S.A. ................. 2 101,300 GIBRALTAR STEEL CORP .................... 2,507 52,000 GRANGES AB .............................. 881 51,720 [] HOOGOVENS NEN STAALIADRIEREN NV ......... 2,699 36,860 IMCO RECYCLING, INC ..................... 631 300,800 INTERMET CORP ........................... 4,550 1,021,888 o ISCOR LTD ............................... 320 1,000 o IVACO, INC (CLASS A) .................... 3 127,000 o JAPAN METALS & CHEMICALS CO ............. 216 1,117,000 o JAPAN STEEL WORKS LTD ................... 1,393 158,300 o KAISER ALUMINUN CORP .................... 1,405 3,591,000 KAWASAKI STEEL CORP ..................... 6,705 8,859 o LONE STAR TECHNOLOGIES, INC ............. 157 1,526,400 LTV CORP ................................ 10,208 78,600 MADECO S.A. ADR ......................... 796 1,650,420 MANNESMANN AG. .......................... 246,291 61,300 MATTHEWS INTERNATIONAL CORP (CLASS A) ... 1,816 47,300 o MAVERICK TUBE CORP ...................... 659 49,362 o MAXXAM, INC ............................. 3,184 447,300 o MUELLER INDUSTRIES, INC ................. 15,180 671,450 NATIONAL IRON & STEEL MILLS LTD ......... 1,175 123,400 NATIONAL STEEL CORP (CLASS B) ........... 1,033 1,000 o NIPPON DENKO CO LTD ..................... 1 11,883,000 NIPPON STEEL CORP ....................... 27,587 10,388,200 []o NKK CORP ................................ 8,497 9,046 NKT HOLDINGS AS ......................... 704 58,700 o NS GROUP, INC ........................... 543 408,700 NUCOR CORP .............................. 19,388 20,800 []o OPTICAL CABLE CORP ...................... 229 314,500 OREGON STEEL MILLS, INC ................. 4,187 253,459 PECHINEY S.A. ........................... 10,895 155,050 PRECISION CAST PARTS CORP ............... 6,590 479,702 PREUSSAG AKTIEGESELLSCHAFT AG. .......... 25,775 35,000 o PROMET BERHAD ........................... 2 197,829 QUANEX CORP ............................. 5,638 687,900 RAUTARUUKKI SERIES K .................... 4,164 305,590 REYNOLDS METALS CO ...................... 18,030 80,100 ROANOKE ELECTRIC STEEL CORP ............. 1,392 51,483 ROUGE INDUSTRIES, INC (CLASS A) ......... 502 114,700 []o RTI INTERNATIONAL METALS ................ 1,685 149,337 RYERSON TULL, INC ....................... 3,369 643,101 o SIDERCA S.A. (CLASS A) .................. 843 30,520 #o SILVERSTONE BERHAD ...................... 0 37,100 o SPECIAL METALS CORP ..................... 216 2,700 o STEEL DYNAMICS, INC ..................... 42 266,400 STELCO, INC (CLASS A) ................... 1,962 381,000 SUMITOMO HEAVY INDUSTRIES LTD ........... 850 5,888,000 o SUMITOMO METAL INDUSTRIES LTD ........... 7,345 256,606 [] SUPERIOR TELECOM, INC ................... 6,415 437,050 SVENSKT STAL AB SERIES A (SSAB) ......... 5,475 49,350 SVENSKT STAL AB SERIES B ................ 612 107,971 TEXAS INDUSTRIES, INC ................... 4,184 659,300 o THYSSEN KRUPP AG. ....................... 14,503 9,558 TITAN INTERNATIONAL, INC ................ 114 243,200 [] TITANIUM METALS CORP .................... 2,706 494,900 TOKYO STEEL MANUFACTURING CO LTD ........ 2,600 168,580 TRELLEBORG AB SERIES B FREE ............. 1,487 12,000 TREMONT CORP ............................ 258 254,040 []o USINOR .................................. 3,786 687,414 USX-US STEEL GROUP, INC ................. 18,560 See notes to financial statements. 43 VALUE SHARES (000) ---------- --------- PRIMARY METAL INDUSTRIES--(Continued) 72,500 []o VOEST-ALPINE STAHL AG. .................. $ 2,262 96,300 []o WHX CORP ................................ 632 162,300 o WOLVERINE TUBE, INC ..................... 4,078 426,712 WORTHINGTON INDUSTRIES, INC ............. 7,014 ------------ 878,836 ------------ PRINTING AND PUBLISHING--0.90% 156,545 AMERICAN BUSINESS PRODUCTS, INC ......... 2,387 851,400 AMERICAN GREETINGS CORP (CLASS A) ....... 25,648 20,900 o APPLIED GRAPHICS TECHNOLOGIES, INC ...... 264 477,300 BANTA CORP .............................. 10,023 424,500 BELO (A.H.) CORP SERIES A ............... 8,357 351,800 # BELO (A.H.) CORP SERIES B ............... 6,926 230,904 o BIG FLOWER HOLDINGS, INC ................ 7,360 476,340 BOWNE & CO, INC ......................... 6,192 342,300 CENTRAL NEWSPAPERS, INC (CLASS A) ....... 12,879 66,851 CLONDALKIN GROUP PLC (UNITS) ............ 448 179,900 o CONSOLIDATED GRAPHICS, INC .............. 8,995 31,792 o CSS INDUSTRIES, INC ..................... 894 1,561,662 [] DAI NIPPON PRINTING CO LTD .............. 24,965 124,700 o DAY RUNNER, INC ......................... 1,543 1,077,429 DELUXE CORP ............................. 41,952 85,800 DONNELLEY (R.R.) & SONS CO .............. 3,180 406,300 # DOW JONES & CO, INC (CLASS B) ........... 21,559 1,603,968 ELSEVIER UTIGEVERSMIJ NV ................ 18,609 8,604 ENNIS BUSINESS FORMS, INC ............... 74 153,425 o FRANKLIN COVEY CO ....................... 1,132 161,000 o GAKKEN CO LTD ........................... 293 2,108,330 GANNETT CO, INC ......................... 150,482 218,900 o GIBSON GREETINGS, INC ................... 1,389 13,300 xo GOLDEN BOOKS FAMILY ENTERTAINMENT, INC ..................... 4 476,195 HARLAND (JOHN H.) CO .................... 9,494 412,500 HARTE-HANKS, INC ........................ 11,189 18,800 HOLLINGER INTERNATIONAL, INC ............ 223 43,745 HOUGHTON MIFFLIN CO ..................... 2,059 445,900 INDEPENDENT NEWS & MEDIA PLC ............ 2,138 45,638 o JOURNAL REGISTER CO ..................... 1,027 170,500 [] KNIGHT-RIDDER, INC ...................... 9,367 411,800 LEE ENTERPRISES, INC .................... 12,560 14,400 # LEE ENTERPRISES, INC (CLASS B) .......... 439 15,935 MCCLATCHY CO (CLASS A) .................. 528 1,059,659 MCGRAW HILL COS, INC .................... 57,155 29,400 o MEDIA ARTS GROUP, INC ................... 129 303,513 MEDIA GENERAL, INC (CLASS A) ........... 15,479 175,600 MEREDITH CORP .......................... 6,080 320,900 # MEREDITH CORP (CLASS B) ................. 11,111 54,100 MERRILL CORP ............................ 784 47,300 o METO AG. ................................ 234 180,000 MONDADORI (ARNOLDO) EDITORE S.P.A. ...... 3,119 89,308 MOORE CORP LTD .......................... 751 166,954 MOORE CORP LTD (U.S.) ................... 1,398 20,800 o NASPERS LTD ............................. 125 82,400 NEW ENGLAND BUSINESS SERVICES, INC ...... 2,544 168,000 o NEW STRAITS TIMES PRESS BERHAD .......... 344 960,834 NEW YORK TIMES CO (CLASS A) ............. 35,371 7,007,517 NEWS CORP LTD ........................... 59,787 21,000 o ONE MEDIA CORP LTD ...................... 229 763,800 o ORIENTAL PRESS GROUP .................... 123 7,725 o PAXAR CORP .............................. 70 6,002,140 PEARSON PLC ............................. 121,955 239,519 PENTON MEDIA, INC ....................... 5,808 925,022 o PRIMEDIA, INC ........................... 15,668 500 PULITZER, INC ........................... 24 72,600 QUEBECOR PRINTING, INC .................. 1,562 271,100 QUEBECOR, INC (CLASS B) ................. 6,557 47,527 o R.H. DONNELLEY CORP ..................... 930 297,500 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VOTE) .................. 11,826 3,301,988 REED INTERNATIONAL PLC .................. 22,030 884,100 REYNOLDS & REYNOLDS CO (CLASS A) ........ 20,611 4,565 RURAL PRESS LTD ......................... 16 4,000 SCHAWK, INC (CLASS A) ................... 36 77,000 SCHIBSTED ASA ........................... 866 700,000 o SCHOLASTIC CORP ......................... 35,438 659 o SCIENTIFIC GAMES HOLDINGS CORP .......... 13 331,765 SCRIPPS (E.W.) CO (CLASS A) ............. 15,780 723,846 SINGAPORE PRESS HOLDINGS LTD ............ 12,330 3,562,000 SOUTH CHINA MORNING POST ................ 1,997 103,500 STANDARD REGISTER, INC .................. 3,183 2,060 THOMAS NELSON, INC ...................... 23 1,373,150 THOMSON CORP ............................ 41,284 200 TIMES MIRROR CO SERIES A ................ 12 742,859 # TIMES MIRROR CO SERIES C ................ 44,014 1,054,000 [] TOPPAN PRINTING CO LTD .................. 11,764 1,600 o TOPPS, INC .............................. 12 932,552 TRIBUNE CO .............................. 81,249 298,800 WALLACE COMPUTER SERVICES, INC .......... 7,470 62,900 WASHINGTON POST CO (CLASS B) ............ 33,824 200,076 WILEY (JOHN) & SONS, INC (CLASS A) ...... 3,526 407,972 [] WOLTERS KLUWER NV ....................... 16,241 5,367 o WORKFLOW MANAGEMENT, INC ................ 76 545,648 o WORLD COLOR PRESS, INC .................. 15,005 ------------ 1,130,542 ------------ RAILROAD TRANSPORTATION--0.38% 603,726 BRAMBLES INDUSTRIES LTD ................. 15,904 3,023,844 BURLINGTON NORTHERN SANTA FE CORP ....... 93,739 53,000 CANADIAN NATIONAL RAILWAY CO ............ 3,541 528 CANADIAN NATIONAL RAILWAY CO (U.S.) ..... 35 685,100 CANADIAN PACIFIC LTD .................... 16,201 131,700 CANADIAN PACIFIC LTD (U.S.) (NEW) ....... 3,136 1,326,272 CSX CORP ................................ 60,097 153,501 FLORIDA EAST COAST INDUSTRIES, INC ...... 6,792 1,929,639 [] HANKYU CORP ............................. 7,652 776,200 KANSAS CITY SOUTHERN INDUSTRIES, INC .... 9,531 797,000 [] KEIHIN ELECTRIC EXPRESS RAILWAY ......... 2,634 3,340,203 [] KINKI NIPPON RAILWAY CO LTD ............. 16,419 395,293 [] MAYNE NICKLESS LTD ...................... 1,353 1,744,875 [] NAGOYA RAILROAD CO LTD .................. 5,737 891,010 [] NANKAI ELECTRIC RAILWAY CO .............. 4,130 1,642,000 NIPPON EXPRESS CO LTD ................... 9,835 1,981,636 NORFOLK SOUTHERN CORP ................... 59,697 976,000 ODAKYU ELECTRIC RAILWAY CO LTD .......... 3,266 166,200 PROVIDENCE AND WORCESTER RAILROAD CO .... 2,348 981,382 o RAILTRACK GROUP PLC ..................... 20,064 1,034,000 TOBU RAILWAY CO LTD ..................... 2,930 82,300 o TRANZ RAIL HOLDINGS LTD ................. 140 1,467,831 UNION PACIFIC CORP ...................... 85,593 336,900 o WISCONSIN CENTRAL TRANSIT CORP .......... 6,359 ------------ 477,133 ------------ REAL ESTATE--0.24% 425,100 ARDEN REALTY GROUP, INC ................. 10,468 101,900 o AVATAR HOLDINGS, INC .................... 1,930 51,072,000 BEIJING NORTH STAR CO LTD SERIES H ...... 9,149 1,579,754 BRITISH LAND PLC ........................ 13,210 75,600 BROOKFIELD PROPERTIES CORP .............. 978 134,425 o CASTLE & COOKE, INC ..................... 2,369 353,650 o CATELLUS DEVELOPMENT CORP ............... 5,482 115,600 o CB RICHARD ELLIS SERVICES GROUP, INC .... 2,876 4,918,508 CHEUNG KONG HOLDINGS LTD ................ 43,740 615,551 o CHINESE ESTATES HOLDINGS WTS 11/24/99 ... 40 615,551 o CHINESE ESTATES HOLDINGS WTS 11/24/00 ... 51 3,444,313 o CHINESE ESTATES LTD ..................... 626 1,476,326 CITY DEVELOPMENT LTD .................... 9,452 444,000 [] DAIWA KOSHO LEASE CO LTD ................ 1,944 1,740,800 DBS LAND LTD ............................ 3,476 88,900 DILIGENTIA AB ........................... 690 44 See notes to financial statements. VALUE SHARES (000) ---------- --------- REAL ESTATE--(Continued) 989 o ECHELON INTERNATIONAL CORP .............. $ 22 105,273 o EVERGO CHINA HOLDINGS LTD ............... 2 1,600 o EXCEL LEGACY CORP ....................... 8 238,100 o FAIRFIELD COMMUNITIES, INC .............. 3,839 314,000 o FIRST CAPITAL CORP LTD .................. 489 62,400 FOREST CITY ENTERPRISES, INC (CLASS A) .. 1,747 2,360,260 GENERAL PROPERTY TRUST .................. 3,837 95,800 o GENTRA, INC ............................. 1,029 99,156 o GRUBB & ELLIS CO ........................ 496 595,921 HAMMERSON PLC ........................... 4,429 3,751,500 HANG LUNG DEVELOPMENT CO LTD ............ 4,642 240 HONG KONG LAND HOLDINGS LTD ............. 0 1,521,449 HOPEWELL HOLDINGS LTD ................... 1,157 1,119,384 HYSAN DEVELOPMENT CO LTD ................ 1,688 131,944 o INSIGNIA FINANCIAL GROUP, INC ........... 1,385 102,391 IRSA S.A. ............................... 315 137,900 o JONES LANG LA SALLE ...................... 4,111 389,460 LNR PROPERTY CORP ....................... 8,325 917,000 o MALAYSIAN RESOURCES CORP BERHAD ......... 554 225,200 o MEPC PLC ................................ 1,832 103,237 METROVACESA ............................. 2,022 87,337 o METROVACESA RTS ......................... 85 2,338,000 MITSUBISHI ESTATE CO LTD ................ 22,812 1,981,000 MITSUI FUDOSAN CO LTD ................... 16,039 6,410,936 NEW WORLD DEVELOPMENT CO LTD ............ 19,211 739,000 PARKWAY HOLDINGS LTD .................... 1,823 96,000 PRESTIGE PROPERTY HOLDINGS LTD .......... 6 2,369 o PRICE ENTERPRISES, INC .................. 17 89,696 o RECKSON SERVICES INDUSTRIES, INC ........ 1,357 411,700 ROUSE CO ................................ 10,447 1,925,180 SCHRODERS PROPERTY FUND ................. 2,995 17,700 o SECURITY CAPITAL GROUP, INC (CLASS B) ... 258 500,000 SELANGOR PROPERTIES BERHAD .............. 246 17,797 SIMCO (REGD) ............................ 1,505 8,000,412 SINO LAND CO ............................ 4,589 1,085,018 SLOUGH ESTATES PLC ...................... 6,140 91,500 STEWART ENTERPRISES, INC (CLASS A) ...... 1,332 2,012,472 STOCKLAND TRUST GROUP (UNITS) ........... 4,596 58,571 o STOCKLAND TRUST GROUP (UNITS) (NEW) ..... 132 243,000 STRAITS TRADING CO ...................... 323 5,140,217 SUN HUNG KAI PROPERTIES LTD ............. 46,871 2,443,394 TAI CHEUNG HOLDINGS LTD ................. 724 74,400 o TAK WING INVESTMENT HOLDINGS LTD ........ 5 776,000 []o TOKYO TATEMONO CO LTD ................... 1,795 159,380 o TRAMMELL CROW CO ........................ 2,620 637 o TRIZEC HAHN CORP WTS 07/25/99 ........... 1 35,260 UNIBAIL S.A. ............................ 4,513 601,000 UNITED OVERSEAS LAND LTD ................ 678 101,921 o URBIS S.A. .............................. 1,408 511,796 VALLEHERMOSO S.A. ....................... 4,956 ------------ 305,894 ------------ RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.46% 97,900 [] ADIDAS SALOMON AG. ...................... 9,718 4,700 o AEP INDUSTRIES, INC ..................... 142 299,164 APTARGROUP, INC ......................... 8,975 508,084 ARMSTRONG WORLD INDUSTRIES, INC ......... 29,374 300 BANDAG, INC ............................. 10 118,800 BANDAG, INC (CLASS A) ................... 3,341 1,687,895 [] BRIDGESTONE CORP ........................ 51,038 142,900 CARLISLE COS, INC ....................... 6,877 1,929,324 CONTINENTAL AG. ......................... 45,763 13,200 []o CONVERSE, INC ........................... 48 182,600 COOPER TIRE & RUBBER CO ................. 4,314 140,500 o FOAMEX INTERNATIONAL, INC ............... 782 3,780 FORBO HOLDINGS AG. (REGD) ............... 1,503 221,796 FURON CO ................................ 4,214 858,069 GOODYEAR TIRE & RUBBER CO ............... 50,465 1,279,700 ILLINOIS TOOL WORKS, INC ................ 104,935 611,215 MICHELIN S.A. (CLASS B) ................. 25,006 39,750 [] MIRAI INDUSTRY CO LTD ................... 591 131,576 MYERS INDUSTRIES, INC ................... 2,632 844,200 NIKE, INC (CLASS B) ..................... 53,448 132,000 [] OKAMATO INDUSTRIES, INC ................. 338 4,501,549 [] PIRELLI S.P.A. .......................... 12,256 2,000,000 PIRELLI S.P.A. RISP ..................... 3,960 704,223 PREMARK INTERNATIONAL, INC .............. 26,408 710 o REEBOK INTERNATIONAL LTD ................ 13 1,507,564 o SAFESKIN CORP ........................... 18,091 526,792 o SEALED AIR CORP ......................... 34,176 1,272,980 o SOLUTIA, INC ............................ 27,130 94,000 SPARTECH CORP ........................... 2,973 132,900 []o SYNETIC, INC ............................ 9,137 280,869 TREDEGAR CORP ........................... 6,109 1,182,100 TUPPERWARE CORP ......................... 30,144 46,687 WYNNS INTERNATIONAL, INC ................ 861 550 [] YOKOHAMA RUBBER CO LTD .................. 2 ------------ 574,774 ------------ SECURITY AND COMMODITY BROKERS--1.11% 41,075 ADVEST GROUP, INC ....................... 819 231,485 o AFFILIATED MANAGERS GROUP, INC .......... 6,988 92,700 []o AMERITRADE HOLDINGS CORP (CLASS A) ...... 9,826 1,297,864 BEAR STEARNS COS, INC ................... 60,675 34,300 CONNING CORP ............................ 557 4,829 CPR S.A. ................................ 215 14,500 DAIN RAUSCHER CORP ...................... 785 3,271,000 DAIWA SECURITIES GROUP, INC ............. 21,619 10,800 []o DLJDIRECT ............................... 319 27,000 DONALDSON, LUFKIN & JENRETTE, INC ....... 1,627 69,033 DUFF & PHELPS CREDIT RATING CO .......... 4,617 1,210,788 o E TRADE GROUP, INC ...................... 48,356 355,200 EATON VANCE CORP ........................ 12,232 1,644,392 EDWARDS (A.G.), INC ..................... 53,032 84,200 EVEREN CAPITAL CORP ..................... 2,510 387,500 FEDERATED INVESTMENTS, INC .............. 6,951 1,044,600 FRANKLIN RESOURCES, INC ................. 42,437 205,900 FREEDOM SECURITIES CORP ................. 3,526 84,800 []o FRIEDMAN, BILLINGS, RAMSEY GROUP, INC ... 1,007 145,300 o HAMBRECHT & QUIST GROUP ................. 5,394 138,807 INVESTMENT TECHNOLOGY GROUP, INC ........ 4,494 43,878 INVESTORS FINANCIAL SERVICES CORP ....... 1,755 3,146,400 [] ITOCHU CORP ............................. 7,824 34,500 JEFFERIES GROUP, INC .................... 1,035 20,974 JOHN NUVEEN CO (CLASS A) ................ 895 14,732 LEGG MASON, INC ......................... 567 1,065,039 LEHMAN BROTHERS HOLDINGS, INC ........... 66,299 4,680,900 MARUBENI CORP ........................... 9,784 1,933,642 MERRILL LYNCH & CO, INC ................. 154,571 2,773,000 MITSUBISHI CORP ......................... 18,786 2,629,000 MITSUI & CO LTD ......................... 18,332 658,900 MORGAN KEEGAN, INC ...................... 12,478 3,643,773 MORGAN STANLEY, DEAN WITTER, & CO ....... 373,487 4,961,000 NOMURA SECURITIES CO LTD ................ 58,078 113,200 OM GRUPPEN AB ........................... 1,278 1,256,902 PAINE WEBBER GROUP, INC ................. 58,760 517,000 xo PEREGRINE INVESTMENT HOLDINGS LTD ....... 287 193,306 PHOENIX INVESTMENT PARTNERS LTD ......... 1,667 8,118 o PIONEER GROUP, INC ...................... 140 659,900 PRICE (T. ROWE) ASSOCIATES, INC ......... 25,324 959,456 RAYMOND JAMES FINANCIAL CORP ............ 22,967 2,082,623 SCHWAB (CHARLES) CORP ................... 228,828 131,036 SOUTHWEST SECURITIES GROUP, INC ......... 9,402 19,000 [] UNITED ASSET MANAGEMENT CORP ............ 432 270,200 VALUE LINE, INC ......................... 10,538 446,350 WADDELL & REED FINANCIAL, INC (CLASS A) . 12,247 114,893 WADDELL & REED FINANCIAL, INC (CLASS B) . 3,102 1,901,000 xo YAMAICHI SECURITIES CO LTD .............. 31 ------------ 1,386,880 ------------ See notes to financial statements. 45 VALUE SHARES (000) ---------- --------- SOCIAL SERVICES--0.00% 26,500 o BROOKDALE LIVING COMMUNITIES, INC ............ $ 393 64,100 o CAPITAL SENIOR LIVING CORP ................... 641 55,450 []o RES-CARE, INC ................................ 1,261 91,070 []o SUNRISE ASSISTED LIVING, INC ................. 3,176 ------------ 5,471 ------------ SPECIAL TRADE CONTRACTORS--0.03% 249,600 APOGEE ENTERPRISES, INC ...................... 3,354 129,200 o COMFORT SYSTEMS U.S.A., INC .................. 2,326 214,000 o GROUP MAINTENANCE AMERICA CORP ............... 2,769 72,900 o INTEGRATED ELECTRICAL SERVICES, INC .......... 1,176 462,750 KANDENKO CO LTD .............................. 2,837 405,000 KINDEN CORP .................................. 4,367 222,000 KYUNDENKO CO LTD ............................. 1,269 5,600 o LAYNE CHRISTENSEN CO ......................... 36 77,100 o MATRIX SERVICE CO ............................ 318 93,256 NIPPON KANZAI CO LTD ......................... 2,019 3,095 []xo OMEGA ENVIRONMENTAL, INC ..................... 0 261,377 SCHNEIDER ELECTRIC S.A. ...................... 14,677 2,900 o SERVICE EXPERTS, INC ......................... 64 ------------ 35,212 ------------ STONE, CLAY, AND GLASS PRODUCTS--0.47% 13,934 o ADELAIDE BRIGHTON HOLDINGS LTD ............... 9 3,573 AKER RGI ASA ................................. 44 82,480 AKER RGI ASA SERIES A ........................ 1,121 2,200 AMERON INTERNATIONAL CORP .................... 97 2,154,000 [] ASAHI GLASS CO LTD ........................... 13,970 20,000 o ASANO SLATE CO LTD ........................... 21 2,409,885 o BLUE CIRCLE INDUSTRIES PLC ................... 16,031 4,802,393 [] BORAL LTD .................................... 8,137 1,429,288 o BPB PLC ...................................... 8,471 2,700 CARBO CERAMICS, INC .......................... 82 35,900 CBR NV ....................................... 3,303 400,440 CEMENTIR S.P.A. .............................. 425 58,600 CENTEX CONSTRUCTION PRODUCTS, INC ............ 2,000 114,089 CIMENTOS DE PORTUGAL ......................... 2,941 26,116 o CORCEMAR S.A. ................................ 124 1,187,788 CORNING, INC ................................. 83,294 2,457,175 CRH PLC ...................................... 43,438 95 CRISTALERIA ESPANOLA S.A. .................... 5 1,685,663 [] CSR LTD ...................................... 4,820 153,900 o DAL-TILE INTERNATIONAL, INC .................. 1,751 181,113 o DEPARTMENT 56, INC ........................... 4,867 35,331 o DUPONT PHOTOMASKS, INC ....................... 1,691 406 DYCKERHOFF AG. ............................... 119 85,938 FLORIDA ROCK INDUSTRIES, INC ................. 3,910 151,800 o GIANT CEMENT HOLDINGS, INC ................... 3,472 11,088 [] GLAVERBEL S.A. ............................... 1,043 58 GLAVERBEL STRIP NPV (VVPR) ................... 0 8,047,559 o HANSON PLC ................................... 71,482 86,810 HEIDELBERGER ZEMENT AG. ...................... 7,162 688,316 HEPWORTH PLC ................................. 2,137 14,701 o HOLDERBANK FINANCIERE GLARUS AG. (BR) ........ 17,353 1,352 HOLDERBANK FINANCIERE GLARUS AG. (REGD) ...................................... 430 556,000 HOYA CORP .................................... 31,374 80,719 IMETAL S.A. .................................. 11,987 686,245 [] INAX CORP .................................... 4,190 303,320 [] ITALCEMENTI S.P.A. ........................... 3,848 40,000 ITALCEMENTI S.P.A. (S/S) ..................... 200 1,484,616 JAMES HARDIE INDUSTRIES LTD .................. 3,931 503,318 LAFARGE CORP ................................. 17,836 79,513 LAFARGE S.A. (BR) ............................ 7,561 30,768 # LAFARGE S.A. (REGD) .......................... 2,926 71,000 #o LAFARGE S.A. (REGD) 2001 ..................... 6,751 121,165 LIBBEY, INC .................................. 3,514 3,100 LONE STAR INDUSTRIES, INC .................... 116 672,500 MALAYAN CEMENT BERHAD ........................ 398 1,000 MIKASA, INC .................................. 11 1,013,000 NIPPON SHEET GLASS CO LTD .................... 3,607 169,000 NORITAKE CO LTD .............................. 880 879,658 OWENS CORNING CO ............................. 30,238 702,481 o OWENS ILLINOIS, INC .......................... 22,962 1,569,580 PILKINGTON PLC ............................... 2,152 2,715,346 [] PIONEER INTERNATIONAL LTD .................... 6,920 334,569 PORTLAND HOLDINGS LTD ........................ 74 2,100 PUERTO RICAN CEMENT CO, INC .................. 70 402,426 RMC GROUP PLC ................................ 6,480 29,000 RUGBY GROUP PLC .............................. 52 469 EUROC INDUSTRIA AB SERIES A .................. 21 314,341 SOUTHDOWN, INC ............................... 20,196 238,680 o ST. GOBAIN S.A. .............................. 38,030 1,422,687 SUMITOMO OSAKA CEMENT CO LTD ................. 2,762 873,200 [] TAIHEIYO CEMENT CORP ......................... 2,503 7,460,141 o TARMAC PLC ................................... 13,994 595,500 [] TOTO LTD ..................................... 4,600 516,600 USG CORP ..................................... 28,930 396,000 VIDRALA S.A. ................................. 3,455 74,720 [] WIENERBERGER BAUSTOFF AG. .................... 1,935 ------------ 588,254 ------------ TEXTILE MILL PRODUCTS--0.08% 393,728 o ALBANY INTERNATIONAL CORP (CLASS A) ................................... 8,170 1,860,426 BBA GROUP PLC ................................ 14,252 6,375 o BURLINGTON INDUSTRIES, INC ................... 58 14,274 o CHARGEURS S.A. ............................... 795 2,996,098 COATS VIYELLA PLC ............................ 2,385 256,349 COLLINS & AIKMAN CORP ........................ 1,955 6,246 o CONE MILLS CORP .............................. 37 226,830 COURTAULDS TEXTILES PLC ...................... 590 1,900 CULP, INC .................................... 20 167,610 o DAN RIVER, INC (CLASS A) ..................... 1,236 107,838 FAB INDUSTRIES, INC .......................... 1,665 15,075 o GALEY & LORD, INC ............................ 66 85,435 GUILFORD MILLS, INC .......................... 886 453,500 INTERFACE, INC (CLASS A) ..................... 3,911 255,000 o KANEBO LTD ................................... 417 883,000 [] KURABO INDUSTRIES LTD ........................ 1,182 3,900 LENZING AG. .................................. 221 121,500 MARZOTTO & FIGLI S.P.A. ...................... 945 384,000 MITSUBISHI RAYON CO LTD ...................... 1,095 530,131 o MOHAWK INDUSTRIES, INC ....................... 16,103 846,000 NISSHINBO INDUSTRY, INC ...................... 3,851 217,100 o POLYMER GROUP, INC ........................... 2,551 1,300 o QUAKER FABRIC CORP ........................... 5 56,900 RUSSELL CORP ................................. 1,110 828,700 o SHAW INDUSTRIES, INC ......................... 13,674 70,673 SPRING INDUSTRIES, INC ....................... 3,083 1,200 ST. JOHN KNITS, INC .......................... 35 419,000 TOYOBO CO LTD ................................ 633 28,300 o TULTEX CORP .................................. 21 152,125 o UNIFI, INC ................................... 3,233 639,100 WESTPOINT STEVENS, INC ....................... 19,053 ------------ 103,238 ------------ TOBACCO PRODUCTS--0.78% 3,862,798 BRITISH AMERICAN TOBACCO PLC ................. 36,320 2,550,000 GALLAHER GROUP PLC ........................... 15,727 62,140 o GENERAL CIGAR HOLDINGS, INC (CLASS A) ........ 485 1,015,200 IMASCO LTD ................................... 27,230 24,928 NOBLEZA-PICCARDO S.A. (CLASS B) .............. 82 18,980,639 PHILIP MORRIS COS, INC ....................... 762,784 781,198 o RJR REYNOLDS TOBACCO HOLDINGS, INC ........... 24,608 213,309 [] ROTHMANS HOLDINGS LTD ........................ 2,030 327,300 o ROTHMANS OF PALL MALL BERHAD ................. 2,230 105,073 SEITA S.A. ................................... 6,068 46 See notes to financial statements. VALUE SHARES (000) ---------- --------- TOBACCO PRODUCTS--(Continued) 63,878 SOUZA CRUZ S.A. .............................. $ 449 3,332,400 TABACALERA S.A. SERIES A (REGD) .............. 67,359 1,114,217 UST, INC ..................................... 32,591 ------------ 977,963 ------------ TRANSPORTATION BY AIR--0.48% 515,300 o AIR CANADA, INC .............................. 2,159 172,400 AIR NEW ZEALAND LTD (CLASS B) ................ 356 237,300 AIRBORNE FREIGHT CORP ........................ 6,570 5,113 o AIRNET SYSTEMS, INC .......................... 69 76,600 o AIRTRAN HOLDINGS, INC ........................ 440 229,329 o ALASKA AIR GROUP, INC ........................ 9,574 2,247,200 [] ALITALIA S.P.A. .............................. 5,840 1,170 []o ALL NIPPON AIRWAYS CO LTD .................... 4 389,280 o AMERICA WEST HOLDINGS CORP (CLASS B) ......... 7,348 947,663 o AMR CORP ..................................... 64,678 40,500 o ATLANTIC COAST AIRLINES HOLDINGS ............. 770 91,600 o ATLAS AIR, INC ............................... 2,954 30,069 AUSTRIAN AIRLINES/OEST LUFTV AG. ............. 726 114,288 o AVIALL, INC .................................. 2,150 2,654,072 BRITISH AIRPORT AUTHORITIES PLC .............. 25,520 1,763,940 BRITISH AIRWAYS PLC .......................... 12,172 200 o CANADIAN AIRLINES CORP ....................... 0 6,522,800 CATHAY PACIFIC AIRWAYS LTD ................... 10,004 1,370,400 COMAIR HOLDINGS, INC ......................... 28,521 624,400 o CONTINENTAL AIRLINES, INC (CLASS B) .......... 23,493 1,185,786 DELTA AIRLINES, INC .......................... 68,331 1,034,690 DEUTSCHE LUFTHANSA AG. (REGD) ................ 18,759 1,908,862 o FDX CORP ..................................... 103,556 21,907 FLUGHAFEN WIEN AG. ........................... 919 21,800 o HELICOPTER SERVICES GROUP ASA ................ 162 64,900 HONG KONG AIRCRAFT ENGINEERING CO LTD ........ 125 2,998,400 [] JAPAN AIRLINES CO LTD ........................ 9,909 30,800 o KITTY HAWK, INC .............................. 243 105,083 o KLM (ROYAL DUTCH AIRLINES) NV ................ 2,975 210,500 LINEA AEREA NACIONAL CHILE S.A. ADR .......... 1,513 582,000 o MALAYSIAN AIRLINE SYSTEM BERHAD .............. 717 334,100 o MESA AIR GROUP, INC .......................... 2,511 2,700 o MESABA HOLDINGS, INC ......................... 34 89,559 o MIDWEST EXPRESS HOLDINGS, INC ................ 3,045 252,900 o NORTHWEST AIRLINES CORP (CLASS A) ............ 8,219 305,000 o OFFSHORE LOGISTICS, INC ...................... 3,393 240,588 OGDEN CORP ................................... 6,481 315,505 PITTSTON BAX GROUP ........................... 2,997 280,900 o RYANAIR HOLDINGS PLC ......................... 2,911 327,300 o RYANAIR HOLDINGS PLC ADR ..................... 17,347 22,100 SAIRGROUP .................................... 4,627 65,388 [] SAS DANMARK AS ............................... 682 53,000 SAS NORGE ASA SERIES B ....................... 481 2,135,000 o SINGAPORE INTERNATIONAL AIRLINES LTD (FR) ........................... 20,315 76,200 SKYWEST, INC ................................. 1,900 2,407,435 SOUTHWEST AIRLINES CO ........................ 74,931 2,928,200 SWIRE PACIFIC LTD (CLASS A) .................. 14,492 79,300 []o TRANS WORLD AIRLINES, INC .................... 392 598,200 o U.S. AIRWAYS GROUP, INC ...................... 26,059 57,167 o UAL CORP ..................................... 3,716 ------------ 605,090 ------------ TRANSPORTATION EQUIPMENT--3.61% 4,500 o AFTERMARKET TECHNOLOGY CORP .................. 51 9,400,829 ALLIED SIGNAL, INC ........................... 592,252 260,300 ARCTIC CAT, INC .............................. 2,326 117,700 ARVIN INDUSTRIES, INC ........................ 4,458 779,649 AUTOLIV, INC ................................. 23,584 5,200 o AVONDALE INDUSTRIES, INC ..................... 203 160,798 o BE AEROSPACE, INC ............................ 3,005 6,924,007 BOEING CO .................................... 305,955 24,000 BOMBARDIER, INC (CLASS A) .................... 362 1,562,904 BOMBARDIER, INC (CLASS B) .................... 23,759 283,900 BORG-WARNER AUTOMOTIVE, INC .................. 15,615 13,100 []o BREED TECHNOLOGIES, INC ...................... 29 6,000 xo BREMER VULKAN AG. ............................ 5 4,151,580 BRITISH AEROSPACE PLC ........................ 26,945 7,134 o BRITISH AEROSPACE PLC WTS 11/15/00 ........... 125 269,400 CAE, INC ..................................... 1,602 214,750 CLARCOR, INC ................................. 4,121 8,600 COACHMEN INDUSTRIES, INC ..................... 200 101,600 COBHAM GROUP PLC ............................. 1,609 161,950 COMMERCIAL INTERTECH CORP .................... 2,581 620,684 CORDANT TECHNOLOGIES, INC .................... 28,047 429,000 CYCLE & CARRIAGE LTD ......................... 2,469 1,138,930 DAIMLERCHRYSLER AG. .......................... 98,665 1,389,627 DAIMLERCHRYSLER (U.S.A.) ..................... 123,503 1,035,934 DANA CORP .................................... 47,718 472,678 DANAHER CORP ................................. 27,474 86,822 o DELCO REMY INTERNATIONAL , INC (CLASS A) ..... 955 3,571,834 DELPHI AUTOMOTIVE SYSTEMS CORP ............... 66,302 1,190,400 DENSO CORP ................................... 24,193 105,695 o DUCOMMUN, INC ................................ 1,262 715,734 EATON CORP ................................... 65,848 133,900 EXEDY CORP ................................... 1,228 23,914 FEDERAL SIGNAL CORP .......................... 507 392,323 FEDERAL-MOGUL CORP ........................... 20,401 6,521,918 []o FIAT S.P.A. .................................. 20,649 296,997 o FIAT S.P.A. DI RISP .......................... 507 366,667 []o FIAT S.P.A. (PRIV) ........................... 588 131,500 FLEETWOOD ENTERPRISES, INC ................... 3,477 7,306,893 FORD MOTOR CO ................................ 412,383 551,224 GENCORP, INC ................................. 13,918 1,582,900 GENERAL DYNAMICS CORP ........................ 108,429 4,349,843 GENERAL MOTORS CORP .......................... 287,090 1,941,594 o GENERAL MOTORS CORP (CLASS H) ................ 109,215 5,600 GENTEK, INC .................................. 78 843,300 o GENTEX CORP .................................. 23,612 1,036,050 GOODRICH (B.F.) CO ........................... 44,032 32,327 GREENBRIER COS, INC .......................... 339 739,074 o GULFSTREAM AEROSPACE CORP .................... 49,934 224,935 o HALTER MARINE GROUP, INC ..................... 1,490 1,169,800 HARLEY DAVIDSON, INC ......................... 63,608 81,720 o HAYES LEMMERZ INTERNATIONAL, INC ............. 2,401 1,973 HEICO CORP ................................... 49 5,550 HEICO CORP (CLASS A) ......................... 135 2,715,000 [] HONDA MOTOR CO LTD ........................... 115,069 165,132 o HOWMET INTERNATIONAL, INC .................... 2,838 1,225 HUFFY CORP ................................... 17 226,000 INCHAPE MOTORS ............................... 364 214,636 ITT INDUSTRIES, INC .......................... 8,183 125,300 KAMAN CORP (CLASS A) ......................... 1,966 1,454,000 KAWASAKI HEAVY INDUSTRIES LTD ................ 3,940 79,000 o KELLSTROM INDUSTRIES, INC .................... 1,442 67,669 []o KVAERNER INDUSTRIER AS SERIES A .............. 1,392 5,509 o KVAERNER INDUSTRIER AS SERIES B .............. 87 483,159 LAIRD GROUP PLC .............................. 2,011 1,867,662 LOCKHEED MARTIN CORP ......................... 69,570 193,300 MAGNA INTERNATIONAL, INC ..................... 10,885 432,700 o MAN AG. (STAMM) .............................. 14,771 312,600 MASCOTECH, INC ............................... 5,295 3,061,613 MERITOR AUTOMOTIVE, INC ...................... 78,071 6,450 o MILLER INDUSTRIES, INC ....................... 25 2,832,000 o MITSUI ENGINEERING & SHIP BUILDING CO LTD ............................. 3,205 115,170 MODINE MANUFACTURING CO ...................... 3,750 189,750 o MONACO COACH CORP ............................ 8,029 49,400 o MOTIVEPOWER INDUSTRIES, INC .................. 889 97,200 o NATIONAL R.V. HOLDINGS, INC .................. 2,357 738,235 o NAVISTAR INTERNATIONAL CORP .................. 36,912 803 NEWPORT NEWS SHIPBUILDING, INC ............... 24 See notes to financial statements. 47 VALUE SHARES (000) ---------- --------- TRANSPORTATION EQUIPMENT--(Continued) 73,000 NIPPON SHARYO LTD ............................ $ 235 45,077,000 [] NISSAN MOTOR CO LTD .......................... 215,255 505,575 NORTHROP GRUMMAN CORP ........................ 33,526 32,800 o OEA, INC ..................................... 291 8,517 o ORBITAL SCIENCES CORP ........................ 201 1,005,000 ORIENT CORP .................................. 2,923 896,800 PACCAR, INC .................................. 47,867 164,406 PEUGEOT S.A. ................................. 25,941 361,993 POLARIS INDUSTRIES, INC ...................... 15,747 265,200 REGAL-BELOIT CORP ............................ 6,265 1,264,900 []o RENAULT S.A. ................................. 55,050 16,900 RHEINMETALL AG. .............................. 366 5,751,438 ROLLS ROYCE LTD .............................. 24,342 413,000 SANDEN CORP .................................. 3,293 13,779 o SEQUA CORP (CLASS A) ......................... 965 233,900 SHIMANO, INC ................................. 5,536 1,093,800 SIEMENS AG. .................................. 84,377 275,475 SIMPSON INDUSTRIES, INC ...................... 2,824 252,050 SMITH (A.O.) CORP ............................ 7,057 357,737 SMITHS INDUSTRIES PLC ........................ 4,725 98,200 o SPAR AEROSPACE LTD ........................... 604 150,350 SPARTAN MOTORS, INC .......................... 865 38,970 o SPX CORP ..................................... 3,254 64,963 STANDARD MOTOR PRODUCTS, INC (CLASS A) ....... 1,592 61,343 STANDARD PRODUCTS CO ......................... 1,572 115,285 o STONERIDGE, INC .............................. 1,556 30,194 o STRATTEC SECURITY CORP ....................... 1,019 22,100 SUPERIOR INDUSTRIES INTERNATIONAL, INC ....... 604 149,000 SUZUKI MOTOR CORP ............................ 2,370 806,397 TEXTRON, INC ................................. 66,377 418,622 o THOMSON-CSF .................................. 14,549 21,056 THOR INDUSTRIES, INC ......................... 597 1,508,131 TI GROUP PLC ................................. 10,103 7,602,880 [] TOYOTA MOTOR CORP ............................ 240,573 121,300 TRANSPRO, INC ................................ 637 694,600 TRINITY INDUSTRIES, INC ...................... 23,269 166,100 o TRISTAR AEROSPACE CO ......................... 1,370 104,130 o TRIUMPH GROUP, INC ........................... 2,655 575,771 TRW, INC ..................................... 31,595 1,223,000 o UMW HOLDINGS BERHAD .......................... 2,478 6,161,578 UNITED TECHNOLOGIES CORP ..................... 441,708 270,370 []o VALEO S.A. ................................... 22,307 273,700 VARLEN CORP .................................. 11,085 755,740 VOLKSWAGEN AG. ............................... 48,400 51,680 VOLVO AB SERIES A ............................ 1,489 972,070 VOLVO AB SERIES B FREE ....................... 28,183 13,050 WABASH NATIONAL CORP ......................... 253 50,500 WESTINGHOUSE AIR BRAKE CO .................... 1,310 133,896 WINNEBAGO INDUSTRIES, INC .................... 3,013 ------------ 4,532,558 ------------ TRANSPORTATION SERVICES--0.07% 8,993 AIR EXPRESS INTERNATIONAL CORP ............... 228 2,200 o AMBASSADORS INTERNATIONAL, INC ............... 33 71,900 o BIDVEST GROUP LTD ............................ 601 56,900 C.H. ROBINSON WORLDWIDE, INC ................. 2,091 84,450 CIRCLE INTERNATIONAL GROUP, INC .............. 1,847 43,800 o EAGLE U.S.A. AIRFREIGHT, INC ................. 1,859 443,800 EXPEDITORS INTERNATIONAL OF WASHINGTON .............................. 12,094 44,300 o FRITZ COS, INC ............................... 476 784,300 GALILEO INTERNATIONAL, INC ................... 41,911 669,300 GATX CORP .................................... 25,475 208 KUONI REISEN HOLDINGS (CLASS B) (REGD) ....... 802 2,400 o LAURITZEN J. HOLDINGS (CLASS B) .............. 255 5,775 o NAVIGANT INTERNATIONAL, INC .................. 45 1,136 []o NEW WORLD INFRASTUCTURE LTD .................. 2 80,000 o TRAVEL SERVICES INTERNATIONAL, INC ........... 960 108,800 o U.S. EXPRESS ENTERPRISES, INC (CLASS A) ...... 1,163 ------------ 89,842 ------------ TRUCKING AND WAREHOUSING--0.15% 348,700 o AMERICAN FREIGHTWAYS CORP .................... 6,821 333,500 ARNOLD INDUSTRIES, INC ....................... 5,148 164,000 CNF TRANSPORTATION, INC ...................... 6,294 338,050 o CONSOLIDATED FREIGHTWAYS CORP ................ 4,342 169,000 CONTAINER CORP OF INDIA ...................... 729 110,200 o COVENANT TRANSPORT, INC (CLASS A) ............ 1,736 9,100 o DISPATCH MANAGEMENT SERVICES CORP ............ 25 134,207 o HEARTLAND EXPRESS, INC ....................... 2,198 324,950 HUNT (J.B.) TRANSPORT SERVICES, INC .......... 5,280 46,500 o IRON MOUNTAIN, INC ........................... 1,331 94,800 o KNIGHT TRANSPORTATION, INC ................... 2,026 187,894 o LANDSTAR SYSTEM, INC ......................... 6,782 155,700 o M.S. CARRIERS, INC ........................... 4,617 412,000 MITSUBISHI LOGISTICS CORP .................... 4,633 91,000 MITSUI SOKO CO LTD ........................... 302 67,010 o PIERCE LEAHY CORP ............................ 1,654 295,150 ROADWAY EXPRESS, INC ......................... 5,719 453,000 [] SEINO TRANSPORTATION CO LTD .................. 2,695 527,175 o SWIFT TRANSPORTATION CO, INC ................. 11,598 1,357,918 TNT POST GROUP NV ............................ 32,420 467,300 USFREIGHTWAYS CORP ........................... 21,642 152,590 WERNER ENTERPRISES, INC ...................... 3,166 2,919,878 [] YAMATO TRANSPORT CO LTD ...................... 50,900 433,200 o YELLOW CORP .................................. 7,689 ------------ 189,747 ------------ WATER TRANSPORTATION--0.20% 263,134 ALEXANDER & BALDWIN, INC ..................... 5,855 2,200 o AMERICAN CLASSIC VOYAGES CO .................. 53 55,900 ASKO OYJ SERIES A ............................ 911 72,400 BERGESEN AS SERIES A ......................... 1,067 170,200 o BERGESEN D.Y. AS (CLASS B) ................... 2,411 2,010,700 CARNIVAL CORP (CLASS A) ...................... 97,519 15,200 CMB CIE MARITIME BELGE S.A. .................. 643 2,017 o DAMPSKIBSSELSKABET AF 1912 (CLASS B) ......... 17,893 2,208 o DAMPSKIBSSELSKABET SVENDBORG (CLASS B) .................................. 27,354 26,800 FINNLINES OY ................................. 696 14,800 o GULFMARK OFFSHORE, INC ....................... 281 56,700 [] oHVIDE MARINE, INC (CLASS A) ................. 122 48,000 IRISH CONTINENTAL GROUP PLC .................. 614 584,000 KAMIGUMI CO LTD .............................. 2,996 387,025 KAWASAKI KISEN KAISHA LTD .................... 835 63,972 o KIRBY CORP ................................... 1,355 28,500 KONINKLIJKE NEDLLOYD GROEP NV ................ 705 34,400 LEIF HOEGH & CO .............................. 437 1,788,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) ............................ 2,945 110,800 MALAYSIAN INTERNATIONAL SHIPPING CO (LR) ........................... 180 63,550 o MARINE TRANSPORT CORP ........................ 226 3,234,526 MITSUI OSK LINES LTD ......................... 6,948 300,168 []o NCL HOLDINGS AS .............................. 1,003 1,585,100 o NEPTUNE ORIENT LINES LTD ..................... 1,937 2,439,800 NIPPON YUSEN KABUSHIKI KAISHA ................ 9,393 204,630 o OCEAN GROUP PLC .............................. 3,371 358,800 o OMI CORP ..................................... 740 286,660 OVERSEAS SHIPHOLDING GROUP, INC .............. 3,691 1,558,663 o PENINSULAR & ORIENTAL STEAM NAVIGATION CO .............................. 23,402 13,300 o SEACOR SMIT, INC ............................. 712 1,189,900 TIDEWATER, INC ............................... 36,292 211,450 TRANSPORT DEVELOPMENT GROUP PLC .............. 762 3,300 o TRICO MARINE SERVICES, INC ................... 22 20,400 UNITOR AS .................................... 176 ------------ 253,547 ------------ 48 See notes to financial statements. VALUE SHARES (000) ---------- --------- WHOLESALE TRADE-DURABLE GOODS--0.15% 140,325 AAR CORP ..................................... $ 3,184 59,200 []o ACTION PERFORMANCE COS, INC .................. 1,954 102,600 o ANICOM, INC .................................. 1,077 165,246 o ANIXTER INTERNATIONAL, INC ................... 3,016 234,911 APPLIED INDUSTRIAL TECHNOLOGIES, INC ......... 4,463 155,700 []o APS HOLDINGS CORP ............................ 9 595,764 o ARROW ELECTRONICS, INC ....................... 11,320 3,600 o AVIATION SALES CO ............................ 142 8,000 AVNET, INC ................................... 372 14,862 BELL INDUSTRIES, INC ......................... 66 38,533 xo BEN FRANKLIN RETAIL STORES, INC .............. 1 200,191 BRIGGS & STRATTON CORP ....................... 11,561 409,650 o BRIGHTPOINT, INC ............................. 2,484 1,175 CANON SALES CO, INC .......................... 18 48,274 CASTLE (A.M.) & CO ........................... 821 512,900 o CELLSTAR CORP ................................ 4,039 185,500 []o CHS ELECTRONICS, INC ......................... 812 188,321 COMMERCIAL METALS CO ......................... 5,367 7,200 o COMPUCOM SYSTEMS, INC ........................ 30 51,000 o CREAN (JAMES) PLC (UNITS) .................... 60 122,430 DE BEERS CENTENARY AG. (UNITS) ............... 2,934 8,500 DIETEREN S.A. ................................ 3,926 593 o DURA AUTOMOTIVE SYSTEMS, INC ................. 20 100,000 o EDARAN OTOMOBIL NASIONAL BERHAD .............. 336 102 o EKCO GROUP, INC .............................. 0 2,103 o FAIRCHILD CORP (CLASS A) ..................... 27 74,900 o FISHER SCIENTIFIC INTERNATIONAL, INC ......... 1,671 119,800 o FOSTER (LB) CO (CLASS A) ..................... 704 1,050 FUJI DENKI REIKI CO LTD ...................... 5 437,100 GENUINE PARTS CO ............................. 15,299 11,300 o GRAHAM-FIELD HEALTH PRODUCTS, INC ............ 17 93,400 GRAINGER (W.W.), INC ......................... 5,026 9,950 o HA-LO INDUSTRIES, INC ........................ 98 315,484 o HANDLEMAN CO ................................. 3,727 1,500 o HIRSCH INTERNATIONAL CORP (CLASS A) .......... 3 239,900 HUGHES SUPPLY, INC ........................... 7,122 876,400 IKON OFFICE SOLUTIONS, INC ................... 13,146 332,550 o INGRAM MICRO, INC (CLASS A) .................. 8,563 35,590 INSTRUMENTARIUM GROUP SERIES B FREE .......... 1,450 20,100 o JLK DIRECT DISTRIBUTION, INC (CLASS A) ....... 187 1,100 o KENT ELECTRONICS CORP ........................ 22 400 o KEYSTONE AUTOMOTIVE INDUSTRIES, INC .......... 7 96,900 LAWSON PRODUCTS, INC ......................... 2,441 900 o MARSHALL INDUSTRIES, INC ..................... 32 374,400 o MERISEL, INC ................................. 854 26,300 o METAL MANAGEMENT, INC ........................ 39 269,055 METRO CASH & CARRY LTD ....................... 223 360,100 o MICROAGE, INC ................................ 1,373 24,383 o MSC INDUSTRIAL DIRECT CO (CLASS A) ........... 250 245,837 o NATIONAL-OILWELL, INC ........................ 3,442 344,914 OWENS & MINOR, INC ........................... 3,794 4,568,800 PACIFIC DUNLOP LTD ........................... 6,593 175,475 o PATTERSON DENTAL CO .......................... 6,098 77,472 o PEC ISRAEL ECONOMIC CORP ..................... 2,440 900 PIONEER-STANDARD ELECTRONICS, INC ............ 11 35,900 o POMEROY COMPUTER RESOURCES, INC .............. 500 6,975 o PSS WORLD MEDICAL, INC ....................... 78 51,800 RELIANCE STEEL & ALUMINUM CO ................. 2,020 67,397 REUNERT LTD .................................. 95 62,400 []o SAFEGUARD SCIENTIFICS, INC ................... 3,869 151,000 SANRIO CO LTD ................................ 5,140 14,500 o SODAK GAMING, INC ............................ 136 1,176,000 TAN CHONG INTERNATIONAL LTD .................. 288 68,250 o TBC CORP ..................................... 482 165,800 o TECH DATA CORP ............................... 6,342 652,000 TERUMO CORP .................................. 14,517 86,100 o VWR SCIENTIFIC PRODUCTS CORP ................. 3,159 26,200 WATSCO, INC .................................. 429 5,740 WESCO FINANCIAL CORP ......................... 1,779 10,000 o WILMAR INDUSTRIES, INC ....................... 130 ------------ 181,640 ------------ WHOLESALE TRADE-NONDURABLE GOODS--0.76% 2,000 o 800-JR CIGAR, INC ............................ 25 12,600 o AIRGAS, INC .................................. 154 70,000 o AMERICAN DRUG CO ............................. 22 70,000 o AMERICAN DRUG CO WTS 08/05/00 ................ 2 353,200 o AMERISOURCE HEALTH CORP (CLASS A) ............ 9,007 94,000 AUSTRIA TABAKWERKE AG. ....................... 5,477 295,600 o AVATEX CORP .................................. 333 24,260 o BARNETT RESOURCES CORP ....................... 931 1,515,954 BERGEN BRUNSWIG CORP (CLASS A) ............... 26,150 143,820 BINDLEY WESTERN INDUSTRIES, INC .............. 3,317 108,200 o BOISE CASCADE OFFICE PRODUCTS CORP ........... 1,271 5,825,386 CARDINAL HEALTH, INC ......................... 373,512 174,300 o CENTRAL GARDEN & PET CO ...................... 1,787 36,100 CHEMED CORP .................................. 1,200 69,500 o DAISYTEK INTERNATIONAL CORP .................. 1,134 493,328 [] DIMON, INC ................................... 2,559 2,099,683 ENRON CORP ................................... 171,649 550,327 o ERCROS S.A. .................................. 448 190,950 o ERCROS S.A. (NEW) ............................ 156 47,300 ESSELTE AB SERIES B FREE ..................... 490 326,909 F.H. FAULDING & CO LTD ....................... 1,991 660,057 FORTUNE BRANDS, INC .......................... 27,310 477,141 FYFFES PLC ................................... 1,033 434,038 o GETTY PETROLEUM MARKETING, INC ............... 1,302 7,183 HERBALIFE INTERNATIONAL, INC (CLASS A) ....... 79 6,066 [] HERBALIFE INTERNATIONAL, INC (CLASS B) ....... 52 9,950 o HERLITZ AG. .................................. 298 56,600 HUNT CORP .................................... 467 1,400,000 IMPERIAL TOBACCO GROUP PLC ................... 15,271 312,700 INTERNATIONAL MULTIFOODS CORP ................ 7,055 420,000 IWATANI & CO LTD ............................. 999 31,100 o KENNETH COLE PRODUCTIONS, INC ................ 867 161,000 [] KOKUYO CO LTD ................................ 2,594 7,256 LOBLAW COS LTD ............................... 183 2,703,000 MCKESSON HBOC, INC ........................... 86,834 422,000 NAGASE & CO .................................. 2,005 25,000 NASH FINCH CO ................................ 252 206,462 o NU SKIN ENTERPRISES, INC (CLASS A) ........... 4,116 97,600 o PERFORMANCE FOOD GROUP CO .................... 2,654 35,571 o PLAINS RESOURCES, INC ........................ 676 96,207 o PRIORITY HEALTHCARE CORP (CLASS A) ........... 3,319 29,400 o PRIORITY HEALTHCARE CORP (CLASS B) ........... 1,014 418,562 RICHFOOD HOLDINGS, INC ....................... 7,377 6,273 o SCHOOL SPECIALTY, INC ........................ 101 582,750 o SCIOS, INC ................................... 1,894 255,000 o SKW TROSTBERG AG. ............................ 5,812 54,500 o SMART & FINAL, INC ........................... 572 221,823 SOBEYS, INC .................................. 2,585 151,636 STANDARD COMMERCIAL CORP ..................... 891 1,749,619 SUPERVALU, INC ............................... 44,943 3,200,361 SWEDISH MATCH CO ............................. 11,406 13,700 o SYNCOR INTERNATIONAL CORP .................... 493 2,176,700 SYSCO CORP ................................... 64,893 13,000 TERRA INDUSTRIES, INC ........................ 52 122,700 o U.S.A. FLORAL PRODUCTS, INC .................. 928 1,054,900 UNISOURCE WORLDWIDE, INC ..................... 12,725 11,600 o UNITED NATURAL FOODS, INC .................... 287 415,696 o UNITED STATIONERS, INC ....................... 9,145 213,596 UNIVERSAL CORP ............................... 6,074 1,600 URALITA S.A. ................................. 13 33,446 VALHI, INC ................................... 372 110,608 WEIDER NUTRITION INTERNATIONAL, INC .......... 456 419,600 WESTON (GEORGE) LTD .......................... 18,427 1,226 WORLD FUEL SERVICES CORP ..................... 18 ------------ 949,459 TOTAL COMMON STOCK (COST $67,667,053) ......................... $123,863,950 ------------ See notes to financial statements. 49 VALUE PRINCIPAL (000) ---------- --------- SHORT TERM INVESTMENTS--2.42% CERTIFICATES OF DEPOSIT--0.04% BANK OF NOVA SCOTIA $10,000,000 * 5.590%, 08/24/99 ........................... $ 10,001 CHASE MANHATTAN BANK 10,000,000 * 5.685%, 08/03/99 ........................... 10,002 TORONTO DOMINION BANK 20,000,000 * 5.650%, 07/09/99 ........................... 19,999 WACHOVIA BANK, NATIONAL ASSOCIATION 15,000,000 5.000%, 09/01/99 ........................... 14,991 ------------ 54,993 ------------ COMMERCIAL PAPER--1.96% ABN AMRO NORTH AMERICA FINANCE, INC 15,600,000 4.990%, 09/02/99 ........................... 15,455 25,000,000 * 4.850%, 12/01/99 ........................... 24,426 AMERICAN EXPRESS CREDIT CORP 11,871,000 4.750%, 07/20/99 ........................... 11,837 AMERICAN HOME PRODUCTS 30,000,000 ~ 4.880%, 07/08/99 ........................... 29,965 ASSET SECURITIZATION COOP CORP 25,000,000 ~ 4.900%, 07/21/99 ........................... 24,924 10,000,000 *~ 4.910%, 07/21/99 ........................... 9,970 45,000,000 *~ 4.920%, 08/02/99 ........................... 44,785 20,400,000 ~ 5.150%, 08/12/99 ........................... 20,273 ASSOCIATES CORP OF NORTH AMERICA 14,932,000 4.850%, 08/10/99 ........................... 14,843 BANC ONE CORP 25,000,000 4.850%, 07/28/99 ........................... 24,899 BEAR STEARNS CO, INC 45,000,000 *~ 4.820%, 07/06/99 ........................... 44,957 BETA FINANCE, INC 13,000,000 ~ 4.880%, 08/23/99 ........................... 12,898 10,000,000 ~ 5.000%, 09/13/99 ........................... 9,891 CARGILL, INC 50,000,000 ~ 5.700%, 07/01/99 ........................... 49,992 CARGILL GLOBAL 50,000,000 ~ 5.700%, 07/01/99 ........................... 49,992 CATERPILLAR FINANCIAL SERVICES CORP 14,000,000 4.790%, 07/08/99 ........................... 13,984 10,800,000 4.940%, 08/26/99 ........................... 10,710 COCA COLA ENTERPRISES, INC 40,000,000 *~ 4.890%, 07/21/99 ........................... 39,875 COLGATE-PALMOLIVE CO 28,400,000 ~ 4.920%, 08/02/99 ........................... 28,264 COOPER INDUSTRIES, INC 75,000,000 5.600%, 07/01/99 ........................... 74,988 CORPORATE ASSET FUNDING CORP, INC 24,888,000 ~ 4.810%, 07/09/99 ........................... 24,855 58,000,000 *~ 4.810%, 07/12/99 ........................... 57,899 10,000,000 ~ 5.120%, 08/09/99 ........................... 9,942 COX COMMUNICATIONS, INC 13,500,000 ~ 5.050%, 07/20/99 ........................... 13,460 32,983,000 *~ 5.100%, 07/27/99 ........................... 32,849 CROWN CORK & SEAL CO, INC 9,000,000 ~ 5.050%, 07/06/99 ........................... 8,991 23,942,000 ~ 5.000%, 07/07/99 ........................... 23,914 14,548,000 ~ 5.050%, 07/09/99 ........................... 14,528 12,945,000 ~ 5.050%, 07/12/99 ........................... 12,921 5,889,000 ~ 5.100%, 07/20/99 ........................... 5,871 9,100,000 ~ 5.100%, 07/27/99 ........................... 9,063 CSX CORP 25,000,000 ~ 5.080%, 07/06/99 ........................... 24,975 17,280,000 ~ 5.220%, 07/12/99 ........................... 17,249 DAIMLERCHRYSLER NORTH AMERICA HOLDINGS 15,300,000 4.800%, 07/15/99 ........................... 15,267 19,900,000 4.900%, 07/22/99 ........................... 19,837 $15,000,000 4.810%, 07/26/99 ........................... 14,943 DANA CORP 25,000,000 ~ 5.250%, 07/06/99 ........................... 24,975 DANA CREDIT CORP 25,525,000 5.250%, 07/09/99 ........................... 25,490 DEERE & CO 4,996,000 4.780%, 07/09/99 ........................... 4,989 45,000,000 * 4.780%, 07/21/99 ........................... 44,863 DELAWARE FUNDING CORP 15,126,000 ~ 4.850%, 07/20/99 ........................... 15,082 24,400,000 ~ 4.870%, 08/23/99 ........................... 24,208 DEUTSCHE BANK FINANCIAL, INC 40,000,000 * 4.800%, 07/13/99 ........................... 39,924 EASTMAN KODAK CO 18,000,000 5.000%, 10/04/99 ........................... 17,745 ENTERPRISE FUNDING CORP 22,513,000 ~ 5.030%, 07/26/99 ........................... 22,428 8,800,000 ~ 5.000%, 08/19/99 ........................... 8,736 EQUILON ENTERPRISES LLC 20,000,000 5.750%, 07/01/99 ........................... 19,997 15,000,000 5.100%, 08/06/99 ........................... 14,920 20,400,000 4.970%, 08/16/99 ........................... 20,260 30,000,000 * 4.980%, 08/27/99 ........................... 29,747 FORD MOTOR CREDIT CO 38,000,000 4.850%, 07/09/99 ........................... 37,950 25,000,000 * 4.800%, 07/14/99 ........................... 24,949 25,130,000 4.800%, 07/16/99 ........................... 25,072 12,415,000 * 4.890%, 07/23/99 ........................... 12,374 FORTUNE BRANDS, INC 10,000,000 *~ 4.800%, 07/08/99 ........................... 9,988 20,000,000 *~ 4.780%, 07/22/99 ........................... 19,936 GENERAL ELECTRIC CAPITAL CORP 60,000,000 * 4.850%, 07/19/99 ........................... 59,835 40,451,000 * 4.860%, 07/29/99 ........................... 40,281 GENERAL MOTORS ACCEPTANCE CORP 33,614,000 4.970%, 07/16/99 ........................... 33,536 28,581,000 4.870%, 08/11/99 ........................... 28,407 GTE FUNDING, INC 24,000,000 4.930%, 07/06/99 ........................... 23,977 HEINZ (H.J.) CO 11,838,000 4.790%, 07/06/99 ........................... 11,827 HOUSEHOLD FINANCE CORP 5,000,000 * 4.780%, 07/29/99 ........................... 4,979 HOUSTON INDUSTRIES FINANCE CO L.P. 4,065,000 ~ 5.000%, 07/12/99 ........................... 4,058 70,000,000 *~ 5.020%, 07/19/99 ........................... 69,801 JOHN DEERE CAPITAL CORP 28,657,000 4.750%, 07/08/99 ........................... 28,624 30,000,000 * 4.780%, 07/20/99 ........................... 29,913 LOCKHEED MARTIN CORP 13,000,000 ~ 4.950%, 07/13/99 ........................... 12,974 10,000,000 *~ 5.270%, 07/29/99 ........................... 9,957 MCGRAW-HILL COS, INC 21,500,000 4.850%, 08/16/99 ........................... 21,353 MCI WORLDCOM, INC 29,780,000 ~ 4.980%, 07/14/99 ........................... 29,717 20,000,000 ~ 5.000%, 07/15/99 ........................... 19,955 MOTIVA ENTERPRISES LLC 50,000,000 5.570%, 07/01/99 ........................... 49,992 MOTOROLA, INC 20,000,000 4.790%, 07/01/99 ........................... 19,997 22,903,000 4.790%, 07/02/99 ........................... 22,896 NATIONAL RURAL UTILITIES COOP FINANCE 10,000,000 * 4.790%, 07/07/99 ........................... 9,989 6,735,000 4.780%, 07/12/99 ........................... 6,723 26,397,000 4.930%, 09/14/99 ........................... 26,103 NORFOLK SOUTHERN CORP 12,485,000 ~ 5.100%, 07/28/99 ........................... 12,433 20,000,000 ~ 5.250%, 08/03/99 ........................... 19,898 50 See notes to financial statements. VALUE PRINCIPAL (000) ---------- --------- PACCAR FINANCIAL CORP $20,000,000 * 4.770%, 07/26/99 ........................... $ 19,925 20,000,000 * 4.790%, 07/26/99 ........................... 19,925 PARK AVENUE RECEIVABLES CORP 13,500,000 ~ 4.910%, 07/14/99 ........................... 13,472 5,648,000 ~ 4.820%, 07/15/99 ........................... 5,636 21,083,000 ~ 4.820%, 07/19/99 ........................... 21,025 21,849,000 ~ 4.930%, 07/22/99 ........................... 21,779 6,870,000 ~ 5.100%, 07/23/99 ........................... 6,847 31,418,000 *~ 4.860%, 07/26/99 ........................... 31,300 RAYTHEON CO 15,000,000 ~ 5.050%, 07/01/99 ........................... 14,997 10,000,000 ~ 5.100%, 07/01/99 ........................... 9,998 RECEIVABLES CAPITAL CORP 15,994,000 ~ 4.920%, 07/13/99 ........................... 15,964 14,826,000 ~ 5.030%, 07/19/99 ........................... 14,785 12,239,000 ~ 4.960%, 08/03/99 ........................... 12,179 19,014,000 ~ 4.963%, 08/03/99 ........................... 18,920 25,461,000 ~ 4.870%, 08/04/99 ........................... 25,332 13,000,000 ~ 4.980%, 08/06/99 ........................... 12,930 SAFEWAY, INC 25,000,000 ~ 4.980%, 07/07/99 ........................... 24,971 SAINT PAUL COS 17,000,000 ~ 5.000%, 07/22/99 ........................... 16,946 SALOMON SMITH BARNEY HOLDINGS, INC 25,138,000 * 4.820%, 07/14/99 ........................... 25,087 18,700,000 4.970%, 08/06/99 ........................... 18,600 SEARS ROEBUCK ACCEPTANCE CORP 46,800,000 4.860%, 07/07/99 ........................... 46,748 28,372,000 4.980%, 07/29/99 ........................... 28,253 SONAT, INC 10,000,000 ~ 4.990%, 07/08/99 ........................... 9,988 TEXAS UTILITIES CO 13,096,000 ~ 5.060%, 07/12/99 ........................... 13,072 20,000,000 *~ 5.000%, 07/16/99 ........................... 19,952 17,100,000 ~ 5.040%, 07/27/99 ........................... 17,031 TYCO INTERNATIONAL 15,000,000 ~ 5.010%, 07/02/99 ........................... 14,995 50,134,000 *~ 5.010%, 07/09/99 ........................... 50,066 10,236,000 ~ 5.120%, 07/20/99 ........................... 10,205 ------------ 2,465,278 ------------ MEDIUM TERM BONDS--0.05% ASSOCIATES CORP OF NORTH AMERICA 15,000,000 6.680%, 09/17/99 ........................... 15,036 BETA FINANCE, INC 20,000,000 5.100%, 02/22/00 ........................... 19,912 MERRILL LYNCH & CO, INC 7,550,000 * 6.200%, 07/19/99 ........................... 7,553 SOUTHERN CALIFORNIA GAS CO 15,000,000 * 6.210%, 11/08/99 ........................... 15,029 ------------ 57,530 ------------ U.S. GOVERNMENT & AGENCIES--0.28% FEDERAL HOME LOAN BANK 30,000,000 * 4.750%, 02/04/00 ........................... 29,053 FEDERAL HOME LOAN MORTGAGE CORP 39,800,000 5.000%, 07/09/99 ........................... 39,752 2,890,000 4.850%, 07/26/99 ........................... 2,880 22,000,000 4.790%, 08/05/99 ........................... 21,890 20,000,000 4.890%, 08/11/99 ........................... 19,883 13,000,000 4.900%, 08/23/99 ........................... 12,902 32,232,000 4.860%, 08/24/99 ........................... 31,985 20,044,000 * 4.770%, 09/03/99 ........................... 19,862 24,000,000 4.970%, 09/10/99 ........................... 23,759 6,000,000 4.770%, 09/13/99 ........................... 5,937 50,000,000 * 4.930%, 09/15/99 ........................... 49,463 FEDERAL NATIONAL MORTGAGE ASSOCIATION 45,700,000 5.030%, 07/19/99 ........................... 45,581 1,000,000 4.890%, 08/24/99 ........................... 992 25,000,000 * 4.680%, 12/27/99 ........................... 24,353 20,000,000 4.820%, 02/04/00 ........................... 19,369 ------------ 347,661 ------------ VARIABLE RATE NOTES--0.09% AIR PRODUCTS & CHEMICALS, INC $15,000,000 5.101%, 10/25/99 ........................... 14,984 BANK OF MONTREAL 10,000,000 * 4.960%, 07/22/99 ........................... 9,998 BETA FINANCE, INC 15,000,000 4.968%, 02/04/00 ........................... 14,997 CATERPILLAR FINANCIAL SERVICES CORP 19,000,000 4.977%, 02/24/00 ........................... 18,996 GENERAL MOTORS ACCEPTANCE CORP 12,500,000 * 5.070%, 02/03/00 ........................... 12,495 PNC BANK NA 20,000,000 * 5.015%, 07/27/99 ........................... 19,998 15,000,000 * 4.963%, 10/13/99 ........................... 15,000 ------------ 106,468 ------------ TOTAL SHORT TERM INVESTMENTS (Cost $3,033,254) ........................... 3,031,930 ------------ TOTAL PORTFOLIO (COST $70,896,334) .......................... $127,176,740 ============ - ----------- o 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 these securities have been segregated by the Custodian to cover margin or other requirements on open futures contracts. [] All or a portion of these securities are out on loan. # Restricted Securities-Investment in securities not registered under the Securities Act of 1933 or not publicly traded in foreign markets.At June 30, 1999, the value of these securities amounted to $165,622,134 or 0.13% of net assets. Additional information on each restricted security is as follows: ACQUISITION ACQUISITION SECURITY DATE COST -------- ----------- ----------- ADVANCED MEDICINE SERIES C 01/25/99 $ 7,999,996 ANTENA 3 DE TELEVISION GDS 12/12/96 5,982,300 BB BIOVENTURES L.P. 05/08/97 9,999,501 BELO (A.H) CORP SERIES B 05/23/88 1,900,588 CARTER WALLACE, INC (CLASS B) 10/29/87 1,075,935 CORAM HEALTHCARE CORP WTS 07/11/99 11/13/97 0 CRESTARAN INTERNATIONAL INVESTMENT BV 09/30/94 0 DOW JONES & CO, INC (CLASS B) 07/31/86 12,068,995 INTERNATIONAL HYDRO LIQUIDATING TRUST 11/13/97 0 LAFARGE S.A. (REGD) 04/03/97 1,843,677 LAFARGE S.A. (REGD) 2001 01/05/99 5,834,868 LEE ENTERPRISES, INC (CLASS B) 03/31/86 60,768 L'AIR LIQUIDE S.A. (REGD) 10/29/96 4,377,677 MEREDITH CORP (CLASS B) 12/30/86 1,893,160 NETGENICS, INC CV SERIES D 03/20/98 5,517,450 NETGENICS, INC STOCK OPTION 03/20/08 06/08/98 0 PEGASUS GOLD, INC 11/30/90 148,513 PHYSICIAN COMPUTER NETWORK, INC 11/13/97 1,211,798 PROCURENET, INC 04/19/99 8,168 SILVERSTONE BERHAD 01/08/98 1,173 STARRETT (L.S.) CO (CLASS B) 10/07/88 798,235 TIMES MIRROR CO SERIES C 02/01/95 17,642,901 WRIGLEY (WM) JR CO (CLASS B) 04/30/86 2,007,603 ZEBRA TECHNOLOGY CORP (CLASS B) 10/29/98 43,233 ----------- $80,416,539 =========== See notes to financial statements. 51 COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES--STOCK ACCOUNT (Unaudited) JANUARY 1, 1999 - JUNE 30, 1999
VALUE AT REALIZED DIVIDEND SHARES AT VALUE AT ISSUE DECEMBER 31, 1998 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1999 JUNE 30, 1999 ----- ----------------- ------------- -------------- ---------- --------- ------------- ------------- BAY VIEW CAPITAL CORP ** $ 369,955 -- -- -- 935,702 $19,181,891 MARTEK BIOSCIENCES $10,269,200 -- -- -- -- 1,283,650 10,911,025 OMNIPOINT CORP ** 19,824,109 $24,186,900 $(1,196,510) -- -- * SOUTH CHINA INDUSTRIES LTD 2,082,565 -- 1,889 (6,792) $33,512 51,996,000 4,556,994 TPI ENTERPRISES, INC 4,428 -- -- -- -- 1,107,000 13,837 ----------- ------------ ----------- ----------- ------- ----------- $12,356,193 $20,194,064 $24,188,789 ($ 1,203,302) $33,512 $34,663,747 =========== ============ =========== =========== ======= ===========
** Not an Affiliate as of December 31, 1998 * Not an Affiliate as of June 30, 1999 52 See notes to financial statements. [GRAPHIC OMITTED] COLLEGE RETIREMENT EQUITIES FUND 730 Third Avenue New York, NY 10017-3206 212/490-9000 [GRAPHIC OMITTED] Printed on recycled paper CSAR--01S-8/99 Semi-Annual Report - -------------------------------------------------------------------------------- COLLEGE RETIREMENT EQUITIES FUND Financial Statements (Unaudited) including Statements of Investments for these Accounts: Money Market Bond Market Social Choice Global Equities Growth Equity Index Inflation-Linked Bond ----------------------- June 30, 1999 [GRAPHIC OMITTED] As required by the Investment Company Act of 1940, CREF provides its participants with this semi-annual report of the financial condition and portfolio holdings of the Money Market, Bond Market, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts. CREF also provides a semi-annual report to participants in the Stock Account. Annual reports are also provided each year toward the end of February. COLLEGE RETIREMENT EQUITIES FUND MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT BOND MARKET ACCOUNT GROWTH ACCOUNT SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT INFLATION-LINKED BOND ACCOUNT INDEX TO UNAUDITED FINANCIAL STATEMENTS JUNE 30, 1999 - -------------------------------------------------------------------------------- Page ---- Statements of Assets and Liabilities...................................... 2 Statements of Operations.................................................. 4 Statements of Changes in Net Assets....................................... 6 Notes to Financial Statements............................................. 8 Statements of Investments: Money Market Account.................................................... 17 Bond Market Account..................................................... 22 Social Choice Account................................................... 28 Global Equities Account................................................. 36 Growth Account.......................................................... 54 Equity Index Account.................................................... 72 Inflation-Linked Bond Account........................................... 98 1 COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 1999 (amounts in thousands, except per accumulation unit amounts)
MONEY MARKET BOND MARKET ACCOUNT ACCOUNT --------------- --------------- ASSETS Portfolio investments, at cost..................................... $6,372,484 $3,877,391 Net unrealized appreciation (depreciation) of portfolio investments (3,547) (52,845) ---------- ---------- Portfolio investments, at value.................................... 6,368,937 3,824,546 Cash............................................................... 79 8 Dividends and interest receivable.................................. 15,974 33,197 Receivable from securities transactions............................ -- 664,067 Amounts due from TIAA.............................................. 5,517 2,052 ---------- ---------- TOTAL ASSETS 6,390,507 4,523,870 ---------- ---------- LIABILITIES Deposits for securities loaned--Note 4............................. -- 318,181 Payable for securities transactions................................ 14,994 1,142,827 ---------- ---------- TOTAL LIABILITIES 14,994 1,461,008 ---------- ---------- NET ASSETS Accumulation Fund.................................................. 6,176,895 3,009,338 Annuity Fund....................................................... 198,618 53,524 ---------- ---------- TOTAL NET ASSETS $6,375,513 $3,062,862 ========== ========== THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6............ 329,071 58,566 ======= ====== NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5........................ $18.77 $51.38 ====== ======
See notes to financial statements. 2 COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 1999 (amounts in thousands, except per accumulation unit amounts)
SOCIAL CHOICE GLOBAL EQUITIES ACCOUNT ACCOUNT --------------- --------------- ASSETS Portfolio investments, at cost..................................... $3,195,526 $5,399,892 Net unrealized appreciation (depreciation) of portfolio investments 1,128,434 1,296,915 ---------- ---------- Portfolio investments, at value.................................... 4,323,960 6,696,807 Cash............................................................... 1,132 40,437 Dividends and interest receivable.................................. 18,979 5,288 Receivable from securities transactions............................ 421,855 105,184 Amounts due from TIAA.............................................. 2,971 4,949 ---------- ---------- TOTAL ASSETS 4,768,897 6,852,665 ---------- ---------- LIABILITIES Deposits for securities loaned--Note 4............................. 165,030 115,735 Payable for securities transactions................................ 742,144 76,507 ---------- ---------- TOTAL LIABILITIES 907,174 192,242 ---------- ---------- NET ASSETS Accumulation Fund.................................................. 3,719,320 6,417,796 Annuity Fund....................................................... 142,403 242,627 ---------- ---------- TOTAL NET ASSETS $3,861,723 $6,660,423 ========== ========== THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6............ 40,412 83,529 ====== ====== NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5........................ $92.03 $76.83 ====== ======
See notes to financial statements. COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 1999 (amounts in thousands, except per accumulation unit amounts)
GROWTH EQUITY INDEX INFLATION-LINKED ACCOUNT ACCOUNT BOND ACCOUNT --------------- --------------- ------------------ ASSETS Portfolio investments, at cost..................................... $ 8,111,889 $3,025,226 $141,549 Net unrealized appreciation (depreciation) of portfolio investments 2,046,578 1,367,858 (2,561) ----------- ---------- -------- Portfolio investments, at value.................................... 10,158,467 4,393,084 138,988 Cash............................................................... 2,304 1,767 6 Dividends and interest receivable.................................. 6,906 3,867 1,903 Receivable from securities transactions............................ 56,208 369 2,062 Amounts due from TIAA.............................................. 10,687 5,183 165 ----------- ---------- -------- TOTAL ASSETS 10,234,572 4,404,270 143,124 ----------- ---------- -------- LIABILITIES Deposits for securities loaned--Note 4............................. -- -- -- Payable for securities transactions................................ 24,375 17,340 -- ----------- ---------- -------- TOTAL LIABILITIES 24,375 17,340 -- ----------- ---------- -------- NET ASSETS Accumulation Fund.................................................. 9,936,864 4,248,140 136,357 Annuity Fund....................................................... 273,333 138,790 6,767 ----------- ---------- -------- TOTAL NET ASSETS $10,210,197 $4,386,930 $143,124 =========== ========== ======== THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6............ 117,531 54,755 4,959 ======= ====== ===== NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5........................ $84.55 $77.59 $27.50 ====== ====== ======
See notes to financial statements. 3 COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF OPERATIONS (UNAUDITED) SIX MONTHS ENDED JUNE 30, 1999 (amounts in thousands)
MONEY MARKET BOND MARKET ACCOUNT ACCOUNT ------------ ------------- INVESTMENT INCOME Income: Interest........................................................... $153,729 $ 97,238 Dividends.......................................................... -- 160 -------- -------- TOTAL INCOME 153,729 97,398 -------- -------- Expenses--Note 3: Investment......................................................... 2,536 1,526 Operating.......................................................... 7,436 3,718 -------- -------- TOTAL EXPENSES 9,972 5,244 -------- -------- INVESTMENT INCOME--NET 143,757 92,154 -------- -------- REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments............................................ 3 (79,055) Futures transactions............................................. -- -- Foreign currency transactions.................................... -- -- -------- -------- Net realized gain (loss) 3 (79,055) -------- -------- Net change in unrealized appreciation (depreciation) on: Portfolio investments............................................ (3,699) (71,731) Futures transactions............................................. -- -- Translation of assets (other than portfolio investments) and liabilities denominated in foreign currencies.............. -- -- -------- -------- Net change in unrealized appreciation (depreciation) (3,699) (71,731) -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS (3,696) (150,786) -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $140,061 $ (58,632) ======== ========
See notes to financial statements. 4 COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF OPERATIONS (UNAUDITED) SIX MONTHS ENDED JUNE 30, 1999 (amounts in thousands)
SOCIAL CHOICE GLOBAL EQUITIES ACCOUNT ACCOUNT ------------- --------------- INVESTMENT INCOME Income: Interest........................................................... $ 43,174 $ 1,832 Dividends.......................................................... 13,942 42,184 -------- -------- TOTAL INCOME 57,116 44,016 -------- -------- Expenses--Note 3: Investment......................................................... 1,783 4,629 Operating.......................................................... 4,289 7,529 -------- -------- TOTAL EXPENSES 6,072 12,158 -------- -------- INVESTMENT INCOME--NET 51,044 31,858 -------- -------- REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments............................................ 49,529 359,646 Futures transactions............................................. -- 695 Foreign currency transactions.................................... -- (4,127) -------- -------- Net realized gain (loss) 49,529 356,214 -------- -------- Net change in unrealized appreciation (depreciation) on: Portfolio investments............................................ 118,772 104,752 Futures transactions............................................. -- 966 Translation of assets (other than portfolio investments) and liabilities denominated in foreign currencies.............. -- 315 -------- -------- Net change in unrealized appreciation (depreciation) 118,772 106,033 -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS 168,301 462,247 -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $219,345 $494,105 ======== ========
See notes to financial statements. COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF OPERATIONS (UNAUDITED) SIX MONTHS ENDED JUNE 30, 1999 (amounts in thousands)
GROWTH EQUITY INDEX INFLATION-LINKED ACCOUNT ACCOUNT BOND ACCOUNT ------------- ------------ ---------------- INVESTMENT INCOME Income: Interest........................................................... $ 7,601 $ 1,190 $4,817 Dividends.......................................................... 24,266 24,711 -- ---------- -------- ------ TOTAL INCOME 31,867 25,901 4,817 ---------- -------- ------ Expenses--Note 3: Investment......................................................... 5,812 1,583 75 Operating.......................................................... 10,480 4,586 193 ---------- -------- ------ TOTAL EXPENSES 16,292 6,169 268 ---------- -------- ------ INVESTMENT INCOME--NET 15,575 19,732 4,549 ---------- -------- ------ REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments............................................ 656,629 18,693 (490) Futures transactions............................................. 10,467 1,212 -- Foreign currency transactions.................................... -- -- -- ---------- -------- ------ Net realized gain (loss) 667,096 19,905 (490) ---------- -------- ------ Net change in unrealized appreciation (depreciation) on: Portfolio investments............................................ 321,736 378,600 (1,486) Futures transactions............................................. 1,347 323 -- Translation of assets (other than portfolio investments) and liabilities denominated in foreign currencies.............. -- -- -- ---------- -------- ------ Net change in unrealized appreciation (depreciation) 323,083 378,923 (1,486) ---------- -------- ------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS 990,179 398,828 (1,976) ---------- -------- ------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $1,005,754 $418,560 $2,573 ========== ======== ======
See notes to financial statements. 5 COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS (amounts in thousands)
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT ----------------------- ----------------------- ----------------------- Six months Year Six months Year Six months Year Ended Ended Ended Ended Ended Ended June 30, December 31, June 30, December 31, June 30, December 31, 1999 1998 1999 1998 1999 1998 --------- --------- --------- --------- --------- --------- (Unaudited) (Unaudited) (Unaudited) FROM OPERATIONS Investment income--net..... $ 143,757 $ 263,083 $ 92,154 $ 131,383 $ 51,044 $ 84,650 Net realized gain (loss) on total investments........ 3 (67) (79,055) 45,281 49,529 57,952 Net change in unrealized appreciation (depreciation) on total investments.............. (3,699) 1,203 (71,731) (1,665) 118,772 340,114 ---------- ---------- ---------- ---------- ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 140,061 264,219 (58,632) 174,999 219,345 482,716 ---------- ---------- ---------- ---------- ---------- ---------- FROM PARTICIPANT TRANSACTIONS Premiums................... 262,045 433,743 131,102 217,168 217,316 354,892 ---------- ---------- ---------- ---------- ---------- ---------- Disbursements and transfers: Net transfers to (from) TIAA................... 63,698 76,723 18,775 (27,940) (6,512) (222) Net transfers to (from) other CREF Accounts..... (360,069) (1,466,151) (5,413) (1,165,693) (114,907) (245,594) Annuity payments......... 16,584 29,286 4,950 7,318 6,213 10,469 Withdrawals and repurchases............ 219,129 337,703 46,057 61,279 32,076 46,245 Death benefits........... 3,316 5,792 1,142 1,665 1,075 1,691 ---------- ---------- ---------- ---------- ---------- ---------- TOTAL DISBURSEMENTS AND TRANSFERS, NET (57,342) (1,016,647) 65,511 (1,123,371) (82,055) (187,411) ---------- ---------- ---------- ---------- ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 319,387 1,450,390 65,591 1,340,539 299,371 542,303 ---------- ---------- ---------- ---------- ---------- ---------- NET INCREASE IN NET ASSETS 459,448 1,714,609 6,959 1,515,538 518,716 1,025,019 NET ASSETS Beginning of year.......... 5,916,065 4,201,456 3,055,903 1,540,365 3,343,007 2,317,988 ---------- ---------- ---------- ---------- ---------- ---------- End of period.............. $6,375,513 $5,916,065 $3,062,862 $3,055,903 $3,861,723 $3,343,007 ========== ========== ========== ========== ========== ==========
See notes to financial statements. 6 COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS (amounts in thousands)
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT ----------------------- ----------------------- Six months Year Six months Year Ended Ended Ended Ended June 30, December 31, June 30, December 31, 1999 1998 1999 1998 --------- --------- --------- --------- (Unaudited) (Unaudited) FROMO PERATIONS Investment income--net..... $ 31,858 $ 55,086 $ 15,575 $ 21,823 Net realized gain (loss) on total investments........ 356,214 417,277 667,096 823,510 Net change in unrealized appreciation (depreciation) on total investments.............. 106,033 463,253 323,083 876,627 ---------- ---------- ----------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 494,105 935,616 1,005,754 1,721,960 ---------- ---------- ----------- ---------- FROM PARTICIPANT TRANSACTIONS Premiums................... 289,877 559,900 582,498 874,916 ---------- ---------- ----------- ---------- Disbursements and transfers: Net transfers to (from) TIAA................... (12,181) 54,623 (70,624) (53,572) Net transfers to (from) other CREF Accounts..... 110,756 524,020 (997,629) (445,194) Annuity payments......... 11,332 23,089 11,287 17,186 Withdrawals and repurchases............ 61,020 103,745 93,297 105,337 Death benefits........... 3,561 5,780 2,697 3,109 ---------- ---------- ----------- ---------- TOTAL DISBURSEMENTS AND TRANSFERS, NET 174,488 711,257 (960,972) (373,134) ---------- ---------- ----------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 115,389 (151,357) 1,543,470 1,248,050 ---------- ---------- ----------- ---------- NET INCREASE IN NET ASSETS 609,494 784,259 2,549,224 2,970,010 NET ASSETS Beginning of year.......... 6,050,929 5,266,670 7,660,973 4,690,963 ---------- ---------- ----------- ---------- End of period.............. $6,660,423 $6,050,929 $10,210,197 $7,660,973 ========== ========== =========== ==========
See notes to financial statements. COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS (amounts in thousands)
EQUITY INDEX ACCOUNT INFLATION-LINKED BOND ACCOUNT ----------------------- ----------------------------- Six months Year Six months Year Ended Ended Ended Ended June 30, December 31, June 30, December 31, 1999 1998 1999 1998 --------- --------- --------- --------- (Unaudited) (Unaudited) FROM OPERATIONS Investment income--net..... $ 19,732 $ 33,751 $ 4,549 $ 5,233 Net realized gain (loss) on total investments........ 19,905 28,429 (490) (82) Net change in unrealized appreciation (depreciation) on total investments.............. 378,923 520,266 (1,486) (1,275) ---------- ---------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 418,560 582,446 2,573 3,876 ---------- ---------- -------- -------- FROM PARTICIPANT TRANSACTIONS Premiums................... 275,092 447,088 7,818 10,543 ---------- ---------- -------- -------- Disbursements and transfers: Net transfers to (from) TIAA................... (35,677) (36,240) 294 (549) Net transfers to (from) other CREF Accounts..... (248,848) (404,520) (20,507) (33,075) Annuity payments......... 5,793 9,740 271 313 Withdrawals and repurchases............ 36,794 49,838 29,032 1,476 Death benefits........... 642 1,440 1 10 ---------- ---------- -------- -------- TOTAL DISBURSEMENTS AND TRANSFERS, NET (241,296) (379,742) 9,091 (31,825) ---------- ---------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 516,388 826,830 (1,273) 42,368 ---------- ---------- -------- -------- NET INCREASE IN NET ASSETS 934,948 1,409,276 1,300 46,244 NET ASSETS Beginning of year.......... 3,451,982 2,042,706 141,824 95,580 ---------- ---------- -------- -------- End of period.............. $4,386,930 $3,451,982 $143,124 $141,824 ========== ========== ======== ========
See notes to financial statements. 7 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) NOTE 1--ORGANIZATION College Retirement Equities Fund ("CREF") was formed to aid and strengthen nonprofit educational and research organizations by providing their employees with variable retirement benefits. CREF is registered with the Securities and Exchange Commission ("Commission") under the Investment Company Act of 1940 as an open-end, diversified management investment company. It consists of eight investment portfolios ("Accounts"). The accompanying financial statements are those of the Money Market Account, which invests in money market instruments; the Bond Market Account, which invests in a broad range of fixed-income securities; the Social Choice Account, which invests in a diversified portfolio of equity and fixed-income securities while giving special consideration to certain social criteria; the Global Equities Account, which invests in equity securities of foreign and domestic companies; the Growth Account, which invests in a diversified portfolio of equity securities that present opportunities for growth; the Equity Index Account, which invests in a diversified portfolio of equity securities selected to track the overall United States stock market; and the Inflation-Linked Bond Account, which invests primarily in inflation-indexed bonds. The eighth investment portfolio of CREF, the Stock Account, which invests primarily in equity securities, is not included in these financial statements. The Inflation-Linked Bond Account was established on January 13, 1997 with a $50,000,000 investment by Teachers Insurance and Annuity Association of America ("TIAA"), a companion organization, which purchased 2,000,000 Accumulation Units at the established $25.00 initial Accumulation Unit Value. On May 1, 1997, the Inflation-Linked Bond Account was registered with the Commission under the Securities Act of 1933 and the Investment Company Act of 1940 as an additional series of CREF. On May 1, 1997, CREF began to offer Accumulation Units of the Inflation-Linked Bond Account to participants other than TIAA. TIAA's Accumulation Units shared in the pro rata investment experience and were subject to the same valuation procedures and expense deductions as all other Accumulation Units in the Account. During 1999, TIAA withdrew 982,976 Accumulation Units, totalling $27,000,000, from the Inflation-Linked Bond Account at prevailing net asset values and such withdrawals are reflected in the accompanying financial statements of the Inflation-Linked Bond Account. At June 30, 1999, TIAA's investment in the Inflation-Linked Bond Account was 1,017,024 Accumulation Units, with a total value of $27,965,109. TIAA-CREF Investment Management, LLC ("Investment Management"), a subsidiary of TIAA, is registered with the Commission as an investment adviser and provides investment advisory services for the CREF Accounts pursuant to an Investment Management Services Agreement with CREF. TIAA-CREF Individual & Institutional Services, Inc. ("Services"), a subsidiary of TIAA, which is registered with the Commission as a broker-dealer and is a member of the National Association of Securities Dealers, Inc., provides administrative services for the CREF Accounts and performs distribution functions for CREF's certificates pursuant to a Principal Underwriting and Administrative Services Agreement with CREF. TIAA provides guarantees for the CREF Accounts for certain mortality and expense risks pursuant to an Immediate Annuity Purchase Rate Guarantee Agreement. NOTE 2--SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements may require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, income, expenses and related disclosures. Actual results may differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Accounts, which are in conformity with generally accepted accounting principles. VALUATION OF INVESTMENTS: Securities listed or traded on any United States national securities exchange are valued at the last sales price as of the close of the principal securities exchange on which such securities are traded or, if there is no sale, at the mean of the last bid and asked prices on such exchange. Securities traded only in the over-the-counter market and quoted in the NASDAQ National Market System are valued at the last sales price, or at the mean of the last bid and asked prices if no sale is reported. All other over-the-counter securities are valued at the mean of the last bid and asked prices, except for bonds which are valued at the most recent bid price or the equivalent quoted yield of such bonds. Short-term money market instruments are stated at market value or amortized cost, which approximates market value. Foreign investments are valued at the closing price in the principal market where they are traded; local currencies are converted into U.S. dollars as described below under Foreign Currency Transactions and Translation. Stock index futures and options which are traded on commodities exchanges are valued at the last sale price as of the close of such commodities exchanges. Portfolio securities for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Finance Committee of the Board of Trustees and in accordance with the responsibilities of the Board as a whole. 8 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED) ACCOUNTING FOR INVESTMENTS: Securities transactions are accounted for as of the date the securities are purchased or sold (trade date). Interest income is recorded as earned and, for short-term money market instruments, includes accrual of discount and amortization of premium. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as soon as the Accounts are informed of the ex-dividend date. Realized gains and losses on security transactions are accounted for on the average cost basis. FOREIGN CURRENCY TRANSACTIONS AND TRANSLATION: Foreign investments, bank deposits and forward foreign currency contracts are valued in U.S. dollars, based on the exchange rate at the end of the period. Investments traded in foreign currencies are translated at exchange rates prevailing on the respective dates traded. Income is translated at approximate rates prevailing when earned. Asset and liability accounts that are denominated in a foreign currency are translated at the prevailing exchange rate at the end of the period. The cumulative impact of changes in foreign exchange rates on portfolio investments sold during the period is reflected in the net realized gain (loss) on portfolio investments. The cumulative impact of changes in foreign exchange rates on portfolio investments held at the end of the period is reflected in the net change in unrealized appreciation (depreciation) on portfolio investments. Currency gains and losses arising from the settlement of forward foreign currency contracts, changes in exchange rates between the trade and settlement dates of portfolio investment transactions, and changes in exchange rates between the accrual and receipt dates for dividend and interest income are recorded as net realized gains (losses) on foreign currency transactions. For assets other than portfolio investments and liabilities, changes in foreign exchange rates are reflected in the net change in unrealized appreciation (depreciation) on translation of assets (other than portfolio investments) and liabilities denominated in foreign currencies. SECURITIES LENDING: The Accounts may lend portfolio securities to qualified institutions. Such loans are secured by collateral at least equal to 102% of the market value of the securities loaned for United States securities and 105% of the market value of securities loaned for foreign securities. An Account continues to receive income on the securities loaned and receives additional income from the lending transaction. Additionally, any change in the market value of the securities loaned is recognized by the Account. Although each transaction is fully collateralized, the Account would bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. COVERED CALL OPTIONS WRITTEN: The Accounts write (sell) covered call options to provide protection against adverse movements in the price of securities in the portfolio. When an option is written, an amount equal to the premium received is recorded as a liability; the liability is adjusted on a daily basis to the current market price of the option written and an unrealized gain or loss is recorded. Premiums received from writing options which expire unexercised are recognized as realized gains from option transactions on the expiration date. Premiums received from writing options which are exercised are added to the proceeds from the sale of the underlying securities in recognizing the net realized gain or loss on portfolio investments. In writing options, it is assumed that the option may be exercised at any time prior to the expiration of an Account's obligation as a writer, and that in such circumstances the net proceeds of the sale of the underlying securities pursuant to the call option may be below the prevailing market value. FUTURES CONTRACTS: The Accounts purchase futures contracts for the purpose of acquiring a position in a security or group of securities which the Accounts intend to purchase at a later date, or for cash management purposes to remain highly invested in the equity markets while minimizing transaction costs. The Accounts sell futures contracts for the purpose of offsetting changes in market value while withdrawing from a specific market. A financial futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses from futures transactions by "marking-to-market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are received or made, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a realized gain or loss from futures transactions is recorded, equal to the net variation margin received or paid over the period of the contract. The contractual amounts under futures contracts reflect the extent of an Account's exposure to off-balance sheet risk. The credit risk to such contracts is limited to the failure of the exchange or board of trade which acts as the counterparty to the Account's futures transactions. 9 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONCLUDED) FORWARD FOREIGN CURRENCY CONTRACTS: The Accounts may enter into forward foreign currency contracts to purchase or sell foreign currency to accommodate foreign investment transactions. Forward foreign currency contracts are "marked-to-market" at the end of each day's trading. Daily changes in the value of such contracts are reflected in the net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies. When the contract is closed, payment is received or made and a realized gain or loss on foreign currency transactions is recognized, equal to the difference between the cost of the closing transaction and the basis in the contract. An Account may also enter into a forward foreign currency contract to offset an existing contract. Forward foreign currency contracts are entered into directly with a counterparty and an Account is exposed to the risk of default of such counterparty. The maximum potential loss from such risk is the aggregate face value in U.S. dollars at the time the contract is opened. There is no daily margin requirement for such contracts. REPURCHASE AGREEMENTS: The Accounts may 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 the CREF Accounts are provided, at cost, by Investment Management and Services. Such services are provided in accordance with an Investment Management Services Agreement between CREF and Investment Management, and in accordance with a Principal Underwriting and Administrative Services Agreement between CREF and Services (see Note 1). Investment Management and Services receive management fee payments from the CREF Accounts on a daily basis according to formulas established each year with the objective of keeping the management fees as close as possible to each Account's actual expenses. Any differences between actual expenses and the management fees are adjusted quarterly. NOTE 4--INVESTMENTS At June 30, 1999, the market value of securities loaned, and collateral received in connection therewith, was comprised as follow:
COLLATERAL -------------------------- MARKET VALUE LETTERS OF SECURITIES LOANED CASH OF CREDIT -------------------- ------------ --=------- Bond Market Account.......................................... $308,068,829 $318,180,954 $ -- Social Choice Account........................................ 159,529,287 165,030,345 -- Global Equities Account...................................... 116,909,760 115,735,476 5,537,122
10 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 4--INVESTMENTS--(CONCLUDED) At June 30, 1999, 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.........................................$ 14,181 $ 3,560,959 $ (3,546,778) Bond Market Account.......................................... 5,635,456 58,480,085 (52,844,629) Social Choice Account........................................ 1,187,662,013 59,228,178 1,128,433,835 Global Equities Account...................................... 1,449,344,124 152,429,295 1,296,914,829 Growth Account............................................... 2,177,361,787 130,783,784 2,046,578,003 Equity Index Account......................................... 1,481,578,961 113,720,505 1,367,858,456 Inflation-Linked Bond Account................................ -- 2,560,577 (2,560,577)
At June 30, 1999 the Global Equities, Growth and Equity Index Accounts held 293, 766 and 59 open futures contracts, respectively, in the Standard & Poor's 500 Index, expiring in September 1999, with a value of $101,209,525, $264,595,550 and $20,380,075, respectively and an unrealized gain of $965,545, $7,046,863 and $998,156, respectively. Companies in which any of the Accounts held 5% or more of the outstanding voting shares are defined as "affiliated" in the Investment Company Act of 1940. At June 30, 1999, the total value of the Global Equities Account's investments in affiliated companies was $64,835,335. For the six months ended June 30, 1999, total dividend income and net realized gain relating to such investments of the Global Equities Account were $1,777,208 and $10,950,570, respectively. At June 30, 1999 the total value of the Growth Account's investments in affiliated companies was $17,749,275. For the six months ended June 30, 1999, net realized loss relating to such investments of the Growth Account was $50,031,248. For the periods and CREF Accounts covered by these financial statements, there were no other investments in affiliated companies. Purchases and sales of portfolio securities, other than short-term money market instruments, for the Bond Market, Social Choice, Global Equities, Growth, Equity Index, and the Inflation-Linked Bond Accounts for the six months ended June 30, 1999, were as follows:
BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES ACCOUNT ACCOUNT ACCOUNT --------------- -------------- -------------- Purchases: Unaffiliated issuers.................................. $10,931,614,454 $4,648,811,814 $2,835,859,386 Affiliated issuers.................................... -- -- -- --------------- -------------- -------------- TOTAL PURCHASES $10,931,614,454 $4,648,811,814 $2,835,859,386 =============== ============== ============== Sales: Unaffiliated issuers.................................. $10,831,792,420 $4,340,422,871 $2,767,116,580 Affiliated issuers.................................... -- -- 26,366,678 --------------- -------------- -------------- TOTAL SALES $10,831,792,420 $4,340,422,871 $2,793,483,258 =============== ============== ============== GROWTH EQUITY INDEX INFLATION-LINKED ACCOUNT ACCOUNT BOND ACCOUNT --------------- -------------- -------------- Purchases: Unaffiliated issuers.................................. $5,917,385,723 $561,121,308 $40,020,954 Affiliated issuers 33,503,918 -- -- --------------- -------------- -------------- TOTAL PURCHASES $5,950,889,641 $561,121,308 $40,020,954 =============== ============== ============== Sales: Unaffiliated issuers.................................. $4,363,040,989 $27,309,734 $43,128,517 Affiliated issuers.................................... 141,668,222 -- -- --------------- -------------- -------------- TOTAL SALES $4,504,709,211 $27,309,734 $43,128,517 =============== ============== ==============
11 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION Selected condensed financial information for an Accumulation Unit of each Account is presented below.
MONEY MARKET ACCOUNT ---------------------------------------------------------------------- SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED ------------------------------------------------------- JUNE 30, 1999 (1) 1998 1997 1996 1995 1994 ----------------- ------- ------- ------- ------- ------- (Unaudited) Per Accumulation Unit Data: Investment income...................... $ .461 $ .998 $ .953 $ .880 $ .910 $ .631 Expenses............................... .030 .054 .046 .049 .048 .041 ------- ------- ------- ------- ------- ------- Investment income--net................. .431 .944 .907 .831 .862 .590 Net realized and unrealized gain (loss) on total investments................. (.011) .005 .001 (.003) .009 (.012) ------- ------- ------- ------- ------- ------- Net increase in Accumulation Unit Value.............. .420 .949 .908 .828 .871 .578 Accumulation Unit Value: Beginning of year.................... 18.351 17.402 16.494 15.666 14.795 14.217 ------- ------- ------- ------- ------- ------- End of period........................ $18.771 $18.351 $17.402 $16.494 $15.666 $14.795 ======= ======= ======= ======= ======= ======= Total return............................. 2.29% 5.45% 5.51% 5.28% 5.88% 4.07% Ratios to Average Net Assets: Expenses............................... 0.16% 0.30% 0.27% 0.30% 0.32% 0.28% Investment income--net................. 2.32% 5.27% 5.35% 5.16% 5.64% 4.03% Portfolio turnover rate.................. n/a n/a n/a n/a n/a n/a Thousands of Accumulation Units outstanding at end of period........... 329,071 312,358 233,116 218,292 193,181 183,135
BOND MARKET ACCOUNT ---------------------------------------------------------------------- SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED ------------------------------------------------------- JUNE 30, 1999 (1) 1998 1997 1996 1995 1994 ----------------- ------- ------- ------- ------- ------- (Unaudited) Per Accumulation Unit Data: Investment income...................... $ 1.621 $ 3.156 $ 3.081 $ 3.039 $ 2.863 $ 2.502 Expenses............................... .087 .158 .134 .126 .123 .108 ------- ------- ------- ------- ------- ------- Investment income--net................. 1.534 2.998 2.947 2.913 2.740 2.394 Net realized and unrealized gain (loss) on total investments................. (2.514) 1.150 1.266 (1.600) 3.722 (3.897) ------- ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value.............. (.980) 4.148 4.213 1.313 6.462 (1.503) Accumulation Unit Value: Beginning of year.................... 52.363 48.215 44.002 42.689 36.227 37.730 ------- ------- ------- ------- ------- ------- End of period........................ $51.383 $52.363 $48.215 $44.002 $42.689 $36.227 ======= ======= ======= ======= ======= ======= Total return............................. (1.87%) 8.60% 9.57% 3.08% 17.84% (3.98%) Ratios to Average Net Assets: Expenses............................... 0.17% 0.32% 0.29% 0.30% 0.31% 0.29% Investment income--net................. 2.95% 5.98% 6.44% 6.86% 6.93% 6.54% Portfolio turnover rate.................. 363.84% 525.32% 398.77% 145.27% 185.11% 161.46% Thousands of Accumulation Units outstanding at end of period........... 58,566 57,481 31,654 22,611 19,522 14,939
(1) The percentages shown for this period are not annualized. 12 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED)
SOCIAL CHOICE ACCOUNT ---------------------------------------------------------------------- SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED ------------------------------------------------------- JUNE 30, 1999 (1) 1998 1997 1996 1995 1994 ----------------- ------- ------- ------- ------- ------- (Unaudited) Per Accumulation Unit Data: Investment income...................... $ 1.418 $ 2.679 $ 2.396 $ 2.068 $ 1.832 $ 1.621 Expenses............................... .151 .249 .193 .158 .144 .125 ------- ------- ------- ------- ------- ------- Investment income--net................. 1.267 2.430 2.203 1.910 1.688 1.496 Net realized and unrealized gain (loss) on total investments................. 4.163 11.159 12.223 5.968 9.863 (2.015) ------- ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value.............. 5.430 13.589 14.426 7.878 11.551 (.519) Accumulation Unit Value: Beginning of year.................... 86.605 73.016 58.590 50.712 39.161 39.680 ------- ------- ------- ------- ------- ------- End of period........................ $92.035 $86.605 $73.016 $58.590 $50.712 $39.161 ======= ======= ======= ======= ======= ======= Total Return............................. 6.27% 18.61% 24.62% 15.53% 29.49% (1.31%) Ratios to Average Net Assets: Expenses............................... 0.17% 0.31% 0.30% 0.30% 0.32% 0.32% Investment income--net................. 1.42% 3.07% 3.37% 3.58% 3.75% 3.80% Portfolio turnover rate.................. 122.91% 147.90% 91.87% 40.93% 52.65% 49.06% Thousands of Accumulation Units outstanding at end of period......... 40,412 37,211 30,554 25,841 22,196 18,302
GLOBAL EQUITIES ACCOUNT ---------------------------------------------------------------------- SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED ------------------------------------------------------- JUNE 30, 1999 (1) 1998 1997 1996 1995 1994 ----------------- ------- ------- ------- ------- ------- (Unaudited) Per Accumulation Unit Data: Investment income...................... $ .516 $ .902 $ .848 $ .751 $ .727 $ .687 Expenses............................... .142 .268 .205 .167 .157 .134 ------- ------- ------- ------- ------- ------- Investment income--net................. .374 .634 .643 .584 .570 .553 Net realized and unrealized gain (loss) on total investments................. 5.344 10.508 8.650 7.138 6.618 (.719) ------- ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value.............. 5.718 11.142 9.293 7.722 7.188 (.166) Accumulation Unit Value: Beginning of year.................... 71.115 59.973 50.680 42.958 35.770 35.936 ------- ------- ------- ------- ------- ------- End of period........................ $76.833 $71.115 $59.973 $50.680 $42.958 $35.770 ======= ======= ======= ======= ======= ======= Total return............................. 8.04% 18.58% 18.34% 17.98% 20.09% (0.46%) Ratios to Average Net Assets: Expenses............................... 0.19% 0.41% 0.38% 0.37% 0.40% 0.41% Investment income--net................. 0.51% 0.97% 1.19% 1.28% 1.47% 1.71% Portfolio turnover rate.................. 45.45% 103.31% 98.70% 88.84% 67.50% 51.63% Thousands of Accumulation Units outstanding at end of period........... 83,529 81,825 84,645 80,016 70,163 70,700 (1) The percentages shown for this period are not annualized.
13 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED)
GROWTH ACCOUNT ---------------------------------------------------------------------- April 4, 1994 SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, (date established) ENDED ------------------------------------------- to December 31, JUNE 30, 1999 (1) 1998 1997 1996 1995 1994(1) ----------------- ------- ------- ------- ------- ------- (Unaudited) Per Accumulation Unit Data: Investment income...................... $ .281 $ .482 $ .527 $ .484 $ .417 $ .398 Expenses............................... .144 .244 .155 .119 .114 .084 ------- ------- ------- ------- ------- ------- Investment income--net................. .137 .238 .372 .365 .303 .314 Net realized and unrealized gain on total investments................. 8.793 18.475 12.219 8.638 8.891 .802 ------- ------- ------- ------- ------- ------- Net increase in Accumulation Unit Value.............. 8.930 18.713 12.591 9.003 9.194 1.116 Accumulation Unit Value: Beginning of period.................. 75.617 56.904 44.313 35.310 26.116 25.000 ------- ------- ------- ------- ------- ------- End of period........................ $84.547 $75.617 $56.904 $44.313 $35.310 $26.116 ======= ======= ======= ======= ======= ======= Total return............................. 11.81% 32.89% 28.41% 25.50% 35.20% 4.46% Ratios to Average Net Assets: Expenses............................... 0.18% 0.38% 0.34% 0.35% 0.43% 0.33% Investment income--net................. 0.18% 0.37% 0.82% 1.07% 1.13% 1.21% Portfolio turnover rate.................. 52.70% 97.57% 53.27% 38.51% 24.42% 12.29% Thousands of Accumulation Units outstanding at end of period........... 117,531 98,862 80,370 53,201 32,375 10,446
EQUITY INDEX ACCOUNT ---------------------------------------------------------------------- April 4, 1994 SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, (date established) ENDED ------------------------------------------- to December 31, JUNE 30, 1999 (1) 1998 1997 1996 1995 1994(1) ----------------- ------- ------- ------- ------- ------- (Unaudited) Per Accumulation Unit Data: Investment income...................... $ .490 $ .953 $ .826 $ .773 $ .755 $ .552 Expenses............................... .117 .190 .141 .106 .100 .072 ------- ------- ------- ------- ------- ------- Investment income--net................. .373 .763 .685 .667 .655 .480 Net realized and unrealized gain on total investments................. 7.469 12.789 12.672 6.936 8.703 .393 ------- ------- ------- ------- ------- ------- Net increase in Accumulation Unit Value.............. 7.842 13.552 13.357 7.603 9.358 .873 Accumulation Unit Value: Beginning of period.................. 69.743 56.191 42.834 35.231 25.873 25.000 ------- ------- ------- ------- ------- ------- End of period........................ $77.585 $69.743 $56.191 $42.834 $35.231 $25.873 ======= ======= ======= ======= ======= ======= Total return............................. 11.24% 24.12% 31.18% 21.58% 36.17% 3.49% Ratios to Average Net Assets: Expenses............................... 0.16% 0.31% 0.30% 0.30% 0.34% 0.27% Investment income--net................. 0.51% 1.24% 1.47% 1.87% 2.22% 1.83% Portfolio turnover rate.................. 0.72% 3.98% 3.50% 7.85% 8.31% 1.33% Thousands of Accumulation Units outstanding at end of period........... 54,755 47,997 35,368 20,725 10,911 2,716
(1) The percentages shown for this period are not annualized. 14 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONCLUDED)
INFLATION-LINKED BOND ACCOUNT -------------------------------------------------------------- SIX MONTHS JANUARY 13, 1997 ENDED FOR THE YEAR ENDED (DATE ESTABLISHED) TO JUNE 30, 1999(1) DECEMBER 31, 1998 DECEMBER 31, 1997(1) ---------------- ------------------- --------------------- Per Accumulation Unit Data: Investment income...................................... $ .864 $ 1.256 $ 1.031 Expenses............................................... .048 .086 .067 ------- ------- ------- Investment income--net................................. .816 1.170 .964 Net realized and unrealized gain (loss) on total investments (.347) (.260) .154 ------- ------- ------- Net increase in Accumulation Unit Value.............................. .469 .910 1.118 Accumulation Unit Value: Beginning of period.................................. 27.028 26.118 25.000 ------- ------- ------- End of period........................................ $27.497 $27.028 $26.118 ======= ======= ======= Total return............................................. 1.74% 3.48% 4.47% Ratios to Average Net Assets: Expenses............................................... 0.18% 0.33% 0.25% Investment income--net................................. 3.00% 4.50% 3.60% Portfolio turnover rate.................................. 28.19% 40.98% 63.56% Thousands of Accumulation Units outstanding at end of period ...................................... 4,959 5,112 3,626
(1) The percentages shown for this period are not annualized. 15 COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONCLUDED) NOTE 6--ACCUMULATION UNITS Changes in the number of Accumulation Units outstanding were as follows:
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT --------------------------- --------------------------- --------------------------- SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31, JUNE 30, 1999 1998 JUNE 30, 1999 1998 JUNE 30, 1999 1998 ----------- ----------- ----------- ----------- ----------- ----------- (Unaudited) (Unaudited) (Unaudited) Accumulation Units: Credited for premiums....... 14,104,400 20,309,464 2,526,787 3,510,276 2,483,014 3,943,919 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund.............. 2,608,359 58,933,328 (1,441,050) 22,316,290 717,745 2,713,496 Outstanding: Beginning of year........... 312,358,316 233,115,524 57,480,620 31,654,054 37,211,305 30,553,890 ----------- ----------- ----------- ----------- ----------- ----------- End of period............... 329,071,075 312,358,316 58,566,357 57,480,620 40,412,064 37,211,305 =========== =========== =========== =========== =========== ========== GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT --------------------------- --------------------------- --------------------------- SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED ENDED DECEMBER 31, ENDED DECEMBER 31, ENDED DECEMBER 31, JUNE 30, 1999 1998 JUNE 30, 1999 1998 JUNE 30, 1999 1998 ----------- ----------- ----------- ----------- ----------- ----------- (Unaudited) (Unaudited) (Unaudited) Accumulation Units: Credited for premiums....... 3,948,109 7,906,965 7,346,121 11,782,117 3,667,742 5,725,242 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund.............. (2,244,392) (10,726,495) 11,322,294 6,710,301 3,090,031 6,903,285 Outstanding: Beginning of year........... 81,825,334 84,644,864 98,862,241 80,369,823 47,996,880 35,368,353 ----------- ----------- ----------- ----------- ----------- ----------- End of period............... 83,529,051 81,825,334 117,530,656 98,862,241 54,754,653 47,996,880 =========== =========== =========== =========== =========== ========== INFLATION-LINKED BOND ACCOUNT --------------------------- SIX MONTHS YEAR ENDED ENDED DECEMBER 31, JUNE 30, 1999 1998 ----------- ----------- (Unaudited) Accumulation Units: Credited for premiums....... 286,296 246,599 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund.............. (439,121) 1,239,193 Outstanding: Beginning of year........... 5,111,827 3,626,035 ---------- ---------- End of period............... 4,959,002 5,111,827 ========== ==========
NOTE 7--LINE OF CREDIT The Stock, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts share in a $2 billion unsecured revolving credit facility for temporary or emergency purposes, including, without limitation, the funding of participant redemptions that otherwise might require the untimely disposition of securities. An annual commitment fee is charged for this facility, which is allocated among the participating Accounts. Interest associated with any borrowing under the credit facility will be charged to the borrowing Accounts at rates which are based on the Federal Funds Rate in effect during the time of the borrowing. For the six months ended June 30, 1999, there were no borrowings under the credit facility. 16 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT (UNAUDITED) JUNE 30, 1999 SUMMARY BY INDUSTRY (000) VALUE % ------ ------- SHORT TERM INVESTMENTS BANK NOTES ............................ $ 153,513 2.41% CERTIFICATES OF DEPOSIT ............... 317,508 4.98 COMMERCIAL PAPER ...................... 4,728,270 74.17 MEDIUM TERM BONDS ..................... 205,925 3.23 U.S. GOVERNMENT & AGENCIES ............ 392,324 6.15 VARIABLE RATE NOTES ................... 571,397 8.96 ---------- ------ TOTAL SHORT TERM INVESTMENTS (COST $6,372,484) ...................... 6,368,937 99.90 ---------- ------ TOTAL PORTFOLIO (COST $6,372,484) ...................... 6,368,937 99.90 OTHER ASSETS & LIABILITIES, NET ...... 6,576 0.10 ---------- ------ NET ASSETS .............................. $6,375,513 100.00% ========== ======= ======================================================= VALUE PRINCIPAL (000) ----------- ------ SHORT TERM INVESTMENTS--99.90% BANK NOTES--2.41% FCC NATIONAL BANK $25,400,000 4.940%, 08/24/99 .............. $ 25,387 20,000,000 5.000%, 11/19/99 ............ 19,959 25,000,000 5.240%, 03/02/00 ............ 24,906 FIRST NATIONAL BANK OF CHICAGO 25,000,000 5.180%, 03/15/00 ............ 24,893 KEY BANK 20,000,000 5.650%, 06/26/00 ............ 19,987 NATIONSBANK NA 15,000,000 4.930%, 07/06/99 ............ 15,000 SOUTHTRUST BANK NA 23,500,000 5.160%, 03/27/00 ............ 23,381 -------------- 153,513 -------------- CERTIFICATES OF DEPOSIT--4.98% CANADIAN IMPERIAL BANK OF COMMERCE 20,000,000 5.000%, 01/27/00 ............ 19,907 CHASE MANHATTAN BANK 20,000,000 5.685%, 08/03/99 ............ 20,009 COMMERZBANK AG. 25,000,000 5.090%, 04/12/00 ............ 24,852 DEUTSCHE BANK 8,000,000 4.920%, 08/19/99 ............ 7,998 15,000,000 5.710%, 07/06/00 ............ 14,994 DRESDNER BANK 20,000,000 4.950%, 08/10/99 ............ 19,999 25,000,000 4.900%, 09/07/99 ............ 24,980 FLEET NATIONAL BANK 25,000,000 4.940%, 07/21/99 ............ 24,999 20,000,000 4.880%, 08/11/99 ............ 19,994 MORGAN GUARANTY TRUST CO 5,000,000 4.900%, 10/15/99 ............ 4,991 NATIONAL WESTMINSTER BANK N.Y. 25,000,000 5.175%, 03/15/00 ............ 24,891 RABOBANK 10,000,000 5.290%, 05/19/00 ............ 9,953 TORONTO DOMINION BANK 20,000,000 5.650%, 07/09/99 ............. 20,003 10,000,000 5.270%, 03/02/00 ............ 9,964 WACHOVIA BANK, NATIONAL ASSOCIATION 20,000,000 5.000%, 09/01/99 ............ 19,988 WESTDEUTSCHE LANDESBANK 50,000,000 4.950%, 08/16/99 ............ 49,986 -------------- 317,508 -------------- COMMERCIAL PAPER--74.17% ABN AMRO NORTH AMERICA FINANCE, INC 20,000,000 4.935%, 09/02/99 ............ 19,814 10,000,000 4.960%, 09/02/99 ............ 9,907 20,000,000 4.860%, 12/01/99 ............ 19,541 AIR PRODUCTS & CHEMICALS, INC 25,000,000 4.810%, 07/30/99 ............ 24,899 22,000,000 4.790%, 08/02/99 ............ 21,903 10,500,000 4.940%, 08/18/99 ............ 10,428 5,060,000 4.780%, 10/25/99 ............ 4,973 AMERICAN EXPRESS CREDIT CORP 30,000,000 4.800%, 07/07/99 ............ 29,975 25,000,000 4.780%, 09/07/99 ............ 24,749 AMERICAN HOME PRODUCTS 20,000,000 ~ 4.840%, 07/20/99 ............ 19,948 25,000,000 ~ 4.800%, 07/29/99 ............ 24,903 26,272,000 ~ 4.800%, 08/06/99 ............ 26,140 4,000,000 ~ 4.880%, 09/03/99 ............ 3,962 AMERICAN TELEPHONE & TELEGRAPH CO 50,000,000 4.800%, 07/26/99 ............ 49,828 40,000,000 4.810%, 07/27/99 ............ 39,855 6,000,000 4.830%, 08/06/99 ............ 5,970 30,000,000 4.830%, 08/09/99 ............ 29,837 ASSET SECURITIZATION COOP CORP 50,000,000 ~ 4.860%, 07/19/99 ............ 49,879 25,000,000 ~ 4.920%, 07/28/99 ............ 24,908 19,000,000 ~ 4.900%, 07/29/99 ............ 18,928 25,000,000 ~ 5.060%, 08/10/99 ............ 24,862 3,140,000 ~ 5.170%, 08/30/99 3,112 ASSOCIATES CORP OF NORTH AMERICA 20,000,000 4.900%, 07/06/99 ............ 19,986 10,000,000 4.920%, 08/09/99 ............ 9,946 BANC ONE CORP 50,000,000 4.850%, 07/01/99 ............ 50,000 BEAR STEARNS CO, INC 25,000,000 ~ 4.865%, 07/16/99 ............ 24,949 20,000,000 ~ 4.830%, 07/26/99 ............ 19,931 BELLSOUTH CAPITAL FUNDING CORP 30,000,000 ~ 4.860%, 07/07/99 ............ 29,976 10,465,000 ~ 5.000%, 08/02/99 ............ 10,418 20,000,000 ~ 5.080%, 08/06/99 ............ 19,898 BELLSOUTH TELECOMMUNICATIONS, INC 20,000,000 5.250%, 07/02/99 ............ 19,997 15,000,000 4.900%, 08/11/99 ............ 14,916 BETA FINANCE, INC 5,000,000 ~ 4.860%, 07/15/99 ............ 4,991 1,000,000 ~ 4.870%, 07/29/99 ............ 996 10,000,000 ~ 4.820%, 08/09/99 ............ 9,946 See notes to financial statements. 17 MONEY MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) ----------- ------ COMMERCIAL PAPER (CONTINUED) $ 550,000 ~ 4.870%, 08/16/99 ............ $ 546 9,000,000 ~ 4.920%, 09/02/99 ............ 8,916 14,146,000 ~ 4.870%, 09/08/99 ............ 14,002 4,704,000 ~ 4.870%, 09/13/99 ............ 4,653 13,500,000 ~ 4.860%, 09/20/99 ............ 13,338 10,000,000 ~ 4.830%, 10/22/99 ............ 9,832 CAMPBELL SOUP CO 22,600,000 4.720%, 07/23/99 ............ 22,532 25,000,000 4.810%, 12/10/99 ............ 24,392 15,000,000 4.840%, 01/31/00 ............ 14,512 CARGILL GLOBAL FUNDING PLC 25,000,000 ~ 4.820%, 07/08/99 ............ 24,976 CAROLINA POWER & LIGHT CO 9,477,000 4.790%, 07/09/99 ............ 9,467 15,000,000 5.220%, 11/22/99 ............ 14,679 CATERPILLAR FINANCIAL SERVICES CORP 16,000,000 4.810%, 07/09/99 ............ 15,983 16,500,000 4.980%, 10/04/99 ............ 16,266 CIESCO LP 5,000,000 ~ 4.800%, 07/01/99 ............ 5,000 15,000,000 ~ 4.800%, 07/07/99 ............ 14,988 15,000,000 4.830%, 07/12/99 ............ 14,978 9,300,000 4.830%, 07/20/99 ............ 9,276 23,000,000 4.890%, 07/21/99 ............ 22,938 20,000,000 4.900%, 08/02/99 ............ 19,913 50,000,000 5.100%, 08/20/99 ............ 49,646 CIGNA CORP 30,000,000 4.970%, 07/16/99 ............ 29,938 CIT GROUP HOLDINGS, INC 25,000,000 4.850%, 07/14/99 ............ 24,956 CITIGROUP, INC 30,000,000 4.960%, 07/16/99 ............ 29,938 COCA COLA ENTERPRISES, INC 15,000,000 ~ 4.920%, 07/09/99 ............ 14,984 15,000,000 ~ 4.840%, 07/12/99 ............ 14,977 20,000,000 ~ 4.890%, 07/20/99 ............ 19,947 10,000,000 ~ 5.050%, 08/05/99 ............ 9,951 COMMERCIAL CREDIT CO 25,000,000 4.850%, 07/07/99 ............ 24,980 10,000,000 4.890%, 07/16/99 ............ 9,980 10,000,000 4.900%, 07/23/99 ............ 9,970 CORPORATE ASSET FUNDING CORP, INC 50,000,000 ~ 4.810%, 07/12/99 ............ 49,925 10,000,000 ~ 4.810%, 07/16/99 ............ 9,980 20,000,000 ~ 4.890%, 07/28/99 ............ 19,927 30,000,000 ~ 4.950%, 08/12/99 ............ 29,822 40,000,000 ~ 5.070%, 08/24/99 ............ 39,689 DAIMLERCHRYSLER NORTH AMERICA HOLDINGS 10,000,000 4.850%, 07/30/99 ............ 9,960 21,075,000 4.840%, 08/02/99 ............ 20,982 25,000,000 4.940%, 09/14/99 ............ 24,722 5,500,000 5.070%, 09/14/99 ............ 5,439 10,000,000 4.810%, 10/14/99 ............ 9,843 DELAWARE FUNDING CORP 6,265,000 ~ 5.300%, 07/08/99 ............ 6,259 7,168,000 ~ 4.870%, 07/15/99 ............ 7,154 10,000,000 ~ 5.000%, 07/15/99 ............ 9,981 3,244,000 ~ 4.850%, 07/16/99 ............ 3,237 15,000,000 ~ 4.810%, 07/20/99 ............ 14,961 21,491,000 ~ 5.050%, 07/29/99 ............ 21,407 25,000,000 ~ 4.920%, 08/05/99 ............ 24,880 25,000,000 ~ 4.870%, 08/10/99 ............ 24,860 15,000,000 ~ 5.020%, 08/17/99 ............ 14,900 14,364,000 ~ 5.050%, 09/09/99 ............ 14,216 DEUTSCHE BANK FINANCIAL, INC $53,375,000 4.810%, 07/21/99 ............ $53,228 10,000,000 4.805%, 08/10/99 ............ 9,944 DUPONT (E.I.) DE NEMOURS & CO 15,000,000 4.820%, 10/28/99 ............ 14,734 21,450,000 4.795%, 11/10/99 ............ 21,028 25,000,000 4.815%, 11/23/99 ............ 24,461 EASTMAN KODAK CO 8,650,000 4.800%, 07/13/99 ............ 8,636 14,000,000 4.790%, 07/16/99 ............ 13,971 19,450,000 4.800%, 07/22/99 ............ 19,394 20,000,000 4.790%, 08/03/99 ............ 19,908 10,000,000 4.800%, 08/09/99 ............ 9,946 23,000,000 4.790%, 08/13/99 ............ 22,860 20,000,000 4.800%, 08/19/99 ............ 19,860 15,000,000 4.890%, 09/23/99 ............ 14,813 6,000,000 4.950%, 10/05/99 ............ 5,914 ENTERPRISE FUNDING CORP 25,000,000 ~ 4.840%, 07/15/99 ............ 24,952 13,000,000 ~ 4.940%, 08/12/99 ............ 12,923 15,000,000 ~ 5.000%, 08/19/99 ............ 14,895 7,000,000 ~ 4.875%, 08/26/99 ............ 6,943 EQUILON ENTERPRISES LLC 25,000,000 4.810%, 07/06/99 ............ 24,983 20,000,000 4.840%, 07/13/99 ............ 19,968 20,000,000 4.850%, 07/13/99 ............ 19,968 5,100,000 4.860%, 07/13/99 ............ 5,092 10,000,000 4.900%, 07/22/99 ............ 9,971 20,000,000 4.860%, 08/03/99 ............ 19,908 15,000,000 5.100%, 08/04/99 ............ 14,928 13,800,000 4.970%, 08/23/99 ............ 13,695 FORD MOTOR CREDIT CO 50,000,000 4.800%, 07/08/99 ............ 49,952 20,000,000 4.810%, 07/08/99 ............ 19,981 20,000,000 4.790%, 07/09/99 ............ 19,978 10,000,000 4.830%, 07/12/99 ............ 9,985 11,700,000 4.900%, 07/20/99 ............ 11,670 4,100,000 4.820%, 07/26/99 ............ 4,086 15,000,000 5.030%, 09/03/99 ............ 14,858 FORTUNE BRANDS, INC 9,000,000 ~ 4.800%, 07/08/99 ............ 8,991 30,000,000 ~ 4.880%, 07/08/99 ............ 29,972 10,000,000 ~ 4.900%, 08/04/99 ............ 9,954 15,000,000 ~ 4.790%, 08/09/99 ............ 14,918 12,000,000 ~ 4.790%, 08/12/99 ............ 11,929 10,000,000 ~ 4.840%, 08/26/99 ............ 9,918 16,581,000 ~ 4.850%, 08/26/99 ............ 16,445 14,000,000 ~ 4.850%, 08/30/99 ............ 13,876 GENERAL ELECTRIC CAPITAL CORP 25,000,000 4.830%, 07/13/99 ............ 24,959 7,025,000 4.800%, 08/26/99 ............ 6,967 18,000,000 4.810%, 09/08/99 ............ 17,816 20,000,000 4.800%, 10/06/99 ............ 19,710 GENERAL MILLS 9,525,000 4.970%, 11/29/99 ............ 9,309 8,500,000 4.970%, 12/02/99 ............ 8,303 GENERAL MOTORS ACCEPTANCE CORP 25,000,000 4.810%, 07/14/99 ............ 24,956 13,000,000 4.840%, 07/29/99 ............ 12,950 50,000,000 4.910%, 07/30/99 ............ 49,802 30,000,000 4.860%, 08/06/99 ............ 29,850 10,000,000 4.880%, 08/18/99 ............ 9,932 GEORGIA POWER CO 16,300,000 5.000%, 07/21/99 ............ 16,255 See notes to financial statements. 18 MONEY MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) ----------- ------ COMMERCIAL PAPER (CONTINUED) GOLDMAN SACHS GROUP LP $30,000,000 4.880%, 07/01/99 ............. $30,000 25,950,000 5.050%, 09/21/99 ............ 25,635 20,000,000 5.080%, 09/22/99 ............ 19,754 GTE FUNDING, INC 11,596,000 5.030%, 07/16/99 ............ 11,572 28,300,000 5.100%, 07/19/99 ............ 28,228 HEINZ (H.J.) CO 12,500,000 4.800%, 07/15/99 ............ 12,476 HERSHEY FOODS CORP 44,300,000 5.050%, 09/03/99 ............ 43,881 J.P. MORGAN & CO 10,000,000 5.020%, 08/31/99 ............ 9,910 4,225,000 4.830%, 11/08/99 ............ 4,143 10,000,000 4.820%, 12/10/99 ............ 9,757 JOHNSON & JOHNSON CO 32,500,000 ~ 4.840%, 07/15/99 ............ 32,438 25,425,000 ~ 5.030%, 11/01/99 ............ 24,959 KEYCORP 25,000,000 4.940%, 08/03/99 ............ 24,885 KIMBERLY-CLARK WORLDWIDE, INC 19,725,000 ~ 5.000%, 07/26/99 ............ 19,657 LUCENT TECHNOLOGIES, INC 9,517,000 5.000%, 07/30/99 ............ 9,479 MCCORMICK & CO, INC 10,000,000 4.780%, 08/24/99 ............ 9,922 575,000 4.850%, 09/07/99 ............ 569 6,425,000 4.890%, 10/22/99 ............ 6,317 MCGRAW-HILL COS, INC 36,150,000 4.830%, 07/06/99 ............ 36,125 8,800,000 4.820%, 07/27/99 ............ 8,768 12,960,000 4.790%, 08/10/99 ............ 12,887 9,700,000 4.850%, 08/11/99 ............ 9,644 483,000 4.850%, 08/18/99 ............ 480 15,000,000 5.150%, 08/25/99 ............ 14,882 19,000,000 5.040%, 09/16/99 ............ 18,783 8,373,000 5.050%, 09/27/99 ............ 8,264 15,000,000 5.170%, 09/28/99 ............ 14,802 MERRILL LYNCH & CO, INC 20,000,000 5.020%, 07/20/99 ............ 19,947 MOTIVA ENTERPRISES LLC 10,000,000 4.850%, 07/16/99 ............ 9,980 20,000,000 4.800%, 07/19/99 ............ 19,950 15,000,000 4.860%, 07/23/99 ............ 14,955 20,000,000 4.890%, 07/23/99 ............ 19,940 25,000,000 4.890%, 08/05/99 ............ 24,878 10,000,000 5.020%, 08/11/99 ............ 9,943 15,000,000 5.010%, 08/13/99 ............ 14,910 14,000,000 5.030%, 08/23/99 ............ 13,894 MOTOROLA CREDIT CORP 5,000,000 4.810%, 07/02/99 ............ 4,999 23,750,000 4.830%, 07/02/99 ............ 23,747 30,000,000 4.800%, 07/23/99 ............ 29,909 MOTOROLA, INC 30,000,000 4.800%, 07/29/99 ............ 29,883 NATIONAL FUEL GAS CO 10,600,000 5.850%, 07/01/99 ............ 10,600 5,000,000 5.000%, 07/20/99 ............ 4,987 10,000,000 5.200%, 07/22/99 ............ 9,970 5,200,000 5.220%, 08/04/99 ............ 5,174 5,000,000 5.020%, 08/10/99 ............ 4,971 15,000,000 5.100%, 08/16/99 ............ 14,900 NATIONAL RURAL UTILITIES COOP FINANCE 20,000,000 4.790%, 07/09/99 ............ 19,978 15,000,000 4.830%, 07/21/99 ............ 14,959 31,000,000 4.835%, 07/22/99 ............ 30,911 10,000,000 4.820%, 07/23/99 ............ 9,970 6,500,000 4.810%, 07/27/99 ............ 6,477 30,000,000 4.790%, 08/04/99 ............ 29,858 22,800,000 4.800%, 08/12/99 ............ 22,665 15,000,000 4.850%, 08/20/99 ............ 14,893 NEWELL RUBBERMAID, INC 23,700,000 ~ 4.870%, 07/14/99 ............ 23,658 20,000,000 ~ 5.000%, 07/22/99 ............ 19,942 NORTHERN INDIANA PUBLIC SERVICE CO 25,000,000 5.000%, 07/23/99 ............ 24,924 NORTHERN STATES POWER CO 29,500,000 4.850%, 08/16/99 ............ 29,308 PACCAR FINANCIAL CORP 7,500,000 4.870%, 07/07/99 ............ 7,494 13,000,000 5.000%, 07/09/99 ............ 12,986 6,900,000 5.000%, 07/20/99 ............ 6,882 24,700,000 4.790%, 07/22/99 ............ 24,629 3,000,000 4.800%, 08/11/99 ............ 2,983 15,000,000 4.900%, 08/11/99 ............ 14,913 19,000,000 5.115%, 09/22/99 ............ 18,766 21,000,000 5.115%, 09/24/99 ............ 20,736 10,000,000 4.700%, 10/08/99 ............ 9,852 PACIFICORP 25,000,000 4.800%, 07/07/99 ............ 24,979 25,000,000 4.890%, 07/15/99 ............ 24,952 PARK AVENUE RECEIVABLES CORP 5,000,000 ~ 4.870%, 07/06/99 ............ 4,997 43,000,000 ~ 4.960%, 07/12/99 ............ 42,935 13,000,000 ~ 4.930%, 07/19/99 ............ 12,968 20,272,000 ~ 5.125%, 07/23/99 ............ 20,209 10,184,000 ~ 5.050%, 07/26/99 ............ 10,148 30,000,000 ~ 4.820%, 07/27/99 ............ 29,892 16,500,000 ~ 5.070%, 08/13/99 ............ 16,400 12,000,000 ~ 5.300%, 09/02/99 ............ 11,888 PFIZER, INC 37,900,000 ~ 4.850%, 07/06/99 ............ 37,874 21,700,000 ~ 4.950%, 07/12/99 ............ 21,667 50,000,000 ~ 4.960%, 07/28/99 ............ 49,814 PORTLAND GENERAL ELECTRIC CO 10,000,000 4.910%, 07/09/99 ............ 9,989 10,200,000 4.800%, 07/13/99 ............ 10,183 10,000,000 4.900%, 07/16/99 ............ 9,980 5,000,000 4.900%, 07/20/99 ............ 4,987 10,000,000 4.900%, 07/27/99 ............ 9,965 5,900,000 5.280%, 08/06/99 ............ 5,869 PROCTOR & GAMBLE CO 9,000,000 5.000%, 08/09/99 ............ 8,951 RECEIVABLES CAPITAL CORP 18,088,000 ~ 4.860%, 07/06/99 ............ 18,076 30,000,000 ~ 4.820%, 07/07/99 ............ 29,975 20,000,000 ~ 4.820%, 07/08/99 ............ 19,981 2,993,000 ~ 4.870%, 07/14/99 ............ 2,988 25,101,000 ~ 4.963%, 08/04/99 ............ 24,983 22,000,000 ~ 5.080%, 08/18/99 ............ 21,850 7,000,000 ~ 5.070%, 08/23/99 ............ 6,947 25,000,000 ~ 4.960%, 09/03/99 ............ 24,763 SAINT PAUL COS, INC 20,000,000 ~ 4.870%, 07/02/99 ............ 19,997 20,000,000 ~ 4.930%, 07/12/99 ............ 19,970 20,000,000 ~ 4.870%, 07/14/99 ............ 19,965 11,825,000 ~ 5.000%, 07/29/99 ............ 11,779 SALOMON SMITH BARNEY HOLDINGS, INC 25,000,000 4.890%, 08/02/99 ............ 24,889 SC JOHNSON & SON, INC 9,400,000 ~ 5.000%, 07/07/99 ............ 9,392 8,000,000 ~ 4.810%, 07/12/99 ............ 7,988 See notes to financial statements. 19 MONEY MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) ----------- ------ COMMERCIAL PAPER (CONTINUED) $ 8,000,000 ~ 4.860%, 07/13/99 ............ $ 7,987 8,000,000 ~ 4.850%, 07/19/99 ............ 7,980 6,300,000 ~ 4.860%, 07/19/99 ............ 6,285 15,000,000 ~ 5.070%, 07/27/99 ............ 14,945 10,000,000 ~ 5.100%, 08/03/99 ............ 9,953 10,000,000 ~ 5.100%, 08/10/99 ............ 9,943 3,350,000 ~ 5.120%, 08/17/99 ............ 3,328 15,000,000 ~ 5.090%, 08/23/99 ............ 14,886 SCHERING CORP 21,700,000 4.820%, 07/28/99 ............ 21,619 1,500,000 4.880%, 08/10/99 ............ 1,492 17,000,000 5.180%, 10/05/99 ............ 16,756 SEARS ROEBUCK ACCEPTANCE CORP 40,000,000 4.900%, 07/26/99 ............ 39,864 SWEDISH EXPORT CREDIT CORP 20,000,000 4.800%, 09/16/99 ............ 19,772 THE STANLEY WORKS 12,000,000 ~ 4.800%, 07/13/99 ............ 11,980 3,500,000 ~ 4.800%, 07/19/99 ............ 3,491 12,500,000 ~ 4.800%, 08/05/99 ............ 12,439 TORONTO DOMINION HOLDINGS (U.S.) 20,000,000 4.900%, 11/22/99 ............ 19,571 25,000,000 4.850%, 11/30/99 ............ 24,429 25,000,000 5.060%, 12/06/99 ............ 24,407 UBS FINANCE, INC (DELAWARE) 10,000,000 4.800%, 07/08/99 ............ 9,990 10,000,000 4.900%, 10/12/99 ............ 9,846 WALT DISNEY CO 16,000,000 4.830%, 09/24/99 ............ 15,799 8,000,000 4.780%, 10/27/99 ............ 7,859 15,326,000 4.790%, 11/09/99 ............ 15,027 20,000,000 4.870%, 11/17/99 ............ 19,586 22,850,000 4.795%, 11/19/99 ............ 22,371 11,100,000 4.800%, 11/19/99 ............ 10,867 WARNER-LAMBERT CO 40,000,000 ~ 4.830%, 08/17/99 ............ 39,732 XEROX CAPITAL PLC (EUROPE) 40,375,000 5.000%, 07/27/99 ............ 40,224 ------------ 4,728,270 ------------ MEDIUM TERM BONDS--3.23% ABBEY NATIONAL TREASURY SERVICES 20,000,000 5.050%, 04/17/00 ............ 19,884 AIR PRODUCTS & CHEMICALS, INC 8,000,000 6.010%, 12/15/99 ............ 8,015 BETA FINANCE, INC 10,000,000 5.130%, 01/11/00 ............ 9,965 10,000,000 5.400%, 06/01/00 ............ 9,975 CHASE MANHATTAN CORP 8,000,000 7.580%, 07/23/99 ............ 8,011 CHRYSLER FINANCIAL CORP 6,000,000 6.375%, 01/28/00 ............ 6,021 CIT GROUP HOLDINGS, INC 5,000,000 6.250%, 09/30/99 ............ 5,008 3,105,000 5.875%, 12/09/99 ............ 3,107 4,850,000 6.800%, 04/17/00 ............ 4,884 DUPONT (E.I.) DE NEMOURS CO 10,000,000 5.079%, 04/03/00 ............ 9,953 FLORIDA POWER & LIGHT CO 4,850,000 5.375%, 04/01/00 ............ 4,831 FLORIDA POWER CORP 10,000,000 6.500%, 12/01/99 ............ 10,049 FORD MOTOR CREDIT CO 15,941,000 6.375%, 09/15/99 ............ 15,967 GENERAL MOTORS ACCEPTANCE CORP 5,500,000 6.700%, 04/17/00 ............ 5,535 JOHN DEERE CAPITAL CORP 22,372,000 6.500%, 09/20/99 ............ 22,410 PACCAR FINANCIAL CORP 5,000,000 6.290%, 09/15/99 ............ 5,007 15,000,000 5.540%, 06/15/00 ............ 14,955 PACIFICORP 5,000,000 7.110%, 01/20/00 ............ 5,020 PITNEY BOWES CREDIT CORP 2,500,000 6.540%, 07/15/99 ............ 2,501 XEROX CREDIT CORP 25,000,000 5.113%, 03/21/00 ............ 24,858 10,000,000 5.320%, 03/31/00 ............ 9,969 ------------ 205,925 ------------ U.S. GOVERNMENT & AGENCIES--6.15% FEDERAL FARM CREDIT BANK 50,000,000 4.875%, 09/01/99 ............ 49,972 4,700,000 4.700%, 11/08/99 ............ 4,611 4,050,000 4.573%, 12/15/99 ............ 3,952 7,400,000 4.610%, 12/15/99 ............ 7,221 200,000 4.700%, 01/28/00 ............ 194 FEDERAL HOME LOAN BANK 10,518,000 4.750%, 09/29/99 ............ 10,380 23,000,000 4.770%, 02/08/00 ............ 22,261 10,000,000 5.125%, 03/16/00 ............ 9,969 995,000 4.800%, 04/28/00 ............ 951 FEDERAL HOME LOAN MORTGAGE CORP 4,740,000 4.770%, 08/27/99 ............ 4,702 1,150,000 4.750%, 09/09/99 ............ 1,139 15,150,000 4.780%, 09/09/99 ............ 15,000 14,850,000 4.900%, 09/10/99 ............ 14,701 7,250,000 4.746%, 09/24/99 ............ 7,163 20,000,000 5.110%, 01/21/00 ............ 19,410 FEDERAL NATIONAL MORTGAGE ASSOCIATION 16,975,000 4.870%, 09/01/99 ............ 16,826 25,000,000 4.810%, 09/07/99 ............ 24,759 4,715,000 4.680%, 10/01/99 ............ 4,652 39,000,000 4.735%, 10/08/99 ............ 38,439 15,600,000 4.910%, 11/19/99 ............ 15,281 50,000,000 4.730%, 12/15/99 ............ 48,791 35,000,000 4.680%, 12/27/99 ............ 34,094 38,000,000 5.050%, 05/12/00 ............ 37,856 ------------ 392,324 ------------ VARIABLE RATE NOTES--8.96% ABBEY NATIONAL TREASURY SERVICES 25,000,000 4.790%, 07/20/99 ............ 24,999 AIR PRODUCTS & CHEMICALS, INC 23,500,000 5.101%, 10/25/99 ............ 23,500 AMERICAN EXPRESS CENTURION BANK 15,000,000 4.950%, 02/14/00 ............ 14,997 20,000,000 4.960%, 04/17/00 ............ 19,992 20,000,000 4.950%, 05/19/00 ............ 19,994 19,000,000 4.960%, 06/01/00 ............ 18,992 ASSET SECURITIZATION COOP CORP 15,000,000 5.095%, 03/10/00 ............ 14,997 BANK OF MONTREAL 9,000,000 4.960%, 07/22/99 ............ 8,999 25,000,000 5.960%, 07/22/99 ............ 24,998 BETA FINANCE, INC 20,000,000 5.120%, 04/17/00 ............ 19,994 25,000,000 4.960%, 05/25/00 ............ 24,995 CHASE MANHATTAN CORP 10,000,000 4.960%, 01/20/00 ............ 9,998 COLGATE-PALMOLIVE CO 20,000,000 4.888%, 08/25/99 ............ 19,996 See notes to financial statements. 20 MONEY MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) ----------- ------ VARIABLE RATE NOTES--(CONTINUED) FIRST UNION NATIONAL BANK NC $25,000,000 5.150%, 08/20/99 ............ $ 24,996 25,000,000 5.150%, 09/24/99 ............ 24,995 FLEET NATIONAL BANK 21,000,000 5.070%, 04/17/00 ............ 20,996 GENERAL MOTORS ACCEPTANCE CORP 14,000,000 4.913%, 03/02/00 ............ 13,997 HOUSEHOLD FINANCE CORP 25,000,000 5.177%, 07/19/99 ............ 25,000 INTERNATIONAL BUSINESS MACHINES CORP 25,000,000 4.950%, 10/19/99 ............ 24,998 20,000,000 4.965%, 10/21/99 ............ 19,998 J.P. MORGAN & CO 10,000,000 4.842%, 07/07/99 ............ 10,000 PEPSICO, INC 25,000,000 4.837%, 08/19/99 ............ 24,996 PNC BANK NA 20,000,000 5.015%, 07/27/99 ............ 19,999 5,000,000 4.963%, 10/13/99 ............ 5,000 ROYAL BANK OF CANADA 25,000,000 4.795%, 07/06/99 ............ 25,000 25,000,000 4.790%, 09/10/99 ............ 24,993 SOUTHTRUST 10,000,000 4.890%, 05/17/00 ............ 9,990 STUDENT LOAN MARKETING ASSOCIATION 25,000,000 4.910%, 10/20/99 ............ 24,993 U.S. BANCORP 25,000,000 4.885%, 09/13/99 ............ 24,995 ----------- 571,397 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $6,372,484) .............. 6,368,937 ----------- TOTAL PORTFOLIO (Cost $6,372,484) .............. $6,368,937 =========== - ----------------- ~ Commerical Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. See notes to financial statements. 21 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT (Unaudited) JUNE 30, 1999 SUMMARY BY INDUSTRY (000) VALUE % --------- ------- BONDS CORPORATE BONDS ASSET BACKED ............................. $144,444 4.72% BUSINESS SERVICES ........................ 9,859 0.32 CHEMICALS AND ALLIED PRODUCTS ............ 14,440 0.47 COMMUNICATIONS ........................... 123,105 4.02 DEPOSITORY INSTITUTIONS .................. 62,998 2.06 ELECTRIC, GAS, AND SANITARY SERVICES ..... 136,027 4.44 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT .. 8,890 0.29 FOOD AND KINDRED PRODUCTS ................ 32,555 1.06 FOOD STORES .............................. 12,678 0.41 GENERAL MERCHANDISE STORES ............... 5,007 0.16 INDUSTRIAL MACHINERY AND EQUIPMENT ....... 16,213 0.53 INSTRUMENTS AND RELATED PRODUCTS ......... 4,974 0.16 INSURANCE CARRIERS ....................... 20,434 0.67 MOTION PICTURES .......................... 12,931 0.42 NONDEPOSITORY INSTITUTIONS ............... 108,125 3.53 OIL AND GAS EXTRACTION ................... 10,485 0.34 OTHER MORTGAGE BACKED SECURITIES ......... 64,409 2.10 PAPER AND ALLIED PRODUCTS ................ 4,744 0.16 PETROLEUM AND COAL PRODUCTS .............. 46,462 1.52 PRINTING AND PUBLISHING .................. 30,730 1.00 RAILROAD TRANSPORTATION .................. 10,511 0.34 SECURITY AND COMMODITY BROKERS ........... 15,591 0.51 TOBACCO PRODUCTS ......................... 6,411 0.21 TRANSPORTATION BY AIR .................... 10,006 0.33 TRANSPORTATION EQUIPMENT ................. 4,724 0.16 WHOLESALE TRADE-NONDURABLE GOODS ......... 9,342 0.31 ---------- ------ TOTAL CORPORATE BONDS (COST $951,821) ......................... 926,095 30.24 ---------- ------ GOVERNMENT BONDS AGENCY SECURITIES ........................ 336,728 10.99 FOREIGN GOVERNMENT BONDS ................. 59,566 1.95 GOVERNMENT BONDS ......................... 20 0.00 MORTGAGE BACKED SECURITIES ............... 1,164,838 38.03 OTHER MORTGAGE BACKED SECURITIES ......... 1,963 0.06 U.S. TREASURY SECURITIES ................. 438,081 14.30 ---------- ------ TOTAL GOVERNMENT BONDS (COST $2,028,151) ....................... 2,001,196 65.33 ---------- ------ TOTAL BONDS (COST $2,979,972) ........................ 2,927,291 95.57 ---------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ......................... 579,074 18.91 INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED ....................... 318,181 10.39 ---------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $897,419) .......................... 897,255 29.30 ---------- ------ TOTAL PORTFOLIO (Cost $3,877,391) ........................ 3,824,546 124.87 OTHER ASSETS & LIABILITIES, NET ......... (761,684) (24.87) ---------- ------ NET ASSETS .................................$3,062,862 100.00% ========== ====== ======================================================== VALUE PRINCIPAL RATINGS+ (000) ----------- --------- ------- BONDS--95.57% CORPORATE BONDS--30.24% ASSET BACKED--4.72% ADVANTA MORTGAGE LOAN TRUST SERIES 1998-1 (CLASS A3) $23,000,000 6.270%, 12/25/17 .......... AAA $22,896 AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST SERIES 1999-1 (CLASS A) 1,000,000 5.600%, 11/15/06 .......... AAA 967 AMRESCO RESIDENTIAL SECURITIES MORTGAGE LOAN TRUST SERIES 1997-2 (CLASS A3) 1,549,107 6.795%, 12/25/20 .......... AAA 1,547 BLOCK MORTGAGE FINANCE, INC SERIES 1997-1 (CLASS A-2) 1,793,227 6.850%, 10/25/11 .......... AAA 1,791 CASE EQUIPMENT LOAN TRUST SERIES 1999-A (CLASS A4) 17,500,000 5.770%, 08/15/05 .......... AAA 17,171 CHASE CREDIT CARD MASTER TRUST SERIES 1997-2 (CLASS B) 10,000,000 6.450%, 04/15/03 .......... A2 10,073 CITIBANK CREDIT CARD MASTER TRUST I SERIES 1999-2 (CLASS A) 4,800,000 5.875%, 03/10/11 .......... AAA 4,470 COMED TRANSITIONAL FUNDING TRUST SERIES 1998-1 (CLASS A5) 10,000,000 5.440%, 03/25/07 .......... AAA 9,556 FIRST ALLIANCE MORTGAGE LOAN TRUST SERIES 1997-3 (CLASS A1) 2,471,578 6.935%, 12/20/28 .......... AAA 2,482 GE CAPITAL MORTGAGE SERVICES, INC SERIES 1999-HE1 (CLASS A3) 20,300,000 6.035%, 06/25/20 .......... AAA 19,995 GREEN TREE HOME EQUITY LOAN TRUST SERIES 1998-C (CLASS A3) 26,340,000 6.180%, 07/15/29 .......... AAA 26,241 GREEN TREE HOME EQUITY LOAN TRUST SERIES 1999-A (CLASS A2) 9,000,000 5.780%, 02/15/14 .......... AAA 8,916 HELLER EQUIPMENT ASSET RECEIVABLES TRUST SERIES 1999-1 (CLASS A4) 9,845,216 5.620%, 12/13/04 .......... AAA 9,599 MBNA MASTER CREDIT CARD TRUST SERIES 1999-B (CLASS A) 5,000,000 5.900%, 08/15/11 .......... AAA 4,698 NATIONSBANK AUTO GRANTOR TRUST SERIES 1995-A (CLASS A) 199,344 5.850%, 06/15/02 .......... AAA 199 TOYOTA AUTO RECEIVABLES GRANTOR TRUST SERIES 1997-A (CLASS B) 1,299,723 6.600%, 04/15/02 .......... A2 1,303 VANDERBILT MORTGAGE & FINANCE SERIES 1997-A (CLASS A-2) 2,533,683 6.525%, 12/07/28 .......... AAA 2,540 ----------- 144,444 ----------- +AS PROVIDED BY MOODY'S INVESTORS SERVICES (UNAUDITED) See notes to financial statements. 22 BOND MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL RATINGS+ (000) ----------- --------- ------- BUSINESS SERVICES--0.32% COMDISCO, INC (SR NOTE) $10,000,000 6.000%, 01/30/02 .......... BAA1 $ 9,859 ----------- CHEMICALS AND ALLIED PRODUCTS--0.47% ABBOTT LABORATORIES NOTE 5,000,000 5.400%, 09/15/08 .......... AA1 4,594 MONSANTO CO NOTE 5,000,000 ! 5.750%, 12/01/05 .......... A2 4,747 ROHM & HAAS CO DEB 5,000,000 ! 7.850%, 07/15/29 .......... A3 5,099 ----------- 14,440 ----------- COMMUNICATIONS--4.02% BELLSOUTH TELECOMMUNICATIONS NOTE 10,000,000 [] 6.500%, 06/15/05 .......... AAA 9,944 COMCAST CELLULAR HOLDINGS (SR NOTE) 10,500,000 9.500%, 05/01/07 .......... A2 11,708 CONTINENTAL CABLEVISION (SR NOTE) 5,000,000 8.300%, 05/15/06 .......... BAA3 5,312 ELECTRIC LIGHTWAVE, INC NOTE 10,000,000 ! 6.050%, 05/15/04 .......... A2 9,756 GTE CORP DEB 10,000,000 6.940%, 04/15/28 .......... BAA1 9,466 JONES INTERCABLE, INC (SR NOTE) 12,500,000 9.625%, 03/15/02 .......... BA1 13,375 LENFEST COMMUNICATIONS NOTE 10,000,000 8.375%, 11/01/05 .......... BA2 10,444 5,000,000 8.250%, 02/15/08 .......... B2 5,169 LIBERTY MEDIA GROUP DEB 5,000,000 ^! 7.875%, 07/15/09 .......... BAA3 5,036 MCI COMMUNICATIONS CORP (SR NOTE) 10,000,000 6.500%, 04/15/10 .......... BAA2 9,584 QWEST COMMUNICATIONS INTERNATIONAL, INC (SR NOTE) 11,000,000 7.500%, 11/01/08 .......... BA1 10,999 U.S. WEST CAPITAL FUNDING, INC 7,800,000 6.125%, 07/15/02 .......... BAA1 7,696 8,500,000 6.875%, 07/15/28 .......... BAA1 7,768 WORLDCOM, INC (SR NOTE) 7,000,000 6.400%, 08/15/05 .......... A3 6,848 ----------- 123,105 ----------- DEPOSITORY INSTITUTIONS--2.06% AMSOUTH BANCORP (SUB NOTE) 10,000,000 6.125%, 03/01/09 .......... A3 9,207 AMSOUTH BANK OF ALABAMA (SUB DEB) 5,000,000 6.450%, 02/01/18 .......... A1 4,744 DIME BANCORP, INC (SR NOTE) (NEW) 11,000,000 6.375%, 01/30/01 .......... BA1 10,986 FIRST UNION CORP NOTE 10,000,000 6.625%, 06/15/04 .......... A1 9,997 FLEET NATIONAL BANK (SUB NOTE) 10,000,000 5.750%, 01/15/09 .......... A2 9,041 HSBC HOLDINGS PLC (SUB NOTE) 9,000,000 ^ 7.500%, 07/15/09 .......... A2 9,082 U.S. BANCORP (SR NOTE) 10,000,000 6.500%, 06/15/04 .......... A1 9,941 ----------- 62,998 ----------- ELECTRIC, GAS, AND SANITARY SERVICES--4.44% CAITHNESS COSO FUND CORP NOTE 10,000,000 ! 6.800%, 12/15/01 .......... BA1 9,913 CLEVELAND ELECTRIC ILLUMINATING (SR NOTE) 6,000,000 7.430%, 11/01/09 .......... BA1 5,954 CLEVELAND ELECTRIC TOLEDO EDISON NOTE 5,000,000 7.190%, 07/01/00 .......... BA1 5,016 CMS PANHANDLE HOLDINGS CO (SR NOTE) 10,000,000 ! 6.125%, 03/15/04 ......... BAA3 9,710 COASTAL CORP (SR NOTE) 11,490,000 10.000%, 02/01/01 ......... BAA2 12,116 CONSUMERS ENERGY CO NOTE 5,000,000 6.200%, 05/01/03 .......... BAA3 4,873 EL PASO ELECTRIC CO (FIRST MORTGAGE BOND) 5,000,000 8.900%, 02/01/06 .......... BA1 5,429 EL PASO ENERGY CORP (SR NOTE) 10,000,000 12.000%, 12/15/00 ......... BAA3 10,480 GEORGIA POWER CO (SR NOTE) 10,000,000 [] 5.500%, 12/01/05 .......... A2 9,363 KN ENERGY, INC (SR NOTE) 7,000,000 6.450%, 11/30/01 .......... BAA2 6,970 MIDAMERICAN ENERGY HOLDINGS DEB 12,500,000 8.480%, 09/15/28 .......... BAA3 13,340 MONONGAHELA POWER CO (FIRST MORTGAGE BOND) 3,000,000 8.625%, 11/01/21 .......... A1 3,169 NATIONAL RURAL UTILITIES TRUST 5,000,000 5.000%, 10/01/02 .......... AA3 4,813 NIAGARA MOHAWK POWER CO NOTE 10,000,000 7.125%, 07/01/01 .......... BAA3 10,053 4,500,000 5.875%, 09/01/02 .......... BAA2 4,434 PUGET SOUND ENERGY, INC (SR DEB) 5,000,000 7.020%, 12/01/27 .......... BAA1 4,816 TEXAS-NEW MEXICO POWER NOTE 2,000,000 9.250%, 09/15/00 .......... BAA2 2,066 3,000,000 6.250%, 01/15/09 .......... BAA2 2,746 TXU EASTERN HOLDINGS NOTE 6,000,000 ! 6.450%, 05/15/05 .......... BAA1 5,796 U.S.A. WASTE SERVICES, INC NOTE 5,000,000 6.125%, 07/15/01 .......... BAA2 4,970 ----------- 136,027 ----------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--0.29% MOTOROLA, INC DEB 10,000,000 6.500%, 11/15/28 .......... AA3 8,890 ----------- FOOD AND KINDRED PRODUCTS--1.06% COCA COLA (PUTABLE ASSET TRUST) 5,000,000 ! 6.000%, 03/15/01 .......... A3 4,975 DIAGEO CAPITAL PLC NOTE 10,000,000 6.625%, 06/24/04 .......... A1 10,013 SEAGRAM JOSEPH & SONS (GUARANTEE NOTE) 10,000,000 5.790%, 04/15/01 .......... BAA3 9,816 8,000,000 6.625%, 12/15/05 .......... BAA3 7,751 ----------- 32,555 ----------- FOOD STORES--0.41% SAFEWAY, INC NOTE 12,750,000 5.750%, 11/15/00 .......... BAA2 12,678 ----------- +AS PROVIDED BY MOODY'S INVESTORS SERVICES (UNAUDITED) See notes to financial statements. 23 BOND MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL RATINGS+ (000) ----------- --------- ------- GENERAL MERCHANDISE STORES--0.16% DAYTON HUDSON CO NOTE $ 5,000,000 5.950%, 06/15/00 .......... A3 $ 5,007 ----------- INDUSTRIAL MACHINERY AND EQUIPMENT--0.53% CATERPILLAR, INC DEB 6,150,000 9.750%, 06/01/19 .......... A2 6,450 XEROX CAPITAL PLC (EUROPE) (GUARANTEE NOTE) 10,000,000 5.875%, 05/15/04 .......... A2 9,763 ----------- 16,213 ----------- INSTRUMENTS AND RELATED PRODUCTS--0.16% RAYTHEON CO DEB 5,500,000 6.400%, 12/15/18 .......... BAA1 4,974 ----------- INSURANCE CARRIERS--0.67% ASSOCIATED P&C HOLDINGS, INC (SR NOTE) 5,000,000 6.750%, 07/15/03 .......... BAA1 4,866 SAFECO CAPITAL TRUST I (GUARANTEE DEB) 5,000,000 8.072%, 07/15/37 .......... A3 4,743 SUNAMERICA INSTITUTIONAL FUND NOTE 10,000,000 5.750%, 02/16/09 .......... AAA 9,344 VESTA INSURANCE GROUP, INC DEB 2,175,000 8.750%, 07/15/25 .......... B2 1,481 ----------- 20,434 ----------- MOTION PICTURES--0.42% TIME WARNER ENTERTAINMENT DEB 10,515,000 10.150%, 05/01/12 ......... BAA2 12,931 ----------- NONDEPOSITORY INSTITUTIONS--3.53% ARISTAR, INC (SR NOTE) 10,000,000 6.000%, 05/15/02 .......... A3 9,869 9,000,000 [] 7.250%, 06/15/06 .......... A3 9,040 AT & T CAPITAL CORP (GUARANTEE NOTE) 10,000,000 7.500%, 11/15/00 .......... BAA3 10,074 CAPITAL ONE BANK (SR NOTE) 4,500,000 6.650%, 03/15/04 .......... BAA2 4,407 CATERPILLAR FINANCIAL SERVICES CORP NOTE 10,000,000 5.600%, 11/20/01 .......... A2 9,807 FINOVA CAPITAL CORP (SR NOTE) 7,000,000 6.750%, 03/09/09 .......... BAA1 6,687 GENERAL ELECTRIC CAPITAL CORP NOTE 10,000,000 5.650%, 03/31/03 .......... AAA 9,757 GENERAL MOTORS ACCEPTANCE CORP (MEDIUM TERM NOTE) 5,000,000 [] 6.850%, 06/17/04 .......... A2 5,040 HELLER FINANCIAL, INC (SR NOTE) 5,000,000 5.875%, 11/01/00 .......... A3 4,983 HOUSEHOLD FINANCE CORP NOTE 5,000,000 5.875%, 11/01/02 .......... A2 4,905 5,000,000 6.000%, 05/01/04 .......... A2 4,860 10,000,000 6.400%, 06/17/08 .......... A2 9,502 NEWCOURT CREDIT GROUP NOTE 9,500,000 ! 6.875%, 02/16/05 ........... BAA3 9,297 TEXTRON FINANCIAL CORP NOTE 10,000,000 5.660%, 02/16/01 .......... A2 9,897 ----------- 108,125 ----------- OIL AND GAS EXTRACTION--0.34% APACHE CORP (SR DEB) 5,000,000 7.625%, 07/01/19 .......... BAA1 4,997 BAYARD DRILLING TECHNOLOGIES (GUARANTEE NOTE) 5,000,000 11.000%, 06/30/05 ......... B2 5,488 ----------- 10,485 ----------- OTHER MORTGAGE BACKED SECURITIES--2.10% CHASE COMMERCIAL MORTGAGE SECURITIES CORP SERIES 1998-2 (CLASS A2) 27,330,000 [] 6.390%, 11/18/08 .......... AAA 26,399 CRIIMI MAE CMBS CORP SERIES 1998-1 (CLASS A1) 7,770,763 ! 5.697%, 10/20/01 . ......... AAA 7,650 FIRST UNION COMMERCIAL MORTGAGE TRUST SERIES 1999-C1 (CLASS A2) 20,000,000 [] 6.070%, 10/15/08 .......... AAA 18,902 MORGAN STANLEY CAPITAL I SERIES 1999-WF1 (CLASS A2) 12,000,000 6.210%, 09/15/08 .......... AAA 11,458 ----------- 64,409 ----------- PAPER AND ALLIED PRODUCTS--0.16% TEMPLE-INLAND, INC NOTE 5,000,000 6.750%, 03/01/09 .......... BAA2 4,744 ----------- PETROLEUM AND COAL PRODUCTS--1.52% ATLANTIC RICHFIELD NOTE 5,500,000 5.900%, 04/15/09 .......... A2 5,149 CHEVRON CORP (GUARANTEE DEB) 10,000,000 ^ 7.327%, 01/01/14 .. ...... AA2 10,212 MURPHY OIL CORP DEB 9,000,000 7.050%, 05/01/29 .......... A3 8,482 NORSK HYDRO A/S DEB 10,000,000 7.150%, 01/15/29 .......... A2 9,274 PENNZOIL- QUAKER STATE DEB 5,000,000 7.375%, 04/01/29 .......... BAA2 4,736 PHILLIPS PETROLEUM CO NOTE 9,000,000 [] 6.375%, 03/30/09 .......... A3 8,609 ----------- 46,462 ----------- PRINTING AND PUBLISHING--1.00% DONNELLEY (R.R.) & SONS CO DEB 9,000,000 6.625%, 04/15/29 .......... A1 8,230 NEWS AMERICA HOLDINGS DEB 7,500,000 8.250%, 08/10/18 .......... BAA3 7,729 TIME WARNER, INC DEB 5,000,000 7.250%, 10/15/17 .......... BAA3 4,813 TIME WARNER, INC (PASS THRU CERT) 10,000,000 ! 6.100%, 12/30/01 .......... BAA3 9,958 ----------- 30,730 ----------- RAILROAD TRANSPORTATION--0.34% UNION PACIFIC CORP DEB 4,400,000 7.600%, 05/01/05 .......... BAA3 4,540 1,532,000 8.500%, 01/15/17 .......... BAA3 1,586 5,000,000 6.625%, 02/01/29 .......... BAA3 4,385 ----------- 10,511 ----------- SECURITY AND COMMODITY BROKERS--0.51% BEAR STEARNS CO, INC (SR NOTE) 10,000,000 6.700%, 08/01/03 .......... A2 9,964 MERRILL LYNCH & CO DEB 6,000,000 6.875%, 11/15/18 .......... AA3 5,627 ----------- 15,591 ----------- +AS PROVIDED BY MOODY'S INVESTORS SERVICES (UNAUDITED) See notes to financial statements. 24 BOND MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL RATINGS+ (000) ----------- --------- ------- TOBACCO PRODUCTS--0.21% RJ REYNOLDS TOBACCO HOLDINGS NOTE $ 6,500,000 7.375%, 05/15/03 .......... BAA2 $ 6,411 ----------- TRANSPORTATION BY AIR--0.33% NORTHWEST AIRLINES, INC (PASS THRU CERT) 10,000,000 [] 8.304%, 09/01/10 .......... BAA2 10,006 ----------- TRANSPORTATION EQUIPMENT--0.16% DELPHI AUTO SYSTEMS CORP NOTE 5,000,000 6.500%, 05/01/09 .......... BAA2 4,724 ----------- WHOLESALE TRADE-NONDURABLE GOODS--0.31% FORTUNE BRANDS, INC DEB 10,400,000 6.625%, 07/15/28 .......... A2 9,342 ----------- TOTAL CORPORATE BONDS (COST $951,821) 926,095 ----------- GOVERNMENT BONDS--65.33% AGENCY SECURITIES--10.99% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 41,000,000 5.375%, 03/01/01 40,712 18,400,000 [] 5.500%, 05/15/02 .......... AAA 18,181 121,700,000 5.000%, 01/15/04 116,147 3,000,000 7.100%, 04/10/07 .......... AAA 3,120 34,700,000 5.750%, 04/15/08 33,057 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 10,000,000 5.650%, 04/28/00 .......... AAA 10,006 10,000,000 5.970%, 10/02/00 .......... AAA 10,039 3,000,000 8.250%, 12/18/00 .......... AAA 3,103 70,400,000 5.250%, 01/15/03 .......... AAA 68,178 5,000,000 6.850%, 09/12/05 .......... AAA 4,973 63,800,000 0.000%, 06/01/17 19,668 TENNESSEE VALLEY AUTHORITY DEB 10,000,000 6.250%, 12/15/17 .......... AAA 9,544 ----------- 336,728 ----------- FOREIGN GOVERNMENT BONDS--1.95% BRITISH COLUMBIA NOTE 13,000,000 [] 5.375%, 10/29/08 .......... AA2 11,821 CANADA GOVERNMENT 5,000,000 [] 5.250%, 11/05/08 .......... AA2 4,588 ONTARIO PROVINCE CANADA 15,000,000 [] 5.500%, 10/01/08 .......... AA3 13,804 PROVINCE OF ONTARIO 10,000,000 7.375%, 01/27/03 .......... AA3 10,358 QUEBEC PROVINCE CANADA 15,000,000 [] 7.000%, 01/30/07 .......... A2 15,101 4,000,000 [] 7.125%, 02/09/24 .......... A2 3,894 ----------- 59,566 ----------- GOVERNMENT BONDS--0.00% NEW YORK CITY TAX LIEN SERIES 1996-1 (COLLECTABLE BOND) 19,819 ! 6.810%, 05/25/05 .......... AAA 20 ----------- MORTGAGE BACKED SECURITIES--38.03% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 1,761,254 5.500%, 09/01/00 .......... 1,745 2,789,591 7.000%, 09/01/10 .......... 2,812 4,807,615 6.000%, 04/01/11 .......... 4,664 12,404,820 7.000%, 07/01/13 .......... 12,464 1,947,693 7.000%, 05/01/23 .......... 1,931 $ 483,018 8.500%, 06/01/27 .......... $ 505 949,633 8.500%, 07/01/27 .......... 992 3,319,787 8.500%, 08/01/27 .......... 3,469 FEDERAL HOME LOAN MORTGAGE CORP GOLD (FGLMC) 36,946,581 6.500%, 02/01/29 .......... 35,678 9,194,154 8.000%, 03/01/29 .......... 9,449 9,579,845 8.000%, 04/01/29 .......... 9,846 82,000,000 ^ 6.500%, 08/25/29 .......... 79,284 58,500,000 ^ 7.500%, 08/25/29 .......... 59,049 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 1,271,203 7.500%, 08/01/01 .......... 1,277 2,547,095 6.000%, 12/01/02 .......... 2,516 1,130,961 6.000%, 12/01/08 .......... 1,100 11,087,050 6.500%, 05/01/09 .......... 10,988 2,475,237 7.500%, 11/01/10 .......... 2,521 1,671,618 8.000%, 06/01/11 .......... 1,718 446,775 8.000%, 07/01/11 .......... 459 54,500,000 ^ 6.000%, 07/25/14 .......... 52,644 1,145,321 6.500%, 02/01/16 .......... 1,114 919,415 6.500%, 03/01/16 .......... 894 1,331,007 6.500%, 04/01/16 .......... 1,300 6,254,316 8.000%, 03/01/23 .......... 6,437 11,673,017 8.000%, 07/01/24 .......... 12,007 5,216,551 8.500%, 12/01/24 .......... 5,454 2,352,947 9.000%, 11/01/25 .......... 2,485 21,834,135 * 8.500%, 02/01/28 .......... 22,820 443,690 8.500%, 08/01/28 .......... 464 14,619,590 6.000%, 10/01/28 .......... 13,737 20,273,740 6.000%, 02/01/29 .......... 19,050 78,281,987 6.500%, 02/01/29 .......... 75,545 14,657,831 6.500%, 03/01/29 .......... 14,145 7,395,150 6.000%, 05/01/29 .......... 6,949 20,000,000 ^ 6.000%, 08/25/29 .......... 18,850 141,000,000 ^ 6.500%, 08/25/29 .......... 136,140 249,000,000 ^ 7.000%, 08/25/29 .......... 246,432 45,000,000 ^ 7.500%, 09/25/29 .......... 45,450 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 249,787 8.500%, 10/15/09 .......... 261 805,015 8.500%, 12/15/09 .......... 842 2,787,787 9.000%, 12/15/09 .......... 2,967 734,652 8.500%, 01/15/10 .......... 768 118,198 9.000%, 06/15/16 .......... 126 189,594 9.000%, 08/15/16 .......... 202 365,629 9.000%, 09/15/16 .......... 390 77,672 9.000%, 10/15/16 .......... 83 151,754 9.000%, 11/15/16 .......... 162 487,948 9.000%, 12/15/16 .......... 520 1,983,370 9.500%, 12/15/16 .......... 2,151 203,350 9.000%, 07/15/17 .......... 217 177,082 9.000%, 06/15/20 .......... 189 5,572,428 6.500%, 09/15/23 .......... 5,394 3,367,701 6.500%, 01/15/24 .......... 3,260 2,276,873 6.500%, 03/15/24 .......... 2,204 13,986,623 6.500%, 05/15/24 .......... 13,540 2,208,221 8.000%, 06/15/24 .......... 2,275 4,593,581 6.500%, 09/15/24 .......... 4,447 1,008,912 7.500%, 06/15/28 .......... 1,021 27,269,928 * 7.000%, 07/15/28 .......... 26,927 918,499 7.500%, 07/15/28 .......... 929 +AS PROVIDED BY MOODY'S INVESTORS SERVICES (UNAUDITED) See notes to financial statements. 25 BOND MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL RATINGS+ (000) ----------- --------- ------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) $ 2,833,685 7.500%, 08/15/28 .......... $ 2,864 18,124,511 7.500%, 09/15/28 .......... 18,316 89,473,654 * 7.000%, 10/15/28 .......... 88,348 2,435,337 7.500%, 10/15/28 .......... 2,461 9,547,802 7.500%, 11/15/28 .......... 9,649 22,142,876 7.000%, 04/15/29 .......... 21,864 10,000,000 ^ 7.000%, 08/25/29 .......... 9,897 18,000,000 ^ 7.500%, 08/25/29 .......... 18,180 ----------- 1,164,838 ----------- OTHER MORTGAGE BACKED SECURITIES--0.06% FANNIE MAE WHOLE LOAN (FNW) 2,000,000 5.925%, 02/25/29 1,963 ----------- U.S. TREASURY SECURITIES--14.30% U.S. TREASURY BOND 7,000,000 6.625%, 05/15/07 .......... 7,290 57,740,000 [] 5.500%, 05/15/09 .......... 56,403 35,530,000 12.000%, 08/15/13 .......... 49,886 32,400,000 []11.250%, 02/15/15 .......... 48,499 17,700,000 9.250%, 02/15/16 .......... 23,054 36,300,000 8.750%, 05/15/17 .......... 45,823 99,400,000 *[] 8.875%, 08/15/17 .......... 126,976 12,450,000 [] 5.250%, 11/15/28 .......... 11,036 U.S. TREASURY NOTE 26,000,000 5.750%, 11/15/00 .......... 26,110 7,700,000 5.500%, 12/31/00 .......... 7,705 12,500,000 [] 6.500%, 05/31/01 .......... 12,719 10,000,000 [] 6.625%, 03/31/02 .......... 10,248 5,000,000 [] 5.500%, 05/31/03 .......... 4,962 7,500,000 [] 5.250%, 05/15/04 .......... 7,370 ----------- 438,081 ----------- TOTAL GOVERNMENT BONDS (COST $2,028,151) ......... 2,001,196 ----------- TOTAL BONDS (COST $2,979,972) ......... 2,927,291 ----------- SHORT TERM INVESTMENTS--29.30% COMMERCIAL PAPER--18.91% COCA COLA ENTERPRISES, INC 11,000,000 ~ 5.060%, 08/23/99 .......... 10,911 CONAGRA, INC 23,730,000 6.100%, 07/01/99 .......... 23,726 COX COMMUNICATIONS, INC 25,000,000 *~ 5.050%, 07/08/99 .......... 24,970 20,000,000 *~ 5.200%, 07/14/99 .......... 19,958 CROWN CORK & SEAL CO, INC 20,000,000 *~ 5.050%, 07/08/99 .......... 19,976 14,000,000 *~ 5.000%, 07/14/99 .......... 13,970 16,000,000 *~ 5.030%, 07/27/99 .......... 15,935 CSX CORP 17,000,000 *~ 5.000%, 07/14/99 .......... 16,964 50,000,000 *~ 5.000%, 07/21/99 .......... 49,843 DILLARDS, INC 50,000,000 ~ 6.110%, 07/01/99 .......... 49,992 HOUSTON INDUSTRIES FINANCE CO LP 29,000,000 *~ 5.020%, 07/14/99 .......... 28,939 ICI WILMINGTON, INC 13,010,000 *~ 5.250%, 07/27/99 .......... 12,957 LOCKHEED MARTIN CORP 50,000,000 *~ 4.980%, 07/02/99 .......... 49,984 MCI WORLDCOM, INC 16,500,000 *~ 4.960%, 07/13/99 .......... 16,468 30,000,000 *~ 5.000%, 07/19/99 .......... 29,915 PENNEY (J.C.) FUNDING CORP 20,000,000 *~ 5.260%, 07/23/99 .......... 19,933 PRAXAIR, INC 11,000,000 ~ 5.120%, 07/19/99 .......... 10,969 15,000,000 *~ 4.980%, 07/21/99 .......... 14,953 SONAT, INC 38,000,000 *~ 4.970%, 07/14/99 .......... 37,919 11,099,000 ~ 5.200%, 07/27/99 .......... 11,054 TEXAS UTILITIES CO 50,000,000 *~ 5.000%, 07/19/99 .......... 49,858 TYCO INTERNATIONAL 50,000,000 *~ 5.020%, 07/16/99 .......... 49,880 ----------- 579,074 ----------- INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED--10.39% CERTIFICATE OF DEPOSIT DEUTSCHE BANK AG. 25,000,000 4.880%, 08/16/99 .......... 25,050 MEDIUM TERM NOTES BANKERS TRUST CO 40,000,000 4.940%, 09/14/99 40,093 CREDIT SUISSE-FIRST BOSTON 25,000,000 5.020%, 07/09/99 .......... 25,274 REPURCHASE AGREEMENTS GOLDMAN SACHS & CO 62,000,000 @ 5.200%, DATED 06/30/99, DUE 07/01/99 ............. 62,009 MORGAN STANLEY & CO, INC 65,716,000 @ 4.950%, DATED 06/30/99, DUE 07/01/99 ............. 65,726 PRUDENTIAL SECURITIES, INC 50,000,000 @ 5.100%, DATED 04/23/99, DUE 12/31/99 ............. 50,021 TIME DEPOSITS CANADIAN IMPERIAL BANK OF COMMERCE 25,000,000 5.880%, 07/01/99 .......... 25,004 COMMERZBANK LTD (FRANKFURT) 25,000,000 6.060%, 07/01/99 .......... 25,004 ----------- 318,181 ----------- TOTAL SHORT TERM INVESTMENTS (COST $897,419) ........... 897,255 ----------- TOTAL PORTFOLIO (COST $3,877,391) ......... $3,824,546 =========== See notes to financial statements. 26 BOND MARKET ACCOUNT (CONTINUED) - ---------------------- ~ 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 to qualified institutional buyers. At June 30, 1999, the value of these securities amounted to $81,955,577 or 2.68% of net assets. * All or a portion of these securities have been segregated by the Custodian to cover securities purchased on a delayed delivery basis. ^ These securities were purchased on a delayed delivery basis. [] All or a portion of these securities are out on loan. @ Repurchase agreements are fully collateralized as follows: MARKET VALUE COUPON MATURITY DESCRIPTION PRINCIPAL (000) RATE DATE ------------ ----------- -------- --------- -------- GOLDMAN SACHS & CO: U.S. Treasury Bond $ 7,845,100 $11,978 11.250% 02/15/15 U.S. Treasury Note 54,494,436 51,262 4.750%- 06/30/01 5.750% 11/15/08 MORGAN STANLEY & CO, INC: Government National Mortgage Association 172,166,300 67,308 6.000%- 11/15/16- 9.000% 03/15/29 PRUDENTIAL SECURITIES, INC: Federal Home Loan 5,894,500 5,924 4.940%- 10/27/00- Bank 6.005% 01/05/04 Federal Home Loan 5,857,000 5,692 5.150%- 05/16/00- Mortgage Corp 6.700% 04/29/09 Federal Mortgage Corp 79,600 79 Discount 08/09/99- Discount Note Notes 09/29/99 Federal National 1,180,000 1,192 5.650%- 04/23/01- Mortgage Association 6.450% 06/01/01 U.S. Treasury Bond 7,627,600 9,811 8.750%- 08/15/15- 10.625% 05/15/17 U.S. Treasury Note 27,296,700 27,564 4.500%- 01/31/01- 6.250% 02/28/03 U.S. Treasury Strip 2,412,600 738 Zero Coupon 02/15/17- Bonds 05/15/21 - ------------------ 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 24.92% BAA 10.22% BA 2.46% B 0.41% U.S. Government obligations represent 61.99% of the long term debt portfolio value and are not reflected in the above ratings. See notes to financial statements. 27 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (Unaudited) JUNE 30, 1999 SUMMARY BY INDUSTRY (000) VALUE % ------- ------ BONDS CORPORATE BONDS ASSET BACKED ........................... $35,620 0.92% COMMUNICATIONS ......................... 58,095 1.50 DEPOSITORY INSTITUTIONS ................ 21,392 0.55 EATING AND DRINKING PLACES ............. 22,919 0.59 ELECTRIC, GAS, AND SANITARY SERVICES ... 15,049 0.39 FOOD AND KINDRED PRODUCTS .............. 14,564 0.38 FOOD STORES ............................ 26,187 0.68 GENERAL MERCHANDISE STORES ............. 36,038 0.93 INDUSTRIAL MACHINERY AND EQUIPMENT ..... 9,763 0.25 INSTRUMENTS AND RELATED PRODUCTS ....... 9,212 0.24 INSURANCE CARRIERS ..................... 16,933 0.44 MOTION PICTURES ........................ 12,785 0.33 NONDEPOSITORY INSTITUTIONS ............. 59,030 1.53 OIL AND GAS EXTRACTION ................. 14,871 0.39 OTHER MORTGAGE BACKED SECURITIES ....... 21,598 0.56 PRINTING AND PUBLISHING ................ 5,660 0.15 RAILROAD TRANSPORTATION ................ 12,624 0.33 SECURITY AND COMMODITY BROKERS ......... 14,705 0.38 TRANSPORTATION BY AIR .................. 13,464 0.35 ---------- ------ TOTAL CORPORATE BONDS (COST $435,563) ........................ 420,509 10.89 ---------- ------ GOVERNMENT BONDS AGENCY SECURITIES ...................... 173,272 4.49 FOREIGN GOVERNMENT BONDS ............... 25,139 0.65 MORTGAGE BACKED SECURITIES ............. 572,467 14.82 U.S. TREASURY SECURITIES ............... 252,526 6.54 ---------- ------ TOTAL GOVERNMENT BONDS (COST $1,034,400) ...................... 1,023,404 26.50 ---------- ------ TOTAL BONDS (COST $1,469,963) ...................... 1,443,913 37.39 ---------- ------ COMMON STOCK APPAREL AND ACCESSORY STORES ........... 9,656 0.25 APPAREL AND OTHER TEXTILE PRODUCTS ..... 1,244 0.03 AUTO REPAIR, SERVICES AND PARKING ...... 88 0.00 BUILDING MATERIALS AND GARDEN SUPPLIES . 26,685 0.69 BUSINESS SERVICES ...................... 183,777 4.76 CHEMICALS AND ALLIED PRODUCTS .......... 319,202 8.27 COMMUNICATIONS ......................... 292,296 7.57 DEPOSITORY INSTITUTIONS ................ 185,334 4.80 EATING AND DRINKING PLACES ............. 21,803 0.56 ELECTRIC, GAS, AND SANITARY SERVICES ... 103,201 2.67 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT 89,969 2.33 ENGINEERING AND MANAGEMENT SERVICES .... 2,094 0.05 FABRICATED METAL PRODUCTS .............. 7,030 0.18 FOOD AND KINDRED PRODUCTS .............. 129,136 3.34 FOOD STORES ............................ 13,183 0.34 FURNITURE AND FIXTURES ................. 7,686 0.20 FURNITURE AND HOMEFURNISHINGS STORES ... 1,916 0.05 GENERAL BUILDING CONTRACTORS ........... 1,237 0.03 GENERAL MERCHANDISE STORES ............. 70,828 1.83 HEALTH SERVICES ........................ 8,002 0.21 HOLDING AND OTHER INVESTMENT OFFICES ... 4,449 0.12 INDUSTRIAL MACHINERY AND EQUIPMENT ..... 234,473 6.07 INSTRUMENTS AND RELATED PRODUCTS ....... 50,227 1.30 INSURANCE AGENTS, BROKERS AND SERVICE .. 10,270 0.27 INSURANCE CARRIERS ..................... 140,879 3.65 MISCELLANEOUS MANUFACTURING INDUSTRIES . 28,924 0.75 MISCELLANEOUS RETAIL ................... 13,389 0.35 MOTION PICTURES ........................ 44,336 1.15 NONDEPOSITORY INSTITUTIONS ............. 91,790 2.38 OIL AND GAS EXTRACTION ................. 68,934 1.79 PAPER AND ALLIED PRODUCTS .............. 17,134 0.44 PERSONAL SERVICES ...................... 2,410 0.06 PETROLEUM AND COAL PRODUCTS ............ 8,669 0.22 PRIMARY METAL INDUSTRIES ............... 6,842 0.18 PRINTING AND PUBLISHING ................ 28,065 0.73 RAILROAD TRANSPORTATION ................ 12,689 0.33 REAL ESTATE ............................ 523 0.01 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ...................... 18,128 0.47 SECURITY AND COMMODITY BROKERS ......... 34,474 0.89 STONE, CLAY, AND GLASS PRODUCTS ........ 3,941 0.10 TRANSPORTATION BY AIR .................. 14,120 0.37 TRANSPORTATION EQUIPMENT ............... 2,252 0.06 TRUCKING AND WAREHOUSING ............... 926 0.02 WHOLESALE TRADE-DURABLE GOODS .......... 12,176 0.32 WHOLESALE TRADE-NONDURABLE GOODS ....... 21,121 0.55 ---------- ------ TOTAL COMMON STOCK (Cost $1,190,921) ...................... 2,345,508 60.74 ---------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ...................... 369,509 9.57 INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED ................ 165,030 4.27 ---------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $534,642) ........................ 534,539 13.84 ---------- ------ TOTAL PORTFOLIO (Cost $3,195,526) ...................... 4,323,960 111.97 OTHER ASSETS & LIABILITIES, NET ....... (462,237) (11.97) ---------- ------ NET ASSETS ............................... $3,861,723 100.00% ========== ====== See notes to financial statements. 28 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (UNAUDITED) JUNE 30, 1999 VALUE PRINCIPAL RATINGS+ (000) --------- -------- -------- BONDS--37.39% CORPORATE BONDS--10.89% ASSET BACKED--0.92% AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST SERIES 1999-1 (CLASS A) $10,000,000 5.600%, 11/15/06 .......... AAA $ 9,666 CHASE CREDIT CARD MASTER TRUST SERIES 1997-2 (CLASS B) 8,000,000 6.450%, 04/15/03 .......... A2 8,058 CITIBANK CREDIT CARD MASTER TRUST SERIES 1997-2 (CLASS B) 3,000,000 6.700%, 02/15/04 .......... A1 3,014 FLEETWOOD CREDIT GRANTOR TRUST SERIES 1993-B (CLASS A) 1,819,928 4.950%, 08/15/08 .......... AAA 1,768 NATIONSBANK CREDIT CARD MASTER TRUST SERIES 1993-2 (CLASS B) 7,000,000 6.250%, 12/15/05 .......... A2 6,873 NATIONSCREDIT GRANTOR TRUST SERIES 1997-2 (CLASS A1) 2,903,604 6.350%, 04/15/14 .......... AAA 2,901 UCFCM SERIES 1997-2 (CLASS B1) (SUB DEB) 6,000,000 7.370%, 02/15/18 .......... BA3 3,340 ----------- 35,620 ----------- COMMUNICATIONS--1.50% AMERITECH CAPITAL FUNDING CORP (GUARANTEE NOTE) 7,000,000 5.650%, 01/15/01 .......... AA3 6,961 AT& T CORP NOTE 7,000,000 [] 5.625%, 03/15/04 .......... A1 6,773 BELLSOUTH TELECOMMUNICATIONS NOTE 8,000,000 6.000%, 06/15/02 .......... AAA 7,948 COX ENTERPRISES SERIES 1997-1 (PASS THRU CERT) 5,000,000 ! 6.250%, 08/26/99 .......... BAA1 5,006 LUCENT TECHNOLOGIES, INC DEB 5,000,000 [] 6.450%, 03/15/29 .......... A2 4,523 NEW YORK TELEPHONE CO DEB 7,000,000 9.375%, 07/15/31 .......... A2 7,581 TELE-COMMUNICATIONS, INC DEB 5,000,000 7.875%, 08/01/13 .......... A2 5,272 U.S. WEST CAPITAL FUNDING, INC 10,000,000 6.875%, 07/15/28 .......... BAA1 9,139 WORLDCOM, INC (SR NOTE) 5,000,000 6.400%, 08/15/05 .......... A3 4,892 ----------- 58,095 ----------- DEPOSITORY INSTITUTIONS--0.55% FIRST UNION CORP (SUB NOTE) 10,000,000 6.300%, 04/15/08 .......... A2 9,573 NATIONAL CITY CORP (SUB NOTE) 2,000,000 5.750%, 02/01/09 .......... A2 1,820 NATIONSBANK (SUB NOTE) 10,000,000 6.875%, 02/15/05 .......... AA3 9,999 ----------- 21,392 ----------- EATING AND DRINKING PLACES--0.59% MCDONALD'S CORP NOTE 13,000,000 5.900%, 05/11/01 .......... AA2 12,969 10,000,000 6.000%, 06/23/02 .......... AA2 9,950 ----------- 22,919 ----------- ELECTRIC, GAS, AND SANITARY SERVICES--0.39% EL PASO NATURAL GAS CO NOTE 5,000,000 6.750%, 11/15/03 .......... BAA2 4,986 PUGET SOUND POWER & LIGHT CO (MEDIUM TERM NOTE) 5,000,000 8.060%, 06/19/06 .......... BAA1 5,248 SONAT, INC NOTE 5,000,000 6.750%, 10/01/07 .......... BAA1 4,815 ----------- 15,049 ----------- FOOD AND KINDRED PRODUCTS--0.38% COCA COLA (PUTABLE ASSET TRUST) 10,000,000 ! 6.000%, 03/15/01 .......... A3 9,950 PEPSI BOTTLING HOLDINGS, INC (GUARANTEE NOTE) 5,000,000 ! 5.625%, 02/17/09 .......... A1 4,614 ----------- 14,564 ----------- FOOD STORES--0.68% KROGER CO NOTE 10,000,000 6.000%, 07/01/00 .......... BAA3 9,979 SAFEWAY, INC NOTE 7,260,000 5.750%, 11/15/00 .......... BAA2 7,219 9,400,000 6.500%, 11/15/08 .......... BAA2 8,989 ----------- 26,187 ----------- GENERAL MERCHANDISE STORES--0.93% DILLARDS, INC NOTE 5,000,000 5.790%, 11/15/01 .......... BAA1 4,909 FEDERATED DEPARTMENT STORES NOTE 11,000,000 6.300%, 04/01/09 .......... BAA2 10,308 SEARS ROEBUCK ACCEPTANCE CORP (MEDIUM TERM NOTE) 5,000,000 6.990%, 09/30/02 .......... A2 5,061 WAL-MART STORES, INC NOTE 10,000,000 5.850%, 06/01/00 .......... AA2 10,017 5,500,000 8.625%, 04/01/01 .......... AA2 5,743 ----------- 36,038 ----------- INDUSTRIAL MACHINERY AND EQUIPMENT--0.25% XEROX CAPITAL PLC (EUROPE) (GUARANTEE NOTE) 10,000,000 5.875%, 05/15/04 .......... A2 9,763 ----------- INSTRUMENTS AND RELATED PRODUCTS--0.24% BECTON DICKINSON & CO DEB 10,000,000 6.700%, 08/01/28 .......... A1 9,212 ----------- INSURANCE CARRIERS--0.44% AMERICAN GENERAL FINANCE (SR NOTE) 10,000,000 5.750%, 11/01/03 .......... A2 9,690 USF&G CORP (SR NOTE) 7,000,000 8.375%, 06/15/01 .......... A2 7,243 ----------- 16,933 ----------- MOTION PICTURES--0.33% TIME WARNER ENTERTAINMENT DEB 6,500,000 10.150%, 05/01/12 ......... BAA2 7,994 WALT DISNEY CO NOTE 5,000,000 5.250%, 11/10/03 .......... A2 4,791 ----------- 12,785 ----------- +AS PROVIDED BY MOODY'S INVESTORS SERVICES (UNAUDITED) See notes to financial statements. 29 SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE PRINCIPAL RATINGS+ (000) --------- -------- -------- NONDEPOSITORY INSTITUTIONS--1.53% ARISTAR, INC (SR NOTE) $ 5,000,000 5.850%, 01/27/04 .......... A3 $ 4,833 ASSOCIATES CORP NA DEB 5,000,000 6.250%, 11/01/08 .......... AA3 4,771 5,000,000 6.950%, 11/01/18 .......... AA3 4,818 CAPITAL ONE BANK (SR NOTE) 3,000,000 7.080%, 10/30/01 .......... BAA3 3,026 5,000,000 6.650%, 03/15/04 .......... BAA2 4,897 FINOVA CAPITAL CORP NOTE 9,500,000 6.125%, 03/15/04 .......... BAA1 9,246 10,000,000 6.375%, 05/15/05 .......... BAA1 9,790 HOUSEHOLD FINANCE CORP NOTE 14,000,000 6.000%, 05/01/04 .......... A2 13,609 MBNA CORP (SR NOTE) 4,030,000 6.500%, 09/15/00 .......... BAA2 4,040 ----------- 59,030 ----------- OIL AND GAS EXTRACTION--0.39% APACHE CORP (SR DEB) 10,000,000 7.625%, 07/01/19 .......... BAA1 9,994 ENRON CORP DEB 5,000,000 7.375%, 05/15/19 .......... BAA2 4,877 ----------- 14,871 ----------- OTHER MORTGAGE BACKED SECURITIES--0.56% FIRST UNION COMMERCIAL MORTGAGE TRUST SERIES 1999-C1 (CLASS A2) 12,750,000 6.070%, 10/15/08 .......... AAA 12,050 MORGAN STANLEY CAPITAL SERIES 1999-WF1 (CLASS A2) 10,000,000 6.210%, 09/15/08 .......... AAA 9,548 ----------- 21,598 ----------- PRINTING AND PUBLISHING--0.15% TIME WARNER, INC DEB 5,000,000 9.125%, 01/15/13 .......... BAA3 5,660 ----------- RAILROAD TRANSPORTATION--0.33% NORFOLK SOUTHERN CORP (SR NOTE) 10,000,000 6.200%, 04/15/09 .......... BAA1 9,403 UNION PACIFIC RESOURCES NOTE 3,440,000 6.750%, 05/15/08 .......... BAA3 3,221 ----------- 12,624 ----------- SECURITY AND COMMODITY BROKERS--0.38% MORGAN STANLEY DEAN WITTER, INC (SR NOTE) 10,000,000 5.625%, 04/12/02 .......... AA3 9,770 SALOMON SMITH BARNEY HOLDINGS NOTE 5,000,000 6.375%, 10/01/04 .......... AA3 4,935 ----------- 14,705 ----------- TRANSPORTATION BY AIR--0.35% DELTA AIRLINES, INC DEB 4,906,888 8.950%, 01/12/12 .......... BAA1 5,378 DELTA AIRLINES, INC SERIES 1992-B1 (PASS THRU CERT) 2,264,423 8.270%, 09/23/07 .......... BAA1 2,321 UNITED AIR LINES, INC DEB 4,975,000 [] 9.750%, 08/15/21 .......... BAA3 5,765 ----------- 13,464 ----------- TOTAL CORPORATE BONDS (Cost $435,563).............. 420,509 ----------- GOVERNMENT BONDS--26.50% AGENCY SECURITIES--4.49% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 19,000,000 5.375%, 03/01/01 .......... 18,866 47,000,000 [] 5.500%, 05/15/02 .......... AAA 46,442 53,800,000 5.000%, 01/15/04 51,345 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 4,585,000 5.970%, 10/02/00 .......... AAA 4,603 1,000,000 8.250%, 12/18/00 .......... AAA 1,034 38,000,000 5.250%, 01/15/03 .......... AAA 36,801 46,000,000 0.000%, 06/01/17 .......... 14,181 ----------- 173,272 ----------- FOREIGN GOVERNMENT BONDS--0.65% ALBERTA PROVINCE CANADA 10,000,000 4.875%, 10/29/03 .......... AA1 9,464 ONTARIO PROVINCE CANADA 5,000,000 7.625%, 06/22/04 .......... AA3 5,270 QUEBEC PROVINCE CANADA 5,500,000 [] 7.000%, 01/30/07 .......... A2 5,537 5,000,000 [] 7.125%, 02/09/24 .......... A2 4,868 ----------- 25,139 ----------- MORTGAGE BACKED SECURITIES--14.82% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 3,260,272 6.000%, 03/01/11 .......... 3,163 779,538 7.000%, 05/01/23 .......... 773 178,510 8.500%, 05/01/27 .......... 187 472,450 8.500%, 07/01/27 .......... 494 2,879,779 8.500%, 08/01/27 .......... 3,009 FEDERAL HOME LOAN MORTGAGE CORP GOLD (FGLMC) 40,000,000 ^ 6.500%, 08/25/29 .......... 38,675 39,000,000 ^ 7.500%, 08/25/29 .......... 39,366 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 2,547,095 6.000%, 12/01/02 .......... 2,516 250,733 8.500%, 02/01/05 .......... 259 928,656 7.500%, 06/01/11 .......... 946 637,548 8.000%, 06/01/11 .......... 655 893,548 8.000%, 07/01/11 .......... 918 191,381 7.500%, 08/01/11 .......... 195 326,405 7.500%, 09/01/11 .......... 333 858,131 7.500%, 10/01/11 .......... 874 6,505,785 7.000%, 04/01/12 .......... 6,533 4,183,064 6.500%, 09/01/12 .......... 4,125 24,652,995 ^ 6.000%, 07/25/14 .......... 23,813 148,282 8.500%, 11/01/14 .......... 155 1,715,298 * 8.000%, 03/01/23 .......... 1,765 3,229,534 * 8.000%, 07/01/24 .......... 3,322 154,644 8.500%, 07/01/26 .......... 162 308,309 8.500%, 07/01/27 .......... 322 1,645,183 * 8.500%, 11/01/27 .......... 1,719 384,782 8.500%, 01/01/28 .......... 402 8,298,540 * 8.500%, 02/01/28 .......... 8,673 209,549 8.500%, 06/01/28 .......... 219 455,647 8.500%, 08/01/28 .......... 476 238,884 8.500%, 09/01/28 .......... 250 4,873,196 6.000%, 10/01/28 .......... 4,579 7,911,702 6.000%, 02/01/29 .......... 7,434 +AS PROVIDED BY MOODY'S INVESTORS SERVICES (UNAUDITED) See notes to financial statements. 30 SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- -------- MORTGAGE-BACKED SECURITIES--(CONTINUED) FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) $ 6,984,947 6.000%, 05/01/29 $ 6,563 15,000,000 ^ 6.000%, 08/25/29 .......... 14,138 136,000,000 ^ 6.500%, 08/25/29 .......... 131,392 175,000,000 ^ 7.000%, 08/25/29 .......... 173,195 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 464,791 8.500%, 09/15/09 .......... 485 400,266 8.500%, 10/15/09 .......... 419 206,258 8.500%, 12/15/09 .......... 216 2,695,427 * 9.000%, 12/15/09 .......... 2,869 2,229,153 * 9.000%, 12/15/17 .......... 2,376 136,626 9.000%, 03/15/20 .......... 146 154,066 9.000%, 08/15/20 .......... 164 1,956,387 * 8.000%, 06/15/22 .......... 2,019 778,470 6.500%, 08/15/23 .......... 754 468,263 6.500%, 09/15/23 .......... 453 2,788,685 7.000%, 05/15/28 .......... 2,754 8,283,418 7.500%, 08/15/28 .......... 8,379 16,384,265 7.500%, 09/15/28 .......... 16,558 28,713,933 * 7.000%, 10/15/28 .......... 28,353 10,964,681 6.500%, 12/15/28 .......... 10,553 4,323,792 7.000%, 04/15/29 .......... 4,269 10,000,000 ^ 7.500%, 08/25/29 .......... 10,100 ----------- 572,467 ----------- U.S. TREASURY SECURITIES--6.54% U.S. TREASURY BOND 9,000,000 7.500%, 11/15/01 .......... 9,375 10,500,000 [] 7.000%, 07/15/06 .......... 11,122 30,100,000 [] 5.500%, 05/15/09 .......... 29,404 15,000,000 12.000%, 08/15/13 .......... 21,061 17,800,000 11.250%, 02/15/15 .......... 26,644 17,600,000 9.250%, 02/15/16 .......... 22,924 18,000,000 * 8.750%, 05/15/17 .......... 22,722 54,000,000 * 8.875%, 02/15/19 .......... 69,601 10,000,000 8.125%, 08/15/19 .......... 12,078 4,375,000 [] 5.250%, 11/15/28 .......... 3,878 U.S. TREASURY NOTE 10,000,000 6.250%, 01/31/02 .......... 10,152 5,000,000 [] 4.250%, 11/15/03 .......... 4,721 9,000,000 [] 5.250%, 05/15/04 .......... 8,844 ----------- ` 252,526 ----------- TOTAL GOVERNMENT BONDS (Cost $1,034,400) ............. 1,023,404 ----------- TOTAL BONDS (Cost $1,469,963) ............. 1,443,913 ----------- SHARES -------- COMMON STOCK--60.74% APPAREL AND ACCESSORY STORES--0.25% 9,702 o ABERCROMBIE & FITCH CO (CLASS A) 466 182,430 GAP, INC .................... 9,190 ----------- 9,656 ----------- APPAREL AND OTHER TEXTILE PRODUCTS--0.03% 15,800 LIZ CLAIBORNE, INC .......... 577 15,600 VF CORP ..................... 667 ----------- 1,244 ----------- AUTO REPAIR, SERVICES AND PARKING--0.00% 3,400 RYDER SYSTEM, INC ........... 88 ----------- BUILDING MATERIALS AND GARDEN SUPPLIES--0.69% 390,100 HOME DEPOT, INC ............. 25,137 27,300 o LOWES COS, INC .............. 1,548 ----------- 26,685 ----------- BUSINESS SERVICES--4.76% 223,900 AMERICA ONLINE, INC ......... 24,741 327,800 AUTOMATIC DATA PROCESSING, INC 14,423 120,025 COMPUTER ASSOCIATES INTERNATIONAL, INC ......... 6,601 56,400 o ELECTRONIC DATA SYSTEMS CORP 3,190 7,840 o IMATION CORP ................ 195 148,000 IMS HEALTH, INC ............. 4,625 1,109,400 o MICROSOFT CORP .............. 100,054 38,566 o NIELSEN MEDIA RESEARCH ...... 1,128 82,200 o NOVELL, INC ................. 2,178 322,293 o ORACLE CORP ................. 11,965 213,100 o SUN MICROSYSTEMS, INC ....... 14,677 ----------- 183,777 ----------- CHEMICALS AND ALLIED PRODUCTS--8.27% 189,200 AIR PRODUCTS & CHEMICALS, INC 7,615 41,900 ALLERGAN, INC ............... 4,651 2,235 o ALLERGAN SPECIALTY THERAPEUTICS, INC (CLASS A) 24 57,200 o ALZA CORP ................... 2,910 6,680 o ALZA CORP WTS 12/31/99 ...... 1 176,500 o AMGEN, INC .................. 10,744 130,400 AVON PRODUCTS, INC .......... 7,237 297,500 BRISTOL MYERS SQUIBB CO ..... 20,955 40,300 CABOT CORP .................. 975 72,700 CLOROX CO ................... 7,765 135,400 COLGATE PALMOLIVE CO ........ 13,371 1,905 o CRESCENDO PHARMACEUTICALS CORP 33 47,700 o FOREST LABORATORIES, INC .... 2,206 19,122 FULLER (H.B.) CO ............ 1,307 27,000 o GENZYME CORP (GENERAL DIVISION) 1,310 3,588 o GENZYME CORP (TISSUE REPAIR DIVISION) 7 58,976 o GENZYME-MOLECULAR ONCOLOGY .. 162 47,750 HANNA (M.A.) CO ............. 785 62,500 INTERNATIONAL FLAVORS & FRAGRANCES, INC ............ 2,773 23,400 o IVAX CORP ................... 331 492,000 JOHNSON & JOHNSON CO ........ 48,216 172,200 LILLY (ELI) & CO ............ 12,334 54,500 MALLINCKRODT, INC ........... 1,982 693,800 MERCK & CO, INC ............. 51,341 58,200 MYLAN LABORATORIES, INC ..... 1,542 70,700 NALCO CHEMICAL CORP ......... 3,668 8,800 NCH CORP .................... 436 250,000 PFIZER, INC ................. 27,438 115,500 o PPG INDUSTRIES, INC ......... 6,822 143,700 PRAXAIR, INC ................ 7,032 463,000 PROCTER & GAMBLE CO ......... 41,323 506,700 SCHERING-PLOUGH CORP ........ 26,855 77,062 SCHULMAN (A.), INC .......... 1,325 108,200 SIGMA ALDRICH CORP .......... 3,726 ----------- 319,202 ----------- COMMUNICATIONS--7.57% 325,400 AMERITECH CORP ................ 23,917 781,298 AT & T CORP ................... 43,606 208,348 o AT & T CORP-LIBERTY MEDIA GROUP (CLASS A) .................... 7,657 421,764 BELL ATLANTIC CORP ............ 27,573 538,500 BELLSOUTH CORP ................ 25,242 6,300 COMCAST CORP (CLASS A) ........ 226 See notes to financial statements. 31 SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE SHARES (000) --------- -------- COMMUNICATIONS--(CONTINUED) 152,800 COMCAST CORP (CLASS A) SPECIAL $ 5,873 94,890 o COX COMMUNICATIONS, INC (CLASS A) 3,493 561,900 LUCENT TECHNOLOGIES, INC ...... 37,893 376,942 o MCI WORLDCOM, INC ............. 32,441 161,144 o MEDIA ONE GROUP, INC .......... 11,985 524,878 SBC COMMUNICATIONS, INC ....... 30,443 191,000 SPRINT CORP (FON GROUP) ....... 10,087 51,550 o SPRINT CORP (PCS GROUP) ....... 2,945 166,444 U.S. WEST, INC ................ 9,779 153,862 o VIACOM, INC (CLASS B) ......... 6,770 3,523 o VIACOM, INC (CLASS B) WTS 07/07/99 ................. 65 62,441 o VODAFONE GROUP PLC ADR ........ 12,301 -------------- 292,296 -------------- DEPOSITORY INSTITUTIONS--4.80% 544,448 BANK OF AMERICA CORP .......... 39,915 204,486 BANK OF NEW YORK CO, INC ...... 7,502 323,767 BANK ONE CORP ................. 19,284 251,476 CHASE MANHATTAN CORP .......... 21,784 326,785 FIRST UNION CORP .............. 15,359 143,134 FLEET FINANCIAL GROUP, INC .... 6,352 37,700 KEYCORP ....................... 1,211 245,925 MBNA CORP ..................... 7,531 77,500 MORGAN (J.P.) & CO, INC ....... 10,889 84,358 NATIONAL CITY CORP ............ 5,525 104,600 PNC BANK CORP ................. 6,028 99,000 SUNTRUST BANKS, INC ........... 6,874 203,562 U.S. BANCORP .................. 6,921 60,900 WACHOVIA CORP ................. 5,211 135,516 WASHINGTON MUTUAL, INC ........ 4,794 471,440 WELLS FARGO CO ................ 20,154 -------------- 185,334 -------------- EATING AND DRINKING PLACES--0.56% 102,200 DARDEN RESTAURANTS, INC ....... 2,229 473,800 MCDONALD'S CORP ............... 19,574 -------------- 21,803 -------------- ELECTRIC, GAS, AND SANITARY SERVICES--2.67% 142,494 COLUMBIA ENERGY GROUP ......... 8,933 229,100 CONSOLIDATED NATURAL GAS CO ... 13,918 107,900 EL PASO ENERGY CORP ........... 3,797 80,693 EQUITABLE RESOURCES, INC ...... 3,046 43,200 IDACORP, INC .................. 1,361 236,657 KEYSPAN CORP .................. 6,242 211,600 LOUISVILLE GAS & ELECTRIC ENERGY CORP .................. 4,444 88,133 MCN ENERGY GROUP, INC ......... 1,829 87,700 NICOR, INC .................... 3,338 235,100 NISOURCE, INC ................. 6,069 142,100 OGE ENERGY CORP ............... 3,375 499,131 PACIFICORP .................... 9,172 69,300 PEOPLES ENERGY CORP ........... 2,612 266,700 POTOMAC ELECTRIC POWER CO ..... 7,851 121,300 PUGET SOUND ENERGY, INC ....... 2,911 247,700 SONAT, INC .................... 8,205 176,500 TECO ENERGY, INC .............. 4,015 283,900 WILLIAMS COS, INC ............. 12,083 -------------- 103,201 -------------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--2.33% 132,800 o ADVANCED MICRO DEVICES, INC 2,399 13,800 BALDOR ELECTRIC CO ............ 274 136,600 EMERSON ELECTRIC CO ........... 8,589 17,900 o GLENAYRE TECHNOLOGIES, INC .... 64 804,200 INTEL CORP .................... 47,850 75,200 o MICRON TECHNOLOGY, INC ........ 3,032 36,170 MOLEX, INC .................... 1,338 45,400 o NATIONAL SEMICONDUCTOR CORP ... 1,149 25,400 RAYCHEM CORP .................. 940 39,300 o SENSORMATIC ELECTRONICS CORP .. 548 106,200 o TELLABS, INC .................. 7,175 66,100 TEXAS INSTRUMENTS, INC ........ 9,585 21,300 THOMAS & BETTS CORP ........... 1,006 63,256 o VISHAY INTERTECHNOLOGY, INC ... 1,328 63,400 WHIRLPOOL CORP ................ 4,692 -------------- 89,969 -------------- ENGINEERING AND MANAGEMENT SERVICES--0.05% 59,100 DUN & BRADSTREET CORP ......... 2,094 -------------- FABRICATED METAL PRODUCTS--0.18% 169,200 GILLETTE CO ................... 6,937 4,410 MARK IV INDUSTRIES, INC ....... 93 -------------- 7,030 -------------- FOOD AND KINDRED PRODUCTS--3.34% 154,300 BESTFOODS, INC ................ 7,638 237,000 CAMPBELL SOUP CO .............. 10,991 690,100 COCA COLA CO .................. 43,131 96,100 COCA COLA ENTERPRISES, INC .... 2,859 110,500 GENERAL MILLS, INC ............ 8,881 214,150 HEINZ (H.J.) CO ............... 10,734 89,200 HERSHEY FOODS CORP ............ 5,296 197,500 KELLOGG CO .................... 6,518 5,800 MCCORMICK & CO, INC (NON-VOTE) 183 418,400 PEPSICO, INC .................. 16,187 105,900 QUAKER OATS CO ................ 7,029 45,714 UNILEVER NV (N.Y.) SHS ........ 3,189 21,790 o VLASIC FOODS INTERNATIONAL, INC 159 72,300 WHITMAN CORP .................. 1,301 56,000 WRIGLEY (WM) JR CO ............ 5,040 -------------- 129,136 -------------- FOOD STORES--0.34% 152,658 ALBERTSONS, INC ............... 7,871 137,000 o KROGER CO ..................... 3,827 30,000 o SAFEWAY, INC .................. 1,485 -------------- 13,183 -------------- FURNITURE AND FIXTURES--0.20% 165,283 NEWELL RUBBERMAID, INC ........ 7,686 -------------- FURNITURE AND HOMEFURNISHINGS STORES--0.05% 39,194 TANDY CORP .................... 1,916 -------------- GENERAL BUILDING CONTRACTORS--0.03% 28,600 HILLENBRAND INDUSTRIES, INC ... 1,237 -------------- GENERAL MERCHANDISE STORES--1.83% 66,900 DAYTON HUDSON CORP ............ 4,349 1,000 o FEDERATED DEPARTMENT STORES, INC 53 148,600 o K MART CORP ................... 2,443 50,400 MAY DEPARTMENT STORES CO ...... 2,060 60,200 PENNEY, (J.C.) CO, INC ........ 2,923 104,800 SEARS ROEBUCK & CO ............ 4,670 1,126,000 WAL-MART STORES, INC .......... 54,330 -------------- 70,828 -------------- HEALTH SERVICES--0.21% 235,755 COLUMBIA/HCA HEALTHCARE CORP .. 5,378 12,408 o LIFEPOINT HOSPITALS, INC ...... 167 123,300 o TENET HEALTHCARE CORP ......... 2,289 12,408 o TRIAD HOSPITALS, INC .......... 168 -------------- 8,002 -------------- See notes to financial statements. 32 SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE SHARES (000) ------ -------- HOLDING AND OTHER INVESTMENT OFFICES--0.12% 1,000 o AMERCO ........................ $ 23 106,000 WEINGARTEN REALTY INVESTORS, INC 4,426 ------------- 4,449 ------------- INDUSTRIAL MACHINERY AND EQUIPMENT--6.07% 48,300 o APPLE COMPUTER, INC ........... 2,237 114,400 o APPLIED MATERIALS, INC ........ 8,451 733,250 o CISCO SYSTEMS, INC ............ 47,150 409,010 COMPAQ COMPUTER CORP .......... 9,688 30,600 CUMMINS ENGINE CO, INC ........ 1,748 106,200 DEERE & CO .................... 4,208 570,600 o DELL COMPUTER CORP ............ 21,112 10,462 DIEBOLD, INC .................. 301 264,400 o EMC CORP ...................... 14,542 50,500 GRACO, INC .................... 1,483 288,500 HEWLETT-PACKARD CO ............ 28,994 473,700 INTERNATIONAL BUSINESS MACHINES CORP ................ 61,226 19,700 NORDSON CORP .................. 1,207 137,200 PITNEY BOWES, INC ............. 8,815 70,200 o SMITH INTERNATIONAL, INC ...... 3,049 32,438 TIMKEN CO ..................... 633 207,170 TYCO INTERNATIONAL LTD ........ 19,629 ------------- 234,473 ------------- INSTRUMENTS AND RELATED PRODUCTS--1.30% 30,800 BAUSCH & LOMB, INC ............ 2,356 152,200 BECTON DICKINSON & CO ......... 4,566 53,500 o BIOMET, INC ................... 2,127 118,800 o BOSTON SCIENTIFIC CORP ........ 5,220 4,833 o GENZYME SURGICAL PRODUCTS ..... 21 126,400 o GUIDANT CORP .................. 6,502 184,300 MEDTRONIC, INC ................ 14,352 9,898 o ST. JUDE MEDICAL, INC ......... 353 249,400 XEROX CORP .................... 14,730 ------------- 50,227 ------------- INSURANCE AGENTS, BROKERS AND SERVICE--0.27% 136,020 MARSH & MCLENNAN COS, INC ..... 10,270 ------------- INSURANCE CARRIERS--3.65% 255,306 ALLSTATE CORP ................. 9,159 152,800 AMERICAN GENERAL CORP ......... 11,517 399,917 AMERICAN INTERNATIONAL GROUP, INC ................... 46,815 202 o BERKSHIRE HATHAWAY, INC (CLASS A) .................... 13,918 22 o BERKSHIRE HATHAWAY, INC (CLASS B) .................... 49 49,700 CHUBB CORP .................... 3,454 69,200 CIGNA CORP .................... 6,159 894,978 CITIGROUP, INC ................ 42,511 10,500 o CNA FINANCIAL CORP ............ 423 56,053 CONSECO, INC .................. 1,706 18,200 JEFFERSON-PILOT CORP .......... 1,205 1,400 SAFECO CORP ................... 62 2,400 ST. PAUL COS, INC ............. 76 51,000 TRANSAMERICA CORP ............. 3,825 ------------- 140,879 ------------- MISCELLANEOUS MANUFACTURING INDUSTRIES--0.75% 90,150 HASBRO, INC ................... 2,519 126,691 MATTEL, INC ................... 3,349 265,200 MINNESOTA MINING & MANUFACTURING CO ............. 23,056 ------------- 28,924 ------------- MISCELLANEOUS RETAIL--0.35% 84,176 CVS CORP ...................... 4,272 45,950 o TOYS R US, INC ................ 951 278,000 WALGREEN CO ................... 8,166 ------------- 13,389 ------------- MOTION PICTURES--1.15% 587,625 o DISNEY (WALT) CO .............. 18,106 356,868 TIME WARNER, INC .............. 26,230 ------------- 44,336 ------------- NONDEPOSITORY INSTITUTIONS--2.38% 198,400 AMERICAN EXPRESS CO ........... 25,817 253,400 ASSOCIATES FIRST CAPITAL CORP . 11,229 393,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION .................. 26,871 231,700 FREDDIE MAC ................... 13,439 232,254 HOUSEHOLD INTERNATIONAL, INC .. 11,003 74,900 SLM HOLDINGS CORP ............. 3,431 ------------- 91,790 ------------- OIL AND GAS EXTRACTION--1.79% 220,300 ANADARKO PETROLEUM CORP ....... 8,110 234,200 APACHE CORP ................... 9,134 113,100 o BJ SERVICES CO ................ 3,329 170,300 BURLINGTON RESOURCES, INC ..... 7,365 161,900 HELMERICH & PAYNE, INC ........ 3,855 98,000 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) ............... 1,893 60,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS B) ............... 1,106 150,900 o NABORS INDUSTRIES, INC ........ 3,688 151,947 NOBLE AFFILIATES, INC ......... 4,283 155,866 o NOBLE DRILLING CORP ........... 3,069 155,900 o PARKER DRILLING CO ............ 516 142,600 o ROWAN COS, INC ................ 2,629 451,400 o SANTA FE SNYDER CORP .......... 3,442 126,117 TRANSOCEAN OFFSHORE, INC ...... 3,311 409,815 UNION PACIFIC RESOURCES GROUP, INC ................... 6,685 59,300 o VASTAR RESOURCES, INC ......... 3,110 93,075 o WEATHERFORD INTERNATIONAL ..... 3,409 ------------- 68,934 ------------- PAPER AND ALLIED PRODUCTS--0.44% 155,900 AVERY DENNISON CORP ........... 9,412 143,700 CONSOLIDATED PAPERS, INC ...... 3,844 129,550 SONOCO PRODUCTS CO ............ 3,878 ------------- 17,134 ------------- PERSONAL SERVICES--0.06% 125,200 SERVICE CORP INTERNATIONAL .... 2,410 ------------- PETROLEUM AND COAL PRODUCTS--0.22% 156,400 MURPHY OIL CORP ............... 7,634 41,400 WD-40 CO ...................... 1,035 ------------- 8,669 ------------- PRIMARY METAL INDUSTRIES--0.18% 76,652 BIRMINGHAM STEEL CORP ......... 316 88,500 NUCOR CORP .................... 4,198 141,650 WORTHINGTON INDUSTRIES, INC ... 2,328 ------------- 6,842 ------------- See notes to financial statements. 33 SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE SHARES (000) ------ -------- PRINTING AND PUBLISHING--0.73% 24,300 DELUXE CORP ................... $ 946 41,000 DOW JONES & CO, INC ........... 2,176 155,400 GANNETT CO, INC ............... 11,092 11,300 KNIGHT-RIDDER, INC ............ 621 148,200 MCGRAW HILL COS, INC .......... 7,994 38,600 NEW YORK TIMES CO (CLASS A) ... 1,421 20,220 o R.H. DONNELLEY CORP ........... 396 57,700 TIMES MIRROR CO SERIES A ...... 3,419 ------------- 28,065 ------------- RAILROAD TRANSPORTATION--0.33% 421,200 NORFOLK SOUTHERN CORP ......... 12,689 ------------- REAL ESTATE--0.01% 20,600 ROUSE CO 523 ------------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.47% 24,100 BANDAG, INC ................... 836 117,300 ILLINOIS TOOL WORKS, INC ...... 9,619 121,200 NIKE, INC (CLASS B) ........... 7,673 ------------- 18,128 ------------- SECURITY AND COMMODITY BROKERS--0.89% 125,600 MERRILL LYNCH & CO, INC ....... 10,040 167,848 MORGAN STANLEY, DEAN WITTER, & CO 17,204 65,800 SCHWAB (CHARLES) CORP ......... 7,230 ------------- 34,474 ------------- STONE, CLAY, AND GLASS PRODUCTS--0.10% 56,200 CORNING, INC .................. 3,941 ------------- TRANSPORTATION BY AIR--0.37% 16,000 o ALASKA AIR GROUP, INC ......... 668 79,900 o AMR CORP ...................... 5,453 37,600 DELTA AIRLINES, INC ........... 2,167 43,100 o FDX CORP ...................... 2,338 99,562 SOUTHWEST AIRLINES CO ......... 3,099 5,618 o U.S. AIRWAYS GROUP, INC ....... 245 2,300 o UAL CORP ...................... 150 ------------- 14,120 ------------- TRANSPORTATION EQUIPMENT--0.06% 23,500 FEDERAL-MOGUL CORP ............ 1,222 12,000 FLEETWOOD ENTERPRISES, INC .... 317 21,900 MODINE MANUFACTURING CO ....... 713 ------------- 2,252 ------------- TRUCKING AND WAREHOUSING--0.02% 60,000 ARNOLD INDUSTRIES, INC ........ 926 ------------- WHOLESALE TRADE-DURABLE GOODS--0.32% 24,400 AVNET, INC .................... 1,135 191,850 GENUINE PARTS CO .............. 6,715 66,200 GRAINGER (W.W.), INC .......... 3,562 50,900 IKON OFFICE SOLUTIONS, INC .... 764 ------------- 12,176 ------------- WHOLESALE TRADE-NONDURABLE GOODS--0.55% 61,180 BERGEN BRUNSWIG CORP (CLASS A) 1,055 83,800 CARDINAL HEALTH, INC .......... 5,374 96,900 ENRON CORP .................... 7,922 66,800 MCKESSON HBOC, INC ............ 2,146 144,800 SYSCO CORP .................... 4,317 25,450 UNISOURCE WORLDWIDE, INC ...... 307 ------------- 21,121 ------------- TOTAL COMMON STOCK (Cost $1,190,921) .............. 2,345,508 ------------- PRINCIPAL - ----------- SHORT TERM INVESTMENTS--13.84% COMMERCIAL PAPER--9.57% AMERICAN STORES CO $15,000,000 * 5.120%, 07/14/99 ............ 14,968 CONAGRA, INC 20,000,000 * 5.090%, 07/09/99 ............ 19,973 COX COMMUNICATIONS, INC 27,000,000 *~ 5.150%, 07/14/99 ............ 26,943 CVS CORP 4,950,000 *~ 4.900%, 07/07/99 ............ 4,944 25,000,000 *~ 4.940%, 07/12/99 ............ 24,955 14,000,000 *~ 4.940%, 07/14/99 ............ 13,970 DILLARDS, INC 29,595,000 ~ 6.110%, 07/01/99 ............ 29,590 EL PASO NATURAL GAS CO 17,800,000 *~ 5.000%, 07/14/99 ............ 17,762 MCI WORLDCOM, INC 50,000,000 *~ 5.000%, 07/19/99 ............ 49,858 PENNEY (J.C.) FUNDING CORP 30,000,000 *~ 5.260%, 07/22/99 ............ 29,904 PRAXAIR, INC 50,000,000 *~ 4.970%, 07/16/99 ............ 49,880 RYDER SYSTEMS, INC 25,000,000 *~ 4.970%, 07/13/99 ............ 24,951 SONAT, INC 21,900,000 ~ 5.500%, 07/01/99 ............ 21,896 40,000,000 *~ 4.980%, 07/14/99 ............ 39,915 ------------- 369,509 ------------- INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED--4.27% MEDIUM TERM NOTE BANKERS TRUST CO 30,000,000 4.940%, 09/14/99 ............ 30,070 REPURCHASE AGREEMENTS GOLDMAN SACHS & CO 84,927,000 @ 5.200%, DATED 06/30/99, DUE 07/01/99 ............... 84,939 PRUDENTIAL SECURITIES, INC 50,000,000 @ 5.100%, DATED 04/23/99, DUE 12/31/99 ............... 50,021 ------------- 165,030 ------------- TOTAL SHORT TERM INVESTMENTS (COST $534,642) ............... 534,539 ------------- TOTAL PORTFOLIO (COST $3,195,526) ............. $4,323,960 ============= See notes to financial statements. 34 SOCIAL CHOICE ACCOUNT (CONTINUED) - ----------------- o Non-income producing ~ Commercial Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. ! Security is exempt from registration under Rule 144A of the Securities Act of 1933 and may be resold in transactions exempt from registration to qualified institutional buyers. At June 30, 1999, the value of these securities amounted to $19,570,600 or 0.51% of net assets. * All or a portion of these securities have been segregated by the Custodian to cover securities purchased on a delayed delivery basis. ^ These securities were purchased on a delayed delivery basis. [] All or a portion of these securities are out on loan. @ Repurchase agreements are fully collateralized as follows: MARKET VALUE COUPON MATURITY DESCRIPTION PRINCIPAL (000) RATE DATE ------------ ----------- -------- -------- --------- GOLDMAN SACHS & CO: U.S. Treasury Bond $10,746,142 $16,408 11.250% 02/15/15 U.S. Treasury Note 74,645,951 70,218 4.750%- 06/30/01- 5.750% 11/15/08 PRUDENTIAL SECURITIES, INC: Federal Home Loan 5,894,500 5,924 4.940%- 10/27/00- Bank 6.005% 01/05/04 Federal Home Loan 5,857,000 5,692 5.150%- 05/16/00- Mortgage Corp 6.700% 04/29/09 Federal Mortgage Corp 79,600 79 Discount 08/09/99- Discount Note Notes 09/29/99 Federal National 1,180,000 1,192 5.650%- 04/23/01- Mortgage Association 6.450% 06/01/01 U.S. Treasury Bond 7,627,600 9,811 8.750%- 08/15/15- 10.625% 05/15/17 U.S. Treasury Note 27,296,700 27,564 4.500%- 01/31/01- 6.250% 02/28/03 U.S. Treasury Strip 2,412,600 738 Zero Coupon 02/15/17- Bonds 05/15/21 - ------------------ 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 25.97% BAA 10.82% BA 0.23% U.S.Government obligations represent 62.98% of the long-term debt portfolio value and are not reflected in the above ratings. See notes to financial statements. 35 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED) JUNE 30, 1999 SUMMARY BY INDUSTRY (000) VALUE % ---------- ------ BONDS CORPORATE BONDS DEPOSITORY INSTITUTIONS ............... $ 223 0.00% METAL MINING .......................... 15 0.00 ---------- ------ TOTAL CORPORATE BONDS (Cost $214) ........................... 238 0.00 ---------- ------ TOTAL BONDS (Cost $214) ............................ 238 0.00 ---------- ------ PREFERRED STOCK APPAREL AND OTHER TEXTILE PRODUCTS .... 47 0.00 BUSINESS SERVICES ..................... 2,822 0.04 CHEMICALS AND ALLIED PRODUCTS ......... 5 0.00 ELECTRIC, GAS, AND SANITARY SERVICES .. 1,726 0.03 FABRICATED METAL PRODUCTS ............. 198 0.00 INSURANCE CARRIERS .................... 184 0.00 PRINTING AND PUBLISHING ............... 1,620 0.03 TRANSPORTATION EQUIPMENT .............. 1,749 0.03 ---------- ------ TOTAL PREFERRED STOCK (Cost $5,431) ......................... 8,351 0.13 ---------- ------ COMMON STOCK AGRICULTURAL PRODUCTION-CROPS ......... 362 0.01 AMUSEMENT AND RECREATION SERVICES ..... 8,097 0.12 APPAREL AND ACCESSORY STORES .......... 15,116 0.23 APPAREL AND OTHER TEXTILE PRODUCTS .... 18,582 0.28 AUTO REPAIR, SERVICES AND PARKING ..... 2,714 0.04 AUTOMOTIVE DEALERS AND SERVICE STATIONS 496 0.01 BUILDING MATERIALS AND GARDEN SUPPLIES 54,946 0.82 BUSINESS SERVICES ..................... 426,355 6.40 CHEMICALS AND ALLIED PRODUCTS ......... 656,039 9.85 COMMUNICATIONS ........................ 923,121 13.86 DEPOSITORY INSTITUTIONS ............... 390,092 5.86 EATING AND DRINKING PLACES ............ 57,197 0.86 ELECTRIC, GAS, AND SANITARY SERVICES .. 97,280 1.46 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT 531,451 7.98 ENGINEERING AND MANAGEMENT SERVICES ... 5,297 0.08 FABRICATED METAL PRODUCTS ............. 59,621 0.90 FOOD AND KINDRED PRODUCTS ............. 128,631 1.93 FOOD STORES ........................... 184,406 2.77 FORESTRY .............................. 215 0.00 FURNITURE AND FIXTURES ................ 772 0.01 FURNITURE AND HOMEFURNISHINGS STORES .. 836 0.01 GENERAL BUILDING CONTRACTORS .......... 9,792 0.15 GENERAL MERCHANDISE STORES ............ 155,874 2.34 HEALTH SERVICES ....................... 42,868 0.64 HEAVY CONSTRUCTION, EXCEPT BUILDING ... 19,755 0.30 HOLDING AND OTHER INVESTMENT OFFICES .. 24,113 0.36 HOTELS AND OTHER LODGING PLACES ....... 6,091 0.09 INDUSTRIAL MACHINERY AND EQUIPMENT .... 431,096 6.47 INSTRUMENTS AND RELATED PRODUCTS ...... 237,524 3.56 INSURANCE AGENTS, BROKERS AND SERVICE . 4,078 0.06 INSURANCE CARRIERS .................... 255,813 3.84 LOCAL AND INTERURBAN PASSENGER TRANSIT 30,807 0.46 LUMBER AND WOOD PRODUCTS .............. 70,298 1.05 METAL MINING .......................... 14,261 0.21 MISCELLANEOUS MANUFACTURING INDUSTRIES 4,282 0.06 MISCELLANEOUS RETAIL .................. 32,720 0.49 MOTION PICTURES ....................... 53,940 0.81 NONDEPOSITORY INSTITUTIONS ............ 56,034 0.84 NONMETALLIC MINERALS, EXCEPT FUELS .... 266 0.00 OIL AND GAS EXTRACTION ................ 117,733 1.77 PAPER AND ALLIED PRODUCTS ............. 15,140 0.23 PERSONAL SERVICES ..................... 1,040 0.02 PETROLEUM AND COAL PRODUCTS ........... 257,488 3.87 PIPELINES, EXCEPT NATURAL GAS ......... 400 0.01 PRIMARY METAL INDUSTRIES .............. 182,875 2.75 PRINTING AND PUBLISHING ............... 173,954 2.61 RAILROAD TRANSPORTATION ............... 49,618 0.74 REAL ESTATE ........................... 27,666 0.42 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS 21,709 0.33 SECURITY AND COMMODITY BROKERS ........ 46,790 0.70 SPECIAL TRADE CONTRACTORS ............. 1,362 0.02 STONE, CLAY, AND GLASS PRODUCTS ....... 124,266 1.87 TEXTILE MILL PRODUCTS ................. 989 0.01 TOBACCO PRODUCTS ...................... 13,676 0.21 TRANSPORTATION BY AIR ................. 23,007 0.35 TRANSPORTATION EQUIPMENT .............. 217,971 3.27 TRANSPORTATION SERVICES ............... 101,477 1.52 TRUCKING AND WAREHOUSING .............. 13,123 0.20 WATER TRANSPORTATION .................. 13,050 0.20 WHOLESALE TRADE-DURABLE GOODS ......... 1,620 0.02 WHOLESALE TRADE-NONDURABLE GOODS ...... 44,305 0.67 ---------- ------ TOTAL COMMON STOCK (COST $5,166,455) ..................... 6,460,497 97.00 ---------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ...................... 46,832 0.70 U.S. GOVERNMENT & AGENCIES ............ 180,889 2.72 ---------- ------ TOTAL SHORT TERM INVESTMENTS (COST $227,792) ....................... 227,721 3.42 ---------- ------ TOTAL PORTFOLIO (Cost $5,399,892) ..................... 6,696,807 100.55 OTHER ASSETS & LIABILITIES, NET ...... (36,384) (0.55) ---------- ------ NET ASSETS .............................. $6,660,423 100.00% ========== ====== See notes to financial statements. 36 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED) JUNE 30, 1999 SUMMARY BY COUNTRY VALUE (000) % ----------- ------- DOMESTIC UNITED STATES ................... $3,309,767 49.42% ---------- ------ TOTAL DOMESTIC .................... 3,309,767 49.42 ---------- ------ FOREIGN AUSTRALIA ....................... 91,538 1.37 AUSTRIA ......................... 818 0.01 BELGIUM ......................... 12,214 0.18 CANADA .......................... 117,299 1.75 DENMARK ......................... 4,316 0.06 FINLAND ......................... 20,653 0.31 FRANCE .......................... 183,516 2.74 GERMANY ......................... 235,023 3.51 HONG KONG ....................... 70,382 1.05 IRELAND ......................... 14,894 0.22 ITALY ........................... 40,299 0.60 JAPAN ........................... 775,393 11.58 MALAYSIA ........................ 2,103 0.03 NETHERLANDS ..................... 260,452 3.89 NEW ZEALAND ..................... 4,082 0.06 NORWAY .......................... 17,778 0.27 PORTUGAL ........................ 3,468 0.05 SINGAPORE ....................... 31,868 0.48 SOUTH AFRICA .................... 6,027 0.09 SPAIN ........................... 37,278 0.56 SWEDEN .......................... 116,062 1.73 SWITZERLAND ..................... 100,200 1.50 THAILAND ........................ 804 0.01 UNITED KINGDOM .................. 1,012,852 15.13 ---------- ------ TOTAL FOREIGN ..................... 3,159,319 47.18 TOTAL SHORT TERM .................. 227,721 3.40 ---------- ------ TOTAL PORTFOLIO ................... $6,696,807 100.00% ========== ====== See notes to financial statements. 37 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED) JUNE 30, 1999 VALUE PRINCIPAL (000) --------- ---------- BONDS--0.00% CORPORATE BONDS--0.00% DEPOSITORY INSTITUTIONS--0.00% BANCA INTESA (CV DEB) $ 35,899(1) 1.600%, 01/01/03 .................... $ 67 MITSU TRUST & BANKING (CV DEB) 32,000,000(2) 0.500%, 10/01/07 .................... 156 ------------- 223 ------------- METAL MINING--0.00% RGC GOLD 37,400 0.000%, 12/31/00 ..................... 15 ------------- TOTAL CORPORATE BONDS (COST $214) ............................. 238 ------------- TOTAL BONDS (COST $214) .............................. 238 ------------- - ------------------- (1) Denominated in Italian Lira (2) Denominated in Japanese Yen SHARES ------ PREFERRED STOCK--0.13% APPAREL AND OTHER TEXTILE PRODUCTS--0.00% 350 ESCADA AG. ............................. 47 ------------- BUSINESS SERVICES--0.04% 7,062 [] SAP AG. ................................ 2,822 ------------- CHEMICALS AND ALLIED PRODUCTS--0.00% 213 CIN-CORPARACAO INDUSTRIAL .............. 5 ------------- ELECTRIC, GAS, AND SANITARY SERVICES--0.03% 49,670 o RHEIN-WESTFALEN ELECTRIC AG. (NON-VOTE) ............................ 1,726 ------------- FABRICATED METAL PRODUCTS--0.00% 700 FRIEDRICH-GROHE AG. .................... 198 ------------- INSURANCE CARRIERS--0.00% 1,014 AETNA, INC SERIES C .................... 75 1,300 AXA COLONIA KONZERN AG. ................ 109 ------------- 184 ------------- PRINTING AND PUBLISHING--0.03% 212,691 [] NEWS CORP LTD (LTD-VOTE) ............... 1,620 ------------- TRANSPORTATION EQUIPMENT--0.03% 6,500 o AN AG. ................................. 147 43,330 VOLKSWAGEN AG. ......................... 1,602 ------------- 1,749 ------------- TOTAL PREFERRED STOCK (COST $5,431) ........................... 8,351 ------------- COMMON STOCK--97.00% AGRICULTURAL PRODUCTION-CROPS--0.01% 51,000 GOLDEN HOPE PLANTATIONS BERHAD ......... 39 8,300 PIONEER-HI-BRED INTERNATIONAL, INC ..... 323 ------------- 362 ------------- AMUSEMENT AND RECREATION SERVICES--0.12% 63,052 EMI GROUP PLC .......................... 506 109,029 GRANADA GROUP LTD (CLASS A) ............ 2,023 15,800 o HARRAH'S ENTERTAINMENT, INC............. 348 275,000 HEIWA CORP ............................. 4,953 37,900 TABCORP HOLDINGS LTD ................... 255 2,000 o TOKYO DOME CORP ........................ 12 ------------- 8,097 ------------- APPAREL AND ACCESSORY STORES--0.23% 530 DOUGLAS HOLDINGS AG. ................... 24 93,355 GAP, INC ............................... 4,703 76,400 HENNES & MAURITZ AB SERIES B ........... 1,887 187,373 LIMITED, INC ........................... 8,502 ------------- 15,116 ------------- APPAREL AND OTHER TEXTILE PRODUCTS--0.28% 5,500 o AOYAMA TRADING CO LTD .................. 174 198,800 BENETTON GROUP S.P.A. .................. 392 90 o DOLLFUS-MIEG & CIE S.A. ................ 1 62,000 GUNZE LTD .............................. 164 140,600 o JONES APPAREL GROUP, INC ............... 4,824 998,000 KURARAY CO LTD ......................... 12,005 2,300 LIZ CLAIBORNE, INC ..................... 84 13,000 ONWARD KASHIYMA CO LTD ................. 143 8,000 o RENOWN, INC ............................ 11 16,000 TOKYO STYLE CO LTD ..................... 172 7,900 VF CORP ................................ 338 26,945 WACOAL CORP ............................ 274 ------------ 18,582 ------------ AUTO REPAIR, SERVICES AND PARKING--0.04% 240,000 o IMPERIAL HOLDINGS LTD .................. 2,386 12,600 RYDER SYSTEM, INC ...................... 328 ------------ 2,714 ------------ AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.01% 1,000 [] AUTOBACS SEVEN CO LTD .................. 49 10,500 CANADIAN TIRE, INC (CLASS A) ........... 305 11,735 LEX SERVICE GROUP LTD .................. 108 44,913 LONHRO AFRICA PLC ...................... 34 ------------ 496 ------------ BUILDING MATERIALS AND GARDEN SUPPLIES--0.82% 43,790 CRH PLC ................................ 777 149,762 HOME DEPOT, INC ........................ 9,650 768,700 LOWES COS, INC ......................... 43,576 3,047 o MEYER INTERNATIONAL PLC ................ 20 2,300 PORTLAND VALDERRIVAS S.A. .............. 72 113,006 WOLSELEY PLC ........................... 851 ------------- 54,946 ------------- BUSINESS SERVICES--6.40% 12,494 o ACNEILSEN CORP ......................... 378 1,400 o ADECCO S.A. (REGD) ..................... 750 7,600 ADOBE SYSTEMS, INC ..................... 624 201,436 AMERICA ONLINE, INC .................... 22,259 51,332 AUTOMATIC DATA PROCESSING, INC ......... 2,259 38 See notes to financial statements. GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- BUSINESS SERVICES--(CONTINUED) 20,800 o BMC SOFTWARE, INC ...................... $ 1,123 7,780 [] CAP GEMINI S.A. ........................ 1,223 57,235 COMPUTER ASSOCIATES INTERNATIONAL, INC .................... 3,148 5,213,000 o CORPORATE SERVICES GROUP PLC ........... 6,985 6,000 CREATIVE TECHNOLOGY LTD ................ 78 3,200 [] CSK CORP ............................... 73 6,667 []oDASSAULT SYSTEMS S.A. .................. 220 150,000 o DATA ADVANTAGE LTD ..................... 379 4,500 o ELECTRONIC ARTS, INC ................... 244 53,392 ELECTRONIC DATA SYSTEMS CORP ........... 3,020 48,762 FIRST DATA CORP ........................ 2,386 10,200 GETRONICS NV ........................... 392 1,000 HAW PAR CORP LTD ....................... 2 8,355,800 HAYS PLC ............................... 88,050 32,200 IMS HEALTH, INC ........................ 1,006 11,100 INTERPUBLIC GROUP OF COS, INC .......... 962 2,300 o ISS INTERNATIONAL SERVICE SYSTEM AS SERIES B .................... 123 3,588 [] KONAMI CO LTD .......................... 148 11,799 LAGARDERE S.C.A. ....................... 439 3,543,200 LOGICA PLC ............................. 37,141 2,800 MANPOWER, INC .......................... 63 302,000 [] MEITEC CORP ............................ 10,105 6,000 MERKANTILDATA ASA ...................... 58 1,785,640 o MICROSOFT CORP ......................... 161,042 57,130 o MISYS PLC .............................. 489 7,096 NAMCO LTD .............................. 191 28,500 o NET PERCEPTIONS, INC ................... 622 688,900 o NEWBRIDGE NETWORKS CORP ................ 19,549 27,400 o NOVELL, INC ............................ 726 820,280 o ORACLE CORP ............................ 30,453 20,200 o PARAMETRIC TECHNOLOGY CORP ............. 280 15,312 o PEOPLESOFT, INC ........................ 264 2,000 o PITTSTON BRINKS GROUP CO ............... 54 28,350 []o PRICELINE.COM, INC ..................... 3,276 404,500 o PSINET, INC ............................ 17,697 100 RATIN AS (CLASS B) ..................... 12 290,612 RENTOKIL INITIAL PLC ................... 1,134 162,346 RUETERS GROUP PLC ...................... 2,136 3,000 SAP AG. ................................ 1,015 9,700 SECOM CO LTD ........................... 1,010 31,800 SECURITAS AB SERIES B FREE ............. 475 98 o SIEBEL SYSTEMS, INC .................... 6 88,200 SIME DARBY BERHAD ...................... 104 100 SOPHUS BERENDSEN (CLASS B) (NEW) ....... 3 1,020 o SURVEILLANCE S.A. SOCIETE DE ........... 253 6,000 [] TIETO CORP (CLASS B) ................... 250 189,000 TOKYU CORP ............................. 476 3,000 TRANS COSMOS ........................... 218 214,000 WHARF HOLDINGS LTD ..................... 667 10,900 o WHARF HOLDINGS LTD WTS 12/31/99 ........ 10 8,000 WM-DATA AB SERIES B .................... 305 ----------- 426,355 ----------- CHEMICALS AND ALLIED PRODUCTS--9.85% 151,775 ABBOTT LABORATORIES CO ................. 6,906 16,720 AGA AB SERIES A FREE ................... 208 8,800 o AGA AB SERIES A RTS .................... 3 7,200 AGA AB SERIES B FREE ................... 89 8,500 AGRIUM, INC ............................ 74 23,600 AIR PRODUCTS & CHEMICALS, INC .......... 950 27,600 AKZO NOBEL NV .......................... 1,161 836,168 AMERICAN HOME PRODUCTS CORP ............ 48,080 133,000 ASAHI CHEMICAL INDUSTRY CO LTD ......... 737 81,492 [] ASTRAZENECA PLC ........................ 3,173 108,724 ASTRAZENECA PLC (U.K.) ................. 4,206 26,400 AVON PRODUCTS, INC ..................... 1,465 63,500 [] BASF AG. ............................... 2,806 74,140 BAYER AG. .............................. 3,089 10,800 BEIERSDORF AG. ......................... 718 45,603 BOC GROUP PLC .......................... 891 753,504 BRISTOL MYERS SQUIBB CO ................ 53,075 32,000 CHUGAI PHARMACEUTICAL CO LTD ........... 345 500 CIN-CORPARACAO INDUSTRIAL DO0 NORTE S.A ............................. 13 13,300 CLOROX CO .............................. 1,421 280,000 COLGATE PALMOLIVE CO ................... 27,650 7,000 o CSL LTD ................................ 60 17,286 DAICEL CHEMICAL INDUSTRIES LTD ......... 64 28,714 DAIICHI PHARMACEUTICAL CO LTD .......... 446 25,000 DAINIPPON INK & CHEMICAL, INC .......... 85 120,000 DENKI KAGKU KOGYO ...................... 263 7,400 DIAL CORP .............................. 275 258,049 DOW CHEMICAL CO ........................ 32,740 498,233 DU PONT (E.I.) DE NEMOURS & CO ......... 34,036 1,600 DYNO ASA ............................... 29 3,175 EASTMAN CHEMICAL CO .................... 164 14,000 EISAI CO LTD ........................... 276 397,400 []o ELAN CORP PLC ADR ...................... 11,028 500 o FABRICA ESP DE PROCUCTO QUIMICO (NEW) .. 6 5,000 FABRICA ESP DE PRODUCTO QUIMICO Y FARM .................................. 61 30,000 o FANCL CORP ............................. 5,453 6,823 o FMC CORP ............................... 466 331,145 GLAXO WELLCOME PLC ..................... 9,203 25,400 GREENCORE GROUP PLC .................... 79 97,549 IMPERIAL CHEMICAL INDUSTRY PLC ......... 964 129,283 JOHNSON & JOHNSON CO ................... 12,670 12,000 KAKEN PHARMACEUTICAL CO LTD ............ 86 66,000 KANEKA CORP ............................ 622 70,000 KANSAI PAINT CO LTD .................... 215 528,000 KAO CORP ............................... 14,831 13,380 KEMIRA OY .............................. 81 2,657 KISSEI PHARMACEUTICALS CO LTD .......... 53 42,000 KUREHA CHEMICAL INDUSTRY CO LTD ........ 112 44,000 o KYORIN PHARMACEUTICAL CO LTD ........... 1,094 4,877 L'AIR LIQUIDE (REGD) 2001 .............. 767 2,332 o# L'AIR LIQUIDE S.A. (REGD) .............. 367 102,570 LILLY (ELI) & CO ....................... 7,347 35,000 LION CORP .............................. 145 6,364 LOREAL S.A. ............................ 4,302 7,100 LUBRIZOL CORP .......................... 193 500,000 LYONDELL CHEMICAL CO ................... 10,313 15,274 MALLINCKRODT, INC ...................... 556 887,072 * MERCK & CO, INC ........................ 65,643 13,730 MERCK & CO KGAA ........................ 447 142,000 MITSUBISHI CHEMICAL CORP ............... 492 46,000 MITSUBISHI GAS CHEMICAL CO, INC ........ 145 1,000 MITSUI CHEMICAL CORP ................... 6 75,999 MONSANTO CO ............................ 2,997 291,122 MONTEDISON S.P.A. ...................... 474 12,940 NALCO CHEMICAL CORP .................... 671 6,282 NOVARTIS AG. (REGD) .................... 9,173 5,500 NOVO NORDISK AS (CLASS B) .............. 594 11,500 ORICA LTD 63 See notes to financial statements. 39 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- CHEMICALS AND ALLIED PRODUCTS--(CONTINUED) 391,948 [] PFIZER, INC ............................ $ 43,016 18,143 PPG INDUSTRIES, INC .................... 1,072 12,791 PRAXAIR, INC ........................... 626 687,584 PROCTER & GAMBLE CO .................... 61,367 33,250 RHONE-POULENC S.A. (CLASS A) ........... 1,519 50 ROCHE HOLDINGS AG. (BR) ................ 823 2,738 ROCHE HOLDINGS AG. (GENUSSCHEINE) ...... 28,144 17,550 ROHM & HAAS CO ......................... 752 39,100 SANKYO CO LTD .......................... 985 74,288 o SANOFI-SYNTHELABO S.A. ................. 3,153 7,500 SCHERING AG. ........................... 795 821,286 SCHERING-PLOUGH CORP ................... 43,528 1,289,000 SEKISUI CHEMICAL CO LTD ................ 7,476 32,200 SHERWIN-WILLIAMS CO .................... 894 39,255 [] SHIN-ETSU CHEMICAL CO LTD .............. 1,313 68,000 SHIONOGI & CO LTD ...................... 538 512,700 SHISEIDO & CO LTD ...................... 7,684 165,000 o SHOWA DENKO K.K. ....................... 211 500 SIKA FINANZ AG. (BR) ................... 149 507,779 SMITHKLINE BEECHAM/BECKMAN LTD ......... 6,599 67,100 SNIA S.P.A. ............................ 84 8,650 SOLVAY ET CIE S.A. ..................... 574 175,000 [] SUMITOMO CHEMICAL CO LTD ............... 802 281,000 TAISHO PHARMACEUTICAL CO LTD ........... 9,286 452,000 TAKEDA CHEMICAL INDUSTRIES LTD ......... 20,949 2,193,000 TEIJIN LTD ............................. 8,878 144,000 TORAY INDUSTRIES, INC .................. 721 65,000 UBE INDUSTRIES LTD ..................... 140 14,900 UCB S.A. ............................... 638 5,300 UNION CARBIDE CORP ..................... 258 81,081 WARNER-LAMBERT CO ...................... 5,625 21,359 [] WESFARMERS LTD ......................... 192 255,964 [] YAMANOUCHI PHARMACEUTICAL CO LTD ....... 9,791 1,100 o ZODIAC S.A. ............................ 240 ------------ 656,039 ------------ COMMUNICATIONS--13.86% 18,180 []o ALCATEL ................................ 2,559 61 ALLTEL CORP ............................ 4 444,000 o ASIA SATELLITE TELECOMMUNICATIONS HOLDINGS LTD .......................... 1,044 1,612,560 AT&T CORP .............................. 90,001 87,828 o AT&T CORP-LIBERTY MEDIA GROUP (CLASS A) ............................. 3,228 58,900 BCE, INC ............................... 2,855 10,318 BCT TELUS COMMUNICATIONS, INC .......... 247 10,139 BCT TELUS COMMunications, INC (NON-VOTE) ............................ 239 154,863 BELL ATLANTIC CORP ..................... 10,124 209,452 BELLSOUTH CORP ......................... 9,818 112,479 BRITISH SKY BROADCASTING GROUP PLC ..... 1,043 657,983 o BRITISH TELECOMMUNICATIONS PLC ......... 11,025 1,657,817 CABLE & WIRELESS PLC ................... 21,128 2,690 o CANAL PLUS S.A. ........................ 755 2,026 CARLTON COMMUNICATIONS PLC ............. 17 78,684 o CBS CORP ............................... 3,418 233,493 o CLEAR CHANNEL COMMUNICATIONS, INC ...... 16,096 364,000 o COLT TELECOM GROUP PLC ................. 7,637 238,338 [] DEUTSCHE TELEKOM AG. ................... 10,004 405,000 o DIMENSION DATA HOLDINGS LTD ............ 1,792 2,236,300 ERICSSON TELEFON (LM) AB SERIES B ...... 71,676 100,325 FRANCE TELECOM S.A. .................... 7,579 13,000 [] FUJIKURA LTD ........................... 62 122,200 o GLOBAL TELESYSTEMS GROUP, INC .......... 9,898 2,400 [] GN STORE NORD AS-GN GREAT NORDIC ....... 81 3,493,477 HONG KONG TELECOMMUNICATIONS LTD ....... 9,073 588,000 []o IXC COMMUNICATIONS, INC ................ 23,116 46,057 KONINKLIJKE KPN NV ..................... 2,161 75 o LEAP WIRELESS INTERNATIONAL, INC ....... 2 1,713,485 LUCENT TECHNOLOGIES, INC ............... 115,553 924,824 o MCI WORLDCOM, INC ...................... 79,593 115,700 MEDIASET S.P.A. ........................ 1,029 10,100 o NETCOM AB SERIES B ..................... 340 55,600 o NETWORK PLUS CORP ...................... 1,161 353,000 [] NIPPON COMSYS CORP ..................... 5,731 5,216 NIPPON TELEGRAPH & TELEPHONE CORP ...... 60,761 135 [] NTT MOBILE COMMUNICATIONS .............. 1,829 540 o NTT MOBILE COMMUNICATIONS (NEW) ........ 7,227 269,200 []o OLIVETTI GROUP S.P.A. .................. 647 317,200 []o OLIVETTI group S.P.A. RTS .............. 43 1,758,100 o OMNIPOINT CORP ......................... 50,875 14,143 PORTUGAL TELECOM S.A. .................. 575 14,143 o PORTUGAL TELECOM S.A. RTS .............. 0 589,750 o RCN CORP ............................... 24,548 11,300 o ROGERS COMMUNICATIONS, INC (CLASS B) ... 181 1,024,897 SBC COMMUNICATIONS, INC ................ 59,444 456,000 o SINGAPORE TELECOMMUNICATIONS LTD ....... 782 750,500 SMARTONE TELECOMMUNICATIONS HOLDINGS LTD .......................... 2,670 45,641 SONERA GROUP OYJ ....................... 998 76,548 SPRINT CORP (FON GROUP) ................ 4,043 6,810 SWISSCOM AG. (REGD) .................... 2,563 20 o TCI SATELLITE ENTERTAINMENT (CLASS A) .. 0 797,400 [] TELECOM CORP OF NEW ZEALAND ............ 3,423 413,705 o TELECOM ITALIA ......................... 4,301 742,999 [] TELECOM ITALIA MOBILE S.P.A. ........... 4,437 15,700 TELE DANMARK AS ........................ 773 103,032 o TELEFONICA DE ESPANA S.A. .............. 4,963 174,000 o TELEFONICA PUBLICIDAD E INFORMACION .... 3,472 135,000 TELEKOM MALAYSIA BERHAD ................ 454 495,000 TELEVISION BROADCASTS LTD .............. 2,322 1,329,394 TELSTRA CORP ........................... 7,618 96,400 o TIME WARNER TELECOM, INC ............... 2,796 16,000 o TOKYO BROADCASTING SYSTEMS, INC ........ 231 62,932 o VIACOM, INC (CLASS B) .................. 2,769 1,534 o VIACOM, INC (CLASS B) WTS 07/07/99 ..... 28 367,000 o VIATEL, INC ............................ 20,598 6,159,223 VODAFONE GROUP PLC ..................... 121,360 31,985 o VODAFONE GROUP PLC ADR ................. 6,301 ------------ 923,121 ------------ DEPOSITORY INSTITUTIONS--5.86% 140,331 ABBEY NATIONAL PLC ..................... 2,635 139,194 ABN-AMRO HOLDINGS NV ................... 3,015 97,660 ALLIED IRISH BANK PLC .................. 1,284 45,100 ARGENTARIA, CAJA POSTAL Y BCO HIPOTECA . 1,027 239,514 ASAHI BANK LTD ......................... 1,148 3,000 o ASHIKAGA BANK LTD ...................... 6 398,431 AUSTRALIAN & NEW ZEALAND BANKING GROUP LTD ............................. 2,930 176,100 BANCA COMMERCIALE ITALIANA S.P.A. ...... 1,286 194,312 [] BANCA INTESA S.P.A. .................... 934 83,600 BANCA INTESA S.P.A. RISP ............... 187 29,000 [] BANCA POPOLARE DI MILANO ............... 224 143,600 o BANCO AMBROSIANO VENETO WTS 05/31/02 ... 153 195,700 BANCO BILBAO VIZCAYA S.A. (REGD) ....... 2,828 19,571 BANCO COMERCIAL PORTUGUES S.A. (REGD) .. 507 40 See notes to financial statements. GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- DEPOSITORY INSTITUTIONS--(CONTINUED) 11,595 BANCO ESPIRITO SANTO E COMERCIAL ....... $ 270 912 BANCO PINTO & SOTTO MAYOR S.A. ......... 16 391,370 BANCO SANTANDER CENTRAL HISPANO S.A. ... 4,077 2,904 BANK AUSTRIA AG. ....................... 153 935,340 BANK OF AMERICA CORP ................... 68,572 157,323 BANK OF EAST ASIA LTD .................. 398 25,000 BANK OF MONTREAL ....................... 904 21,032 BANK OF NEW YORK CO, INC ............... 772 46,992 BANK OF NOVA SCOTIA .................... 1,016 1,186,747 BANK OF TOKYO MITSUBISHI LTD ........... 16,893 130,344 BANK OF YOKOHAMA LTD ................... 335 116,207 BANK ONE CORP .......................... 6,922 277,924 BANKBOSTON CORP ........................ 14,209 22,882 BANQUE NATIONALE DE PARIS .............. 1,907 904,100 BARCLAYS PLC ........................... 26,308 37,650 [] BAYERISCHE HYPO-UND VEREINSBANK AG. .... 2,446 7,100 BPI-SGPS S.A. (REGD) ................... 149 3,192 o BPI-SGPS S.A. (REGD) (BABY SHS) ........ 66 39,560 CANADIAN IMPERIAL BANK OF COMMERCE ..... 938 247,400 CHASE MANHATTAN CORP ................... 21,431 7,460 [] CHIBA BANK LTD ......................... 28 29,000 CHRISTIANIA BANK OG KREDITKASSE ........ 104 29,400 COMERICA, INC .......................... 1,747 50 COMMERZBANK AG. ........................ 2 194,000 COMMONWEALTH BANK OF AUSTRALIA LTD ..... 3,088 24,193 CREDIT SUISSE GROUP (REGD) ............. 4,186 2,000 DAI-ICHI KANGO BANK LTD ................ 13 3,600 DEN DANSKE BANK AF 1871 ................ 390 34,000 DEN NORSKE BANK ASA .................... 112 61,066 DEUTSCHE BANK AG. ...................... 3,725 369,600 DEVELOPMENT BANK OF SINGAPORE LTD (FR) .............................. 4,516 45,590 DRESDNER BANK AG. ...................... 1,782 87,091 FIRST UNION CORP ....................... 4,093 78,116 FLEET FINANCIAL GROUP, INC ............. 3,466 51,600 FORENINGSSPARBANKEN AB ................. 728 1,604,000 [] FUJI BANK LTD .......................... 11,184 774,500 o GOLDEN STATE BANCORP, INC .............. 17,039 12,044 GOLDEN WEST FINANCIAL CORP ............. 1,180 35,000 GUNMA BANK LTD ......................... 220 196,200 HANG SENG BANK LTD ..................... 2,194 50,000 HIGO FAMILY BANK LTD ................... 204 170,000 [] HOKURIKU BANK LTD ...................... 337 163,144 HSBC HOLDINGS LTD (U.K.) ............... 5,778 29,388 HSBC HOLDINGS PLC ...................... 1,040 69,761 HSBC HOLDINGS PLC (H.K.) ............... 2,544 231,297 [] INDUSTRIAL BANK OF JAPAN LTD ........... 1,834 26,415 JOYO BANK .............................. 103 32,200 KBC BANCASSURANCE HOLDINGS NV .......... 1,909 49,165 KEYCORP ................................ 1,579 497,632 LLOYDS TSB GROUP PLC ................... 6,746 110,800 MALAYAN BANKING BERHAD ................. 299 86,334 MBNA CORP .............................. 2,644 84,800 MERITA LTD ............................. 482 124,000 MITSUBISHI TRUST & BANKING CORP ........ 1,205 61,000 MITSUI TRUST & BANKING CO LTD .......... 97 20,144 MORGAN (J.P.) & CO, INC ................ 2,830 516,900 NATIONAL AUSTRALIA BANK LTD ............ 8,553 15,856 NATIONAL BANK OF CANADA ................ 207 39,984 NATIONAL CITY CORP ..................... 2,619 90,024 OVERSEAS CHINESE BANKING CORP LTD (FR) . 751 248,000 o OVERSEAS UNION BANK LTD (FR) ........... 1,194 16,925 PARIBAS S.A. ........................... 1,897 44,125 PNC BANK CORP .......................... 2,543 26,800 ROYAL BANK OF CANADA ................... 1,177 76,304 ROYAL BANK OF SCOTLAND PLC ............. 1,554 2,539,000 SAKURA BANK LTD ........................ 9,628 475,609 SAN PAOLO-IMI S.P.A. ................... 6,475 4,235 SANWA BANK LTD ......................... 42 45,000 [] SEVENTY-SEVEN (77) BANK LTD ............ 394 69,000 SHIZUOKA BANK LTD ...................... 687 57,100 SKANDINAVISKA ENSKILDA BANKEN SERIES A .............................. 665 10,758 [] SOCIETE GENERALE S.A. .................. 1,896 9,500 STATE STREET CORP ...................... 811 1,048,200 SUMITOMO BANK LTD ...................... 12,999 12,926 o SUNCORP-METWAY LTD ..................... 77 18,395 SUNTRUST BANKS, INC .................... 1,277 65,700 SVENSKA HANDELSBANKEN SERIES A ......... 788 5,025 o SWISS BANK CORP WTS 06/30/00 (REGD) ... 84 211,000 [] TOKAI BANK LTD ......................... 1,203 56,786 U.S. BANCORP ........................... 1,931 126,574 UBS AG. (REGD) ......................... 37,778 476,200 UNCREDITO ITALIANO S.P.A. .............. 2,092 4,250 UNI BANKDANMARK AS (CLASS A) ........... 284 76,000 UNITED OVERSEAS BANK LTD (FR) .......... 531 6,600 WACHOVIA CORP .......................... 565 43,044 WASHINGTON MUTUAL, INC ................. 1,523 153,773 WELLS FARGO CO ......................... 6,574 843,100 [] WESTPAC BANKING CORP ................... 5,469 34,200 WING LUNG BANK LTD ..................... 133 35,000 YAMAGUCHI BANK LTD ..................... 317 ----------- 390,092 ----------- EATING AND DRINKING PLACES--0.86% 600 CBRL GROUP, INC ........................ 10 4,968,710 COMPASS GROUP PLC ...................... 49,264 29,194 DARDEN RESTAURANTS, INC ................ 637 27,830 HOST MARRIOTT CORP (NEW) ............... 330 21,000 o KENTUCKY FRIED CHICKEN BERHAD .......... 24 20,500 MARRIOTT INTERNATIONAL (CLASS A) ....... 766 123,320 MCDONALD'S CORP ........................ 5,095 37,100 o MELCO INTERNATIONAL DEVELOPMENT LTD .... 4 15,000 SKYLARK CO LTD ......................... 322 2,364 SODEXHO ALLIANCE S.A. .................. 407 13,300 o TELEPIZZA S.A. ......................... 69 9 o TRICON GLOBAL RESTAURANTS, INC ......... 0 700 VALORA HOLDINGS AG. (REGD) ............. 161 3,500 VIAD CORP .............................. 108 ----------- 57,197 ----------- ELECTRIC, GAS, AND SANITARY SERVICES--1.46% 5,200 AGUAS DE BARCELONA S.A. ................ 271 51 o AGUAS DE BARCELONA S.A. (NEW) .......... 3 24,529 AMERICAN ELECTRIC POWER CO, INC ........ 921 9,000 ANGLIAN WATER PLC ...................... 100 41,588 AUSTRALIA GAS LIGHT CO ................. 253 23,975 BROWNING FERRIS INDUSTRIES, INC ........ 1,031 10,893 CAROLINA POWER & LIGHT CO .............. 466 45,141 CENTRAL & SOUTH WEST CORP .............. 1,055 1 CENTRICA PLC ........................... 0 100 CHUBU ELECTRIC POWER CO, INC ........... 2 1,657,000 CLP HOLDINGS LTD ....................... 8,051 35,763 COASTAL CORP ........................... 1,431 12,376 COLUMBIA ENERGY GROUP .................. 776 18,064 CONSOLIDATED NATURAL GAS CO ............ 1,097 31,733 CONSTELLATION ENERGY GROUP ............. 940 See notes to financial statements. 41 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED) 20,818 DOMINION RESOURCES, INC ................ $ 902 31,076 DTE ENERGY CO .......................... 1,243 19,123 DUKE ENERGY CORP ....................... 1,040 62,200 EDISON INTERNATIONAL CO ................ 1,664 63,650 [] EDISON S.P.A. .......................... 551 13,400 EDPERBRASCAN CORP (CLASS A) ............ 203 5,600 ELECTRABEL NV .......................... 1,808 10,950 ELECTRABEL S.A. (STRIP VVPR) ........... 2 44,650 ELECTRICIDADE DE PORTUGAL S.A. ......... 804 93,608 [] ENDESA S.A. ............................ 1,996 1,000 ENTERGY CORP ........................... 31 44,161 FIRSTENERGY CORP ....................... 1,369 9,300 FPL GROUP, INC ......................... 508 13,700 GAS NATURAL SDG S.A. ................... 996 27,163 GPU, INC ............................... 1,146 2,500 GROUPE BRUXELLES LAMBERT S.A. .......... 423 300 HAFSLUND AS SERIES A ................... 2 509,190 HONG KONG & CHINA GAS CO LTD ........... 738 11,949 o HONG KONG & CHINA GAS CO LTD WTS 09/30/99 .......................... 2 17,565 HYDER PLC .............................. 207 89,274 [] IBERDROLA S.A. ......................... 1,360 2,500 ILLINOVA CORP .......................... 68 76,000 ITALGAS S.P.A. ......................... 319 97,200 KANSAI ELECTRIC POWER CO, INC .......... 1,847 3,000 o KURITA WATER INDUSTRIES LTD ............ 54 203,935 NATIONAL GRID GROUP PLC ................ 1,419 40,160 NATIONAL POWER PLC ..................... 292 6,200 o NIAGARA MOHWAK HOLDINGS, INC ........... 100 32,600 NORTHERN STATES POWER CO ............... 789 208,000 OSAKA GAS CO LTD ....................... 706 1,100 o OESTERREICHISCHE ......... ELEKTRIZITAETSWIRSCHAFTS AG. ......... 160 11,700 PECO ENERGY CO ......................... 490 36,800 PG&E CORP .............................. 1,196 1,100 POTOMAC ELECTRIC POWER CO .............. 32 33,510 PP&L RESOURCES, INC .................... 1,030 3,257 PUBLIC SERVICE ENTERPRISE GROUP, INC ... 133 54,800 RELIANT ENERGY, INC .................... 1,514 942,552 o REPUBLIC SERVICES, INC (CLASS A) ....... 23,328 18,600 o RHEIN-WESTFALEN ELECTRIC AG. (STAMM) ... 861 117,008 SCOTTISH & SOUTHERN ENERGY PLC ......... 1,197 83,889 SCOTTISH POWER PLC ..................... 725 17,700 SEMPRA ENERGY .......................... 400 292,000 SHUN TAK ENTERPRISES CORP LTD .......... 78 23,600 SONAT, INC ............................. 782 35,600 o SOUTHERN CO ............................ 943 15,370 SUEZ LYONNAISE DES EAUX S.A. ........... 2,772 139,000 o TENAGA NASIONAL BERHAD ................. 288 36,493 TEXAS UTILITIES CO ..................... 1,505 72,600 TOHOKU ELECTRIC POWER CO, INC .......... 1,099 128,987 TOKYO ELECTRIC POWER CO, INC ........... 2,723 131,000 TOKYO GAS CO LTD ....................... 323 8,700 TRACTEBEL NV ........................... 1,220 600 o TRACTEBEL NV PUT WTS 11/15/99 .......... 0 37,293 TRANS CANADA PIPELINES LTD ............. 523 11,000 TRANSALTA CORP ......................... 161 26,505 UNICOM CORP ............................ 1,022 32,700 [] UNION ELECTRICA FENOSA S.A. ............ 428 88,705 UNITED UTILITIES PLC ................... 1,078 51,050 [] VEBA AG. ............................... 3,001 2,349 VIAG AG. ............................... 1,110 50,330 VIVENDI S.A. ........................... 4,077 24,394 o VIVENDI S.A. WTS 05/02/01 .............. 65 51,169 o WASTE MANAGEMENT, INC .................. 2,750 8,880 WESTCOAST ENERGY, INC .................. 173 26,000 WILLIAMS COS, INC ...................... 1,107 ----------- 97,280 ----------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--7.98% 14,889 o ABB LTD ................................ 1,392 15,399 []o ABB LTD (SWITZERLAND) .................. 1,451 5,210 ADVANTEST CORP ......................... 572 5,900 o ALLEGHENY TELEDYNE, INC ................ 133 23,000 ALPS ELECTRIC CO LTD ................... 539 16,400 o AMERICAN POWER CONVERSION CORP ......... 330 10,891 AMSTRAD PLC ............................ 11 900 o BANG & OLUFSEN HOLDINGS AS (CLASS B) ... 57 1,500 BARCO INDUSTRIES NV .................... 241 15,639 BOWTHORPE HOLDINGS PLC ................. 137 41,000 BROTHERS INDUSTRIES LTD ................ 141 7,710 o CONEXANT SYSTEMS, INC .................. 448 5,100 COOPER INDUSTRIES, INC ................. 265 26,121 o DAI NIPPON SCREEN MANUFACTURING CO LTD ................................ 135 389 o EFACEC CAPITAL WTS 12/12/99 ............ 0 32,419 ELECTROCOMPONENTS PLC .................. 239 34,350 ELECTROLUX AB SERIES B ................. 719 53,000 [] EMAIL LTD .............................. 102 1,500 EMPRESA FABRIL DE MAQUINAS ELECTRICAS .. 9 495 o EMPRESA FABRIL DE MAQUINAS ELECTRICAS (BABY SHS) ............................ 3 25,300 [] FISHER & PAYKEL INDUSTRIES LTD ......... 80 1,326,000 [] FUJITSU LTD ............................ 26,675 63,000 FURUKAWA ELECTRIC CO LTD ............... 289 1,240,089 GENERAL ELECTRIC CO .................... 140,130 197,939 GENERAL ELECTRIC CO (U.K.) ............. 2,019 347 GROUPE SEB S.A. ........................ 26 12,063 HARRIS CORP ............................ 473 119,700 HIROSE ELECTRIC CO LTD ................. 12,421 2,488,000 [] HITACHI LTD ............................ 23,330 252,000 o HITACHI MAXELL LTD ..................... 5,174 1,208,084 INTEL CORP ............................. 71,881 2,099,700 o JOHNSON ELECTRIC HOLDINGS LTD .......... 8,660 32,743 KONINKLIJKE PHILIPS ELECTRONICS NV ..... 3,230 16,500 KYOCERA CORP ........................... 968 2,083 LEGRAND S.A. ........................... 424 40,000 MALAYSIAN PACIFIC INDUSTRIES BERHAD .... 100 493,000 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD .. 9,572 11,100 MAYTAG CO .............................. 774 18,600 o MICRON TECHNOLOGY, INC ................. 750 176,000 MITSUBISHI ELECTRIC CORP ............... 676 58,837 MOTOROLA, INC .......................... 5,575 292,000 MURATA MANUFACTURING CO LTD ............ 19,203 8,700 NATIONAL SERVICE INDUSTRIES, INC ....... 313 27,356 [] NGK SPARK PLUG CO LTD .................. 281 135,000 [] NIPPON ELECTRIC CORP ................... 1,679 5,000 [] NITTO DENKO CORP ....................... 105 127,500 o NOKIA OYJ .............................. 11,177 845,600 NORTEL NETWORKS CORP ................... 71,985 1,951,000 o OKI ELECTRIC INDUSTRY CO LTD ........... 7,705 338,850 o PERLOS OYJ ............................. 4,962 22,000 PIONEER CORP ........................... 428 14,900 o QUALCOMM, INC .......................... 2,138 37,829 RACAL ELECTRONICS PLC .................. 230 42 See notes to financial statements. GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED) 11,391 RAYCHEM CORP ........................... $ 421 96,000 ROHM CO ................................ 15,030 208,000 SANYO ELECTRIC CO LTD .................. 845 511,200 SGS-THOMSON MICROELECTRONICS NV ........ 34,057 1,039,000 [] SHARP CORP ............................. 12,275 19,800 SIRTI S.P.A. ........................... 96 111,402 SONY CORP .............................. 12,011 60,000 SUMITOMO ELECTRIC INDUSTRIES CO ........ 682 10,000 TAIYO YUDEN CO LTD ..................... 164 37,918 TEXAS INSTRUMENTS, INC ................. 5,498 131,700 TOKYO ELECTRON CO LTD .................. 8,933 9,000 [] UNIDEN CORP ............................ 91 26,000 VARITRONIX INTERNATIONAL LTD ........... 54 21,000 VENTURE MANUFACTURING LTD (SINGAPORE) .. 162 5,595 WHIRLPOOL CORP ......................... 414 30,016 YAMAHA CORP ............................ 361 ----------- 531,451 ----------- ENGINEERING AND MANAGEMENT SERVICES--0.08% 5,828 DUN & BRADSTREET CORP .................. 207 2,400 o EG & G, INC ............................ 86 5,800 OYO CORP ............................... 108 116,000 SEMBCORP INDUSTRIES LTD ................ 184 3,990,000 SINGAPORE TECHNOLOGIES ENGINEERING LTD ....................... 4,523 11,100 VEDIOR NV-CVA .......................... 189 ----------- 5,297 ----------- FABRICATED METAL PRODUCTS--0.90% 2,888,800 [] ASSA ABLOY AB SERIES B ................. 31,260 2,888,800 []o ASSA ABLOY AB SERIES B RTS ............. 612 105,800 BICC LTD ............................... 151 500 BOHLER-UDDEHOLM AG. (BR) ............... 25 6,400 CCL INDUSTRIES, INC (CLASS B) .......... 67 1,673 o COLEP-COMPANHIA PORTUGUESA DE EMBALAGE .............................. 9 26,000 CROWN CORK & SEAL CO, INC .............. 741 100 FISCHER (GEORGE) LTD (REGD) ............ 33 100,399 GILLETTE CO ............................ 4,116 62,426 GKN PLC ................................ 1,066 51,620 MAGNETI MARELLI ........................ 68 38,900 MASCO CORP ............................. 1,123 8,900 PARKER-HANNIFIN CORP ................... 407 16,400 ROCKWELL INTERNATIONAL CORP ............ 996 38,000 o SANKYO ALUMINIUM INDUSTRY CO LTD ....... 44 9,000 SANWA SHUTTER CORP ..................... 49 148,300 [] SMC CORP ............................... 16,602 12,500 SNAP-ON, INC ........................... 452 7,100 STANLEY WORKS CO ....................... 229 20,000 o TAKARA STANDARD CO ..................... 126 32,000 TOSTEM CORP ............................ 615 29,600 TOYO SEIKAN KAISHA LTD ................. 665 6,600 UNITED DOMINION INDUSTRIES LTD ......... 165 ----------- 59,621 ----------- FOOD AND KINDRED PRODUCTS--1.93% 5 o AGRIBRANDS INTERNATIONAL, INC .......... 0 84,000 AJINOMOTO CO LTD ....................... 958 306,512 ANHEUSER BUSCH COS, INC ................ 21,743 42,954 ARCHER DANIELS MIDLAND CO .............. 663 25,000 ASAHI BREWERIES LTD .................... 311 10,900 o ASIA FOOD & PROPERTIES LTD WTS 07/12/02 9 70,025 ASSOCIATED BRITISH FOODS PLC ........... 463 9,103 AZUCARERA EBRO AGRICOLAS S.A. .......... 139 125,366 BASS PLC ............................... 1,819 400 BONGRAIN S.A. .......................... 151 784 o BRAU UND BRUNNEN AG. ................... 52 208,414 CADBURY SCHWEPPES LTD .................. 1,327 21,554 CAMPBELL SOUP CO ....................... 1,000 5,200 o CARLSBERG BREWERIES AS (CLASS A) ....... 210 89,183 COCA COLA AMATIL LTD ................... 359 233,464 COCA COLA CO ........................... 14,592 59,944 CONAGRA, INC ........................... 1,596 10,586 o COTT CORP .............................. 38 4,000 CULTOR OYJ SERIES 1 .................... 74 4,200 CULTOR OYJ SERIES 2 .................... 78 4,900 o DANISCO AS ............................. 221 7,100 DANONE GROUP ........................... 1,831 12,000 DCC PLC ................................ 98 358,309 DIAGEO PLC (CLASS A) ................... 3,742 2,250 o EL AGUILA S.A. ......................... 22 1,637 o ERIDANIA BEGHIN-SAY S.A. ............... 235 28,500 EZAKI GLICO CO LTD ..................... 171 2,036,300 [] FOSTERS BREWING GROUP LTD .............. 5,739 14,000 FRASER & NEAVE LTD ..................... 62 20,156 GENERAL MILLS, INC ..................... 1,620 88,066 GOODMAN FIELDER LTD .................... 79 30,310 HEINEKEN NV ............................ 1,552 44,165 HEINZ (H.J.) CO ........................ 2,214 200 HOLSTEN BRAUEREI AG. ................... 35 17,000 HOUSE FOODS CORP ....................... 251 78,000 o IOI CORP ............................... 45 210,900 ITOEN LTD .............................. 14,113 34,699 o ITOHAM FOODS, INC ...................... 141 12,000 o KATOKICHI CO LTD ....................... 207 19,500 KERRY GROUP (CLASS A) .................. 231 5,000 o KIKKOMAN CORP .......................... 42 92,000 KIRIN BREWERY CO LTD ................... 1,102 56,100 LION NATHAN LTD ........................ 134 8,146 LVMH MOET HENNESSY LOUIS VUITTON ....... 2,385 9,746 o LVMH MOET HENNESSY LOUIS VUITTON RTS ... 285 42,292 MEIJI SEIKA KAISHA LTD ................. 237 5,503 MOLSON CO LTD (CLASS A) ................ 99 13,000 NESTLE MALAYSIA BERHAD ................. 46 3,692 NESTLE S.A. (REGD) ..................... 6,652 59,000 NICHIREI CORP .......................... 156 37,000 NIPPON BEET SUGAR MANUFACTURING CO LTD ................................ 76 3,000 NIPPON MEAT PACKERS, INC ............... 39 29,000 NIPPON OIL & FATS CO LTD ............... 75 30,000 NIPPON SUISAN KAISHA LTD ............... 47 14,091 NISSIN FOOD PRODUCTS CO LTD ............ 343 9,000 ORKLA AS SERIES A ...................... 140 4,000 ORKLA AS SERIES B ...................... 54 400 OSTERREICHISCHE BRAU-AKTIENGESELLSCHAF ................ 18 6,900 OYJ HARTWALL ABP ....................... 102 161,900 [] PARMALAT FINANZIARIA S.P.A. ............ 212 476,090 PEPSICO, INC ........................... 18,419 7,736 PERNOD-RICARD S.A. ..................... 519 25,319 o Q.P. CORP .............................. 182 16,673 QUAKER OATS CO ......................... 1,107 21,000 RAISIO GROUP PLC ....................... 195 30,300 RALSTON PURINA CO ...................... 922 850 SAPPORO BREWERIES LTD .................. 4 74,498 SARA LEE CORP .......................... 1,690 See notes to financial statements. 43 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- FOOD AND KINDRED PRODUCTS--(CONTINUED) 36,733 SCOTTISH & NEWCASTLE PLC ............... $ 382 37,000 SEAGRAMS CO LTD ........................ 1,834 2,500 SEAGRAMS CO LTD (U.S.) ................. 126 77,560 SOUTHCORP LTD .......................... 313 34,000 [] TAKARA SHUZO CO LTD .................... 277 14,122 TATE & LYLE PLC ........................ 88 2,800 UNICER-UNIAO CERVEIJEIRA S.A. .......... 55 55,300 UNIGATE PLC ............................ 351 239,000 UNILEVER LTD ........................... 2,127 55,215 UNILEVER NV CERT ....................... 3,721 97,307 UNITED BISCUITS HOLDINGS PLC ........... 293 4,180 VISCOFAN S.A. .......................... 47 2,882,000 WANT WANT HOLDINGS ..................... 5,159 31,000 o YAMAZAKI BAKING CO LTD ................. 385 ----------- 128,631 ----------- FOOD STORES--2.77% 44,315 ALBERTSONS, INC ........................ 2,285 21,526 CARREFOUR SUPERMARCHE S.A. ............. 3,163 6,900 [] CASINO GUICHARD-PERRACHON S.A. ......... 605 438 o COLRUYT S.A. ........................... 288 826 DAIRY FARM INTERNATIONAL HOLDINGS LTD .......................... 1 5,300 DELHAIZE FRERES NV ..................... 451 302,000 ITO-YOKADO CO LTD ...................... 20,210 8,466 JERONIMO MARTINS SGPS S.A. ............. 280 1,921,470 [] KONINKLIJKE AHOLD NV ................... 66,186 73,742 o KROGER CO .............................. 2,060 2,111 PROMODES S.A. .......................... 1,386 28,320 [] RINASCENTE S.P.A. ...................... 214 978,269 o SAFEWAY, INC ........................... 48,424 230,588 SAFEWAY PLC ............................ 924 76,351 SAINSBURY (J) PLC ...................... 481 81,000 SEVEN-ELEVEN JAPAN CO LTD .............. 7,937 11,068,927 TESCO PLC .............................. 28,484 17,000 UNY CO LTD ............................. 256 9,400 WINN DIXIE STORES, INC ................. 347 127,331 [] WOOLWORTHS LTD ......................... 424 ----------- 184,406 ----------- FORESTRY--0.00% 2,100 CORTICEIRA AMORIM S.A. ................. 21 7,200 GEORGIA-PACIFIC CORP (TIMBER GROUP) ........................ 182 10,000 KUALA LUMPUR KEPONG BERHAD ............. 12 ----------- 215 ----------- FURNITURE AND FIXTURES--0.01% 16,600 NEWELL RUBBERMAID, INC ................. 772 ----------- FURNITURE AND HO MEFURNISHINGS STORES--0.01% 2,000 SHIMACHU CO ............................ 44 16,200 TANDY CORP ............................. 792 ----------- 836 ----------- GENERAL BUILDING CONTRACTORS--0.15% 5,420 AMEC PLC ............................... 22 22,730 BARRATT DEVELOPMENTS LTD ............... 128 6,186 CENTEX CORP ............................ 232 862 []o DAIKYO, INC ............................ 3 23,000 DAITO TRUST CONSTRUCTION CO LTD ........ 257 618,000 DAIWA HOUSE INDUSTRY CO LTD ............ 6,500 34,000 FLETCHER CHALLENGE LTD (BUILDING DIVISION) ................... 50 148,000 []o FUJITA CORP ............................ 110 38,700 [] LEIGHTON HOLDINGS LTD .................. 151 2,164 [] MISAWA HOMES CO LTD .................... 9 61,000 o OBAYAS HI CORP ......................... 307 55,000 []o SHIMIZU CORP ........................... 214 10,900 SKANSKA AB SERIES B FREE ............... 411 124,000 [] TAISEI CORP ............................ 273 50,700 TAYLOR WOODROW PLC ..................... 146 236,151 o TOLL HOLDINGS LTD ...................... 883 24,071 WILSON (CONNOLLY) HOLDINGS PLC ......... 65 16,500 o YTL CORP BERHAD ........................ 31 ----------- 9,792 ----------- GENERAL MERCHANDISE STORES--2.34% 852,700 [] COLES MYER LTD ......................... 4,961 6,216 o CORTEFIEL S.A. ......................... 163 18,900 o COSTCO COS, INC ........................ 1,513 40,281 DAIMARU, INC ........................... 197 76,000 []o DAVID JONES LTD ........................ 74 551,884 DAYTON HUDSON CORP ..................... 35,872 164,000 o GIORDANO INTERNATIONAL LTD ............. 116 10,100 HAGEMEYER NV ........................... 330 2,000 HANKYU DEPARTMENT STORES, INC .......... 13 700 o HUDSONS BAY CO ......................... 8 1,000 ISETAN CO .............................. 9 42,000 JUSCO CO LTD ........................... 763 50,054 o K MART CORP ............................ 823 1,150 o KARSTADT AG. ........................... 553 10,500 KESCO OYJ .............................. 141 170,493 KINGFISHER PLC ......................... 1,962 196,536 MARKS & SPENCER PLC .................... 1,137 47,000 MARUI CO LTD ........................... 777 19,950 MAY DEPARTMENT STORES CO ............... 815 26,000 o METRO AG. .............................. 1,614 50,000 []o MITSUKOSHI LTD ......................... 217 70,200 [] MYCAL CORP ............................. 441 22,510 PENNEY, (J.C.) CO, INC ................. 1,093 12,300 o PINAULT-PRINTEMPS-REDOUTE S.A. ......... 2,111 36,000 RYOHIN KEIKAKU CO LTD .................. 9,056 47,073 SEARS ROEBUCK & CO ..................... 2,098 11,922 o SEIYU LTD .............................. 66 954 SELFRIDGES PLC ......................... 4 3,800 SONAE INVESTIMENTOS-SGPS S.A. .......... 129 6,800 STOCKMANN B FREE ....................... 103 15,000 TAKASHIMAYA CO LTD ..................... 143 3,900 o VENATOR GROUP, INC ..................... 41 1,832,740 WAL-MART STORES, INC ................... 88,430 97,639 WATERFORD WEDGWOOD PLC (UNITS) ......... 101 ----------- 155,874 ----------- HEALTH SERVICES--0.64% 59,100 COLUMBIA/HCA HEALTHCARE CORP ........... 1,348 1,600 o HCR MANOR CARE ......................... 39 1,756,100 o HEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) (NEW) ....................... 19,756 48,051 o HEALTHSOUTH CORP ....................... 718 68 o LIFEPOINT HOSPITALS, INC ............... 1 2,400 MDS, INC (CLASS B) ..................... 52 87 o QUEST DIAGNOSTICS, INC ................. 2 1,128,700 o TENET HEALTHCARE CORP .................. 20,951 68 o TRIAD HOSPITALS, INC ................... 1 ----------- 42,868 ----------- HEAVY CONSTRUCTION, EXCEPT BUILDING--0.30% 3,200 []o ACS ACTIVIDADES CONS Y SERV ............ 92 1,065 o ACS ACTIVIDADES CONS Y SERV (NEW) ...... 30 44 See notes to financial statements. GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- HEAVY CONSTRUCTION, EXCEPT BUILDING--(CONTINUED) 82,000 []o AOKI CONSTRUCTION CO LTD ............... $ 52 20,980 [] AUTOPISTAS CONCESIONARIA ESPANOLA S.A. ......................... 246 20,980 o AUTOPISTAS CONCESIONAIRA ESPANOLA S.A. RTS ..................... 12 2,086 o BOUYGUES S.A. RTS ...................... 6 5,500 BRISA-AUTO ESTRADAS DE PORTUGAL S.A. ... 227 24,000 DRAGADOS Y CONSTRUCCIONES S.A. ......... 281 2,328 ENGIL-SGPS ............................. 13 5,500 FLUOR CORP ............................. 223 5,400 FOMENTO CONSTRUCCIONES Y CONTRATAS S.A. ........................ 309 32,000 o GAMUDA BERHAD .......................... 55 2,800 GROUPE GTM ............................. 300 452,100 o GRUPO FERROVIAL ........................ 10,957 10,000 HOCHTIEF AG. ........................... 460 2,753 HOLLANDSCHE BETON GROEP NV (H.B.G.) .... 35 14,000 HONG KONG CONSTRUCTION HOLDINGS ........ 9 2,800 o HONG KONG CONSTRUCTION holdings WTS 12/31/99 .......................... 0 80,000 o IMPREGILO S.P.A. ....................... 68 39,000 [] JGC CONSTRUCTION CORP .................. 103 78,000 [] KAJIMA CORP ............................ 284 25,000 MAEDA ROAD CONSTRUCTION CO LTD ......... 168 1,900 MCDERMOTT INTERNATIONAL, INC ........... 54 1,146 o MORRISON KNUDSEN CORP WTS 03/11/03 ..... 4 38,000 o NIIGATA ENGINEERING CO LTD ............. 36 47,000 OKUMURA CORP ........................... 175 50,000 []o SATO KOGYO ............................. 42 3,060 SOCIEDADE DE CONSTRUCOES SOARES DA COS ......................... 10 107,400 o SOCIETE GENERALE DENTERPRISES S.A. ..... 5,206 2,511 o SOMAGUE-SGPS S.A. ...................... 7 2,500 SUPERFOS AS ............................ 34 43,000 []o TOYO ENGINEERING CO .................... 49 4,000 TOYO EXTERIOR CORP ..................... 46 119,000 UNITED INDUSTRIAL CORP ................. 80 900 VA TECHNOLOGIE AG. (BR) ................ 82 ----------- 19,755 ----------- HOLDING AND OTHER INVESTMENT OFFICES--0.36% 219,457 ALLIED ZURICH PLC ...................... 2,759 304,200 o BRIERLEY INVESTMENTS LTD ............... 85 100 o CRESCENT REAL ESTATE EQUITIES CO ....... 2 12,900 DROTT AB SERIES B ...................... 105 45,578 EQUITY OFFICE PROPERTIES TRUST ......... 1,168 11,000 EQUITY RESIDENTIAL PROPERTIES TRUST CO .............................. 496 500 o EURAFRANCE S.A. ........................ 310 1,488,000 HUTCHINSON WHAMPOA LTD ................. 13,473 38,134 LAND SECURITIES PLC .................... 513 265,000 [] LEND LEASE CORP LTD .................... 3,638 36,600 ORIENTAL HOLDINGS ...................... 90 15,600 POWER CORP OF CANADA ................... 297 40,300 o ST. JAMES PLACE CAPITAL PLC ............ 147 65,000 SUMITOMO CORP .......................... 475 556,400 [] UNIONE IMMOBILIARE S.P.A. .............. 247 145,963 WESTFIELD TRUST (UNITS) ................ 295 6,432 o WESTFIELD TRUST (UNITS) (NEW) .......... 13 ----------- 24,113 ----------- HOTELS AND OTHER LODGING PLACES--0.09% 4,257 ACCOR S.A. ............................. 1,069 83,400 o CENDANT CORP ........................... 1,710 3,200 []o CLUB MEDITERRANEE S.A.. ................ 340 186,700 o CROWN LTD .............................. 111 3,000 FUJITA KANKO, INC ...................... 29 22,000 GENTING BERHAD ......................... 76 105,407 HILTON GROUP PLC ....................... 418 127,000 o HONG KONG & SHANGHAI HOTELS LTD ........ 108 47,000 o HOTEL PROPERTIES LTD ................... 49 8,000 JURYS HOTEL GROUP PLC .................. 64 118,000 o MIRAMAR HOTEL & INVESTMENT CO LTD ...... 144 36,400 o PARK PLACE ENTERTAINMENT ............... 353 7,859 o PROMUS HOTEL CORP ...................... 244 74,000 o REGAL HOTELS INTERNATIONAL LTD ......... 9 69,000 RESORTS WORLD BERHAD ................... 146 129,200 SHANGRI-LA ASIA LTD .................... 160 13,000 SHANGRI-LA HOTEL LTD ................... 31 5,800 o SOL MELIA S.A. ......................... 245 25,700 STARWOOD HOTELS & RESORTS WORLDWIDE .... 785 ----------- 6,091 ----------- INDUSTRIAL MACHINERY AND EQUIPMENT--6.47% 813,600 o 3COM CORP .............................. 21,713 65,000 AMADA CO LTD ........................... 459 18,100 o APPLE COMPUTER, INC .................... 838 40,200 o APPLIED MATERIALS, INC ................. 2,970 18,200 [] ATLAS COPCO AB SERIES B FREE ........... 488 29,142 BAKER HUGHES, INC ...................... 976 6,842 BLACK & DECKER CORP .................... 432 11,100 BRUNSWICK CORP ......................... 309 300 BUDERUS AG. ............................ 120 11,100 CASE CORP .............................. 534 28,300 CATERPILLAR, INC ....................... 1,698 1,457,134 o CISCO SYSTEMS, INC ..................... 93,712 978,000 COMPAQ COMPUTER CORP ................... 23,166 7,741 CUMMINS ENGINE CO, INC ................. 442 22,000 DAIFUKU CO LTD ......................... 154 19,000 o DAIKIN INDUSTRIES LTD .................. 221 14,204 DEERE & CO ............................. 563 18,360 DELTA PLC .............................. 42 13,000 DOVER CORP ............................. 455 6,000 EBARA CORP ............................. 71 534,110 o EMC CORP ............................... 29,376 1,600 o EST ASIATIQUE .......................... 17 13,600 FAG KUGELFISCHER (GEORG) SCHAEFER AG. .. 138 127,200 FANUC LTD .............................. 6,831 137,744 FKI PLC ................................ 426 4,000 FLS INDUSTRIES AS (CLASS B) ............ 104 61,991 FUTURIS CORP LTD ....................... 90 20 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC .... 0 100,064 HEWLETT-PACKARD CO ..................... 10,056 6,000 HITACHI ZOSEN CORP ..................... 7 5,000 o INDUSTRIE-WERKE KARLSRUHE AUGSBURG AG. .......................... 113 14,613 INGERSOLL-RAND CO ...................... 944 666,698 * INTERNATIONAL BUSINESS MACHINES CORP ... 86,171 62,500 KEPPEL CORP ............................ 213 141,000 KOMATSU LTD ............................ 900 18,000 [] KOMORI CORP ............................ 324 655 KONE CORP SERIES B ..................... 82 44,000 [] KOYO SEIKO CO LTD ...................... 384 131,000 KUBOTA CORP ............................ 392 1,020 LINDE AG. .............................. 611 See notes to financial statements. 45 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- INDUSTRIAL MACHINERY AND EQUIPMENT--6.47% 15,000 MAKITA CORP ............................ $ 170 6,520 METRA CO SERIES B ...................... 138 323,000 [] MINEBEA CO LTD ......................... 3,603 448,000 MITSUBISHI HEAVY INDUSTRIES LTD ........ 1,817 17,000 MORI SEIKI CO LTD ...................... 232 58,600 [] NIDEC CORP ............................. 8,816 55,000 o NSK LTD ................................ 302 309,000 NTN TOYO BEARING CO LTD ................ 1,054 7,513 OKUMA CORP ............................. 35 19,000 OMRON CORP ............................. 330 1,013 RAUMA OY ............................... 12 18,000 SANDVIK AB SERIES A .................... 393 6,100 SANDVIK AB SERIES B FREE ............... 135 190 SCHINDLER HOLDINGS LTD (REGD) .......... 293 27,362 o SEAGATE TECHNOLOGY, INC ................ 701 3,900 SIDEL S.A. ............................. 474 2,674 STORK NV ............................... 61 100 o SULZER WINTERTHUR AG. (REGD) ........... 61 11,600 SVENsKA KULLAGERFABRIKEN AB SERIES B ... 214 293,000 o THK CO LTD ............................. 6,778 3,000 TOMRA SYSTEMS AS ....................... 113 20,100 [] TOYODA AUTOMATIC LOOM WORKS LTD ........ 341 5,000 o TSUGAMI CORP ........................... 12 1,248,030 TYCO INTERNATIONAL LTD ................. 118,251 7,400 VALMET OY SERIES A ..................... 84 36,000 o VAN DER HORST LTD ...................... 18 4,633 ZARDOYA OTIS S.A. ...................... 116 ----------- 431,096 ----------- INSTRUMENTS AND RELATED PRODUCTS--3.56% 6,000 ASAHI OPTICAL CO LTD ................... 21 443,941 BAXTER INTERNATIONAL, INC .............. 26,914 19,600 BECTON DICKINSON & CO .................. 588 308,000 CANON, INC ............................. 8,855 5,000 CASIO COMPUTER CO LTD .................. 38 29,000 CITIZEN WATCH CO LTD ................... 252 36,400 EASTMAN KODAK CO ....................... 2,466 712 ESSILOR INTERNATIONAL .................. 223 47,000 FUJI PHOTO FILM CO LTD ................. 1,778 84,500 IMI PLC ................................ 342 23,707,502 INVENSYS PLC ........................... 112,204 14,441 JOHNSON CONTROLS, INC .................. 1,001 79,000 KONICA CORP ............................ 326 1,500 o LITTON INDUSTRIES, INC ................. 108 642,000 NIKON CORP ............................. 10,502 223,000 o NORITSU KOKI CO LTD .................... 9,488 9,410 OCE NV ................................. 240 701,000 OLYMPUS OPTICAL CO LTD ................. 10,361 7,430 OXFORD INSTRUMENTS GROUP PLC ........... 25 1,800 PE CORP-PE BIOSYSTEMS GROUP ............ 207 1,000 o RADIOMETER AS (CLASS B) ................ 49 167,077 RICOH CO LTD ........................... 2,300 687 o SAGEM S.A. ............................. 459 6,300 TEKTRONIX, INC ......................... 190 3,977 [] THE SWATCH GROUP AG. (REGD) ............ 568 71,108 WILLIAMS PLC ........................... 470 799,656 XEROX CORP ............................. 47,230 54,000 YOKOGAWA ELECTRIC CORP ................. 319 ----------- 237,524 ----------- INSURANCE AGENTS, BROKERS AND SERVICE--0.06% 76,713 FORTIS B ............................... 2,409 4,662 o FORTIS B CVG ........................... 27 49,446 o FORTIS B NPV (STRIP VVPR) .............. 1 426 GENERALI HOLDING VIENNA ................ 78 20,700 MARSH & MCLENNAN COS, INC .............. 1,563 ----------- 4,078 ----------- INSURANCE CARRIERS--3.84% 7,920 o AACHENER & MUNCHENER BETEIL (BR) ....... 805 422,300 [] AEGON NV ............................... 30,639 22 [] AEGON NV ARS ........................... 2 12,700 AETNA, INC ............................. 1,136 34,847 AFLAC, INC ............................. 1,668 29 ALLEANZA ASSICURAZIONI (S/S) ........... 0 24,239 []o ALLIANZ AG. (REGD) ..................... 6,724 437,012 ALLSTATE CORP .......................... 15,678 124,006 AMERICAN INTERNATIONAL GROUP, INC ...... 14,516 534,000 AMP LTD ................................ 5,838 18,150 AON CORP ............................... 749 100,564 ASSICURAZIONI GENERALI S.P.A. .......... 3,485 32,831 AXA .................................... 4,005 666 o AXA CTF DE VALEUR GARANT ............... 5 1,232,330 CAPITAL RE CORP ........................ 19,794 88,854 CGU PLC ................................ 1,284 21,400 CHUBB CORP ............................. 1,487 12,170 CIGNA CORP ............................. 1,083 1,802,185 CITIGROUP, INC ......................... 85,604 1,399 COLONIA KONZERN AG. (REGD) ............. 134 115,046 COLONIAL LTD ........................... 407 1,300 COMPANHIA DE SEGUROS TRANQUILIDADE ..... 33 7,400 CORPORACION MAPFRE S.A. ................ 151 1,000 o FAIRFAX FINANCIAL HOLDINGS LTD ......... 267 45,973 GIO AUSTRALIAN HOLDINGS LTD ............ 112 12,747 HARTFORD FINANCIAL SERVICES GROUP, INC ............................ 743 393,200 []o INSTITUTO NAZIONALE DELLE ASSICURAZION .......................... 912 6,700 JEFFERSON-PILOT CORP ................... 443 307,260 LEGAL & GENERAL GROUP PLC .............. 782 33,400 LINCOLN NATIONAL CORP .................. 1,747 3,000 MBIA, INC .............................. 194 1,247,000 METROPOLITAN LIFE LTD .................. 1,849 79,000 MITSUI TAISHO MARINE & FIRE CO LTD ..... 388 7,710 o MUENCHENER RUECKVER AG. (REGD) ......... 1,427 8,710 o MUENCHENER RUECKVER AG. (REGD) (NEW) ... 1,590 68,000 NICHIDO FIRE & MARINE INSURANCE CO LTD ...................... 350 79,000 NIPPON FIRE & MARINE INSURANCE CO LTD ...................... 268 16,700 o OXFORD HEALTH PLANS, INC ............... 260 7,300 o PACIFICARE HEALTH SYSTEMS, INC (CLASS A) ............................. 525 4,200 POHJOLA INSURANCE CO LTD SERIES B ...... 215 218,093 PRUDENTIAL CORP PLC .................... 3,211 444,003 QBE INSURANCE GROUP LTD ................ 1,690 58,400 RAS S.P.A. ............................. 567 82,065 ROYAL & SUN ALLIANCE INSURANCE GROUP PLC ............................. 736 18,400 SAI S.P.A. ............................. 190 7,200 SAMPO INSURANCE CO SERIES A ............ 209 47,800 SKANDIA FORSAKRINGS AB ................. 894 46 See notes to financial statements. GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- INSURANCE CARRIERS--(CONTINUED) 14,600 ST. PAUL COS, INC ...................... $ 464 18,450 o UNI-STOREBRAND AS SERIES A ............. 124 30,972 SUMITOMO MARINE & FIRE INSURANCE CO .... 187 1,283 o SWISS REINSURANCE ...................... 2,443 1,332,000 TOKIO MARINE & FIRE INSURANCE CO LTD ... 14,471 8,200 TORCHMARK CORP ......................... 280 1,300 o TRANSAMERICA CORP ...................... 98 25,100 UNITED HEALTHCARE CORP ................. 1,572 8,300 UNUM CORP .............................. 454 323,811 XL CAPITAL LTD ......................... 18,295 4,623 ZURICH ALLIED AG. ...................... 2,629 ----------- 255,813 ----------- LOCAL AND INTERURBAN PASSENGER TRANSIT--0.46% 1,883 EAST JAPAN RAILWAY CO .................. 10,112 21,986 LAIDLAW, INC ........................... 159 5,732,821 STAGECOACH HOLDINGS PLC ................ 20,536 ----------- 30,807 ----------- LUMBER AND WOOD PRODUCTS--1.05% 77,300 CARTER HOLT HARVEY LTD ................. 93 640,000 o CHAMPION ENTERPRISES, INC .............. 11,920 5,900 CLAYTON HOMES, INC ..................... 67 81,060 o FLETCHER CHALLENGE LTD (FORESTS DIVISION) .................... 46 18,200 GEORGIA-PACIFIC CORP (PACKAGING GROUP) ..................... 862 18,000 o JAYA TIASA HOLDINGS BERHAD ............. 33 23,000 LOUISIANA PACIFIC CORP ................. 546 2,480,800 o MACMILLAN BLOEDEL LTD .................. 44,165 1,074,900 SEKISUI HOUSE LTD ...................... 11,598 7,000 SUMITOMO FORESTRY CO LTD ............... 54 13,300 WEYERHAEUSER CO ........................ 914 ----------- 70,298 ----------- METAL MINING--0.21% 620 ALUSUISSE LONZA HOLDINGS AG. (REGD) .... 723 1,200 BARRICK GOLD CORP ...................... 23 33,900 BARRICK GOLD CORP (U.S.) ............... 657 27,400 []o BATTLE MOUNTAIN GOLD CO ............... 67 2,500 CAMECO CORP ............................ 52 9,000 COMINCO LTD ............................ 151 19,370 CYPRUS AMAX MINERALS CO ................ 294 31,000 o ECHO BAY MINES LTD ..................... 44 3,000 ELKEM AS ............................... 53 4,500 o FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS A) ................... 75 28,277 o FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) ................... 507 77,109 GREAT CENTRAL MINES LTD ................ 79 25,000 HOMESTAKE MINING CO .................... 205 17,381 INCO LTD CO ............................ 309 3,000 o INCO LTD CO (U.S.) ..................... 54 51,200 JOHNSON MATTHEY PLC .................... 499 42,819 LONMIN PLC ............................. 398 130,658 MIM HOLDINGS LTD ....................... 93 209,000 MITSUBISHI MATERIALS CORP .............. 468 46,000 [] MITSUI MINING & SMELTING CO LTD ........ 238 47,000 o NEWCREST MINING LTD .................... 106 5,800 NEWMONT MINING CORP .................... 115 99,000 NIPPON LIGHT METAL CO LTD .............. 148 17,400 NORANDA, INC ........................... 228 104,880 NORMANDY MINING LTD .................... 70 1,384,306 [] NORTH LTD .............................. 2,804 13,900 OUTOKUMPU OY SERIES A .................. 156 7,800 PHELPS DODGE CORP ...................... 483 26,900 PLACER DOME, INC ....................... 311 59,608 RESOLUTE SAMANTHA LTD .................. 30 10,400 RIO ALGOM LTD .......................... 147 140,900 [] RIO TINTO LTD .......................... 2,310 36,050 RIO TINTO PLC (BR) ..................... 563 49,658 RIO TINTO PLC (REGD) ................... 832 26,390 SMITH (HOWARD) LTD ..................... 202 30,250 SONS OF GWALIA NL ...................... 80 22,000 o SUMITOMO METAL MINING CO LTD ........... 91 6,900 TECK CORP LTD (CLASS B) ................ 59 2,400 UNION MINIERE GROUP S.A. ............... 99 102,000 [] WMC LTD ................................ 438 ----------- 14,261 ----------- MISCELLANEOUS MANUFACTURING INDUSTRIES--0.06% 3,000 AMER GROUP LTD PLC SERIES A ............ 43 1,900 o BIC S.A. ............................... 100 32,300 BULGARI S.P.A. ......................... 217 4,200 o CALLAWAY GOLF CO ....................... 61 2,800 INTERNATIONAL GAME TECHNOLOGY CO ....... 52 34,200 MATTEL, INC ............................ 904 32,152 MINNESOTA MINING & MANUFACTURING CO ...................... 2,795 632 RHI AG. ................................ 17 7,000 [] SEGA ENTERPRISES LTD ................... 93 ----------- 4,282 ----------- MISCELLANEOUS RETAIL--0.49% 26,500 []o BARNESANDNOBLE.COM, INC ................ 477 66,527 BOOTS CO LTD ........................... 790 483,605 CVS CORP ............................... 24,543 124,258 GREAT UNIVERSAL STORES PLC ............. 1,377 38,244 NEXT PLC ............................... 464 15,000 o RITE AID CORP .......................... 369 42,275 o STAPLES, INC ........................... 1,308 37,400 o TOYS R US, INC ......................... 774 89,124 WALGREEN CO ............................ 2,618 ----------- 32,720 ----------- MOTION PICTURES--0.81% 190,562 o DISNEY (WALT) CO ....................... 5,872 1,272 PATHE S.A. ............................. 153 73,998 RANK GROUP PLC ......................... 294 1,000,000 o SHAW BROTHER LTD (H.K.) ................ 683 630,871 TIME WARNER, INC ....................... 46,369 3,000 TOEI CO ................................ 12 3,810 TOHO CO LTD ............................ 557 ----------- 53,940 ----------- NONDEPOSITORY INSTITUTIONS--0.84% 13,000 ACOM CO LTD ............................ 1,122 44,485 AMERICAN EXPRESS CO .................... 5,789 409,212 ASSOCIATES FIRST CAPITAL CORP .......... 18,133 1,300 CORPORACION FINANCIERE ALBA S.A. ....... 210 6,900 COUNTRYWIDE CREDIT INDUSTRIES, INC ..... 295 11,162 CREDIT SAISON CO LTD ................... 233 93,127 FEDERAL NATIONAL MORTGAGE ASSOCIATION ........................... 6,368 239,531 HALIFAX PLC ............................ 2,858 39,000 HOUSEHOLD INTERNATIONAL, INC ........... 1,848 91,720 [] ING GROEP NV ........................... 4,966 31,637 IRISH LIFE & PERMANENT PLC ............. 334 See notes to financial statements. 47 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- NONDEPOSITORY INSTITUTIONS--(CONTINUED) 57,200 o MEDIOBANCA S.P.A. ...................... $ 599 24,000 NIPPON SHINPAN CO LTD .................. 80 7,000 ORIX CORP .............................. 625 20,972 PROVIDENT FINANCIAL PLC ................ 291 37,861 SCHROEDERS LTD ......................... 773 16,050 SHOHKOH FUND & CO ...................... 11,510 ----------- 56,034 ----------- NONMETALLIC MINERALS, EXCEPT FUELS--0.00% 61,100 [] ASHTON MINING LTD ...................... 29 4,600 POTASH CORP OF SASKATCHEWAN, INC ....... 237 ----------- 266 ----------- OIL AND GAS EXTRACTION--1.77% 15,300 ALBERTA ENERGY LTD ..................... 489 17,300 o ANDERSON EXPLORATION LTD ............... 226 829,000 APACHE CORP ............................ 32,331 2,086 o BOUYGUES S.A. .......................... 551 6,300 o CANADIAN NATURAL RESOURCES LTD ......... 123 13,490 CANADIAN OCCIDENTAL PETROLEUM LTD ...... 216 34,200 FLETCHER CHALLENGE LTD (ENERGY DIVISION) ..................... 93 27,700 o GLOBAL MARINE, INC ..................... 428 4,647 GULF CANADA RESOURCES LTD .............. 19 31,669 HALLIBURTON CO ......................... 1,433 10,500 HELMERICH & PAYNE, INC ................. 250 1,654,410 + IHC CALAND NV .......................... 64,835 42,000 IMPERIAL OIL LTD ....................... 795 2,875 KONINKLIJKE PAKHOED HOLDINGS NV ........ 68 59,466 LONDON & SCOTTISH MARINE OIL PLC ....... 136 52,600 OCCIDENTAL PETROLEUM CORP .............. 1,111 700 OMV AKTIENGESELLS AG. .................. 62 680,650 o PETROLEUM GEO-SERVICES AS .............. 10,245 9,500 o POCO PETROLEUM LTD ..................... 76 600 PRIMAGAZ ............................... 53 24,100 o RANGER OIL LTD ......................... 116 9,200 o RENAISSANCE ENERGY LTD ................. 123 3,000 SMEDVIG AS SERIES A .................... 28 13,400 o TALISMAN ENERGY, INC ................... 363 3,200 TECHNIP S.A. ........................... 359 24,740 o TOTAL FINA S.A. ........................ 3,192 15,000 o TULLOW OIL PLC ......................... 12 ----------- 117,733 ----------- PAPER AND ALLIED PRODUCTS--0.23% 12,700 ABITIBI CONSOLIDATED, INC .............. 145 235,000 [] AMCOR LTD .............................. 1,306 87,600 o ARJO WIGGINS APPLETON PLC .............. 304 8,700 AVERY DENNISON CORP .................... 525 8,794 BOISE CASCADE CORP ..................... 377 7,040 BUHRMANN NV ............................ 114 87,177 BUNZL PLC .............................. 432 10,800 [] CARTIERE BURGO S.P.A. .................. 69 5,400 CHAMPION INTERNATIONAL CORP ............ 259 16,600 DOMTAR, INC ............................ 156 1,500 EMPRESA NATIONAL DE CELULOSAS S.A. ..... 27 103,900 FLETCHER CHALLENGE LTD (PAPER DIVISION) 78 32,438 FORT JAMES CORP ........................ 1,229 31,629 INTERNATIONAL PAPER CO ................. 1,597 4,500 INVESTIMENTOS PARTICIPACOES E GESTAO ... 36 139,529 JEFFERSON SMURFIT GROUP PLC ............ 327 62,311 KIMBERLY-CLARK CORP .................... 3,552 545 [] MAYR-MELNHOF KARTON AG. ................ 25 4,500 o MEAD CORP .............................. 188 62,000 MITSUBISHI PAPER MILLS LTD ............. 116 43,000 [] NGK INSULATORS LTD ..................... 449 68,000 NIPPON PAPER INDUSTRIES CO ............. 354 2,400 NORSKE SKOGINDUSTRIER SERIES A ......... 88 97,666 OJI PAPER CO LTD ....................... 565 5,944 PORTUCEL INDUSTRIA EMPRESA ............. 33 14,120 RENO DE MEDICI S.P.A. .................. 34 55,600 o REPAP ENTERPRISES, INC ................. 4 68,969 REXAM PLC .............................. 278 18,900 SCA AB SERIES B ........................ 489 8,000 TEMPLE-INLAND, INC ..................... 546 4,100 UNI CHARM CORP ......................... 178 27,000 UPM-KYMMENE OY ......................... 774 5,800 WESTVACO CORP .......................... 168 6,900 WILLAMETTE INDUSTRIES, INC ............. 318 ----------- 15,140 ----------- PERSONAL SERVICES--0.02% 17,925 BLOCK (H&R), INC ....................... 896 400 xo LOEWEN GROUP, INC ...................... 0 7,500 o SERVICE CORP INTERNATIONAL ............. 144 ----------- 1,040 ----------- PETROLEUM AND COAL PRODUCTS--3.87% 29,501 ATLANTIC RICHFIELD CO .................. 2,465 502,186 BG PLC ................................. 3,067 2,486,327 BP AMOCO PLC ........................... 44,561 51,773 BP AMOCO PLC (SPONS ADR) ............... 5,617 1,033,169 BROKEN HILL PROPRIETARY CO LTD ......... 11,967 63,991 CHEVRON CORP ........................... 6,091 127,000 COSMO OIL CO LTD ....................... 233 27,539 ELF AQUITANE S.A. ...................... 4,041 784,800 [] ENTE NAZIONALE IDROCARBURI S.P.A. ...... 4,686 868,302 EXXON CORP ............................. 66,968 366,496 MOBIL CORP ............................. 36,283 3,400 MURPHY OIL CORP ........................ 166 164,900 NIPPON MITSUBISHI OIL CO ............... 695 12,900 [] NORSK HYDRO AS ......................... 487 21,500 PETRO-CANADA (VARIABLE- Vote) .......... 292 2,400 PETROFINA S.A. ......................... 1,379 84,024 [] REPSOL S.A. ............................ 1,716 728,405 ROYAL DUTCH PETROLEUM CO ............... 42,668 79,775 [] SANTOS LTD ............................. 261 11,000 SUNCOR ENERGY, INC ..................... 449 27,824 TEIKOKU OIL CO LTD ..................... 90 341,000 o TEXACO, INC ............................ 21,313 23,613 UNOCAL CORP ............................ 936 32,465 USX-MARATHON GROUP, INC ................ 1,057 ----------- 257,488 ----------- PIPELINES, EXCEPT NATURAL GAS--0.01% 17,562 ENBRIDGE, INC .......................... 400 ----------- PRIMARY METAL INDUSTRIES--2.75% 8,400 ACERINOX S.A. .......................... 246 13,000 ALCAN ALUMINIUM CO LTD ................. 411 6,100 ALCAN ALUMINIUM CO LTD (U.S.) .......... 195 282,090 ALCOA, INC ............................. 17,454 8,492 ASARCO, INC ............................ 160 200 BEKAERT S.A. ........................... 86 2,200 o BETHLEHEM STEEL CORP ................... 17 3,868 o BOLIDEN LTD SDR ........................ 9 187,276 BRITISH STEEL PLC ...................... 485 1,100 CO STEEL, INC .......................... 9 80,000 DAIDO STEEL CO LTD ..................... 127 4,000 o DANIELI & CO ........................... 24 13,396 DOFASCO, INC ........................... 216 48 See notes to financial statements. GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- PRIMARY METAL INDUSTRIES--(CONTINUED) 2,100 ENGELHARD CORP ......................... $ 48 300 FLACK S.P.A. ........................... 2 2,850 GRANGES AB ............................. 48 3,500 HOOGOVENS NEN STAALIADRIEREN NV ........ 183 23,000 o JAPAN METALS & CHEMICALS CO ............ 39 6,000 o JAPAN STEEL WORKS LTD .................. 7 190,000 KAWASAKI STEEL CORP .................... 355 725,040 MANNESMANN AG. ......................... 108,197 625,000 NATIONAL IRON & STEEL MILLS LTD ........ 1,094 599,000 NIPPON STEEL CORP ...................... 1,391 546,000 o NKK CORP ............................... 447 700 NKT HOLDINGS AS ........................ 55 10,519 NUCOR CORP ............................. 499 12,365 PECHINEY S.A. .......................... 532 892,457 PREUSSAG AKTIEGESELLSCHAFT AG. ......... 47,952 13,600 RAUTARUUKKI SERIES K ................... 82 14,280 #o SILVERSTONE BERHAD ..................... 0 18,600 STELCO, INC (CLASS A) .................. 137 361,000 o SUMITOMO METAL INDUSTRIES LTD .......... 450 6,625 SVENSKT STAL AB SERIES A (SSAB) ........ 83 2,450 SVENSKT STAL AB SERIES B ............... 30 43,440 o THYSSEN KRUPP AG. ...................... 956 20,500 TOKYO STEEL MANUFACTURING CO LTD ....... 108 9,900 TRELLEBORG AB SERIES B FREE ............ 87 17,700 []o USINOR ................................. 264 9,800 USX-US STEEL GROUP, INC ................ 265 7,600 WORTHINGTON INDUSTRIES, INC ............ 125 ----------- 182,875 ----------- PRINTING AND PUBLISHING--2.61% 7,079 CLONDALKIN GROUP PLC (UNITS) ........... 47 77,000 [] DAI NIPPON PRINTING CO LTD ............. 1,231 17,118 DELUXE CORP ............................ 667 4,900 DONNELLEY (R.R.) & SONS CO ............. 182 13,256 DOW JONES & CO, INC .................... 703 2,780,300 ELSEVIER UTIGEVERSMIJ NV ............... 32,257 38,349 GANNETT CO, INC ........................ 2,737 800 HARLAND (JOHN H.) CO ................... 16 33,144 INDEPENDENT NEWS & MEDIA PLC ........... 159 15,100 MCGRAW HILL COS, INC ................... 814 3,000 o METO AG. ............................... 15 15,000 MONDADORI (ARNOLDO) EDITORE S.P.A. ..... 260 8,100 MOORE CORP LTD ......................... 68 784,803 NEWS CORP LTD .......................... 6,696 190,000 o ORIENTAL PRESS GROUP ................... 31 4,963,180 PEARSON PLC ............................ 100,844 6,500 QUEBECOR, INC (CLASS B) ................ 157 7,700 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VOTE) .................. 306 116,835 REED INTERNATIONAL PLC ................. 779 4,000 SCHIBSTED ASA .......................... 45 242,977 SINGAPORE PRESS HOLDINGS LTD ........... 4,139 112,000 SOUTH CHINA MORNING POST ............... 63 54,600 THOMSON CORP ........................... 1,642 3,200 TIMES MIRROR CO SERIES A ............... 190 80,000 TOPPAN PRINTING CO LTD ................. 893 205,985 TRIBUNE CO ............................. 17,946 26,792 WOLTERS KLUWER NV ...................... 1,067 ----------- 173,954 ----------- RAILROAD TRANSPORTATION--0.74% 182,600 BRAMBLES INDUSTRIES LTD ................ $ 4,810 58,789 BURLINGTON NORTHERN SANTA FE CORP ......................... 1,822 31,900 CANADIAN PACIFIC LTD ................... 754 9,200 CSX CORP ............................... 417 50,111 HANKYU CORP ............................ 199 66,000 KEIHIN ELECTRIC EXPRESS RAILWAY ........ 218 121,797 [] KINKI NIPPON RAILWAY CO LTD ............ 599 20,185 MAYNE NICKLESS LTD ..................... 69 8,125 [] NAGOYA RAILROAD CO LTD ................. 27 63,990 [] NANKAI ELECTRIC RAILWAY CO ............. 297 67,000 NIPPON EXPRESS CO LTD .................. 401 19,800 o NORFOLK SOUTHERN CORP .................. 596 63,000 [] ODAKYU ELECTRIC RAILWAY CO LTD ......... 211 1,833,073 RAILTRACK GROUP PLC .................... 37,476 15,000 TOBU RAILWAY CO LTD .................... 43 28,800 UNION PACIFIC CORP ..................... 1,679 ----------- 49,618 ----------- REAL ESTATE--0.42% 80,937 BRITISH LAND PLC ....................... 677 2,100 o CATELLUS DEVELOPMENT CORP .............. 33 731,000 CHEUNG KONG HOLDINGS LTD ............... 6,501 39,319 o CHINESE ESTATES HOLDINGS WTS 11/24/99 .......................... 3 39,319 o CHINESE ESTATES HOLDINGS WTS 11/24/00 .......................... 3 420,000 o CHINESE ESTATES LTD .................... 76 571,225 CITY DEVELOPMENT LTD ................... 3,657 28,000 [] DAIWA KOSHO LEASE CO LTD ............... 123 1,748,000 DBS LAND LTD ........................... 3,491 6,000 DILIGENTIA AB .......................... 47 61,084 o EVERGO CHINA HOLDINGS LTD .............. 1 175,284 GENERAL PROPERTY TRUST ................. 285 64,087 o HAMMERSON PLC .......................... 476 171,000 HANG LUNG DEVELOPMENT CO LTD ........... 212 102,000 o HOPEWELL HOLDINGS LTD .................. 78 102,468 HYSAN DEVELOPMENT CO LTD ............... 155 7,600 METROVACESA ............................ 149 7,600 o METROVACESA RTS ........................ 7 105,000 MITSUBISHI ESTATE CO LTD ............... 1,024 115,000 [] MITSUI FUDOSAN CO LTD .................. 931 763,377 NEW WORLD DEVELOPMENT CO LTD ........... 2,288 35,000 PARKWAY HOLDINGS LTD ................... 86 73,000 SCHRODERS PROPERTY FUND ................ 114 300 SIMCO (REGD) ........................... 25 258,000 SINO LAND CO ........................... 148 89,300 SLOUGH ESTATES PLC ..................... 505 59,001 STOCKLAND TRUST GROUP (UNITS) .......... 135 2,284 o STOCKLAND TRUST GROUP (UNITS) (NEW) .... 5 14,300 STRAITS TRADING CO ..................... 19 658,837 SUN HUNG KAI PROPERTIES LTD ............ 6,008 136,000 TAI CHEUNG HOLDINGS LTD ................ 40 51,000 []o TOKYO TATEMONO CO LTD .................. 118 200 UNIBAIL S.A. ........................... 26 58,200 UNITED OVERSEAS LAND LTD ............... 66 6,900 o URBIS S.A. ............................. 95 6,100 VALLEHERMOSO S.A. ...................... 59 ----------- 27,666 ----------- See notes to financial statements. 49 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.33% 2,970 ADIDAS SALOMON AG. ..................... $ 295 3,800 ARMSTRONG WORLD INDUSTRIES, INC ........ 220 484,105 BRIDGESTONE CORP ....................... 14,638 5,720 CONTINENTAL AG. ........................ 136 102 GOODYEAR TIRE & RUBBER CO .............. 6 26,177 ILLINOIS TOOL WORKS, INC ............... 2,147 17,434 MICHELIN S.A. (CLASS B) ................ 713 37,104 NIKE, INC (CLASS B) .................... 2,349 23,000 [] OKAMATO INDUSTRIES, INC ................ 59 197,000 [] PIRELLI S.P.A. ......................... 536 9,400 o SEALED AIR CORP ........................ 610 ----------- 21,709 ----------- SECURITY AND COMMODITY BROKERS--0.70% 135,000 DAIWA SECURITIES GROUP, INC ............ 892 46,200 []o DLJDIRECT .............................. 1,363 147,000 ITOCHU CORP ............................ 366 260,000 MARUBENI CORP .......................... 543 26,214 MERRILL LYNCH & CO, INC ................ 2,095 152,000 MITSUBISHI CORP ........................ 1,030 124,000 MITSUI & CO LTD ........................ 865 222,100 MORGAN STANLEY, DEAN WITTER, & CO ...... 22,765 987,000 NOMURA SECURITIES CO LTD ............... 11,555 7,000 OM GRUPPEN AB .......................... 79 18,300 PAINE WEBBER GROUP, INC ................ 856 39,824 SCHWAB (CHARLES) CORP .................. 4,376 275,000 xo YAMAICHI SECURITIES CO LTD ............. 5 ----------- 46,790 ----------- SPECIAL TRADE CO NTRACTORS--0.02% 16,250 KANDENKO CO LTD ........................ 100 13,000 KINDEN CORP ............................ 140 19,000 o KYUNDENKO CO LTD ....................... 109 18,046 SCHNEIDER ELECTRIC S.A. ................ 1,013 ----------- 1,362 ----------- STONE, CLAY, AND GLASS PRODUCTS--1.87% 4,020 AKER RGI ASA SERIES A .................. 55 100,000 ASAHI GLASS CO LTD ..................... 649 826,176 BORAL LTD .............................. 1,400 106,500 o BPB PLC ................................ 631 2,600 CBR NV ................................. 239 6,000 CEMENTIR S.P.A. ........................ 6 7,708 CIMENTOS DE PORTUGAL ................... 199 20,900 CORNING, INC ........................... 1,466 1,770,600 o CRH PLC ................................ 31,301 117,200 [] CSR LTD ................................ 335 125 DYCKERHOFF AG. ......................... 37 65 EUROC INDUSTRIA AB SERIES A ............ 3 700 GLAVERBEL S.A. ......................... 66 4,822,901 HANSON PLC ............................. 42,839 2,775 HEIDELBERGER ZEMENT AG. ................ 229 56,100 HEPWORTH PLC ........................... 174 821 HOLDERBANK FINANCIERE GLARUS AG. (BR) .. 969 12,000 HOYA CORP .............................. 677 2,600 IMETAL S.A. ............................ 386 53,755 [] INAX CORP .............................. 328 24,100 [] ITALCEMENTI S.P.A. ..................... 306 66,954 JAMES HARDIE INDUSTRIES LTD ............ 177 1,269 LAFARGE S.A. (BR) ...................... 121 7,870 #o LAFARGE S.A. (REGD) 2001 ............... 748 36,000 NIPPON SHEET GLASS CO LTD .............. 128 3,000 NORITAKE CO LTD ........................ 16 11,663 OWENS CORNING CO ....................... 401 146,277 o PILKINGTON PLC ......................... 201 578,300 [] PIONEER INTERNATIONAL LTD .............. 1,474 490,391 RMC GROUP PLC .......................... 7,896 189,518 ST. GOBAIN S.A. ........................ 30,197 96,313 SUMITOMO OSAKA CEMENT CO LTD ........... 187 16,200 TAIHEIYO CEMENT CORP ................... 46 1,154 TARMAC PLC ............................. 2 42,700 [] TOTO LTD ............................... 330 1,800 WIENERBERGER BAUSTOFF AG. .............. 47 ----------- 124,266 ----------- TEXTILE MILL PRODUCTS--0.01% 19,951 BBA GROUP PLC .......................... 153 192 o CHARGEURS S.A. ......................... 11 110,053 COATS VIYELLA PLC ...................... 88 19,790 COURTAULDS TEXTILES PLC ................ 51 51,000 KURABO INDUSTRIES LTD .................. 68 7,000 MARZOTTO & FIGLI S.P.A. ................ 54 58,000 NISSHINBO INDUSTRY, INC ................ 264 16,600 o SHAW INDUSTRIES, INC ................... 274 17,000 TOYOBO CO LTD .......................... 26 ----------- 989 ----------- TOBACCO PRODUCTS--0.21% 202,777 BRITISH AMERICAN TOBACCO PLC ........... 1,907 38,700 IMASCO LTD ............................. 1,038 239,946 PHILIP MORRIS COS, INC ................. 9,643 50,000 R.J. REYNOLDS BERHAD ................... 53 16,107 [] ROTHMANS HOLDINGS LTD .................. 153 17,000 o ROTHMANS OF PALL MALL BERHAD ........... 116 8,086 SEITA S.A. ............................. 467 14,800 TABACALERA S.A. SERIES A (REGD) ........ 299 ----------- 13,676 ----------- TRANSPORTATION BY AIR--0.35% 12,900 o AIR CANADA, INC ........................ 54 155,100 [] ALITALIA S.P.A. ........................ 403 6,580 o ALL NIPPON AIRWAYS CO LTD .............. 20 11,400 o AMR CORP ............................... 778 1,500 AUSTRIAN AIRLINES/OEST LUFTV AG. ....... 36 133,498 BRITISH AIRPORT AUTHORITIES PLC ........ 1,284 15,407 BRITISH AIRWAYS PLC .................... 106 376,000 CATHAY PACIFIC AIRWAYS LTD 577 157,000 o CONTINENTAL AIRLINES, INC (CLASS B) .... 5,907 20,500 DELTA AIRLINES, INC .................... 1,181 46,200 DEUTSCHE LUFTHANSA AG. (REGD) .......... 838 31,772 o FDX CORP ............................... 1,724 1,100 FLUGHAFEN WIEN AG. ..................... 46 3,200 HONG KONG AIRCRAFT ENGINEERING CO LTD ................................ 6 161,600 [] JAPAN AIRLINES CO LTD .................. 534 8,400 o KLM (ROYAL DUTCH AIRLINES) NV .......... 238 18,600 o RYANAIR HOLDINGS PLC ................... 193 1,500 SAIRGROUP .............................. 314 4,200 [] SAS DANMARK AS ......................... 44 3,000 SAS NORGE ASA SERIES B ................. 27 77,000 o SINGAPORE INTERNATIONAL AIRLINES LTD (FR) .............................. 733 215,363 SOUTHWEST AIRLINES CO .................. 6,703 166,400 SWIRE PACIFIC LTD (CLASS A) ............ 824 6,895 o U.S. AIRWAYS GROUP, INC ................ 300 2,100 o UAL CORP ............................... 137 ----------- 23,007 ----------- 50 See notes to financial statements. GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- TRANSPORTATION EQUIPMENT--3.27% 349,200 o ALLIED SIGNAL, INC ..................... $ 22,000 85,277 BOEING CO .............................. 3,768 63,400 BOMBARDIER, INC (CLASS B) .............. 964 18,530 xo BREMER VULKAN AG. ...................... 14 76,920 BRITISH AEROSPACE PLC .................. 499 5,868 o BRITISH AEROSPACE PLC WTS 11/15/00 ..... 103 27,200 CAE, INC ............................... 162 1,500 COBHAM GROUP PLC ....................... 24 16,000 CYCLE & CARRIAGE LTD ................... 92 67,788 DAIMLERCHRYSLER AG. .................... 5,872 263,977 DAIMLERCHRYSLER (U.S.A.) ............... 23,461 66,698 DELPHI AUTOMOTIVE SYSTEMS CORP ......... 1,238 74,600 [] DENSO CORP ............................. 1,516 730,000 o DUCATI MOTOR HOLDING S.P.A. ............ 1,912 9,700 EATON CORP ............................. 892 453,790 []o FIAT S.P.A. ............................ 1,437 15,453 GENERAL DYNAMICS CORP .................. 1,059 62,499 GENERAL MOTORS CORP .................... 4,125 273,400 o GENERAL MOTORS CORP (CLASS H) .......... 15,379 66 o HALTER MARINE GROUP, INC ............... 0 17,651 HARLEY DAVIDSON, INC ................... 960 413,000 HONDA MOTOR CO LTD ..................... 17,504 33,000 INCHAPE MOTORS ......................... 53 6,000 ITT INDUSTRIES, INC .................... 229 141,000 KAWASAKI HEAVY INDUSTRIES LTD .......... 382 6,300 []o KVAERNER INDUSTRIER AS SERIES A 130 30,800 LAIRD GROUP PLC ........................ 128 6,800 MAGNA INTERNATIONAL, INC ............... 383 16,000 o MAN AG. (STAMM) ........................ 546 3,000 o MITSUI ENGINEERING & SHIP BUILDING CO LTD ....................... 3 7,614 o NAVISTAR INTERNATIONAL CORP ............ 381 1,556,000 NISSAN MOTOR CO LTD .................... 7,430 81,000 ORIENT CORP ............................ 236 6,063 PEUGEOT S.A. ........................... 957 986,000 []o RENAULT S.A. ........................... 42,912 203,109 ROLLS ROYCE LTD ........................ 860 7,000 o SANDEN CORP ............................ 56 7,000 SHIMANO, INC ........................... 166 53,440 SIEMENS AG. ............................ 4,122 213 SMITHS INDUSTRIES PLC .................. 3 1,400 o SPX CORP ............................... 117 19,763 TEXTRON, INC ........................... 1,627 13,158 o THOMSON-CSF ............................ 457 111,080 TI GROUP PLC ........................... 744 1,455,000 TOYOTA MOTOR CORP ...................... 46,040 9,230 TRINITY INDUSTRIES, INC ................ 309 11,559 TRW, INC ............................... 634 51,823 UNITED TECHNOLOGIES CORP ............... 3,715 6,286 []o VALEO S.A. ............................. 519 10,210 VOLKSWAGEN AG. ......................... 654 41,300 VOLVO AB SERIES B FREE ................. 1,197 ----------- 217,971 ----------- TRANSPORTATION SERVICES--1.52% 12,722,300 AIRTOURS PLC ........................... 101,474 1,770 o NEW WORLD INFRASTUCTURE LTD ............ 3 ----------- 101,477 ----------- TRUCKING AND WAREHOUSING--0.20% 2,000 o CNF TRANSPORTATION, INC ................ 77 12,000 MITSUBISHI LOGISTICS CORP .............. 135 34,000 SEINO TRANSPORTATION CO LTD ............ 202 45,957 TNT POST GROUP NV ...................... 1,097 666,122 [] YAMATO TRANSPORT CO LTD ................ 11,612 ----------- 13,123 ----------- WATER TRANSPORTATION--0.20% 3,100 ASKO OYJ SERIES A ...................... 51 6,100 BERGESEN D.Y. AS (CLASS B) ............. 86 472 o BONA SHIPHOLDING LTD ................... 3 67,065 CARNIVAL CORP (CLASS A) ................ 3,253 4,000 CHUAN HUP HOLDINGS LTD ................. 3 1,300 CMB CIE MARITIME BELGE S.A. ............ 55 73 DAMPSKIBSSELSKABET AF 1912 (CLASS B) ............................. 648 50 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) ............................. 619 2,200 FINNLINES OY ........................... 57 950,000 o FIRST OLSEN TANKERS LTD ................ 5,672 43,200 o HAI SUN HUP WTS 05/10/02 ............... 13 4,500 IRISH CONTINENTAL GROUP PLC ............ 58 33,000 KAMIGUMI CO LTD ........................ 169 22,975 KAWASAKI KISEN KAISHA LTD .............. 50 1,900 KONINKLIJKE NEDLLOYD GROEP NV .......... 47 1,500 LEIF HOEGH & CO ........................ 19 56,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) ...................... 92 123,474 MITSUI OSK LINES LTD ................... 265 29,100 []o NCL HOLDINGS AS ........................ 97 64,200 o NEPTUNE ORIENT LINES LTD ............... 78 131,000 NIPPON YUSEN KABUSHIKI KAISHA .......... 504 56,221 PENINSULAR & ORIENTAL STEAM NAVIGATION CO ......................... 844 11,800 TIDEWATER, INC ......................... 360 800 UNITOR AS .............................. 7 ----------- 13,050 ----------- WHOLESALE TRADE-DURABLE GOODS--0.02% 1,400 o BRIGGS & STRATTON CORP ................. 81 648 DIETEREN S.A. .......................... 299 200 o GENUINE PARTS CO ....................... 7 11,400 GRAINGER (W.W.), INC ................... 613 15,600 IKON OFFICE SOLUTIONS, INC ............. 234 2,630 INSTRUMENTARIUM GROUP SERIES B FREE .... 107 71,000 PACIFIC DUNLOP LTD ..................... 102 4,000 SANRIO CO LTD .......................... 136 4,000 SEIKO CORP ............................. 20 84,000 TAN CHONG INTERNATIONAL LTD ............ 21 ----------- 1,620 ----------- WHOLESALE TRADE-NONDURABLE GOODS--0.67% 1,200 AUSTRIA TABAKWERKE AG. ................. 70 589,779 CARDINAL HEALTH, INC ................... 37,816 25,856 ENRON CORP ............................. 2,114 3,000 ESSELTE AB SERIES B FREE ............... 31 25,849 F.H. FAULDING & CO LTD ................. 157 47,500 FYFFES PLC ............................. 103 7,000 IWATANI & CO LTD ....................... 17 26,230 MCKESSON HBOC, INC ..................... 843 29,000 NAGASE & CO ............................ 138 9,750 SOBEYS, INC ............................ 114 25,322 SUPERVALU, INC ......................... 650 43,770 SWEDISH MATCH CO ....................... 156 22,700 SYSCO CORP 677 228,000 THAI UNION FROZEN PRODUCTS (FR) ........ 804 3,700 URALITA S.A. ........................... 31 13,300 WESTON (GEORGE) LTD .................... 584 ----------- 44,305 ----------- TOTAL COMMON STOCK (COST $5,166,455) ........................ 6,460,497 ----------- See notes to financial statements. 51 GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- ---------- SHORT TERM INVESTMENTS--3.42% COMMERCIAL PAPER--0.70% CARGILL GLOBAL FUNDING PLC $10,000,000 ~ 4.760%, 07/06/99 ...................... $ 9,990 FORD MOTOR CREDIT CO 12,000,000 5.350%, 07/02/99 ...................... 11,996 PFIZER, INC 12,000,000 ~ 5.100%, 07/01/99 ...................... 11,998 TEXAS UTILITIES CO 12,900,000 ~ 5.040%, 07/27/99 ...................... 12,848 ---------- 46,832 ---------- U.S. GOVERNMENT & AGENCIES--2.72% FEDERAL HOME LOAN BANK 6,000,000 5.010%, 08/25/99 ...................... 5,953 FEDERAL HOME LOAN MORTGAGE CORP 2,150,000 4.780%, 07/09/99 ...................... 2,147 24,000,000 5.000%, 07/09/99 ...................... 23,971 1,500,000 4.720%, 07/13/99 ...................... 1,497 500,000 4.700%, 07/14/99 ...................... 499 4,500,000 4.760%, 07/14/99 ...................... 4,492 2,560,000 4.720%, 07/30/99 ...................... 2,549 14,000,000 * 4.850%, 08/09/99 ...................... 13,922 13,407,000 4.860%, 08/12/99 ...................... 13,327 7,000,000 4.800%, 08/18/99 ...................... 6,952 51,000,000 * 5.070%, 09/09/99 ...................... 50,495 16,850,000 * 4.970%, 09/10/99 ...................... 16,681 13,000,000 * 5.000%, 09/16/99 ...................... 12,859 FEDERAL NATIONAL MORTGAGE ASSOCIATION 1,000,000 4.710%, 07/07/99 ...................... 999 14,000,000 * 4.800%, 08/24/99 ...................... 13,893 11,000,000 * 4.820%, 02/04/00 ...................... 10,653 ---------- 180,889 ---------- TOTAL SHORT TERM INVESTMENTS (COST $227,792) .......................... 227,721 ---------- TOTAL PORTFOLIO (COST $5,399,892) ........................ $6,696,807 ========== o 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 these securities have been segregated by the Custodian to cover securities purchased on a delayed delivery basis. []All or a portion of these securities are out on loan. # Restricted Securities-Investment in securities not registered under the Securities Act of 1933 or not publicly traded in foreign markets. At June 30, 1999, the value of these securities amounted to $1,115,239 or 0.02% of net assets. Additional information on each restricted security is as follows: ACQUISITION ACQUISITION SECURITY DATE COST - -------- ----------- ----------- LAFARGE S.A. (REGD) 2001 01/05/99 $ 690,524 L'AIR LIQUIDE S.A. (REGD) 10/29/96 318,656 SILVERSTONE BERHAD 01/08/98 804 ---------- $1,009,984 ========== 52 See notes to financial statements. COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES -- GLOBAL EQUITIES ACCOUNT (UNAUDITED) JANUARY 1, 1999 -- JUNE 30, 1999
VALUE AT REALIZED DIVIDEND SHARES AT VALUE AT ISSUE DECEMBER 31, 1998 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1999 JUNE 30, 1999 ----- ----------------- ------------- -------------- ----------- ---------- ------------- ------------- IHC CALAND NV $ 97,814,831 $0 $ 26,366,678 $ 10,950,570 $ 1,777,208 1,654,41 $64,835,335 ------------ -- ------------ ------------ ----------- ----------- TOTAL AFFILIATED TRANSACTION $ 97,814,831 $0 $ 26,366,678 $ 10,950,570 $ 1,777,208 $64,835,335 ============ == ============ ============ =========== ===========
See notes to financial statements. 53 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT (UNAUDITED) JUNE 30, 1999 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 .......... 11 0.00 INSTRUMENTS AND RELATED PRODUCTS .............. 0 0.00 INSURANCE CARRIERS ............................ 270 0.01 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ............................. 243 0.00 -------- ---- TOTAL PREFERRED STOCK (COST $424) ................................... 524 0.01 -------- ---- COMMON STOCK AGRICULTURAL PRODUCTION-CROPS ................. 2,943 0.03 AGRICULTURAL SERVICES ......................... 264 0.00 AMUSEMENT AND RECREATION SERVICES ............. 244,527 2.39 APPAREL AND ACCESSORY STORES .................. 29,892 0.29 APPAREL AND OTHER TEXTILE PRODUCTS ............ 2,771 0.03 AUTO REPAIR, SERVICES AND PARKING ............. 975 0.01 AUTOMOTIVE DEALERS AND SERVICE STATIONS ....... 3,770 0.04 BUILDING MATERIALS AND GARDEN SUPPLIES ........ 54,840 0.54 BUSINESS SERVICES ............................. 1,307,135 12.80 CHEMICALS AND ALLIED PRODUCTS ................. 1,435,251 14.06 COMMUNICATIONS ................................ 1,627,617 15.95 DEPOSITORY INSTITUTIONS ....................... 72,111 0.71 EATING AND DRINKING PLACES .................... 27,528 0.27 EDUCATIONAL SERVICES .......................... 1,951 0.02 ELECTRIC, GAS, AND SANITARY SERVICES .......... 304,657 2.98 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT ....... 1,240,990 12.15 ENGINEERING AND MANAGEMENT SERVICES ........... 7,471 0.07 FABRICATED METAL PRODUCTS ..................... 37,157 0.36 FOOD AND KINDRED PRODUCTS ..................... 245,641 2.41 FOOD STORES ................................... 114,656 1.12 FURNITURE AND FIXTURES ........................ 7,117 0.07 FURNITURE AND HOMEFURNISHINGS STORES .......... 20,410 0.20 GENERAL BUILDING CONTRACTORS .................. 1,017 0.01 GENERAL MERCHANDISE STORES .................... 96,036 0.94 HEALTH SERVICES ............................... 48,804 0.48 HEAVY CONSTRUCTION, EXCEPT BUILDING ........... 790 0.01 HOLDING AND OTHER INVESTMENT OFFICES .......... 4,387 0.04 HOTELS AND OTHER LODGING PLACES ............... 11,058 0.11 INDUSTRIAL MACHINERY AND EQUIPMENT ............ 1,376,685 13.48 INSTRUMENTS AND RELATED PRODUCTS .............. 252,971 2.48 INSURANCE AGENTS, BROKERS AND SERVICE ......... 1,058 0.01 INSURANCE CARRIERS ............................ 116,931 1.15 LEATHER AND LEATHER PRODUCTS .................. 509 0.01 LEGAL SERVICES ................................ 144 0.00 LOCAL AND INTERURBAN PASSENGER TRANSIT ........ 190 0.00 LUMBER AND WOOD PRODUCTS ...................... 1,419 0.01 METAL MINING .................................. 1,943 0.02 MISCELLANEOUS MANUFACTURING INDUSTRIES ................................... 14,203 0.14 MISCELLANEOUS RETAIL .......................... 43,965 0.43 MOTION PICTURES ............................... 47,426 0.46 NONDEPOSITORY INSTITUTIONS .................... 141,921 1.39 OIL AND GAS EXTRACTION ........................ 22,625 0.22 PAPER AND ALLIED PRODUCTS ..................... 21,283 0.21 PERSONAL SERVICES ............................. 7,054 0.07 PETROLEUM AND COAL PRODUCTS ................... 173 0.00 PRIMARY METAL INDUSTRIES ...................... 1,977 0.02 PRINTING AND PUBLISHING ....................... 17,836 0.17 RAILROAD TRANSPORTATION ....................... 3,737 0.04 REAL ESTATE 1,075 0.01 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ............................. 84,069 0.82 SECURITY AND COMMODITY BROKERS ................ 28,105 0.28 SOCIAL SERVICES ............................... 327 0.01 SPECIAL TRADE CONTRACTORS ..................... 154 0.00 STONE, CLAY, AND GLASS PRODUCTS ............... 10,034 0.10 TEXTILE MILL PRODUCTS ......................... 1,449 0.01 TOBACCO PRODUCTS .............................. 122,847 1.20 TRANSPORTATION BY AIR ......................... 2,281 0.02 TRANSPORTATION EQUIPMENT ...................... 270,431 2.65 TRANSPORTATION SERVICES ....................... 2,852 0.03 TRUCKING AND WAREHOUSING ...................... 1,312 0.01 WATER TRANSPORTATION .......................... 129,797 1.27 WHOLESALE TRADE-DURABLE GOODS ................. 4,473 0.04 WHOLESALE TRADE-NONDURABLE GOODS .............. 177,366 1.74 ----------- ----- TOTAL COMMON STOCK (Cost $7,815,719) .............................. 9,862,388 96.59 ----------- ----- SHORT TERM INVESTMENTS CERTIFICATES OF DEPOSIT ........................ 11,494 0.11 COMMERCIAL PAPER ............................... 224,960 2.20 U.S. GOVERNMENT & AGENCIES ..................... 59,094 0.58 ----------- ----- TOTAL SHORT TERM INVESTMENTS (Cost $295,738) ................................ 295,548 2.89 ----------- ----- TOTAL PORTFOLIO (Cost $8,111,889) .............................. 10,158,467 99.49 OTHER ASSETS & LIABILITIES, NET ............. 51,730 0.51 ----------- ------ NET ASSETS ...................................... $10,210,197 100.00% =========== ====== 54 See notes to financial statements. COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT (UNAUDITED) JUNE 30, 1999 VALUE PRINCIPAL (00) --------- ------ BONDS--0.00% CORPORATE BONDS--0.00% AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.00% $6,500 o UGLY DUCKLING CORP (SUB DEB) 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% 264 SUPERIOR TRUST I SERIES A ............. 11 --------- INSTRUMENTS AND RELATED PRODUCTS--0.00% 32,800 o FRESENIUS MEDICAL CARE (CLASS D) ...... 0 --------- INSURANCE CARRIERS--0.01% 3,640 AETNA, INC SERIES C ................... 270 --------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.00% 3,895 SEALED AIR CORP (CLASS A) ............. 243 --------- TOTAL PREFERRED STOCK (COST $424) ............................ 524 --------- COMMON STOCK--96.59% AGRICULTURAL PRODUCTION-CROPS--0.03% 100 o AGRITOPE, INC ......................... 0 7,300 DELTA & PINE LAND CO .................. 230 69,684 PIONEER-HI-BRED INTERNATIONAL, INC .... 2,713 --------- 2,943 --------- AGRICULTURAL SERVICES--0.00% 15,100 o CADIZ, INC ............................ 143 8,900 o VETERINARY CENTERS OF AMERICA, INC .... 121 --------- 264 --------- AMUSEMENT AND RECREATION SERVICES--2.39% 1,200 o AMERICAN SKIING CO .................... 5 2,395 o ANCHOR GAMING CO ...................... 115 5,300 o BALLY TOTAL FITNESS HOLDINGS CORP ..... 150 3,000 o CHAMPIONSHIP AUTO RACING TEAMS, INC ... 90 2,400 CHURCHILL DOWNS, INC .................. 83 44,400 o HARRAH'S ENTERTAINMENT, INC ........... 977 4,000 o INTERNATIONAL SPEEDWAY CORP (CLASS A) . 190 500 o MALIBU ENTERTAINMENT WORLDWIDE, INC ... 1 100 o PENN NATIONAL GAMING, INC ............. 1 3,300,014 o PREMIER PARKS, INC .................... 121,276 1,890,050 o SFX ENTERTAINMENT, INC (CLASS A) ...... 120,963 1,700 o SPEEDWAY MOTORSPORTS, INC ............. 67 6,600 o STATION CASINOS, INC .................. 134 13,300 o WESTWOOD ONE, INC ..................... 475 --------- 244,527 --------- APPAREL AND ACCESSORY STORES--0.29% 46,954 o ABERCROMBIE & FITCH CO (CLASS A) ...... 2,254 12,700 o AMERICAN EAGLE OUTFITTERS, INC ........ 578 2,100 o BUCKLE, INC ........................... 60 5,700 o CHILDRENS PLACE RETAIL STORES ......... 231 18,747 CLAIRES STORES, INC ................... 480 9,400 o FINISH LINE, INC (CLASS A) ............ 106 23,100 o FOOTSTAR, INC ......................... 859 8,000 o GADZOOKS, INC ......................... 128 314,232 GAP, INC .............................. 15,829 34,900 o GENESCO, INC .......................... 508 700 o GOODYS FAMILY CLOTHING, INC ........... 8 1,400 o GYMBOREE CORP ......................... 15 12,075 INTIMATE BRANDS, INC (CLASS A) ........ 572 50 o JUST FOR FEET, INC .................... 0 11,806 LIMITED, INC .......................... 536 2,836 o MENS WAREHOUSE, INC ................... 72 3,500 NORDSTROM, INC ........................ 117 8,287 o PACIFIC SUNWEAR CALIFORNIA, INC ....... 202 8,400 o PAYLESS SHOESOURCE, INC ............... 449 26,200 ROSS STORES, INC ...................... 1,320 1,000 o STAGE STORES, INC ..................... 7 400 o STEIN MART, INC ....................... 4 161,077 TJX COS, INC .......................... 5,366 300 o URBAN OUTFITTERS, INC ................. 8 6,400 o WET SEAL, INC (CLASS A) ............... 183 ----------- 29,892 ----------- APPAREL AND OTHER TEXTILE PRODUCTS--0.03% 1,300 o DONNA KARAN INTERNATIONAL, INC ........ 13 2,475 o GUESS ?, INC .......................... 34 46,838 o JONES APPAREL GROUP, INC .............. 1,607 5,300 o NAUTICA ENTERPRISES, INC .............. 89 7,000 OSHKOSH B'GOSH, INC (CLASS A) ......... 148 11,900 o POLO RALPH LAUREN CORP ................ 226 3,219 o QUIKSILVER, INC ....................... 84 21,300 WARNACO GROUP, INC (CLASS A) .......... 570 ------------ 2,771 ------------ AUTO REPAIR, SERVICES AND PARKING--0.01% 6,881 o AVIS RENT A CAR, INC .................. 200 700 CENTRAL PARKING CORP .................. 24 6,900 HERTZ CORP (CLASS A) .................. 428 11,366 MIDAS, INC ............................ 323 ----------- 975 ----------- AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.04% 91,300 o AUTONATION, INC ....................... 1,626 51,942 o AUTOZONE, INC ......................... 1,565 13,599 o CSK AUTO CORP ......................... 367 2,400 o GROUP 1 AUTOMOTIVE, INC ............... 51 3,200 o OREILLY AUTOMOTIVE, INC ............... 161 ------------ 3,770 ------------ BUILDING MATERIALS AND GARDEN SUPPLIES--0.54% 11,070 FASTENAL CO ........................... 580 699,170 HOME DEPOT, INC ....................... 45,053 162,425 LOWES COS, INC ........................ 9,207 ------------ 54,840 ------------ BUSINESS SERVICES--12.80% 7,100 AARON RENTS, INC ...................... 158 2,300 o ABACUS DIRECT CORP .................... 210 1,200 o ABM INDUSTRIES, INC ................... 37 29,350 o ACCLAIM ENTERTAINMENT, INC ............ 187 3,100 o ACKERLEY GROUP, INC ................... 56 18,660 o ACXIOM CORP ........................... 465 2,400 o ADMINSTAFF, INC ....................... 38 13,080 ADOBE SYSTEMS, INC .................... 1,075 See notes to financial statements. 55 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (00) --------- ------ BUSINESS SERVICES--12.80% 4,400 o ADVANTAGE LEARNING SYSTEMS, INC ....... $ 97 1,600 o ADVENT SOFTWARE, INC .................. 107 2,100 o ADVO, INC ............................. 44 20,527 o AFFILIATED COMPUTER SERVICES, INC (CLASS A) ............................ 1,039 19,500 o ALTERNATIVE RESOURCES CORP ............ 137 800,669 AMERICA ONLINE, INC ................... 88,474 30,575 o AMERICAN MANAGEMENT SYSTEMS, INC ...... 980 6,000 ANALYSTS INTERNATIONAL CORP ........... 86 11,300 o ANSWERTHINK CONSULTING GROUP .......... 285 26,300 o APAC TELESERVICES, INC ................ 85 12,600 o ASPECT DEVELOPMENT, INC ............... 233 7,000 o ASPEN TECHNOLOGY, INC ................. 82 1,420 AUTODESK, INC ......................... 42 257,274 AUTOMATIC DATA PROCESSING, INC ........ 11,320 10,180 o AVANT CORP ............................ 129 4,600 o AVT CORP .............................. 174 5,800 o AXENT TECHNOLOGIES, INC ............... 65 67 o AZTEC TECHNOLOGY PARTNERS, INC ........ 0 700 o BARRA, INC ............................ 18 21,800 o BEA SYSTEMS, INC ...................... 623 3,300 o BILLING CONCEPTS CORP ................. 37 9,650 o BISYS GROUP, INC ...................... 565 1,173,823 o BMC SOFTWARE, INC ..................... 63,386 12,500 o BORG-WARNER SECURITY CORP ............. 254 17,900 o BROADVISION, INC ...................... 1,320 121,700 o CADENCE DESIGN SYSTEMS, INC ........... 1,552 10,700 o CAMBRIDGE TECHNOLOGY PARTNERS, INC .... 188 3,400 o CARIBINER INTERNATIONAL, INC .......... 21 5,000 o CATALINA MARKETING CORP ............... 460 5,700 o CCC INFORMATION SERVICES GROUP, INC ... 73 9,700 o CDI CORP .............................. 330 49,100 o CENTURY BUSINESS SERVICES, INC ........ 712 1,449,500 o CERIDIAN CORP ......................... 47,381 1,300 o CERNER CORP ........................... 27 14,460 o CHECKFREE HOLDINGS CORP ............... 399 7,100 o CHOICEPOINT, INC ...................... 477 17,816 o CIBER, INC ............................ 341 36,440 o CITRIX SYSTEMS, INC ................... 2,059 6,500 o CLARIFY, INC .......................... 268 31,476 o CMGI, INC ............................. 3,590 14,800 o CNET, INC ............................. 853 4,400 o COMDISCO, INC ......................... 113 10,000 o COMPLETE BUSINESS SOLUTIONS, INC ...... 179 217,077 COMPUTER ASSOCIATES INTERNATIONAL, INC ................... 11,939 8,065 o COMPUTER HORIZONS CORP ................ 111 78,518 o COMPUTER SCIENCES CORP ................ 5,432 8,678 COMPUTER TASK GROUP, INC .............. 148 1,839,140 o COMPUWARE CORP ........................ 58,508 45 o COMSHARE, INC ......................... 0 6,400 o CONCORD COMMUNICATIONS, INC ........... 288 56,820 o CONVERGYS CORP ........................ 1,094 2,300 o CORT BUSINESS SERVICES CORP ........... 55 6,600 o COTELLIGENT, INC ...................... 52 34,700 o CSG SYSTEMS INTERNATIONAL, INC ........ 909 8,100 o DATA PROCESSING RESOURCES CORP ........ 191 14,600 o DATASTREAM SYSTEMS, INC ............... 234 12,000 o DBT ONLINE, INC ....................... 393 1,700 o DELTEK SYSTEMS, INC ................... 17 4,900 o DENDRITE INTERNATIONAL, INC ........... 177 2,800 o DOCUMENTUM, INC ....................... 37 13,102 o DOUBLECLICK, INC ...................... 1,202 10,900 o DST SYSTEMS, INC ...................... 685 7,700 o EARTHLINK NETWORK, INC ................ 473 7,800 o ELECTRO RENT CORP ..................... 84 26,600 o ELECTRONIC ARTS, INC .................. 1,443 875,700 ELECTRONIC DATA SYSTEMS CORP .......... 49,532 23,800 o ELECTRONICS FOR IMAGING, INC .......... 1,223 2,000 o ENGINEERING ANIMATION, INC ............ 42 56,100 EQUIFAX, INC .......................... 2,002 50 o EXCALIBUR TECHNOLOGIES CORP ........... 1 47,930 o EXCITE AT HOME ........................ 2,585 3,948 o FACTSET RESEARCH SYSTEMS, INC ......... 224 10,685 FAIR ISSAC & CO, INC .................. 375 5,397 o FILENET CORP .......................... 62 176,561 FIRST DATA CORP ....................... 8,640 40,412 o FISERV, INC ........................... 1,265 7,000 o GENERAL MAGIC, INC .................... 25 11,700 o GENESYS TELECOMMunications LABoratories, INC .................... 293 300 o GEOWORKS CORP ......................... 1 2,900 o GERBER SCIENTIFIC, INC ................ 64 5,400 o GETTY IMAGES, INC ..................... 102 2,500 o GREAT PLAINS SOFTWARE, INC ............ 118 9,200 o GT INTERACTIVE SOFTWARE CORP .......... 32 21,900 o GTECH HOLDINGS CORP ................... 516 5,000 o HTE, INC .............................. 17 8,100 o HARBINGER CORP ........................ 101 6,940 o HNC SOFTWARE .......................... 214 6,190 o HYPERION SOLUTIONS CORP ............... 110 6,800 o I2 TECHNOLOGIES, INC .................. 292 1,000 o IDX SYSTEMS CORP ...................... 23 10,200 o IMRGLOBAL CORP ........................ 196 102,412 IMS HEALTH, INC ....................... 3,200 1,800 o INACOM CORP ........................... 23 23,400 o INDUS INTERNATIONAL, INC .............. 101 7,500 o INDUSTRI-MATEMATIK INTERNATIONAL CORP ................... 18 7,700 o INFORMATION ARCHITECTS CORP ........... 18 54,800 o INFORMIX CORP ......................... 468 10,500 o INFOSEEK CORP ......................... 503 23,900 o INFOUSA, INC (CLASS B) ................ 203 12,000 o INPRISE CORP .......................... 59 3,200 o INSPIRE INSURANCE SOLUTIONS, INC ...... 46 4,000 o INTEGRATED SYSTEMS, INC ............... 47 17,400 o INTERIM SERVICES, INC ................. 359 22,400 o INTERNATIONAL NETWORK SERVICES ........ 904 34,400 o INTERNATIONAL TELECOMMUNICATIONS ...... 550 57,912 INTERPUBLIC GROUP OF COS, INC ......... 5,017 19,650 o INTUIT, INC ........................... 1,771 5,300 o ISS GROUP, INC ........................ 200 2,289,900 o J.D. EDWARDS & CO ..................... 42,363 3,300 o JACK HENRY & ASSOCIATES, INC .......... 130 7,650 o JDA SOFTWARE GROUP, INC ............... 71 15,900 o KEANE, INC ............................ 360 10,680 KELLY SERVICES, INC (CLASS A) ......... 343 15,200 o LABOR READY, INC ...................... 494 21,200 o LAMAR ADVERTISING CO (CLASS A) ........ 868 12,880 o LEGATO SYSTEMS, INC ................... 744 9,200 o LHS GROUP, INC ........................ 305 19,231 o LYCOS, INC ............................ 1,767 16,500 o MACROMEDIA, INC ....................... 582 4,100 o MANHATTAN ASSOCIATES, INC ............. 34 38,401 MANPOWER, INC ......................... 869 8,400 o MANUGISTICS GROUP, INC ................ 122 3,900 o MAPICS, INC ........................... 41 56 See notes to financial statements. GROWTH ACCOUNT (CONTINUED) VALUE SHARES (00) --------- ------ BUSINESS SERVICES--(CONTINUED) 14,567 o MASTECH CORP .......................... $ 271 6,400 MCGRATH RENTCORP ...................... 128 2,100 o MEDICAL MANAGER CORP .................. 93 22,300 o MEDQUIST, INC ......................... 976 4,000 o MEMBERWORKS, INC ...................... 116 47 o MERANT PLC ADR ........................ 1 14,000 o MERCURY INTERACTIVE CORP .............. 495 19,100 o METAMOR WORLDWIDE, INC ................ 460 10,000 o METRO INFORMATION SERVICES, INC ....... 166 200 o METRO NETWORKS, INC ................... 11 5,200 o MICROMUSE, INC ........................ 259 5,617,268 o MICROSOFT CORP ........................ 506,607 2,600 o MIDWAY GAMES, INC ..................... 34 15,200 o MINDSPRING ENTERPRISES, INC ........... 674 42,900 o MODIS PROFESSIONAL SERVICES ........... 590 1 o MOMENTUM BUSINESS APPLICANTS, INC ..... 0 4,900 NATIONAL COMPUTER SYSTEMS, INC ........ 165 13,500 NATIONAL DATA CORP .................... 577 8,700 o NCO GROUP, INC ........................ 331 23,600 o NETWORK APPLIANCE, INC ................ 1,319 3,700 o NETWORK SOLUTIONS, INC ................ 293 57,094 o NETWORKS ASSOCIATES, INC .............. 839 5,600 o NEW ERA OF NETWORKS, INC .............. 246 16,200 o NIELSEN MEDIA RESEARCH ................ 474 67 NORRELL CORP .......................... 1 40,900 o NOVA CORP (GEORGIA) ................... 1,023 20,700 o NOVACARE EMPLOYEE SERVICES, INC ....... 57 5,250 o NOVELL, INC ........................... 139 4,000 o OBJECTIVE SYSTEMS INTEGRATORS, INC .... 11 944,289 OMNICOM GROUP, INC .................... 75,543 3,300 o ON ASSIGNMENT, INC .................... 86 2,000 o ONSALE, INC ........................... 38 16,000 o OPEN MARKET, INC ...................... 227 5,277,905 o ORACLE CORP ........................... 195,942 26,900 o OUTDOOR SYSTEMS, INC .................. 982 104,934 o PARAMETRIC TECHNOLOGY CORP ............ 1,456 108,555 PAYCHEX, INC .......................... 3,460 3,400 o PAYMENTECH, INC ....................... 86 3,000 o PEGASUS SYSTEMS, INC .................. 112 60,475 o PEOPLESOFT, INC ....................... 1,043 9,800 o PEREGRINE SYSTEMS, INC ................ 252 4,400 o PERSONNEL GROUP OF AMERICA, INC ....... 44 2,400 #o PHYSICIAN COMPUTER NETWORK, INC ....... 1 13,191 PITTSTON BRINKS GROUP CO .............. 353 11,955 o POLICY MANAGEMENT SYSTEMS CORP ........ 359 8,200 o PREVIEW TRAVEL, INC ................... 180 31,572 #o PROCURENET, INC ....................... 5 26,050 o PROGRESS SOFTWARE CORP ................ 736 2,100 o PROJECT SOFTWARE & DEVELOPMENT, INC ... 66 6,800 o PROTECTION ONE, INC ................... 37 31,900 o PSINET, INC ........................... 1,396 12,100 o QAD, INC .............................. 37 7,200 o QRS CORP .............................. 562 15,300 o QUADRAMED CORP ........................ 124 1,500 o RADIANT SYSTEMS, INC .................. 21 42,529 o RATIONAL SOFTWARE CORP ................ 1,401 7,600 o REALNETWORKS, INC ..................... 523 8,880 o REMEDY CORP ........................... 239 15,700 o RENT WAY, INC ......................... 387 4,600 o RENT-A-CENTER, INC .................... 110 3,600 o RENTAL SERVICE CORP ................... 103 28,842 o ROBERT HALF INTERNATIONAL, INC ........ 750 13,242 ROLLINS, INC .......................... 211 22,586 o ROMAC INTERNATIONAL, INC .............. 200 700 o RWD TECHNOLOGIES, INC ................. 7 10,584 o SABRE GROUP HOLDINGS, INC ............. 728 11,600 o SAGA SYSTEMS, INC ..................... 148 3,200 o SANCHEZ COMPUTER ASSOCIATES, INC ...... 111 5,100 o SAPIENT CORP .......................... 289 11,000 SEI INVESTMENT CO ..................... 971 13,507 SHARED MEDICAL SYSTEMS CORP ........... 881 27,948 o SIEBEL SYSTEMS, INC ................... 1,853 51,353 o SITEL CORP ............................ 151 53,500 o SNYDER COMMUNICATIONS, INC ............ 1,752 3,800 o SOS STAFFING SERVICES, INC ............ 20 9,800 SOTHEBYS HOLDINGS, INC (CLASS A) ...... 374 5,800 o SPORTSLINE U.S.A., INC ................ 208 6,550 o SPR, INC .............................. 35 9,500 o SS&C TECHNOLOGIES, INC ................ 72 44,100 o STERLING COMMERCE, INC ................ 1,610 15,543 o STERLING SOFTWARE, INC ................ 415 15,940 o STRUCTURAL DYNAMICS RESEARCH CORP ..... 296 343,810 o SUN MICROSYSTEMS, INC ................. 23,680 64,400 o SUNGARD DATA SYSTEMS, INC ............. 2,222 11,200 o SYKES ENTERPRISES, INC ................ 374 28,743 o SYMANTEC CORP ......................... 733 24,302 o SYNOPSYS, INC ......................... 1,341 20,900 o SYNTEL, INC ........................... 188 12,700 o SYSTEM SOFTWARE ASSOCIATES, INC ....... 21 13,100 o SYSTEMS & COMPUTER TECHNOLOGY CORP .... 191 200 o TCSI CORP ............................. 1 7,100 o TECHNOLOGY SOLUTIONS CO ............... 77 5,600 o TELETECH HOLDINGS, INC ................ 57 8,600 o TMP WORLDWIDE, INC .................... 546 20,300 TOTAL SYSTEM SERVICES, INC ............ 386 9,720 o TRANSACTION SYSTEM ARCHITECTURE ....... 379 28,504 TRUE NORTH COMMUNICATIONS, INC ........ 855 4,400 o TYLER TECHNOLOGIES, INC ............... 30 39,259 o UNITED RENTALS, INC ................... 1,158 23,350 o USWEB CORP ............................ 518 7,900 o VANTIVE CORP .......................... 90 2,600 o VERIO, INC ............................ 181 1,800 o VERISIGN, INC ......................... 155 22,300 o VERITAS SOFTWARE CORP ................. 2,117 3,020 o VIASOFT, INC .......................... 11 13,000 o VISIO CORP ............................ 495 4,900 o WACKENHUT CORP SERIES A ............... 146 16,200 o WEST TELESERVICES CORP ................ 152 4,500 o WESTAFF, INC .......................... 26 7,975 o WIND RIVER SYSTEMS, INC ............... 128 63,406 o YAHOO, INC ............................ 10,922 36,700 o YOUNG & RUBICAM, INC .................. 1,668 ----------- 1,307,135 ----------- CHEMICALS AND ALLIED PRODUCTS--14.06% 1,712,336 ABBOTT LABORATORIES CO ................. 77,911 33,250 o ADVANCED TISSUE SCIENCE CO ............. 108 84 ALBERTO CULVER CO (CLASS B) ............ 2 2,300 o ALGOS PHARMACEUTICAL CORP .............. 51 10,200 o ALKERMES, INC .......................... 236 200 o ALLIANCE PHARMACEUTICAL CORP ........... 1 25,400 o ALZA CORP .............................. 1,292 2,315,563 AMERICAN HOME PRODUCTS CORP ............ 133,145 243,898 o AMGEN, INC ............................. 14,847 350 o AMYLIN PHARMACEUTICALS, INC ............ 0 8,400 o ANDRX CORP ............................. 648 8,800 o AVIRON, INC ............................ 253 119,962 AVON PRODUCTS, INC ..................... 6,658 See notes to financial statements. 57 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (00) --------- ------ CHEMICALS AND ALLIED PRODUCTS--(CONTINUED) 16,300 o AXYS PHARMACEUTICALS, INC .............. $ 55 500 o BARR LABORATORIES, INC ................. 20 11,300 o BIO-TECHNOLOGY GENERAL CORP ............ 73 58,200 o BIOGEN, INC ............................ 3,743 2,800 o BIOMATRIX, INC ......................... 61 1,978,646 BRISTOL MYERS SQUIBB CO ................ 139,371 8,000 o CABOT CORP ............................. 194 700 o CADUS PHARMACEUTICAL CORP .............. 1 13,300 CAMBREX CORP ........................... 349 2,400 o CARBIDE/GRAPHITE GROUP, INC ............ 34 40,209 o CELL GENESYS, INC ...................... 171 17 o CELL PATHWAYS, INC ..................... 0 33,800 o CENTOCOR, INC .......................... 1,576 20,500 o CEPHALON, INC .......................... 356 2,600 o CHATTEM, INC ........................... 83 7,700 o CHIREX, INC ............................ 247 30,816 o CHIRON CORP ............................ 639 6,200 o CHURCH & DWIGHT CO, INC ................ 270 29,155 CLOROX CO .............................. 3,114 120,802 COLGATE PALMOLIVE CO ................... 11,929 7,200 o COLUMBIA LABORATORIES, INC ............. 62 12,200 o COR THERAPEUTICS, INC .................. 180 10,800 o COULTER PHARMACEUTICAL, INC ............ 244 280 o CREATIVE BIOMOLECULES, INC ............. 1 95 o CRESCENDO PHARMACEUTICALS CORP ......... 2 54,152 o CROMPTON & KNOWLES CORP ................ 1,059 21,060 o CYTEC INDUSTRIES, INC .................. 671 29,400 DIAL CORP .............................. 1,093 124,292 DU PONT (E.I.) DE NEMOURS & CO ......... 8,491 10,150 o DURA PHARMACEUTICALS, INC .............. 121 47,501 ECOLAB, INC ............................ 2,072 3,840,800 o ELAN CORP PLC ADR ...................... 106,582 200 o EPITOPE, INC ........................... 1 15,132 FERRO CORP ............................. 416 21,000 o FOREST LABORATORIES, INC ............... 971 1,900 o FRENCH FRAGRANCES, INC ................. 14 7,900 o FUISZ TECHNOLOGIES LTD ................. 26 6,000 o GELTEX PHARMACEUTICALS, INC ............ 108 19,700 o GENZYME CORP (GENERAL DIVISION) ........ 955 24 o GENZYME CORP (TISSUE REPAIR DIVISION) .. 0 16,400 o GILEAD SCIENCES, INC ................... 857 45,400 o GRACE W.R. & CO ........................ 834 1,392,100 +o GUILFORD PHARMACEUTICALS, INC .......... 17,749 18,846 HERCULES, INC .......................... 741 12,500 o HESKA CORP ............................. 29 11,500 o HUMAN GENOME SCIENCES, INC ............. 454 3 ICN PHARMACEUTICALS, INC ............... 0 23,800 o ICOS CORP .............................. 971 5,800 o IDEC PHARMACEUTICALS CORP .............. 447 7,800 o IDEXX LABORATORIES, INC ................ 182 2,600 o IGEN INTERNATIONAL, INC ................ 76 30 IMC GLOBAL, INC ........................ 1 2,233 o IMC GLOBAL, INC WTS 12/22/00 ........... 1 9,700 o IMCLONE SYSTEMS, INC ................... 246 11,400 o IMMUNE RESPONSE CORP ................... 61 17,500 o IMMUNEX CORP ........................... 2,230 3,700 o INHALE THERAPEUTIC SYSTEMS ............. 88 37,320 o ISIS PHARMACEUTICALS, INC .............. 380 4,533 o IVAX CORP .............................. 64 931,213 JOHNSON & JOHNSON CO ................... 91,259 5,100 JONES PHARMACEUTICAL, INC .............. 201 5,750 o KV PHARMACEUTICAL CO (CLASS B) ......... 91 63,954 LAUDER (ESTEE) CO (CLASS A) ............ 3,206 16,540 o LIGAND PHARMACEUTICALS CO (CLASS A) .... 184 1,462,162 LILLY (ELI) & CO ....................... 104,727 4,719 LILLY INDUSTRIES, INC (CLASS A) ........ 88 27,000 o LIPOSOME CO, INC ....................... 516 66 LYONDELL CHEMICAL CO ................... 1 600 MACDERMID, INC ......................... 28 5,100 o MACROCHEM CORP (DELAWARE) .............. 30 50 o MATRIX PHARMACEUTICALS, INC ............ 0 5,600 o MCWHORTER TECHNOLOGIES, INC ............ 81 11,300 o MEDICIS PHARMACEUTICAL CORP (CLASS A) ............................. 287 36,700 o MEDIMMUNE, INC ......................... 2,486 3,701,610 * MERCK & CO, INC ........................ 273,919 13,300 o MILLENNIUM PHARMACEUTICALS, INC ........ 479 10,800 o MIRAVANT MEDICAL TECHNOLOGY ............ 77 320,463 MONSANTO CO ............................ 12,638 52,829 MYLAN LABORATORIES, INC ................ 1,400 10,300 NATURES SUNSHINE PRODUCTS, INC ......... 108 5,300 o NBTY, INC .............................. 34 9,200 o NEXSTAR PHARMACEUTICALS, INC ........... 183 80 o NOVEN PHARMACEUTICALS, INC ............. 0 11,000 o ORGANOGENESIS, INC ..................... 103 5,700 o PATHOGENESIS CORP ...................... 81 803,226 PFIZER, INC ............................ 88,154 6,400 o PHARMACYCLICS, INC ..................... 179 3,996 PRAXAIR, INC ........................... 196 872,298 PROCTER & GAMBLE CO .................... 77,853 6,100 o PROTEIN DESIGN LABORATORIES, INC ....... 135 100 o REGENERON PHARMACEUTICALS, INC ......... 1 8,400 o REVLON, INC (CLASS A) .................. 254 17,300 o REXALL SUNDOWN, INC .................... 211 1,100 o ROGERS CORP ............................ 32 30 o ROHM & HAAS CO ......................... 1 62 RPM, INC ............................... 1 6,300 o SANGSTAT MEDICAL CORP .................. 109 7,800 o SCHEIN PHARMACEUTICAL, INC ............. 94 3,002,932 SCHERING-PLOUGH CORP ................... 159,155 6,300 o SCOTTS CO (CLASS A) .................... 300 6,450 o SEROLOGICALS CORP ...................... 52 3,078 o SICOR, INC ............................. 13 1,800 STEPAN CO .............................. 46 19,400 o SUGEN, INC ............................. 572 6,800 o SUPERGEN, INC .......................... 104 6,100 o TECHNE CORP ............................ 155 5,000 o THERAGENICS CORP ....................... 35 14,000 o TRANSKARYOTIC THERAPIES, INC ........... 462 20,800 o TRIANGLE PHARMACEUTICALS, INC .......... 374 8,100 o TWINLAB CORP ........................... 70 8,800 o U.S. BIOSCIENCE, INC ................... 86 14,400 VALSPAR CORP ........................... 547 2,540 o VERTEX PHARMACEUTICALS, INC ............ 61 7,200 o VICAL, INC ............................. 87 16,200 o VIROPHARMA, INC ........................ 125 957,024 WARNER-LAMBERT CO ...................... 66,394 33,000 o WATSON PHARMACEUTICALS, INC ............ 1,157 12,938 o ZILA, INC .............................. 39 7,800 o ZONAGEN, INC ........................... 72 ----------- 1,435,251 ----------- COMMUNICATIONS--15.95% 10,100 o @ENTERTAINMENT, INC .................... 189 12,700 o ADELPHIA COMMUNICATIONS CORP (CLASS A) ............................. 808 14,000 ALIANT COMMUNICATIONS, INC ............. 647 58 See notes to financial statements. GROWTH ACCOUNT (CONTINUED) VALUE SHARES (00) --------- ------ COMMUNICATIONS--(CONTINUED) 30,215 ALLTEL CORP ............................ $ 2,160 12,600 o AMERICAN MOBILE SATELLITE CORP ......... 206 42 AMERITECH CORP ......................... 3 66 o ARCH COMMUNICATIONS GROUP, INC ......... 1 50 o ASSOCIATED GROUP, INC (CLASS A) ........ 3 50 o ASSOCIATED GROUP, INC (CLASS B) ........ 3 3,551,648 AT & T CORP ............................ 198,226 394,482 o AT & T CORP-LIBERTY MEDIA GROUP (CLASS A) ............................. 14,497 69,400 BELL ATLANTIC CORP ..................... 4,537 14,496 o CABLEVISION SYSTEMS CORP group (CLASS A) ............................. 1,015 12,161 o CAPSTAR BROADCASTING CORP (CLASS A) .... 333 3,419,716 o CBS CORP ............................... 148,544 8,700 o CD RADIO, INC .......................... 265 8,700 o CELLULAR COMMUNICATIONS OF PUERTO RICO ........................ 248 3,400 CFW COMMUNICATIONS CO .................. 82 3,558,500 o CHANCELLOR MEDIA CORP (CLASS A) ........ 196,162 53,020 CINCINNATI BELL, INC ................... 1,322 2,168,024 o CLEAR CHANNEL COMMUNICATIONS, INC ...... 149,458 5,100 o COM21, INC ............................. 87 18,400 COMCAST CORP (CLASS A) ................. 659 215,566 COMCAST CORP (CLASS A) SPECIAL ......... 8,286 1,500 o COMMNET CELLULAR, INC .................. 39 1,233 o COMMONWEALTH TELEPHONE ENTERPRISES ........................... 50 20,600 o CONCENTRIC NETWORK CORP ................ 819 11,602 o COX COMMUNICATIONS, INC (CLASS A) ...... 427 7,600 o COX RADIO, INC (CLASS A) ............... 412 20,200 o E.SPIRE COMMUNICATIONS, INC ............ 213 3,900 o ELECTRIC LIGHTWAVE, INC (CLASS A) ...... 51 2,700 o EMMIS COMMUNICATIONS (CLASS A) ......... 133 1,619,000 ERICSSON TELEFON (LM) SERIES B ADR ..... 53,326 7,600 o EXODUS COMMUNICATIONS, INC ............. 912 50,270 FRONTIER CORP .......................... 2,966 27,000 o GLOBAL TELESYSTEMS GROUP, INC .......... 2,187 1,400 GRAY COMMUNICATIONS SYSTEMS, INC ....... 28 77,382 GTE CORP ............................... 5,862 43,600 o HEARST-ARGYLE TELEVISION, INC .......... 1,046 20,700 o HISPANIC BROADCASTING CORP ............. 1,571 18,798 o ICG COMMUNICATIONS, INC ................ 402 8,000 o IDT CORP ............................... 178 15,500 o INTERMEDIA COMMUNICATIONS, INC ......... 465 17,600 o ITC DELTACOM, INC ...................... 493 200 o IXC COMMUNICATIONS, INC ................ 8 5,000 o JACOR COMMUNICATIONS, INC WTS 09/18/01 .......................... 55 6,800 o JONES INTERCABLE, INC (CLASS A) ........ 333 2,000 o LCC INTERNATIONAL, INC (CLASS A) ....... 9 50 o LEAP WIRELESS INTERNATIONAL, INC ....... 1 13,700 o LEVEL 3 COMMUNICATIONS, INC ............ 823 2,834,635 LUCENT TECHNOLOGIES, INC ............... 191,161 4,876,291 o MCI WORLDCOM, INC ...................... 419,666 4,200 o MCLEODUSA, INC (CLASS A) ............... 231 87,464 o MEDIA ONE GROUP, INC ................... 6,505 18,100 o METROMEDIA FIBER NETWORK (CLASS A) ..... 650 85,600 o NETWORK PLUS CORP ...................... 1,787 22,900 o NEXTLINK COMMUNICATIONS, INC ........... 1,703 5,700 NORTH PITTSBURGH SYSTEMS, INC .......... 97 26,000 o NTL, INC ............................... 2,241 1,307,400 o OMNIPOINT CORP ......................... 37,833 1,200 o PACIFIC GATEWAY EXCHANGE, INC .......... 35 16,200 o PAGEMART WIRELESS, INC (CLASS A) ....... 123 121,500 o PAGING NETWORK, INC .................... 585 5,087 o PANAMSAT CORP .......................... 198 3,500 o PEGASUS COMMUNICATIONS CORP ............ 138 15,800 o PREMIERE TECHNOLOGIES, INC ............. 182 16,900 o PRIMUS TELECOMMUNICATIONS GROUP, INC ... 379 67,336 o QWEST COMMUNICATIONS INTERNATIONAL , INC ................... 2,226 14,400 o RCN CORP ............................... 599 1,387,595 SBC COMMUNICATIONS, INC ................ 80,481 8,300 o SINCLAIR BROADCASTING GROUP, INC (CLASS A ) ................. 136 26,900 o SKYTEL COMMUNICATIONS, INC ............. 563 12,800 SPRINT CORP (FON GROUP) ................ 676 73,400 o SPRINT CORP (PCS GROUP) ................ 4,193 7,600 o STAR TELECOMMUNICATIONS, INC ........... 59 21,900 o TALK.COM, INC .......................... 246 12,700 TCA CABLE TV, INC ...................... 705 60 o TCI SATELLITE ENTERTAINMENT (CLASS A) .. 0 7,212 TELEPHONE & DATA SYSTEMS, INC .......... 527 2,400 o TELIGENT, INC .......................... 144 1,100 o TRANSACTION NETWORK SERVICES, INC ...... 32 12,400 o TV GUIDE, INC .......................... 454 6,400 o U.S. CELLULAR CORP ..................... 342 4,400 o U.S. LEC CORP (CLASS A) ................ 99 2,300 o U.S. SATELLITE BROADCASTING, INC (CLASS A) ............................. 42 67 o U.S.A. NETWORKS, INC ................... 3 15,900 o UNITED INTERNATIONAL HOLDINGS, INC ..... 1,075 4,500 UNITED TELEVISION, INC ................. 472 19,800 o UNIVISION COMMUNICATIONS, INC .......... 1,307 24,392 o VIACOM, INC (CLASS A) .................. 1,076 60,608 o VIACOM, INC (CLASS B) .................. 2,667 123,520 o VODAFONE GROUP PLC ADR ................. 24,333 39,400 o VOICESTREAM WIRELESS CORP .............. 1,120 23,895 o WAVO CORP .............................. 152 33,800 o WESTERN WIRELESS CORP (CLASS A) ........ 913 791,900 o WINSTAR COMMUNICATIONS, INC ............ 38,605 7,200 o YOUNG BROADCASTING, INC (CLASS A) ...... 306 ----------- 1,627,617 ----------- DEPOSITORY INSTITUTIONS--0.71% 6,600 ALABAMA NATIONAL BANCORP ............... 165 11,100 ANCHOR BANCORP WISCONSIN, INC .......... 198 1,400 ANDOVER BANCORP, INC ................... 44 1,000 AREA BANCSHARES CORP ................... 27 6 o BANCFIRST CORP ......................... 0 3,000 BANCFIRST OHIO CORP .................... 74 3,700 BANK OF GRANITE CORP ................... 91 38,500 BANK OF NEW YORK CO, INC ............... 1,412 56,241 BANK ONE CORP .......................... 3,350 7,500 BANKNORTH GROUP, INC ................... 248 13,760 BRENTON BANKS, INC ..................... 213 1,900 CATHAY BANCORP, INC .................... 81 8,350 o CENTENNIAL BANCORP ..................... 115 1,400 CENTURY SOUTH BANKS, INC ............... 32 500 CFSB BANCORP, INC ...................... 12 4,137 CHITTENDEN CORP ........................ 129 5,666 CITY HOLDINGS CO ....................... 164 100 o CNB BANCSHARES, INC .................... 6 2,415 o COLUMBIA BANKING SYSTEM, INC ........... 37 22,000 COMMUNITY FIRST BANKSHARES, INC ........ 525 36,852 o CONCORD EFS, INC ....................... 1,559 11,180 CULLEN FROST BANKERS, INC .............. 308 4,585 CVB FINANCIAL CORP ..................... 119 2,580 F & M BANCORP, INC (WISCONSIN) ......... 97 See notes to financial statements. 59 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (00) --------- ------ DEPOSITORY INSTITUTIONS--(CONTINUED) 6,300 FARMERS CAPITAL BANK CORP .............. $ 224 75,575 FIFTH THIRD BANCORP .................... 5,030 14,117 FIRST BANCORP (PUERTO RICO) ............ 319 3,100 FIRST CHARTER CORP ..................... 77 10,800 o FIRST FINANCIAL BANCORP ................ 244 1,600 FIRST FINANCIAL HOLDINGS, INC .......... 30 11,400 FIRST SENTINEL BANCORP, INC ............ 101 1,700 o FIRST SOURCE CORP ...................... 54 193,804 FIRSTAR CORP ........................... 5,427 82 FLEET FINANCIAL GROUP, INC ............. 4 2,700 FRONTIER FINANCIAL CORP ................ 66 8,200 GBC BANCORP ............................ 166 3,700 GOLD BANC CORP, INC .................... 49 2,500 GREATER BAY BANCORP .................... 83 13,798 GREENPOINT FINANCIAL CORP .............. 453 5,700 o HAMILTON BANCORP, INC .................. 137 100 HARLEYSVILLE NATIONAL CORP ............. 4 2,100 o HARRIS FINANCIAL, INC .................. 23 21,268 HUDSON UNITED BANCORP .................. 651 30,745 o IMPERIAL BANCORP ....................... 609 26,400 INDEPENDENCE COMMUNITY BANK CORP ....... 356 2,000 INTERNATIONAL BANCSHARES CORP .......... 85 3,400 JEFFERSON SAVINGS BANCORP, INC ......... 47 1,800 MAHONING NATIONAL BANCORP, INC ......... 79 321,170 MBNA CORP .............................. 9,836 35,292 MELLON BANK CORP ....................... 1,284 5,600 MERCHANTS NEW YORK BANCORP, INC ........ 188 2,200 MISSISSIPPI ValleY BANCSHARES .......... 73 1,500 NATIONAL BANCORP OF ALASKA, INC ........ 40 5,000 NATIONAL CITY BANCSHARES, INC .......... 160 12,200 NATIONAL COMMERCE BANCORP .............. 267 7,700 NATIONAL PENN BANCSHARES, INC .......... 181 44,000 NORTH FORK BANCORP, INC ................ 938 13,900 NORTHERN TRUST CORP .................... 1,348 5,100 NORTHWEST BANCORP, INC ................. 51 11,880 OLD NATIONAL BANCORP ................... 357 2,100 ORIENTAL FINANCIAL GROUP ............... 51 11,900 PACIFIC CAPITAL BANCORP ................ 375 2,597 PARK NATIONAL CORP ..................... 260 800 PEOPLES BANCORP, INC ................... 8 200 PEOPLES HOLDINGS CO .................... 7 7,700 PREMIER BANCSHARES, INC ................ 141 2,000 PRIME BANCORP, INC ..................... 55 2,200 PRIME BANCSHARES, INC .................. 39 74,902 PROVIDIAN FINANCIAL CORP ............... 7,003 3,950 QUEENS COUNTY BANCORP, INC ............. 128 5,300 REPUBLIC BANCORP, INC .................. 80 3,000 REPUBLIC SECURITY FINANCIAL CORP ....... 25 25,340 ROSLYN BANCORP, INC .................... 436 8,900 S & T BANCORP, INC ..................... 225 5,100 SANDY SPRING BANCORP, INC .............. 142 14,800 o SILICON VALLEY BANCSHARES .............. 366 21,117 SKY FINANCIAL GROUP, INC ............... 575 14,600 o SOUTHWEST BANCORP OF TEXAS, INC ........ 263 80 SOVEREIGN BANCORP, INC ................. 1 55,683 STATE STREET CORP ...................... 4,754 85 STATEN ISLAND BANCORP, INC ............. 2 600 STERLING BANCORP ....................... 11 8,900 STERLING BANCSHARES, INC ............... 119 1,000 STERLING FINANCIAL CORP ................ 34 3,400 SUSQUEHANNA BANCSHARES, INC ............ 60 43,800 SYNOVUS FINANCIAL CORP ................. 871 17,538 TCF FINANCIAL CORP ..................... 489 3,600 TEXAS REGIONAL BANCSHARES, INC (CLASS A) ............................. 98 7,800 TRIANGLE BANCORP, INC .................. 132 12,600 TRUST CO OF New jersey ................. 296 9,057 TRUSTCO BANK CORP ...................... 243 246,013 U.S. BANCORP ........................... 8,364 2,910 U.S.B. HOLDINGS CO, INC ................ 45 1,400 UNITED BANKSHARES, INC ................. 37 4,000 UST CORP ............................... 121 73,107 WASHINGTON MUTUAL, INC ................. 2,586 3,800 WASHINGTON TRUST BANCORP, INC .......... 68 70,576 WELLS FARGO CO ......................... 3,017 4,290 WEST COAST BANCORP (OREGON) ............ 75 6,000 WESTAMERICA BANCORP .................... 219 8,800 WESTERN BANCORP ........................ 383 25,150 WESTERNBANK PUERTO RICO ................ 329 800 WHITNEY HOLDINGS CORP .................. 32 100 WILMINGTON TRUST CORP .................. 6 900 WSFS FINANCIAL CORP .................... 13 23,300 ZIONS BANCORP .......................... 1,480 ----------- 72,111 ----------- EATING AND DRINKING PLACES--0.27% 6,300 o ADVANTICA RESTAURANT GROUP, INC ........ 22 17,140 o APPLEBEES INTERNATIONAL, INC ........... 516 100 AVADO BRANDS, INC ...................... 1 50 xo BOSTON CHICKEN, INC .................... 0 36,096 o BRINKER INTERNATIONAL, INC ............. 981 20 CBRL GROUP, INC ........................ 0 22,222 o CEC ENTERTAINMENT, INC ................. 939 3,700 CKE RESTAURANTS, INC ................... 60 4,562 o CONSOLIDATED PRODUCTS, INC ............. 82 5,300 o DAVE & BUSTERS, INC .................... 154 300 o EINSTEIN/NOAH BAGEL CORP ............... 0 5,800 xo FINE HOST CORP ......................... 2 32,904 o FOODMAKER, INC ......................... 934 1,700 HOST MARRIOTT CORP (NEW) ............... 20 3,189 o LANDRYS SEAFOOD RESTAURANTS, INC ....... 26 50 o LONE STAR STEAKHOUSE & SALOON, INC ..... 0 89,800 MARRIOTT INTERNATIONAL (CLASS A) ....... 3,356 382,512 MCDONALD'S CORP ........................ 15,803 5,100 o NPC INTERNATIONAL, INC ................. 78 27,900 o OUTBACK STEAKHOUSE, INC ................ 1,097 13,330 o PAPA JOHNS INTERNATIONAL, INC .......... 596 59 o SBARRO, INC ............................ 2 1,169 o SODEXHO MARRIOTT SERVICES, INC ......... 22 15,250 o SONIC CORP ............................. 498 9,500 o THE CHEESECAKE FACTORY CO .............. 290 17,115 o TRICON GLOBAL RESTAURANTS, INC ......... 926 3,300 o U.S. FOODSERVICE, INC .................. 141 26,800 VIAD CORP .............................. 829 5,400 o WENDYS INTERNATIONAL, INC .............. 153 ----------- 27,528 ----------- EDUCATIONAL SERVICES--0.02% 12,938 o APOLLO GROUP, INC (CLASS A) ............ 344 6,284 o COMPUTER LEARNING CENTERS, INC ......... 31 17,452 o DEVRY, INC ............................. 390 26,000 o EDUCATION MANAGEMENT CORP .............. 540 300 o EDUTREK INTERNATIONAL, INC (CLASS A) ... 1 2,700 o ITT EDUCATIONAL SERVICES, INC .......... 70 1,800 o LEARNING TREE INTERNATIONAL, INC ....... 20 2,700 o STRAYER EDUCATION, INC ................. 83 17,375 o SYLVAN LEARNING SYSTEMS, INC ........... 472 ----------- 1,951 ----------- 60 See notes to financial statements. GROWTH ACCOUNT (CONTINUED) VALUE SHARES (00) --------- ------ ELECTRIC, GAS, AND SANITARY SERVICES--2.98% 43,368 o AES CORP ............................... $ 2,521 72,930 o ALLIED WASTE INDUSTRIES, INC ........... 1,440 72,108 o AQUA ALLIANCE, INC ..................... 72 8,300 BLACK HILLS CORP ....................... 192 733,094 BROWNING FERRIS INDUSTRIES, INC ........ 31,523 14,000 o CASELLA WASTE SYSTEMS, INC (CLASS A) ... 364 12,964 DYNEGY, INC ............................ 264 2,105 INDIANA ENERGY, INC .................... 45 14,171 o MIDAMERICAN ENERGY HOLDINGS CO ......... 491 7,200 xo MOLTEN METAL TECHNOLOGY, INC ........... 0 15,200 o NEWPARK RESOURCES, INC ................. 135 1,974,446 o REPUBLIC SERVICES, INC (CLASS A) ....... 48,868 1,900 SEMCO ENERGY, INC ...................... 29 47,100 SEMPRA ENERGY .......................... 1,066 8,272 SONAT, INC ............................. 274 10,400 o SUPERIOR SERVICES, INC ................. 278 1,100 o THERMO ECOTEK CORP ..................... 9 1,128 o UNISOURCE ENERGY CORP HOLDINGS CO ...... 13 2,200 o WASTE INDUSTRIES, INC .................. 39 4,031,964 o WASTE MANAGEMENT, INC .................. 216,718 7,430 WILLIAMS COS, INC ...................... 316 ----------- 304,657 ----------- ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--12.15% 9,700 o AAVID THERMAL TECHNOLOGIES, INC ........ 219 6,020 o ACTEL CORP ............................. 89 1,900 o ADAPTIVE BROADBAND CORP ................ 42 63,060 o ADC TELECOMMUNICATIONS, INC ............ 2,873 5,635 o ADTRAN, INC ............................ 205 8,300 o ADVANCED ENERGY INDUSTRIES, INC ........ 337 14,250 o ADVANCED FIBRE COMMUNICATIONS .......... 223 6,000 o ADVANCED LIGHTING TECHNOLOGIES, INC .... 54 93,100 o ALTERA CORP ............................ 3,427 60,200 o AMERICAN POWER CONVERSION CORP ......... 1,212 5,163,648 o AMERICAN TOWER SYSTEMS (CLASS A) ....... 123,928 25,400 AMETEK, INC ............................ 584 28,400 o AMKOR TECHNOLOGY, INC .................. 291 4,300 o AMPHENOL CORP (CLASS A) ................ 171 1,378,517 o ANALOG DEVICES, INC .................... 69,184 29,675 o ANDREW CORP ............................ 562 7,800 o APPLIED MICRO CIRCUITS CORP ............ 642 12,225 o ARTESYN TECHNOLOGIES, INC .............. 271 2,000 o ARTISAN COMPONENTS, INC ................ 23 13,900 o ASPECT TELECOMMUNICATIONS CORP ......... 136 433,300 o ATMEL CORP ............................. 11,347 200 o AURA SYSTEMS, INC ...................... 0 3,900 AVX CORP ............................... 95 21 o AXIOHM TRANSACTION SOLUTIONS, INC ...... 0 13,900 o BROADCOM CORP (CLASS A) ................ 2,009 5,550 o BURR BROWN CORP ........................ 203 10,403 C&D TECHNOLOGIES, INC .................. 319 30,300 o CELLNET DATA SYSTEMS, INC .............. 273 1,100 o CHECKPOINT SYSTEMS, INC ................ 10 47,500 o CIENA CORP ............................. 1,434 25,733 o COMMSCOPE, INC ......................... 791 33,211 o COMVERSE TECHNOLOGY, INC ............... 2,507 5,000 CTS CORP ............................... 350 4,900 o CYPRESS SEMICONDUCTOR CORP ............. 81 5,000 DALLAS SEMICONDUCTOR CORP .............. 253 1,600 o DAVOX CORP ............................. 19 19,700 o DIGITAL MICROWAVE CORP ................. 251 23,400 o DII GROUP, INC ......................... 873 12,300 o DSP COMMUNICATIONS, INC ................ 355 300 o EIS INTERNATIONAL, INC ................. 1 5,000 o ELECTRO SCIENTIFIC INDUSTRIES, INC ..... 209 6,900 EMERSON ELECTRIC CO .................... 434 50 o ENERGY CONVERSION DEVICES, INC ......... 0 9,400 o EXCEL SWITCHING CORP ................... 281 600 o FIREARMS TRAINING SYSTEMS, INC ......... 1 500 FRANKLIN ELECTRIC CO, INC .............. 33 3,806,227 GENERAL ELECTRIC CO .................... 430,104 25,544 o GENERAL INSTRUMENT CORP ................ 1,086 3,400 o GENLYTE GROUP, INC ..................... 76 9,900 xo GEOTEK COMMUNICATIONS, INC ............. 0 50 o GLENAYRE TECHNOLOGIES, INC ............. 0 1,000 o HADCO CORP ............................. 40 3,500 HARMON INDUSTRIES, INC ................. 69 5,100 o HELIX TECHNOLOGY CORP .................. 122 16,800 o HMT TECHNOLOGY CORP .................... 42 4,800 o HOLOPHANE CORP ......................... 183 1,100 o HUTCHINSON TECHNOLOGY, INC ............. 31 1,500 INNOVEX, INC ........................... 21 200 o INTEGRATED SILICON SOLUTION, INC ....... 1 5,768,800 INTEL CORP ............................. 343,244 4,400 INTER-TEL, INC ......................... 80 14,786 o INTERDIGITAL COMMUNICATIONS CORP ....... 68 700 o ITI TECHNOLOGIES, INC .................. 16 7,100 o ITRON, INC ............................. 61 18,632 o JABIL CIRCUIT, INC ..................... 841 40 o KEMET CORP ............................. 1 9,050 o KOMAG, INC ............................. 30 3,800 o KOPIN CORP ............................. 91 6,400 o L-3 COMMINUCATIONS HOLDINGS, INC ....... 309 6,811 o LATTICE SEMICONDUCTOR CORP ............. 424 12,165 o LEVEL ONE COMMUNICATIONS, INC .......... 595 128,000 LINEAR TECHNOLOGY CO ................... 8,608 11,500 o LITTLEFUSE, INC ........................ 221 5,500 o LO-JACK CORP ........................... 46 379,700 o LSI LOGIC CORP ......................... 17,514 78 o MAGNETEK, INC .......................... 1 44,600 o MAXIM INTEGRATED PRODUCTS .............. 2,966 20,300 MAYTAG CO .............................. 1,415 3,300 o MICREL, INC ............................ 244 100 o MICRO LINEAR CORP ...................... 0 33,170 o MICROCHIP TECHNOLOGY, INC .............. 1,571 17,200 o MICRON TECHNOLOGY, INC ................. 693 17,200 o MMC NETWORKS, INC ...................... 770 7,632 MOLEX, INC ............................. 282 114,283 MOTOROLA, INC .......................... 10,828 2,700 o MRV COMMUNICATIONS, INC ................ 35 60 o MYLEX CORP ............................. 0 23,531 o NATIONAL SEMICONDUCTOR CORP ............ 596 9,800 o NATURAL MICROSYSTEMS CORP .............. 94 40 o NEOMAGIC CORP .......................... 0 454,000 o NOKIA OYJ ADR .......................... 41,569 3,800 o OAK INDUSTRIES, INC .................... 166 200 o OAK TECHNOLOGY, INC .................... 1 2,475 o OIS OPTICAL IMAGING SYSTEMS, INC ....... 0 13,300 o P-COM, INC ............................. 70 17,150 o PAIRGAIN TECHNOLOGIES, INC ............. 197 4 PARK ELECTROCHEMICAL CORP .............. 0 1,800 o PARKERVISION, INC ...................... 63 2,500 o PHOTRONICS, INC ........................ 61 9,100 o PLANTRONICS, INC ....................... 593 9,500 o PLEXUS CORP ............................ 286 29,800 o PMC-SIERRA, INC ........................ 1,756 10,300 o POLYCOM, INC ........................... 402 41,700 o POWERWAVE TECHNOLOGIES, INC ............ 1,345 See notes to financial statements. 61 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (00) --------- ------ ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--(CONTINUED) 25,900 o PREMISYS COMMUNICATIONS, INC ........... $ 189 6,900 o QLOGIC CORP ............................ 911 46,950 o QUALCOMM, INC .......................... 6,737 4,966 o RAMBUS, INC ............................ 458 800 o RAMTRON INTERNATIONAL CORP ............. 1 18,538 RAYCHEM CORP ........................... 686 14,500 o RAYOVAC CORP ........................... 329 11,280 o READ RITE CORP ......................... 70 31 o RECOTON CORP ........................... 0 6,150 o S3, INC ................................ 56 20,954 o SANMINA CORP ........................... 1,590 8,500 o SAWTEK, INC ............................ 390 18,900 o SCI SYSTEMS, INC ....................... 898 24,900 SCIENTIFIC-ATLANTA, INC ................ 896 3,100 o SCM MICROSYSTEMS, INC .................. 144 12,000 o SDL, INC ............................... 613 7,200 o SEMTECH CORP ........................... 375 9,700 o SENSORMATIC ELECTRONICS CORP ........... 135 4,300 o SIPEX CORP ............................. 88 6,200 o SLI, INC ............................... 167 2,900 o SMART MODULAR TECHNOLOGIES, INC ........ 50 93,798 o SOLECTRON CORP ......................... 6,255 8,000 o SPECTRA-PHYSICS LASERS, INC ............ 66 57,700 o SUNBEAM CORP ........................... 458 20 o SYMMETRICOM, INC ....................... 0 7,000 TECHNITROL, INC ........................ 226 6,100 o TEKELEC ................................ 74 33 TELEFLEX, INC .......................... 1 168,076 o TELLABS, INC ........................... 11,356 50 o TELTREND, INC .......................... 1 566,772 TEXAS INSTRUMENTS, INC ................. 82,182 32,600 THOMAS & BETTS CORP .................... 1,540 31,900 o UCAR INTERNATIONAL, INC ................ 805 15,780 o UNIPHASE CORP .......................... 2,619 1,100 o UNITRODE CORP .......................... 32 8,900 o VICOR CORP ............................. 189 63 o VISHAY INTERTECHNOLOGY, INC ............ 1 29,250 o VITESSE SEMICONDUCTOR CORP ............. 1,973 10,000 o WESTELL TECHNOLOGIES, INC (CLASS A) .... 70 17,600 o WORLD ACCESS, INC ...................... 249 376,300 o XILINX, INC ............................ 21,543 34,800 xo ZENITH ELECTRONICS CORP ................ 14 2,880 o ZOLTEK COS, INC ........................ 23 ----------- 1,240,990 ----------- ENGINEERING AND MANAGEMENT SERVICES--0.07% 1,800 o AHL SERVICES, INC ...................... 45 19,900 o CATALYTICA, INC ........................ 279 900 o DATA TRANSMISSION NETWORK CORP ......... 25 3,100 o DIAMOND TECHnology PARTNERS, INC (CLASS A) ............................. 69 13,200 DUN & BRADSTREET CORP .................. 468 2,800 o ENTREMED, INC .......................... 63 11,200 o F.Y.I., INC ............................ 351 9,600 o FIRST CONSULTING GROUP, INC ............ 102 10,100 o GARTNER GROUP, INC (CLASS A) ........... 207 8,400 o INCYTE PHARMACEUTICALS, INC ............ 222 1,000 o KENDLE INTERNATIONAL, INC .............. 16 2,400 LANDAUER, INC .......................... 71 3,400 o LASON, INC ............................. 169 10,520 o MAXIMUS, INC ........................... 302 200 o MEDAPHIS CORP .......................... 1 1,300 o META GROUP, INC ........................ 20 11,700 o METZLER GROUP, INC ..................... 323 1,200 o NFO WORLDWIDE, INC ..................... 17 4,500 o PAREXEL INTERNATIONAL CORP ............. $ 60 1,718 o PHARMACEUTICAL PRODUCT DEVELOPMENT ..... 47 2,100 o PROBUSINESS SERVICES, INC .............. 75 2,700 o PROFIT RECOVERY GROUP INTERNATIONAL .... 128 35,052 o QUINTILES TRANSNATIONAL CORP ........... 1,472 3,000 o RENAISSANCE WORLDWIDE, INC ............. 24 101,266 SERVICEMASTER CO ....................... 1,899 23,200 o STAFF LEASING, INC ..................... 299 1,000 o SUPERIOR CONSULTANT HOLDINGS CORP ...... 25 4,300 TEJON RANCH CO ......................... 109 6,000 o TETRA TECH, INC ........................ 99 1,500 o WACKENHUT CORRECTIONS CORP ............. 30 14,300 o WHITTMAN HART, INC ..................... 454 ----------- 7,471 ----------- FABRICATED METAL PRODUCTS--0.36% 1,400 o BWAY CORP .............................. 20 21,473 CHART INDUSTRIES, INC .................. 169 39,700 CRANE CO ............................... 1,248 19,883 CROWN CORK & SEAL CO, INC .............. 567 775,606 GILLETTE CO ............................ 31,800 700 o GULF ISLAND FABRICATION, INC ........... 8 1,200 HARSCO CORP ............................ 38 3,700 o LADISH CO, INC ......................... 29 73,916 MASCO CORP ............................. 2,134 13,500 o METALS U.S.A., INC ..................... 172 20 o NCI BUILDING SYSTEMS, INC .............. 0 2,300 o ROHN INDUSTRIES, INC ................... 3 18 o SHAW GROUP, INC ........................ 0 6,685 o SIMPSON MANUFACTURING CO, INC .......... 318 900 o SPS TECHNOLOGIES, INC .................. 34 8,900 STANLEY WORKS CO ....................... 286 800 STRUM, RUGER & CO, INC ................. 9 8,845 o TOWER AUTOMOTIVE, INC .................. 225 1,400 VALMONT INDUSTRIES ..................... 24 3,800 o WYMAN-GORDON CO ........................ 73 ------------ 37,157 ------------ FOOD AND KINDRED PRODUCTS--2.41% 10,200 o AGRIBIOTECH, INC ....................... 62 6,300 o AGRIBRANDS INTERNATIONAL, INC .......... 249 1,100 o AMERICAN ITALIAN PASTA CO (CLASS A) .... 33 25,268 ANHEUSER BUSCH COS, INC ................ 1,792 2,800 o BERINGER WINE ESTATES HOLDINGS, INC (CLASS B) ............................. 117 102,945 BESTFOODS, INC ......................... 5,096 11,000 o BOSTON BEER CO, INC (CLASS A) .......... 89 38 BROWN FORMAN, INC (CLASS B) ............ 2 74,256 CAMPBELL SOUP CO ....................... 3,444 1,421,808 COCA COLA CO ........................... 88,863 127,558 COCA COLA ENTERPRISES, INC ............. 3,795 156,283 CONAGRA, INC ........................... 4,161 19,200 DEAN FOODS CO .......................... 798 32,761 DOLE FOOD, INC ......................... 962 2,400 DREYERS GRAND ICE CREAM, INC ........... 36 18,556 EARTHGRAINS CO ......................... 479 52,100 FLOWERS INDUSTRIES, INC ................ 1,130 36,852 GENERAL MILLS, INC ..................... 2,962 3,700 o HAIN FOOD GROUP, INC ................... 76 61,967 HEINZ (H.J.) CO ........................ 3,106 13,500 HERSHEY FOODS CORP ..................... 802 41,562 o INTERNATIONAL HOME FOODS, INC .......... 766 24,859 INTERSTATE BAKERIES CORP ............... 558 2,545,991 o KEEBLER FOODS CO ....................... 77,334 29,103 KELLOGG CO ............................. 960 22,750 LANCASTER COLONY CORP .................. 785 62 See notes to financial statements. GROWTH ACCOUNT (CONTINUED) VALUE SHARES (00) --------- ------ FOOD AND KINDRED PRODUCTS--(CONTINUED) 19,300 LANCE, INC ............................ $ 302 8,000 MCCORMICK & CO, INC (NON-VOTE) ........ 253 50 NABISCO GROUP HOLDINGS ................ 1 1,000 o PENFORD CORP .......................... 16 646,954 PEPSICO, INC .......................... 25,029 4,800 PILGRIMS PRIDE CORP (CLASS B) ......... 144 47,441 QUAKER OATS CO ........................ 3,149 122,512 RALSTON PURINA CO ..................... 3,729 3,300 RIVIANA FOODS, INC .................... 62 385,862 SARA LEE CORP ......................... 8,754 23,900 o SMITHFIELD FOODS, INC ................. 799 18,500o SUIZA FOODS CORP ...................... 775 12,730 TCBY ENTERPRISES, INC ................. 77 22,277 TOOTSIE ROLL INDUSTRIES, INC .......... 860 58,150 TYSON FOODS, INC ...................... 1,308 6,810 o VLASIC FOODS INTERNATIONAL, INC ....... 50 6,300 o WHITMAN CORP .......................... 113 19,585 WRIGLEY (WM) JR CO .................... 1,763 ------------ 245,641 ------------ FOOD STORES--1.12% 18,000 o 7-ELEVEN, INC ......................... 40 6,400 ALBERTSONS, INC ....................... 330 62,480 FOOD LION, INC (CLASS B) .............. 722 16,928 o GENERAL NUTRITION COS, INC ............ 395 16 HANNAFORD BROTHERS, INC ............... 1 186,680 o KROGER CO ............................. 5,215 2,119,338 o SAFEWAY, INC .......................... 104,907 65,200 o STARBUCKS CORP ........................ 2,449 5,600 o WHOLE FOODS MARKET, INC ............... 269 10,800 o WILD OATS MARKETS, INC ................ 328 ------------ 114,656 ------------ FURNITURE AND FIXTURES--0.07% 11,400 ETHAN ALLEN INTERIORS, INC ............ 430 33,590 o FURNITURE BRANDS INTERNATIONAL, INC ... 936 31,800 HON INDUSTRIES, INC ................... 928 12,067 o KNOLL, INC ............................ 321 9,100 o LEAR CORP ............................. 453 36,500 LEGGETT & PLATT, INC .................. 1,015 32,700 MILLER (HERMAN), INC .................. 687 49,400 NEWELL RUBBERMAID, INC ................ 2,297 3,100 VIRCO MANUFACTURING ................... 50 ------------ 7,117 ------------ FURNITURE AND HO MEFURNISHINGS STORES--0.20% 55,720 o BED BATH & BEYOND, INC ................ 2,145 39,000 o BEST BUY, INC ......................... 2,633 7,477 o CDNOW, INC ............................ 132 9,200 CIRCUIT CITY STORES-CIRCUIT CITY GROUP 856 16,400 o COMPUSA, INC .......................... 122 4,800 o GUITAR CENTER, INC .................... 50 14,000 o LINENS N THINGS, INC .................. 613 1,500 o MAXIM GROUP, INC ...................... 13 18,717 o MUSICLAND STORES CORP ................. 166 47,345 PIER 1 IMPORTS, INC ................... 533 253,016 TANDY CORP ............................ 12,366 31,000 o TRANS WORLD ENTERTAINMENT CORP ........ 349 12,417 o WILLIAMS-SONOMA, INC .................. 432 ----------- 20,410 ----------- GENERAL BUILDING CONTRACTORS--0.01% 1,100 o CROSSMAN COMMUNITIES, INC ............. 32 3,900 o HILLENBRAND INDUSTRIES, INC ........... 169 1,543 HORTON (D.R.), INC .................... 26 14,353 LENNAR CORP ........................... 344 5,118 o NVR, INC .............................. 267 13,798 STANDARD-PACIFIC CORP ................. 179 ------------ 1,017 ------------ GENERAL MERCHANDISE STORES--0.94% 1,500 o 99 CENTS ONLY STORES .................. 75 23,100 o BJS WHOLESALE CLUB, INC ............... 694 34,541 CASEYS GENERAL STORES, INC ............ 518 33,300 o CONSOLIDATED STORES CORP .............. 899 5,500 o COST PLUS, INC ........................ 250 86,800 o COSTCO COS, INC ....................... 6,949 175,155 DAYTON HUDSON CORP .................... 11,385 109,025 DOLLAR GENERAL CORP ................... 3,162 30,350 o DOLLAR TREE STORES, INC ............... 1,335 39,800 FAMILY DOLLAR STORES, INC ............. 955 12 o FEDERATED DEPARTMENT STORES, INC ...... 1 50 HARCOURT GENERAL, INC ................. 3 66,851 o KOHLS CORP ............................ 5,160 2,232 o NEIMAN-MARCUS GROUP, INC .............. 57 69 PENNEY, (J.C.) CO, INC ................ 3 22,157 o SAKS, INC ............................. 640 39,100 SEARS ROEBUCK & CO .................... 1,742 10,000 o VENATOR GROUP, INC .................... 104 1,287,120 WAL-MART STORES, INC .................. 62,104 ------------ 96,036 ------------ HEALTH SERVICES--0.48% 3,500 o ADVANCE PARADIGM, INC ................. 214 70,720 o AMERICAN HOMEPATIENT, INC ............. 111 53,500 o BEVERLY ENTERPRISES, INC .............. 431 15,023 o CAREMATRIX CORP ....................... 187 3,400 o CENTENNIAL HEALTHCARE CORP ............ 18 91 COLUMBIA/HCA HEALTHCARE CORP .......... 2 11,600 o CONCENTRA MANAGED CARE, INC ........... 172 30,263 o COVANCE, INC .......................... 724 6,600 o COVENTRY HEALTH CARE, INC ............. 72 6,700 o ENZO BIOCHEMICAL, INC ................. 66 36,100 o EXPRESS SCRIPTS, INC .................. 2,173 2,475 xo FPA MEDICAL MANAGEMENT, INC ........... 0 76 o GENESIS HEALTH VENTURES, INC .......... 0 7,500 o HCR MANOR CARE ........................ 181 3,112,400 o HEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) (NEW) ....................... 35,015 5,000 o HEALTHPLAN SERVICES CORP .............. 34 227,073 o HEALTHSOUTH CORP ...................... 3,392 18,400 HOOPER HOLMES, INC .................... 375 1,300 o IMPATH, INC ........................... 35 4,000 o INNOVATIVE CLINICAL SOLUTION .......... 6 4 o LABORATORY CORP OF AMERICA HOLDINGS ... 0 2,560 o LABORATORY CORP OF AMerica HOLDINGS WTS 04/28/00 ......................... 0 53 o LCA-VISION, INC ....................... 0 7,504 o LIFEPOINT HOSPITALS, INC .............. 101 27,580 o LINCARE HOLDINGS, INC ................. 690 17,200 o MAGELLAN HEALTH SERVICES, INC ......... 172 29,447 o MARINER POST-ACUTE NETWORK, INC ....... 12 62,806 o MEDPARTNERS, INC ...................... 475 3,100 o NATIONAL HEALTHCARE CORP .............. 25 13,500 o NOVACARE, INC ......................... 20 5,100 o ORTHODONTIC CENTERS OF AMERICA, INC ... 72 6,276 o PEDIATRIX MEDICAL GROUP, INC .......... 133 43,050 o PHYCOR, INC ........................... 319 1,639 o PHYSICIANS RESOURCE GROUP, INC ........ 2 See notes to financial statements. 63 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (00) --------- ------ HEALTH SERVICES--0.48% 7,900 o PROVINCE HEALTHCARE CO ................ $ 154 49,390 o QUORUM HEALTH GROUP, INC .............. 620 11,650 o RENAL CARE GROUP, INC ................. 301 100 o SUN HEALTHCARE GROUP, INC ............. 0 54,600 o TENET HEALTHCARE CORP ................. 1,014 29,900 o TOTAL RENAL CARE HOLDINGS, INC ........ 465 14,904 o TRIAD HOSPITALS, INC .................. 201 6,900 o UNITED PAYORS & UNITED PROVIDERS, INC . 160 11,000 o UNIVERSAL HEALTH SERVICES, INC ........ 525 11,236 o US ONCOLOGY, INC ...................... 135 242 o VENCOR, INC ........................... 0 ---------- 48,804 ---------- HEAVY CONSTRUCTION, EXCEPT BUILDING--0.01% 9,000 o DYCOM INDUSTRIES, INC ................. 504 11 FLUOR CORP ............................ 0 9,600 o INSITUFORM TECHNOLOGIES, INC (CLASS A) 208 2,750 o MASTEC, INC ........................... 78 ---------- 790 ---------- HOLDING AND OTHER INVESTMENT OFFICES--0.04% 800 o ALEXANDERS, INC ....................... 59 60 APARTMENT INVESTMENT & MANAGEMENT CO ........................ 3 25,200 BOSTON PROPERTIES, INC ................ 904 4,000 CAPITAL AUTOMOTIVE REIT ............... 53 400 CHARLES E. SMITH RESIDENTIAL REALTY ... 14 99 CORNERSTONE PROPERTIES, INC ........... 2 8,566 COUSINS PROPERTIES, INC ............... 290 16 FEDERAL REALTY INVESTMENT TRUST ....... 0 17,099 FELCOR LODGING TRUST, INC ............. 355 15,300 GENERAL GROWTH PROPERTIES, INC ........ 543 2,100 GETTY REALTY HOLDINGS CORP ............ 30 54 GREAT LAKES REIT, INC ................. 1 1,100 HEALTH CARE PROPERTY INVESTORS, INC ... 32 6,000 IMPERIAL CREDIT COMMERCIAL MORTGAGE INVESTMENT CORP .............. 65 300 o LASALLE HOTEL PROPERTIES .............. 5 2,400 o LASER Mortgage MANAGEMENT, INC ........ 8 18,900 MEDITRUST CORP ........................ 247 24,245 MERISTAR HOSPITALITY CORP ............. 544 13 POST PROPERTIES, INC .................. 1 78 RECKSON ASSOCIATES REALTY CORP ........ 2 64 SIMON PROPERTY GROUP, INC ............. 2 3,700 STARWOOD FINANCIAL TRUST .............. 229 11,700 TOWN & COUNTRY TRUST .................. 209 6,427 WASHINGTON REAL ESTATE INVESTMENT TRUST ..................... 109 16,297 WEINGARTEN REALTY INVESTORS, INC ...... 680 --------- 4,387 --------- HOTELS AND OTHER LODGING PLACES--0.11% 379,350 o CENDANT CORP .......................... 7,777 7,678 o CHOICE HOTELS INTERNATIONAL, INC ...... 152 40,400 o EXTENDED STAY AMERICA, INC ............ 485 3,900 HILTON HOTELS CORP .................... 55 2 o INTERSTATE HOTELS CORP ................ 0 30,600 o LODGIAN, INC .......................... 201 2,000 o MANDALAY RESORT GROUP ................. 42 9,157 o MGM GRAND, INC ........................ 449 63,100 o PARK PLACE ENTERTAINMENT .............. 611 35,300 o PRIME HOSPITALITY CORP ................ 424 25,120 o PROMUS HOTEL CORP ..................... 779 75 o RED ROOF INNS, INC .................... 1 136 o SUNBURST HOSPITALITY CORP ............. 1 1,800 o SUNTERRA CORP ......................... 25 2,500 o TRENDWEST RESORTS, INC ................ 56 62 o WYNDHAM INTERNATIONAL, INC ............ 0 ---------- 11,058 ---------- INDUSTRIAL MACHINERY AND EQUIPMENT--13.48% 100,127 o 3COM CORP ............................. 2,672 4,400 o 3DFX INTERACTIVE, INC ................. 69 22,400 o ADAPTEC, INC .......................... 791 30 ALLIED PRODUCTS CORP .................. 0 43,390 o AMERICAN STANDARD COS, INC ............ 2,083 5,700 o APEX PC SOLUTIONS, INC ................ 117 171,400 o APPLIED MATERIALS, INC ................ 12,662 4,600 APPLIED POWER, INC (CLASS A) .......... 126 800 o ASTEC INDUSTRIES, INC ................. 33 3,000 o ATMI, INC ............................. 89 61,002 BAKER HUGHES, INC ..................... 2,044 5,264 o BELL & HOWELL CO ...................... 199 1,000 BLACK & DECKER CORP ................... 63 6,740 o BLACK BOX CORP ........................ 338 13,400 o C-CUBE MICROSYSTEMS, INC .............. 425 27,900 o CABLETRON SYSTEMS, INC ................ 363 10,753 o CENTENNIAL TECHNOLOGIES, INC .......... 9 4,841,015 o CISCO SYSTEMS, INC .................... 311,338 8,165 o COLTEC INDUSTRIES, INC ................ 177 2,400 COLUMBUS MCKINNON CORP ................ 58 2,520,196 COMPAQ COMPUTER CORP .................. 59,697 14,615 o COOPER CAMERON CORP ................... 542 3,300 o CUNO, INC ............................. 63 9,000 o CYLINK CORP ........................... 34 3,318,212 o DELL COMPUTER CORP .................... 122,774 1,100 o DIALOGIC CORP ......................... 48 18,682 DIEBOLD, INC .......................... 537 7,700 o DIGI INTERNATIONAL, INC ............... 80 3,857 DONALDSON CO, INC ..................... 94 7,900 DOVER CORP ............................ 277 200 o DRIL-QUIP, INC ........................ 5 300 o ELECTROGLAS, INC ...................... 6 2,817,906 o EMC CORP .............................. 154,985 300 o ETEC SYSTEMS, INC ..................... 10 3,164 FLOWSERVE CORP ........................ 60 3,000 o FSI INTERNATIONAL, INC ................ 25 9,900 o GARDNER DENVER, INC ................... 160 34,900 o GATEWAY, INC .......................... 2,059 700 GENERAL BINDING CORP .................. 16 11,773 GRACO, INC ............................ 346 626,226 HEWLETT-PACKARD CO .................... 62,936 52,300 HUSSMANN INTERNATIONAL, INC ........... 866 8,700 o HYPERCOM CORP ......................... 83 115,486 INTERNATIONAL BUSINESS MACHINES CORP .. 14,927 92 o IOMEGA CORP ........................... 0 23,476 JLG INDUSTRIES, INC ................... 478 800 KAYDON CORP ........................... 27 52 KENNAMETAL, INC ....................... 2 10,000 o KRONOS, INC ........................... 455 500 o KULICHE & SOFFA INDUSTRIES, INC ....... 13 7,400 o LAM RESEARCH CORP ..................... 345 63,402 o LEXMARK INTERNATIONAL GROUP (CLASS A) . 4,188 2,300 LINDSAY MANUFACTURING CO .............. 40 8,472 MANITOWOC, INC ........................ 353 2,700 o MICRON ELECTRONICS, INC ............... 27 7,600 o MICROS SYSTEMS, INC ................... 258 9,700 o MTI TECHNOLOGY CORP ................... 127 2,800 NACCO INDUSTRIES, INC (CLASS A) ....... 206 10,000 o NATIONAL INSTRUMENTS CORP ............. 404 64 See notes to financial statements. GROWTH ACCOUNT (CONTINUED) VALUE SHARES (00) --------- ------ INDUSTRIAL MACHINERY AND EQUIPMENT--(CONTINUED) 400 NORDSON CORP .......................... $ 25 12,554 o NOVELLUS SYSTEMS, INC ................. 857 13,500 o PENTAIR, INC .......................... 618 93,503 PITNEY BOWES, INC ..................... 6,008 4,700 o PRESSTEK, INC ......................... 34 4,800 o PRI AUTOMATION, INC ................... 174 44,300 o QUANTUM CORP .......................... 1,069 53 ROBBINS & MYERS, INC .................. 1 16,445 ROPER INDUSTRIES, INC ................. 526 8,000 o SANDISK CORP .......................... 360 5,300 SAUER, INC ............................ 57 86,679 o SEAGATE TECHNOLOGY, INC ............... 2,221 8,600 o SECURITY DYNAMICS TECHNOLOGIES, INC ... 183 2,500 o SEQUENT COMPUTER SYSTEMS, INC ......... 44 4,900 o SILICON VALLEY GROUP, INC ............. 82 19,500 o SMITH INTERNATIONAL, INC .............. 847 3,100 o SPECIALTY EQUIPMENT COS, INC .......... 91 2,300 o SPEEDFAM-IPEC, INC .................... 37 4,100 o SPLASH TECHNOLOGY HOLDINGS, INC ....... 29 2,500 STANDEX INTERNATIONAL CORP ............ 68 28,500 o STORAGE TECHNOLOGY CORP ............... 648 39,498 SYMBOL TECHNOLOGIES, INC .............. 1,456 1,500 o TELXON CORP ........................... 12 9,800 TENNANT CO ............................ 314 10,900 o TEREX CORP ............................ 332 5,900 o THERMO FIBERTEK, INC .................. 42 5,549,700 TYCO INTERNATIONAL LTD ................ 525,834 9,000 o ULTRATECH STEPPER, INC ................ 136 1,844,650 o UNISYS CORP ........................... 71,826 28,200 o VARCO INTERNATIONAL, INC .............. 308 8,600 o VISUAL NETWORKS, INC .................. 275 21,200 o WESTERN DIGITAL CORP .................. 138 15,400 o XIRCOM, INC ........................... 463 30 YORK INTERNATIONAL CORP ............... 1 9,100 o ZEBRA TECHNOLOGY CORP ................. 350 270 #o ZEBRA TECHNOLOGY CORP (CLASS B) ....... 10 ---------- 1,376,685 ---------- INSTRUMENTS AND RELATED PRODUCTS--2.48% 3,500 o ACUSON CORP ........................... 60 9,300 o ADAC LABORATORIES, INC ................ 67 4,200 o AFFYMETRIX, INC ....................... 207 22,500 o ALARIS MEDICAL, INC ................... 76 7,700 o ANACOMP, INC .......................... 131 6,540 ARROW INTERNATIONAL, INC .............. 169 11,750 o AVID TECHNOLOGIES, INC ................ 189 700 o BACOU U.S.A., INC ..................... 12 96,824 BAXTER INTERNATIONAL, INC ............. 5,870 200 o BAXTER INTERNATIONAL, INC RTS ......... 0 21,000 BECKMAN COULTER, INC .................. 1,021 109,484 BECTON DICKINSON & CO ................. 3,285 32,800 o BIOMET, INC ........................... 1,304 146,000 o BOSTON SCIENTIFIC CORP ................ 6,415 400 o CHYRON CORP ........................... 1 2,000 o CLOSURE MEDICAL CORP .................. 60 20 o CNS, INC .............................. 0 14,000 o COGNEX CORP ........................... 442 4,400 o COLE NATIONAL CORP (CLASS A) .......... 35 3,600 COOPER COS, INC ....................... 90 297 xo CPX CORP .............................. 0 5,900 o CREDENCE SYSTEMS CORP ................. 219 12,700 o CYMER, INC ............................ 318 7,400 o CYTYC CORP ............................ 144 47,600 DENTSPLY INTERNATIONAL, INC ........... 1,374 5,800 o DIONEX CORP ........................... 235 42 o DYNATECH CORP ......................... 0 24,200 EASTMAN KODAK CO ...................... 1,640 4,150 o FOSSIL, INC ........................... 201 10 FRESENIUS MEDICAL CARE AG. ADR ........ 0 10,322 o GENRAD, INC ........................... 215 2,935 o GENZYME SURGICAL PRODUCTS ............. 13 449,838 o GUIDANT CORP .......................... 23,139 4,800 o HANGER ORTHOPEDIC GROUP, INC .......... 68 26,000 HONEYWELL, INC ........................ 3,013 10,500 o INPUT/OUTPUT, INC ..................... 79 23,100 o KLA-TENCOR CORP ....................... 1,499 1,600 o LIFECORE BIOMEDICAL, INC .............. 18 873,863 MEDTRONIC, INC ........................ 68,052 2,100 MENTOR CORP ........................... 39 35,309 o METTLER-TOLEDO INTERNATIONAL, INC ..... 876 15,800 MILLIPORE CORP ........................ 641 3,900 o MINIMED, INC .......................... 300 2,000 MOVADO GROUP, INC ..................... 52 1,400 MTS SYSTEMS CORP ...................... 17 8,400 o NOVOSTE CORP .......................... 176 19,300 o OCULAR SCIENCES, INC .................. 335 8,942 o OEC MEDICAL SYSTEMS, INC .............. 219 2,800 o PANAVISION, INC (NEW) ................. 19 13,300 o PE CORP-CELERA GENOMICS GROUP ......... 215 17,000 PE CORP-PE BIOSYSTEMS GROUP ........... 1,951 1,560 o PERCLOSE, INC ......................... 75 8,800 o PINNACLE SYSTEMS, INC ................. 296 9,400 o RESMED, INC ........................... 312 4,300 o RESPIRONICS, INC ...................... 65 50 o ROBOTIC VISION SYSTEMS, INC ........... 0 3,200 o SCOTT TECHNOLOGIES, INC ............... 62 11,200 o SEPRACOR, INC ......................... 910 83 o SONOSITE, INC ......................... 1 32,151 o ST. JUDE MEDICAL, INC ................. 1,145 28,200 o STERIS CORP ........................... 546 24,389 o STRYKER CORP .......................... 1,466 54,200 o SYBRON INTERNATIONAL CORP ............. 1,494 3,000 o TAVA TECHNOLOGIES, INC ................ 23 6,878 TEKTRONIX, INC ........................ 208 13,700 o TERADYNE, INC ......................... 983 200 o THERMO BIOANALYSIS CORP ............... 3 100 o THERMO CARDIOSYSTEMS, INC ............. 1 7,500 o THERMO ELECTRON CORP .................. 150 11,000 o THERMO INSTRUMENT SYSTEMS, INC ........ 186 1,000 o THERMO OPTEK CORP ..................... 10 17,200 o TRIMBLE NAVIGATION LTD ................ 221 300 o UROMED CORP ........................... 0 1,700 o VEECO INSTRUMENTS, INC ................ 58 3,900 o VENTANA MEDICAL SYSTEMS, INC .......... 75 39,500 o VISX, INC ............................. 3,128 3,100 VITAL SIGNS, INC ...................... 62 2,600 o VIVUS, INC ............................ 7 21,800 o WATERS CORP ........................... 1,158 8,900 o WESLEY JESSEN VISIONCARE, INC ......... 288 2,000 o X RITE, INC 13 1,955,134 XEROX CORP ............................ 115,475 1,000 o XOMED SURGICAL PRODUCTS, INC .......... 49 ---------- 252,971 ---------- INSURANCE AGENTS, BROKERS AND SERVICE--0.01% 1,900 o BLANCH (E.W.) HOLDINGS, INC ........... 130 4,100 BROWN & BROWN, INC .................... 156 23,804 CRAWFORD & CO (CLASS B) ............... 387 9,000 o FIRST HEALTH GROUP CORP ............... 194 See notes to financial statements. 65 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ INSURANCE AGENTS, BROKERS AND SERVICE--(CONTINUED) 3,500 GALLAGHER (ARTHUR J.) & CO ............ $ 173 600 HILB, ROGAL & HAMILTON CO ............. 13 68 MARSH & MCLENNAN COS, INC ............. 5 ---------- 1,058 ---------- INSURANCE CARRIERS--1.15% 28,274 AFLAC, INC ............................ 1,354 116,073 AMERICAN INTERNATIONAL GROUP, INC ..... 13,588 20,550 AON CORP .............................. 848 1,805,097 CITIGROUP, INC ........................ 85,742 57,300 CONSECO, INC .......................... 1,744 16,100 EQUITABLE COS, INC .................... 1,079 1,100 EVEREST REINSURANCE HOLDINGS, INC ..... 36 1,200 EXECUTIVE RISK, INC ................... 102 1,000 FIDELITY NATIONAL FINANCIAL, INC ...... 21 25,240 FIRST AMERICAN FINANCIAL CORP ......... 451 10,800 o FOUNDATION HEALTH SYSTEMS (CLASS A) ............................ 162 1,200 o FPIC INSURANCE GROUP, INC ............. 58 400 HARTFORD LIFE, INC (CLASS A) .......... 21 300 HCC INSURANCE HOLDINGS, INC ........... 7 50 o HIGHLANDS INSURANCE GROUP, INC ........ 1 18,100 o HUMANA, INC ........................... 234 83 MBIA, INC ............................. 5 71,982 MGIC INVESTMENT CORP .................. 3,500 49,030 o OXFORD HEALTH PLANS, INC .............. 763 10,388 o PACIFICARE HEALTH SYSTEMS, INC (CLASS A) ............................ 747 1,100 PMA CAPITAL CORP (CLASS A) ............ 23 94 PMI GROUP, INC ........................ 6 12,300 PROGRESSIVE CORP ...................... 1,784 20 PROTECTIVE LIFE CORP .................. 1 11,639 RADIAN GROUP, INC ..................... 568 3,668 REINSURANCE GROUP OF AMERICA, INC ..... 129 25 SCPIE HOLDINGS, INC ................... 1 9,300 o TRIAD GUARANTY, INC ................... 167 1,000 o UICI .................................. 28 52,200 UNITED HEALTHCARE CORP ................ 3,269 5,800 o WELLPOINT HEALTH NETWORKS, INC ........ 492 ---------- 116,931 ---------- LEATHER AND LEATHER PRODUCTS--0.01% 8,585 o SAMSONITE CORP ........................ 43 6,500 STRIDE RITE CORP ...................... 67 5,300 o TIMBERLAND CO ......................... 361 2,700 WOLVERINE WORLD WIDE, INC ............. 38 ---------- 509 ---------- LEGAL SERVICES--0.00% 5,300 o PREPAID LEGAL SERVICES, INC ........... 144 ---------- LOCAL AND INTERURBAN PASSENGER TRANSIT--0.00% 4,300 o COACH U.S.A., INC ..................... 180 1,000 o RURAL/METRO CORP ...................... 10 ---------- 190 ---------- LUMBER AND WOOD PRODUCTS--0.01% 600 o AMERICAN HOMESTAR CORP ................ 4 53,700 o CHAMPION ENTERPRISES, INC ............. 1,000 20,260 CLAYTON HOMES, INC .................... 232 1,500 o OAKWOOD HOMES CORP .................... 20 6,500 o PALM HARBOR HOMES, INC ................ 163 ---------- 1,419 ---------- METAL MINING--0.02% 37,200 o BATTLE MOUNTAIN GOLD CO ............... 91 53,104 o FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS A) .................. 889 34,250 o FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) .................. 614 90 NEWMONT MINING CORP ................... 2 6,950 o PLACER DOME, INC ...................... 82 8,100 o STILLWATER MINING CO .................. 265 ---------- 1,943 ---------- MISCELLANEOUS MANUFACTURING INDUSTRIES--0.14% 20,860 o BLYTH INDUSTRIES, INC ................. 717 10,500 BRADY CORP (CLASS A) .................. 341 3,500 CALLAWAY GOLF CO ...................... 51 9,900 o HEXCEL CORP ........................... 100 18,800 INTERNATIONAL GAME TECHNOLOGY CO ...... 348 41,181 JOSTENS, INC .......................... 867 98 o LYDALL, INC ........................... 1 368 o MARVEL ENTERPRISES WTS 10/02/02 ....... 0 623 o MARVEL ENTERPRISES WTS 10/02/02 (CLASS C) ............................ 0 170,973 MATTEL, INC ........................... 4,520 81,164 MINNESOTA MINING & MANUFACTURING CO ..................... 7,056 2,900 ONEIDA LTD ............................ 82 4,486 o STEINWAY MUSICAL INSTRUMENTS, INC ..... 119 56 o WMS INDUSTRIES, INC ................... 1 ---------- 14,203 ---------- MISCELLANEOUS RETAIL--0.43% 41,846 o AMAZON.COM, INC ....................... 5,236 25,100 o BARNES & NOBLE, INC ................... 687 4,900 o BARNETT, INC .......................... 37 19,900 o BORDERS GROUP, INC .................... 315 11,060 o CDW COMPUTER CENTERS, INC ............. 487 2,400 o COLDWATER CREEK, INC .................. 47 7,070 o CORPORATE EXPRESS, INC ................ 49 193,639 CVS CORP .............................. 9,827 1,600 o DUANE READE, INC ...................... 49 5,900 o GARDEN RIDGE CORP ..................... 28 2,300 o GENESIS DIRECT, INC ................... 4 44,000 o HANOVER DIRECT, INC ................... 124 12,209 o INSIGHT ENTERPRISES, INC .............. 302 3,800 xo JUMBOSPORTS, INC ...................... 0 1,500 o LANDS END, INC ........................ 73 18,300 o MICHAELS STORES, INC .................. 560 1,300 o NCS HEALTHCARE, INC (CLASS A) ......... 7 129,181 o OFFICE DEPOT, INC ..................... 2,850 17,000 o OFFICEMAX, INC ........................ 204 23,600 OMNICARE, INC ......................... 298 11,300 o PETCO ANIMAL SUPPLIES, INC ............ 178 33,340 o PETSMART, INC ......................... 342 17,100 o RITE AID CORP ......................... 421 17,500 o SCHEIN (HENRY), INC ................... 555 211,665 o STAPLES, INC .......................... 6,548 8,950 o SUNGLASS HUT INTERNATIONAL, INC ....... 154 26,485 o SYSTEMAX, INC ......................... 328 9,800 TIFFANY & CO .......................... 946 85 o TOYS R US, INC ........................ 2 10,658 o U.S. OFFICE PRODUCTS CO ............... 57 451,030 WALGREEN CO ........................... 13,249 30 o ZALE CORP ............................. 1 ---------- 43,965 ---------- 66 See notes to financial statements. GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ MOTION PICTURES--0.46% 927,847 o DISNEY (WALT) CO ...................... $ 28,589 12,000 o HOLLYWOOD ENTERTAINMENT CORP .......... 235 41,800 o METROMEDIA INTERNATIONAL GROUP, INC ... 314 6,600 o PIXAR, INC ............................ 285 244,933 TIME WARNER, INC ...................... 18,003 ---------- 47,426 ---------- NONDEPOSITORY INSTITUTIONS--1.39% 7,900 o AAMES FINANCIAL CORP .................. 10 75 ADVANTA CORP (CLASS A) ................ 1 169,146 AMERICAN EXPRESS CO ................... 22,010 14,900 o AMERICREDIT CORP ...................... 238 1,000 o AMRESCO, INC .......................... 6 1,603,668 ASSOCIATES FIRST CAPITAL CORP ......... 71,063 83,308 CAPITAL ONE FINANCIAL CORP ............ 4,639 6,400 CHARTER MUNICIPAL MORTGAGE ACCEPTANCE ........................... 82 11,400 xo CITYSCAPE FINANCIAL CORP .............. 0 19,433 o CONTIFINANCIAL CORP ................... 69 6,282 COUNTRYWIDE CREDIT INDUSTRIES, INC .... 269 1,800 DORAL FINANCIAL CORP .................. 31 500 o FEDERAL AGRICULTURE MORTGAGE CORP ..... 34 258,597 FEDERAL NATIONAL MORTGAGE ASSOCIATION .......................... 17,682 900 o FINANCIAL FEDERAL CORP ................ 20 1,500 FINOVA GROUP, INC ..................... 79 3,700 o FIRST SIERRA FINANCIAL, INC ........... 93 324,652 FREDDIE MAC ........................... 18,830 2,600 o HEALTHCARE FINANCIAL PARTNERS, INC .... 89 56,881 HOUSEHOLD INTERNATIONAL, INC .......... 2,695 600 o IMC MORTGAGE CO ....................... 0 100 o IMPERIAL CREDIT INDUSTRIES, INC ....... 1 2,000 o LONG BEACH FINANCIAL CORP ............. 29 3,600 MEDALLION FINANCIAL CORP .............. 69 31,400 METRIS COS, INC ....................... 1,280 2,200 RESOURCE AMERICA, INC (CLASS A) ....... 32 54,284 SLM HOLDINGS CORP ..................... 2,487 1,881 xo SOUTHERN PACIFIC FUNDING CORP ......... 0 13,200 o UNICAPITAL CORP ....................... 83 100 xo UNITED COS FINANCIAL CORP ............. 0 ---------- 141,921 ---------- OIL AND GAS EXTRACTION--0.22% 26,900 ANADARKO PETROLEUM CORP ............... 990 79 APACHE CORP ........................... 3 2,883 o ATWOOD OCEANICS, INC .................. 90 22 o BELCO OIL & GAS CORP .................. 0 4,800 BERRY PETROLEUM CO (CLASS A) .......... 67 7,600 o BJ SERVICES CO ........................ 224 11,300 o BROWN (TOM), INC ...................... 176 1,400 o CAL DIVE INTERNATIONAL, INC ........... 42 500 o COHO ENERGY, INC ...................... 0 13,500 o COMSTOCK RESOURCES, INC ............... 45 13,100 CROSS TIMBERS OIL CO .................. 195 43,859 DIAMOND OFFSHORE DRILLING, INC ........ 1,244 37,133 o EEX CORP .............................. 258 6,651 ENRON OIL & GAS CO .................... 135 103,739 ENSCO INTERNATIONAL, INC .............. 2,068 5,300 o FRIEDE GOLDMAN INTERNATIONAL, INC ..... 74 24,714 o GLOBAL INDUSTRIES LTD ................. 317 91,500 o GLOBAL MARINE, INC .................... 1,413 211,800 o GREY WOLF, INC ........................ 530 128,948 HALLIBURTON CO ........................ 5,835 3,500 o HANOVER COMPRESSOR CO ................. 112 6,600 o HARKEN ENERGY CORP .................... 11 17,213 KCS ENERGY, INC ....................... 11 39,800 KERR-MCGEE CORP ....................... 1,997 51,900 o KEY ENERGY SERVICES, INC .............. 185 15,700 o MARINE DRILLING CO, INC ............... 215 71 o MCMORAN EXPLORATION CO ................ 2 5,191 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) ....................... 100 14,300 o NABORS INDUSTRIES, INC ................ 349 1,200 o NEWFIELD EXPLORATION CO ............... 34 7,800 NOBLE AFFILIATES, INC ................. 220 46,337 o NOBLE DRILLING CORP ................... 912 43 o OCEAN ENERGY, INC (NEW) ............... 0 6,500 o OCEANEERING INTERNATIONAL, INC ........ 105 2,100 o OMNI ENERGY SERVICES CORP ............. 7 9,300 o PATTERSON ENERGY, INC ................. 92 42 o PIONEER NATURAL RESOURCES CO .......... 0 1,500 POGO PRODUCING CO ..................... 28 88,300 o R & B FALCON CORP ..................... 828 4,100 RANGE RESOURCES CORP .................. 25 7,734 o ROWAN COS, INC ........................ 143 5,700 RPC, INC .............................. 50 4,163 o STONE ENERGY CORP ..................... 176 12,400 o SUPERIOR ENERGY SERVICES, INC ......... 63 8,200 o SYNTROLEUM CORP ....................... 73 11,471 o TRANSMONTAIGNE, INC ................... 144 35,500 TRANSOCEAN OFFSHORE, INC .............. 932 12,235 xo TRANSTEXAS GAS CORP ................... 7 8,800 o TUBOSCOPE, INC ........................ 120 14,994 VASTAR RESOURCES, INC ................. 786 15,100 o VERITAS DGC, INC ...................... 277 900 o VINTAGE PETROLEUM, INC ................ 10 24,700 o WEATHERFORD INTERNATIONAL ............. 905 ---------- 22,625 ---------- PAPER AND ALLIED PRODUCTS--0.21% 388 o AMERICAN PAD & PAPER CO ............... 1 37,200 AVERY DENNISON CORP ................... 2,246 16,900 o EARTHSHELL CORP ....................... 118 109,433 FORT JAMES CORP ....................... 4,145 35,300 o GAYLORD CONTAINER CO .................. 280 12,388 o IVEX PACKAGING CORP ................... 273 230,016 KIMBERLY-CLARK CORP ................... 13,111 22,600 o MAIL-WELL, INC ........................ 366 14,256 o SMURFIT-STONE CONTAINER CORP .......... 293 2,500 SONOCO PRODUCTS CO .................... 75 20,810 WAUSAU-MOSINEE PAPER CORP ............. 375 ---------- 21,283 ---------- PERSONAL SERVICES--0.07% 59,547 BLOCK (H&R), INC ...................... 2,977 7,300 o CARRIAGE SERVICES, INC (CLASS A) ...... 137 32,900 CINTAS CORP ........................... 2,210 9,700 o COINMACH LAUNDRY CORP ................. 123 1,450 G & K SERVICES, INC (CLASS A) ......... 76 2,400 REGIS CORP ............................ 46 75,621 SERVICE CORP INTERNATIONAL ............ 1,456 1,600 UNIFIRST CORP ......................... 29 ---------- 7,054 ---------- PETROLEUM AND COAL PRODUCTS--0.00% 88 CHEVRON CORP .......................... 8 1,200 ELCOR CORP ............................ 52 3,400 o FRONTI ER OIL CORP .................... 23 84 TEXACO, INC ........................... 5 61 TOSCO CORP ............................ 2 See notes to financial statements. 67 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ PETROLEUM AND COAL PRODUCTS--(CONTINUED) 80 UNOCAL CORP ........................... $ 3 3,200 WD-40 CO .............................. 80 ---------- 173 ---------- PRIMARY METAL INDUSTRIES--0.02% 25 o AFC CABLE SYSTEMS, INC ................ 1 3,100 o ALPINE GROUP, INC ..................... 50 15 o ARMCO, INC ............................ 0 11,700 BELDEN, INC ........................... 280 1,000 o CABLE DESIGN TECHNOLOGIES CO .......... 15 1,700 o CHASE INDUSTRIES, INC ................. 14 1,900 o ENCORE WIRE CORP ...................... 17 4,400 GENERAL CABLE CORP .................... 70 200 GIBRALTAR STEEL CORP .................. 5 700 IMCO RECYCLING, INC ................... 12 2,900 o LONE STAR TECHNOLOGIES, INC ........... 51 4,700 MATTHEWS INTERNATIONAL CORP (CLASS A) ............................ 139 5,000 o MAVERICK TUBE CORP .................... 70 4,300 o NS GROUP, INC ......................... 40 500 NUCOR CORP ............................ 24 1,500 o OPTICAL CABLE CORP .................... 17 11,800 QUANEX CORP ........................... 336 3,600 o STEEL DYNAMICS, INC ................... 56 9,242 SUPERIOR TELECOM, INC ................. 231 5,900 o TEXAS INDUSTRIES, INC ................. 229 19,480 WORTHINGTON INDUSTRIES, INC ........... 320 ---------- 1,977 ---------- PRINTING AND PUBLISHING--0.17% 54,208 BELO (A.H.) CORP SERIES A ............. 1,067 12,100 o BIG FLOWER HOLDINGS, INC .............. 386 12,012 CENTRAL NEWSPAPERS, INC (CLASS A) ..... 452 6,320 o CONSOLIDATED GRAPHICS, INC ............ 316 88 DELUXE CORP ........................... 3 200 DOW JONES & CO, INC ................... 11 62,889 GANNETT CO, INC ....................... 4,489 40 HARLAND (JOHN H.) CO .................. 1 7,400 HARTE-HANKS, INC ...................... 201 9,600 HOLLINGER INTERNATIONAL, INC .......... 114 6,100 HOUGHTON MIFFLIN CO ................... 287 28,256 LEE ENTERPRISES, INC .................. 862 15,600 MCGRAW HILL COS, INC .................. 841 14,492 MEDIA GENERAL, INC (CLASS A) .......... 739 26,500 MEREDITH CORP ......................... 918 1,400 MERRILL CORP .......................... 20 2,100 NEW ENGLAND BUSINESS SERVICES, INC .... 65 25 o PAXAR CORP ............................ 0 3,200 PENTON MEDIA, INC ..................... 78 16,300 o PLAYBOY ENTERPRISES, INC (CLASS B) .... 433 30,139 o PRIMEDIA, INC ......................... 510 11,656 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VOTE) ................. 463 34,052 REYNOLDS & REYNOLDS CO (CLASS A) ...... 794 1,000 SCHAWK, INC (CLASS A) ................. 9 21 STANDARD REGISTER, INC ................ 1 100 THOMAS NELSON, INC .................... 1 18,900 TIMES MIRROR CO SERIES A .............. 1,120 36,209 TRIBUNE CO ............................ 3,155 68 WALLACE COMPUTER SERVICES, INC ........ 2 28,200 WILEY (JOHN) & SONS, INC (CLASS A) .... 497 77 o WORKFLOW MANAGEMENT, INC .............. 1 6 o WORLD COLOR PRESS, INC ................ 0 ---------- 17,836 ---------- RAILROAD TRANSPORTATION--0.04% 56,282 KANSAS CITY SOUTHERN INDUSTRIES, INC .. 3,591 7,750 o WISCONSIN CENTRAL TRANSIT CORP ........ 146 ---------- 3,737 ---------- REAL ESTATE--0.01% 4,883 o CATELLUS DEVELOPMENT CORP ............. 76 12,200 o CB RICHARD ELLIS SERVICES GROUP, INC .. 303 5,100 o FAIRFIELD COMMUNITIES, INC ............ 82 4,200 FOREST CITY ENTERPRISES, INC (CLASS A) 118 5,300 o GRUBB & ELLIS CO ...................... 27 1,400 o INSIGNIA FINANCIAL GROUP, INC ......... 15 8,296 o JONES LANG LA SALLE ................... 247 1,230 o RECKSON SERVICES INDUSTRIES, INC ...... 19 5,700 STEWART ENTERPRISES, INC (CLASS A) .... 83 6,400 o TRAMMELL CROW CO ...................... 105 ---------- 1,075 ---------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.82% 12,494 APTARGROUP, INC ....................... 375 76 ARMSTRONG WORLD INDUSTRIES, INC ....... 4 13,172 FURON CO .............................. 250 77,925 ILLINOIS TOOL WORKS, INC .............. 6,390 3,735 MYERS INDUSTRIES, INC ................. 75 928,100 NIKE, INC (CLASS B) ................... 58,760 48 o REEBOK INTERNATIONAL LTD .............. 1 24,704 o SAFESKIN CORP ......................... 296 41,195 o SEALED AIR CORP ....................... 2,673 55 o SOLUTIA, INC .......................... 1 8,400 SPARTECH CORP ......................... 266 7,600 o SYNETIC, INC .......................... 523 14,648 TREDEGAR CORP ......................... 319 547,167 TUPPERWARE CORP ....................... 13,953 9,900 WYNNS INTERNATIONAL, INC .............. 183 ---------- 84,069 ---------- SECURITY AND COMMODITY BROKERS--0.28% 15,564 o AFFILIATED MANAGERS GROUP, INC ........ 470 16,800 o AMERITRADE HOLDINGS CORP (CLASS A) .... 1,781 12,600 CONNING CORP .......................... 205 1,000 o DUFF & PHELPS CREDIT RATING CO ........ 67 91,308 o E TRADE GROUP, INC .................... 3,647 18,124 EATON VANCE CORP ...................... 624 5,815 EVEREN CAPITAL CORP ................... 173 24,700 FEDERATED INVESTMENTS, INC ............ 443 71,313 FRANKLIN RESOURCES, INC ............... 2,897 67 FREEDOM SECURITIES CORP ............... 1 1,100 o HAMBRECHT & QUIST GROUP ............... 41 3,600 INVESTMENT TECHNOLOGY GROUP, INC ...... 117 2,100 INVESTORS FINANCIAL SERVICES CORP ..... 84 2,409 JOHN NUVEEN CO (CLASS A) .............. 103 5,800 MORGAN KEEGAN, INC .................... 110 7,100 o PIONEER GROUP, INC .................... 122 29,100 PRICE (T. ROWE) ASSOCIATES, INC ....... 1,117 145,851 SCHWAB (CHARLES) CORP ................. 16,025 2,000 VALUE LINE, INC ....................... 78 ---------- 28,105 ---------- SOCIAL SERVICES--0.01% 2,300 o BROOKDALE LIVING COMMUNITIES, INC ..... 34 3,200 o RES-CARE, INC ......................... 73 6,300 o SUNRISE ASSISTED LIVING, INC .......... 220 ---------- 327 ---------- SPECIAL TRADE CONTRACTORS--0.00% 6,600 xo AMRE, INC ............................. 0 2,200 o COMFORT SYSTEMS U.S.A., INC ........... 40 68 See notes to financial statements. GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ SPECIAL TRADE CONTRACTORS--(CONTINUED) 7,300 o GROUP MAINTENANCE AMERICA CORP ........ $ 94 900 o SERVICE EXPERTS, INC .................. 20 ---------- 154 ---------- STONE, CLAY, AND GLASS PRODUCTS--0.10% 1,000 o CARBO CERAMICS, INC ................... 30 10,601 CENTEX CONSTRUCTION PRODUCTS, INC ..... 362 100,099 CORNING, INC .......................... 7,019 20,300 o DAL-TILE INTERNATIONAL, INC ........... 231 9,119 o DEPARTMENT 56, INC .................... 245 3,500 o DUPONT PHOTOMASKS, INC ................ 168 3,000 o GIANT CEMENT HOLDINGS, INC ............ 69 12,200 LIBBEY, INC ........................... 354 7,000 o OWENS ILLINOIS, INC ................... 229 7,900 SOUTHDOWN, INC ........................ 508 14,617 USG CORP .............................. 819 ---------- 10,034 ---------- TEXTILE MILL PRODUCTS--0.01% 7,493 o MOHAWK INDUSTRIES, INC ................ 228 23,900 o SHAW INDUSTRIES, INC .................. 394 3,000 ST. JOHN KNITS, INC ................... 88 24,800 WESTPOINT STEVENS, INC ................ 739 ---------- 1,449 ---------- TOBACCO PRODUCTS--1.20% 3,011,673 PHILIP MORRIS COS, INC ................ 121,032 16 o RJR REYNOLDS TOBACCO HOLDINGS, INC .... 1 62,000 UST, INC .............................. 1,814 ---------- 122,847 ---------- TRANSPORTATION BY AIR--0.02% 7,200 o AIRNET SYSTEMS, INC ................... 97 1,600 o AIRTRAN HOLDINGS, INC ................. 9 1,100 o ATLANTIC COAST AIRLINES HOLDINGS ...... 21 1,500 o ATLAS AIR, INC ........................ 48 36,387 COMAIR HOLDINGS, INC .................. 757 11,200 o FDX CORP .............................. 608 50 o MESA AIR GROUP, INC ................... 0 55 o MIDWEST EXPRESS HOLDINGS, INC ......... 2 1,000 SKYWEST, INC 25 16,400 o U.S. AIRWAYS GROUP, INC 714 ---------- 2,281 ---------- TRANSPORTATION EQUIPMENT--2.65% 1,228,486 ALLIED SIGNAL, INC .................... 77,395 1,900 o BE AEROSPACE, INC ..................... 36 330,830 BOEING CO ............................. 14,619 4,700 o BORG-WARNER AUTOMOTIVE, INC ........... 259 10,800 CLARCOR, INC .......................... 207 18,533 CORDANT TECHNOLOGIES, INC ............. 837 32,704 DANAHER CORP .......................... 1,901 13,600 DELPHI AUTOMOTIVE SYSTEMS CORP ........ 252 32,600 FEDERAL-MOGUL CORP .................... 1,695 1,208,500 o GENERAL MOTORS CORP (CLASS H) ......... 67,978 28,600 o GENTEX CORP ........................... 801 27,984 GOODRICH (B.F.) CO .................... 1,189 37,459 o GULFSTREAM AEROSPACE CORP ............. 2,531 7,842 o HALTER MARINE GROUP, INC .............. 52 73,760 HARLEY DAVIDSON, INC .................. 4,011 15,600 o HAYES LEMMERZ INTERNATIONAL, INC ...... 458 1,500 o HEICO CORP ............................ 37 8,300 o HOWMET INTERNATIONAL, INC ............. 143 1,400 o KELLSTROM INDUSTRIES, INC ............. 26 400 o KROLL O GARA CO ....................... 9 22,374 MASCOTECH, INC ........................ 379 81,944 MERITOR AUTOMOTIVE, INC ............... 2,090 2,600 o MONACO COACH CORP ..................... 110 3,200 o MOTIVEPOWER INDUSTRIES, INC ........... 58 4,300 o NATIONAL R.V. HOLDINGS, INC ........... 104 400 o NEWPORT NEWS SHIPBUILDING, INC ........ 12 8,300 o ORBITAL SCIENCES CORP ................. 196 13,555 POLARIS INDUSTRIES, INC ............... 590 3,804 REGAL-BELOIT CORP ..................... 90 1,500 o STONERIDGE, INC ....................... 20 3,324 THOR INDUSTRIES, INC .................. 94 8,755 o TRIUMPH GROUP, INC .................... 223 1,283,753 UNITED TECHNOLOGIES CORP .............. 92,029 ---------- 270,431 ---------- TRANSPORTATION SERVICES--0.03% 50 AIR EXPRESS INTERNATIONAL CORP ........ 1 300 o AMBASSADORS INTERNATIONAL, INC ........ 4 18,500 C.H. ROBINSON WORLDWIDE, INC .......... 680 2,200 o EAGLE U.S.A. AIRFREIGHT, INC .......... 93 12,600 EXPEDITORS INTERNATIONAL OF WASHINGTON ........................... 343 31,916 GALILEO INTERNATIONAL, INC ............ 1,706 83 o NAVIGANT INTERNATIONAL, INC ........... 1 2,200 o U.S. EXPRESS ENTERPRISES, INC (CLASS A) 24 ---------- 2,852 ---------- TRUCKING AND WAREHOUSING--0.01% 3,000 o DISPATCH MANAGEMENT SERVICES CORP ..... 8 2,000 o HEARTLAND EXPRESS, INC ................ 33 7,500 HUNT (J.B.) TRANSPORT SERVICES, INC ... 122 12,900 o IRON MOUNTAIN, INC .................... 369 2,800 o KNIGHT TRANSPORTATION, INC ............ 60 7,100 o PIERCE LEAHY CORP ..................... 175 24,775 o SWIFT TRANSPORTATION CO, INC .......... 545 ---------- 1,312 ---------- WATER TRANSPORTATION--1.27% 2,646,876 CARNIVAL CORP (CLASS A) ............... 128,373 46,702 TIDEWATER, INC ........................ 1,424 34 o TRICO MARINE SERVICES, INC ............ 0 ---------- 129,797 ---------- WHOLESALE TRADE-DURABLE GOODS--0.04% 4,900 o ACTION PERFORMANCE COS, INC ........... 162 4,700 o ANICOM, INC ........................... 49 56 o ANIXTER INTERNATIONAL, INC ............ 1 273 o ARROW ELECTRONICS, INC ................ 5 1,300 o AVIATION SALES CO ..................... 51 1,900 AVNET, INC ............................ 88 8,400 BRIGGS & STRATTON CORP ................ 485 7,789 o BRIGHTPOINT, INC ...................... 47 73 CASTLE (A.M.) & CO .................... 1 20,456 o CELLSTAR CORP ......................... 161 23,972 o FISHER SCIENTIFIC INTERNATIONAL, INC .. 535 300 o GRAHAM-FIELD HEALTH PRODUCTS, INC ..... 0 9,600 o HA-LO INDUSTRIES, INC ................. 95 12,400 IKON OFFICE SOLUTIONS, INC ............ 186 20,400 o INGRAM MICRO, INC (CLASS A) ........... 525 1,900 o JLK DIRECT DISTRIBUTION, INC (CLASS A) 18 1,900 o KEYSTONE AUTOMOTIVE INDUSTRIES, INC ... 33 6,000 o METAL MANAGEMENT, INC ................. 9 6,400 o MSC INDUSTRIAL DIRECT CO (CLASS A) .... 66 7,400 o NATIONAL-OILWELL, INC ................. 104 22,971 OWENS & MINOR, INC .................... 253 6,200 o PATTERSON DENTAL CO ................... 215 10,725 o PSS WORLD MEDICAL, INC ................ 120 See notes to financial statements. 69 GROWTH ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ WHOLESALE TRADE-DURABLE GOODS--(CONTINUED) 11,800 o SAFEGUARD SCIENTIFICS, IN $ 732 11,871 o TECH DATA CORP 454 2,043 o VWR SCIENTIFIC PRODUCTS CORP 75 200 o WATSCO, INC 3 ---------- 4,473 ---------- WHOLESALE TRADE-NONDURABLE GOODS--1.74% 9,100 o AIRGAS, INC 111 37,900 o AMERISOURCE HEALTH CORP (CLASS A) ..... 966 6,600 o BARNETT RESOURCES CORP 253 80,011 BERGEN BRUNSWIG CORP (CLASS A) 1,380 32 o BOISE CASCADE OFFICE PRODUCTS CORP 0 2,537,872 CARDINAL HEALTH, INC 162,737 4,500 o CENTRAL GARDEN & PET CO 46 92 DIMON, INC 0 8,933 ENRON CORP 730 8,100 o HERBALIFE INTERNATIONAL, INC (CLASS B) 70 5,500 o HUNT CORP 45 2,552 o KENNETH COLE PRODUCTIONS, INC 71 123,194 MCKESSON HBOC, INC 3,958 14,100 o NU SKIN ENTERPRISES, INC (CLASS A) 281 3,300 o PERFORMANCE FOOD GROUP CO 90 4,000 o PLAINS RESOURCES, INC 76 6,050 o PRIORITY HEALTHCARE CORP (CLASS B) 209 20,332 RICHFOOD HOLDINGS, INC 358 48 o SCHOOL SPECIALTY, INC 1 26,800 o SCIOS, INC 87 167,678 SYSCO CORP 4,999 17,700 o UNITED STATIONERS, INC 389 17,000 UNIVERSAL CORP 483 2,300 VALHI, INC 26 ---------- 177,366 ---------- TOTAL COMMON STOCK (Cost $7,815,719) ..... 9,862,388 ---------- PRINCIPAL --------- SHORT TERM INVESTMENTS--2.89% CERTIFICATES OF DEPOSIT--0.11% FLEET NATIONAL BANK $11,500,000 * 4.880% 08/11/99 ..................... 11,494 ----------- COMMERCIAL PAPER--2.20% AMERICAN EXPRESS CREDIT CORP 5,551,000 * 4.780% 07/16/99 ..................... 5,538 ASSOCIATES CORP OF NORTH AMERICA 10,000,000 * 4.920% 08/31/99 ..................... 9,910 BEAR STEARNS CO, INC 11,518,000 * ~ 4.820% 07/19/99 ..................... 11,486 CIESCO LP 11,518,000 * ~ 5.110% 08/09/99 ..................... 11,451 COLGATE-PALMOLIVE CO 9,000,000 * ~ 4.870% 07/28/99 ..................... 8,963 EASTMAN KODAK CO 11,518,000 * 4.780% 07/06/99 ..................... 11,507 ENTERPRISE FUNDING CORP 6,500,000 * ~ 4.870% 07/14/99 ..................... 6,487 5,118,000 * ~ 4.880% 08/19/99 ..................... 5,081 FORD MOTOR CREDIT CO 4,785,000 * 4.890% 07/23/99 ..................... 4,769 FORTUNE BRANDS, INC 5,000,000 * ~ 4.780% 07/13/99 ..................... 4,991 HEINZ (H.J.) CO 8,601,000 * 4.820% 07/22/99 ..................... 8,574 HOUSEHOLD FINANCE CORP 4,500,000 * 4.850% 07/07/99 ..................... 4,495 LOCKHEED MARTIN CORP 2,045,000 * ~ 5.250% 07/12/99 ..................... 2,041 MCGRAW-HILL COS, INC 11,517,000 * 4.850% 08/18/99 ..................... 11,435 MCI WORLDCOM, INC 10,932,000 ~ 6.100% 07/01/99 ..................... 10,930 MORGAN STANLEY DEAN WITTER 11,518,000 5.750% 07/01/99 ..................... 11,516 MOTOROLA, INC 11,518,000 * 4.780% 07/29/99 ..................... 11,470 NATIONAL RURAL UTILITIES COOP FINANCE 11,000,000 * 4.910% 08/26/99 ..................... 10,909 PACCAR FINANCIAL CORP 11,518,000 * 4.770% 07/22/99 ..................... 11,481 PUBLIC SERVICE ELECECTRIC & GAS 11,517,000 * 5.000% 07/15/99 ..................... 11,491 RAYTHEON CO 7,955,000 * ~ 4.980% 07/01/99 ..................... 7,954 3,100,000 * ~ 5.000% 07/07/99 ..................... 3,096 RECEIVABLES CAPITAL CORP 11,517,000 * ~ 4.860% 07/12/99 ..................... 11,497 SALOMON SMITH BARNEY HOLDINGS, INC 11,518,000 * 4.790% 08/10/99 ..................... 11,450 SC JOHNSON & SON, INC 5,017,000 * ~ 5.120% 08/17/99 ..................... 4,982 TYCO INTERNATIONAL 11,518,000 * ~ 5.350% 08/05/99 ..................... 11,456 ----------- 224,960 ----------- U.S. GOVERNMENT & AGENCIES--0.58% FEDERAL HOME LOAN BANK 122,000 * 4.680% 07/16/99 ...................... 122 171,000 * 4.750% 10/08/99 ...................... 169 FEDERAL HOME LOAN MORTGAGE CORP 1,532,000 * 4.700% 07/23/99 ...................... 1,527 28,235,000 * 5.050% 08/05/99 ...................... 28,093 16,640,000 * 4.930% 08/12/99 ...................... 16,540 698,000 * 4.770% 08/13/99 ...................... 694 10,855,000 * 5.050% 08/24/99 ...................... 10,772 FEDERAL NATIONAL MORTGAGE ASSOCIATION 1,183,000 * 4.860% 08/05/99 ...................... 1,177 ----------- 59,094 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $295,738) ....................... 295,548 ----------- TOTAL PORTFOLIO (Cost $8,111,889)....... ................ $10,158,467 =========== - ------------- o 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 these securities have 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 June 30, 1999, the value of these securities amounted to $15,714 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 PROCURENET, INC 04/19/99 4,068 ZEBRA TECHNOLOGY CORP (CLASS B) 10/29/98 8,133 -------- $ 30,186 ======== 70 See notes to financial statements. COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES -- GROWTH ACCOUNT (Unaudited) JANUARY 1, 1999 -- JUNE 30, 1999
VALUE AT REALIZED DIVIDEND SHARES AT VALUE AT ISSUE DECEMBER 31, 1998 PURCHASE COST SALES PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1999 JUNE 30, 1999 ----- ----------------- ------------- -------------- ----------- ---------- ------------- ------------- GUILFORD PHARMACEUTICALS, INC $ 23,499,675 -- $ 2,634,458 $(2,339,489) -- 1,392,100 $ 17,749,275 OCEAN ENERGY, INC (NEW) 36,941,299 $ 26,763 24,170,475 (84,959,237) -- -- [] PREMIER PARKS, INC 162,391,075 33,477,155 114,863,289 37,267,478 -- -- [] TOTAL AFFILIATED TRANSACTIONS $222,832,049 $33,503,918 $141,668,222 ($50,031,248) $ 0 $ 17,749,275 ============ =========== ============ =========== ========= ============
[] Not an Affiliate as of June 30, 1999 See notes to financial statements. 71 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (Unaudited) JUNE 30, 1999 SUMMARY BY INDUSTRY (000) VALUE % --------- ------- BONDS CORPORATE BONDS ELECTRIC, GAS, AND SANITARY SERVICES ... $ 15 0.00% ---------- ------ TOTAL CORPORATE BONDS (Cost $10) ............................. 15 0.00 ---------- ------ TOTAL BONDS (Cost $10) ............................. 15 0.00 ---------- ------ PREFERRED STOCK HOLDING AND OTHER INVESTMENT OFFICES ... 34 0.00 INSTRUMENTS AND RELATED PRODUCTS ....... 0 0.00 INSURANCE CARRIERS ..................... 95 0.00 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ..................... 552 0.02 WHOLESALE TRADE-DURABLE GOODS .......... 21 0.00 ---------- ------ TOTAL PREFERRED STOCK (Cost $568) ............................ 702 0.02 ---------- ------ COMMON STOCK AGRICULTURAL PRODUCTION-CROPS .......... 3,401 0.08 AGRICULTURAL SERVICES .................. 115 0.00 AMUSEMENT AND RECREATION SERVICES ...... 4,947 0.11 APPAREL AND ACCESSORY STORES ........... 25,680 0.59 APPAREL AND OTHER TEXTILE PRODUCTS ..... 5,235 0.12 AUTO REPAIR, SERVICES AND PARKING ...... 2,528 0.06 AUTOMOTIVE DEALERS AND SERVICE STATIONS 5,186 0.12 BUILDING MATERIALS AND GARDEN SUPPLIES . 40,472 0.92 BUSINESS SERVICES ...................... 342,263 7.80 CHEMICALS AND ALLIED PRODUCTS .......... 521,687 11.89 COAL MINING ............................ 68 0.00 COMMUNICATIONS ......................... 527,401 12.02 DEPOSITORY INSTITUTIONS ................ 347,120 7.91 EATING AND DRINKING PLACES ............. 36,884 0.84 EDUCATIONAL SERVICES ................... 1,566 0.04 ELECTRIC, GAS, AND SANITARY SERVICES ... 153,325 3.50 ELECTRONIC AND OTHER ELECTRIC EQUIPMENT 352,572 8.04 ENGINEERING AND MANAGEMENT SERVICES .... 8,898 0.20 FABRICATED METAL PRODUCTS .............. 30,442 0.69 FISHING, HUNTING, AND TRAPPING ......... 33 0.00 FOOD AND KINDRED PRODUCTS .............. 145,593 3.32 FOOD STORES ............................ 31,435 0.72 FORESTRY ............................... 1,845 0.04 FURNITURE AND FIXTURES ................. 11,693 0.27 FURNITURE AND HOMEFURNISHINGS STORES ... 13,848 0.32 GENERAL BUILDING CONTRACTORS ........... 4,147 0.09 GENERAL MERCHANDISE STORES ............. 100,293 2.29 HEALTH SERVICES ........................ 17,926 0.41 HEAVY CONSTRUCTION, EXCEPT BUILDING .... 2,012 0.05 HOLDING AND OTHER INVESTMENT OFFICES ... 40,361 0.92 HOTELS AND OTHER LODGING PLACES ........ 12,520 0.29 INDUSTRIAL MACHINERY AND EQUIPMENT ..... 340,626 7.76 INSTRUMENTS AND RELATED PRODUCTS ....... 99,993 2.28 INSURANCE AGENTS, BROKERS AND SERVICE .. 8,158 0.19 INSURANCE CARRIERS ..................... 220,933 5.03 LEATHER AND LEATHER PRODUCTS ........... 910 0.02 LEGAL SERVICES ......................... 351 0.01 LOCAL AND INTERURBAN PASSENGER TRANSIT . 361 0.01 LUMBER AND WOOD PRODUCTS ............... 10,405 0.24 METAL MINING ........................... 5,199 0.12 MISCELLANEOUS MANUFACTURING INDUSTRIES . 19,810 0.45 MISCELLANEOUS RETAIL ................... 40,630 0.93 MOTION PICTURES ........................ 49,612 1.13 NONDEPOSITORY INSTITUTIONS ............. 91,383 2.08 NONMETALLIC MINERALS, EXCEPT FUELS ..... 2,277 0.05 OIL AND GAS EXTRACTION ................. 32,728 0.74 PAPER AND ALLIED PRODUCTS .............. 38,560 0.88 PERSONAL SERVICES ...................... 5,888 0.13 PETROLEUM AND COAL PRODUCTS ............ 164,244 3.74 PRIMARY METAL INDUSTRIES ............... 18,252 0.42 PRINTING AND PUBLISHING ................ 35,468 0.81 RAILROAD TRANSPORTATION ................ 18,988 0.43 REAL ESTATE ............................ 4,141 0.09 RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS ..................... 18,385 0.42 SECURITY AND COMMODITY BROKERS ......... 63,429 1.44 SOCIAL SERVICES ........................ 264 0.01 SPECIAL TRADE CONTRACTORS .............. 650 0.01 STONE, CLAY, AND GLASS PRODUCTS ........ 11,529 0.26 TEXTILE MILL PRODUCTS .................. 4,021 0.09 TOBACCO PRODUCTS ....................... 37,093 0.84 TRANSPORTATION BY AIR .................. 24,196 0.55 TRANSPORTATION EQUIPMENT ............... 130,156 2.97 TRANSPORTATION SERVICES ................ 3,871 0.09 TRUCKING AND WAREHOUSING ............... 3,742 0.09 WATER TRANSPORTATION ................... 2,033 0.05 WHOLESALE TRADE-DURABLE GOODS .......... 12,091 0.28 WHOLESALE TRADE-NONDURABLE GOODS ....... 29,891 0.68 ---------- ------ TOTAL COMMON STOCK (Cost $2,974,038) ...................... 4,341,764 98.97 ---------- ------ SHORT TERM INVESTMENTS U.S. GOVERNMENT & AGENCIES ............. 50,603 1.15 ---------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $50,610) ......................... 50,603 1.15 ---------- ------ TOTAL PORTFOLIO (Cost $3,025,226) ...................... 4,393,084 100.14 OTHER ASSETS & LIABILITIES, NET ....... (6,154) (0.14) ---------- ------ NET ASSETS ............................... $4,386,930 100.00% ---------- ------ 72 See notes to financial statements. COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (Unaudited) JUNE 30, 1999 VALUE PRINCIPAL (000) --------- ------ BONDS--0.00% CORPORATE BONDS--0.00% ELECTRIC, GAS, AND SANITARY SERVICES--0.00% WMX TECHNOLOGIES, INC (SUB CV NOTE) $14,000 2.000%, 01/24/05 ..................... $15 ----------- TOTAL CORPORATE BONDS (COST $10) ............................. 15 ----------- TOTAL BONDS (COST $10) .............................. 15 ----------- VALUE SHARES (000) ------ ------ PREFERRED STOCK--0.02% HOLDING AND OTHER INVESTMENT OFFICES--0.00% 800 SUPERIOR TRUST I SERIES A ............. 34 ----------- INSTRUMENTS AND RELATED PRODUCTS--0.00% 11,200 o FRESENIUS MEDICAL CARE (CLASS D) ...... 0 ----------- INSURANCE CARRIERS--0.00% 1,273 AETNA, INC SERIES C ................... 95 ----------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.02% 8,835 SEALED AIR CORP (CLASS A) ............. 552 ----------- WHOLESALE TRADE-DURABLE GOODS--0.00% 1,122 PREMIER FARNELL PLC CV ADR ............ 21 ----------- TOTAL PREFERRED STOCK (Cost $568) .............................. 702 ----------- COMMON STOCK--98.97% AGRICULTURAL PRODUCTION-CROPS--0.08% 12,533 DELTA & PINE LAND CO .................. 395 77,200 PIONEER-HI-BRED INTERNATIONAL, INC .... 3,006 ----------- 3,401 ----------- AGRICULTURAL SERVICES--0.00% 7,200 o CADIZ, INC ............................ 68 3,500 o VETERINARY CENTERS OF AMERICA, INC .... 47 ----------- 115 ----------- AMUSEMENT AND RECREATION SERVICES--0.11% 2,000 o AMERICAN SKIING CO .................... 8 14,400 o AMF BOWLING, INC ...................... 122 2,300 o ANCHOR GAMING CO ...................... 111 17,800 o ARGOSY GAMING CORP .................... 157 8,014 o BALLY TOTAL FITNESS HOLDINGS CORP ..... 227 12,800 o BOYD GAMING CORP ...................... 90 1,800 o CHAMPIONSHIP AUTO RACING TEAMS, INC ... 54 1,500 CHURCHILL DOWNS, INC .................. 52 8,500 o FAMILY GOLF CENTERS, INC .............. 65 6,700 o FLORIDA PANTHERS HOLDINGS, INC ........ 72 39,308 o HARRAH'S ENTERTAINMENT, INC ........... 865 6,900 o HOLLYWOOD PARK, INC ................... 117 5,400 o INTERNATIONAL SPEEDWAY CORP (CLASS A) . 257 3,137 o LAKES GAMING, INC ..................... 34 57,800 o MIRAGE RESORT, INC .................... 968 600 o PENSKE MOTORSPORTS, INC ............... 30 9,750 o PLAYERS INTERNATIONAL, INC ............ 70 12,600 o PREMIER PARKS, INC .................... 463 8,200 o SFX ENTERTAINMENT, INC (CLASS A) ...... 525 5,500 o SPEEDWAY MOTORSPORTS, INC ............. 216 6,700 o STATION CASINOS, INC .................. 137 8,600 o WESTWOOD ONE, INC ..................... 307 ----------- 4,947 ----------- APPAREL AND ACCESSORY STORES--0.59% 35,882 o ABERCROMBIE & FITCH CO (CLASS A) ...... 1,722 8,800 o AMERICAN EAGLE OUTFITTERS, INC ........ 400 7,757 o ANN TAYLOR STORES CORP ................ 349 2,600 o BUCKLE, INC ........................... 75 6,120 BURLINGTON COAT FACTORY WAREHOUSE CORP ................................. 118 8,300 CATO CORP (CLASS A) ................... 96 36,100 o CHARMING SHOPPES, INC ................. 220 3,400 o CHILDRENS PLACE RETAIL STORES ......... 138 14,100 CLAIRES STORES, INC ................... 361 8,100 o DRESS BARN, INC ....................... 130 13 xo EDISON BROTHERS STORES WTS 09/26/05 ... 0 5,800 o FINISH LINE, INC (CLASS A) ............ 65 9,969 o FOOTSTAR, INC ......................... 371 3,800 o GADZOOKS, INC ......................... 61 228,291 GAP, INC .............................. 11,500 6,100 o GENESCO, INC .......................... 89 7,400 o GOODYS FAMILY CLOTHING, INC ........... 85 9,700 o GYMBOREE CORP ......................... 102 18,690 INTIMATE BRANDS, INC (CLASS A) ........ 885 7,900 o JUST FOR FEET, INC .................... 51 33,014 LIMITED, INC .......................... 1,498 8,850 o MENS WAREHOUSE, INC ................... 226 34,600 NORDSTROM, INC ........................ 1,159 1,600 o NORTH FACE, INC ....................... 16 10,650 o PACIFIC SUNWEAR CALIFORNIA, INC ....... 260 11,396 o PAYLESS SHOESOURCE, INC ............... 610 2,900 o PETRIE STORES CORP (LIQUIDATING TRUST) 7 16,200 ROSS STORES, INC ...................... 816 12,700 o STAGE STORES, INC ..................... 83 12,800 o STEIN MART, INC ....................... 120 6,200 TALBOTS, INC .......................... 236 111,200 TJX COS, INC .......................... 3,704 1,500 o URBAN OUTFITTERS, INC ................. 38 3,100 o WET SEAL, INC (CLASS A) ............... 89 ----------- 25,680 ----------- APPAREL AND OTHER TEXTILE PRODUCTS--0.12% 9,400 AUTHENTIC FITNESS CORP ................ 165 1,600 o COLUMBIA SPORTSWEAR CO ................ 25 19,500 o FRUIT OF THE LOOM LTD (CLASS A) ....... 190 2,200 o HARTMARX CORP ......................... 9 32,909 o JONES APPAREL GROUP, INC .............. 1,129 9,800 KELLWOOD CO ........................... 266 21,100 LIZ CLAIBORNE, INC .................... 770 13,500 o NAUTICA ENTERPRISES, INC .............. 228 800 OSHKOSH B'GOSH, INC (CLASS A) ......... 17 12,000 PHILLIPS VAN HEUSEN CORP .............. 119 3,745 PILLOWTEX CORP ........................ 61 17,400 o POLO RALPH LAUREN CORP ................ 331 5,700 o QUIKSILVER, INC ....................... 149 30,900 VF CORP ............................... 1,321 17,000 WARNACO GROUP, INC (CLASS A) .......... 455 ----------- 5,235 ----------- See notes to financial statements. 73 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ AUTO REPAIR, SERVICES AND PARKING--0.06% 8,200 o AVIS RENT A CAR, INC .................. $ 239 8,700 o BUDGET GROUP, INC ..................... 107 7,050 CENTRAL PARKING CORP .................. 241 7,000 o DOLLAR THRIFTY AUTOMOTIVE GROUP, INC .. 163 11,000 HERTZ CORP (CLASS A) .................. 682 9,733 MIDAS, INC ............................ 276 5,460 o NATIONAL AUTO CREDIT, INC ............. 6 25,500 ROLLINS TRUCK LEASING CORP ............ 284 20,400 RYDER SYSTEM, INC ..................... 530 ----------- 2,528 ----------- AUTOMOTIVE DEALERS AND SERVICE STATIONS--0.12% 136,116 o AUTONATION, INC ....................... 2,425 54,024 o AUTOZONE, INC ......................... 1,627 843 o CIRCUIT CITY STORES, INC (CARMAX GROUP) 4 2,000 o COPART, INC ........................... 43 7,500 o CSK AUTO CORP ......................... 203 2,700 o DISCOUNT AUTO PARTS, INC .............. 65 1,700 o GROUP 1 AUTOMOTIVE, INC ............... 36 6,500 o OREILLY AUTOMOTIVE, INC ............... 327 17,838 PEP BOYS MANNY, MOE, & JACK CO ........ 386 3,300 o UNITED AUTO GROUP, INC ................ 34 2,500 o WEST MARINE, INC ...................... 36 ----------- 5,186 ----------- BUILDING MATERIALS AND GARDEN SUPPLIES--0.92% 9,500 FASTENAL CO ........................... 498 518,900 HOME DEPOT, INC ....................... 33,437 115,316 LOWES COS, INC ........................ 6,537 ----------- 40,472 ----------- BUSINESS SERVICES--7.80% 5,400 o 3DO CO ................................ 25 6,325 AARON RENTS, INC ...................... 141 2,700 o ABACUS DIRECT CORP .................... 247 18,043 ABM INDUSTRIES, INC ................... 554 16,100 o ACCLAIM ENTERTAINMENT, INC ............ 103 4,600 o ACKERLEY GROUP, INC ................... 84 55,766 o ACNEILSEN CORP ........................ 1,687 2,800 o ACTIVISION, INC ....................... 41 42,560 o ACXIOM CORP ........................... 1,061 1,824 o ADMINSTAFF, INC ....................... 29 22,272 ADOBE SYSTEMS, INC .................... 1,830 1,600 o ADVANTAGE LEARNING SYSTEMS, INC ....... 35 5,900 o ADVENT SOFTWARE, INC .................. 395 22,200 o ADVO, INC ............................. 461 25,740 o AFFILIATED COMPUTER SERVICES, INC (CLASS A) ............................ 1,303 9,300 o ALTERNATIVE RESOURCES CORP ............ 65 381,781 AMERICA ONLINE, INC ................... 42,187 25,525 o AMERICAN MANAGEMENT SYSTEMS, INC ...... 818 7,950 ANALYSTS INTERNATIONAL CORP ........... 114 6,000 o APAC TELESERVICES, INC ................ 20 2,000 o ARIS CORP ............................. 17 5,800 o ASPECT DEVELOPMENT, INC ............... 107 8,400 o ASPEN TECHNOLOGY, INC ................. 99 18,900 AUTODESK, INC ......................... 559 206,593 AUTOMATIC DATA PROCESSING, INC ........ 9,090 10,000 o AVANT CORP ............................ 126 7,200 o AVT CORP .............................. 273 6,800 o AXENT TECHNOLOGIES, INC ............... 76 4,905 o AZTEC TECHNOLOGY PARTNERS, INC ........ 9 11,000 o BANYAN SYSTEMS, INC ................... 120 1,500 o BARRA, INC ............................ 38 16,200 o BEA SYSTEMS, INC ...................... 463 13,100 o BILLING CONCEPTS CORP ................. 147 11,200 o BISYS GROUP, INC ...................... 655 81,307 o BMC SOFTWARE, INC ..................... 4,391 5,009 o BORG-WARNER SECURITY CORP ............. 102 2,800 o BORON, LEPORE & ASSOCIATES, INC ...... 23 9,000 o BROADVISION, INC ...................... 664 4,094 o BUILDING ONE SERVICES CORP ............ 57 2,010 o CACI INTERNATIONAL, INC (CLASS A) ..... 45 79,165 o CADENCE DESIGN SYSTEMS, INC ........... 1,009 16,800 o CAMBRIDGE TECHNOLOGY PARTNERS, INC .... 295 8,900 o CARIBINER INTERNATIONAL, INC .......... 55 5,900 o CATALINA MARKETING CORP ............... 543 5,000 o CCC INFORMATION SERVICES GROUP, INC ... 64 6,700 o CDI CORP .............................. 228 450 o CELLULAR TECHNICAL SERVICES CO ........ 2 18,100 o CENTURY BUSINESS SERVICES, INC ........ 262 41,320 o CERIDIAN CORP ......................... 1,351 8,700 o CERNER CORP ........................... 182 13,100 o CHECKFREE HOLDINGS CORP ............... 361 5,287 o CHOICEPOINT, INC ...................... 355 13,000 o CIBER, INC ............................ 249 27,600 o CITRIX SYSTEMS, INC ................... 1,559 6,500 o CLARIFY, INC .......................... 268 24,900 o CMGI, INC ............................. 2,840 11,800 o CNET, INC ............................. 680 39,441 o COMDISCO, INC ........................ 1,011 4,708 o COMPLETE BUSINESS SOLUTIONS, INC ...... 84 145,275 COMPUTER ASSOCIATES INTERNATIONAL, INC ................... 7,990 12,250 o COMPUTER HORIZONS CORP ................ 169 53,456 o COMPUTER SCIENCES CORP ................ 3,698 7,500 COMPUTER TASK GROUP, INC .............. 128 110,800 o COMPUWARE CORP ........................ 3,525 3,900 o CONCORD COMMUNICATIONS, INC ........... 176 51,137 o CONVERGYS CORP ........................ 984 2,000 o CORT BUSINESS SERVICES CORP ........... 48 5,000 o COTELLIGENT, INC ...................... 39 15,700 o CSG SYSTEMS INTERNATIONAL, INC ........ 411 7,400 o CYBERGUARD CORP ....................... 9 4,200 o DATA DIMENSIONS, INC .................. 14 200 o DATA PROCESSING RESOURCES CORP ........ 5 4,300 o DATASTREAM SYSTEMS, INC ............... 69 1,200 o DBT ONLINE, INC ....................... 39 1,700 o DELTEK SYSTEMS, INC ................... 17 6,500 o DENDRITE INTERNATIONAL, INC ........... 235 4,500 o DOCUMENTUM, INC ....................... 59 11,400 o DOUBLECLICK, INC ...................... 1,046 11,300 o DST SYSTEMS, INC ...................... 710 5,400 o EARTHLINK NETWORK, INC ................ 332 2,310 o ECLIPSYS CORP ......................... 55 1,800 o ELECTRO RENT CORP ..................... 19 20,800 o ELECTRONIC ARTS, INC .................. 1,128 124,519 ELECTRONIC DATA SYSTEMS CORP .......... 7,043 17,700 o ELECTRONICS FOR IMAGING, INC .......... 909 15,900 o EMPLOYEE SOLUTIONS, INC ............... 19 3,000 o ENGINEERING ANIMATION, INC ............ 64 21,024 o EPICOR SOFTWARE CORP .................. 156 48,709 EQUIFAX, INC .......................... 1,738 41,954 o EXCITE AT HOME ........................ 2,263 74 See notes to financial statements. EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ BUSINESS SERVICES--(CONTINUED) 2,750 o FACTSET RESEARCH SYSTEMS, INC ......... $ 156 5,400 FAIR ISSAC & CO, INC .................. 189 11,200 o FILENET CORP .......................... 128 149,859 FIRST DATA CORP ....................... 7,334 38,375 o FISERV, INC ........................... 1,202 5,600 o FORTE SOFTWARE, INC ................... 54 7,600 o GENERAL MAGIC, INC .................... 27 3,200 o GENESYS TELECOMMUNICATIONS LABORATORIES, INC .................... 80 10,200 GERBER SCIENTIFIC, INC ................ 225 6,600 o GETTY IMAGES, INC ..................... 125 3,500 o GREAT PLAINS SOFTWARE, INC ............ 165 100 GREY ADVERTISING, INC ................. 33 8,300 o GT INTERACTIVE SOFTWARE CORP .......... 29 14,700 o GTECH HOLDINGS CORP ................... 346 17,100 o HARBINGER CORP ........................ 214 1,400 o HCIA, INC ............................. 13 3,500 o HEALTH MANAGEMENT SYSTEMS, INC ........ 19 9,500 o HNC SOFTWARE .......................... 293 11,490 o HYPERION SOLUTIONS CORP ............... 205 9,400 o I2 TECHNOLOGIES, INC .................. 404 3,800 o IDX SYSTEMS CORP ...................... 86 1,000 o IKOS SYSTEMS, INC ..................... 10 21,000 o IMATION CORP .......................... 521 4,850 o IMRGLOBAL CORP ........................ 93 109,756 IMS HEALTH, INC ....................... 3,430 15,780 o INACOM CORP ........................... 199 12,200 o INDUS INTERNATIONAL, INC .............. 53 6,600 o INDUSTRI-MATEMATIK INTERNATIONAL CORP ................... 16 1,000 o INFORMATION ARCHITECTS CORP ........... 2 12,200 o INFORMATION RESOURCES, INC ............ 107 54,800 o INFORMIX CORP ......................... 468 15,500 o INFOSEEK CORP ......................... 743 4,400 o INFOUSA, INC (CLASS A) ................ 39 9,500 o INFOUSA, INC (CLASS B) ................ 81 13,200 o INPRISE CORP .......................... 64 3,000 o INSO CORP ............................. 16 1,900 o INSPIRE INSURANCE SOLUTIONS, INC ...... 28 12,200 o INSURANCE AUTO AUCTIONS, INC .......... 197 3,800 o INTEGRATED SYSTEMS, INC ............... 45 3,400 o INTELLIGROUP, INC ..................... 24 8,400 o INTERGRAPH CORP ....................... 65 17,800 o INTERIM SERVICES, INC ................. 367 12,150 o INTERNATIONAL NETWORK SERVICES ........ 491 5,300 o INTERNATIONAL TELECOMMUNICATIONS ...... 85 46,250 INTERPUBLIC GROUP OF COS, INC ......... 4,006 14,700 o INTUIT, INC ........................... 1,325 2,400 o ISS GROUP, INC ........................ 91 15,400 o J.D. EDWARDS & CO ..................... 285 6,500 JACK HENRY & ASSOCIATES, INC .......... 255 6,500 o JDA SOFTWARE GROUP, INC ............... 61 19,800 o KEANE, INC ............................ 448 11,100 KELLY SERVICES, INC (CLASS A) ......... 357 7,400 o LABOR READY, INC ...................... 241 10,550 o LAMAR ADVERTISING CO (CLASS A) ........ 432 2,800 o LEASING SOLUTIONS, INC ................ 2 12,757 o LEGATO SYSTEMS, INC ................... 737 5,400 o LHS GROUP, INC ........................ 179 14,900 o LYCOS, INC ............................ 1,369 10,500 o MACROMEDIA, INC ....................... 370 800 o MANHATTAN ASSOCIATES, INC ............. 7 22,300 MANPOWER, INC ......................... 505 5,400 o MANUGISTICS GROUP, INC ................ 78 2,300 o MAPICS, INC ........................... 24 7,000 o MASTECH CORP .......................... 130 3,800 o MEDICAL MANAGER CORP .................. 168 10,200 o MEDQUIST, INC ......................... 446 2,300 o MEMBERWORKS, INC ...................... 67 17,500 o MENTOR GRAPHICS CORP .................. 224 2,750 o MERANT PLC ADR ........................ 54 9,700 o MERCURY INTERACTIVE CORP .............. 343 9,950 o METAMOR WORLDWIDE, INC ................ 239 600 o METRO INFORMATION SERVICES, INC ....... 10 2,800 o METRO NETWORKS, INC ................... 149 3,700 o MICROMUSE, INC ........................ 185 1,249,030 o MICROSOFT CORP ........................ 112,647 13,859 o MIDWAY GAMES, INC ..................... 179 11,400 o MINDSPRING ENTERPRISES, INC ........... 505 33,777 o MODIS PROFESSIONAL SERVICES ........... 464 1,014 o MOMENTUM BUSINESS APPLICANTS, INC ..... 7 8,600 NATIONAL COMPUTER SYSTEMS, INC ........ 290 9,500 NATIONAL DATA CORP .................... 406 2,000 o NCO GROUP, INC ........................ 76 4,068 o NCR CORP .............................. 199 64,858 o NETMANAGE, INC ........................ 140 24,000 o NETWORK APPLIANCE, INC ................ 1,341 2,500 o NETWORK SOLUTIONS, INC ................ 198 47,968 o NETWORKS ASSOCIATES, INC .............. 705 7,200 o NEW ERA OF NETWORKS, INC .............. 316 17,342 o NIELSEN MEDIA RESEARCH ................ 507 5,100 NORRELL CORP .......................... 96 1,700 o NORSTAN, INC .......................... 21 21,795 o NOVA CORP (GEORGIA) ................... 545 5,000 o NOVACARE EMPLOYEE SERVICES, INC ....... 14 115,800 o NOVELL, INC ........................... 3,069 3,900 o OBJECTIVE SYSTEMS INTEGRATORS, INC .... 11 5,600 o ODS NETWORKS, INC ..................... 22 20,982 OLSTEN CORP ........................... 132 59,200 OMNICOM GROUP, INC .................... 4,736 2,000 o ON ASSIGNMENT, INC .................... 52 2,300 o ONSALE, INC ........................... 44 10,200 o OPEN MARKET, INC ...................... 145 393,780 o ORACLE CORP ........................... 14,619 23,559 o OUTDOOR SYSTEMS, INC .................. 860 94,132 o PARAMETRIC TECHNOLOGY CORP ............ 1,306 72,977 PAYCHEX, INC .......................... 2,326 4,500 o PAYMENTECH, INC ....................... 114 2,700 o PEGASUS SYSTEMS, INC .................. 101 2,600 o PEGASYSTEMS, INC ...................... 27 58,900 o PEOPLESOFT, INC ....................... 1,016 5,600 o PEREGRINE SYSTEMS, INC ................ 144 14,122 o PERSONNEL GROUP OF AMERICA, INC ....... 141 5,300 o PHOENIX TECHNOLOGIES LTD .............. 95 12,200 #o PHYSICIAN COMPUTER NETWORK, INC ....... 3 14,900 PITTSTON BRINKS GROUP CO .............. 399 11,700 o POLICY MANAGEMENT SYSTEMS CORP ........ 351 3,400 o PREVIEW TRAVEL, INC ................... 75 5,406 o PRIMARK CORP .......................... 152 10,100 #o PROCURENET, INC ....................... 2 9,600 o PROGRESS SOFTWARE CORP ................ 271 3,000 o PROJECT SOFTWARE & DEVELOPMENT, INC ... 94 4,900 o PROTECTION ONE, INC ................... 26 16,900 o PSINET, INC ........................... 739 8,400 o QAD, INC .............................. 26 1,600 o QRS CORP .............................. 125 5,200 o QUADRAMED CORP ........................ 42 See notes to financial statements. 75 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ 4,100 o RADISYS CORP .......................... $ 159 28,292 o RATIONAL SOFTWARE CORP ................ 932 6,000 o REALNETWORKS, INC ..................... 413 8,400 o REMEDY CORP ........................... 226 600 o REMEDYTEMP, INC (CLASS A) ............. 8 5,657 o RENT WAY, INC ......................... 139 6,100 o RENT-A-CENTER, INC .................... 146 7,080 o RENTAL SERVICE CORP .................. 203 29,250 o ROBERT HALF INTERNATIONAL, INC ........ 761 7,900 ROLLINS, INC .......................... 126 10,300 o ROMAC INTERNATIONAL, INC .............. 91 18,500 o SABRE GROUP HOLDINGS, INC ............. 1,272 15,775 o SAFETY-KLEEN CORP ..................... 286 9,800 o SAGA SYSTEMS, INC ..................... 125 6,200 o SANCHEZ COMPUTER ASSOCIATES, INC ...... 215 3,800 o SAPIENT CORP .......................... 215 3,700 SEI INVESTMENT CO ..................... 327 9,200 SHARED MEDICAL SYSTEMS CORP ........... 600 18,908 o SIEBEL SYSTEMS, INC ................... 1,254 10,100 o SITEL CORP ............................ 30 16,300 o SNYDER COMMUNICATIONS, INC ............ 534 6,600 o SOS STAFFING SERVICES, INC ............ 35 16,000 SOTHEBYS HOLDINGS, INC (CLASS A) ...... 610 4,600 o SPORTSLINE U.S.A., INC ................ 165 400 o SPR, INC .............................. 2 3,600 o SS&C TECHNOLOGIES, INC ................ 27 8,000 o STAFFMARK, INC ........................ 80 32,577 o STERLING COMMERCE, INC ................ 1,189 23,400 o STERLING SOFTWARE, INC ............... 624 12,300 o STRUCTURAL DYNAMICS RESEARCH CORP ..... 228 270,100 o SUN MICROSYSTEMS, INC ................. 18,603 34,700 o SUNGARD DATA SYSTEMS, INC ............. 1,197 24,900 o SYBASE, INC ........................... 274 4,200 o SYKES ENTERPRISES, INC ................ 140 19,400 o SYMANTEC CORP ......................... 495 21,672 o SYNOPSYS, INC ......................... 1,196 7,000 o SYNTEL, INC ........................... 63 9,750 o SYSTEM SOFTWARE ASSOCIATES, INC ....... 16 11,700 o SYSTEMS & COMPUTER TECHNOLOGY CORP ...................... 170 48,400 xo SYSTEMSOFT CORP ....................... 5 12,200 o TCSI CORP ............................. 31 13,025 o TECHNOLOGY SOLUTIONS CO ............... 141 1,200 o TELESPECTRUM WORLDWIDE, INC ........... 9 6,400 o TELETECH HOLDINGS, INC ................ 65 3,600 o TMP WORLDWIDE, INC .................... 229 9,400 TOTAL SYSTEM SERVICES, INC ............ 179 10,300 o TRANSACTION SYSTEM ARCHITECTURE ....... 402 11,600 TRUE NORTH COMMUNICATIONS, INC ........ 348 5,300 o TYLER TECHNOLOGIES, INC .............. 36 8,211 o UNITED RENTALS, INC ................... 242 21,550 o USWEB CORP ............................ 478 20,700 o VALASSIS COMMUNICATIONS, INC .......... 758 8,300 o VANTIVE CORP .......................... 95 1,400 o VERIO, INC ............................ 97 1,800 o VERISIGN, INC ......................... 155 16,200 o VERITAS SOFTWARE CORP ................. 1,538 5,100 o VIASOFT, INC .......................... 18 8,200 o VISIO CORP ............................ 312 2,100 o VOLT INFORMATION SCIENCES, INC ........ 48 4,800 WACKENHUT CORP SERIES A ............... 143 7,800 o WEST TELESERVICES CORP ................ 73 5,400 o WESTAFF, INC .......................... 32 11,400 o WIND RIVER SYSTEMS, INC ............... 183 4,800 o XTRA CORP ............................. 221 50,300 o YAHOO, INC ............................ 8,664 14,300 o YOUNG & RUBICAM, INC .................. 650 ----------- 342,263 ----------- CHEMICALS AND ALLIED PRODUCTS--11.89% 528,969 ABBOTT LABORATORIES CO ................ 24,068 8,000 o ADVANCED TISSUE SCIENCE CO ............ 26 81,211 AIR PRODUCTS & CHEMICALS, INC ......... 3,269 17,200 ALBEMARLE CORP ........................ 398 31,200 ALBERTO CULVER CO (CLASS B) ........... 831 1,600 o ALGOS PHARMACEUTICAL CORP ............. 35 6,500 o ALKERMES, INC ......................... 150 40,157 ALLERGAN, INC ......................... 4,457 7,185 o ALLERGAN SPECIALTY THERAPEUTICS, INC (CLASS A) ............................ 78 5,300 o ALLIANCE PHARMACEUTICAL CORP .......... 14 14,741 ALPHARMA, INC (CLASS A) ............... 524 29,804 o ALZA CORP ............................. 1,516 457,170 AMERICAN HOME PRODUCTS CORP ........... 26,287 178,500 o AMGEN, INC ............................ 10,866 11,400 o AMYLIN PHARMACEUTICALS, INC ........... 13 4,000 o ANDRX CORP ............................ 309 600 o APHTON CORP ........................... 8 5,250 ARCH CHEMICALS, INC ................... 128 2,100 o ARQULE, INC ........................... 10 2,700 o AVIRON, INC ........................... 78 86,496 AVON PRODUCTS, INC .................... 4,801 3,300 o AXYS PHARMACEUTICALS, INC ............. 11 3,100 o BARR LABORATORIES, INC ................ 124 14,600 o BIO-TECHNOLOGY GENERAL CORP ........... 95 48,200 o BIOGEN, INC ........................... 3,100 5,000 o BIOMATRIX, INC ........................ 108 1,420 BLOCK DRUG, INC (CLASS A) ............. 59 697,852 BRISTOL MYERS SQUIBB CO ............... 49,155 22,100 CABOT CORP ............................ 535 800 o CADUS PHARMACEUTICAL CORP ............. 1 18,100 CALGON CARBON CORP .................... 107 9,982 CAMBREX CORP .......................... 262 1,300 o CARBIDE/GRAPHITE GROUP, INC ........... 19 4,700 CARTER WALLACE, INC ................... 85 3,600 o CELL GENESYS, INC ..................... 15 19,800 o CENTOCOR, INC ......................... 923 7,000 o CEPHALON, INC ......................... 122 2,200 o CHATTEM, INC .......................... 70 15,700 CHEMFIRST, INC ........................ 382 1,900 o CHIREX, INC ........................... 61 35,828 o CHIRON CORP ........................... 743 7,300 CHURCH & DWIGHT CO, INC ............... 318 28,178 CLOROX CO ............................. 3,010 102,342 COLGATE PALMOLIVE CO .................. 10,106 9,100 o COLUMBIA LABORATORIES, INC ............ 78 17,300 o COPLEY PHARMACEUTICAL, INC ............ 177 6,400 o COR THERAPEUTICS, INC ................. 94 3,200 o COULTER PHARMACEUTICAL, INC ........... 72 8,455 o CRESCENDO PHARMACEUTICALS CORP ........ 146 23,490 o CROMPTON & KNOWLES CORP ............... 460 8,700 o CYGNUS, INC ........................... 113 12,200 o CYTEC INDUSTRIES, INC ................. 389 12,800 DEXTER CORP ........................... 522 5,100 DIAGNOSTIC PRODUCTS CORP .............. 141 30,100 DIAL CORP ............................. 1,119 76,114 DOW CHEMICAL CO ....................... 9,657 388,338 DU PONT (E.I.) DE NEMOURS & CO ........ 26,528 76 See notes to financial statements. EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ 12,900 o DURA PHARMACEUTICALS, INC ............. $ 154 24,400 EASTMAN CHEMICAL CO ................... 1,263 35,300 ECOLAB, INC ........................... 1,540 7,482 o ELAN CORP PLC ADR ..................... 208 29,400 ETHYL CORP ............................ 176 14,500 FERRO CORP ............................ 399 8,700 o FMC CORP .............................. 594 22,700 o FOREST LABORATORIES, INC .............. 1,050 2,700 o FUISZ TECHNOLOGIES LTD ................ 9 4,023 FULLER (H.B.) CO ...................... 275 3,100 o GELTEX PHARMACEUTICALS, INC ........... 56 3,361 GENERAL CHEMICAL GROUP, INC ........... 11 25,300 o GENZYME CORP (GENERAL DIVISION) ....... 1,227 495 o GENZYME CORP (TISSUE REPAIR DIVISION) . 1 2,193 o GENZYME-MOLECULAR ONCOLOGY ............ 6 7,500 GEON CO ............................... 242 10,800 GEORGIA GULF CORP ..................... 182 9,400 o GILEAD SCIENCES, INC .................. 491 18,600 o GRACE W.R. & CO ....................... 342 15,800 GREAT LAKES CHEMICAL CORP ............. 728 15,375 HANNA (M.A.) CO ....................... 253 34,400 HERCULES, INC ......................... 1,352 2,600 o HESKA CORP ............................ 6 10,000 o HUMAN GENOME SCIENCES, INC ............ 395 26,766 ICN PHARMACEUTICALS, INC .............. 862 11,600 o ICOS CORP ............................. 473 6,300 o IDEC PHARMACEUTICALS CORP ............. 485 11,600 o IDEXX LABORATORIES, INC ............... 270 2,300 o IGEN INTERNATIONAL, INC ............... 67 36,524 IMC GLOBAL, INC ....................... 644 1,972 o IMC GLOBAL, INC WTS 12/22/00 .......... 1 6,200 o IMCLONE SYSTEMS, INC .................. 157 5,200 o IMMUNE RESPONSE CORP .................. 28 12,400 o IMMUNEX CORP .......................... 1,580 4,300 o INHALE THERAPEUTIC SYSTEMS ............ 102 5,700 o INTERNATIONAL SPECIALTY PRODUCTS, INC ......................... 58 7,800 o INTERNEURON PHARMACEUTICALS, INC ...... 21 28,540 INTERNATIONAL FLAVORS & FRAGRANCES, INC ..................... 1,266 9,500 o ISIS PHARMACEUTICALS, INC ............. 97 41,392 o IVAX CORP ............................. 585 471,455 JOHNSON & JOHNSON CO .................. 46,203 7,400 JONES PHARMACEUTICAL, INC ............. 291 3,922 o KV PHARMACEUTICAL CO (CLASS B) ........ 62 24,020 LAUDER (ESTEE) CO (CLASS A) ........... 1,204 11,400 o LIGAND PHARMACEUTICALS CO (CLASS A) ... 127 320,400 LILLY (ELI) & CO ...................... 22,949 6,100 LILLY INDUSTRIES, INC (CLASS A) ....... 113 10,400 o LIPOSOME CO, INC ...................... 199 17,095 LUBRIZOL CORP ......................... 466 9,400 LYONDELL CHEMICAL CO .................. 194 5,300 MACDERMID, INC ........................ 246 2,800 o MACROCHEM CORP (DELAWARE) ............. 17 22,900 MALLINCKRODT, INC ..................... 833 5,400 o MATRIX PHARMACEUTICALS, INC ........... 22 15,000 o MCWHORTER TECHNOLOGIES, INC ........... 217 9,300 o MEDICIS PHARMACEUTICAL CORP (CLASS A) . 236 16,100 o MEDIMMUNE, INC ........................ 1,091 830,376 MERCK & CO, INC ....................... 61,448 23,100 MILLENNIUM CHEMICAL, INC .............. 544 9,500 o MILLENNIUM PHARMACEUTICALS, INC ....... 342 9,500 MINERALS TECHNOLOGIES, INC ............ 530 1,700 o MIRAVANT MEDICAL TECHNOLOGY ........... 12 7,168 MISSISSIPPI CHEMICAL CORP ............. 70 219,942 MONSANTO CO ........................... 8,674 44,050 MYLAN LABORATORIES, INC ............... 1,167 19,800 o NABI, INC ............................. 56 17,900 NALCO CHEMICAL CORP ................... 929 5,800 NATURES SUNSHINE PRODUCTS, INC ........ 61 22,670 o NBTY, INC ............................. 147 7,000 o NEUROGEN CORP ......................... 102 6,200 o NEXSTAR PHARMACEUTICALS, INC .......... 124 5,900 NL INDUSTRIES, INC .................... 66 3,600 o OCTEL CORP ............................ 45 12,300 OLIN CORP ............................. 162 5,850 OM GROUP, INC ......................... 202 8,550 o ORGANOGENESIS, INC .................... 80 5,500 o PATHOGENESIS CORP ..................... 78 26,000 o PERRIGO CO ............................ 198 455,352 PFIZER, INC ........................... 49,975 173,078 PHARMACIA & UPJOHN, INC ............... 9,833 2,100 o PHARMACYCLICS, INC .................. 59 57,100 PPG INDUSTRIES, INC ................... 3,372 56,250 PRAXAIR, INC .......................... 2,753 470,000 PROCTER & GAMBLE CO ................... 41,948 6,600 o PROTEIN DESIGN LABORATORIES, INC ...... 146 2,200 o REGENERON PHARMACEUTICALS, INC ........ 17 10,000 o REVLON, INC (CLASS A) ................. 303 13,000 o REXALL SUNDOWN, INC ................... 158 10,400 o ROBERTS PHARMACEUTICAL CORP ........... 252 400 o ROGERS CORP ........................... 12 52,948 ROHM & HAAS CO ........................ 2,270 31,437 RPM, INC .............................. 446 4,500 o SANGSTAT MEDICAL CORP ................. 78 515,760 SCHERING-PLOUGH CORP .................. 27,335 18,775 SCHULMAN (A.), INC .................... 323 10,100 o SCOTTS CO (CLASS A) ................... 481 8,550 o SEROLOGICALS CORP ..................... 69 46,831 SHERWIN-WILLIAMS CO ................... 1,300 21,500 o SICOR, INC ............................ 91 32,480 SIGMA ALDRICH CORP .................... 1,119 1,100 o SUGEN, INC ............................ 32 2,300 o SUPERGEN, INC ......................... 35 2,500 o TECHNE CORP ........................... 63 10,600 o THERAGENICS CORP ...................... 74 3,200 o THERMOLASE CORP ....................... 4 5,700 o TRANSKARYOTIC THERAPIES, INC .......... 188 3,000 o TRIANGLE PHARMACEUTICALS, INC ......... 54 10,600 o TWINLAB CORP .......................... 91 13,400 o U.S. BIOSCIENCE, INC .................. 131 1,400 o U.S.A. DETERGENTS, INC ................ 8 43,200 UNION CARBIDE CORP .................... 2,106 10,600 VALSPAR CORP .......................... 403 10,000 o VERTEX PHARMACEUTICALS, INC ........... 241 3,000 o VICAL, INC ............................ 36 2,600 o VIROPHARMA, INC ....................... 20 287,275 WARNER-LAMBERT CO ..................... 19,930 29,976 o WATSON PHARMACEUTICALS, INC ............ 1,051 9,000 WELLMAN, INC .......................... 143 7,924 WEST PHARMACEUTICAL SERVICES .......... 311 18,900 WITCO CORP ............................ 378 13,700 o ZILA, INC ............................. 42 7,600 o ZONAGEN, INC .......................... 70 ----------- 521,687 ----------- See notes to financial statements. 77 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ COAL MINING--0.00% 4,900 ARCH COAL, INC ........................ $ 68 ----------- COMMUNICATIONS--12.02% 14,100 o ADELPHIA COMMUNICATIONS CORP (CLASS A) ....................... 897 800 o AERIAL COMMUNICATIONS, INC ............ 11 42,854 o ALCATEL S.A. ADR ...................... 1,216 16,400 ALIANT COMMUNICATIONS, INC ............ 757 129,949 ALLTEL CORP ........................... 9,291 7,900 o AMERICAN MOBILE SATELLITE CORP ........ 129 384,548 AMERITECH CORP ........................ 28,264 1,733 o ARCH COMMUNICATIONS GROUP, INC ........ 15 14,796 o ASCENT ENTERTAINMENT GROUP, INC ....... 209 11,200 o ASSOCIATED GROUP, INC (CLASS A) ....... 729 1,124,457 AT & T CORP ........................... 62,759 400,496 o AT & T CORP-LIBERTY MEDIA GROUP (CLASS A) ............................ 14,718 544,896 BELL ATLANTIC CORP .................... 35,623 677,258 BELLSOUTH CORP ........................ 31,746 200 o BHC COMMUNICATIONS, INC (CLASS A) ..... 26 38,254 o CABLEVISION SYSTEMS CORP (CLASS A) .... 2,678 9,896 o CAPSTAR BROADCASTING CORP (CLASS A) ... 271 244,219 o CBS CORP .............................. 10,608 4,000 o CD RADIO, INC ......................... 122 4,100 o CELLULAR COMMUNICATIONS OF PUERTO RICO .......................... 117 9,900 o CENTURY COMMUNICATIONS CORP (CLASS A) ............................ 455 41,625 CENTURYTEL, INC ....................... 1,655 3,100 CFW COMMUNICATIONS CO ................. 75 38,600 o CHANCELLOR MEDIA CORP (CLASS A) ....... 2,128 7,702 o CHRIS CRAFT INDUSTRIES, INC ........... 363 44,237 CINCINNATI BELL, INC .................. 1,103 80,461 o CLEAR CHANNEL COMMUNICATIONS, INC ..... 5,547 1,200 o COM21, INC ............................ 20 2,800 COMCAST CORP (CLASS A) ................ 100 241,156 COMCAST CORP (CLASS A) SPECIAL ........ 9,269 3,066 o COMMONWEALTH TELEPHONE ENTERPRISES .......................... 124 16,500 COMSAT CORP SERIES 1 .................. 536 12,600 o CONCENTRIC NETWORK CORP ............... 501 2,800 o CORECOMM LTD .......................... 135 42,168 o COX COMMUNICATIONS, INC (CLASS A) ..... 1,552 2,100 o COX RADIO, INC (CLASS A) .............. 114 15,100 o E.SPIRE COMMUNICATIONS, INC ........... 159 5,500 o EMMIS COMMUNICATIONS (CLASS A) ........ 272 8,700 o EXODUS COMMUNICATIONS, INC ............ 1,043 58,665 FRONTIER CORP ......................... 3,461 12,930 GAYLORD ENTERTAINMENT CO .............. 388 27,900 o GLOBAL TELESYSTEMS GROUP, INC ......... 2,260 750 GRAY COMMUNICATIONS SYSTEMS, INC ...... 15 337,783 GTE CORP .............................. 25,587 24,767 o HEARST-ARGYLE TELEVISION, INC ......... 594 2,900 xo HEARTLAND WIRELESS COMMUNICATIONS, INC .................. 0 4,400 o HIGHWAYMASTER COMMUNICATIONS, INC ..... 7 13,100 o HISPANIC BROADCASTING CORP ............ 994 16,049 o ICG COMMUNICATIONS, INC ............... 343 5,700 o IDT CORP .............................. 127 14,900 o INTERMEDIA COMMUNICATIONS, INC ........ 447 17,300 o ITC DELTACOM, INC ..................... 484 9,000 o IXC COMMUNICATIONS, INC ............... 354 4,300 o JACOR COMMUNICATIONS, INC WTS 09/18/01 ......................... 47 3,700 o JONES INTERCABLE, INC (CLASS A) ....... 181 7,000 o LCC INTERNATIONAL, INC (CLASS A) ...... 32 4,050 o LEAP WIRELESS INTERNATIONAL, INC ..... 82 117,600 o LEVEL 3 COMMUNICATIONS, INC ........... 7,063 6,300 o LORAL SPACE & COMMUNICATIONS LTD ...... 113 1,060,776 LUCENT TECHNOLOGIES, INC .............. 71,536 652,622 o MCI WORLDCOM, INC ..................... 56,166 16,300 o MCLEODUSA, INC (CLASS A) .............. 897 205,400 o MEDIA ONE GROUP, INC .................. 15,277 16,000 o METROMEDIA FIBER NETWORK (CLASS A) .... 575 1,100 o MGC COMMUNICATIONS, INC ............... 29 48,200 o NEXTEL COMMUNICATIONS, INC (CLASS A) .. 2,419 20,600 o NEXTLINK COMMUNICATIONS, INC .......... 1,532 3,400 NORTH PITTSBURGH SYSTEMS, INC ......... 58 24,866 o NTL, INC .............................. 2,143 10,100 o OMNIPOINT CORP ........................ 292 4,900 o PACIFIC GATEWAY EXCHANGE, INC ......... 143 4,500 o PAGEMART WIRELESS, INC (CLASS A) ...... 34 31,900 o PAGING NETWORK, INC ................... 154 12,810 o PANAMSAT CORP ......................... 499 7,303 o PAXSON COMMUNICATIONS CORP ............ 99 2,100 o PEGASUS COMMUNICATIONS CORP ........... 83 3,900 o POWERTEL, INC ......................... 117 11,500 o PREMIERE TECHNOLOGIES, INC ............ 132 6,500 o PRIMUS TELECOMMUNICATIONS GROUP, INC ........................... 146 38,378 o QWEST COMMUNICATIONS INTERNATIONAL , INC .................. 1,269 12,300 o RCN CORP .............................. 512 689,388 SBC COMMUNICATIONS, INC ............... 39,985 12,900 o SINCLAIR BROADCASTING GROUP, INC (CLASS A) ............................ 211 22,000 o SKYTEL COMMUNICATIONS, INC ............ 461 1,000 o SMARTALK TELESERVICES, INC ............ 0 238,732 SPRINT CORP (FON GROUP) ............... 12,608 110,233 o SPRINT CORP (PCS GROUP) ............... 6,297 6,500 o STAR TELECOMMUNICATIONS, INC .......... 51 15,500 o TALK.COM, INC ......................... 174 13,400 TCA CABLE TV, INC ..................... 744 16,540 o TCI SATELLITE ENTERTAINMENT (CLASS A) . 49 9,718 TELEGLOBE, INC (U.S.A.) ............... 289 18,409 TELEPHONE & DATA SYSTEMS, INC ......... 1,345 1,800 o TELIGENT, INC ......................... 108 1,900 o TRANSACTION NETWORK SERVICES, INC ..... 56 12,300 o TV GUIDE, INC ......................... 450 5,900 o U.S. CELLULAR CORP .................... 316 4,000 o U.S. LEC CORP (CLASS A) ............... 90 7,700 o U.S. SATELLITE BROADCASTING, INC (CLASS A) ............................ 141 173,761 U.S. WEST, INC ........................ 10,208 28,130 o U.S.A. NETWORKS, INC .................. 1,129 13,800 o UNITED INTERNATIONAL HOLDINGS, INC .... 933 2,100 UNITED TELEVISION, INC ................ 220 8,900 o UNIVISION COMMUNICATIONS, INC ......... 587 12,920 o VIACOM, INC (CLASS A) ................. 570 160,486 o VIACOM, INC (CLASS B) ................. 7,061 150 o VIACOM, INC (CLASS B) WTS 07/07/99 .... 3 94,460 o VODAFONE GROUP PLC ADR ................ 18,609 24,100 o VOICESTREAM WIRELESS CORP ............. 685 3,600 o WAVO CORP ............................. 23 34,600 o WESTERN WIRELESS CORP (CLASS A) ....... 934 14,700 o WINSTAR COMMUNICATIONS, INC ........... 717 7,500 o YOUNG BROADCASTING, INC (CLASS A) ..... 319 ----------- 527,401 ----------- See notes to financial statements. 78 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ DEPOSITORY INSTITUTIONS--7.91% 1,000 ALABAMA NATIONAL BANCORP .............. $ 25 27,900 ALLIED IRISH BANK PLC (SPONS ADR) ..... 760 15,200 AMCORE FINANCIAL, INC ................. 351 106,700 AMSOUTH BANCORP ....................... 2,474 5,600 ANCHOR BANCORP WISCONSIN, INC ......... 100 1,900 ANDOVER BANCORP, INC .................. 60 1,200 AREA BANCSHARES CORP .................. 33 40,206 ASSOCIATED BANC-CORP .................. 1,669 40,545 ASTORIA FINANCIAL CORP ................ 1,781 6 BANCFIRST CORP ........................ 0 1,500 BANCFIRST OHIO CORP ................... 37 18,300 BANCORPSOUTH, INC ..................... 332 15,400 BANCWEST CORP ......................... 572 616,298 BANK OF AMERICA CORP .................. 45,182 2,200 BANK OF GRANITE CORP .................. 54 270,520 BANK OF NEW YORK CO, INC .............. 9,925 415,802 BANK ONE CORP ......................... 24,766 3,000 o BANK PLUS CORP ........................ 16 13,900 BANK UNITED CORP (CLASS A) ............ 559 8,000 BANKATLANTIC BANCORP, INC (CLASS B) ... 65 104,169 BANKBOSTON CORP ....................... 5,326 7,810 BANKNORTH GROUP, INC .................. 258 1,000 o BANKUNITED FINANCIAL CORP (CLASS A) ... 10 5,500 BAY VIEW CAPITAL CORP ................. 113 102,817 BB&T CORP ............................. 3,772 3,914 o BOK FINANCIAL CORP .................... 99 1,540 BRENTON BANKS, INC .................... 24 700 BROOKLINE BANCORP, INC ................ 8 600 BSB BANCORP, INC ...................... 16 1,100 BT FINANCIAL CORP ..................... 27 470 o CALIFORNIA FEDERAL BANK GOODWILL CERT ........................ 1 4,600 CAROLINA FIRST CORP ................... 112 1,300 CATHAY BANCORP, INC ................... 55 12,000 CCB FINANCIAL CORP .................... 635 2,420 o CENTENNIAL BANCORP .................... 33 10,100 xo CENTURA BANKS, INC .................... 569 1,400 CENTURY SOUTH BANKS, INC .............. 32 2,200 CFSB BANCORP, INC ..................... 54 64,980 CHARTER ONE FINANCIAL, INC ............ 1,807 300,138 CHASE MANHATTAN CORP .................. 25,999 1,875 CHEMICAL FINANCIAL CORP ............... 65 4,229 CHITTENDEN CORP ....................... 132 6,900 CITIZENS BANKING CORP (MICHIGAN) ...... 207 2,777 CITY HOLDINGS CO ...................... 81 13,100 CITY NATIONAL CORP .................... 490 12,190 CNB BANCSHARES, INC ................... 695 38,900 COLONIAL BANCGROUP, INC ............... 542 1,260 o COLUMBIA BANKING SYSTEM, INC .......... 19 55,100 COMERICA, INC ......................... 3,275 9,308 COMMERCE BANCORP, INC ................. 398 19,869 COMMERCE BANCSHARES, INC .............. 800 24,200 COMMERCIAL FEDERAL CORP ............... 561 1,000 COMMONWEALTH BANCORP, INC ............. 18 1,200 COMMUNITY BANK SYSTEM, INC ............ 30 18,000 COMMUNITY FIRST BANKSHARES, INC ....... 430 1,760 COMMUNITY TRUST BANCORP, INC .......... 41 41,125 COMPASS BANCSHARES, INC ............... 1,121 42,762 o CONCORD EFS, INC ...................... 1,809 1,200 CORUS BANKSHARES, INC ................. 38 1,200 CPB, INC .............................. 32 20,600 CULLEN FROST BANKERS, INC ............. 568 2,054 CVB FINANCIAL CORP .................... 53 38,700 DIME BANCORP, INC ..................... 779 1,600 DIME COMMUNITY BANCORP, INC ........... 37 5,460 DOWNEY FINANCIAL CORP ................. 120 900 F & M BANCORP, INC (MARYLAND) ......... 30 2,800 F & M BANCORP, INC (WISCONSIN) ........ 106 8,900 F & M NATIONAL CORP ................... 295 6,030 F.N.B. CORP ........................... 163 1,200 FARMERS CAPITAL BANK CORP ............. 43 71,277 FIFTH THIRD BANCORP ................... 4,744 41,652 FIRST AMERICAN CORP ................... 1,731 14,800 FIRST BANCORP (PUERTO RICO) ........... 334 1,600 FIRST CHARTER CORP .................... 40 2,900 FIRST CITIZENS BANCSHARES, INC (CLASS A) 234 1,200 FIRST COMMERCE BANCSHARES, INC ........ 29 12,161 FIRST COMMONWEALTH FINANCIAL CORP ..... 290 1,100 FIRST FEDERAL CAPITAL CORP ............ 16 11,440 o FIRST FINANCIAL BANCORP ............... 259 1,560 FIRST FINANCIAL BANKSHARES, INC ....... 50 700 FIRST FINANCIAL CORP (INDIANA) ........ 26 1,900 FIRST FINANCIAL HOLDINGS, INC ......... 36 1,000 FIRST INDIANA CORP .................... 21 1,300 FIRST LIBERTY FINANCIAL CORP .......... 41 1,500 FIRST MERCHANTS CORP .................. 36 8,600 FIRST MIDWEST BANCORP, INC ............ 342 1,900 o FIRST REPUBLIC BANK ................... 55 59,612 FIRST SECURITY CORP ................... 1,624 8,200 FIRST SENTINEL BANCORP, INC ........... 73 770 FIRST SOURCE CORP ..................... 25 42,300 FIRST TENNESSEE NATIONAL CORP ......... 1,621 319,983 FIRST UNION CORP ...................... 15,039 5,900 FIRST UNITED BANCSHARES, INC .......... 110 17,650 FIRST VIRGINIA BANKS, INC ............. 867 1,700 FIRST WASHINGTON BANCORP, INC ......... 34 1,600 FIRST WESTERN BANCORP, INC ............ 54 228,814 FIRSTAR CORP .......................... 6,407 5,350 o FIRSTFED FINANCIAL CORP ............... 103 27,688 FIRSTMERIT CORP ....................... 777 195,328 FLEET FINANCIAL GROUP, INC ............ 8,668 2,800 FRONTIER FINANCIAL CORP ............... 69 24,880 FULTON FINANCIAL CORP ................. 515 2,300 GBC BANCORP ........................... 47 2,400 GOLD BANC CORP, INC ................... 32 48,200 o GOLDEN STATE BANCORP, INC ............. 1,060 13,600 o GOLDEN STATE BANCORP, INC WTS 01/01/01 18 15,300 GOLDEN WEST FINANCIAL CORP ............ 1,499 1,650 GRAND PREMIER FINANCIAL, INC .......... 20 1,200 GREATER BAY BANCORP ................... 40 28,638 GREENPOINT FINANCIAL CORP ............. 940 1,400 o HAMILTON BANCORP, INC ................. 34 1,800 HANCOCK HOLDINGS CO ................... 81 700 HARLEYSVILLE NATIONAL CORP ............ 25 4,600 HARRIS FINANCIAL, INC ................. 50 54,148 HIBERNIA CORP (CLASS A) ............... 849 15,871 HUDSON UNITED BANCORP ................. 486 69,764 HUNTINGTON BANCSHARES, INC ............ 2,442 12,350 o IMPERIAL BANCORP ...................... 245 22,000 INDEPENDENCE COMMUNITY BANK CORP ...... 297 1,400 INDEPENDENT BANK CORP ................. 22 2,000 INTERNATIONAL BANCSHARES CORP ......... 85 3,100 INTERWEST BANCORP, INC ................ 78 2,600 IRWIN FINANCIAL CORP .................. 51 1,700 JEFFBANKS, INC ........................ 48 900 JEFFERSON SAVINGS BANCORP, INC ........ 12 300 o JSB FINANCIAL, INC .................... 15 See notes to financial statements. 79 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ DEPOSITORY INSTITUTIONS--(CONTINUED) 155,639 KEYCORP ............................... 5,000 17,350 KEYSTONE FINANCIAL, INC ............... 513 2,341 M & T BANK CORP ....................... 1,288 19,380 MAF BANCORP, INC ...................... 470 200 MAHONING NATIONAL BANCORP, INC ........ 9 34,356 MARSHALL & ILSLEY CORP ................ 2,212 241,105 MBNA CORP ............................. 7,384 182,904 MELLON BANK CORP ...................... 6,653 49,582 MERCANTILE BANCORP, INC ............... 2,832 21,705 MERCANTILE BANKSHARES CORP ............ 768 1,500 MERCHANTS NEW YORK BANCORP, INC ....... 50 735 MICHIGAN FINANCIAL CORP ............... 24 618 MID-AMERICA BANCORP ................... 15 1,100 MISSISSIPPI ValleY BANCSHARES ......... 36 60,265 MORGAN (J.P.) & CO, INC ............... 8,467 4,400 NATIONAL BANCORP OF ALASKA, INC ....... 117 2,905 NATIONAL CITY BANCSHARES, INC ......... 93 107,922 NATIONAL CITY CORP .................... 7,069 33,000 NATIONAL COMMERCE BANCORP ............. 722 2,900 NATIONAL PENN BANCSHARES, INC ......... 68 2,205 NBT BANCORP, INC ...................... 45 51,968 NORTH FORK BANCORP, INC ............... 1,108 31,960 NORTHERN TRUST CORP ................... 3,100 400 NORTHWEST BANCORP, INC ................ 4 10,200 o OCWEN FINANCIAL CORP .................. 91 30,708 OLD KENT FINANCIAL CORP ............... 1,286 16,098 OLD NATIONAL BANCORP .................. 484 1,500 OMEGA FINANCIAL CORP .................. 52 10,912 ONE VALLEY BANCORP, INC ............... 409 3,533 ORIENTAL FINANCIAL GROUP .............. 85 3,700 PACIFIC CAPITAL BANCORP ............... 117 25,400 PACIFIC CENTURY FINANCIAL CORP ........ 548 2,900 PARK NATIONAL CORP .................... 290 5,400 PEOPLES BANCORP, INC .................. 54 8,600 PEOPLES BANK OF BRIDGEPORT CO ......... 262 38,204 PEOPLES HERITAGE FINANCIAL GROUP, INC . 719 2,100 PEOPLES HOLDINGS CO ................... 68 1,900 o PFF BANCORP, INC ...................... 36 105,139 PNC BANK CORP ......................... 6,059 44,152 POPULAR, INC .......................... 1,338 12,182 PREMIER BANCSHARES, INC ............... 223 2,000 PRIME BANCORP, INC .................... 55 9,989 PROVIDENT BANKSHARES CORP ............. 232 12,200 PROVIDENT FINANCIAL GROUP ............. 534 43,794 PROVIDIAN FINANCIAL CORP .............. 4,095 19,200 QUEENS COUNTY BANCORP, INC ............ 622 75,630 REGIONS FINANCIAL CORP ................ 2,907 700 RELIANCE BANCORP, INC ................. 19 2,600 REPUBLIC BANCORP, INC ................. 39 37,664 REPUBLIC NEW YORK CORP ................ 2,568 9,300 REPUBLIC SECURITY FINANCIAL CORP ...... 78 4,300 RICHMOND COUNTY FINANCIAL CORP ........ 83 15,700 RIGGS NATIONAL CORP ................... 323 37,635 ROSLYN BANCORP, INC ................... 647 9,600 S & T BANCORP, INC .................... 242 2,000 SANDY SPRING BANCORP, INC ............. 56 900 SHORELINE FINANCIAL CORP .............. 27 7,100 o SILICON VALLEY BANCSHARES ............. 176 1,000 SIMMONS FIRST NATIONAL CORP (CLASS A) . 32 15,973 SKY FINANCIAL GROUP, INC .............. 435 56,700 SOUTHTRUST CORP ....................... 2,176 4,300 o SOUTHWEST BANCORP OF TEXAS, INC ....... 77 58,440 SOVEREIGN BANCORP, INC ................ 709 22,625 ST. PAUL BANCORP, INC ................. 577 55,500 STATE STREET CORP ..................... 4,738 11,000 STATEN ISLAND BANCORP, INC ............ 198 3,300 STERLING BANCORP ...................... 63 3,500 STERLING BANCSHARES, INC .............. 47 800 STERLING FINANCIAL CORP ............... 27 60,121 SUMMIT BANCORP ........................ 2,514 110,459 SUNTRUST BANKS, INC ................... 7,670 16,380 SUSQUEHANNA BANCSHARES, INC ........... 290 77,887 SYNOVUS FINANCIAL CORP ................ 1,548 28,900 TCF FINANCIAL CORP .................... 806 2,300 TEXAS REGIONAL BANCSHARES, INC (CLASS A) ............................ 63 4,309 TRIANGLE BANCORP, INC ................. 73 2,700 TRUST CO OF New Jersey ................ 63 10,235 TRUSTCO BANK CORP ..................... 275 19,800 TRUSTMARK CORP ........................ 453 254,243 U.S. BANCORP .......................... 8,644 7,600 U.S. TRUST CORP ....................... 703 1,320 U.S.B. HOLDINGS CO, INC ............... 20 5,540 UMB FINANCIAL CORP .................... 238 60,043 UNION PLANTERS CORP ................... 2,683 8,800 UNIONBANCAL CORP ...................... 318 14,900 UNITED BANKSHARES, INC ................ 395 1,650 UNITED NATIONAL BANCORP ............... 39 2,200 USBANCORP, INC ........................ 35 13,900 UST CORP .............................. 420 20,360 VALLEY NATIONAL BANCORP ............... 585 68,806 WACHOVIA CORP ......................... 5,887 18,037 WASHINGTON FEDERAL, INC ............... 405 214,739 WASHINGTON MUTUAL, INC ................ 7,596 2,000 WASHINGTON TRUST BANCORP, INC ......... 36 14,800 WEBSTER FINANCIAL CORP ................ 401 585,318 WELLS FARGO CO ........................ 25,022 4,400 WESBANCO, INC ......................... 132 1,920 WEST COAST BANCORP (OREGON) ........... 34 12,600 WESTAMERICA BANCORP ................... 460 8,300 WESTERN BANCORP ....................... 361 18,000 WESTERNBANK PUERTO RICO ............... 235 9,000 WHITNEY HOLDINGS CORP ................. 358 11,200 WILMINGTON TRUST CORP ................. 643 36,700 ZIONS BANCORP ......................... 2,330 ----------- 347,120 ----------- EATING AND DRINKING PLACES--0.84% 7,000 o ADVANTICA RESTAURANT GROUP, INC ....... 24 24,400 o APPLEBEES INTERNATIONAL, INC .......... 735 11,800 AVADO BRANDS, INC ..................... 99 29,200 BOB EVANS FARMS, INC .................. 580 11,100 xo BOSTON CHICKEN, INC ................... 7 26,600 o BRINKER INTERNATIONAL, INC ............ 723 14,500 o BUFFETS, INC .......................... 167 19,600 CBRL GROUP, INC ....................... 339 5,700 o CEC ENTERTAINMENT, INC ................ 241 17,718 CKE RESTAURANTS, INC .................. 288 7,225 o CONSOLIDATED PRODUCTS, INC ............ 130 45,800 DARDEN RESTAURANTS, INC ............... 999 1,500 o DAVE & BUSTERS, INC ................... 44 13,600 o FOODMAKER, INC ........................ 386 49,023 HOST MARRIOTT CORP (NEW) .............. 582 14,340 o HOST MARRIOTT SERVICES CORP ........... 117 6,600 o IHOP CORP (NEW) ....................... 159 8,700 o LANDRYS SEAFOOD RESTAURANTS, INC ...... 70 10,600 o LONE STAR STEAKHOUSE & SALOON, INC .... 103 16,700 LUBYS, INC ............................ 251 80 See notes to financial statements. EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ EATING AND DRINKING PLACES--(CONTINUED) 83,100 MARRIOTT INTERNATIONAL (CLASS A) ...... $ 3,106 471,500 MCDONALD'S CORP ....................... 19,479 12,000 MORRISON HEALTH CARE, INC ............. 300 22,700 o OUTBACK STEAKHOUSE, INC ............... 892 9,350 o PAPA JOHNS INTERNATIONAL, INC ......... 418 3,400 o PJ AMERICA, INC ....................... 72 7,100 o PLANET HOLLYWOOD, INC (CLASS A) ....... 5 7,250 o RAINFOREST CAFE, INC .................. 37 20,700 RUBY TUESDAY, INC ..................... 393 17,200 o RYANS FAMILY STEAK HOUSES, INC ........ 200 6,200 o SBARRO, INC ........................... 168 17,900 o SHONEYS, INC .......................... 39 10,800 o SODEXHO MARRIOTT SERVICES, INC ........ 207 5,600 o SONIC CORP ............................ 183 4,500 o THE CHEESECAKE FACTORY CO ............. 137 49,390 o TRICON GLOBAL RESTAURANTS, INC ........ 2,673 15,190 o U.S. FOODSERVICE, INC ................. 647 28,600 VIAD CORP. ............................ 885 35,300 WENDYS INTERNATIONAL, INC ............. 999 ----------- 36,884 ----------- EDUCATIONAL SERVICES--0.04% 12,487 o APOLLO GROUP, INC (CLASS A) ........... 332 1,400 o BERLITZ INTERNATIONAL, INC ............ 26 4,700 o COMPUTER LEARNING CENTERS, INC ........ 23 27,800 o DEVRY, INC ............................ 622 3,200 o EDUCATION MANAGEMENT CORP ............. 66 3,500 o ITT EDUCATIONAL SERVICES, INC ......... 91 2,800 o LEARNING TREE INTERNATIONAL, INC ...... 31 1,900 STRAYER EDUCATION, INC ................ 58 11,650 o SYLVAN LEARNING SYSTEMS, INC .......... 317 ----------- 1,566 ----------- ELECTRIC, GAS, AND SANITARY SERVICES--3.50% 40,800 o AES CORP .............................. 2,372 62,300 AGL RESOURCES, INC .................... 1,149 92,770 ALLEGHENY ENERGY, INC ................. 2,974 32,234 ALLIANT ENERGY CORP ................... 915 53,715 o ALLIED WASTE INDUSTRIES, INC .......... 1,061 67,313 AMEREN CORP ........................... 2,583 85,169 AMERICAN ELECTRIC POWER CO, INC ....... 3,199 32,439 AMERICAN WATER WORKS CO, INC .......... 997 41,400 o AQUA ALLIANCE, INC .................... 41 4,195 AQUARION CO ........................... 146 8,812 ATMOS ENERGY CORP ..................... 220 25,500 AVISTA CORP ........................... 414 18,900 BEC ENERGY ............................ 780 4,728 BLACK HILLS CORP ...................... 109 54,200 BROWNING FERRIS INDUSTRIES, INC ....... 2,331 2,707 CALIFORNIA WATER SERVICE GROUP ........ 71 7,762 o CALPINE CORP .......................... 419 48,787 CAROLINA POWER & LIGHT CO ............. 2,089 900 o CASELLA WASTE SYSTEMS, INC (CLASS A)... 23 68,856 CENTRAL & SOUTH WEST CORP ............. 1,610 8,800 CENTRAL HUDSON GAS & ELECTRIC CORP .... 370 7,800 CILCORP, INC .......................... 488 48,223 CINERGY CORP .......................... 1,543 77,226 o CITIZENS UTILITIES CO (CLASS B) ....... 859 15,600 CLECO CORP ............................ 474 27,411 CMP GROUP, INC ........................ 718 30,400 CMS ENERGY CORP ....................... 1,273 58,700 COASTAL CORP .......................... 2,348 1,700 COLONIAL GAS CO ....................... 63 24,391 COLUMBIA ENERGY GROUP ................. 1,529 16,700 COMMONWEALTH ENERGY SYSTEM CO ......... 701 39,425 CONECTIV, INC ......................... 963 4,287 CONECTIV, INC (CLASS A) ............... 180 1,500 CONNECTICUT ENERGY CORP ............... 58 73,219 CONSOLIDATED EDISON CO OF N.Y., INC ... 3,313 28,300 CONSOLIDATED NATURAL GAS CO ........... 1,719 54,479 CONSTELLATION ENERGY GROUP ............ 1,614 1,230 CTG RESOURCES, INC .................... 45 57,688 DOMINION RESOURCES, INC ............... 2,499 50,100 DPL, INC .............................. 921 23,600 DQE, INC .............................. 947 45,993 DTE ENERGY CO ......................... 1,840 114,651 DUKE ENERGY CORP ...................... 6,234 29,500 DYNEGY, INC ........................... 601 11,000 EASTERN ENTERPRISES CO ................ 437 20,300 EASTERN UTILITIES ASSOCIATION CO ...... 591 112,200 EDISON INTERNATIONAL CO ............... 3,001 15,208 o EL PASO ELECTRIC CO ................... 136 33,896 EL PASO ENERGY CORP ................... 1,193 1,600 EMPIRE DISTRICT ELECTRIC CO ........... 42 6,286 ENERGEN CORP .......................... 117 32,200 ENERGY EAST CORP ...................... 837 73,253 ENTERGY CORP .......................... 2,289 19,400 EQUITABLE RESOURCES, INC .............. 732 1,100 ETOWN CORP ............................ 50 75,536 FIRSTENERGY CORP ...................... 2,342 35,200 FLORIDA PROGRESS CORP ................. 1,454 62,500 FPL GROUP, INC ........................ 3,414 40,421 GPU, INC .............................. 1,705 13,700 HAWAIIAN ELECTRIC INDUSTRIES, INC ..... 486 16,500 IDACORP, INC .......................... 520 20,400 ILLINOVA CORP ......................... 556 10,400 INDIANA ENERGY, INC ................... 222 33,600 IPALCO ENTERPRISES, INC ............... 712 27,700 KANSAS CITY POWER & LIGHT CO .......... 706 20,200 o KELLEY OIL & GAS CORP ................. 4 48,204 KEYSPAN CORP .......................... 1,271 17,700 KN ENERGY, INC ........................ 237 2,300 LACLEDE GAS CO ........................ 53 45,405 LOUISVILLE GAS & ELECTRIC ENERGY CORP.. 954 1,500 MADISON GAS & ELECTRIC CO ............. 31 23,100 MCN ENERGY GROUP, INC ................. 479 15,450 MDU RESOURCES GROUP, INC .............. 352 16,200 o MIDAMERICAN ENERGY HOLDINGS CO ........ 561 32,600 MINNESOTA POWER, INC .................. 648 3,800 xo MOLTEN METAL TECHNOLOGY, INC .......... 0 22,700 MONTANA POWER CO ...................... 1,600 11,500 NATIONAL FUEL GAS CO .................. 558 25,500 NEVADA POWER CO ....................... 638 31,185 NEW CENTURY ENERGIES, INC ............. 1,210 20,200 NEW ENGLAND ELECTRIC SYSTEMS CO ....... 1,013 7,300 NEW JERSEY RESOURCES CORP ............. 273 20,000 o NEWPARK RESOURCES, INC ................ 178 64,100 o NIAGARA MOHWAK HOLDINGS, INC .......... 1,030 14,200 NICOR, INC ............................ 540 33,500 NISOURCE, INC ......................... 865 2,490 NORTH CAROLINA NATURAL GAS CORP ....... 85 51,400 o NORTHEAST UTILITIES CO ................ 909 41,400 NORTHERN STATES POWER CO .............. 1,001 11,900 NORTHWEST NATURAL GAS CO .............. 287 6,000 NORTHWESTERN CORP ..................... 145 1,100 NUI CORP .............................. 28 See notes to financial statements. 81 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ ELECTRIC, GAS, AND SANITARY SERVICES--(CONTINUED) 28,200 OGE ENERGY CORP ....................... $ 670 10,080 ONEOK, INC ............................ 320 12,200 ORANGE & ROCKLAND UTILITY, INC ........ 713 500 OTTER TAIL POWER CO ................... 19 84,200 PACIFICORP ............................ 1,547 72,000 PECO ENERGY CO ........................ 3,015 1,500 PENNSYLVANIA ENTERPRISES, INC ......... 46 10,100 PEOPLES ENERGY CORP ................... 381 118,965 PG&E CORP ............................. 3,866 7,000 PHILADELPHIA SUBURBAN CORP ............ 161 10,093 PIEDMONT NATURAL GAS CO, INC .......... 314 27,400 PINNACLE WEST CAPITAL CORP ............ 1,103 38,200 POTOMAC ELECTRIC POWER CO ............. 1,125 47,632 PP&L RESOURCES, INC ................... 1,465 31,500 PUBLIC SERVICE CO OF NEW MEXICO ....... 626 4,100 PUBLIC SERVICE CO OF NORTH CAROLINA ... 120 67,223 PUBLIC SERVICE ENTERPRISE GROUP, INC .. 2,748 32,840 PUGET SOUND ENERGY, INC ............... 788 28,600 QUESTAR CORP .......................... 547 78,549 RELIANT ENERGY, INC ................... 2,170 21,300 ROCHESTER GAS & ELECTRIC CORP ......... 566 28,200 SCANA CORP ............................ 659 3,800 SEMCO ENERGY, INC ..................... 59 66,629 SEMPRA ENERGY ......................... 1,507 18,700 SIERRA PACIFIC RESOURCES .............. 680 6,300 SIG CORP, INC ......................... 178 34,426 SONAT, INC ............................ 1,140 600 SOUTH JERSEY INDUSTRIES, INC .......... 17 231,715 SOUTHERN CO ........................... 6,140 4,360 o SOUTHERN UNION CO ..................... 95 8,000 SOUTHWEST GAS CORP .................... 229 24,900 SOUTHWESTERN ENERGY CO ................ 263 6,400 o SUPERIOR SERVICES, INC ................ 171 41,100 TECO ENERGY, INC ...................... 935 88,082 TEXAS UTILITIES CO .................... 3,633 1,300 TNP ENTERPRISES, INC .................. 47 7,610 UGI CORP .............................. 154 69,000 UNICOM CORP ........................... 2,661 15,240 o UNISOURCE ENERGY CORP HOLDINGS CO ..... 182 11,500 UNITED ILLUMINATING CO ................ 488 8,200 UNITED WATER RESOURCES, INC ........... 186 28,869 UTILICORP UNITED, INC ................. 702 10,800 WASHINGTON GAS LIGHT CO ............... 281 206,091 o WASTE MANAGEMENT, INC ................. 11,077 31,000 o WASTEMASTERS, INC ..................... 2 3,300 WESTERN GAS RESOURCES, INC ............ 53 17,500 WESTERN RESOURCES, INC ................ 466 18,000 WICOR, INC ............................ 503 143,716 WILLIAMS COS, INC ..................... 6,117 30,300 WISCONSIN ENERGY CORP ................. 759 9,200 WPS RESOURCES CORP .................... 276 1,500 YANKEE ENERGY SYSTEMS, INC ............ 60 ------------ 153,325 ------------ ELECTRONIC AND OTHER ELECTRIC EQUIPMENT--8.04% 4,700 o AAVID THERMAL TECHNOLOGIES, INC ....... 106 9,400 o ACTEL CORP ............................ 139 8,800 o ADAPTIVE BROADBAND CORP ............... 193 46,600 o ADC TELECOMMUNICATIONS, INC ........... 2,123 13,900 o ADTRAN, INC ........................... 506 2,000 o ADVANCED ENERGY INDUSTRIES, INC ....... 81 20,400 o ADVANCED FIBRE COMMUNICATIONS ......... 319 2,200 o ADVANCED LIGHTING TECHNOLOGIES, INC ... 20 48,407 o ADVANCED MICRO DEVICES, INC ........... 874 95,420 ALLEGHENY TELEDYNE, INC ............... 2,159 8,085 o ALLEN TELECOM, INC .................... 87 10,900 o ALLIANCE SEMICONDUCTOR CORP ........... 108 68,300 o ALTERA CORP ........................... 2,514 54,800 o AMERICAN POWER CONVERSION CORP ........ 1,103 46,680 o AMERICAN TOWER SYSTEMS (CLASS A) ...... 1,120 15,800 AMETEK, INC ........................... 363 13,300 o AMKOR TECHNOLOGY, INC ................. 136 15,720 o AMPEX CORP (CLASS A) .................. 80 7,900 o AMPHENOL CORP (CLASS A) ............... 314 3,700 o ANADIGICS, INC ........................ 137 57,756 o ANALOG DEVICES, INC ................... 2,899 28,987 o ANDREW CORP ........................... 549 8,200 o ANTEC CORP ............................ 263 6,600 o APPLIED INNOVATION, INC ............... 31 5,400 o APPLIED MAGNETICS CORP ................ 17 7,500 o APPLIED MICRO CIRCUITS CORP ........... 617 11,500 o ARTESYN TECHNOLOGIES, INC ............. 255 2,500 o ARTISAN COMPONENTS, INC ............... 29 17,200 o ASPECT TELECOMMUNICATIONS CORP ........ 168 34,700 o ATMEL CORP ............................ 909 5,700 o AURA SYSTEMS, INC ..................... 1 25,700 AVX CORP .............................. 626 9,866 BALDOR ELECTRIC CO .................... 196 2,241 o BENCHMARK ELECTRONICS, INC ............ 81 8,900 BMC INDUSTRIES, INC ................... 92 2,200 o BROADCOM CORP (CLASS A) ............... 318 11,550 o BURR BROWN CORP ....................... 423 2,572 C&D TECHNOLOGIES, INC ................. 79 8,800 o CELLNET DATA SYSTEMS, INC ............. 79 9,200 o CHECKPOINT SYSTEMS, INC ............... 82 14,800 o CIDCO, INC ............................ 110 35,700 o CIENA CORP ............................ 1,078 11,633 o COMMSCOPE, INC ........................ 358 22,610 o COMVERSE TECHNOLOGY, INC .............. 1,707 23,022 o CONEXANT SYSTEMS, INC ................. 1,337 30,373 COOPER INDUSTRIES, INC ................ 1,579 5,506 CTS CORP .............................. 385 29,300 o CYPRESS SEMICONDUCTOR CORP ............ 483 11,200 DALLAS SEMICONDUCTOR CORP ............. 566 3,700 o DAVOX CORP ............................ 44 19,000 o DIGITAL MICROWAVE CORP ............... 242 10,280 o DII GROUP, INC ........................ 384 12,800 o DSP COMMUNICATIONS, INC ............... 370 4,000 o ECHOSTAR COMMUNICATIONS CORP (CLASS A) ............................. 614 3,200 o ELECTRO SCIENTIFIC INDUSTRIES, INC .... 134 147,346 EMERSON ELECTRIC CO ................... 9,264 3,900 o ESS TECHNOLOGY ........................ 52 900 o EVANS & SUTHERLAND COMPUTER CORP ...... 12 1,200 o EXCEL SWITCHING CORP .................. 36 4,600 EXIDE CORP ............................ 68 6,400 o GENERAL DATACOMM INDUSTRIES, INC ...... 17 1,156,322 GENERAL ELECTRIC CO ................... 130,664 46,200 o GENERAL INSTRUMENT CORP ............... 1,964 6,800 o GENERAL SEMICONDUCTOR, INC ............ 62 1,100 o GENLYTE GROUP, INC .................... 25 9,900 xo GEOTEK COMMUNICATIONS, INC ........... 0 18,687 o GLENAYRE TECHNOLOGIES, INC ............ 67 4,500 o HADCO CORP ............................ 179 8,350 HARMAN INTERNATIONAL INDUSTRIES, INC .. 367 2,300 HARMON INDUSTRIES, INC ................ 46 82 See notes to financial statements. EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ ELECTRONIC AND OTHER EQUIPMENT--(CONTINUED) 27,500 HARRIS CORP ........................... $ 1,078 7,300 HELIX TECHNOLOGY CORP ................. 175 13,000 o HMT TECHNOLOGY CORP ................... 33 1,600 o HOLOPHANE CORP ........................ 61 16,350 HUBBELL, INC (CLASS B) ................ 742 6,400 o HUTCHINSON TECHNOLOGY, INC ............ 178 2,400 INNOVEX, INC .......................... 34 25,100 o INTEGRATED DEVICE TECHNOLOGY, INC ..... 273 2,300 o INTEGRATED SILICON SOLUTION, INC ...... 13 1,174,740 INTEL CORP ............................ 69,897 6,800 INTER-TEL, INC ........................ 124 24,800 o INTERDIGITAL COMMUNICATIONS CORP ...... 115 16,500 o INTERNATIONAL RECTIFIER CORP .......... 220 10,800 o INTERVOICE, INC ....................... 156 700 o ITI TECHNOLOGIES, INC ................. 16 6,500 o ITRON, INC ............................ 56 14,700 o JABIL CIRCUIT, INC .................... 663 12,600 JUNO LIGHTING, INC .................... 309 16,400 o KEMET CORP ............................ 376 16,200 o KOMAG, INC ............................ 54 1,400 o KOPIN CORP ............................ 34 2,000 o L-3 COMMINUCATIONS HOLDINGS, INC ...... 97 8,000 o LATTICE SEMICONDUCTOR CORP ............ 498 13,600 o LEVEL ONE COMMUNICATIONS, INC ......... 666 52,200 LINEAR TECHNOLOGY CO .................. 3,510 9,800 o LITTLEFUSE, INC ....................... 189 2,400 o LO-JACK CORP .......................... 20 48,972 o LSI LOGIC CORP ........................ 2,259 13,000 o MAGNETEK, INC ......................... 137 41,600 o MAXIM INTEGRATED PRODUCTS ............. 2,766 31,300 MAYTAG CO ............................. 2,181 12,900 o MEMC ELECTRONIC MATERIALS, INC ........ 157 14,500 METHODE ELECTRONICS, INC (CLASS A) .... 332 4,700 o MICREL, INC .......................... 348 17,000 o MICROCHIP TECHNOLOGY, INC ............. 805 73,509 o MICRON TECHNOLOGY, INC ................ 2,963 11,600 o MMC NETWORKS, INC ..................... 519 26,032 MOLEX, INC ............................ 963 1,400 o MOOG, INC (CLASS A) ................... 48 211,000 MOTOROLA, INC ......................... 19,992 7,300 o MRV COMMUNICATIONS, INC ............... 96 14,300 o MYLEX CORP ............................ 83 4,000 NATIONAL PRESTO INDUSTRIES, INC ....... 153 53,892 o NATIONAL SEMICONDUCTOR CORP ........... 1,364 16,200 NATIONAL SERVICE INDUSTRIES, INC ...... 583 7,200 o NEOMAGIC CORP ......................... 61 12,607 NORTEL NETWORKS CORP (U.S.) ........... 1,094 6,200 o OAK INDUSTRIES, INC ................... 271 6,800 o OAK TECHNOLOGY, INC ................... 25 49,100 o OIS OPTICAL IMAGING SYSTEMS, INC ...... 1 15,700 o P-COM, INC ............................ 82 22,500 o PAIRGAIN TECHNOLOGIES, INC ............ 259 1,300 PARK ELECTROCHEMICAL CORP ............. 37 8,200 o PHOTRONICS, INC ....................... 201 7,300 o PICTURETEL CORP ....................... 58 9,900 PITTWAY CORP (CLASS A) ................ 338 5,800 o PLANTRONICS, INC ...................... 378 3,000 o PLEXUS CORP ........................... 90 19,800 o PMC-SIERRA, INC ....................... 1,167 4,600 o POLYCOM, INC .......................... 179 2,500 o POWERWAVE TECHNOLOGIES, INC ........... 81 9,100 o PREMISYS COMMUNICATIONS, INC .......... 67 6,600 o QLOGIC CORP ........................... 871 43,700 o QUALCOMM, INC ......................... 6,271 5,000 o RAMBUS, INC ........................... 461 26,300 RAYCHEM CORP .......................... 973 8,200 o RAYOVAC CORP .......................... 186 13,600 o READ RITE CORP ........................ 84 6,300 o RECOTON CORP .......................... 57 11,700 o REMEC, INC ............................ 189 13,300 o S3, INC ............................... 121 18,990 o SANMINA CORP .......................... 1,441 3,900 o SAWTEK, INC ........................... 179 20,577 o SCI SYSTEMS, INC ...................... 977 25,500 SCIENTIFIC-ATLANTA, INC ............... 918 4,200 o SCM MICROSYSTEMS, INC ................. 195 8,600 o SDL, INC .............................. 439 4,800 o SEMTECH CORP .......................... 250 28,200 o SENSORMATIC ELECTRONICS CORP .......... 393 1,100 o SILICONIX, INC ........................ 38 5,600 o SIPEX CORP ............................ 115 6,050 o SLI, INC .............................. 163 9,900 o SMART MODULAR TECHNOLOGIES, INC ....... 172 80,000 o SOLECTRON CORP ........................ 5,335 10,600 STEWART & STEVENSON SERVICES, INC ..... 162 33,526 o SUNBEAM CORP .......................... 266 3,400 TECHNITROL, INC ....................... 110 11,300 o TEKELEC ............................... 138 10,300 TELEFLEX, INC ......................... 447 122,488 o TELLABS, INC .......................... 8,276 137,241 TEXAS INSTRUMENTS, INC ................ 19,900 17,005 THOMAS & BETTS CORP ................... 803 2,000 THOMAS INDUSTRIES, INC ................ 41 13,800 o UCAR INTERNATIONAL, INC ............... 348 13,400 o UNIPHASE CORP ......................... 2,224 12,300 o UNITRODE CORP ......................... 353 10,500 o VARIAN SEMICONDUCTOR EQUIPMENT ASSOCIATION ......................... 179 8,200 o VICOR CORP ............................ 174 3,800 o VIDEOSERVER, INC ...................... 36 23,671 o VISHAY INTERTECHNOLOGY, INC ........... 497 25,400 o VITESSE SEMICONDUCTOR CORP ............ 1,713 7,300 o WESTELL TECHNOLOGIES, INC (CLASS A) ... 51 25,000 WHIRLPOOL CORP ........................ 1,850 9,633 o WINDMERE-DURABLE HOLDINGS, INC ........ 163 12,600 o WORLD ACCESS, INC .................... 178 46,400 o XILINX, INC ........................... 2,656 4,400 xo ZENITH ELECTRONICS CORP .............. 2 5,300 o ZOLTEK COS, INC ....................... 42 ------------ 352,572 ------------ ENGINEERING AND MANAGEMENT SERVICES--0.20% 3,800 o AHL SERVICES, INC ..................... 95 7,300 BLOUNT INTERNATIONAL, INC ............. 198 13,000 o CATALYTICA, INC ....................... 182 1,700 o DATA TRANSMISSION NETWORK CORP ........ 48 1,400 o DIAMOND TECHNOLOGY PARTNERS, INC (CLASS A) ............................ 31 54,848 DUN & BRADSTREET CORP ................. 1,944 21,300 EG & G, INC ........................... 759 2,300 o ENTREMED, INC ......................... 52 2,200 o F.Y.I., INC ........................... 69 8,581 o FIRST CONSULTING GROUP, INC ........... 91 15,600 o GARTNER GROUP, INC (CLASS A) .......... 320 3,100 o HAGLER BAILLY, INC .................... 32 7,200 o INCYTE PHARMACEUTICALS, INC ........... 190 6,200 o JACOBS ENGINEERING GROUP, INC ......... 236 1,200 o KENDLE INTERNATIONAL, INC ............. 19 See notes to financial statements. 83 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ ENGINEERING AND MANAGEMENT SERVICES--(CONTINUED) 3,400 o LASON, INC ............................ $ 169 2,900 o MAXIMUS, INC .......................... 83 20,500 o MEDAPHIS CORP ......................... 118 2,000 o META GROUP, INC ....................... 31 4,800 o METZLER GROUP, INC .................... 133 15,100 xo NEUROMEDICAL SYSTEMS, INC ............. 0 3,700 o NFO WORLDWIDE, INC .................... 52 1,800 o NICHOLS RESEARCH CORP ................. 39 9,000 o PAREXEL INTERNATIONAL CORP ............ 120 4,700 o PHARMACEUTICAL PRODUCT DEVELOPMENT ........................... 129 2,500 o PROBUSINESS SERVICES, INC ............. 90 3,300 o PROFIT RECOVERY GROUP INTERNATIONAL ......................... 156 27,712 o QUINTILES TRANSNATIONAL CORP .......... 1,164 10,600 o RENAISSANCE WORLDWIDE, INC ............ 84 83,050 SERVICEMASTER CO ...................... 1,557 6,500 o STAFF LEASING, INC .................... 84 1,900 o SUPERIOR CONSULTANT HOLDINGS CORP .... 47 1,200 TEJON RANCH CO ........................ 30 10,312 o TETRA TECH, INC ....................... 170 2,500 o URS CORP .............................. 73 3,000 o WACKENHUT CORRECTIONS CORP ............ 59 7,700 o WHITTMAN HART, INC .................... 244 ------------ 8,898 ------------ FABRICATED METAL PRODUCTS--0.69% 600 o ALLIANT TECHSYSTEMS, INC .............. 52 1,676 o ALLTRISTA CORP ........................ 55 2,219 AMCAST INDUSTRIAL CORP ................ 36 12,323 BALL CORP ............................. 521 5,852 BARNES GROUP, INC ..................... 127 900 o BUTLER MANUFACTURING CO ............... 25 745 CHART INDUSTRIES, INC ................. 6 7,400 o COLEMAN CO, INC ....................... 69 16,725 CRANE CO .............................. 526 32,453 CROWN CORK & SEAL CO, INC ............. 925 391,622 GILLETTE CO ........................... 16,057 5,500 o GRIFFON CORP ......................... 43 1,400 o GULF ISLAND FABRICATION, INC .......... 17 12,200 HARSCO CORP ........................... 390 19,413 MARK IV INDUSTRIES, INC ............... 410 112,422 MASCO CORP ............................ 3,246 1,500 o MATERIAL SCIENCES CORP ................ 23 9,800 o METALS U.S.A., INC .................... 125 3,000 o NCI BUILDING SYSTEMS, INC ............. 64 2,300 o NORTEK, INC ........................... 72 34,975 PARKER-HANNIFIN CORP .................. 1,600 7,100 PRIMEX TECHNOLOGIES, INC .............. 153 50,344 ROCKWELL INTERNATIONAL CORP ........... 3,058 40,700 o ROHN INDUSTRIES, INC .................. 56 5,500 o SILGAN HOLDINGS, INC .................. 109 19,250 SNAP-ON, INC .......................... 697 2,900 o SPS TECHNOLOGIES, INC ................. 109 23,600 STANLEY WORKS CO ...................... 760 12,700 STRUM, RUGER & CO, INC ................ 136 21,500 o TOWER AUTOMOTIVE, INC ................. 547 6,700 VALMONT INDUSTRIES .................... 114 5,600 WATTS INDUSTRIES, INC (CLASS A) ....... 107 10,700 o WYMAN-GORDON CO ....................... 207 ------------ 30,442 ------------ FISHING, HUNTING, AND TRAPPING--0.00% 3,900 o ZAPATA CORP 33 ------------ FOOD AND KINDRED PRODUCTS--3.32% 14,900 o AGRIBIOTECH, INC .................... 90 11,360 o AGRIBRANDS INTERNATIONAL, INC ....... 449 8,600 o AMERICAN ITALIAN PASTA CO (CLASS A) . 261 155,966 ANHEUSER BUSCH COS, INC ............. 11,064 255,200 ARCHER DANIELS MIDLAND CO ........... 3,940 5,200 o BERINGER WINE ESTATES HOLDINGS, INC (CLASS B) ......................... 217 94,845 BESTFOODS, INC ...................... 4,695 7,305 o BOSTON BEER CO, INC (CLASS A) ...... 59 14,750 BROWN FORMAN, INC (CLASS B) ......... 962 4,000 o BUSH BOAKE ALLEN, INC ............... 117 73,651 CAMPBELL SOUP CO .................... 3,416 4,600 o CANANDAIGUA BRANDS, INC (CLASS A) ... 241 14,200 CHIQUITA BRANDS INTERNATIONAL, INC .. 128 1,100 COCA COLA BOTTLING CO CONSOLIDATED .. 62 803,794 COCA COLA CO ........................ 50,237 81,900 COCA COLA ENTERPRISES, INC .......... 2,437 164,473 CONAGRA, INC ........................ 4,379 10,000 COORS (ADOLPH) CO (CLASS B) ......... 495 12,675 CORN PRODUCTS INTERNATIONAL, INC .... 386 11,500 DEAN FOODS CO ....................... 478 15,300 DOLE FOOD, INC ...................... 449 9,500 DREYERS GRAND ICE CREAM, INC ........ 144 15,860 EARTHGRAINS CO ...................... 409 100 FARMER BROTHERS CO .................. 20 30,650 FLOWERS INDUSTRIES, INC ............. 665 53,411 GENERAL MILLS, INC .................. 4,293 2,600 o HAIN FOOD GROUP, INC ................ 54 111,909 HEINZ (H.J.) CO ..................... 5,609 28,637 HERSHEY FOODS CORP .................. 1,700 11,800 HORMEL FOODS CORP ................... 475 25,300 IBP, INC ............................ 601 8,800 o INTERNATIONAL HOME FOODS, INC ....... 162 12,100 INTERSTATE BAKERIES CORP .............. 271 5,900 o KEEBLER FOODS CO .................... 179 72,600 KELLOGG CO ............................ 2,396 12,150 LANCASTER COLONY CORP ................. 419 9,400 LANCE, INC ............................ 147 21,100 MCCORMICK & CO, INC (NON-VOTE) ........ 666 7,200 MICHAEL FOODS, INC .................... 169 106,383 NABISCO GROUP HOLDINGS ................ 2,081 17,500 NABISCO HOLDINGS CORP (CLASS A) ....... 757 518,505 PEPSICO, INC .......................... 20,060 43,700 QUAKER OATS CO ........................ 2,901 10,500 o RALCORP HOLDINGS, INC ................. 169 102,000 RALSTON PURINA CO ..................... 3,105 1,200 RIVIANA FOODS, INC .................... 23 2,600 o ROBERT MONDAVI CORP (CLASS A) ......... 95 316,400 SARA LEE CORP ......................... 7,178 10,600 o SMITHFIELD FOODS, INC ................. 354 6,800 SMUCKER, (J.M.) CO (CLASS A) .......... 151 11,100 o SUIZA FOODS CORP ...................... 465 100 TCBY ENTERPRISES, INC ................. 1 8,787 TOOTSIE ROLL INDUSTRIES, INC .......... 339 34,500 TYSON FOODS, INC ...................... 776 714 UNILEVER NV (N.Y.) SHS ................ 50 21,400 UNIVERSAL FOODS CORP .................. 452 6,800 o VLASIC FOODS INTERNATIONAL, INC ....... 50 31,500 WHITMAN CORP ............................ 567 84 See notes to financial statements. EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ FOOD AND KINDRED PRODUCTS--(CONTINUED) 7,553 o WLR FOODS, INC ........................ $ 61 1,200 WORTHINGTON FOODS, INC ................ 20 33,300 WRIGLEY (WM) JR CO .................... 2,997 ------------ 145,593 ------------ FOOD STORES--0.72% 53,200 o 7-ELEVEN, INC ........................... 118 147,780 ALBERTSONS, INC ......................... 7,620 111,400 FOOD LION, INC (CLASS B) ................ 1,288 26,300 o GENERAL NUTRITION COS, INC .............. 613 8,000 GREAT ATLANTIC & PACIFIC TEA CO, INC .... 271 13,900 HANNAFORD BROTHERS, INC ................. 744 1,500 INGLES MARKETS, INC (CLASS A) ........... 23 284,154 o KROGER CO ............................... 7,939 15,100 RUDDICK CORP ............................ 302 171,022 o SAFEWAY, INC ............................ 8,466 61,000 o STARBUCKS CORP .......................... 2,291 3,400 WEIS MARKETS, INC ....................... 133 9,000 o WHOLE FOODS MARKET, INC ................. 433 2,900 o WILD OATS MARKETS, INC .................. 88 29,936 WINN DIXIE STORES, INC .................. 1,106 ----------- 31,435 ----------- FORESTRY--0.04% 47,600 GEORGIA-PACIFIC CORP (TIMBER GROUP) ........................ 1,202 12,900 RAYONIER, INC ......................... 643 ----------- 1,845 ----------- FURNITURE AND FIXTURES--0.27% 6,100 BASSETT FURNITURE INDUSTRIES, INC ..... 140 3,561 BUSH INDUSTRIES, INC (CLASS A) ........ 59 18,000 ETHAN ALLEN INTERIORS, INC ............ 680 17,900 o FURNITURE BRANDS INTERNATIONAL, INC .................... 499 20,500 HON INDUSTRIES, INC ................... 598 11,900 KIMBALL INTERNATIONAL, INC (CLASS B) .. 201 9,200 o KNOLL, INC ............................ 245 22,600 LA-Z-BOY, INC ......................... 520 20,152 o LEAR CORP ............................. 1,003 66,420 LEGGETT & PLATT, INC .................. 1,847 32,300 MILLER (HERMAN), INC .................. 678 98,851 NEWELL RUBBERMAID, INC ................ 4,597 6,303 o OSULLIVAN INDUSTRIES HOLDINGS, INC .... 107 2,300 STEELCASE, INC ........................ 46 27,800 U.S. INDUSTRIES, INC .................. 473 ------------ 11,693 ------------ FURNITURE AND HOMEFURNISHINGS STORES--0.32% 34,100 o BED BATH & BEYOND, INC ................ 1,313 54,500 o BEST BUY, INC ......................... 3,679 13,500 o BOMBAY, INC ........................... 104 6,073 o CDNOW, INC ............................ 107 32,015 CIRCUIT CITY STORES-CIRCUIT CITY GROUP 2,977 31,500 o COMPUSA, INC .......................... 234 4,500 o GUITAR CENTER, INC .................... 47 2,000 HAVERTY FURNITURE COS, INC ............ 71 21,100 HEILIG MEYERS CO ...................... 144 18,200 o LINENS N THINGS, INC .................. 796 3,892 o MAXIM GROUP, INC ...................... 34 11,278 o MUSICLAND STORES CORP ................. 100 34,355 PIER 1 IMPORTS, INC ................... 386 67,400 TANDY CORP ............................ 3,294 6,700 o TRANS WORLD ENTERTAINMENT CORP ........ 75 14,000 o WILLIAMS-SONOMA, INC .................. 487 ------------ 13,848 ------------ GENERAL BUILDING CONTRACTORS--0.09% 20,978 CENTEX CORP ........................... 788 3,000 o CROSSMAN COMMUNITIES, INC ............. 87 14,837 HILLENBRAND INDUSTRIES, INC ........... 642 16,700 HORTON (D.R.), INC .................... 278 18,600 KAUFMAN & BROAD HOME CORP ............. 463 17,950 LENNAR CORP ........................... 431 2,900 MDC HOLDINGS, INC ..................... 62 1,700 o NVR, INC .............................. 89 13,600 PULTE CORP ............................ 314 2,300 RYLAND GROUP, INC ..................... 68 7,715 STANDARD-PACIFIC CORP ................. 100 15,800 o TOLL BROTHERS, INC .................... 339 5,413 o U.S. HOME CORP ........................ 192 12,900 o WALTER INDUSTRIES, INC ................ 167 5,333 o WEBB (DEL) CORP ....................... 127 ------------ 4,147 ------------ GENERAL MERCHANDISE STORES--2.29% 5,000 o 99 CENTS ONLY STORES .................. 250 8,000 o AMES DEPARTMENT STORES, INC ........... 365 31,100 o BJS WHOLESALE CLUB, INC ............... 935 1,300 xo CALDOR CORP ........................... 0 24,000 CASEYS GENERAL STORES, INC ............ 360 38,103 o CONSOLIDATED STORES CORP .............. 1,029 3,000 o COST PLUS, INC ........................ 137 75,900 o COSTCO COS, INC ....................... 6,077 154,800 DAYTON HUDSON CORP .................... 10,062 35,300 DILLARDS, INC (CLASS A) ............... 1,240 71,032 DOLLAR GENERAL CORP ................... 2,060 19,025 o DOLLAR TREE STORES, INC ............... 837 9,100 o ELDER BEERMAN STORES CORP ............. 67 47,700 FAMILY DOLLAR STORES, INC ............. 1,145 72,513 o FEDERATED DEPARTMENT STORES, INC ...... 3,839 2,000 FREDS, INC ............................ 31 23,900 HARCOURT GENERAL, INC ................. 1,232 11,700 o HOMEBASE, INC ......................... 74 169,598 o K MART CORP ........................... 2,788 50,100 o KOHLS CORP ............................ 3,867 121,500 MAY DEPARTMENT STORES CO .............. 4,966 16,300 o NEIMAN-MARCUS GROUP, INC .............. 419 76,698 PENNEY, (J.C.) CO, INC ................ 3,725 48,703 o SAKS, INC ............................. 1,406 125,370 SEARS ROEBUCK & CO .................... 5,587 32,100 xo SERVICE MERCHANDISE, INC .............. 12 13,400 o SHOPKO STORES, INC .................... 486 5,600 o VALUE CITY DEPARTMENT STORES, INC ..... 69 42,400 o VENATOR GROUP, INC .................... 443 969,642 WAL-MART STORES, INC .................. 46,785 ------------ 100,293 ------------ HEALTH SERVICES--0.41% 2,200 o ADVANCE PARADIGM, INC ................. 134 5,400 o ALTERRA HEALTHCARE CORP ............... 74 700 o AMERICAN HOMEPATIENT, INC ............. 1 10,500 o AMERICAN RETIREMENT CORP .............. 131 6,500 o AMERIPATH, INC ........................ 56 1,600 o APPLIED ANALYTICAL INDUSTRIES, INC .... 18 14,200 o APRIA HEALTHCARE GROUP, INC ........... 241 4,200 o ASSISTED LIVING CONCEPTS, INC ......... 12 28,272 o BEVERLY ENTERPRISES, INC .............. 228 3,836 o CAREMATRIX CORP ....................... 48 1,700 o CENTENNIAL HEALTHCARE CORP ............ 9 9,400 o CLINTRIALS, INC ....................... 47 35,700 o COASTAL PHYSICIAN GROUP, INC .......... 19 211,062 COLUMBIA/HCA HEALTHCARE CORP .......... 4,815 See notes to financial statements. 85 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ HEALTH SERVICES--(CONTINUED) 20,800 o CONCENTRA MANAGED CARE, INC ........... $ 308 26,778 o CORAM HEALTHCARE CORP ................. 47 21,050 o COVANCE, INC .......................... 504 17,900 o COVENTRY HEALTH CARE, INC ............. 196 3,000 o CURATIVE HEALTH SERVICES, INC ......... 17 13,284 o ENZO BIOCHEMICAL, INC ................. 131 10,600 o EXPRESS SCRIPTS, INC .................. 638 5,400 xo FPA MEDICAL MANAGEMENT, INC ........... 0 12,600 o GENESIS HEALTH VENTURES, INC .......... 38 28,850 o HCR MANOR CARE ........................ 698 75,603 o HEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) (NEW) ...................... 851 146,109 o HEALTHSOUTH CORP ...................... 2,183 5,400 HOOPER HOLMES, INC .................... 110 1,200 o IMPATH, INC ........................... 32 8,300 o INNOVATIVE CLINICAL SOLUTION .......... 12 20,048 o INTEGRATED HEALTH SERVICES, INC ....... 160 20,080 o LABORATORY CORP OF AMERICA HOLDINGS ............................. 58 244 o LABORATORY CORP OF AMERICA HOLDINGS WTS 04/28/00 ................ 0 1,222 o LCA-VISION, INC ....................... 11 10,871 o LIFEPOINT HOSPITALS, INC .............. 146 14,600 o LINCARE HOLDINGS, INC ................. 365 190 o LTC HEALTHCARE, INC ................... 0 9,400 o MAGELLAN HEALTH SERVICES, INC ......... 94 33,899 o MARINER POST-ACUTE NETWORK, INC ....... 14 68,119 o MEDPARTNERS, INC ...................... 515 100 o NATIONAL HEALTHCARE CORP .............. 1 16,900 o NOVACARE, INC ......................... 25 10,800 o ORTHODONTIC CENTERS OF AMERICA, INC ... 153 6,000 o PEDIATRIX MEDICAL GROUP, INC .......... 128 26,525 o PHYCOR, INC ........................... 196 12,900 o PHYSICIANS RESOURCE GROUP, INC ........ 15 1,600 o PROVINCE HEALTHCARE CO ................ 31 16,875 o QUEST DIAGNOSTICS, INC ................ 462 23,950 o QUORUM HEALTH GROUP, INC .............. 301 13,400 o RENAL CARE GROUP, INC ................. 347 19,700 o SUN HEALTHCARE GROUP, INC ............. 7 106,573 o TENET HEALTHCARE CORP ................. 1,978 27,410 o TOTAL RENAL CARE HOLDINGS, INC ........ 427 10,871 o TRIAD HOSPITALS, INC .................. 147 2,800 o UNITED PAYORS & UNITED PROVIDERS, INC . 65 10,200 o UNIVERSAL HEALTH SERVICES, INC ........ 487 16,066 o US ONCOLOGY, INC ...................... 193 12,615 o VENCOR, INC ........................... 2 ------------ 17,926 ------------ HEAVY CON STRUCTION, EXCEPT BUILDING--0.05% 4,950 o DYCOM INDUSTRIES, INC ................. 277 24,552 FLUOR CORP ............................ 994 12,600 FOSTER WHEELER CORP ................... 178 6,400 GRANITE CONSTRUCTION, INC ............. 188 7,200 o INSITUFORM TECHNOLOGIES, INC (CLASS A) 156 3,100 o MASTEC, INC ........................... 88 12,684 o MORRSION KNUDSEN CORP ................. 131 ------------ 2,012 ------------ HOLDING AND OTHER INVESTMENT OFFICES--0.92% 700 o ALEXANDERS, INC ....................... 52 6,500 ALEXANDRIA REAL ESTATE EQUITIES, INC... 203 42,400 AMB PROPERTY CORP ..................... 996 2,500 o AMERCO ................................ 56 17,200 AMERICAN HEALTH PROPERTIES, INC ....... 346 9,700 AMLI RESIDENTIAL PROPERTIES TRUST ..... 217 2,900 ANTHRACITE CAPITAL, INC ............... 19 38,164 APARTMENT INVESTMENT & MANAGEMENT CO ......................... 1,632 63,279 ARCHSTONE COMMUNITIES TRUST ........... 1,388 11,600 ASSOCIATED ESTATES REALTY CORP ........ 137 26,522 AVALONBAY COMMUNITIES, INC ............ 981 1,500 BEDFORD PROPERTY INVESTORS, INC ....... 27 6,600 o BERKSHIRE REALTY CO, INC .............. 76 13,600 BOSTON PROPERTIES, INC ................ 488 7,000 BOYKIN LODGING CO ..................... 108 4,025 BRADLEY REAL ESTATE, INC .............. 84 8,000 BRANDYWINE REALTY TRUST ............... 159 15,000 BRE PROPERTIES, INC (CLASS A) ......... 389 3,200 BURNHAM PACIFIC PROPERTIES, INC ....... 39 23,900 CAMDEN PROPERTY TRUST ................. 663 3,400 CAPITAL AUTOMOTIVE REIT ............... 45 42,272 CAPSTEAD MORTGAGE CORP ................ 230 17,600 CARRAMERICA REALTY CORP ............... 440 9,400 CBL & ASSOCIATES PROPERTIES, INC ...... 248 1,400 CENTERPOINT PROPERTIES CORP ........... 51 1,000 CENTERTRUST RETAIL PROPERTIES, INC .... 12 1,300 CHARLES E. SMITH RESIDENTIAL REALTY ... 44 13,900 CHATEAU PROPERTIES, INC ............... 416 1,600 CHELSEA GCA REALTY, INC ............... 59 6,600 o COAST FEDERAL LITIGATION CONTINGENT RTS ........................ 7 9,500 COLONIAL PROPERTIES TRUST ............. 268 3,800 o COMMERCIAL NET LEASE REALTY, INC ...... 49 26,900 CORNERSTONE PROPERTIES, INC ........... 427 3,000 CORNERSTONE REALTY INCOME TRUST, INC .. 32 10,343 COUSINS PROPERTIES, INC ............... 350 36,100 CRESCENT REAL ESTATE EQUITIES CO ...... 857 1,040 o CRESECENT OPERATING, INC .............. 7 16,091 o CRIIMI MAE, INC ....................... 36 24,800 DEVELOPERS DIVERSIFIED REALTY CORP .... 412 34,732 DUKE REALTY INVESTMENTS, INC .......... 784 23,553 o DYNEX CAPITAL, INC .................... 47 2,000 ENTERTAINMENT PROPERTIES TRUST ........ 35 6,900 EQUITY INNS, INC ...................... 64 83,409 EQUITY OFFICE PROPERTIES TRUST ........ 2,137 34,868 EQUITY RESIDENTIAL PROPERTIES TRUST CO ............................ 1,571 13,400 FEDERAL REALTY INVESTMENT TRUST ....... 307 29,604 FELCOR LODGING TRUST, INC ............. 614 17,300 FIRST INDUSTRIAL REALTY TRUST, INC .... 475 4,480 o FIRST UNION REAL ESTATE INVESTMENTS ... 20 23,849 FRANCHISE FINANCE CORP OF AMERICA ..... 525 2,900 GABLES RESIDENTIAL TRUST .............. 70 10,500 GENERAL GROWTH PROPERTIES, INC ........ 373 1,300 GETTY REALTY HOLDINGS CORP ............ 19 10,500 GLENBOROUGH REALTY TRUST, INC ......... 184 12,100 GLIMCHER REALTY TRUST ................. 197 500 GOLF TRUST OF AMERICA, INC ............ 12 3,000 GREAT LAKES REIT, INC ................. 49 10,200 HEALTH CARE PROPERTY INVESTORS, INC ... 295 6,440 HEALTH CARE REIT, INC ................. 150 11,400 HEALTHCARE REALTY TRUST, INC .......... 239 26,000 HIGHWOODS PROPERTIES, INC ............. 713 2,400 HOME PROPERTIES OF NEW YORK, INC ...... 66 15,600 HOSPITALITY PROPERTIES TRUST .......... 423 46,200 HRPT PROPERTIES TRUST ................. 707 1,800 IMPAC MORTGAGE HOLDINGS, INC .......... 9 6,700 IMPERIAL CREDIT COMMERCIAL MORTGAGE INVESTMENT CORP ............ 72 86 See notes to financial statements. EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ HOLDING AND OTHER INVESTMENT OFFICES--(CONTINUED) 48,415 INDYMAC MORTGAGE HOLDINGS, INC .......... $ 775 3,800 INNKEEPERS U.S.A. TRUST ................. 38 2,300 IRT PROPERTY CO ......................... 23 12,150 JDN REALTY CORP ......................... 272 2,200 o JP REALTY, INC ........................ 45 11,200 KILROY REALTY CORP ...................... 273 18,450 KIMCO REALTY CORP ....................... 722 2,700 KOGER EQUITY, INC ....................... 50 2,400 LEXINGTON CORPORATE PROPERTIES TRUST .... 28 29,200 LIBERTY PROPERTY TRUST CO ............... 726 3,300 LTC PROPERTIES, INC ..................... 43 12,800 MACERICH CO ............................. 336 18,700 MACK-CALI REALTY CORP ................... 579 8,800 MANUFACTURED HOME COMMUNITIES, INC ........................ 229 36,163 MEDITRUST CORP .......................... 472 13,900 MERISTAR HOSPITALITY CORP ............... 312 676 o MERRY LAND PROPERTIES, INC .............. 3 600 MGI PROPERTIES, INC ..................... 17 2,900 o MID-AMERICA APARTMENT COMMUNITIES, INC ........................ 67 2,498 MILLS CORP .............................. 54 4,400 NATIONAL GOLF PROPERTIES, INC ........... 107 7,400 NATIONAL HEALTH INVESTORS, INC .......... 169 17,100 NATIONWIDE HEALTH PROPERTIES, INC ....... 326 31,566 NEW PLAN EXCEL REALTY TRUST ............. 568 7,734 OMEGA HEALTHCARE INVESTORS, INC ......... 200 700 PARKWAY PROPERTIES, INC ................. 23 3,700 o PENNSYLVANIA REAL ESTATE INVESTMENT TRUST ........................ 77 14,434 POST PROPERTIES, INC .................... 592 21,600 PRENTISS PROPERTIES TRUST ............... 508 3,100 PRIME RETAIL, INC ....................... 27 40,600 PRISON REALTY TRUST, INC ................ 398 25,993 PROLOGIS TRUST .......................... 526 3,100 PS BUSINESS PARKS, INC .................. 76 36,252 PUBLIC STORAGE, INC ..................... 1,015 20,700 REALTY INCOME CORP ...................... 492 11,700 RECKSON ASSOCIATES REALTY CORP .......... 275 1,013 o RECKSON ASSOCIATES REALTY CORP (CLASS B) .............................. 24 5,303 o REDWOOD TRUST, INC ...................... 88 11,700 RFS HOTEL INVESTORS, INC ................ 147 10,700 SHURGARD STORAGE CENTERS, INC ........... 290 42,256 SIMON PROPERTY GROUP, INC ............... 1,072 3,800 SL GREEN REALTY CORP .................... 78 1,600 SOVRAN SELF STORAGE, INC ................ 43 25,600 SPIEKER PROPERTIES, INC ................. 995 14,700 STARWOOD FINANCIAL TRUST ................ 911 11,400 STORAGE U.S.A., INC ..................... 363 700 SUMMIT PROPERTIES, INC .................. 14 500 SUN COMMUNITIES, INC .................... 18 7,548 SUNSTONE HOTEL INVESTORS, INC ........... 64 2,500 TANGER FACTORY OUTLET CENTERS, INC ...... 65 17,000 TAUBMAN CENTERS, INC .................... 224 2,624 THORNBURG MORTGAGE ASSET CORP ........... 26 3,500 TOWN & COUNTRY TRUST .................... 63 6,700 TRINET CORPORATE REALTY TRUST, INC ...... 186 4,100 U.S. RESTAURANT PROPERTIES, INC ......... 87 58,873 UNITED DOMINION REALTY TRUST, INC ....... 692 3,600 URBAN SHOPPING CENTERS, INC ............. 113 17,315 VENTAS, INC ............................. 93 975 o VORNADO OPERATING CO .................... 8 19,500 VORNADO REALTY TRUST .................... 689 4,700 WALDEN RESIDENTIAL PROPERTIES, INC ...... 101 21,400 WASHINGTON REAL ESTATE INVESTMENT TRUST ........................ 362 6,800 WEEKS CORP .............................. 207 8,900 WEINGARTEN REALTY INVESTORS, INC ........ 372 8,100 o WELLSFORD REAL PROPERTIES, INC .......... 87 2,800 WESTERN INVESTMENT REAL ESTATE TRUST .... 33 13,000 WESTFIELD AMERICA, INC .................. 196 -------------- 40,361 -------------- HOTELS AND OTHER LODGING PLACES--0.29% 9,300 o AZTAR CORP .............................. 85 4,675 o BRISTOL HOTELS & RESORTS, INC ........... 35 286,067 o CENDANT CORP ............................ 5,864 14,600 o CHOICE HOTELS INTERNATIONAL, INC ........ 288 4,510 o CRESTLINE CAPITAL CORP .................. 76 17,800 o EXTENDED STAY AMERICA, INC .............. 214 65,102 HILTON HOTELS CORP ...................... 924 9,046 o HOMESTEAD VILLAGE, INC .................. 22 1,369 o INTERSTATE HOTELS CORP .................. 6 7,000 o LODGIAN, INC ............................ 46 24,676 o MANDALAY RESORT GROUP ................... 521 1,500 MARCUS CORP ............................. 18 13,900 o MERISTAR HOTELS & RESORTS, INC .......... 48 4,359 o MGM GRAND, INC .......................... 214 70,652 o PARK PLACE ENTERTAINMENT ................ 684 21,300 o PRIME HOSPITALITY CORP .................. 256 24,287 o PROMUS HOTEL CORP ....................... 753 8,500 o RED ROOF INNS, INC ...................... 152 57,406 STARWOOD HOTELS & RESORTS WORLDWIDE ..... 1,754 500 o SUBURBAN LODGES OF AMERICA, INC ......... 3 7,833 o SUNBURST HOSPITALITY CORP ............... 46 7,700 o SUNTERRA CORP ........................... 107 5,100 o TRUMP HOTEL & CASINO RESORT, INC ........ 23 7,700 o VAIL RESORTS, INC ....................... 135 3,900 o VISTANA, INC ............................ 61 41,089 o WYNDHAM INTERNATIONAL, INC .............. 185 -------------- 12,520 -------------- INDUSTRIAL MAC HINERY AND EQUIPMENT--7.76% 125,040 o 3COM CORP ............................... 3,337 7,200 o 3DFX INTERACTIVE, INC ................... 113 36,050 o ADAPTEC, INC ............................ 1,273 1,000 o AG-CHEM EQUIPMENT CO, INC ............... 10 21,000 AGCO CORP ............................... 238 2,376 ALAMO GROUP, INC ........................ 21 2,200 ALLIED PRODUCTS CORP .................... 6 43,427 o AMERICAN STANDARD COS, INC .............. 2,084 6,000 o APEX PC SOLUTIONS, INC .................. 123 47,500 o APPLE COMPUTER, INC ..................... 2,200 131,760 o APPLIED MATERIALS, INC .................. 9,734 23,720 APPLIED POWER, INC (CLASS A) ............ 648 4,700 o ASTEC INDUSTRIES, INC ................... 192 2,300 o ASYST TECHNOLOGIES, INC ................. 69 4,700 o ATMI, INC ............................... 140 12,600 o AUSPEX SYSTEMS, INC ..................... 137 10,100 o AUTOTOTE CORP (CLASS A) ................. 24 95,935 BAKER HUGHES, INC ....................... 3,214 10,500 o BANCTEC, INC ............................ 188 7,200 o BELL & HOWELL CO ........................ 272 29,473 BLACK & DECKER CORP ..................... 1,860 6,700 o BLACK BOX CORP .......................... 336 30,393 BRUNSWICK CORP .......................... 847 See notes to financial statements. 87 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ INDUSTRIAL MACHINERY AND EQUIPMENT--(CONTINUED) 12,000 o C-CUBE MICROSYSTEMS, INC ................ $ 380 44,776 o CABLETRON SYSTEMS, INC .................. 582 2,238 CASCADE CORP ............................ 31 23,200 CASE CORP ............................... 1,117 122,608 CATERPILLAR, INC ........................ 7,356 18,400 o CIRRUS LOGIC, INC ....................... 163 1,132,863 o CISCO SYSTEMS, INC ...................... 72,857 19,300 o COLTEC INDUSTRIES, INC .................. 419 2,700 COLUMBUS MCKINNON CORP .................. 65 594,710 COMPAQ COMPUTER CORP .................... 14,087 14,414 o COOPER CAMERON CORP ..................... 534 20,500 o COPYTELE, INC ........................... 35 9,800 CUMMINS ENGINE CO, INC .................. 560 2,200 o CUNO, INC ............................... 42 2,500 o CYLINK CORP ............................. 9 16,400 o DATA GENERAL CORP ....................... 239 83,217 DEERE & CO .............................. 3,297 753,360 o DELL COMPUTER CORP ...................... 27,874 5,100 DETROIT DIESEL CORP ..................... 126 4,000 o DIALOGIC CORP ........................... 176 7,500 o DIAMOND MULTIMEDIA SYSTEMS, INC ......... 31 24,975 DIEBOLD, INC ............................ 718 3,000 o DIGI INTERNATIONAL, INC ................. 31 11,800 DONALDSON CO, INC ....................... 289 71,200 DOVER CORP .............................. 2,492 1,400 o DRIL-QUIP, INC .......................... 32 2,600 DT INDUSTRIES, INC ...................... 24 8,500 o ELECTROGLAS, INC ........................ 170 353,976 o EMC CORP ................................ 19,469 6,700 o ENCAD, INC .............................. 44 2,700 o ESTERLINE CORP .......................... 39 7,600 o ETEC SYSTEMS, INC ....................... 253 17,300 o EXABYTE CORP ............................ 67 4,600 FEDDERS CORP ............................ 31 13,705 FLOWSERVE CORP .......................... 260 11,000 o FSI INTERNATIONAL, INC .................. 91 800 o GARDNER DENVER, INC ..................... 13 24,530 o GATEWAY, INC ............................ 1,447 300 GLEASON CORP ............................ 5 15,100 o GLOBAL INDUSTRIAL TECHNOLOGIES, INC ..... 182 6,750 GRACO, INC .............................. 198 15,200 xo HARNISCHFEGER INDUSTRIES, INC ........... 30 301,167 HEWLETT-PACKARD CO ...................... 30,267 3,000 o HORIZON OFFSHORE, INC ................... 23 18,800 HUSSMANN INTERNATIONAL, INC ............. 311 100 o HYPERCOM CORP ........................... 1 10,300 IDEX CORP ............................... 339 11,100 o IN FOCUS SYSTEMS, INC ................... 167 55,500 INGERSOLL-RAND CO ....................... 3,587 648,656 * INTERNATIONAL BUSINESS MACHINES CORP ......................... 83,839 83,161 o IOMEGA CORP ............................. 411 6,200 o IONICS, INC ............................. 226 12,100 JLG INDUSTRIES, INC ..................... 247 500 o JTS CORP ................................ 0 10,000 KAYDON CORP ............................. 336 10,162 KENNAMETAL, INC ......................... 315 2,550 o KRONOS, INC ............................. 116 7,600 o KULICHE & SOFFA INDUSTRIES, INC ......... 204 12,800 o LAM RESEARCH CORP ....................... 598 42,000 o LEXMARK INTERNATIONAL GROUP (CLASS A) ... 2,775 6,200 LINCOLN ELECTRIC HOLDINGS CO ............ 127 1,600 LINDSAY MANUFACTURING CO ................ 28 7,950 MANITOWOC, INC .......................... 331 9,700 o MICRON ELECTRONICS, INC ................. 98 4,500 o MICROS SYSTEMS, INC ..................... 153 12,000 MILACRON, INC ........................... 222 4,700 o MTI TECHNOLOGY CORP ..................... 61 2,600 NACCO INDUSTRIES, INC (CLASS A) ......... 191 6,600 o NATIONAL INSTRUMENTS CORP ............... 266 7,500 o NETWORK EQUIPMENT TECHNOLOGIES, INC ....................... 74 4,400 NORDSON CORP ............................ 270 13,300 o NOVELLUS SYSTEMS, INC ................... 908 4,100 OMNIQUIP INTERNATIONAL, INC ............. 32 38,000 PALL CORP ............................... 843 13,300 PENTAIR, INC ............................ 608 93,500 PITNEY BOWES, INC ....................... 6,007 9,700 o PRESSTEK, INC ........................... 70 4,500 o PRI AUTOMATION, INC ..................... 163 56,535 o QUANTUM CORP ............................ 1,364 11,200 ROPER INDUSTRIES, INC ................... 358 7,100 o SANDISK CORP ............................ 320 84,317 o SEAGATE TECHNOLOGY, INC ................. 2,161 11,750 o SECURITY DYNAMICS TECHNOLOGIES, INC ....................... 250 12,800 o SEQUENT COMPUTER SYSTEMS, INC ........... 227 58,668 o SILICON GRAPHICS, INC ................... 961 8,800 o SILICON VALLEY GROUP, INC ............... 148 16,600 o SMITH INTERNATIONAL, INC ................ 721 1,200 o SPECIALTY EQUIPMENT COS, INC ............ 35 9,089 o SPEEDFAM-IPEC, INC ...................... 146 7,300 o SPLASH TECHNOLOGY HOLDINGS, INC ......... 51 10,900 STANDEX INTERNATIONAL CORP .............. 298 35,300 o STORAGE TECHNOLOGY CORP ................. 803 26,025 SYMBOL TECHNOLOGIES, INC ................ 960 8,400 TECUMSEH PRODUCTS CO (CLASS A) .......... 509 6,800 TELXON CORP ............................. 54 2,000 TENNANT CO .............................. 64 50,530 TENNECO, INC ............................ 1,206 5,460 o TEREX CORP .............................. 166 3,700 o THERMO FIBERTEK, INC .................... 26 14,663 TIMKEN CO ............................... 286 4,500 TORO CO ................................. 177 69,739 TYCO INTERNATIONAL LTD .................. 6,608 3,700 o ULTRATECH STEPPER, INC .................. 56 90,274 o UNISYS CORP ............................. 3,515 19,300 o UNOVA, INC .............................. 306 18,700 o VARCO INTERNATIONAL, INC ................ 205 6,900 o VISUAL NETWORKS, INC .................... 221 30,500 o WESTERN DIGITAL CORP .................... 198 7,600 o XIRCOM, INC ............................. 228 11,500 YORK INTERNATIONAL CORP ................. 492 9,400 o ZEBRA TECHNOLOGY CORP ................... 361 ----------- 340,626 ----------- INSTRUMENTS AND RELATED PRODUCTS--2.28% 9,736 o ACUSON CORP ........................... 167 7,500 o ADAC LABORATORIES, INC ................ 54 1,300 o ADE CORP .............................. 16 8,200 o AFFYMETRIX, INC ....................... 405 8,400 o ALARIS MEDICAL, INC ................... 28 700 o ANACOMP, INC .......................... 12 400 ANALOGIC CORP ......................... 12 6,700 ARROW INTERNATIONAL, INC .............. 173 10,200 o AVID TECHNOLOGIES, INC ................ 164 15,200 BALLARD MEDICAL PRODUCTS CO ........... 354 88 See notes to financial statements. EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ INSTRUMENTS AND RELATED PRODUCTS--(CONTINUED) 20,313 BARD (C.R.), INC ...................... $ 971 16,900 BAUSCH & LOMB, INC .................... 1,293 98,713 BAXTER INTERNATIONAL, INC ............. 5,984 2,200 o BAXTER INTERNATIONAL, INC RTS ......... 0 12,800 BECKMAN COULTER, INC .................. 622 85,778 BECTON DICKINSON & CO ................. 2,573 633 o BIO-RAD LABORATORIES, INC (CLASS A) ... 17 34,000 o BIOMET, INC ........................... 1,352 84,342 o BOSTON SCIENTIFIC CORP ................ 3,706 24,166 o CHYRON CORP ........................... 41 800 o CLOSURE MEDICAL CORP .................. 24 13,300 o CNS, INC .............................. 45 10,700 o COGNEX CORP ........................... 338 5,600 o COHERENT, INC ......................... 104 2,100 COHU, INC ............................. 74 5,300 o COLE NATIONAL CORP (CLASS A) .......... 42 2,600 o CONMED CORP ........................... 80 7,300 COOPER COS, INC ....................... 182 1,600 xo CPX CORP .............................. 0 6,700 o CREDENCE SYSTEMS CORP ................. 249 8,800 o CYMER, INC ............................ 220 4,500 o CYTYC CORP ............................ 88 9,300 o DATASCOPE CORP ........................ 299 18,400 DENTSPLY INTERNATIONAL, INC ........... 531 9,000 o DIONEX CORP ........................... 365 4,900 o DYNATECH CORP ......................... 17 110,919 EASTMAN KODAK CO ...................... 7,515 2,200 o FOSSIL, INC ........................... 106 6,283 FRESENIUS MEDICAL CARE AG. ADR ........ 126 12,800 o GENRAD, INC ........................... 266 4,528 o GENZYME SURGICAL PRODUCTS ............. 20 103,712 o GUIDANT CORP .......................... 5,335 9,000 o HAEMONETICS CORP ...................... 181 3,300 o HANGER ORTHOPEDIC GROUP, INC .......... 47 1,700 o HOLOGIC, INC .......................... 10 43,300 HONEYWELL, INC ........................ 5,017 15,100 o INPUT/OUTPUT, INC ..................... 114 10,800 INVACARE CORP ......................... 289 3,200 o ISOLYSER CO, INC ...................... 15 24,600 JOHNSON CONTROLS, INC ................. 1,705 30,500 o KLA-TENCOR CORP ....................... 1,979 9,100 o LITTON INDUSTRIES, INC ................ 653 24,500 o LTX CORP .............................. 326 3,000 o MAXXIM MEDICAL, INC ................... 70 204,852 MEDTRONIC, INC ........................ 15,953 7,700 MENTOR CORP ........................... 143 11,588 o METTLER-TOLEDO INTERNATIONAL, INC ..... 288 16,100 MILLIPORE CORP ........................ 653 300 MINE SAFETY APPLIANCE CO ............. 19 4,400 o MINIMED, INC .......................... 339 1,300 MOVADO GROUP, INC ..................... 34 2,000 MTS SYSTEMS CORP ...................... 24 1,200 o NOVOSTE CORP .......................... 25 13,200 o OAKLEY, INC ........................... 94 4,000 o OCULAR SCIENCES, INC .................. 70 2,700 o OEC MEDICAL SYSTEMS, INC .............. 66 8,100 o PE CORP-CELERA GENOMICS GROUP ......... 131 16,700 PE CORP-PE BIOSYSTEMS GROUP ........... 1,916 1,100 o PERCLOSE, INC ......................... 53 6,200 o PINNACLE SYSTEMS, INC ................. 208 12,500 POLAROID CORP ......................... 345 26,588 RAYTHEON CO (CLASS A) ................. 1,831 87,200 RAYTHEON CO (CLASS B) ................. 6,137 4,900 o RESMED, INC ........................... 163 10,000 o RESPIRONICS, INC ...................... 151 2,000 o SABRATEK CORP ......................... 44 2,900 o SCOTT TECHNOLOGIES, INC ............... 56 10,600 o SEPRACOR, INC ......................... 861 9,900 o SOLA INTERNATIONAL, INC ............... 192 7,333 o SONOSITE, INC ......................... 125 29,412 o ST. JUDE MEDICAL, INC ................. 1,048 23,720 o STERIS CORP ........................... 460 24,000 o STRYKER CORP .......................... 1,443 18,950 o SUMMIT TECHNOLOGY, INC ................ 417 12,700 o SUNRISE MEDICAL, INC .................. 90 33,200 o SYBRON INTERNATIONAL CORP ............. 915 12,300 o TAVA TECHNOLOGIES, INC ................ 95 14,750 TEKTRONIX, INC ........................ 445 29,300 o TERADYNE, INC ......................... 2,102 7,500 o THERMEDICS, INC ....................... 70 6,500 o THERMO CARDIOSYSTEMS, INC ............. 71 52,250 o THERMO ELECTRON CORP .................. 1,048 3,968 o THERMO INSTRUMENT SYSTEMS, INC ........ 67 2,300 o THERMO OPTEK CORP ..................... 24 11,422 o THERMO VISION CORP .................... 64 4,100 o THERMOQUEST CORP ...................... 55 2,600 o THERMOTREX CORP ....................... 20 9,400 o TRIMBLE NAVIGATION LTD ................ 121 10,500 o VARIAN MEDICAL SYSTEMS, INC ........... 265 10,500 o VARIAN, INC ........................... 142 3,200 o VEECO INSTRUMENTS, INC ................ 109 2,000 o VENTANA MEDICAL SYSTEMS, INC .......... 38 18,800 o VISX, INC ............................. 1,489 8,500 o VIVUS, INC ............................ 22 20,400 o WATERS CORP ........................... 1,084 6,400 o WESLEY JESSEN VISIONCARE, INC ......... 207 15,600 X RITE, INC ............................. 100 230,100 X EROX CORP .............................. 13,590 1,950 o XOMED SURGICAL PRODUCTS, INC .......... 95 ----------- 99,993 ----------- INSURANCE AGENTS, BROKERS AND SERVICE--0.19% 1,100 BALDWIN & LYONS, INC (CLASS B) ........ 26 5,572 BLANCH (E.W.) HOLDINGS, INC ........... 380 2,000 BROWN & BROWN, INC .................... 76 5,859 CRAWFORD & CO (CLASS B) ............... 95 22,900 o FIRST HEALTH GROUP CORP ............... 494 8,900 GALLAGHER (ARTHUR J.) & CO ............ 441 2,200 HILB, ROGAL & HAMILTON CO ............. 49 87,380 MARSH & MCLENNAN COS, INC ............. 6,597 ----------- 8,158 ----------- INSURANCE CARRIERS--5.03% 28,400 20TH CENTURY INDUSTRIES 536 8,883 o ACCEPTANCE INSURANCE COS, INC ......... 134 13,126 AEGON NV ARS .......................... 971 46,194 AETNA, INC ............................ 4,131 89,440 AFLAC, INC ............................ 4,282 6,100 ALFA CORP ............................. 122 1,528 o ALLEGHANY CORP (DELAWARE) ............. 283 40,256 o ALLMERICA FINANCIAL CORP .............. 2,448 263,516 ALLSTATE CORP ......................... 9,454 25,763 AMBAC FINANCIAL GROUP, INC ............ 1,472 4,100 o AMERICAN ANNUITY GROUP, INC ........... 99 14,100 AMERICAN BANKERS INSURANCE GROUP, INC ............................ 768 21,200 AMERICAN FINANCIAL GROUP, INC ......... 722 See notes to financial statements. 89 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ INSURANCE CARRIERS--(CONTINUED) 89,332 AMERICAN GENERAL CORP ................. $ 6,733 9,238 AMERICAN HERITAGE LIFE INVESTMENT CORP ....................... 226 434,015 AMERICAN INTERNATIONAL GROUP, INC ..... 50,807 5,500 o AMERICAN MEDICAL SECURITY GROUP ....... 47 1,600 AMERICAN NATIONAL INSURANCE CO ........ 114 3,800 AMERUS LIFE HOLDINGS, INC (CLASS A) ... 103 111,826 AON CORP .............................. 4,613 6,400 ARGONAUT GROUP, INC ................... 154 10,100 ARM FINANCIAL GROUP, INC (CLASS A) .... 86 9,350 BERKLEY (W.R.) CORP ................... 234 9 o BERKSHIRE HATHAWAY, INC (CLASS A) ..... 620 22 o BERKSHIRE HATHAWAY, INC (CLASS B) ..... 49 7,000 CAPITAL RE CORP ....................... 112 1,277 CHARTWELL RE CORP ..................... 24 6,900 CHICAGO TITLE CORP .................... 246 56,200 CHUBB CORP ............................ 3,906 68,637 CIGNA CORP ............................ 6,109 47,409 CINCINNATI FINANCIAL CORP ............. 1,781 1,193,056 CITIGROUP, INC ........................ 56,670 9,000 o CNA FINANCIAL CORP .................... 363 11,718 CNA SURETY CORP ....................... 179 9,800 COMMERCE GROUP, INC ................... 239 114,577 CONSECO, INC .......................... 3,487 8,277 o DELPHI FINANCIAL GROUP, INC ........... 297 11,000 ENHANCE FINANCIAL SERVICES GROUP, INC . 217 31,100 EQUITABLE COS, INC .................... 2,084 19,000 ERIE INDEMNITY CO (CLASS A) ........... 542 14,500 EVEREST REINSURANCE HOLDINGS, INC ..... 473 3,800 EXECUTIVE RISK, INC ................... 323 10,600 FBL FINANCIAL GROUP, INC (CLASS A) .... 207 10,790 FIDELITY NATIONAL FINANCIAL, INC ...... 227 10,500 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD .......................... 546 20,900 FIRST AMERICAN FINANCIAL CORP ......... 374 10,200 FOREMOST CORP OF AMERICA .............. 224 36,071 o FOUNDATION HEALTH SYSTEMS (CLASS A) ... 541 1,800 o FPIC INSURANCE GROUP, INC ............. 87 18,400 FREMONT GENERAL CORP .................. 347 11,470 FRONTIER INSURANCE GROUP, INC ......... 176 6,300 HARLEYSVILLE GROUP, INC ............... 129 71,700 HARTFORD FINANCIAL SERVICES GROUP, INC .......................... 4,181 10,900 HARTFORD LIFE, INC (CLASS A) .......... 574 16,300 HCC INSURANCE HOLDINGS, INC ........... 370 9,150 o HIGHLANDS INSURANCE GROUP, INC ........ 96 19,100 HORACE MANN EDUCATORS CORP ............ 519 15,550 HSB GROUP, INC ........................ 640 55,675 o HUMANA, INC ........................... 720 36,475 JEFFERSON-PILOT CORP .................. 2,414 200 KANSAS CITY LIFE INSURANCE CO ......... 9 7,900 LANDAMERICA FINANCIAL GROUP, INC ...... 227 4,800 LIBERTY CORP .......................... 262 4,800 LIBERTY FINANCIAL COS, INC ............ 140 2,600 LIFE U.S.A. HOLDINGS, INC ............. 53 68,000 LINCOLN NATIONAL CORP ................. 3,557 21,466 LOEWS CORP ............................ 1,698 1,400 o MARKEL CORP ........................... 262 11,800 o MAXICARE HEALTH PLANS, INC ............ 56 33,294 MBIA, INC ............................. 2,156 8,669 o MEDICAL ASSURANCE, INC ................ 245 10,100 MERCURY GENERAL CORP .................. 343 38,300 MGIC INVESTMENT CORP .................. 1,862 14,500 o MID ATLANTIC MEDICAL SERVICES, INC .... 143 2,200 MMI COS, INC .......................... 37 7,300 NATIONWIDE FINANCIAL SERVICES, INC (CLASS A) ............................ 330 8,600 OHIO CASUALTY CORP .................... 311 45,825 OLD REPUBLIC INTERNATIONAL CORP ....... 793 11,200 ORION CAPITAL CORP .................... 402 27,500 o OXFORD HEALTH PLANS, INC .............. 428 12,303 o PACIFICARE HEALTH SYSTEMS, INC (CLASS A) ............................ 885 700 o PENN TREATY AMERICAN CORP ............. 17 10,300 o PENNCORP FINANCIAL GROUP, INC ......... 5 1,000 PMA CAPITAL CORP (CLASS A) ............ 21 8,100 PMI GROUP, INC ........................ 509 12,800 PRESIDENTIAL LIFE CORP ................ 251 13,416 PROGRESSIVE CORP ...................... 1,945 20,600 PROTECTIVE LIFE CORP .................. 680 27,408 PROVIDENT COS, INC .................... 1,096 1,700 PXRE CORP ............................. 31 14,586 RADIAN GROUP, INC ..................... 712 13,300 REINSURANCE GROUP OF AMERICA, INC ..... 469 31,100 RELIANCE GROUP HOLDINGS, INC .......... 231 30,481 RELIASTAR FINANCIAL CORP .............. 1,334 2,600 o RISK CAPITAL HOLDINGS, INC ............ 35 1,000 RLI CORP .............................. 39 41,600 SAFECO CORP ........................... 1,836 4,400 SCPIE HOLDINGS, INC ................... 144 11,200 SELECTIVE INSURANCE GROUP, INC ........ 214 9,500 o SIERRA HEALTH SERVICES, INC ........... 137 73,881 ST. PAUL COS, INC ..................... 2,350 2,600 STATE AUTO FINANCIAL CORP ............. 35 3,000 STEWART INFORMATION SERVICES CORP ..... 63 47,800 TORCHMARK CORP ........................ 1,631 39,900 TRANSAMERICA CORP ..................... 2,993 5,550 TRANSATLANTIC HOLDINGS, INC ........... 416 15,200 TRAVELERS PROPERTY CASUALTY CORP ...... 595 2,300 TRENWICK GROUP, INC ................... 57 3,000 o TRIAD GUARANTY, INC ................... 54 12,400 o TRIGON HEALTHCARE, INC ................ 451 10,300 o UICI .................................. 285 600 UNITED FIRE & CASULTY CO .............. 16 54,800 UNITED HEALTHCARE CORP ................ 3,432 5,500 o UNITED WISCONSIN SERVICES, INC ........ 44 17,600 UNITRIN, INC .......................... 722 48,600 UNUM CORP ............................. 2,661 5,400 VESTA INSURANCE GROUP, INC ............ 25 22,934 o WELLPOINT HEALTH NETWORKS, INC ........ 1,947 1,200 WHITE MOUNTAINS INSURANCE ............. 169 7,960 o XL CAPITAL LTD ....................... 450 ------------ 220,933 ------------ LEATHER AND LEATHER PRODUCTS--0.02% 6,000 BROWN SHOE CO, INC .................... 131 19,000 JUSTIN INDUSTRIES, INC ................ 265 2,134 o SAMSONITE CORP ........................ 11 14,600 STRIDE RITE CORP ...................... 151 1,600 o TIMBERLAND CO ......................... 109 17,362 WOLVERINE WORLD WIDE, INC ............. 243 ----------- 910 ----------- LEGAL SERVICES--0.01% 12,900 o PREPAID LEGAL SERVICES, INC 351 ----------- 90 See notes to financial statements. EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ LOCAL AND INTERURBAN PASSENGER TRANSIT--0.01% LOCAL AND INTERURBAN PASSENGER TRANSIT--0.01% 8,000 o COACH U.S.A., INC $ 336 2,600 o RURAL/METRO CORP 25 ----------- 361 ----------- LUMBER AND WOOD PRODUCTS--0.24% 1,700 o AMERICAN HOMESTAR CORP .................. 12 6,233 CAVALIER HOMES, INC ..................... 51 16,100 o CHAMPION ENTERPRISES, INC ............... 300 37,420 CLAYTON HOMES, INC ...................... 428 14,857 DELTIC TIMBER CORP ...................... 400 58,000 GEORGIA-PACIFIC CORP (PACKAGING GROUP) ...................... 2,748 36,700 LOUISIANA PACIFIC CORP .................. 872 14,500 OAKWOOD HOMES CORP ...................... 190 8,750 o PALM HARBOR HOMES, INC .................. 219 200 o SKYLINE CORP ............................ 6 6,400 TJ INTERNATIONAL, INC ................... 198 2,400 UNIVERSAL FOREST PRODUCTS, INC .......... 52 71,697 WEYERHAEUSER CO ......................... 4,929 ----------- 10,405 ----------- METAL MINING--0.12% 67,014 o BATTLE MOUNTAIN GOLD CO ................. 163 7,800 CLEVELAND CLIFFS, INC ................... 253 4,500 o COEUR DALENE MINES CORP ................. 21 38,400 CYPRUS AMAX MINERALS CO ................. 583 17,692 o FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS A) ..................... 296 29,233 o FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) ..................... 524 21,400 o HECLA MINING CO ......................... 44 55,200 HOMESTAKE MINING CO ..................... 452 39,187 o KINROSS GOLD CORP ....................... 66 51,130 NEWMONT MINING CORP ..................... 1,016 17,500 PHELPS DODGE CORP ....................... 1,084 25,457 o PLACER DOME, INC ........................ 301 10,950 o STILLWATER MINING CO .................... 358 100,000 o SUNSHINE MINING & REFINING CO ........... 38 ----------- 5,199 ----------- MISCELLANEOUS MANUFACTURING INDUSTRIES--0.45% 10,000 o BLYTH INDUSTRIES, INC ................... 344 6,600 BRADY CORP (CLASS A) .................... 215 26,094 CALLAWAY GOLF CO ........................ 382 2,600 xo CML GROUP, INC .......................... 0 57,227 HASBRO, INC ............................. 1,599 8,200 o HEXCEL CORP ............................. 83 35,377 INTERNATIONAL GAME TECHNOLOGY CO ........ 654 17,500 JOSTENS, INC ............................ 369 5,500 K2, INC ................................. 49 1,071 o LYDALL, INC ............................. 12 165 o MARVEL ENTERPRISES WTS 10/02/02 ......... 0 280 o MARVEL ENTERPRISES WTS 10/02/02 (CLASS C) ............................. 0 139,692 MATTEL, INC ............................. 3,693 138,500 MINNESOTA MINING & MANUFACTURING CO ..... 12,041 3,500 xo NU KOTE HOLDINGS, INC (CLASS A) ......... 0 2,941 ONEIDA LTD .............................. 83 4,700 RUSS BERRIE & CO, INC ................... 116 700 o STEINWAY MUSICAL INSTRUMENTS, INC ...... 19 8,900 o WMS INDUSTRIES, INC ..................... 151 ----------- 19,810 ----------- MISCELLANEOUS RETAIL--0.93% 33,100 o AMAZON.COM, INC ......................... 4,142 18,200 o BARNES & NOBLE, INC ..................... 498 2,500 o BARNETT, INC ............................ 19 900 BLAIR CORP .............................. 24 26,267 o BORDERS GROUP, INC ...................... 415 3,769 CASH AMERICA INTERNATIONAL, INC ......... 49 3,500 o CDW COMPUTER CENTERS, INC ............... 154 2,700 o COLDWATER CREEK, INC .................... 53 32,790 o CORPORATE EXPRESS, INC .................. 230 133,914 CVS CORP ................................ 6,796 8,036 o DUANE READE, INC ........................ 246 4,500 ENESCO GROUP, INC ....................... 104 2,900 o FINLAY ENTERPRISES, INC ................. 39 3,000 FRIEDMANS, INC (CLASS A) ................ 26 4,100 o GARDEN RIDGE CORP ....................... 19 2,300 o GENESIS DIRECT, INC ..................... 4 4,900 HANCOCK FABRICS, INC .................... 21 30,200 o HANOVER DIRECT, INC ..................... 85 7,500 o INSIGHT ENTERPRISES, INC ................ 186 3,500 o JO-ANN STORES, INC (CLASS A) ............ 53 800 xo JUMBO SPORTS, INC ....................... 0 5,400 o LANDS END, INC .......................... 262 12,800 LONGS DRUG STORES CORP .................. 442 10,100 o MICHAELS STORES, INC .................... 309 11,100 o MICRO WAREHOUSE, INC .................... 198 3,600 o NCS HEALTHCARE, INC (CLASS A) ........... 20 130,525 o OFFICE DEPOT, INC ....................... 2,880 44,021 o OFFICEMAX, INC .......................... 528 30,800 OMNICARE, INC ........................... 389 1,300 o PARTY CITY CORP ......................... 5 6,900 o PETCO ANIMAL SUPPLIES, INC .............. 109 40,900 o PETSMART, INC ........................... 419 89,645 RITE AID CORP ........................... 2,208 7,700 o SCHEIN (HENRY), INC ..................... 244 9,600 o SPIEGEL, INC (CLASS A) .................. 85 161,462 o STAPLES, INC ............................ 4,995 14,700 o SUNGLASS HUT INTERNATIONAL, INC ......... 253 4,600 o SYSTEMAX, INC ........................... 57 9,250 o THE SPORTS AUTHORITY, INC ............... 41 10,706 TIFFANY & CO ............................ 1,033 84,701 o TOYS R US, INC .......................... 1,752 9,431 o U.S. OFFICE PRODUCTS CO ................. 51 349,500 WALGREEN CO ............................. 10,267 23,000 o ZALE CORP ............................... 920 ----------- 40,630 ----------- MOTION PICTURES--1.13% 1,000 o AMC ENTERTAINMENT, INC ................ 19 1,584 o CARMIKE CINEMAS, INC (CLASS A) ........ 25 725,378 o DISNEY (WALT) CO ...................... 22,351 9,500 o HOLLYWOOD ENTERTAINMENT CORP .......... 186 16,400 o KING WORLD PRODUCTIONS, INC ........... 571 1,300 o METRO-GOLDWYN-MAYER, INC .............. 24 21,100 o METROMEDIA INTERNATIONAL GROUP, INC ... 158 8,800 o MOVIE GALLERY, INC .................... 47 5,600 o PIXAR, INC ............................ 242 353,598 TIME WARNER, INC ...................... 25,989 ----------- 49,612 ----------- NONDEPOSITORY INSTITUTIONS--2.08% 6,100 o AAMES FINANCIAL CORP .................. 8 5,299 ADVANTA CORP (CLASS A) ................ 96 158,112 AMERICAN EXPRESS CO ................... 20,574 22,300 o AMERICREDIT CORP ...................... 357 See notes to financial statements. 91 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ NONDEPOSITORY INSTITUTIONS--(CONTINUED) 16,550 o AMRESCO, INC .......................... $ 107 14,700 o ARCADIA FINANCIAL LTD ................. 114 253,540 ASSOCIATES FIRST CAPITAL CORP ......... 11,235 68,276 CAPITAL ONE FINANCIAL CORP ............ 3,802 6,000 CHARTER MUNICIPAL MORTGAGE ACCEPTANCE ............................ 77 14,000 CIT GROUP, INC (CLASS A) .............. 404 2,500 xo CITYSCAPE FINANCIAL CORP .............. 0 2,900 o CONTIFINANCIAL CORP ................... 10 39,028 COUNTRYWIDE CREDIT INDUSTRIES, INC .... 1,668 4,800 o CREDIT ACCEPTANCE CORP ................ 29 13,953 DORAL FINANCIAL CORP .................. 241 700 o DVI, INC .............................. 12 400 o FEDERAL AGRICULTURE MORTGAGE CORP ......................... 27 363,595 FEDERAL NATIONAL MORTGAGE ASSOCIATION ........................... 24,861 1,000 o FINANCIAL FEDERAL CORP ................ 22 21,709 FINOVA GROUP, INC ..................... 1,142 3,700 o FIRST SIERRA FINANCIAL, INC ........... 93 6,300 o FIRSTPLUS FINANCIAL GROUP, INC ........ 2 242,141 FREDDIE MAC ........................... 14,044 4,400 o HEALTHCARE FINANCIAL PARTNERS, INC .... 151 10,600 HELLER FINANCIAL, INC ................. 295 169,119 HOUSEHOLD INTERNATIONAL, INC .......... 8,012 5,900 o IMC MORTGAGE CO ....................... 1 9,000 o IMPERIAL CREDIT INDUSTRIES, INC ....... 64 11,200 LEUCADIA NATIONAL CORP ................ 284 3,900 o LONG BEACH FINANCIAL CORP ............. 57 1,200 MEDALLION FINANCIAL CORP .............. 23 14,768 METRIS COS, INC ....................... 602 279 o MFN FINANCIAL CORP .................... 3 324 o MFN FINANCIAL CORP WTS 03/23/02 SERIES A .............................. 1 324 o MFN FINANCIAL CORP WTS 03/23/03 SERIES B .............................. 0 324 o MFN FINANCIAL CORP WTS 03/23/04 SERIES C .............................. 0 3,379 o OMEGA WORLDWIDE, INC .................. 14 6,300 RESOURCE AMERICA, INC (CLASS A) ....... 91 3,000 RESOURCE BANCSHARES MORTGAGE GROUP, INC ............................ 31 57,891 SLM HOLDINGS CORP ..................... 2,652 2,000 STUDENT LOAN CORP ..................... 89 13,240 o UNICAPITAL CORP ....................... 84 7,280 xo UNITED COS FINANCIAL CORP ............. 1 12,10 o WILSHIRE FINANCIAL SERVICES GROUP, INC ............................ 3 ----------- 91,383 ----------- NONMETALLIC MINERALS, EXCEPT FUELS--0.05% 4,000 AMCOL INTERNATIONAL CORP .............. 58 7,900 JOHNS MANVILLE CORP ................... 103 13,568 MARTIN MARIETTA MATERIALS, INC ........ 801 1,913 POTASH CORP OF SASKATCHEWAN, INC ...... 99 25,200 VULCAN MATERIALS CO ................... 1,216 ----------- 2,277 ----------- OIL AND GAS EXTRACTION--0.74% 31,816 ANADARKO PETROLEUM CORP ............... 1,171 27,157 APACHE CORP ........................... 1,059 4,400 o ATWOOD OCEANICS, INC .................. 138 2,300 o BELCO OIL & GAS CORP .................. 16 11,400 o BENTON OIL & GAS CO ................... 23 5,171 BERRY PETROLEUM CO (CLASS A) .......... 72 22,868 o BJ SERVICES CO ........................ 673 160 o BJ SERVICES CO WTS 04/13/00 ........... 5 6,900 o BROWN (TOM), INC ...................... 107 56,708 BURLINGTON RESOURCES, INC ............. 2,453 12,700 CABOT OIL & GAS CORP (CLASS A) ........ 237 100 o CAL DIVE INTERNATIONAL, INC ........... 3 11,000 o CHESAPEAKE ENERGY CORP ................ 32 8,000 o COMSTOCK RESOURCES, INC ............... 27 14,850 CROSS TIMBERS OIL CO .................. 221 6,900 DEVON ENERGY CORP ..................... 247 22,500 DIAMOND OFFSHORE DRILLING, INC ........ 638 282 o EAGLE GEOPHYSICAL, INC ................ 0 17,014 o EEX CORP .............................. 118 20,000 ENRON OIL & GAS CO .................... 405 47,350 ENSCO INTERNATIONAL, INC .............. 944 6,800 xo FORCENERGY GAS EXPLORATION, INC ....... 6 13,500 o FOREST OIL CORP ....................... 170 3,800 o FRIEDE GOLDMAN INTERNATIONAL, INC ..... 53 19,200 o GLOBAL INDUSTRIES LTD ................. 246 52,600 o GLOBAL MARINE, INC .................... 812 49,000 o GREY WOLF, INC ........................ 123 148,757 HALLIBURTON CO ........................ 6,731 7,900 o HANOVER COMPRESSOR CO ................. 254 44,100 o HARKEN ENERGY CORP .................... 72 13,800 HELMERICH & PAYNE, INC ................ 329 2,500 o HS RESOURCES, INC ..................... 37 6,800 KCS ENERGY, INC ....................... 4 26,072 KERR-MCGEE CORP ....................... 1,308 2,700 o KEY ENERGY SERVICES, INC .............. 10 6,100 o LOUIS DREYFUS NATURAL GAS CORP ........ 132 16,900 o MARINE DRILLING CO, INC ............... 231 12,921 o MCMORAN EXPLORATION CO ................ 287 6,900 o MERIDIAN RESOURCE CORP ................ 27 16,400 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) ........................... 317 33,900 o NABORS INDUSTRIES, INC ................ 828 11,000 o NEWFIELD EXPLORATION CO ............... 313 16,300 NOBLE AFFILIATES, INC ................. 459 44,000 o NOBLE DRILLING CORP ................... 866 6,800 o NUEVO ENERGY CO ....................... 90 111,229 OCCIDENTAL PETROLEUM CORP ............. 2,350 42,306 o OCEAN ENERGY, INC (NEW) ............... 407 4,500 o OCEANEERING INTERNATIONAL, INC ........ 73 29,700 o PARKER DRILLING CO .................... 98 10,300 o PATTERSON ENERGY, INC ................. 102 1,300 PENN VIRGINIA CORP .................... 26 32,700 o PIONEER NATURAL RESOURCES CO .......... 360 12,800 POGO PRODUCING CO ..................... 238 5,400 o POOL ENERGY SERVICES CO ............... 110 13,800 o PRIDE INTERNATIONAL, INC .............. 146 59,586 o R & B FALCON CORP ..................... 559 12,700 RANGE RESOURCES CORP .................. 78 24,400 o ROWAN COS, INC ........................ 450 900 ROYAL DUTCH PETROLEUM CO ADR (N.Y. REGD) .......................... 54 53,265 o SANTA FE SNYDER CORP .................. 406 2,267 SCHLUMBERGER LTD ...................... 144 4,400 o SEITEL, INC ........................... 71 1,900 ST. MARY LAND & EXPLORATION CO ........ 39 3,848 o STONE ENERGY CORP ..................... 163 10,000 o SUPERIOR ENERGY SERVICES, INC ......... 51 4,950 o SWIFT ENERGY CO ....................... 53 3,300 o SYNTROLEUM CORP ....................... 29 92 See notes to financial statements. EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ OIL AND GAS EXTRACTION--(CONTINUED) 8,900 o TITAN EXPLORATION, INC ................ 45 1,620 o TOTAL FINA WTS 08/05/03 ............... 37 4,100 o TRANSMONTAIGNE, INC ................... 52 33,000 TRANSOCEAN OFFSHORE, INC .............. 866 6,600 xo TRANSTEXAS GAS CORP ................... 4 2,700 o TRITON ENERGY LTD ..................... 29 20,300 o TUBOSCOPE, INC ........................ 278 81,692 UNION PACIFIC RESOURCES GROUP, INC .... 1,333 3,000 o UTI ENERGY CORP ....................... 50 4,900 VASTAR RESOURCES, INC ................. 257 8,200 o VERITAS DGC, INC ...................... 150 10,900 o VINTAGE PETROLEUM, INC ................ 117 33,015 o WEATHERFORD INTERNATIONAL ............. 1,209 ----------- 32,728 ----------- PAPER AND ALLI ED PRODUCTS--0.88% 17,900 o ACX TECHNOLOGIES, INC ................. 291 8,166 o AMERICAN PAD & PAPER CO ............... 16 35,995 AVERY DENNISON CORP ................... 2,173 16,713 BEMIS, INC ............................ 664 16,100 BOISE CASCADE CORP .................... 690 18,869 BOWATER, INC .......................... 892 14,700 o BUCKEYE TECHNOLOGIES, INC ............. 223 14,000 CARAUSTAR INDUSTRIES, INC ............. 346 31,900 CHAMPION INTERNATIONAL CORP ........... 1,527 10,800 CHESAPEAKE CORP ....................... 404 20,000 CONSOLIDATED PAPERS, INC .............. 535 12,170 o CROWN VANTAGE, INC .................... 27 10,300 o EARTHSHELL CORP ....................... 72 76,375 FORT JAMES CORP ....................... 2,893 16,200 o GAYLORD CONTAINER CO .................. 129 14,800 GLATFELTER (P.H.) CO .................. 216 700 GREIF BROTHERS CORP (CLASS A) ......... 18 146,974 INTERNATIONAL PAPER CO ................ 7,422 4,500 o IVEX PACKAGING CORP ................... 99 184,088 KIMBERLY-CLARK CORP ................... 10,493 18,900 LONGVIEW FIBRE CO ..................... 295 21,000 o MAIL-WELL, INC ........................ 340 34,244 MEAD CORP ............................. 1,430 15,600 o PLAYTEX PRODUCTS, INC ................. 243 9,800 POTLATCH CORP ......................... 431 6,500 ROCK-TENN CO (CLASS A) ................ 108 5,760 SCHWEITZER-MAUDUIT INTERNATIONAL, INC . 86 20,550 o SHOREWOOD PACKAGING CORP .............. 379 40,427 o SMURFIT-STONE CONTAINER CORP .......... 831 37,323 SONOCO PRODUCTS CO .................... 1,117 6,800 ST. JOE CO ............................ 184 18,634 TEMPLE-INLAND, INC .................... 1,272 19,025 WAUSAU-MOSINEE PAPER CORP ............. 342 25,250 WESTVACO CORP ......................... 732 35,600 WILLAMETTE INDUSTRIES, INC ............ 1,640 ----------- 38,560 ----------- PERSONAL SERVICES--0.13% 32,221 BLOCK (H&R), INC ...................... 1,611 700 o CARRIAGE SERVICES, INC (CLASS A) .... 13 25,600 CINTAS CORP ........................... 1,720 1,100 o COINMACH LAUNDRY CORP ............... 14 1,028 CPI CORP .............................. 34 9,000 G & K SERVICES, INC (CLASS A) ......... 471 6,600 REGIS CORP ............................ 127 97,693 SERVICE CORP INTERNATIONAL ............ 1,881 900 UNIFIRST CORP ......................... 17 ----------- 5,888 ----------- PETROLEUM AND COAL PRODUCTS--3.74% 23,200 AMERADA HESS CORP ..................... 1,380 21,472 ASHLAND, INC .......................... 862 106,326 ATLANTIC RICHFIELD CO ................. 8,885 167,077 BP AMOCO PLC (SPONS ADR) .............. 18,128 217,605 CHEVRON CORP .......................... 20,713 2,400 ELCOR CORP ............................ 105 820,900 EXXON CORP ............................ 63,312 2,500 o FRONTIER OIL CORP ..................... 17 1,400 HOLLY CORP ............................ 19 260,800 MOBIL CORP ............................ 25,819 11,600 MURPHY OIL CORP ....................... 566 14,400 PENNZENERGY CO ........................ 240 24,244 PENNZOIL-QUAKER STATE CO .............. 364 66,022 PHILLIPS PETROLEUM CO ................. 3,322 25,600 SUNOCO, INC ........................... 773 9,600 o TESORO PETROLEUM CORP ................. 153 175,725 TEXACO, INC ........................... 10,983 47,147 TOSCO CORP ............................ 1,223 28,194 ULTRAMAR DIAMOND SHAMROCK CORP ........ 615 78,425 UNOCAL CORP ........................... 3,108 100,400 USX-MARATHON GROUP, INC ............... 3,269 13,200 VALERO ENERGY CORP .................... 283 4,200 WD-40 CO .............................. 105 ----------- 164,244 ----------- PRIMARY METAL INDUSTRIES--0.42% 2,200 o AFC CABLE SYSTEMS, INC ................ 78 40,500 AK STEEL HOLDINGS CORP ................ 911 124,894 ALCOA, INC ............................ 7,728 4,939 o ALPINE GROUP, INC ..................... 79 30,921 o ARMCO, INC ............................ 205 20,100 ASARCO, INC ........................... 378 14,800 BELDEN, INC ........................... 354 43,786 o BETHLEHEM STEEL CORP .................. 337 9,200 BIRMINGHAM STEEL CORP ................. 38 12,700 BRUSH WELLMAN, INC .................... 230 8,000 o CABLE DESIGN TECHNOLOGIES CO .......... 124 4,800 CARPENTER TECHNOLOGY CORP ............. 137 1,700 CENTURY ALUMINUM CO ................... 11 1,504 o CHASE INDUSTRIES, INC ................. 13 300 CURTISS WRIGHT CORP ................... 12 3,200 o ENCORE WIRE CORP ...................... 29 26,800 ENGELHARD CORP ........................ 606 20,450 GENERAL CABLE CORP .................... 327 1,800 INTERMET CORP ......................... 27 13,500 o KAISER ALUMINUN CORP .................. 120 7,500 o LONE STAR TECHNOLOGIES, INC ........... 133 43,900 LTV CORP .............................. 294 2,200 MATTHEWS INTERNATIONAL CORP (CLASS A) . 65 3,300 o MAVERICK TUBE CORP .................... 46 1,200 o MAXXAM, INC ........................... 77 17,000 o MUELLER INDUSTRIES, INC ............... 577 13,566 NATIONAL STEEL CORP (CLASS B) ......... 114 1,900 o NS GROUP, INC ......................... 18 26,500 NUCOR CORP ............................ 1,257 8,800 OREGON STEEL MILLS, INC ............... 117 8,100 PRECISION CAST PARTS CORP ............. 344 1,400 QUANEX CORP ........................... 40 18,500 REYNOLDS METALS CO .................... 1,092 12,600 ROUGE INDUSTRIES, INC (CLASS A) ....... 123 2,400 o RTI INTERNATIONAL METALS .............. 35 8,990 RYERSON TULL, INC ..................... 203 14,100 o STEEL DYNAMICS, INC ................... 218 3,225 SUPERIOR TELECOM, INC ................. 81 See notes to financial statements. 93 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ PRIMARY METAL INDUSTRIES--(CONTINUED) 5,700 TEXAS INDUSTRIES, INC ................. 221 4,800 TITAN INTERNATIONAL, INC .............. 57 5,900 TITANIUM METALS CORP .................. 66 23,900 USX-US STEEL GROUP, INC ............... 645 7,200 o WHX CORP .............................. 47 4,600 o WOLVERINE TUBE, INC ................... 116 31,740 WORTHINGTON INDUSTRIES, INC ........... 522 ----------- 18,252 ----------- PRINTING AND PUBLISHING--0.81% 4,100 AMERICAN BUSINESS PRODUCTS, INC ....... 63 18,700 AMERICAN GREETINGS CORP (CLASS A) ..... 563 11,500 o APPLIED GRAPHICS TECHNOLOGIES, INC 145 12,500 BANTA CORP ............................ 263 47,700 BELO (A.H.) CORP SERIES A ............. 939 5,809 o BIG FLOWER HOLDINGS, INC .............. 185 9,200 BOWNE & CO, INC ....................... 120 17,900 CENTRAL NEWSPAPERS, INC (CLASS A) ..... 673 3,400 o CONSOLIDATED GRAPHICS, INC ............ 170 386 o CSS INDUSTRIES, INC ................... 11 25,800 DELUXE CORP ........................... 1,005 53,600 DONNELLEY (R.R.) & SONS CO ............ 1,987 14,500 DOW JONES & CO, INC ................... 769 12,000 o FRANKLIN COVEY CO ..................... 89 93,847 GANNETT CO, INC ....................... 6,698 10,000 o GIBSON GREETINGS, INC ................. 63 12,800 HARLAND (JOHN H.) CO .................. 255 17,600 HARTE-HANKS, INC ...................... 477 14,400 HOLLINGER INTERNATIONAL, INC .......... 171 16,200 HOUGHTON MIFFLIN CO ................... 762 11,600 o JOURNAL REGISTER CO ................... 261 22,300 KNIGHT-RIDDER, INC .................... 1,225 16,800 LEE ENTERPRISES, INC .................. 512 4,200 MCCLATCHY CO (CLASS A) ................ 139 62,698 MCGRAW HILL COS, INC .................. 3,382 4,000 o MEDIA ARTS GROUP, INC ................. 18 8,481 MEDIA GENERAL, INC (CLASS A) .......... 433 13,200 MEREDITH CORP ......................... 457 2,900 MERRILL CORP .......................... 42 4,416 NEW ENGLAND BUSINESS SERVICES, INC .... 136 54,700 NEW YORK TIMES CO (CLASS A) ........... 2,014 27,387 NEWS CORP LTD ......................... 864 8,625 o PAXAR CORP ............................ 78 3,500 PENTON MEDIA, INC .................... 85 41,561 o PRIMEDIA, INC ......................... 704 4,800 PULITZER, INC ........................ 233 14,089 o R.H. DONNELLEY CORP ................... 276 27,510 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VOTE) .................. 1,094 25,000 REYNOLDS & REYNOLDS CO (CLASS A) ...... 583 3,300 o SCHOLASTIC CORP ....................... 167 11,800 o SCIENTIFIC GAMES HOLDINGS CORP ........ 230 9,700 SCRIPPS (E.W.) CO (CLASS A) ........... 461 2,900 STANDARD REGISTER, INC ................ 89 19,044 TIMES MIRROR CO SERIES A .............. 1,128 34,100 o TOPPS, INC ............................ 248 32,900 TRIBUNE CO ............................ 2,866 12,000 WALLACE COMPUTER SERVICES, INC ........ 300 2,700 WASHINGTON POST CO (CLASS B) .......... 1,452 12,800 WILEY (JOHN) & SONS, INC (CLASS A) .... 226 3,270 o WORKFLOW MANAGEMENT, INC 47 11,286 o WORLD COLOR PRESS, INC 310 ----------- 35,468 ----------- RAILROAD TRANSPORTATION--0.43% 150,825 BURLINGTON NORTHERN SANTA FE CORP ..... 4,676 158 CANADIAN NATIONAL RAILWAY CO .......... 11 67,252 CSX CORP .............................. 3,047 4,000 FLORIDA EAST COAST INDUSTRIES, INC .... 177 37,200 KANSAS CITY SOUTHERN INDUSTRIES, INC .. 2,374 125,058 NORFOLK SOUTHERN CORP ................. 3,767 79,985 UNION PACIFIC CORP .................... 4,664 14,400 o WISCONSIN CENTRAL TRANSIT CORP 272 ----------- 18,988 ----------- REAL ESTATE--0.09% 33,900 ARDEN REALTY GROUP, INC ............... 835 500 o AVATAR HOLDINGS, INC .................. 9 8,400 o CASTLE & COOKE, INC ................... 148 21,700 o CATELLUS DEVELOPMENT CORP ............. 336 6,797 o CB RICHARD ELLIS SERVICES GROUP, INC .. 169 12,346 o ECHELON INTERNATIONAL CORP ............ 276 1,500 o EXCEL LEGACY CORP ..................... 7 17,900 o FAIRFIELD COMMUNITIES, INC ............ 289 300 FOREST CITY ENTERPRISES, INC (CLASS A). 8 4,116 o GRUBB & ELLIS CO ...................... 21 2,200 o INSIGNIA FINANCIAL GROUP, INC ......... 23 8,100 o JONES LANG LA SALLE ................... 241 10,450 LNR PROPERTY CORP ..................... 223 5,616 o RECKSON SERVICES INDUSTRIES, INC ...... 85 29,800 ROUSE CO .............................. 756 11,200 o SECURITY CAPITAL GROUP, INC (CLASS B) . 163 28,100 STEWART ENTERPRISES, INC (CLASS A) .... 409 8,700 o TRAMMELL CROW CO ...................... 143 ----------- 4,141 ----------- RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS--0.42% 500 o AEP INDUSTRIES, INC 15 16,400 APTARGROUP, INC ....................... 492 28,300 ARMSTRONG WORLD INDUSTRIES, INC ....... 1,636 5,900 BANDAG, INC ........................... 205 8,500 CARLISLE COS, INC ..................... 409 19,800 COOPER TIRE & RUBBER CO ............... 468 7,700 o FOAMEX INTERNATIONAL, INC ............. 43 2,700 FURON CO .............................. 51 49,162 GOODYEAR TIRE & RUBBER CO ............. 2,891 69,300 ILLINOIS TOOL WORKS, INC .............. 5,683 2,496 MYERS INDUSTRIES, INC ................. 50 28,847 NIKE, INC (CLASS B) ................... 1,826 16,300 PREMARK INTERNATIONAL, INC ............ 611 14,690 o REEBOK INTERNATIONAL LTD .............. 274 23,700 o SAFESKIN CORP ......................... 284 20,469 o SEALED AIR CORP ....................... 1,328 35,956 o SOLUTIA, INC .......................... 766 1,500 SPARTECH CORP ......................... 47 6,400 o SYNETIC, INC .......................... 440 7,800 TREDEGAR CORP ......................... 170 25,200 TUPPERWARE CORP ....................... 643 2,886 WYNNS INTERNATIONAL, INC .............. 53 ----------- 18,385 ----------- SECURITY AND COMMODITY BROKERS--1.44% 2,000 ADVEST GROUP, INC ..................... 40 18,200 o AFFILIATED MANAGERS GROUP, INC ........ 549 6,200 o AMERITRADE HOLDINGS CORP (CLASS A) 657 37,498 BEAR STEARNS COS, INC ................. 1,753 2,700 CONNING CORP .......................... 44 4,100 DAIN RAUSCHER CORP .................... 222 8,900 DONALDSON, LUFKIN & JENRETTE, INC ..... 536 600 DUFF & PHELPS CREDIT RATING CO ........ 40 94 See notes to financial statements. EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ SECURITY AND COMMODITY BROKERS--(CONTINUED) 71,200 o E TRADE GROUP, INC .................... 2,844 10,800 EATON VANCE CORP ...................... 372 29,950 EDWARDS (A.G.), INC ................... 966 4,800 EVEREN CAPITAL CORP ................... 143 3,100 FEDERATED INVESTMENTS, INC ............ 56 57,791 FRANKLIN RESOURCES, INC ............... 2,348 5,743 FREEDOM SECURITIES CORP ............... 98 9,701 o FRIEDMAN, BILLINGS, RAMSEY GROUP, INC . 115 5,700 o HAMBRECHT & QUIST GROUP ............... 212 6,057 INVESTMENT TECHNOLOGY GROUP, INC ...... 196 2,600 INVESTORS FINANCIAL SERVICES CORP ..... 104 4,800 JEFFERIES GROUP, INC .................. 144 1,500 o JOHN NUVEEN CO (CLASS A) .............. 64 22,132 LEGG MASON, INC ....................... 852 42,120 LEHMAN BROTHERS HOLDINGS, INC ......... 2,622 116,600 MERRILL LYNCH & CO, INC ............... 9,321 10,600 MORGAN KEEGAN, INC .................... 201 201,926 MORGAN STANLEY, DEAN WITTER, & CO ..... 20,697 37,200 PAINE WEBBER GROUP, INC ............... 1,739 8,394 PHOENIX INVESTMENT PARTNERS LTD ....... 72 10,000 o PIONEER GROUP, INC .................... 173 31,600 PRICE (T. ROWE) ASSOCIATES, INC ....... 1,213 17,700 RAYMOND JAMES FINANCIAL CORP .......... 424 116,462 SCHWAB (CHARLES) CORP ................. 12,796 3,100 SOUTHWEST SECURITIES GROUP, INC ....... 222 24,700 UNITED ASSET MANAGEMENT CORP .......... 562 28,058 WADDELL & REED FINANCIAL, INC (CLASS A) ........................... 770 9,722 WADDELL & REED FINANCIAL, INC (CLASS B) ........................... 262 ----------- 63,429 ----------- SOCIAL SERVICES--0.01% 2,700 o BROOKDALE LIVING COMMUNITIES, INC ..... 40 400 o CAPITAL SENIOR LIVING CORP ............ 4 1,700 o RES-CARE, INC ......................... 39 5,200 o SUNRISE ASSISTED LIVING, INC .......... 181 ----------- 264 ------------ SPECIAL TRADE CONTRACTORS--0.01% 9,800 APOGEE ENTERPRISES, INC ............... 132 14,644 o COMFORT SYSTEMS U.S.A., INC ........... 264 3,800 o GROUP MAINTENANCE AMERICA CORP ........ 49 7,400 o INTEGRATED ELECTRICAL SERVICES, INC ... 119 800 xo OMEGA ENVIRONMENTAL, INC .............. 0 3,917 o SERVICE EXPERTS, INC .................. 86 ----------- 650 ----------- STONE, CLAY, AND GLASS PRODUCTS--0.26% 400 o AMERON INTERNATIONAL CORP ............. 18 2,600 CENTEX CONSTRUCTION PRODUCTS, INC ..... 89 79,811 CORNING, INC .......................... 5,597 11,100 o DAL-TILE INTERNATIONAL, INC ........... 126 7,400 o DEPARTMENT 56, INC .................... 199 2,100 o DUPONT PHOTOMASKS, INC ................ 101 4,900 FLORIDA ROCK INDUSTRIES, INC .......... 223 2,100 o GIANT CEMENT HOLDINGS, INC ............ 48 10,789 LAFARGE CORP .......................... 382 10,100 LIBBEY, INC ........................... 293 9,200 LONE STAR INDUSTRIES, INC ............. 346 20,600 OWENS CORNING CO ...................... 708 43,800 o OWENS ILLINOIS, INC ................... 1,432 900 PUERTO RICAN CEMENT CO, INC ........... 30 14,192 SOUTHDOWN, INC ........................ 912 18,300 USG CORP .............................. 1,025 ----------- 11,529 ----------- TEXTILE MILL PRODUCTS--0.09% 25,965 o ALBANY INTERNATIONAL CORP (CLASS A) ............................ 539 29,800 o BURLINGTON INDUSTRIES, INC ............ 270 16,700 COLLINS & AIKMAN CORP ................. 127 26,800 o CONE MILLS CORP ....................... 161 2,800 GUILFORD MILLS, INC ................... 29 20,200 INTERFACE, INC (CLASS A) .............. 174 12,600 o MOHAWK INDUSTRIES, INC ................ 383 2,000 o POLYMER GROUP, INC .................... 24 10,300 RUSSELL CORP .......................... 201 40,600 o SHAW INDUSTRIES, INC .................. 670 6,200 SPRING INDUSTRIES, INC ................ 270 9,000 ST. JOHN KNITS, INC ................... 263 18,700 o UNIFI, INC ............................ 397 17,200 WESTPOINT STEVENS, INC ................ 513 ---------- 4,021 ---------- TOBACCO PRODUCTS--0.84% 12,700 o GENERAL CIGAR HOLDINGS, INC (CLASS A).. 99 837,204 PHILIP MORRIS COS, INC ................ 33,645 35,460 o RJR REYNOLDS TOBACCO HOLDINGS, INC .... 1,117 76,300 UST, INC .............................. 2,232 ---------- 37,093 ---------- TRANSPORTATION BY AIR--0.55% 42,900 AIRBORNE FREIGHT CORP 1,188 200 o AIRNET SYSTEMS, INC ................... 3 19,000 o AIRTRAN HOLDINGS, INC ................. 109 27,000 o ALASKA AIR GROUP, INC ................. 1,127 15,600 o AMERICA WEST HOLDINGS CORP (CLASS B) ............................ 294 62,711 o AMR CORP .............................. 4,280 2,000 o AMTRAN, INC ........................... 49 5,100 o ATLANTIC COAST AIRLINES HOLDINGS ...... 97 3,750 o ATLAS AIR, INC ........................ 121 3,047 o AVIALL, INC ........................... 57 23,305 COMAIR HOLDINGS, INC .................. 485 21,500 o CONTINENTAL AIRLINES, INC (CLASS B) ... 809 47,658 DELTA AIRLINES, INC ................... 2,746 100,600 o FDX CORP .............................. 5,458 5,600 o KITTY HAWK, INC ....................... 44 9,200 o MESA AIR GROUP, INC ................... 69 5,800 o MESABA HOLDINGS, INC .................. 74 11,421 o MIDWEST EXPRESS HOLDINGS, INC ......... 388 12,600 o NORTHWEST AIRLINES CORP (CLASS A) ..... 410 6,000 o OFFSHORE LOGISTICS, INC ............... 67 24,500 OGDEN CORP ............................ 660 6,800 PITTSTON BAX GROUP .................... 65 6,400 SKYWEST, INC .......................... 160 115,726 SOUTHWEST AIRLINES CO ................. 3,602 13,600 o TRANS WORLD AIRLINES, INC ............. 67 30,814 o U.S. AIRWAYS GROUP, INC ............... 1,342 6,535 o UAL CORP .............................. 425 ---------- 24,196 ---------- TRANSPORTATION EQUIPMENT--2.97% 4,100 o AFTERMARKET TECHNOLOGY CORP 47 236,056 ALLIED SIGNAL, INC .................... 14,872 17,200 ARCTIC CAT, INC ....................... 154 16,700 ARVIN INDUSTRIES, INC ................. 633 27,399 AUTOLIV, INC .......................... 829 4,200 o AVONDALE INDUSTRIES, INC .............. 164 7,000 o BE AEROSPACE, INC ..................... 131 338,452 BOEING CO ............................. 14,955 11,261 BORG-WARNER AUTOMOTIVE, INC ........... 619 See notes to financial statements. 95 EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ TRANSPORTATION EQUIPMENT--(CONTINUED) 5,900 o BREED TECHNOLOGIES, INC ............... $ 13 5,400 CLARCOR, INC .......................... 104 9,400 COACHMEN INDUSTRIES, INC .............. 219 2,400 COMMERCIAL INTERTECH CORP ............. 38 10,500 CORDANT TECHNOLOGIES, INC ............. 474 54,915 DAIMLERCHRYSLER (U.S.A.) .............. 4,881 52,018 DANA CORP ............................. 2,396 26,160 DANAHER CORP .......................... 1,521 4,000 o DELCO REMY INTERNATIONAL , INC (CLASS A) ........................... 44 182,010 DELPHI AUTOMOTIVE SYSTEMS CORP ........ 3,379 1,300 o DUCOMMUN, INC ......................... 16 23,700 EATON CORP ............................ 2,180 22,900 FEDERAL SIGNAL CORP ................... 485 21,000 FEDERAL-MOGUL CORP .................... 1,092 10,200 FLEETWOOD ENTERPRISES, INC ............ 270 393,542 FORD MOTOR CO ......................... 22,169 9,800 GENCORP, INC .......................... 247 32,600 GENERAL DYNAMICS CORP ................. 2,233 226,700 GENERAL MOTORS CORP ................... 14,962 33,400 o GENERAL MOTORS CORP (CLASS H) ......... 1,879 3,361 GENTEK, INC ........................... 47 27,600 o GENTEX CORP ........................... 773 22,160 GOODRICH (B.F.) CO .................... 942 22,600 o GULFSTREAM AEROSPACE CORP ............. 1,527 8,715 o HALTER MARINE GROUP, INC .............. 58 52,300 HARLEY DAVIDSON, INC .................. 2,844 9,260 o HAYES LEMMERZ INTERNATIONAL, INC ...... 272 1,200 HEICO CORP ............................ 30 8,720 o HOWMET INTERNATIONAL, INC ............. 150 32,200 ITT INDUSTRIES, INC ................... 1,228 3,500 KAMAN CORP (CLASS A) .................. 55 2,400 o KELLSTROM INDUSTRIES, INC ............. 44 700 o KROLL O GARA CO ....................... 15 116,570 LOCKHEED MARTIN CORP .................. 4,342 14,500 MASCOTECH, INC ........................ 246 33,233 MERITOR AUTOMOTIVE, INC ............... 847 7,400 o MILLER INDUSTRIES, INC ................ 29 7,500 MODINE MANUFACTURING CO ............... 244 7,200 o MONACO COACH CORP ..................... 305 6,900 o MOTIVEPOWER INDUSTRIES, INC ........... 124 2,500 o NATIONAL R.V. HOLDINGS, INC ........... 61 21,200 o NAVISTAR INTERNATIONAL CORP ........... 1,060 11,406 NEWPORT NEWS SHIPBUILDING, INC ........ 336 21,640 NORTHROP GRUMMAN CORP ................. 1,435 7,700 o OEA, INC .............................. 68 12,000 o ORBITAL SCIENCES CORP ................. 284 22,100 PACCAR, INC ........................... 1,180 9,900 POLARIS INDUSTRIES, INC ............... 431 10,600 REGAL-BELOIT CORP ..................... 250 1,163 o SEQUA CORP (CLASS A) .................. 81 8,850 SMITH (A.O.) CORP ..................... 248 10,287 o SPX CORP .............................. 859 500 STANDARD MOTOR PRODUCTS, INC (CLASS A) ........................... 12 10,900 STANDARD PRODUCTS CO .................. 279 1,900 o STONERIDGE, INC ..................... 26 11,600 SUPERIOR INDUSTRIES INTERNATIONAL, INC 317 39,072 TEXTRON, INC .......................... 3,216 17,475 TRANSPRO, INC ......................... 92 11,900 TRINITY INDUSTRIES, INC ............... 399 3,000 o TRISTAR AEROSPACE CO ................ 25 3,187 o TRIUMPH GROUP, INC .................. 81 34,100 TRW, INC .............................. 1,871 166,674 UNITED TECHNOLOGIES CORP .............. 11,948 5,000 VARLEN CORP ........................... 203 5,400 WABASH NATIONAL CORP .................. 105 4,200 WESTINGHOUSE AIR BRAKE CO ............. 109 2,300 WINNEBAGO INDUSTRIES, INC ............. 52 ---------- 130,156 ---------- TRANSPORTATION SERVICES--0.09% 26,050 AIR EXPRESS INTERNATIONAL CORP ........ 661 9,600 C.H. ROBINSON WORLDWIDE, INC .......... 353 3,800 CIRCLE INTERNATIONAL GROUP, INC ....... 83 2,900 o EAGLE U.S.A. AIRFREIGHT, INC .......... 123 18,600 EXPEDITORS INTERNATIONAL OF WASHINGTON ........................... 507 7,600 o FRITZ COS, INC ........................ 82 21,500 GALILEO INTERNATIONAL, INC ............ 1,149 23,000 GATX CORP ............................. 875 2,452 o NAVIGANT INTERNATIONAL, INC ........... 19 1,000 o TRAVEL SERVICES INTERNATIONAL, INC .... 12 700 o U.S. EXPRESS ENTERPRISES, INC (CLASS A) 7 ---------- 3,871 ---------- TRUCKING AND WAREHOUSING--0.09% 13,300 o AMERICAN FREIGHTWAYS CORP ............. 260 6,500 ARNOLD INDUSTRIES, INC ................ 100 12,227 CNF TRANSPORTATION, INC ............... 469 10,950 o CONSOLIDATED FREIGHTWAYS CORP ......... 141 5,300 o COVENANT TRANSPORT, INC (CLASS A) ..... 83 4,300 o HEARTLAND EXPRESS, INC ................ 70 6,200 HUNT (J.B.) TRANSPORT SERVICES, INC ... 101 4,500 o IRON MOUNTAIN, INC .................... 129 10,100 o LANDSTAR SYSTEM, INC .................. 365 6,200 o M.S. CARRIERS, INC .................... 184 700 o PIERCE LEAHY CORP ..................... 17 6,400 ROADWAY EXPRESS, INC .................. 124 21,375 o SWIFT TRANSPORTATION CO, INC .......... 470 12,300 USFREIGHTWAYS CORP .................... 570 16,875 WERNER ENTERPRISES, INC ............... 350 17,400 o YELLOW CORP ........................... 309 ---------- 3,742 ---------- WATER TRANSPORTATION--0.05% 35,000 ALEXANDER & BALDWIN, INC 779 3,400 o GULFMARK OFFSHORE, INC ................ 65 13,000 o HVIDE MARINE, INC (CLASS A) ........... 28 8,800 o KIRBY CORP ............................ 186 2,270 o MARINE TRANSPORT CORP ................. 8 22,700 o OMI CORP .............................. 47 6,700 OVERSEAS SHIPHOLDING GROUP, INC 86 4,900 o SEACOR SMIT, INC ...................... 262 16,827 TIDEWATER, INC ........................ 513 9,000 o TRICO MARINE SERVICES, INC ............ 59 ---------- 2,033 ---------- WHOLESALE TRADE-DURABLE GOODS--0.28% 12,450 AAR CORP .............................. 282 5,100 o ACTION PERFORMANCE COS, INC ........... 168 2,800 o ANICOM, INC ........................... 29 9,300 o ANIXTER INTERNATIONAL, INC ............ 170 10,330 APPLIED INDUSTRIAL TECHNOLOGIES, INC .. 196 34,471 o ARROW ELECTRONICS, INC ................ 655 2,200 o AVIATION SALES CO ..................... 87 12,210 AVNET, INC ............................ 568 8,500 BRIGGS & STRATTON CORP ................ 491 19,000 o BRIGHTPOINT, INC ...................... 115 17,800 o CELLSTAR CORP ......................... 140 96 See notes to financial statements. EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ WHOLESALE TRADE-DURABLE GOODS--(CONTINUED) 11,100 o CHS ELECTRONICS, INC .................. 49 11,900 COMMERCIAL METALS CO .................. 339 8,900 o COMPUCOM SYSTEMS, INC ................. 37 5,400 o FAIRCHILD CORP (CLASS A) .............. 69 10,100 o FISHER SCIENTIFIC INTERNATIONAL, INC .. 225 49,596 GENUINE PARTS CO ...................... 1,736 22,483 GRAINGER (W.W.), INC .................. 1,210 11,850 o HA-LO INDUSTRIES, INC ................. 117 9,400 o HANDLEMAN CO .......................... 111 7,100 HUGHES SUPPLY, INC .................... 211 48,600 IKON OFFICE SOLUTIONS, INC 729 16,800 o INGRAM MICRO, INC (CLASS A) ........... 433 10,500 o KENT ELECTRONICS CORP ................. 208 2,500 o KEYSTONE AUTOMOTIVE INDUSTRIES, INC ... 43 6,200 o MARSHALL INDUSTRIES, INC .............. 223 23,700 o MERISEL, INC .......................... 54 7,300 o MICROAGE, INC ......................... 28 16,100 o MSC INDUSTRIAL DIRECT CO (CLASS A) .... 165 14,800 o NATIONAL-OILWELL, INC ................. 207 11,100 OWENS & MINOR, INC .................... 122 11,050 o PATTERSON DENTAL CO ................... 384 7,000 o PEC ISRAEL ECONOMIC CORP .............. 221 13,650 PIONEER-STANDARD ELECTRONICS, INC ..... 164 1,200 o POMEROY COMPUTER RESOURCES, INC ....... 17 1,392 PREMIER FARNELL PLC ADR ............... 10 24,725 o PSS WORLD MEDICAL, INC ................ 277 2,400 RELIANCE STEEL & ALUMINUM CO .......... 94 9,500 o SAFEGUARD SCIENTIFICS, INC ............ 589 2,000 o SODAK GAMING, INC ..................... 19 13,500 o TBC CORP .............................. 95 18,600 o TECH DATA CORP ........................ 711 2,400 o VWR SCIENTIFIC PRODUCTS CORP .......... 88 4,738 WATSCO, INC ........................... 78 270 WESCO FINANCIAL CORP .................. 84 3,300 o WILMAR INDUSTRIES, INC ................ 43 ---------- 12,091 ---------- WHOLESALE TRADE-NONDURABLE GOODS--0.68% 18,000 o AIRGAS, INC ........................... 221 17,900 o AMERISOURCE HEALTH CORP (CLASS A) ..... 456 34,000 o AVATEX CORP ........................... 38 13,700 o BARNETT RESOURCES CORP ................ 526 44,534 BERGEN BRUNSWIG CORP (CLASS A) ........ 768 5,527 BINDLEY WESTERN INDUSTRIES, INC ....... 127 3,216 o BOISE CASCADE OFFICE PRODUCTS CORP .... 38 92,861 CARDINAL HEALTH, INC .................. 5,955 9,939 o CENTRAL GARDEN & PET CO ............... 102 2,300 CHEMED CORP ........................... 76 1,500 o DAISYTEK INTERNATIONAL CORP ........... 24 27,700 DIMON, INC ............................ 144 115,070 ENRON CORP ............................ 9,407 55,100 FORTUNE BRANDS, INC ................... 2,280 4,100 HERBALIFE INTERNATIONAL, INC (CLASS A) 45 2,000 HERBALIFE INTERNATIONAL, INC (CLASS B) 17 3,000 INTERNATIONAL MULTIFOODS CORP ......... 68 97,057 MCKESSON HBOC, INC .................... 3,118 13,200 o NU SKIN ENTERPRISES, INC (CLASS A) .... 263 2,500 o PERFORMANCE FOOD GROUP CO ............. 68 4,700 o PLAINS RESOURCES, INC ................. 89 2,785 o PRIORITY HEALTHCARE CORP (CLASS A) .... 96 3,900 o PRIORITY HEALTHCARE CORP (CLASS B) .... 135 13,750 RICHFOOD HOLDINGS, INC ................ 242 2,725 o SCHOOL SPECIALTY, INC ................. 44 10,600 o SCIOS, INC ............................ 34 2,200 o SMART & FINAL, INC .................... 23 37,184 SUPERVALU, INC ........................ 955 110,476 SYSCO CORP ............................ 3,294 21,000 TERRA INDUSTRIES, INC ................. 84 1,800 o U.S.A. FLORAL PRODUCTS, INC ........... 14 21,450 UNISOURCE WORLDWIDE, INC .............. 259 15,100 o UNITED STATIONERS, INC ................ 332 17,300 UNIVERSAL CORP ........................ 492 4,600 VALHI, INC ............................ 51 1,400 WEIDER NUTRITION INTERNATIONAL, INC ... 6 ---------- 29,891 ---------- TOTAL COMMON STOCK (Cost $2,974,038) 4,341,764 ----------- PRINCIPAL --------- SHORT TERM INVESTMENTS--1.15% U.S. GOVERNMENT & AGENCIES--1.15% FEDERAL HOME LOAN BANK $14,720,000 4.490%, 07/01/99 14,718 FEDERAL HOME LOAN MORTGAGE CORP 9,965,000 4.810%, 07/07/99 9,956 26,000,000 * 4.870%, 07/20/99 25,929 ---------- 50,603 ---------- TOTAL SHORT TERM INVESTMENTS (Cost $50,610) 50,603 ---------- TOTAL PORTFOLIO (Cost $3,025,226) $4,393,084 ========== - ----------------- o Non-income producing x In bankruptcy * All or a portion of these securities have 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 June 30, 1999, the value of these securities amounted to $4,565 or 0.00% of net assets. Additional information on each restricted security is as follows: ACQUISITION ACQUISITION SECURITY DATE COST - -------- ----------- ----------- PHYSICIAN COMPUTER NETWORK, INC 01/22/96 $75,341 PROCURENET, INC 04/19/99 973 --------- $76,314 ========= See notes to financial statements. 97 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--INFLATION LINKED BOND ACCOUNT (Unaudited) JUNE 30, 1999 SUMMARY BY INDUSTRY (000) VALUE % -------- ------- BONDS GOVERNMENT BONDS U.S. TREASURY SECURITIES ................ $131,754 92.06% -------- ------ TOTAL GOVERNMENT BONDS (Cost $134,314) .......................... 131,754 92.06 -------- ------ TOTAL BONDS (Cost $134,314) .......................... 131,754 92.06 -------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ......................... 7,234 5.05 -------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $7,235) ............................ 7,234 5.05 -------- ------ TOTAL PORTFOLIO (Cost $141,549) .......................... 138,988 97.11 OTHER ASSETS & LIABILITIES, NET ......... 4,136 2.89 -------- ------ NET ASSETS ................................. $143,124 100.00% ======== ====== PRINCIPAL VALUE --------- (000) ------- BONDS--92.06% GOVERNMENT BONDS--92.06% U.S. TREASURY SECURITIES--92.06% U.S. TREASURY INFLATION INDEXED $27,285,890 3.625%, 07/15/02 ............ $ 26,996 27,477,381 3.375%, 01/15/07 ............ 26,344 27,975,098 3.625%, 01/15/08 ............ 27,179 13,677,806 3.875%, 01/15/09 ............ 13,515 28,354,244 3.625%, 04/15/28 ............ 26,755 11,118,209 3.875%, 04/15/29 ............ 10,965 -------- 131,754 -------- TOTAL GOVERNMENT BONDS.. (Cost $134,314) ................... 131,754 -------- TOTAL BONDS (Cost $134,314) ................... 131,754 -------- SHORT TERM INVESTMENTS--5.05% COMMERCIAL PAPER--5.05% ROHM & HAAS CO 5,000,000 ~ 6.250%, 07/01/99 ................ 4,999 SAFEWAY, INC 2,235,000 ~ 6.250%, 07/01/99 ................ 2,235 -------- 7,234 -------- TOTAL SHORT TERM INVESTMENTS (Cost $7,235) ..................... 7,234 -------- TOTAL PORTFOLIO (Cost $141,549) .................... $138,988 ======== ~Commercial Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. 98 See notes to financial statements. [GRAPHIC OMITTED] | COLLEGE RETIREMENT EQUITIES FUND | 730 Third Avenue | New York, NY 10017-3206 Printed on recycled paper | 212/490-9000 CSAR--02M-8/99 -----END PRIVACY-ENHANCED MESSAGE-----